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 October 31, 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 Reports. Not Applicable. Notices do not incorporate disclosures from the
shareholder report.
CONTENTS
1 | |
2 | |
6 | |
14 | |
20 | |
22 | |
31 | |
32 | |
36 | |
38 | |
39 | |
40 | |
Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets.
Prospective investors should refer to the Fund's prospectuses for a discussion of the Fund's investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
Letter to Shareholders
December 14, 2023 (Unaudited)
Dear Shareholder,
While the U.S. economy generally performed well this year, global economic growth has been uneven in the face of elevated interest rates and heightened geopolitical tensions. Equity markets largely outperformed fixed income markets for the twelve months ended October 31, 2023, though rising yields lifted investor demand for certain types of bonds.
 | "The strong performance of financial markets in 2023 created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.” — Brian S. Shlissel |
Inflationary pressures have receded sufficiently so far that the U.S. Federal Reserve declined to raise interest rates since September 2023 and signaled it may reduce rates three times in 2024. Both the European Central Bank and the Bank of England also declined to raise interest rates in the third quarter of 2023. Financial markets largely responded positively to the central banks’ policy stances, though the view that interest rates could remain “higher for longer” appeared to temper investor optimism.
Overall, corporate earnings and revenues within developed markets generally continued to grow through the first three quarters of 2023, though certain surveys indicated many businesses anticipate demand to slow next year. Emerging markets experienced a wider dispersion in economic performance and corporate results, partly due to slower economic growth in China, post-pandemic changes to global supply chains and elevated debt servicing costs.
While some assert that the risk of economic recession has receded in 2023, the risk remains. China’s struggling property sector could further undermine economic growth and spill over to certain commodity exporting nations. Additionally, there is no clear timing with regard to the resolution of the war in Ukraine, which continues to impact global energy and grain supplies. The Israel-Hamas conflict has the potential to both widen militarily and to impact international trade and prices for energy and food. However, financial markets have generally continued to function without major disruptions during the period.
The strong performance of financial markets has created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.
Our suite of investment solutions seeks to provide investors with the ability to build durable portfolios that meet their financial goals, regardless of macroeconomic and geopolitical uncertainties.
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
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
October 31, 2023 | J.P. Morgan Specialty Funds | 1 |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 10.57% |
ICE BofA 3-Month US Treasury Bill Index | 4.80% |
Net Assets as of 10/31/2023 (In Thousands) | $221,490 |
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.
HOW DID THE MARKET PERFORM?
Equity markets continued to outperform bond markets during the period, generating positive returns largely due to gains made during the first half of 2023. Following a surge in U.S. equity prices, investors largely sought lower equity valuations in international markets in the second half of the period.
Overall, equities in international developed markets outperformed both emerging market and U.S. equities. Growth stocks and large capitalization stocks largely outperformed value stocks and mid cap and small cap stocks. Within fixed income markets, emerging markets debt and lower-rated bonds in developed markets generally outperformed U.S. Treasuries.
While the U.S. Federal Reserve, the European Central Bank and The Bank of England continued to raise interest rates at regular intervals through the first half of 2023, declining inflationary pressures allowed all three central banks to withhold further increases at the end of the reporting period.
Corporate earnings were generally better-than-expected for most of the period but results for the third quarter of 2023 showed some slowing in earnings and revenue growth. Tight labor markets in the U.S. eased somewhat in the final months of the period and the jobless rate rose to 3.8% in October 2023, which raised investor expectations that inflation would continue to slow.
Global energy prices largely fell during the period amid slowing demand from China and leading industrialized nations. Crude oil prices spiked briefly in September 2023 when Saudi Arabia and Russia extended production cuts and again in early October at the outbreak of the Israel-Hamas conflict. However, global petroleum prices receded by the end of the period as economic data, including U.S. gasoline consumption, continued to indicate slowing global demand.
Notably, financial sector stocks were roiled by the collapse of Silicon Valley Bank in late March 2023, followed closely by the failures of Signature Bank and Credit Suisse. In each case, government regulators moved to prevent the erosion of consumer and investor confidence in the banking system.
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 twelve months ended October 31, 2023. The Fund’s allocation to equities drove its outperformance relative to the Benchmark, which is made up of short-term government bonds and includes no equities.
The Fund’s security selection in the media and software & hardware sectors was a leading contributor to absolute performance, while the Fund’s security selection in the industrial cyclical and utilities sectors was a leading detractor from absolute relative performance.
Leading individual contributors to performance included the Fund’s long positions in Meta Platforms Inc., NXP Semiconductors NV and Seagate Technology Holdings PLC. Shares of Meta Platforms, operator of Facebook and other interactive media, rose amid a general surge in large capitalization technology stocks. Shares of NXP Semiconductors, a Dutch semiconductor manufacturer, rose after the company reported consecutive quarters of better-than-expected earnings and revenue amid strong global demand for semiconductors. Shares of Seagate Technology Holdings, a data storage and computer hardware maker based in Ireland, rose after the company reported consecutive quarters of better-than-expected earnings during the period.
Leading individual detractors from relative performance included the Fund’s short positions in Applied Materials Inc., General Electric Co. and Boeing Co. Shares of Applied Materials, a provider of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2023 and raised its earnings forecast. Shares of General Electric, an industrial conglomerate, rose after the company reported consecutive quarters of better-than-expected earnings. Shares of Boeing, an aircraft and aerospace manufacturer, rose amid better-than-expected earnings in the second quarter of 2023 and continued demand for aerospace and military hardware during the period.
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
2 | J.P. Morgan Specialty Funds | October 31, 2023 |
mid-cap stocks into five quintiles. The Fund’s portfolio managers looked to the top quintiles for potential long positions in stocks that they believed were undervalued and the
bottom quintiles for potential short positions in stocks that they believed were overvalued.
October 31, 2023 | J.P. Morgan Specialty Funds | 3 |
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
TOP TEN LONG POSITIONS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Progressive Corp. (The) | 1.9 % |
2. | NXP Semiconductors NV (China) | 1.9 |
3. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 1.7 |
4. | Meta Platforms, Inc., Class A | 1.7 |
5. | Seagate Technology Holdings plc | 1.6 |
6. | Amazon.com, Inc. | 1.5 |
7. | Mastercard, Inc., Class A | 1.4 |
8. | NVIDIA Corp. | 1.4 |
9. | Howmet Aerospace, Inc. | 1.3 |
10. | Endeavor Group Holdings, Inc., Class A | 1.2 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Applied Materials, Inc. | 2.9 % |
2. | Broadcom, Inc. | 2.9 |
3. | Cisco Systems, Inc. | 2.4 |
4. | Microchip Technology, Inc. | 2.1 |
5. | Kroger Co. (The) | 2.0 |
6. | Hewlett Packard Enterprise Co. | 1.8 |
7. | Fox Corp., Class A | 1.7 |
8. | Intel Corp. | 1.5 |
9. | NetApp, Inc. | 1.5 |
10. | Apple, Inc. | 1.5 |
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Information Technology | 18.2% |
Financials | 14.8 |
Industrials | 8.9 |
Consumer Discretionary | 7.8 |
Health Care | 7.4 |
Communication Services | 6.5 |
Consumer Staples | 3.8 |
Energy | 3.1 |
Utilities | 2.9 |
Real Estate | 1.9 |
Materials | 1.3 |
Short-Term Investments | 23.4 |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Information Technology | 22.4% |
Financials | 18.3 |
Industrials | 16.2 |
Health Care | 9.5 |
Consumer Staples | 7.8 |
Communication Services | 7.7 |
Consumer Discretionary | 6.9 |
Utilities | 4.5 |
Energy | 3.3 |
Real Estate | 2.5 |
Materials | 0.9 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
4 | J.P. Morgan Specialty Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | February 28, 2002 | |||
With Sales Charge * | 4.55 % | 3.61 % | 2.13 % | |
Without Sales Charge | 10.35 | 4.73 | 2.68 | |
CLASS C SHARES | November 2, 2009 | |||
With CDSC ** | 8.68 | 4.20 | 2.26 | |
Without CDSC | 9.68 | 4.20 | 2.26 | |
CLASS I SHARES | November 2, 2009 | 10.57 | 5.00 | 2.94 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
October 31, 2023 | J.P. Morgan Specialty Funds | 5 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Long Positions — 100.4% | ||
Common Stocks — 77.0% | ||
Aerospace & Defense — 1.8% | ||
Howmet Aerospace, Inc. (a) | 64 | 2,809 |
RTX Corp. | 14 | 1,131 |
3,940 | ||
Air Freight & Logistics — 0.3% | ||
FedEx Corp. | — | 96 |
United Parcel Service, Inc., Class B | 4 | 535 |
631 | ||
Automobile Components — 0.5% | ||
Aptiv plc * | 5 | 395 |
Lear Corp. | 1 | 139 |
Mobileye Global, Inc., Class A (Israel) * | 15 | 539 |
1,073 | ||
Banks — 2.7% | ||
Bank of America Corp. | 32 | 836 |
Fifth Third Bancorp | 61 | 1,447 |
First Citizens BancShares, Inc., Class A | 1 | 616 |
KeyCorp | 30 | 311 |
Truist Financial Corp. | 30 | 851 |
Wells Fargo & Co. (a) | 46 | 1,827 |
5,888 | ||
Beverages — 1.0% | ||
Coca-Cola Co. (The) | 7 | 412 |
Keurig Dr Pepper, Inc. | 4 | 114 |
Monster Beverage Corp. * | 24 | 1,241 |
PepsiCo, Inc. | 3 | 388 |
2,155 | ||
Biotechnology — 3.9% | ||
AbbVie, Inc. | 16 | 2,228 |
Biogen, Inc. * | 6 | 1,592 |
BioMarin Pharmaceutical, Inc. * | 13 | 1,068 |
Regeneron Pharmaceuticals, Inc. * | 2 | 1,620 |
Sarepta Therapeutics, Inc. * | 11 | 727 |
Vertex Pharmaceuticals, Inc. * (a) | 4 | 1,434 |
8,669 | ||
Broadline Retail — 1.5% | ||
Amazon.com, Inc. * (a) | 25 | 3,357 |
Building Products — 1.1% | ||
Trane Technologies plc | 13 | 2,478 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Capital Markets — 3.6% | ||
Charles Schwab Corp. (The) | 39 | 2,013 |
CME Group, Inc. | 8 | 1,613 |
Morgan Stanley | 6 | 446 |
Raymond James Financial, Inc. | 27 | 2,567 |
S&P Global, Inc. | 4 | 1,421 |
8,060 | ||
Chemicals — 0.5% | ||
Air Products and Chemicals, Inc. (a) | 2 | 527 |
Dow, Inc. | 2 | 90 |
Linde plc | 1 | 397 |
1,014 | ||
Commercial Services & Supplies — 0.7% | ||
Waste Connections, Inc. | 11 | 1,475 |
Communications Equipment — 0.3% | ||
Arista Networks, Inc. * | 3 | 633 |
Construction Materials — 0.7% | ||
Martin Marietta Materials, Inc. | 4 | 1,594 |
Consumer Staples Distribution & Retail — 1.1% | ||
Costco Wholesale Corp. | 3 | 1,907 |
Maplebear, Inc. * | 19 | 465 |
2,372 | ||
Containers & Packaging — 0.1% | ||
Crown Holdings, Inc. | 3 | 216 |
Diversified REITs — 0.1% | ||
WP Carey, Inc. | 5 | 283 |
Electric Utilities — 1.8% | ||
Entergy Corp. | 3 | 328 |
NextEra Energy, Inc. | 18 | 1,029 |
PG&E Corp. * | 109 | 1,771 |
Southern Co. (The) | 13 | 879 |
4,007 | ||
Electrical Equipment — 0.3% | ||
Eaton Corp. plc | 3 | 723 |
Electronic Equipment, Instruments & Components — 1.0% | ||
Corning, Inc. | 71 | 1,901 |
Keysight Technologies, Inc. * | 3 | 414 |
2,315 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
6 | J.P. Morgan Specialty Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Long Positions — continued | ||
Common Stocks — continued | ||
Energy Equipment & Services — 0.6% | ||
Baker Hughes Co. | 18 | 632 |
Schlumberger NV | 12 | 636 |
1,268 | ||
Entertainment — 2.6% | ||
Endeavor Group Holdings, Inc., Class A (a) | 120 | 2,729 |
Take-Two Interactive Software, Inc. * | 7 | 1,007 |
Warner Bros Discovery, Inc. * | 75 | 745 |
Warner Music Group Corp., Class A | 42 | 1,308 |
5,789 | ||
Financial Services — 4.5% | ||
Block, Inc. * | 29 | 1,153 |
Fidelity National Information Services, Inc. | 33 | 1,625 |
Fiserv, Inc. * (a) | 12 | 1,382 |
FleetCor Technologies, Inc. * | 7 | 1,567 |
Mastercard, Inc., Class A (a) | 8 | 3,192 |
WEX, Inc. * | 6 | 943 |
9,862 | ||
Food Products — 0.5% | ||
Hershey Co. (The) | 1 | 115 |
Mondelez International, Inc., Class A | 16 | 1,060 |
1,175 | ||
Ground Transportation — 1.7% | ||
Canadian National Railway Co. (Canada) | 2 | 213 |
CSX Corp. | 10 | 291 |
Norfolk Southern Corp. | 3 | 575 |
Old Dominion Freight Line, Inc. | 1 | 470 |
Uber Technologies, Inc. * (a) | 34 | 1,479 |
Union Pacific Corp. | 2 | 326 |
XPO, Inc. * | 5 | 415 |
3,769 | ||
Health Care Equipment & Supplies — 1.1% | ||
Boston Scientific Corp. * | 19 | 967 |
Intuitive Surgical, Inc. * | 1 | 429 |
Stryker Corp. | 4 | 1,020 |
2,416 | ||
Health Care Providers & Services — 1.3% | ||
Centene Corp. * | 3 | 195 |
HCA Healthcare, Inc. | 1 | 285 |
Humana, Inc. | 1 | 220 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Health Care Providers & Services — continued | ||
McKesson Corp. | 1 | 502 |
UnitedHealth Group, Inc. (a) | 3 | 1,744 |
2,946 | ||
Health Care REITs — 0.0% ^ | ||
Ventas, Inc. | 1 | 61 |
Hotels, Restaurants & Leisure — 2.7% | ||
Booking Holdings, Inc. * | — | 265 |
Chipotle Mexican Grill, Inc. * | 1 | 1,420 |
Expedia Group, Inc. * | 8 | 778 |
Hilton Worldwide Holdings, Inc. | 4 | 608 |
Royal Caribbean Cruises Ltd. * | 12 | 996 |
Yum! Brands, Inc. (a) | 16 | 1,919 |
5,986 | ||
Household Products — 0.4% | ||
Church & Dwight Co., Inc. | 10 | 940 |
Industrial Conglomerates — 1.0% | ||
Honeywell International, Inc. (a) | 12 | 2,114 |
Industrial REITs — 0.2% | ||
Prologis, Inc. | 5 | 482 |
Insurance — 4.2% | ||
Chubb Ltd. | 3 | 714 |
Globe Life, Inc. | 18 | 2,098 |
MetLife, Inc. | 6 | 326 |
Progressive Corp. (The) (a) | 27 | 4,310 |
Travelers Cos., Inc. (The) | 11 | 1,765 |
9,213 | ||
Interactive Media & Services — 2.6% | ||
Alphabet, Inc., Class A * | 6 | 810 |
Meta Platforms, Inc., Class A * (a) | 13 | 3,792 |
Pinterest, Inc., Class A * | 35 | 1,046 |
5,648 | ||
IT Services — 0.4% | ||
Cognizant Technology Solutions Corp., Class A | 4 | 275 |
MongoDB, Inc. * | 1 | 275 |
Snowflake, Inc., Class A * | 2 | 261 |
811 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 7 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Long Positions — continued | ||
Common Stocks — continued | ||
Life Sciences Tools & Services — 0.5% | ||
Danaher Corp. | 5 | 915 |
Thermo Fisher Scientific, Inc. | — | 226 |
1,141 | ||
Machinery — 1.6% | ||
Deere & Co. (a) | 4 | 1,672 |
Dover Corp. | 7 | 868 |
Ingersoll Rand, Inc. | 17 | 1,009 |
3,549 | ||
Media — 1.1% | ||
Charter Communications, Inc., Class A * | 2 | 651 |
Comcast Corp., Class A | 10 | 429 |
Liberty Media Corp-Liberty SiriusXM, Class A * | 59 | 1,443 |
2,523 | ||
Multi-Utilities — 1.1% | ||
CenterPoint Energy, Inc. | 24 | 633 |
CMS Energy Corp. | 12 | 627 |
Dominion Energy, Inc. | 6 | 250 |
Public Service Enterprise Group, Inc. | 16 | 1,007 |
2,517 | ||
Oil, Gas & Consumable Fuels — 2.5% | ||
Cheniere Energy, Inc. | 3 | 590 |
ConocoPhillips | 7 | 813 |
Diamondback Energy, Inc. | 5 | 882 |
EOG Resources, Inc. | 8 | 1,003 |
Exxon Mobil Corp. | 13 | 1,344 |
Marathon Oil Corp. | 13 | 345 |
Targa Resources Corp. | 8 | 639 |
5,616 | ||
Personal Care Products — 0.8% | ||
Estee Lauder Cos., Inc. (The), Class A | 9 | 1,242 |
Kenvue, Inc. | 28 | 516 |
1,758 | ||
Pharmaceuticals — 0.6% | ||
Bristol-Myers Squibb Co. (a) | 19 | 992 |
Elanco Animal Health, Inc. * | 30 | 266 |
1,258 | ||
Professional Services — 0.2% | ||
Booz Allen Hamilton Holding Corp. | 4 | 523 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Residential REITs — 0.2% | ||
Sun Communities, Inc. | 2 | 221 |
UDR, Inc. | 7 | 229 |
450 | ||
Retail REITs — 0.1% | ||
Kimco Realty Corp. | 8 | 138 |
Semiconductors & Semiconductor Equipment — 10.3% | ||
Advanced Micro Devices, Inc. * (a) | 22 | 2,118 |
Analog Devices, Inc. (a) | 16 | 2,512 |
ASML Holding NV (Registered), NYRS (Netherlands) | 1 | 744 |
Marvell Technology, Inc. | 11 | 500 |
Micron Technology, Inc. | 25 | 1,676 |
Monolithic Power Systems, Inc. | 1 | 596 |
NVIDIA Corp. (a) | 8 | 3,096 |
NXP Semiconductors NV (China) (a) | 24 | 4,170 |
ON Semiconductor Corp. * | 5 | 295 |
Qorvo, Inc. * | 5 | 426 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) (a) | 44 | 3,829 |
Teradyne, Inc. | 10 | 831 |
Texas Instruments, Inc. | 14 | 2,059 |
22,852 | ||
Software — 3.5% | ||
Adobe, Inc. * | 1 | 517 |
Datadog, Inc., Class A * | 2 | 197 |
Intuit, Inc. (a) | 5 | 2,367 |
Microsoft Corp. (a) | 5 | 1,669 |
Oracle Corp. | 7 | 716 |
PTC, Inc. * | 1 | 205 |
Roper Technologies, Inc. | 2 | 793 |
Salesforce, Inc. * | 4 | 824 |
ServiceNow, Inc. * | 1 | 448 |
7,736 | ||
Specialized REITs — 1.2% | ||
American Tower Corp. | 1 | 223 |
Digital Realty Trust, Inc. | 20 | 2,511 |
2,734 | ||
Specialty Retail — 3.2% | ||
AutoNation, Inc. * | 4 | 524 |
AutoZone, Inc. * | — | 864 |
Best Buy Co., Inc. | 19 | 1,234 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. Morgan Specialty Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Long Positions — continued | ||
Common Stocks — continued | ||
Specialty Retail — continued | ||
Burlington Stores, Inc. * | 12 | 1,472 |
Lowe's Cos., Inc. | 11 | 2,053 |
O'Reilly Automotive, Inc. * (a) | 1 | 894 |
7,041 | ||
Technology Hardware, Storage & Peripherals — 2.8% | ||
Dell Technologies, Inc., Class C | 27 | 1,849 |
Seagate Technology Holdings plc | 53 | 3,620 |
Western Digital Corp. * | 18 | 710 |
6,179 | ||
Trading Companies & Distributors — 0.3% | ||
United Rentals, Inc. | 1 | 216 |
WW Grainger, Inc. | — | 377 |
593 | ||
Wireless Telecommunication Services — 0.2% | ||
T-Mobile US, Inc. * | 4 | 510 |
Total Common Stocks (Cost $156,817) | 170,481 | |
PRINCIPAL AMOUNT (000) | ||
Short-Term Investments — 23.4% | ||
U.S. Treasury Obligations — 18.8% | ||
U.S. Treasury Bills | ||
5.33%, 11/7/2023(b) | 12,000 | 11,989 |
5.39%, 12/5/2023(b) | 10,500 | 10,448 |
5.39%, 1/4/2024(b) | 10,500 | 10,401 |
5.41%, 1/11/2024(b) | 9,000 | 8,906 |
Total U.S. Treasury Obligations (Cost $41,742) | 41,744 | |
SHARES (000) | ||
Investment Companies — 4.6% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (c) (d)(Cost $10,235) | 10,232 | 10,236 |
Total Short-Term Investments (Cost $51,977) | 51,980 | |
Total Long Positions (Cost $208,794) | 222,461 | |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Positions — (73.9)% | ||
Common Stocks — (73.9)% | ||
Aerospace & Defense — (2.3)% | ||
Boeing Co. (The) * | (9 ) | (1,593 ) |
General Dynamics Corp. | (5 ) | (1,186 ) |
Huntington Ingalls Industries, Inc. | (4 ) | (906 ) |
L3Harris Technologies, Inc. | (2 ) | (383 ) |
Lockheed Martin Corp. | — | (109 ) |
Northrop Grumman Corp. | (1 ) | (451 ) |
Spirit AeroSystems Holdings, Inc., Class A * | (21 ) | (483 ) |
(5,111 ) | ||
Air Freight & Logistics — (0.5)% | ||
CH Robinson Worldwide, Inc. | (7 ) | (569 ) |
Expeditors International of Washington, Inc. | (5 ) | (598 ) |
(1,167 ) | ||
Automobile Components — (0.2)% | ||
Autoliv, Inc. (Sweden) | (2 ) | (206 ) |
BorgWarner, Inc. | (5 ) | (172 ) |
Phinia, Inc. | — | — |
(378 ) | ||
Automobiles — (0.6)% | ||
Ford Motor Co. | (90 ) | (880 ) |
General Motors Co. | (14 ) | (385 ) |
Harley-Davidson, Inc. | (3 ) | (77 ) |
(1,342 ) | ||
Banks — (1.6)% | ||
Citizens Financial Group, Inc. | (24 ) | (564 ) |
Comerica, Inc. | (5 ) | (212 ) |
Huntington Bancshares, Inc. | (119 ) | (1,145 ) |
M&T Bank Corp. | (5 ) | (555 ) |
PNC Financial Services Group, Inc. (The) | (9 ) | (1,073 ) |
(3,549 ) | ||
Beverages — (0.6)% | ||
Brown-Forman Corp., Class B | (4 ) | (224 ) |
Molson Coors Beverage Co., Class B | (20 ) | (1,181 ) |
(1,405 ) | ||
Biotechnology — (1.8)% | ||
Amgen, Inc. | (6 ) | (1,525 ) |
Gilead Sciences, Inc. | (20 ) | (1,541 ) |
Moderna, Inc. * | (13 ) | (1,020 ) |
(4,086 ) | ||
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 9 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Positions — continued | ||
Common Stocks — continued | ||
Broadline Retail — (0.8)% | ||
eBay, Inc. | (43 ) | (1,677 ) |
Building Products — (0.7)% | ||
Allegion plc | (2 ) | (165 ) |
Johnson Controls International plc | (25 ) | (1,218 ) |
Masco Corp. | (1 ) | (61 ) |
(1,444 ) | ||
Capital Markets — (3.9)% | ||
Bank of New York Mellon Corp. (The) | (22 ) | (928 ) |
BlackRock, Inc. | (1 ) | (626 ) |
FactSet Research Systems, Inc. | (3 ) | (1,182 ) |
Franklin Resources, Inc. | (41 ) | (933 ) |
Goldman Sachs Group, Inc. (The) | (3 ) | (977 ) |
LPL Financial Holdings, Inc. | (4 ) | (835 ) |
MSCI, Inc. | (1 ) | (650 ) |
Nasdaq, Inc. | (30 ) | (1,502 ) |
Northern Trust Corp. | (3 ) | (195 ) |
T. Rowe Price Group, Inc. | (10 ) | (878 ) |
(8,706 ) | ||
Chemicals — (0.1)% | ||
Westlake Corp. | (2 ) | (190 ) |
Commercial Services & Supplies — (0.1)% | ||
Waste Management, Inc. | (1 ) | (171 ) |
Communications Equipment — (2.7)% | ||
Cisco Systems, Inc. | (74 ) | (3,865 ) |
Juniper Networks, Inc. | (78 ) | (2,104 ) |
(5,969 ) | ||
Consumer Finance — (1.1)% | ||
American Express Co. | (3 ) | (517 ) |
Discover Financial Services | (4 ) | (311 ) |
Synchrony Financial | (57 ) | (1,602 ) |
(2,430 ) | ||
Consumer Staples Distribution & Retail — (3.6)% | ||
Dollar General Corp. | (3 ) | (323 ) |
Kroger Co. (The) | (71 ) | (3,196 ) |
Sysco Corp. | (35 ) | (2,343 ) |
Walgreens Boots Alliance, Inc. | (40 ) | (851 ) |
Walmart, Inc. | (8 ) | (1,265 ) |
(7,978 ) | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
Containers & Packaging — (0.5)% | ||
Ball Corp. | (3 ) | (134 ) |
International Paper Co. | (31 ) | (1,061 ) |
(1,195 ) | ||
Diversified Telecommunication Services — (0.9)% | ||
AT&T, Inc. | (45 ) | (691 ) |
Verizon Communications, Inc. | (37 ) | (1,304 ) |
(1,995 ) | ||
Electric Utilities — (3.0)% | ||
American Electric Power Co., Inc. | (19 ) | (1,456 ) |
Edison International | (17 ) | (1,073 ) |
Eversource Energy | (21 ) | (1,110 ) |
Exelon Corp. | (19 ) | (720 ) |
FirstEnergy Corp. | (40 ) | (1,424 ) |
Xcel Energy, Inc. | (15 ) | (902 ) |
(6,685 ) | ||
Electrical Equipment — (0.9)% | ||
Acuity Brands, Inc. | (9 ) | (1,501 ) |
Hubbell, Inc. | (1 ) | (229 ) |
Rockwell Automation, Inc. | (1 ) | (169 ) |
(1,899 ) | ||
Energy Equipment & Services — (0.3)% | ||
Halliburton Co. | (17 ) | (680 ) |
Entertainment — (0.8)% | ||
Electronic Arts, Inc. | (15 ) | (1,858 ) |
Financial Services — (2.9)% | ||
Corebridge Financial, Inc. | (11 ) | (223 ) |
Global Payments, Inc. | (8 ) | (850 ) |
PayPal Holdings, Inc. * | (23 ) | (1,204 ) |
Toast, Inc., Class A * | (30 ) | (476 ) |
Voya Financial, Inc. | (27 ) | (1,784 ) |
Western Union Co. (The) | (165 ) | (1,868 ) |
(6,405 ) | ||
Food Products — (1.5)% | ||
Campbell Soup Co. | (29 ) | (1,179 ) |
General Mills, Inc. | (17 ) | (1,111 ) |
Kraft Heinz Co. (The) | (33 ) | (1,033 ) |
(3,323 ) | ||
Gas Utilities — (0.3)% | ||
National Fuel Gas Co. | (13 ) | (662 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. Morgan Specialty Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Positions — continued | ||
Common Stocks — continued | ||
Ground Transportation — (0.4)% | ||
Heartland Express, Inc. | (24 ) | (281 ) |
JB Hunt Transport Services, Inc. | (2 ) | (270 ) |
Werner Enterprises, Inc. | (8 ) | (287 ) |
(838 ) | ||
Health Care Equipment & Supplies — (0.4)% | ||
Abbott Laboratories | (2 ) | (219 ) |
Dentsply Sirona, Inc. | (12 ) | (358 ) |
Medtronic plc | (5 ) | (317 ) |
(894 ) | ||
Health Care Providers & Services — (0.7)% | ||
Henry Schein, Inc. * | (12 ) | (785 ) |
Quest Diagnostics, Inc. | (6 ) | (746 ) |
(1,531 ) | ||
Hotels, Restaurants & Leisure — (1.1)% | ||
Carnival Corp. * | (29 ) | (334 ) |
Starbucks Corp. | (22 ) | (2,022 ) |
(2,356 ) | ||
Household Durables — (0.5)% | ||
DR Horton, Inc. | (3 ) | (331 ) |
Mohawk Industries, Inc. * | (4 ) | (275 ) |
NVR, Inc. * | — | (81 ) |
PulteGroup, Inc. | (6 ) | (443 ) |
(1,130 ) | ||
Industrial Conglomerates — (0.5)% | ||
3M Co. | (13 ) | (1,221 ) |
Insurance — (4.0)% | ||
Aflac, Inc. | (15 ) | (1,141 ) |
Allstate Corp. (The) | (17 ) | (2,152 ) |
American International Group, Inc. | (7 ) | (420 ) |
Aon plc, Class A | (3 ) | (792 ) |
Arthur J Gallagher & Co. | (3 ) | (801 ) |
Hartford Financial Services Group, Inc. (The) | (3 ) | (230 ) |
Kinsale Capital Group, Inc. | (1 ) | (297 ) |
Marsh & McLennan Cos., Inc. | (3 ) | (599 ) |
Principal Financial Group, Inc. | (13 ) | (894 ) |
Prudential Financial, Inc. | (1 ) | (94 ) |
Ryan Specialty Holdings, Inc. * | (15 ) | (636 ) |
WR Berkley Corp. | (13 ) | (898 ) |
(8,954 ) | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
Interactive Media & Services — (0.6)% | ||
Alphabet, Inc., Class C * | (5 ) | (669 ) |
Snap, Inc., Class A * | (36 ) | (358 ) |
ZoomInfo Technologies, Inc. * | (19 ) | (247 ) |
(1,274 ) | ||
IT Services — (1.4)% | ||
Accenture plc, Class A | (2 ) | (551 ) |
DXC Technology Co. * | (12 ) | (254 ) |
EPAM Systems, Inc. * | (4 ) | (777 ) |
Infosys Ltd. (India) | (25 ) | (416 ) |
International Business Machines Corp. | (6 ) | (850 ) |
Shopify, Inc. (Canada), Class A * | (7 ) | (318 ) |
(3,166 ) | ||
Life Sciences Tools & Services — (1.4)% | ||
Agilent Technologies, Inc. | (7 ) | (715 ) |
Bruker Corp. | (9 ) | (491 ) |
Illumina, Inc. * | (4 ) | (436 ) |
Mettler-Toledo International, Inc. * | — | (424 ) |
Waters Corp. * | (4 ) | (991 ) |
(3,057 ) | ||
Machinery — (3.2)% | ||
Caterpillar, Inc. | (1 ) | (273 ) |
Donaldson Co., Inc. | (32 ) | (1,823 ) |
IDEX Corp. | (5 ) | (984 ) |
Illinois Tool Works, Inc. | (10 ) | (2,126 ) |
PACCAR, Inc. | (8 ) | (681 ) |
Stanley Black & Decker, Inc. | (14 ) | (1,178 ) |
(7,065 ) | ||
Media — (3.4)% | ||
Fox Corp., Class A | (90 ) | (2,747 ) |
Interpublic Group of Cos., Inc. (The) | (40 ) | (1,129 ) |
Omnicom Group, Inc. | (26 ) | (1,988 ) |
Paramount Global, Class B | (149 ) | (1,618 ) |
(7,482 ) | ||
Metals & Mining — (0.1)% | ||
Freeport-McMoRan, Inc. | (5 ) | (167 ) |
Office REITs — (0.2)% | ||
Alexandria Real Estate Equities, Inc. | (2 ) | (184 ) |
Orion Office REIT, Inc. | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 11 |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Positions — continued | ||
Common Stocks — continued | ||
Office REITs — continued | ||
SL Green Realty Corp. | (5 ) | (157 ) |
Vornado Realty Trust | (9 ) | (169 ) |
(510 ) | ||
Oil, Gas & Consumable Fuels — (2.2)% | ||
APA Corp. | (10 ) | (384 ) |
Coterra Energy, Inc. | (23 ) | (620 ) |
Devon Energy Corp. | (9 ) | (407 ) |
Enbridge, Inc. (Canada) | (26 ) | (845 ) |
Kinder Morgan, Inc. | (38 ) | (622 ) |
Marathon Petroleum Corp. | (2 ) | (342 ) |
ONEOK, Inc. | (5 ) | (329 ) |
Valero Energy Corp. | (5 ) | (623 ) |
Williams Cos., Inc. (The) | (17 ) | (597 ) |
(4,769 ) | ||
Passenger Airlines — (0.6)% | ||
American Airlines Group, Inc. * | (62 ) | (687 ) |
Delta Air Lines, Inc. | (6 ) | (200 ) |
Southwest Airlines Co. | (20 ) | (444 ) |
(1,331 ) | ||
Pharmaceuticals — (2.7)% | ||
Catalent, Inc. * | (7 ) | (238 ) |
Eli Lilly & Co. | (3 ) | (1,914 ) |
Johnson & Johnson | (6 ) | (843 ) |
Merck & Co., Inc. | (13 ) | (1,351 ) |
Pfizer, Inc. | (39 ) | (1,192 ) |
Zoetis, Inc. | (3 ) | (427 ) |
(5,965 ) | ||
Professional Services — (2.2)% | ||
Automatic Data Processing, Inc. | (2 ) | (529 ) |
Ceridian HCM Holding, Inc. * | (20 ) | (1,276 ) |
Equifax, Inc. | (1 ) | (210 ) |
Paychex, Inc. | (9 ) | (1,024 ) |
Paycom Software, Inc. | (5 ) | (1,099 ) |
Robert Half, Inc. | (8 ) | (605 ) |
Verisk Analytics, Inc. | (1 ) | (174 ) |
(4,917 ) | ||
Residential REITs — (0.1)% | ||
AvalonBay Communities, Inc. | — | (84 ) |
Equity LifeStyle Properties, Inc. | (3 ) | (184 ) |
(268 ) | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
Retail REITs — (0.9)% | ||
NNN REIT, Inc. | (13 ) | (480 ) |
Simon Property Group, Inc. | (15 ) | (1,595 ) |
(2,075 ) | ||
Semiconductors & Semiconductor Equipment — (8.4)% | ||
Applied Materials, Inc. | (36 ) | (4,772 ) |
Broadcom, Inc. | (5 ) | (4,676 ) |
Intel Corp. | (68 ) | (2,469 ) |
KLA Corp. | (4 ) | (1,785 ) |
Lam Research Corp. | (2 ) | (1,035 ) |
Microchip Technology, Inc. | (49 ) | (3,498 ) |
QUALCOMM, Inc. | (3 ) | (376 ) |
(18,611 ) | ||
Software — (0.5)% | ||
Palantir Technologies, Inc., Class A * | (25 ) | (367 ) |
UiPath, Inc., Class A * | (42 ) | (649 ) |
(1,016 ) | ||
Specialized REITs — (0.6)% | ||
Extra Space Storage, Inc. | (4 ) | (368 ) |
Iron Mountain, Inc. | (15 ) | (910 ) |
(1,278 ) | ||
Specialty Retail — (1.3)% | ||
CarMax, Inc. * | (4 ) | (219 ) |
Home Depot, Inc. (The) | (7 ) | (2,135 ) |
Williams-Sonoma, Inc. | (3 ) | (468 ) |
(2,822 ) | ||
Technology Hardware, Storage & Peripherals — (3.5)% | ||
Apple, Inc. | (14 ) | (2,377 ) |
Hewlett Packard Enterprise Co. | (194 ) | (2,982 ) |
NetApp, Inc. | (33 ) | (2,421 ) |
Xerox Holdings Corp. | (6 ) | (76 ) |
(7,856 ) | ||
Textiles, Apparel & Luxury Goods — (0.7)% | ||
NIKE, Inc., Class B | (12 ) | (1,249 ) |
VF Corp. | (20 ) | (289 ) |
(1,538 ) | ||
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. Morgan Specialty Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short Positions — continued | ||
Common Stocks — continued | ||
Trading Companies & Distributors — (0.6)% | ||
Fastenal Co. | (24 ) | (1,371 ) |
Total Common Stocks (Proceeds $(180,341)) | (163,767 ) | |
Total Short Positions (Proceeds $(180,341)) | (163,767 ) | |
Total Investments — 26.5% (Cost $28,453) | 58,694 | |
Other Assets Less Liabilities — 73.5% | 162,796 | |
Net Assets — 100.0% | 221,490 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ADR | American Depositary Receipt |
NYRS | New York Registry Shares |
REIT | Real Estate Investment Trust |
^ | Amount rounds to less than 0.1% of net assets. | |
* | Non-income producing security. | |
(a) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $29,972 and $161,903, respectively. | |
(b) | The rate shown is the effective yield as of October 31, 2023. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of October 31, 2023. | |
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
S&P 500 E-Mini Index | (13 ) | 12/15/2023 | USD | (2,738 ) | 198 |
Abbreviations | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 13 |
STATEMENT OF ASSETS AND LIABILITIES
AS OF October 31, 2023
(Amounts in thousands, except per share amounts)
JPMorgan Research Market Neutral Fund | |
ASSETS: | |
Investments in non-affiliates, at value | $212,225 |
Investments in affiliates, at value | 10,236 |
Deposits at broker for futures contracts | 424 |
Deposits at broker for securities sold short | 161,903 |
Receivables: | |
Investment securities sold | 1,320 |
Fund shares sold | 146 |
Interest from non-affiliates | 669 |
Dividends from non-affiliates | 99 |
Dividends from affiliates | 76 |
Total Assets | 387,098 |
LIABILITIES: | |
Payables: | |
Securities sold short, at value | 163,767 |
Dividend expense to non-affiliates on securities sold short | 169 |
Investment securities purchased | 996 |
Fund shares redeemed | 468 |
Variation margin on futures contracts | 22 |
Accrued liabilities: | |
Investment advisory fees | 50 |
Administration fees | 6 |
Distribution fees | 6 |
Service fees | 45 |
Custodian and accounting fees | 7 |
Trustees’ and Chief Compliance Officer’s fees | — (a) |
Other | 72 |
Total Liabilities | 165,608 |
Net Assets | $221,490 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. Morgan Specialty Funds | October 31, 2023 |
JPMorgan Research Market Neutral Fund | |
NET ASSETS: | |
Paid-in-Capital | $223,234 |
Total distributable earnings (loss) | (1,744 ) |
Total Net Assets | $221,490 |
Net Assets: | |
Class A | $22,702 |
Class C | 1,730 |
Class I | 197,058 |
Total | $221,490 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |
Class A | 1,702 |
Class C | 147 |
Class I | 13,751 |
Net Asset Value (a): | |
Class A — Redemption price per share | $13.33 |
Class C — Offering price per share (b) | 11.79 |
Class I — Offering and redemption price per share | 14.33 |
Class A maximum sales charge | 5.25 % |
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $14.07 |
Cost of investments in non-affiliates | $198,559 |
Cost of investments in affiliates | 10,235 |
Proceeds from securities sold short | 180,341 |
(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.
October 31, 2023 | J.P. Morgan Specialty Funds | 15 |
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023
(Amounts in thousands)
JPMorgan Research Market Neutral Fund | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $624 |
Interest income from non-affiliates on securities sold short | 5,936 |
Dividend income from non-affiliates | 1,817 |
Dividend income from affiliates | 1,277 |
Total investment income | 9,654 |
EXPENSES: | |
Investment advisory fees | 609 |
Administration fees | 131 |
Distribution fees: | |
Class A | 55 |
Class C | 12 |
Service fees: | |
Class A | 55 |
Class C | 4 |
Class I | 376 |
Custodian and accounting fees | 42 |
Professional fees | 74 |
Trustees’ and Chief Compliance Officer’s fees | 26 |
Printing and mailing costs | 36 |
Registration and filing fees | 62 |
Transfer agency fees (See Note 2.H.) | 8 |
Dividend expense to non-affiliates on securities sold short | 3,394 |
Other | 10 |
Total expenses | 4,894 |
Less fees waived | (291 ) |
Less expense reimbursements | (2 ) |
Net expenses | 4,601 |
Net investment income (loss) | 5,053 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | 1,748 |
Investments in affiliates | 5 |
Futures contracts | (182 ) |
Securities sold short | (3,997 ) |
Net realized gain (loss) | (2,426 ) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | 3,919 |
Investments in affiliates | (1 ) |
Futures contracts | 199 |
Securities sold short | 10,375 |
Change in net unrealized appreciation/depreciation | 14,492 |
Net realized/unrealized gains (losses) | 12,066 |
Change in net assets resulting from operations | $17,119 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. Morgan Specialty Funds | October 31, 2023 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Research Market Neutral Fund | ||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $5,053 | $(669 ) |
Net realized gain (loss) | (2,426 ) | 841 |
Change in net unrealized appreciation/depreciation | 14,492 | (3,440 ) |
Change in net assets resulting from operations | 17,119 | (3,268 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 46,025 | 69,424 |
NET ASSETS: | ||
Change in net assets | 63,144 | 66,156 |
Beginning of period | 158,346 | 92,190 |
End of period | $221,490 | $158,346 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 17 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund | ||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||
Class A | ||
Proceeds from shares issued | $7,679 | $8,418 |
Cost of shares redeemed | (7,025 ) | (4,824 ) |
Change in net assets resulting from Class A capital transactions | 654 | 3,594 |
Class C | ||
Proceeds from shares issued | 355 | 521 |
Cost of shares redeemed | (257 ) | (218 ) |
Change in net assets resulting from Class C capital transactions | 98 | 303 |
Class I | ||
Proceeds from shares issued | 144,273 | 119,488 |
Cost of shares redeemed | (99,000 ) | (53,961 ) |
Change in net assets resulting from Class I capital transactions | 45,273 | 65,527 |
Total change in net assets resulting from capital transactions | $46,025 | $69,424 |
SHARE TRANSACTIONS: | ||
Class A | ||
Issued | 609 | 683 |
Redeemed | (554 ) | (395 ) |
Change in Class A Shares | 55 | 288 |
Class C | ||
Issued | 33 | 48 |
Redeemed | (23 ) | (20 ) |
Change in Class C Shares | 10 | 28 |
Class I | ||
Issued | 10,434 | 9,115 |
Redeemed | (7,253 ) | (4,127 ) |
Change in Class I Shares | 3,181 | 4,988 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. Morgan Specialty Funds | October 31, 2023 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | |
JPMorgan Research Market Neutral Fund | |||||
Class A | |||||
Year Ended October 31, 2023 | $12.08 | $0.34 | $0.91 | $1.25 | $— |
Year Ended October 31, 2022 | 12.41 | (0.10 ) | (0.23 ) | (0.33 ) | — |
Year Ended October 31, 2021 | 13.01 | (0.21 ) | 0.52 | 0.31 | (0.91 ) |
Year Ended October 31, 2020 | 13.11 | (0.20 ) | 1.59 | 1.39 | (1.49 ) |
Year Ended October 31, 2019 | 14.29 | (0.04 ) | 0.31 | 0.27 | (1.45 ) |
Class C | |||||
Year Ended October 31, 2023 | 10.74 | 0.24 | 0.81 | 1.05 | — |
Year Ended October 31, 2022 | 11.09 | (0.14 ) | (0.21 ) | (0.35 ) | — |
Year Ended October 31, 2021 | 11.77 | (0.25 ) | 0.48 | 0.23 | (0.91 ) |
Year Ended October 31, 2020 | 12.06 | (0.23 ) | 1.43 | 1.20 | (1.49 ) |
Year Ended October 31, 2019 | 13.32 | (0.10 ) | 0.29 | 0.19 | (1.45 ) |
Class I | |||||
Year Ended October 31, 2023 | 12.96 | 0.40 | 0.97 | 1.37 | — |
Year Ended October 31, 2022 | 13.28 | (0.06 ) | (0.26 ) | (0.32 ) | — |
Year Ended October 31, 2021 | 13.82 | (0.20 ) | 0.57 | 0.37 | (0.91 ) |
Year Ended October 31, 2020 | 13.80 | (0.19 ) | 1.70 | 1.51 | (1.49 ) |
Year Ended October 31, 2019 | 14.93 | — (f) | 0.32 | 0.32 | (1.45 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | |
October 31, 2023 | October 31, 2022 | October 31, 2021 | October 31, 2020 | October 31, 2019 | |
Net expenses (excluding dividend and interest expense for securities sold short) | |||||
Class A | 0.91 % | 0.92 % | 0.93 % | 1.08 % | 1.22 % |
Class C | 1.41 | 1.41 | 1.43 | 1.60 | 1.73 |
Class I | 0.65 | 0.65 | 0.68 | 0.76 | 0.96 |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | |||||
Class A | 1.09 | 1.10 | 1.16 | 1.46 | 1.62 |
Class C | 1.58 | 1.60 | 1.67 | 1.95 | 2.09 |
Class I | 0.82 | 0.84 | 0.89 | 1.13 | 1.32 |
(e) | Interest expense on securities sold short is 0.16%. |
(f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. Morgan Specialty Funds | October 31, 2023 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses (including dividend expense for securities sold short)(c)(d) | Net investment income (loss) | Expenses without waivers and reimbursements (including dividend expense for securities sold short)(d) | Portfolio turnover rate (excluding securities sold short) | Portfolio turnover rate (including securities sold short) |
$13.33 | 10.35 % | $22,702 | 2.89 % | 2.65 % | 3.07 % | 92 % | 232 % |
12.08 | (2.66 ) | 19,898 | 2.77 | (0.86 ) | 2.95 | 100 | 252 |
12.41 | 2.72 | 16,867 | 2.99 (e) | (1.77 ) | 3.22 | 119 | 307 |
13.01 | 11.97 | 18,205 | 3.23 | (1.57 ) | 3.61 | 224 | 531 |
13.11 | 2.01 | 14,276 | 3.69 | (0.26 ) | 4.09 | 125 | 356 |
11.79 | 9.78 | 1,730 | 3.39 | 2.16 | 3.56 | 92 | 232 |
10.74 | (3.16 ) | 1,476 | 3.27 | (1.31 ) | 3.46 | 100 | 252 |
11.09 | 2.29 | 1,211 | 3.49 (e) | (2.25 ) | 3.73 | 119 | 307 |
11.77 | 11.36 | 1,949 | 3.75 | (2.00 ) | 4.10 | 224 | 531 |
12.06 | 1.52 | 3,731 | 4.20 | (0.74 ) | 4.56 | 125 | 356 |
14.33 | 10.57 | 197,058 | 2.60 | 2.95 | 2.77 | 92 | 232 |
12.96 | (2.41 ) | 136,972 | 2.45 | (0.48 ) | 2.64 | 100 | 252 |
13.28 | 3.01 | 74,112 | 2.74 (e) | (1.50 ) | 2.95 | 119 | 307 |
13.82 | 12.26 | 121,285 | 2.91 | (1.42 ) | 3.28 | 224 | 531 |
13.80 | 2.27 | 27,694 | 3.43 | 0.01 | 3.79 | 125 | 356 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Specialty Funds | 21 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023
(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 is a separate fund of the Trust (the "Fund") covered by this report:
Classes Offered | Diversification Classification | |
JPMorgan Research Market Neutral Fund | Class A, Class C and Class I | Diversified |
The investment objective of the 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 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund's prospectus. 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 Fund.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
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 Fund 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 Fund. 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.
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 NAV of the Fund is 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.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
22 | J.P. Morgan Specialty Funds | October 31, 2023 |
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | $170,481 | $— | $— | $170,481 |
Short-Term Investments | ||||
Investment Companies | 10,236 | — | — | 10,236 |
U.S. Treasury Obligations | — | 41,744 | — | 41,744 |
Total Short-Term Investments | 10,236 | 41,744 | — | 51,980 |
Total Investments in Securities | $180,717 | $41,744 | $— | $222,461 |
Liabilities | ||||
Common Stocks | $(163,767 ) | $— | $— | $(163,767 ) |
Total Liabilities for Securities Sold Short | $(163,767 ) | $— | $— | $(163,767 ) |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $198 | $— | $— | $198 |
B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Fund.
As of October 31, 2023, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Fund is authorized to engage in securities lending in order to generate additional income. The Fund is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Fund, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Fund retains the interest earned on cash collateral investments but is 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 Fund). Upon termination of a loan, the Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans 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 Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of collateral investments are disclosed on the SOI.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that
October 31, 2023 | J.P. Morgan Specialty Funds | 23 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending 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 Fund from losses resulting from a borrower’s failure to return a loaned security.
The Fund did not lend out any securities during the year ended October 31, 2023.
D. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $30,961 | $301,413 | $322,142 | $5 | $(1 ) | $10,236 | 10,232 | $1,277 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
E. Futures Contracts —The 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 Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Fund to 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 Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
The table below discloses the volume of the futures contracts activity during the year ended October 31, 2023:
Futures Contracts: | |
Average Notional Balance Short | $(4,921 ) |
Ending Notional Balance Short | (2,738 ) |
24 | J.P. Morgan Specialty Funds | October 31, 2023 |
F. Short Sales— The Fund engaged in short sales as part of their normal investment activities. In a short sale, the Fund sells 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 Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as Deposits at broker for securities sold short, while cash collateral deposited at the Fund's custodian for the benefit of the broker is recorded as Restricted cash for securities sold short on the Statement of Assets and Liabilities. Securities segregated as collateral are denoted on the SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statement of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statement of Operations as Dividend expense to non-affiliates on securities sold short. The Fund is obligated to pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statement of Operations. Liabilities for securities sold short are reported at market value on the Statement of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.
As of October 31, 2023, the Fund had outstanding short sales as listed on its SOI.
G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income 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 the Fund first learns of the dividend.
To the extent such information is publicly available, the Fund records 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 Fund adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
H. Allocation of Income and Expenses— Expenses directly attributable to the Fund are charged directly to the Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Fund for the year ended October 31, 2023 are as follows:
Class A | Class C | Class I | Total | |
Transfer agency fees | $3 | $— (a) | $5 | $8 |
(a) | Amount rounds to less than one thousand. |
October 31, 2023 | J.P. Morgan Specialty Funds | 25 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
I. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund's tax positions for all open tax years and has determined that as of October 31, 2023, no liability for Federal income tax is required in the Fund's financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
J. 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 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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— (a) | $44 | $(44 ) |
(a) | Amount rounds to less than one thousand. |
The reclassifications for the Fund relate primarily to tax adjustments on certain investments.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of the Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.35% of the Fund's average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Fund's average daily net assets, plus 0.050% of the Fund's average daily net assets between $10 billion and $20 billion, plus 0.025% of the Fund's average daily net assets between $20 billion and $25 billion, plus 0.010% of the Fund's average daily net assets in excess of $25 billion. For the year ended October 31, 2023, the effective rate was 0.075% of the Fund's average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Fund's sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Fund's principal underwriter and promotes and arranges for the sale of the Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. Class I Shares of the Fund do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | |
0.25 % | 0.75 % |
26 | J.P. Morgan Specialty Funds | October 31, 2023 |
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 year ended October 31, 2023, JPMDS retained the following:
Front-End Sales Charge | CDSC | |
$2 | $— |
D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | |
0.25 % | 0.25 % | 0.25 % |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Fund. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Fund to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Fund’s respective average daily net assets as shown in the table below:
Class A | Class C | Class I | |
0.95 % | 1.45 % | 0.69 % |
The expense limitation agreement was in effect for the year ended October 31, 2023 and are in place until at least February 29, 2024.
For the year ended October 31, 2023, the Fund's service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | |
$132 | $88 | $8 | $228 | |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund's investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
The amount of these waivers resulting from investments in these money market funds for the year ended October 31, 2023 was $63.
JPMIM voluntarily agreed to reimburse the Fund for the Trustee Fees paid to one of the interested Trustees. For the year ended October 31, 2023 the amount of this reimbursement was $2.
October 31, 2023 | J.P. Morgan Specialty Funds | 27 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule 38a-1 under the 1940 Act. The 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 Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended October 31, 2023, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended October 31, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |
$181,256 | $124,646 | $198,282 | $132,723 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at October 31, 2023 were as follows:
Aggregate Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$37,608 | $33,522 | $12,239 | $21,283 |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to certain derivatives and wash sale loss deferrals.
As of October 31, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$4,822 | $(27,749 ) | $21,242 |
The cumulative timing differences primarily consist of tax adjustments on certain derivatives and wash sale loss deferrals.
At October 31, 2023, the Fund had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character | |
Short-Term | |
$27,749 * |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
28 | J.P. Morgan Specialty Funds | October 31, 2023 |
6. Borrowings
The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II ("JPM II") and may be relied upon by the Fund because the Fund 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 Fund had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended October 31, 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 Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 29, 2024.
The Fund had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 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 8, 2023, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Fund did not utilize the Credit Facility during the year ended October 31, 2023.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
As of October 31, 2023, the Fund had three individual shareholders and/or non-affiliated omnibus accounts each owning more than 10% of the Fund's outstanding shares, and collectively owning 59.1% of the Fund's outstanding shares.
Significant shareholder transactions by these shareholders may impact the Fund's performance and liquidity.
As of October 31, 2023, the Fund pledged a significant portion of its assets to Citigroup Global Markets, Inc. for securities sold short. For the Fund, deposits at broker for securities sold short, as noted on the Statement of Assets and Liabilities, are held at Citigroup Global Markets, Inc.
LIBOR was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector actors have worked to establish 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 which may affect the value, volatility, liquidity or return on certain of the Fund's loans, notes, derivatives and other instruments or investments comprising some or all of the 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 the Fund's investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the 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 the Fund and its investments.
October 31, 2023 | J.P. Morgan Specialty Funds | 29 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The Fund is subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies throughout the world, including those in which the Fund invests. The effects of any future pandemic or other global event to business and market conditions may have a significant negative impact on the performance of the Fund's investments, increase the Fund's volatility, exacerbate other pre-existing political, social and economic risks to the Fund 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 or other global event that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could have a significant negative impact on the Fund's investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact the Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
30 | J.P. Morgan Specialty Funds | October 31, 2023 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and Shareholders of JPMorgan Research Market Neutral Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Research Market Neutral Fund (one of the funds constituting JPMorgan Trust I, referred to hereafter as the “Fund”) as of October 31, 2023, the related statement of operations for the year ended October 31, 2023, the statement of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2023 and the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
December 21, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
October 31, 2023 | J.P. Morgan Specialty Funds | 31 |
TRUSTEES
(Unaudited)
The Fund's Statement of Additional Information includes additional information about the Fund's Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 170 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 170 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 170 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 170 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 170 | None |
32 | J.P. Morgan Specialty Funds | October 31, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 170 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 170 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 170 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 170 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 170 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 170 | None |
October 31, 2023 | J.P. Morgan Specialty Funds | 33 |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 170 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 170 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 170 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 170 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 170 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board's current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (170 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
34 | J.P. Morgan Specialty Funds | October 31, 2023 |
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | |||
October 31, 2023 | J.P. Morgan Specialty Funds | 35 |
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Managing Director, J.P. Morgan Investment Management Inc. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
36 | J.P. Morgan Specialty Funds | October 31, 2023 |
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
October 31, 2023 | J.P. Morgan Specialty Funds | 37 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2023, and continued to hold your shares at the end of the reporting period, October 31, 2023.
Actual Expenses
For each Class of the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, 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 May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Research Market Neutral Fund | ||||
Class A | ||||
Actual | $1,000.00 | $1,046.30 | $15.11 | 2.93 % |
Hypothetical | 1,000.00 | 1,010.43 | 14.85 | 2.93 |
Class C | ||||
Actual | 1,000.00 | 1,044.30 | 17.62 | 3.42 |
Hypothetical | 1,000.00 | 1,007.96 | 17.31 | 3.42 |
Class I | ||||
Actual | 1,000.00 | 1,047.50 | 13.52 | 2.62 |
Hypothetical | 1,000.00 | 1,012.00 | 13.29 | 2.62 |
* | Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
38 | J.P. Morgan Specialty Funds | October 31, 2023 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The JPMorgan Research Market Neutral Fund (the “Fund”) 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 the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interests in the Fund. Pursuant to an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission, the Program permits the Fund 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 the Fund’s HLIM. There were no material changes to the Program during the Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the investments of the Fund into one of the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether the Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), as well as whether an HLIM should be established for the Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether the 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 the Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Fund during the Program Reporting Period.
October 31, 2023 | J.P. Morgan Specialty Funds | 39 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and at each meeting considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, at which the Trustees considered the continuation of the investment advisory agreement for the Fund, whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to the Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Fund received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Fund’s performance as compared to the performance of its peers and benchmark and analyses by the Adviser of the Fund’s performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received, and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Fund’s objectives, benchmarks, and peers. Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Fund, and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for
their consideration of the Advisory Agreement. The Trustees also discussed the Advisory Agreement with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Fund throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Fund under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
• The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund, including personnel changes, if any;
• The investment strategy for the Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for the Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Fund and in the financial industry generally;
40 | J.P. Morgan Specialty Funds | October 31, 2023 |
• The overall reputation and capabilities of the Adviser and its affiliates;
• The commitment of the Adviser to provide high quality service to the Fund;
• Their overall confidence in the Adviser’s integrity; and
• The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to the Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Fund for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Fund’s distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Fund, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also
considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for the Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Fund. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Fund.
Economies of Scale
The Trustees considered the extent to which the Fund may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Fund and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Fund was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Fund has implemented contractual expense limitations and fee waivers (“Fee Caps”), which allow the Fund’s shareholders to share potential economies of scale from the Fund’s inception and that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Fund of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Fund. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Fund, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for the Fund, including Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Fund at competitive levels, was reasonable. The Trustees concluded that the Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and from the Adviser’s reinvestment in its operations to serve the Fund and its shareholders. The
October 31, 2023 | J.P. Morgan Specialty Funds | 41 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Fund.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about the Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Fund in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Fund within a performance universe comprised of funds’ selected share classes with the same Broadridge investment classification and objective (the “Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in the Fund’s Universe, and noted that Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Fund’s performance against its benchmark and considered the performance information provided for the Fund at regular Board meetings by the Adviser and the Trustees’ independent consultant, and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The
Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Research Market Neutral Fund’s performance for Class A shares was in the fourth, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for Class I shares was in the fifth, third and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported the Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Fund, and noted that Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Trustees considered the Fee Caps currently in place for the Fund, the net advisory fee rate and net expense ratio for each share class, taking into account any waivers and/or reimbursements, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile of the Universe. Broadridge did not calculate quintile rankings for the Peer Group for Class A shares of this Fund due to the limited number of funds in the Peer Group. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the first quintile of both the Peer Group and Universe.
42 | J.P. Morgan Specialty Funds | October 31, 2023 |
After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
October 31, 2023 | J.P. Morgan Specialty Funds | 43 |
Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
○Social Security number and account balances | |
○transaction history and account transactions | |
○checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don't share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don't share |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com |
Page 2
Who we are | |
Who is providing this notice? | J.P. Morgan Funds |
What we do | |
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you: |
○open an account or provide contact information | |
○give us your account information or pay us by check | |
○make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: |
○sharing for affiliates’ everyday business purposes – information about your creditworthiness | |
○affiliates from using your information to market to you | |
○sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
○J.P. Morgan Funds doesn’t jointly market. | |
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 Fund.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Fund's Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The Fund's quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and delivery of shareholder reports of mutual funds and ETFs, requiring them to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
A description of the Fund's policies and procedures with respect to the disclosure of the Fund's holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Fund's website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund's voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund's website at www.jpmorganfunds.com no later than August 31 of each year. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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. October 2023.
AN-SPEC-1023
Annual Report
J.P. Morgan International Equity Funds
October 31, 2023
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) |
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 |
CONTENTS
1 | |
2 | |
3 | |
6 | |
10 | |
13 | |
16 | |
19 | |
22 | |
26 | |
53 | |
74 | |
92 | |
115 | |
116 | |
120 | |
122 | |
126 | |
127 | |
132 | |
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
December 14, 2023 (Unaudited)
Dear Shareholder,
While the U.S. economy generally performed well this year, global economic growth has been uneven in the face of elevated interest rates and heightened geopolitical tensions. Equity markets largely outperformed fixed income markets for the twelve months ended October 31, 2023, though rising yields lifted investor demand for certain types of bonds.
 | "The strong performance of financial markets in 2023 created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.” — Brian S. Shlissel |
Inflationary pressures have receded sufficiently so far that the U.S. Federal Reserve declined to raise interest rates since September 2023 and signaled it may reduce rates three times in 2024. Both the European Central Bank and the Bank of England also declined to raise interest rates in the third quarter of 2023. Financial markets largely responded positively to the central banks’ policy stances, though the view that interest rates could remain “higher for longer” appeared to temper investor optimism.
Overall, corporate earnings and revenues within developed markets generally continued to grow through the first three quarters of 2023, though certain surveys indicated many businesses anticipate demand to slow next year. Emerging markets experienced a wider dispersion in economic performance and corporate results, partly due to slower economic growth in China, post-pandemic changes to global supply chains and elevated debt servicing costs.
While some assert that the risk of economic recession has receded in 2023, the risk remains. China’s struggling property sector could further undermine economic growth and spill over to certain commodity exporting nations. Additionally, there is no clear timing with regard to the resolution of the war in Ukraine, which continues to impact global energy and grain supplies. The Israel-Hamas conflict has the potential to both widen militarily and to impact international trade and prices for energy and food. However, financial markets have generally continued to function without major disruptions during the period.
The strong performance of financial markets has created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.
Our suite of investment solutions seeks to provide investors with the ability to build durable portfolios that meet their financial goals, regardless of macroeconomic and geopolitical uncertainties.
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
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
October 31, 2023 | J.P. Morgan International Equity Funds | 1 |
J.P. Morgan International Equity Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
Equity markets continued to outperform bond markets during the period, generating positive returns largely due to gains made during the first half of 2023. Following a surge in U.S. equity prices, investors largely sought lower equity valuations in international markets in the second half of the period.
Overall, equities in international developed markets outperformed both emerging market and U.S. equities. Growth stocks and large capitalization stocks largely outperformed value stocks and mid cap and small cap stocks. Within fixed income markets, emerging markets debt and lower-rated bonds in developed markets generally outperformed U.S. Treasury bonds.
While the U.S. Federal Reserve, the European Central Bank and The Bank of England continued to raise interest rates at regular intervals through the first half of 2023, declining inflationary pressures allowed all three central banks to withhold further increases at the end of the reporting period.
Corporate earnings were generally better-than-expected for most of the period but results for the third quarter of 2023 showed some slowing in earnings and revenue growth. Tight labor markets in the U.S. eased somewhat in the final months of the period and the jobless rate rose to 3.8% in October 2023, which raised investor expectations that inflation would continue to slow.
Global energy prices largely fell during the period amid slowing demand from China and leading industrialized nations. Crude oil prices spiked briefly in September 2023 when Saudi Arabia and Russia extended production cuts and again in early October at the outbreak of the Israel-Hamas conflict. However, global petroleum prices receded by the end of the period as economic data, including U.S. gasoline consumption, continued to indicate slowing global demand.
Notably, financial sector stocks were roiled by the collapse of Silicon Valley Bank in late March 2023, followed closely by the failures of Signature Bank and Credit Suisse. In each case, government regulators moved to prevent the erosion of consumer and investor confidence in the banking system.
For the twelve months ended October 31, 2023, the MSCI EAFE Index returned 15.01%, the MSCI Emerging Markets Index returned 11.26% and the S&P 500 Index returned 10.14%.
2 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Developed International Value Fund(formerly known as JPMorgan International Value Fund)1
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class L Shares) * | 21.73% |
MSCI EAFE Value Index (net total return) | 18.11% |
Net Assets as of 10/31/2023 (In Thousands) | $459,259 |
INVESTMENT OBJECTIVE **
The JPMorgan Developed 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 twelve months ended October 31, 2023.
The Fund’s overweight position in the banks sector and its security selection in the capital goods sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the insurance sector and the automobiles & components 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 Europe, excluding the U.K. and the Pacific, excluding Japan, were the smallest contributors and no regions detracted from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in British American Tobacco PLC and Softbank Group Corp., and its overweight position in Centrica PLC. Shares of British American Tobacco, a U.K. tobacco and nicotine products manufacturer not held in the Fund, fell amid increased regulatory efforts in the U.S. and
U.K. to reduce smoking and nicotine use. Shares of Softbank Group, a Japanese investment company not held in the Fund, fell after the company reported a loss for its fiscal third quarter. Shares of Centrica, a U.K. energy utility, rose after the company reported strong profit growth for the first half of the year.
Leading individual detractors from relative performance included the Fund’s underweight positions in SAP SE and Enel SpA, and its overweight position in Roche Holding AG. Shares of SAP, a German applications software provider not held in the Fund, rose after the company reported better-than-expected results for the period. Shares of Enel, an Italian electric utility not held in the Fund, rose after the company reported earnings and revenue growth during the period. Roche Holdings, a Swiss pharmaceutical and diagnostics company, fell after the company reported results that were in line with analysts’ estimates and issued a weaker-than-expected earnings forecast.
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 were both attractively valued and fundamentally sound. As a result of this process, the Fund’s largest overweight positions relative to the Benchmark during the period were in the banks and energy sectors, while the largest underweight positions were in the utilities sector and the food, beverage and tobacco sector.
October 31, 2023 | J.P. Morgan International Equity Funds | 3 |
JPMorgan Developed International Value Fund(formerly known as JPMorgan International Value Fund)1
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
1
Effective September 13, 2023, JPMorgan International Value Fund changed its name to JPMorgan Developed International Value Fund.
*
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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Shell plc (Netherlands) | 3.2 % |
2. | Novartis AG (Registered) (Switzerland) | 2.7 |
3. | TotalEnergies SE (France) | 2.3 |
4. | HSBC Holdings plc (United Kingdom) | 2.1 |
5. | BHP Group Ltd. (Australia) | 1.9 |
6. | BP plc (United Kingdom) | 1.7 |
7. | Mitsubishi UFJ Financial Group, Inc. (Japan) | 1.5 |
8. | Allianz SE (Registered) (Germany) | 1.4 |
9. | UBS Group AG (Registered) (Switzerland) | 1.3 |
10. | GSK plc | 1.2 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Japan | 21.7% |
United Kingdom | 12.0 |
France | 10.6 |
Germany | 9.3 |
Switzerland | 6.2 |
Netherlands | 5.3 |
Australia | 5.1 |
Italy | 4.8 |
United States | 4.1 |
Spain | 3.4 |
Norway | 2.4 |
Sweden | 2.1 |
Singapore | 1.8 |
Finland | 1.5 |
Denmark | 1.3 |
Others (each less than 1.0%) | 3.7 |
Short-Term Investments | 4.7 |
4 | J.P. Morgan International Equity Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | September 28, 2001 | |||
With Sales Charge * | 14.96 % | 2.68 % | 0.87 % | |
Without Sales Charge | 21.38 | 3.79 | 1.41 | |
CLASS C SHARES | July 11, 2006 | |||
With CDSC ** | 19.79 | 3.27 | 0.99 | |
Without CDSC | 20.79 | 3.27 | 0.99 | |
CLASS I SHARES | September 10, 2001 | 21.67 | 4.04 | 1.67 |
CLASS L SHARES | November 4, 1993 | 21.73 | 4.14 | 1.78 |
CLASS R2 SHARES | November 3, 2008 | 21.06 | 3.49 | 1.12 |
CLASS R5 SHARES | September 9, 2016 | 21.79 | 4.14 | 1.78 |
CLASS R6 SHARES | November 30, 2010 | 21.89 | 4.26 | 1.91 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 Developed International Value Fund and the MSCI EAFE Value Index (net total return) from October 31, 2013 to October 31, 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.
October 31, 2023 | J.P. Morgan International Equity Funds | 5 |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class L Shares) * | 10.35% |
MSCI Emerging Markets Index (net total return) | 10.80% |
Net Assets as of 10/31/2023 (In Thousands) | $7,080,714 |
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares underperformed the MSCI Emerging Markets Index (the “Benchmark”) for the twelve months ended October 31, 2023.
The Fund’s security selection in the information technology and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the communication services sector and its underweight position in the materials sector were leading contributors to relative performance.
By country, the Fund’s security selection in China and its overweight position and security selection in India were leading detractors from performance relative to the Benchmark, while the Fund’s underweight position in Saudi Arabia and its security selection in Taiwan were leading contributors to relative performance.
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 HDFC Bank Ltd. Shares of EPAM Systems, a global provider of software development and digital platform services that partly operates from Belarus, fell after the company lowered its earnings forecast amid slowing demand for its products. Shares of JD.com, a Chinese e-commerce provider, fell after the company reported slowing growth in sales. Shares of HDFC Bank, an Indian financial services provider, fell after the
company said its planned merger with HDFC Ltd. would lower profit margins and increase its ratio of non-performing loans.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in NU Holdings Ltd. and MercadoLibre Inc., and its overweight position in Taiwan Semiconductor Manufacturing Co. Shares of NU Holdings, a Brazilian digital financial services provider, rose after the company reported growth in earnings and revenue for the second quarter of 2023. Shares of MercadoLibre, an e-commerce provider based in Uruguay, rose after reporting consecutive quarters of surging sales and higher-than-expected earnings. Shares of Taiwan Semiconductor Manufacturing rose amid better-than-expected earnings for the third quarter of 2023, an upbeat earnings forecast for the fourth quarter of 2023 and investor expectations that it would benefit from recently improved trade relations between the U.S. and China.
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 consumer staples sectors and financials 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
6 | J.P. Morgan International Equity Funds | October 31, 2023 |
*
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.
period were in India and Argentina and its largest relative underweight allocations were in Saudi Arabia and South Korea.
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 7.4 % |
2. | Samsung Electronics Co. Ltd. (South Korea) | 6.5 |
3. | HDFC Bank Ltd. (India) | 5.4 |
4. | Tencent Holdings Ltd. (China) | 4.6 |
5. | NU Holdings Ltd., Class A (Brazil) | 2.9 |
6. | AIA Group Ltd. (Hong Kong) | 2.1 |
7. | MercadoLibre, Inc. (Brazil) | 2.1 |
8. | Yum China Holdings, Inc. (China) | 2.1 |
9. | WuXi AppTec Co. Ltd., Class A (China) | 1.9 |
10. | Wal-Mart de Mexico SAB de CV (Mexico) | 1.9 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
China | 27.6% |
India | 16.2 |
Taiwan | 12.3 |
Brazil | 9.7 |
South Korea | 8.5 |
Hong Kong | 4.1 |
South Africa | 3.9 |
United States | 3.6 |
Indonesia | 3.5 |
Mexico | 3.4 |
Portugal | 1.5 |
Spain | 1.5 |
Turkey | 1.2 |
Panama | 1.2 |
Macau | 1.1 |
Short-Term Investments | 0.7 |
October 31, 2023 | J.P. Morgan International Equity Funds | 7 |
JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | September 28, 2001 | |||
With Sales Charge * | 4.20 % | 1.76 % | 1.47 % | |
Without Sales Charge | 9.96 | 2.86 | 2.02 | |
CLASS C SHARES | February 28, 2006 | |||
With CDSC ** | 8.42 | 2.35 | 1.61 | |
Without CDSC | 9.42 | 2.35 | 1.61 | |
CLASS I SHARES | September 10, 2001 | 10.29 | 3.12 | 2.28 |
CLASS L SHARES | November 15, 1993 | 10.35 | 3.22 | 2.40 |
CLASS R2 SHARES | July 31, 2017 | 9.66 | 2.55 | 1.80 |
CLASS R3 SHARES | July 31, 2017 | 9.91 | 2.81 | 1.99 |
CLASS R4 SHARES | July 31, 2017 | 10.21 | 3.07 | 2.24 |
CLASS R5 SHARES | September 9, 2016 | 10.37 | 3.22 | 2.40 |
CLASS R6 SHARES | December 23, 2013 | 10.46 | 3.33 | 2.50 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
8 | J.P. Morgan International Equity Funds | October 31, 2023 |
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.
October 31, 2023 | J.P. Morgan International Equity Funds | 9 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class R6 Shares) * | 11.29% |
MSCI Emerging Markets Index (net total return) | 10.80% |
Net Assets as of 10/31/2023 (In Thousands) | $1,700,331 |
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 twelve months ended October 31, 2023.
By sector, the Fund’s security selection in the materials and utilities sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrials and consumer discretionary sectors was a leading detractor from relative performance.
By country, the Fund’s security selection in Taiwan and South Korea was a leading contributor to relative performance, while the Fund’s security selection in China and Mexico was a leading detractor to relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Wiwynn Corp. and Accton Technology Corp. and its underweight position in Adani Total Gas Ltd. Shares of Wiwynn, a Taiwanese manufacturer of data servers and storage systems, rose amid increased global demand for the company’s artificial intelligence technologies. Shares of Accton Technology, a Taiwanese maker of data networking and communications equipment, also benefitted from increased global demand for artificial intelligence technologies. Shares of Adani Total Gas, an Indian natural gas utility not held in the Fund, fell amid investor concerns about business practices across the parent Adani Group of companies.
Leading individual detractors from relative performance included the Fund’s overweight position in Lojas Renner SA and its underweight positions in Li Auto Inc. and Xiaomi Corp. Shares of Lojas Renner, a Brazilian department store chain, fell amid weakness in earnings and investor concerns about the company’s outlook for growth. Shares of Li Auto, a Chinese electric vehicle manufacturer, rose amid consecutive quarters of better-than-expected earnings and sales. Shares of Xiaomi, a Chinese maker of smartphones and related hardware and software that was not held in the Fund, rose amid growth in demand for smartphones during most of the period.
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 industrials and health care sectors.
By country, the Fund’s largest overweight allocations relative to the Benchmark during the period were in South Korea and South Africa and its largest relative underweight allocations were in Kuwait and Turkey.
10 | J.P. Morgan International Equity Funds | October 31, 2023 |
*
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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 6.6 % |
2. | Samsung Electronics Co. Ltd. (South Korea) | 4.6 |
3. | Tencent Holdings Ltd. (China) | 4.2 |
4. | Alibaba Group Holding Ltd. (China) | 2.9 |
5. | Reliance Industries Ltd. (India) | 1.5 |
6. | Meituan (China) | 1.3 |
7. | China Construction Bank Corp., Class H (China) | 1.1 |
8. | Petroleo Brasileiro SA (Preference) (Brazil) | 1.1 |
9. | Infosys Ltd., ADR (India) | 1.1 |
10. | HDFC Bank Ltd. (India) | 1.0 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
China | 29.8% |
India | 15.1 |
Taiwan | 14.5 |
South Korea | 12.4 |
Brazil | 5.9 |
Saudi Arabia | 3.8 |
South Africa | 3.8 |
Mexico | 2.8 |
Thailand | 2.1 |
Indonesia | 2.1 |
Malaysia | 1.1 |
Others (each less than 1.0%) | 4.8 |
Short-Term Investments | 1.8 |
October 31, 2023 | J.P. Morgan International Equity Funds | 11 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | |
CLASS I SHARES | January 30, 2019 | 11.13 % | 1.33 % |
CLASS R6 SHARES | December 11, 2018 | 11.29 | 1.44 |
LIFE OF FUND PERFORMANCE (12/11/18 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 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)
12 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class A Shares, without a sales charge) * | 13.44% |
MSCI Europe Index (net total return) | 15.74% |
Net Assets as of 10/31/2023 (In Thousands) | $498,675 |
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 twelve months ended October 31, 2023.
Relative to the Benchmark, the Fund’s security selection in the capital goods and the semiconductors & semiconductor equipment sectors was a leading detractor from performance, while the Fund’s security selection in the pharmaceuticals, biotechnology & life sciences sector and in the banks sector 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 its overweight positions in NN Group NV and BP PLC. Shares of Hexatronic, a Swedish fiber optic equipment provider, fell after the company forecast slowing demand in the second half of 2023. Shares of NN Group, a Dutch insurance and financial services provider, fell after the company reported a decline in per-share earnings during the period. Shares of BP, a U.K. integrated petroleum and natural gas company, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2023.
Leading individual contributors to relative performance included the Fund’s overweight positions in UniCredit SpA and Novo Nordisk A/S, and its underweight position in Shell PLC. Shares of UniCredit, an Italian banking and financial services company, rose after the company reported consecutive quarters of better-than-expected results during the period. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s weight-loss drug. Shares of Shell, a U.K. integrated petroleum and natural gas company, rose amid investor expectations the company would benefit from supply constraints implemented by Russia and the Organization of Petroleum Exporting Countries.
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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Novo Nordisk A/S, Class B (Denmark) | 5.0 % |
2. | Shell plc (Netherlands) | 4.8 |
3. | Novartis AG (Registered) (Switzerland) | 4.0 |
4. | TotalEnergies SE (France) | 3.6 |
5. | Air Liquide SA (France) | 3.0 |
6. | UniCredit SpA (Italy) | 3.0 |
7. | Engie SA (France) | 2.9 |
8. | RWE AG (Germany) | 2.4 |
9. | Allianz SE (Registered) (Germany) | 2.4 |
10. | Vinci SA (France) | 2.2 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
France | 22.5% |
Germany | 12.2 |
United Kingdom | 11.5 |
Netherlands | 8.3 |
Italy | 6.9 |
Denmark | 6.5 |
Switzerland | 5.4 |
United States | 5.1 |
Spain | 4.5 |
Ireland | 3.8 |
Sweden | 2.5 |
China | 1.7 |
Finland | 1.6 |
Others (each less than 1.0%) | 2.1 |
Short-Term Investments | 5.4 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
October 31, 2023 | J.P. Morgan International Equity Funds | 13 |
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 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.
14 | J.P. Morgan International Equity Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | November 2, 1995 | |||
With Sales Charge * | 7.50 % | 3.81 % | 1.94 % | |
Without Sales Charge | 13.44 | 4.93 | 2.49 | |
CLASS C SHARES | November 1, 1998 | |||
With CDSC ** | 11.89 | 4.42 | 2.09 | |
Without CDSC | 12.89 | 4.42 | 2.09 | |
CLASS I SHARES | September 10, 2001 | 13.74 | 5.20 | 2.77 |
CLASS L SHARES | September 10, 2001 | 13.86 | 5.33 | 2.92 |
CLASS R6 SHARES | October 1, 2018 | 14.00 | 5.44 | 2.97 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
October 31, 2023 | J.P. Morgan International Equity Funds | 15 |
JPMorgan International Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 15.09% |
MSCI EAFE Index (net total return) | 14.40% |
Net Assets as of 10/31/2023 (In Thousands) | $3,946,247 |
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 twelve months ended October 31, 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 underweight position and security selection in the consumer discretionary sector and its security selection in the utilities sectors were leading detractors from relative performance.
By region, the Fund’s security selection in the Pacific, excluding Japan, and in Europe, excluding the U.K., was a leading contributor to performance. The Fund’s security selection in Japan and the U.K. was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Novo Nordisk A/S, Munchener Ruckversicherungs-Gesellschaft AG (also known as Munich Re Group) and Shin-Etsu Chemical Co. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s weight-loss drug. Shares of Munich Re, a German insurance provider, rose after the company lifted its earnings forecast for the full year 2023. Shares of Shin-Etsu Chemical Ltd., a Japanese specialty chemicals manufacturer, rose on increased demand for engineered materials in the semiconductor industry.
Leading individual detractors from relative performance included the Fund’s overweight positions in Roche Holding AG,
Kyowa Kirin Co. and Cie. Financiere Richemont SA. Shares of Roche Holding, a Swiss pharmaceutical and diagnostics company, fell amid declining sales of its Covid treatments and after the company reported third quarter 2023 sales in line with analysts’ estimates. Shares of Kyowa Kirin, a Japanese pharmaceuticals and medical products manufacturer, fell after the company said it would discontinue development of a proposed treatment for diabetic kidney disease. Shares of Financiere Richemont, a Swiss brand-name luxury goods maker, fell amid a decline in consumer spending across Europe.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Shell plc (Netherlands) | 3.7 % |
2. | Nestle SA (Registered) | 3.2 |
3. | Novo Nordisk A/S, Class B (Denmark) | 2.4 |
4. | AstraZeneca plc (United Kingdom) | 2.2 |
5. | ASML Holding NV (Netherlands) | 2.2 |
6. | Allianz SE (Registered) (Germany) | 2.2 |
7. | LVMH Moet Hennessy Louis Vuitton SE (France) | 1.9 |
8. | BP plc (United Kingdom) | 1.9 |
9. | Sony Group Corp. (Japan) | 1.8 |
10. | Roche Holding AG | 1.8 |
16 | J.P. Morgan International Equity Funds | October 31, 2023 |
*
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.
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Japan | 20.0% |
France | 15.9 |
United Kingdom | 12.3 |
Germany | 8.0 |
United States | 8.0 |
Netherlands | 5.9 |
Sweden | 4.0 |
Denmark | 3.9 |
Spain | 3.0 |
Hong Kong | 2.8 |
Australia | 2.7 |
Singapore | 1.8 |
Italy | 1.7 |
South Korea | 1.2 |
Belgium | 1.0 |
Others (each less than 1.0%) | 4.3 |
Short-Term Investments | 3.5 |
October 31, 2023 | J.P. Morgan International Equity Funds | 17 |
JPMorgan International Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | February 28, 2002 | |||
With Sales Charge * | 8.83 % | 3.46 % | 2.19 % | |
Without Sales Charge | 14.88 | 4.58 | 2.75 | |
CLASS C SHARES | January 31, 2003 | |||
With CDSC ** | 13.24 | 4.06 | 2.33 | |
Without CDSC | 14.24 | 4.06 | 2.33 | |
CLASS I SHARES | January 1, 1997 | 15.09 | 4.84 | 3.00 |
CLASS R2 SHARES | November 3, 2008 | 14.46 | 4.25 | 2.45 |
CLASS R5 SHARES | May 15, 2006 | 15.20 | 4.95 | 3.14 |
CLASS R6 SHARES | November 30, 2010 | 15.35 | 5.06 | 3.23 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
18 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan International Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 15.12% |
MSCI ACWI ex USA Index (net total return) | 12.07% |
Net Assets as of 10/31/2023 (In Thousands) | $1,345,387 |
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 twelve months ended October 31, 2023.
The Fund’s security selection in the materials and energy sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples and information technology 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 relative performance, while the Fund’s underweight position in Japan and its security selection in the U.K. were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Novo Nordisk A/S, Allianz SE and Taiwan Semiconductor Manufacturing Co. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid consumer demand for the company’s weight-loss drug. Shares of Allianz, a German multi-line insurance provider, rose after the company reported consecutive quarters of earnings and revenue growth during
the period. Shares of Taiwan Semiconductor Manufacturing rose amid better-than-expected earnings for the third quarter of 2023, an upbeat earnings forecast for the fourth quarter of 2023.
Leading individual detractors from relative performance included the Fund’s overweight positions in HDFC Bank Ltd., Canadian National Railway Co. and Toronto-Dominion Bank. Shares of HDFC Bank, an Indian financial services provider, fell after the company said its planned merger with HDFC Ltd. would lower profit margins and increase its ratio of non-performing loans. 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.
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.
October 31, 2023 | J.P. Morgan International Equity Funds | 19 |
JPMorgan International Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Shell plc (Netherlands) | 4.7 % |
2. | Samsung Electronics Co. Ltd. (South Korea) | 3.6 |
3. | Tencent Holdings Ltd. (China) | 3.6 |
4. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 3.4 |
5. | TotalEnergies SE (France) | 3.2 |
6. | Nestle SA (Registered) | 3.2 |
7. | Allianz SE (Registered) (Germany) | 2.7 |
8. | RELX plc (United Kingdom) | 2.5 |
9. | DBS Group Holdings Ltd. (Singapore) | 2.5 |
10. | Safran SA (France) | 2.3 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Japan | 12.5% |
United Kingdom | 12.0 |
France | 10.8 |
Germany | 8.6 |
United States | 6.8 |
Netherlands | 6.6 |
Canada | 6.4 |
China | 4.5 |
South Korea | 3.6 |
Taiwan | 3.4 |
Indonesia | 2.5 |
Singapore | 2.5 |
India | 2.3 |
Australia | 2.2 |
Denmark | 1.9 |
Italy | 1.9 |
Belgium | 1.9 |
Hong Kong | 1.8 |
Sweden | 1.5 |
Mexico | 1.4 |
Spain | 1.4 |
Short-Term Investments | 3.5 |
20 | J.P. Morgan International Equity Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | November 30, 2011 | |||
With Sales Charge * | 8.82 % | 4.08 % | 2.73 % | |
Without Sales Charge | 14.82 | 5.20 | 3.28 | |
CLASS C SHARES | November 30, 2011 | |||
With CDSC ** | 13.24 | 4.68 | 2.87 | |
Without CDSC | 14.24 | 4.68 | 2.87 | |
CLASS I SHARES | November 30, 2011 | 15.12 | 5.47 | 3.58 |
CLASS R2 SHARES | November 30, 2011 | 14.50 | 4.90 | 2.99 |
CLASS R5 SHARES | November 30, 2011 | 15.21 | 5.57 | 3.69 |
CLASS R6 SHARES | November 30, 2011 | 15.38 | 5.68 | 3.77 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
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 October 31, 2013 to October 31, 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.
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.
October 31, 2023 | J.P. Morgan International Equity Funds | 21 |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 8.55% |
MSCI EAFE Index (net total return) | 14.40% |
ICE BofA 3-Month US Treasury Bill Index | 4.80% |
Net Assets as of 10/31/2023 (In Thousands) | $144,828 |
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 twelve months ended October 31, 2023. The Fund’s options hedge allowed the Fund to generally perform as designed during the reporting period with about 58% of the Benchmark’s volatility.
The Fund’s security selection in the pharmaceutical/medical technology and retail sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the financial services sector and the consumer cyclical & services sector 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 Sweden were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Lonza Group AG, Roche Holding AG and NN Group NV. Shares of Lonza Group, a Swiss supplier to the pharmaceutical and health care sectors, fell after the company lowered its earnings forecast for 2023. Shares of Roche Holding, a Swiss pharmaceutical and diagnostics company, fell amid declining sales of its Covid treatments and after the company reported third quarter 2023 sales in line with analysts’ estimates. Shares of NN Group, a Dutch insurance and financial services provider, fell after the company reported a decline in per-share earnings during the period.
Leading individual contributors to relative performance included the Fund’s overweight positions in 3i Group PLC, Novo
Nordisk A/S and Sumitomo Mitsui Financial Group Inc. Shares of 3i Group, a U.K. private equity and venture capital investment company, rose amid positive performance from its portfolio holdings during the period. Shares of Novo Nordisk, a Danish pharmaceuticals and health care products provider, rose amid strong consumer demand for the company’s weight-loss drug. Shares of Sumitomo Mitsui Financial Group, a Japanese diversified banking company, rose amid investor expectations that the company would benefit from the Bank of Japan’s moves toward interest rate policy normalization.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Novo Nordisk A/S, Class B (Denmark) | 2.7 % |
2. | Nestle SA (Registered) | 2.4 |
3. | ASML Holding NV (Netherlands) | 2.2 |
4. | Shell plc (Netherlands) | 2.0 |
5. | LVMH Moet Hennessy Louis Vuitton SE (France) | 1.9 |
6. | AstraZeneca plc (United Kingdom) | 1.8 |
7. | MSCI EAFE Index 12/29/2023 at USD 1,925.00, European Style | 1.8 |
8. | Roche Holding AG | 1.7 |
9. | BP plc (United Kingdom) | 1.5 |
10. | Allianz SE (Registered) (Germany) | 1.4 |
22 | J.P. Morgan International Equity Funds | October 31, 2023 |
*
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.
PORTFOLIO COMPOSITION BY COUNTRY AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Japan | 23.3% |
United Kingdom | 13.0 |
France | 12.0 |
United States | 9.6 |
Germany | 7.7 |
Australia | 6.5 |
Netherlands | 6.0 |
Switzerland | 5.0 |
Denmark | 3.3 |
Sweden | 2.5 |
Hong Kong | 2.0 |
Spain | 2.0 |
Singapore | 1.0 |
Italy | 1.0 |
Others (each less than 1.0%) | 2.6 |
Short-Term Investments | 2.5 |
October 31, 2023 | J.P. Morgan International Equity Funds | 23 |
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | |
CLASS A SHARES | March 15, 2019 | ||
With Sales Charge * | 2.55 % | 0.38 % | |
Without Sales Charge | 8.24 | 1.55 | |
CLASS C SHARES | March 15, 2019 | ||
With CDSC ** | 6.75 | 1.04 | |
Without CDSC | 7.75 | 1.04 | |
CLASS I SHARES | March 15, 2019 | 8.55 | 1.82 |
CLASS R5 SHARES | March 15, 2019 | 8.73 | 1.96 |
CLASS R6 SHARES | March 15, 2019 | 8.84 | 2.06 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (3/15/19 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 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 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
24 | J.P. Morgan International Equity Funds | October 31, 2023 |
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)
October 31, 2023 | J.P. Morgan International Equity Funds | 25 |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 95.9% | ||
Australia — 5.1% | ||
BHP Group Ltd. | 310 | 8,785 |
BlueScope Steel Ltd. | 126 | 1,517 |
Coronado Global Resources, Inc., CHDI (a) | 989 | 1,088 |
JB Hi-Fi Ltd. | 11 | 325 |
Metcash Ltd. | 136 | 318 |
New Hope Corp. Ltd. | 355 | 1,307 |
Qantas Airways Ltd. * | 305 | 957 |
QBE Insurance Group Ltd. | 125 | 1,238 |
Rio Tinto Ltd. | 29 | 2,135 |
Rio Tinto plc | 54 | 3,428 |
South32 Ltd. | 598 | 1,279 |
Whitehaven Coal Ltd. | 262 | 1,233 |
23,610 | ||
Austria — 0.9% | ||
Erste Group Bank AG | 41 | 1,482 |
OMV AG | 29 | 1,273 |
Telekom Austria AG | 173 | 1,205 |
3,960 | ||
Belgium — 0.2% | ||
Ageas SA | 26 | 984 |
China — 0.7% | ||
BOC Hong Kong Holdings Ltd. | 651 | 1,720 |
Yangzijiang Shipbuilding Holdings Ltd. | 1,453 | 1,541 |
3,261 | ||
Denmark — 1.3% | ||
D/S Norden A/S | 22 | 1,259 |
Danske Bank A/S | 75 | 1,761 |
ISS A/S | 47 | 677 |
Jyske Bank A/S (Registered) * | 10 | 720 |
Spar Nord Bank A/S | 46 | 701 |
Sydbank A/S | 17 | 737 |
5,855 | ||
Finland — 1.5% | ||
Fortum OYJ | 92 | 1,095 |
Nordea Bank Abp | 257 | 2,705 |
Outokumpu OYJ | 236 | 969 |
UPM-Kymmene OYJ | 62 | 2,085 |
6,854 | ||
France — 10.7% | ||
Air France-KLM * | 59 | 670 |
AXA SA | 145 | 4,302 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — continued | ||
BNP Paribas SA | 77 | 4,401 |
Carrefour SA | 81 | 1,425 |
Cie de Saint-Gobain SA | 48 | 2,625 |
Cie Generale des Etablissements Michelin SCA | 72 | 2,128 |
Coface SA | 85 | 1,027 |
Credit Agricole SA | 171 | 2,067 |
Derichebourg SA | 208 | 901 |
Eiffage SA | 11 | 1,039 |
Engie SA | 205 | 3,256 |
Orange SA | 177 | 2,076 |
Publicis Groupe SA | 30 | 2,260 |
Renault SA | 46 | 1,620 |
Rexel SA | 44 | 903 |
Societe Generale SA | 68 | 1,537 |
Sopra Steria Group SACA | 4 | 807 |
Technip Energies NV | 64 | 1,399 |
Television Francaise 1 SA | 139 | 978 |
TotalEnergies SE | 161 | 10,749 |
Trigano SA | 5 | 636 |
Vallourec SACA * | 100 | 1,205 |
Verallia SA (a) | 33 | 1,071 |
49,082 | ||
Germany — 9.3% | ||
Allianz SE (Registered) | 27 | 6,383 |
Bayerische Motoren Werke AG | 23 | 2,146 |
Bilfinger SE | 24 | 891 |
Commerzbank AG | 171 | 1,842 |
Continental AG | 18 | 1,183 |
Daimler Truck Holding AG | 63 | 1,992 |
Deutsche Bank AG (Registered) | 226 | 2,486 |
Deutsche Lufthansa AG (Registered) * | 152 | 1,063 |
Deutsche Telekom AG (Registered) | 252 | 5,464 |
E.ON SE | 199 | 2,364 |
Freenet AG | 21 | 532 |
Fresenius SE & Co. KGaA | 61 | 1,555 |
Heidelberg Materials AG | 24 | 1,721 |
HOCHTIEF AG | 17 | 1,800 |
Mercedes-Benz Group AG | 65 | 3,818 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 3 | 1,227 |
RWE AG | 44 | 1,676 |
SAF-Holland SE | 76 | 1,020 |
Schaeffler AG (Preference) | 90 | 468 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Germany — continued | ||
Talanx AG | 16 | 1,027 |
Volkswagen AG (Preference) | 21 | 2,204 |
42,862 | ||
Hong Kong — 0.6% | ||
Kerry Properties Ltd. | 613 | 1,032 |
Pacific Basin Shipping Ltd. | 3,041 | 880 |
Prudential plc | 89 | 929 |
2,841 | ||
Ireland — 0.5% | ||
Bank of Ireland Group plc | 140 | 1,251 |
Greencore Group plc * | 1,120 | 1,227 |
2,478 | ||
Italy — 4.8% | ||
Assicurazioni Generali SpA | 84 | 1,672 |
Azimut Holding SpA | 22 | 457 |
Eni SpA | 209 | 3,418 |
Intesa Sanpaolo SpA | 1,410 | 3,674 |
Iveco Group NV * | 135 | 1,136 |
Maire Tecnimont SpA | 251 | 1,170 |
Mediobanca Banca di Credito Finanziario SpA (b) | 93 | 1,106 |
OVS SpA (a) | 382 | 676 |
Pirelli & C SpA (a) | 196 | 873 |
Poste Italiane SpA (a) | 126 | 1,250 |
Saipem SpA * | 773 | 1,177 |
UniCredit SpA | 173 | 4,347 |
Unipol Gruppo SpA | 214 | 1,161 |
22,117 | ||
Japan — 21.9% | ||
Chiba Bank Ltd. (The) | 98 | 732 |
Concordia Financial Group Ltd. | 226 | 1,052 |
Cosmo Energy Holdings Co. Ltd. | 53 | 1,928 |
Credit Saison Co. Ltd. | 92 | 1,376 |
Fujikura Ltd. | 187 | 1,341 |
Fukuyama Transporting Co. Ltd. | 44 | 1,197 |
Hachijuni Bank Ltd. (The) | 319 | 1,816 |
Hitachi Ltd. | 57 | 3,600 |
Honda Motor Co. Ltd. | 275 | 2,819 |
Inpex Corp. | 139 | 2,024 |
Isuzu Motors Ltd. | 115 | 1,281 |
ITOCHU Corp. | 49 | 1,769 |
Japan Airlines Co. Ltd. | 66 | 1,215 |
Japan Tobacco, Inc. | 124 | 2,891 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
JFE Holdings, Inc. | 127 | 1,771 |
JGC Holdings Corp. | 106 | 1,308 |
Kamigumi Co. Ltd. | 23 | 465 |
Kandenko Co. Ltd. | 85 | 787 |
KDDI Corp. | 105 | 3,138 |
Komatsu Ltd. | 96 | 2,203 |
Marubeni Corp. | 179 | 2,617 |
Mazda Motor Corp. | 177 | 1,717 |
Mitsubishi Corp. | 103 | 4,811 |
Mitsubishi Estate Co. Ltd. | 147 | 1,877 |
Mitsubishi UFJ Financial Group, Inc. | 855 | 7,174 |
Mitsui & Co. Ltd. | 79 | 2,864 |
Mitsui Fudosan Co. Ltd. | 69 | 1,498 |
Mizuho Financial Group, Inc. | 178 | 3,019 |
Nippon Steel Corp. | 104 | 2,241 |
Nippon Telegraph & Telephone Corp. | 898 | 1,056 |
Nomura Real Estate Holdings, Inc. | 54 | 1,264 |
ORIX Corp. | 119 | 2,168 |
Sekisui House Ltd. | 64 | 1,245 |
Shimamura Co. Ltd. | 12 | 1,204 |
Shizuoka Financial Group, Inc. | 91 | 772 |
SoftBank Corp. | 211 | 2,382 |
Sojitz Corp. | 70 | 1,464 |
Subaru Corp. | 85 | 1,466 |
Sumitomo Corp. | 94 | 1,846 |
Sumitomo Forestry Co. Ltd. | 64 | 1,523 |
Sumitomo Mitsui Financial Group, Inc. | 93 | 4,478 |
Sumitomo Mitsui Trust Holdings, Inc. | 50 | 1,882 |
Suzuki Motor Corp. | 57 | 2,205 |
Tokio Marine Holdings, Inc. | 156 | 3,497 |
Tokyo Gas Co. Ltd. | 82 | 1,837 |
Tokyo Steel Manufacturing Co. Ltd. | 133 | 1,542 |
Tokyu Fudosan Holdings Corp. | 271 | 1,577 |
Toyota Tsusho Corp. | 43 | 2,268 |
Yamaha Motor Co. Ltd. | 55 | 1,354 |
Yokohama Rubber Co. Ltd. (The) | 51 | 946 |
100,507 | ||
Luxembourg — 0.1% | ||
ArcelorMittal SA | 12 | 264 |
Netherlands — 5.4% | ||
ABN AMRO Bank NV, CVA (a) | 70 | 943 |
ASR Nederland NV | 29 | 1,100 |
ING Groep NV | 249 | 3,189 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 27 |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Netherlands — continued | ||
Koninklijke Heijmans N.V, CVA | 100 | 1,147 |
NN Group NV | 61 | 1,972 |
OCI NV | 44 | 1,024 |
Randstad NV | 13 | 653 |
Shell plc | 453 | 14,596 |
24,624 | ||
Norway — 2.4% | ||
Aker Solutions ASA (a) | 231 | 923 |
DNB Bank ASA | 93 | 1,671 |
Equinor ASA | 95 | 3,186 |
Hoegh Autoliners ASA | 130 | 1,047 |
Norsk Hydro ASA | 170 | 969 |
SpareBank 1 Nord Norge | 74 | 629 |
SpareBank 1 SMN | 39 | 479 |
SpareBank 1 SR-Bank ASA | 43 | 465 |
Telenor ASA | 152 | 1,556 |
10,925 | ||
Singapore — 1.8% | ||
DBS Group Holdings Ltd. | 104 | 2,491 |
Hafnia Ltd. | 160 | 1,049 |
Oversea-Chinese Banking Corp. Ltd. | 287 | 2,664 |
United Overseas Bank Ltd. | 113 | 2,235 |
8,439 | ||
South Africa — 0.7% | ||
Anglo American plc | 119 | 3,040 |
Spain — 3.4% | ||
Applus Services SA | 123 | 1,291 |
Banco Bilbao Vizcaya Argentaria SA | 436 | 3,433 |
Banco de Sabadell SA | 849 | 1,055 |
Banco Santander SA | 1,319 | 4,853 |
CaixaBank SA | 414 | 1,683 |
Gestamp Automocion SA (a) | 244 | 897 |
Repsol SA | 160 | 2,337 |
15,549 | ||
Sweden — 2.1% | ||
Betsson AB, Class B * | 83 | 842 |
Loomis AB | 31 | 810 |
NCC AB, Class B | 89 | 914 |
Securitas AB, Class B | 146 | 1,169 |
Skandinaviska Enskilda Banken AB, Class A | 157 | 1,749 |
SSAB AB, Class B | 189 | 1,095 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Sweden — continued | ||
Svenska Handelsbanken AB, Class A | 160 | 1,363 |
Swedbank AB, Class A | 104 | 1,706 |
9,648 | ||
Switzerland — 6.3% | ||
Basilea Pharmaceutica AG (Registered) * | 15 | 570 |
Julius Baer Group Ltd. | 28 | 1,685 |
Novartis AG (Registered) | 134 | 12,499 |
Sandoz Group AG * | 58 | 1,497 |
Swisscom AG (Registered) | 3 | 1,732 |
UBS Group AG (Registered) | 254 | 5,979 |
Zurich Insurance Group AG | 10 | 4,926 |
28,888 | ||
United Kingdom — 12.1% | ||
3i Group plc | 114 | 2,685 |
Aviva plc | 292 | 1,413 |
Balfour Beatty plc | 249 | 934 |
Barclays plc | 1,520 | 2,440 |
Barratt Developments plc | 255 | 1,287 |
Bellway plc | 41 | 1,052 |
BP plc | 1,253 | 7,651 |
BT Group plc | 575 | 790 |
Centrica plc | 1,305 | 2,498 |
CK Hutchison Holdings Ltd. | 276 | 1,397 |
Drax Group plc | 122 | 629 |
Future plc | 93 | 1,004 |
HSBC Holdings plc | 1,329 | 9,596 |
IG Group Holdings plc | 56 | 432 |
Inchcape plc | 138 | 1,115 |
Investec plc | 232 | 1,288 |
J Sainsbury plc | 449 | 1,406 |
JD Sports Fashion plc | 472 | 734 |
JET2 plc | 54 | 665 |
Legal & General Group plc | 752 | 1,937 |
Lloyds Banking Group plc | 5,042 | 2,454 |
Man Group plc | 271 | 723 |
Marks & Spencer Group plc * | 560 | 1,479 |
Mitie Group plc | 948 | 1,138 |
Paragon Banking Group plc | 180 | 971 |
Premier Foods plc | 451 | 643 |
Standard Chartered plc | 246 | 1,889 |
Taylor Wimpey plc | 941 | 1,271 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
Tesco plc | 599 | 1,964 |
Vodafone Group plc | 2,266 | 2,086 |
55,571 | ||
United States — 4.1% | ||
GSK plc | 308 | 5,483 |
Holcim AG | 51 | 3,167 |
Roche Holding AG | 3 | 795 |
Sanofi SA | 29 | 2,606 |
Stellantis NV | 136 | 2,533 |
Stellantis NV | 62 | 1,162 |
Swiss Re AG | 18 | 1,992 |
Tenaris SA | 73 | 1,165 |
18,903 | ||
Total Common Stocks (Cost $402,305) | 440,262 | |
Short-Term Investments — 4.7% | ||
Investment Companies — 4.5% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (c) (d)(Cost $20,782) | 20,777 | 20,785 |
Investment of Cash Collateral from Securities Loaned — 0.2% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (c) (d) | 500 | 500 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (c) (d) | 526 | 526 |
Total Investment of Cash Collateral from Securities Loaned (Cost $1,026) | 1,026 | |
Total Short-Term Investments (Cost $21,808) | 21,811 | |
Total Investments — 100.6% (Cost $424,113) | 462,073 | |
Liabilities in Excess of Other Assets — (0.6)% | (2,814 ) | |
NET ASSETS — 100.0% | 459,259 | |
Percentages indicated are based on net assets. |
Abbreviations | |
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest |
CVA | Certificaten Van Aandelen (Dutch Certificate) |
OYJ | Public Limited Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
SCA | Limited partnership with share capital |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $995. |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(d) | The rate shown is the current yield as of October 31, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 29 |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Banks | 21.2 % |
Oil, Gas & Consumable Fuels | 11.0 |
Insurance | 8.2 |
Metals & Mining | 6.5 |
Automobiles | 5.4 |
Pharmaceuticals | 5.0 |
Trading Companies & Distributors | 4.0 |
Capital Markets | 3.4 |
Diversified Telecommunication Services | 3.0 |
Construction & Engineering | 2.0 |
Wireless Telecommunication Services | 1.8 |
Multi-Utilities | 1.8 |
Automobile Components | 1.6 |
Real Estate Management & Development | 1.6 |
Machinery | 1.5 |
Consumer Staples Distribution & Retail | 1.4 |
Household Durables | 1.4 |
Energy Equipment & Services | 1.3 |
Commercial Services & Supplies | 1.2 |
Industrial Conglomerates | 1.1 |
Construction Materials | 1.1 |
Passenger Airlines | 1.0 |
Others (each less than 1.0%) | 8.8 |
Short-Term Investments | 4.7 |
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
TOPIX Index | 27 | 12/07/2023 | JPY | 4,111 | (54 ) |
EURO STOXX 50 Index | 136 | 12/15/2023 | EUR | 5,877 | (146 ) |
FTSE 100 Index | 38 | 12/15/2023 | GBP | 3,392 | (137 ) |
(337 ) |
Abbreviations | |
EUR | Euro |
FTSE | Financial Times and the London Stock Exchange |
GBP | British Pound |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPY | Japanese Yen |
TOPIX | Tokyo Stock Price Index |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 31 |
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 99.9% | ||
Brazil — 9.7% | ||
Itau Unibanco Holding SA, ADR | 17,330 | 92,023 |
MercadoLibre, Inc. * | 121 | 149,891 |
NU Holdings Ltd., Class A * | 25,594 | 209,868 |
Petroleo Brasileiro SA, ADR | 6,493 | 89,800 |
Raia Drogasil SA | 16,203 | 82,947 |
WEG SA | 10,028 | 65,498 |
690,027 | ||
China — 27.8% | ||
Alibaba Group Holding Ltd., ADR * | 1,462 | 120,660 |
Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A | 9,480 | 32,165 |
Budweiser Brewing Co. APAC Ltd. (a) | 17,410 | 33,086 |
Contemporary Amperex Technology Co. Ltd., Class A | 1,863 | 47,156 |
Dada Nexus Ltd., ADR * | 3,128 | 12,013 |
Fuyao Glass Industry Group Co. Ltd., Class A | 10,452 | 53,008 |
JD.com, Inc., ADR | 321 | 8,156 |
JD.com, Inc., Class A | 5,777 | 73,444 |
Jiangsu Hengli Hydraulic Co. Ltd., Class A | 12,233 | 93,830 |
Kingdee International Software Group Co. Ltd. * | 23,715 | 31,467 |
Kweichow Moutai Co. Ltd., Class A | 473 | 108,594 |
Midea Group Co. Ltd., Class A | 13,157 | 94,864 |
NetEase, Inc., ADR | 63 | 6,707 |
NetEase, Inc. | 5,751 | 123,085 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 2,692 | 104,852 |
Shenzhou International Group Holdings Ltd. | 10,325 | 101,413 |
Silergy Corp. | 3,011 | 26,912 |
Tencent Holdings Ltd. | 8,843 | 327,272 |
Wanhua Chemical Group Co. Ltd., Class A | 8,018 | 96,938 |
Wuliangye Yibin Co. Ltd., Class A | 5,128 | 108,953 |
WuXi AppTec Co. Ltd., Class A | 11,606 | 136,764 |
Wuxi Biologics Cayman, Inc. * (a) | 13,079 | 81,322 |
Yum China Holdings, Inc. | 2,803 | 147,309 |
1,969,970 | ||
Hong Kong — 4.2% | ||
AIA Group Ltd. | 17,276 | 150,020 |
Prudential plc | 6,410 | 67,023 |
Techtronic Industries Co. Ltd. | 8,570 | 78,244 |
295,287 | ||
India — 16.3% | ||
Apollo Hospitals Enterprise Ltd. | 620 | 35,926 |
Asian Paints Ltd. | 1,182 | 42,594 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
India — continued | ||
Bharti Airtel Ltd. | 8,429 | 92,571 |
Britannia Industries Ltd. | 828 | 44,046 |
HDFC Bank Ltd., ADR | 272 | 15,360 |
HDFC Bank Ltd. | 21,578 | 382,890 |
HDFC Life Insurance Co. Ltd. (a) | 6,380 | 47,393 |
Hindustan Unilever Ltd. | 2,906 | 86,733 |
Infosys Ltd., ADR | 4,071 | 66,854 |
Infosys Ltd. | 3,205 | 52,713 |
ITC Ltd. | 16,145 | 83,105 |
Kotak Mahindra Bank Ltd. | 5,329 | 111,396 |
Tata Consultancy Services Ltd. | 2,354 | 95,291 |
1,156,872 | ||
Indonesia — 3.5% | ||
Bank Central Asia Tbk. PT | 220,479 | 121,466 |
Bank Rakyat Indonesia Persero Tbk. PT | 408,730 | 127,804 |
249,270 | ||
Macau — 1.1% | ||
Sands China Ltd. * | 27,812 | 74,871 |
Mexico — 3.4% | ||
Grupo Financiero Banorte SAB de CV, Class O | 13,323 | 107,929 |
Wal-Mart de Mexico SAB de CV | 37,689 | 135,044 |
242,973 | ||
Panama — 1.2% | ||
Copa Holdings SA, Class A | 1,020 | 83,274 |
Portugal — 1.6% | ||
Jeronimo Martins SGPS SA | 4,779 | 110,163 |
South Africa — 4.0% | ||
Bid Corp. Ltd. | 3,101 | 65,782 |
Capitec Bank Holdings Ltd. | 754 | 66,990 |
FirstRand Ltd. | 26,704 | 88,035 |
Shoprite Holdings Ltd. | 4,584 | 58,741 |
279,548 | ||
South Korea — 8.5% | ||
Kia Corp. | 1,307 | 74,680 |
Samsung Electronics Co. Ltd. | 9,305 | 463,155 |
SK Hynix, Inc. | 764 | 66,352 |
604,187 | ||
Spain — 1.5% | ||
Banco Bilbao Vizcaya Argentaria SA | 13,675 | 107,580 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Taiwan — 12.3% | ||
Chailease Holding Co. Ltd. | 18,994 | 103,031 |
Delta Electronics, Inc. | 9,423 | 84,919 |
Realtek Semiconductor Corp. | 4,830 | 60,195 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 6,127 | 528,860 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 5,951 | 97,195 |
874,200 | ||
Turkey — 1.2% | ||
Aselsan Elektronik Sanayi ve Ticaret A/S | 19,304 | 28,179 |
BIM Birlesik Magazalar A/S | 6,031 | 57,931 |
86,110 | ||
United States — 3.6% | ||
EPAM Systems, Inc. * | 357 | 77,719 |
Estee Lauder Cos., Inc. (The), Class A | 430 | 55,343 |
Globant SA * | 245 | 41,743 |
Las Vegas Sands Corp. | 751 | 35,649 |
Monolithic Power Systems, Inc. | 97 | 42,951 |
253,405 | ||
Total Common Stocks (Cost $6,475,307) | 7,077,737 | |
Short-Term Investments — 0.7% | ||
Investment Companies — 0.7% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (b) (c)(Cost $46,875) | 46,859 | 46,878 |
Total Investments — 100.6% (Cost $6,522,182) | 7,124,615 | |
Liabilities in Excess of Other Assets — (0.6)% | (43,901 ) | |
NET ASSETS — 100.0% | 7,080,714 | |
Percentages indicated are based on net assets. |
Abbreviations | |
ADR | American Depositary Receipt |
APAC | Asia Pacific |
PT | Limited liability company |
SGPS | Holding company |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Banks | 18.9 % |
Semiconductors & Semiconductor Equipment | 11.5 |
Consumer Staples Distribution & Retail | 7.3 |
Technology Hardware, Storage & Peripherals | 6.5 |
Broadline Retail | 4.9 |
IT Services | 4.7 |
Interactive Media & Services | 4.6 |
Insurance | 3.7 |
Hotels, Restaurants & Leisure | 3.6 |
Beverages | 3.5 |
Life Sciences Tools & Services | 3.1 |
Financial Services | 2.7 |
Machinery | 2.4 |
Personal Care Products | 2.0 |
Chemicals | 2.0 |
Entertainment | 1.8 |
Electrical Equipment | 1.6 |
Health Care Equipment & Supplies | 1.5 |
Textiles, Apparel & Luxury Goods | 1.4 |
Household Durables | 1.3 |
Wireless Telecommunication Services | 1.3 |
Oil, Gas & Consumable Fuels | 1.3 |
Electronic Equipment, Instruments & Components | 1.2 |
Passenger Airlines | 1.2 |
Tobacco | 1.2 |
Automobiles | 1.0 |
Others (each less than 1.0%) | 3.1 |
Short-Term Investments | 0.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 33 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 97.9% | ||
Brazil — 5.9% | ||
B3 SA - Brasil Bolsa Balcao | 674 | 1,491 |
Banco Bradesco SA (Preference) | 269 | 747 |
Banco do Brasil SA | 493 | 4,727 |
Centrais Eletricas Brasileiras SA | 539 | 3,709 |
Cia Energetica de Minas Gerais (Preference) | 797 | 1,850 |
Gerdau SA (Preference) | 1,216 | 5,275 |
Itau Unibanco Holding SA (Preference) | 1,589 | 8,452 |
Itausa SA * | 43 | 74 |
Itausa SA (Preference) | 2,859 | 4,906 |
Localiza Rent a Car SA | 574 | 5,809 |
Lojas Renner SA | 1,152 | 2,814 |
MercadoLibre, Inc. * | 1 | 1,006 |
NU Holdings Ltd., Class A * | 95 | 783 |
Petroleo Brasileiro SA (Preference) | 2,702 | 18,616 |
Raia Drogasil SA | 1,080 | 5,528 |
Suzano SA | 599 | 6,140 |
TIM SA, ADR | 313 | 4,724 |
Transmissora Alianca de Energia Eletrica S/A | 244 | 1,639 |
Vale SA, ADR | 1,126 | 15,439 |
WEG SA | 976 | 6,374 |
100,103 | ||
Chile — 0.3% | ||
Banco Santander Chile, ADR (a) | 245 | 4,264 |
China — 29.7% | ||
Aier Eye Hospital Group Co. Ltd., Class A | 524 | 1,307 |
Alibaba Group Holding Ltd. * | 4,723 | 48,620 |
Amoy Diagnostics Co. Ltd., Class A | 195 | 578 |
Angel Yeast Co. Ltd., Class A | 471 | 2,246 |
ANTA Sports Products Ltd. | 373 | 4,216 |
Baidu, Inc., ADR * | 69 | 7,275 |
Baidu, Inc., Class A * | 54 | 708 |
Baoshan Iron & Steel Co. Ltd., Class A | 4,270 | 3,641 |
BOC Aviation Ltd. (b) | 221 | 1,362 |
BOE Technology Group Co. Ltd., Class A | 8,334 | 4,452 |
BYD Co. Ltd., Class H | 188 | 5,702 |
CGN Power Co. Ltd., Class H (b) | 11,175 | 2,685 |
Chacha Food Co. Ltd., Class A | 429 | 2,163 |
China Construction Bank Corp., Class H | 33,895 | 19,170 |
China International Capital Corp. Ltd., Class H (b) | 2,172 | 3,459 |
China Life Insurance Co. Ltd., Class H | 3,386 | 4,586 |
China Longyuan Power Group Corp. Ltd., Class H | 2,917 | 2,469 |
China Merchants Bank Co. Ltd., Class A | 294 | 1,233 |
China Merchants Bank Co. Ltd., Class H | 2,202 | 8,353 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
China — continued | ||
China Oilfield Services Ltd., Class H | 2,890 | 3,417 |
China Overseas Land & Investment Ltd. | 2,264 | 4,273 |
China Pacific Insurance Group Co. Ltd., Class H | 1,537 | 3,786 |
China Petroleum & Chemical Corp., Class H | 8,238 | 4,213 |
China Resources Land Ltd. | 1,656 | 6,199 |
China Resources Mixc Lifestyle Services Ltd. (b) | 412 | 1,607 |
China Shenhua Energy Co. Ltd., Class H | 319 | 978 |
China State Construction Engineering Corp. Ltd., Class A | 1,184 | 835 |
China Vanke Co. Ltd., Class H | 2,028 | 1,898 |
China Yangtze Power Co. Ltd., Class A | 1,157 | 3,558 |
Chongqing Brewery Co. Ltd., Class A | 149 | 1,594 |
Chongqing Fuling Zhacai Group Co. Ltd., Class A | 1,197 | 2,521 |
Contemporary Amperex Technology Co. Ltd., Class A | 93 | 2,351 |
Country Garden Services Holdings Co. Ltd. | 496 | 433 |
CRRC Corp. Ltd., Class H | 1,701 | 709 |
CSPC Pharmaceutical Group Ltd. | 1,782 | 1,557 |
Dongguan Yiheda Automation Co. Ltd., Class A | 156 | 631 |
ENN Energy Holdings Ltd. | 571 | 4,325 |
Flat Glass Group Co. Ltd., Class H * | 267 | 480 |
Focus Media Information Technology Co. Ltd., Class A | 1,008 | 949 |
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 536 | 2,751 |
Foxconn Industrial Internet Co. Ltd., Class A | 634 | 1,273 |
Fuyao Glass Industry Group Co. Ltd., Class H (b) | 1,030 | 4,696 |
Ganfeng Lithium Group Co. Ltd. (b) | 198 | 710 |
Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A | 269 | 2,266 |
H World Group Ltd., ADR * | 20 | 767 |
H World Group Ltd. * | 1,483 | 5,576 |
Haier Smart Home Co. Ltd., Class H | 2,278 | 6,498 |
Hangzhou Tigermed Consulting Co. Ltd., Class H (b) | 165 | 928 |
Hefei Meiya Optoelectronic Technology, Inc., Class A | 445 | 1,176 |
Hongfa Technology Co. Ltd., Class A | 403 | 1,593 |
Huatai Securities Co. Ltd., Class H (b) | 801 | 1,048 |
Huayu Automotive Systems Co. Ltd., Class A | 902 | 2,157 |
Hundsun Technologies, Inc., Class A | 139 | 591 |
Imeik Technology Development Co. Ltd., Class A | 13 | 566 |
Industrial & Commercial Bank of China Ltd., Class H | 19,783 | 9,481 |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 1,016 | 3,796 |
JA Solar Technology Co. Ltd., Class A | 409 | 1,248 |
JD Health International, Inc. * (b) | 228 | 1,037 |
JD.com, Inc., Class A | 860 | 10,928 |
Jiangsu Hengli Hydraulic Co. Ltd., Class A | 345 | 2,646 |
Jiumaojiu International Holdings Ltd. (b) | 256 | 279 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
China — continued | ||
Joinn Laboratories China Co. Ltd., Class H (b) | 363 | 676 |
Kanzhun Ltd., ADR * | 83 | 1,235 |
KE Holdings, Inc., ADR | 70 | 1,025 |
Kingdee International Software Group Co. Ltd. * | 1,917 | 2,544 |
Kunlun Energy Co. Ltd. | 5,792 | 4,825 |
Kweichow Moutai Co. Ltd., Class A | 33 | 7,646 |
Lenovo Group Ltd. | 1,048 | 1,220 |
Li Auto, Inc., Class A * | 50 | 846 |
LONGi Green Energy Technology Co. Ltd., Class A | 1,120 | 3,686 |
Meituan * (b) | 1,552 | 22,004 |
Midea Group Co. Ltd., Class A | 338 | 2,437 |
Minth Group Ltd. | 802 | 1,790 |
Montage Technology Co. Ltd., Class A | 103 | 777 |
NARI Technology Co. Ltd., Class A | 558 | 1,718 |
NetEase, Inc. | 757 | 16,193 |
NIO, Inc., Class A * | 156 | 1,142 |
Oppein Home Group, Inc., Class A | 69 | 822 |
PDD Holdings, Inc., ADR * | 158 | 16,020 |
PetroChina Co. Ltd., Class H | 7,520 | 4,908 |
Pharmaron Beijing Co. Ltd., Class H (b) | 688 | 1,642 |
PICC Property & Casualty Co. Ltd., Class H | 4,308 | 4,920 |
Ping An Bank Co. Ltd., Class A | 2,897 | 4,128 |
Ping An Insurance Group Co. of China Ltd., Class H | 2,861 | 14,515 |
Postal Savings Bank of China Co. Ltd., Class H (b) | 5,494 | 2,508 |
Qingdao Haier Biomedical Co. Ltd., Class A | 233 | 1,161 |
Sany Heavy Industry Co. Ltd., Class A | 412 | 812 |
Shanghai Baosight Software Co. Ltd., Class A | 284 | 1,650 |
Shanghai Liangxin Electrical Co. Ltd., Class A | 865 | 1,118 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 120 | 4,682 |
Shenzhen Transsion Holdings Co. Ltd., Class A | 56 | 1,021 |
Shenzhou International Group Holdings Ltd. | 287 | 2,818 |
Silergy Corp. | 256 | 2,288 |
Skshu Paint Co. Ltd., Class A * | 191 | 1,548 |
StarPower Semiconductor Ltd., Class A | 37 | 861 |
Sunny Optical Technology Group Co. Ltd. | 115 | 960 |
Suzhou Maxwell Technologies Co. Ltd., Class A | 56 | 922 |
Tencent Holdings Ltd. | 1,923 | 71,183 |
Tingyi Cayman Islands Holding Corp. | 1,062 | 1,409 |
Trip.com Group Ltd., ADR * | 102 | 3,472 |
Trip.com Group Ltd. * | 54 | 1,840 |
Wanhua Chemical Group Co. Ltd., Class A | 359 | 4,342 |
Wuliangye Yibin Co. Ltd., Class A | 208 | 4,419 |
WuXi AppTec Co. Ltd., Class H (b) | 514 | 6,175 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
China — continued | ||
Wuxi Biologics Cayman, Inc. * (b) | 1,271 | 7,903 |
Xinyi Solar Holdings Ltd. | 2,210 | 1,301 |
XPeng, Inc., ADR * (a) | 118 | 1,703 |
XPeng, Inc., Class A * | 210 | 1,529 |
Yum China Holdings, Inc. | 106 | 5,563 |
Yum China Holdings, Inc. | 47 | 2,454 |
Zhejiang Dingli Machinery Co. Ltd., Class A | 428 | 3,176 |
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A | 450 | 2,665 |
Zhejiang Weixing New Building Materials Co. Ltd., Class A | 809 | 1,817 |
Zhuzhou CRRC Times Electric Co. Ltd., Class H | 997 | 3,219 |
Zijin Mining Group Co. Ltd., Class H | 4,770 | 7,379 |
ZTO Express Cayman, Inc. | 81 | 1,888 |
505,055 | ||
Colombia — 0.3% | ||
Bancolombia SA, ADR | 67 | 1,712 |
Ecopetrol SA, ADR (a) | 211 | 2,490 |
4,202 | ||
Greece — 0.4% | ||
Hellenic Telecommunications Organization SA | 246 | 3,441 |
OPAP SA | 151 | 2,560 |
6,001 | ||
Hong Kong — 0.2% | ||
Sino Biopharmaceutical Ltd. | 3,345 | 1,299 |
Techtronic Industries Co. Ltd. | 268 | 2,447 |
3,746 | ||
Hungary — 0.4% | ||
OTP Bank Nyrt. | 127 | 4,743 |
Richter Gedeon Nyrt. | 118 | 2,768 |
7,511 | ||
India — 15.1% | ||
Aarti Industries Ltd. | 260 | 1,420 |
ABB India Ltd. | 24 | 1,200 |
Apollo Hospitals Enterprise Ltd. | 77 | 4,477 |
Ashok Leyland Ltd. | 1,956 | 3,944 |
Asian Paints Ltd. | 66 | 2,383 |
Aurobindo Pharma Ltd. | 128 | 1,305 |
Axis Bank Ltd. | 725 | 8,555 |
Bajaj Finance Ltd. | 37 | 3,294 |
Bharat Petroleum Corp. Ltd. | 541 | 2,268 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 35 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
India — continued | ||
Biocon Ltd. | 584 | 1,541 |
Britannia Industries Ltd. | 110 | 5,854 |
Cipla Ltd. | 121 | 1,742 |
Colgate-Palmolive India Ltd. | 84 | 2,120 |
Dabur India Ltd. | 411 | 2,610 |
Divi's Laboratories Ltd. | 21 | 865 |
Dr Reddy's Laboratories Ltd. | 98 | 6,323 |
Eicher Motors Ltd. | 128 | 5,083 |
GAIL India Ltd. | 594 | 853 |
Godrej Properties Ltd. * | 168 | 3,351 |
HCL Technologies Ltd. | 134 | 2,060 |
HDFC Bank Ltd., ADR | 13 | 712 |
HDFC Bank Ltd. | 1,001 | 17,756 |
HDFC Life Insurance Co. Ltd. (b) | 673 | 5,000 |
Hindalco Industries Ltd. | 365 | 2,015 |
Hindustan Unilever Ltd. | 361 | 10,785 |
ICICI Bank Ltd. | 1,514 | 16,661 |
ICICI Prudential Life Insurance Co. Ltd. (b) | 163 | 1,028 |
Infosys Ltd., ADR | 1,103 | 18,117 |
InterGlobe Aviation Ltd. * (b) | 61 | 1,797 |
ITC Ltd. | 1,563 | 8,044 |
Kotak Mahindra Bank Ltd. | 493 | 10,301 |
Larsen & Toubro Ltd. | 224 | 7,883 |
Mahindra & Mahindra Ltd. | 442 | 7,747 |
Maruti Suzuki India Ltd. | 75 | 9,408 |
Max Healthcare Institute Ltd. | 196 | 1,350 |
NTPC Ltd. | 1,133 | 3,210 |
Oil & Natural Gas Corp. Ltd. | 1,144 | 2,559 |
Page Industries Ltd. | 2 | 872 |
Petronet LNG Ltd. | 1,424 | 3,412 |
Power Grid Corp. of India Ltd. | 2,447 | 5,944 |
Reliance Industries Ltd. | 929 | 25,549 |
Shriram Finance Ltd. | 266 | 6,002 |
Tata Consultancy Services Ltd. | 302 | 12,222 |
Tata Consumer Products Ltd. | 312 | 3,378 |
Tata Steel Ltd. | 821 | 1,171 |
UltraTech Cement Ltd. | 69 | 6,930 |
UPL Ltd. | 729 | 4,734 |
WNS Holdings Ltd., ADR * | 12 | 630 |
256,465 | ||
Indonesia — 2.0% | ||
Bank Central Asia Tbk. PT | 23,016 | 12,680 |
Bank Mandiri Persero Tbk. PT | 5,703 | 2,038 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Indonesia — continued | ||
Bank Rakyat Indonesia Persero Tbk. PT | 29,479 | 9,217 |
Telkom Indonesia Persero Tbk. PT | 31,192 | 6,838 |
United Tractors Tbk. PT | 2,510 | 3,972 |
34,745 | ||
Malaysia — 1.1% | ||
CIMB Group Holdings Bhd. | 3,211 | 3,848 |
Malayan Banking Bhd. | 1,162 | 2,200 |
Petronas Chemicals Group Bhd. | 2,557 | 3,942 |
Public Bank Bhd. | 7,307 | 6,382 |
Tenaga Nasional Bhd. | 1,411 | 2,932 |
19,304 | ||
Mexico — 2.8% | ||
America Movil SAB de CV | 7,286 | 6,025 |
Cemex SAB de CV * | 3,956 | 2,367 |
Fomento Economico Mexicano SAB de CV | 321 | 3,632 |
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 300 | 3,508 |
Grupo Aeroportuario del Sureste SAB de CV, Class B | 179 | 3,861 |
Grupo Financiero Banorte SAB de CV, Class O | 1,091 | 8,839 |
Grupo Mexico SAB de CV | 1,212 | 5,032 |
Kimberly-Clark de Mexico SAB de CV, Class A | 1,579 | 2,894 |
Regional SAB de CV | 348 | 2,638 |
Wal-Mart de Mexico SAB de CV | 2,223 | 7,965 |
46,761 | ||
Panama — 0.1% | ||
Copa Holdings SA, Class A | 20 | 1,602 |
Peru — 0.4% | ||
Credicorp Ltd. | 51 | 6,381 |
Philippines — 0.2% | ||
Ayala Land, Inc. | 3,787 | 1,863 |
BDO Unibank, Inc. | 840 | 1,890 |
3,753 | ||
Poland — 0.3% | ||
Dino Polska SA * (b) | 25 | 2,374 |
Powszechny Zaklad Ubezpieczen SA | 305 | 3,448 |
5,822 | ||
Qatar — 0.6% | ||
Industries Qatar QSC | 1,042 | 3,499 |
Qatar National Bank QPSC | 1,642 | 6,716 |
10,215 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Russia — 0.1% | ||
Gazprom PJSC ‡ * | 4,581 | 235 |
Magnitogorsk Iron & Steel Works PJSC ‡ * | 3,146 | 36 |
MMC Norilsk Nickel PJSC, ADR ‡ * | — | — |
MMC Norilsk Nickel PJSC ‡ * | 41 | 176 |
Novatek PJSC ‡ | 165 | 50 |
Rosneft Oil Co. PJSC ‡ | 833 | 55 |
Sberbank of Russia PJSC ‡ | 3,172 | 89 |
Severstal PAO, GDR ‡ * (b) | 329 | 105 |
TCS Group Holding plc, GDR ‡ * (b) | 69 | 50 |
X5 Retail Group NV, GDR ‡ * (b) | 207 | 50 |
846 | ||
Saudi Arabia — 3.8% | ||
Al Rajhi Bank | 744 | 13,309 |
Alinma Bank | 545 | 4,782 |
Almarai Co. JSC | 243 | 3,618 |
Dr Sulaiman Al Habib Medical Services Group Co. | 12 | 814 |
Etihad Etisalat Co. | 316 | 3,881 |
SABIC Agri-Nutrients Co. | 94 | 3,369 |
Saudi Arabian Mining Co. * | 194 | 1,862 |
Saudi Arabian Oil Co. (b) | 788 | 7,004 |
Saudi Basic Industries Corp. | 376 | 7,726 |
Saudi National Bank (The) | 1,200 | 10,738 |
Saudi Telecom Co. | 726 | 7,438 |
64,541 | ||
South Africa — 3.8% | ||
Absa Group Ltd. | 199 | 1,813 |
Bid Corp. Ltd. | 252 | 5,347 |
Bidvest Group Ltd. (The) | 378 | 5,350 |
Capitec Bank Holdings Ltd. | 78 | 6,939 |
Clicks Group Ltd. | 394 | 5,804 |
Discovery Ltd. | 224 | 1,545 |
FirstRand Ltd. | 2,060 | 6,790 |
Foschini Group Ltd. (The) | 459 | 2,483 |
Gold Fields Ltd. | 156 | 2,060 |
Impala Platinum Holdings Ltd. | 339 | 1,412 |
MTN Group Ltd. | 807 | 3,941 |
Naspers Ltd., Class N * | 51 | 7,983 |
Sanlam Ltd. | 1,131 | 3,966 |
Standard Bank Group Ltd. | 701 | 6,883 |
Vodacom Group Ltd. | 275 | 1,498 |
63,814 | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
South Korea — 12.4% | ||
BGF retail Co. Ltd. | 17 | 1,721 |
Hana Financial Group, Inc. | 231 | 6,706 |
Hankook Tire & Technology Co. Ltd. | 67 | 1,914 |
HL Mando Co. Ltd. | 47 | 1,145 |
Hotel Shilla Co. Ltd. | 16 | 764 |
Hugel, Inc. * | 16 | 1,696 |
Hyundai Glovis Co. Ltd. | 36 | 4,573 |
Hyundai Marine & Fire Insurance Co. Ltd. | 72 | 1,689 |
Hyundai Mobis Co. Ltd. | 36 | 5,553 |
Hyundai Motor Co. | 23 | 2,906 |
KakaoBank Corp. | 95 | 1,285 |
KB Financial Group, Inc. | 183 | 6,962 |
Kia Corp. | 135 | 7,710 |
KIWOOM Securities Co. Ltd. | 26 | 1,566 |
LG Chem Ltd. | 25 | 8,035 |
LG Energy Solution Ltd. * | 9 | 2,440 |
LG H&H Co. Ltd. | 6 | 1,477 |
Lotte Chemical Corp. | 20 | 2,204 |
NAVER Corp. | 58 | 8,112 |
NCSoft Corp. | 14 | 2,454 |
Orion Corp. | 12 | 1,028 |
POSCO Holdings, Inc. | 20 | 6,203 |
Samsung Biologics Co. Ltd. * (b) | 12 | 6,239 |
Samsung C&T Corp. | 23 | 1,816 |
Samsung Electronics Co. Ltd. | 1,559 | 77,595 |
Samsung Engineering Co. Ltd. * | 84 | 1,487 |
Samsung Fire & Marine Insurance Co. Ltd. | 28 | 5,323 |
Samsung SDI Co. Ltd. | 8 | 2,471 |
Shinhan Financial Group Co. Ltd. | 201 | 5,168 |
SK Hynix, Inc. | 194 | 16,815 |
SK IE Technology Co. Ltd. * (b) | 28 | 1,236 |
SK Innovation Co. Ltd. * | 36 | 3,237 |
SK Telecom Co. Ltd. | 85 | 3,089 |
SK, Inc. | 14 | 1,514 |
SKC Co. Ltd. | 30 | 1,779 |
SM Entertainment Co. Ltd. | 22 | 1,645 |
S-Oil Corp. | 66 | 3,250 |
210,807 | ||
Taiwan — 14.4% | ||
Accton Technology Corp. | 397 | 6,151 |
Advantech Co. Ltd. | 592 | 6,082 |
ASE Technology Holding Co. Ltd. | 2,065 | 7,230 |
Asustek Computer, Inc. | 245 | 2,569 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 37 |
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Taiwan — continued | ||
AUO Corp. | 4,656 | 2,254 |
Chailease Holding Co. Ltd. | 1,049 | 5,694 |
Chunghwa Telecom Co. Ltd. | 1,458 | 5,215 |
CTBC Financial Holding Co. Ltd. | 9,271 | 6,982 |
Delta Electronics, Inc. | 767 | 6,912 |
E.Sun Financial Holding Co. Ltd. | 7,532 | 5,550 |
Eclat Textile Co. Ltd. | 210 | 3,342 |
eMemory Technology, Inc. | 43 | 2,694 |
Fubon Financial Holding Co. Ltd. | 3,616 | 6,725 |
Giant Manufacturing Co. Ltd. | 291 | 1,471 |
Hon Hai Precision Industry Co. Ltd. | 2,404 | 7,175 |
Largan Precision Co. Ltd. | 64 | 4,099 |
MediaTek, Inc. | 224 | 5,846 |
Mega Financial Holding Co. Ltd. | 1,492 | 1,693 |
Nan Ya Plastics Corp. | 1,977 | 3,783 |
Nien Made Enterprise Co. Ltd. | 235 | 2,079 |
Novatek Microelectronics Corp. | 195 | 2,746 |
President Chain Store Corp. | 449 | 3,572 |
Quanta Computer, Inc. | 590 | 3,484 |
Realtek Semiconductor Corp. | 448 | 5,583 |
Taiwan Mobile Co. Ltd. | 1,078 | 3,186 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 6,865 | 112,123 |
Uni-President Enterprises Corp. | 2,909 | 6,103 |
United Microelectronics Corp. | 3,043 | 4,376 |
Vanguard International Semiconductor Corp. | 474 | 1,029 |
Wiwynn Corp. | 79 | 3,733 |
Yuanta Financial Holding Co. Ltd. | 7,071 | 5,312 |
244,793 | ||
Thailand — 2.1% | ||
Airports of Thailand PCL * | 2,573 | 4,778 |
Bangkok Bank PCL | 392 | 1,715 |
CP ALL PCL | 1,027 | 1,569 |
Indorama Ventures PCL | 1,968 | 1,296 |
Kasikornbank PCL | 828 | 3,028 |
PTT Exploration & Production PCL | 1,251 | 5,715 |
PTT Exploration & Production PCL, NVDR | 85 | 387 |
PTT Global Chemical PCL | 2,058 | 1,977 |
PTT Global Chemical PCL, NVDR | 127 | 122 |
PTT PCL | 3,257 | 2,996 |
PTT PCL, NVDR | 138 | 127 |
SCB X PCL | 927 | 2,524 |
SCG Packaging PCL | 1,516 | 1,519 |
Siam Cement PCL (The), NVDR | 18 | 143 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Thailand — continued | ||
Siam Cement PCL (The) (Registered) | 544 | 4,359 |
Thai Oil PCL | 1,963 | 2,571 |
Thai Oil PCL, NVDR | 76 | 100 |
Thai Union Group PCL, Class F | 3,683 | 1,383 |
36,309 | ||
Turkey — 0.3% | ||
BIM Birlesik Magazalar A/S | 237 | 2,280 |
Ford Otomotiv Sanayi A/S | 54 | 1,500 |
KOC Holding A/S | 352 | 1,700 |
5,480 | ||
United Arab Emirates — 0.9% | ||
Dubai Islamic Bank PJSC | 2,183 | 3,209 |
Emaar Properties PJSC | 4,406 | 8,028 |
Emirates Telecommunications Group Co. PJSC | 463 | 2,329 |
First Abu Dhabi Bank PJSC | 665 | 2,294 |
15,860 | ||
United Kingdom — 0.1% | ||
Anglogold Ashanti plc | 116 | 2,139 |
United States — 0.2% | ||
Genpact Ltd. | 40 | 1,350 |
Globant SA * | 7 | 1,111 |
Parade Technologies Ltd. | 18 | 590 |
3,051 | ||
Total Common Stocks (Cost $1,730,557) | 1,663,570 | |
Short-Term Investments — 1.8% | ||
Investment Companies — 1.6% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (c) (d)(Cost $27,008) | 27,000 | 27,011 |
Investment of Cash Collateral from Securities Loaned — 0.2% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (c) (d) | 2,983 | 2,984 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (c) (d) | 1,215 | 1,215 |
Total Investment of Cash Collateral from Securities Loaned (Cost $4,199) | 4,199 | |
Total Short-Term Investments (Cost $31,207) | 31,210 | |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Total Investments — 99.7% (Cost $1,761,764) | 1,694,780 | |
Other Assets Less Liabilities — 0.3% | 5,551 | |
NET ASSETS — 100.0% | 1,700,331 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
NVDR | Non-Voting Depositary Receipt |
PJSC | Public Joint Stock Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
PT | Limited liability company |
‡ | Value determined using significant unobservable inputs. |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $4,025. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(d) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Banks | 16.7 % |
Semiconductors & Semiconductor Equipment | 10.2 |
Technology Hardware, Storage & Peripherals | 5.6 |
Oil, Gas & Consumable Fuels | 5.6 |
Interactive Media & Services | 5.2 |
Broadline Retail | 5.0 |
Insurance | 3.3 |
Metals & Mining | 3.2 |
Chemicals | 3.0 |
Automobiles | 2.7 |
Hotels, Restaurants & Leisure | 2.6 |
Consumer Staples Distribution & Retail | 2.2 |
Food Products | 2.1 |
IT Services | 2.0 |
Electronic Equipment, Instruments & Components | 1.7 |
Real Estate Management & Development | 1.7 |
Wireless Telecommunication Services | 1.6 |
Diversified Telecommunication Services | 1.5 |
Life Sciences Tools & Services | 1.4 |
Entertainment | 1.2 |
Machinery | 1.1 |
Financial Services | 1.1 |
Electrical Equipment | 1.0 |
Beverages | 1.0 |
Automobile Components | 1.0 |
Personal Care Products | 1.0 |
Others (each less than 1.0%) | 13.5 |
Short-Term Investments | 1.8 |
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
MSCI Emerging Markets E-Mini Index | 636 | 12/15/2023 | USD | 29,218 | (1,177 ) |
Abbreviations | |
MSCI | Morgan Stanley Capital International |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 39 |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 95.6% | ||
Australia — 0.8% | ||
Rio Tinto plc | 59 | 3,783 |
China — 1.7% | ||
Prosus NV * | 301 | 8,429 |
Denmark — 6.6% | ||
Carlsberg A/S, Class B | 62 | 7,430 |
Novo Nordisk A/S, Class B | 265 | 25,549 |
32,979 | ||
Finland — 1.6% | ||
Nordea Bank Abp | 762 | 8,027 |
France — 22.7% | ||
Air Liquide SA | 90 | 15,340 |
Amundi SA (a) | 1 | 52 |
BNP Paribas SA | 112 | 6,462 |
Elis SA | 49 | 809 |
Engie SA | 931 | 14,808 |
Gaztransport Et Technigaz SA | 34 | 4,344 |
Legrand SA | 87 | 7,564 |
LVMH Moet Hennessy Louis Vuitton SE | 7 | 4,780 |
Publicis Groupe SA | 95 | 7,229 |
Safran SA | 52 | 8,070 |
Sodexo SA | 58 | 6,150 |
SPIE SA | 178 | 4,689 |
Thales SA | 26 | 3,771 |
TotalEnergies SE | 273 | 18,255 |
Vinci SA | 99 | 10,992 |
113,315 | ||
Germany — 12.3% | ||
Allianz SE (Registered) | 51 | 11,975 |
CTS Eventim AG & Co. KGaA | 108 | 6,536 |
DWS Group GmbH & Co. KGaA (a) | 132 | 3,874 |
Heidelberg Materials AG | 73 | 5,322 |
HUGO BOSS AG | 56 | 3,275 |
KION Group AG | 97 | 2,969 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 26 | 10,274 |
RWE AG | 314 | 12,019 |
Scout24 SE (a) | 82 | 5,038 |
61,282 | ||
Ireland — 3.8% | ||
AIB Group plc | 1,399 | 6,073 |
Bank of Ireland Group plc | 733 | 6,573 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Ireland — continued | ||
Bank of Ireland Group plc | 7 | 64 |
Ryanair Holdings plc, ADR * | 72 | 6,366 |
19,076 | ||
Italy — 6.9% | ||
Buzzi SpA | 202 | 5,348 |
Coca-Cola HBC AG | 265 | 6,887 |
Prysmian SpA | 192 | 7,191 |
UniCredit SpA | 606 | 15,186 |
34,612 | ||
Jordan — 0.9% | ||
Hikma Pharmaceuticals plc | 203 | 4,707 |
Netherlands — 8.4% | ||
Koninklijke Ahold Delhaize NV | 366 | 10,839 |
Koninklijke KPN NV | 2,065 | 6,941 |
Shell plc | 748 | 24,085 |
41,865 | ||
Norway — 0.5% | ||
Aker Solutions ASA (a) | 597 | 2,383 |
Spain — 4.5% | ||
Banco Bilbao Vizcaya Argentaria SA | 981 | 7,717 |
Banco de Sabadell SA | 3,871 | 4,814 |
Industria de Diseno Textil SA (b) | 289 | 9,960 |
22,491 | ||
Sweden — 2.6% | ||
AAK AB | 197 | 3,756 |
Volvo AB, Class B | 460 | 9,112 |
12,868 | ||
Switzerland — 5.5% | ||
Accelleron Industries AG | 201 | 4,967 |
Logitech International SA (Registered) | 28 | 2,232 |
Novartis AG (Registered) | 217 | 20,276 |
27,475 | ||
United Kingdom — 11.6% | ||
3i Group plc | 385 | 9,069 |
Games Workshop Group plc | 37 | 4,436 |
Inchcape plc | 326 | 2,643 |
Melrose Industries plc | 1,187 | 6,761 |
Rolls-Royce Holdings plc * | 2,176 | 5,727 |
Rotork plc | 1,293 | 4,622 |
SSE plc | 347 | 6,886 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
Taylor Wimpey plc | 2,683 | 3,624 |
Weir Group plc (The) | 171 | 3,558 |
Whitbread plc | 258 | 10,472 |
57,798 | ||
United States — 5.2% | ||
GSK plc | 492 | 8,765 |
Schneider Electric SE | 51 | 7,808 |
Stellantis NV | 488 | 9,128 |
25,701 | ||
Total Common Stocks (Cost $432,038) | 476,791 | |
Short-Term Investments — 5.5% | ||
Investment Companies — 3.9% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (c) (d)(Cost $19,258) | 19,252 | 19,259 |
Investment of Cash Collateral from Securities Loaned — 1.6% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (c) (d)(Cost $7,929) | 7,929 | 7,929 |
Total Short-Term Investments (Cost $27,187) | 27,188 | |
Total Investments — 101.1% (Cost $459,225) | 503,979 | |
Liabilities in Excess of Other Assets — (1.1)% | (5,304 ) | |
NET ASSETS — 100.0% | 498,675 | |
Percentages indicated are based on net assets. |
Abbreviations | |
ADR | American Depositary Receipt |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $7,421. |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(d) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Pharmaceuticals | 11.8 % |
Banks | 10.9 |
Oil, Gas & Consumable Fuels | 9.3 |
Electrical Equipment | 5.5 |
Aerospace & Defense | 4.8 |
Insurance | 4.4 |
Machinery | 4.0 |
Hotels, Restaurants & Leisure | 3.3 |
Chemicals | 3.0 |
Multi-Utilities | 2.9 |
Beverages | 2.8 |
Capital Markets | 2.6 |
Independent Power and Renewable Electricity Producers | 2.4 |
Construction & Engineering | 2.2 |
Consumer Staples Distribution & Retail | 2.2 |
Construction Materials | 2.1 |
Specialty Retail | 2.0 |
Automobiles | 1.8 |
Broadline Retail | 1.7 |
Textiles, Apparel & Luxury Goods | 1.6 |
Media | 1.4 |
Diversified Telecommunication Services | 1.4 |
Electric Utilities | 1.4 |
Entertainment | 1.3 |
Passenger Airlines | 1.3 |
Commercial Services & Supplies | 1.1 |
Interactive Media & Services | 1.0 |
Others (each less than 1.0%) | 4.4 |
Short-Term Investments | 5.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 41 |
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
EURO STOXX 50 Index | 291 | 12/15/2023 | EUR | 12,575 | 95 |
FTSE 100 Index | 76 | 12/15/2023 | GBP | 6,784 | (8 ) |
87 |
Abbreviations | |
EUR | Euro |
FTSE | Financial Times and the London Stock Exchange |
GBP | British Pound |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 97.2% | ||
Australia — 2.7% | ||
BHP Group Ltd. | 2,083 | 58,960 |
BHP Group Ltd. | 530 | 15,085 |
Woodside Energy Group Ltd. | 1,294 | 28,172 |
Woodside Energy Group Ltd. | 160 | 3,497 |
105,714 | ||
Austria — 0.7% | ||
Erste Group Bank AG | 723 | 25,907 |
Belgium — 1.0% | ||
KBC Group NV | 698 | 38,434 |
Denmark — 3.9% | ||
Carlsberg A/S, Class B | 381 | 45,437 |
Genmab A/S * | 56 | 15,919 |
Novo Nordisk A/S, Class B | 974 | 93,914 |
155,270 | ||
France — 16.0% | ||
Air Liquide SA | 359 | 61,495 |
Airbus SE | 393 | 52,689 |
BNP Paribas SA | 636 | 36,589 |
Capgemini SE | 234 | 41,359 |
Engie SA | 3,171 | 50,439 |
Kering SA | 65 | 26,415 |
L'Oreal SA | 113 | 47,484 |
LVMH Moet Hennessy Louis Vuitton SE | 107 | 76,409 |
Pernod Ricard SA | 156 | 27,621 |
Safran SA | 438 | 68,501 |
Societe Generale SA | 1,170 | 26,292 |
TotalEnergies SE | 1,019 | 68,112 |
Vinci SA | 436 | 48,193 |
631,598 | ||
Germany — 8.1% | ||
Allianz SE (Registered) | 369 | 86,451 |
Deutsche Boerse AG | 282 | 46,345 |
Deutsche Post AG | 959 | 37,434 |
Infineon Technologies AG | 1,327 | 38,768 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 123 | 49,454 |
RWE AG | 1,550 | 59,306 |
317,758 | ||
Hong Kong — 2.8% | ||
AIA Group Ltd. | 6,480 | 56,269 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Hong Kong — continued | ||
Prudential plc | 2,924 | 30,581 |
Techtronic Industries Co. Ltd. | 2,474 | 22,587 |
109,437 | ||
India — 0.9% | ||
HDFC Bank Ltd., ADR | 621 | 35,123 |
Italy — 1.7% | ||
UniCredit SpA | 2,671 | 66,966 |
Japan — 20.2% | ||
Ajinomoto Co., Inc. | 731 | 26,691 |
Bridgestone Corp. | 1,213 | 45,906 |
Daikin Industries Ltd. | 339 | 48,934 |
Hoya Corp. | 425 | 40,953 |
Keyence Corp. | 162 | 62,597 |
Kyowa Kirin Co. Ltd. | 1,225 | 19,212 |
Mitsubishi UFJ Financial Group, Inc. | 5,420 | 45,468 |
Nippon Telegraph & Telephone Corp. | 60,615 | 71,331 |
Recruit Holdings Co. Ltd. | 1,160 | 33,255 |
Seven & i Holdings Co. Ltd. | 1,002 | 36,719 |
Shimano, Inc. | 281 | 40,409 |
Shin-Etsu Chemical Co. Ltd. | 2,038 | 60,940 |
SMC Corp. | 73 | 33,893 |
Sony Group Corp. | 869 | 72,248 |
Sumitomo Mitsui Financial Group, Inc. | 740 | 35,659 |
Terumo Corp. | 1,086 | 29,714 |
Tokio Marine Holdings, Inc. | 2,469 | 55,237 |
Tokyo Electron Ltd. | 282 | 37,236 |
796,402 | ||
Macau — 0.5% | ||
Sands China Ltd. * | 8,080 | 21,753 |
Netherlands — 6.0% | ||
ASML Holding NV | 144 | 86,678 |
Shell plc | 4,633 | 149,304 |
235,982 | ||
Singapore — 1.8% | ||
DBS Group Holdings Ltd. | 2,909 | 69,884 |
South Africa — 0.7% | ||
Anglo American plc | 1,106 | 28,170 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 43 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Korea — 1.2% | ||
Samsung Electronics Co. Ltd., GDR (a) | 23 | 29,185 |
Samsung Electronics Co. Ltd., GDR (a) | 16 | 19,508 |
48,693 | ||
Spain — 3.0% | ||
Iberdrola SA | 5,723 | 63,653 |
Industria de Diseno Textil SA (b) | 1,559 | 53,813 |
117,466 | ||
Sweden — 4.0% | ||
Atlas Copco AB, Class A | 3,061 | 39,632 |
Sandvik AB | 1,869 | 31,837 |
Svenska Handelsbanken AB, Class A | 3,595 | 30,652 |
Volvo AB, Class B | 2,915 | 57,757 |
159,878 | ||
Switzerland — 0.9% | ||
Cie Financiere Richemont SA (Registered) | 314 | 36,988 |
Taiwan — 0.7% | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 334 | 28,806 |
United Kingdom — 12.4% | ||
3i Group plc | 2,517 | 59,341 |
AstraZeneca plc | 708 | 88,576 |
BP plc | 12,507 | 76,369 |
Diageo plc | 1,313 | 49,648 |
InterContinental Hotels Group plc | 580 | 41,078 |
Lloyds Banking Group plc | 102,502 | 49,888 |
London Stock Exchange Group plc | 506 | 51,089 |
Next plc | 93 | 7,805 |
RELX plc | 1,827 | 63,741 |
487,535 | ||
United States — 8.0% | ||
Ferguson plc | 246 | 36,941 |
Nestle SA (Registered) | 1,184 | 127,649 |
Roche Holding AG | 279 | 71,928 |
Sanofi SA | 372 | 33,751 |
Stellantis NV | 2,535 | 47,364 |
317,633 | ||
Total Common Stocks (Cost $3,289,262) | 3,835,397 | |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — 3.5% | ||
Investment Companies — 2.4% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (c) (d)(Cost $95,462) | 95,433 | 95,471 |
Investment of Cash Collateral from Securities Loaned — 1.1% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (c) (d) | 37,995 | 38,003 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (c) (d) | 4,963 | 4,963 |
Total Investment of Cash Collateral from Securities Loaned (Cost $42,966) | 42,966 | |
Total Short-Term Investments (Cost $138,428) | 138,437 | |
Total Investments — 100.7% (Cost $3,427,690) | 3,973,834 | |
Liabilities in Excess of Other Assets — (0.7)% | (27,587 ) | |
NET ASSETS — 100.0% | 3,946,247 | |
Percentages indicated are based on net assets. |
Abbreviations | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(b) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $40,213. |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(d) | The rate shown is the current yield as of October 31, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. Morgan International Equity Funds | October 31, 2023 |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Banks | 11.6 % |
Oil, Gas & Consumable Fuels | 8.2 |
Pharmaceuticals | 7.7 |
Insurance | 7.0 |
Semiconductors & Semiconductor Equipment | 4.8 |
Machinery | 4.7 |
Capital Markets | 3.9 |
Food Products | 3.9 |
Textiles, Apparel & Luxury Goods | 3.5 |
Beverages | 3.1 |
Chemicals | 3.1 |
Aerospace & Defense | 3.1 |
Metals & Mining | 2.6 |
Professional Services | 2.4 |
Household Durables | 1.8 |
Diversified Telecommunication Services | 1.8 |
Health Care Equipment & Supplies | 1.8 |
Electric Utilities | 1.6 |
Hotels, Restaurants & Leisure | 1.6 |
Electronic Equipment, Instruments & Components | 1.6 |
Independent Power and Renewable Electricity Producers | 1.5 |
Specialty Retail | 1.4 |
Multi-Utilities | 1.3 |
Building Products | 1.2 |
Technology Hardware, Storage & Peripherals | 1.2 |
Construction & Engineering | 1.2 |
Personal Care Products | 1.2 |
Automobiles | 1.2 |
Automobile Components | 1.2 |
IT Services | 1.0 |
Leisure Products | 1.0 |
Others (each less than 1.0%) | 3.3 |
Short-Term Investments | 3.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 45 |
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 97.5% | ||
Australia — 2.2% | ||
BHP Group Ltd. | 1,067 | 30,345 |
Belgium — 1.9% | ||
KBC Group NV | 456 | 25,111 |
Canada — 6.5% | ||
Alimentation Couche-Tard, Inc. | 471 | 25,625 |
Canadian National Railway Co. | 294 | 31,063 |
Toronto-Dominion Bank (The) | 544 | 30,403 |
87,091 | ||
China — 4.5% | ||
JD.com, Inc., ADR | 479 | 12,190 |
Tencent Holdings Ltd. | 1,315 | 48,659 |
60,849 | ||
Denmark — 1.9% | ||
Novo Nordisk A/S, Class B | 273 | 26,372 |
France — 10.9% | ||
Air Liquide SA | 119 | 20,432 |
Engie SA | 1,336 | 21,242 |
Safran SA | 203 | 31,702 |
TotalEnergies SE | 645 | 43,151 |
Vinci SA | 275 | 30,451 |
146,978 | ||
Germany — 8.7% | ||
Allianz SE (Registered) | 158 | 37,087 |
Deutsche Boerse AG | 105 | 17,310 |
Deutsche Post AG | 501 | 19,564 |
Infineon Technologies AG | 467 | 13,627 |
RWE AG | 765 | 29,278 |
116,866 | ||
Hong Kong — 1.8% | ||
AIA Group Ltd. | 2,800 | 24,311 |
India — 2.3% | ||
HDFC Bank Ltd., ADR | 545 | 30,832 |
Indonesia — 2.6% | ||
Bank Central Asia Tbk. PT | 40,076 | 22,078 |
Telkom Indonesia Persero Tbk. PT | 56,902 | 12,474 |
34,552 | ||
Italy — 1.9% | ||
UniCredit SpA | 1,007 | 25,234 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — 12.6% | ||
Daikin Industries Ltd. | 111 | 16,033 |
Hoya Corp. | 142 | 13,709 |
Keyence Corp. | 50 | 19,201 |
Mitsubishi UFJ Financial Group, Inc. | 2,591 | 21,736 |
Nippon Telegraph & Telephone Corp. | 17,508 | 20,602 |
Seven & i Holdings Co. Ltd. | 498 | 18,235 |
Shin-Etsu Chemical Co. Ltd. | 606 | 18,112 |
Sony Group Corp. | 279 | 23,221 |
Tokio Marine Holdings, Inc. | 870 | 19,471 |
170,320 | ||
Mexico — 1.4% | ||
Wal-Mart de Mexico SAB de CV | 5,420 | 19,420 |
Netherlands — 6.7% | ||
ASML Holding NV | 42 | 25,321 |
Shell plc | 1,996 | 64,322 |
89,643 | ||
Singapore — 2.5% | ||
DBS Group Holdings Ltd. | 1,383 | 33,215 |
South Korea — 3.7% | ||
Samsung Electronics Co. Ltd. | 990 | 49,284 |
Spain — 1.4% | ||
Industria de Diseno Textil SA (a) | 531 | 18,337 |
Sweden — 1.5% | ||
Atlas Copco AB, Class A | 1,543 | 19,979 |
Taiwan — 3.4% | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 535 | 46,154 |
United Kingdom — 12.2% | ||
3i Group plc | 947 | 22,328 |
AstraZeneca plc | 112 | 13,992 |
BP plc | 4,756 | 29,041 |
Diageo plc | 499 | 18,894 |
InterContinental Hotels Group plc | 205 | 14,542 |
Lloyds Banking Group plc | 62,883 | 30,605 |
RELX plc | 982 | 34,257 |
163,659 | ||
United States — 6.9% | ||
Ferguson plc | 149 | 22,418 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Linde plc | 73 | 27,643 |
Nestle SA (Registered) | 398 | 42,929 |
92,990 | ||
Total Common Stocks (Cost $1,176,978) | 1,311,542 | |
Short-Term Investments — 3.5% | ||
Investment Companies — 2.4% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (b) (c)(Cost $32,820) | 32,813 | 32,826 |
Investment of Cash Collateral from Securities Loaned — 1.1% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (b) (c) | 11,998 | 12,000 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (b) (c) | 2,562 | 2,562 |
Total Investment of Cash Collateral from Securities Loaned (Cost $14,562) | 14,562 | |
Total Short-Term Investments (Cost $47,382) | 47,388 | |
Total Investments — 101.0% (Cost $1,224,360) | 1,358,930 | |
Liabilities in Excess of Other Assets — (1.0)% | (13,543 ) | |
NET ASSETS — 100.0% | 1,345,387 | |
Percentages indicated are based on net assets. |
Abbreviations | |
ADR | American Depositary Receipt |
PT | Limited liability company |
(a) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $13,635. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Banks | 16.1 % |
Oil, Gas & Consumable Fuels | 10.0 |
Semiconductors & Semiconductor Equipment | 6.3 |
Insurance | 6.0 |
Chemicals | 4.9 |
Consumer Staples Distribution & Retail | 4.7 |
Technology Hardware, Storage & Peripherals | 3.6 |
Interactive Media & Services | 3.6 |
Food Products | 3.2 |
Pharmaceuticals | 3.0 |
Capital Markets | 2.9 |
Professional Services | 2.5 |
Diversified Telecommunication Services | 2.4 |
Aerospace & Defense | 2.3 |
Ground Transportation | 2.3 |
Construction & Engineering | 2.2 |
Metals & Mining | 2.2 |
Independent Power and Renewable Electricity Producers | 2.2 |
Household Durables | 1.7 |
Trading Companies & Distributors | 1.6 |
Multi-Utilities | 1.6 |
Machinery | 1.5 |
Air Freight & Logistics | 1.4 |
Electronic Equipment, Instruments & Components | 1.4 |
Beverages | 1.4 |
Specialty Retail | 1.3 |
Building Products | 1.2 |
Hotels, Restaurants & Leisure | 1.1 |
Health Care Equipment & Supplies | 1.0 |
Broadline Retail | 0.9 |
Short-Term Investments | 3.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 47 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 95.6% | ||
Australia — 6.5% | ||
ANZ Group Holdings Ltd. | 13 | 203 |
Aurizon Holdings Ltd. | 29 | 62 |
BHP Group Ltd. | 59 | 1,682 |
Brambles Ltd. | 17 | 138 |
Commonwealth Bank of Australia | 11 | 680 |
Dexus, REIT | 18 | 73 |
Glencore plc | 22 | 117 |
Goodman Group, REIT | 44 | 577 |
GPT Group (The), REIT | 37 | 86 |
Insurance Australia Group Ltd. | 42 | 153 |
Macquarie Group Ltd. | 5 | 536 |
Medibank Pvt Ltd. | 113 | 246 |
Mirvac Group, REIT | 131 | 152 |
National Australia Bank Ltd. | 17 | 309 |
Newcrest Mining Ltd. | 7 | 112 |
QBE Insurance Group Ltd. | 41 | 406 |
Rio Tinto Ltd. | 18 | 1,308 |
Rio Tinto plc | 8 | 524 |
Santos Ltd. | 90 | 439 |
Wesfarmers Ltd. | 7 | 229 |
Westpac Banking Corp. | 49 | 650 |
Woodside Energy Group Ltd. | 7 | 154 |
Woolworths Group Ltd. | 23 | 506 |
9,342 | ||
Belgium — 0.5% | ||
KBC Group NV | 12 | 651 |
China — 0.6% | ||
BOC Hong Kong Holdings Ltd. | 106 | 280 |
Prosus NV * | 16 | 461 |
Xinyi Glass Holdings Ltd. | 48 | 55 |
796 | ||
Denmark — 3.2% | ||
Carlsberg A/S, Class B | 6 | 664 |
Genmab A/S * | — | 135 |
Novo Nordisk A/S, Class B | 40 | 3,905 |
4,704 | ||
Finland — 0.9% | ||
Nokia OYJ | 55 | 182 |
Nordea Bank Abp | 112 | 1,186 |
1,368 | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — 12.0% | ||
Air Liquide SA | 11 | 1,906 |
Airbus SE | 7 | 964 |
AXA SA | 7 | 216 |
BNP Paribas SA | 19 | 1,067 |
Capgemini SE | 7 | 1,167 |
Engie SA | 65 | 1,043 |
Kering SA | 1 | 300 |
Legrand SA | 11 | 960 |
L'Oreal SA | 4 | 1,794 |
LVMH Moet Hennessy Louis Vuitton SE | 4 | 2,773 |
Orange SA | 57 | 671 |
Pernod Ricard SA | 2 | 317 |
Safran SA | 7 | 1,091 |
Societe Generale SA | 23 | 518 |
TotalEnergies SE | 15 | 1,015 |
Vinci SA | 14 | 1,539 |
17,341 | ||
Germany — 7.7% | ||
adidas AG | 2 | 358 |
Allianz SE (Registered) | 8 | 1,965 |
BASF SE | 2 | 73 |
Bayer AG (Registered) | 7 | 283 |
Brenntag SE | 2 | 126 |
Deutsche Post AG | 20 | 802 |
Deutsche Telekom AG (Registered) | 53 | 1,151 |
Dr Ing hc F Porsche AG (Preference) (a) | 4 | 326 |
Infineon Technologies AG | 33 | 960 |
Mercedes-Benz Group AG | 4 | 235 |
Merck KGaA | 1 | 202 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 2 | 942 |
RWE AG | 29 | 1,108 |
SAP SE | 10 | 1,342 |
Siemens AG (Registered) | 7 | 967 |
Symrise AG | 1 | 91 |
Zalando SE * (b) | 7 | 154 |
11,085 | ||
Hong Kong — 2.0% | ||
AIA Group Ltd. | 122 | 1,060 |
CK Asset Holdings Ltd. | 46 | 230 |
CLP Holdings Ltd. | 11 | 77 |
Hong Kong Exchanges & Clearing Ltd. | 16 | 556 |
Link, REIT | 19 | 88 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Hong Kong — continued | ||
Prudential plc | 37 | 392 |
Sun Hung Kai Properties Ltd. | 20 | 200 |
Techtronic Industries Co. Ltd. | 39 | 356 |
2,959 | ||
Ireland — 0.4% | ||
Kingspan Group plc | 7 | 433 |
Kingspan Group plc | 3 | 214 |
647 | ||
Italy — 1.0% | ||
Enel SpA | 26 | 167 |
FinecoBank Banca Fineco SpA | 36 | 420 |
UniCredit SpA | 34 | 851 |
1,438 | ||
Japan — 23.3% | ||
AGC, Inc. | 6 | 194 |
Ajinomoto Co., Inc. | 20 | 749 |
Asahi Group Holdings Ltd. | 21 | 763 |
Asahi Kasei Corp. | 31 | 190 |
Bridgestone Corp. | 20 | 768 |
Central Japan Railway Co. | 32 | 720 |
Daiichi Sankyo Co. Ltd. | 37 | 959 |
Daikin Industries Ltd. | 5 | 750 |
Daiwa House Industry Co. Ltd. | 25 | 685 |
Denso Corp. | 48 | 703 |
Dentsu Group, Inc. | 24 | 697 |
Fast Retailing Co. Ltd. | 1 | 133 |
Fuji Electric Co. Ltd. | 9 | 362 |
Hitachi Ltd. | 18 | 1,128 |
Honda Motor Co. Ltd. | 86 | 882 |
Hoya Corp. | 9 | 905 |
ITOCHU Corp. | 28 | 1,023 |
Japan Airlines Co. Ltd. | 7 | 125 |
Keyence Corp. | 4 | 1,355 |
Komatsu Ltd. | 3 | 62 |
Konami Group Corp. | 7 | 337 |
Kyowa Kirin Co. Ltd. | 26 | 408 |
Mitsubishi Corp. | 28 | 1,301 |
Mitsubishi UFJ Financial Group, Inc. | 60 | 501 |
Mitsui Fudosan Co. Ltd. | 32 | 687 |
Murata Manufacturing Co. Ltd. | 38 | 648 |
NIDEC Corp. | 3 | 99 |
Nintendo Co. Ltd. | 6 | 264 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
Nippon Paint Holdings Co. Ltd. | 14 | 91 |
Nippon Steel Corp. | 7 | 140 |
Nippon Telegraph & Telephone Corp. | 753 | 886 |
Nomura Research Institute Ltd. | 16 | 415 |
ORIX Corp. | 33 | 607 |
Osaka Gas Co. Ltd. | 9 | 177 |
Otsuka Corp. | 11 | 461 |
Recruit Holdings Co. Ltd. | 12 | 347 |
Renesas Electronics Corp. * | 18 | 234 |
Seven & i Holdings Co. Ltd. | 11 | 388 |
Shimadzu Corp. | 6 | 140 |
Shin-Etsu Chemical Co. Ltd. | 43 | 1,301 |
Shionogi & Co. Ltd. | 8 | 382 |
Shiseido Co. Ltd. | 13 | 400 |
SoftBank Group Corp. | 5 | 184 |
Sony Group Corp. | 18 | 1,530 |
Sumitomo Electric Industries Ltd. | 37 | 390 |
Sumitomo Metal Mining Co. Ltd. | 15 | 430 |
Sumitomo Mitsui Financial Group, Inc. | 28 | 1,350 |
Suzuki Motor Corp. | 16 | 625 |
T&D Holdings, Inc. | 42 | 758 |
Takeda Pharmaceutical Co. Ltd. | 4 | 106 |
Terumo Corp. | 27 | 747 |
Tokio Marine Holdings, Inc. | 42 | 937 |
Tokyo Electron Ltd. | 9 | 1,255 |
Toyota Motor Corp. | 92 | 1,604 |
Yamato Holdings Co. Ltd. | 25 | 411 |
33,694 | ||
Macau — 0.1% | ||
Sands China Ltd. * | 62 | 168 |
Netherlands — 6.0% | ||
Adyen NV * (b) | — | 153 |
ASML Holding NV | 5 | 3,209 |
Koninklijke Ahold Delhaize NV | 14 | 399 |
Koninklijke KPN NV | 214 | 719 |
NN Group NV | 21 | 687 |
Shell plc | 91 | 2,931 |
Wolters Kluwer NV | 5 | 625 |
8,723 | ||
Singapore — 1.0% | ||
DBS Group Holdings Ltd. | 36 | 855 |
Oversea-Chinese Banking Corp. Ltd. | 19 | 174 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 49 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Singapore — continued | ||
Sea Ltd., ADR * | 3 | 149 |
United Overseas Bank Ltd. | 17 | 337 |
1,515 | ||
South Korea — 0.1% | ||
Delivery Hero SE * (b) | 3 | 87 |
Spain — 2.0% | ||
Banco Bilbao Vizcaya Argentaria SA | 53 | 419 |
Banco Santander SA | 66 | 242 |
Iberdrola SA | 138 | 1,530 |
Industria de Diseno Textil SA | 22 | 761 |
2,952 | ||
Sweden — 2.5% | ||
Atlas Copco AB, Class A | 100 | 1,293 |
Sandvik AB | 20 | 342 |
Skandinaviska Enskilda Banken AB, Class A | 64 | 712 |
Volvo AB, Class B | 63 | 1,245 |
3,592 | ||
Switzerland — 5.0% | ||
Cie Financiere Richemont SA (Registered) | 7 | 771 |
DSM-Firmenich AG | 4 | 382 |
Givaudan SA (Registered) | — | 170 |
Julius Baer Group Ltd. | 4 | 268 |
Lonza Group AG (Registered) | 2 | 844 |
Novartis AG (Registered) | 20 | 1,873 |
Sandoz Group AG * | 4 | 104 |
SGS SA (Registered) | 6 | 532 |
Sika AG (Registered) | 4 | 851 |
UBS Group AG (Registered) | 20 | 460 |
Zurich Insurance Group AG | 2 | 986 |
7,241 | ||
United Kingdom — 13.0% | ||
3i Group plc | 58 | 1,368 |
AstraZeneca plc | 21 | 2,683 |
Barclays plc | 415 | 665 |
Berkeley Group Holdings plc | 14 | 669 |
BP plc | 350 | 2,135 |
British American Tobacco plc | 14 | 430 |
Centrica plc | 114 | 218 |
DCC plc | 4 | 226 |
Diageo plc | 39 | 1,472 |
HSBC Holdings plc | 118 | 851 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United Kingdom — continued | ||
InterContinental Hotels Group plc | 12 | 824 |
Intertek Group plc | 2 | 92 |
Lloyds Banking Group plc | 1,649 | 802 |
London Stock Exchange Group plc | 4 | 414 |
National Grid plc | 18 | 218 |
Reckitt Benckiser Group plc | 10 | 692 |
RELX plc | 48 | 1,669 |
SSE plc | 45 | 897 |
Standard Chartered plc | 109 | 836 |
Taylor Wimpey plc | 117 | 158 |
Tesco plc | 217 | 713 |
Unilever plc | 17 | 805 |
18,837 | ||
United States — 7.8% | ||
CSL Ltd. | 5 | 673 |
GSK plc | 62 | 1,115 |
Nestle SA (Registered) | 33 | 3,545 |
Roche Holding AG | 10 | 2,476 |
Sanofi SA | 5 | 444 |
Schneider Electric SE | 10 | 1,573 |
Stellantis NV | 79 | 1,483 |
11,309 | ||
Total Common Stocks (Cost $120,453) | 138,449 | |
NO. OF CONTRACTS | ||
Options Purchased — 1.8% | ||
Put Options Purchased — 1.8% | ||
United States — 1.8% | ||
MSCI EAFE Index | ||
12/29/2023 at USD 1,925.00, European Style | ||
Notional Amount: USD 4,878 | ||
Counterparty: Exchange-Traded * (Cost $1,721) | 729 | 2,613 |
SHARES (000) | ||
Short-Term Investments — 2.5% | ||
Investment Companies — 2.5% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.21% (c) (d)(Cost $3,627) | 3,627 | 3,627 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. Morgan International Equity Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Total Investments — 99.9% (Cost $125,801) | 144,689 | |
Other Assets Less Liabilities — 0.1% | 139 | |
NET ASSETS — 100.0% | 144,828 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ADR | American Depositary Receipt |
EAFE | Europe, Australasia and Far East |
MSCI | Morgan Stanley Capital International |
OYJ | Public Limited Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
REIT | Real Estate Investment Trust |
USD | United States Dollar |
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(d) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Pharmaceuticals | 10.3 % |
Banks | 10.1 |
Insurance | 6.0 |
Oil, Gas & Consumable Fuels | 4.6 |
Semiconductors & Semiconductor Equipment | 3.9 |
Automobiles | 3.6 |
Chemicals | 3.5 |
Metals & Mining | 3.0 |
Food Products | 3.0 |
Textiles, Apparel & Luxury Goods | 2.9 |
Capital Markets | 2.5 |
Diversified Telecommunication Services | 2.4 |
Machinery | 2.3 |
Professional Services | 2.3 |
Beverages | 2.2 |
Personal Care Products | 2.1 |
Electrical Equipment | 2.1 |
Electric Utilities | 1.8 |
Index Funds | 1.8 |
Trading Companies & Distributors | 1.7 |
Household Durables | 1.6 |
Industrial Conglomerates | 1.6 |
Electronic Equipment, Instruments & Components | 1.5 |
Aerospace & Defense | 1.4 |
IT Services | 1.4 |
Consumer Staples Distribution & Retail | 1.4 |
Automobile Components | 1.3 |
Real Estate Management & Development | 1.2 |
Health Care Equipment & Supplies | 1.1 |
Building Products | 1.1 |
Construction & Engineering | 1.1 |
Multi-Utilities | 1.0 |
Others (each less than 1.0%) | 9.7 |
Short-Term Investments | 2.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 51 |
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
MSCI EAFE E-Mini Index | 22 | 12/15/2023 | USD | 2,172 | (45 ) |
SPI 200 Index | 18 | 12/21/2023 | AUD | 1,946 | (130 ) |
(175 ) |
Abbreviations | |
AUD | Australian Dollar |
EAFE | Europe, Australasia and Far East |
MSCI | Morgan Stanley Capital International |
SPI | Australian Securities Exchange |
USD | United States Dollar |
Written Call Options Contracts as of October 31, 2023 (amounts in thousands, except number of contracts): | ||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) |
MSCI EAFE Index | Exchange-Traded | 729 | USD 4,878 | USD 2,140.00 | 12/29/2023 | (353 ) |
Written Put Options Contracts as of October 31, 2023 (amounts in thousands, except number of contracts): | ||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) |
MSCI EAFE Index | Exchange-Traded | 729 | USD 4,879 | USD 1,620.00 | 12/29/2023 | (310 ) |
Total Written Options Contracts (Premiums Received $1,762) | (663 ) | |||||
Abbreviations | |
EAFE | Europe, Australasia and Far East |
MSCI | Morgan Stanley Capital International |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. Morgan International Equity Funds | October 31, 2023 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023
(Amounts in thousands, except per share amounts)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |
ASSETS: | |||
Investments in non-affiliates, at value | $440,262 | $7,077,737 | $1,663,570 |
Investments in affiliates, at value | 20,785 | 46,878 | 27,011 |
Investments of cash collateral received from securities loaned, at value (See Note 2.C.) | 1,026 | — | 4,199 |
Cash | — | 316 | 7,087 |
Foreign currency, at value | 362 | — | 147 |
Deposits at broker for futures contracts | 763 | — | 858 |
Receivables: | |||
Investment securities sold | 1,464 | — | 142 |
Fund shares sold | 964 | 4,696 | 5,207 |
Dividends from non-affiliates | 1,665 | 4,876 | 2,502 |
Dividends from affiliates | 102 | 314 | 183 |
Tax reclaims | 1,755 | 93 | 52 |
Securities lending income (See Note 2.C.) | — (a) | — | 11 |
Variation margin on futures contracts | 159 | — | — |
Total Assets | 469,307 | 7,134,910 | 1,710,969 |
LIABILITIES: | |||
Payables: | |||
Due to custodian | 361 | — | — |
Investment securities purchased | 4,065 | 15,942 | 2,701 |
Collateral received on securities loaned (See Note 2.C.) | 1,026 | — | 4,199 |
Fund shares redeemed | 556 | 15,020 | 146 |
Variation margin on futures contracts | — | — | 207 |
IRS compliance fees for foreign withholding tax claims (See Note 2.K.) | 3,492 | — | — |
Accrued liabilities: | |||
Investment advisory fees | 172 | 4,093 | 318 |
Administration fees | 1 | 420 | 80 |
Distribution fees | 45 | 93 | — |
Service fees | 43 | 444 | 7 |
Custodian and accounting fees | 21 | 635 | 311 |
Trustees’ and Chief Compliance Officer’s fees | — (a) | — (a) | — (a) |
Deferred foreign capital gains tax | — | 16,938 | 2,570 |
Other | 266 | 611 | 99 |
Total Liabilities | 10,048 | 54,196 | 10,638 |
Net Assets | $459,259 | $7,080,714 | $1,700,331 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 53 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |
NET ASSETS: | |||
Paid-in-Capital | $500,856 | $7,043,141 | $2,123,711 |
Total distributable earnings (loss) | (41,597 ) | 37,573 | (423,380 ) |
Total Net Assets | $459,259 | $7,080,714 | $1,700,331 |
Net Assets: | |||
Class A | $201,868 | $331,397 | $— |
Class C | 1,631 | 28,563 | — |
Class I | 42,728 | 1,610,205 | 155,553 |
Class L | 6,205 | 1,195,188 | — |
Class R2 | 511 | 471 | — |
Class R3 | — | 11,548 | — |
Class R4 | — | 2,516 | — |
Class R5 | 49 | 13,585 | — |
Class R6 | 206,267 | 3,887,241 | 1,544,778 |
Total | $459,259 | $7,080,714 | $1,700,331 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||
Class A | 16,313 | 12,648 | — |
Class C | 136 | 1,143 | — |
Class I | 3,348 | 59,869 | 10,741 |
Class L | 489 | 44,081 | — |
Class R2 | 42 | 18 | — |
Class R3 | — | 445 | — |
Class R4 | — | 94 | — |
Class R5 | 4 | 501 | — |
Class R6 | 16,347 | 143,487 | 107,224 |
Net Asset Value (a): | |||
Class A — Redemption price per share | $12.37 | $26.20 | $— |
Class C — Offering price per share (b) | 11.99 | 24.97 | — |
Class I — Offering and redemption price per share | 12.76 | 26.90 | 14.48 |
Class L — Offering and redemption price per share | 12.69 | 27.11 | — |
Class R2 — Offering and redemption price per share | 12.14 | 25.76 | — |
Class R3 — Offering and redemption price per share | — | 25.97 | — |
Class R4 — Offering and redemption price per share | — | 26.77 | — |
Class R5 — Offering and redemption price per share | 12.62 | 27.10 | — |
Class R6 — Offering and redemption price per share | 12.62 | 27.09 | 14.41 |
Class A maximum sales charge | 5.25 % | 5.25 % | — % |
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $13.06 | $27.65 | $— |
Cost of investments in non-affiliates | $402,305 | $6,475,307 | $1,730,557 |
Cost of investments in affiliates | 20,782 | 46,875 | 27,008 |
Cost of foreign currency | 362 | — | 148 |
Investment securities on loan, at value (See Note 2.C.) | 995 | — | 4,025 |
Cost of investment of cash collateral (See Note 2.C.) | 1,026 | — | 4,199 |
(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.
54 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund | |
ASSETS: | ||||
Investments in non-affiliates, at value | $476,791 | $3,835,397 | $1,311,542 | $138,449 |
Investments in affiliates, at value | 19,259 | 95,471 | 32,826 | 3,627 |
Investments of cash collateral received from securities loaned, at value (See Note 2.C.) | 7,929 | 42,966 | 14,562 | — |
Options purchased, at value | — | — | — | 2,613 |
Cash | 297 | 96 | 65 | 721 |
Foreign currency, at value | 291 | 46 | — | 53 |
Deposits at broker for futures contracts | 1,243 | — | — | 239 |
Receivables: | ||||
Investment securities sold | 1,298 | — | — | 2 |
Fund shares sold | 7 | 3,310 | 841 | 58 |
Dividends from non-affiliates | 364 | 7,023 | 2,067 | 326 |
Dividends from affiliates | 57 | 374 | 161 | 14 |
Tax reclaims | 3,328 | 8,228 | 4,611 | 561 |
Securities lending income (See Note 2.C.) | 1 | 2 | 2 | — |
Variation margin on futures contracts | 141 | — | — | — |
Total Assets | 511,006 | 3,992,913 | 1,366,677 | 146,663 |
LIABILITIES: | ||||
Payables: | ||||
Due to broker | — | — | — | 7 |
Investment securities purchased | 2,775 | — | — | 5 |
Collateral received on securities loaned (See Note 2.C.) | 7,929 | 42,966 | 14,562 | — |
Fund shares redeemed | 1,145 | 1,538 | 5,733 | 998 |
Outstanding options written, at fair value | — | — | — | 663 |
Accrued liabilities: | ||||
Investment advisory fees | 255 | 1,475 | 574 | 17 |
Administration fees | 32 | 117 | 11 | — |
Distribution fees | 16 | 80 | 74 | 2 |
Service fees | 34 | 184 | 144 | 31 |
Custodian and accounting fees | 21 | 91 | 40 | 14 |
Other | 124 | 215 | 152 | 98 |
Total Liabilities | 12,331 | 46,666 | 21,290 | 1,835 |
Net Assets | $498,675 | $3,946,247 | $1,345,387 | $144,828 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 55 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund | |
NET ASSETS: | ||||
Paid-in-Capital | $584,722 | $3,564,614 | $1,373,275 | $151,095 |
Total distributable earnings (loss) | (86,047 ) | 381,633 | (27,888 ) | (6,267 ) |
Total Net Assets | $498,675 | $3,946,247 | $1,345,387 | $144,828 |
Net Assets: | ||||
Class A | $68,564 | $351,211 | $300,017 | $9,103 |
Class C | 2,224 | 4,792 | 12,146 | 263 |
Class I | 98,625 | 735,195 | 540,456 | 133,818 |
Class L | 7,155 | — | — | — |
Class R2 | — | 2,888 | 1,311 | — |
Class R5 | — | 6,539 | 1,837 | 22 |
Class R6 | 322,107 | 2,845,622 | 489,620 | 1,622 |
Total | $498,675 | $3,946,247 | $1,345,387 | $144,828 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||
Class A | 2,570 | 21,239 | 13,806 | 612 |
Class C | 95 | 308 | 569 | 18 |
Class I | 3,615 | 43,608 | 24,482 | 8,905 |
Class L | 258 | — | — | — |
Class R2 | — | 177 | 61 | — |
Class R5 | — | 386 | 83 | 1 |
Class R6 | 11,703 | 168,112 | 22,156 | 108 |
Net Asset Value (a): | ||||
Class A — Redemption price per share | $26.68 | $16.54 | $21.73 | $14.88 |
Class C — Offering price per share (b) | 23.50 | 15.54 | 21.36 | 14.87 |
Class I — Offering and redemption price per share | 27.28 | 16.86 | 22.08 | 15.03 |
Class L — Offering and redemption price per share | 27.71 | — | — | — |
Class R2 — Offering and redemption price per share | — | 16.28 | 21.53 | — |
Class R5 — Offering and redemption price per share | — | 16.96 | 22.07 | 15.06 |
Class R6 — Offering and redemption price per share | 27.52 | 16.93 | 22.10 | 15.07 |
Class A maximum sales charge | 5.25 % | 5.25 % | 5.25 % | 5.25 % |
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $28.16 | $17.46 | $22.93 | $15.70 |
Cost of investments in non-affiliates | $432,038 | $3,289,262 | $1,176,978 | $120,453 |
Cost of investments in affiliates | 19,258 | 95,462 | 32,820 | 3,627 |
Cost of options purchased | — | — | — | 1,721 |
Cost of foreign currency | 291 | 50 | — | 53 |
Investment securities on loan, at value (See Note 2.C.) | 7,421 | 40,213 | 13,635 | — |
Cost of investment of cash collateral (See Note 2.C.) | 7,929 | 42,966 | 14,562 | — |
Premiums received from options written | — | — | — | 1,762 |
(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.
56 | J.P. Morgan International Equity Funds | October 31, 2023 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023
(Amounts in thousands)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $4 | $47 | $19 |
Interest income from affiliates | 1 | 70 | 51 |
Dividend income from non-affiliates | 22,502 | 153,647 | 68,395 |
Dividend income from affiliates | 576 | 5,161 | 957 |
Income from securities lending (net) (See Note 2.C.) | 40 | 124 | 118 |
Foreign taxes withheld (net) | (2,171 ) | (17,116 ) | (7,362 ) |
Foreign withholding tax claims (See Note 2.K.) | 5,991 | — | — |
IRS compliance fees for foreign withholding tax claims (See Note 2.K.) | (3,492 ) | — | — |
Total investment income | 23,451 | 141,933 | 62,178 |
EXPENSES: | |||
Investment advisory fees | 2,437 | 54,636 | 5,762 |
Administration fees | 332 | 6,026 | 1,729 |
Distribution fees: | |||
Class A | 493 | 955 | — |
Class C | 14 | 272 | — |
Class R2 | 3 | 3 | — |
Class R3 | — | 31 | — |
Service fees: | |||
Class A | 493 | 955 | — |
Class C | 5 | 91 | — |
Class I | 88 | 4,991 | 534 |
Class L | 7 | 1,413 | — |
Class R2 | 1 | 1 | — |
Class R3 | — | 31 | — |
Class R4 | — | 7 | — |
Class R5 | — (a) | 15 | — |
Custodian and accounting fees | 110 | 2,932 | 1,684 |
Interest expense to affiliates | 1 | 112 | 433 |
Professional fees | 232 | 218 | 138 |
Trustees’ and Chief Compliance Officer’s fees | 27 | 55 | 34 |
Printing and mailing costs | 88 | 635 | 114 |
Registration and filing fees | 93 | 181 | 116 |
Transfer agency fees (See Note 2.I.) | 20 | 259 | 44 |
Other | 17 | 103 | 61 |
Total expenses | 4,461 | 73,922 | 10,649 |
Less fees waived | (1,052 ) | (2,930 ) | (1,958 ) |
Less expense reimbursements | (7 ) | (102 ) | (2 ) |
Net expenses | 3,402 | 70,890 | 8,689 |
Net investment income (loss) | 20,049 | 71,043 | 53,489 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 57 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023 (continued)
(Amounts in thousands)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | 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 | $107 | $(227,432 )(a) | $(136,129 )(b) |
Investments in affiliates | (4 ) | (45 ) | 5 |
Futures contracts | — | — | 4,453 |
Foreign currency transactions | 86 | (916 ) | (434 ) |
Net realized gain (loss) | 189 | (228,393 ) | (132,105 ) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | 57,247 | 942,322 (c) | 469,741 (d) |
Investments in affiliates | 3 | 1 | 5 |
Futures contracts | (337 ) | — | (743 ) |
Foreign currency translations | 138 | 605 | (40 ) |
Change in net unrealized appreciation/depreciation | 57,051 | 942,928 | 468,963 |
Net realized/unrealized gains (losses) | 57,240 | 714,535 | 336,858 |
Change in net assets resulting from operations | $77,289 | $785,578 | $390,347 |
(a)
Net of foreign capital gains tax of $(22,209).
(b)
Net of foreign capital gains tax of $(5,957).
(c)
Net of change in foreign capital gains tax of $15,378.
(d)
Net of change in foreign capital gains tax of $3,912.
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund | |
INVESTMENT INCOME: | ||||
Interest income from non-affiliates | $40 | $51 | $10 | $22 |
Interest income from affiliates | 4 | 7 | 7 | 9 |
Dividend income from non-affiliates | 18,970 | 127,785 | 37,798 | 4,688 |
Dividend income from affiliates | 562 | 4,174 | 1,428 | 219 |
Income from securities lending (net) (See Note 2.C.) | 192 | 990 | 168 | — |
Foreign taxes withheld (net) | (2,220 ) | (11,974 ) | (3,254 ) | (429 ) |
Foreign withholding tax claims (See Note 2.K.) | 425 | 2,629 | — | — |
Total investment income | 17,973 | 123,662 | 36,157 | 4,509 |
EXPENSES: | ||||
Investment advisory fees | 3,530 | 21,692 | 8,100 | 378 |
Administration fees | 441 | 3,254 | 1,013 | 114 |
Distribution fees: | ||||
Class A | 184 | 906 | 734 | 24 |
Class C | 35 | 47 | 113 | 2 |
Class R2 | — | 63 | 8 | — |
Service fees: | ||||
Class A | 184 | 906 | 734 | 24 |
Class C | 11 | 16 | 38 | 1 |
Class I | 271 | 1,675 | 1,379 | 352 |
Class L | 14 | — | — | — |
Class R2 | — | 31 | 4 | — |
Class R5 | — | 8 | 3 | — |
Custodian and accounting fees | 124 | 550 | 119 | 88 |
Interest expense to affiliates | 3 | 30 | 6 | 15 |
Professional fees | 114 | 187 | 74 | 98 |
Trustees’ and Chief Compliance Officer’s fees | 28 | 40 | 30 | 26 |
Printing and mailing costs | 39 | 266 | 137 | 39 |
Registration and filing fees | 86 | 120 | 102 | 46 |
Transfer agency fees (See Note 2.I.) | 20 | 107 | 60 | 2 |
Other | 22 | 70 | 28 | 19 |
Total expenses | 5,106 | 29,968 | 12,682 | 1,228 |
Less fees waived | (48 ) | (5,275 ) | (2,722 ) | (287 ) |
Less expense reimbursements | (2 ) | (11 ) | (2 ) | (2 ) |
Net expenses | 5,056 | 24,682 | 9,958 | 939 |
Net investment income (loss) | 12,917 | 98,980 | 26,199 | 3,570 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 59 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023 (continued)
(Amounts in thousands)
JPMorgan Europe Dynamic Fund | 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 | $16,584 | $26,889 | $24,142 | $(5,307 ) |
Investments in affiliates | (10 ) | (131 ) | 3 | — |
Options purchased | — | — | — | (10,694 ) |
Futures contracts | 1,664 | — | — | 592 |
Foreign currency transactions | (51 ) | 709 | (1,162 ) | (9 ) |
Options written | — | — | — | (7,599 ) |
Net realized gain (loss) | 18,187 | 27,467 | 22,983 | (23,017 ) |
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 49,453 | 468,388 | 118,530 | 27,051 |
Investments in affiliates | 1 | 4 | 4 | — |
Options purchased | — | — | — | 3,602 |
Futures contracts | 73 | — | — | (305 ) |
Foreign currency translations | 240 | 713 | 375 | 27 |
Options written | — | — | — | 1,884 |
Change in net unrealized appreciation/depreciation | 49,767 | 469,105 | 118,909 | 32,259 |
Net realized/unrealized gains (losses) | 67,954 | 496,572 | 141,892 | 9,242 |
Change in net assets resulting from operations | $80,871 | $595,552 | $168,091 | $12,812 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. Morgan International Equity Funds | October 31, 2023 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $20,049 | $15,106 | $71,043 | $53,465 |
Net realized gain (loss) | 189 | (9,861 ) | (228,393 ) | (335,160 ) |
Change in net unrealized appreciation/depreciation | 57,051 | (78,994 ) | 942,928 | (4,813,410 ) |
Change in net assets resulting from operations | 77,289 | (73,749 ) | 785,578 | (5,095,105 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (6,454 ) | (8,496 ) | (384 ) | (22,535 ) |
Class C | (62 ) | (136 ) | — | (2,610 ) |
Class I | (1,187 ) | (1,804 ) | (7,387 ) | (162,208 ) |
Class L | (233 ) | (331 ) | (7,477 ) | (91,277 ) |
Class R2 | (18 ) | (22 ) | — | (19 ) |
Class R3 | — | — | (23 ) | (504 ) |
Class R4 | — | — | (12 ) | (135 ) |
Class R5 | (1 ) | (2 ) | (79 ) | (704 ) |
Class R6 | (7,227 ) | (7,825 ) | (27,239 ) | (206,914 ) |
Total distributions to shareholders | (15,182 ) | (18,616 ) | (42,601 ) | (486,906 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 39,275 | 53,543 | (817,259 ) | (1,098,777 ) |
NET ASSETS: | ||||
Change in net assets | 101,382 | (38,822 ) | (74,282 ) | (6,680,788 ) |
Beginning of period | 357,877 | 396,699 | 7,154,996 | 13,835,784 |
End of period | $459,259 | $357,877 | $7,080,714 | $7,154,996 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 61 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $53,489 | $84,906 | $12,917 | $11,261 |
Net realized gain (loss) | (132,105 ) | (212,653 ) | 18,187 | (86,979 ) |
Change in net unrealized appreciation/depreciation | 468,963 | (1,084,196 ) | 49,767 | (136,552 ) |
Change in net assets resulting from operations | 390,347 | (1,211,943 ) | 80,871 | (212,270 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | — | — | (540 ) | (1,773 ) |
Class C | — | — | (9 ) | (188 ) |
Class I | (5,178 ) | (231 ) | (865 ) | (9,923 ) |
Class L | — | — | (134 ) | (2,043 ) |
Class R6 | (62,562 ) | (199,236 ) | (4,738 ) | (11,157 ) |
Total distributions to shareholders | (67,740 ) | (199,467 ) | (6,286 ) | (25,084 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (1,272,844 ) | 268,590 | (115,491 ) | (297,583 ) |
NET ASSETS: | ||||
Change in net assets | (950,237 ) | (1,142,820 ) | (40,906 ) | (534,937 ) |
Beginning of period | 2,650,568 | 3,793,388 | 539,581 | 1,074,518 |
End of period | $1,700,331 | $2,650,568 | $498,675 | $539,581 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan International Equity Fund | JPMorgan International Focus Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $98,980 | $96,151 | $26,199 | $38,695 |
Net realized gain (loss) | 27,467 | (243,501 ) | 22,983 | 195,264 |
Change in net unrealized appreciation/depreciation | 469,105 | (1,274,787 ) | 118,909 | (958,205 ) |
Change in net assets resulting from operations | 595,552 | (1,422,137 ) | 168,091 | (724,246 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (8,012 ) | (27,845 ) | (8,789 ) | (5,362 ) |
Class C | (129 ) | (669 ) | (418 ) | (261 ) |
Class I | (14,197 ) | (38,399 ) | (18,427 ) | (14,693 ) |
Class R2 | (395 ) | (1,477 ) | (49 ) | (21 ) |
Class R5 | (260 ) | (678 ) | (141 ) | (56 ) |
Class R6 | (91,479 ) | (256,785 ) | (17,325 ) | (50,762 ) |
Total distributions to shareholders | (114,472 ) | (325,853 ) | (45,149 ) | (71,155 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (346,023 ) | 713,463 | 127,664 | (2,030,106 ) |
NET ASSETS: | ||||
Change in net assets | 135,057 | (1,034,527 ) | 250,606 | (2,825,507 ) |
Beginning of period | 3,811,190 | 4,845,717 | 1,094,781 | 3,920,288 |
End of period | $3,946,247 | $3,811,190 | $1,345,387 | $1,094,781 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 63 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Hedged Equity Fund | ||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $3,570 | $3,692 |
Net realized gain (loss) | (23,017 ) | 16,624 |
Change in net unrealized appreciation/depreciation | 32,259 | (45,427 ) |
Change in net assets resulting from operations | 12,812 | (25,111 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Class A | (227 ) | (77 ) |
Class C | (3 ) | (6 ) |
Class I | (3,209 ) | (4,049 ) |
Class R5 | (1 ) | (1 ) |
Class R6 | (9 ) | (4 ) |
Total distributions to shareholders | (3,449 ) | (4,137 ) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | (25,742 ) | 37,679 |
NET ASSETS: | ||
Change in net assets | (16,379 ) | 8,431 |
Beginning of period | 161,207 | 152,776 |
End of period | $144,828 | $161,207 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||||
Class A | ||||
Proceeds from shares issued | $39,701 | $37,527 | $49,794 | $106,700 |
Distributions reinvested | 6,407 | 8,400 | 374 | 21,957 |
Cost of shares redeemed | (32,052 ) | (31,122 ) | (115,132 ) | (198,433 ) |
Change in net assets resulting from Class A capital transactions | 14,056 | 14,805 | (64,964 ) | (69,776 ) |
Class C | ||||
Proceeds from shares issued | 544 | 234 | 499 | 1,744 |
Distributions reinvested | 55 | 135 | — | 2,464 |
Cost of shares redeemed | (1,076 ) | (1,871 ) | (12,031 ) | (19,963 ) |
Change in net assets resulting from Class C capital transactions | (477 ) | (1,502 ) | (11,532 ) | (15,755 ) |
Class I | ||||
Proceeds from shares issued | 23,110 | 10,688 | 467,480 | 1,051,591 |
Distributions reinvested | 1,171 | 1,784 | 6,911 | 152,054 |
Cost of shares redeemed | (15,875 ) | (13,058 ) | (935,975 ) | (2,325,538 ) |
Change in net assets resulting from Class I capital transactions | 8,406 | (586 ) | (461,584 ) | (1,121,893 ) |
Class L | ||||
Proceeds from shares issued | 400 | 397 | 301,774 | 564,411 |
Distributions reinvested | 218 | 310 | 7,297 | 90,633 |
Cost of shares redeemed | (829 ) | (803 ) | (533,564 ) | (934,130 ) |
Change in net assets resulting from Class L capital transactions | (211 ) | (96 ) | (224,493 ) | (279,086 ) |
Class R2 | ||||
Proceeds from shares issued | 57 | 69 | 84 | 143 |
Distributions reinvested | 18 | 22 | — | 19 |
Cost of shares redeemed | (98 ) | (31 ) | (59 ) | (69 ) |
Change in net assets resulting from Class R2 capital transactions | (23 ) | 60 | 25 | 93 |
Class R3 | ||||
Proceeds from shares issued | — | — | 3,593 | 5,710 |
Distributions reinvested | — | — | 9 | 227 |
Cost of shares redeemed | — | — | (4,480 ) | (2,826 ) |
Change in net assets resulting from Class R3 capital transactions | — | — | (878 ) | 3,111 |
Class R4 | ||||
Proceeds from shares issued | — | — | 652 | 891 |
Distributions reinvested | — | — | 12 | 135 |
Cost of shares redeemed | — | — | (892 ) | (693 ) |
Change in net assets resulting from Class R4 capital transactions | — | — | (228 ) | 333 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 65 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: (continued) | ||||
Class R5 | ||||
Proceeds from shares issued | $362 | $25 | $2,981 | $4,443 |
Distributions reinvested | 1 | 2 | 74 | 651 |
Cost of shares redeemed | (358 ) | (54 ) | (3,422 ) | (4,459 ) |
Change in net assets resulting from Class R5 capital transactions | 5 | (27 ) | (367 ) | 635 |
Class R6 | ||||
Proceeds from shares issued | 63,520 | 69,981 | 1,056,765 | 1,626,066 |
Distributions reinvested | 7,192 | 7,790 | 24,824 | 189,280 |
Cost of shares redeemed | (53,193 ) | (36,882 ) | (1,134,827 ) | (1,431,785 ) |
Change in net assets resulting from Class R6 capital transactions | 17,519 | 40,889 | (53,238 ) | 383,561 |
Total change in net assets resulting from capital transactions | $39,275 | $53,543 | $(817,259 ) | $(1,098,777 ) |
SHARE TRANSACTIONS: | ||||
Class A | ||||
Issued | 3,205 | 3,140 | 1,761 | 3,408 |
Reinvested | 558 | 685 | 14 | 591 |
Redeemed | (2,596 ) | (2,627 ) | (4,143 ) | (6,307 ) |
Change in Class A Shares | 1,167 | 1,198 | (2,368 ) | (2,308 ) |
Class C | ||||
Issued | 45 | 21 | 19 | 56 |
Reinvested | 5 | 11 | — | 69 |
Redeemed | (89 ) | (158 ) | (453 ) | (663 ) |
Change in Class C Shares | (39 ) | (126 ) | (434 ) | (538 ) |
Class I | ||||
Issued | 1,769 | 850 | 16,052 | 32,274 |
Reinvested | 99 | 141 | 248 | 3,999 |
Redeemed | (1,260 ) | (1,082 ) | (32,869 ) | (74,112 ) |
Change in Class I Shares | 608 | (91 ) | (16,569 ) | (37,839 ) |
Class L | ||||
Issued | 31 | 33 | 10,413 | 17,254 |
Reinvested | 19 | 25 | 260 | 2,366 |
Redeemed | (65 ) | (65 ) | (18,534 ) | (29,603 ) |
Change in Class L Shares | (15 ) | (7 ) | (7,861 ) | (9,983 ) |
Class R2 | ||||
Issued | 5 | 6 | 3 | 4 |
Reinvested | 1 | 2 | — | 1 |
Redeemed | (8 ) | (3 ) | (2 ) | (2 ) |
Change in Class R2 Shares | (2 ) | 5 | 1 | 3 |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | JPMorgan Emerging Markets Equity Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||||
Class R3 | ||||
Issued | — | — | 130 | 191 |
Reinvested | — | — | — (a) | 6 |
Redeemed | — | — | (158 ) | (94 ) |
Change in Class R3 Shares | — | — | (28 ) | 103 |
Class R4 | ||||
Issued | — | — | 23 | 27 |
Reinvested | — | — | — (a) | 4 |
Redeemed | — | — | (31 ) | (21 ) |
Change in Class R4 Shares | — | — | (8 ) | 10 |
Class R5 | ||||
Issued | 29 | 2 | 104 | 140 |
Reinvested | — (a) | — (a) | 2 | 17 |
Redeemed | (28 ) | (4 ) | (119 ) | (137 ) |
Change in Class R5 Shares | 1 | (2 ) | (13 ) | 20 |
Class R6 | ||||
Issued | 5,048 | 5,786 | 36,434 | 50,537 |
Reinvested | 617 | 626 | 885 | 4,950 |
Redeemed | (4,205 ) | (3,067 ) | (38,849 ) | (45,388 ) |
Change in Class R6 Shares | 1,460 | 3,345 | (1,530 ) | 10,099 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 67 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||||
Class A | ||||
Proceeds from shares issued | $— | $— | $6,826 | $5,210 |
Distributions reinvested | — | — | 515 | 1,698 |
Cost of shares redeemed | — | — | (11,643 ) | (10,121 ) |
Change in net assets resulting from Class A capital transactions | — | — | (4,302 ) | (3,213 ) |
Class C | ||||
Proceeds from shares issued | — | — | 179 | 158 |
Distributions reinvested | — | — | 8 | 184 |
Cost of shares redeemed | — | — | (3,875 ) | (4,364 ) |
Change in net assets resulting from Class C capital transactions | — | — | (3,688 ) | (4,022 ) |
Class I | ||||
Proceeds from shares issued | 142,869 | 338,191 | 26,400 | 83,067 |
Distributions reinvested | 5,178 | 232 | 833 | 9,021 |
Cost of shares redeemed | (181,191 ) | (94,988 ) | (22,983 ) | (370,731 ) |
Change in net assets resulting from Class I capital transactions | (33,144 ) | 243,435 | 4,250 | (278,643 ) |
Class L | ||||
Proceeds from shares issued | — | — | 1,271 | 12,743 |
Distributions reinvested | — | — | 133 | 2,037 |
Cost of shares redeemed | — | — | (12,365 ) | (61,116 ) |
Change in net assets resulting from Class L capital transactions | — | — | (10,961 ) | (46,336 ) |
Class R6 | ||||
Proceeds from shares issued | 349,883 | 1,143,019 | 17,717 | 72,496 |
Distributions reinvested | 62,082 | 199,235 | 4,738 | 10,393 |
Cost of shares redeemed | (1,651,665 ) | (1,317,099 ) | (123,245 ) | (48,258 ) |
Change in net assets resulting from Class R6 capital transactions | (1,239,700 ) | 25,155 | (100,790 ) | 34,631 |
Total change in net assets resulting from capital transactions | $(1,272,844 ) | $268,590 | $(115,491 ) | $(297,583 ) |
SHARE TRANSACTIONS: | ||||
Class A | ||||
Issued | — | — | 246 | 189 |
Reinvested | — | — | 20 | 58 |
Redeemed | — | — | (420 ) | (380 ) |
Change in Class A Shares | — | — | (154 ) | (133 ) |
Class C | ||||
Issued | — | — | 8 | 7 |
Reinvested | — | — | — (a) | 7 |
Redeemed | — | — | (157 ) | (185 ) |
Change in Class C Shares | — | — | (149 ) | (171 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Europe Dynamic Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||||
Class I | ||||
Issued | 9,263 | 18,701 | 944 | 2,991 |
Reinvested | 352 | 12 | 32 | 301 |
Redeemed | (11,731 ) | (6,117 ) | (816 ) | (13,869 ) |
Change in Class I Shares | (2,116 ) | 12,596 | 160 | (10,577 ) |
Class L | ||||
Issued | — | — | 44 | 453 |
Reinvested | — | — | 5 | 67 |
Redeemed | — | — | (425 ) | (2,576 ) |
Change in Class L Shares | — | — | (376 ) | (2,056 ) |
Class R6 | ||||
Issued | 22,884 | 70,374 | 615 | 2,666 |
Reinvested | 4,243 | 10,435 | 179 | 345 |
Redeemed | (106,683 ) | (76,413 ) | (4,260 ) | (1,835 ) |
Change in Class R6 Shares | (79,556 ) | 4,396 | (3,466 ) | 1,176 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 69 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Equity Fund | JPMorgan International Focus Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||||
Class A | ||||
Proceeds from shares issued | $67,059 | $64,303 | $85,790 | $89,525 |
Distributions reinvested | 7,969 | 27,642 | 8,751 | 5,307 |
Cost of shares redeemed | (64,229 ) | (73,469 ) | (56,112 ) | (95,703 ) |
Change in net assets resulting from Class A capital transactions | 10,799 | 18,476 | 38,429 | (871 ) |
Class C | ||||
Proceeds from shares issued | 867 | 1,073 | 783 | 1,726 |
Distributions reinvested | 128 | 669 | 416 | 259 |
Cost of shares redeemed | (3,245 ) | (3,015 ) | (4,802 ) | (5,622 ) |
Change in net assets resulting from Class C capital transactions | (2,250 ) | (1,273 ) | (3,603 ) | (3,637 ) |
Class I | ||||
Proceeds from shares issued | 416,410 | 439,834 | 250,192 | 302,480 |
Distributions reinvested | 14,180 | 38,299 | 17,200 | 14,119 |
Cost of shares redeemed | (262,107 ) | (314,861 ) | (212,800 ) | (483,530 ) |
Change in net assets resulting from Class I capital transactions | 168,483 | 163,272 | 54,592 | (166,931 ) |
Class R2 | ||||
Proceeds from shares issued | 2,493 | 4,712 | 289 | 691 |
Distributions reinvested | 395 | 1,474 | 49 | 21 |
Cost of shares redeemed | (19,975 ) | (5,886 ) | (671 ) | (731 ) |
Change in net assets resulting from Class R2 capital transactions | (17,087 ) | 300 | (333 ) | (19 ) |
Class R5 | ||||
Proceeds from shares issued | 2,351 | 2,974 | 1,963 | 421 |
Distributions reinvested | 248 | 650 | 141 | 56 |
Cost of shares redeemed | (5,489 ) | (2,313 ) | (2,731 ) | (853 ) |
Change in net assets resulting from Class R5 capital transactions | (2,890 ) | 1,311 | (627 ) | (376 ) |
Class R6 | ||||
Proceeds from shares issued | 686,025 | 1,168,411 | 139,198 | 142,067 |
Distributions reinvested | 89,967 | 256,061 | 17,306 | 50,271 |
Cost of shares redeemed | (1,279,070 ) | (893,095 ) | (117,298 ) | (814,180 ) |
Redemptions in-kind | — | — | — | (1,236,430 ) |
Change in net assets resulting from Class R6 capital transactions | (503,078 ) | 531,377 | 39,206 | (1,858,272 ) |
Total change in net assets resulting from capital transactions | $(346,023 ) | $713,463 | $127,664 | $(2,030,106 ) |
SHARE TRANSACTIONS: | ||||
Class A | ||||
Issued | 3,846 | 3,518 | 3,784 | 3,793 |
Reinvested | 496 | 1,370 | 414 | 205 |
Redeemed | (3,730 ) | (4,281 ) | (2,509 ) | (4,132 ) |
Change in Class A Shares | 612 | 607 | 1,689 | (134 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan International Equity Fund | JPMorgan International Focus Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||||
Class C | ||||
Issued | 54 | 62 | 36 | 69 |
Reinvested | 8 | 35 | 20 | 10 |
Redeemed | (200 ) | (185 ) | (216 ) | (247 ) |
Change in Class C Shares | (138 ) | (88 ) | (160 ) | (168 ) |
Class I | ||||
Issued | 23,602 | 24,681 | 11,292 | 12,761 |
Reinvested | 867 | 1,865 | 803 | 538 |
Redeemed | (15,035 ) | (18,906 ) | (9,427 ) | (21,255 ) |
Change in Class I Shares | 9,434 | 7,640 | 2,668 | (7,956 ) |
Class R2 | ||||
Issued | 147 | 272 | 13 | 30 |
Reinvested | 25 | 74 | 2 | 1 |
Redeemed | (1,148 ) | (347 ) | (30 ) | (31 ) |
Change in Class R2 Shares | (976 ) | (1 ) | (15 ) | — |
Class R5 | ||||
Issued | 134 | 169 | 94 | 19 |
Reinvested | 15 | 32 | 6 | 2 |
Redeemed | (314 ) | (123 ) | (116 ) | (35 ) |
Change in Class R5 Shares | (165 ) | 78 | (16 ) | (14 ) |
Class R6 | ||||
Issued | 39,222 | 63,877 | 6,016 | 6,013 |
Reinvested | 5,486 | 12,433 | 808 | 1,917 |
Redeemed | (72,782 ) | (51,308 ) | (5,088 ) | (32,570 ) |
Redemptions in-kind | — | — | — | (52,192 ) |
Change in Class R6 Shares | (28,074 ) | 25,002 | 1,736 | (76,832 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 71 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan International Hedged Equity Fund | ||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||
Class A | ||
Proceeds from shares issued | $7,217 | $4,000 |
Distributions reinvested | 227 | 77 |
Cost of shares redeemed | (2,755 ) | (2,799 ) |
Change in net assets resulting from Class A capital transactions | 4,689 | 1,278 |
Class C | ||
Proceeds from shares issued | 106 | 135 |
Distributions reinvested | 3 | 6 |
Cost of shares redeemed | (95 ) | (172 ) |
Change in net assets resulting from Class C capital transactions | 14 | (31 ) |
Class I | ||
Proceeds from shares issued | 56,484 | 125,491 |
Distributions reinvested | 2,765 | 3,842 |
Cost of shares redeemed | (91,013 ) | (93,112 ) |
Change in net assets resulting from Class I capital transactions | (31,764 ) | 36,221 |
Class R5 | ||
Distributions reinvested | — (a) | 1 |
Change in net assets resulting from Class R5 capital transactions | — (a) | 1 |
Class R6 | ||
Proceeds from shares issued | 1,437 | 251 |
Distributions reinvested | 9 | 4 |
Cost of shares redeemed | (127 ) | (45 ) |
Change in net assets resulting from Class R6 capital transactions | 1,319 | 210 |
Total change in net assets resulting from capital transactions | $(25,742 ) | $37,679 |
SHARE TRANSACTIONS: | ||
Class A | ||
Issued | 489 | 254 |
Reinvested | 16 | 5 |
Redeemed | (180 ) | (185 ) |
Change in Class A Shares | 325 | 74 |
Class C | ||
Issued | 8 | 9 |
Reinvested | — (a) | — (a) |
Redeemed | (7 ) | (11 ) |
Change in Class C Shares | 1 | (2 ) |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMorgan International Hedged Equity Fund | ||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||
Class I | ||
Issued | 3,657 | 8,117 |
Reinvested | 192 | 241 |
Redeemed | (6,004 ) | (6,134 ) |
Change in Class I Shares | (2,155 ) | 2,224 |
Class R5 | ||
Reinvested | — (a) | — (a) |
Change in Class R5 Shares | — (a) | — (a) |
Class R6 | ||
Issued | 92 | 17 |
Reinvested | — (a) | — (a) |
Redeemed | (8 ) | (3 ) |
Change in Class R6 Shares | 84 | 14 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 73 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | |||||
Class A | |||||
Year Ended October 31, 2023 | $10.57 | $0.53 (d) | $1.70 | $2.23 | $(0.43 ) |
Year Ended October 31, 2022 | 13.46 | 0.44 | (2.72 ) | (2.28 ) | (0.61 ) |
Year Ended October 31, 2021 | 9.46 | 0.43 (e) | 3.89 | 4.32 | (0.32 ) |
Year Ended October 31, 2020 | 12.22 | 0.28 | (2.55 ) | (2.27 ) | (0.49 ) |
Year Ended October 31, 2019 | 12.44 | 0.44 | (0.20 ) | 0.24 | (0.46 ) |
Class C | |||||
Year Ended October 31, 2023 | 10.23 | 0.46 (d) | 1.65 | 2.11 | (0.35 ) |
Year Ended October 31, 2022 | 13.02 | 0.35 | (2.62 ) | (2.27 ) | (0.52 ) |
Year Ended October 31, 2021 | 9.14 | 0.33 (e) | 3.79 | 4.12 | (0.24 ) |
Year Ended October 31, 2020 | 11.81 | 0.21 | (2.47 ) | (2.26 ) | (0.41 ) |
Year Ended October 31, 2019 | 12.02 | 0.36 | (0.18 ) | 0.18 | (0.39 ) |
Class I | |||||
Year Ended October 31, 2023 | 10.88 | 0.58 (d) | 1.75 | 2.33 | (0.45 ) |
Year Ended October 31, 2022 | 13.84 | 0.49 | (2.81 ) | (2.32 ) | (0.64 ) |
Year Ended October 31, 2021 | 9.72 | 0.47 (e) | 3.99 | 4.46 | (0.34 ) |
Year Ended October 31, 2020 | 12.54 | 0.31 | (2.61 ) | (2.30 ) | (0.52 ) |
Year Ended October 31, 2019 | 12.76 | 0.48 | (0.20 ) | 0.28 | (0.50 ) |
Class L | |||||
Year Ended October 31, 2023 | 10.83 | 0.59 (d) | 1.74 | 2.33 | (0.47 ) |
Year Ended October 31, 2022 | 13.78 | 0.49 | (2.79 ) | (2.30 ) | (0.65 ) |
Year Ended October 31, 2021 | 9.66 | 0.47 (e) | 3.99 | 4.46 | (0.34 ) |
Year Ended October 31, 2020 | 12.47 | 0.30 | (2.58 ) | (2.28 ) | (0.53 ) |
Year Ended October 31, 2019 | 12.70 | 0.46 | (0.17 ) | 0.29 | (0.52 ) |
Class R2 | |||||
Year Ended October 31, 2023 | 10.37 | 0.48 (d) | 1.68 | 2.16 | (0.39 ) |
Year Ended October 31, 2022 | 13.22 | 0.40 | (2.68 ) | (2.28 ) | (0.57 ) |
Year Ended October 31, 2021 | 9.29 | 0.39 (e) | 3.82 | 4.21 | (0.28 ) |
Year Ended October 31, 2020 | 11.96 | 0.24 | (2.51 ) | (2.27 ) | (0.40 ) |
Year Ended October 31, 2019 | 12.20 | 0.40 | (0.20 ) | 0.20 | (0.44 ) |
Class R5 | |||||
Year Ended October 31, 2023 | 10.75 | 0.71 (d) | 1.63 | 2.34 | (0.47 ) |
Year Ended October 31, 2022 | 13.67 | 0.52 | (2.80 ) | (2.28 ) | (0.64 ) |
Year Ended October 31, 2021 | 9.60 | 0.41 (e) | 4.02 | 4.43 | (0.36 ) |
Year Ended October 31, 2020 | 12.40 | 0.33 | (2.59 ) | (2.26 ) | (0.54 ) |
Year Ended October 31, 2019 | 12.65 | 0.49 | (0.21 ) | 0.28 | (0.53 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$12.37 | 21.38 % | $201,868 | 0.99 % | 4.29 %(d) | 1.26 % | 34 % |
10.57 | (17.56 ) | 160,039 | 0.98 | 3.71 | 1.23 | 26 |
13.46 | 46.20 | 187,774 | 1.00 | 3.39 (e) | 1.24 | 33 |
9.46 | (19.51 ) | 125,744 | 1.00 | 2.66 | 1.26 | 59 |
12.22 | 2.30 | 181,458 | 1.00 | 3.69 | 1.28 | 61 |
11.99 | 20.89 | 1,631 | 1.49 | 3.83 (d) | 1.80 | 34 |
10.23 | (18.04 ) | 1,791 | 1.49 | 3.01 | 1.76 | 26 |
13.02 | 45.54 | 3,923 | 1.50 | 2.70 (e) | 1.77 | 33 |
9.14 | (19.94 ) | 4,202 | 1.50 | 2.07 | 1.78 | 59 |
11.81 | 1.82 | 9,358 | 1.50 | 3.15 | 1.80 | 61 |
12.76 | 21.77 | 42,728 | 0.74 | 4.52 (d) | 1.01 | 34 |
10.88 | (17.38 ) | 29,816 | 0.73 | 4.00 | 0.98 | 26 |
13.84 | 46.51 | 39,188 | 0.75 | 3.58 (e) | 0.99 | 33 |
9.72 | (19.31 ) | 26,805 | 0.75 | 2.88 | 1.02 | 59 |
12.54 | 2.56 | 45,503 | 0.75 | 3.91 | 1.03 | 61 |
12.69 | 21.83 | 6,205 | 0.65 | 4.65 (d) | 0.86 | 34 |
10.83 | (17.31 ) | 5,451 | 0.63 | 4.04 | 0.83 | 26 |
13.78 | 46.77 | 7,042 | 0.66 | 3.66 (e) | 0.84 | 33 |
9.66 | (19.25 ) | 5,585 | 0.65 | 2.72 | 0.85 | 59 |
12.47 | 2.69 | 30,256 | 0.65 | 3.81 | 0.87 | 61 |
12.14 | 21.16 | 511 | 1.29 | 3.98 (d) | 1.60 | 34 |
10.37 | (17.88 ) | 454 | 1.28 | 3.41 | 1.58 | 26 |
13.22 | 45.84 | 514 | 1.30 | 3.14 (e) | 1.59 | 33 |
9.29 | (19.74 ) | 412 | 1.30 | 2.27 | 1.61 | 59 |
11.96 | 2.00 | 722 | 1.30 | 3.47 | 1.69 | 61 |
12.62 | 22.09 | 49 | 0.65 | 5.63 (d) | 0.86 | 34 |
10.75 | (17.31 ) | 29 | 0.63 | 4.23 | 0.83 | 26 |
13.67 | 46.74 | 67 | 0.65 | 3.24 (e) | 0.85 | 33 |
9.60 | (19.26 ) | 77 | 0.65 | 3.13 | 0.86 | 59 |
12.40 | 2.64 | 88 | 0.65 | 4.08 | 0.87 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 75 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) (continued) | |||||
Class R6 | |||||
Year Ended October 31, 2023 | $10.77 | $0.60 (d) | $1.73 | $2.33 | $(0.48 ) |
Year Ended October 31, 2022 | 13.71 | 0.50 | (2.77 ) | (2.27 ) | (0.67 ) |
Year Ended October 31, 2021 | 9.62 | 0.49 (e) | 3.97 | 4.46 | (0.37 ) |
Year Ended October 31, 2020 | 12.43 | 0.34 | (2.60 ) | (2.26 ) | (0.55 ) |
Year Ended October 31, 2019 | 12.67 | 0.51 | (0.21 ) | 0.30 | (0.54 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(d) | Reflects income from foreign withholding tax claims, including related interest income, less IRS compliance fees. Had the Fund not received these proceeds, the net investment income (loss) per share would have been $0.46, $0.39, $0.51, $0.52, $0.41, $0.64 and $0.53 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 3.73%, 3.27%, 3.96%, 4.09%, 3.42%, 5.07% and 4.20% for Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6, respectively. |
(e) | 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.
76 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$12.62 | 21.99 % | $206,267 | 0.54 % | 4.76 %(d) | 0.76 % | 34 % |
10.77 | (17.23 ) | 160,297 | 0.52 | 4.19 | 0.72 | 26 |
13.71 | 46.99 | 158,191 | 0.55 | 3.83 (e) | 0.73 | 33 |
9.62 | (19.22 ) | 105,039 | 0.55 | 3.18 | 0.76 | 59 |
12.43 | 2.83 | 125,887 | 0.55 | 4.22 | 0.77 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 77 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Emerging Markets Equity Fund | |||||||
Class A | |||||||
Year Ended October 31, 2023 | $23.85 | $0.15 | $2.23 | $2.38 | $(0.03 ) | $— | $(0.03 ) |
Year Ended October 31, 2022 | 40.54 | 0.06 | (15.42 ) | (15.36 ) | (0.07 ) | (1.26 ) | (1.33 ) |
Year Ended October 31, 2021 | 36.44 | (0.14 ) | 4.24 | 4.10 | — | — | — |
Year Ended October 31, 2020 | 30.07 | (0.02 ) | 6.56 | 6.54 | (0.17 ) | — | (0.17 ) |
Year Ended October 31, 2019 | 23.84 | 0.19 | 6.16 | 6.35 | (0.12 ) | — | (0.12 ) |
Class C | |||||||
Year Ended October 31, 2023 | 22.82 | — | 2.15 | 2.15 | — | — | — |
Year Ended October 31, 2022 | 38.96 | (0.10 ) | (14.78 ) | (14.88 ) | — | (1.26 ) | (1.26 ) |
Year Ended October 31, 2021 | 35.20 | (0.34 ) | 4.10 | 3.76 | — | — | — |
Year Ended October 31, 2020 | 29.07 | (0.18 ) | 6.35 | 6.17 | (0.04 ) | — | (0.04 ) |
Year Ended October 31, 2019 | 23.08 | 0.04 | 5.98 | 6.02 | (0.03 ) | — | (0.03 ) |
Class I | |||||||
Year Ended October 31, 2023 | 24.48 | 0.22 | 2.30 | 2.52 | (0.10 ) | — | (0.10 ) |
Year Ended October 31, 2022 | 41.60 | 0.12 | (15.81 ) | (15.69 ) | (0.17 ) | (1.26 ) | (1.43 ) |
Year Ended October 31, 2021 | 37.34 | (0.04 ) | 4.34 | 4.30 | (0.04 ) | — | (0.04 ) |
Year Ended October 31, 2020 | 30.79 | 0.05 | 6.75 | 6.80 | (0.25 ) | — | (0.25 ) |
Year Ended October 31, 2019 | 24.45 | 0.27 | 6.29 | 6.56 | (0.22 ) | — | (0.22 ) |
Class L | |||||||
Year Ended October 31, 2023 | 24.70 | 0.26 | 2.30 | 2.56 | (0.15 ) | — | (0.15 ) |
Year Ended October 31, 2022 | 41.96 | 0.17 | (15.95 ) | (15.78 ) | (0.22 ) | (1.26 ) | (1.48 ) |
Year Ended October 31, 2021 | 37.64 | 0.01 | 4.37 | 4.38 | (0.06 ) | — | (0.06 ) |
Year Ended October 31, 2020 | 31.03 | 0.08 | 6.80 | 6.88 | (0.27 ) | — | (0.27 ) |
Year Ended October 31, 2019 | 24.63 | 0.29 | 6.35 | 6.64 | (0.24 ) | — | (0.24 ) |
Class R2 | |||||||
Year Ended October 31, 2023 | 23.49 | 0.07 | 2.20 | 2.27 | — | — | — |
Year Ended October 31, 2022 | 39.99 | (0.02 ) | (15.22 ) | (15.24 ) | — | (1.26 ) | (1.26 ) |
Year Ended October 31, 2021 | 36.06 | (0.26 ) | 4.19 | 3.93 | — | — | — |
Year Ended October 31, 2020 | 29.78 | (0.13 ) | 6.52 | 6.39 | (0.11 ) | — | (0.11 ) |
Year Ended October 31, 2019 | 23.73 | 0.08 | 6.13 | 6.21 | (0.16 ) | — | (0.16 ) |
Class R3 | |||||||
Year Ended October 31, 2023 | 23.67 | 0.13 | 2.22 | 2.35 | (0.05 ) | — | (0.05 ) |
Year Ended October 31, 2022 | 40.30 | 0.06 | (15.32 ) | (15.26 ) | (0.11 ) | (1.26 ) | (1.37 ) |
Year Ended October 31, 2021 | 36.25 | (0.15 ) | 4.20 | 4.05 | — | — | — |
Year Ended October 31, 2020 | 29.96 | (0.05 ) | 6.55 | 6.50 | (0.21 ) | — | (0.21 ) |
Year Ended October 31, 2019 | 23.78 | 0.25 | 6.06 | 6.31 | (0.13 ) | — | (0.13 ) |
Class R4 | |||||||
Year Ended October 31, 2023 | 24.39 | 0.21 | 2.28 | 2.49 | (0.11 ) | — | (0.11 ) |
Year Ended October 31, 2022 | 41.45 | 0.13 | (15.77 ) | (15.64 ) | (0.16 ) | (1.26 ) | (1.42 ) |
Year Ended October 31, 2021 | 37.20 | (0.05 ) | 4.32 | 4.27 | (0.02 ) | — | (0.02 ) |
Year Ended October 31, 2020 | 30.68 | 0.04 | 6.70 | 6.74 | (0.22 ) | — | (0.22 ) |
Year Ended October 31, 2019 | 24.42 | 0.27 | 6.25 | 6.52 | (0.26 ) | — | (0.26 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$26.20 | 9.96 % | $331,397 | 1.24 % | 0.52 % | 1.31 % | 29 % |
23.85 | (39.06 ) | 358,077 | 1.25 | 0.19 | 1.33 | 18 |
40.54 | 11.25 | 702,288 | 1.24 | (0.33 ) | 1.30 | 25 |
36.44 | 21.84 | 578,112 | 1.24 | (0.06 ) | 1.33 | 15 |
30.07 | 26.77 | 524,357 | 1.24 | 0.69 | 1.47 | 34 |
24.97 | 9.42 | 28,563 | 1.74 | (0.01 ) | 1.82 | 29 |
22.82 | (39.36 ) | 35,997 | 1.75 | (0.35 ) | 1.83 | 18 |
38.96 | 10.68 | 82,409 | 1.74 | (0.83 ) | 1.80 | 25 |
35.20 | 21.24 | 72,364 | 1.74 | (0.58 ) | 1.83 | 15 |
29.07 | 26.12 | 56,830 | 1.74 | 0.15 | 1.98 | 34 |
26.90 | 10.29 | 1,610,205 | 0.99 | 0.77 | 1.06 | 29 |
24.48 | (38.92 ) | 1,871,401 | 1.00 | 0.37 | 1.07 | 18 |
41.60 | 11.51 | 4,753,438 | 0.99 | (0.09 ) | 1.05 | 25 |
37.34 | 22.19 | 4,016,180 | 0.99 | 0.15 | 1.07 | 15 |
30.79 | 27.04 | 1,725,882 | 0.99 | 0.94 | 1.21 | 34 |
27.11 | 10.35 | 1,195,188 | 0.89 | 0.88 | 0.91 | 29 |
24.70 | (38.84 ) | 1,282,832 | 0.90 | 0.53 | 0.92 | 18 |
41.96 | 11.63 | 2,598,326 | 0.89 | 0.02 | 0.90 | 25 |
37.64 | 22.29 | 1,877,489 | 0.89 | 0.25 | 0.92 | 15 |
31.03 | 27.20 | 926,781 | 0.89 | 1.00 | 1.06 | 34 |
25.76 | 9.66 | 471 | 1.54 | 0.26 | 1.84 | 29 |
23.49 | (39.24 ) | 407 | 1.55 | (0.07 ) | 1.83 | 18 |
39.99 | 10.90 | 585 | 1.54 | (0.63 ) | 1.78 | 25 |
36.06 | 21.51 | 414 | 1.54 | (0.41 ) | 2.00 | 15 |
29.78 | 26.35 | 145 | 1.54 | 0.31 | 2.26 | 34 |
25.97 | 9.91 | 11,548 | 1.29 | 0.47 | 1.31 | 29 |
23.67 | (39.08 ) | 11,182 | 1.30 | 0.19 | 1.32 | 18 |
40.30 | 11.17 | 14,918 | 1.29 | (0.36 ) | 1.30 | 25 |
36.25 | 21.80 | 5,797 | 1.29 | (0.15 ) | 1.33 | 15 |
29.96 | 26.67 | 2,151 | 1.29 | 0.90 | 1.49 | 34 |
26.77 | 10.21 | 2,516 | 1.04 | 0.73 | 1.07 | 29 |
24.39 | (38.93 ) | 2,485 | 1.05 | 0.43 | 1.08 | 18 |
41.45 | 11.48 | 3,810 | 1.04 | (0.12 ) | 1.06 | 25 |
37.20 | 22.09 | 2,962 | 1.04 | 0.12 | 1.08 | 15 |
30.68 | 26.98 | 1,300 | 1.04 | 0.94 | 1.23 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 79 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Emerging Markets Equity Fund (continued) | |||||||
Class R5 | |||||||
Year Ended October 31, 2023 | $24.69 | $0.26 | $2.31 | $2.57 | $(0.16 ) | $— | $(0.16 ) |
Year Ended October 31, 2022 | 41.88 | 0.18 | (15.96 ) | (15.78 ) | (0.15 ) | (1.26 ) | (1.41 ) |
Year Ended October 31, 2021 | 37.56 | 0.01 | 4.36 | 4.37 | (0.05 ) | — | (0.05 ) |
Year Ended October 31, 2020 | 30.96 | 0.08 | 6.78 | 6.86 | (0.26 ) | — | (0.26 ) |
Year Ended October 31, 2019 | 24.60 | 0.31 | 6.31 | 6.62 | (0.26 ) | — | (0.26 ) |
Class R6 | |||||||
Year Ended October 31, 2023 | 24.69 | 0.28 | 2.31 | 2.59 | (0.19 ) | — | (0.19 ) |
Year Ended October 31, 2022 | 41.95 | 0.21 | (15.95 ) | (15.74 ) | (0.26 ) | (1.26 ) | (1.52 ) |
Year Ended October 31, 2021 | 37.61 | 0.05 | 4.37 | 4.42 | (0.08 ) | — | (0.08 ) |
Year Ended October 31, 2020 | 31.00 | 0.12 | 6.78 | 6.90 | (0.29 ) | — | (0.29 ) |
Year Ended October 31, 2019 | 24.60 | 0.31 | 6.35 | 6.66 | (0.26 ) | — | (0.26 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$27.10 | 10.37 % | $13,585 | 0.89 % | 0.90 % | 0.92 % | 29 % |
24.69 | (38.86 ) | 12,712 | 0.90 | 0.55 | 0.93 | 18 |
41.88 | 11.64 | 20,676 | 0.89 | 0.02 | 0.91 | 25 |
37.56 | 22.29 | 57,909 | 0.89 | 0.26 | 0.93 | 15 |
30.96 | 27.19 | 41,872 | 0.89 | 1.08 | 1.08 | 34 |
27.09 | 10.46 | 3,887,241 | 0.79 | 0.98 | 0.81 | 29 |
24.69 | (38.78 ) | 3,579,903 | 0.80 | 0.67 | 0.82 | 18 |
41.95 | 11.75 | 5,659,334 | 0.79 | 0.11 | 0.80 | 25 |
37.61 | 22.39 | 4,608,998 | 0.79 | 0.37 | 0.82 | 15 |
31.00 | 27.36 | 3,034,359 | 0.79 | 1.09 | 0.96 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 81 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Emerging Markets Research Enhanced Equity Fund | |||||||
Class I | |||||||
Year Ended October 31, 2023 | $13.34 | $0.34 | $1.15 | $1.49 | $(0.35 ) | $— | $(0.35 ) |
Year Ended October 31, 2022 | 20.87 | 0.48 | (6.96 ) | (6.48 ) | (0.52 ) | (0.53 ) | (1.05 ) |
Year Ended October 31, 2021 | 18.11 | 0.51 | 2.56 | 3.07 | (0.31 ) | — | (0.31 ) |
Year Ended October 31, 2020 | 16.78 | 0.33 | 1.04 | 1.37 | — | (0.04 ) | (0.04 ) |
January 30, 2019 (g) through October 31, 2019 | 16.22 | 0.31 | 0.25 | 0.56 | — | — | — |
Class R6 | |||||||
Year Ended October 31, 2023 | 13.27 | 0.36 | 1.14 | 1.50 | (0.36 ) | — | (0.36 ) |
Year Ended October 31, 2022 | 20.77 | 0.45 | (6.88 ) | (6.43 ) | (0.54 ) | (0.53 ) | (1.07 ) |
Year Ended October 31, 2021 | 18.01 | 0.42 | 2.65 | 3.07 | (0.31 ) | — | (0.31 ) |
Year Ended October 31, 2020 | 16.80 | 0.31 | 1.07 | 1.38 | (0.13 ) | (0.04 ) | (0.17 ) |
December 11, 2018 (i) through October 31, 2019 | 15.00 | 0.42 | 1.46 | 1.88 | (0.08 ) | — | (0.08 ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Interest expense is 0.02% |
(g) | Commencement of offering of class of shares. |
(h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(i) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets(a) | ||||||
Net asset value, end of period | Total return(c)(d) | Net assets, end of period (000's) | Net expenses(e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate(c) |
$14.48 | 11.13 % | $155,553 | 0.47 %(f) | 2.21 % | 0.70 % | 29 % |
13.34 | (32.53 ) | 171,538 | 0.45 | 3.00 | 0.68 | 34 |
20.87 | 16.95 | 5,435 | 0.45 | 2.36 | 0.69 | 53 |
18.11 | 8.15 | 33 | 0.45 | 1.98 | 1.39 | 47 |
16.78 | 3.45 | 5 | 0.44 (h) | 2.52 (h) | 0.70 (h) | 28 |
14.41 | 11.29 | 1,544,778 | 0.37 (f) | 2.33 | 0.44 | 29 |
13.27 | (32.48 ) | 2,479,030 | 0.35 | 2.62 | 0.40 | 34 |
20.77 | 17.09 | 3,787,953 | 0.35 | 1.97 | 0.40 | 53 |
18.01 | 8.22 | 2,840,309 | 0.35 | 1.87 | 0.41 | 47 |
16.80 | 12.60 | 2,090,569 | 0.34 (h) | 2.90 (h) | 0.46 (h) | 28 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 83 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan Europe Dynamic Fund | |||||
Class A | |||||
Year Ended October 31, 2023 | $23.70 | $0.49 (a) | $2.69 | $3.18 | $(0.20 ) |
Year Ended October 31, 2022 | 30.91 | 0.36 | (6.95 ) | (6.59 ) | (0.62 ) |
Year Ended October 31, 2021 | 21.64 | 0.40 (e) | 9.14 | 9.54 | (0.27 ) |
Year Ended October 31, 2020 | 24.25 | 0.25 | (2.16 ) | (1.91 ) | (0.70 ) |
Year Ended October 31, 2019 | 23.01 | 0.61 | 1.18 | 1.79 | (0.55 ) |
Class C | |||||
Year Ended October 31, 2023 | 20.85 | 0.33 (a) | 2.36 | 2.69 | (0.04 ) |
Year Ended October 31, 2022 | 27.25 | 0.20 | (6.13 ) | (5.93 ) | (0.47 ) |
Year Ended October 31, 2021 | 19.10 | 0.22 (e) | 8.08 | 8.30 | (0.15 ) |
Year Ended October 31, 2020 | 21.47 | 0.12 | (1.91 ) | (1.79 ) | (0.58 ) |
Year Ended October 31, 2019 | 20.39 | 0.44 | 1.06 | 1.50 | (0.42 ) |
Class I | |||||
Year Ended October 31, 2023 | 24.20 | 0.58 (a) | 2.74 | 3.32 | (0.24 ) |
Year Ended October 31, 2022 | 31.57 | 0.24 | (6.88 ) | (6.64 ) | (0.73 ) |
Year Ended October 31, 2021 | 22.10 | 0.47 (e) | 9.33 | 9.80 | (0.33 ) |
Year Ended October 31, 2020 | 24.75 | 0.31 | (2.19 ) | (1.88 ) | (0.77 ) |
Year Ended October 31, 2019 | 23.48 | 0.67 | 1.21 | 1.88 | (0.61 ) |
Class L | |||||
Year Ended October 31, 2023 | 24.54 | 0.75 (a) | 2.64 | 3.39 | (0.22 ) |
Year Ended October 31, 2022 | 31.99 | 0.52 | (7.22 ) | (6.70 ) | (0.75 ) |
Year Ended October 31, 2021 | 22.38 | 0.54 (e) | 9.44 | 9.98 | (0.37 ) |
Year Ended October 31, 2020 | 25.05 | 0.35 | (2.23 ) | (1.88 ) | (0.79 ) |
Year Ended October 31, 2019 | 23.70 | 0.65 | 1.27 | 1.92 | (0.57 ) |
Class R6 | |||||
Year Ended October 31, 2023 | 24.44 | 0.66 (a) | 2.75 | 3.41 | (0.33 ) |
Year Ended October 31, 2022 | 31.86 | 0.49 | (7.13 ) | (6.64 ) | (0.78 ) |
Year Ended October 31, 2021 | 22.29 | 0.55 (e) | 9.41 | 9.96 | (0.39 ) |
Year Ended October 31, 2020 | 24.96 | 0.37 | (2.22 ) | (1.85 ) | (0.82 ) |
Year Ended October 31, 2019 | 23.70 | 0.75 | 1.19 | 1.94 | (0.68 ) |
(a) | 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 $0.47, $0.31, $0.56, $0.73 and $0.64 for Class A, Class C, Class I, Class L and Class R6, respectively, and the net investment income (loss) ratios would have been 1.69%, 1.28%, 1.98%, 2.54% and 2.24% for Class A, Class C, Class I, Class L and Class R6, respectively. |
(b) | Calculated based upon average shares outstanding. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(e) | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$26.68 | 13.44 % | $68,564 | 1.24 % | 1.76 %(a) | 1.26 % | 102 % |
23.70 | (21.70 ) | 64,573 | 1.25 | 1.37 | 1.28 | 75 |
30.91 | 44.30 | 88,315 | 1.24 | 1.37 (e) | 1.26 | 92 |
21.64 | (8.21 ) | 68,882 | 1.24 | 1.09 | 1.28 | 159 |
24.25 | 8.14 | 98,294 | 1.24 | 2.67 | 1.31 | 83 |
23.50 | 12.89 | 2,224 | 1.74 | 1.35 (a) | 1.79 | 102 |
20.85 | (22.09 ) | 5,096 | 1.75 | 0.82 | 1.78 | 75 |
27.25 | 43.56 | 11,313 | 1.74 | 0.86 (e) | 1.77 | 92 |
19.10 | (8.68 ) | 11,082 | 1.74 | 0.59 | 1.77 | 159 |
21.47 | 7.64 | 19,798 | 1.74 | 2.15 | 1.80 | 83 |
27.28 | 13.74 | 98,625 | 0.99 | 2.05 (a) | 1.00 | 102 |
24.20 | (21.48 ) | 83,608 | 0.98 | 0.81 | 1.00 | 75 |
31.57 | 44.61 | 443,053 | 0.98 | 1.52 (e) | 0.99 | 92 |
22.10 | (7.98 ) | 52,841 | 0.99 | 1.33 | 1.01 | 159 |
24.75 | 8.44 | 86,582 | 0.99 | 2.86 | 1.05 | 83 |
27.71 | 13.86 | 7,155 | 0.84 | 2.61 (a) | 0.85 | 102 |
24.54 | (21.39 ) | 15,568 | 0.85 | 1.87 | 0.86 | 75 |
31.99 | 44.88 | 86,054 | 0.84 | 1.78 (e) | 0.85 | 92 |
22.38 | (7.86 ) | 55,597 | 0.85 | 1.49 | 0.86 | 159 |
25.05 | 8.49 | 65,686 | 0.89 | 2.77 | 0.90 | 83 |
27.52 | 14.00 | 322,107 | 0.74 | 2.31 (a) | 0.75 | 102 |
24.44 | (21.31 ) | 370,736 | 0.75 | 1.81 | 0.76 | 75 |
31.86 | 45.01 | 445,783 | 0.74 | 1.83 (e) | 0.75 | 92 |
22.29 | (7.79 ) | 250,426 | 0.75 | 1.61 | 0.76 | 159 |
24.96 | 8.65 | 271,885 | 0.79 | 3.17 | 0.79 | 83 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 85 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan International Equity Fund | |||||||
Class A | |||||||
Year Ended October 31, 2023 | $14.75 | $0.33 (a) | $1.85 | $2.18 | $(0.39 ) | $— | $(0.39 ) |
Year Ended October 31, 2022 | 21.63 | 0.31 | (5.83 ) | (5.52 ) | (0.37 ) | (0.99 ) | (1.36 ) |
Year Ended October 31, 2021 | 16.47 | 0.30 (e) | 5.04 | 5.34 | (0.18 ) | — | (0.18 ) |
Year Ended October 31, 2020 | 17.27 | 0.19 | (0.49 ) | (0.30 ) | (0.50 ) | — | (0.50 ) |
Year Ended October 31, 2019 | 15.56 | 0.33 | 1.89 | 2.22 | (0.33 ) | (0.18 ) | (0.51 ) |
Class C | |||||||
Year Ended October 31, 2023 | 13.87 | 0.24 (a) | 1.73 | 1.97 | (0.30 ) | — | (0.30 ) |
Year Ended October 31, 2022 | 20.41 | 0.20 | (5.48 ) | (5.28 ) | (0.27 ) | (0.99 ) | (1.26 ) |
Year Ended October 31, 2021 | 15.53 | 0.18 (e) | 4.77 | 4.95 | (0.07 ) | — | (0.07 ) |
Year Ended October 31, 2020 | 16.29 | 0.09 | (0.45 ) | (0.36 ) | (0.40 ) | — | (0.40 ) |
Year Ended October 31, 2019 | 14.68 | 0.23 | 1.80 | 2.03 | (0.24 ) | (0.18 ) | (0.42 ) |
Class I | |||||||
Year Ended October 31, 2023 | 15.04 | 0.38 (a) | 1.88 | 2.26 | (0.44 ) | — | (0.44 ) |
Year Ended October 31, 2022 | 22.02 | 0.38 | (5.95 ) | (5.57 ) | (0.42 ) | (0.99 ) | (1.41 ) |
Year Ended October 31, 2021 | 16.76 | 0.36 (e) | 5.13 | 5.49 | (0.23 ) | — | (0.23 ) |
Year Ended October 31, 2020 | 17.56 | 0.21 | (0.47 ) | (0.26 ) | (0.54 ) | — | (0.54 ) |
Year Ended October 31, 2019 | 15.82 | 0.36 | 1.93 | 2.29 | (0.37 ) | (0.18 ) | (0.55 ) |
Class R2 | |||||||
Year Ended October 31, 2023 | 14.53 | 0.38 (a) | 1.71 | 2.09 | (0.34 ) | — | (0.34 ) |
Year Ended October 31, 2022 | 21.31 | 0.25 | (5.74 ) | (5.49 ) | (0.30 ) | (0.99 ) | (1.29 ) |
Year Ended October 31, 2021 | 16.31 | 0.23 (e) | 4.99 | 5.22 | (0.22 ) | — | (0.22 ) |
Year Ended October 31, 2020 | 17.14 | 0.13 | (0.48 ) | (0.35 ) | (0.48 ) | — | (0.48 ) |
Year Ended October 31, 2019 | 15.44 | 0.28 | 1.88 | 2.16 | (0.28 ) | (0.18 ) | (0.46 ) |
Class R5 | |||||||
Year Ended October 31, 2023 | 15.13 | 0.38 (a) | 1.91 | 2.29 | (0.46 ) | — | (0.46 ) |
Year Ended October 31, 2022 | 22.14 | 0.38 | (5.96 ) | (5.58 ) | (0.44 ) | (0.99 ) | (1.43 ) |
Year Ended October 31, 2021 | 16.85 | 0.39 (e) | 5.15 | 5.54 | (0.25 ) | — | (0.25 ) |
Year Ended October 31, 2020 | 17.60 | 0.24 | (0.48 ) | (0.24 ) | (0.51 ) | — | (0.51 ) |
Year Ended October 31, 2019 | 15.85 | 0.38 | 1.94 | 2.32 | (0.39 ) | (0.18 ) | (0.57 ) |
Class R6 | |||||||
Year Ended October 31, 2023 | 15.10 | 0.41 (a) | 1.89 | 2.30 | (0.47 ) | — | (0.47 ) |
Year Ended October 31, 2022 | 22.10 | 0.39 | (5.94 ) | (5.55 ) | (0.46 ) | (0.99 ) | (1.45 ) |
Year Ended October 31, 2021 | 16.81 | 0.42 (e) | 5.13 | 5.55 | (0.26 ) | — | (0.26 ) |
Year Ended October 31, 2020 | 17.61 | 0.26 | (0.49 ) | (0.23 ) | (0.57 ) | — | (0.57 ) |
Year Ended October 31, 2019 | 15.86 | 0.40 | 1.93 | 2.33 | (0.40 ) | (0.18 ) | (0.58 ) |
(a) | 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 $0.32, $0.23, $0.37, $0.37, $0.37 and $0.40 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 1.85%, 1.39%, 2.08%, 2.20%, 2.07% and 2.29% for Class A, Class C, Class I, Cass R2, Class R5 and Class R6, respectively. |
(b) | Calculated based upon average shares outstanding. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(e) | 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.
86 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$16.54 | 14.88 % | $351,211 | 0.95 % | 1.91 %(a) | 1.11 % | 45 % |
14.75 | (27.15 ) | 304,284 | 0.95 | 1.76 | 1.11 | 31 |
21.63 | 32.56 | 433,033 | 0.95 | 1.47 (e) | 1.11 | 35 |
16.47 | (1.88 ) | 263,791 | 0.95 | 1.17 | 1.12 | 28 |
17.27 | 14.93 | 328,312 | 0.95 | 2.03 | 1.22 | 25 |
15.54 | 14.24 | 4,792 | 1.45 | 1.45 (a) | 1.63 | 45 |
13.87 | (27.51 ) | 6,191 | 1.45 | 1.23 | 1.64 | 31 |
20.41 | 31.94 | 10,899 | 1.45 | 0.91 (e) | 1.62 | 35 |
15.53 | (2.38 ) | 9,358 | 1.45 | 0.61 | 1.62 | 28 |
16.29 | 14.39 | 14,549 | 1.45 | 1.51 | 1.74 | 25 |
16.86 | 15.09 | 735,195 | 0.70 | 2.14 (a) | 0.86 | 45 |
15.04 | (26.95 ) | 513,812 | 0.70 | 2.16 | 0.86 | 31 |
22.02 | 32.94 | 584,191 | 0.70 | 1.71 (e) | 0.86 | 35 |
16.76 | (1.64 ) | 339,416 | 0.70 | 1.26 | 0.86 | 28 |
17.56 | 15.20 | 190,885 | 0.70 | 2.22 | 0.96 | 25 |
16.28 | 14.46 | 2,888 | 1.25 | 2.26 (a) | 1.51 | 45 |
14.53 | (27.36 ) | 16,764 | 1.25 | 1.46 | 1.46 | 31 |
21.31 | 32.18 | 24,598 | 1.25 | 1.13 (e) | 1.47 | 35 |
16.31 | (2.21 ) | 21,379 | 1.25 | 0.79 | 1.37 | 28 |
17.14 | 14.58 | 2,099 | 1.25 | 1.75 | 1.57 | 25 |
16.96 | 15.20 | 6,539 | 0.60 | 2.13 (a) | 0.71 | 45 |
15.13 | (26.88 ) | 8,328 | 0.60 | 2.13 | 0.71 | 31 |
22.14 | 33.04 | 10,463 | 0.60 | 1.85 (e) | 0.71 | 35 |
16.85 | (1.52 ) | 6,970 | 0.60 | 1.41 | 0.72 | 28 |
17.60 | 15.38 | 3,778 | 0.60 | 2.31 | 0.83 | 25 |
16.93 | 15.35 | 2,845,622 | 0.50 | 2.35 (a) | 0.60 | 45 |
15.10 | (26.81 ) | 2,961,811 | 0.50 | 2.22 | 0.61 | 31 |
22.10 | 33.20 | 3,782,533 | 0.50 | 1.98 (e) | 0.60 | 35 |
16.81 | (1.46 ) | 2,290,008 | 0.50 | 1.56 | 0.61 | 28 |
17.61 | 15.50 | 2,457,383 | 0.50 | 2.46 | 0.72 | 25 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 87 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan International Focus Fund | |||||
Class A | |||||
Year Ended October 31, 2023 | $19.58 | $0.38 | $2.50 | $2.88 | $(0.73 ) |
Year Ended October 31, 2022 | 27.55 | 0.41 | (7.95 ) | (7.54 ) | (0.43 ) |
Year Ended October 31, 2021 | 22.07 | 0.35 (d) | 5.32 | 5.67 | (0.19 ) |
Year Ended October 31, 2020 | 21.15 | 0.18 | 0.75 | 0.93 | (0.01 ) |
Year Ended October 31, 2019 | 18.24 | 0.26 | 3.02 | 3.28 | (0.37 ) |
Class C | |||||
Year Ended October 31, 2023 | 19.23 | 0.27 | 2.45 | 2.72 | (0.59 ) |
Year Ended October 31, 2022 | 27.06 | 0.29 | (7.83 ) | (7.54 ) | (0.29 ) |
Year Ended October 31, 2021 | 21.68 | 0.20 (d) | 5.24 | 5.44 | (0.06 ) |
Year Ended October 31, 2020 | 20.86 | 0.07 | 0.75 | 0.82 | — |
Year Ended October 31, 2019 | 17.98 | 0.16 | 2.97 | 3.13 | (0.25 ) |
Class I | |||||
Year Ended October 31, 2023 | 19.88 | 0.44 | 2.54 | 2.98 | (0.78 ) |
Year Ended October 31, 2022 | 27.95 | 0.47 | (8.06 ) | (7.59 ) | (0.48 ) |
Year Ended October 31, 2021 | 22.39 | 0.42 (d) | 5.39 | 5.81 | (0.25 ) |
Year Ended October 31, 2020 | 21.43 | 0.23 | 0.78 | 1.01 | (0.05 ) |
Year Ended October 31, 2019 | 18.49 | 0.31 | 3.04 | 3.35 | (0.41 ) |
Class R2 | |||||
Year Ended October 31, 2023 | 19.40 | 0.31 | 2.49 | 2.80 | (0.67 ) |
Year Ended October 31, 2022 | 27.25 | 0.34 | (7.89 ) | (7.55 ) | (0.30 ) |
Year Ended October 31, 2021 | 21.85 | 0.27 (d) | 5.26 | 5.53 | (0.13 ) |
Year Ended October 31, 2020 | 20.99 | 0.13 | 0.73 | 0.86 | — |
Year Ended October 31, 2019 | 18.14 | 0.21 | 2.98 | 3.19 | (0.34 ) |
Class R5 | |||||
Year Ended October 31, 2023 | 19.89 | 0.52 | 2.48 | 3.00 | (0.82 ) |
Year Ended October 31, 2022 | 27.96 | 0.49 | (8.06 ) | (7.57 ) | (0.50 ) |
Year Ended October 31, 2021 | 22.38 | 0.44 (d) | 5.40 | 5.84 | (0.26 ) |
Year Ended October 31, 2020 | 21.42 | 0.25 | 0.78 | 1.03 | (0.07 ) |
Year Ended October 31, 2019 | 18.49 | 0.34 | 3.03 | 3.37 | (0.44 ) |
Class R6 | |||||
Year Ended October 31, 2023 | 19.90 | 0.49 | 2.54 | 3.03 | (0.83 ) |
Year Ended October 31, 2022 | 27.98 | 0.39 | (7.94 ) | (7.55 ) | (0.53 ) |
Year Ended October 31, 2021 | 22.40 | 0.46 (d) | 5.40 | 5.86 | (0.28 ) |
Year Ended October 31, 2020 | 21.44 | 0.28 | 0.77 | 1.05 | (0.09 ) |
Year Ended October 31, 2019 | 18.50 | 0.27 | 3.13 | 3.40 | (0.46 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(d) | 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.
88 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$21.73 | 14.82 % | $300,017 | 1.00 % | 1.69 % | 1.21 % | 36 % |
19.58 | (27.75 ) | 237,262 | 1.00 | 1.75 | 1.24 | 30 |
27.55 | 25.74 | 337,503 | 1.00 | 1.31 (d) | 1.21 | 32 |
22.07 | 4.39 | 135,527 | 1.00 | 0.86 | 1.22 | 38 |
21.15 | 18.41 | 114,629 | 1.00 | 1.33 | 1.32 | 34 |
21.36 | 14.24 | 12,146 | 1.50 | 1.22 | 1.74 | 36 |
19.23 | (28.13 ) | 14,034 | 1.50 | 1.26 | 1.76 | 30 |
27.06 | 25.11 | 24,272 | 1.50 | 0.77 (d) | 1.72 | 32 |
21.68 | 3.93 | 15,463 | 1.50 | 0.32 | 1.73 | 38 |
20.86 | 17.73 | 18,447 | 1.50 | 0.83 | 1.84 | 34 |
22.08 | 15.12 | 540,456 | 0.75 | 1.93 | 0.97 | 36 |
19.88 | (27.56 ) | 433,591 | 0.75 | 1.99 | 0.99 | 30 |
27.95 | 26.04 | 832,039 | 0.75 | 1.54 (d) | 0.96 | 32 |
22.39 | 4.71 | 372,068 | 0.75 | 1.05 | 0.96 | 38 |
21.43 | 18.62 | 177,764 | 0.75 | 1.57 | 1.08 | 34 |
21.53 | 14.50 | 1,311 | 1.30 | 1.39 | 1.51 | 36 |
19.40 | (27.97 ) | 1,477 | 1.30 | 1.46 | 1.53 | 30 |
27.25 | 25.35 | 2,078 | 1.30 | 1.00 (d) | 1.48 | 32 |
21.85 | 4.10 | 1,441 | 1.30 | 0.61 | 1.51 | 38 |
20.99 | 18.01 | 1,049 | 1.30 | 1.05 | 1.74 | 34 |
22.07 | 15.21 | 1,837 | 0.65 | 2.28 | 0.88 | 36 |
19.89 | (27.51 ) | 1,961 | 0.65 | 2.06 | 0.91 | 30 |
27.96 | 26.19 | 3,172 | 0.65 | 1.61 (d) | 0.87 | 32 |
22.38 | 4.79 | 2,772 | 0.65 | 1.16 | 0.88 | 38 |
21.42 | 18.76 | 3,082 | 0.65 | 1.71 | 1.04 | 34 |
22.10 | 15.38 | 489,620 | 0.55 | 2.12 | 0.71 | 36 |
19.90 | (27.44 ) | 406,456 | 0.55 | 1.55 | 0.72 | 30 |
27.98 | 26.28 | 2,721,224 | 0.55 | 1.68 (d) | 0.71 | 32 |
22.40 | 4.89 | 2,274,399 | 0.55 | 1.31 | 0.71 | 38 |
21.44 | 18.95 | 2,284,670 | 0.55 | 1.32 | 0.77 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 89 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan International Hedged Equity Fund | |||||
Class A | |||||
Year Ended October 31, 2023 | $14.07 | $0.35 | $0.80 | $1.15 | $(0.34 ) |
Year Ended October 31, 2022 | 16.73 | 0.32 | (2.60 ) | (2.28 ) | (0.38 ) |
Year Ended October 31, 2021 | 14.12 | 0.30 | 2.58 | 2.88 | (0.27 ) |
Year Ended October 31, 2020 | 15.58 | 0.27 | (1.49 ) | (1.22 ) | (0.24 ) |
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.19 | 0.39 | 0.58 | — |
Class C | |||||
Year Ended October 31, 2023 | 14.00 | 0.23 | 0.85 | 1.08 | (0.21 ) |
Year Ended October 31, 2022 | 16.68 | 0.20 | (2.56 ) | (2.36 ) | (0.32 ) |
Year Ended October 31, 2021 | 14.06 | 0.22 | 2.57 | 2.79 | (0.17 ) |
Year Ended October 31, 2020 | 15.53 | 0.20 | (1.50 ) | (1.30 ) | (0.17 ) |
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.16 | 0.37 | 0.53 | — |
Class I | |||||
Year Ended October 31, 2023 | 14.16 | 0.36 | 0.84 | 1.20 | (0.33 ) |
Year Ended October 31, 2022 | 16.83 | 0.33 | (2.59 ) | (2.26 ) | (0.41 ) |
Year Ended October 31, 2021 | 14.18 | 0.32 | 2.61 | 2.93 | (0.28 ) |
Year Ended October 31, 2020 | 15.61 | 0.31 | (1.50 ) | (1.19 ) | (0.24 ) |
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.32 | 0.29 | 0.61 | — |
Class R5 | |||||
Year Ended October 31, 2023 | 14.19 | 0.40 | 0.82 | 1.22 | (0.35 ) |
Year Ended October 31, 2022 | 16.86 | 0.35 | (2.59 ) | (2.24 ) | (0.43 ) |
Year Ended October 31, 2021 | 14.20 | 0.35 | 2.61 | 2.96 | (0.30 ) |
Year Ended October 31, 2020 | 15.62 | 0.31 | (1.48 ) | (1.17 ) | (0.25 ) |
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.34 | 0.28 | 0.62 | — |
Class R6 | |||||
Year Ended October 31, 2023 | 14.20 | 0.38 | 0.86 | 1.24 | (0.37 ) |
Year Ended October 31, 2022 | 16.88 | 0.37 | (2.60 ) | (2.23 ) | (0.45 ) |
Year Ended October 31, 2021 | 14.22 | 0.39 | 2.59 | 2.98 | (0.32 ) |
Year Ended October 31, 2020 | 15.63 | 0.34 | (1.49 ) | (1.15 ) | (0.26 ) |
March 15, 2019 (g) through October 31, 2019 | 15.00 | 0.35 | 0.28 | 0.63 | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Interest expense is 0.01% |
(g) | Commencement of operations. |
(h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. Morgan International Equity Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets(a) | ||||||
Net asset value, end of period | Total return (excludes sales charge)(c)(d) | Net assets, end of period (000's) | Net expenses(e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate(c) |
$14.88 | 8.24 % | $9,103 | 0.85 %(f) | 2.27 % | 1.05 % | 22 % |
14.07 | (13.89 ) | 4,032 | 0.85 | 2.13 | 1.07 | 17 |
16.73 | 20.60 | 3,561 | 0.85 | 1.85 | 1.05 | 50 |
14.12 | (8.02 ) | 1,573 | 0.85 | 1.84 | 1.30 | 85 |
15.58 | 3.87 | 330 | 0.85 (h) | 1.95 (h) | 1.31 (h) | 9 |
14.87 | 7.75 | 263 | 1.35 (f) | 1.54 | 1.56 | 22 |
14.00 | (14.36 ) | 235 | 1.35 | 1.35 | 1.58 | 17 |
16.68 | 19.97 | 320 | 1.35 | 1.35 | 1.55 | 50 |
14.06 | (8.47 ) | 115 | 1.35 | 1.34 | 1.81 | 85 |
15.53 | 3.53 | 119 | 1.35 (h) | 1.73 (h) | 1.92 (h) | 9 |
15.03 | 8.55 | 133,818 | 0.60 (f) | 2.37 | 0.79 | 22 |
14.16 | (13.68 ) | 156,582 | 0.60 | 2.21 | 0.81 | 17 |
16.83 | 20.90 | 148,703 | 0.60 | 2.02 | 0.79 | 50 |
14.18 | (7.78 ) | 135,542 | 0.60 | 2.12 | 1.03 | 85 |
15.61 | 4.07 | 59,751 | 0.60 (h) | 3.38 (h) | 1.19 (h) | 9 |
15.06 | 8.73 | 22 | 0.45 (f) | 2.58 | 0.72 | 22 |
14.19 | (13.56 ) | 20 | 0.45 | 2.30 | 0.73 | 17 |
16.86 | 21.10 | 23 | 0.45 | 2.19 | 0.71 | 50 |
14.20 | (7.68 ) | 19 | 0.45 | 2.08 | 1.04 | 85 |
15.62 | 4.13 | 21 | 0.45 (h) | 3.59 (h) | 1.03 (h) | 9 |
15.07 | 8.84 | 1,622 | 0.35 (f) | 2.46 | 0.57 | 22 |
14.20 | (13.52 ) | 338 | 0.35 | 2.43 | 0.60 | 17 |
16.88 | 21.19 | 169 | 0.35 | 2.42 | 0.58 | 50 |
14.22 | (7.53 ) | 19 | 0.35 | 2.33 | 0.94 | 85 |
15.63 | 4.20 | 21 | 0.35 (h) | 3.69 (h) | 0.93 (h) | 9 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan International Equity Funds | 91 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023
(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:
Classes Offered | Trust | Diversification Classification | |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund)(1) | Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6 | JPM I | Diversified |
JPMorgan Emerging Markets Equity Fund | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified |
JPMorgan Emerging Markets Research Enhanced Equity Fund | Class I and Class R6 | JPM IV | Diversified |
JPMorgan Europe Dynamic Fund | Class A, Class C, Class I, Class L and Class R6 | JPM I | Diversified |
JPMorgan International Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified |
JPMorgan International Focus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified |
JPMorgan International Hedged Equity Fund | Class A, Class C, Class I, Class R5 and Class R6 | JPM IV | Diversified |
___________________________
(1) Effective September 13, 2023, JPMorgan International Value Fund changed its name to JPMorgan Developed International Value Fund.
The investment objective of JPMorgan Developed International Value Fund (“Developed International Value Fund”), JPMorgan Emerging Markets Research Enhanced Equity Fund (“Emerging Markets Research Enhanced Equity Fund”) and JPMorgan International Focus Fund (“International Focus Fund”) is to seek to provide long-term capital appreciation.
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 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 Developed International Value Fund and Europe Dynamic Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of Developed International Value Fund and Europe Dynamic 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
92 | J.P. Morgan International Equity Funds | October 31, 2023 |
Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds' valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the "Boards"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
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.
October 31, 2023 | J.P. Morgan International Equity Funds | 93 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments ("SOIs"):
Developed International Value Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | $— | $23,610 | $— | $23,610 |
Austria | 1,205 | 2,755 | — | 3,960 |
Belgium | — | 984 | — | 984 |
China | — | 3,261 | — | 3,261 |
Denmark | — | 5,855 | — | 5,855 |
Finland | — | 6,854 | — | 6,854 |
France | 978 | 48,104 | — | 49,082 |
Germany | — | 42,862 | — | 42,862 |
Hong Kong | — | 2,841 | — | 2,841 |
Ireland | — | 2,478 | — | 2,478 |
Italy | — | 22,117 | — | 22,117 |
Japan | — | 100,507 | — | 100,507 |
Luxembourg | — | 264 | — | 264 |
Netherlands | — | 24,624 | — | 24,624 |
Norway | 1,047 | 9,878 | — | 10,925 |
Singapore | — | 8,439 | — | 8,439 |
South Africa | — | 3,040 | — | 3,040 |
Spain | 1,291 | 14,258 | — | 15,549 |
Sweden | — | 9,648 | — | 9,648 |
Switzerland | 1,497 | 27,391 | — | 28,888 |
United Kingdom | 4,465 | 51,106 | — | 55,571 |
United States | — | 18,903 | — | 18,903 |
Total Common Stocks | 10,483 | 429,779 | — | 440,262 |
Short-Term Investments | ||||
Investment Companies | 20,785 | — | — | 20,785 |
Investment of Cash Collateral from Securities Loaned | 1,026 | — | — | 1,026 |
Total Short-Term Investments | 21,811 | — | — | 21,811 |
Total Investments in Securities | $32,294 | $429,779 | $— | $462,073 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(337 ) | $— | $— | $(337 ) |
Emerging Markets Equity Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Brazil | $690,027 | $— | $— | $690,027 |
China | 294,845 | 1,675,125 | — | 1,969,970 |
Hong Kong | — | 295,287 | — | 295,287 |
India | 82,214 | 1,074,658 | — | 1,156,872 |
Indonesia | — | 249,270 | — | 249,270 |
Macau | — | 74,871 | — | 74,871 |
Mexico | 242,973 | — | — | 242,973 |
94 | J.P. Morgan International Equity Funds | October 31, 2023 |
Emerging Markets Equity Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Panama | $83,274 | $— | $— | $83,274 |
Portugal | — | 110,163 | — | 110,163 |
South Africa | 124,523 | 155,025 | — | 279,548 |
South Korea | — | 604,187 | — | 604,187 |
Spain | — | 107,580 | — | 107,580 |
Taiwan | 528,860 | 345,340 | — | 874,200 |
Turkey | 86,110 | — | — | 86,110 |
United States | 253,405 | — | — | 253,405 |
Total Common Stocks | 2,386,231 | 4,691,506 | — | 7,077,737 |
Short-Term Investments | ||||
Investment Companies | 46,878 | — | — | 46,878 |
Total Investments in Securities | $2,433,109 | $4,691,506 | $— | $7,124,615 |
Emerging Markets Research Enhanced Equity Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Brazil | $100,103 | $— | $— | $100,103 |
Chile | 4,264 | — | — | 4,264 |
China | 35,360 | 469,695 | — | 505,055 |
Colombia | 4,202 | — | — | 4,202 |
Greece | — | 6,001 | — | 6,001 |
Hong Kong | — | 3,746 | — | 3,746 |
Hungary | 2,768 | 4,743 | — | 7,511 |
India | 22,606 | 233,859 | — | 256,465 |
Indonesia | — | 34,745 | — | 34,745 |
Malaysia | 2,932 | 16,372 | — | 19,304 |
Mexico | 46,761 | — | — | 46,761 |
Panama | 1,602 | — | — | 1,602 |
Peru | 6,381 | — | — | 6,381 |
Philippines | — | 3,753 | — | 3,753 |
Poland | — | 5,822 | — | 5,822 |
Qatar | 6,716 | 3,499 | — | 10,215 |
Russia | — | — | 846 | 846 |
Saudi Arabia | 7,499 | 57,042 | — | 64,541 |
South Africa | 42,317 | 21,497 | — | 63,814 |
South Korea | — | 210,807 | — | 210,807 |
Taiwan | — | 244,793 | — | 244,793 |
Thailand | — | 36,309 | — | 36,309 |
Turkey | 3,780 | 1,700 | — | 5,480 |
United Arab Emirates | 4,623 | 11,237 | — | 15,860 |
United Kingdom | — | 2,139 | — | 2,139 |
United States | 2,461 | 590 | — | 3,051 |
Total Common Stocks | 294,375 | 1,368,349 | 846 | 1,663,570 |
October 31, 2023 | J.P. Morgan International Equity Funds | 95 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Emerging Markets Research Enhanced Equity Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $27,011 | $— | $— | $27,011 |
Investment of Cash Collateral from Securities Loaned | 4,199 | — | — | 4,199 |
Total Short-Term Investments | 31,210 | — | — | 31,210 |
Total Investments in Securities | $325,585 | $1,368,349 | $846 | $1,694,780 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(1,177 ) | $— | $— | $(1,177 ) |
Europe Dynamic Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | $— | $3,783 | $— | $3,783 |
China | 8,429 | — | — | 8,429 |
Denmark | — | 32,979 | — | 32,979 |
Finland | — | 8,027 | — | 8,027 |
France | — | 113,315 | — | 113,315 |
Germany | — | 61,282 | — | 61,282 |
Ireland | 6,366 | 12,710 | — | 19,076 |
Italy | — | 34,612 | — | 34,612 |
Jordan | — | 4,707 | — | 4,707 |
Netherlands | — | 41,865 | — | 41,865 |
Norway | — | 2,383 | — | 2,383 |
Spain | — | 22,491 | — | 22,491 |
Sweden | — | 12,868 | — | 12,868 |
Switzerland | — | 27,475 | — | 27,475 |
United Kingdom | — | 57,798 | — | 57,798 |
United States | — | 25,701 | — | 25,701 |
Total Common Stocks | 14,795 | 461,996 | — | 476,791 |
Short-Term Investments | ||||
Investment Companies | 19,259 | — | — | 19,259 |
Investment of Cash Collateral from Securities Loaned | 7,929 | — | — | 7,929 |
Total Short-Term Investments | 27,188 | — | — | 27,188 |
Total Investments in Securities | $41,983 | $461,996 | $— | $503,979 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $95 | $— | $— | $95 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (8 ) | — | — | (8 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $87 | $— | $— | $87 |
96 | J.P. Morgan International Equity Funds | October 31, 2023 |
International Equity Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | $— | $105,714 | $— | $105,714 |
Austria | — | 25,907 | — | 25,907 |
Belgium | — | 38,434 | — | 38,434 |
Denmark | — | 155,270 | — | 155,270 |
France | — | 631,598 | — | 631,598 |
Germany | — | 317,758 | — | 317,758 |
Hong Kong | — | 109,437 | — | 109,437 |
India | 35,123 | — | — | 35,123 |
Italy | — | 66,966 | — | 66,966 |
Japan | — | 796,402 | — | 796,402 |
Macau | — | 21,753 | — | 21,753 |
Netherlands | — | 235,982 | — | 235,982 |
Singapore | — | 69,884 | — | 69,884 |
South Africa | — | 28,170 | — | 28,170 |
South Korea | — | 48,693 | — | 48,693 |
Spain | — | 117,466 | — | 117,466 |
Sweden | — | 159,878 | — | 159,878 |
Switzerland | — | 36,988 | — | 36,988 |
Taiwan | 28,806 | — | — | 28,806 |
United Kingdom | — | 487,535 | — | 487,535 |
United States | — | 317,633 | — | 317,633 |
Total Common Stocks | 63,929 | 3,771,468 | — | 3,835,397 |
Short-Term Investments | ||||
Investment Companies | 95,471 | — | — | 95,471 |
Investment of Cash Collateral from Securities Loaned | 42,966 | — | — | 42,966 |
Total Short-Term Investments | 138,437 | — | — | 138,437 |
Total Investments in Securities | $202,366 | $3,771,468 | $— | $3,973,834 |
International Focus Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | $— | $30,345 | $— | $30,345 |
Belgium | — | 25,111 | — | 25,111 |
Canada | 87,091 | — | — | 87,091 |
China | 12,190 | 48,659 | — | 60,849 |
Denmark | — | 26,372 | — | 26,372 |
France | — | 146,978 | — | 146,978 |
Germany | — | 116,866 | — | 116,866 |
Hong Kong | — | 24,311 | — | 24,311 |
India | 30,832 | — | — | 30,832 |
Indonesia | — | 34,552 | — | 34,552 |
Italy | — | 25,234 | — | 25,234 |
Japan | — | 170,320 | — | 170,320 |
October 31, 2023 | J.P. Morgan International Equity Funds | 97 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
International Focus Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Mexico | $19,420 | $— | $— | $19,420 |
Netherlands | — | 89,643 | — | 89,643 |
Singapore | — | 33,215 | — | 33,215 |
South Korea | — | 49,284 | — | 49,284 |
Spain | — | 18,337 | — | 18,337 |
Sweden | — | 19,979 | — | 19,979 |
Taiwan | 46,154 | — | — | 46,154 |
United Kingdom | — | 163,659 | — | 163,659 |
United States | — | 92,990 | — | 92,990 |
Total Common Stocks | 195,687 | 1,115,855 | — | 1,311,542 |
Short-Term Investments | ||||
Investment Companies | 32,826 | — | — | 32,826 |
Investment of Cash Collateral from Securities Loaned | 14,562 | — | — | 14,562 |
Total Short-Term Investments | 47,388 | — | — | 47,388 |
Total Investments in Securities | $243,075 | $1,115,855 | $— | $1,358,930 |
International Hedged Equity Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | $— | $9,342 | $— | $9,342 |
Belgium | — | 651 | — | 651 |
China | 461 | 335 | — | 796 |
Denmark | — | 4,704 | — | 4,704 |
Finland | — | 1,368 | — | 1,368 |
France | — | 17,341 | — | 17,341 |
Germany | — | 11,085 | — | 11,085 |
Hong Kong | — | 2,959 | — | 2,959 |
Ireland | — | 647 | — | 647 |
Italy | — | 1,438 | — | 1,438 |
Japan | — | 33,694 | — | 33,694 |
Macau | — | 168 | — | 168 |
Netherlands | — | 8,723 | — | 8,723 |
Singapore | 149 | 1,366 | — | 1,515 |
South Korea | — | 87 | — | 87 |
Spain | — | 2,952 | — | 2,952 |
Sweden | — | 3,592 | — | 3,592 |
Switzerland | 104 | 7,137 | — | 7,241 |
United Kingdom | — | 18,837 | — | 18,837 |
United States | — | 11,309 | — | 11,309 |
Total Common Stocks | 714 | 137,735 | — | 138,449 |
Options Purchased | 2,613 | — | — | 2,613 |
Short-Term Investments | ||||
Investment Companies | 3,627 | — | — | 3,627 |
Total Investments in Securities | $6,954 | $137,735 | $— | $144,689 |
98 | J.P. Morgan International Equity Funds | October 31, 2023 |
International Hedged Equity Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(175 ) | $— | $— | $(175 ) |
Options Written | ||||
Call Options Written | (353 ) | — | — | (353 ) |
Put Options Written | (310 ) | — | — | (310 ) |
Total Depreciation in Other Financial Instruments | $(838 ) | $— | $— | $(838 ) |
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 October 31, 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 October 31, 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) | |
Developed International Value Fund | $995 | $(995 ) | $— |
Emerging Markets Research Enhanced Equity Fund | 4,025 | (4,025 ) | — |
Europe Dynamic Fund | 7,421 | (7,421 ) | — |
International Equity Fund | 40,213 | (40,213 ) | — |
October 31, 2023 | J.P. Morgan International Equity Funds | 99 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | |
International Focus Fund | $13,635 | $(13,635 ) | $— |
* | 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 year ended October 31, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Developed International Value Fund | $1 |
Emerging Markets Equity Fund | 1 |
Emerging Markets Research Enhanced Equity Fund | 2 |
Europe Dynamic Fund | 2 |
International Equity Fund | 9 |
International Focus Fund | 3 |
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).
Emerging Markets Equity Fund did not have any securities out on loan at October 31, 2023. International Hedged Equity Fund did not lend out any securities during the year ended October 31, 2023.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds 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.
Developed International Value Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $15,394 | $103,754 | $98,362 | $(4 ) | $3 | $20,785 | 20,777 | $576 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 705 | 11,100 | 11,306 | 1 * | — | 500 | 500 | 34 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 3,290 | 29,859 | 32,623 | — | — | 526 | 526 | 45 * | — |
Total | $19,389 | $144,713 | $142,291 | $(3 ) | $3 | $21,811 | $655 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
100 | J.P. Morgan International Equity Funds | October 31, 2023 |
Emerging Markets Equity Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $113,774 | $1,909,649 | $1,976,503 | $(45 ) | $3 | $46,878 | 46,859 | $5,161 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 4,022 | 228,000 | 232,018 | (2 )* | (2 ) | — | — | 481 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 771 | 69,922 | 70,693 | — | — | — | — | 66 * | — |
Total | $118,567 | $2,207,571 | $2,279,214 | $(47 ) | $1 | $46,878 | $5,708 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | 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 year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $47,040 | $684,214 | $704,253 | $5 | $5 | $27,011 | 27,000 | $957 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 3,487 | 188,000 | 188,499 | (4 )* | — (c) | 2,984 | 2,983 | 497 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 3,438 | 128,909 | 131,132 | — | — | 1,215 | 1,215 | 117 * | — |
Total | $53,965 | $1,001,123 | $1,023,884 | $1 | $5 | $31,210 | $1,571 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Europe Dynamic Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $6,343 | $353,131 | $340,206 | $(10 ) | $1 | $19,259 | 19,252 | $562 | $— (c) |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | — | 166,000 | 165,997 | (3 )* | — | — | — | 357 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | — | 139,269 | 131,340 | — | — | 7,929 | 7,929 | 129 * | — |
Total | $6,343 | $658,400 | $637,543 | $(13 ) | $1 | $27,188 | $1,048 | $—(c ) | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
October 31, 2023 | J.P. Morgan International Equity Funds | 101 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
(b) | The rate shown is the current yield as of October 31, 2023. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
International Equity Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $57,920 | $1,779,474 | $1,741,800 | $(131 ) | $8 | $95,471 | 95,433 | $4,174 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 93,074 | 984,000 | 1,039,092 | 25 * | (4 ) | 38,003 | 37,995 | 2,401 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 10,497 | 657,615 | 663,149 | — | — | 4,963 | 4,963 | 491 * | — |
Total | $161,491 | $3,421,089 | $3,444,041 | $(106 ) | $4 | $138,437 | $7,066 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
International Focus Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | $19,897 | $452,520 | $439,601 | $3 | $7 | $32,826 | 32,813 | $1,428 | $— |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 40,011 | 319,000 | 347,016 | 8 * | (3 ) | 12,000 | 11,998 | 619 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 16,404 | 182,536 | 196,378 | — | — | 2,562 | 2,562 | 140 * | — |
Total | $76,312 | $954,056 | $982,995 | $11 | $4 | $47,388 | $2,187 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | 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 year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.21% (a) (b) | $6,096 | $76,248 | $78,717 | $— | $— | $3,627 | 3,627 | $219 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
102 | J.P. Morgan International Equity Funds | October 31, 2023 |
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 year 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 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).
G. Futures Contracts — Developed International Value Fund, 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.
October 31, 2023 | J.P. Morgan International Equity Funds | 103 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (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 year ended October 31, 2023 (amounts in thousands, except for number of contracts):
Developed International Value Fund | Emerging Markets Research Enhanced Equity Fund | Europe Dynamic Fund | International Hedged Equity Fund | |
Futures Contracts: | ||||
Average Notional Balance Long | $1,645 | $9,915 | $8,197 | $6,367 |
Ending Notional Balance Long | 13,380 | 29,218 | 19,359 | 4,118 |
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | — | — | — | 758 |
Average Number of Contracts Written | — | — | — | (1,517 ) |
Ending Number of Contracts Purchased | — | — | — | 729 |
Ending Number of Contracts Written | — | — | — | (1,458 ) |
The Funds' derivatives contracts held at October 31, 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 year ended October 31, 2023 are as follows:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |
Developed International Value Fund | ||||||||||
Transfer agency fees | $10 | $1 | $3 | $— (a) | $1 | n/a | n/a | $— (a) | $5 | $20 |
Emerging Markets Equity Fund | ||||||||||
Transfer agency fees | 28 | 4 | 73 | 12 | 1 | $1 | $— (a) | 2 | 138 | 259 |
Emerging Markets Research Enhanced Equity Fund | ||||||||||
Transfer agency fees | n/a | n/a | 28 | n/a | n/a | n/a | n/a | n/a | 16 | 44 |
104 | J.P. Morgan International Equity Funds | October 31, 2023 |
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |
Europe Dynamic Fund | ||||||||||
Transfer agency fees | $12 | $2 | $3 | $— (a) | n/a | n/a | n/a | n/a | $3 | $20 |
International Equity Fund | ||||||||||
Transfer agency fees | 21 | 2 | 31 | n/a | $19 | n/a | n/a | $1 | 33 | 107 |
International Focus Fund | ||||||||||
Transfer agency fees | 10 | 4 | 34 | n/a | 1 | n/a | n/a | 2 | 9 | 60 |
International Hedged Equity Fund | ||||||||||
Transfer agency fees | 1 | — (a) | 1 | n/a | n/a | n/a | n/a | — (a) | —(a ) | 2 |
(a) | Amount rounds to less than one thousand. |
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of October 31, 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 several court rulings in certain European countries, the tax authorities of each of these countries, recently paid Developed International Value Fund (France & Sweden), Europe Dynamic Fund (France) and International Equity Fund (France) 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. At October 31, 2023, Developed International Value Fund had a U.S. tax liability amounting to $3,492.
October 31, 2023 | J.P. Morgan International Equity Funds | 105 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Developed International Value Fund | $— | $1,330 | $(1,330 ) |
Emerging Markets Equity Fund | — | 93,751 | (93,751 ) |
Emerging Markets Research Enhanced Equity Fund | — | 10,319 | (10,319 ) |
Europe Dynamic Fund | — | 1,677 | (1,677 ) |
International Equity Fund | — | 19,810 | (19,810 ) |
International Focus Fund | — | 4,176 | (4,176 ) |
International Hedged Equity Fund | — | 276 | (276 ) |
The reclassifications for the Funds relate primarily to tax adjustments on certain investments, foreign currency gains or losses and foreign taxes.
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:
Developed International Value Fund | 0.55 % |
Emerging Markets Equity Fund | 0.68 |
Emerging Markets Research Enhanced Equity Fund | 0.25 |
Europe Dynamic Fund | 0.60 |
International Equity Fund | 0.50 |
International Focus Fund | 0.60 |
International Hedged Equity Fund | 0.25 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the year ended October 31, 2023, the effective rate was 0.07% of each Fund's average daily net assets, except for International Focus Fund, which was 0.08%, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. ("JPMCB"), a wholly-owned subsidiary of JPMorgan, serves as the Funds' sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The
106 | J.P. Morgan International Equity Funds | October 31, 2023 |
Distribution Plan provides that the following Funds shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | Class R2 | Class R3 | |
Developed International Value Fund | 0.25 % | 0.75 % | 0.50 % | n/a |
Emerging Markets Equity Fund | 0.25 | 0.75 | 0.50 | 0.25 % |
Europe Dynamic Fund | 0.25 | 0.75 | n/a | n/a |
International Equity Fund | 0.25 | 0.75 | 0.50 | n/a |
International Focus Fund | 0.25 | 0.75 | 0.50 | n/a |
International Hedged Equity Fund | 0.25 | 0.75 | n/a | n/a |
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 year ended October 31, 2023, JPMDS retained the following:
Front-End Sales Charge | CDSC | |
Developed International Value Fund | $30 | $— (a) |
Emerging Markets Equity Fund | 6 | — |
Europe Dynamic Fund | 1 | — |
International Equity Fund | 33 | — (a) |
International Focus Fund | 55 | — |
International Hedged Equity Fund | 1 | — |
(a) | 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:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | |
Developed International Value Fund | 0.25 % | 0.25 % | 0.25 % | 0.10 % | 0.25 % | n/a | n/a | 0.10 % |
Emerging Markets Equity Fund | 0.25 | 0.25 | 0.25 | 0.10 | 0.25 | 0.25 % | 0.25 % | 0.10 |
Emerging Markets Research Enhanced Equity Fund | n/a | n/a | 0.25 | n/a | n/a | n/a | n/a | n/a |
Europe Dynamic Fund | 0.25 | 0.25 | 0.25 | 0.10 | n/a | n/a | n/a | n/a |
International Equity Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 |
International Focus Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 |
International Hedged Equity Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.10 |
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.
October 31, 2023 | J.P. Morgan International Equity Funds | 107 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (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:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |
Developed International Value Fund | 1.00 % | 1.50 % | 0.75 % | 1.30 % | n/a | n/a | 0.65 % | 0.55 % |
Emerging Markets Equity Fund | 1.24 | 1.74 | 0.99 | 1.54 | 1.29 % | 1.04 % | 0.89 | 0.79 |
Emerging Markets Research Enhanced Equity Fund | n/a | n/a | 0.45 | n/a | n/a | n/a | n/a | 0.35 |
Europe Dynamic Fund | 1.24 | 1.74 | 0.99 | n/a | n/a | n/a | n/a | n/a |
International Equity Fund | 0.95 | 1.45 | 0.70 | 1.25 | n/a | n/a | 0.60 | 0.50 |
International Focus Fund | 1.00 | 1.50 | 0.75 | 1.30 | n/a | n/a | 0.65 | 0.55 |
International Hedged Equity Fund | 0.85 | 1.35 | 0.60 | n/a | n/a | n/a | 0.45 | 0.35 |
The expense limitation agreements were in effect for the year ended October 31, 2023 and the contractual expense limitation percentages in the table above are in place until at least February 29, 2024.
For the year ended October 31, 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 Waivers | |||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | |
Developed International Value Fund | $569 | $328 | $132 | $1,029 | $5 |
Emerging Markets Equity Fund | 861 | 573 | 1,279 | 2,713 | 99 |
Emerging Markets Research Enhanced Equity Fund | 943 | 628 | 347 | 1,918 | — |
Europe Dynamic Fund | — | — | 26 | 26 | — |
International Equity Fund | 2,720 | 1,805 | 578 | 5,103 | 9 |
International Focus Fund | 1,328 | 873 | 465 | 2,666 | — (a) |
International Hedged Equity Fund | 182 | 94 | — (a) | 276 | — (a) |
(a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund's investment in such affiliated money market fund, except for investments of securities lending cash collateral. 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 year ended October 31, 2023 were as follows:
Developed International Value Fund | $23 |
Emerging Markets Equity Fund | 217 |
Emerging Markets Research Enhanced Equity Fund | 40 |
Europe Dynamic Fund | 22 |
International Equity Fund | 172 |
International Focus Fund | 56 |
International Hedged Equity Fund | 11 |
108 | J.P. Morgan International Equity Funds | October 31, 2023 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the year ended October 31, 2023 the amount of these reimbursements were as follows:
Developed International Value Fund | $2 |
Emerging Markets Equity Fund | 3 |
Emerging Markets Research Enhanced Equity Fund | 2 |
Europe Dynamic Fund | 2 |
International Equity Fund | 2 |
International Focus Fund | 2 |
International Hedged Equity Fund | 2 |
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 year ended October 31, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
Developed International Value Fund | $189,834 | $147,585 |
Emerging Markets Equity Fund | 2,245,649 | 2,863,690 |
Emerging Markets Research Enhanced Equity Fund | 662,781 | 1,802,381 |
Europe Dynamic Fund | 582,198 | 694,335 |
International Equity Fund | 1,905,012 | 2,312,825 |
International Focus Fund | 579,109 | 472,781 |
International Hedged Equity Fund | 32,370 | 67,299 |
During the year ended October 31, 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 October 31, 2023 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Developed International Value Fund | $434,233 | $52,886 | $25,383 | $27,503 |
Emerging Markets Equity Fund | 6,549,936 | 1,518,971 | 944,292 | 574,679 |
Emerging Markets Research Enhanced Equity Fund | 1,865,244 | 134,787 | 306,428 | (171,641 ) |
Europe Dynamic Fund | 467,995 | 58,628 | 22,557 | 36,071 |
International Equity Fund | 3,482,623 | 725,584 | 234,373 | 491,211 |
International Focus Fund | 1,236,660 | 182,294 | 60,024 | 122,270 |
International Hedged Equity Fund | 131,087 | 21,453 | 8,689 | 12,764 |
October 31, 2023 | J.P. Morgan International Equity Funds | 109 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to tax adjustments on certain investments, tax adjustments on certain derivatives and wash sale loss deferrals.
The tax character of distributions paid during the year ended October 31, 2023 was as follows:
Ordinary Income* | Total Distributions Paid | |
Developed International Value Fund | $15,182 | $15,182 |
Emerging Markets Equity Fund | 42,601 | 42,601 |
Emerging Markets Research Enhanced Equity Fund | 67,740 | 67,740 |
Europe Dynamic Fund | 6,286 | 6,286 |
International Equity Fund | 114,472 | 114,472 |
International Focus Fund | 45,149 | 45,149 |
International Hedged Equity Fund | 3,449 | 3,449 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended October 31, 2022 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
Developed International Value Fund | $18,616 | $— | $18,616 |
Emerging Markets Equity Fund | 72,043 | 414,863 | 486,906 |
Emerging Markets Research Enhanced Equity Fund | 104,428 | 95,039 | 199,467 |
Europe Dynamic Fund | 25,084 | — | 25,084 |
International Equity Fund | 104,877 | 220,976 | 325,853 |
International Focus Fund | 71,155 | — | 71,155 |
International Hedged Equity Fund | 4,137 | — | 4,137 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of October 31, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
Developed International Value Fund | $23,746 | $(92,749 ) | $27,469 |
Emerging Markets Equity Fund | 109,182 | (640,921 ) | 569,399 |
Emerging Markets Research Enhanced Equity Fund | 52,619 | (301,726 ) | (174,239 ) |
Europe Dynamic Fund | 17,112 | (139,039 ) | 35,927 |
International Equity Fund | 96,768 | (206,099 ) | 491,058 |
International Focus Fund | 27,434 | (177,524 ) | 122,242 |
International Hedged Equity Fund | 4,014 | (23,021 ) | 12,765 * |
* | Included in this amount is $779 of unrealized losses that may be subject to limitation under Internal Revenue Code sections 381-384. |
The cumulative timing differences primarily consist of tax adjustments on certain investments, tax adjustments on certain derivatives and wash sale loss deferrals.
110 | J.P. Morgan International Equity Funds | October 31, 2023 |
At October 31, 2023, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Developed International Value Fund | $58,067 | $34,682 |
Emerging Markets Equity Fund | 388,489 | 252,432 |
Emerging Markets Research Enhanced Equity Fund | 145,459 | 156,267 |
Europe Dynamic Fund | 139,039 | — |
International Equity Fund | 65,234 | 140,865 |
International Focus Fund | 177,524 | — |
International Hedged Equity Fund | 6,086 | 16,935 |
During the year ended October 31, 2023, the following Funds utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||
Short-Term | Long-Term | |
Developed International Value Fund | $— | $2,207 |
Europe Dynamic Fund | 14,839 | — |
International Equity Fund | 6,947 | — |
International Focus Fund | 12,922 | — |
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 year ended October 31, 2023. Average borrowings from the Facility during the year ended October 31, 2023 were as follows:
Average Borrowings | Average Interest Rate paid | Number of Days Outstanding | Interest Paid | |
Emerging Markets Equity Fund | $36,884 | 5.51 % | 23 | $112 |
Emerging Markets Research Enhanced Equity Fund | 42,740 | 5.43 | 66 | 411 |
Europe Dynamic Fund | 2,855 | 6.06 | 4 | 2 |
International Equity Fund | 39,606 | 5.51 | 5 | 29 |
International Focus Fund | 6,504 | 5.56 | 4 | 4 |
International Hedged Equity Fund | 3,836 | 5.56 | 1 | 1 |
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 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 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
October 31, 2023 | J.P. Morgan International Equity Funds | 111 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
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. Effective August 8, 2023, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Funds had no borrowings outstanding from the Credit Facility at October 31, 2023. Average borrowings from the Credit Facility for, or at any time during the year ended October 31, 2023 were as follows (amounts in thousands, except number of days outstanding):
Average Borrowings | Average Interest Rate paid | Number of Days Outstanding | Interest Paid | |
Emerging Markets Research Enhanced Equity Fund | $100,000 | 5.65 % | 1 | $16 |
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 October 31, 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 | % of the Fund | Number of Individual Shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |
Developed International Value Fund | — | — % | 1 | 81.7 % |
Emerging Markets Equity Fund | — | — | 3 | 46.0 |
Emerging Markets Research Enhanced Equity Fund | — | — | 1 | 12.1 |
Europe Dynamic Fund | 3 | 52.7 | 1 | 11.3 |
International Equity Fund | — | — | 1 | 14.6 |
International Focus Fund | — | — | 3 | 51.1 |
International Hedged Equity Fund | — | — | 3 | 65.2 |
As of October 31, 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:
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
Emerging Markets Research Enhanced Equity Fund | 16.2 % | 30.7 % | 27.4 % |
Europe Dynamic Fund | 58.3 | — | — |
International Equity Fund | — | 32.8 | — |
International Focus Fund | 13.1 | — | — |
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.
112 | J.P. Morgan International Equity Funds | October 31, 2023 |
As of October 31, 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:
Developed International Value Fund | Emerging Markets Equity Fund | Emerging Markets Research Enhanced Equity Fund | Europe Dynamic Fund | International Equity Fund | International Focus Fund | International Hedged Equity Fund | |
China | — % | 27.7 % | 29.9 % | — % | — % | — % | — % |
France | 10.6 | — | — | 22.8 | 16.1 | 10.9 | 12.0 |
Germany | — | — | — | 12.4 | — | — | — |
India | — | 16.2 | 15.2 | — | — | — | — |
Japan | 21.8 | — | — | — | 20.3 | 12.7 | 23.3 |
South Korea | — | — | 12.5 | — | — | — | — |
Taiwan | — | 12.3 | 14.5 | — | — | — | — |
United Kingdom | 12.1 | — | — | 11.7 | 12.4 | 12.2 | 13.0 |
As of October 31, 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.
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.
Additionally, the Funds may have substantial difficulties exercising their legal rights or enforcing a counterparty’s legal obligations in certain jurisdictions outside of the United States, in particular in emerging market countries, which can increase the risks of loss.
London Interbank Offered Rate ("LIBOR") was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector actors have worked to establish 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 which may affect the value, volatility, liquidity or return on certain of the Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' 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 the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of any future pandemic or other global event to business and market conditions may have a significant negative impact on the performance of a Fund's investments, increase
October 31, 2023 | J.P. Morgan International Equity Funds | 113 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
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 or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event 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
During the year ended October 31, 2022, certain shareholders sold shares of International Focus Fund for the below given class. The portfolio securities were delivered primarily by means of redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below.
Fund | Class | Date | Value | Gain/Loss | Type |
International Focus Fund | R6 | April 21, 2022 | $1,236,430 (a) | $280,048 | Redemption-in-kind |
(a) | This amount includes cash of approximately $99,867 associated with the redemption in-kind. |
114 | J.P. Morgan International Equity Funds | October 31, 2023 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust IV and Shareholders of JPMorgan Developed International Value Fund, JPMorgan Emerging Markets Equity Fund, JPMorgan Emerging Markets Research Enhanced Equity Fund, JPMorgan Europe Dynamic Fund, JPMorgan International Equity Fund, JPMorgan International Focus Fund and JPMorgan International Hedged Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund), JPMorgan Emerging Markets Equity Fund, JPMorgan Europe Dynamic Fund, JPMorgan International Equity Fund and JPMorgan International Focus Fund (five of the funds constituting JPMorgan Trust I) and JPMorgan Emerging Markets Research Enhanced Equity Fund and JPMorgan International Hedged Equity Fund (two of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the "Funds") as of October 31, 2023, the related statements of operations for the year ended October 31, 2023, the statements of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
December 21, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
October 31, 2023 | J.P. Morgan International Equity Funds | 115 |
TRUSTEES
(Unaudited)
The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 170 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 170 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 170 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 170 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 170 | None |
116 | J.P. Morgan International Equity Funds | October 31, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 170 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 170 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 170 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 170 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 170 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 170 | None |
October 31, 2023 | J.P. Morgan International Equity Funds | 117 |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 170 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 170 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 170 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 170 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 170 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board's current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (170 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
118 | J.P. Morgan International Equity Funds | October 31, 2023 |
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | |||
October 31, 2023 | J.P. Morgan International Equity Funds | 119 |
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Managing Director, J.P. Morgan Investment Management Inc. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
120 | J.P. Morgan International Equity Funds | October 31, 2023 |
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
October 31, 2023 | J.P. Morgan International Equity Funds | 121 |
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, May 1, 2023, and continued to hold your shares at the end of the reporting period, October 31, 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 May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | ||||
Class A | ||||
Actual | $1,000.00 | $979.40 | $4.94 | 0.99 % |
Hypothetical | 1,000.00 | 1,020.21 | 5.04 | 0.99 |
Class C | ||||
Actual | 1,000.00 | 977.20 | 7.43 | 1.49 |
Hypothetical | 1,000.00 | 1,017.69 | 7.58 | 1.49 |
Class I | ||||
Actual | 1,000.00 | 980.80 | 3.69 | 0.74 |
Hypothetical | 1,000.00 | 1,021.47 | 3.77 | 0.74 |
Class L | ||||
Actual | 1,000.00 | 981.40 | 3.20 | 0.64 |
Hypothetical | 1,000.00 | 1,021.98 | 3.26 | 0.64 |
Class R2 | ||||
Actual | 1,000.00 | 979.00 | 6.43 | 1.29 |
Hypothetical | 1,000.00 | 1,018.70 | 6.56 | 1.29 |
Class R5 | ||||
Actual | 1,000.00 | 982.90 | 3.25 | 0.65 |
Hypothetical | 1,000.00 | 1,021.93 | 3.31 | 0.65 |
Class R6 | ||||
Actual | 1,000.00 | 982.10 | 2.70 | 0.54 |
Hypothetical | 1,000.00 | 1,022.48 | 2.75 | 0.54 |
JPMorgan Emerging Markets Equity Fund | ||||
Class A | ||||
Actual | 1,000.00 | 928.10 | 6.03 | 1.24 |
Hypothetical | 1,000.00 | 1,018.95 | 6.31 | 1.24 |
122 | J.P. Morgan International Equity Funds | October 31, 2023 |
Beginning Account Value May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Emerging Markets Equity Fund (continued) | ||||
Class C | ||||
Actual | $1,000.00 | $925.80 | $8.45 | 1.74 % |
Hypothetical | 1,000.00 | 1,016.43 | 8.84 | 1.74 |
Class I | ||||
Actual | 1,000.00 | 929.50 | 4.81 | 0.99 |
Hypothetical | 1,000.00 | 1,020.21 | 5.04 | 0.99 |
Class L | ||||
Actual | 1,000.00 | 929.70 | 4.33 | 0.89 |
Hypothetical | 1,000.00 | 1,020.72 | 4.53 | 0.89 |
Class R2 | ||||
Actual | 1,000.00 | 927.00 | 7.48 | 1.54 |
Hypothetical | 1,000.00 | 1,017.44 | 7.83 | 1.54 |
Class R3 | ||||
Actual | 1,000.00 | 927.80 | 6.27 | 1.29 |
Hypothetical | 1,000.00 | 1,018.70 | 6.56 | 1.29 |
Class R4 | ||||
Actual | 1,000.00 | 929.20 | 5.06 | 1.04 |
Hypothetical | 1,000.00 | 1,019.96 | 5.30 | 1.04 |
Class R5 | ||||
Actual | 1,000.00 | 929.70 | 4.33 | 0.89 |
Hypothetical | 1,000.00 | 1,020.72 | 4.53 | 0.89 |
Class R6 | ||||
Actual | 1,000.00 | 930.30 | 3.84 | 0.79 |
Hypothetical | 1,000.00 | 1,021.22 | 4.02 | 0.79 |
JPMorgan Emerging Markets Research Enhanced Equity Fund | ||||
Class I | ||||
Actual | 1,000.00 | 945.80 | 2.26 | 0.46 |
Hypothetical | 1,000.00 | 1,022.89 | 2.35 | 0.46 |
Class R6 | ||||
Actual | 1,000.00 | 946.80 | 1.77 | 0.36 |
Hypothetical | 1,000.00 | 1,023.39 | 1.84 | 0.36 |
JPMorgan Europe Dynamic Fund | ||||
Class A | ||||
Actual | 1,000.00 | 912.80 | 5.98 | 1.24 |
Hypothetical | 1,000.00 | 1,018.95 | 6.31 | 1.24 |
Class C | ||||
Actual | 1,000.00 | 910.50 | 8.38 | 1.74 |
Hypothetical | 1,000.00 | 1,016.43 | 8.84 | 1.74 |
Class I | ||||
Actual | 1,000.00 | 913.90 | 4.78 | 0.99 |
Hypothetical | 1,000.00 | 1,020.21 | 5.04 | 0.99 |
Class L | ||||
Actual | 1,000.00 | 914.20 | 4.05 | 0.84 |
Hypothetical | 1,000.00 | 1,020.97 | 4.28 | 0.84 |
Class R6 | ||||
Actual | 1,000.00 | 914.90 | 3.57 | 0.74 |
Hypothetical | 1,000.00 | 1,021.47 | 3.77 | 0.74 |
JPMorgan International Equity Fund | ||||
Class A | ||||
Actual | 1,000.00 | 919.90 | 4.60 | 0.95 |
Hypothetical | 1,000.00 | 1,020.42 | 4.84 | 0.95 |
October 31, 2023 | J.P. Morgan International Equity Funds | 123 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan International Equity Fund (continued) | ||||
Class C | ||||
Actual | $1,000.00 | $917.40 | $7.01 | 1.45 % |
Hypothetical | 1,000.00 | 1,017.90 | 7.38 | 1.45 |
Class I | ||||
Actual | 1,000.00 | 920.80 | 3.39 | 0.70 |
Hypothetical | 1,000.00 | 1,021.68 | 3.57 | 0.70 |
Class R2 | ||||
Actual | 1,000.00 | 917.70 | 6.04 | 1.25 |
Hypothetical | 1,000.00 | 1,018.90 | 6.36 | 1.25 |
Class R5 | ||||
Actual | 1,000.00 | 921.20 | 2.91 | 0.60 |
Hypothetical | 1,000.00 | 1,022.18 | 3.06 | 0.60 |
Class R6 | ||||
Actual | 1,000.00 | 921.60 | 2.42 | 0.50 |
Hypothetical | 1,000.00 | 1,022.68 | 2.55 | 0.50 |
JPMorgan International Focus Fund | ||||
Class A | ||||
Actual | 1,000.00 | 928.60 | 4.86 | 1.00 |
Hypothetical | 1,000.00 | 1,020.16 | 5.09 | 1.00 |
Class C | ||||
Actual | 1,000.00 | 925.90 | 7.28 | 1.50 |
Hypothetical | 1,000.00 | 1,017.64 | 7.63 | 1.50 |
Class I | ||||
Actual | 1,000.00 | 930.10 | 3.65 | 0.75 |
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 |
Class R2 | ||||
Actual | 1,000.00 | 927.20 | 6.31 | 1.30 |
Hypothetical | 1,000.00 | 1,018.65 | 6.61 | 1.30 |
Class R5 | ||||
Actual | 1,000.00 | 930.00 | 3.16 | 0.65 |
Hypothetical | 1,000.00 | 1,021.93 | 3.31 | 0.65 |
Class R6 | ||||
Actual | 1,000.00 | 930.50 | 2.68 | 0.55 |
Hypothetical | 1,000.00 | 1,022.43 | 2.80 | 0.55 |
JPMorgan International Hedged Equity Fund | ||||
Class A | ||||
Actual | 1,000.00 | 944.80 | 4.22 | 0.86 |
Hypothetical | 1,000.00 | 1,020.87 | 4.38 | 0.86 |
Class C | ||||
Actual | 1,000.00 | 942.30 | 6.66 | 1.36 |
Hypothetical | 1,000.00 | 1,018.35 | 6.92 | 1.36 |
Class I | ||||
Actual | 1,000.00 | 946.50 | 2.99 | 0.61 |
Hypothetical | 1,000.00 | 1,022.13 | 3.11 | 0.61 |
Class R5 | ||||
Actual | 1,000.00 | 947.20 | 2.21 | 0.45 |
Hypothetical | 1,000.00 | 1,022.94 | 2.29 | 0.45 |
124 | J.P. Morgan International Equity Funds | October 31, 2023 |
Beginning Account Value May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan International Hedged Equity Fund (continued) | ||||
Class R6 | ||||
Actual | $1,000.00 | $947.20 | $1.77 | 0.36 % |
Hypothetical | 1,000.00 | 1,023.39 | 1.84 | 0.36 |
* | Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
October 31, 2023 | J.P. Morgan International Equity Funds | 125 |
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.
126 | J.P. Morgan International Equity Funds | October 31, 2023 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent
legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
• The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
October 31, 2023 | J.P. Morgan International Equity Funds | 127 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
• The overall reputation and capabilities of the Adviser and its affiliates;
• The commitment of the Adviser to provide high quality service to the Funds;
• Their overall confidence in the Adviser’s integrity; and
• The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’
distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable.�� The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's
128 | J.P. Morgan International Equity Funds | October 31, 2023 |
investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Independent Written Evaluation of the Funds’ Senior Officer
The Trustees noted that, upon their direction, the Senior Officer for the International Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds’ selected share classes with the same Broadridge investment classification and objective (the “Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s Universe and noted that Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Developed International Value Fund’s performance for Class A, Class I and Class R6 shares was in the first, second and fourth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the Emerging Markets Equity Fund’s performance for Class A and Class I shares was in the fourth, third and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth, third, and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance
October 31, 2023 | J.P. Morgan International Equity Funds | 129 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the Emerging Markets Research Enhanced Equity Fund’s performance for both Class I and Class R6 shares was in the third quintile of the Universe for the one- and three-year periods ended December 31, 2022. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Europe Dynamic Fund’s performance for Class A shares was in the first, second and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that performance for Class I shares was in the second, second and fourth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that performance for Class R6 shares was in the second and first quintiles of the Universe for the one- and three-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the International Equity Fund’s performance for Class A, Class I and Class R6 shares was in the fifth, third and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the International Focus Fund’s performance for Class A shares was in the fourth, fourth and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for both Class I and Class R6 shares was in the fourth, fourth and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by
the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the International Hedged Equity Fund’s performance for Class A shares was in the second and fifth quintiles of the Universe for the one- and three-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for both Class I and Class R6 shares was in the third and fifth quintiles of the Universe for the one- and three-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each share class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Developed International Value Fund’s net advisory fee and actual total expenses for Class A, Class I, and Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
130 | J.P. Morgan International Equity Funds | October 31, 2023 |
The Trustees noted that the Emerging Markets Equity Fund’s net advisory fee and actual total expenses for Class A and Class I shares were in the second quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the Emerging Markets Research Enhanced Equity Fund’s net advisory fee and actual total expenses for Class I and Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the Europe Dynamic Fund’s net advisory fee for the Class A shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were in the first and second quintiles of the Universe, respectively. Broadridge did not calculate quintile rankings for the Peer Group for Class I shares of this Fund due to the limited number of funds in the Peer Group. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the International Equity Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the International Focus Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile of both the Peer Group and Universe. The Trustees noted that both the net advisory fee and actual total expenses for Class I shares were in the first and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the International Hedged Equity Fund’s net advisory fee and actual total expenses for Class A and Class R6 shares were in the first quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile of both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
October 31, 2023 | J.P. Morgan International Equity Funds | 131 |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions and foreign tax credits (if applicable) treated as qualified dividends for the fiscal year ended October 31, 2023:
Qualified Dividend Income | |
JPMorgan Developed International Value Fund (formerly known as JPMorgan International Value Fund) | $15,182 |
JPMorgan Emerging Markets Equity Fund | 62,395 |
JPMorgan Emerging Markets Research Enhanced Equity Fund | 37,337 |
JPMorgan Europe Dynamic Fund | 7,380 |
JPMorgan International Equity Fund | 88,741 |
JPMorgan International Focus Fund | 28,778 |
JPMorgan International Hedged Equity Fund | 3,878 |
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended October 31, 2023, the following Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as follows or amounts as finally determined:
Total Foreign Source Income | Total Foreign Tax Credit | |
JPMorgan Emerging Markets Equity Fund | $224,552 | $19,794 |
JPMorgan Emerging Markets Research Enhanced Equity Fund | 80,170 | 7,534 |
JPMorgan Europe Dynamic Fund | 19,427 | 1,094 |
JPMorgan International Equity Fund | 131,071 | 4,890 |
JPMorgan International Focus Fund | 39,729 | 2,759 |
JPMorgan International Hedged Equity Fund | 4,686 | 430 |
132 | J.P. Morgan International Equity Funds | October 31, 2023 |
Rev. January 2011
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○checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don't share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don't share |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com |
Page 2
Who we are | |
Who is providing this notice? | J.P. Morgan Funds |
What we do | |
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you: |
○open an account or provide contact information | |
○give us your account information or pay us by check | |
○make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: |
○sharing for affiliates’ everyday business purposes – information about your creditworthiness | |
○affiliates from using your information to market to you | |
○sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
○J.P. Morgan Funds doesn’t jointly market. | |
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.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and delivery of shareholder reports of mutual funds and ETFs, requiring to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
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. October 2023.
AN-INTEQ-1023
Annual Report
J.P. Morgan Tax Aware Funds
October 31, 2023
JPMorgan Tax Aware Equity Fund |
JPMorgan Tax Aware Real Return Fund |
CONTENTS
1 | |
2 | |
3 | |
5 | |
8 | |
24 | |
32 | |
36 | |
48 | |
49 | |
53 | |
55 | |
57 | |
58 | |
63 | |
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
December 14, 2023 (Unaudited)
Dear Shareholder,
While the U.S. economy generally performed well this year, global economic growth has been uneven in the face of elevated interest rates and heightened geopolitical tensions. Equity markets largely outperformed fixed income markets for the twelve months ended October 31, 2023, though rising yields lifted investor demand for certain types of bonds.
 | "The strong performance of financial markets in 2023 created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.” — Brian S. Shlissel |
Inflationary pressures have receded sufficiently so far that the U.S. Federal Reserve declined to raise interest rates since September 2023 and signaled it may reduce rates three times in 2024. Both the European Central Bank and the Bank of England also declined to raise interest rates in the third quarter of 2023. Financial markets largely responded positively to the central banks’ policy stances, though the view that interest rates could remain “higher for longer” appeared to temper investor optimism.
Overall, corporate earnings and revenues within developed markets generally continued to grow through the first three quarters of 2023, though certain surveys indicated many businesses anticipate demand to slow next year. Emerging markets experienced a wider dispersion in economic performance and corporate results, partly due to slower economic growth in China, post-pandemic changes to global supply chains and elevated debt servicing costs.
While some assert that the risk of economic recession has receded in 2023, the risk remains. China’s struggling property sector could further undermine economic growth and spill over to certain commodity exporting nations. Additionally, there is no clear timing with regard to the resolution of the war in Ukraine, which continues to impact global energy and grain supplies. The Israel-Hamas conflict has the potential to both widen militarily and to impact international trade and prices for energy and food. However, financial markets have generally continued to function without major disruptions during the period.
The strong performance of financial markets has created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.
Our suite of investment solutions seeks to provide investors with the ability to build durable portfolios that meet their financial goals, regardless of macroeconomic and geopolitical uncertainties.
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
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
October 31, 2023 | J.P. Morgan Tax Aware Funds | 1 |
J.P. Morgan Tax Aware Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
Equity markets continued to outperform bond markets during the period, generating positive returns largely due to gains made during the first half of 2023. Following a surge in U.S. equity prices, investors largely sought lower equity valuations in international markets in the second half of the period.
Overall, equities in international developed markets outperformed both emerging market and U.S. equities. Growth stocks and large capitalization stocks largely outperformed value stocks and mid cap and small cap stocks. Within fixed income markets, emerging markets debt and lower-rated bonds in developed markets generally outperformed U.S. Treasury bonds.
While the U.S. Federal Reserve, the European Central Bank and The Bank of England continued to raise interest rates at regular intervals through the first half of 2023, declining inflationary pressures allowed all three central banks to withhold further increases at the end of the reporting period.
Corporate earnings were generally better-than-expected for most of the period but results for the third quarter of 2023 showed some slowing in earnings and revenue growth. Tight labor markets in the U.S. eased somewhat in the final months of the period and the jobless rate rose to 3.8% in October 2023, which raised investor expectations that inflation would continue to slow.
Global energy prices largely fell during the period amid slowing demand from China and leading industrialized nations. Crude oil prices spiked briefly in September 2023 when Saudi Arabia and Russia extended production cuts and again in early October at the outbreak of the Israel-Hamas conflict. However, global petroleum prices receded by the end of the period as economic data, including U.S. gasoline consumption, continued to indicate slowing global demand.
Notably, financial sector stocks were roiled by the collapse of Silicon Valley Bank in late March 2023, followed closely by the failures of Signature Bank and Credit Suisse. In each case, government regulators moved to prevent the erosion of consumer and investor confidence in the banking system.
For the twelve months ended October 31, 2023, the MSCI EAFE Index returned 15.01%, the MSCI Emerging Markets Index returned 11.26% and the S&P 500 Index returned 10.14%.
2 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
JPMorgan Tax Aware Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 12.34% |
S&P 500 Index | 10.14% |
Net Assets as of 10/31/2023 (In Thousands) | $799,682 |
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 twelve months ended October 31, 2023.
The Fund’s security selection in the consumer discretionary and communication services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the industrials and utilities sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Microsoft Corp., Meta Platforms Inc. and Nvidia Inc. Shares of Microsoft, an information technology conglomerate, rose amid a general surge in large capitalization technology stocks during the period. Shares of Meta Platforms, parent company of Facebook, rose amid a general surge in large capitalization technology stocks during the period. Shares of Nvidia, a semiconductor manufacturer, rose after reporting consecutive quarters of better-than-expected earnings amid strong global demand for semiconductors.
Leading individual detractors from relative performance included the Fund’s overweight positions in NextEra Energy Inc., Danaher Corp. and Norfolk Southern Corp. Share of NextEra Energy, an electric utility, fell sharply in late September after the company lowered its growth forecast for its NextEra Energy Partners investment unit. Shares of Danaher, a medical technology manufacturer and services provider, fell ahead of the company’s spinoff of its Veralto unit and amid investor concerns about the company’s planned acquisition of Abcam PLC. Shares of Norfolk Southern, a freight railroad operator, fell after a company reported lower-than-expected earnings for the second and third quarters of 2023.
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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Microsoft Corp. | 12.3 % |
2. | UnitedHealth Group, Inc. | 6.4 |
3. | Amazon.com, Inc. | 5.2 |
4. | Apple, Inc. | 4.7 |
5. | Mastercard, Inc., Class A | 4.3 |
6. | NVIDIA Corp. | 4.0 |
7. | Meta Platforms, Inc., Class A | 3.6 |
8. | ConocoPhillips | 3.3 |
9. | Exxon Mobil Corp. | 3.0 |
10. | Linde plc | 2.9 |
PORTFOLIO COMPOSITION BY SECTOR AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Information Technology | 28.4% |
Health Care | 14.8 |
Financials | 13.7 |
Consumer Discretionary | 9.2 |
Communication Services | 8.4 |
Industrials | 7.6 |
Energy | 6.3 |
Consumer Staples | 5.4 |
Materials | 2.9 |
Utilities | 2.2 |
Short-Term Investments | 1.1 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 3 |
JPMorgan Tax Aware Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
1 YEAR | 5 YEAR | 10 YEAR | ||||||||
Inception Date of Class | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | |
CLASS A SHARES | March 22, 2011 | |||||||||
With Sales Charge * | 6.01 % | 4.10 % | 4.75 % | 10.55 % | 8.28 % | 8.17 % | 10.68 % | 8.99 % | 8.51 % | |
Without Sales Charge | 11.88 | 9.87 | 8.30 | 11.75 | 9.46 | 9.16 | 11.28 | 9.58 | 9.03 | |
CLASS C SHARES | March 22, 2011 | |||||||||
With CDSC ** | 10.35 | 8.41 | 7.34 | 11.20 | 8.96 | 8.74 | 10.84 | 9.21 | 8.68 | |
Without CDSC | 11.35 | 9.41 | 7.94 | 11.20 | 8.96 | 8.74 | 10.84 | 9.21 | 8.68 | |
Class I SHARES | January 30, 1997 | 12.34 | 10.24 | 8.62 | 12.20 | 9.82 | 9.51 | 11.75 | 9.95 | 9.40 |
Class R6 SHARES | October 01, 2018 | 12.44 | 10.30 | 8.70 | 12.31 | 9.90 | 9.59 | 11.81 | 10.00 | 9.45 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
4 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
JPMorgan Tax Aware Real Return Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 1.84% |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | 2.47% |
Tax Aware Real Return Composite Benchmark ** | 2.00% |
Net Assets as of 10/31/2023 (In Thousands) | $507,165 |
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, underperformed the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) and underperformed the Tax Aware Real Return Composite Benchmark for the twelve months ended October 31, 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 -0.57% for the period.
Relative to the Benchmark, the Fund’s longer overall duration and its underweight positions in the leading and transportation sectors were leading detractors from performance. Duration is as measure of the price sensitivity of a portfolio of bonds to changes in interest rates. The Fund’s inflation hedge also detracted from relative performance as inflation generally slowed during the period.
The Fund’s overweight allocations to bonds rated single-A and BBB, its overweight allocation to industrial development revenue/pollution control revenue bonds and its underweight allocation to state general obligation bonds were leading contributors to performance relative to the Benchmark.
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 96% 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 October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Municipal Bonds | 92.8% |
Short-Term Investments | 7.2 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
October 31, 2023 | J.P. Morgan Tax Aware Funds | 5 |
JPMorgan Tax Aware Real Return Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 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 Fund’s Composite Benchmark is determined by adding the return of the Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly known as Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index) and the Bloomberg Inflation Swap 5 Year Zero Coupon Index (formerly known as
Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index).
Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index).
***
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
6 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
1 YEAR | 5 YEAR | 10 YEAR | ||||||||
Inception Date of Class | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | Before Taxes | After Taxes on Distributions | After Taxes on Distributions and Sale of Fund Shares | |
CLASS A SHARES | August 31, 2005 | |||||||||
With Sales Charge * | (2.18 )% | (2.25 )% | (0.22 )% | 0.76 % | 0.74 % | 1.05 % | 0.77 % | 0.74 % | 1.08 % | |
Without Sales Charge | 1.60 | 1.53 | 2.06 | 1.54 | 1.52 | 1.66 | 1.15 | 1.12 | 1.38 | |
CLASS C SHARES | August 31, 2005 | |||||||||
With CDSC ** | 0.08 | 0.03 | 0.96 | 1.03 | 1.01 | 1.14 | 0.71 | 0.69 | 0.95 | |
Without CDSC | 1.08 | 1.03 | 1.56 | 1.03 | 1.01 | 1.14 | 0.71 | 0.69 | 0.95 | |
Class I SHARES | August 31, 2005 | 1.84 | 1.77 | 2.30 | 1.81 | 1.79 | 1.92 | 1.41 | 1.38 | 1.64 |
Class R6 SHARES | August 16, 2013 | 1.95 | 1.87 | 2.41 | 1.89 | 1.87 | 2.01 | 1.51 | 1.49 | 1.75 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
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 October 31, 2013 to October 31, 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.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 7 |
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 99.3% | ||
Aerospace & Defense — 0.6% | ||
Howmet Aerospace, Inc. | 117 | 5,169 |
Banks — 3.0% | ||
Bank of America Corp. | 376 | 9,900 |
Wells Fargo & Co. | 352 | 13,999 |
23,899 | ||
Beverages — 3.5% | ||
Monster Beverage Corp. * | 235 | 12,009 |
PepsiCo, Inc. | 101 | 16,458 |
28,467 | ||
Biotechnology — 2.3% | ||
AbbVie, Inc. | 128 | 18,113 |
Broadline Retail — 5.2% | ||
Amazon.com, Inc. * | 312 | 41,531 |
Capital Markets — 1.8% | ||
Morgan Stanley | 200 | 14,176 |
Chemicals — 2.9% | ||
Linde plc | 60 | 23,107 |
Commercial Services & Supplies — 1.8% | ||
Waste Connections, Inc. | 110 | 14,206 |
Consumer Finance — 1.4% | ||
American Express Co. | 77 | 11,281 |
Consumer Staples Distribution & Retail — 1.9% | ||
Costco Wholesale Corp. | 27 | 15,026 |
Electric Utilities — 2.2% | ||
NextEra Energy, Inc. | 299 | 17,433 |
Financial Services — 4.8% | ||
Mastercard, Inc., Class A | 92 | 34,714 |
WEX, Inc. * | 22 | 3,613 |
38,327 | ||
Ground Transportation — 1.5% | ||
Norfolk Southern Corp. | 63 | 12,040 |
Health Care Equipment & Supplies — 2.1% | ||
Boston Scientific Corp. * | 223 | 11,435 |
Zimmer Biomet Holdings, Inc. | 51 | 5,262 |
16,697 | ||
Health Care Providers & Services — 6.4% | ||
UnitedHealth Group, Inc. | 96 | 51,546 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Hotels, Restaurants & Leisure — 3.6% | ||
Booking Holdings, Inc. * | 4 | 9,624 |
Hilton Worldwide Holdings, Inc. | 66 | 9,971 |
Yum! Brands, Inc. | 77 | 9,354 |
28,949 | ||
Industrial Conglomerates — 1.9% | ||
Honeywell International, Inc. | 81 | 14,926 |
Insurance — 2.7% | ||
Progressive Corp. (The) | 140 | 22,054 |
Interactive Media & Services — 8.5% | ||
Alphabet, Inc., Class A * | 145 | 17,976 |
Alphabet, Inc., Class C * | 168 | 21,103 |
Meta Platforms, Inc., Class A * | 95 | 28,669 |
67,748 | ||
Life Sciences Tools & Services — 1.5% | ||
Danaher Corp. | 62 | 11,972 |
Machinery — 1.8% | ||
Deere & Co. | 41 | 14,797 |
Oil, Gas & Consumable Fuels — 6.3% | ||
ConocoPhillips | 222 | 26,398 |
Exxon Mobil Corp. | 226 | 23,869 |
50,267 | ||
Pharmaceuticals — 2.6% | ||
Bristol-Myers Squibb Co. | 128 | 6,580 |
Eli Lilly & Co. | 25 | 14,128 |
20,708 | ||
Semiconductors & Semiconductor Equipment — 11.5% | ||
Advanced Micro Devices, Inc. * | 83 | 8,136 |
Analog Devices, Inc. | 54 | 8,519 |
ASML Holding NV (Registered), NYRS (Netherlands) | 8 | 4,611 |
NVIDIA Corp. | 78 | 31,972 |
NXP Semiconductors NV (China) | 122 | 21,002 |
Texas Instruments, Inc. | 122 | 17,410 |
91,650 | ||
Software — 12.3% | ||
Microsoft Corp. | 292 | 98,664 |
Specialty Retail — 0.5% | ||
AutoZone, Inc. * | 2 | 3,845 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Technology Hardware, Storage & Peripherals — 4.7% | ||
Apple, Inc. | 220 | 37,492 |
Total Common Stocks (Cost $301,138) | 794,090 | |
Short-Term Investments — 1.1% | ||
Investment Companies — 1.1% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.49% (a) (b) (Cost $8,987) | 8,986 | 8,989 |
Total Investments — 100.4% (Cost $310,125) | 803,079 | |
Liabilities in Excess of Other Assets — (0.4)% | (3,397 ) | |
NET ASSETS — 100.0% | 799,682 | |
Percentages indicated are based on net assets. |
Abbreviations | |
NYRS | New York Registry Shares |
* | Non-income producing security. |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 9 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — 91.6% (a) | ||
Alabama — 1.5% | ||
Alabama Public School and College Authority, Capital Improvement Series 2016A, Rev., 4.00%, 6/1/2031 | 35 | 35 |
Black Belt Energy Gas District | ||
Series 2022C-1, Rev., 5.25%, 6/1/2028 | 1,530 | 1,556 |
Series 2022C-1, Rev., 5.25%, 12/1/2028 | 1,275 | 1,296 |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (b) | 3,825 | 3,488 |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (b) | 1,000 | 1,015 |
Total Alabama | 7,390 | |
Alaska — 0.0% ^ | ||
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project Rev., 5.00%, 9/1/2024 | 15 | 15 |
Arizona — 1.3% | ||
Arizona Industrial Development Authority | ||
Rev., 5.00%, 7/1/2038 (c) | 250 | 225 |
Rev., 5.25%, 7/1/2043 (c) | 250 | 221 |
Arizona Industrial Development Authority, Doral Academy of Northern Nevada Series 2021A, Rev., 4.00%, 7/15/2036 (c) | 275 | 227 |
Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (c) | 150 | 138 |
City of Phoenix Civic Improvement Corp. Rev., AMT, 5.00%, 7/1/2030 | 1,475 | 1,504 |
City of San Luis Series 2017A, Rev., AGM, 5.00%, 7/1/2025 | 50 | 51 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B3, Rev., 5.13%, 11/15/2029 (c) | 500 | 484 |
Maricopa County Elementary School District No. 92-Pendergast Elementary Series 2023B, GO, 5.00%, 7/1/2035 | 375 | 402 |
Maricopa County Industrial Development Authority | ||
Series 2023A, Rev., 5.25%, 7/1/2033 (c) | 200 | 189 |
Series 2023A, Rev., 6.25%, 7/1/2053 (c) | 1,900 | 1,718 |
Maricopa County Unified School District No. 41 Gilbert Series 2023C, GO, 5.00%, 7/1/2025 | 575 | 587 |
Maricopa County Unified School District No. 60 Higley | ||
COP, AGM, 5.00%, 6/1/2037 | 170 | 176 |
COP, AGM, 5.00%, 6/1/2038 | 250 | 257 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Arizona — continued | ||
Maricopa County Unified School District No. 69 Paradise Valley Series 2022D, GO, 5.00%, 7/1/2035 | 425 | 457 |
Pima County Unified School District No. 16 Catalina Foothills, School Improvement Projects Series 2018B, GO, 5.00%, 7/1/2028 | 10 | 10 |
Pinal County Electric District No. 3 Rev., 4.00%, 7/1/2034 | 150 | 147 |
Town of Queen Creek, Excise Tax Rev., 5.00%, 8/1/2029 | 10 | 10 |
Total Arizona | 6,803 | |
Arkansas — 0.4% | ||
City of Fort Smith, Water and Sewer Rev., 5.00%, 10/1/2027 | 1,305 | 1,346 |
City of Springdale Public Facilities Board Hospital, Arkansas Children's Northwest Project Rev., 5.00%, 3/1/2030 | 10 | 10 |
County of Pulaski | ||
Rev., 5.00%, 3/1/2037 | 500 | 515 |
Rev., 4.25%, 3/1/2048 | 250 | 212 |
Total Arkansas | 2,083 | |
California — 6.7% | ||
Briggs Elementary School District Series B, GO, 4.00%, 8/1/2030 | 5 | 5 |
California Community Choice Financing Authority, Clean Energy Project Series 2021B-1, Rev., 4.00%, 8/1/2031 (b) | 12,200 | 11,299 |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools- Obligated Group No. 2 | ||
Series 2022A, Rev., 4.00%, 6/1/2031 (c) | 250 | 219 |
Series 2022A, Rev., 4.00%, 6/1/2042 (c) | 550 | 403 |
California Municipal Finance Authority, Lutheran University | ||
Rev., 5.00%, 10/1/2029 | 225 | 229 |
Rev., 5.00%, 10/1/2030 | 225 | 229 |
Rev., 5.00%, 10/1/2031 | 225 | 228 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (c) | 500 | 503 |
California Public Finance Authority, Enso Village Project | ||
Series 2021B-3, Rev., 2.13%, 11/15/2027 (c) | 150 | 142 |
Series 2021B-2, Rev., 2.38%, 11/15/2028 (c) | 260 | 244 |
Series 2021B-1, Rev., 3.13%, 5/15/2029 (c) | 100 | 92 |
Series 2021A, Rev., 5.00%, 11/15/2036 (c) | 100 | 91 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
California — continued | ||
Series 2021A, Rev., 5.00%, 11/15/2046 (c) | 200 | 165 |
County of San Bernardino Series 2019A, COP, 5.00%, 10/1/2026 | 200 | 208 |
CSCDA Community Improvement Authority, Essential Housing, Orange Portfolio Series 2021A-1, Rev., 2.80%, 3/1/2047 (c) | 1,500 | 993 |
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (c) | 200 | 132 |
CSCDA Community Improvement Authority, Essential Housing, Senior Lien Series 2021A-1, Rev., 2.45%, 2/1/2047 (c) | 1,395 | 943 |
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Bonds Series 2015A, Rev., 5.00%, 6/1/2025 (d) | 4,950 | 5,050 |
Lompoc Valley Medical Center GO, 5.00%, 8/1/2024 | 15 | 15 |
Los Angeles Community College District, Election of 2008 Series G, GO, 4.00%, 8/1/2024 (d) | 145 | 145 |
Los Angeles Department of Water and Power, Power System | ||
Series 2014B, Rev., 5.00%, 1/1/2024 | 4,025 | 4,032 |
Series 2017A, Rev., 5.00%, 7/1/2034 | 710 | 732 |
Series 2019C, Rev., 5.00%, 7/1/2034 | 5 | 5 |
Ontario Public Financing Authority | ||
Series 2022A, Rev., AGM, 5.00%, 11/1/2027 | 90 | 95 |
Series 2022A, Rev., AGM, 5.00%, 11/1/2029 | 100 | 108 |
Series 2022A, Rev., AGM, 5.00%, 11/1/2030 | 140 | 152 |
Orange County Community Facilities District No. 2021-1, Rienda | ||
Series 2022A, 5.00%, 8/15/2037 | 100 | 98 |
Series 2022A, 5.00%, 8/15/2042 | 200 | 185 |
River Islands Public Financing Authority, Facilities District No. 2003-1 Series 2022A-1, AGM, 4.00%, 9/1/2037 | 250 | 231 |
Sacramento Municipal Utility District Financing Authority, Cosumnes Project Rev., 5.00%, 7/1/2028 | 1,290 | 1,315 |
San Francisco City and County Airport Commission, San Francisco International Airport Series 2019A, Rev., AMT, 5.00%, 5/1/2034 | 25 | 25 |
South Placer Wastewater Authority Rev., 5.00%, 11/1/2024 | 10 | 10 |
State of California, Various Purpose GO, 5.00%, 11/1/2037 | 5,000 | 5,320 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
California — continued | ||
Vista Unified School District Series 2022B, GO, 5.00%, 8/1/2033 | 365 | 402 |
Westminster School District Series 2016, GO, 5.00%, 8/1/2030 | 5 | 5 |
Total California | 34,050 | |
Colorado — 3.4% | ||
Arapahoe County School District No. 5 Cherry Creek GO, 5.00%, 12/15/2037 | 425 | 445 |
Boulder Valley School District No. Re-2 Boulder GO, 4.13%, 12/1/2046 | 5,000 | 4,376 |
City and County of Denver, Airport System | ||
Series 2022D, Rev., AMT, 5.50%, 11/15/2032 | 2,250 | 2,409 |
Series 2022A, Rev., AMT, 5.50%, 11/15/2042 | 5,000 | 5,150 |
City of Greeley COP, 4.00%, 12/1/2034 | 10 | 10 |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project | ||
Rev., 4.00%, 5/1/2028 | 35 | 33 |
Rev., 4.00%, 5/1/2030 | 35 | 33 |
Rev., 4.00%, 5/1/2036 | 85 | 73 |
Denver Health and Hospital Authority Series 2019A, Rev., 4.00%, 12/1/2037 | 1,000 | 841 |
Dominion Water and Sanitation District Rev., 5.25%, 12/1/2032 | 500 | 473 |
Jefferson County School District R-1 GO, 5.00%, 12/15/2035 | 515 | 538 |
Rampart Range Metropolitan District No. 5 Rev., 4.00%, 12/1/2036 | 500 | 392 |
Reunion Metropolitan District Series 2021A, Rev., 3.63%, 12/1/2044 | 490 | 329 |
State of Colorado Series 2020-A, COP, 4.00%, 12/15/2034 | 25 | 25 |
Third Creek Metropolitan District No. 1, Limited Tax Series 2022A-1, GO, 4.50%, 12/1/2037 | 825 | 661 |
Waterview II Metropolitan District Series 2022A, GO, 4.50%, 12/1/2031 | 525 | 459 |
Windler Public Improvement Authority, Limited Tax | ||
Series 2021A1, Rev., 4.00%, 12/1/2036 | 885 | 630 |
Series 2021A1, Rev., 4.00%, 12/1/2041 | 750 | 477 |
Total Colorado | 17,354 | |
Connecticut — 1.2% | ||
City of Norwalk GO, 4.25%, 8/15/2048 | 1,100 | 963 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | 1,000 | 1,006 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 11 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Connecticut — continued | ||
State of Connecticut, Special Tax Transportation Infrastructure Purposes | ||
Series 2022A, Rev., 5.00%, 7/1/2031 | 1,250 | 1,350 |
Series 2022B, Rev., 5.00%, 7/1/2031 | 2,500 | 2,700 |
Town of Southington Series 2020C, GO, 5.00%, 6/1/2028 | 5 | 5 |
Town of Stafford GO, 3.00%, 8/1/2026 | 10 | 10 |
Total Connecticut | 6,034 | |
District of Columbia — 1.8% | ||
District of Columbia | ||
Series 2017A, GO, 5.00%, 6/1/2029 | 290 | 302 |
Series 2017A, GO, 5.00%, 6/1/2031 | 600 | 621 |
District of Columbia, Gallaudet University Project | ||
Series 2021A, Rev., 4.00%, 4/1/2033 | 160 | 149 |
Series 2021A, Rev., 4.00%, 4/1/2036 | 200 | 177 |
Metropolitan Washington Airports Authority Aviation | ||
Series 2021A, Rev., AMT, 5.00%, 10/1/2028 | 3,000 | 3,069 |
Series 2020A, Rev., AMT, 5.00%, 10/1/2032 | 3,000 | 3,083 |
Series 2021A, Rev., AMT, 4.00%, 10/1/2039 | 1,590 | 1,384 |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2019A, Rev., 5.00%, 10/1/2036 | 270 | 273 |
Total District of Columbia | 9,058 | |
Florida — 3.1% | ||
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | 175 | 131 |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie Rev., 4.00%, 6/15/2031 (c) | 100 | 87 |
City of Pompano Beach Series 2021A, Rev., 4.00%, 9/1/2041 | 115 | 87 |
City of Pompano Beach, John Knox Village Project | ||
Rev., 3.50%, 9/1/2030 | 1,900 | 1,658 |
Series 2020, Rev., 3.50%, 9/1/2035 | 2,250 | 1,780 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects Series 2022B, Rev., 5.00%, 7/1/2031 | 165 | 164 |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | 100 | 95 |
Florida Development Finance Corp., Mater Academy Miami-Dade Osceola County Facilities | ||
Series 2022A, Rev., 5.00%, 6/15/2028 | 180 | 182 |
Series 2022A, Rev., 5.00%, 6/15/2031 | 260 | 262 |
Florida Development Finance Corp., Mayflower Retirement Community Project | ||
Series 2021A, Rev., 4.00%, 6/1/2029 (c) | 1,375 | 1,189 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Florida — continued | ||
Series 2021A, Rev., 4.00%, 6/1/2030 (c) | 1,435 | 1,210 |
Series 2021A, Rev., 4.00%, 6/1/2031 (c) | 1,395 | 1,147 |
JEA Electric System Series 2017 B, Rev., 5.00%, 10/1/2031 | 4,000 | 4,106 |
Lee County Industrial Development Authority, Health Care Facilities Series 2022B2, Rev., 3.25%, 10/1/2026 | 1,500 | 1,409 |
Lee County School Board (The) Series 2023 A, COP, 5.00%, 8/1/2042 | 1,000 | 1,007 |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment 5.20%, 5/1/2027 | 225 | 224 |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Rev., 5.00%, 11/1/2028 | 150 | 151 |
Palm Beach County Health Facilities Authority, Toby and Leon Cooperman Sinai Residences of Boca Raton Expansion Rev., 4.00%, 6/1/2041 | 500 | 368 |
St Johns County Industrial Development Authority, Life Care Ponte Vedra Series 2021A, Rev., 4.00%, 12/15/2029 | 225 | 203 |
Wildwood Utility Dependent District Rev., 5.00%, 10/1/2030 | 125 | 133 |
Total Florida | 15,593 | |
Georgia — 2.5% | ||
Brookhaven Urban Redevelopment Agency Series 2023A, Rev., 5.00%, 7/1/2040 | 2,920 | 3,077 |
Cherokee County Water & Sewer Authority Rev., 5.00%, 8/1/2037 | 135 | 144 |
City of Atlanta | ||
Series 2021C, Rev., AMT, 5.00%, 7/1/2029 | 1,160 | 1,188 |
Series 2021B, Rev., 4.00%, 7/1/2040 | 1,850 | 1,699 |
Columbia County School District | ||
GO, 5.00%, 10/1/2035 | 210 | 228 |
GO, 5.00%, 4/1/2036 | 700 | 755 |
GO, 5.00%, 10/1/2036 | 160 | 172 |
Development Authority of Monroe County (The) Series 2009-2, Rev., 3.88%, 3/6/2026 (b) | 1,250 | 1,217 |
Georgia Ports Authority Rev., 4.00%, 7/1/2052 | 1,500 | 1,245 |
Lee County School District GO, 5.00%, 2/1/2030 | 325 | 340 |
Main Street Natural Gas, Inc., Gas Supply | ||
Series 2023B, Rev., 5.00%, 3/1/2030 (b) | 1,000 | 993 |
Series 2023A, Rev., 5.00%, 6/1/2030 (b) | 1,300 | 1,278 |
State of Georgia Series 2015A, GO, 5.00%, 2/1/2025 | 130 | 132 |
Total Georgia | 12,468 | |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Idaho — 1.0% | ||
Idaho Health Facilities Authority, St. Luke's Health System Project Series 2018 C, Rev., VRDO, LOC : US Bank NA, 3.00%, 11/3/2023 (b) | 5,000 | 5,000 |
Illinois — 6.3% | ||
Chicago Midway International Airport,Senior Lien | ||
Series 2023A, Rev., AMT, 5.00%, 1/1/2030 (e) | 4,000 | 4,088 |
Series 2023A, Rev., AMT, 5.00%, 1/1/2033 (e) | 4,310 | 4,437 |
City of Chicago, Second Lien Waterworks Project Rev., 5.00%, 11/1/2029 | 1,000 | 1,005 |
Cook County Community Consolidated School District No. 15 Palatine GO, 5.00%, 12/1/2038 | 500 | 513 |
Illinois Finance Authority, Depaul College Prep Project Series 2023A, Rev., 4.50%, 8/1/2033 (c) | 775 | 729 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-3, Rev., 4.75%, 11/15/2027 | 200 | 194 |
Series 2022B-2, Rev., 5.25%, 11/15/2027 | 200 | 194 |
Series 2022B1, Rev., 6.00%, 11/15/2027 | 100 | 98 |
Illinois Finance Authority, Smith Crossing | ||
Rev., 4.00%, 10/15/2029 | 150 | 130 |
Rev., 4.00%, 10/15/2030 | 100 | 84 |
Rev., 4.00%, 10/15/2031 | 135 | 112 |
Illinois State Toll Highway Authority Series 2023A, Rev., 5.00%, 1/1/2042 | 1,000 | 1,015 |
Regional Transportation Authority Series 2002A, Rev., NATL -RE, 6.00%, 7/1/2024 | 750 | 760 |
State of Illinois | ||
Series 2017D, GO, 5.00%, 11/1/2025 | 5,000 | 5,062 |
Series 2017D, GO, 5.00%, 11/1/2028 | 1,350 | 1,380 |
Series 2018A, GO, 5.00%, 10/1/2030 | 2,000 | 2,044 |
Series 2022A, GO, 5.00%, 3/1/2033 | 6,000 | 6,166 |
Series 2021B, GO, 5.00%, 12/1/2033 | 1,000 | 1,023 |
Series 2023B, GO, 5.00%, 5/1/2034 | 2,000 | 2,044 |
Series 2021A, GO, 4.00%, 3/1/2039 | 1,000 | 864 |
Total Illinois | 31,942 | |
Indiana — 2.0% | ||
Avon Community School Building Corp. Rev., 4.00%, 7/15/2035 | 25 | 24 |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2037 | 25 | 23 |
City of Valparaiso Rev., 5.38%, 12/1/2041 (c) | 200 | 144 |
Fort Wayne Community School Building Corp., Fort Wayne Community Schools Rev., 5.00%, 7/15/2038 | 650 | 674 |
Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project Rev., 5.00%, 2/1/2026 | 1,000 | 1,002 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Indiana — continued | ||
Indiana Finance Authority Series 2023A, Rev., 5.00%, 6/1/2043 | 425 | 399 |
Indiana Finance Authority, DePauw University | ||
Series 2022A, Rev., 5.00%, 7/1/2027 | 200 | 201 |
Series 2022A, Rev., 5.00%, 7/1/2029 | 200 | 201 |
Series 2022A, Rev., 5.00%, 7/1/2030 | 230 | 231 |
Series 2022A, Rev., 5.00%, 7/1/2031 | 230 | 230 |
Series 2022A, Rev., 5.00%, 7/1/2032 | 230 | 230 |
Indiana Finance Authority, Wastewater Utility Series 2021-1, Rev., 5.00%, 10/1/2030 | 380 | 406 |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 | 2,000 | 1,822 |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2026 | 4,050 | 4,054 |
Lake Ridge School Building Corp., First Mortgage Rev., 4.00%, 7/15/2028 | 25 | 25 |
Marion High School Building Corp. Rev., 4.00%, 7/15/2027 | 250 | 250 |
Total Indiana | 9,916 | |
Iowa — 0.3% | ||
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2032 | 20 | 21 |
Iowa Finance Authority, Unitypoint Health Series 2013B-2, Rev., VRDO, LOC : TD Bank NA, 2.75%, 11/3/2023 (b) | 1,465 | 1,465 |
Total Iowa | 1,486 | |
Kansas — 0.1% | ||
City of Topeka, Kansas Health Care Facilities Series 2022B, Rev., 5.13%, 12/1/2026 | 250 | 241 |
City of Wichita Series 2016B, Rev., 4.00%, 10/1/2026 | 125 | 126 |
Total Kansas | 367 | |
Kentucky — 1.5% | ||
City of Henderson, Pratt Paper LLC Project Series 2022B, Rev., AMT, 4.45%, 1/1/2042 (c) | 500 | 441 |
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | 740 | 706 |
Kentucky Public Energy Authority, Gas Supply Series 2022A-1, Rev., 4.00%, 8/1/2030 (b) | 7,265 | 6,711 |
Total Kentucky | 7,858 | |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 13 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Louisiana — 2.3% | ||
Lafayette Public Power Authority Rev., 5.00%, 11/1/2025 | 15 | 15 |
Livingston Parish School Board Sales & Use Tax Series 2021A, Rev., 4.00%, 5/1/2027 | 25 | 25 |
Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project Rev., 5.00%, 10/1/2027 | 25 | 26 |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Series 2020A, Rev., 5.00%, 5/15/2037 | 65 | 65 |
Louisiana Public Facilities Authority, School Master Project Series 2021A, Rev., 4.00%, 6/1/2031 (c) | 290 | 253 |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 7/1/2026 (b) | 3,500 | 3,429 |
St. Tammany Parish Hospital Service District No. 1 Series 2018A, Rev., 5.00%, 7/1/2032 | 15 | 16 |
State of Louisiana Gasoline & Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (d) | 8,000 | 8,066 |
Terrebonne Parish Recreation District No. 5 GO, 5.00%, 3/1/2027 | 20 | 21 |
Total Louisiana | 11,916 | |
Maine — 0.2% | ||
Maine Health & Higher Educational Facilities Authority | ||
Series 2023A, Rev., AGM, 5.00%, 7/1/2025 | 100 | 101 |
Series 2023A, Rev., AGM, 5.00%, 7/1/2026 | 200 | 205 |
Maine Municipal Bond Bank Series 2022A, Rev., 5.00%, 11/1/2033 | 800 | 870 |
Total Maine | 1,176 | |
Maryland — 1.2% | ||
County of Howard Series 2021A, GO, 5.00%, 8/15/2024 | 2,370 | 2,393 |
County of Montgomery, Consolidated Public Improvements Series 2016A, GO, 4.00%, 12/1/2033 | 5 | 5 |
Maryland Economic Development Corp. | ||
Series 2022A, Rev., 5.25%, 7/1/2029 | 295 | 307 |
Series 2022A, Rev., 5.25%, 7/1/2030 | 670 | 699 |
Maryland Health and Higher Educational Facilities Authority, Stevenson University Issue | ||
Series 2021A, Rev., 5.00%, 6/1/2030 | 395 | 407 |
Series 2021A, Rev., 5.00%, 6/1/2032 | 450 | 463 |
Series 2021A, Rev., 4.00%, 6/1/2038 | 790 | 695 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Maryland — continued | ||
State of Maryland Series 2021-A, GO, 4.00%, 8/1/2036 | 590 | 572 |
State of Maryland, Department of Transportation Rev., 5.00%, 10/1/2027 | 450 | 472 |
Total Maryland | 6,013 | |
Massachusetts — 1.6% | ||
Commonwealth of Massachusetts | ||
Series 2018B, GO, 5.00%, 1/1/2030 | 1,415 | 1,484 |
Series 2022 E, GO, 5.00%, 11/1/2049 | 3,030 | 3,067 |
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.25%, 7/1/2048 | 1,000 | 964 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700 | 567 |
Massachusetts Development Finance Agency, Salem Community Corp. | ||
Rev., 5.00%, 1/1/2026 | 290 | 282 |
Rev., 5.00%, 1/1/2027 | 300 | 289 |
Rev., 5.00%, 1/1/2028 | 265 | 253 |
Rev., 5.00%, 1/1/2029 | 500 | 471 |
Rev., 5.00%, 1/1/2030 | 230 | 215 |
Rev., 5.00%, 1/1/2031 | 245 | 227 |
Rev., 5.13%, 1/1/2040 | 100 | 85 |
Massachusetts Development Finance Agency, Southcoast Health System Series 2021G, Rev., 5.00%, 7/1/2036 | 200 | 201 |
Total Massachusetts | 8,105 | |
Michigan — 0.3% | ||
Avondale School District GO, Q-SBLF, 5.00%, 11/1/2027 | 15 | 16 |
City of Detroit, Unlimited Tax Series 2021A, GO, 5.00%, 4/1/2037 | 400 | 388 |
Eastern Michigan University, Board of Regents Series 2017A, Rev., 5.00%, 3/1/2033 | 1,000 | 1,022 |
Lakeview School District, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2028 | 10 | 10 |
Michigan Finance Authority, Lawrence Technological University Rev., 4.00%, 2/1/2032 | 95 | 84 |
Michigan Strategic Fund, Graphic Packaging International, LLC Coated Recycled Board Machine Project Rev., AMT, 4.00%, 10/1/2026 (b) | 125 | 121 |
Onekama Consolidated Schools GO, AGM, 4.00%, 5/1/2025 | 15 | 15 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Michigan — continued | ||
Watervliet Public Schools, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2025 | 10 | 10 |
Wayne-Westland Community Schools Series 2019, GO, Q-SBLF, 4.00%, 11/1/2031 | 10 | 10 |
Total Michigan | 1,676 | |
Minnesota — 1.7% | ||
Chisholm Independent School District No. 695 Series 2023A, GO, Zero Coupon, 2/1/2039 | 600 | 270 |
Metropolitan Council Series 2023C, GO, 4.00%, 3/1/2042 | 4,965 | 4,339 |
Minnesota Higher Education Facilities Authority, University of St. Thomas | ||
Series 2022A, Rev., 5.00%, 10/1/2025 | 170 | 173 |
Series 2022A, Rev., 5.00%, 10/1/2026 | 100 | 102 |
Series 2022A, Rev., 5.00%, 10/1/2027 | 275 | 284 |
Series 2022A, Rev., 5.00%, 10/1/2028 | 290 | 302 |
Series 2022B, Rev., 5.00%, 10/1/2028 | 655 | 682 |
Series 2022A, Rev., 5.00%, 10/1/2029 | 315 | 330 |
Series 2022A, Rev., 5.00%, 10/1/2030 | 225 | 236 |
Series 2022A, Rev., 5.00%, 10/1/2031 | 350 | 364 |
Series 2022A, Rev., 5.00%, 10/1/2032 | 245 | 254 |
Minnesota Municipal Gas Agency Series Subseries,2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2027 | 1,435 | 1,389 |
Moorhead Independent School District No. 152 Series 2020A, GO, 4.00%, 2/1/2028 | 10 | 10 |
Total Minnesota | 8,735 | |
Missouri — 0.1% | ||
Industrial Development Authority of the City of St Louis Missouri (The), Innovation District Rev., 5.00%, 5/15/2041 | 400 | 366 |
Montana — 0.0% ^ | ||
Silver Bow County School District No. 1 GO, 5.00%, 7/1/2029 | 5 | 5 |
Nebraska — 2.0% | ||
Central Plains Energy Project, Gas Project No. 4 Series 2018A, Rev., 5.00%, 12/28/2023 (b) | 10,260 | 10,291 |
Lancaster County School District 001 GO, 5.00%, 1/15/2026 | 110 | 113 |
Total Nebraska | 10,404 | |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Nevada — 0.5% | ||
County of Clark, Nevada Improvement District No. 158 5.00%, 8/1/2034 | 10 | 10 |
State of Nevada Series 2015B, GO, 5.00%, 11/1/2026 | 2,500 | 2,542 |
Total Nevada | 2,552 | |
New Hampshire — 1.0% | ||
New Hampshire Health and Education Facilities Authority Act, Trustees of Dartmouth College Series 2007B, Rev., VRDO, LIQ : Bank of New York Mellon (The), 3.00%, 11/3/2023 (b) | 5,000 | 5,000 |
New Jersey — 2.5% | ||
Camden County Improvement Authority (The) | ||
Rev., GTD, 5.00%, 1/15/2037 | 300 | 316 |
Rev., 6.00%, 6/15/2042 | 525 | 545 |
Camden County Improvement Authority (The), Camden Prep High School Project | ||
Rev., 4.00%, 7/15/2027 (c) | 215 | 206 |
Rev., 5.00%, 7/15/2032 (c) | 285 | 282 |
Rev., 5.00%, 7/15/2042 (c) | 585 | 529 |
County of Morris GO, 3.00%, 2/1/2030 | 20 | 19 |
New Jersey Economic Development Authority Series 2023 RRR, Rev., 5.00%, 3/1/2026 | 4,500 | 4,592 |
New Jersey Economic Development Authority, Department of the Treasury Series 2014PP, Rev., 5.00%, 6/15/2024 (d) | 5,000 | 5,030 |
New Jersey Transportation Trust Fund Authority, Transportation Program Series 2020AA, Rev., 4.00%, 6/15/2045 | 1,100 | 936 |
New Jersey Turnpike Authority Series 2017B, Rev., 4.00%, 1/1/2035 | 5 | 5 |
Northvale School District GO, 4.00%, 8/1/2038 | 35 | 31 |
Total New Jersey | 12,491 | |
New Mexico — 0.9% | ||
Albuquerque Municipal School District No. 12 Series 2023A, GO, 5.00%, 8/1/2024 | 750 | 756 |
Loving Municipal School District No. 10 | ||
GO, 5.00%, 9/15/2024 | 430 | 433 |
GO, 5.00%, 9/15/2025 (d) | 300 | 306 |
GO, 5.00%, 9/15/2025 | 1,090 | 1,107 |
GO, 5.00%, 9/15/2026 | 360 | 371 |
GO, 5.00%, 9/15/2027 | 340 | 354 |
GO, 5.00%, 9/15/2028 | 300 | 312 |
State of New Mexico GO, 5.00%, 3/1/2031 | 755 | 816 |
Total New Mexico | 4,455 | |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 15 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New York — 15.3% | ||
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. Rev., 4.00%, 7/1/2031 | 100 | 87 |
Build NYC Resource Corp. Rev., 5.00%, 7/1/2030 | 510 | 521 |
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project Rev., 5.00%, 7/1/2034 | 210 | 213 |
Build NYC Resource Corp., New World Preparatory Charter School Project | ||
Series 2021A, Rev., 4.00%, 6/15/2031 (c) | 150 | 135 |
Series 2021A, Rev., 4.00%, 6/15/2051 (c) | 225 | 149 |
City of New York | ||
Series 2021A Subseries A1, GO, 4.00%, 8/1/2034 | 150 | 145 |
Series 2021F Subseries F-1, GO, 5.00%, 3/1/2036 | 1,000 | 1,054 |
Series 2024A, GO, 4.13%, 8/1/2053 | 1,000 | 843 |
City of New York, Fiscal Year 2018 Series 2018 -1, GO, 5.00%, 8/1/2030 | 20 | 21 |
City of New York, Fiscal Year 2021 Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2037 | 2,000 | 2,089 |
County of St. Lawrence GO, AGM, 3.00%, 5/15/2034 | 10 | 8 |
Hudson Yards Infrastructure Corp., Second Indenture, Fiscal Year 2017 Series 2017A, Rev., 5.00%, 2/15/2033 | 1,500 | 1,537 |
Long Island Power Authority, Electric System | ||
Series 2021A, Rev., 4.00%, 9/1/2033 | 30 | 30 |
Series 2019A, Rev., 3.00%, 9/1/2036 | 10 | 8 |
Metropolitan Transportation Authority Series C-1, Rev., 5.25%, 11/15/2028 | 5,000 | 5,042 |
Monroe County Water Authority Rev., 4.00%, 3/1/2050 | 4,510 | 3,702 |
New York City Municipal Water Finance Authority Fiscal Year 2022 Series 2022, Subseries BB-1, Rev., 4.00%, 6/15/2045 | 3,000 | 2,582 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Series 2009BB-2, Rev., VRDO, LIQ : UBS AG, 2.80%, 11/3/2023 (b) | 15,000 | 15,000 |
New York City Transitional Finance Authority Future Tax Secured | ||
Series 2020B-1, Rev., 5.00%, 11/1/2025 | 900 | 921 |
Series 2023D, SubseriesD-1, Rev., 5.00%, 11/1/2046 | 10,000 | 10,049 |
New York City Transitional Finance Authority, Future Tax Secured Series 2022B, SubseriesB-1, Rev., 4.00%, 8/1/2038 | 600 | 547 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
New York — continued | ||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 Series 2024 C, Rev., 5.25%, 5/1/2050 | 1,500 | 1,536 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F,SubseriesF-1, Rev., 5.00%, 2/1/2036 | 1,005 | 1,070 |
New York Convention Center Development Corp. Series B, Rev., AGM-CR, Zero Coupon, 11/15/2049 | 8,770 | 1,872 |
New York Liberty Development Corp., Secured by Port Authority Series 1WTC-2021, Rev., 2.75%, 2/15/2044 | 1,000 | 669 |
New York Liberty Development Corp., World Trade Centre Series 1WTC-2021, Rev., 2.25%, 2/15/2041 | 500 | 322 |
New York Power Authority Series 2020A, Rev., 4.00%, 11/15/2045 | 2,250 | 1,922 |
New York State Dormitory Authority | ||
Series 2018C, Rev., 5.00%, 3/15/2033 | 15 | 16 |
Series 2017A, Rev., 4.00%, 2/15/2034 | 1,000 | 983 |
Series 2019D, Rev., 5.00%, 2/15/2035 | 100 | 106 |
New York State Dormitory Authority, Sales Tax Series A, Rev., 5.00%, 3/15/2033 | 1,000 | 1,001 |
New York State Dormitory Authority, School Districts Financing Program Series 2018A, Rev., 5.00%, 10/1/2030 | 875 | 896 |
New York State Dormitory Authority, State Peronal Income Tax | ||
Series 2021 E, Rev., 4.00%, 3/15/2042 | 2,000 | 1,756 |
Series 2020A, Rev., 4.00%, 3/15/2047 | 1,930 | 1,657 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2020A, Rev., 4.00%, 3/15/2044 | 1,000 | 869 |
New York State Environmental Facilities Corp. | ||
Series 2022B, Rev., 5.00%, 9/15/2031 | 300 | 330 |
Series 2022B, Rev., 5.00%, 9/15/2032 | 400 | 443 |
Series 2022B, Rev., 5.00%, 9/15/2033 | 565 | 621 |
Series 2022B, Rev., 5.00%, 9/15/2034 | 300 | 328 |
Series 2022B, Rev., 5.00%, 9/15/2035 | 1,000 | 1,086 |
Series 2022B, Rev., 5.00%, 9/15/2036 | 950 | 1,018 |
Series 2022B, Rev., 5.00%, 9/15/2037 | 635 | 671 |
New York State Thruway Authority Series J, Rev., 5.00%, 1/1/2025 | 5 | 5 |
New York State Thruway Authority, Junior Lien Series 2016A, Rev., 5.00%, 1/1/2025 | 25 | 25 |
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 4.00%, 3/15/2046 | 1,000 | 864 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New York — continued | ||
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project Series 2018, Rev., AMT, 5.00%, 1/1/2031 | 1,000 | 973 |
New York Transportation Development Corp., Laguardia Airport Terminal C&D Redevelopment Project Series 2023, Rev., AMT, 6.00%, 4/1/2035 | 1,000 | 1,034 |
Port Authority of New York & New Jersey Series 222, Rev., 4.00%, 7/15/2038 | 100 | 91 |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (d) | 1,890 | 1,911 |
Syracuse Industrial Development Agency, Syracuse City School District Series 2019A, Rev., 4.00%, 5/1/2034 | 10 | 10 |
Triborough Bridge & Tunnel Authority Series 2022B, Rev., 5.00%, 5/15/2029 | 375 | 400 |
Utility Debt Securitization Authority Series 2013TE, Rev., 5.00%, 12/15/2041 | 4,250 | 4,226 |
Village of Stewart Manor, Public Improvement | ||
GO, 5.00%, 8/1/2026 | 20 | 21 |
GO, 4.00%, 8/1/2028 | 20 | 20 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | ||
Series 2021D, Rev., 2.88%, 7/1/2026 (c) | 465 | 438 |
Series 2021CEFRB, Rev., 3.20%, 7/1/2028 (c) | 3,025 | 2,763 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project Series 2021A, Rev., 5.00%, 7/1/2041 (c) | 1,000 | 796 |
Total New York | 77,432 | |
North Carolina — 1.2% | ||
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 570 | 544 |
County of Cabarrus Series 2022A, Rev., 5.00%, 6/1/2028 | 1,000 | 1,056 |
County of Catawba | ||
Rev., 5.00%, 4/1/2038 | 650 | 684 |
Rev., 5.00%, 4/1/2039 | 425 | 445 |
County of Durham Series 2023A, Rev., 5.00%, 6/1/2026 | 1,285 | 1,325 |
County of Wake GO, 5.00%, 4/1/2028 | 1,315 | 1,392 |
North Carolina Medical Care Commission, Forest at Duke, Inc. Rev., 4.00%, 9/1/2034 | 190 | 165 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
North Carolina — continued | ||
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien Rev., AGM, 5.00%, 1/1/2029 | 700 | 719 |
University of North Carolina at Greensboro Rev., 4.00%, 4/1/2035 | 10 | 9 |
Total North Carolina | 6,339 | |
North Dakota — 0.0% ^ | ||
North Dakota Building Authority Series 2020A, Rev., 5.00%, 12/1/2035 | 220 | 231 |
Ohio — 1.5% | ||
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron Series 2022A, Rev., 5.00%, 11/15/2029 | 650 | 679 |
Butler County Port Authority, Community First Solutions | ||
Series 2021A, Rev., 4.00%, 5/15/2038 | 110 | 96 |
Series 2021A, Rev., 4.00%, 5/15/2039 | 110 | 94 |
Series 2021A, Rev., 4.00%, 5/15/2040 | 120 | 102 |
Series 2021A, Rev., 4.00%, 5/15/2041 | 125 | 105 |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022A, Rev., 5.00%, 5/15/2032 | 160 | 146 |
Ohio Higher Educational Facility Commission, Capital University 2022 Project | ||
Rev., 5.00%, 9/1/2030 | 275 | 268 |
Rev., 5.75%, 9/1/2037 | 205 | 201 |
Ohio Higher Educational Facility Commission, Cleveland Institute of Music 2 | ||
Rev., 5.00%, 12/1/2027 | 80 | 79 |
Rev., 5.00%, 12/1/2032 | 100 | 97 |
Ohio Higher Educational Facility Commission, John Carroll University | ||
Rev., 5.00%, 10/1/2028 | 370 | 376 |
Rev., 5.00%, 10/1/2030 | 425 | 431 |
Rev., 5.00%, 10/1/2031 | 645 | 654 |
Rev., 5.00%, 10/1/2032 | 700 | 709 |
Ohio Water Development Authority Series 2021A, Rev., 5.00%, 12/1/2039 | 1,025 | 1,068 |
Ohio Water Development Authority Water Pollution Control Loan Fund | ||
Series 2023B, Rev., 5.00%, 12/1/2038 | 1,000 | 1,055 |
Series 2021A, Rev., 4.00%, 12/1/2041 | 1,195 | 1,076 |
State of Ohio Series 2016A, GO, 5.00%, 9/1/2025 | 385 | 394 |
Total Ohio | 7,630 | |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 17 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Oklahoma — 0.8% | ||
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | ||
Rev., 5.00%, 10/1/2025 | 500 | 507 |
Rev., 5.00%, 10/1/2026 | 500 | 512 |
Oklahoma State University Series 2021A, Rev., 4.00%, 9/1/2036 | 25 | 23 |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2038 | 2,000 | 1,985 |
Oklahoma Water Resources Board Series 2023 C, Rev., 5.00%, 10/1/2037 (e) | 810 | 856 |
Total Oklahoma | 3,883 | |
Oregon — 4.2% | ||
City of Portland, Second Lien Sewer System Series 2014B, Rev., 4.00%, 10/1/2036 | 2,180 | 2,029 |
Hillsboro School District No. 1J GO, 4.00%, 6/15/2035 | 100 | 98 |
Hospital Facilities Authority of Multnomah County Oregon, Terwilliger Plaza, Inc. | ||
Series 2021B-2, Rev., 0.95%, 6/1/2027 | 5,800 | 4,992 |
Series 2021B1, Rev., 1.20%, 6/1/2028 | 2,000 | 1,658 |
Oregon State Facilities Authority, Peacehealth Series 2018A, Rev., VRDO, LOC : US Bank NA, 3.00%, 11/3/2023 (b) | 10,000 | 10,000 |
Salem Hospital Facility Authority, Capital Manor Project | ||
Rev., 5.00%, 5/15/2028 | 155 | 152 |
Rev., 4.00%, 5/15/2029 | 130 | 121 |
Rev., 4.00%, 5/15/2030 | 190 | 174 |
Rev., 4.00%, 5/15/2031 | 200 | 182 |
Rev., 4.00%, 5/15/2032 | 185 | 165 |
Washington & Multnomah Counties School District No. 48J Beaverton Series B, GO, 5.00%, 6/15/2025 | 1,455 | 1,482 |
Yamhill County Hospital Authority, Friendsview Manor Series 2021A, Rev., 5.00%, 11/15/2056 | 210 | 144 |
Total Oregon | 21,197 | |
Pennsylvania — 2.3% | ||
Allegheny County Airport Authority, Pittsburgh International Airport Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2043 | 1,500 | 1,534 |
Allegheny County Higher Education Building Authority, Chatham University | ||
Series 2022, Rev., 5.00%, 9/1/2028 | 100 | 96 |
Rev., 5.00%, 9/1/2029 | 100 | 95 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pennsylvania — continued | ||
Rev., 5.00%, 9/1/2031 | 100 | 94 |
Bucks County Industrial Development Authority, Grand View Hospital Project Rev., 5.00%, 7/1/2036 | 1,225 | 1,035 |
Bucks County Water and Sewer Authority Series 2022A, Rev., AGM, 5.00%, 12/1/2039 | 425 | 438 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||
Rev., 5.00%, 6/1/2025 | 630 | 637 |
Rev., 5.00%, 6/1/2026 | 380 | 386 |
Rev., 5.00%, 6/1/2027 | 500 | 511 |
Rev., 5.00%, 6/1/2028 | 880 | 905 |
Rev., 5.00%, 6/1/2029 | 380 | 391 |
County of Lancaster Series A, GO, 4.00%, 5/1/2026 | 15 | 15 |
Fairview School District Series A, GO, 4.00%, 2/1/2028 | 10 | 10 |
Health Care Facilities Authority of Sayre, Guthrie Clinic (The) Rev., (3-MONTH SOFR + 1.04%), 4.58%, 12/1/2023 (f) | 995 | 994 |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2043 | 2,000 | 1,690 |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 | 1,695 | 1,623 |
Pennsylvania Turnpike Commission Series 2023, Rev., 5.00%, 12/1/2038 | 500 | 508 |
Pennsylvania Turnpike Commission Oil Franchise Tax Series 2021B, Rev., 5.00%, 12/1/2025 | 165 | 168 |
Philadelphia Authority for Industrial Development, Holy Family University Rev., 5.00%, 9/1/2029 | 675 | 681 |
Total Pennsylvania | 11,811 | |
South Carolina — 0.0% ^ | ||
City of Charleston, Waterworks & Sewer System Rev., 5.00%, 1/1/2028 | 15 | 15 |
Spartanburg County Tourist Public Facilities Corp. COP, 4.00%, 4/1/2028 | 10 | 10 |
Total South Carolina | 25 | |
Tennessee — 3.8% | ||
City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2051 | 2,000 | 1,675 |
City of Knoxville Series 2021A, Rev., 4.00%, 4/1/2038 | 25 | 23 |
City of Memphis, Electric System Rev., 5.00%, 12/1/2026 | 345 | 358 |
City of Murfreesboro GO, 5.00%, 6/1/2029 | 725 | 772 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Tennessee — continued | ||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd Rev., 5.00%, 5/1/2037 | 250 | 255 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305 | 1,032 |
Metropolitan Nashville Airport Authority (The) | ||
Series 2022B, Rev., AMT, 5.50%, 7/1/2038 | 1,500 | 1,554 |
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | 1,400 | 1,373 |
Tennessee Energy Acquisition Corp., Gas Project | ||
Series 2018, Rev., 4.00%, 11/1/2025 (b) | 8,000 | 7,826 |
Series 2023A-1, Rev., 5.00%, 5/1/2028 (b) | 4,685 | 4,636 |
Total Tennessee | 19,504 | |
Texas — 7.2% | ||
Aledo Independent School District | ||
GO, PSF-GTD, 5.00%, 2/15/2042 | 500 | 513 |
GO, PSF-GTD, 5.00%, 2/15/2043 | 2,600 | 2,658 |
GO, PSF-GTD, 5.00%, 2/15/2048 | 2,000 | 2,022 |
Allen Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 (d) | 1,770 | 1,816 |
Bexar County Hospital District GO, 4.00%, 2/15/2035 | 10 | 10 |
Bryan Independent School District GO, PSF-GTD, 4.00%, 2/15/2032 | 1,000 | 996 |
City of Austin, Airport System Rev., AMT, 5.00%, 11/15/2034 | 1,500 | 1,524 |
City of Houston, Airport System Series 2021A, Rev., AMT, 5.00%, 7/1/2032 | 950 | 972 |
City of Houston, Combined Utility System, Junior Lien Series 2002A, Rev., AGM, 5.75%, 12/1/2032 (d) | 5,550 | 6,430 |
City of Mesquite, Waterworks & Sewer System | ||
Rev., 5.00%, 3/1/2029 | 655 | 690 |
Rev., 5.00%, 3/1/2035 | 1,000 | 1,065 |
Clifton Higher Education Finance Corp., IDEA Public Schools Series 2021 T, Rev., PSF-GTD, 5.00%, 8/15/2030 | 460 | 491 |
County of El Paso GO, 5.00%, 2/15/2032 | 1,490 | 1,538 |
County of Tarrant GO, 5.00%, 7/15/2033 | 500 | 538 |
Crowley Independent School District | ||
GO, PSF-GTD, 4.25%, 2/1/2053 | 500 | 430 |
GO, PSF-GTD, 5.25%, 2/1/2053 | 500 | 517 |
Denton Independent School District GO, PSF-GTD, 5.00%, 8/15/2030 | 460 | 490 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Texas — continued | ||
Irving Independent School District | ||
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2037 | 1,000 | 1,059 |
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2039 | 1,000 | 1,039 |
McKinney Independent School District GO, PSF-GTD, 5.00%, 2/15/2033 | 2,650 | 2,835 |
New Hope Cultural Education Facilities Finance Corp, Outlook at Windhaven Forefront Living Series 2022B-3, Rev., 4.25%, 10/1/2026 | 325 | 314 |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2037 | 100 | 74 |
Newark Higher Education Finance Corp., The Hughen Center, Inc. | ||
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2037 | 250 | 262 |
Series 2022A, Rev., PSF-GTD, 5.00%, 8/15/2042 | 340 | 348 |
North Texas Tollway Authority System, First Tier Series 2023 A, Rev., 5.00%, 1/1/2026 (e) | 1,000 | 1,023 |
North Texas Tollway Authority, First Tier | ||
Series A, Rev., 5.00%, 1/1/2026 | 10 | 10 |
Series A, Rev., 5.00%, 1/1/2030 | 360 | 367 |
North Texas Tollway Authority, North Texas Tollway System Series A, Rev., 5.00%, 1/1/2035 | 600 | 610 |
North Texas Tollway Authority, Second Tier Series B, Rev., 5.00%, 1/1/2030 | 400 | 405 |
Plano Independent School District, Unlimited Tax GO, 5.00%, 2/15/2041 | 600 | 620 |
Round Rock Independent School District GO, 5.00%, 8/1/2029 | 115 | 120 |
San Antonio Education Facilities Corp., Hallmark University Project Series 2021A, Rev., 5.00%, 10/1/2041 | 200 | 154 |
Taylor Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 (d) | 1,150 | 1,180 |
Texas Water Development Board Series 2018B, Rev., 5.00%, 10/15/2029 | 1,000 | 1,055 |
Trinity River Authority Rev., 5.00%, 2/1/2038 | 300 | 313 |
Trinity River Authority, Walker-Calloway System | ||
Rev., 5.00%, 2/1/2027 | 290 | 300 |
Rev., 5.00%, 2/1/2028 | 305 | 319 |
Rev., 5.00%, 2/1/2029 | 320 | 333 |
Rev., 5.00%, 2/1/2030 | 340 | 353 |
Rev., 5.00%, 2/1/2031 | 355 | 369 |
Tyler Independent School District GO, PSF-GTD, 5.00%, 2/15/2028 | 175 | 182 |
Total Texas | 36,344 | |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 19 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Utah — 1.4% | ||
City of Salt Lake City Series 2018A, Rev., AMT, 5.00%, 7/1/2029 | 2,000 | 2,033 |
County of Utah, IHC Health Services, Inc. Series 2018C, Rev., VRDO, LIQ : TD Bank NA, 2.70%, 11/3/2023 (b) | 2,465 | 2,465 |
Military Installation Development Authority, Tax Allocation Series 2021A-2, Rev., 4.00%, 6/1/2036 | 100 | 79 |
Military Installation Development Authority, Tax Allocation and Hotel Tax Series 2021A-1, Rev., 4.00%, 6/1/2036 | 100 | 79 |
Utah Charter School Finance Authority, Wallace Stegner Academy | ||
Series 2022A, Rev., 5.25%, 6/15/2032 (c) | 500 | 475 |
Series 2022A, Rev., 5.63%, 6/15/2042 (c) | 805 | 725 |
Utah Infrastructure Agency | ||
Rev., 5.00%, 10/15/2027 | 100 | 100 |
Rev., 5.00%, 10/15/2032 | 100 | 99 |
Utah Infrastructure Agency Tax-Exempt Telecommunications | ||
Rev., 4.00%, 10/15/2031 | 500 | 465 |
Rev., 4.00%, 10/15/2033 | 525 | 476 |
Total Utah | 6,996 | |
Virginia — 0.1% | ||
Henrico County Economic Development Authority, Westminster-Canterbury Corp. Rev., 4.00%, 10/1/2040 | 330 | 273 |
Washington — 5.0% | ||
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2039 | 4,610 | 4,150 |
Port of Seattle, Intermediate Lien | ||
Series B, Rev., 5.00%, 3/1/2033 | 3,750 | 3,764 |
Series 2022B, Rev., AMT, 5.00%, 8/1/2033 | 2,830 | 2,906 |
Series B, Rev., 5.00%, 3/1/2034 | 1,000 | 1,003 |
Series 2022B, Rev., AMT, 4.00%, 8/1/2047 | 600 | 474 |
State of Washington | ||
Series R-2022A, GO, 4.00%, 2/1/2036 | 4,335 | 4,159 |
Series 2023C, GO, 5.00%, 6/1/2041 | 2,000 | 2,076 |
State of Washington Motor Vehicle Fuel Tax Series 2024 B, GO, 5.00%, 6/1/2045 | 2,000 | 2,042 |
State of Washington, Various Purpose General Obligation Series 2022C, GO, 5.00%, 2/1/2042 | 2,000 | 2,058 |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2025 | 1,250 | 1,263 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Washington — continued | ||
Washington State Housing Finance Commission, Bitter Lake Village Associates 1 LP Rev., VRDO, LOC : Federal National Mortgage Association, 3.84%, 11/9/2023 (b) | 250 | 250 |
Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (c) | 1,415 | 1,079 |
Total Washington | 25,224 | |
Wisconsin — 1.4% | ||
Public Finance Authority, Ascend Leadership Academy Project Series 2021A, Rev., 5.00%, 6/15/2041 (c) | 130 | 102 |
Public Finance Authority, Carmelite System, Inc. (The) Rev., 3.25%, 1/1/2029 | 860 | 770 |
Public Finance Authority, Coral Academy of Science | ||
Series 2021A, Rev., 4.00%, 7/1/2030 | 305 | 281 |
Series 2021A, Rev., 4.00%, 7/1/2041 | 500 | 379 |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.25%, 7/1/2033 | 500 | 538 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | 105 | 86 |
Public Finance Authority, Triad Educational Services, Inc. | ||
Rev., 5.00%, 6/15/2032 | 360 | 348 |
Series 2021A, Rev., 4.00%, 6/15/2041 | 280 | 212 |
Rev., 5.00%, 6/15/2042 | 380 | 327 |
Public Finance Authority, Triad Math & Science Academy Co. | ||
Series 2021A, Rev., 4.00%, 6/15/2024 | 340 | 337 |
Series 2021A, Rev., 4.00%, 6/15/2026 | 370 | 356 |
Series 2021A, Rev., 4.00%, 6/15/2028 | 400 | 376 |
Series 2021A, Rev., 4.00%, 6/15/2030 | 435 | 398 |
Public Finance Authority, Viticus Group Project | ||
Series 2022A, Rev., 4.00%, 12/1/2031 (c) | 100 | 86 |
Series 2022A, Rev., 4.00%, 12/1/2041 (c) | 290 | 215 |
Wisconsin Department of Transportation Series 2017 1, Rev., 5.00%, 7/1/2025 | 2,000 | 2,041 |
Wisconsin Health & Educational Facilities Authority, Marquette University Rev., 5.00%, 10/1/2032 | 400 | 413 |
Total Wisconsin | 7,265 | |
Total Municipal Bonds (Cost $490,842) | 464,465 | |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — 7.1% | ||
Investment Companies — 7.1% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.79% (g) (h) (Cost $35,872) | 35,872 | 35,872 |
Total Investments — 98.7% (Cost $526,714) | 500,337 | |
Other Assets Less Liabilities — 1.3% | 6,828 | |
NET ASSETS — 100.0% | 507,165 | |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
COP | Certificate of Participation |
CR | Custodial Receipts |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
NATL | Insured by National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
RE | Reinsured |
Rev. | Revenue |
SOFR | Secured Overnight Financing Rate |
VRDO | Variable Rate Demand Obligation |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of October 31, 2023. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Security is prerefunded or escrowed to maturity. | |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of October 31, 2023. | |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(h) | The rate shown is the current yield as of October 31, 2023. | |
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 5 Year Note | 63 | 12/29/2023 | USD | 6,582 | (120 ) |
Abbreviations | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 21 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
Centrally Cleared Inflation-linked swap contracts outstanding as of October 31, 2023 (amounts in thousands):
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.33% at termination | Receive | 10/11/2025 | USD45,872 | — | 185 | 185 |
CPI-U at termination | 2.39% at termination | Receive | 9/5/2025 | USD8,434 | 17 | 18 | 35 |
CPI-U at termination | 2.46% at termination | Receive | 8/8/2026 | USD11,251 | — | 48 | 48 |
CPI-U at termination | 2.49% at termination | Receive | 9/5/2028 | USD61,611 | 41 | 363 | 404 |
CPI-U at termination | 2.50% at termination | Receive | 9/6/2028 | USD35,658 | — | 203 | 203 |
CPI-U at termination | 2.53% at termination | Receive | 9/5/2033 | USD12,048 | (18 ) | 174 | 156 |
CPI-U at termination | 2.55% at termination | Receive | 9/6/2033 | USD6,169 | — | 71 | 71 |
CPI-U at termination | 2.59% at termination | Receive | 7/24/2033 | USD12,390 | 20 | 96 | 116 |
CPI-U at termination | 2.60% at termination | Receive | 7/25/2033 | USD17,507 | 5 | 144 | 149 |
CPI-U at termination | 2.61% at termination | Receive | 7/24/2033 | USD31,070 | 5 | 250 | 255 |
CPI-U at termination | 2.66% at termination | Receive | 9/21/2033 | USD5,597 | 1 | 15 | 16 |
71 | 1,567 | 1,638 | |||||
CPI-U at termination | 2.58% at termination | Receive | 9/14/2026 | USD16,502 | 1 | (1 ) | — (b) |
CPI-U at termination | 2.59% at termination | Receive | 10/23/2025 | USD47,731 | (57 ) | (31 ) | (88 ) |
CPI-U at termination | 2.59% at termination | Receive | 10/23/2026 | USD45,471 | (81 ) | (29 ) | (110 ) |
CPI-U at termination | 2.60% at termination | Receive | 10/24/2025 | USD9,630 | — | (19 ) | (19 ) |
CPI-U at termination | 2.61% at termination | Receive | 9/21/2026 | USD29,170 | (33 ) | 1 | (32 ) |
CPI-U at termination | 2.63% at termination | Receive | 10/24/2025 | USD31,997 | — | (85 ) | (85 ) |
CPI-U at termination | 2.68% at termination | Receive | 10/23/2028 | USD22,184 | (34 ) | (50 ) | (84 ) |
(204 ) | (214 ) | (418 ) | |||||
(133 ) | 1,353 | 1,220 |
Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) | Value of floating rate index at October 31, 2023 was as follows: |
(b) | Amount rounds to less than one thousand. |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.08% |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of October 31, 2023 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.41-V1 | 5.00 | Quarterly | 12/20/2028 | 5.16 | USD9,950 | (91 ) | 95 | 4 |
(*) | 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. | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). | ||||||||
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 23 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023
(Amounts in thousands, except per share amounts)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |
ASSETS: | ||
Investments in non-affiliates, at value | $794,090 | $464,465 |
Investments in affiliates, at value | 8,989 | 35,872 |
Cash | 60 | 30 |
Deposits at broker for futures contracts | — | 97 |
Deposits at broker for centrally cleared swaps | — | 12,827 |
Receivables: | ||
Investment securities sold | 2,973 | 225 |
Investment securities sold — delayed delivery securities | — | 20 |
Fund shares sold | 486 | 171 |
Interest from non-affiliates | — | 6,332 |
Dividends from non-affiliates | 747 | — |
Dividends from affiliates | 1 | 114 |
Total Assets | 807,346 | 520,153 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | — | 1,024 |
Investment securities purchased — delayed delivery securities | — | 10,368 |
Fund shares redeemed | 7,213 | 1,047 |
Variation margin on futures contracts | — | 5 |
Variation margin on centrally cleared swaps | — | 284 |
Accrued liabilities: | ||
Investment advisory fees | 234 | 105 |
Administration fees | 46 | 3 |
Distribution fees | 19 | 22 |
Service fees | 58 | 34 |
Custodian and accounting fees | 5 | — |
Other | 89 | 96 |
Total Liabilities | 7,664 | 12,988 |
Net Assets | $799,682 | $507,165 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |
NET ASSETS: | ||
Paid-in-Capital | $134,272 | $645,791 |
Total distributable earnings (loss) | 665,410 | (138,626 ) |
Total Net Assets | $799,682 | $507,165 |
Net Assets: | ||
Class A | $42,434 | $89,954 |
Class C | 14,586 | 4,493 |
Class I | 485,516 | 307,086 |
Class R6 | 257,146 | 105,632 |
Total | $799,682 | $507,165 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||
Class A | 1,142 | 10,050 |
Class C | 404 | 503 |
Class I | 12,937 | 34,213 |
Class R6 | 6,850 | 11,777 |
Net Asset Value (a): | ||
Class A — Redemption price per share | $37.16 | $8.95 |
Class C — Offering price per share (b) | 36.17 | 8.93 |
Class I — Offering and redemption price per share | 37.53 | 8.98 |
Class R6 — Offering and redemption price per share | 37.53 | 8.97 |
Class A maximum sales charge | 5.25 % | 3.75 % |
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $39.22 | $9.30 |
Cost of investments in non-affiliates | $301,138 | $490,842 |
Cost of investments in affiliates | 8,987 | 35,872 |
Net upfront receipts on centrally cleared swaps | — | (224 ) |
(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.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 25 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $— | $18,606 |
Interest income from affiliates | — | — (a) |
Dividend income from non-affiliates | 12,015 | — |
Dividend income from affiliates | 472 | 975 |
Total investment income | 12,487 | 19,581 |
EXPENSES: | ||
Investment advisory fees | 3,097 | 1,950 |
Administration fees | 664 | 418 |
Distribution fees: | ||
Class A | 98 | 238 |
Class C | 117 | 39 |
Service fees: | ||
Class A | 98 | 238 |
Class C | 39 | 13 |
Class I | 1,348 | 945 |
Custodian and accounting fees | 30 | 138 |
Interest expense to affiliates | — | 3 |
Professional fees | 63 | 105 |
Trustees’ and Chief Compliance Officer’s fees | 29 | 28 |
Printing and mailing costs | 92 | 42 |
Registration and filing fees | 76 | 103 |
Transfer agency fees (See Note 2.I.) | 18 | 10 |
Other | 19 | 19 |
Total expenses | 5,788 | 4,289 |
Less fees waived | (954 ) | (1,620 ) |
Less expense reimbursements | (6 ) | (2 ) |
Net expenses | 4,828 | 2,667 |
Net investment income (loss) | 7,659 | 16,914 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | $223,139 | $(13,755 ) |
Investments in affiliates | 2 | (5 ) |
Futures contracts | — | (150 ) |
Swaps | — | 299 |
Net realized gain (loss) | 223,141 | (13,611 ) |
Distribution of capital gains received from investment company affiliates | — | 2 |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | (123,853 ) | 10,092 |
Investments in affiliates | 4 | (4 ) |
Futures contracts | — | (120 ) |
Swaps | — | (2,437 ) |
Change in net unrealized appreciation/depreciation | (123,849 ) | 7,531 |
Net realized/unrealized gains (losses) | 99,292 | (6,078 ) |
Change in net assets resulting from operations | $106,951 | $10,836 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 27 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $7,659 | $7,374 | $16,914 | $9,947 |
Net realized gain (loss) | 223,141 | 94,204 | (13,611 ) | 2,561 |
Distributions of capital gains received from investment company affiliates | — | — | 2 | 1 |
Change in net unrealized appreciation/depreciation | (123,849 ) | (321,486 ) | 7,531 | (57,136 ) |
Change in net assets resulting from operations | 106,951 | (219,908 ) | 10,836 | (44,627 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (2,912 ) | (5,888 ) | (2,668 ) | (1,380 ) |
Class C | (1,155 ) | (2,555 ) | (118 ) | (72 ) |
Class I | (46,113 ) | (108,264 ) | (11,408 ) | (7,608 ) |
Class R6 | (29,465 ) | (73,207 ) | (2,501 ) | (895 ) |
Total distributions to shareholders | (79,645 ) | (189,914 ) | (16,695 ) | (9,955 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (293,042 ) | 35,927 | (49,799 ) | 51,571 |
NET ASSETS: | ||||
Change in net assets | (265,736 ) | (373,895 ) | (55,658 ) | (3,011 ) |
Beginning of period | 1,065,418 | 1,439,313 | 562,823 | 565,834 |
End of period | $799,682 | $1,065,418 | $507,165 | $562,823 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
JPMorgan Tax Aware Equity Fund | JPMorgan Tax Aware Real Return Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||||
Class A | ||||
Proceeds from shares issued | $10,632 | $12,257 | $41,422 | $49,207 |
Distributions reinvested | 2,904 | 5,801 | 2,473 | 1,199 |
Cost of shares redeemed | (10,964 ) | (8,437 ) | (29,525 ) | (62,521 ) |
Change in net assets resulting from Class A capital transactions | 2,572 | 9,621 | 14,370 | (12,115 ) |
Class C | ||||
Proceeds from shares issued | 2,263 | 4,553 | 1,331 | 3,232 |
Distributions reinvested | 1,130 | 2,496 | 105 | 64 |
Cost of shares redeemed | (4,674 ) | (5,064 ) | (3,113 ) | (3,545 ) |
Change in net assets resulting from Class C capital transactions | (1,281 ) | 1,985 | (1,677 ) | (249 ) |
Class I | ||||
Proceeds from shares issued | 85,408 | 189,928 | 221,642 | 371,668 |
Distributions reinvested | 45,299 | 106,211 | 7,499 | 4,272 |
Cost of shares redeemed | (294,718 ) | (267,812 ) | (335,369 ) | (349,501 ) |
Change in net assets resulting from Class I capital transactions | (164,011 ) | 28,327 | (106,228 ) | 26,439 |
Class R6 | ||||
Proceeds from shares issued | 21,196 | 49,338 | 111,066 | 57,291 |
Distributions reinvested | 29,311 | 72,864 | 1,137 | 678 |
Cost of shares redeemed | (180,829 ) | (126,208 ) | (68,467 ) | (20,473 ) |
Change in net assets resulting from Class R6 capital transactions | (130,322 ) | (4,006 ) | 43,736 | 37,496 |
Total change in net assets resulting from capital transactions | $(293,042 ) | $35,927 | $(49,799 ) | $51,571 |
SHARE TRANSACTIONS: | ||||
Class A | ||||
Issued | 289 | 308 | 4,463 | 5,082 |
Reinvested | 83 | 131 | 267 | 126 |
Redeemed | (308 ) | (215 ) | (3,183 ) | (6,545 ) |
Change in Class A Shares | 64 | 224 | 1,547 | (1,337 ) |
Class C | ||||
Issued | 64 | 116 | 144 | 330 |
Reinvested | 33 | 58 | 11 | 7 |
Redeemed | (131 ) | (129 ) | (336 ) | (368 ) |
Change in Class C Shares | (34 ) | 45 | (181 ) | (31 ) |
Class I | ||||
Issued | 2,321 | 4,762 | 23,771 | 38,920 |
Reinvested | 1,286 | 2,393 | 807 | 448 |
Redeemed | (8,040 ) | (6,510 ) | (36,041 ) | (36,763 ) |
Change in Class I Shares | (4,433 ) | 645 | (11,463 ) | 2,605 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 29 |
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 | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||||
Class R6 | ||||
Issued | 573 | 1,220 | 11,932 | 6,022 |
Reinvested | 833 | 1,642 | 123 | 71 |
Redeemed | (5,092 ) | (3,068 ) | (7,389 ) | (2,152 ) |
Change in Class R6 Shares | (3,686 ) | (206 ) | 4,666 | 3,941 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Tax Aware Equity Fund | |||||||
Class A | |||||||
Year Ended October 31, 2023 | $35.92 | $0.17 | $3.90 | $4.07 | $(0.20 ) | $(2.63 ) | $(2.83 ) |
Year Ended October 31, 2022 | 49.77 | 0.08 | (7.30 ) | (7.22 ) | (0.07 ) | (6.56 ) | (6.63 ) |
Year Ended October 31, 2021 | 40.37 | 0.02 | 14.90 | 14.92 | (0.04 ) | (5.48 ) | (5.52 ) |
Year Ended October 31, 2020 | 36.83 | 0.17 | 5.79 | 5.96 | (0.18 ) | (2.24 ) | (2.42 ) |
Year Ended October 31, 2019 | 33.50 | 0.23 | 4.28 | 4.51 | (0.25 ) | (0.93 ) | (1.18 ) |
Class C | |||||||
Year Ended October 31, 2023 | 35.04 | (0.01 ) | 3.80 | 3.79 | (0.03 ) | (2.63 ) | (2.66 ) |
Year Ended October 31, 2022 | 48.84 | (0.12 ) | (7.12 ) | (7.24 ) | — | (6.56 ) | (6.56 ) |
Year Ended October 31, 2021 | 39.86 | (0.20 ) | 14.66 | 14.46 | — | (5.48 ) | (5.48 ) |
Year Ended October 31, 2020 | 36.42 | (0.02 ) | 5.74 | 5.72 | (0.04 ) | (2.24 ) | (2.28 ) |
Year Ended October 31, 2019 | 33.17 | 0.07 | 4.22 | 4.29 | (0.11 ) | (0.93 ) | (1.04 ) |
Class I | |||||||
Year Ended October 31, 2023 | 36.24 | 0.32 | 3.94 | 4.26 | (0.34 ) | (2.63 ) | (2.97 ) |
Year Ended October 31, 2022 | 50.15 | 0.24 | (7.36 ) | (7.12 ) | (0.23 ) | (6.56 ) | (6.79 ) |
Year Ended October 31, 2021 | 40.64 | 0.20 | 15.00 | 15.20 | (0.21 ) | (5.48 ) | (5.69 ) |
Year Ended October 31, 2020 | 37.05 | 0.32 | 5.84 | 6.16 | (0.33 ) | (2.24 ) | (2.57 ) |
Year Ended October 31, 2019 | 33.67 | 0.40 | 4.28 | 4.68 | (0.37 ) | (0.93 ) | (1.30 ) |
Class R6 | |||||||
Year Ended October 31, 2023 | 36.25 | 0.36 | 3.93 | 4.29 | (0.38 ) | (2.63 ) | (3.01 ) |
Year Ended October 31, 2022 | 50.16 | 0.29 | (7.37 ) | (7.08 ) | (0.27 ) | (6.56 ) | (6.83 ) |
Year Ended October 31, 2021 | 40.64 | 0.25 | 15.00 | 15.25 | (0.25 ) | (5.48 ) | (5.73 ) |
Year Ended October 31, 2020 | 37.06 | 0.37 | 5.82 | 6.19 | (0.37 ) | (2.24 ) | (2.61 ) |
Year Ended October 31, 2019 | 33.68 | 0.38 | 4.33 | 4.71 | (0.40 ) | (0.93 ) | (1.33 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$37.16 | 11.88 % | $42,434 | 0.94 % | 0.46 % | 0.96 % | 10 % |
35.92 | (16.96 ) | 38,736 | 0.95 | 0.21 | 0.96 | 31 |
49.77 | 40.69 | 42,525 | 0.94 | 0.05 | 0.95 | 21 |
40.37 | 16.96 | 29,515 | 0.95 | 0.45 | 0.96 | 19 |
36.83 | 13.99 | 25,640 | 0.96 | 0.67 | 0.98 | 14 |
36.17 | 11.35 | 14,586 | 1.44 | (0.04 ) | 1.47 | 10 |
35.04 | (17.38 ) | 15,356 | 1.45 | (0.30 ) | 1.46 | 31 |
48.84 | 39.96 | 19,177 | 1.44 | (0.45 ) | 1.45 | 21 |
39.86 | 16.40 | 12,499 | 1.45 | (0.05 ) | 1.46 | 19 |
36.42 | 13.42 | 11,345 | 1.44 | 0.19 | 1.46 | 14 |
37.53 | 12.34 | 485,516 | 0.55 | 0.87 | 0.71 | 10 |
36.24 | (16.63 ) | 629,462 | 0.55 | 0.60 | 0.71 | 31 |
50.15 | 41.22 | 838,765 | 0.55 | 0.45 | 0.70 | 21 |
40.64 | 17.47 | 634,799 | 0.55 | 0.85 | 0.71 | 19 |
37.05 | 14.45 | 586,825 | 0.55 | 1.16 | 0.71 | 14 |
37.53 | 12.44 | 257,146 | 0.44 | 0.97 | 0.46 | 10 |
36.25 | (16.53 ) | 381,864 | 0.44 | 0.70 | 0.46 | 31 |
50.16 | 41.39 | 538,846 | 0.44 | 0.56 | 0.45 | 21 |
40.64 | 17.57 | 497,260 | 0.44 | 0.98 | 0.45 | 19 |
37.06 | 14.55 | 650,680 | 0.44 | 1.08 | 0.46 | 14 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 33 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||
Investment operations | Distributions | ||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |
JPMorgan Tax Aware Real Return Fund | |||||
Class A | |||||
Year Ended October 31, 2023 | $9.06 | $0.26 | $(0.11 ) | $0.15 | $(0.26 ) |
Year Ended October 31, 2022 | 9.94 | 0.14 | (0.88 ) | (0.74 ) | (0.14 ) |
Year Ended October 31, 2021 | 9.11 | 0.13 | 0.84 | 0.97 | (0.14 ) |
Year Ended October 31, 2020 | 9.25 | 0.18 | (0.13 ) | 0.05 | (0.19 ) |
Year Ended October 31, 2019 | 9.19 | 0.22 | 0.07 | 0.29 | (0.23 ) |
Class C | |||||
Year Ended October 31, 2023 | 9.04 | 0.21 | (0.11 ) | 0.10 | (0.21 ) |
Year Ended October 31, 2022 | 9.92 | 0.09 | (0.87 ) | (0.78 ) | (0.10 ) |
Year Ended October 31, 2021 | 9.09 | 0.08 | 0.84 | 0.92 | (0.09 ) |
Year Ended October 31, 2020 | 9.23 | 0.14 | (0.14 ) | — (d) | (0.14 ) |
Year Ended October 31, 2019 | 9.17 | 0.17 | 0.07 | 0.24 | (0.18 ) |
Class I | |||||
Year Ended October 31, 2023 | 9.09 | 0.29 | (0.12 ) | 0.17 | (0.28 ) |
Year Ended October 31, 2022 | 9.97 | 0.17 | (0.88 ) | (0.71 ) | (0.17 ) |
Year Ended October 31, 2021 | 9.13 | 0.16 | 0.84 | 1.00 | (0.16 ) |
Year Ended October 31, 2020 | 9.27 | 0.20 | (0.13 ) | 0.07 | (0.21 ) |
Year Ended October 31, 2019 | 9.21 | 0.24 | 0.07 | 0.31 | (0.25 ) |
Class R6 | |||||
Year Ended October 31, 2023 | 9.08 | 0.30 | (0.12 ) | 0.18 | (0.29 ) |
Year Ended October 31, 2022 | 9.96 | 0.18 | (0.88 ) | (0.70 ) | (0.18 ) |
Year Ended October 31, 2021 | 9.13 | 0.17 | 0.83 | 1.00 | (0.17 ) |
Year Ended October 31, 2020 | 9.27 | 0.23 | (0.15 ) | 0.08 | (0.22 ) |
Year Ended October 31, 2019 | 9.21 | 0.25 | 0.07 | 0.32 | (0.26 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$8.95 | 1.60 % | $89,954 | 0.69 % | 2.83 % | 1.01 % | 60 % |
9.06 | (7.46 ) | 77,066 | 0.74 | 1.48 | 1.00 | 68 |
9.94 | 10.68 | 97,845 | 0.75 | 1.33 | 1.01 | 7 |
9.11 | 0.57 | 35,094 | 0.75 | 1.96 | 1.01 | 12 |
9.25 | 3.14 | 39,846 | 0.76 | 2.32 | 0.99 | 4 |
8.93 | 1.08 | 4,493 | 1.19 | 2.31 | 1.52 | 60 |
9.04 | (7.93 ) | 6,183 | 1.24 | 0.98 | 1.50 | 68 |
9.92 | 10.17 | 7,095 | 1.25 | 0.84 | 1.51 | 7 |
9.09 | 0.04 | 2,859 | 1.25 | 1.50 | 1.51 | 12 |
9.23 | 2.60 | 8,353 | 1.26 | 1.85 | 1.48 | 4 |
8.98 | 1.84 | 307,086 | 0.44 | 3.06 | 0.75 | 60 |
9.09 | (7.20 ) | 415,000 | 0.49 | 1.74 | 0.75 | 68 |
9.97 | 11.04 | 429,314 | 0.50 | 1.61 | 0.76 | 7 |
9.13 | 0.82 | 214,709 | 0.50 | 2.24 | 0.75 | 12 |
9.27 | 3.38 | 384,626 | 0.51 | 2.58 | 0.73 | 4 |
8.97 | 1.95 | 105,632 | 0.34 | 3.20 | 0.51 | 60 |
9.08 | (7.11 ) | 64,574 | 0.39 | 1.90 | 0.50 | 68 |
9.96 | 11.04 | 31,580 | 0.40 | 1.76 | 0.51 | 7 |
9.13 | 0.92 | 22,231 | 0.40 | 2.48 | 0.49 | 12 |
9.27 | 3.49 | 316,009 | 0.41 | 2.70 | 0.48 | 4 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 35 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 2 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
Classes Offered | Diversification Classification | |
JPMorgan Tax Aware Equity Fund | Class A, Class C, Class I and Class R6 | Diversified |
JPMorgan Tax Aware Real Return Fund | Class A, Class C, Class I and Class R6 | Diversified |
The investment objective of JPMorgan Tax Aware Equity Fund (“Tax Aware Equity Fund”) is to seek to provide high after-tax total return from a portfolio of selected equity securities.
The investment objective of JPMorgan Tax Aware Real Return Fund (“Tax Aware Real Return Fund”) is to seek to maximize after-tax inflation protected return.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. 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.
36 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
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"):
Tax Aware Equity Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $803,079 | $— | $— | $803,079 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
Tax Aware Real Return Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $464,465 | $— | $464,465 |
Short-Term Investments | ||||
Investment Companies | 35,872 | — | — | 35,872 |
Total Investments in Securities | $35,872 | $464,465 | $— | $500,337 |
Appreciation in Other Financial Instruments | ||||
Swaps | $— | $1,663 | $— | $1,663 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (120 ) | — | — | (120 ) |
Swaps | — | (215 ) | — | (215 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(120 ) | $1,448 | $— | $1,328 |
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 October 31, 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.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 37 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — Tax Aware Real Return 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.
Tax Aware Real Return Fund had when-issued securities, delayed delivery securities or forward commitments outstanding as of October 31, 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 October 31, 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 year ended October 31, 2023.
38 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
E. Investment Transactions with Affiliates — The Funds invested in Underlying Funds 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.
Tax Aware Equity Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 5.49% (a) (b) | $29,645 | $161,934 | $182,596 | $2 | $4 | $8,989 | 8,986 | $472 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
Tax Aware Real Return Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.79% (a) (b) | $46,363 | $386,942 | $397,424 | $(5 ) | $(4 ) | $35,872 | 35,872 | $975 | $2 |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 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).
October 31, 2023 | J.P. Morgan Tax Aware Funds | 39 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (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 reported as Deposits at broker for centrally cleared swaps 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 October 31, 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) * | $1,638 |
Unrealized Depreciation on Futures Contracts ** | (120 ) |
Swaps at Value (Liabilities) * | (418 ) |
Credit Risk Exposure: | |
Swaps at Value (Assets) * | 4 |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts ** | (120 ) |
Swaps at Value * | 1,224 |
* | 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. |
** | 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 year ended October 31, 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: | |
Futures Contracts | $(150 ) |
Swap Contracts | 2,215 |
Credit Exposure Risk: | |
Swap Contracts | (1,916 ) |
40 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
Tax Aware Real Return Fund | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Interest Rate Risk Exposure: | |
Futures Contracts | $(120 ) |
Swap Contracts | (3,297 ) |
Credit Exposure Risk: | |
Swap Contracts | 860 |
Derivatives Volume
The table below discloses the volume of the Fund’s futures contracts and swaps activity during the year ended October 31, 2023.
Tax Aware Real Return Fund | |
Futures Contracts: | |
Average Notional Balance Long | $7,088 |
Average Notional Balance Short | (2,979 ) |
Ending Notional Balance Long | 6,582 |
Interest Rate-Related Swaps : | |
Average Notional Balance - Pays Fixed Rate | 441,220 |
Ending Notional Balance - Pays Fixed Rate | 450,292 |
Credit Default Swaps: | |
Average Notional Balance - Buy Protection | 19,135 |
Ending Notional Balance - Buy Protection | 9,950 |
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 year ended October 31, 2023 are as follows:
Class A | Class C | Class I | Class R6 | Total | |
Tax Aware Equity Fund | |||||
Transfer agency fees | $1 | $1 | $12 | $4 | $18 |
Tax Aware Real Return Fund | |||||
Transfer agency fees | 3 | 1 | 4 | 2 | 10 |
October 31, 2023 | J.P. Morgan Tax Aware Funds | 41 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of October 31, 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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Tax Aware Equity Fund | $50,033 | $— | $(50,033 ) |
Tax Aware Real Return Fund | — | (8 ) | 8 |
The reclassifications for the Funds relate primarily to tax adjustments on certain investments and tax equalization.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.35% of each Fund’s respective average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the year ended October 31, 2023, the effective 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 the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the sale of each Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of each Fund do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | |
Tax Aware Equity Fund | 0.25 % | 0.75 % |
Tax Aware Real Return Fund | 0.25 | 0.75 |
42 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
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 year ended October 31, 2023, JPMDS retained the following:
Front-End Sales Charge | CDSC | |
Tax Aware Equity Fund | $12 | $— |
Tax Aware Real Return Fund | 3 | — |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | |
Tax Aware Equity Fund | 0.25 % | 0.25 % | 0.25 % |
Tax Aware Real Return Fund | 0.25 | 0.25 | 0.25 |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements —The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds' respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R6 | |
Tax Aware Equity Fund | n/a | n/a | 0.55 % | 0.44 % |
Tax Aware Real Return Fund | 0.70 % | 1.20 % | 0.45 | 0.35 |
The expense limitation agreements were in effect for the year ended October 31, 2023 and the contractual expense limitation percentages in the table above are in place until at least February 29, 2024.
For the year ended October 31, 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 Waivers | |||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | |
Tax Aware Equity Fund | $105 | $70 | $766 | $941 | $4 |
Tax Aware Real Return Fund | 518 | 345 | 715 | 1,578 | — |
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.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 43 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2023 were as follows:
Tax Aware Equity Fund | $13 |
Tax Aware Real Return Fund | 42 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the year ended October 31, 2023 the amount of these reimbursements were as follows:
Tax Aware Equity Fund | $2 |
Tax Aware Real Return Fund | 2 |
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 year ended October 31, 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 year ended October 31, 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 Equity Fund | $91,495 | $437,883 |
Tax Aware Real Return Fund | 329,078 | 296,550 |
During the year ended October 31, 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 October 31, 2023 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Tax Aware Equity Fund | $311,398 | $492,762 | $1,081 | $491,681 |
Tax Aware Real Return Fund | 526,355 | 2,014 | 26,928 | (24,914 ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
44 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
The tax character of distributions paid during the year ended October 31, 2023 was as follows:
Ordinary Income* | Tax Exempt Income | Net Long-Term Capital Gains | Total Distributions Paid | |
Tax Aware Equity Fund | $8,184 | $— | $71,461 | $79,645 |
Tax Aware Real Return Fund | 675 | 16,020 | — | 16,695 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended October 31, 2022 was as follows:
Ordinary Income* | Tax Exempt Income | Net Long-Term Capital Gains | Total Distributions Paid | |
Tax Aware Equity Fund | $6,939 | $— | $182,975 | $189,914 |
Tax Aware Real Return Fund | 5 | 9,950 | — | 9,955 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of October 31, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Tax exempt income | Unrealized Appreciation (Depreciation) | |
Tax Aware Equity Fund | $609 | $173,187 | $— | $491,681 |
Tax Aware Real Return Fund | — | (113,844 ) | 201 | (24,914 ) |
The cumulative timing differences primarily consist of wash sale loss deferrals.
At October 31, 2023, the following Fund had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Tax Aware Real Return Fund | $90,129 | $23,715 |
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 year ended October 31, 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 29, 2024.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 45 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 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. Effective August 8, 2023, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the year ended October 31, 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 October 31, 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 | % of the Fund | Number of Individual Shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |
Tax Aware Equity Fund | 1 | 46.0 % | 1 | 28.5 % |
Tax Aware Real Return Fund | 1 | 10.1 | 3 | 47.3 |
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 was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with regulatory guidance or
46 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
prohibitions. Public and private sector actors have worked to establish 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 which may affect the value, volatility, liquidity or return on certain of the Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' 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 the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of any future pandemic or other global event to 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 or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event 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. Subsequent Events
On November 15, 2023, the Board approved the liquidation of Tax Aware Equity Fund, which occurred on December 19, 2023.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 47 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and Shareholders of JPMorgan Tax Aware Equity Fund and JPMorgan Tax Aware Real Return Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Tax Aware Equity Fund and JPMorgan Tax Aware Real Return Fund (two of the funds constituting JPMorgan Trust I, hereafter collectively referred to as the “Funds”) as of October 31, 2023, the related statements of operations for the year ended October 31, 2023, the statements of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2023 and each of the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
December 21, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
48 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
TRUSTEES
(Unaudited)
The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 170 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 170 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 170 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 170 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 170 | None |
October 31, 2023 | J.P. Morgan Tax Aware Funds | 49 |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 170 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 170 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 170 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 170 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 170 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 170 | None |
50 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 170 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 170 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 170 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 170 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 170 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board's current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (170 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
October 31, 2023 | J.P. Morgan Tax Aware Funds | 51 |
TRUSTEES
(Unaudited) (continued)
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | |||
52 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Managing Director, J.P. Morgan Investment Management Inc. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
October 31, 2023 | J.P. Morgan Tax Aware Funds | 53 |
OFFICERS
(Unaudited) (continued)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
54 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
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, May 1, 2023, and continued to hold your shares at the end of the reporting period, October 31, 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 May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Tax Aware Equity Fund | ||||
Class A | ||||
Actual | $1,000.00 | $1,027.50 | $4.80 | 0.94 % |
Hypothetical | 1,000.00 | 1,020.47 | 4.79 | 0.94 |
Class C | ||||
Actual | 1,000.00 | 1,025.30 | 7.40 | 1.45 |
Hypothetical | 1,000.00 | 1,017.90 | 7.38 | 1.45 |
Class I | ||||
Actual | 1,000.00 | 1,029.70 | 2.81 | 0.55 |
Hypothetical | 1,000.00 | 1,022.43 | 2.80 | 0.55 |
Class R6 | ||||
Actual | 1,000.00 | 1,030.30 | 2.25 | 0.44 |
Hypothetical | 1,000.00 | 1,022.99 | 2.24 | 0.44 |
JPMorgan Tax Aware Real Return Fund | ||||
Class A | ||||
Actual | 1,000.00 | 969.30 | 3.42 | 0.69 |
Hypothetical | 1,000.00 | 1,021.73 | 3.52 | 0.69 |
Class C | ||||
Actual | 1,000.00 | 966.80 | 5.90 | 1.19 |
Hypothetical | 1,000.00 | 1,019.21 | 6.06 | 1.19 |
Class I | ||||
Actual | 1,000.00 | 970.60 | 2.19 | 0.44 |
Hypothetical | 1,000.00 | 1,022.99 | 2.24 | 0.44 |
October 31, 2023 | J.P. Morgan Tax Aware Funds | 55 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Tax Aware Real Return Fund (continued) | ||||
Class R6 | ||||
Actual | $1,000.00 | $971.10 | $1.69 | 0.34 % |
Hypothetical | 1,000.00 | 1,023.49 | 1.73 | 0.34 |
* | Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
56 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
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.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 57 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year, and at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Funds, and independent legal counsel to the Trustees, and received a memorandum from independent
legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of the Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
• The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
58 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
• The overall reputation and capabilities of the Adviser and its affiliates;
• The commitment of the Adviser to provide high quality service to the Funds;
• Their overall confidence in the Adviser’s integrity; and
• The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees.
The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the
October 31, 2023 | J.P. Morgan Tax Aware Funds | 59 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds
within a performance universe comprised of funds’ selected shares classes with the same Broadridge investment classification and objective (the “Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge methodology for selecting mutual funds in each Fund’s Universe and noted that Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Tax Aware Equity Fund’s performance for Class A and Class I shares was in the fourth, first and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that performance for Class R6 shares was in the fourth and first quintiles of the Universe for the one- and three-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analyses and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the Tax Aware Real Return Fund’s performance for Class A, Class I and Class R6 shares was in the first quintile of the Universe for the one-, three- and five-year periods ended December 31, 2022. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The
60 | J.P. Morgan Tax Aware Funds | October 31, 2023 |
Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Tax Aware Equity Fund’s net advisory fee for Class A shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third quintile of both the Peer Group and Universe. The Trustees noted that both the net advisory fee and actual total expenses for Class I shares were in the first and second quintiles of the Peer Group and
Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the Tax Aware Real Return Fund’s net advisory fee for Class A shares was in the first quintile of both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
October 31, 2023 | J.P. Morgan Tax Aware Funds | 61 |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Dividends Received Deduction (DRD)
The Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended October 31, 2023:
Dividends Received Deduction | |
JPMorgan Tax Aware Equity Fund | 100.00 % |
Long Term Capital Gain
The Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2023:
Long-Term Capital Gain Distribution | |
JPMorgan Tax Aware Equity Fund | $121,494 * |
* | The Fund will deduct an additional $173,187, or amounts as finally determined, of Long-Term Capital Gain distributions on its October 31, 2023 tax return and on its final tax return for the period ended December 19, 2023, the fund will deduct $566,240, or amounts as finally determined, of Long-Term Capital Gain distributions. |
Qualified Dividend Income (QDI)
The Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2023:
Qualified Dividend Income | |
JPMorgan Tax Aware Equity Fund | $8,184 |
Tax Exempt Income
The Fund listed below had the following amount, or maximum allowable amount, of dividends paid from investment income that are exempt from federal income tax for the fiscal year ended October 31, 2023:
Exempt Distributions Paid | |
JPMorgan Tax Aware Real Return Fund | $16,020 |
October 31, 2023 | J.P. Morgan Tax Aware Funds | 63 |
Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
○Social Security number and account balances | |
○transaction history and account transactions | |
○checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don't share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don't share |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com |
Page 2
Who we are | |
Who is providing this notice? | J.P. Morgan Funds |
What we do | |
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you: |
○open an account or provide contact information | |
○give us your account information or pay us by check | |
○make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: |
○sharing for affiliates’ everyday business purposes – information about your creditworthiness | |
○affiliates from using your information to market to you | |
○sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
○J.P. Morgan Funds doesn’t jointly market. | |
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. October 2023.
AN-TA-1023
Annual Report
J.P. Morgan Funds
October 31, 2023
JPMorgan Global Allocation Fund |
JPMorgan Income Builder Fund |
CONTENTS
1 | |
2 | |
3 | |
6 | |
8 | |
109 | |
118 | |
124 | |
146 | |
147 | |
151 | |
153 | |
155 | |
156 | |
160 | |
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
December 14, 2023 (Unaudited)
Dear Shareholder,
While the U.S. economy generally performed well this year, global economic growth has been uneven in the face of elevated interest rates and heightened geopolitical tensions. Equity markets largely outperformed fixed income markets for the twelve months ended October 31, 2023, though rising yields lifted investor demand for certain types of bonds.
 | "The strong performance of financial markets in 2023 created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.” — Brian S. Shlissel |
Inflationary pressures have receded sufficiently so far that the U.S. Federal Reserve declined to raise interest rates since September 2023 and signaled it may reduce rates three times in 2024. Both the European Central Bank and the Bank of England also declined to raise interest rates in the third quarter of 2023. Financial markets largely responded positively to the central banks’ policy stances, though the view that interest rates could remain “higher for longer” appeared to temper investor optimism.
Overall, corporate earnings and revenues within developed markets generally continued to grow through the first three quarters of 2023, though certain surveys indicated many businesses anticipate demand to slow next year. Emerging markets experienced a wider dispersion in economic performance and corporate results, partly due to slower economic growth in China, post-pandemic changes to global supply chains and elevated debt servicing costs.
While some assert that the risk of economic recession has receded in 2023, the risk remains. China’s struggling property sector could further undermine economic growth and spill over to certain commodity exporting nations. Additionally, there is no clear timing with regard to the resolution of the war in Ukraine, which continues to impact global energy and grain supplies. The Israel-Hamas conflict has the potential to both widen militarily and to impact international trade and prices for energy and food. However, financial markets have generally continued to function without major disruptions during the period.
The strong performance of financial markets has created wider differences in equity valuations that may provide attractive opportunities for investors. Additionally, interest rate reductions next year could benefit high-quality fixed income investments.
Our suite of investment solutions seeks to provide investors with the ability to build durable portfolios that meet their financial goals, regardless of macroeconomic and geopolitical uncertainties.
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
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
October 31, 2023 | J.P. Morgan Funds | 1 |
J.P. Morgan Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
Equity markets continued to outperform bond markets during the period, generating positive returns largely due to gains made during the first half of 2023. Following a surge in U.S. equity prices, investors largely sought lower equity valuations in international markets in the second half of the period.
Overall, equities in international developed markets outperformed both emerging market and U.S. equities. Growth stocks and large capitalization stocks largely outperformed value stocks and mid cap and small cap stocks. Within fixed income markets, emerging markets debt and lower-rated bonds in developed markets generally outperformed U.S. Treasury bonds.
While the U.S. Federal Reserve, the European Central Bank and The Bank of England continued to raise interest rates at regular intervals through the first half of 2023, declining inflationary pressures allowed all three central banks to withhold further increases at the end of the reporting period.
Corporate earnings were generally better-than-expected for most of the period but results for the third quarter of 2023 showed some slowing in earnings and revenue growth. Tight labor markets in the U.S. eased somewhat in the final months of the period and the jobless rate rose to 3.8% in October 2023, which raised investor expectations that inflation would continue to slow.
Global energy prices largely fell during the period amid slowing demand from China and leading industrialized nations. Crude oil prices spiked briefly in September 2023 when Saudi Arabia and Russia extended production cuts and again in early October at the outbreak of the Israel-Hamas conflict. However, global petroleum prices receded by the end of the period as economic data, including U.S. gasoline consumption, continued to indicate slowing global demand.
Notably, financial sector stocks were roiled by the collapse of Silicon Valley Bank in late March 2023, followed closely by the failures of Signature Bank and Credit Suisse. In each case, government regulators moved to prevent the erosion of consumer and investor confidence in the banking system.
For the twelve months ended October 31, 2023, the MSCI EAFE Index returned 15.01%, the MSCI Emerging Markets Index returned 10.80% and the S&P 500 Index returned 10.14%. Within bond markets, the Bloomberg Emerging Markets USD Aggregate Index returned 6.91%, the Bloomberg U.S. High Yield Corporate Index returned 6.23%, the Bloomberg U.S. Aggregate Index returned 0.36% and the Bloomberg U.S. Aggregate Index returned 0.36%.
2 | J.P. Morgan Funds | October 31, 2023 |
JPMorgan Global Allocation Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class I Shares) * | 3.62% |
MSCI All Country World Index (net total return) | 10.48% |
Bloomberg Global Aggregate Index (Unhedged USD) | 1.72% |
60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged) | 7.01% |
Net Assets as of 10/31/2023 (In Thousands) | $2,865,161 |
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 twelve months ended October 31, 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 (Unhedged).
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 period.
Relative to 60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index (Unhedged), 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 a diversified mix of non-government bonds contributed to 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 it allocation 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. Generally, bonds of longer duration will experience a larger increase in price compared with shorter
duration bonds when interest rates fall.
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | JPMorgan Income Fund, Class R6 | 3.5 % |
2. | Microsoft Corp. | 2.5 |
3. | Amazon.com, Inc. | 1.7 |
4. | UnitedHealth Group, Inc. | 1.3 |
5. | U.S. Treasury Notes 0.88%, 1/31/2024 | 1.2 |
6. | Apple, Inc. | 1.0 |
7. | Meta Platforms, Inc., Class A | 1.0 |
8. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 1.0 |
9. | NVIDIA Corp. | 0.9 |
10. | Mastercard, Inc., Class A | 0.9 |
PORTFOLIO COMPOSITION AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Common Stocks | 47.1% |
Corporate Bonds | 22.9 |
Foreign Government Securities | 13.1 |
Asset-Backed Securities | 5.4 |
Investment Companies | 3.5 |
U.S. Treasury Obligations | 1.2 |
Others (each less than 1.0%) | 0.7 |
Short-Term Investments | 6.1 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
October 31, 2023 | J.P. Morgan Funds | 3 |
JPMorgan Global Allocation Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | May 31, 2011 | |||
With Sales Charge * | (1.28 )% | 2.00 % | 3.35 % | |
Without Sales Charge | 3.39 | 2.94 | 3.83 | |
CLASS C SHARES | May 31, 2011 | |||
With CDSC ** | 1.89 | 2.44 | 3.42 | |
Without CDSC | 2.89 | 2.44 | 3.42 | |
CLASS I SHARES | May 31, 2011 | 3.62 | 3.20 | 4.09 |
CLASS R2 SHARES | May 31, 2011 | 3.02 | 2.56 | 3.50 |
CLASS R3 SHARES | October 1, 2018 | 3.29 | 2.82 | 3.77 |
CLASS R4 SHARES | October 1, 2018 | 3.54 | 3.08 | 4.03 |
CLASS R5 SHARES | October 1, 2018 | 3.69 | 3.23 | 4.11 |
CLASS R6 SHARES | November 1, 2017 | 3.78 | 3.33 | 4.17 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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 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.
4 | J.P. Morgan Funds | October 31, 2023 |
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.
October 31, 2023 | J.P. Morgan Funds | 5 |
JPMorgan Income Builder Fund
FUND COMMENTARY
TWELVE MONTHS ENDED October 31, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Fund (Class A Shares, without a sales charge) * | 2.33% |
MSCI World Index (net total return) | 10.48% |
Bloomberg U.S. Aggregate Index | 0.36% |
60% MSCI World Index (net of total return) / 40% Bloomberg U.S. Aggregate Index | 6.44% |
Net Assets as of 10/31/2023 (In Thousands) | $8,531,461 |
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 twelve months ended October 31, 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 fixed income markets during the period.
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 was a leading contributor to performance.
Relative to the 60% MSCI World Index / 40% Bloomberg US Aggregate Index, the Fund’s overall smaller allocation to growth-style 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 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 HOLDINGS OF THE PORTFOLIO AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | JPMorgan Equity Premium Income ETF | 6.4 % |
2. | JPMorgan Nasdaq Equity Premium Income ETF | 2.1 |
3. | U.S. Treasury Notes 0.88%, 1/31/2024 | 1.0 |
4. | JPMorgan Income ETF | 0.5 |
5. | AbbVie, Inc. | 0.5 |
6. | Exxon Mobil Corp. | 0.5 |
7. | Coca-Cola Co. (The) | 0.4 |
8. | CME Group, Inc. | 0.4 |
9. | Samsung Electronics Co. Ltd. (South Korea) | 0.4 |
10. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 0.4 |
PORTFOLIO COMPOSITION AS OF October 31, 2023 | PERCENT OF TOTAL INVESTMENTS |
Common Stocks | 37.8% |
Corporate Bonds | 33.0 |
Exchange-Traded Funds | 9.0 |
Commercial Mortgage-Backed Securities | 3.9 |
Collateralized Mortgage Obligations | 3.7 |
Asset-Backed Securities | 2.4 |
Loan Assignments | 1.7 |
Foreign Government Securities | 1.3 |
U.S. Treasury Obligations | 1.0 |
Others (each less than 1.0%) | 1.4 |
Short-Term Investments | 4.8 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
6 | J.P. Morgan Funds | October 31, 2023 |
AVERAGE ANNUAL TOTAL RETURNS AS OF October 31, 2023
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
CLASS A SHARES | May 31, 2007 | |||
With Sales Charge * | (2.22 )% | 1.24 % | 2.59 % | |
Without Sales Charge | 2.33 | 2.18 | 3.07 | |
CLASS C SHARES | May 31, 2007 | |||
With CDSC ** | 0.81 | 1.66 | 2.65 | |
Without CDSC | 1.81 | 1.66 | 2.65 | |
CLASS I SHARES | May 31, 2007 | 2.48 | 2.35 | 3.23 |
CLASS R6 SHARES | November 1, 2017 | 2.57 | 2.44 | 3.28 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/13 TO 10/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 October 31, 2013 to October 31, 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.
October 31, 2023 | J.P. Morgan Funds | 7 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 47.1% | ||
Australia — 0.4% | ||
Ampol Ltd. | 2 | 30 |
ANZ Group Holdings Ltd. | 19 | 300 |
APA Group | 8 | 42 |
Aristocrat Leisure Ltd. | 4 | 91 |
ASX Ltd. | 1 | 44 |
Aurizon Holdings Ltd. | 12 | 25 |
BHP Group Ltd. | 10 | 295 |
BHP Group Ltd. | 145 | 4,121 |
BlueScope Steel Ltd. | 3 | 34 |
Brambles Ltd. | 9 | 73 |
Cochlear Ltd. | — | 64 |
Coles Group Ltd. | 8 | 82 |
Commonwealth Bank of Australia | 11 | 653 |
Computershare Ltd. | 4 | 57 |
Dexus, REIT | 7 | 28 |
EBOS Group Ltd. | 1 | 20 |
Endeavour Group Ltd. | 9 | 28 |
Flutter Entertainment plc * | 1 | 176 |
Fortescue Metals Group Ltd. | 11 | 152 |
Glencore plc | 67 | 354 |
Goodman Group, REIT | 11 | 142 |
GPT Group (The), REIT | 12 | 28 |
IDP Education Ltd. | 2 | 22 |
IGO Ltd. | 4 | 26 |
Insurance Australia Group Ltd. | 15 | 55 |
LendLease Corp. Ltd. | 4 | 17 |
Lottery Corp. Ltd. (The) | 14 | 41 |
Macquarie Group Ltd. | 2 | 239 |
Medibank Pvt Ltd. | 17 | 38 |
Mineral Resources Ltd. | 1 | 41 |
Mirvac Group, REIT | 25 | 29 |
National Australia Bank Ltd. | 20 | 356 |
Northern Star Resources Ltd. | 7 | 53 |
Orica Ltd. | 3 | 27 |
Origin Energy Ltd. | 11 | 63 |
Pilbara Minerals Ltd. (a) | 17 | 40 |
Qantas Airways Ltd. * | 6 | 17 |
QBE Insurance Group Ltd. | 9 | 94 |
Ramsay Health Care Ltd. | 1 | 35 |
REA Group Ltd. | — | 30 |
Reece Ltd. | 1 | 16 |
Rio Tinto Ltd. | 2 | 175 |
Rio Tinto plc | 7 | 455 |
Santos Ltd. | 21 | 100 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Australia — continued | ||
Scentre Group, REIT | 33 | 51 |
SEEK Ltd. | 2 | 30 |
Sonic Healthcare Ltd. | 3 | 52 |
South32 Ltd. | 29 | 61 |
Stockland, REIT | 15 | 34 |
Suncorp Group Ltd. | 8 | 68 |
Telstra Group Ltd. | 26 | 62 |
Transurban Group | 20 | 147 |
Treasury Wine Estates Ltd. | 4 | 34 |
Vicinity Ltd., REIT | 24 | 26 |
Washington H Soul Pattinson & Co. Ltd. | 1 | 31 |
Wesfarmers Ltd. | 7 | 231 |
Westpac Banking Corp. | 22 | 292 |
WiseTech Global Ltd. | 1 | 39 |
Woodside Energy Group Ltd. | 12 | 262 |
Woolworths Group Ltd. | 8 | 173 |
10,401 | ||
Austria — 0.0% ^ | ||
Erste Group Bank AG | 2 | 78 |
Mondi plc | 3 | 49 |
OMV AG | 1 | 41 |
Verbund AG | — | 37 |
voestalpine AG | 1 | 18 |
223 | ||
Belgium — 0.1% | ||
Ageas SA | 1 | 39 |
Anheuser-Busch InBev SA | 6 | 312 |
D'ieteren Group | — | 20 |
Elia Group SA/NV | — | 17 |
Groupe Bruxelles Lambert NV | 1 | 45 |
KBC Group NV | 54 | 2,957 |
Lotus Bakeries NV | — | 15 |
Sofina SA | — | 18 |
Solvay SA | — | 50 |
UCB SA | 1 | 59 |
Umicore SA | 1 | 31 |
Warehouses De Pauw CVA, REIT | 1 | 26 |
3,589 | ||
Brazil — 0.2% | ||
Banco do Brasil SA | 98 | 943 |
Gerdau SA (Preference) | 99 | 428 |
Localiza Rent a Car SA | 56 | 569 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Brazil — continued | ||
Lojas Renner SA | 202 | 494 |
NU Holdings Ltd., Class A * | 43 | 351 |
Petroleo Brasileiro SA (Preference) | 271 | 1,865 |
Raia Drogasil SA | 158 | 807 |
TIM SA | 214 | 646 |
Transmissora Alianca de Energia Eletrica S/A | 78 | 524 |
Yara International ASA | 1 | 34 |
6,661 | ||
Burkina Faso — 0.0% ^ | ||
Endeavour Mining plc | 1 | 24 |
Canada — 0.5% | ||
Alimentation Couche-Tard, Inc. | 54 | 2,916 |
Canadian National Railway Co. | 34 | 3,615 |
Fairfax Financial Holdings Ltd. | 1 | 435 |
Toronto-Dominion Bank (The) | 134 | 7,502 |
14,468 | ||
Chile — 0.0% ^ | ||
Antofagasta plc | 3 | 41 |
Banco Santander Chile | 11,521 | 502 |
543 | ||
China — 1.5% | ||
Alibaba Group Holding Ltd. * | 187 | 1,922 |
Angel Yeast Co. Ltd., Class A | 96 | 457 |
Baoshan Iron & Steel Co. Ltd., Class A | 619 | 528 |
BOC Hong Kong Holdings Ltd. | 23 | 61 |
Budweiser Brewing Co. APAC Ltd. (b) | 288 | 548 |
Chacha Food Co. Ltd., Class A | 83 | 418 |
China Construction Bank Corp., Class H | 3,029 | 1,713 |
China Merchants Bank Co. Ltd., Class H | 258 | 981 |
China Resources Land Ltd. | 126 | 472 |
China Yangtze Power Co. Ltd., Class A | 255 | 784 |
ESR Group Ltd. (b) | 14 | 18 |
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 71 | 362 |
Fuyao Glass Industry Group Co. Ltd., Class H (b) | 107 | 487 |
H World Group Ltd. * | 130 | 489 |
Haier Smart Home Co. Ltd., Class H | 294 | 840 |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 196 | 730 |
iQIYI, Inc., ADR * (a) | 45 | 211 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
China — continued | ||
JD.com, Inc., ADR | 54 | 1,366 |
JD.com, Inc., Class A | 54 | 690 |
Jiangsu Hengli Hydraulic Co. Ltd., Class A | 63 | 479 |
Jiumaojiu International Holdings Ltd. (b) | 183 | 199 |
Kanzhun Ltd., ADR * (a) | 25 | 373 |
Kingdee International Software Group Co. Ltd. * | 320 | 425 |
LONGi Green Energy Technology Co. Ltd., Class A | 124 | 407 |
Meituan * (b) | 107 | 1,520 |
NetEase, Inc. | 61 | 1,299 |
NXP Semiconductors NV | 47 | 8,131 |
PDD Holdings, Inc., ADR * | 5 | 510 |
Ping An Insurance Group Co. of China Ltd., Class H | 190 | 961 |
Prosus NV * | 10 | 271 |
Shanghai Baosight Software Co. Ltd., Class A | 51 | 296 |
Shanghai Liangxin Electrical Co. Ltd., Class A | 259 | 335 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A | 15 | 584 |
Shenzhou International Group Holdings Ltd. | 73 | 718 |
Silergy Corp. | 43 | 384 |
SITC International Holdings Co. Ltd. | 9 | 14 |
Skshu Paint Co. Ltd., Class A * | 52 | 425 |
Tencent Holdings Ltd. | 269 | 9,974 |
Wanhua Chemical Group Co. Ltd., Class A | 56 | 679 |
Wilmar International Ltd. | 12 | 31 |
Wuliangye Yibin Co. Ltd., Class A | 30 | 630 |
WuXi AppTec Co. Ltd., Class H (b) | 53 | 641 |
Wuxi Biologics Cayman, Inc. * (b) | 82 | 510 |
Xinyi Glass Holdings Ltd. | 11 | 13 |
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A | 50 | 296 |
Zijin Mining Group Co. Ltd., Class H | 330 | 510 |
43,692 | ||
Denmark — 0.8% | ||
AP Moller - Maersk A/S, Class A | — | 31 |
AP Moller - Maersk A/S, Class B | — | 50 |
Carlsberg A/S, Class B | 1 | 74 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 9 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Denmark — continued | ||
Chr Hansen Holding A/S | 1 | 46 |
Coloplast A/S, Class B | 1 | 90 |
Danske Bank A/S | 4 | 103 |
Demant A/S * | 1 | 24 |
DSV A/S | 1 | 176 |
Genmab A/S * | — | 118 |
Novo Nordisk A/S, Class B | 223 | 21,487 |
Novozymes A/S, Class B | 1 | 58 |
Orsted A/S (b) | 1 | 58 |
Pandora A/S | 1 | 61 |
ROCKWOOL A/S, Class B | — | 13 |
Tryg A/S | 2 | 43 |
Vestas Wind Systems A/S * | 6 | 139 |
22,571 | ||
Finland — 0.0% ^ | ||
Elisa OYJ | 1 | 38 |
Fortum OYJ | 3 | 33 |
Kesko OYJ, Class B | 2 | 29 |
Kone OYJ, Class B | 2 | 93 |
Metso OYJ | 4 | 37 |
Neste OYJ | 3 | 90 |
Nokia OYJ | 34 | 113 |
Nordea Bank Abp | 20 | 215 |
Orion OYJ, Class B | — | 27 |
Sampo OYJ, Class A | 3 | 114 |
Stora Enso OYJ, Class R | 4 | 44 |
UPM-Kymmene OYJ | 3 | 114 |
Wartsila OYJ Abp | 3 | 35 |
982 | ||
France — 2.7% | ||
Accor SA | 1 | 37 |
Adevinta ASA * | 2 | 17 |
Aeroports de Paris SA | — | 21 |
Air Liquide SA | 17 | 2,917 |
Airbus SE | 4 | 503 |
Alstom SA | 2 | 25 |
Amundi SA (b) | — | 20 |
Arkema SA | — | 36 |
AXA SA | 12 | 344 |
BioMerieux | — | 25 |
BNP Paribas SA | 7 | 382 |
Bollore SE | 5 | 26 |
Bouygues SA | 1 | 43 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — continued | ||
Bureau Veritas SA | 2 | 43 |
Capgemini SE | 1 | 185 |
Carrefour SA | 4 | 66 |
Cie de Saint-Gobain SA | 3 | 159 |
Cie Generale des Etablissements Michelin SCA | 4 | 128 |
Covivio SA, REIT | — | 14 |
Credit Agricole SA | 8 | 92 |
Danone SA | 4 | 242 |
Dassault Aviation SA | — | 26 |
Dassault Systemes SE | 4 | 175 |
Edenred SE | 2 | 84 |
Eiffage SA | 1 | 42 |
Engie SA | 161 | 2,566 |
EssilorLuxottica SA | 2 | 338 |
Eurazeo SE | — | 16 |
Gecina SA, REIT | — | 28 |
Getlink SE | 2 | 36 |
Hermes International SCA | — | 375 |
Ipsen SA | — | 28 |
Kering SA | 1 | 192 |
Klepierre SA, REIT | 1 | 33 |
La Francaise des Jeux SAEM (b) | 1 | 21 |
Legrand SA | 105 | 9,075 |
L'Oreal SA | 2 | 642 |
LVMH Moet Hennessy Louis Vuitton SE | 26 | 18,641 |
Orange SA | 12 | 139 |
Pernod Ricard SA | 1 | 230 |
Publicis Groupe SA | 1 | 110 |
Remy Cointreau SA (a) | — | 16 |
Renault SA | 1 | 43 |
Safran SA | 102 | 15,953 |
Sartorius Stedim Biotech | — | 33 |
SEB SA | — | 16 |
Societe Generale SA | 5 | 103 |
Sodexo SA | 1 | 59 |
Teleperformance SE | — | 43 |
Thales SA | 1 | 98 |
TotalEnergies SE | 87 | 5,782 |
Unibail-Rodamco-Westfield, REIT * | 1 | 37 |
Valeo SE | 1 | 17 |
Veolia Environnement SA | 4 | 118 |
Vinci SA | 160 | 17,708 |
Vivendi SE | 4 | 38 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
France — continued | ||
Wendel SE | — | 13 |
Worldline SA * (b) | 2 | 19 |
78,218 | ||
Germany — 1.3% | ||
adidas AG | 1 | 182 |
Allianz SE (Registered) | 20 | 4,766 |
BASF SE | 6 | 261 |
Bayer AG (Registered) | 6 | 269 |
Bayerische Motoren Werke AG | 2 | 177 |
Bayerische Motoren Werke AG (Preference) | — | 32 |
Bechtle AG | 1 | 23 |
Beiersdorf AG | 1 | 84 |
Brenntag SE | 1 | 69 |
Carl Zeiss Meditec AG | — | 22 |
Commerzbank AG | 7 | 73 |
Continental AG | 1 | 46 |
Covestro AG * (b) | 1 | 62 |
Daimler Truck Holding AG | 3 | 98 |
Deutsche Bank AG (Registered) | 12 | 135 |
Deutsche Boerse AG | 13 | 2,188 |
Deutsche Lufthansa AG (Registered) * | 4 | 26 |
Deutsche Post AG | 63 | 2,449 |
Deutsche Telekom AG (Registered) | 21 | 445 |
Dr Ing hc F Porsche AG (Preference) (c) | 1 | 63 |
E.ON SE | 14 | 169 |
Evonik Industries AG | 1 | 24 |
Fresenius Medical Care AG & Co. KGaA | 1 | 43 |
Fresenius SE & Co. KGaA | 3 | 69 |
GEA Group AG | 1 | 33 |
Hannover Rueck SE | — | 84 |
Heidelberg Materials AG | 1 | 67 |
HelloFresh SE * | 1 | 22 |
Henkel AG & Co. KGaA | 1 | 41 |
Henkel AG & Co. KGaA (Preference) | 1 | 77 |
Infineon Technologies AG | 63 | 1,852 |
Knorr-Bremse AG | — | 26 |
LEG Immobilien SE * | 1 | 29 |
Mercedes-Benz Group AG | 5 | 299 |
Merck KGaA | 1 | 124 |
MTU Aero Engines AG | — | 64 |
Muenchener Rueckversicherungs- Gesellschaft AG (Registered) | 22 | 8,686 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Germany — continued | ||
Nemetschek SE | — | 27 |
Porsche Automobil Holding SE (Preference) | 1 | 43 |
Puma SE | 1 | 38 |
Rational AG | — | 18 |
Rheinmetall AG | — | 79 |
RWE AG | 278 | 10,654 |
SAP SE | 7 | 886 |
Sartorius AG (Preference) | — | 42 |
Scout24 SE (b) | 1 | 29 |
Siemens AG (Registered) | 5 | 638 |
Siemens Energy AG * | 3 | 29 |
Siemens Healthineers AG (b) | 2 | 88 |
Symrise AG | 1 | 86 |
Talanx AG | — | 25 |
Telefonica Deutschland Holding AG | 6 | 10 |
Volkswagen AG | — | 22 |
Volkswagen AG (Preference) | 1 | 139 |
Vonovia SE | 5 | 107 |
Wacker Chemie AG | — | 14 |
Zalando SE * (b) | 1 | 33 |
36,186 | ||
Greece — 0.0% ^ | ||
Hellenic Telecommunications Organization SA | 31 | 441 |
Hong Kong — 0.4% | ||
AIA Group Ltd. | 1,056 | 9,167 |
CK Asset Holdings Ltd. | 13 | 64 |
CK Infrastructure Holdings Ltd. | 4 | 19 |
CLP Holdings Ltd. | 10 | 77 |
Futu Holdings Ltd., ADR * | — | 19 |
Hang Lung Properties Ltd. | 11 | 14 |
Hang Seng Bank Ltd. | 5 | 55 |
Henderson Land Development Co. Ltd. | 9 | 24 |
HKT Trust & HKT Ltd. | 25 | 26 |
Hong Kong & China Gas Co. Ltd. | 71 | 50 |
Hong Kong Exchanges & Clearing Ltd. | 8 | 266 |
Hongkong Land Holdings Ltd. | 7 | 22 |
Jardine Matheson Holdings Ltd. | 1 | 41 |
Link, REIT | 16 | 73 |
MTR Corp. Ltd. | 10 | 37 |
New World Development Co. Ltd. | 10 | 17 |
Power Assets Holdings Ltd. | 9 | 41 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 11 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Hong Kong — continued | ||
Prudential plc | 87 | 912 |
Sino Land Co. Ltd. | 22 | 22 |
Sun Hung Kai Properties Ltd. | 9 | 92 |
Swire Pacific Ltd., Class A | 3 | 16 |
Swire Properties Ltd. | 7 | 14 |
Techtronic Industries Co. Ltd. | 47 | 434 |
WH Group Ltd. (b) | 51 | 31 |
Wharf Real Estate Investment Co. Ltd. | 11 | 38 |
11,571 | ||
Hungary — 0.0% ^ | ||
OTP Bank Nyrt. | 15 | 576 |
India — 0.6% | ||
HDFC Bank Ltd., ADR | 220 | 12,417 |
ICICI Bank Ltd., ADR | 62 | 1,385 |
Infosys Ltd., ADR (a) | 130 | 2,137 |
Reliance Industries Ltd., GDR (c) | 25 | 1,335 |
17,274 | ||
Indonesia — 0.3% | ||
Bank Central Asia Tbk. PT | 7,437 | 4,097 |
Bank Rakyat Indonesia Persero Tbk. PT | 3,894 | 1,218 |
Telkom Indonesia Persero Tbk. PT | 8,407 | 1,843 |
7,158 | ||
Ireland — 0.0% ^ | ||
AerCap Holdings NV * | 1 | 69 |
AIB Group plc | 9 | 39 |
Bank of Ireland Group plc | 7 | 60 |
Kerry Group plc, Class A | 1 | 66 |
Kerry Group plc, Class A | — | 11 |
Kingspan Group plc | 1 | 56 |
Kingspan Group plc | — | 10 |
Smurfit Kappa Group plc | 2 | 54 |
365 | ||
Israel — 0.0% ^ | ||
Azrieli Group Ltd. | — | 11 |
Bank Hapoalim BM | 8 | 58 |
Bank Leumi Le-Israel BM | 10 | 62 |
Check Point Software Technologies Ltd. * | 1 | 80 |
Elbit Systems Ltd. | — | 31 |
Global-e Online Ltd. * (a) | 1 | 20 |
ICL Group Ltd. | 5 | 24 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Israel — continued | ||
Israel Discount Bank Ltd., Class A | 8 | 34 |
Mizrahi Tefahot Bank Ltd. | 1 | 30 |
Nice Ltd. * | — | 61 |
Teva Pharmaceutical Industries Ltd., ADR * | 7 | 61 |
Wix.com Ltd. * | — | 27 |
499 | ||
Italy — 0.2% | ||
Amplifon SpA | 1 | 22 |
Assicurazioni Generali SpA | 6 | 127 |
Coca-Cola HBC AG | 1 | 36 |
Davide Campari-Milano NV | 3 | 36 |
DiaSorin SpA | — | 13 |
Enel SpA | 51 | 327 |
Eni SpA | 15 | 245 |
Ferrari NV | 1 | 242 |
FinecoBank Banca Fineco SpA | 4 | 45 |
Infrastrutture Wireless Italiane SpA (b) | 2 | 23 |
Intesa Sanpaolo SpA | 98 | 256 |
Mediobanca Banca di Credito Finanziario SpA (a) | 4 | 42 |
Moncler SpA | 1 | 68 |
Nexi SpA * (b) | 4 | 21 |
Poste Italiane SpA (b) | 3 | 32 |
Prysmian SpA | 2 | 62 |
Recordati Industria Chimica e Farmaceutica SpA | 1 | 30 |
Snam SpA | 13 | 58 |
Telecom Italia SpA * | 62 | 16 |
Terna - Rete Elettrica Nazionale | 9 | 68 |
UniCredit SpA | 125 | 3,122 |
4,891 | ||
Japan — 2.2% | ||
Advantest Corp. | 5 | 124 |
Aeon Co. Ltd. | 4 | 86 |
AGC, Inc. | 1 | 41 |
Aisin Corp. | 1 | 31 |
Ajinomoto Co., Inc. | 3 | 102 |
ANA Holdings, Inc. * | 1 | 20 |
Asahi Group Holdings Ltd. | 3 | 109 |
Asahi Intecc Co. Ltd. | 1 | 24 |
Asahi Kasei Corp. | 8 | 49 |
Astellas Pharma, Inc. | 11 | 145 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Azbil Corp. | 1 | 21 |
Bandai Namco Holdings, Inc. | 4 | 79 |
BayCurrent Consulting, Inc. | 1 | 20 |
Bridgestone Corp. | 4 | 136 |
Brother Industries Ltd. | 2 | 23 |
Canon, Inc. | 6 | 151 |
Capcom Co. Ltd. | 1 | 35 |
Central Japan Railway Co. | 4 | 101 |
Chiba Bank Ltd. (The) | 3 | 25 |
Chubu Electric Power Co., Inc. | 4 | 50 |
Chugai Pharmaceutical Co. Ltd. | 4 | 128 |
Concordia Financial Group Ltd. | 7 | 31 |
CyberAgent, Inc. | 3 | 15 |
Dai Nippon Printing Co. Ltd. | 2 | 39 |
Daifuku Co. Ltd. | 2 | 31 |
Dai-ichi Life Holdings, Inc. | 6 | 127 |
Daiichi Sankyo Co. Ltd. | 12 | 302 |
Daikin Industries Ltd. | 14 | 2,062 |
Daito Trust Construction Co. Ltd. | — | 43 |
Daiwa House Industry Co. Ltd. | 4 | 105 |
Daiwa House REIT Investment Corp., REIT | — | 25 |
Daiwa Securities Group, Inc. | 8 | 49 |
Denso Corp. | 11 | 160 |
Dentsu Group, Inc. | 1 | 38 |
Disco Corp. | 1 | 106 |
East Japan Railway Co. | 2 | 99 |
Eisai Co. Ltd. | 2 | 85 |
ENEOS Holdings, Inc. | 18 | 67 |
FANUC Corp. | 6 | 149 |
Fast Retailing Co. Ltd. | 1 | 244 |
Fuji Electric Co. Ltd. | 1 | 30 |
FUJIFILM Holdings Corp. | 2 | 131 |
Fujitsu Ltd. | 1 | 143 |
GLP J-REIT, REIT | — | 26 |
GMO Payment Gateway, Inc. | — | 12 |
Hakuhodo DY Holdings, Inc. | 1 | 11 |
Hamamatsu Photonics KK | 1 | 33 |
Hankyu Hanshin Holdings, Inc. | 1 | 44 |
Hikari Tsushin, Inc. | — | 14 |
Hirose Electric Co. Ltd. | — | 23 |
Hitachi Construction Machinery Co. Ltd. | 1 | 18 |
Hitachi Ltd. | 6 | 374 |
Honda Motor Co. Ltd. | 29 | 301 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
Hoshizaki Corp. | 1 | 23 |
Hoya Corp. | 55 | 5,304 |
Hulic Co. Ltd. | 2 | 22 |
Ibiden Co. Ltd. | 1 | 30 |
Idemitsu Kosan Co. Ltd. | 1 | 27 |
Iida Group Holdings Co. Ltd. | 1 | 14 |
Inpex Corp. | 6 | 89 |
Isuzu Motors Ltd. | 4 | 41 |
ITOCHU Corp. | 7 | 270 |
Japan Airlines Co. Ltd. | 1 | 17 |
Japan Exchange Group, Inc. | 254 | 5,031 |
Japan Metropolitan Fund Invest, REIT | — | 29 |
Japan Post Bank Co. Ltd. | 9 | 85 |
Japan Post Holdings Co. Ltd. | 14 | 127 |
Japan Post Insurance Co. Ltd. | 1 | 25 |
Japan Real Estate Investment Corp., REIT | — | 30 |
Japan Tobacco, Inc. | 7 | 172 |
JFE Holdings, Inc. | 3 | 43 |
JSR Corp. | 1 | 29 |
Kajima Corp. | 3 | 45 |
Kansai Electric Power Co., Inc. (The) | 4 | 58 |
Kao Corp. | 3 | 109 |
Kawasaki Kisen Kaisha Ltd. | 1 | 31 |
KDDI Corp. | 9 | 281 |
KDX Realty Investment Corp., REIT | — | 54 |
Keio Corp. | 1 | 18 |
Keisei Electric Railway Co. Ltd. | 1 | 30 |
Keyence Corp. | 7 | 2,632 |
Kikkoman Corp. | 1 | 46 |
Kintetsu Group Holdings Co. Ltd. | 1 | 34 |
Kirin Holdings Co. Ltd. | 5 | 67 |
Kobayashi Pharmaceutical Co. Ltd. | — | 12 |
Kobe Bussan Co. Ltd. | 1 | 22 |
Koei Tecmo Holdings Co. Ltd. | 1 | 10 |
Koito Manufacturing Co. Ltd. | 1 | 20 |
Komatsu Ltd. | 6 | 136 |
Konami Group Corp. | 1 | 31 |
Kose Corp. | — | 13 |
Kubota Corp. | 6 | 86 |
Kurita Water Industries Ltd. | 1 | 21 |
Kyocera Corp. | 2 | 104 |
Kyowa Kirin Co. Ltd. | 2 | 27 |
Lasertec Corp. | 1 | 83 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 13 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Lixil Corp. | 2 | 20 |
LY Corp. | 17 | 43 |
M3, Inc. | 3 | 43 |
Makita Corp. | 1 | 36 |
Marubeni Corp. | 9 | 133 |
MatsukiyoCocokara & Co. | 2 | 37 |
Mazda Motor Corp. | 4 | 36 |
McDonald's Holdings Co. Japan Ltd. | 1 | 19 |
MEIJI Holdings Co. Ltd. | 1 | 34 |
MINEBEA MITSUMI, Inc. | 2 | 36 |
MISUMI Group, Inc. | 2 | 27 |
Mitsubishi Chemical Group Corp. | 8 | 46 |
Mitsubishi Corp. | 7 | 340 |
Mitsubishi Electric Corp. | 12 | 140 |
Mitsubishi Estate Co. Ltd. | 7 | 92 |
Mitsubishi HC Capital, Inc. | 5 | 34 |
Mitsubishi Heavy Industries Ltd. | 2 | 103 |
Mitsubishi UFJ Financial Group, Inc. | 368 | 3,085 |
Mitsui & Co. Ltd. | 8 | 302 |
Mitsui Chemicals, Inc. | 1 | 28 |
Mitsui Fudosan Co. Ltd. | 6 | 121 |
Mitsui OSK Lines Ltd. | 2 | 57 |
Mizuho Financial Group, Inc. | 15 | 258 |
MonotaRO Co. Ltd. | 2 | 13 |
MS&AD Insurance Group Holdings, Inc. | 3 | 103 |
Murata Manufacturing Co. Ltd. | 11 | 190 |
NEC Corp. | 2 | 77 |
Nexon Co. Ltd. | 2 | 39 |
NGK Insulators Ltd. | 1 | 17 |
NIDEC Corp. | 3 | 95 |
Nintendo Co. Ltd. | 7 | 273 |
Nippon Building Fund, Inc., REIT | — | 40 |
Nippon Express Holdings, Inc. | 1 | 26 |
Nippon Paint Holdings Co. Ltd. | 6 | 40 |
Nippon Prologis REIT, Inc., REIT | — | 25 |
Nippon Sanso Holdings Corp. | 1 | 28 |
Nippon Steel Corp. | 5 | 119 |
Nippon Telegraph & Telephone Corp. | 2,192 | 2,579 |
Nippon Yusen KK | 3 | 76 |
Nissan Chemical Corp. | 1 | 33 |
Nissan Motor Co. Ltd. | 15 | 57 |
Nissin Foods Holdings Co. Ltd. | — | 35 |
Nitori Holdings Co. Ltd. | 1 | 54 |
Nitto Denko Corp. | 1 | 58 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
Nomura Holdings, Inc. | 19 | 74 |
Nomura Real Estate Holdings, Inc. | 1 | 16 |
Nomura Real Estate Master Fund, Inc., REIT | — | 30 |
Nomura Research Institute Ltd. | 2 | 66 |
NTT Data Group Corp. | 4 | 49 |
Obayashi Corp. | 4 | 35 |
Obic Co. Ltd. | — | 59 |
Odakyu Electric Railway Co. Ltd. | 2 | 28 |
Oji Holdings Corp. | 5 | 24 |
Olympus Corp. | 8 | 108 |
Omron Corp. | 1 | 39 |
Ono Pharmaceutical Co. Ltd. | 2 | 41 |
Open House Group Co. Ltd. | 1 | 17 |
Oracle Corp. | — | 14 |
Oriental Land Co. Ltd. | 7 | 223 |
ORIX Corp. | 7 | 136 |
Osaka Gas Co. Ltd. | 2 | 45 |
Otsuka Corp. | 1 | 28 |
Otsuka Holdings Co. Ltd. | 3 | 84 |
Pan Pacific International Holdings Corp. | 2 | 48 |
Panasonic Holdings Corp. | 14 | 123 |
Persol Holdings Co. Ltd. | 12 | 18 |
Rakuten Group, Inc. | 9 | 35 |
Recruit Holdings Co. Ltd. | 9 | 261 |
Renesas Electronics Corp. * | 8 | 106 |
Resona Holdings, Inc. | 13 | 72 |
Ricoh Co. Ltd. | 4 | 29 |
Rohm Co. Ltd. | 2 | 32 |
SBI Holdings, Inc. | 2 | 32 |
SCSK Corp. | 1 | 19 |
Secom Co. Ltd. | 1 | 90 |
Seiko Epson Corp. | 2 | 26 |
Sekisui Chemical Co. Ltd. | 2 | 34 |
Sekisui House Ltd. | 4 | 74 |
Seven & i Holdings Co. Ltd. | 61 | 2,253 |
SG Holdings Co. Ltd. | 2 | 28 |
Sharp Corp. * | 2 | 11 |
Shimadzu Corp. | 2 | 35 |
Shimano, Inc. | 1 | 72 |
Shimizu Corp. | 4 | 26 |
Shin-Etsu Chemical Co. Ltd. | 366 | 10,951 |
Shionogi & Co. Ltd. | 2 | 79 |
Shiseido Co. Ltd. | 2 | 79 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Shizuoka Financial Group, Inc. | 3 | 26 |
SMC Corp. | — | 185 |
SoftBank Corp. | 18 | 206 |
SoftBank Group Corp. | 6 | 266 |
Sompo Holdings, Inc. | 2 | 78 |
Sony Group Corp. | 40 | 3,317 |
Square Enix Holdings Co. Ltd. | 1 | 20 |
Subaru Corp. | 4 | 68 |
SUMCO Corp. | 2 | 26 |
Sumitomo Chemical Co. Ltd. | 9 | 22 |
Sumitomo Corp. | 7 | 132 |
Sumitomo Electric Industries Ltd. | 5 | 48 |
Sumitomo Metal Mining Co. Ltd. | 2 | 42 |
Sumitomo Mitsui Financial Group, Inc. | 8 | 391 |
Sumitomo Mitsui Trust Holdings, Inc. | 2 | 79 |
Sumitomo Realty & Development Co. Ltd. | 2 | 45 |
Suntory Beverage & Food Ltd. | 1 | 24 |
Suzuki Motor Corp. | 2 | 89 |
Sysmex Corp. | 1 | 53 |
T&D Holdings, Inc. | 3 | 57 |
Taisei Corp. | 1 | 37 |
Takeda Pharmaceutical Co. Ltd. | 10 | 271 |
TDK Corp. | 2 | 94 |
Terumo Corp. | 4 | 118 |
TIS, Inc. | 2 | 32 |
Tobu Railway Co. Ltd. | 1 | 29 |
Toho Co. Ltd. | 1 | 24 |
Tokio Marine Holdings, Inc. | 304 | 6,806 |
Tokyo Electric Power Co. Holdings, Inc. * | 10 | 41 |
Tokyo Electron Ltd. | 3 | 396 |
Tokyo Gas Co. Ltd. | 3 | 56 |
Tokyu Corp. | 3 | 36 |
TOPPAN Holdings, Inc. | 2 | 35 |
Toray Industries, Inc. | 9 | 43 |
Toshiba Corp. * | 1 | 15 |
Tosoh Corp. | 2 | 21 |
TOTO Ltd. | 1 | 19 |
Toyota Industries Corp. | 1 | 67 |
Toyota Motor Corp. | 67 | 1,176 |
Toyota Tsusho Corp. | 1 | 69 |
Trend Micro, Inc. | 1 | 34 |
Unicharm Corp. | 3 | 88 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
USS Co. Ltd. | 1 | 23 |
Welcia Holdings Co. Ltd. | 1 | 10 |
West Japan Railway Co. | 1 | 53 |
Yakult Honsha Co. Ltd. | 2 | 38 |
Yamaha Corp. | 1 | 24 |
Yamaha Motor Co. Ltd. | 2 | 46 |
Yamato Holdings Co. Ltd. | 2 | 28 |
Yaskawa Electric Corp. | 2 | 49 |
Yokogawa Electric Corp. | 1 | 25 |
Zensho Holdings Co. Ltd. | 1 | 26 |
ZOZO, Inc. | 1 | 17 |
61,531 | ||
Jordan — 0.0% ^ | ||
Hikma Pharmaceuticals plc | 1 | 24 |
Luxembourg — 0.0% ^ | ||
ArcelorMittal SA | 3 | 72 |
Eurofins Scientific SE | 1 | 43 |
115 | ||
Macau — 0.0% ^ | ||
Galaxy Entertainment Group Ltd. | 14 | 79 |
Sands China Ltd. * | 162 | 437 |
516 | ||
Mexico — 0.4% | ||
Grupo Aeroportuario del Pacifico SAB de CV, Class B | 52 | 609 |
Grupo Aeroportuario del Sureste SAB de CV, ADR | 3 | 687 |
Grupo Financiero Banorte SAB de CV, Class O | 152 | 1,229 |
Wal-Mart de Mexico SAB de CV | 2,439 | 8,740 |
11,265 | ||
Netherlands — 1.5% | ||
ABN AMRO Bank NV, CVA (b) | 2 | 34 |
Adyen NV * (b) | — | 92 |
Aegon Ltd. | 11 | 52 |
Akzo Nobel NV | 1 | 73 |
Argenx SE * | — | 79 |
Argenx SE * | — | 91 |
ASM International NV | — | 123 |
ASML Holding NV | 29 | 17,197 |
ASR Nederland NV | 1 | 38 |
BE Semiconductor Industries NV | — | 50 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 15 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Netherlands — continued | ||
Euronext NV (b) | — | 37 |
EXOR NV | 1 | 58 |
Heineken Holding NV | 1 | 62 |
Heineken NV | 2 | 164 |
IMCD NV | — | 43 |
ING Groep NV | 23 | 294 |
JDE Peet's NV | 1 | 21 |
Koninklijke Ahold Delhaize NV | 6 | 182 |
Koninklijke KPN NV | 20 | 69 |
Koninklijke Philips NV * | 6 | 112 |
NN Group NV | 2 | 51 |
OCI NV | 1 | 16 |
Randstad NV | 1 | 38 |
Shell plc | 708 | 22,814 |
Universal Music Group NV | 5 | 127 |
Wolters Kluwer NV | 2 | 209 |
42,126 | ||
New Zealand — 0.0% ^ | ||
Auckland International Airport Ltd. | 8 | 34 |
Fisher & Paykel Healthcare Corp. Ltd. | 4 | 44 |
Mercury NZ Ltd. | 4 | 15 |
Meridian Energy Ltd. | 8 | 23 |
Spark New Zealand Ltd. | 12 | 34 |
Xero Ltd. * | 1 | 62 |
212 | ||
Norway — 0.0% ^ | ||
Aker BP ASA (a) | 2 | 57 |
DNB Bank ASA | 6 | 106 |
Equinor ASA | 6 | 191 |
Gjensidige Forsikring ASA | 1 | 19 |
Kongsberg Gruppen ASA | 1 | 23 |
Mowi ASA | 3 | 45 |
Norsk Hydro ASA | 8 | 48 |
Orkla ASA | 5 | 33 |
Salmar ASA | — | 21 |
Telenor ASA | 4 | 45 |
588 | ||
Peru — 0.0% ^ | ||
Credicorp Ltd. | 8 | 1,023 |
Poland — 0.0% ^ | ||
Dino Polska SA * (b) | 6 | 546 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Portugal — 0.0% ^ | ||
EDP - Energias de Portugal SA | 20 | 84 |
Galp Energia SGPS SA | 3 | 46 |
Jeronimo Martins SGPS SA | 2 | 41 |
171 | ||
Russia — 0.0% ^ | ||
Severstal PAO, GDR ‡ * (b) | 58 | 19 |
TCS Group Holding plc, GDR ‡ * (b) | 17 | 12 |
31 | ||
Saudi Arabia — 0.1% | ||
Al Rajhi Bank | 29 | 522 |
Saudi Basic Industries Corp. | 28 | 571 |
Saudi National Bank (The) | 121 | 1,084 |
2,177 | ||
Singapore — 0.5% | ||
CapitaLand Ascendas, REIT | 24 | 45 |
CapitaLand Integrated Commercial Trust, REIT | 34 | 43 |
CapitaLand Investment Ltd. | 16 | 36 |
City Developments Ltd. | 3 | 15 |
DBS Group Holdings Ltd. | 556 | 13,367 |
Genting Singapore Ltd. | 38 | 24 |
Grab Holdings Ltd., Class A * | 12 | 36 |
Jardine Cycle & Carriage Ltd. | 1 | 12 |
Keppel, REIT | 2 | 1 |
Keppel Corp. Ltd. | 9 | 42 |
Mapletree Logistics Trust, REIT | 22 | 23 |
Mapletree Pan Asia Commercial Trust, REIT | 15 | 15 |
Oversea-Chinese Banking Corp. Ltd. | 21 | 198 |
Sea Ltd., ADR * | 2 | 96 |
Seatrium Ltd. * | 281 | 23 |
Sembcorp Industries Ltd. | 6 | 19 |
Singapore Airlines Ltd. | 9 | 42 |
Singapore Exchange Ltd. | 6 | 38 |
Singapore Technologies Engineering Ltd. | 10 | 27 |
Singapore Telecommunications Ltd. | 52 | 91 |
STMicroelectronics NV | 4 | 165 |
United Overseas Bank Ltd. | 8 | 158 |
UOL Group Ltd. | 3 | 13 |
14,529 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Africa — 0.1% | ||
Anglo American plc | 18 | 456 |
Bid Corp. Ltd. | 33 | 699 |
Capitec Bank Holdings Ltd. | 11 | 981 |
Clicks Group Ltd. | 43 | 633 |
FirstRand Ltd. | 161 | 532 |
Sanlam Ltd. | 123 | 432 |
3,733 | ||
South Korea — 1.0% | ||
Delivery Hero SE * (b) | 1 | 29 |
Hana Financial Group, Inc. | 14 | 395 |
HL Mando Co. Ltd. | 21 | 507 |
KB Financial Group, Inc. | 31 | 1,170 |
Kia Corp. | 12 | 713 |
LG Chem Ltd. | 3 | 1,044 |
NAVER Corp. | 3 | 488 |
Samsung Electronics Co. Ltd. | 420 | 20,899 |
Samsung Fire & Marine Insurance Co. Ltd. | 3 | 614 |
SK Hynix, Inc. | 20 | 1,757 |
SK Telecom Co. Ltd. | 14 | 525 |
SM Entertainment Co. Ltd. | 4 | 281 |
S-Oil Corp. | 8 | 378 |
28,800 | ||
Spain — 0.2% | ||
Acciona SA | — | 20 |
ACS Actividades de Construccion y Servicios SA | 1 | 50 |
Aena SME SA (b) | — | 69 |
Amadeus IT Group SA | 3 | 163 |
Banco Bilbao Vizcaya Argentaria SA | 38 | 297 |
Banco Santander SA | 102 | 377 |
CaixaBank SA | 26 | 106 |
Cellnex Telecom SA (b) | 4 | 105 |
Corp. ACCIONA Energias Renovables SA | — | 12 |
EDP Renovaveis SA | 2 | 31 |
Enagas SA | 2 | 26 |
Endesa SA | 2 | 37 |
Grifols SA * | 2 | 21 |
Iberdrola SA | 38 | 429 |
Industria de Diseno Textil SA | 70 | 2,406 |
Naturgy Energy Group SA | 1 | 22 |
Redeia Corp. SA | 3 | 40 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Spain — continued | ||
Repsol SA | 8 | 119 |
Telefonica SA | 33 | 126 |
4,456 | ||
Sweden — 0.4% | ||
Alfa Laval AB | 2 | 59 |
Assa Abloy AB, Class B | 6 | 135 |
Atlas Copco AB, Class A | 209 | 2,701 |
Atlas Copco AB, Class B | 10 | 111 |
Beijer Ref AB (a) | 2 | 23 |
Boliden AB | 2 | 44 |
Epiroc AB, Class A | 4 | 69 |
Epiroc AB, Class B | 2 | 34 |
EQT AB | 2 | 41 |
Essity AB, Class B | 4 | 88 |
Evolution AB (b) | 1 | 103 |
Fastighets AB Balder, Class B * | 4 | 17 |
Getinge AB, Class B | 1 | 26 |
H & M Hennes & Mauritz AB, Class B (a) | 4 | 55 |
Hexagon AB, Class B | 13 | 107 |
Holmen AB, Class B | 1 | 22 |
Husqvarna AB, Class B | 2 | 14 |
Industrivarden AB, Class A | 1 | 21 |
Industrivarden AB, Class C | 1 | 25 |
Indutrade AB | 2 | 30 |
Investment AB Latour, Class B | 1 | 16 |
Investor AB, Class B | 11 | 201 |
L E Lundbergforetagen AB, Class B | 1 | 20 |
Lifco AB, Class B | 1 | 27 |
Nibe Industrier AB, Class B | 10 | 55 |
Saab AB, Class B | 1 | 26 |
Sagax AB, Class B | 1 | 23 |
Sandvik AB | 7 | 115 |
Securitas AB, Class B | 3 | 25 |
Skandinaviska Enskilda Banken AB, Class A | 10 | 112 |
Skanska AB, Class B | 2 | 32 |
SKF AB, Class B | 2 | 35 |
Svenska Cellulosa AB SCA, Class B | 4 | 53 |
Svenska Handelsbanken AB, Class A | 9 | 79 |
Swedbank AB, Class A | 5 | 88 |
Swedish Orphan Biovitrum AB * | 1 | 26 |
Tele2 AB, Class B | 4 | 25 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 17 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Sweden — continued | ||
Telefonaktiebolaget LM Ericsson, Class B | 19 | 83 |
Telia Co. AB (a) | 16 | 33 |
Volvo AB, Class A | 1 | 25 |
Volvo AB, Class B | 367 | 7,280 |
Volvo Car AB, Class B * (a) | 4 | 13 |
12,117 | ||
Switzerland — 0.4% | ||
ABB Ltd. (Registered) | 10 | 340 |
Adecco Group AG (Registered) | 1 | 38 |
Alcon, Inc. | 3 | 226 |
Bachem Holding AG | — | 15 |
Baloise Holding AG (Registered) | — | 40 |
Banque Cantonale Vaudoise (Registered) | — | 21 |
Barry Callebaut AG (Registered) | — | 30 |
BKW AG | — | 22 |
Chocoladefabriken Lindt & Spruengli AG | — | 66 |
Chocoladefabriken Lindt & Spruengli AG (Registered) | — | 109 |
Cie Financiere Richemont SA (Registered) | 3 | 390 |
Clariant AG (Registered) | 1 | 19 |
DSM-Firmenich AG | 1 | 107 |
Dufry AG (Registered) * | 1 | 22 |
EMS-Chemie Holding AG (Registered) | — | 29 |
Geberit AG (Registered) | — | 99 |
Givaudan SA (Registered) | — | 196 |
Helvetia Holding AG (Registered) | — | 31 |
Julius Baer Group Ltd. | 1 | 77 |
Kuehne + Nagel International AG (Registered) | 1 | 91 |
Logitech International SA (Registered) | 1 | 81 |
Lonza Group AG (Registered) | 1 | 163 |
Novartis AG (Registered) | 13 | 1,214 |
Partners Group Holding AG | — | 149 |
Sandoz Group AG * | 3 | 67 |
Schindler Holding AG | — | 51 |
Schindler Holding AG (Registered) | — | 28 |
SGS SA (Registered) | 1 | 77 |
SIG Group AG | 2 | 42 |
Sika AG (Registered) | 1 | 222 |
Sonova Holding AG (Registered) | 1 | 78 |
Straumann Holding AG (Registered) | 1 | 83 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Switzerland — continued | ||
Swatch Group AG (The) | — | 46 |
Swatch Group AG (The) (Registered) | — | 16 |
Swiss Life Holding AG (Registered) | — | 120 |
Swiss Prime Site AG (Registered) | 1 | 44 |
Swisscom AG (Registered) | — | 96 |
Temenos AG (Registered) | 1 | 29 |
UBS Group AG (Registered) | 21 | 489 |
VAT Group AG (b) | — | 59 |
Zurich Insurance Group AG | 12 | 5,564 |
10,686 | ||
Taiwan — 1.5% | ||
Accton Technology Corp. | 48 | 744 |
Advantech Co. Ltd. | 41 | 422 |
ASE Technology Holding Co. Ltd. | 160 | 560 |
ASPEED Technology, Inc. | 7 | 559 |
Chailease Holding Co. Ltd. | 84 | 456 |
Eclat Textile Co. Ltd. | 35 | 557 |
eMemory Technology, Inc. | 4 | 251 |
Largan Precision Co. Ltd. | 9 | 576 |
Realtek Semiconductor Corp. | 64 | 798 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 528 | 8,624 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 319 | 27,532 |
Wiwynn Corp. | 8 | 379 |
41,458 | ||
Thailand — 0.1% | ||
PTT Exploration & Production PCL | 142 | 649 |
Siam Cement PCL (The) (Registered) | 57 | 452 |
Thai Oil PCL | 588 | 770 |
1,871 | ||
United Arab Emirates — 0.0% ^ | ||
NMC Health plc ‡ * | 3 | — (d) |
United Kingdom — 2.1% | ||
3i Group plc | 115 | 2,705 |
abrdn plc | 12 | 24 |
Admiral Group plc | 1 | 39 |
Anglogold Ashanti plc | 15 | 271 |
Ashtead Group plc | 3 | 159 |
Associated British Foods plc | 2 | 54 |
AstraZeneca plc | 93 | 11,685 |
Auto Trader Group plc (b) | 6 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
Aviva plc | 17 | 84 |
BAE Systems plc | 19 | 259 |
Barclays plc | 98 | 158 |
Barratt Developments plc | 6 | 31 |
Berkeley Group Holdings plc | 1 | 33 |
BP plc | 1,703 | 10,399 |
British American Tobacco plc | 13 | 400 |
BT Group plc | 41 | 56 |
Bunzl plc | 2 | 76 |
Burberry Group plc | 2 | 49 |
Centrica plc | 36 | 68 |
CK Hutchison Holdings Ltd. | 18 | 88 |
CNH Industrial NV | 6 | 72 |
Coca-Cola Europacific Partners plc | 1 | 74 |
Compass Group plc | 11 | 276 |
Croda International plc | 1 | 47 |
DCC plc | 1 | 34 |
Diageo plc | 71 | 2,675 |
Endava plc, ADR * | 8 | 406 |
Entain plc | 4 | 46 |
Halma plc | 2 | 54 |
Hargreaves Lansdown plc | 2 | 19 |
HSBC Holdings plc | 125 | 904 |
HSBC Holdings plc | 100 | 716 |
Imperial Brands plc | 5 | 116 |
Informa plc | 9 | 77 |
InterContinental Hotels Group plc | 22 | 1,559 |
Intertek Group plc | 1 | 48 |
J Sainsbury plc | 11 | 33 |
JD Sports Fashion plc | 16 | 25 |
Johnson Matthey plc | 1 | 21 |
Kingfisher plc | 12 | 31 |
Land Securities Group plc, REIT | 4 | 31 |
Legal & General Group plc | 38 | 97 |
Lloyds Banking Group plc | 7,456 | 3,629 |
London Stock Exchange Group plc | 3 | 271 |
M&G plc | 14 | 34 |
Melrose Industries plc | 9 | 49 |
National Grid plc | 23 | 278 |
NatWest Group plc | 37 | 80 |
Next plc | 1 | 64 |
Ocado Group plc * | 4 | 21 |
Pearson plc | 4 | 47 |
Persimmon plc | 2 | 25 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United Kingdom — continued | ||
Phoenix Group Holdings plc | 5 | 26 |
Reckitt Benckiser Group plc | 5 | 304 |
RELX plc | 276 | 9,653 |
RELX plc | 108 | 3,760 |
Rentokil Initial plc | 16 | 81 |
Rolls-Royce Holdings plc * | 53 | 140 |
Sage Group plc (The) | 7 | 77 |
Schroders plc | 5 | 23 |
Segro plc, REIT | 7 | 64 |
Severn Trent plc | 2 | 52 |
Smith & Nephew plc | 6 | 62 |
Smiths Group plc | 2 | 43 |
Spirax-Sarco Engineering plc | — | 47 |
SSE plc | 241 | 4,789 |
St. James's Place plc | 3 | 27 |
Standard Chartered plc | 15 | 115 |
Taylor Wimpey plc | 22 | 30 |
TechnipFMC plc | 69 | 1,480 |
Tesco plc | 46 | 150 |
Unilever plc | 16 | 754 |
United Utilities Group plc | 4 | 56 |
Vodafone Group plc | 146 | 134 |
Whitbread plc | 1 | 51 |
Wise plc, Class A * | 4 | 31 |
WPP plc | 7 | 59 |
60,549 | ||
United States — 27.6% | ||
Abbott Laboratories (a) | 3 | 301 |
AbbVie, Inc. | 95 | 13,405 |
Adobe, Inc. * | 21 | 10,994 |
Advanced Micro Devices, Inc. * | 67 | 6,584 |
AECOM | 7 | 563 |
Air Lease Corp. | 12 | 398 |
Albertsons Cos., Inc., Class A | 17 | 378 |
Align Technology, Inc. * | 2 | 331 |
Alnylam Pharmaceuticals, Inc. * | 4 | 655 |
Alphabet, Inc., Class C * | 50 | 6,276 |
Amazon.com, Inc. * | 365 | 48,608 |
American Express Co. | 5 | 712 |
American Homes 4 Rent, Class A, REIT | 13 | 440 |
AMETEK, Inc. | 7 | 1,019 |
Analog Devices, Inc. | 56 | 8,843 |
Apple Hospitality REIT, Inc., REIT (a) | 17 | 267 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 19 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Apple, Inc. | 172 | 29,441 |
Arista Networks, Inc. * | 4 | 741 |
AutoZone, Inc. * | — | 560 |
Axalta Coating Systems Ltd. * | 13 | 340 |
Bank of America Corp. | 446 | 11,751 |
Bath & Body Works, Inc. | 11 | 330 |
Baxter International, Inc. | 8 | 249 |
Berkshire Hathaway, Inc., Class B * | 11 | 3,857 |
Best Buy Co., Inc. | 10 | 663 |
Biogen, Inc. * (a) | 3 | 687 |
BioMarin Pharmaceutical, Inc. * | 5 | 406 |
BJ's Wholesale Club Holdings, Inc. * | 7 | 503 |
Blackstone, Inc. | 15 | 1,421 |
Boeing Co. (The) * | 5 | 881 |
Booking Holdings, Inc. * | 1 | 1,816 |
Booz Allen Hamilton Holding Corp. | 7 | 780 |
Boston Scientific Corp. * | 61 | 3,099 |
Bristol-Myers Squibb Co. | 125 | 6,434 |
Brixmor Property Group, Inc., REIT | 21 | 430 |
Broadcom, Inc. | 2 | 2,078 |
Burlington Stores, Inc. * | 1 | 142 |
Cadence Design Systems, Inc. * | 3 | 761 |
Capital One Financial Corp. | 14 | 1,423 |
Carlisle Cos., Inc. | 2 | 408 |
Carnival Corp. * | 12 | 134 |
Carrier Global Corp. | 6 | 300 |
CBRE Group, Inc., Class A * | 5 | 345 |
CDW Corp. | 1 | 229 |
Cencora, Inc. (a) | 11 | 2,096 |
Centene Corp. * | 24 | 1,638 |
Charles Schwab Corp. (The) | 116 | 6,042 |
Charter Communications, Inc., Class A * | 11 | 4,371 |
Chemours Co. (The) | 21 | 512 |
Cheniere Energy, Inc. | 8 | 1,332 |
Chevron Corp. | 66 | 9,589 |
Chubb Ltd. | 2 | 455 |
Cigna Group (The) | 2 | 478 |
Cisco Systems, Inc. | 6 | 302 |
Citigroup, Inc. | 18 | 693 |
Citizens Financial Group, Inc. | 15 | 351 |
Claire's Stores, Inc. ‡ * | — | 90 |
CME Group, Inc. | 114 | 24,406 |
CNA Financial Corp. | 6 | 241 |
Coca-Cola Co. (The) | 440 | 24,850 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Columbia Sportswear Co. | 4 | 275 |
Comcast Corp., Class A | 19 | 803 |
Confluent, Inc., Class A * (a) | 28 | 822 |
ConocoPhillips | 74 | 8,774 |
Constellation Brands, Inc., Class A | 3 | 703 |
Cooper Cos., Inc. (The) | 3 | 782 |
Copart, Inc. * | 30 | 1,292 |
Coterra Energy, Inc. | 11 | 314 |
CRH plc | 5 | 247 |
Crowdstrike Holdings, Inc., Class A * | 4 | 780 |
CSL Ltd. | 3 | 451 |
CSX Corp. | 9 | 272 |
CVS Health Corp. | 16 | 1,085 |
CyberArk Software Ltd. * | — | 43 |
Deere & Co. | 33 | 11,894 |
Dick's Sporting Goods, Inc. | 4 | 393 |
Digital Realty Trust, Inc., REIT | 9 | 1,159 |
Dollar Tree, Inc. * | 2 | 259 |
Dominion Energy, Inc. | 4 | 168 |
Domino's Pizza, Inc. | 1 | 246 |
Dover Corp. | 4 | 499 |
Dow, Inc. | 136 | 6,551 |
EastGroup Properties, Inc., REIT | 1 | 184 |
Eaton Corp. plc | 2 | 503 |
Edison International | 5 | 331 |
Eli Lilly & Co. | 4 | 2,381 |
Emerson Electric Co. | 9 | 794 |
Endeavor Group Holdings, Inc., Class A | 10 | 233 |
Energizer Holdings, Inc. | 9 | 277 |
Entegris, Inc. | 8 | 704 |
Entergy Corp. | 11 | 1,069 |
EOG Resources, Inc. | 67 | 8,461 |
EP Energy Corp. ‡ * | 5 | 7 |
Exact Sciences Corp. * | 15 | 944 |
ExlService Holdings, Inc. * | 34 | 876 |
Experian plc | 6 | 177 |
Exxon Mobil Corp. | 17 | 1,797 |
Federal Realty Investment Trust, REIT | 4 | 358 |
FedEx Corp. | 2 | 508 |
Ferguson plc | 16 | 2,407 |
Ferrovial SE | 3 | 97 |
Fidelity National Information Services, Inc. | 15 | 747 |
Fifth Third Bancorp | 6 | 136 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
First Citizens BancShares, Inc., Class A | — | 498 |
Fiserv, Inc. * | 11 | 1,284 |
FleetCor Technologies, Inc. * | 1 | 293 |
FMC Corp. | 12 | 624 |
Fortrea Holdings, Inc. * (a) | 4 | 111 |
Fortune Brands Innovations, Inc. | 7 | 384 |
Freeport-McMoRan, Inc. | 12 | 413 |
Garmin Ltd. | 6 | 630 |
General Dynamics Corp. | 2 | 541 |
General Mills, Inc. | 8 | 537 |
Globe Life, Inc. | 3 | 306 |
Goodman Networks, Inc. ‡ * | 3 | — (d) |
GSK plc | 26 | 462 |
Haleon plc | 35 | 141 |
HCA Healthcare, Inc. | 3 | 582 |
Henry Schein, Inc. * | 5 | 325 |
Hilton Worldwide Holdings, Inc. | 64 | 9,695 |
Holcim AG | 3 | 204 |
Home Depot, Inc. (The) | 1 | 366 |
Honeywell International, Inc. | 7 | 1,240 |
Howmet Aerospace, Inc. | 5 | 200 |
Hubbell, Inc. | 3 | 677 |
HubSpot, Inc. * | 2 | 936 |
Huntington Bancshares, Inc. | 25 | 242 |
IAC, Inc. * | 8 | 336 |
Ingersoll Rand, Inc. | 17 | 1,022 |
Intel Corp. | 6 | 207 |
International Business Machines Corp. | 2 | 322 |
Intuit, Inc. | 5 | 2,373 |
Intuitive Surgical, Inc. * | 4 | 1,104 |
Jabil, Inc. | 8 | 1,040 |
James Hardie Industries plc, CHDI * | 3 | 69 |
JB Hunt Transport Services, Inc. | 5 | 786 |
Johnson & Johnson | 63 | 9,346 |
Kenvue, Inc. | 34 | 624 |
Keurig Dr Pepper, Inc. | 24 | 723 |
Kimco Realty Corp., REIT | 230 | 4,134 |
Kinder Morgan, Inc. | 38 | 613 |
Knight-Swift Transportation Holdings, Inc. | 4 | 212 |
Kontoor Brands, Inc. | 12 | 546 |
Kraft Heinz Co. (The) | 14 | 452 |
Laboratory Corp. of America Holdings | 2 | 437 |
Lam Research Corp. | 2 | 1,301 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Lamar Advertising Co., Class A, REIT | 5 | 371 |
Lamb Weston Holdings, Inc. (a) | 5 | 403 |
Liberty Broadband Corp., Class C * | 4 | 343 |
Liberty Media Corp-Liberty Live, Class C * | 5 | 154 |
Liberty Media Corp-Liberty SiriusXM * | 17 | 405 |
Linde plc | 8 | 3,050 |
Loews Corp. | 19 | 1,209 |
Lowe's Cos., Inc. | 10 | 1,816 |
Lululemon Athletica, Inc. * | 2 | 779 |
M&T Bank Corp. | 10 | 1,090 |
Marriott International, Inc., Class A | 18 | 3,405 |
Martin Marietta Materials, Inc. | 2 | 795 |
Masco Corp. | 11 | 557 |
Mastercard, Inc., Class A | 67 | 25,164 |
McDonald's Corp. | 62 | 16,298 |
McKesson Corp. | 2 | 779 |
Medtronic plc | 4 | 264 |
Merck & Co., Inc. | 4 | 433 |
Meta Platforms, Inc., Class A * | 94 | 28,377 |
Mettler-Toledo International, Inc. * | — | 313 |
MGIC Investment Corp. | 20 | 340 |
Microsoft Corp. | 208 | 70,474 |
Mid-America Apartment Communities, Inc., REIT | 7 | 876 |
Middleby Corp. (The) * | 3 | 322 |
Mohawk Industries, Inc. * | 5 | 413 |
Monday.com Ltd. * | — | 18 |
Mondelez International, Inc., Class A | 4 | 278 |
MongoDB, Inc. * | 3 | 1,063 |
Moran Foods Backstop Equity ‡ * | 24 | 24 |
Morgan Stanley | 21 | 1,469 |
Murphy USA, Inc. | 1 | 417 |
MYT Holding LLC ‡ * | 23 | 8 |
Natera, Inc. * | 11 | 436 |
National Fuel Gas Co. | 5 | 268 |
Nestle SA (Registered) | 61 | 6,600 |
Netflix, Inc. * | 3 | 1,276 |
Newell Brands, Inc. | 30 | 203 |
Nexstar Media Group, Inc. | 2 | 255 |
NextEra Energy, Inc. | 184 | 10,700 |
NMG, Inc. ‡ * | 1 | 120 |
Northern Trust Corp. | 6 | 396 |
Northrop Grumman Corp. | 1 | 363 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 21 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
nVent Electric plc | 2 | 116 |
NVIDIA Corp. | 62 | 25,448 |
Old Dominion Freight Line, Inc. | 2 | 878 |
Oracle Corp. | 20 | 2,093 |
Packaging Corp. of America | 5 | 730 |
Palo Alto Networks, Inc. * | 7 | 1,785 |
Performance Food Group Co. * | 12 | 713 |
PG&E Corp. * | 28 | 461 |
Philip Morris International, Inc. | 14 | 1,279 |
Phillips 66 | 6 | 644 |
Pioneer Natural Resources Co. | 5 | 1,251 |
PNC Financial Services Group, Inc. (The) | 15 | 1,664 |
Pool Corp. | 1 | 437 |
Post Holdings, Inc. * | 6 | 444 |
Procter & Gamble Co. (The) | 5 | 727 |
Progressive Corp. (The) | 150 | 23,743 |
Prologis, Inc., REIT | 142 | 14,307 |
Public Service Enterprise Group, Inc. | 115 | 7,066 |
Public Storage, REIT | 3 | 595 |
QIAGEN NV * | 1 | 54 |
Quanta Services, Inc. | 8 | 1,306 |
Quest Diagnostics, Inc. | 3 | 325 |
Ralph Lauren Corp. | 4 | 448 |
Rayonier, Inc., REIT | 14 | 363 |
Regency Centers Corp., REIT | 4 | 261 |
Regeneron Pharmaceuticals, Inc. * | 20 | 15,886 |
Regions Financial Corp. | 35 | 509 |
Roche Holding AG | 37 | 9,650 |
Roche Holding AG | — | 55 |
Ross Stores, Inc. | 106 | 12,334 |
Royal Caribbean Cruises Ltd. * | 5 | 397 |
Royalty Pharma plc, Class A | 21 | 571 |
RTX Corp. | 21 | 1,735 |
S&P Global, Inc. | 30 | 10,434 |
Salesforce, Inc. * | 2 | 452 |
Sanofi SA | 7 | 653 |
Schneider Electric SE | 3 | 530 |
Seagen, Inc. * (a) | 1 | 285 |
Sealed Air Corp. | 5 | 141 |
Silgan Holdings, Inc. | 14 | 544 |
Snowflake, Inc., Class A * | 6 | 819 |
Southwest Airlines Co. | 10 | 230 |
State Street Corp. | 5 | 345 |
Stellantis NV | 14 | 263 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Sun Communities, Inc., REIT (a) | 63 | 7,032 |
Swiss Re AG | 2 | 204 |
Synopsys, Inc. * | 2 | 979 |
Take-Two Interactive Software, Inc. * | 6 | 744 |
Tapestry, Inc. | 5 | 133 |
TD SYNNEX Corp. | 4 | 362 |
Tenaris SA | 3 | 47 |
Teradyne, Inc. (a) | 24 | 2,013 |
Tesla, Inc. * | 15 | 3,033 |
Texas Instruments, Inc. (e) | 4 | 620 |
Texas Roadhouse, Inc. | 4 | 399 |
Thermo Fisher Scientific, Inc. | 3 | 1,194 |
Timken Co. (The) | 4 | 263 |
TJX Cos., Inc. (The) | 14 | 1,229 |
T-Mobile US, Inc. * | 2 | 284 |
Trade Desk, Inc. (The), Class A * | 17 | 1,182 |
Trane Technologies plc | 8 | 1,521 |
Travelers Cos., Inc. (The) | 10 | 1,740 |
Truist Financial Corp. | 45 | 1,262 |
Uber Technologies, Inc. * | 403 | 17,459 |
UDR, Inc., REIT | 85 | 2,699 |
Union Pacific Corp. | 3 | 582 |
United Parcel Service, Inc., Class B | 4 | 622 |
UnitedHealth Group, Inc. (e) | 69 | 36,839 |
US Bancorp | 64 | 2,033 |
Ventas, Inc., REIT | 4 | 165 |
Verizon Communications, Inc. | 10 | 333 |
Vertex Pharmaceuticals, Inc. * | 1 | 364 |
Vertiv Holdings Co. | 3 | 118 |
Vulcan Materials Co. | 1 | 179 |
Walmart, Inc. | 6 | 1,059 |
Walt Disney Co. (The) * | 7 | 581 |
Wells Fargo & Co. | 184 | 7,300 |
Welltower, Inc., REIT | 3 | 226 |
WESCO International, Inc. | 5 | 688 |
WestRock Co. | 8 | 282 |
WEX, Inc. * | 2 | 268 |
Weyerhaeuser Co., REIT | 25 | 715 |
Williams Cos., Inc. (The) | 20 | 693 |
Willis Towers Watson plc | 1 | 258 |
Windstream Holdings, Inc. ‡ * | 1 | 5 |
Workday, Inc., Class A * | 4 | 803 |
WR Berkley Corp. | 5 | 359 |
Xcel Energy, Inc. | 7 | 410 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Yum! Brands, Inc. | 89 | 10,694 |
Zimmer Biomet Holdings, Inc. | 3 | 273 |
790,113 | ||
Total Common Stocks (Cost $1,068,996) | 1,348,970 | |
PRINCIPAL AMOUNT ($000) | ||
Corporate Bonds — 22.9% | ||
Australia — 0.1% | ||
FMG Resources August 2006 Pty. Ltd. 4.50%, 9/15/2027 (c) | 537 | 483 |
Mineral Resources Ltd. 8.13%, 5/1/2027 (c) | 1,294 | 1,259 |
Westpac Banking Corp. (3-MONTH CME TERM SOFR + 1.03%), 6.44%, 2/26/2024 (f) | 2,061 | 2,065 |
3,807 | ||
Canada — 1.1% | ||
Bank of Montreal 2.15%, 3/8/2024 | 1,437 | 1,418 |
Bank of Nova Scotia (The) | ||
(SOFRINDX + 0.96%), 6.31%, 3/11/2024 (a) (f) | 547 | 548 |
(SOFRINDX + 0.44%), 5.77%, 4/15/2024 (f) | 716 | 716 |
(SOFR + 0.38%), 5.69%, 7/31/2024 (f) | 997 | 997 |
Bell Canada (The) Series US-3, 0.75%, 3/17/2024 | 308 | 302 |
Canadian Imperial Bank of Commerce | ||
(SOFRINDX + 0.40%), 5.75%, 12/14/2023 (f) | 2,247 | 2,247 |
3.10%, 4/2/2024 | 450 | 444 |
(SOFRINDX + 0.42%), 5.74%, 10/18/2024 (f) | 382 | 381 |
Enbridge, Inc. 3.50%, 6/10/2024 | 1,984 | 1,954 |
Ontario Teachers' Finance Trust | ||
1.13%, 5/15/2026 (b) | GBP4,950 | 5,432 |
1.10%, 10/19/2027 (c) | CAD773 | 486 |
4.25%, 4/25/2028 (c) | 3,483 | 3,332 |
0.10%, 5/19/2028 (b) | EUR2,955 | 2,672 |
0.05%, 11/25/2030 (b) | EUR5,225 | 4,258 |
Open Text Corp. 3.88%, 2/15/2028 (c) | 53 | 46 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Canada — continued | ||
Royal Bank of Canada | ||
3.97%, 7/26/2024 | 2,601 | 2,566 |
0.65%, 7/29/2024 | 366 | 352 |
0.75%, 10/7/2024 | 804 | 766 |
Toronto-Dominion Bank (The) (SOFR + 0.36%), 5.71%, 3/4/2024 (f) | 2,275 | 2,275 |
TransCanada PipeLines Ltd. 1.00%, 10/12/2024 | 1,076 | 1,025 |
32,217 | ||
France — 0.3% | ||
Dexia Credit Local SA | ||
1.63%, 12/8/2023 (b) | GBP1,800 | 2,179 |
1.25%, 11/26/2024 (b) | EUR2,100 | 2,163 |
0.25%, 12/10/2026 (b) | GBP4,200 | 4,398 |
8,740 | ||
Germany — 0.3% | ||
Daimler Truck Finance North America LLC (SOFR + 1.00%), 6.33%, 4/5/2024 (c) (f) | 275 | 275 |
Kreditanstalt fuer Wiederaufbau 0.00%, 3/31/2027 (b) | EUR7,500 | 7,126 |
7,401 | ||
Italy — 0.0% ^ | ||
Enel Finance International NV 2.65%, 9/10/2024 (c) | 1,028 | 996 |
Japan — 0.1% | ||
NTT Finance Corp. 0.58%, 3/1/2024 (c) | 319 | 313 |
Sumitomo Mitsui Financial Group, Inc. | ||
2.70%, 7/16/2024 | 1,068 | 1,044 |
2.45%, 9/27/2024 | 679 | 658 |
Sumitomo Mitsui Trust Bank Ltd. 0.80%, 9/16/2024 (c) | 865 | 826 |
2,841 | ||
Netherlands — 0.5% | ||
Nederlandse Waterschapsbank NV | ||
2.00%, 12/16/2024 (b) | GBP9,110 | 10,643 |
3.50%, 7/20/2027 | AUD3,120 | 1,870 |
12,513 | ||
Saudi Arabia — 0.0% ^ | ||
Saudi Arabian Oil Co. 1.25%, 11/24/2023 (c) | 400 | 398 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 23 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Singapore — 0.3% | ||
Temasek Financial I Ltd. | ||
3.63%, 8/1/2028 (c) | 6,158 | 5,751 |
1.63%, 8/2/2031 (c) | 2,593 | 1,978 |
7,729 | ||
South Korea — 0.1% | ||
Korea Development Bank (The) 2.13%, 10/1/2024 | 1,826 | 1,765 |
Korea Southern Power Co. Ltd. 0.75%, 1/27/2026 (c) | 2,155 | 1,931 |
3,696 | ||
Spain — 0.1% | ||
Banco Santander SA (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 5.74%, 6/30/2024 (f) | 1,900 | 1,894 |
Sweden — 0.0% ^ | ||
Svenska Handelsbanken AB 0.55%, 6/11/2024 (c) | 351 | 340 |
Switzerland — 0.1% | ||
UBS AG | ||
(SOFR + 0.45%), 5.83%, 8/9/2024 (c) (f) | 1,647 | 1,644 |
(SOFR + 0.93%), 6.28%, 9/11/2025 (f) | 624 | 623 |
2,267 | ||
United Kingdom — 0.1% | ||
HSBC Holdings plc (SOFR + 0.58%), 5.95%, 11/22/2024 (f) | 2,270 | 2,270 |
Reynolds American, Inc. 4.45%, 6/12/2025 | 443 | 432 |
2,702 | ||
United States — 19.8% | ||
Adient Global Holdings Ltd. 7.00%, 4/15/2028 (c) | 2,101 | 2,068 |
Aethon United BR LP 8.25%, 2/15/2026 (c) | 831 | 825 |
Affinity Interactive 6.88%, 12/15/2027 (c) | 789 | 643 |
AG Issuer LLC 6.25%, 3/1/2028 (c) | 263 | 242 |
AG TTMT Escrow Issuer LLC 8.63%, 9/30/2027 (c) | 2,470 | 2,481 |
Albertsons Cos., Inc. | ||
3.25%, 3/15/2026 (c) | 1,875 | 1,732 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
7.50%, 3/15/2026 (c) | 2,445 | 2,484 |
4.63%, 1/15/2027 (c) | 1,271 | 1,191 |
5.88%, 2/15/2028 (c) | 1,788 | 1,713 |
Allegiant Travel Co. 7.25%, 8/15/2027 (c) | 740 | 670 |
Alliant Holdings Intermediate LLC | ||
4.25%, 10/15/2027 (c) | 3,128 | 2,750 |
6.75%, 4/15/2028 (c) | 2,868 | 2,725 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (c) | 3,016 | 2,824 |
4.63%, 6/1/2028 (c) | 4,687 | 3,827 |
American Airlines, Inc. | ||
11.75%, 7/15/2025 (c) | 2,922 | 3,096 |
5.50%, 4/20/2026 (c) | 2,660 | 2,586 |
7.25%, 2/15/2028 (c) | 2,931 | 2,725 |
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (c) | 2,582 | 2,318 |
American Express Co. 2.50%, 7/30/2024 | 2,337 | 2,280 |
AmeriGas Partners LP 9.38%, 6/1/2028 (c) | 483 | 477 |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) (c) | 687 | 669 |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (c) | 1,506 | 1,352 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (c) | 2,767 | 2,787 |
5.75%, 3/1/2027 (c) | 1,191 | 1,138 |
APX Group, Inc. 6.75%, 2/15/2027 (c) | 2,338 | 2,257 |
Arches Buyer, Inc. 4.25%, 6/1/2028 (c) | 1,526 | 1,264 |
Archrock Partners LP | ||
6.88%, 4/1/2027 (c) | 1,883 | 1,810 |
6.25%, 4/1/2028 (c) | 1,405 | 1,305 |
Ardagh Metal Packaging Finance USA LLC 6.00%, 6/15/2027 (c) | 2,128 | 2,011 |
Ardagh Packaging Finance plc | ||
5.25%, 4/30/2025 (c) | 2,880 | 2,774 |
4.13%, 8/15/2026 (c) | 3,437 | 3,033 |
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (c) | 1,546 | 1,493 |
ASGN, Inc. 4.63%, 5/15/2028 (c) | 1,785 | 1,581 |
Avantor Funding, Inc. 4.63%, 7/15/2028 (c) | 3,103 | 2,762 |
Avient Corp. 5.75%, 5/15/2025 (c) | 799 | 783 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Axalta Coating Systems LLC 4.75%, 6/15/2027 (c) | 1,836 | 1,691 |
Ball Corp. 6.88%, 3/15/2028 | 2,475 | 2,468 |
Berry Global, Inc. 5.63%, 7/15/2027 (c) | 734 | 701 |
Block, Inc. 2.75%, 6/1/2026 | 2,998 | 2,690 |
Blue Racer Midstream LLC 7.63%, 12/15/2025 (c) | 766 | 767 |
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (c) | 2,251 | 2,220 |
Boyd Gaming Corp. 4.75%, 12/1/2027 (a) | 2,945 | 2,680 |
Brookfield Property REIT, Inc. REIT, 5.75%, 5/15/2026 (c) | 3,010 | 2,756 |
Buckeye Partners LP 4.13%, 3/1/2025 (c) | 964 | 918 |
Caesars Entertainment, Inc. | ||
6.25%, 7/1/2025 (c) | 3,249 | 3,197 |
8.13%, 7/1/2027 (c) | 2,797 | 2,771 |
California Resources Corp. 7.13%, 2/1/2026 (c) | 771 | 774 |
Calpine Corp. | ||
4.50%, 2/15/2028 (c) | 3,100 | 2,795 |
5.13%, 3/15/2028 (c) | 787 | 704 |
Camelot Finance SA 4.50%, 11/1/2026 (c) | 665 | 615 |
Cargo Aircraft Management, Inc. 4.75%, 2/1/2028 (c) | 1,624 | 1,433 |
Carnival Corp. | ||
7.63%, 3/1/2026 (c) | 2,883 | 2,803 |
5.75%, 3/1/2027 (c) | 3,062 | 2,734 |
9.88%, 8/1/2027 (a) (c) | 1,821 | 1,898 |
4.00%, 8/1/2028 (c) | 1,062 | 924 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (c) | 2,564 | 2,734 |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (c) | 849 | 811 |
CEC Entertainment LLC 6.75%, 5/1/2026 (c) | 941 | 879 |
Cedar Fair LP 5.50%, 5/1/2025 (c) | 2,857 | 2,800 |
Century Communities, Inc. 6.75%, 6/1/2027 | 2,136 | 2,062 |
Chesapeake Energy Corp. 5.50%, 2/1/2026 (c) | 1,652 | 1,604 |
Churchill Downs, Inc. 5.50%, 4/1/2027 (c) | 2,316 | 2,172 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Cigna Group (The) 0.61%, 3/15/2024 | 965 | 946 |
Cinemark USA, Inc. 5.25%, 7/15/2028 (a) (c) | 1,949 | 1,683 |
Civitas Resources, Inc. | ||
5.00%, 10/15/2026 (c) | 65 | 61 |
8.38%, 7/1/2028 (c) | 1,905 | 1,917 |
Clarios Global LP | ||
6.25%, 5/15/2026 (c) | 2,846 | 2,782 |
6.75%, 5/15/2028 (a) (c) | 3,130 | 3,051 |
Clean Harbors, Inc. 4.88%, 7/15/2027 (c) | 2,277 | 2,123 |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) (c) | 3,623 | 3,220 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (c) | 903 | 898 |
5.88%, 6/1/2027 (a) | 2,559 | 2,438 |
Cogent Communications Group, Inc. 3.50%, 5/1/2026 (c) | 2,243 | 2,030 |
CommScope, Inc. 6.00%, 3/1/2026 (c) | 3,108 | 2,611 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (c) | 2,862 | 2,616 |
5.63%, 3/15/2027 (c) | 3,210 | 2,608 |
8.00%, 12/15/2027 (c) | 2,839 | 2,408 |
Compass Minerals International, Inc. 6.75%, 12/1/2027 (c) | 730 | 688 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (f) | 2 | 2 |
CoreCivic, Inc. 8.25%, 4/15/2026 | 779 | 789 |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) (c) | 1,316 | 1,043 |
Coty, Inc. 5.00%, 4/15/2026 (c) | 1,857 | 1,774 |
Cox Communications, Inc. 3.15%, 8/15/2024 (c) | 944 | 922 |
Crescent Energy Finance LLC | ||
7.25%, 5/1/2026 (c) | 1,999 | 1,935 |
9.25%, 2/15/2028 (c) | 209 | 210 |
Crown Americas LLC 4.75%, 2/1/2026 | 2,494 | 2,398 |
CSC Holdings LLC 11.25%, 5/15/2028 (c) | 2,928 | 2,793 |
Cushman & Wakefield US Borrower LLC 6.75%, 5/15/2028 (c) | 2,415 | 2,203 |
CVR Energy, Inc. 5.25%, 2/15/2025 (c) | 777 | 762 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 25 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
CVR Partners LP 6.13%, 6/15/2028 (c) | 736 | 650 |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (c) | 2,165 | 2,060 |
Delta Air Lines, Inc. | ||
2.90%, 10/28/2024 | 996 | 956 |
7.38%, 1/15/2026 | 2,773 | 2,801 |
Directv Financing LLC 5.88%, 8/15/2027 (c) | 3,656 | 3,203 |
DISH DBS Corp. 5.25%, 12/1/2026 (c) | 3,778 | 3,048 |
DISH Network Corp. 11.75%, 11/15/2027 (c) | 3,085 | 3,056 |
Dollar General Corp. 4.25%, 9/20/2024 | 1,305 | 1,283 |
DTE Energy Co. Series C, 2.53%, 10/1/2024 (g) | 699 | 677 |
Earthstone Energy Holdings LLC 8.00%, 4/15/2027 (c) | 329 | 334 |
Edgewell Personal Care Co. 5.50%, 6/1/2028 (c) | 78 | 71 |
Edison International (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.13%, 6/15/2053 (f) | 1,987 | 1,916 |
Encompass Health Corp. 4.50%, 2/1/2028 | 1,158 | 1,044 |
EnLink Midstream LLC 5.63%, 1/15/2028 (c) | 2,189 | 2,064 |
Enviva Partners LP 6.50%, 1/15/2026 (c) | 1,452 | 1,020 |
EQM Midstream Partners LP | ||
7.50%, 6/1/2027 (c) | 2,797 | 2,770 |
6.50%, 7/1/2027 (c) | 241 | 234 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (c) | 2,137 | 2,009 |
Fair Isaac Corp. 4.00%, 6/15/2028 (c) | 1,303 | 1,160 |
Fiserv, Inc. 2.75%, 7/1/2024 | 1,160 | 1,135 |
Florida Power & Light Co. (SOFRINDX + 0.38%), 5.70%, 1/12/2024 (f) | 1,162 | 1,162 |
Ford Motor Credit Co. LLC | ||
4.06%, 11/1/2024 | 1,967 | 1,915 |
2.30%, 2/10/2025 | 2,056 | 1,941 |
5.13%, 6/16/2025 | 1,971 | 1,918 |
3.38%, 11/13/2025 | 1,212 | 1,131 |
6.95%, 3/6/2026 | 764 | 765 |
2.90%, 2/16/2028 | 3,362 | 2,860 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
6.80%, 5/12/2028 | 867 | 865 |
Fortress Transportation and Infrastructure Investors LLC | ||
6.50%, 10/1/2025 (c) | 2,807 | 2,779 |
5.50%, 5/1/2028 (c) | 935 | 850 |
Freedom Mortgage Corp. 6.63%, 1/15/2027 (c) | 2,434 | 2,107 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (c) | 1,404 | 1,280 |
5.00%, 5/1/2028 (c) | 3,639 | 3,142 |
FTAI Infra Escrow Holdings LLC 10.50%, 6/1/2027 (c) | 1,377 | 1,338 |
Gartner, Inc. 4.50%, 7/1/2028 (c) | 2,704 | 2,433 |
Gates Global LLC 6.25%, 1/15/2026 (a) (c) | 759 | 743 |
Gen Digital, Inc. 6.75%, 9/30/2027 (c) | 910 | 886 |
Genesis Energy LP 8.00%, 1/15/2027 | 2,556 | 2,454 |
Genting New York LLC 3.30%, 2/15/2026 (c) | 784 | 700 |
Global Net Lease, Inc. REIT, 3.75%, 12/15/2027 (c) | 1,174 | 889 |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (c) | 2,345 | 2,198 |
Goldman Sachs Group, Inc. (The) | ||
3.63%, 2/20/2024 | 417 | 414 |
3.85%, 7/8/2024 | 1,688 | 1,663 |
Goodyear Tire & Rubber Co. (The) 9.50%, 5/31/2025 | 2,521 | 2,550 |
GoTo Group, Inc. 5.50%, 9/1/2027 (a) (c) | 1,290 | 673 |
Grand Canyon University 4.13%, 10/1/2024 | 2,210 | 2,102 |
Gray Television, Inc. 7.00%, 5/15/2027 (c) | 2,200 | 1,865 |
Griffon Corp. 5.75%, 3/1/2028 | 2,197 | 1,984 |
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) (c) | 933 | 686 |
HAT Holdings I LLC REIT, 3.38%, 6/15/2026 (c) | 3,017 | 2,656 |
Hawaiian Brand Intellectual Property Ltd. 5.75%, 1/20/2026 (c) | 3,105 | 2,294 |
Heartland Dental LLC 10.50%, 4/30/2028 (c) | 1,298 | 1,248 |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (c) | 1,543 | 1,452 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Herc Holdings, Inc. 5.50%, 7/15/2027 (c) | 2,991 | 2,811 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (c) | 2,215 | 2,145 |
5.13%, 6/15/2028 (c) | 1,187 | 1,096 |
Hewlett Packard Enterprise Co. 5.90%, 10/1/2024 | 1,275 | 1,273 |
Hilton Domestic Operating Co., Inc. | ||
5.38%, 5/1/2025 (c) | 1,898 | 1,866 |
5.75%, 5/1/2028 (c) | 961 | 921 |
Holly Energy Partners LP 5.00%, 2/1/2028 (c) | 2,241 | 2,074 |
Howmet Aerospace, Inc. 6.88%, 5/1/2025 | 759 | 762 |
HSBC USA, Inc. 3.50%, 6/23/2024 | 260 | 255 |
Icahn Enterprises LP | ||
4.75%, 9/15/2024 | 2,853 | 2,736 |
6.25%, 5/15/2026 | 3,037 | 2,776 |
5.25%, 5/15/2027 | 927 | 794 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 2,326 | 1,896 |
5.25%, 8/15/2027 (a) (c) | 3,056 | 2,240 |
4.75%, 1/15/2028 (c) | 555 | 392 |
International Game Technology plc | ||
4.13%, 4/15/2026 (c) | 2,009 | 1,890 |
6.25%, 1/15/2027 (c) | 1,437 | 1,400 |
IQVIA, Inc. 5.00%, 5/15/2027 (c) | 2,970 | 2,794 |
IRB Holding Corp. 7.00%, 6/15/2025 (c) | 2,486 | 2,467 |
Iron Mountain, Inc. REIT, 5.00%, 7/15/2028 (c) | 1,520 | 1,360 |
Jackson Financial, Inc. 1.13%, 11/22/2023 | 590 | 588 |
Jackson National Life Global Funding (SOFR + 1.15%), 6.49%, 6/28/2024 (c) (f) | 2,168 | 2,172 |
Jersey Central Power & Light Co. 4.70%, 4/1/2024 (c) | 884 | 878 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (c) | 1,540 | 1,283 |
Keurig Dr Pepper, Inc. 0.75%, 3/15/2024 | 1,337 | 1,311 |
LABL, Inc. 6.75%, 7/15/2026 (c) | 2,936 | 2,699 |
Lamar Media Corp. 3.75%, 2/15/2028 | 2,426 | 2,149 |
Las Vegas Sands Corp. | ||
2.90%, 6/25/2025 | 1,379 | 1,295 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
3.50%, 8/18/2026 | 2,300 | 2,105 |
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (c) | 2,405 | 2,177 |
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (c) | 3,388 | 2,802 |
Level 3 Financing, Inc. | ||
3.40%, 3/1/2027 (c) | 2,407 | 2,229 |
4.63%, 9/15/2027 (c) | 2,938 | 1,954 |
4.25%, 7/1/2028 (c) | 260 | 147 |
Liberty Mutual Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.32%), 4.13%, 12/15/2051 (c) (f) | 724 | 575 |
Life Time, Inc. 5.75%, 1/15/2026 (c) | 944 | 914 |
Light & Wonder International, Inc. 7.00%, 5/15/2028 (c) | 2,412 | 2,351 |
Live Nation Entertainment, Inc. | ||
6.50%, 5/15/2027 (c) | 122 | 119 |
4.75%, 10/15/2027 (a) (c) | 3,014 | 2,754 |
3.75%, 1/15/2028 (c) | 2,376 | 2,077 |
LSF9 Atlantis Holdings LLC 7.75%, 2/15/2026 (c) | 2,472 | 2,231 |
Madison IAQ LLC 4.13%, 6/30/2028 (c) | 1,981 | 1,655 |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 582 | 578 |
Masonite International Corp. 5.38%, 2/1/2028 (c) | 751 | 692 |
Matador Resources Co. 6.88%, 4/15/2028 (c) | 420 | 412 |
Match Group Holdings II LLC 4.63%, 6/1/2028 (a) (c) | 2,253 | 2,023 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (c) | 3,285 | 3,077 |
Metropolitan Life Global Funding I (SOFR + 0.30%), 5.64%, 9/27/2024 (c) (f) | 275 | 275 |
MGM Resorts International | ||
6.75%, 5/1/2025 | 1,860 | 1,850 |
5.50%, 4/15/2027 | 1,612 | 1,504 |
Michaels Cos., Inc. (The) 5.25%, 5/1/2028 (c) | 1,708 | 1,238 |
ModivCare, Inc. 5.88%, 11/15/2025 (c) | 1,489 | 1,407 |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (c) | 3,085 | 2,834 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 27 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Molina Healthcare, Inc. 4.38%, 6/15/2028 (c) | 2,051 | 1,825 |
Moog, Inc. 4.25%, 12/15/2027 (c) | 2,265 | 2,016 |
Murphy Oil Corp. 5.88%, 12/1/2027 | 2,218 | 2,133 |
Nabors Industries Ltd. 7.25%, 1/15/2026 (c) | 2,201 | 2,068 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (c) | 1,075 | 999 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (c) | 582 | 541 |
Navient Corp. | ||
5.00%, 3/15/2027 (a) | 2,861 | 2,513 |
4.88%, 3/15/2028 | 109 | 90 |
NCL Corp. Ltd. | ||
5.88%, 2/15/2027 (c) | 2,983 | 2,746 |
8.38%, 2/1/2028 (c) | 3,151 | 3,122 |
New Enterprise Stone & Lime Co., Inc. 5.25%, 7/15/2028 (c) | 2,374 | 2,095 |
New Fortress Energy, Inc. | ||
6.75%, 9/15/2025 (c) | 2,886 | 2,677 |
6.50%, 9/30/2026 (c) | 2,493 | 2,233 |
Newell Brands, Inc. | ||
4.88%, 6/1/2025 | 1,940 | 1,862 |
6.38%, 9/15/2027 (a) | 947 | 887 |
Nexstar Media, Inc. 5.63%, 7/15/2027 (c) | 3,066 | 2,759 |
NextEra Energy Capital Holdings, Inc. 2.94%, 3/21/2024 | 536 | 530 |
NextEra Energy Operating Partners LP 3.88%, 10/15/2026 (c) | 1,381 | 1,256 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (c) | 2,879 | 2,810 |
Novelis Corp. 3.25%, 11/15/2026 (c) | 2,011 | 1,790 |
NuStar Logistics LP | ||
5.75%, 10/1/2025 | 2,171 | 2,101 |
6.00%, 6/1/2026 | 724 | 699 |
OneMain Finance Corp. 3.50%, 1/15/2027 | 3,314 | 2,800 |
Organon & Co. 4.13%, 4/30/2028 (c) | 3,161 | 2,730 |
Outfront Media Capital LLC 5.00%, 8/15/2027 (c) | 2,519 | 2,238 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (c) | 2,300 | 2,185 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (c) | 3,006 | 2,622 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (f) | 1,114 | 820 |
Park Intermediate Holdings LLC REIT, 7.50%, 6/1/2025 (c) | 2,273 | 2,250 |
PBF Holding Co. LLC 6.00%, 2/15/2028 | 946 | 870 |
PennyMac Financial Services, Inc. 5.38%, 10/15/2025 (c) | 811 | 772 |
Penske Automotive Group, Inc. 3.50%, 9/1/2025 | 765 | 726 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (c) | 2,940 | 2,749 |
PetSmart, Inc. 4.75%, 2/15/2028 (c) | 3,186 | 2,819 |
PG&E Corp. 5.00%, 7/1/2028 | 2,012 | 1,823 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (c) | 2,023 | 1,853 |
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (c) | 922 | 839 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (c) | 2,856 | 2,771 |
3.38%, 8/31/2027 (c) | 323 | 284 |
6.25%, 1/15/2028 (c) | 3,409 | 3,161 |
PTC, Inc. | ||
3.63%, 2/15/2025 (c) | 920 | 887 |
4.00%, 2/15/2028 (c) | 2,065 | 1,831 |
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 | 1,150 | 1,127 |
Republic Services, Inc. 2.50%, 8/15/2024 | 689 | 670 |
Rithm Capital Corp. REIT, 6.25%, 10/15/2025 (c) | 1,295 | 1,226 |
Rocket Mortgage LLC 2.88%, 10/15/2026 (c) | 3,207 | 2,792 |
Royal Caribbean Cruises Ltd. | ||
4.25%, 7/1/2026 (c) | 3,070 | 2,823 |
5.50%, 8/31/2026 (c) | 2,906 | 2,742 |
5.38%, 7/15/2027 (c) | 370 | 341 |
11.63%, 8/15/2027 (c) | 2,627 | 2,849 |
5.50%, 4/1/2028 (c) | 946 | 863 |
Sabre GLBL, Inc. | ||
8.63%, 6/1/2027 (c) | 946 | 785 |
11.25%, 12/15/2027 (a) (c) | 1,423 | 1,267 |
SBA Communications Corp. REIT, 3.88%, 2/15/2027 | 3,107 | 2,830 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
SCIH Salt Holdings, Inc. 4.88%, 5/1/2028 (c) | 2,854 | 2,464 |
SCIL IV LLC 5.38%, 11/1/2026 (c) | 1,762 | 1,563 |
Sealed Air Corp. | ||
5.50%, 9/15/2025 (c) | 99 | 96 |
6.13%, 2/1/2028 (c) | 1,728 | 1,645 |
Select Medical Corp. 6.25%, 8/15/2026 (c) | 2,902 | 2,823 |
Service Properties Trust | ||
REIT, 4.35%, 10/1/2024 | 2,935 | 2,813 |
REIT, 7.50%, 9/15/2025 | 529 | 514 |
Silgan Holdings, Inc. 4.13%, 2/1/2028 | 1,799 | 1,589 |
Sirius XM Radio, Inc. | ||
3.13%, 9/1/2026 (c) | 2,579 | 2,313 |
4.00%, 7/15/2028 (c) | 3,316 | 2,820 |
SLM Corp. | ||
4.20%, 10/29/2025 | 977 | 909 |
3.13%, 11/2/2026 | 2,039 | 1,773 |
Sotheby's 7.38%, 10/15/2027 (c) | 1,485 | 1,326 |
Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (c) | 1,050 | 977 |
Spirit AeroSystems, Inc. 7.50%, 4/15/2025 (c) | 2,827 | 2,820 |
Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (c) | 3,010 | 2,220 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (c) | 1,911 | 1,667 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (c) | 3,294 | 3,091 |
Staples, Inc. 7.50%, 4/15/2026 (a) (c) | 3,403 | 2,776 |
Station Casinos LLC 4.50%, 2/15/2028 (c) | 1,991 | 1,719 |
Summit Midstream Holdings LLC 9.00%, 10/15/2026 (c) (g) | 268 | 257 |
Sunoco LP 6.00%, 4/15/2027 | 1,563 | 1,505 |
Tallgrass Energy Partners LP 7.50%, 10/1/2025 (c) | 1,519 | 1,496 |
Talos Production, Inc. 12.00%, 1/15/2026 | 1,531 | 1,591 |
Tampa Electric Co. 3.88%, 7/12/2024 | 468 | 461 |
Taylor Morrison Communities, Inc. | ||
5.88%, 6/15/2027 (c) | 1,249 | 1,171 |
5.75%, 1/15/2028 (c) | 936 | 850 |
TEGNA, Inc. | ||
4.75%, 3/15/2026 (c) | 1,552 | 1,448 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
4.63%, 3/15/2028 | 2,179 | 1,879 |
Teleflex, Inc. 4.25%, 6/1/2028 (c) | 1,421 | 1,254 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 3,086 | 2,958 |
6.25%, 2/1/2027 | 2,791 | 2,676 |
5.13%, 11/1/2027 | 2,989 | 2,759 |
4.63%, 6/15/2028 | 729 | 649 |
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) (c) | 2,233 | 2,064 |
TransDigm, Inc. | ||
6.25%, 3/15/2026 (c) | 2,757 | 2,692 |
7.50%, 3/15/2027 | 3,146 | 3,142 |
5.50%, 11/15/2027 | 2,986 | 2,780 |
6.75%, 8/15/2028 (c) | 2,572 | 2,497 |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (c) | 2,773 | 2,784 |
Travel + Leisure Co. 6.63%, 7/31/2026 (c) | 2,377 | 2,319 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (c) | 1,624 | 1,608 |
Uber Technologies, Inc. | ||
7.50%, 5/15/2025 (c) | 1,869 | 1,871 |
8.00%, 11/1/2026 (c) | 1,844 | 1,857 |
7.50%, 9/15/2027 (c) | 2,726 | 2,733 |
6.25%, 1/15/2028 (c) | 936 | 901 |
United Airlines, Inc. 4.38%, 4/15/2026 (c) | 3,319 | 3,079 |
United Rentals North America, Inc. 3.88%, 11/15/2027 (a) | 2,614 | 2,399 |
United Wholesale Mortgage LLC | ||
5.50%, 11/15/2025 (c) | 2,071 | 1,968 |
5.75%, 6/15/2027 (c) | 1,282 | 1,167 |
Uniti Group LP | ||
REIT, 10.50%, 2/15/2028 (c) | 2,741 | 2,639 |
REIT, 4.75%, 4/15/2028 (c) | 3,034 | 2,452 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (c) | 2,934 | 2,680 |
8.00%, 8/15/2028 (c) | 1,349 | 1,274 |
Urban One, Inc. 7.38%, 2/1/2028 (c) | 1,915 | 1,575 |
US Acute Care Solutions LLC 6.38%, 3/1/2026 (c) | 1,946 | 1,656 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (c) | 768 | 763 |
Venture Global LNG, Inc. 8.13%, 6/1/2028 (c) | 2,816 | 2,734 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 29 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Veritas US, Inc. 7.50%, 9/1/2025 (c) | 1,135 | 929 |
Viasat, Inc. 5.63%, 4/15/2027 (c) | 2,242 | 1,957 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (c) | 135 | 128 |
5.63%, 2/15/2027 (c) | 2,986 | 2,810 |
5.00%, 7/31/2027 (c) | 2,085 | 1,907 |
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (c) | 1,231 | 1,139 |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (c) (h) | 227 | 22 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (c) | 1,890 | 1,889 |
7.25%, 6/15/2028 (c) | 2,795 | 2,777 |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (a) (f) | 823 | 629 |
William Carter Co. (The) 5.63%, 3/15/2027 (c) | 2,163 | 2,049 |
Williams Cos., Inc. (The) 4.50%, 11/15/2023 | 1,150 | 1,149 |
Williams Scotsman, Inc. 6.13%, 6/15/2025 (c) | 737 | 724 |
WR Grace Holdings LLC 4.88%, 6/15/2027 (c) | 1,075 | 966 |
Xerox Holdings Corp. | ||
5.00%, 8/15/2025 (c) | 858 | 789 |
5.50%, 8/15/2028 (c) | 1,218 | 941 |
XHR LP REIT, 6.38%, 8/15/2025 (c) | 538 | 522 |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a) (c) | 3,587 | 2,700 |
567,555 | ||
Total Corporate Bonds (Cost $675,732) | 655,096 | |
Foreign Government Securities — 13.2% | ||
Australia — 0.3% | ||
Commonwealth of Australia | ||
3.25%, 4/21/2025 (b) | AUD2,101 | 1,309 |
2.75%, 11/21/2029 (b) | AUD3,125 | 1,786 |
1.75%, 11/21/2032 (b) | AUD8,055 | 3,939 |
2.75%, 6/21/2035 (b) | AUD726 | 370 |
2.75%, 5/21/2041 (b) | AUD1,373 | 621 |
3.00%, 3/21/2047 (b) | AUD374 | 164 |
1.75%, 6/21/2051 (b) | AUD890 | 274 |
8,463 | ||
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Belgium — 0.4% | ||
Kingdom of Belgium | ||
0.80%, 6/22/2027 (b) | EUR3,755 | 3,676 |
0.90%, 6/22/2029 (b) | EUR1,010 | 951 |
1.00%, 6/22/2031 (b) | EUR1,930 | 1,733 |
3.00%, 6/22/2034 (b) | EUR1,765 | 1,782 |
1.45%, 6/22/2037 (b) | EUR473 | 380 |
1.90%, 6/22/2038 (b) | EUR995 | 830 |
3.75%, 6/22/2045 (b) | EUR575 | 589 |
1.60%, 6/22/2047 (b) | EUR267 | 180 |
1.70%, 6/22/2050 (b) | EUR996 | 656 |
2.15%, 6/22/2066 (b) | EUR652 | 443 |
0.65%, 6/22/2071 (b) | EUR155 | 56 |
11,276 | ||
Canada — 0.6% | ||
Canada Government Bond | ||
0.25%, 3/1/2026 | CAD1,470 | 961 |
1.00%, 9/1/2026 | CAD3,895 | 2,558 |
1.00%, 6/1/2027 | CAD2,715 | 1,753 |
2.25%, 6/1/2029 | CAD2,481 | 1,633 |
0.50%, 12/1/2030 | CAD62 | 35 |
1.50%, 6/1/2031 | CAD560 | 336 |
2.75%, 6/1/2033 | CAD20 | 13 |
4.00%, 6/1/2041 | CAD520 | 374 |
2.75%, 12/1/2048 | CAD403 | 237 |
2.00%, 12/1/2051 | CAD1,964 | 963 |
2.75%, 12/1/2064 | CAD1,027 | 572 |
Province of Alberta 2.90%, 12/1/2028 | CAD410 | 274 |
Province of British Columbia | ||
4.70%, 6/18/2037 | CAD880 | 617 |
2.95%, 6/18/2050 | CAD505 | 259 |
Province of Ontario | ||
2.30%, 9/8/2024 | CAD3,210 | 2,262 |
0.01%, 11/25/2030 (b) | EUR5,800 | 4,788 |
17,635 | ||
Denmark — 0.1% | ||
Kingdom of Denmark | ||
1.75%, 11/15/2025 | DKK2,373 | 327 |
0.50%, 11/15/2027 | DKK3,009 | 389 |
0.50%, 11/15/2029 | DKK4,850 | 599 |
2.25%, 11/15/2033 | DKK1,145 | 151 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Denmark — continued | ||
4.50%, 11/15/2039 | DKK3,192 | 524 |
0.25%, 11/15/2052 | DKK2,400 | 154 |
2,144 | ||
France — 0.7% | ||
French Republic | ||
0.00%, 11/25/2029 (b) | EUR7,975 | 7,022 |
1.50%, 5/25/2031 (b) | EUR460 | 433 |
1.25%, 5/25/2036 (b) | EUR4,102 | 3,320 |
1.75%, 6/25/2039 (b) | EUR2,273 | 1,853 |
3.25%, 5/25/2045 (b) | EUR1,854 | 1,785 |
2.00%, 5/25/2048 (b) | EUR2,810 | 2,088 |
1.50%, 5/25/2050 (b) | EUR3,492 | 2,236 |
0.75%, 5/25/2053 (b) | EUR559 | 266 |
1.75%, 5/25/2066 (b) | EUR851 | 512 |
19,515 | ||
Germany — 0.3% | ||
Bundesrepublik Deutschland | ||
4.00%, 1/4/2037 (b) | EUR3,700 | 4,345 |
2.50%, 7/4/2044 (b) | EUR1,865 | 1,799 |
1.25%, 8/15/2048 (b) | EUR2,920 | 2,131 |
0.00%, 8/15/2050 (b) | EUR2,437 | 1,167 |
1.80%, 8/15/2053 (b) | EUR530 | 422 |
9,864 | ||
Hungary — 0.1% | ||
Hungary Government Bond | ||
0.13%, 9/21/2028 (c) | EUR893 | 741 |
2.13%, 9/22/2031 (c) | 1,158 | 833 |
1,574 | ||
Indonesia — 0.1% | ||
Republic of Indonesia | ||
2.15%, 7/18/2024 (b) | EUR1,120 | 1,164 |
1.30%, 3/23/2034 | EUR902 | 676 |
1,840 | ||
Italy — 1.8% | ||
Buoni Poliennali del Tesoro | ||
1.85%, 7/1/2025 (b) | EUR2,117 | 2,171 |
3.60%, 9/29/2025 (b) | EUR3,540 | 3,731 |
0.00%, 4/1/2026 (b) | EUR1,419 | 1,372 |
0.00%, 8/1/2026 (b) | EUR1,710 | 1,633 |
4.04%, 9/15/2026 (b) | EUR4,110 | 4,537 |
1.25%, 12/1/2026 (b) | EUR1,550 | 1,521 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Italy — continued | ||
3.40%, 4/1/2028 (b) | EUR3,900 | 4,035 |
0.50%, 7/15/2028 (b) | EUR5,630 | 5,080 |
2.80%, 12/1/2028 (b) | EUR8,185 | 8,184 |
3.50%, 3/1/2030 (b) | EUR8,310 | 8,461 |
1.65%, 3/1/2032 (b) | EUR1,583 | 1,353 |
3.35%, 3/1/2035 (b) | EUR250 | 231 |
2.25%, 9/1/2036 (b) | EUR2,632 | 2,093 |
0.95%, 3/1/2037 (b) | EUR960 | 629 |
3.25%, 3/1/2038 (b) | EUR1,413 | 1,232 |
4.75%, 9/1/2044 (b) | EUR122 | 123 |
3.25%, 9/1/2046 (b) | EUR190 | 152 |
2.15%, 3/1/2072 (b) | EUR1 | 1 |
Italian Republic Government Bond 2.38%, 10/17/2024 | 5,381 | 5,196 |
51,735 | ||
Japan — 4.8% | ||
Japan Bank for International Cooperation | ||
4.25%, 1/26/2026 | 4,464 | 4,356 |
1.63%, 1/20/2027 (a) | 674 | 602 |
Japan Government Bond | ||
0.40%, 6/20/2025 | JPY1,825,200 | 12,107 |
0.01%, 3/20/2026 | JPY461,700 | 3,035 |
0.10%, 6/20/2026 | JPY921,300 | 6,065 |
0.10%, 9/20/2026 | JPY147,650 | 971 |
0.01%, 12/20/2026 | JPY635,950 | 4,165 |
0.10%, 9/20/2027 | JPY2,527,100 | 16,534 |
0.10%, 9/20/2028 | JPY367,200 | 2,383 |
0.10%, 6/20/2030 | JPY1,713,300 | 10,917 |
1.80%, 9/20/2030 | JPY711,450 | 5,053 |
0.50%, 3/20/2033 | JPY849,500 | 5,392 |
1.10%, 3/20/2033 | JPY63,650 | 427 |
1.70%, 6/20/2033 | JPY296,150 | 2,091 |
2.40%, 3/20/2034 | JPY1,243,350 | 9,326 |
1.50%, 6/20/2034 | JPY97,250 | 672 |
1.40%, 9/20/2034 | JPY360,650 | 2,465 |
1.20%, 12/20/2034 | JPY292,000 | 1,952 |
1.20%, 3/20/2035 | JPY288,000 | 1,922 |
1.00%, 12/20/2035 | JPY272,000 | 1,762 |
0.40%, 3/20/2036 | JPY271,100 | 1,630 |
0.60%, 9/20/2037 | JPY649,900 | 3,906 |
0.70%, 9/20/2038 | JPY380,900 | 2,283 |
0.50%, 12/20/2038 | JPY138,150 | 799 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 31 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Japan — continued | ||
0.30%, 6/20/2039 | JPY457,750 | 2,540 |
0.30%, 12/20/2039 | JPY1,199,700 | 6,581 |
0.40%, 6/20/2040 | JPY1,064,900 | 5,864 |
1.50%, 3/20/2045 | JPY696,600 | 4,402 |
0.80%, 6/20/2047 | JPY125,700 | 673 |
0.80%, 12/20/2047 | JPY563,100 | 2,997 |
0.70%, 12/20/2048 | JPY663,000 | 3,397 |
0.40%, 9/20/2049 | JPY85,200 | 398 |
0.40%, 12/20/2049 | JPY159,250 | 741 |
0.40%, 3/20/2050 | JPY616,400 | 2,851 |
1.40%, 3/20/2053 | JPY194,450 | 1,150 |
0.40%, 3/20/2056 | JPY331,200 | 1,410 |
0.90%, 3/20/2057 | JPY491,200 | 2,466 |
0.50%, 3/20/2060 | JPY369,600 | 1,557 |
137,842 | ||
Luxembourg — 0.2% | ||
European Financial Stability Facility 3.00%, 12/15/2028 (b) | EUR4,200 | 4,394 |
Mexico — 0.0% ^ | ||
United Mexican States 5.40%, 2/9/2028 | 964 | 946 |
Netherlands — 0.2% | ||
Kingdom of Netherlands | ||
0.00%, 7/15/2030 (b) | EUR1,575 | 1,371 |
2.50%, 1/15/2033 (b) | EUR1,380 | 1,393 |
4.00%, 1/15/2037 (b) | EUR1,110 | 1,260 |
3.75%, 1/15/2042 (b) | EUR377 | 419 |
2.75%, 1/15/2047 (b) | EUR1,030 | 986 |
0.00%, 1/15/2052 (b) | EUR665 | 287 |
2.00%, 1/15/2054 (b) | EUR235 | 186 |
5,902 | ||
Peru — 0.0% ^ | ||
Republic of Peru 1.86%, 12/1/2032 | 487 | 343 |
Philippines — 0.0% ^ | ||
Republic of Philippines 0.25%, 4/28/2025 | EUR1,303 | 1,290 |
Romania — 0.0% ^ | ||
Romania Government Bond 2.00%, 4/14/2033 (c) | EUR1,470 | 1,063 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Saudi Arabia — 0.1% | ||
Kingdom of Saudi Arabia | ||
4.75%, 1/18/2028 (c) | 2,350 | 2,273 |
2.25%, 2/2/2033 (c) | 914 | 687 |
2,960 | ||
South Korea — 0.6% | ||
Export-Import Bank of Korea | ||
0.00%, 10/19/2024 (b) | EUR10,060 | 10,212 |
0.75%, 9/21/2025 | 4,217 | 3,858 |
4.88%, 1/11/2026 | 1,394 | 1,373 |
Republic of Korea 0.00%, 9/16/2025 | EUR1,276 | 1,254 |
16,697 | ||
Spain — 1.5% | ||
Bonos and Obligaciones del Estado | ||
2.80%, 5/31/2026 | EUR3,285 | 3,430 |
1.30%, 10/31/2026 (b) | EUR2,710 | 2,706 |
1.50%, 4/30/2027 (b) | EUR7,646 | 7,614 |
1.40%, 7/30/2028 (b) | EUR1,163 | 1,127 |
5.75%, 7/30/2032 | EUR3,620 | 4,407 |
2.55%, 10/31/2032 (b) | EUR4,803 | 4,621 |
3.15%, 4/30/2033 (b) | EUR8,217 | 8,237 |
2.35%, 7/30/2033 (b) | EUR1,420 | 1,324 |
3.90%, 7/30/2039 (b) | EUR1,890 | 1,909 |
4.70%, 7/30/2041 (b) | EUR3,819 | 4,230 |
1.00%, 7/30/2042 (b) | EUR637 | 388 |
2.90%, 10/31/2046 (b) | EUR552 | 456 |
2.70%, 10/31/2048 (b) | EUR771 | 601 |
1.00%, 10/31/2050 (b) | EUR1,071 | 525 |
1.90%, 10/31/2052 (b) | EUR1,040 | 636 |
3.45%, 7/30/2066 (b) | EUR446 | 368 |
1.45%, 10/31/2071 (b) | EUR170 | 72 |
42,651 | ||
Sweden — 0.1% | ||
Kingdom of Sweden | ||
1.00%, 11/12/2026 (b) | SEK5,010 | 421 |
0.75%, 5/12/2028 (b) | SEK1,985 | 161 |
0.75%, 11/12/2029 (b) | SEK5,915 | 467 |
3.50%, 3/30/2039 (b) | SEK2,505 | 237 |
0.50%, 11/24/2045 (b) | SEK470 | 25 |
1,311 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
United Kingdom — 1.3% | ||
United Kingdom of Great Britain and Northern Ireland | ||
4.50%, 6/7/2028 (b) | GBP3,315 | 4,036 |
1.63%, 10/22/2028 (b) | GBP2,250 | 2,412 |
0.50%, 1/31/2029 (b) | GBP5,430 | 5,406 |
1.00%, 1/31/2032 (b) | GBP3,360 | 3,121 |
4.25%, 6/7/2032 (b) | GBP240 | 288 |
0.88%, 7/31/2033 (b) | GBP340 | 295 |
0.63%, 7/31/2035 (b) | GBP1,422 | 1,104 |
1.75%, 9/7/2037 (b) | GBP1,473 | 1,244 |
4.75%, 12/7/2038 (b) | GBP883 | 1,065 |
1.13%, 1/31/2039 (b) | GBP716 | 523 |
4.25%, 12/7/2040 (b) | GBP1,059 | 1,191 |
1.25%, 10/22/2041 (b) | GBP1,590 | 1,096 |
4.50%, 12/7/2042 (b) | GBP1,150 | 1,321 |
3.25%, 1/22/2044 (b) | GBP985 | 936 |
3.50%, 1/22/2045 (b) | GBP1,528 | 1,497 |
0.88%, 1/31/2046 (b) | GBP1,897 | 1,046 |
4.25%, 12/7/2046 (b) | GBP965 | 1,054 |
1.50%, 7/22/2047 (b) | GBP1,652 | 1,043 |
1.75%, 1/22/2049 (b) | GBP1,424 | 936 |
4.25%, 12/7/2049 (b) | GBP147 | 159 |
0.63%, 10/22/2050 (b) | GBP1,514 | 665 |
1.25%, 7/31/2051 (b) | GBP938 | 508 |
3.75%, 7/22/2052 (b) | GBP488 | 484 |
1.50%, 7/31/2053 (b) | GBP525 | 298 |
3.75%, 10/22/2053 (b) | GBP2,120 | 2,086 |
4.25%, 12/7/2055 (b) | GBP386 | 418 |
1.75%, 7/22/2057 (b) | GBP649 | 384 |
4.00%, 1/22/2060 (b) | GBP575 | 595 |
0.50%, 10/22/2061 (b) | GBP1,100 | 353 |
2.50%, 7/22/2065 (b) | GBP992 | 708 |
3.50%, 7/22/2068 (b) | GBP413 | 383 |
1.63%, 10/22/2071 (b) | GBP1,104 | 566 |
1.13%, 10/22/2073 (b) | GBP105 | 42 |
37,263 | ||
Total Foreign Government Securities (Cost $441,694) | 376,708 | |
Asset-Backed Securities — 5.4% | ||
Cayman Islands — 5.3% | ||
AIMCO CLO Ltd. Series 2019-10A, Class AR, 6.73%, 7/22/2032 (c) (i) | 2,120 | 2,108 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Cayman Islands — continued | ||
Apidos CLO Series 2019-31A, Class A1R, 6.76%, 4/15/2031 (c) (i) | 3,500 | 3,492 |
Ares CLO Ltd. | ||
Series 2016-40A, Class A1RR, 6.53%, 1/15/2029 (c) (i) | 448 | 446 |
Series 2016-39A, Class A1R2, 6.71%, 4/18/2031 (c) (i) | 1,400 | 1,396 |
Benefit Street Partners CLO Ltd. Series 2019-18A, Class A1R, 6.83%, 10/15/2034 (c) (i) | 1,700 | 1,688 |
Carlyle Global Market Strategies CLO Ltd. Series 2015-4A, Class A1R, 7.02%, 7/20/2032 (c) (i) | 3,520 | 3,509 |
CIFC Funding Ltd. | ||
Series 2017-5A, Class A1, 6.84%, 11/16/2030 (c) (i) | 3,201 | 3,197 |
Series 2014-5A, Class A1R2, 6.86%, 10/17/2031 (c) (i) | 2,180 | 2,178 |
Series 2021-4A, Class A, 6.71%, 7/15/2033 (c) (i) | 3,575 | 3,554 |
Dryden CLO Ltd. | ||
Series 2020-83A, Class A, 6.88%, 1/18/2032 (c) (i) | 3,620 | 3,617 |
Series 2019-72A, Class AR, 6.71%, 5/15/2032 (c) (i) | 2,430 | 2,417 |
Series 2019-68A, Class AR, 6.83%, 7/15/2035 (c) (i) | 9,400 | 9,324 |
Dryden Senior Loan Fund | ||
Series 2013-30A, Class AR, 6.45%, 11/15/2028 (c) (i) | 588 | 586 |
Series 2013-26A, Class AR, 6.56%, 4/15/2029 (c) (i) | 2,894 | 2,884 |
Series 2016-43A, Class AR2, 6.72%, 4/20/2034 (c) (i) | 6,500 | 6,429 |
Elmwood CLO Ltd. | ||
Series 2020-1A, Class A, 6.90%, 4/15/2033 (c) (i) | 3,950 | 3,942 |
Series 2021-3A, Class A, 6.72%, 10/20/2034 (c) (i) | 8,900 | 8,846 |
Flatiron CLO Ltd. Series 2019-1A, Class AR, 6.71%, 11/16/2034 (c) (i) | 1,500 | 1,494 |
Galaxy CLO Ltd. | ||
Series 2017-24A, Class A, 6.78%, 1/15/2031 (c) (i) | 7,075 | 7,071 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 33 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Cayman Islands — continued | ||
Series 2018-27A, Class A, 6.65%, 5/16/2031 (c) (i) | 4,287 | 4,276 |
KKR CLO Ltd. Series 32A, Class A1, 6.98%, 1/15/2032 (c) (i) | 3,910 | 3,900 |
KKR Financial CLO Ltd. Series 2013-1A, Class A1R, 6.95%, 4/15/2029 (c) (i) | 3,256 | 3,248 |
LCM Ltd. | ||
Series 26A, Class A1, 6.75%, 1/20/2031 (c) (i) | 4,034 | 4,020 |
Series 29A, Class AR, 6.73%, 4/15/2031 (c) (i) | 5,500 | 5,454 |
Madison Park Funding Ltd. | ||
Series 2017-26A, Class AR, 6.85%, 7/29/2030 (c) (i) | 579 | 578 |
Series 2018-32A, Class A1R, 6.67%, 1/22/2031 (c) (i) | 2,200 | 2,189 |
Series 2019-34A, Class AR, 6.76%, 4/25/2032 (c) (i) | 7,000 | 6,972 |
Series 2019-33A, Class AR, 6.68%, 10/15/2032 (c) (i) | 4,000 | 3,979 |
Series 2019-37A, Class AR, 6.73%, 7/15/2033 (c) (i) | 3,000 | 2,981 |
Magnetite Ltd. Series 2019-22A, Class AR, 6.72%, 4/15/2031 (c) (i) | 1,300 | 1,295 |
Neuberger Berman CLO Ltd. Series 2014-17A, Class AR2, 6.70%, 4/22/2029 (c) (i) | 4,166 | 4,154 |
Neuberger Berman Loan Advisers CLO Ltd. | ||
Series 2017-26A, Class AR, 6.58%, 10/18/2030 (c) (i) | 1,438 | 1,431 |
Series 2020-36A, Class A1R, 6.93%, 4/20/2033 (c) (i) | 3,620 | 3,607 |
Series 2019-34A, Class A1R, 6.66%, 1/20/2035 (c) (i) | 5,750 | 5,704 |
OCP CLO Ltd. Series 2015-9A, Class A1R2, 6.64%, 1/15/2033 (c) (i) | 9,800 | 9,672 |
OHA Credit Partners Ltd. Series 2012-7A, Class AR3, 6.71%, 2/20/2034 (c) (i) | 3,400 | 3,378 |
Palmer Square CLO Ltd. | ||
Series 2014-1A, Class A1R2, 6.79%, 1/17/2031 (c) (i) | 3,086 | 3,080 |
Series 2018-2A, Class A1A, 6.76%, 7/16/2031 (c) (i) | 5,370 | 5,353 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Cayman Islands — continued | ||
Palmer Square Loan Funding Ltd. Series 2022-1A, Class A1, 6.44%, 4/15/2030 (c) (i) | 1,474 | 1,465 |
Stratus CLO Ltd. Series 2021-3A, Class A, 6.63%, 12/29/2029 (c) (i) | 1,172 | 1,168 |
Symphony CLO Ltd. Series 2018-19A, Class A, 6.62%, 4/16/2031 (c) (i) | 2,338 | 2,329 |
Voya CLO Ltd. Series 2020-2A, Class A1R, 6.82%, 7/19/2034 (c) (i) | 5,233 | 5,201 |
153,612 | ||
United States — 0.1% | ||
Greenwood Park CLO Ltd. Series 2018-1A, Class A2, 6.67%, 4/15/2031 (c) (i) | 2,067 | 2,058 |
Total Asset-Backed Securities (Cost $155,715) | 155,670 | |
SHARES (000) | ||
Investment Companies — 3.5% | ||
United States — 3.5% | ||
JPMorgan Income Fund, Class R6 Shares (j)(Cost $112,527) | 12,541 | 100,074 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | |
U.S. Treasury Obligations — 1.2% | ||
U.S. Treasury Notes 0.88%, 1/31/2024 (k)(Cost $34,336) | 34,660 | 34,273 |
Supranational — 0.4% | ||
Asian Development Bank, 3.40%, 9/10/2027 (b) | AUD3,030 | 1,811 |
European Investment Bank, 2.25%, 3/15/2030 (b) | EUR3,120 | 3,115 |
European Union, 0.00%, 10/4/2028 (b) | EUR7,300 | 6,606 |
Inter-American Development Bank | ||
1.70%, 10/10/2024 | CAD800 | 559 |
4.40%, 1/26/2026 | CAD614 | 438 |
Total Supranational (Cost $13,423) | 12,529 | |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Exchange-Traded Funds — 0.3% | ||
United States — 0.3% | ||
iShares MSCI India ETF(Cost $5,199) | 197 | 8,521 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | |
Loan Assignments — 0.0% ‡ (f) (l) ^ | ||
United States — 0.0% ^ | ||
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 0.00%, 5/16/2024 (h) | 16 | 2 |
Moran Foods LLC, 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 7.25%), 12.74%, 6/30/2026 | 619 | 502 |
(3-MONTH CME TERM SOFR + 7.25%), 12.74%, 6/30/2026 | 153 | 119 |
Moran Foods LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 11.50%), 12.74%, 6/30/2026 | 279 | 191 |
Total Loan Assignments (Cost $895) | 814 | |
SHARES (000) | ||
Convertible Preferred Stocks — 0.0% ^ | ||
United States — 0.0% ^ | ||
Claire's Stores, Inc. ‡ *(Cost $72) | — | 590 |
PRINCIPAL AMOUNT ($000) | ||
Commercial Mortgage-Backed Securities — 0.0% ^ | ||
United States — 0.0% ^ | ||
GNMA Series 2021-170, IO, 0.99%, 5/16/2063 (i) | 1,876 | 131 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-2, Class M2, 4.51%, 10/26/2048 (c) (i) | 143 | 121 |
Series 2018-2, Class M3, 4.72%, 10/26/2048 (c) (i) | 209 | 169 |
Total Commercial Mortgage-Backed Securities (Cost $501) | 421 | |
SHARES (000) | ||
Preferred Stocks — 0.0% ^ | ||
United States — 0.0% ^ | ||
Goodman Networks, Inc. ‡ * | 3 | — (d) |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | 40 | 26 |
Total Preferred Stocks (Cost $49) | 26 | |
NO. OF RIGHTS (000) | ||
Rights — 0.0% ^ | ||
United States — 0.0% ^ | ||
Vistra Corp., expiring 12/31/2049 ‡ *(Cost $—) (d) | 17 | 22 |
NO. OF WARRANTS (000) | ||
Warrants — 0.0% ^ | ||
United Kingdom — 0.0% ^ | ||
Nmg Research Ltd., expiring 9/24/2027, price 1.00 USD ‡ *(Cost $—) | 1 | 15 |
PRINCIPAL AMOUNT ($000) | ||
Collateralized Mortgage Obligations — 0.0% ^ | ||
United States — 0.0% ^ | ||
CHL Mortgage Pass-Through Trust | ||
Series 2005-31, Class 2A1, 3.27%, 1/25/2036 (i) | — | — |
Series 2006-21, Class A14, 6.00%, 2/25/2037 | — | — |
Series 2007-10, Class A4, 5.50%, 7/25/2037 | — | — |
Deutsche Alt-A Securities Mortgage Loan Trust | ||
Series 2006-AF1, Class A4, 6.04%, 4/25/2036 (i) | — | — |
Series 2007-3, Class 2A1, 6.19%, 10/25/2047 (i) | — | — |
HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 5.81%, 1/25/2047 (i) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 35 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
JPMorgan Mortgage Trust Series 2005-A8, Class 2A3, 5.01%, 11/25/2035 (i) | — | — |
Total Collateralized Mortgage Obligations (Cost $—) | — | |
Short-Term Investments — 6.1% | ||
Certificates of Deposits — 0.2% | ||
Mizuho Bank Ltd., 5.80%, 2/29/2024 | 1,550 | 1,550 |
Norinchukin Bank (The), 5.71%, 1/17/2024 | 2,300 | 2,300 |
Total Certificates of Deposits (Cost $3,850) | 3,850 | |
Commercial Paper — 2.9% | ||
Australia & New Zealand Banking Group Ltd., 5.79%, 3/4/2024 (m) | 2,600 | 2,550 |
Avery Dennison Corp., 5.73%, 12/14/2023 (m) | 1,300 | 1,291 |
BofA Securities, Inc., 6.03%, 7/19/2024 (m) | 1,400 | 1,342 |
BPCE SA, 5.87%, 4/15/2024 (m) | 2,600 | 2,532 |
Cigna Group (The), 5.73%, 1/3/2024 (m) | 3,150 | 3,119 |
Citigroup Global Markets, Inc., 6.02%, 9/25/2024 (c) | 2,000 | 1,897 |
Clorox Co. (The), 5.68%, 12/15/2023 (m) | 950 | 943 |
Coca-Cola Co. (The), 5.55%, 7/17/2024 (m) | 2,600 | 2,500 |
Commonwealth Bank of Australia | ||
5.93%, 7/22/2024 (m) | 1,460 | 1,400 |
5.82%, 7/29/2024 (m) | 3,150 | 3,017 |
Credit Industriel et Commercial, 5.74%, 2/9/2024 (m) | 4,200 | 4,135 |
Dexia Credit Local SA, 5.77%, 3/25/2024 (c) (m) | 2,050 | 2,004 |
DNB Bank ASA, 5.84%, 8/6/2024 (m) | 4,200 | 4,017 |
FMS Wertmanagement, 5.68%, 5/10/2024 (m) | 8,400 | 8,152 |
ING US Funding LLC, 5.85%, 6/14/2024 (m) | 1,500 | 1,447 |
Lloyds Bank plc, 5.83%, 4/1/2024 (m) | 4,100 | 4,001 |
LMA-Americas LLC, 5.82%, 4/2/2024 (m) | 2,050 | 2,001 |
LSEGA Financing plc, 5.62%, 11/28/2023 (m) | 1,000 | 996 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Paper — continued | ||
LVMH Moet Hennessy Louis Vuitton SE, 5.76%, 4/18/2024 (m) | 2,600 | 2,532 |
Macquarie Bank Ltd., 5.93%, 5/17/2024 (m) | 2,665 | 2,581 |
Macquarie International Finance Ltd., 5.94%, 5/3/2024 (m) | 1,442 | 1,400 |
MUFG Bank Ltd., 5.82%, 1/19/2024 (m) | 1,240 | 1,225 |
National Bank of Canada, 5.81%, 2/26/2024 (m) | 1,981 | 1,945 |
NatWest Markets plc, 6.00%, 7/22/2024 (c) (m) | 1,105 | 1,058 |
Nutrien Ltd., 5.78%, 12/14/2023 (m) | 1,650 | 1,639 |
Ontario Teachers' Finance Trust, 5.82%, 5/6/2024 (c) (m) | 3,900 | 3,787 |
PSP Capital, Inc., 5.61%, 4/10/2024 (c) (m) | 4,200 | 4,095 |
Societe Generale SA, 5.58%, 11/10/2023 (m) | 2,600 | 2,596 |
Standard Chartered Bank, 5.93%, 7/15/2024 (m) | 2,600 | 2,494 |
Svenska Handelsbanken AB, 5.76%, 6/18/2024 (m) | 4,200 | 4,048 |
TELUS Corp., 5.90%, 2/26/2024 (m) | 945 | 927 |
Thunder Bay Funding LLC, 5.75%, 2/27/2024 (m) | 3,150 | 3,092 |
Westpac Banking Corp., 5.93%, 9/6/2024 (m) | 1,165 | 1,109 |
Total Commercial Paper (Cost $81,902) | 81,872 | |
Foreign Government Treasury Bills — 0.0% ^ | ||
Republic of Italy, 68.02%, 11/30/2023 (m) (Cost $231) | EUR220 | 232 |
SHARES (000) | ||
Investment Companies — 2.2% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (j) (n) (Cost $63,954) | 63,945 | 63,971 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Investment of Cash Collateral from Securities Loaned — 0.8% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (j) (n) | 20,755 | 20,759 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (j) (n) | 2,901 | 2,901 |
Total Investment of Cash Collateral from Securities Loaned (Cost $23,658) | 23,660 | |
Total Short-Term Investments (Cost $173,595) | 173,585 | |
Total Investments — 100.1% (Cost $2,682,734) | 2,867,314 | |
Liabilities in Excess of Other Assets — (0.1)% | (2,153 ) | |
NET ASSETS — 100.0% | 2,865,161 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ADR | American Depositary Receipt |
APAC | Asia Pacific |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest |
CIFC | Commercial Industrial Finance Corp. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
CVA | Certificaten Van Aandelen (Dutch Certificate) |
DKK | Danish Krone |
ETF | Exchange Traded Fund |
EUR | Euro |
GBP | British Pound |
GDR | Global Depositary Receipt |
GNMA | Government National Mortgage Association |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
JPY | Japanese Yen |
OYJ | Public Limited Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
PT | Limited liability company |
REIT | Real Estate Investment Trust |
SCA | Limited partnership with share capital |
SEK | Swedish Krona |
SGPS | Holding company |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $22,612. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Value is zero. | |
(e) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $2,335. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of October 31, 2023. | |
(g) | 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 October 31, 2023. | |
(h) | Defaulted security. | |
(i) | 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 October 31, 2023. | |
(j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(k) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(l) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 37 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
(m) | The rate shown is the effective yield as of October 31, 2023. | |
(n) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Foreign Government Securities | 13.1 % |
Asset-Backed Securities | 5.4 |
Banks | 5.3 |
Oil, Gas & Consumable Fuels | 4.7 |
Semiconductors & Semiconductor Equipment | 4.1 |
Hotels, Restaurants & Leisure | 4.1 |
Software | 3.8 |
Fixed Income | 3.5 |
Capital Markets | 3.1 |
Insurance | 2.7 |
Health Care Providers & Services | 2.7 |
Pharmaceuticals | 2.4 |
Broadline Retail | 2.1 |
Media | 2.0 |
Technology Hardware, Storage & Peripherals | 1.9 |
Financial Services | 1.8 |
Interactive Media & Services | 1.7 |
Chemicals | 1.3 |
Aerospace & Defense | 1.3 |
Electric Utilities | 1.2 |
Specialty Retail | 1.2 |
Ground Transportation | 1.2 |
U.S. Treasury Notes | 1.2 |
Biotechnology | 1.2 |
Beverages | 1.1 |
Consumer Staples Distribution & Retail | 1.1 |
Containers & Packaging | 1.0 |
Machinery | 1.0 |
Others (each less than 1.0%) | 16.7 |
Short-Term Investments | 6.1 |
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.
38 | J.P. Morgan Funds | October 31, 2023 |
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-BTP | 45 | 12/07/2023 | EUR | 5,248 | (230 ) |
Euro-Bund | 12 | 12/07/2023 | EUR | 1,634 | 3 |
Euro-OAT | 71 | 12/07/2023 | EUR | 9,238 | (290 ) |
Japan 10 Year Bond | 2 | 12/13/2023 | JPY | 1,897 | (5 ) |
S&P / TSX 60 Index | 128 | 12/14/2023 | CAD | 20,945 | (1,491 ) |
Australia 3 Year Bond | 20 | 12/15/2023 | AUD | 1,324 | (24 ) |
Australia 10 Year Bond | 60 | 12/15/2023 | AUD | 4,120 | (121 ) |
MSCI EAFE E-Mini Index | 10 | 12/15/2023 | USD | 987 | (54 ) |
MSCI Emerging Markets E-Mini Index | 533 | 12/15/2023 | USD | 24,486 | (1,837 ) |
S&P 500 E-Mini Index | 1,650 | 12/15/2023 | USD | 347,469 | (25,535 ) |
Canada 10 Year Bond | 33 | 12/18/2023 | CAD | 2,734 | (10 ) |
Foreign Exchange EUR / USD | 66 | 12/18/2023 | USD | 8,746 | (151 ) |
U.S. Treasury 10 Year Note | 4,365 | 12/19/2023 | USD | 462,895 | (17,362 ) |
U.S. Treasury Long Bond | 39 | 12/19/2023 | USD | 4,249 | (169 ) |
Long Gilt | 2 | 12/27/2023 | GBP | 227 | — (a) |
3 Month SOFR | 210 | 03/19/2024 | USD | 49,644 | 19 |
3 Month SONIA | 25 | 03/19/2024 | GBP | 7,194 | 7 |
ASX 90 Day Bank Accepted Bill | 109 | 12/12/2024 | AUD | 68,355 | (91 ) |
3 Month Euro Euribor | 134 | 06/16/2025 | EUR | 34,427 | 46 |
3 Month SONIA | 28 | 06/17/2025 | GBP | 8,122 | 27 |
3 Month Euro Euribor | 130 | 09/15/2025 | EUR | 33,415 | 81 |
3 Month Euro Euribor | 95 | 12/15/2025 | EUR | 24,421 | (23 ) |
(47,210 ) | |||||
Short Contracts | |||||
ASX 90 Day Bank Accepted Bill | (101 ) | 12/07/2023 | AUD | (63,378 ) | 25 |
Euro-Bobl | (15 ) | 12/07/2023 | EUR | (1,844 ) | 17 |
Euro-Buxl 30 Year Bond | (7 ) | 12/07/2023 | EUR | (885 ) | (1 ) |
Euro-Schatz | (9 ) | 12/07/2023 | EUR | (1,001 ) | (2 ) |
MSCI EAFE E-Mini Index | (871 ) | 12/15/2023 | USD | (85,968 ) | 4,691 |
Foreign Exchange GBP / USD | (222 ) | 12/18/2023 | USD | (16,868 ) | 401 |
Foreign Exchange JPY / USD | (258 ) | 12/18/2023 | USD | (21,438 ) | 794 |
U.S. Treasury 10 Year Note | (60 ) | 12/19/2023 | USD | (6,363 ) | 27 |
U.S. Treasury 10 Year Ultra Note | (438 ) | 12/19/2023 | USD | (47,550 ) | 1,115 |
U.S. Treasury Ultra Bond | (147 ) | 12/19/2023 | USD | (16,409 ) | 831 |
U.S. Treasury 2 Year Note | (84 ) | 12/29/2023 | USD | (17,007 ) | 94 |
U.S. Treasury 5 Year Note | (125 ) | 12/29/2023 | USD | (13,058 ) | 176 |
3 Month Euro Euribor | (130 ) | 09/16/2024 | EUR | (33,228 ) | (79 ) |
3 Month SOFR | (207 ) | 09/17/2024 | USD | (49,077 ) | (13 ) |
3 Month Euro Euribor | (134 ) | 12/16/2024 | EUR | (34,328 ) | (51 ) |
3 Month SOFR | (37 ) | 06/17/2025 | USD | (8,844 ) | 24 |
8,049 | |||||
(39,161 ) |
Abbreviations | |
ASX | Australian Securities Exchange |
AUD | Australian Dollar |
CAD | Canadian Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 39 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
EAFE | Europe, Australasia and Far East |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
MSCI | Morgan Stanley Capital International |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
TSX | Toronto Stock Exchange |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
Forward foreign currency exchange contracts outstanding as of October 31, 2023 (amounts in thousands):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
EUR | 1,516 | USD | 1,591 | Morgan Stanley | 11/3/2023 | 13 |
USD | 3,324 | CAD | 4,599 | BNP Paribas | 11/3/2023 | 8 |
USD | 705 | CAD | 971 | Royal Bank of Canada | 11/3/2023 | 5 |
USD | 18,579 | EUR | 17,461 | Morgan Stanley | 11/3/2023 | 102 |
USD | 5,945 | GBP | 4,846 | HSBC Bank, NA | 11/3/2023 | 54 |
USD | 414 | SEK | 4,483 | Citibank, NA | 11/3/2023 | 12 |
USD | 26,367 | JPY | 3,969,916 | HSBC Bank, NA | 11/6/2023 | 160 |
USD | 2,483 | JPY | 369,613 | Morgan Stanley | 11/6/2023 | 43 |
USD | 7,096 | GBP | 5,822 | HSBC Bank, NA | 12/5/2023 | 18 |
USD | 792 | GBP | 649 | State Street Corp. | 12/5/2023 | 2 |
USD | 1,017 | JPY | 153,204 | Standard Chartered Bank | 12/5/2023 | 1 |
USD | 405 | SEK | 4,483 | State Street Corp. | 12/5/2023 | 2 |
Total unrealized appreciation | 420 | |||||
AUD | 3,758 | USD | 2,439 | HSBC Bank, NA | 11/3/2023 | (56 ) |
CAD | 1,972 | USD | 1,469 | BNP Paribas | 11/3/2023 | (47 ) |
CAD | 3,598 | USD | 2,647 | Morgan Stanley | 11/3/2023 | (52 ) |
EUR | 16,176 | USD | 17,179 | BNP Paribas | 11/3/2023 | (63 ) |
EUR | 770 | USD | 816 | Citibank, NA | 11/3/2023 | (2 ) |
GBP | 5,822 | USD | 7,095 | HSBC Bank, NA | 11/3/2023 | (19 ) |
USD | 1,054 | EUR | 1,000 | Citibank, NA | 11/3/2023 | (4 ) |
USD | 1,179 | GBP | 975 | State Street Corp. | 11/3/2023 | (6 ) |
GBP | 649 | USD | 792 | State Street Corp. | 11/6/2023 | (2 ) |
JPY | 117,679 | GBP | 649 | Citibank, NA | 11/6/2023 | (13 ) |
JPY | 3,399,632 | USD | 22,941 | BNP Paribas | 11/6/2023 | (499 ) |
JPY | 538,957 | USD | 3,601 | Goldman Sachs International | 11/6/2023 | (43 ) |
JPY | 283,260 | USD | 1,913 | State Street Corp. | 11/6/2023 | (43 ) |
AUD | 3,758 | USD | 2,395 | Barclays Bank plc | 12/5/2023 | (8 ) |
CAD | 4,599 | USD | 3,326 | BNP Paribas | 12/5/2023 | (8 ) |
EUR | 2,000 | USD | 2,120 | HSBC Bank, NA | 12/5/2023 | — |
EUR | 17,462 | USD | 18,603 | Morgan Stanley | 12/5/2023 | (100 ) |
JPY | 165,771 | EUR | 1,040 | Citibank, NA | 12/5/2023 | (2 ) |
JPY | 3,969,916 | USD | 26,489 | HSBC Bank, NA | 12/5/2023 | (151 ) |
USD | 4,164 | EUR | 3,937 | Citibank, NA | 12/5/2023 | (8 ) |
USD | 2,051 | GBP | 1,692 | State Street Corp. | 12/5/2023 | (5 ) |
Total unrealized depreciation | (1,131 ) | |||||
Net unrealized depreciation | (711 ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. Morgan Funds | October 31, 2023 |
Abbreviations | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
SEK | Swedish Krona |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 41 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 38.4% | ||
Australia — 0.7% | ||
AGL Energy Ltd. | 1,161 | 7,936 |
APA Group | 428 | 2,244 |
Atlas Arteria Ltd. | 611 | 2,064 |
Bendigo & Adelaide Bank Ltd. | 407 | 2,257 |
BHP Group Ltd. | 137 | 3,903 |
CSR Ltd. | 598 | 2,137 |
Glencore plc | 977 | 5,174 |
Insignia Financial Ltd. | 747 | 983 |
Origin Energy Ltd. | 436 | 2,527 |
Rio Tinto Ltd. | 85 | 6,366 |
Rio Tinto plc | 209 | 13,337 |
Sonic Healthcare Ltd. | 137 | 2,507 |
Telstra Group Ltd. | 1,031 | 2,500 |
Transurban Group | 279 | 2,102 |
Woodside Energy Group Ltd. | 210 | 4,583 |
Woolworths Group Ltd. | 155 | 3,460 |
64,080 | ||
Austria — 0.1% | ||
ANDRITZ AG | 50 | 2,313 |
Erste Group Bank AG | 95 | 3,396 |
OMV AG | 88 | 3,871 |
Verbund AG | 10 | 853 |
10,433 | ||
Belgium — 0.1% | ||
Ageas SA | 74 | 2,841 |
Euronav NV | 85 | 1,515 |
KBC Group NV | 26 | 1,406 |
Proximus SADP | 319 | 2,646 |
8,408 | ||
Brazil — 0.3% | ||
B3 SA - Brasil Bolsa Balcao | 2,016 | 4,458 |
Banco do Brasil SA | 800 | 7,676 |
Itau Unibanco Holding SA (Preference) | 1,691 | 8,995 |
TIM SA | 1,813 | 5,461 |
Yara International ASA | 33 | 1,095 |
27,685 | ||
Canada — 1.8% | ||
Agnico Eagle Mines Ltd. | 85 | 3,977 |
Algonquin Power & Utilities Corp. | 224 | 1,130 |
AltaGas Ltd. (a) | 113 | 2,098 |
Atco Ltd., Class I | 82 | 2,112 |
Bank of Nova Scotia (The) | 131 | 5,288 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Canada — continued | ||
Barrick Gold Corp. | 324 | 5,183 |
BCE, Inc. | 217 | 8,058 |
Canadian Imperial Bank of Commerce | 130 | 4,569 |
Canadian Natural Resources Ltd. | 52 | 3,288 |
Canadian Tire Corp. Ltd., Class A | 24 | 2,296 |
Canadian Utilities Ltd., Class A | 103 | 2,172 |
Capital Power Corp. | 79 | 2,031 |
Chartwell Retirement Residences | 201 | 1,473 |
Emera, Inc. | 67 | 2,187 |
Enbridge, Inc. | 253 | 8,114 |
Fortis, Inc. (a) | 236 | 9,364 |
Gibson Energy, Inc. | 155 | 2,352 |
Great-West Lifeco, Inc. (a) | 251 | 6,946 |
Hydro One Ltd. (b) | 257 | 6,652 |
IGM Financial, Inc. | 100 | 2,250 |
Keyera Corp. (a) | 122 | 2,848 |
Manulife Financial Corp. (a) | 386 | 6,718 |
Northland Power, Inc. | 134 | 1,885 |
Nutrien Ltd. | 85 | 4,568 |
Pembina Pipeline Corp. | 292 | 8,975 |
Power Corp. of Canada (a) | 263 | 6,339 |
Restaurant Brands International, Inc. (a) | 97 | 6,516 |
Sienna Senior Living, Inc. | 121 | 876 |
Superior Plus Corp. | 262 | 1,762 |
TC Energy Corp. | 206 | 7,086 |
Teekay Tankers Ltd., Class A | 38 | 1,900 |
TELUS Corp. | 496 | 8,002 |
Toronto-Dominion Bank (The) | 142 | 7,915 |
Tourmaline Oil Corp. | 145 | 7,692 |
154,622 | ||
Chile — 0.1% | ||
Banco Santander Chile, ADR | 282 | 4,899 |
China — 2.1% | ||
China Construction Bank Corp., Class H | 16,122 | 9,118 |
China Merchants Bank Co. Ltd., Class H | 2,157 | 8,180 |
China Overseas Land & Investment Ltd. | 512 | 965 |
China Petroleum & Chemical Corp., Class H | 12,810 | 6,552 |
China Resources Gas Group Ltd. | 1,333 | 3,941 |
China Resources Land Ltd. | 1,418 | 5,308 |
China Yangtze Power Co. Ltd., Class A | 1,828 | 5,621 |
ENN Energy Holdings Ltd. | 313 | 2,370 |
Fuyao Glass Industry Group Co. Ltd., Class A | 383 | 1,942 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
China — continued | ||
Fuyao Glass Industry Group Co. Ltd., Class H (b) | 1,614 | 7,357 |
Guangdong Investment Ltd. | 2,518 | 1,718 |
Haier Smart Home Co. Ltd., Class A | 376 | 1,139 |
Haier Smart Home Co. Ltd., Class H | 4,231 | 12,067 |
Huayu Automotive Systems Co. Ltd., Class A | 2,171 | 5,191 |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 4,199 | 15,688 |
JD.com, Inc., Class A | 538 | 6,846 |
Joyoung Co. Ltd., Class A | 978 | 1,780 |
Lenovo Group Ltd. | 2,500 | 2,909 |
Midea Group Co. Ltd., Class A | 1,130 | 8,150 |
NetEase, Inc. | 844 | 18,059 |
NXP Semiconductors NV | 70 | 12,124 |
Ping An Insurance Group Co. of China Ltd., Class H | 1,599 | 8,108 |
Shenzhou International Group Holdings Ltd. | 620 | 6,090 |
Tingyi Cayman Islands Holding Corp. | 4,726 | 6,269 |
Topsports International Holdings Ltd. (b) | 3,346 | 2,814 |
Wuliangye Yibin Co. Ltd., Class A | 413 | 8,764 |
Xinyi Glass Holdings Ltd. | 2,892 | 3,323 |
Zhejiang Supor Co. Ltd., Class A | 474 | 3,241 |
175,634 | ||
Denmark — 0.3% | ||
AP Moller - Maersk A/S, Class B | 2 | 2,844 |
D/S Norden A/S | 53 | 3,007 |
Danske Bank A/S | 84 | 1,982 |
Novo Nordisk A/S, Class B | 198 | 19,073 |
26,906 | ||
Finland — 0.6% | ||
Elisa OYJ | 98 | 4,170 |
Fortum OYJ | 380 | 4,506 |
Kone OYJ, Class B | 67 | 2,900 |
Konecranes OYJ | 50 | 1,649 |
Mandatum OYJ * | 72 | 277 |
Nordea Bank Abp | 1,768 | 18,624 |
Orion OYJ, Class B | 106 | 4,211 |
Outokumpu OYJ | 487 | 1,997 |
Sampo OYJ, Class A | 72 | 2,819 |
TietoEVRY OYJ | 69 | 1,457 |
UPM-Kymmene OYJ | 285 | 9,601 |
Wartsila OYJ Abp | 212 | 2,535 |
54,746 | ||
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — 1.5% | ||
Amundi SA (b) | 37 | 1,926 |
AXA SA | 189 | 5,597 |
BNP Paribas SA | 85 | 4,864 |
Cie de Saint-Gobain SA | 62 | 3,397 |
Cie Generale des Etablissements Michelin SCA | 372 | 11,045 |
Coface SA | 205 | 2,467 |
Danone SA | 36 | 2,119 |
Engie SA | 471 | 7,497 |
Gaztransport Et Technigaz SA | 24 | 3,039 |
Klepierre SA, REIT | 264 | 6,401 |
Legrand SA | 84 | 7,299 |
LVMH Moet Hennessy Louis Vuitton SE | 16 | 11,796 |
Orange SA | 537 | 6,322 |
Publicis Groupe SA | 53 | 4,026 |
Rexel SA | 108 | 2,209 |
Rubis SCA | 93 | 2,025 |
Societe Generale SA | 77 | 1,740 |
TotalEnergies SE | 264 | 17,642 |
Veolia Environnement SA | 78 | 2,125 |
Verallia SA (b) | 30 | 986 |
Vinci SA | 196 | 21,704 |
Vivendi SE | 412 | 3,695 |
129,921 | ||
Germany — 1.2% | ||
Allianz SE (Registered) | 80 | 18,723 |
BASF SE | 64 | 2,948 |
Bayerische Motoren Werke AG | 46 | 4,229 |
Commerzbank AG | 148 | 1,600 |
Covestro AG * (b) | 44 | 2,244 |
Daimler Truck Holding AG | 78 | 2,447 |
Deutsche Post AG | 189 | 7,383 |
Deutsche Telekom AG (Registered) | 389 | 8,438 |
E.ON SE | 574 | 6,829 |
Freenet AG | 213 | 5,414 |
HOCHTIEF AG | 31 | 3,202 |
LEG Immobilien SE * | 56 | 3,467 |
Mercedes-Benz Group AG | 81 | 4,791 |
Muenchener Rueckversicherungs- Gesellschaft AG (Registered) | 33 | 13,116 |
SAP SE | 38 | 5,137 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 43 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Germany — continued | ||
Telefonica Deutschland Holding AG | 2,547 | 4,330 |
Vonovia SE | 206 | 4,735 |
99,033 | ||
Hong Kong — 0.4% | ||
AIA Group Ltd. | 576 | 5,000 |
CK Infrastructure Holdings Ltd. | 486 | 2,253 |
CLP Holdings Ltd. | 334 | 2,444 |
Hang Seng Bank Ltd. | 94 | 1,077 |
HK Electric Investments & HK Electric Investments Ltd. (b) | 1,265 | 702 |
HKBN Ltd. | 1,856 | 643 |
HKT Trust & HKT Ltd. | 2,220 | 2,299 |
Hong Kong & China Gas Co. Ltd. | 3,375 | 2,349 |
Hong Kong Exchanges & Clearing Ltd. | 144 | 5,048 |
New World Development Co. Ltd. | 1,694 | 3,109 |
Orient Overseas International Ltd. | 174 | 2,194 |
PCCW Ltd. | 3,497 | 1,712 |
Power Assets Holdings Ltd. | 508 | 2,429 |
VTech Holdings Ltd. | 181 | 1,050 |
Yue Yuen Industrial Holdings Ltd. | 970 | 1,134 |
33,443 | ||
India — 0.5% | ||
HCL Technologies Ltd. | 686 | 10,524 |
HDFC Bank Ltd. | 483 | 8,566 |
Infosys Ltd., ADR | 986 | 16,195 |
Tata Consultancy Services Ltd. | 94 | 3,814 |
39,099 | ||
Indonesia — 0.3% | ||
Bank Rakyat Indonesia Persero Tbk. PT | 49,288 | 15,412 |
Telkom Indonesia Persero Tbk. PT | 49,487 | 10,848 |
26,260 | ||
Ireland — 0.0% ^ | ||
Ardmore Shipping Corp. | 148 | 1,963 |
Israel — 0.0% ^ | ||
Bezeq The Israeli Telecommunication Corp. Ltd. | 1,775 | 2,184 |
Italy — 0.9% | ||
A2A SpA | 1,480 | 2,778 |
ACEA SpA | 59 | 710 |
Assicurazioni Generali SpA | 343 | 6,819 |
Azimut Holding SpA | 108 | 2,266 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Italy — continued | ||
Banca Generali SpA | 73 | 2,362 |
Banca Mediolanum SpA | 589 | 4,807 |
BFF Bank SpA (b) | 256 | 2,462 |
Enel SpA | 1,634 | 10,372 |
Eni SpA | 621 | 10,152 |
Hera SpA | 919 | 2,586 |
Intesa Sanpaolo SpA | 4,102 | 10,690 |
Iren SpA | 707 | 1,417 |
Italgas SpA | 470 | 2,386 |
Mediobanca Banca di Credito Finanziario SpA | 192 | 2,298 |
Poste Italiane SpA (b) | 273 | 2,705 |
Snam SpA | 581 | 2,664 |
Terna - Rete Elettrica Nazionale | 359 | 2,749 |
UniCredit SpA | 206 | 5,176 |
Unipol Gruppo SpA | 302 | 1,634 |
77,033 | ||
Japan — 1.4% | ||
Aozora Bank Ltd. (a) | 307 | 6,262 |
Bridgestone Corp. | 257 | 9,730 |
Canon, Inc. | 122 | 2,877 |
Chubu Electric Power Co., Inc. | 106 | 1,286 |
Dai Nippon Printing Co. Ltd. | 132 | 3,444 |
Electric Power Development Co. Ltd. | 277 | 4,251 |
ENEOS Holdings, Inc. | 554 | 2,055 |
FANUC Corp. | 123 | 3,047 |
Hokkaido Electric Power Co., Inc. | 239 | 1,003 |
Idemitsu Kosan Co. Ltd. | 178 | 4,044 |
Japan Metropolitan Fund Invest, REIT | 5 | 3,344 |
Japan Post Holdings Co. Ltd. | 406 | 3,592 |
Kansai Electric Power Co., Inc. (The) | 284 | 3,632 |
KDDI Corp. | 94 | 2,797 |
Kirin Holdings Co. Ltd. | 265 | 3,721 |
Kyushu Railway Co. | 175 | 3,582 |
Mitsubishi Chemical Group Corp. | 679 | 3,844 |
Nippon Steel Corp. | 194 | 4,180 |
Nippon Telegraph & Telephone Corp. | 6,437 | 7,575 |
Okinawa Electric Power Co., Inc. (The) | 81 | 591 |
Sharp Corp. * | 292 | 1,826 |
Shin-Etsu Chemical Co. Ltd. | 204 | 6,097 |
SoftBank Corp. | 882 | 9,972 |
Takeda Pharmaceutical Co. Ltd. | 197 | 5,347 |
Tokio Marine Holdings, Inc. | 375 | 8,387 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
Tokyo Electron Ltd. | 87 | 11,536 |
United Urban Investment Corp., REIT | 2 | 2,159 |
120,181 | ||
Luxembourg — 0.1% | ||
Intelsat SA ‡ * | 270 | 6,151 |
Mexico — 0.4% | ||
Bolsa Mexicana de Valores SAB de CV | 424 | 660 |
Grupo Financiero Banorte SAB de CV, Class O | 1,644 | 13,320 |
Kimberly-Clark de Mexico SAB de CV, Class A | 1,666 | 3,052 |
Southern Copper Corp. | 101 | 7,138 |
Wal-Mart de Mexico SAB de CV | 2,738 | 9,812 |
33,982 | ||
Netherlands — 0.7% | ||
ABN AMRO Bank NV, CVA (b) | 121 | 1,634 |
ASML Holding NV | 14 | 8,237 |
ASR Nederland NV | 65 | 2,442 |
BE Semiconductor Industries NV | 35 | 3,563 |
ING Groep NV | 272 | 3,486 |
Koninklijke Ahold Delhaize NV | 118 | 3,507 |
Koninklijke KPN NV | 1,627 | 5,469 |
NN Group NV | 101 | 3,226 |
OCI NV | 51 | 1,188 |
Shell plc | 718 | 23,151 |
Wolters Kluwer NV | 24 | 3,032 |
58,935 | ||
New Zealand — 0.1% | ||
Contact Energy Ltd. | 263 | 1,194 |
Spark New Zealand Ltd. | 1,728 | 5,016 |
6,210 | ||
Norway — 0.4% | ||
Aker BP ASA | 47 | 1,364 |
DNB Bank ASA | 128 | 2,309 |
Equinor ASA | 363 | 12,160 |
Norsk Hydro ASA | 660 | 3,766 |
SFL Corp. Ltd. | 278 | 3,013 |
Telenor ASA | 867 | 8,861 |
31,473 | ||
Poland — 0.1% | ||
Powszechny Zaklad Ubezpieczen SA | 791 | 8,954 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Portugal — 0.1% | ||
EDP - Energias de Portugal SA | 553 | 2,326 |
Navigator Co. SA (The) | 511 | 2,034 |
NOS SGPS SA | 222 | 812 |
Redes Energeticas Nacionais SGPS SA | 383 | 996 |
6,168 | ||
Russia — 0.0% ^ | ||
Moscow Exchange MICEX-RTS PJSC ‡ | 2,552 | 61 |
Severstal PAO, GDR ‡ * (b) | 132 | 42 |
Severstal PAO, GDR ‡ * (b) | 10 | 3 |
106 | ||
Saudi Arabia — 0.1% | ||
Al Rajhi Bank | 255 | 4,574 |
Saudi National Bank (The) | 721 | 6,449 |
11,023 | ||
Singapore — 0.4% | ||
BW LPG Ltd. (b) | 232 | 3,285 |
CapitaLand Ascendas, REIT | 961 | 1,825 |
DBS Group Holdings Ltd. | 457 | 10,981 |
Hafnia Ltd. | 320 | 2,103 |
Keppel Infrastructure Trust | 2,399 | 771 |
NETLINK NBN TRUST (b) | 2,022 | 1,226 |
Singapore Exchange Ltd. | 1,153 | 7,981 |
Singapore Telecommunications Ltd. | 3,138 | 5,453 |
33,625 | ||
South Africa — 0.5% | ||
Anglo American plc | 230 | 5,868 |
AVI Ltd. | 209 | 779 |
Bid Corp. Ltd. | 251 | 5,330 |
Bidvest Group Ltd. (The) | 378 | 5,352 |
FirstRand Ltd. | 1,100 | 3,625 |
Sanlam Ltd. | 2,305 | 8,083 |
Shoprite Holdings Ltd. | 86 | 1,106 |
Standard Bank Group Ltd. | 571 | 5,606 |
Vodacom Group Ltd. | 1,286 | 7,003 |
42,752 | ||
South Korea — 0.8% | ||
Hana Financial Group, Inc. | 81 | 2,364 |
KB Financial Group, Inc. | 206 | 7,828 |
Kia Corp. | 126 | 7,191 |
LG Uplus Corp. | 301 | 2,258 |
Samsung Electronics Co. Ltd. | 722 | 35,929 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 45 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Korea — continued | ||
Samsung Electronics Co. Ltd. (Preference) | 26 | 1,049 |
Shinhan Financial Group Co. Ltd. | 267 | 6,871 |
SK Telecom Co. Ltd., ADR | 44 | 886 |
SK Telecom Co. Ltd. | 189 | 6,898 |
71,274 | ||
Spain — 1.1% | ||
Acerinox SA | 269 | 2,621 |
ACS Actividades de Construccion y Servicios SA | 110 | 3,985 |
Aena SME SA (b) | 18 | 2,601 |
Atlantica Sustainable Infrastructure plc | 105 | 1,894 |
Banco Bilbao Vizcaya Argentaria SA | 542 | 4,265 |
Banco Santander SA | 1,257 | 4,624 |
CaixaBank SA | 635 | 2,583 |
Cia de Distribucion Integral Logista Holdings SA | 102 | 2,513 |
Enagas SA | 142 | 2,370 |
Endesa SA | 505 | 9,502 |
Iberdrola SA | 2,098 | 23,331 |
Industria de Diseno Textil SA | 137 | 4,716 |
Mapfre SA | 1,086 | 2,257 |
Naturgy Energy Group SA | 323 | 9,143 |
Redeia Corp. SA | 158 | 2,465 |
Repsol SA | 214 | 3,128 |
Telefonica SA | 2,062 | 7,966 |
89,964 | ||
Sweden — 0.5% | ||
H & M Hennes & Mauritz AB, Class B | 113 | 1,515 |
Skandinaviska Enskilda Banken AB, Class A | 218 | 2,432 |
SSAB AB, Class B | 418 | 2,428 |
Svenska Handelsbanken AB, Class A | 205 | 1,751 |
Tele2 AB, Class B | 1,457 | 10,350 |
Telia Co. AB | 1,184 | 2,509 |
Volvo AB, Class B | 1,178 | 23,341 |
44,326 | ||
Switzerland — 0.5% | ||
Accelleron Industries AG | 46 | 1,133 |
Julius Baer Group Ltd. | 58 | 3,420 |
Novartis AG (Registered) | 180 | 16,837 |
Sandoz Group AG * | 7 | 197 |
Swisscom AG (Registered) | 5 | 2,819 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Switzerland — continued | ||
UBS Group AG (Registered) | 237 | 5,567 |
Zurich Insurance Group AG | 20 | 9,784 |
39,757 | ||
Taiwan — 1.2% | ||
Accton Technology Corp. | 61 | 945 |
ASE Technology Holding Co. Ltd. | 2,728 | 9,551 |
Chailease Holding Co. Ltd. | 384 | 2,083 |
Delta Electronics, Inc. | 198 | 1,787 |
MediaTek, Inc. | 76 | 1,983 |
Mega Financial Holding Co. Ltd. | 2,179 | 2,473 |
Novatek Microelectronics Corp. | 745 | 10,492 |
President Chain Store Corp. | 796 | 6,332 |
Quanta Computer, Inc. | 640 | 3,778 |
Realtek Semiconductor Corp. | 762 | 9,497 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 194 | 16,706 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 2,169 | 35,425 |
Vanguard International Semiconductor Corp. | 2,329 | 5,058 |
Wiwynn Corp. | 17 | 805 |
106,915 | ||
Thailand — 0.1% | ||
SCB X PCL | 2,501 | 6,809 |
Siam Cement PCL (The) (Registered) | 466 | 3,736 |
10,545 | ||
United Kingdom — 2.5% | ||
3i Group plc | 184 | 4,339 |
AstraZeneca plc | 132 | 16,558 |
Aviva plc | 566 | 2,741 |
B&M European Value Retail SA | 481 | 3,094 |
Balfour Beatty plc | 667 | 2,505 |
Barclays plc | 1,747 | 2,804 |
Barratt Developments plc | 1,420 | 7,160 |
Berkeley Group Holdings plc | 59 | 2,922 |
BP plc | 2,608 | 15,924 |
Britvic plc | 209 | 2,128 |
BT Group plc | 1,650 | 2,266 |
Centrica plc | 2,268 | 4,341 |
Coca-Cola Europacific Partners plc | 159 | 9,297 |
Compass Group plc | 139 | 3,497 |
Direct Line Insurance Group plc * | 1,564 | 2,883 |
Dunelm Group plc | 194 | 2,305 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
Games Workshop Group plc | 13 | 1,549 |
HSBC Holdings plc | 1,344 | 9,706 |
IG Group Holdings plc | 145 | 1,125 |
Imperial Brands plc | 302 | 6,438 |
InterContinental Hotels Group plc | 41 | 2,885 |
Intermediate Capital Group plc | 128 | 2,042 |
Investec plc | 418 | 2,317 |
J Sainsbury plc | 824 | 2,579 |
Legal & General Group plc | 1,324 | 3,410 |
Lloyds Banking Group plc | 6,363 | 3,097 |
Man Group plc | 1,032 | 2,759 |
Mitie Group plc | 2,190 | 2,629 |
National Grid plc | 225 | 2,686 |
NatWest Group plc | 796 | 1,733 |
Next plc | 25 | 2,072 |
Pagegroup plc | 356 | 1,633 |
Persimmon plc | 120 | 1,489 |
RELX plc | 498 | 17,396 |
Sage Group plc (The) | 481 | 5,682 |
Segro plc, REIT | 217 | 1,890 |
Severn Trent plc | 134 | 4,331 |
SSE plc | 597 | 11,869 |
Taylor Wimpey plc | 2,070 | 2,796 |
Telecom Plus plc | 85 | 1,598 |
Tesco plc | 2,087 | 6,849 |
Unilever plc | 220 | 10,395 |
United Utilities Group plc | 499 | 6,451 |
Vodafone Group plc | 5,212 | 4,798 |
WPP plc | 369 | 3,181 |
212,149 | ||
United States — 16.5% | ||
3M Co. | 64 | 5,825 |
Abbott Laboratories | 26 | 2,460 |
AbbVie, Inc. | 288 | 40,661 |
Accenture plc, Class A | 6 | 1,755 |
Advance Auto Parts, Inc. | 58 | 3,010 |
AGNC Investment Corp., REIT | 661 | 4,878 |
Air Products and Chemicals, Inc. | 14 | 4,050 |
American Electric Power Co., Inc. | 81 | 6,105 |
American Express Co. | 17 | 2,537 |
Amgen, Inc. | 28 | 7,036 |
Analog Devices, Inc. | 57 | 9,025 |
Annaly Capital Management, Inc., REIT | 337 | 5,259 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Antero Midstream Corp. | 221 | 2,733 |
Apple, Inc. | 4 | 756 |
Arthur J Gallagher & Co. | 13 | 3,013 |
AT&T, Inc. | 583 | 8,983 |
Avangrid, Inc. | 186 | 5,546 |
Avista Corp. | 71 | 2,250 |
Baker Hughes Co. | 183 | 6,291 |
Bank of America Corp. | 454 | 11,960 |
Best Buy Co., Inc. | 117 | 7,838 |
BlackRock, Inc. | 5 | 2,884 |
Boston Properties, Inc., REIT | 114 | 6,089 |
Bristol-Myers Squibb Co. | 172 | 8,853 |
Campbell Soup Co. | 150 | 6,063 |
Cardinal Health, Inc. | 79 | 7,216 |
CF Industries Holdings, Inc. | 70 | 5,596 |
Chesapeake Energy Corp. (a) | 43 | 3,696 |
Chevron Corp. | 198 | 28,796 |
Chord Energy Corp. | 12 | 2,016 |
Chubb Ltd. | 20 | 4,341 |
Cigna Group (The) | 14 | 4,205 |
Cisco Systems, Inc. | 136 | 7,083 |
Claire's Stores, Inc. ‡ * | 4 | 1,151 |
Clear Channel Outdoor Holdings, Inc. * (a) | 287 | 316 |
Clearway Energy, Inc., Class C | 94 | 2,048 |
Clorox Co. (The) | 47 | 5,506 |
CME Group, Inc. | 169 | 35,997 |
CMS Energy Corp. | 42 | 2,286 |
Coca-Cola Co. (The) | 675 | 38,104 |
Cogent Communications Holdings, Inc. | 45 | 2,932 |
Comcast Corp., Class A | 672 | 27,761 |
Comerica, Inc. | 98 | 3,844 |
Conagra Brands, Inc. | 223 | 6,107 |
ConocoPhillips | 51 | 6,003 |
Consolidated Edison, Inc. | 74 | 6,526 |
Coterra Energy, Inc. | 264 | 7,269 |
CRH plc | 41 | 2,175 |
Crown Castle, Inc., REIT | 51 | 4,703 |
Cummins, Inc. | 28 | 5,987 |
CVS Health Corp. | 91 | 6,312 |
Deere & Co. | 30 | 11,131 |
Devon Energy Corp. | 65 | 3,026 |
DHT Holdings, Inc. | 285 | 3,168 |
Digital Realty Trust, Inc., REIT | 51 | 6,354 |
Dominion Energy, Inc. | 133 | 5,376 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 47 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Dover Corp. | 25 | 3,201 |
Dow, Inc. | 368 | 17,777 |
DT Midstream, Inc. | 51 | 2,756 |
Duke Energy Corp. | 99 | 8,785 |
Eastman Chemical Co. | 80 | 5,952 |
Eaton Corp. plc | 51 | 10,456 |
Edison International | 105 | 6,647 |
Eli Lilly & Co. | 4 | 1,970 |
Emerson Electric Co. | 76 | 6,764 |
Entergy Corp. | 66 | 6,277 |
EOG Resources, Inc. | 86 | 10,839 |
EP Energy Corp. ‡ * | 141 | 226 |
Equitrans Midstream Corp. | 312 | 2,764 |
Evergy, Inc. | 165 | 8,095 |
Eversource Energy | 40 | 2,161 |
Exxon Mobil Corp. | 377 | 39,858 |
Fastenal Co. | 129 | 7,507 |
Federal Realty Investment Trust, REIT | 62 | 5,615 |
Ferguson plc | 14 | 2,077 |
FirstEnergy Corp. | 248 | 8,836 |
Ford Motor Co. | 511 | 4,985 |
Frontier Communications Parent, Inc. * (a) | 122 | 2,180 |
General Dynamics Corp. | 19 | 4,593 |
General Mills, Inc. | 77 | 5,036 |
Genuine Parts Co. | 41 | 5,340 |
Gilead Sciences, Inc. | 88 | 6,903 |
Goodman Networks, Inc. ‡ * | 53 | — |
GSK plc | 746 | 13,302 |
Gulfport Energy Corp. * | 31 | 3,890 |
Hasbro, Inc. | 77 | 3,476 |
Hawaiian Electric Industries, Inc. | 177 | 2,299 |
Healthpeak Properties, Inc., REIT | 324 | 5,031 |
Hewlett Packard Enterprise Co. | 442 | 6,796 |
Holcim AG | 70 | 4,345 |
Home Depot, Inc. (The) | 15 | 4,299 |
HP, Inc. | 65 | 1,714 |
iHeartMedia, Inc., Class A * | 122 | 287 |
Intel Corp. | 200 | 7,310 |
International Business Machines Corp. | 67 | 9,643 |
International Flavors & Fragrances, Inc. | 83 | 5,665 |
International Paper Co. | 205 | 6,903 |
Interpublic Group of Cos., Inc. (The) | 189 | 5,370 |
Iron Mountain, Inc., REIT | 120 | 7,090 |
J M Smucker Co. (The) | 35 | 4,005 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Johnson & Johnson | 170 | 25,282 |
Juniper Networks, Inc. | 232 | 6,239 |
Kellogg Co. | 107 | 5,398 |
Kenvue, Inc. | 317 | 5,905 |
Keurig Dr Pepper, Inc. | 268 | 8,141 |
KeyCorp | 643 | 6,572 |
Kimberly-Clark Corp. | 53 | 6,395 |
Kimco Realty Corp., REIT | 169 | 3,032 |
Kinder Morgan, Inc. | 568 | 9,207 |
Kraft Heinz Co. (The) | 193 | 6,080 |
Laureate Education, Inc., Class A | 215 | 3,040 |
Lowe's Cos., Inc. | 45 | 8,557 |
LyondellBasell Industries NV, Class A | 75 | 6,806 |
Mallinckrodt plc * | 72 | 6 |
Marriott International, Inc., Class A | 43 | 8,060 |
McDonald's Corp. | 49 | 12,802 |
Medtronic plc | 30 | 2,084 |
Merck & Co., Inc. | 235 | 24,168 |
Microsoft Corp. | 10 | 3,528 |
Mondelez International, Inc., Class A | 41 | 2,689 |
Moran Foods Backstop Equity ‡ * | 148 | 148 |
Morgan Stanley | 48 | 3,369 |
Motorola Solutions, Inc. | 23 | 6,482 |
MYT Holding LLC ‡ * | 1,342 | 470 |
National CineMedia, Inc. * | 107 | 419 |
Nestle SA (Registered) | 261 | 28,121 |
NetApp, Inc. | 86 | 6,270 |
New Fortress Energy, Inc. | 87 | 2,626 |
Newmont Corp. | 151 | 5,649 |
NextEra Energy, Inc. | 235 | 13,718 |
NMG, Inc. ‡ * (a) | 41 | 4,651 |
NMG, Inc. ‡ * | 4 | 493 |
Nordic American Tankers Ltd. | 646 | 2,967 |
Norfolk Southern Corp. | 16 | 3,097 |
Northrop Grumman Corp. | 5 | 2,426 |
Northwestern Energy Group, Inc. | 52 | 2,506 |
NRG Energy, Inc. | 38 | 1,601 |
OGE Energy Corp. | 72 | 2,474 |
Omnicom Group, Inc. | 78 | 5,871 |
ONE Gas, Inc. | 32 | 1,910 |
ONEOK, Inc. | 156 | 10,175 |
Oracle Corp. | 108 | 11,170 |
PACCAR, Inc. | 37 | 3,037 |
Packaging Corp. of America | 48 | 7,353 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Parker-Hannifin Corp. | 5 | 1,749 |
PepsiCo, Inc. | 23 | 3,747 |
Pfizer, Inc. | 138 | 4,204 |
Philip Morris International, Inc. | 114 | 10,140 |
Phillips 66 | 62 | 7,120 |
Pinnacle West Capital Corp. | 127 | 9,434 |
Pioneer Natural Resources Co. | 32 | 7,721 |
PNC Financial Services Group, Inc. (The) | 19 | 2,221 |
PPG Industries, Inc. | 25 | 3,063 |
PPL Corp. | 160 | 3,923 |
Procter & Gamble Co. (The) | 105 | 15,795 |
Progressive Corp. (The) | 95 | 15,063 |
Prologis, Inc., REIT | 129 | 12,963 |
Prudential Financial, Inc. | 69 | 6,338 |
Public Service Enterprise Group, Inc. | 249 | 15,350 |
Public Storage, REIT | 23 | 5,381 |
Realty Income Corp. | 106 | 5,031 |
Regency Centers Corp., REIT | 104 | 6,292 |
Republic Services, Inc. | 16 | 2,315 |
Roche Holding AG | 97 | 25,045 |
Ross Stores, Inc. | 71 | 8,243 |
RTX Corp. | 115 | 9,336 |
Sanofi SA | 40 | 3,621 |
Schneider Electric SE | 37 | 5,702 |
Seagate Technology Holdings plc | 123 | 8,369 |
Shenandoah Telecommunications Co. | 44 | 1,050 |
Simon Property Group, Inc., REIT | 65 | 7,126 |
Sirius XM Holdings, Inc. | 1,109 | 4,748 |
Southern Co. (The) | 139 | 9,336 |
Steel Dynamics, Inc. | 35 | 3,695 |
Stellantis NV | 376 | 7,023 |
Stellantis NV | 141 | 2,630 |
Sysco Corp. | 37 | 2,477 |
T. Rowe Price Group, Inc. | 59 | 5,361 |
Telephone and Data Systems, Inc. | 223 | 4,055 |
Texas Instruments, Inc. | 152 | 21,574 |
TJX Cos., Inc. (The) | 42 | 3,704 |
Truist Financial Corp. | 97 | 2,738 |
UGI Corp. | 89 | 1,847 |
United Parcel Service, Inc., Class B | 131 | 18,517 |
UnitedHealth Group, Inc. | 35 | 18,860 |
US Bancorp | 95 | 3,016 |
Valero Energy Corp. | 51 | 6,467 |
Venator Materials plc * | 607,271 | 2,426 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Ventas, Inc., REIT | 139 | 5,883 |
Verizon Communications, Inc. | 312 | 10,970 |
VF Corp. | 63 | 927 |
VICI Properties, Inc., REIT | 544 | 15,182 |
VMware, Inc., Class A * | 10 | 1,528 |
Walgreens Boots Alliance, Inc. | 288 | 6,075 |
Walmart, Inc. | 22 | 3,525 |
Wells Fargo & Co. | 172 | 6,842 |
Welltower, Inc., REIT | 41 | 3,460 |
Weyerhaeuser Co., REIT | 213 | 6,119 |
Williams Cos., Inc. (The) | 307 | 10,555 |
Windstream Holdings, Inc. ‡ * | 4 | 43 |
WK Kellogg Co. * | 27 | 268 |
WP Carey, Inc., REIT | 95 | 5,070 |
Xcel Energy, Inc. | 206 | 12,224 |
Yum! Brands, Inc. | 61 | 7,374 |
1,403,771 | ||
Total Common Stocks (Cost $3,043,920) | 3,274,610 | |
PRINCIPAL AMOUNT ($000) | ||
Corporate Bonds — 33.5% | ||
Australia — 0.1% | ||
FMG Resources August 2006 Pty. Ltd. | ||
4.50%, 9/15/2027 (c) | 218 | 196 |
4.38%, 4/1/2031 (c) | 1,432 | 1,154 |
6.13%, 4/15/2032 (c) | 1,001 | 884 |
Glencore Funding LLC | ||
4.63%, 4/29/2024 (c) | 687 | 682 |
2.50%, 9/1/2030 (c) | 180 | 140 |
2.63%, 9/23/2031 (c) | 63 | 47 |
Macquarie Group Ltd. | ||
6.21%, 11/22/2024 (c) | 4,200 | 4,199 |
(SOFR + 0.69%), 1.20%, 10/14/2025 (c) (d) | 1,293 | 1,230 |
Mineral Resources Ltd. | ||
8.13%, 5/1/2027 (c) | 200 | 195 |
8.00%, 11/1/2027 (c) | 149 | 144 |
8.50%, 5/1/2030 (c) | 750 | 718 |
NBN Co. Ltd. 2.63%, 5/5/2031 (b) | 300 | 237 |
9,826 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 49 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Austria — 0.0% ^ | ||
ams-OSRAM AG 7.00%, 7/31/2025 (c) | 1,280 | 1,256 |
Azerbaijan — 0.0% ^ | ||
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (b) | 950 | 935 |
State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030 (b) | 1,180 | 1,142 |
2,077 | ||
Bahrain — 0.0% ^ | ||
Oil and Gas Holding Co. BSCC (The) 7.50%, 10/25/2027 (b) | 1,150 | 1,154 |
Belgium — 0.0% ^ | ||
KBC Group NV (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (c) (d) | 200 | 193 |
Brazil — 0.1% | ||
Braskem Netherlands Finance BV 7.25%, 2/13/2033 (c) | 287 | 248 |
CSN Resources SA 4.63%, 6/10/2031 (c) | 450 | 336 |
Guara Norte SARL 5.20%, 6/15/2034 (c) | 306 | 257 |
Klabin Austria GmbH 7.00%, 4/3/2049 (b) | 1,150 | 1,051 |
Minerva Luxembourg SA 8.88%, 9/13/2033 (c) | 928 | 909 |
MV24 Capital BV 6.75%, 6/1/2034 (c) | 572 | 492 |
Nexa Resources SA 5.38%, 5/4/2027 (b) | 580 | 530 |
Petrobras Global Finance BV 6.85%, 6/5/2115 | 300 | 252 |
Vale Overseas Ltd. 3.75%, 7/8/2030 | 57 | 48 |
4,123 | ||
Canada — 1.8% | ||
1011778 BC ULC | ||
3.88%, 1/15/2028 (c) | 1,705 | 1,522 |
3.50%, 2/15/2029 (c) | 1,291 | 1,104 |
4.00%, 10/15/2030 (c) | 3,505 | 2,871 |
Athabasca Oil Corp. 9.75%, 11/1/2026 (c) | 311 | 321 |
ATS Corp. 4.13%, 12/15/2028 (c) | 1,494 | 1,283 |
Bank of Montreal | ||
Series H, 4.25%, 9/14/2024 | 419 | 412 |
5.20%, 12/12/2024 | 4,215 | 4,178 |
Series H, 4.70%, 9/14/2027 | 105 | 100 |
Bank of Nova Scotia (The) | ||
3.40%, 2/11/2024 | 655 | 650 |
5.25%, 12/6/2024 | 417 | 413 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Canada — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (d) (e) (f) (g) | 2,497 | 2,279 |
5.45%, 6/12/2025 | 1,000 | 990 |
1.30%, 9/15/2026 | 280 | 246 |
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.63%, 10/27/2081 (d) (e) | 1,900 | 1,333 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.63%, 10/27/2082 (d) (e) | 4,942 | 4,834 |
Baytex Energy Corp. | ||
8.75%, 4/1/2027 (c) | 4,909 | 4,948 |
8.50%, 4/30/2030 (c) | 3,640 | 3,605 |
Bombardier, Inc. 7.88%, 4/15/2027 (c) | 6,550 | 6,301 |
Canadian Imperial Bank of Commerce | ||
3.10%, 4/2/2024 | 466 | 460 |
1.00%, 10/18/2024 | 468 | 446 |
5.99%, 10/3/2028 | 3,870 | 3,822 |
Emera US Finance LP 2.64%, 6/15/2031 | 75 | 57 |
Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (d) | 12,522 | 11,776 |
Enbridge, Inc. | ||
3.50%, 6/10/2024 | 589 | 580 |
Series 16-A, (3-MONTH CME TERM SOFR + 4.15%), 6.00%, 1/15/2077 (d) | 2,237 | 1,947 |
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (d) | 11,810 | 9,844 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.42%), 7.63%, 1/15/2083 (d) | 4,722 | 4,224 |
Federation des Caisses Desjardins du Quebec | ||
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (c) (d) | 1,415 | 1,394 |
4.55%, 8/23/2027 (c) | 2,820 | 2,675 |
5.70%, 3/14/2028 (c) | 1,205 | 1,177 |
Garda World Security Corp. 4.63%, 2/15/2027 (c) | 2,751 | 2,454 |
GFL Environmental, Inc. | ||
4.25%, 6/1/2025 (c) | 2,670 | 2,567 |
3.75%, 8/1/2025 (c) | 3,238 | 3,062 |
4.00%, 8/1/2028 (c) | 3,477 | 2,992 |
4.75%, 6/15/2029 (c) | 2,430 | 2,127 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Canada — continued | ||
New Gold, Inc. 7.50%, 7/15/2027 (c) | 1,184 | 1,111 |
NOVA Chemicals Corp. | ||
4.88%, 6/1/2024 (c) | 5,320 | 5,228 |
5.00%, 5/1/2025 (c) | 3,760 | 3,551 |
5.25%, 6/1/2027 (c) | 4,031 | 3,405 |
Open Text Holdings, Inc. | ||
4.13%, 2/15/2030 (c) | 201 | 167 |
4.13%, 12/1/2031 (c) | 1,162 | 913 |
Precision Drilling Corp. | ||
7.13%, 1/15/2026 (c) | 3,749 | 3,694 |
6.88%, 1/15/2029 (c) | 1,018 | 943 |
Ritchie Bros Holdings, Inc. | ||
6.75%, 3/15/2028 (c) | 1,012 | 992 |
7.75%, 3/15/2031 (c) | 1,684 | 1,688 |
Rogers Communications, Inc. | ||
3.80%, 3/15/2032 | 135 | 109 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (c) (d) | 6,303 | 5,545 |
Royal Bank of Canada | ||
5.66%, 10/25/2024 | 584 | 582 |
2.25%, 11/1/2024 | 453 | 437 |
4.95%, 4/25/2025 | 1,000 | 985 |
4.88%, 1/12/2026 | 3,350 | 3,278 |
5.20%, 7/20/2026 | 800 | 787 |
Superior Plus LP 4.50%, 3/15/2029 (c) | 1,621 | 1,383 |
Toronto-Dominion Bank (The) | ||
2.65%, 6/12/2024 | 440 | 431 |
4.29%, 9/13/2024 | 418 | 412 |
5.53%, 7/17/2026 | 2,955 | 2,924 |
(SOFR + 1.08%), 6.40%, 7/17/2026 (d) | 1,600 | 1,601 |
4.69%, 9/15/2027 | 95 | 90 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.13%, 10/31/2082 (d) (e) | 13,713 | 13,453 |
TransAlta Corp. | ||
7.75%, 11/15/2029 | 988 | 983 |
6.50%, 3/15/2040 | 114 | 100 |
TransCanada PipeLines Ltd. | ||
1.00%, 10/12/2024 | 395 | 376 |
4.75%, 5/15/2038 | 119 | 95 |
Transcanada Trust | ||
Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (d) | 3,021 | 2,706 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Canada — continued | ||
(SOFR + 4.42%), 5.50%, 9/15/2079 (d) | 8,775 | 6,952 |
Vermilion Energy, Inc. 6.88%, 5/1/2030 (c) | 1,174 | 1,095 |
Videotron Ltd. | ||
5.13%, 4/15/2027 (c) | 264 | 246 |
3.63%, 6/15/2029 (c) | 74 | 62 |
155,318 | ||
China — 0.2% | ||
Central Plaza Development Ltd. | ||
3.85%, 7/14/2025 (b) | 200 | 138 |
4.65%, 1/19/2026 (b) | 1,800 | 1,174 |
China Oil & Gas Group Ltd. 4.70%, 6/30/2026 (b) | 1,200 | 941 |
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) | 950 | 922 |
ENN Clean Energy International Investment Ltd. 3.38%, 5/12/2026 (b) | 1,700 | 1,549 |
Franshion Brilliant Ltd. 4.25%, 7/23/2029 (b) | 400 | 218 |
Greentown China Holdings Ltd. 5.65%, 7/13/2025 (b) | 1,200 | 858 |
Huarong Finance 2017 Co. Ltd. 4.75%, 4/27/2027 (b) | 400 | 347 |
Huarong Finance 2019 Co. Ltd. | ||
3.25%, 11/13/2024 (b) | 700 | 663 |
4.50%, 5/29/2029 (b) | 200 | 163 |
3.88%, 11/13/2029 (b) | 300 | 240 |
Huarong Finance II Co. Ltd. | ||
5.00%, 11/19/2025 (b) | 2,500 | 2,304 |
4.63%, 6/3/2026 (b) | 1,500 | 1,335 |
Prosus NV 3.83%, 2/8/2051 (b) | 500 | 260 |
RKPF Overseas Ltd. 6.70%, 9/30/2024 (b) | 1,400 | 959 |
Shandong Iron And Steel Xinheng International Co. Ltd. 4.80%, 7/28/2024 (b) | 950 | 928 |
Shui On Development Holding Ltd. | ||
5.50%, 3/3/2025 (b) | 1,350 | 697 |
5.50%, 6/29/2026 (b) | 400 | 163 |
Vanke Real Estate Hong Kong Co. Ltd. 3.98%, 11/9/2027 (b) | 400 | 177 |
West China Cement Ltd. 4.95%, 7/8/2026 (b) | 700 | 478 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 51 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
China — continued | ||
Yanlord Land HK Co. Ltd. 6.80%, 2/27/2024 (b) | 1,200 | 1,074 |
Yunda Holding Investment Ltd. 2.25%, 8/19/2025 (b) | 600 | 539 |
Zhongsheng Group Holdings Ltd. 3.00%, 1/13/2026 (b) | 450 | 411 |
16,538 | ||
Colombia — 0.0% ^ | ||
Ecopetrol SA | ||
5.38%, 6/26/2026 | 760 | 726 |
8.63%, 1/19/2029 | 600 | 597 |
7.38%, 9/18/2043 | 412 | 327 |
5.88%, 5/28/2045 | 350 | 226 |
1,876 | ||
Denmark — 0.1% | ||
Danske Bank A/S | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (c) (d) | 4,395 | 4,377 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (c) (d) | 200 | 182 |
4,559 | ||
Finland — 0.1% | ||
Nordea Bank Abp | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (c) (d) (e) (f) (g) | 5,682 | 5,312 |
1.50%, 9/30/2026 (c) | 2,615 | 2,293 |
7,605 | ||
France — 1.0% | ||
Altice France SA | ||
8.13%, 2/1/2027 (c) | 3,019 | 2,545 |
5.50%, 1/15/2028 (c) | 370 | 275 |
5.13%, 7/15/2029 (c) | 3,800 | 2,602 |
5.50%, 10/15/2029 (c) | 2,932 | 2,017 |
Banque Federative du Credit Mutuel SA | ||
0.65%, 2/27/2024 (a) (c) | 1,515 | 1,489 |
2.38%, 11/21/2024 (a) (c) | 529 | 509 |
1.00%, 2/4/2025 (c) | 1,108 | 1,036 |
4.94%, 1/26/2026 (c) | 1,420 | 1,381 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
France — continued | ||
BNP Paribas SA | ||
(3-MONTH CME TERM SOFR + 2.50%), 4.71%, 1/10/2025 (c) (d) | 2,080 | 2,072 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 9.25%, 11/17/2027 (c) (d) (e) (f) (g) | 4,792 | 4,871 |
4.40%, 8/14/2028 (c) | 2,155 | 1,982 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (c) (d) (e) (f) (g) | 6,639 | 6,155 |
BPCE SA | ||
(SOFR + 1.52%), 1.65%, 10/6/2026 (c) (d) | 8,105 | 7,338 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (c) (d) | 996 | 980 |
3.50%, 10/23/2027 (c) | 2,345 | 2,093 |
CGG SA 8.75%, 4/1/2027 (a) (c) | 500 | 441 |
Credit Agricole SA | ||
(USD Swap Semi 5 Year + 6.19%), 8.13%, 12/23/2025 (c) (d) (e) (f) (g) | 5,454 | 5,386 |
(GBP Swap Semi 5 Year + 4.81%), 7.50%, 6/23/2026 (c) (d) (e) (f) (g) | GBP3,130 | 3,566 |
4.13%, 1/10/2027 (c) | 2,180 | 2,031 |
5.30%, 7/12/2028 (c) | 1,615 | 1,566 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 4.75%, 3/23/2029 (c) (d) (e) (f) (g) | 5,291 | 3,916 |
Societe Generale SA | ||
5.00%, 1/17/2024 (c) | 4,100 | 4,081 |
2.63%, 1/22/2025 (c) | 2,225 | 2,119 |
4.25%, 4/14/2025 (c) | 450 | 431 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (c) (d) | 2,735 | 2,709 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (c) (d) (e) (f) (g) | 8,298 | 8,011 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (c) (d) | 4,934 | 4,330 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
France — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (c) (d) (e) (f) (g) | 6,316 | 4,530 |
7.37%, 1/10/2053 (c) | 2,872 | 2,491 |
82,953 | ||
Germany — 0.1% | ||
Bayer US Finance II LLC 4.63%, 6/25/2038 (c) | 200 | 159 |
BMW US Capital LLC (SOFRINDX + 0.53%), 5.86%, 4/1/2024 (c) (d) | 412 | 412 |
Daimler Truck Finance North America LLC 5.20%, 1/17/2025 (c) | 1,190 | 1,180 |
Deutsche Bank AG (SOFR + 1.87%), 2.13%, 11/24/2026 (d) | 5,655 | 5,106 |
Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (h) | 286 | 320 |
Volkswagen Group of America Finance LLC 4.25%, 11/13/2023 (c) | 462 | 462 |
7,639 | ||
Guatemala — 0.0% ^ | ||
Energuate Trust 5.88%, 5/3/2027 (b) | 1,147 | 1,026 |
Hong Kong — 0.2% | ||
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) | 1,750 | 1,368 |
CAS Capital No. 1 Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.64%), 4.00%, 7/12/2026 (b) (d) (f) (g) | 2,500 | 1,964 |
Elect Global Investments Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.89%), 4.10%, 6/3/2025 (b) (d) (f) (g) | 600 | 472 |
FWD Group Holdings Ltd. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.87%), 8.05%, 12/15/2023 (b) (d) (f) (g) | 1,200 | 1,099 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.08%), 6.68%, 2/1/2024 (b) (d) (f) (g) | 1,000 | 874 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Hong Kong — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.88%), 6.38%, 9/13/2024 (b) (d) (f) (g) | 300 | 261 |
Goodman HK Finance 4.38%, 6/19/2024 (b) | 300 | 295 |
Melco Resorts Finance Ltd. | ||
5.25%, 4/26/2026 (b) | 800 | 731 |
5.63%, 7/17/2027 (b) | 2,300 | 1,996 |
5.75%, 7/21/2028 (b) | 600 | 507 |
NWD Finance BVI Ltd. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 6.20%), 6.15%, 3/16/2025 (b) (d) (f) (g) | 1,050 | 769 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.86%), 4.13%, 3/10/2028 (b) (d) (f) (g) | 1,500 | 736 |
NWD MTN Ltd. 4.13%, 7/18/2029 (b) | 1,600 | 1,040 |
Prudential Funding Asia plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.52%), 2.95%, 11/3/2033 (b) (d) | 1,600 | 1,304 |
13,416 | ||
India — 0.3% | ||
ABJA Investment Co. Pte. Ltd. 5.45%, 1/24/2028 (b) | 2,000 | 1,926 |
Axis Bank Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.32%), 4.10%, 9/8/2026 (b) (d) (e) (f) (g) | 700 | 603 |
GMR Hyderabad International Airport Ltd. 4.25%, 10/27/2027 (b) | 1,100 | 965 |
Greenko Dutch BV 3.85%, 3/29/2026 (b) | 1,711 | 1,522 |
Greenko Power II Ltd. | ||
4.30%, 12/13/2028 (c) | 857 | 719 |
4.30%, 12/13/2028 (b) | 371 | 311 |
Greenko Solar Mauritius Ltd. 5.95%, 7/29/2026 (b) | 2,600 | 2,387 |
Greenko Wind Projects Mauritius Ltd. 5.50%, 4/6/2025 (c) | 1,000 | 948 |
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) | 1,100 | 946 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 53 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
India — continued | ||
HPCL-Mittal Energy Ltd. | ||
5.45%, 10/22/2026 (b) | 400 | 377 |
5.25%, 4/28/2027 (b) | 2,100 | 1,955 |
India Clean Energy Holdings 4.50%, 4/18/2027 (b) | 1,250 | 1,013 |
India Green Energy Holdings 5.38%, 4/29/2024 (b) | 3,500 | 3,443 |
India Green Power Holdings 4.00%, 2/22/2027 (b) | 2,900 | 2,482 |
JSW Infrastructure Ltd. | ||
4.95%, 1/21/2029 (c) | 800 | 683 |
4.95%, 1/21/2029 (b) | 1,200 | 1,025 |
JSW Steel Ltd. | ||
5.38%, 4/4/2025 (b) | 2,200 | 2,126 |
3.95%, 4/5/2027 (c) | 600 | 514 |
Network i2i Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%, 1/15/2025 (b) (d) (f) (g) | 2,900 | 2,808 |
ReNew Pvt Ltd. 5.88%, 3/5/2027 (b) | 303 | 276 |
TML Holdings Pte. Ltd. 4.35%, 6/9/2026 (b) | 1,000 | 903 |
27,932 | ||
Indonesia — 0.2% | ||
Adaro Indonesia PT 4.25%, 10/31/2024 (b) | 2,350 | 2,258 |
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) | 1,700 | 1,376 |
Bank Tabungan Negara Persero Tbk. PT 4.20%, 1/23/2025 (b) (e) | 1,700 | 1,605 |
Cikarang Listrindo Tbk. PT 4.95%, 9/14/2026 (b) | 1,600 | 1,514 |
Indika Energy Capital III Pte. Ltd. 5.88%, 11/9/2024 (b) | 250 | 244 |
Indika Energy Capital IV Pte. Ltd. 8.25%, 10/22/2025 (b) | 2,700 | 2,667 |
Medco Bell Pte. Ltd. 6.38%, 1/30/2027 (b) | 1,100 | 1,030 |
Medco Platinum Road Pte. Ltd. 6.75%, 1/30/2025 (b) | 1,400 | 1,408 |
Minejesa Capital BV 5.63%, 8/10/2037 (b) | 1,000 | 738 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Indonesia — continued | ||
Pelabuhan Indonesia Persero PT 4.88%, 10/1/2024 (b) | 300 | 296 |
Pertamina Geothermal Energy PT 5.15%, 4/27/2028 (c) | 200 | 193 |
13,329 | ||
Ireland — 0.2% | ||
AerCap Holdings NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.88%, 10/10/2079 (d) | 4,984 | 4,678 |
AerCap Ireland Capital DAC | ||
3.15%, 2/15/2024 | 2,135 | 2,114 |
Series 3NC1, 1.75%, 10/29/2024 | 1,135 | 1,084 |
AIB Group plc (SOFR + 3.46%), 7.58%, 10/14/2026 (c) (d) | 2,810 | 2,845 |
Avolon Holdings Funding Ltd. 3.95%, 7/1/2024 (c) | 2,265 | 2,220 |
Bank of Ireland Group plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (c) (d) | 2,100 | 2,080 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (c) (d) | 200 | 174 |
Cimpress plc 7.00%, 6/15/2026 | 1,152 | 1,066 |
16,261 | ||
Israel — 0.0% ^ | ||
Energian Israel Finance Ltd. | ||
4.88%, 3/30/2026 (b) | 210 | 184 |
5.38%, 3/30/2028 (b) | 220 | 180 |
Leviathan Bond Ltd. 6.50%, 6/30/2027 (b) | 720 | 628 |
992 | ||
Italy — 0.1% | ||
Intesa Sanpaolo SpA 7.00%, 11/21/2025 (c) | 1,463 | 1,469 |
Telecom Italia Capital SA | ||
6.38%, 11/15/2033 | 1,000 | 853 |
6.00%, 9/30/2034 | 4,901 | 4,034 |
7.72%, 6/4/2038 | 725 | 640 |
UniCredit SpA | ||
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (b) (d) (e) (f) (g) | EUR1,200 | 1,235 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Italy — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (c) (d) | 200 | 176 |
(EURIBOR ICE Swap Rate 5 Year + 4.08%), 3.88%, 6/3/2027 (b) (d) (e) (f) (g) | EUR202 | 158 |
8,565 | ||
Japan — 0.1% | ||
Mitsubishi HC Capital, Inc. 3.56%, 2/28/2024 (c) | 524 | 519 |
Mitsubishi UFJ Financial Group, Inc. | ||
2.80%, 7/18/2024 | 404 | 395 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (d) | 1,723 | 1,657 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (a) (d) | 932 | 900 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (d) | 1,195 | 1,056 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (d) | 3,000 | 2,632 |
Mizuho Financial Group, Inc. | ||
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (d) | 1,140 | 1,069 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (d) | 1,210 | 1,066 |
Nippon Life Insurance Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 2.75%, 1/21/2051 (c) (d) | 1,276 | 980 |
NTT Finance Corp. 4.14%, 7/26/2024 (c) | 200 | 197 |
Sumitomo Mitsui Financial Group, Inc. 2.45%, 9/27/2024 | 450 | 436 |
Suntory Holdings Ltd. 2.25%, 10/16/2024 (c) | 250 | 241 |
Universal Entertainment Corp. 8.75%, 12/11/2024 (c) (h) | 824 | 853 |
12,001 | ||
Kazakhstan — 0.0% ^ | ||
KazMunayGas National Co. JSC | ||
5.75%, 4/19/2047 (b) | 1,380 | 1,023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Kazakhstan — continued | ||
6.38%, 10/24/2048 (b) | 1,040 | 814 |
Tengizchevroil Finance Co. International Ltd. 4.00%, 8/15/2026 (b) | 800 | 712 |
2,549 | ||
Luxembourg — 0.2% | ||
Altice Financing SA 5.75%, 8/15/2029 (c) | 3,756 | 2,905 |
Altice France Holding SA 10.50%, 5/15/2027 (c) | 4,564 | 2,483 |
INEOS Finance plc 6.75%, 5/15/2028 (a) (c) | 1,677 | 1,566 |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (c) | 12,381 | 10,871 |
Intelsat Jackson Holdings SA, Escrow 5.50%, 8/1/2023 ‡ (i) | 10,554 | 1 |
17,826 | ||
Macau — 0.2% | ||
Champion Path Holdings Ltd. 4.85%, 1/27/2028 (b) | 2,500 | 1,945 |
MGM China Holdings Ltd. 4.75%, 2/1/2027 (b) | 1,400 | 1,225 |
Sands China Ltd. 5.65%, 8/8/2028 (h) | 950 | 876 |
Studio City Finance Ltd. | ||
6.00%, 7/15/2025 (b) | 2,400 | 2,246 |
6.50%, 1/15/2028 (b) | 900 | 735 |
5.00%, 1/15/2029 (b) | 2,350 | 1,677 |
Wynn Macau Ltd. | ||
5.50%, 1/15/2026 (b) | 2,300 | 2,119 |
5.63%, 8/26/2028 (b) | 3,700 | 3,082 |
13,905 | ||
Malaysia — 0.0% ^ | ||
Gohl Capital Ltd. 4.25%, 1/24/2027 (b) | 300 | 274 |
Mexico — 0.2% | ||
Alfa SAB de CV 6.88%, 3/25/2044 (c) | 712 | 636 |
Braskem Idesa SAPI 7.45%, 11/15/2029 (b) | 950 | 602 |
Petroleos Mexicanos | ||
4.88%, 1/18/2024 | 350 | 347 |
4.25%, 1/15/2025 | 1,020 | 972 |
6.88%, 10/16/2025 | 510 | 489 |
6.88%, 8/4/2026 | 1,605 | 1,474 |
6.49%, 1/23/2027 | 470 | 415 |
5.35%, 2/12/2028 | 1,900 | 1,526 |
6.50%, 1/23/2029 | 420 | 339 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 55 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Mexico — continued | ||
5.95%, 1/28/2031 | 1,460 | 1,033 |
6.70%, 2/16/2032 | 1,767 | 1,290 |
10.00%, 2/7/2033 (c) | 725 | 643 |
10.00%, 2/7/2033 (b) | 600 | 532 |
5.63%, 1/23/2046 | 1,999 | 1,055 |
6.75%, 9/21/2047 | 850 | 481 |
6.35%, 2/12/2048 | 500 | 273 |
7.69%, 1/23/2050 | 3,227 | 1,993 |
6.95%, 1/28/2060 | 2,100 | 1,189 |
15,289 | ||
Morocco — 0.0% ^ | ||
OCP SA 6.88%, 4/25/2044 (b) | 430 | 352 |
Netherlands — 0.4% | ||
ABN AMRO Bank NV (EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (b) (d) (e) (f) (g) | EUR5,700 | 5,513 |
Cooperatieve Rabobank UA | ||
(SOFRINDX + 0.30%), 5.63%, 1/12/2024 (d) | 272 | 272 |
3.88%, 8/22/2024 | 438 | 431 |
4.38%, 8/4/2025 | 1,600 | 1,537 |
3.75%, 7/21/2026 | 1,694 | 1,574 |
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (b) (d) (e) (f) (g) | EUR6,000 | 5,597 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (c) (d) | 2,400 | 2,102 |
ING Groep NV | ||
3.55%, 4/9/2024 | 423 | 418 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (d) (e) (f) (g) | 7,448 | 6,551 |
3.95%, 3/29/2027 | 3,300 | 3,055 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (d) (e) (f) (g) | 5,500 | 3,838 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.71%), 7.50%, 5/16/2028 (b) (d) (e) (f) (g) | 2,181 | 1,952 |
Trivium Packaging Finance BV | ||
5.50%, 8/15/2026 (c) (h) | 1,941 | 1,759 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Netherlands — continued | ||
8.50%, 8/15/2027 (c) (h) | 2,181 | 1,820 |
UPC Broadband Finco BV 4.88%, 7/15/2031 (c) | 270 | 216 |
36,635 | ||
New Zealand — 0.0% ^ | ||
ASB Bank Ltd. 3.13%, 5/23/2024 (c) | 293 | 288 |
Norway — 0.1% | ||
DNB Bank ASA | ||
(SOFRINDX + 0.81%), 2.97%, 3/28/2025 (c) (d) | 2,955 | 2,913 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (c) (d) | 3,028 | 2,742 |
(SOFRINDX + 1.95%), 5.90%, 10/9/2026 (c) (d) | 1,531 | 1,522 |
Seadrill Finance Ltd. 8.38%, 8/1/2030 (c) | 1,112 | 1,112 |
8,289 | ||
Panama — 0.0% ^ | ||
AES Panama Generation Holdings SRL 4.38%, 5/31/2030 (c) | 951 | 771 |
Paraguay — 0.0% ^ | ||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (c) | 374 | 257 |
Peru — 0.0% ^ | ||
Petroleos del Peru SA | ||
4.75%, 6/19/2032 (c) | 1,400 | 931 |
5.63%, 6/19/2047 (b) | 600 | 327 |
1,258 | ||
Philippines — 0.0% ^ | ||
Globe Telecom, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.53%), 4.20%, 8/2/2026 (b) (d) (f) (g) | 1,700 | 1,571 |
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) | 2,100 | 1,890 |
3,461 | ||
Singapore — 0.0% ^ | ||
GLP Pte. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.74%), 4.50%, 5/17/2026 (b) (d) (f) (g) | 1,400 | 402 |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
South Africa — 0.0% ^ | ||
Eskom Holdings SOC Ltd. 7.13%, 2/11/2025 (b) | 1,150 | 1,127 |
Transnet SOC Ltd. 8.25%, 2/6/2028 (c) | 1,000 | 945 |
2,072 | ||
South Korea — 0.0% ^ | ||
Hana Bank (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.41%), 3.50%, 10/19/2026 (c) (d) (e) (f) (g) | 250 | 220 |
Hanwha Life Insurance Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.85%), 3.38%, 2/4/2032 (b) (d) | 900 | 798 |
Kia Corp. 1.00%, 4/16/2024 (c) | 710 | 693 |
1,711 | ||
Spain — 0.4% | ||
Banco Bilbao Vizcaya Argentaria SA | ||
(EUR Swap Annual 5 Year + 6.46%), 6.00%, 1/15/2026 (b) (d) (e) (f) (g) | EUR4,000 | 3,974 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (d) | 6,600 | 6,502 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (d) (e) (f) (g) | 8,150 | 7,859 |
Banco Santander SA | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 5.74%, 6/30/2024 (d) | 6,800 | 6,778 |
3.50%, 3/24/2025 | 6,600 | 6,348 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 4.75%, 11/12/2026 (d) (e) (f) (g) | 2,200 | 1,582 |
Grifols SA 4.75%, 10/15/2028 (a) (c) | 3,524 | 2,960 |
Telefonica Emisiones SA 4.67%, 3/6/2038 | 308 | 239 |
36,242 | ||
Sweden — 0.1% | ||
Skandinaviska Enskilda Banken AB 1.20%, 9/9/2026 (a) (c) | 2,385 | 2,089 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Sweden — continued | ||
Svenska Handelsbanken AB | ||
5.50%, 6/15/2028 (c) | 3,875 | 3,733 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (b) (d) (e) (f) (g) | 3,200 | 2,385 |
8,207 | ||
Switzerland — 0.4% | ||
Credit Suisse AG | ||
4.75%, 8/9/2024 | 3,250 | 3,207 |
3.63%, 9/9/2024 | 3,360 | 3,275 |
UBS AG (SOFR + 0.45%), 5.83%, 8/9/2024 (c) (d) | 420 | 419 |
UBS Group AG | ||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (b) (d) (e) (f) (g) | 6,310 | 6,113 |
(USD Swap Semi 5 Year + 4.59%), 6.88%, 8/7/2025 (b) (d) (e) (f) (g) | 1,990 | 1,872 |
(SOFR + 1.56%), 2.59%, 9/11/2025 (c) (d) | 2,035 | 1,963 |
4.13%, 4/15/2026 (c) | 7,170 | 6,788 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (c) (d) | 735 | 712 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.86%), 5.13%, 7/29/2026 (b) (d) (e) (f) (g) | 1,577 | 1,400 |
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (c) (d) | 250 | 221 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.40%), 4.88%, 2/12/2027 (c) (d) (e) (f) (g) | 1,931 | 1,588 |
VistaJet Malta Finance plc 9.50%, 6/1/2028 (a) (c) | 2,150 | 1,647 |
29,205 | ||
Thailand — 0.1% | ||
Bangkok Bank PCL | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.73%), 5.00%, 9/23/2025 (b) (d) (e) (f) (g) | 1,200 | 1,119 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 57 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Thailand — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.73%, 9/25/2034 (b) (d) (e) | 700 | 567 |
Kasikornbank PCL (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.34%, 10/2/2031 (b) (d) (e) | 600 | 529 |
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) | 2,500 | 2,218 |
Thaioil Treasury Center Co. Ltd. 4.88%, 1/23/2043 (b) | 500 | 368 |
4,801 | ||
United Kingdom — 1.6% | ||
180 Medical, Inc. 3.88%, 10/15/2029 (c) | 2,570 | 2,135 |
Barclays plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (a) (d) | 5,035 | 5,003 |
(3-MONTH SOFR + 1.61%), 3.93%, 5/7/2025 (d) | 4,340 | 4,281 |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 6.38%, 12/15/2025 (b) (d) (e) (f) (g) | GBP400 | 433 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.43%), 8.00%, 3/15/2029 (d) (e) (f) (g) | 3,196 | 2,827 |
BAT Capital Corp. 4.39%, 8/15/2037 | 232 | 169 |
BP Capital Markets plc | ||
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 3.89%), 4.25%, 3/22/2027 (b) (d) (f) (g) | GBP2,300 | 2,499 |
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (b) (d) (f) (g) | EUR7,400 | 6,871 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (f) (g) | 2,553 | 2,222 |
British Telecommunications plc 4.50%, 12/4/2023 | 250 | 250 |
Drax Finco plc 6.63%, 11/1/2025 (c) | 348 | 335 |
HSBC Holdings plc | ||
(SOFR + 0.58%), 1.16%, 11/22/2024 (d) | 5,727 | 5,710 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United Kingdom — continued | ||
(3-MONTH CME TERM SOFR + 1.47%), 3.80%, 3/11/2025 (d) | 2,140 | 2,118 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (d) | 2,280 | 2,204 |
(SOFR + 1.54%), 1.65%, 4/18/2026 (d) | 4,590 | 4,268 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.00%, 3/7/2028 (d) (e) (f) (g) | 10,279 | 10,086 |
(EUR Swap Annual 5 Year + 3.84%), 4.75%, 7/4/2029 (b) (d) (e) (f) (g) | EUR330 | 287 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (d) (e) (f) (g) | 7,441 | 5,380 |
INEOS Quattro Finance 2 plc 3.38%, 1/15/2026 (c) | 1,410 | 1,347 |
Ithaca Energy North Sea plc 9.00%, 7/15/2026 (c) | 883 | 848 |
Lloyds Banking Group plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (d) | 3,180 | 3,123 |
4.65%, 3/24/2026 | 3,000 | 2,841 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.75%, 6/27/2026 (d) (e) (f) (g) | 6,083 | 5,607 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (d) | 2,920 | 2,830 |
Macquarie Airfinance Holdings Ltd. 8.38%, 5/1/2028 (c) | 1,111 | 1,107 |
Nationwide Building Society | ||
1.00%, 8/28/2025 (c) | 2,365 | 2,156 |
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (b) (d) (e) (f) (g) | GBP3,950 | 4,072 |
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (d) (e) (f) (g) | 6,996 | 6,409 |
NatWest Markets plc | ||
0.80%, 8/12/2024 (c) | 675 | 647 |
1.60%, 9/29/2026 (a) (c) | 2,312 | 2,028 |
Reckitt Benckiser Treasury Services plc 2.75%, 6/26/2024 (c) | 440 | 431 |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
Santander UK Group Holdings plc | ||
(3-MONTH SOFR + 1.57%), 4.80%, 11/15/2024 (d) | 3,575 | 3,573 |
(SOFR + 0.79%), 1.09%, 3/15/2025 (d) | 5,329 | 5,204 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (d) | 250 | 226 |
(SOFR + 2.75%), 6.83%, 11/21/2026 (d) | 5,100 | 5,092 |
(SOFR + 0.99%), 1.67%, 6/14/2027 (d) | 2,470 | 2,153 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (d) | 1,270 | 1,242 |
Standard Chartered plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (c) (d) | 3,655 | 3,611 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.66%), 6.00%, 7/26/2025 (b) (d) (e) (f) (g) | 1,700 | 1,597 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (c) (d) | 3,030 | 3,072 |
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (c) (d) | 1,535 | 1,460 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (c) (d) | 1,105 | 1,062 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.17%, 1/9/2027 (c) (d) | 2,227 | 2,211 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.98%), 7.75%, 8/15/2027 (c) (d) (e) (f) (g) | 3,525 | 3,382 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (b) (d) | 800 | 781 |
Virgin Media Finance plc 5.00%, 7/15/2030 (c) | 835 | 656 |
Virgin Media Secured Finance plc 5.50%, 5/15/2029 (c) | 3,725 | 3,298 |
Vmed O2 UK Financing I plc 4.75%, 7/15/2031 (c) | 200 | 161 |
Vodafone Group plc | ||
3.75%, 1/16/2024 | 468 | 466 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United Kingdom — continued | ||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (d) | 2,328 | 2,251 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.13%, 6/4/2081 (d) | 7,100 | 5,367 |
137,389 | ||
United States — 25.2% | ||
7-Eleven, Inc. 0.80%, 2/10/2024 (c) | 443 | 436 |
AbbVie, Inc. | ||
2.60%, 11/21/2024 | 450 | 435 |
4.05%, 11/21/2039 | 166 | 130 |
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (c) | 1,014 | 1,027 |
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (c) | 3,189 | 2,944 |
5.00%, 4/15/2029 (c) | 2,490 | 2,220 |
ACCO Brands Corp. 4.25%, 3/15/2029 (c) | 5,180 | 4,299 |
ACI Worldwide, Inc. 5.75%, 8/15/2026 (c) | 4,030 | 3,858 |
Acushnet Co. 7.38%, 10/15/2028 (c) | 767 | 768 |
Adient Global Holdings Ltd. | ||
4.88%, 8/15/2026 (c) | 1,876 | 1,747 |
7.00%, 4/15/2028 (c) | 2,876 | 2,831 |
8.25%, 4/15/2031 (c) | 4,771 | 4,643 |
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (c) | 3,600 | 3,088 |
4.88%, 7/15/2032 (c) | 6,428 | 5,377 |
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (c) | 1,137 | 1,035 |
Advanced Drainage Systems, Inc. | ||
5.00%, 9/30/2027 (c) | 777 | 725 |
6.38%, 6/15/2030 (c) | 466 | 440 |
AECOM 5.13%, 3/15/2027 | 364 | 344 |
Aetna, Inc. 3.88%, 8/15/2047 | 257 | 169 |
Air Lease Corp. | ||
0.70%, 2/15/2024 | 2,038 | 2,005 |
2.30%, 2/1/2025 | 1,530 | 1,452 |
3.75%, 6/1/2026 | 70 | 66 |
5.85%, 12/15/2027 | 1,050 | 1,026 |
5.30%, 2/1/2028 | 551 | 527 |
Albertsons Cos., Inc. | ||
3.25%, 3/15/2026 (c) | 3,800 | 3,510 |
4.63%, 1/15/2027 (c) | 7,182 | 6,731 |
5.88%, 2/15/2028 (c) | 2,776 | 2,659 |
3.50%, 3/15/2029 (c) | 5,098 | 4,347 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 59 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
4.88%, 2/15/2030 (c) | 744 | 664 |
Alcoa Nederland Holding BV 5.50%, 12/15/2027 (c) | 7,080 | 6,710 |
Alexandria Real Estate Equities, Inc., REIT | ||
2.75%, 12/15/2029 | 80 | 65 |
2.95%, 3/15/2034 | 30 | 22 |
Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (c) | 347 | 344 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (c) | 1,676 | 1,570 |
4.63%, 6/1/2028 (c) | 3,640 | 2,972 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (c) | 3,417 | 3,116 |
5.88%, 6/1/2029 (a) (c) | 7,583 | 7,030 |
3.75%, 1/30/2031 (c) | 1,315 | 1,042 |
Allstate Corp. (The) (3-MONTH SOFR + 2.12%), 6.50%, 5/15/2057 (d) | 3,103 | 2,760 |
Ally Financial, Inc. | ||
5.75%, 11/20/2025 (a) | 2,515 | 2,402 |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (d) (f) (g) | 5,871 | 3,428 |
Altria Group, Inc. 4.80%, 2/14/2029 | 83 | 78 |
AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/15/2026 (c) (j) | 1 | — |
Ameren Corp. 2.50%, 9/15/2024 | 710 | 689 |
American Airlines, Inc. | ||
5.50%, 4/20/2026 (c) | 6,723 | 6,538 |
5.75%, 4/20/2029 (c) | 5,280 | 4,763 |
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 954 | 923 |
6.50%, 4/1/2027 (a) | 3,795 | 3,577 |
6.88%, 7/1/2028 (a) | 6,264 | 5,583 |
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (c) | 3,045 | 2,733 |
American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (d) | 5,173 | 4,062 |
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (d) (f) (g) | 5,142 | 4,036 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
American International Group, Inc. Series A-9, (3-MONTH SOFR + 2.87%), 5.75%, 4/1/2048 (d) | 1,908 | 1,736 |
American Tower Corp., REIT | ||
1.45%, 9/15/2026 | 100 | 88 |
1.50%, 1/31/2028 | 337 | 277 |
2.10%, 6/15/2030 | 125 | 95 |
AmeriGas Partners LP | ||
5.50%, 5/20/2025 | 3,413 | 3,271 |
5.88%, 8/20/2026 | 2,380 | 2,231 |
5.75%, 5/20/2027 (a) | 1,024 | 941 |
9.38%, 6/1/2028 (c) | 1,735 | 1,715 |
Amkor Technology, Inc. 6.63%, 9/15/2027 (c) | 4,701 | 4,576 |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (c) | 50 | 45 |
ANGI Group LLC 3.88%, 8/15/2028 (a) (c) | 1,433 | 1,075 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (c) | 3,474 | 3,499 |
5.75%, 3/1/2027 (c) | 410 | 392 |
5.75%, 1/15/2028 (c) | 2,615 | 2,452 |
5.38%, 6/15/2029 (c) | 3,742 | 3,398 |
Antero Resources Corp. | ||
8.38%, 7/15/2026 (c) | 2,242 | 2,306 |
7.63%, 2/1/2029 (c) | 739 | 748 |
5.38%, 3/1/2030 (c) | 1,207 | 1,101 |
APi Group DE, Inc. | ||
4.13%, 7/15/2029 (c) | 2,586 | 2,109 |
4.75%, 10/15/2029 (c) | 2,037 | 1,742 |
Apollo Commercial Real Estate Finance, Inc., REIT 4.63%, 6/15/2029 (c) | 1,191 | 912 |
APX Group, Inc. 5.75%, 7/15/2029 (c) | 185 | 154 |
Aramark Services, Inc. 5.00%, 2/1/2028 (c) | 4,045 | 3,710 |
Arches Buyer, Inc. | ||
4.25%, 6/1/2028 (c) | 1,495 | 1,238 |
6.13%, 12/1/2028 (a) (c) | 634 | 512 |
Archrock Partners LP | ||
6.88%, 4/1/2027 (c) | 1,577 | 1,516 |
6.25%, 4/1/2028 (c) | 2,020 | 1,876 |
Arcosa, Inc. 4.38%, 4/15/2029 (c) | 1,126 | 982 |
Ardagh Metal Packaging Finance USA LLC 6.00%, 6/15/2027 (c) | 687 | 649 |
Ardagh Packaging Finance plc | ||
4.13%, 8/15/2026 (c) | 1,385 | 1,222 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
5.25%, 8/15/2027 (c) | 4,434 | 3,223 |
5.25%, 8/15/2027 (a) (c) | 4,481 | 3,257 |
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 412 | 365 |
4.63%, 11/15/2029 (a) (c) | 4,699 | 3,975 |
4.75%, 3/1/2030 | 385 | 327 |
5.00%, 2/15/2032 (a) (c) | 1,004 | 814 |
Ascent Resources Utica Holdings LLC | ||
7.00%, 11/1/2026 (c) | 209 | 202 |
5.88%, 6/30/2029 (c) | 259 | 229 |
ASGN, Inc. 4.63%, 5/15/2028 (c) | 638 | 565 |
AT&T, Inc. 0.90%, 3/25/2024 | 400 | 392 |
Athene Global Funding 0.95%, 1/8/2024 (c) | 5,241 | 5,187 |
ATI, Inc. | ||
5.88%, 12/1/2027 | 1,861 | 1,727 |
4.88%, 10/1/2029 | 1,655 | 1,409 |
7.25%, 8/15/2030 | 1,760 | 1,694 |
5.13%, 10/1/2031 | 1,240 | 1,023 |
Audacy Capital Corp. 6.50%, 5/1/2027 (c) | 7,009 | 88 |
Avantor Funding, Inc. 4.63%, 7/15/2028 (c) | 6,186 | 5,506 |
Avient Corp. 7.13%, 8/1/2030 (c) | 1,075 | 1,034 |
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (c) | 4,563 | 4,178 |
4.75%, 4/1/2028 (a) (c) | 7,475 | 6,414 |
Axalta Coating Systems LLC | ||
4.75%, 6/15/2027 (c) | 4,423 | 4,073 |
3.38%, 2/15/2029 (c) | 4,055 | 3,333 |
Bank of America Corp. | ||
Series X, (3-MONTH CME TERM SOFR + 3.97%), 6.25%, 9/5/2024 (d) (f) (g) | 7,517 | 7,388 |
Series Z, (3-MONTH CME TERM SOFR + 4.44%), 6.50%, 10/23/2024 (d) (f) (g) | 4,620 | 4,559 |
(3-MONTH CME TERM SOFR + 1.23%), 3.46%, 3/15/2025 (d) | 5,025 | 4,965 |
Series AA, (3-MONTH CME TERM SOFR + 4.16%), 6.10%, 3/17/2025 (d) (f) (g) | 2,053 | 1,979 |
(SOFR + 0.91%), 0.98%, 9/25/2025 (d) | 3,125 | 2,974 |
(3-MONTH CME TERM SOFR + 1.13%), 2.46%, 10/22/2025 (d) | 4,500 | 4,325 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
(SOFR + 0.65%), 1.53%, 12/6/2025 (d) | 6,755 | 6,379 |
Series DD, (3-MONTH CME TERM SOFR + 4.81%), 6.30%, 3/10/2026 (d) (f) (g) | 5,185 | 5,045 |
(SOFR + 1.75%), 4.83%, 7/22/2026 (d) | 1,040 | 1,013 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (d) | 2,375 | 2,312 |
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (d) (f) (g) | 1,305 | 1,053 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (a) (d) | 1,175 | 1,051 |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (d) (f) (g) | 3,230 | 3,037 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (d) | 778 | 687 |
Series FF, (3-MONTH CME TERM SOFR + 3.19%), 5.88%, 3/15/2028 (d) (f) (g) | 6,976 | 6,006 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (d) | 320 | 240 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (d) | 3,781 | 2,695 |
Bank of America NA (SOFR + 1.02%), 6.39%, 8/18/2026 (d) | 1,000 | 1,004 |
Bank of New York Mellon Corp. (The) | ||
Series F, (3-MONTH CME TERM SOFR + 3.39%), 4.63%, 9/20/2026 (d) (f) (g) | 7,637 | 6,563 |
(SOFRINDX + 2.07%), 5.83%, 10/25/2033 (d) | 101 | 97 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 50 | 46 |
6.88%, 11/1/2035 | 997 | 880 |
6.75%, 7/1/2036 | 2,296 | 1,980 |
Bausch Health Americas, Inc. 8.50%, 1/31/2027 (c) | 5,791 | 2,591 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (c) | 11,430 | 9,858 |
9.00%, 12/15/2025 (c) | 21,707 | 18,829 |
5.75%, 8/15/2027 (c) | 965 | 502 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 61 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
5.00%, 1/30/2028 (c) | 2,375 | 871 |
4.88%, 6/1/2028 (c) | 4,290 | 2,140 |
5.00%, 2/15/2029 (c) | 4,668 | 1,636 |
6.25%, 2/15/2029 (c) | 2,065 | 754 |
5.25%, 1/30/2030 (c) | 8,398 | 2,908 |
5.25%, 2/15/2031 (c) | 3,262 | 1,142 |
BellRing Brands, Inc. 7.00%, 3/15/2030 (c) | 1,093 | 1,062 |
Berry Petroleum Co. LLC 7.00%, 2/15/2026 (c) | 1,161 | 1,115 |
Big River Steel LLC 6.63%, 1/31/2029 (c) | 2,077 | 2,052 |
Block, Inc. | ||
2.75%, 6/1/2026 | 1,670 | 1,499 |
3.50%, 6/1/2031 (a) | 1,346 | 1,039 |
Blue Racer Midstream LLC | ||
7.63%, 12/15/2025 (c) | 1,522 | 1,524 |
6.63%, 7/15/2026 (c) | 1,510 | 1,480 |
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (c) | 1,328 | 1,118 |
Boise Cascade Co. 4.88%, 7/1/2030 (c) | 852 | 733 |
Boyd Gaming Corp. 4.75%, 6/15/2031 (c) | 983 | 816 |
Boyne USA, Inc. 4.75%, 5/15/2029 (c) | 3,600 | 3,134 |
Brighthouse Financial Global Funding 1.20%, 12/15/2023 (c) | 932 | 927 |
Brightsphere Investment Group, Inc. 4.80%, 7/27/2026 | 289 | 262 |
Brink's Co. (The) 4.63%, 10/15/2027 (c) | 3,355 | 3,034 |
Broadcom, Inc. 4.30%, 11/15/2032 | 145 | 123 |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (c) | 314 | 297 |
Buckeye Partners LP | ||
4.13%, 3/1/2025 (c) | 3,620 | 3,447 |
3.95%, 12/1/2026 | 200 | 182 |
4.50%, 3/1/2028 (c) | 4,360 | 3,793 |
Builders FirstSource, Inc. | ||
5.00%, 3/1/2030 (c) | 1,160 | 1,012 |
4.25%, 2/1/2032 (c) | 2,638 | 2,099 |
6.38%, 6/15/2032 (c) | 2,960 | 2,709 |
Burford Capital Global Finance LLC | ||
6.25%, 4/15/2028 (c) | 343 | 310 |
6.88%, 4/15/2030 (c) | 204 | 184 |
BWX Technologies, Inc. | ||
4.13%, 6/30/2028 (c) | 2,624 | 2,309 |
4.13%, 4/15/2029 (c) | 4,624 | 3,954 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Cable One, Inc. 4.00%, 11/15/2030 (a) (c) | 1,284 | 957 |
Caesars Entertainment, Inc. | ||
6.25%, 7/1/2025 (c) | 7,034 | 6,921 |
8.13%, 7/1/2027 (c) | 75 | 74 |
4.63%, 10/15/2029 (c) | 2,125 | 1,746 |
California Resources Corp. 7.13%, 2/1/2026 (c) | 6,640 | 6,665 |
Calpine Corp. | ||
5.25%, 6/1/2026 (c) | 2,480 | 2,374 |
4.63%, 2/1/2029 (c) | 942 | 796 |
5.00%, 2/1/2031 (c) | 1,182 | 953 |
Capital One Financial Corp. | ||
(SOFR + 0.69%), 1.34%, 12/6/2024 (d) | 4,335 | 4,291 |
Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (d) (f) (g) | 7,699 | 5,358 |
Cardinal Health, Inc. 3.08%, 6/15/2024 | 468 | 460 |
Carnival Corp. | ||
5.75%, 3/1/2027 (c) | 3,999 | 3,571 |
4.00%, 8/1/2028 (c) | 3,156 | 2,745 |
6.00%, 5/1/2029 (c) | 1,598 | 1,350 |
7.00%, 8/15/2029 (c) | 1,239 | 1,215 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (c) | 3,159 | 3,368 |
Carpenter Technology Corp. | ||
6.38%, 7/15/2028 | 1,466 | 1,394 |
7.63%, 3/15/2030 | 870 | 859 |
Cars.com, Inc. 6.38%, 11/1/2028 (c) | 980 | 872 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (c) | 2,038 | 1,819 |
3.13%, 2/15/2029 (c) | 940 | 739 |
CCO Holdings LLC | ||
5.13%, 5/1/2027 (c) | 14,311 | 13,176 |
5.00%, 2/1/2028 (c) | 12,066 | 10,835 |
5.38%, 6/1/2029 (c) | 8,591 | 7,520 |
4.75%, 3/1/2030 (c) | 24,451 | 20,170 |
4.50%, 8/15/2030 (c) | 6,700 | 5,372 |
4.25%, 2/1/2031 (c) | 11,276 | 8,775 |
4.75%, 2/1/2032 (c) | 725 | 566 |
4.25%, 1/15/2034 (c) | 3,210 | 2,319 |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) (c) | 4,976 | 4,756 |
CDW LLC 4.25%, 4/1/2028 | 4,000 | 3,636 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Cedar Fair LP | ||
5.38%, 4/15/2027 | 1,705 | 1,579 |
5.25%, 7/15/2029 | 2,275 | 1,959 |
Centene Corp. 3.38%, 2/15/2030 | 5,040 | 4,167 |
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 6,555 | 6,053 |
4.13%, 10/15/2030 (a) | 3,294 | 2,687 |
Charles Schwab Corp. (The) | ||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (d) (f) (g) | 1,177 | 1,118 |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (f) (g) | 11,623 | 7,932 |
Chart Industries, Inc. | ||
7.50%, 1/1/2030 (c) | 2,083 | 2,045 |
9.50%, 1/1/2031 (c) | 511 | 526 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) (c) | 7,467 | 6,315 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 4,325 | 3,872 |
4.00%, 3/1/2031 | 1,000 | 837 |
3.25%, 1/31/2032 | 170 | 132 |
Chesapeake Energy Corp. | ||
5.88%, 2/1/2029 (c) | 575 | 541 |
6.75%, 4/15/2029 (c) | 7,169 | 7,015 |
Chord Energy Corp. 6.38%, 6/1/2026 (c) | 4,243 | 4,166 |
Churchill Downs, Inc. 4.75%, 1/15/2028 (c) | 197 | 176 |
Ciena Corp. 4.00%, 1/31/2030 (c) | 4,011 | 3,342 |
Cinemark USA, Inc. | ||
8.75%, 5/1/2025 (c) | 600 | 606 |
5.25%, 7/15/2028 (a) (c) | 1,820 | 1,572 |
Citigroup, Inc. | ||
Series M, (3-MONTH CME TERM SOFR + 3.68%), 6.30%, 5/15/2024 (d) (f) (g) | 6,073 | 5,889 |
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (f) (g) | 4,826 | 4,567 |
(SOFR + 0.69%), 6.00%, 10/30/2024 (d) | 7,003 | 6,980 |
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (d) (f) (g) | 2,596 | 2,321 |
(3-MONTH CME TERM SOFR + 1.16%), 3.35%, 4/24/2025 (d) | 4,255 | 4,189 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
(SOFR + 0.67%), 0.98%, 5/1/2025 (d) | 4,420 | 4,290 |
Series P, (3-MONTH CME TERM SOFR + 4.17%), 5.95%, 5/15/2025 (d) (f) (g) | 3,896 | 3,704 |
4.40%, 6/10/2025 | 4,100 | 3,968 |
5.50%, 9/13/2025 | 1,830 | 1,804 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (f) (g) | 5,409 | 4,644 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (d) | 2,245 | 2,120 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (f) (g) | 8,855 | 7,424 |
Series T, (3-MONTH CME TERM SOFR + 4.78%), 6.25%, 8/15/2026 (d) (f) (g) | 5,444 | 5,111 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (d) | 4,100 | 4,047 |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (d) | 446 | 420 |
Citizens Financial Group, Inc. | ||
Series B, (3-MONTH CME TERM SOFR + 3.26%), 8.69%, 1/6/2024 (d) (f) (g) | 737 | 626 |
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (d) (f) (g) | 4,528 | 3,083 |
Civitas Resources, Inc. | ||
5.00%, 10/15/2026 (c) | 407 | 381 |
8.38%, 7/1/2028 (c) | 2,682 | 2,699 |
8.63%, 11/1/2030 (c) | 2,286 | 2,327 |
8.75%, 7/1/2031 (c) | 2,385 | 2,407 |
Clarios Global LP | ||
6.75%, 5/15/2025 (c) | 2,400 | 2,381 |
6.25%, 5/15/2026 (c) | 6,205 | 6,066 |
8.50%, 5/15/2027 (c) | 3,043 | 2,996 |
6.75%, 5/15/2028 (c) | 2,312 | 2,254 |
Clarivate Science Holdings Corp. | ||
3.88%, 7/1/2028 (c) | 2,136 | 1,834 |
4.88%, 7/1/2029 (c) | 2,478 | 2,090 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) (c) | 7,018 | 6,238 |
7.50%, 6/1/2029 (a) (c) | 10,783 | 7,849 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 63 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Cleveland-Cliffs, Inc. | ||
4.63%, 3/1/2029 (a) (c) | 3,643 | 3,140 |
6.75%, 4/15/2030 (c) | 1,728 | 1,602 |
4.88%, 3/1/2031 (c) | 1,772 | 1,462 |
Clydesdale Acquisition Holdings, Inc. 6.63%, 4/15/2029 (c) | 197 | 179 |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (d) | 4,445 | 3,686 |
CNX Midstream Partners LP 4.75%, 4/15/2030 (c) | 828 | 682 |
CNX Resources Corp. 7.38%, 1/15/2031 (a) (c) | 2,096 | 2,003 |
Coeur Mining, Inc. 5.13%, 2/15/2029 (a) (c) | 808 | 673 |
Cogent Communications Group, Inc. | ||
3.50%, 5/1/2026 (c) | 1,158 | 1,048 |
7.00%, 6/15/2027 (a) (c) | 55 | 52 |
Coherent Corp. 5.00%, 12/15/2029 (c) | 7,814 | 6,631 |
Coinbase Global, Inc. | ||
3.38%, 10/1/2028 (c) | 1,458 | 1,071 |
3.63%, 10/1/2031 (c) | 1,212 | 824 |
Commercial Metals Co. 3.88%, 2/15/2031 | 1,008 | 817 |
Commonwealth Edison Co. 3.10%, 11/1/2024 | 234 | 228 |
CommScope Technologies LLC 6.00%, 6/15/2025 (c) | 3,840 | 2,304 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) (c) | 5,095 | 4,280 |
8.25%, 3/1/2027 (a) (c) | 10,030 | 4,162 |
4.75%, 9/1/2029 (a) (c) | 4,840 | 3,303 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (c) | 6,097 | 5,573 |
5.63%, 3/15/2027 (c) | 2,083 | 1,692 |
6.00%, 1/15/2029 (c) | 2,259 | 1,711 |
5.25%, 5/15/2030 (c) | 4,773 | 3,390 |
4.75%, 2/15/2031 (c) | 2,275 | 1,525 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (c) | 6,916 | 6,294 |
5.88%, 1/15/2030 (c) | 2,112 | 1,806 |
Conduent Business Services LLC 6.00%, 11/1/2029 (c) | 4,650 | 3,833 |
Consensus Cloud Solutions, Inc. 6.50%, 10/15/2028 (c) | 1,099 | 911 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Consolidated Communications, Inc. | ||
5.00%, 10/1/2028 (c) | 50 | 38 |
6.50%, 10/1/2028 (c) | 360 | 284 |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | 478 | 476 |
Cooper-Standard Automotive, Inc. | ||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (c) (j) | 12,750 | 12,849 |
10.63% (PIK), 5/15/2027 (a) (c) (j) | 7,609 | 4,727 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.88%, 12/15/2052 (d) | 4,646 | 4,292 |
CoreCivic, Inc. 8.25%, 4/15/2026 | 4,488 | 4,544 |
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (c) | 1,178 | 861 |
Coty, Inc. | ||
5.00%, 4/15/2026 (c) | 3,578 | 3,418 |
6.50%, 4/15/2026 (c) | 960 | 946 |
4.75%, 1/15/2029 (c) | 740 | 655 |
Cox Communications, Inc. | ||
3.15%, 8/15/2024 (c) | 250 | 244 |
4.80%, 2/1/2035 (c) | 190 | 160 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (c) | 4,340 | 4,371 |
Crestwood Midstream Partners LP | ||
5.75%, 4/1/2025 | 2,000 | 1,975 |
8.00%, 4/1/2029 (c) | 4,797 | 4,903 |
7.38%, 2/1/2031 (c) | 995 | 1,003 |
Crown Castle, Inc., REIT | ||
3.65%, 9/1/2027 | 250 | 227 |
2.10%, 4/1/2031 | 170 | 126 |
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 1,184 | 1,107 |
5.38%, 2/1/2028 (c) | 4,380 | 3,488 |
11.25%, 5/15/2028 (c) | 1,567 | 1,495 |
6.50%, 2/1/2029 (c) | 8,099 | 6,404 |
4.50%, 11/15/2031 (c) | 2,303 | 1,521 |
CTR Partnership LP, REIT 3.88%, 6/30/2028 (c) | 1,317 | 1,106 |
Cumulus Media New Holdings, Inc. 6.75%, 7/1/2026 (c) | 1,494 | 1,068 |
CVS Health Corp. | ||
2.63%, 8/15/2024 | 474 | 462 |
4.78%, 3/25/2038 | 255 | 211 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Dana, Inc. 5.63%, 6/15/2028 | 3,421 | 3,100 |
DaVita, Inc. | ||
4.63%, 6/1/2030 (c) | 7,530 | 5,901 |
3.75%, 2/15/2031 (c) | 5,501 | 3,954 |
Delek Logistics Partners LP 7.13%, 6/1/2028 (c) | 647 | 589 |
Dell International LLC 4.00%, 7/15/2024 | 285 | 281 |
Deluxe Corp. 8.00%, 6/1/2029 (a) (c) | 1,335 | 1,056 |
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (c) | 1,632 | 1,591 |
Diamond Sports Group LLC 5.38%, 8/15/2026 (c) (i) | 5,398 | 56 |
Directv Financing LLC 5.88%, 8/15/2027 (c) | 3,583 | 3,140 |
Discover Financial Services 3.75%, 3/4/2025 | 1,100 | 1,055 |
Discovery Communications LLC 3.63%, 5/15/2030 (a) | 190 | 158 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 26,602 | 24,408 |
7.75%, 7/1/2026 | 10,126 | 6,785 |
5.25%, 12/1/2026 (c) | 10,065 | 8,119 |
5.75%, 12/1/2028 (c) | 2,450 | 1,779 |
DISH Network Corp. 11.75%, 11/15/2027 (c) | 9,270 | 9,182 |
Dominion Energy, Inc. | ||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (d) (f) (g) | 3,048 | 2,768 |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.35%, 1/15/2027 (d) (f) (g) | 3,942 | 3,207 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (c) | 2,736 | 2,152 |
DT Midstream, Inc. | ||
4.13%, 6/15/2029 (c) | 3,960 | 3,405 |
4.38%, 6/15/2031 (c) | 1,412 | 1,173 |
DTE Energy Co. 4.22%, 11/1/2024 (h) | 301 | 295 |
Duke Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (d) | 5,838 | 4,194 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (c) | 5,847 | 5,044 |
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | 600 | 578 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Edgewell Personal Care Co. | ||
5.50%, 6/1/2028 (c) | 1,515 | 1,383 |
4.13%, 4/1/2029 (c) | 2,767 | 2,314 |
Edison International Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.90%), 5.00%, 12/15/2026 (d) (f) (g) | 2,952 | 2,627 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (a) (h) | 1,155 | 1,103 |
Element Solutions, Inc. 3.88%, 9/1/2028 (c) | 696 | 592 |
Elevance Health, Inc. | ||
3.35%, 12/1/2024 | 470 | 457 |
6.10%, 10/15/2052 | 20 | 19 |
Embarq Corp. 8.00%, 6/1/2036 | 4,000 | 2,180 |
Emerald Debt Merger Sub LLC 6.63%, 12/15/2030 (c) | 7,390 | 7,030 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) (c) | 4,656 | 1,831 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (c) | 5,119 | 4,991 |
Encompass Health Corp. | ||
5.75%, 9/15/2025 | 4,690 | 4,559 |
4.75%, 2/1/2030 | 1,845 | 1,594 |
4.63%, 4/1/2031 | 3,450 | 2,872 |
Endo Dac | ||
5.88%, 10/15/2024 (c) (h) | 925 | 620 |
9.50%, 7/31/2027 (c) (i) | 2,492 | 179 |
6.00%, 6/30/2028 (c) (i) | 2,563 | 192 |
Endo Luxembourg Finance Co. I SARL 6.13%, 4/1/2029 (c) (h) | 2,045 | 1,350 |
Energizer Holdings, Inc. | ||
6.50%, 12/31/2027 (c) | 1,978 | 1,844 |
4.75%, 6/15/2028 (c) | 4,970 | 4,245 |
4.38%, 3/31/2029 (c) | 6,721 | 5,487 |
Energy Transfer LP 4.20%, 4/15/2027 | 115 | 108 |
EnLink Midstream LLC | ||
5.38%, 6/1/2029 | 803 | 735 |
6.50%, 9/1/2030 (c) | 1,548 | 1,486 |
EnLink Midstream Partners LP | ||
4.85%, 7/15/2026 | 2,940 | 2,764 |
5.60%, 4/1/2044 | 522 | 410 |
Enova International, Inc. 8.50%, 9/15/2025 (c) | 500 | 470 |
EnPro Industries, Inc. 5.75%, 10/15/2026 | 50 | 47 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 65 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Entegris Escrow Corp. | ||
4.75%, 4/15/2029 (c) | 4,216 | 3,776 |
5.95%, 6/15/2030 (c) | 3,877 | 3,547 |
Entegris, Inc. | ||
4.38%, 4/15/2028 (c) | 2,091 | 1,866 |
3.63%, 5/1/2029 (a) (c) | 2,929 | 2,450 |
Enterprise Products Operating LLC Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (d) | 3,752 | 3,220 |
Enviri Corp. 5.75%, 7/31/2027 (a) (c) | 301 | 254 |
Envision Healthcare Corp. 8.75%, 10/15/2026 (c) (i) | 7,419 | 354 |
EQM Midstream Partners LP | ||
6.00%, 7/1/2025 (c) | 797 | 779 |
7.50%, 6/1/2027 (c) | 2,485 | 2,461 |
6.50%, 7/1/2027 (c) | 2,145 | 2,085 |
4.50%, 1/15/2029 (c) | 3,616 | 3,171 |
7.50%, 6/1/2030 (c) | 1,990 | 1,952 |
4.75%, 1/15/2031 (c) | 4,691 | 3,950 |
EQT Corp. 7.00%, 2/1/2030 (h) | 1,165 | 1,180 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (c) | 4,605 | 4,329 |
Equitable Financial Life Global Funding 5.50%, 12/2/2025 (c) | 1,230 | 1,211 |
Equitable Holdings, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), 4.95%, 9/15/2025 (d) (f) (g) | 786 | 716 |
ESC Co., Escrow | ||
8.50%, 10/15/2024 ‡ (i) | 16,148 | 2 |
9.75%, 7/15/2025 ‡ (i) | 1,585 | — |
F&G Global Funding 0.90%, 9/20/2024 (c) | 486 | 461 |
Fair Isaac Corp. 4.00%, 6/15/2028 (c) | 1,245 | 1,109 |
Fertitta Entertainment LLC | ||
4.63%, 1/15/2029 (c) | 208 | 175 |
6.75%, 1/15/2030 (c) | 1,015 | 807 |
Fidelity National Information Services, Inc. 2.25%, 3/1/2031 | 200 | 152 |
Fiserv, Inc. 2.75%, 7/1/2024 | 470 | 460 |
Five Point Operating Co. LP 7.88%, 11/15/2025 (c) | 1,029 | 966 |
Ford Motor Credit Co. LLC | ||
3.37%, 11/17/2023 | 3,295 | 3,291 |
4.69%, 6/9/2025 | 9,424 | 9,103 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
5.13%, 6/16/2025 | 7,621 | 7,415 |
4.13%, 8/4/2025 | 3,842 | 3,662 |
3.38%, 11/13/2025 | 5,380 | 5,021 |
4.39%, 1/8/2026 | 5,270 | 4,995 |
6.95%, 3/6/2026 | 1,712 | 1,715 |
6.95%, 6/10/2026 | 1,864 | 1,869 |
4.54%, 8/1/2026 | 2,052 | 1,930 |
2.70%, 8/10/2026 | 2,049 | 1,837 |
4.27%, 1/9/2027 | 8,068 | 7,465 |
3.82%, 11/2/2027 | 2,940 | 2,621 |
2.90%, 2/16/2028 | 1,455 | 1,238 |
6.80%, 5/12/2028 | 1,944 | 1,938 |
2.90%, 2/10/2029 | 880 | 720 |
7.20%, 6/10/2030 | 896 | 895 |
4.00%, 11/13/2030 | 2,774 | 2,285 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (c) | 185 | 169 |
5.00%, 5/1/2028 (c) | 8,523 | 7,359 |
6.75%, 5/1/2029 (a) (c) | 1,345 | 1,064 |
5.88%, 11/1/2029 | 50 | 38 |
6.00%, 1/15/2030 (c) | 114 | 86 |
8.75%, 5/15/2030 (c) | 1,793 | 1,708 |
Gannett Holdings LLC 6.00%, 11/1/2026 (c) | 1,624 | 1,364 |
Gap, Inc. (The) 3.63%, 10/1/2029 (c) | 2,320 | 1,773 |
Gartner, Inc. | ||
4.50%, 7/1/2028 (c) | 2,355 | 2,119 |
3.63%, 6/15/2029 (c) | 2,138 | 1,805 |
3.75%, 10/1/2030 (c) | 469 | 388 |
GCI LLC 4.75%, 10/15/2028 (c) | 9,465 | 8,122 |
General Motors Financial Co., Inc. 4.30%, 4/6/2029 | 70 | 62 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 1,133 | 1,088 |
7.75%, 2/1/2028 | 3,106 | 2,925 |
8.88%, 4/15/2030 | 2,135 | 2,064 |
GEO Group, Inc. (The) 10.50%, 6/30/2028 | 2,281 | 2,275 |
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (a) (c) | 550 | 545 |
Glatfelter Corp. 4.75%, 11/15/2029 (a) (c) | 2,320 | 1,524 |
Global Infrastructure Solutions, Inc. | ||
5.63%, 6/1/2029 (c) | 3,370 | 2,696 |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
7.50%, 4/15/2032 (c) | 2,580 | 2,110 |
Global Medical Response, Inc. 6.50%, 10/1/2025 (c) | 2,285 | 1,451 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 195 | 164 |
2.90%, 11/15/2031 | 55 | 42 |
Go Daddy Operating Co. LLC 3.50%, 3/1/2029 (c) | 135 | 113 |
Goldman Sachs Capital II (3-MONTH CME TERM SOFR + 1.03%), 6.44%, 12/8/2023 (d) (f) (g) | 2,351 | 1,824 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.51%), 5.85%, 9/10/2024 (d) | 3,585 | 3,576 |
(SOFR + 0.49%), 5.80%, 10/21/2024 (d) | 6,396 | 6,386 |
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 4.40%, 2/10/2025 (d) (f) (g) | 1,733 | 1,448 |
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (f) (g) | 931 | 857 |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (f) (g) | 6,520 | 5,095 |
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (d) (f) (g) | 2,128 | 1,649 |
Series O, (3-MONTH CME TERM SOFR + 4.10%), 5.30%, 11/10/2026 (d) (f) (g) | 2,755 | 2,568 |
(SOFR + 0.82%), 1.54%, 9/10/2027 (d) | 2,103 | 1,830 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (d) | 85 | 75 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (d) | 70 | 62 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (d) | 4,450 | 4,074 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (d) (f) (g) | 6,745 | 6,615 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
(SOFR + 1.26%), 2.65%, 10/21/2032 (d) | 75 | 56 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 (a) | 2,753 | 2,604 |
5.00%, 7/15/2029 (a) | 2,502 | 2,152 |
5.25%, 7/15/2031 (a) | 999 | 814 |
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (c) | 676 | 518 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (c) | 1,971 | 1,242 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) (c) | 6,857 | 5,814 |
4.75%, 10/15/2030 (a) (c) | 2,675 | 1,715 |
Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (c) | 195 | 159 |
Griffon Corp. 5.75%, 3/1/2028 | 3,055 | 2,759 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (c) | 1,271 | 1,094 |
Gulfport Energy Corp. | ||
8.00%, 5/17/2026 | 703 | 702 |
8.00%, 5/17/2026 (c) | 3,215 | 3,210 |
Gulfport Energy Operating Corp. 6.63%, 5/1/2023 ‡ (i) | 745 | — |
Gulfport Energy Operating Corp., Escrow | ||
6.00%, 10/15/2024 ‡ (i) | 4,620 | 3 |
6.38%, 5/15/2025 ‡ (i) | 1,458 | 1 |
6.38%, 1/15/2026 ‡ (i) | 4,130 | 3 |
GYP Holdings III Corp. 4.63%, 5/1/2029 (c) | 514 | 421 |
HCA, Inc. 2.38%, 7/15/2031 | 329 | 245 |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (c) | 334 | 314 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (c) | 3,231 | 3,037 |
Hertz Corp. (The) | ||
7.13%, 8/1/2026 ‡ (i) | 5,505 | 468 |
4.63%, 12/1/2026 (c) | 3,103 | 2,599 |
5.00%, 12/1/2029 (a) (c) | 5,472 | 3,928 |
Hertz Corp. (The), Escrow | ||
6.25%, 10/15/2022 ‡ (i) | 1,106 | 33 |
5.50%, 10/15/2024 ‡ (i) | 11,828 | 355 |
6.00%, 1/15/2028 ‡ (b) (i) | 5,450 | 436 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (c) | 3,440 | 3,331 |
4.25%, 2/15/2030 (c) | 2,278 | 1,949 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 67 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Hewlett Packard Enterprise Co. 5.90%, 10/1/2024 | 318 | 317 |
Hilcorp Energy I LP | ||
6.25%, 11/1/2028 (c) | 540 | 505 |
6.00%, 4/15/2030 (c) | 1,506 | 1,337 |
6.25%, 4/15/2032 (c) | 1,255 | 1,096 |
Hillenbrand, Inc. 5.00%, 9/15/2026 (h) | 815 | 782 |
Hilton Domestic Operating Co., Inc. | ||
5.75%, 5/1/2028 (c) | 2,732 | 2,617 |
3.75%, 5/1/2029 (c) | 1,385 | 1,192 |
4.88%, 1/15/2030 | 1,233 | 1,107 |
HLF Financing SARL LLC 4.88%, 6/1/2029 (c) | 1,163 | 794 |
Holly Energy Partners LP | ||
6.38%, 4/15/2027 (c) | 1,720 | 1,665 |
5.00%, 2/1/2028 (c) | 1,435 | 1,328 |
Hologic, Inc. 3.25%, 2/15/2029 (c) | 4,005 | 3,362 |
Howard Midstream Energy Partners LLC 8.88%, 7/15/2028 (c) | 2,695 | 2,709 |
Howmet Aerospace, Inc. 5.90%, 2/1/2027 | 51 | 50 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 (a) | 3,046 | 2,581 |
Huntington Bancshares, Inc. Series E, (3-MONTH CME TERM SOFR + 3.14%), 8.54%, 1/15/2024 (d) (f) (g) | 3,742 | 3,138 |
Huntington National Bank (The) (SOFR + 1.22%), 5.70%, 11/18/2025 (d) | 1,040 | 1,010 |
Hyundai Capital America | ||
1.65%, 9/17/2026 (c) | 165 | 145 |
2.10%, 9/15/2028 (c) | 83 | 68 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 8,247 | 6,722 |
8.38%, 5/1/2027 (a) | 5,478 | 3,358 |
5.25%, 8/15/2027 (c) | 2,397 | 1,757 |
ILFC E-Capital Trust I (3-MONTH CME TERM SOFR + 1.81%), 7.21%, 12/21/2065 (a) (c) (d) | 6,008 | 4,421 |
ILFC E-Capital Trust II (3-MONTH CME TERM SOFR + 2.06%), 7.46%, 12/21/2065 (c) (d) | 2,205 | 1,640 |
Imola Merger Corp. 4.75%, 5/15/2029 (c) | 7,996 | 6,971 |
Ingles Markets, Inc. 4.00%, 6/15/2031 (c) | 356 | 283 |
Installed Building Products, Inc. 5.75%, 2/1/2028 (c) | 306 | 276 |
IQVIA, Inc. | ||
5.00%, 10/15/2026 (c) | 3,575 | 3,408 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
5.00%, 5/15/2027 (c) | 1,990 | 1,872 |
6.50%, 5/15/2030 (c) | 596 | 578 |
Iron Mountain, Inc., REIT | ||
4.88%, 9/15/2027 (c) | 2,655 | 2,427 |
5.25%, 3/15/2028 (c) | 1,879 | 1,719 |
5.00%, 7/15/2028 (c) | 364 | 326 |
4.50%, 2/15/2031 (c) | 1,746 | 1,428 |
ITC Holdings Corp. | ||
3.65%, 6/15/2024 | 465 | 458 |
2.95%, 5/14/2030 (c) | 155 | 127 |
Jackson Financial, Inc. 1.13%, 11/22/2023 | 406 | 405 |
Jackson National Life Global Funding 3.25%, 1/30/2024 (c) | 756 | 751 |
James Hardie International Finance DAC 5.00%, 1/15/2028 (c) | 1,152 | 1,063 |
JELD-WEN, Inc. | ||
4.63%, 12/15/2025 (c) | 1,249 | 1,179 |
4.88%, 12/15/2027 (a) (c) | 3,250 | 2,755 |
Jersey Central Power & Light Co. 4.70%, 4/1/2024 (c) | 450 | 447 |
KeyBank NA (SOFRINDX + 0.32%), 5.67%, 6/14/2024 (a) (d) | 5,095 | 4,971 |
KFC Holding Co. 4.75%, 6/1/2027 (c) | 508 | 480 |
Kilroy Realty LP, REIT | ||
3.45%, 12/15/2024 | 790 | 762 |
4.75%, 12/15/2028 | 1,275 | 1,123 |
Kimco Realty OP LLC, REIT 2.25%, 12/1/2031 | 46 | 34 |
Kinetik Holdings LP 5.88%, 6/15/2030 (c) | 1,691 | 1,552 |
Knife River Corp. 7.75%, 5/1/2031 (c) | 860 | 857 |
Kontoor Brands, Inc. 4.13%, 11/15/2029 (c) | 410 | 337 |
Korn Ferry 4.63%, 12/15/2027 (c) | 450 | 409 |
LABL, Inc. | ||
6.75%, 7/15/2026 (c) | 2,930 | 2,693 |
10.50%, 7/15/2027 (c) | 834 | 722 |
Ladder Capital Finance Holdings LLLP, REIT 4.75%, 6/15/2029 (c) | 1,067 | 858 |
Lamb Weston Holdings, Inc. | ||
4.13%, 1/31/2030 (c) | 5,755 | 4,882 |
4.38%, 1/31/2032 (c) | 1,243 | 1,028 |
Lear Corp. 2.60%, 1/15/2032 | 25 | 18 |
Level 3 Financing, Inc. | ||
4.63%, 9/15/2027 (c) | 3,892 | 2,588 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
3.63%, 1/15/2029 (c) | 1,239 | 633 |
LGI Homes, Inc. 4.00%, 7/15/2029 (c) | 305 | 233 |
Liberty Interactive LLC 8.25%, 2/1/2030 | 2,370 | 608 |
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) (c) | 1,027 | 676 |
Lithia Motors, Inc. 4.38%, 1/15/2031 (c) | 1,349 | 1,092 |
Live Nation Entertainment, Inc. | ||
4.88%, 11/1/2024 (c) | 2,245 | 2,197 |
5.63%, 3/15/2026 (c) | 5,302 | 5,078 |
6.50%, 5/15/2027 (c) | 6,670 | 6,507 |
4.75%, 10/15/2027 (a) (c) | 6,655 | 6,081 |
3.75%, 1/15/2028 (c) | 1,403 | 1,226 |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (c) | 570 | 469 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (c) | 15,795 | 7,757 |
4.00%, 2/15/2027 (c) | 5,160 | 3,483 |
Series G, 6.88%, 1/15/2028 | 799 | 300 |
4.50%, 1/15/2029 (c) | 1,570 | 430 |
5.38%, 6/15/2029 (c) | 4,316 | 1,325 |
M/I Homes, Inc. | ||
4.95%, 2/1/2028 | 443 | 396 |
3.95%, 2/15/2030 | 853 | 679 |
Macy's Retail Holdings LLC 5.88%, 3/15/2030 (c) | 100 | 85 |
Madison IAQ LLC | ||
4.13%, 6/30/2028 (c) | 630 | 526 |
5.88%, 6/30/2029 (c) | 3,719 | 2,881 |
Magnolia Oil & Gas Operating LLC 6.00%, 8/1/2026 (c) | 500 | 480 |
Mallinckrodt International Finance SA | ||
11.50%, 12/15/2028 (c) (i) | 8,610 | 7,544 |
10.00%, 6/15/2029 (c) (i) | 2,037 | 131 |
Markel Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.66%), 6.00%, 6/1/2025 (d) (f) (g) | 1,310 | 1,267 |
Marriott Ownership Resorts, Inc. | ||
4.75%, 1/15/2028 | 36 | 31 |
4.50%, 6/15/2029 (c) | 971 | 798 |
Masonite International Corp. 5.38%, 2/1/2028 (c) | 1,632 | 1,503 |
MasTec, Inc. 4.50%, 8/15/2028 (c) | 5,891 | 5,167 |
Mauser Packaging Solutions Holding Co. | ||
7.88%, 8/15/2026 (c) | 12,625 | 11,825 |
9.25%, 4/15/2027 (c) | 2,485 | 2,070 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
McAfee Corp. 7.38%, 2/15/2030 (c) | 260 | 208 |
McCormick & Co., Inc. 3.15%, 8/15/2024 | 472 | 462 |
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (c) | 3,445 | 2,903 |
MDC Holdings, Inc. 2.50%, 1/15/2031 | 190 | 139 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (c) | 6,349 | 5,361 |
5.25%, 10/1/2029 (c) | 3,810 | 3,243 |
Mellon Capital IV Series 1, (3-MONTH CME TERM SOFR + 0.83%), 6.22%, 12/8/2023 (d) (f) (g) | 2,027 | 1,540 |
MetLife Capital Trust IV 7.88%, 12/15/2037 (c) | 7,703 | 7,844 |
MetLife, Inc. | ||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 3.85%, 9/15/2025 (d) (e) (f) (g) | 6,557 | 5,962 |
Series D, (3-MONTH CME TERM SOFR + 3.22%), 5.88%, 3/15/2028 (d) (f) (g) | 2,284 | 2,012 |
5.00%, 7/15/2052 | 30 | 24 |
MGIC Investment Corp. 5.25%, 8/15/2028 | 1,176 | 1,081 |
MGM Resorts International | ||
5.75%, 6/15/2025 | 5,817 | 5,688 |
4.63%, 9/1/2026 | 2,640 | 2,453 |
Microchip Technology, Inc. 0.97%, 2/15/2024 | 350 | 345 |
Midcontinent Communications 5.38%, 8/15/2027 (a) (c) | 2,413 | 2,190 |
Midwest Gaming Borrower LLC 4.88%, 5/1/2029 (c) | 714 | 594 |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (c) | 3,341 | 3,301 |
Minerals Technologies, Inc. 5.00%, 7/1/2028 (c) | 265 | 232 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (c) | 1,208 | 959 |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (c) | 1,236 | 1,136 |
Molina Healthcare, Inc. | ||
4.38%, 6/15/2028 (c) | 1,150 | 1,024 |
3.88%, 11/15/2030 (c) | 50 | 41 |
3.88%, 5/15/2032 (c) | 50 | 39 |
Moog, Inc. 4.25%, 12/15/2027 (c) | 630 | 561 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 69 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Morgan Stanley | ||
(SOFR + 0.46%), 5.77%, 1/25/2024 (d) | 3,184 | 3,184 |
(SOFR + 0.51%), 0.79%, 1/22/2025 (d) | 4,460 | 4,393 |
(SOFR + 1.16%), 3.62%, 4/17/2025 (d) | 4,925 | 4,861 |
(SOFR + 1.15%), 2.72%, 7/22/2025 (d) | 5,160 | 5,021 |
(SOFR + 0.56%), 1.16%, 10/21/2025 (d) | 2,275 | 2,152 |
(SOFR + 0.94%), 2.63%, 2/18/2026 (d) | 6,615 | 6,298 |
Series M, 5.87%, 9/15/2026 (f) (g) (h) (k) | 2,945 | 2,397 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (d) | 182 | 160 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (d) | 90 | 84 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (d) | 80 | 58 |
(SOFR + 1.20%), 2.51%, 10/20/2032 (d) | 80 | 60 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d) | 5,321 | 4,825 |
(SOFR + 1.49%), 3.22%, 4/22/2042 (d) | 25 | 17 |
Morgan Stanley Bank NA 4.75%, 4/21/2026 | 525 | 511 |
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (c) | 1,159 | 1,107 |
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (a) (c) | 1,479 | 1,102 |
MPLX LP 4.50%, 4/15/2038 | 141 | 110 |
Mueller Water Products, Inc. 4.00%, 6/15/2029 (c) | 1,264 | 1,081 |
Murphy Oil USA, Inc. | ||
4.75%, 9/15/2029 | 65 | 58 |
3.75%, 2/15/2031 (c) | 1,256 | 1,009 |
Nabors Industries Ltd. 7.25%, 1/15/2026 (c) | 736 | 691 |
Nabors Industries, Inc. 5.75%, 2/1/2025 | 3,645 | 3,536 |
Nationstar Mortgage Holdings, Inc. | ||
6.00%, 1/15/2027 (c) | 370 | 344 |
5.50%, 8/15/2028 (c) | 1,311 | 1,159 |
5.13%, 12/15/2030 (c) | 1,915 | 1,550 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
5.75%, 11/15/2031 (c) | 4,085 | 3,402 |
NCR Atleos Escrow Corp. 9.50%, 4/1/2029 (c) | 3,149 | 3,087 |
NCR Voyix Corp. 5.13%, 4/15/2029 (c) | 5,539 | 4,763 |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (c) | 1,187 | 1,018 |
New Albertsons LP | ||
7.75%, 6/15/2026 | 1,535 | 1,556 |
6.63%, 6/1/2028 | 613 | 582 |
7.45%, 8/1/2029 | 392 | 393 |
8.00%, 5/1/2031 | 2,108 | 2,140 |
Newell Brands, Inc. | ||
5.20%, 4/1/2026 (h) | 7,880 | 7,440 |
6.38%, 9/15/2027 (a) | 658 | 616 |
6.63%, 9/15/2029 (a) | 1,063 | 978 |
6.37%, 4/1/2036 (h) | 855 | 671 |
News Corp. | ||
3.88%, 5/15/2029 (c) | 3,890 | 3,330 |
5.13%, 2/15/2032 (c) | 2,090 | 1,805 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (c) | 14,256 | 12,830 |
4.75%, 11/1/2028 (a) (c) | 2,578 | 2,165 |
NextEra Energy Capital Holdings, Inc. | ||
4.20%, 6/20/2024 | 695 | 687 |
(3-MONTH SOFR + 3.16%), 5.65%, 5/1/2079 (d) | 4,282 | 3,784 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082 (d) | 1,933 | 1,546 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (c) | 1,897 | 1,852 |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (c) | 6,925 | 6,478 |
NMI Holdings, Inc. 7.38%, 6/1/2025 (c) | 411 | 411 |
Nordstrom, Inc. 4.38%, 4/1/2030 | 329 | 255 |
Northern Oil and Gas, Inc. 8.13%, 3/1/2028 (c) | 1,099 | 1,085 |
Novelis Corp. | ||
3.25%, 11/15/2026 (c) | 2,153 | 1,916 |
4.75%, 1/30/2030 (c) | 3,945 | 3,347 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 2,196 | 2,131 |
5.75%, 1/15/2028 | 584 | 547 |
3.38%, 2/15/2029 (c) | 2,000 | 1,628 |
5.25%, 6/15/2029 (c) | 2,667 | 2,353 |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
3.63%, 2/15/2031 (c) | 1,518 | 1,146 |
3.88%, 2/15/2032 (c) | 828 | 615 |
7.00%, 3/15/2033 (c) | 1,654 | 1,563 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 2,167 | 2,091 |
6.38%, 10/1/2030 | 1,700 | 1,572 |
Occidental Petroleum Corp. 8.88%, 7/15/2030 | 5,866 | 6,514 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (c) | 2,801 | 2,406 |
OneMain Finance Corp. | ||
6.88%, 3/15/2025 | 970 | 957 |
7.13%, 3/15/2026 | 3,392 | 3,294 |
3.50%, 1/15/2027 | 410 | 346 |
6.63%, 1/15/2028 | 3,003 | 2,732 |
Oracle Corp. | ||
3.40%, 7/8/2024 | 468 | 460 |
3.80%, 11/15/2037 | 279 | 205 |
Organon & Co. | ||
4.13%, 4/30/2028 (c) | 6,608 | 5,708 |
5.13%, 4/30/2031 (c) | 3,155 | 2,464 |
Outfront Media Capital LLC 5.00%, 8/15/2027 (c) | 1,507 | 1,339 |
Owens & Minor, Inc. | ||
4.50%, 3/31/2029 (a) (c) | 4,177 | 3,351 |
6.63%, 4/1/2030 (a) (c) | 2,374 | 2,075 |
Owens-Brockway Glass Container, Inc. | ||
6.38%, 8/15/2025 (c) | 1,084 | 1,058 |
6.63%, 5/13/2027 (c) | 1,978 | 1,879 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (c) | 4,022 | 3,509 |
Papa John's International, Inc. 3.88%, 9/15/2029 (c) | 407 | 334 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) (h) (i) | 6,648 | 4,508 |
Paramount Global | ||
4.20%, 5/19/2032 | 145 | 112 |
(3-MONTH SOFR + 3.90%), 6.25%, 2/28/2057 (d) | 9,055 | 6,497 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.38%, 3/30/2062 (d) | 3,930 | 2,892 |
Patrick Industries, Inc. | ||
7.50%, 10/15/2027 (a) (c) | 1,092 | 1,040 |
4.75%, 5/1/2029 (c) | 61 | 50 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
PennyMac Financial Services, Inc. 5.75%, 9/15/2031 (c) | 901 | 735 |
Performance Food Group, Inc. | ||
6.88%, 5/1/2025 (c) | 400 | 398 |
5.50%, 10/15/2027 (c) | 2,155 | 2,015 |
4.25%, 8/1/2029 (a) (c) | 6,477 | 5,465 |
PetSmart, Inc. | ||
4.75%, 2/15/2028 (c) | 5,446 | 4,819 |
7.75%, 2/15/2029 (c) | 3,001 | 2,763 |
PG&E Corp. 5.00%, 7/1/2028 (a) | 4,969 | 4,502 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) (c) | 2,099 | 1,960 |
Physicians Realty LP, REIT | ||
3.95%, 1/15/2028 | 60 | 54 |
2.63%, 11/1/2031 | 20 | 15 |
Pike Corp. 5.50%, 9/1/2028 (c) | 2,448 | 2,094 |
Pitney Bowes, Inc. | ||
6.88%, 3/15/2027 (c) | 69 | 57 |
7.25%, 3/15/2029 (c) | 270 | 203 |
Playtika Holding Corp. 4.25%, 3/15/2029 (c) | 50 | 40 |
PM General Purchaser LLC 9.50%, 10/1/2028 (c) | 2,542 | 2,389 |
PNC Financial Services Group, Inc. (The) | ||
Series R, (3-MONTH CME TERM SOFR + 3.30%), 8.71%, 3/1/2024 (d) (f) (g) | 2,701 | 2,664 |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (d) (f) (g) | 7,215 | 5,191 |
Series V, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 6.20%, 9/15/2027 (d) (f) (g) | 6,445 | 5,734 |
(SOFR + 1.62%), 5.35%, 12/2/2028 (d) | 555 | 530 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (c) | 492 | 469 |
5.63%, 1/15/2028 (c) | 4,253 | 3,953 |
5.50%, 12/15/2029 (c) | 6,233 | 5,559 |
4.63%, 4/15/2030 (c) | 2,595 | 2,173 |
PPL Capital Funding, Inc. Series A, (3-MONTH CME TERM SOFR + 2.93%), 8.32%, 3/30/2067 (d) | 8,857 | 7,956 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (c) | 2,415 | 2,213 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 71 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Prestige Brands, Inc. 3.75%, 4/1/2031 (c) | 1,071 | 851 |
Pricoa Global Funding I | ||
2.40%, 9/23/2024 (c) | 166 | 161 |
1.15%, 12/6/2024 (c) | 304 | 288 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (c) | 8,122 | 7,879 |
3.38%, 8/31/2027 (c) | 1,666 | 1,465 |
Principal Life Global Funding II | ||
0.75%, 4/12/2024 (c) | 284 | 277 |
(SOFR + 0.45%), 5.77%, 4/12/2024 (c) (d) | 365 | 365 |
Progressive Corp. (The) Series B, (3-MONTH SOFR + 2.54%), 8.21%, 12/8/2023 (d) (f) (g) | 4,955 | 4,865 |
Prudential Financial, Inc. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.13%, 3/1/2052 (d) | 3,685 | 3,133 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.00%, 9/1/2052 (d) | 1,180 | 1,056 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 6.75%, 3/1/2053 (d) | 3,551 | 3,344 |
PTC, Inc. 3.63%, 2/15/2025 (c) | 422 | 407 |
Qwest Corp. 7.25%, 9/15/2025 | 325 | 311 |
Rain CII Carbon LLC 7.25%, 4/1/2025 (c) | 10 | 10 |
Range Resources Corp. | ||
4.88%, 5/15/2025 | 2,920 | 2,840 |
8.25%, 1/15/2029 (a) | 3,332 | 3,403 |
4.75%, 2/15/2030 (c) | 1,227 | 1,090 |
Realogy Group LLC 5.25%, 4/15/2030 (c) | 5,063 | 3,152 |
Regal Rexnord Corp. | ||
6.05%, 4/15/2028 (c) | 2,162 | 2,068 |
6.30%, 2/15/2030 (c) | 1,822 | 1,714 |
6.40%, 4/15/2033 (c) | 2,552 | 2,341 |
Republic Services, Inc. 2.50%, 8/15/2024 | 713 | 694 |
RHP Hotel Properties LP, REIT | ||
4.75%, 10/15/2027 | 6,280 | 5,706 |
7.25%, 7/15/2028 (c) | 929 | 901 |
4.50%, 2/15/2029 (c) | 6,633 | 5,646 |
RingCentral, Inc. 8.50%, 8/15/2030 (c) | 2,183 | 2,074 |
Rite Aid Corp. | ||
7.50%, 7/1/2025 (c) (i) | 3,803 | 2,617 |
8.00%, 11/15/2026 (c) (i) | 8,786 | 6,039 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (c) | 2,384 | 2,075 |
3.63%, 3/1/2029 (c) | 2,633 | 2,140 |
4.00%, 10/15/2033 (c) | 406 | 298 |
Rockies Express Pipeline LLC 4.80%, 5/15/2030 (c) | 1,170 | 984 |
Royal Caribbean Cruises Ltd. | ||
11.50%, 6/1/2025 (c) | 1,602 | 1,693 |
11.63%, 8/15/2027 (c) | 5,852 | 6,347 |
8.25%, 1/15/2029 (c) | 3,455 | 3,550 |
9.25%, 1/15/2029 (c) | 3,465 | 3,617 |
Royalty Pharma plc 2.15%, 9/2/2031 | 86 | 63 |
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) (c) | 1,702 | 1,213 |
Sabre GLBL, Inc. 8.63%, 6/1/2027 (c) | 174 | 144 |
SBA Communications Corp., REIT | ||
3.88%, 2/15/2027 | 955 | 870 |
3.13%, 2/1/2029 | 875 | 723 |
Scotts Miracle-Gro Co. (The) | ||
5.25%, 12/15/2026 | 2,180 | 2,022 |
4.50%, 10/15/2029 | 3,152 | 2,490 |
4.00%, 4/1/2031 | 2,754 | 2,049 |
4.38%, 2/1/2032 | 3,297 | 2,416 |
Scripps Escrow II, Inc. 5.38%, 1/15/2031 (c) | 347 | 215 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (c) | 2,352 | 1,758 |
Seagate HDD Cayman | ||
8.25%, 12/15/2029 (c) | 2,000 | 2,032 |
8.50%, 7/15/2031 (c) | 475 | 483 |
Sempra | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (d) (f) (g) | 6,444 | 6,018 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.13%, 4/1/2052 (d) | 5,003 | 3,854 |
Sensata Technologies BV | ||
5.00%, 10/1/2025 (c) | 152 | 148 |
4.00%, 4/15/2029 (c) | 4,625 | 3,932 |
5.88%, 9/1/2030 (a) (c) | 1,870 | 1,708 |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (c) | 738 | 591 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Service Corp. International | ||
7.50%, 4/1/2027 | 2,735 | 2,750 |
5.13%, 6/1/2029 | 360 | 329 |
3.38%, 8/15/2030 | 1,983 | 1,589 |
4.00%, 5/15/2031 | 587 | 475 |
Shea Homes LP 4.75%, 2/15/2028 | 953 | 838 |
Sherwin-Williams Co. (The) 4.05%, 8/8/2024 | 467 | 460 |
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (c) (j) | 9,734 | 6,188 |
9.75%, 10/1/2027 (a) (c) | 1,580 | 1,568 |
Sinclair Television Group, Inc. | ||
5.13%, 2/15/2027 (a) (c) | 2,890 | 2,269 |
5.50%, 3/1/2030 (a) (c) | 939 | 510 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (c) | 1,150 | 1,054 |
4.00%, 7/15/2028 (c) | 22,050 | 18,752 |
5.50%, 7/1/2029 (c) | 6,570 | 5,822 |
4.13%, 7/1/2030 (c) | 575 | 457 |
3.88%, 9/1/2031 (c) | 81 | 61 |
Six Flags Entertainment Corp. | ||
5.50%, 4/15/2027 (c) | 1,140 | 1,038 |
7.25%, 5/15/2031 (a) (c) | 1,435 | 1,320 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (c) | 700 | 695 |
SM Energy Co. | ||
5.63%, 6/1/2025 | 3,980 | 3,874 |
6.75%, 9/15/2026 | 1,038 | 1,020 |
6.50%, 7/15/2028 | 1,006 | 968 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) (c) | 2,361 | 1,965 |
Southern California Edison Co. Series E, (3-MONTH CME TERM SOFR + 4.46%), 9.83%, 12/8/2023 (d) (f) (g) | 2,040 | 2,027 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 855 | 883 |
5.38%, 3/15/2030 | 3,679 | 3,375 |
4.75%, 2/1/2032 | 773 | 665 |
Spectrum Brands, Inc. | ||
5.00%, 10/1/2029 (c) | 2,486 | 2,230 |
5.50%, 7/15/2030 (c) | 5,413 | 4,831 |
3.88%, 3/15/2031 (a) (c) | 3,061 | 2,450 |
Spirit AeroSystems, Inc. | ||
7.50%, 4/15/2025 (c) | 3,470 | 3,461 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
9.38%, 11/30/2029 (c) | 2,170 | 2,228 |
Sprint Capital Corp. 8.75%, 3/15/2032 | 6,604 | 7,434 |
Sprint LLC 7.63%, 2/15/2025 | 9,544 | 9,680 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (c) | 4,615 | 4,026 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (c) | 6,798 | 6,378 |
Stagwell Global LLC 5.63%, 8/15/2029 (c) | 4,391 | 3,629 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027 (c) | 1,387 | 1,282 |
4.75%, 1/15/2028 (c) | 5,875 | 5,258 |
4.38%, 7/15/2030 (c) | 185 | 151 |
3.38%, 1/15/2031 (c) | 1,188 | 899 |
Staples, Inc. | ||
7.50%, 4/15/2026 (c) | 12,278 | 10,015 |
10.75%, 4/15/2027 (c) | 5,609 | 3,090 |
State Street Corp. | ||
Series H, (3-MONTH CME TERM SOFR + 2.80%), 5.63%, 12/15/2023 (d) (f) (g) | 3,503 | 3,358 |
(3-MONTH CME TERM SOFR + 1.03%), 3.78%, 12/3/2024 (d) | 421 | 420 |
Station Casinos LLC 4.50%, 2/15/2028 (c) | 4,449 | 3,842 |
Stericycle, Inc. 3.88%, 1/15/2029 (a) (c) | 1,821 | 1,547 |
Summit Materials LLC 5.25%, 1/15/2029 (c) | 792 | 717 |
Summit Midstream Holdings LLC 9.00%, 10/15/2026 (c) (h) | 1,753 | 1,683 |
Sunoco LP | ||
5.88%, 3/15/2028 | 423 | 400 |
4.50%, 5/15/2029 | 2,335 | 2,023 |
4.50%, 4/30/2030 | 3,557 | 3,038 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) (c) | 1,881 | 1,552 |
Take-Two Interactive Software, Inc. | ||
3.30%, 3/28/2024 | 362 | 358 |
4.00%, 4/14/2032 | 30 | 26 |
Tallgrass Energy Partners LP | ||
7.50%, 10/1/2025 (c) | 4,841 | 4,769 |
5.50%, 1/15/2028 (c) | 2,135 | 1,870 |
6.00%, 12/31/2030 (c) | 1,623 | 1,366 |
6.00%, 9/1/2031 (c) | 4,277 | 3,599 |
Targa Resources Partners LP | ||
6.50%, 7/15/2027 | 4,000 | 3,953 |
6.88%, 1/15/2029 | 1,906 | 1,897 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 73 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
TEGNA, Inc. | ||
4.75%, 3/15/2026 (c) | 541 | 505 |
4.63%, 3/15/2028 | 1,450 | 1,251 |
5.00%, 9/15/2029 | 104 | 87 |
Tempur Sealy International, Inc. | ||
4.00%, 4/15/2029 (c) | 6,570 | 5,390 |
3.88%, 10/15/2031 (c) | 2,665 | 1,996 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 21,594 | 20,696 |
6.25%, 2/1/2027 | 4,874 | 4,674 |
5.13%, 11/1/2027 | 8,170 | 7,542 |
4.25%, 6/1/2029 | 955 | 817 |
6.13%, 6/15/2030 | 3,399 | 3,146 |
6.75%, 5/15/2031 (c) | 3,603 | 3,422 |
Terex Corp. 5.00%, 5/15/2029 (c) | 5,609 | 4,910 |
Thermo Fisher Scientific, Inc. 1.22%, 10/18/2024 | 465 | 444 |
Thor Industries, Inc. 4.00%, 10/15/2029 (c) | 1,333 | 1,074 |
T-Mobile USA, Inc. 2.25%, 11/15/2031 | 542 | 402 |
Topaz Solar Farms LLC 5.75%, 9/30/2039 (c) | 339 | 308 |
TopBuild Corp. | ||
3.63%, 3/15/2029 (c) | 404 | 337 |
4.13%, 2/15/2032 (c) | 429 | 339 |
Toyota Motor Credit Corp. | ||
(SOFRINDX + 0.65%), 5.99%, 12/29/2023 (d) | 388 | 388 |
(SOFR + 0.38%), 5.70%, 2/22/2024 (d) | 484 | 484 |
TransDigm, Inc. 6.25%, 3/15/2026 (c) | 6,525 | 6,371 |
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (c) | 1,771 | 1,735 |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (c) | 801 | 804 |
Transocean, Inc. | ||
8.75%, 2/15/2030 (c) | 1,103 | 1,100 |
7.50%, 4/15/2031 | 169 | 137 |
6.80%, 3/15/2038 (a) | 462 | 330 |
TreeHouse Foods, Inc. 4.00%, 9/1/2028 | 517 | 421 |
Tri Pointe Homes, Inc. | ||
5.25%, 6/1/2027 | 1,061 | 960 |
5.70%, 6/15/2028 | 128 | 114 |
TriMas Corp. 4.13%, 4/15/2029 (c) | 4,505 | 3,742 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
TriNet Group, Inc. | ||
3.50%, 3/1/2029 (c) | 1,308 | 1,080 |
7.13%, 8/15/2031 (c) | 2,095 | 2,025 |
Trinity Industries, Inc. 7.75%, 7/15/2028 (c) | 2,548 | 2,516 |
Trinseo Materials Operating SCA | ||
5.38%, 9/1/2025 (c) | 1,446 | 1,254 |
5.13%, 4/1/2029 (c) | 3,303 | 1,391 |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) (c) | 2,758 | 2,273 |
Triumph Group, Inc. | ||
7.75%, 8/15/2025 (a) | 1,670 | 1,586 |
9.00%, 3/15/2028 (c) | 1,271 | 1,234 |
Truist Financial Corp. | ||
Series M, (3-MONTH CME TERM SOFR + 3.05%), 5.13%, 12/15/2027 (d) (f) (g) | 2,346 | 1,632 |
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (f) (g) | 8,089 | 6,478 |
Uber Technologies, Inc. 4.50%, 8/15/2029 (c) | 3,180 | 2,805 |
UDR, Inc., REIT | ||
3.20%, 1/15/2030 | 160 | 134 |
3.00%, 8/15/2031 | 41 | 32 |
Unisys Corp. 6.88%, 11/1/2027 (c) | 1,439 | 1,054 |
United Airlines Holdings, Inc. 5.00%, 2/1/2024 (a) | 2,404 | 2,380 |
United Rentals North America, Inc. | ||
5.50%, 5/15/2027 | 3,236 | 3,126 |
3.88%, 2/15/2031 | 1,910 | 1,572 |
United States Cellular Corp. 6.70%, 12/15/2033 | 2,500 | 2,372 |
United States Steel Corp. 6.88%, 3/1/2029 | 363 | 353 |
UnitedHealth Group, Inc. 5.88%, 2/15/2053 | 23 | 22 |
Uniti Group LP, REIT | ||
10.50%, 2/15/2028 (c) | 662 | 637 |
4.75%, 4/15/2028 (c) | 57 | 46 |
6.50%, 2/15/2029 (c) | 215 | 140 |
6.00%, 1/15/2030 (c) | 402 | 244 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (c) | 1,270 | 1,160 |
8.00%, 8/15/2028 (c) | 1,621 | 1,531 |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
4.50%, 5/1/2029 (c) | 1,249 | 993 |
7.38%, 6/30/2030 (c) | 3,476 | 3,061 |
Upbound Group, Inc. 6.38%, 2/15/2029 (a) (c) | 1,233 | 1,060 |
Urban One, Inc. 7.38%, 2/1/2028 (c) | 136 | 112 |
US Bancorp | ||
Series V, 2.38%, 7/22/2026 | 3,000 | 2,717 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027 (d) (f) (g) | 8,257 | 5,797 |
Series J, (3-MONTH CME TERM SOFR + 3.18%), 5.30%, 4/15/2027 (d) (f) (g) | 1,414 | 1,109 |
(SOFR + 1.66%), 4.55%, 7/22/2028 (d) | 3,035 | 2,817 |
US Foods, Inc. 6.88%, 9/15/2028 (c) | 1,010 | 987 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (c) | 1,142 | 1,135 |
Valaris Ltd. 8.38%, 4/30/2030 (c) | 1,484 | 1,456 |
Valvoline, Inc. 4.25%, 2/15/2030 (a) (c) | 1,400 | 1,371 |
Varex Imaging Corp. 7.88%, 10/15/2027 (c) | 247 | 242 |
Vector Group Ltd. 5.75%, 2/1/2029 (c) | 1,300 | 1,102 |
Ventas Realty LP, REIT 4.00%, 3/1/2028 | 100 | 91 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (c) | 3,607 | 3,502 |
9.50%, 2/1/2029 (c) | 1,510 | 1,534 |
9.88%, 2/1/2032 (c) | 1,510 | 1,531 |
Verizon Communications, Inc. 3.50%, 11/1/2024 | 467 | 456 |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (c) | 266 | 207 |
VICI Properties LP, REIT | ||
4.63%, 6/15/2025 (c) | 2,251 | 2,162 |
4.50%, 9/1/2026 (c) | 995 | 929 |
4.25%, 12/1/2026 (c) | 8,012 | 7,394 |
5.75%, 2/1/2027 (c) | 4,882 | 4,672 |
4.63%, 12/1/2029 (c) | 4,688 | 4,055 |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) (c) | 7,402 | 6,886 |
Vistra Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.74%), 7.00%, 12/15/2026 (c) (d) (f) (g) | 1,712 | 1,558 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (c) | 222 | 211 |
5.63%, 2/15/2027 (c) | 5,755 | 5,416 |
4.38%, 5/1/2029 (c) | 1,258 | 1,069 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
7.75%, 10/15/2031 (c) | 3,125 | 3,016 |
Vital Energy, Inc. | ||
10.13%, 1/15/2028 | 2,247 | 2,253 |
9.75%, 10/15/2030 | 1,020 | 1,000 |
VM Consolidated, Inc. 5.50%, 4/15/2029 (c) | 307 | 272 |
VMware, Inc. 2.20%, 8/15/2031 | 286 | 211 |
Wabash National Corp. 4.50%, 10/15/2028 (c) | 3,121 | 2,583 |
Warnermedia Holdings, Inc. | ||
3.76%, 3/15/2027 | 60 | 55 |
4.28%, 3/15/2032 | 135 | 112 |
Warrior Met Coal, Inc. 7.88%, 12/1/2028 (c) | 493 | 481 |
Weekley Homes LLC 4.88%, 9/15/2028 (c) | 599 | 514 |
Wells Fargo & Co. | ||
Series S, (3-MONTH SOFR + 3.11%), 5.90%, 6/15/2024 (d) (f) (g) (h) | 3,068 | 3,017 |
(SOFR + 0.51%), 0.81%, 5/19/2025 (d) | 1,540 | 1,491 |
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (d) | 6,420 | 6,073 |
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (f) (g) | 8,017 | 6,944 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (d) | 624 | 602 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (d) | 4,450 | 4,057 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.61%), 7.63%, 9/15/2028 (d) (f) (g) | 2,955 | 2,959 |
(SOFR + 2.02%), 5.39%, 4/24/2034 (d) | 110 | 100 |
Wesco Aircraft Holdings, Inc. | ||
8.50%, 11/15/2024 (c) (i) | 1,030 | 36 |
9.00%, 11/15/2026 (a) (c) (i) | 10,820 | 1,028 |
13.13%, 11/15/2027 (c) (i) | 444 | 13 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (c) | 4,783 | 4,780 |
7.25%, 6/15/2028 (a) (c) | 2,860 | 2,842 |
Westlake Corp. 0.88%, 8/15/2024 | 483 | 463 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 75 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
William Carter Co. (The) 5.63%, 3/15/2027 (c) | 4,029 | 3,818 |
Williams Cos., Inc. (The) | ||
4.30%, 3/4/2024 | 645 | 641 |
2.60%, 3/15/2031 | 85 | 66 |
Williams Scotsman, Inc. 7.38%, 10/1/2031 (c) | 2,451 | 2,411 |
Winnebago Industries, Inc. 6.25%, 7/15/2028 (c) | 89 | 84 |
WMG Acquisition Corp. 3.75%, 12/1/2029 (c) | 3,771 | 3,165 |
WP Carey, Inc., REIT | ||
2.40%, 2/1/2031 | 150 | 114 |
2.45%, 2/1/2032 | 30 | 22 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (c) | 210 | 189 |
5.63%, 8/15/2029 (c) | 1,336 | 1,035 |
WW International, Inc. 4.50%, 4/15/2029 (a) (c) | 1,556 | 973 |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (c) | 8,922 | 8,759 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (c) | 5,490 | 4,682 |
Xerox Holdings Corp. 5.50%, 8/15/2028 (c) | 100 | 77 |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (c) | 2,956 | 2,955 |
XPO, Inc. 6.25%, 6/1/2028 (c) | 1,845 | 1,768 |
Yum! Brands, Inc. | ||
3.63%, 3/15/2031 | 661 | 537 |
4.63%, 1/31/2032 | 2,987 | 2,545 |
5.38%, 4/1/2032 | 64 | 58 |
Ziff Davis, Inc. 4.63%, 10/15/2030 (c) | 1,271 | 1,064 |
2,150,645 | ||
Uzbekistan — 0.0% ^ | ||
Uzbekneftegaz JSC 4.75%, 11/16/2028 (c) | 1,350 | 1,060 |
Venezuela, Bolivarian Republic of — 0.0% ^ | ||
Petroleos de Venezuela SA | ||
8.50%, 10/27/2020 (b) (i) | 620 | 520 |
6.00%, 11/15/2026 (b) (i) | 3,090 | 391 |
911 | ||
Total Corporate Bonds (Cost $3,229,449) | 2,862,438 | |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Exchange-Traded Funds — 9.1% | ||
United States — 9.1% | ||
JPMorgan Equity Premium Income ETF (l) | 10,487 | 551,824 |
JPMorgan Income ETF (l) | 967 | 42,640 |
JPMorgan Nasdaq Equity Premium Income ETF (l) | 3,954 | 182,533 |
776,997 | ||
Total Exchange-Traded Funds (Cost $820,372) | 776,997 | |
PRINCIPAL AMOUNT ($000) | ||
Commercial Mortgage-Backed Securities — 3.9% | ||
United States ��� 3.9% | ||
BANK | ||
Series 2019-BN16, Class D, 3.00%, 2/15/2052 (c) | 2,500 | 1,500 |
Series 2019-BN16, Class F, 3.69%, 2/15/2052 (c) (k) | 2,000 | 910 |
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (c) | 2,000 | 771 |
Series 2019-BN23, Class D, 2.50%, 12/15/2052 (c) | 4,000 | 2,099 |
Series 2021-BN31, Class E, 2.50%, 2/15/2054 (c) (k) | 2,500 | 1,163 |
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 (c) (k) | 8,500 | 5,572 |
Series 2018-BN14, Class F, 3.94%, 9/15/2060 (c) | 1,534 | 562 |
Series 2019-BN19, Class C, 4.03%, 8/15/2061 (k) | 7,500 | 4,452 |
Series 2018-BN15, Class E, 3.00%, 11/15/2061 (c) | 1,000 | 538 |
Series 2019-BN24, Class D, 2.50%, 11/15/2062 (c) | 1,000 | 537 |
Series 2019-BN24, Class C, 3.52%, 11/15/2062 (k) | 6,000 | 3,996 |
Series 2020-BN26, Class D, 2.50%, 3/15/2063 (c) | 1,350 | 638 |
Series 2020-BN28, Class E, 2.50%, 3/15/2063 (c) | 3,000 | 1,481 |
BBCMS Mortgage Trust Series 2017-C1, Class D, 3.54%, 2/15/2050 (c) (k) | 2,887 | 1,889 |
Benchmark Mortgage Trust | ||
Series 2018-B1, Class D, 2.75%, 1/15/2051 (c) | 975 | 512 |
Series 2019-B9, Class F, 3.74%, 3/15/2052 (c) (k) | 6,590 | 2,276 |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Series 2019-B11, Class D, 3.00%, 5/15/2052 (c) | 4,000 | 2,281 |
Series 2019-B11, Class C, 3.75%, 5/15/2052 (k) | 13,959 | 9,337 |
Series 2020-B21, Class E, 2.00%, 12/17/2053 (c) | 2,500 | 982 |
Series 2019-B14, Class E, 2.50%, 12/15/2062 (c) | 1,415 | 616 |
Series 2019-B15, Class E, 2.75%, 12/15/2072 (c) | 4,391 | 1,950 |
BX Series 2021-MFM1, Class G, 9.35%, 1/15/2034 (c) (k) | 575 | 544 |
CD Mortgage Trust | ||
Series 2016-CD2, Class C, 3.98%, 11/10/2049 (k) | 750 | 547 |
Series 2017-CD4, Class D, 3.30%, 5/10/2050 (c) | 1,000 | 591 |
Series 2017-CD5, Class D, 3.35%, 8/15/2050 (c) | 1,831 | 1,244 |
Series 2017-CD6, Class C, 4.23%, 11/13/2050 (k) | 1,371 | 1,059 |
Series 2018-CD7, Class D, 3.09%, 8/15/2051 (c) (k) | 2,000 | 1,141 |
CFCRE Commercial Mortgage Trust Series 2016-C6, Class D, 4.18%, 11/10/2049 (c) (k) | 1,000 | 683 |
CGMS Commercial Mortgage Trust Series 2017-B1, Class E, 3.30%, 8/15/2050 (c) (k) | 1,500 | 614 |
Citigroup Commercial Mortgage Trust | ||
Series 2015-GC27, Class D, 4.42%, 2/10/2048 (c) (k) | 3,756 | 3,179 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (k) | 2,000 | 1,818 |
Series 2015-P1, Class D, 3.23%, 9/15/2048 (c) | 2,000 | 1,601 |
Series 2016-C1, Class D, 4.94%, 5/10/2049 (c) (k) | 4,975 | 4,277 |
Series 2016-C2, Class D, 3.25%, 8/10/2049 (c) (k) | 1,000 | 760 |
Series 2016-P6, Class D, 3.25%, 12/10/2049 (c) | 1,325 | 901 |
Series 2017-P7, Class B, 4.14%, 4/14/2050 (k) | 910 | 771 |
Series 2017-P7, Class C, 4.39%, 4/14/2050 (k) | 3,295 | 2,627 |
Series 2020-GC46, Class E, 2.60%, 2/15/2053 (c) | 4,500 | 1,217 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
COLEM Mortgage Trust Series 2022-HLNE, Class A, 2.46%, 4/12/2042 (c) (k) | 2,500 | 1,938 |
Commercial Mortgage Trust | ||
Series 2020-CBM, Class F, 3.63%, 2/10/2037 (c) (k) | 2,750 | 2,472 |
Series 2014-CR15, Class C, 4.64%, 2/10/2047 (k) | 989 | 859 |
Series 2014-LC15, Class D, 5.00%, 4/10/2047 (c) (k) | 1,500 | 1,304 |
Series 2014-CR19, Class D, 4.63%, 8/10/2047 (c) (k) | 400 | 341 |
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 (c) | 5,100 | 3,322 |
Series 2014-LC17, Class D, 3.69%, 10/10/2047 (c) | 3,250 | 2,801 |
Series 2015-CR22, Class E, 3.00%, 3/10/2048 (c) | 2,500 | 1,652 |
Series 2015-CR22, Class D, 4.07%, 3/10/2048 (c) (k) | 1,000 | 771 |
Series 2015-LC21, Class D, 4.32%, 7/10/2048 (k) | 450 | 373 |
Series 2015-CR24, Class D, 3.46%, 8/10/2048 (k) | 2,134 | 1,698 |
Series 2015-CR25, Class D, 3.77%, 8/10/2048 (k) | 2,000 | 1,629 |
Series 2015-CR27, Class D, 3.45%, 10/10/2048 (c) (k) | 500 | 397 |
Series 2015-CR26, Class D, 3.46%, 10/10/2048 (k) | 2,500 | 1,600 |
Series 2015-LC23, Class D, 3.55%, 10/10/2048 (c) (k) | 2,750 | 2,261 |
Series 2015-LC23, Class E, 3.55%, 10/10/2048 (c) (k) | 1,500 | 1,162 |
Series 2016-CR28, Class D, 3.86%, 2/10/2049 (k) | 1,350 | 977 |
Series 2016-CR28, Class C, 4.61%, 2/10/2049 (k) | 2,000 | 1,718 |
Series 2018-COR3, Class D, 2.81%, 5/10/2051 (c) (k) | 2,000 | 1,009 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C4, Class C, 4.56%, 11/15/2048 (k) | 2,500 | 2,215 |
Series 2015-C2, Class B, 4.21%, 6/15/2057 (k) | 1,000 | 888 |
DBJPM Mortgage Trust | ||
Series 2016-C3, Class D, 3.48%, 8/10/2049 (c) (k) | 1,170 | 791 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 77 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Series 2016-C3, Class E, 4.23%, 8/10/2049 (c) (k) | 1,250 | 778 |
FHLMC Multiclass Certificates | ||
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | 17,110 | 1,439 |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (k) | 6,200 | 899 |
FHLMC, Multi-Family Structured Credit Risk | ||
Series 2021-MN2, Class B1, 10.82%, 7/25/2041 (c) (k) | 2,000 | 1,690 |
Series 2022-MN5, Class B1, 14.82%, 11/25/2042 (c) (k) | 8,302 | 8,487 |
Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (c) (k) | 342 | 332 |
Series 2021-MN1, Class M2, 9.07%, 1/25/2051 (c) (k) | 10,750 | 10,349 |
Series 2021-MN1, Class B1, 13.07%, 1/25/2051 (c) (k) | 2,650 | 2,629 |
Series 2021-MN3, Class M1, 7.62%, 11/25/2051 (c) (k) | 1,812 | 1,755 |
Series 2022-MN4, Class B1, 14.82%, 5/25/2052 (c) (k) | 4,000 | 4,070 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KC03, Class X1, IO, 0.48%, 11/25/2024 (k) | 61,023 | 244 |
Series K734, Class X3, IO, 2.17%, 7/25/2026 (k) | 11,615 | 541 |
Series KC04, Class X1, IO, 1.25%, 12/25/2026 (k) | 14,756 | 265 |
Series K084, Class X3, IO, 2.24%, 11/25/2028 (k) | 6,000 | 560 |
Series K090, Class X3, IO, 2.31%, 10/25/2029 (k) | 1,750 | 183 |
Series K723, Class X3, IO, 2.08%, 10/25/2034 (k) | 518 | — |
Series Q012, Class X, IO, 4.08%, 9/25/2035 (k) | 21,588 | 3,776 |
Series K727, Class X3, IO, 2.01%, 10/25/2044 (k) | 33,818 | 466 |
Series K060, Class X3, IO, 1.90%, 12/25/2044 (k) | 1,000 | 51 |
Series K061, Class X3, IO, 1.98%, 12/25/2044 (k) | 1,544 | 78 |
Series K728, Class X3, IO, 1.96%, 11/25/2045 (k) | 4,645 | 82 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series K089, Class X3, IO, 2.30%, 1/25/2046 (k) | 22,283 | 2,181 |
Series K087, Class X3, IO, 2.32%, 1/25/2046 (k) | 18,300 | 1,712 |
Series K102, Class X3, IO, 1.89%, 12/25/2046 (k) | 1,180 | 105 |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (k) | 10,130 | 1,007 |
Series K093, Class X3, IO, 2.21%, 5/25/2047 (k) | 15,000 | 1,441 |
Series K116, Class X3, IO, 3.02%, 9/25/2047 (k) | 10,500 | 1,602 |
Series K108, Class X3, IO, 3.49%, 4/25/2048 (k) | 16,575 | 2,778 |
FNMA ACES | ||
Series 2019-M21, Class X2, IO, 1.28%, 2/25/2031 (k) | 5,414 | 297 |
Series 2020-M37, Class X, IO, 1.03%, 4/25/2032 (k) | 25,188 | 1,192 |
Series 2016-M4, Class X2, IO, 2.67%, 1/25/2039 (k) | 6,711 | 91 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 8.33%, 4/25/2024 (c) (k) | 1,322 | 1,314 |
Series 2018-KF47, Class B, 7.43%, 5/25/2025 (c) (k) | 1,348 | 1,309 |
Series 2019-KC03, Class B, 4.38%, 1/25/2026 (c) (k) | 2,304 | 2,156 |
Series 2019-KF58, Class B, 7.58%, 1/25/2026 (c) (k) | 906 | 854 |
Series 2019-KF62, Class B, 7.48%, 4/25/2026 (c) (k) | 491 | 457 |
Series 2017-KL1E, Class BE, 3.91%, 2/25/2027 (c) (k) | 186 | 162 |
Series 2017-KF33, Class B, 7.98%, 6/25/2027 (c) (k) | 566 | 524 |
Series 2017-KF40, Class B, 8.13%, 11/25/2027 (c) (k) | 978 | 903 |
Series 2018-KF43, Class B, 7.58%, 1/25/2028 (c) (k) | 1,288 | 1,216 |
Series 21K-F116, Class CS, 11.72%, 6/25/2028 (c) (k) | 6,846 | 6,792 |
Series 2018-KF50, Class B, 7.33%, 7/25/2028 (c) (k) | 293 | 260 |
Series 2019-KG01, Class B, 4.16%, 4/25/2029 (c) (k) | 4,765 | 3,916 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (c) | 280,666 | 1,008 |
Series 2019-KW09, Class C, PO, 6/25/2029 (c) | 24,011 | 14,146 |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (c) | 32,681 | 135 |
Series 2023-KF149, Class CS, 11.47%, 12/25/2032 (c) (k) | 9,998 | 10,204 |
Series 2017-K724, Class D, PO, 12/25/2049 (c) | 20,000 | 19,711 |
Series 2017-K724, Class X2B, IO, 0.10%, 12/25/2049 (c) | 47,497 | — |
GNMA | ||
Series 2012-89, IO, 0.10%, 12/16/2053 (k) | 5,974 | 4 |
Series 2017-148, IO, 0.55%, 7/16/2059 (k) | 8,212 | 253 |
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (k) | 5,948 | 292 |
Series 2020-145, IO, 0.73%, 3/16/2063 (k) | 54,943 | 2,835 |
Series 2021-10, IO, 0.99%, 5/16/2063 (k) | 5,130 | 348 |
GS Mortgage Securities Trust | ||
Series 2012-GCJ9, Class D, 4.60%, 11/10/2045 (c) (k) | 412 | 371 |
Series 2015-GC28, Class D, 4.31%, 2/10/2048 (c) (k) | 2,500 | 2,152 |
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (c) | 2,750 | 2,117 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (c) (k) | 2,900 | 1,380 |
Series 2017-GS6, Class D, 3.24%, 5/10/2050 (c) | 1,750 | 811 |
Series 2015-GC30, Class D, 3.38%, 5/10/2050 | 1,250 | 1,012 |
Series 2019-GC40, Class D, 3.00%, 7/10/2052 (c) | 3,800 | 2,027 |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (c) | 2,250 | 1,061 |
Series 2020-GC45, Class D, 2.85%, 2/13/2053 (c) (k) | 2,824 | 1,516 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2013-C15, Class E, 3.50%, 11/15/2045 (c) | 2,000 | 1,641 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2013-C17, Class D, 4.84%, 1/15/2047 (c) (k) | 1,250 | 938 |
Series 2014-C26, Class D, 3.87%, 1/15/2048 (c) (k) | 1,500 | 1,175 |
Series 2014-C26, Class C, 4.37%, 1/15/2048 (k) | 1,926 | 1,695 |
Series 2015-C33, Class C, 4.64%, 12/15/2048 (k) | 8,000 | 6,493 |
Series 2016-C1, Class D2, 4.20%, 3/17/2049 (c) (k) | 1,464 | 1,121 |
Series 2016-C1, Class C, 4.70%, 3/17/2049 (k) | 5,000 | 4,388 |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.50%, 3/15/2050 (c) (k) | 7,577 | 5,058 |
JPMDB Commercial Mortgage Securities Trust Series 2016-C4, Class D, 3.04%, 12/15/2049 (c) (k) | 2,514 | 935 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP3, Class D, 3.42%, 8/15/2049 (c) (k) | 4,500 | 2,954 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (k) | 3,405 | 1,294 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2012-C5, Class G, 4.50%, 8/15/2045 (c) | 1,500 | 1,208 |
Series 2014-C14, Class D, 5.05%, 2/15/2047 (c) (k) | 3,750 | 3,414 |
Series 2014-C15, Class D, 4.83%, 4/15/2047 (c) (k) | 365 | 333 |
Series 2014-C16, Class C, 4.71%, 6/15/2047 (k) | 2,000 | 1,623 |
Series 2014-C19, Class D, 3.25%, 12/15/2047 (c) | 2,585 | 2,070 |
Series 2015-C20, Class C, 4.45%, 2/15/2048 (k) | 3,127 | 2,810 |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (c) | 6,000 | 4,883 |
Series 2015-C25, Class C, 4.52%, 10/15/2048 (k) | 4,500 | 3,987 |
Series 2016-C31, Class C, 4.26%, 11/15/2049 (k) | 1,440 | 1,091 |
Morgan Stanley Capital I Trust | ||
Series 2018-MP, Class D, 4.28%, 7/11/2040 (c) (k) | 730 | 476 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 79 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Series 2018-L1, Class E, 3.00%, 10/15/2051 (c) | 5,486 | 2,880 |
Series 2019-L2, Class D, 3.00%, 3/15/2052 (c) | 7,075 | 4,185 |
Series 2019-L2, Class E, 3.00%, 3/15/2052 (c) | 2,575 | 1,334 |
MRCD MARK Mortgage Trust | ||
Series 2019-PARK, Class F, 2.72%, 12/15/2036 (c) | 10,000 | 5,562 |
Series 2019-PARK, Class G, 2.72%, 12/15/2036 (c) | 4,000 | 2,168 |
Series 2019-PARK, Class J, 4.25%, 12/15/2036 (c) | 17,000 | 8,709 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 8.69%, 10/25/2049 (c) (k) | 4,525 | 4,357 |
Series 2020-01, Class M10, 9.19%, 3/25/2050 (c) (k) | 2,829 | 2,702 |
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.21%, 4/10/2043 (c) (k) | 5,000 | 1,727 |
VASA Trust Series 2021-VASA, Class G, 10.45%, 7/15/2039 (c) (k) | 1,360 | 585 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-2, Class A, 4.05%, 10/26/2048 (c) (k) | 2,071 | 1,945 |
Series 2018-2, Class M2, 4.51%, 10/26/2048 (c) (k) | 135 | 114 |
Series 2018-2, Class M3, 4.72%, 10/26/2048 (c) (k) | 197 | 159 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2021-SAVE, Class E, 9.10%, 2/15/2040 (c) (k) | 1,600 | 1,427 |
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 (c) (k) | 1,500 | 1,157 |
Series 2015-C28, Class D, 4.08%, 5/15/2048 (k) | 7,740 | 5,970 |
Series 2016-C35, Class D, 3.14%, 7/15/2048 (c) | 5,000 | 3,524 |
Series 2018-C43, Class D, 3.00%, 3/15/2051 (c) | 1,250 | 772 |
Series 2018-C44, Class D, 3.00%, 5/15/2051 (c) | 1,517 | 890 |
Series 2019-C52, Class XA, IO, 1.60%, 8/15/2052 (k) | 3,699 | 226 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2015-NXS3, Class D, 3.15%, 9/15/2057 (c) | 1,000 | 853 |
WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 3.90%, 9/15/2057 (c) (k) | 5,505 | 3,421 |
Total Commercial Mortgage-Backed Securities (Cost $420,077) | 336,394 | |
Collateralized Mortgage Obligations — 3.8% | ||
Bermuda — 0.0% ^ | ||
Bellemeade Re Ltd. Series 2019-1A, Class M2, 8.14%, 3/25/2029 (c) (k) | 703 | 708 |
United States — 3.8% | ||
Adjustable Rate Mortgage Trust | ||
Series 2004-2, Class 6A1, 5.52%, 2/25/2035 (k) | 337 | 329 |
Series 2005-2, Class 3A1, 5.02%, 6/25/2035 (k) | 417 | 389 |
Alternative Loan Trust | ||
Series 2004-28CB, Class 4A1, 5.00%, 1/25/2020 | 6 | 4 |
Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | 1 | 1 |
Series 2005-85CB, Class 3A2, 5.25%, 2/25/2021 | 73 | 62 |
Series 2007-9T1, Class 3A1, 5.50%, 5/25/2022 ‡ | — | — |
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | 28 | 26 |
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026 | 178 | 166 |
Series 2005-J1, Class 3A1, 6.50%, 8/25/2032 | 11 | 10 |
Series 2004-12CB, Class 2A1, 6.00%, 6/25/2034 | 54 | 53 |
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035 | 290 | 253 |
Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035 | 389 | 342 |
Series 2004-32CB, Class 2A5, 5.50%, 2/25/2035 | 1,325 | 1,209 |
Series 2005-6CB, Class 1A4, 5.50%, 4/25/2035 | 2,059 | 1,677 |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | 247 | 202 |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2005-J2, Class 1A5, 5.50%, 4/25/2035 (k) | 3,357 | 2,563 |
Series 2005-13CB, Class A4, 5.50%, 5/25/2035 | 853 | 693 |
Series 2005-21CB, Class A4, 5.25%, 6/25/2035 | 454 | 332 |
Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | 2,022 | 1,531 |
Series 2005-20CB, Class 1A1, 5.50%, 7/25/2035 | 86 | 66 |
Series 2005-23CB, Class A15, 5.50%, 7/25/2035 | 1,019 | 818 |
Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035 | 352 | 293 |
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035 | 891 | 742 |
Series 2005-J14, Class A3, 5.50%, 12/25/2035 | 213 | 129 |
Series 2005-J14, Class A7, 5.50%, 12/25/2035 | 1,121 | 679 |
Series 2005-J14, Class A8, 5.50%, 12/25/2035 | 938 | 568 |
Series 2005-86CB, Class A4, 5.50%, 2/25/2036 | 276 | 155 |
Series 2006-J1, Class 1A13, 5.50%, 2/25/2036 | 92 | 62 |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | — | — |
Series 2006-4CB, Class 2A5, 5.50%, 4/25/2036 | 467 | 341 |
Series 2006-14CB, Class A1, 6.00%, 6/25/2036 | 1,119 | 575 |
Series 2006-19CB, Class A15, 6.00%, 8/25/2036 | 406 | 230 |
Series 2006-25CB, Class A2, 6.00%, 10/25/2036 | 198 | 103 |
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037 | 2,161 | 1,016 |
Series 2007-8CB, Class A9, 6.00%, 5/25/2037 | 141 | 77 |
Series 2007-19, Class 1A8, 6.00%, 8/25/2037 | 136 | 66 |
American Home Mortgage Investment Trust Series 2007-2, Class 12A1, 5.98%, 3/25/2037 (k) | 4,114 | 1,415 |
Angel Oak Mortgage Trust | ||
Series 2019-5, Class B1, 3.96%, 10/25/2049 (c) (k) | 2,250 | 1,848 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2019-6, Class B1, 3.94%, 11/25/2059 (c) (k) | 4,000 | 3,335 |
Series 2019-6, Class B3, 5.90%, 11/25/2059 (c) (k) | 1,285 | 981 |
Angel Oak Mortgage Trust I LLC Series 2019-2, Class B2, 6.29%, 3/25/2049 (c) (k) | 2,250 | 2,169 |
Banc of America Alternative Loan Trust | ||
Series 2006-4, Class 2A1, 6.00%, 5/25/2021 | 2 | 2 |
Series 2005-11, Class 4A5, 5.75%, 12/25/2035 | 309 | 252 |
Series 2006-4, Class 3CB4, 6.00%, 5/25/2046 | 393 | 324 |
Series 2006-4, Class 4CB1, 6.50%, 5/25/2046 | 895 | 758 |
Series 2006-5, Class CB7, 6.00%, 6/25/2046 | 235 | 195 |
Banc of America Funding Trust | ||
Series 2007-4, Class 8A1, 5.50%, 11/25/2034 | 52 | 33 |
Series 2005-6, Class 1A2, 5.50%, 10/25/2035 | 1,092 | 783 |
Series 2005-7, Class 4A7, 6.00%, 11/25/2035 | 23 | 21 |
Series 2006-A, Class 1A1, 5.49%, 2/20/2036 (k) | 275 | 249 |
Series 2006-2, Class 2A20, 5.75%, 3/25/2036 | 174 | 138 |
Series 2007-5, Class 4A1, 5.81%, 7/25/2037 (k) | 2,040 | 1,321 |
Banc of America Mortgage Trust | ||
Series 2004-A, Class 2A2, 4.17%, 2/25/2034 (k) | 215 | 207 |
Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | 111 | 84 |
Bear Stearns ALT-A Trust Series 2006-8, Class 3A1, 5.76%, 2/25/2034 (k) | 173 | 152 |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class M1, 6.44%, 10/25/2034 (k) | 236 | 197 |
BRAVO Residential Funding Trust Series 2023-NQM7, Class A1, 7.13%, 9/25/2063 (c) (h) | 5,333 | 5,337 |
Chase Mortgage Finance Trust | ||
Series 2007-A2, Class 3A1, 4.92%, 6/25/2035 (k) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 81 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2006-S3, Class 1A2, 6.00%, 11/25/2036 | 1,046 | 416 |
Series 2006-S4, Class A5, 6.00%, 12/25/2036 | 812 | 341 |
Series 2007-S2, Class 1A8, 6.00%, 3/25/2037 | 186 | 100 |
CHL Mortgage Pass-Through Trust | ||
Series 2005-20, Class A7, 5.25%, 12/25/2027 | 70 | 41 |
Series 2004-25, Class 2A1, 6.12%, 2/25/2035 (k) | 1,767 | 1,452 |
Series 2005-26, Class 1A11, 5.50%, 11/25/2035 | 1,116 | 664 |
Series 2005-31, Class 2A1, 3.27%, 1/25/2036 (k) | 527 | 438 |
Series 2005-30, Class A5, 5.50%, 1/25/2036 | 113 | 69 |
Series 2006-HYB1, Class 2A2C, 3.79%, 3/20/2036 (k) | 1,544 | 1,372 |
Series 2006-HYB2, Class 2A1B, 3.90%, 4/20/2036 (k) | 431 | 375 |
Series 2006-J2, Class 1A1, 6.00%, 4/25/2036 | 85 | 48 |
Series 2006-10, Class 1A16, 6.00%, 5/25/2036 | 1,025 | 449 |
Series 2006-17, Class A2, 6.00%, 12/25/2036 | 280 | 106 |
Series 2006-18, Class 2A4, 6.00%, 12/25/2036 | 1,640 | 868 |
Series 2007-2, Class A2, 6.00%, 3/25/2037 | 98 | 40 |
Series 2007-3, Class A18, 6.00%, 4/25/2037 | 769 | 354 |
Series 2007-10, Class A4, 5.50%, 7/25/2037 | 100 | 42 |
Series 2007-13, Class A4, 6.00%, 8/25/2037 | 210 | 101 |
Series 2007-16, Class A1, 6.50%, 10/25/2037 | 1,818 | 732 |
Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | 413 | 138 |
Series 2006-OA5, Class 2A1, 5.64%, 4/25/2046 (k) | 1,485 | 1,224 |
Citicorp Mortgage Securities Trust Series 2007-4, Class 1A9, 6.00%, 5/25/2037 | 314 | 260 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Citigroup Mortgage Loan Trust | ||
Series 2005-9, Class 2A2, 5.50%, 11/25/2035 | 64 | 48 |
Series 2006-AR3, Class 1A1A, 4.51%, 6/25/2036 (k) | 861 | 752 |
Series 2006-AR5, Class 1A5A, 4.15%, 7/25/2036 (k) | 329 | 314 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2005-6, Class A1, 6.15%, 9/25/2035 (k) | 210 | 207 |
Series 2006-8, Class A3, 5.79%, 10/25/2035 (c) (k) | 458 | 222 |
COLT Mortgage Loan Trust | ||
Series 2021-3, Class B1, 3.06%, 9/27/2066 (c) (k) | 2,500 | 1,242 |
Series 2021-5, Class B1, 4.18%, 11/26/2066 (c) (k) | 3,903 | 2,408 |
Series 2021-5, Class B2, 4.18%, 11/26/2066 (c) (k) | 2,247 | 1,329 |
Series 2022-1, Class B1, 4.11%, 12/27/2066 (c) (k) | 2,038 | 1,408 |
Series 2022-1, Class B2, 4.11%, 12/27/2066 (c) (k) | 2,581 | 1,697 |
Series 2023-2, Class A1, 6.60%, 7/25/2068 (c) (h) | 2,937 | 2,913 |
Connecticut Avenue Securities Trust | ||
Series 2019-R04, Class 2B1, 10.69%, 6/25/2039 (c) (k) | 2,572 | 2,738 |
Series 2019-R06, Class 2B1, 9.19%, 9/25/2039 (c) (k) | 4,614 | 4,692 |
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (c) (k) | 8,500 | 8,622 |
Series 2020-R02, Class 2B1, 8.44%, 1/25/2040 (c) (k) | 15,158 | 15,106 |
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (c) (k) | 1,000 | 1,011 |
Series 2021-R01, Class 1B1, 8.42%, 10/25/2041 (c) (k) | 5,200 | 5,184 |
Series 2021-R03, Class 1B2, 10.82%, 12/25/2041 (c) (k) | 6,100 | 5,975 |
Series 2022-R01, Class 1B2, 11.32%, 12/25/2041 (c) (k) | 11,437 | 11,376 |
Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (c) (k) | 8,903 | 9,017 |
Series 2023-R03, Class 2M1, 7.82%, 4/25/2043 (c) (k) | 8,729 | 8,833 |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2023-R06, Class 1M2, 8.02%, 7/25/2043 (c) (k) | 1,500 | 1,512 |
CSFB Mortgage-Backed Pass-Through Certificates | ||
Series 2005-10, Class 11A1, 5.50%, 11/25/2020 | 572 | 66 |
Series 2003-29, Class 3A1, 5.50%, 12/25/2033 | 155 | 147 |
Series 2004-AR4, Class 2A1, 4.97%, 5/25/2034 (k) | 144 | 140 |
Series 2004-AR4, Class 4A1, 5.15%, 5/25/2034 (k) | 828 | 811 |
Series 2004-AR5, Class 6A1, 5.07%, 6/25/2034 (k) | 181 | 173 |
Series 2004-4, Class 4A1, 5.50%, 8/25/2034 | 928 | 889 |
Series 2004-8, Class 4A3, 5.50%, 12/25/2034 | 71 | 63 |
Series 2005-4, Class 2A5, 5.50%, 6/25/2035 (k) | 2,140 | 1,464 |
Series 2005-10, Class 5A3, 5.50%, 11/25/2035 | 253 | 177 |
CSFB Mortgage-Backed Trust Series 2004-AR6, Class 7A1, 5.46%, 10/25/2034 (k) | 320 | 314 |
CSMC Mortgage-Backed Trust | ||
Series 2006-8, Class 5A1, 5.52%, 10/25/2026 (k) | 31 | 29 |
Series 2007-2, Class 3A13, 5.50%, 3/25/2037 | 337 | 161 |
Deephaven Residential Mortgage Trust | ||
Series 2021-3, Class B1, 3.27%, 8/25/2066 (c) (k) | 5,000 | 2,789 |
Series 2021-3, Class B2, 4.13%, 8/25/2066 (c) (k) | 4,502 | 2,520 |
Series 2021-4, Class B1, 4.16%, 11/25/2066 (c) (k) | 6,000 | 3,649 |
Series 2021-4, Class B2, 4.47%, 11/25/2066 (c) (k) | 6,508 | 3,855 |
Series 2022-1, Class B1, 4.28%, 1/25/2067 (c) (k) | 3,000 | 1,888 |
Series 2022-1, Class B2, 4.28%, 1/25/2067 (c) (k) | 5,640 | 3,184 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.71%, 2/25/2020 (k) | 16 | 15 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust Series 2005-2, Class 2A1, 5.74%, 3/25/2020 (k) | 4 | 3 |
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 5.97%, 8/19/2045 (k) | 1,192 | 967 |
FHLMC STACR REMIC Trust | ||
Series 2021-DNA5, Class B2, 10.82%, 1/25/2034 (c) (k) | 3,400 | 3,287 |
Series 2021-HQA3, Class M1, 6.17%, 9/25/2041 (c) (k) | 2,950 | 2,909 |
Series 2021-DNA6, Class B1, 8.72%, 10/25/2041 (c) (k) | 2,500 | 2,513 |
Series 2021-HQA4, Class M1, 6.27%, 12/25/2041 (c) (k) | 6,718 | 6,619 |
Series 2023-DNA1, Class M1A, 7.42%, 3/25/2043 (c) (k) | 4,482 | 4,512 |
Series 2023-HQA1, Class M1A, 7.32%, 5/25/2043 (c) (k) | 9,941 | 9,978 |
Series 2020-HQA1, Class B2, 10.54%, 1/25/2050 (c) (k) | 4,000 | 3,968 |
Series 2021-DNA1, Class M2, 7.12%, 1/25/2051 (c) (k) | 1,589 | 1,581 |
Series 2021-DNA1, Class B2, 10.07%, 1/25/2051 (c) (k) | 8,000 | 7,808 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class B2, 11.32%, 8/25/2033 (c) (k) | 7,000 | 7,166 |
FHLMC, REMIC | ||
Series 4068, Class DS, IF, IO, 0.57%, 6/15/2042 (k) | 1,528 | 122 |
Series 4097, Class ES, IF, IO, 0.67%, 8/15/2042 (k) | 2,521 | 189 |
Series 4103, Class SB, IF, IO, 0.62%, 9/15/2042 (k) | 2,689 | 185 |
Series 4425, Class SA, IF, IO, 0.62%, 1/15/2045 (k) | 2,640 | 216 |
Series 4594, Class SG, IF, IO, 0.57%, 6/15/2046 (k) | 2,883 | 261 |
Series 4606, Class SB, IF, IO, 0.57%, 8/15/2046 (k) | 5,209 | 417 |
Series 4614, Class SK, IF, IO, 0.57%, 9/15/2046 (k) | 9,497 | 858 |
Series 4616, Class HS, IF, IO, 0.57%, 9/15/2046 (k) | 3,057 | 231 |
Series 4718, Class SD, IF, IO, 0.72%, 9/15/2047 (k) | 2,446 | 211 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 83 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 4768, Class SG, IF, IO, 0.77%, 3/15/2048 (k) | 1,998 | 183 |
Series 4820, Class ES, IF, IO, 0.77%, 3/15/2048 (k) | 1,024 | 76 |
Series 4834, Class SA, IF, IO, 0.72%, 10/15/2048 (k) | 2,736 | 215 |
Series 4839, Class WS, IF, IO, 0.67%, 8/15/2056 (k) | 6,315 | 637 |
FHLMC, STRIPS | ||
Series 264, Class S1, IF, IO, 0.52%, 7/15/2042 (k) | 1,550 | 108 |
Series 274, Class S1, IF, IO, 0.57%, 8/15/2042 (k) | 2,005 | 139 |
Series 278, Class S1, IF, IO, 0.62%, 9/15/2042 (k) | 1,699 | 129 |
Series 279, Class S6, IF, IO, 0.62%, 9/15/2042 (k) | 1,362 | 105 |
Series 300, Class S1, IF, IO, 0.67%, 1/15/2043 (k) | 1,822 | 134 |
Series 326, Class S2, IF, IO, 0.52%, 3/15/2044 (k) | 2,089 | 151 |
Series 336, Class S1, IF, IO, 0.62%, 8/15/2044 (k) | 1,401 | 103 |
Series 337, Class S1, IF, IO, 0.62%, 9/15/2044 (k) | 1,162 | 89 |
First Horizon Alternative Mortgage Securities Trust Series 2006-FA6, Class 3A1, 5.75%, 11/25/2021 | 11 | 6 |
FNMA, Connecticut Avenue Securities Series 2021-R02, Class 2B2, 11.52%, 11/25/2041 (c) (k) | 5,142 | 5,107 |
FNMA, REMIC | ||
Series 2011-126, Class SM, IF, IO, 0.51%, 12/25/2041 (k) | 1,728 | 99 |
Series 2012-20, Class SL, IF, IO, 1.01%, 3/25/2042 (k) | 2,113 | 190 |
Series 2012-35, Class SN, IF, IO, 1.01%, 4/25/2042 (k) | 2,311 | 207 |
Series 2012-128, Class MS, IF, IO, 0.71%, 11/25/2042 (k) | 1,087 | 87 |
Series 2013-124, Class SB, IF, IO, 0.51%, 12/25/2043 (k) | 2,607 | 192 |
Series 2013-136, Class SB, IF, IO, 0.46%, 1/25/2044 (k) | 2,498 | 163 |
Series 2015-35, Class SA, IF, IO, 0.16%, 6/25/2045 (k) | 2,697 | 138 |
Series 2015-37, Class ST, IF, IO, 0.18%, 6/25/2045 (k) | 2,636 | 167 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2016-77, Class SA, IF, IO, 0.56%, 10/25/2046 (k) | 2,234 | 178 |
Series 2017-1, Class SA, IF, IO, 0.61%, 2/25/2047 (k) | 2,476 | 191 |
Series 2017-16, Class SM, IF, IO, 0.61%, 3/25/2047 (k) | 1,512 | 128 |
Series 2017-37, Class AS, IF, IO, 0.66%, 5/25/2047 (k) | 6,802 | 501 |
Series 2018-15, Class JS, IF, IO, 0.76%, 3/25/2048 (k) | 2,695 | 240 |
Series 2018-16, Class SN, IF, IO, 0.81%, 3/25/2048 (k) | 1,028 | 94 |
Series 2018-60, Class SK, IF, IO, 0.26%, 8/25/2048 (k) | 1,815 | 85 |
Series 2019-9, Class SM, IF, IO, 0.61%, 3/25/2049 (k) | 2,271 | 155 |
Series 2019-20, Class BS, IF, IO, 0.61%, 5/25/2049 (k) | 695 | 50 |
GCAT Trust Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 (c) (k) | 3,000 | 2,139 |
GMACM Mortgage Loan Trust | ||
Series 2004-AR2, Class 3A, 4.72%, 8/19/2034 (k) | 203 | 178 |
Series 2005-AR1, Class 3A, 0.00%, 3/18/2035 (k) | 50 | 41 |
GNMA Series 2018-11, Class SA, IF, IO, 0.75%, 1/20/2048 (k) | 2,009 | 136 |
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (c) (k) | 1,200 | 173 |
GSR Mortgage Loan Trust | ||
Series 2004-15F, Class 1A2, 5.50%, 12/25/2034 | 156 | 110 |
Series 2005-1F, Class 2A3, 6.00%, 2/25/2035 | 127 | 86 |
Series 2005-AR3, Class 6A1, 3.97%, 5/25/2035 (k) | 55 | 44 |
Series 2005-AR4, Class 3A5, 4.47%, 7/25/2035 (k) | 1,021 | 704 |
Series 2005-6F, Class 3A18, 5.50%, 7/25/2035 | 541 | 473 |
Series 2005-AR7, Class 6A1, 4.43%, 11/25/2035 (k) | 411 | 353 |
Series 2006-1F, Class 2A16, 6.00%, 2/25/2036 | 503 | 231 |
Series 2006-1F, Class 2A9, 6.00%, 2/25/2036 | 814 | 375 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2006-9F, Class 3A1, 6.25%, 10/25/2036 | 382 | 324 |
Series 2007-1F, Class 3A13, 6.00%, 1/25/2037 | 207 | 122 |
HarborView Mortgage Loan Trust Series 2005-11, Class 2A1A, 6.07%, 8/19/2045 (k) | 121 | 107 |
Impac CMB Trust | ||
Series 2004-5, Class 1A1, 6.16%, 10/25/2034 (k) | 194 | 186 |
Series 2004-6, Class 1A2, 6.22%, 10/25/2034 (k) | — | — |
Series 2004-5, Class 1M2, 6.31%, 10/25/2034 (k) | 71 | 67 |
Series 2004-7, Class 1A2, 6.36%, 11/25/2034 (k) | 201 | 196 |
Series 2004-9, Class 1A1, 6.20%, 1/25/2035 (k) | — | — |
Series 2004-10, Class 2A, 6.08%, 3/25/2035 (k) | 325 | 290 |
Series 2004-10, Class 3A1, 6.14%, 3/25/2035 (k) | — | — |
Series 2005-1, Class 1A1, 5.96%, 4/25/2035 (k) | 185 | 166 |
Series 2005-1, Class 1A2, 6.06%, 4/25/2035 (k) | 227 | 202 |
Series 2005-2, Class 1A2, 6.06%, 4/25/2035 (k) | 230 | 212 |
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A4, 3.75%, 8/25/2033 | 154 | 102 |
Impac Secured Assets Trust | ||
Series 2007-3, Class A1B, 5.92%, 9/25/2037 (k) | 1,404 | 1,157 |
Series 2007-3, Class A1C, 6.16%, 9/25/2037 (k) | 2,352 | 1,917 |
IndyMac INDX Mortgage Loan Trust | ||
Series 2005-AR3, Class 3A1, 3.66%, 4/25/2035 (k) | 157 | 143 |
Series 2005-AR14, Class 2A1A, 6.04%, 7/25/2035 (k) | 669 | 517 |
Series 2007-AR21, Class 6A1, 3.71%, 9/25/2037 (k) | 4,139 | 2,743 |
JPMorgan Alternative Loan Trust Series 2006-A2, Class 1A1, 5.80%, 5/25/2036 (k) | — | — |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
JPMorgan Mortgage Trust | ||
Series 2006-S3, Class 2A4, 5.50%, 8/25/2021 | 7 | 6 |
Series 2004-A6, Class 1A1, 3.48%, 12/25/2034 (k) | 39 | 33 |
Series 2005-A3, Class 6A6, 4.44%, 6/25/2035 (k) | 110 | 107 |
Series 2005-A6, Class 1A2, 5.49%, 9/25/2035 (k) | 124 | 114 |
Series 2005-A8, Class 4A1, 4.86%, 11/25/2035 (k) | 1,147 | 953 |
Series 2005-A8, Class 1A1, 4.89%, 11/25/2035 (k) | 74 | 59 |
Series 2006-A7, Class 2A4, 3.98%, 1/25/2037 (k) | 327 | 258 |
Series 2007-S1, Class 2A17, 5.77%, 3/25/2037 (k) | 3,664 | 1,081 |
Legacy Mortgage Asset Trust | ||
Series 2021-GS3, Class A2, 3.25%, 7/25/2061 (c) (h) | 2,800 | 2,273 |
Series 2021-GS1, Class A2, 3.84%, 10/25/2066 (c) (h) | 2,000 | 1,708 |
Lehman Mortgage Trust | ||
Series 2005-2, Class 2A5, 5.50%, 12/25/2035 | 608 | 342 |
Series 2007-7, Class 5A7, 6.50%, 8/25/2037 | 6,607 | 3,057 |
LHOME Mortgage Trust Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (c) (h) | 2,550 | 2,545 |
MASTR Alternative Loan Trust | ||
Series 2004-8, Class 1A1, 6.50%, 9/25/2034 | 134 | 131 |
Series 2004-12, Class 3A1, 6.00%, 12/25/2034 | 420 | 396 |
Series 2005-3, Class 1A1, 5.50%, 4/25/2035 | 87 | 78 |
Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | 202 | 100 |
Series 2005-6, Class 1A2, 5.50%, 12/25/2035 | 369 | 235 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2005-1, Class 2A2, 4.25%, 4/25/2035 (k) | 115 | 100 |
Series 2006-1, Class 2A1, 4.62%, 2/25/2036 (k) | 632 | 600 |
Series 2006-AF2, Class AF2, 6.25%, 10/25/2036 | 171 | 68 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 85 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Metlife Securitization Trust Series 2017-1A, Class A, 3.00%, 4/25/2055 (c) (k) | 2,106 | 1,906 |
MFA Trust Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (c) (h) | 2,700 | 2,605 |
Morgan Stanley Mortgage Loan Trust | ||
Series 2006-2, Class 1A, 5.25%, 2/25/2021 | 253 | 209 |
Series 2004-9, Class 1A, 5.30%, 11/25/2034 (k) | 353 | 340 |
Series 2005-4, Class 1A, 5.00%, 8/25/2035 | 20 | 17 |
MortgageIT Trust Series 2005-3, Class A1, 6.04%, 8/25/2035 (k) | — | — |
New Residential Mortgage Loan Trust | ||
Series 2019-NQM4, Class B1, 3.74%, 9/25/2059 (c) (k) | 2,500 | 1,851 |
Series 2019-NQM4, Class B2, 4.85%, 9/25/2059 (c) (k) | 4,000 | 3,011 |
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (c) (k) | 2,041 | 1,441 |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-WF1, Class 2A5, 5.66%, 3/25/2035 (h) | 2 | 2 |
OBX Trust Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (c) (h) | 398 | 390 |
PNMAC GMSR Issuer Trust Series 2018-GT1, Class A, 9.29%, 2/25/2025 (c) (k) | 2,715 | 2,715 |
PRPM 3.77%, 3/25/2026 | 4,987 | 4,521 |
PRPM LLC | ||
Series 2020-4, Class A2, 6.44%, 10/25/2025 (c) (h) | 7,030 | 6,368 |
Series 2020-6, Class A2, 4.70%, 11/25/2025 (c) (h) | 2,350 | 2,074 |
RALI Trust | ||
Series 2003-QS20, Class CB, 5.00%, 11/25/2018 ‡ | 3 | 2 |
Series 2005-QA5, Class A2, 4.53%, 4/25/2035 (k) | 648 | 572 |
Series 2005-QS17, Class A3, 6.00%, 12/25/2035 | 502 | 417 |
Series 2006-QS3, Class 1A10, 6.00%, 3/25/2036 | 818 | 658 |
Series 2006-QS4, Class A2, 6.00%, 4/25/2036 | 954 | 729 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2006-QS17, Class A5, 6.00%, 12/25/2036 | 1,463 | 1,123 |
Residential Asset Securitization Trust | ||
Series 2005-A8CB, Class A11, 6.00%, 7/25/2035 | 1,380 | 869 |
Series 2005-A14, Class A1, 5.50%, 12/25/2035 | 125 | 58 |
Series 2006-A8, Class 3A1, 6.00%, 8/25/2036 | 2,559 | 1,150 |
RFMSI Trust | ||
Series 2005-S7, Class A6, 5.50%, 11/25/2035 | 51 | 38 |
Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | 1,123 | 801 |
Series 2006-SA4, Class 2A1, 5.54%, 11/25/2036 (k) | 795 | 671 |
Seasoned Credit Risk Transfer Trust Series 2017-3, Class A, IO, 0.00%, 7/25/2056 (k) | 183,988 | 126 |
Sequoia Mortgage Trust Series 2007-3, Class 1A1, 5.85%, 7/20/2036 (k) | 274 | 228 |
Starwood Mortgage Residential Trust | ||
Series 2020-1, Class B1, 3.73%, 2/25/2050 (c) (k) | 5,410 | 4,061 |
Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (c) | 1,600 | 1,120 |
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 1A1, 4.66%, 2/25/2035 (k) | 184 | 169 |
Structured Asset Mortgage Investments II Trust | ||
Series 2005-AR3, Class 1A1, 5.98%, 8/25/2035 (k) | 1,839 | 1,574 |
Series 2007-AR7, Class 1A1, 6.29%, 5/25/2047 (k) | 2,653 | 2,067 |
Verus Securitization Trust | ||
Series 2019-INV2, Class B1, 4.45%, 7/25/2059 (c) (k) | 2,000 | 1,755 |
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 (c) (k) | 5,000 | 4,034 |
Series 2020-1, Class A1, 2.42%, 1/25/2060 (c) (h) | 2,823 | 2,638 |
Series 2021-R1, Class B1, 3.20%, 10/25/2063 (c) (k) | 2,000 | 1,459 |
Series 2021-R1, Class B2, 4.20%, 10/25/2063 (c) (k) | 1,322 | 910 |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Series 2021-R3, Class B1, 3.07%, 4/25/2064 (c) (k) | 2,500 | 1,593 |
Series 2021-R3, Class B2, 4.07%, 4/25/2064 (c) (k) | 1,776 | 1,103 |
Series 2020-5, Class B1, 3.71%, 5/25/2065 (c) (k) | 2,400 | 1,845 |
Series 2020-5, Class B2, 4.71%, 5/25/2065 (c) (k) | 1,400 | 1,088 |
Series 2021-1, Class B1, 2.98%, 1/25/2066 (c) (k) | 3,150 | 1,866 |
Series 2021-4, Class M1, 2.19%, 7/25/2066 (c) (k) | 1,121 | 561 |
Series 2021-5, Class B1, 3.04%, 9/25/2066 (c) (k) | 3,826 | 2,039 |
Series 2021-5, Class B2, 3.94%, 9/25/2066 (c) (k) | 3,750 | 2,101 |
Series 2023-4, Class A1, 5.81%, 5/25/2068 (c) (h) | 466 | 457 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2004-AR11, Class A, 5.97%, 10/25/2034 (k) | 427 | 378 |
Series 2005-AR5, Class A6, 4.62%, 5/25/2035 (k) | 1,005 | 945 |
Series 2005-AR16, Class 1A1, 3.94%, 12/25/2035 (k) | 366 | 319 |
Series 2005-AR14, Class 1A3, 4.35%, 12/25/2035 (k) | 762 | 665 |
Series 2005-AR14, Class 1A4, 4.35%, 12/25/2035 (k) | 508 | 443 |
Series 2005-AR18, Class 1A3A, 4.06%, 1/25/2036 (k) | 37 | 33 |
Series 2006-AR2, Class 1A1, 3.84%, 3/25/2036 (k) | 137 | 120 |
Series 2004-AR10, Class A1B, 6.28%, 7/25/2044 (k) | 394 | 355 |
Series 2005-AR15, Class A1A1, 5.96%, 11/25/2045 (k) | 24 | 21 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2005-1, Class 1A3, 5.50%, 3/25/2035 | 420 | 362 |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 299 | 255 |
Series 2005-10, Class 2A5, 5.75%, 11/25/2035 | 1,593 | 1,329 |
Series 2005-10, Class 4CB1, 5.75%, 12/25/2035 | 465 | 379 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2006-5, Class 2CB5, 6.50%, 7/25/2036 | 144 | 98 |
Series 2007-1, Class 1A7, 6.00%, 2/25/2037 (k) | 2,326 | 1,643 |
Wells Fargo Mortgage-Backed Securities Trust | ||
Series 2006-AR19, Class A3, 5.49%, 12/25/2036 (k) | 85 | 78 |
Series 2007-15, Class A1, 6.00%, 11/25/2037 | 97 | 77 |
320,751 | ||
Total Collateralized Mortgage Obligations (Cost $389,471) | 321,459 | |
Asset-Backed Securities — 2.5% | ||
Cayman Islands — 0.7% | ||
Ares CLO Ltd. Series 2016-39A, Class A1R2, 6.71%, 4/18/2031 (c) (k) | 900 | 897 |
Bain Capital Credit CLO Series 2020-1A, Class A1, 6.85%, 4/18/2033 (c) (k) | 1,450 | 1,441 |
Benefit Street Partners CLO Ltd. Series 2019-18A, Class A1R, 6.83%, 10/15/2034 (c) (k) | 2,300 | 2,283 |
BlueMountain CLO Ltd. Series 2018-3A, Class D, 8.89%, 10/25/2030 (c) (k) | 685 | 622 |
Carlyle Global Market Strategies CLO Ltd. | ||
Series 2014-3RA, Class A1A, 6.70%, 7/27/2031 (c) (k) | 701 | 699 |
Series 2015-4A, Class A1R, 7.02%, 7/20/2032 (c) (k) | 1,400 | 1,396 |
CARLYLE US CLO Ltd. Series 2018-1A, Class A1, 6.70%, 4/20/2031 (c) (k) | 1,909 | 1,895 |
CIFC Funding Ltd. | ||
Series 2018-1A, Class A, 6.66%, 4/18/2031 (c) (k) | 1,649 | 1,642 |
Series 2018-4A, Class A1, 6.81%, 10/17/2031 (c) (k) | 2,500 | 2,493 |
Series 2021-4A, Class A, 6.71%, 7/15/2033 (c) (k) | 1,500 | 1,491 |
Dryden CLO Ltd. | ||
Series 2018-64A, Class A, 6.63%, 4/18/2031 (c) (k) | 1,404 | 1,399 |
Series 2018-58A, Class A1, 6.66%, 7/17/2031 (c) (k) | 2,905 | 2,895 |
Dryden Senior Loan Fund | ||
Series 2013-30A, Class AR, 6.45%, 11/15/2028 (c) (k) | 418 | 416 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 87 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Cayman Islands — continued | ||
Series 2013-26A, Class AR, 6.56%, 4/15/2029 (c) (k) | 945 | 942 |
Series 2015-37A, Class AR, 6.76%, 1/15/2031 (c) (k) | 1,311 | 1,308 |
Series 2015-41A, Class AR, 6.63%, 4/15/2031 (c) (k) | 1,315 | 1,310 |
Elmwood CLO Ltd. Series 2020-1A, Class A, 6.90%, 4/15/2033 (c) (k) | 2,700 | 2,695 |
Flatiron CLO Ltd. Series 2019-1A, Class AR, 6.71%, 11/16/2034 (c) (k) | 380 | 378 |
Galaxy CLO Ltd. | ||
Series 2018-27A, Class A, 6.65%, 5/16/2031 (c) (k) | 1,286 | 1,283 |
Series 2016-22A, Class ARR, 6.86%, 4/16/2034 (c) (k) | 1,000 | 994 |
Goldentree Loan Management US CLO Ltd. Series 2017-2A, Class AR, 6.59%, 11/20/2030 (c) (k) | 1,925 | 1,915 |
Madison Park Funding Ltd. | ||
Series 2015-18A, Class ARR, 6.61%, 10/21/2030 (c) (k) | 2,053 | 2,044 |
Series 2018-32A, Class A1R, 6.67%, 1/22/2031 (c) (k) | 1,200 | 1,194 |
Series 2019-34A, Class AR, 6.76%, 4/25/2032 (c) (k) | 1,800 | 1,793 |
Series 2019-37A, Class AR, 6.73%, 7/15/2033 (c) (k) | 1,000 | 994 |
Magnetite Ltd. Series 2015-15A, Class AR, 6.65%, 7/25/2031 (c) (k) | 1,223 | 1,220 |
Neuberger Berman Loan Advisers CLO Ltd. | ||
Series 2019-31A, Class AR, 6.72%, 4/20/2031 (c) (k) | 2,000 | 1,993 |
Series 2020-36A, Class A1R, 6.93%, 4/20/2033 (c) (k) | 2,300 | 2,292 |
Series 2019-34A, Class A1R, 6.66%, 1/20/2035 (c) (k) | 2,160 | 2,143 |
OCP CLO Ltd. Series 2020-18A, Class AR, 6.77%, 7/20/2032 (c) (k) | 2,600 | 2,587 |
Octagon Investment Partners Ltd. Series 2013-1A, Class A1RR, 6.63%, 7/19/2030 (c) (k) | 1,911 | 1,904 |
Octagon Investment Partners 35 Ltd. Series 2018-1A, Class A1A, 6.74%, 1/20/2031 (c) (k) | 1,220 | 1,217 |
Octagon Loan Funding Ltd. Series 2014-1A, Class ARR, 6.82%, 11/18/2031 (c) (k) | 930 | 928 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Cayman Islands — continued | ||
OHA Credit Partners Ltd. Series 2012-7A, Class AR3, 6.71%, 2/20/2034 (c) (k) | 2,300 | 2,285 |
Palmer Square Loan Funding Ltd. Series 2022-4A, Class A2, 7.70%, 7/24/2031 (c) (k) | 1,900 | 1,906 |
Symphony CLO Ltd. | ||
Series 2018-19A, Class A, 6.62%, 4/16/2031 (c) (k) | 1,241 | 1,236 |
Series 2014-15A, Class AR3, 6.74%, 1/17/2032 (c) (k) | 800 | 796 |
Voya CLO Ltd. Series 2016-3A, Class CR, 8.91%, 10/18/2031 (c) (k) | 550 | 487 |
57,413 | ||
United States — 1.8% | ||
ABFC Trust | ||
Series 2003-OPT1, Class A1A, 6.26%, 4/25/2033 (k) | 100 | 98 |
Series 2004-OPT3, Class M1, 6.19%, 9/25/2033 (k) | 143 | 143 |
Series 2004-HE1, Class M1, 6.34%, 3/25/2034 (k) | 499 | 481 |
Accredited Mortgage Loan Trust Series 2004-4, Class M1, 5.15%, 1/25/2035 (k) | 414 | 369 |
ACE Securities Corp. Home Equity Loan Trust | ||
Series 2003-FM1, Class M1, 6.73%, 11/25/2032 (k) | 394 | 394 |
Series 2004-OP1, Class M2, 7.01%, 4/25/2034 (k) | 1,433 | 1,229 |
Affirm Asset Securitization Trust | ||
Series 2022-A, Class 1E, 8.04%, 5/17/2027 (c) | 1,060 | 1,019 |
Series 2023-B, Class A, 6.82%, 9/15/2028 (c) | 1,077 | 1,077 |
American Credit Acceptance Receivables Trust | ||
Series 2022-1, Class E, 3.64%, 3/13/2028 (c) | 1,473 | 1,341 |
Series 2021-3, Class F, 3.64%, 5/15/2028 (c) | 1,600 | 1,494 |
Series 2023-2, Class C, 5.96%, 8/13/2029 (c) | 950 | 933 |
Series 2023-3, Class C, 6.44%, 10/12/2029 (c) | 797 | 790 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
United States — continued | ||
AmeriCredit Automobile Receivables Trust Series 2022-2, Class C, 5.32%, 4/18/2028 | 1,650 | 1,600 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2002-AR1, Class M1, 3.61%, 9/25/2032 (k) | 96 | 100 |
Asset-Backed Securities Corp. Home Equity Loan Trust | ||
Series 2004-HE2, Class M2, 7.31%, 4/25/2034 (k) | 416 | 417 |
Series 2004-HE7, Class M2, 7.01%, 10/25/2034 (k) | 344 | 330 |
Bear Stearns Asset-Backed Securities Trust | ||
Series 2003-SD1, Class M1, 6.71%, 12/25/2033 (k) | 388 | 380 |
Series 2003-1, Class M1, 7.09%, 11/25/2042 (k) | 6 | 9 |
Series 2004-SD4, Class A1, 6.34%, 8/25/2044 (k) | 566 | 524 |
Carlyle Global Market Strategies CLO Ltd. Series 2012-3A, Class A1A2, 6.84%, 1/14/2032 (c) (k) | 1,322 | 1,319 |
Centex Home Equity Loan Trust | ||
Series 2004-C, Class M2, 4.49%, 6/25/2034 (k) | 337 | 313 |
Series 2004-D, Class MF2, 6.06%, 9/25/2034 (h) | 603 | 579 |
Series 2004-D, Class MV2, 6.47%, 9/25/2034 (k) | 38 | 35 |
Chase Funding Trust | ||
Series 2003-5, Class 1M2, 5.64%, 9/25/2032 (k) | 112 | 87 |
Series 2004-1, Class 1M1, 4.73%, 5/25/2033 | 841 | 746 |
Series 2003-4, Class 1A5, 5.92%, 5/25/2033 (h) | 542 | 503 |
Series 2004-1, Class 2M1, 6.19%, 9/25/2033 (k) | — | — |
CHEC Loan Trust Series 2004-1, Class M1, 6.34%, 7/25/2034 (c) (k) | 510 | 480 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2005-OPT1, Class M4, 6.49%, 2/25/2035 (k) | 128 | 119 |
Series 2005-WF2, Class AF7, 5.75%, 8/25/2035 (h) | 22 | 19 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Conn's Receivables Funding LLC | ||
Series 2022-A, Class B, 9.52%, 12/15/2026 (c) | 656 | 657 |
Series 2023-A, Class B, 10.00%, 1/17/2028 (c) | 102 | 102 |
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2020-9, Class PT, 8.76%, 4/15/2045 ‡ (c) (k) | 361 | 343 |
Countrywide Asset-Backed Certificates | ||
Series 2004-3, Class M1, 6.19%, 6/25/2034 (k) | 427 | 415 |
Series 2004-3, Class M2, 6.26%, 6/25/2034 (k) | 244 | 237 |
Series 2004-ECC2, Class M2, 6.41%, 12/25/2034 (k) | 44 | 44 |
Countrywide Partnership Trust Series 2004-EC1, Class M2, 6.38%, 1/25/2035 (k) | 87 | 89 |
CPS Auto Receivables Trust Series 2021-B, Class E, 3.41%, 6/15/2028 (c) | 1,285 | 1,209 |
Credit Acceptance Auto Loan Trust | ||
Series 2022-3A, Class A, 6.57%, 10/15/2032 (c) | 400 | 400 |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (c) | 1,000 | 982 |
Series 2023-3A, Class B, 7.09%, 10/17/2033 (c) | 311 | 307 |
CWABS Asset-Backed Certificates Trust | ||
Series 2005-11, Class AF6, 5.05%, 2/25/2036 (k) | 47 | 45 |
Series 2005-AB4, Class 2A1, 5.98%, 3/25/2036 (k) | — | — |
CWABS Asset-Backed Certificates Trust, Series 2004-BC4, Class M1, 6.49%, 11/25/2034 (k) | 28 | 28 |
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 6.26%, 3/25/2034 (k) | 286 | 286 |
CWABS, Inc., Asset-Backed Certificates Series 2004-1, Class M3, 6.41%, 2/25/2034 (k) | 2 | 2 |
DT Auto Owner Trust | ||
Series 2021-4A, Class D, 1.99%, 9/15/2027 (c) | 963 | 880 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (c) | 935 | 946 |
Series 2022-1A, Class E, 5.53%, 3/15/2029 (c) | 500 | 470 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 89 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
United States — continued | ||
Series 2023-3A, Class C, 6.40%, 5/15/2029 (c) | 900 | 890 |
Exeter Automobile Receivables Trust | ||
Series 2020-3A, Class F, 5.56%, 6/15/2027 (c) | 1,500 | 1,463 |
Series 2021-4A, Class E, 4.02%, 1/17/2028 (c) | 1,070 | 961 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 690 | 684 |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (c) | 2,750 | 2,512 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 804 | 818 |
Finance America Mortgage Loan Trust Series 2004-3, Class M2, 6.38%, 11/25/2034 (k) | 139 | 122 |
First Franklin Mortgage Loan Asset-Backed Certificates Series 2004-FF3, Class M1, 6.26%, 5/25/2034 (k) | 311 | 294 |
Flagship Credit Auto Trust Series 2019-3, Class E, 3.84%, 12/15/2026 (c) | 1,250 | 1,192 |
FREED ABS Trust Series 2022-4FP, Class B, 7.58%, 12/18/2029 (c) | 1,750 | 1,755 |
Fremont Home Loan Trust | ||
Series 2002-1, Class M1, 6.69%, 8/25/2033 (k) | 587 | 595 |
Series 2004-B, Class M2, 6.38%, 5/25/2034 (k) | 285 | 264 |
Series 2004-C, Class M1, 6.41%, 8/25/2034 (k) | 462 | 412 |
Series 2004-D, Class M2, 6.34%, 11/25/2034 (k) | 185 | 172 |
GLS Auto Receivables Issuer Trust | ||
Series 2021-3A, Class E, 3.20%, 10/16/2028 (c) | 900 | 818 |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (c) | 1,250 | 1,120 |
GSAMP Trust | ||
Series 2003-SEA, Class A1, 5.84%, 2/25/2033 (k) | 334 | 320 |
Series 2003-HE1, Class M1, 6.70%, 6/20/2033 (k) | 760 | 746 |
Hertz Vehicle Financing III LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (c) | 420 | 415 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Home Equity Mortgage Loan Asset-Backed Trust | ||
Series 2004-B, Class M2, 4.81%, 11/25/2034 (k) | 297 | 281 |
Series 2004-C, Class M2, 4.42%, 3/25/2035 (k) | 636 | 561 |
Honda Auto Receivables Owner Trust Series 2023-4, Class D, 7.65%, 9/12/2030 (c) (m) | 1,400 | 1,400 |
LendingClub Loan Certificate Issuer Trust | ||
Series 2022-P3, Class CERT, 11.88%, 5/15/2037 ‡ (c) | 125 | 1,614 |
Series 2022-NP3, Class CERT, HB, 25.22%, 5/15/2037 ‡ (c) | 125 | 1,948 |
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (c) | 200 | 3,940 |
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (c) | 200 | 3,004 |
Series 2022-NP6, Class CERT, HB, 25.46%, 7/15/2037 ‡ (c) | 50 | 1,045 |
Lendmark Funding Trust | ||
Series 2021-1A, Class B, 2.47%, 11/20/2031 (c) | 1,200 | 988 |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (c) | 1,100 | 864 |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (c) | 500 | 404 |
Long Beach Mortgage Loan Trust Series 2003-4, Class M1, 6.46%, 8/25/2033 (k) | 16 | 16 |
Magnetite Ltd. Series 2023-39A, Class B, 7.53%, 10/25/2033 (c) (k) | 1,200 | 1,200 |
MASTR Asset-Backed Securities Trust | ||
Series 2004-OPT2, Class M2, 6.41%, 9/25/2034 (k) | 554 | 543 |
Series 2005-NC1, Class M4, 6.58%, 12/25/2034 (k) | 475 | 463 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-OPT1, Class M1, 6.41%, 7/25/2034 (k) | 65 | 63 |
Series 2004-HE2, Class M1, 6.64%, 8/25/2035 (k) | 46 | 44 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2003-NC10, Class M1, 6.46%, 10/25/2033 (k) | 230 | 226 |
Series 2004-WMC2, Class M1, 6.35%, 7/25/2034 (k) | 707 | 700 |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
United States — continued | ||
Series 2004-WMC2, Class M2, 7.24%, 7/25/2034 (k) | 156 | 135 |
Series 2004-HE6, Class M2, 6.34%, 8/25/2034 (k) | 529 | 491 |
Series 2004-HE7, Class M2, 6.38%, 8/25/2034 (k) | 124 | 119 |
Series 2004-HE6, Class M3, 6.41%, 8/25/2034 (k) | 350 | 326 |
Series 2004-HE8, Class M2, 6.46%, 9/25/2034 (k) | 204 | 198 |
Series 2004-NC8, Class M3, 6.55%, 9/25/2034 (k) | 265 | 249 |
Series 2004-HE8, Class M3, 6.56%, 9/25/2034 (k) | 358 | 351 |
Series 2005-HE1, Class M2, 6.14%, 12/25/2034 (k) | 217 | 194 |
Series 2005-NC1, Class M3, 6.20%, 1/25/2035 (k) | 263 | 242 |
Morgan Stanley Mortgage Loan Trust Series 2007-5AX, Class 2A2, 5.74%, 2/25/2037 (k) | 2,753 | 576 |
New Century Home Equity Loan Trust | ||
Series 2004-2, Class M2, 6.37%, 8/25/2034 (k) | 89 | 87 |
Series 2004-3, Class M2, 6.41%, 11/25/2034 (k) | 234 | 231 |
Series 2004-4, Class M2, 6.23%, 2/25/2035 (k) | 186 | 183 |
NovaStar Mortgage Funding Trust Series 2003-2, Class M2, 8.21%, 9/25/2033 (k) | 775 | 776 |
Oak Street Investment Grade Net Lease Fund | ||
Series 2021-1A, Class A3, 2.80%, 1/20/2051 (c) | 2,500 | 2,197 |
Series 2021-1A, Class B1, 4.23%, 1/20/2051 (c) | 1,250 | 1,073 |
OneMain Financial Issuance Trust Series 2023-2A, Class A2, 6.82%, 9/15/2036 (c) (k) | 2,396 | 2,374 |
Oportun Issuance Trust Series 2022-3, Class B, 8.53%, 1/8/2030 (c) | 1,000 | 1,001 |
Option One Mortgage Accept Corp. Asset-Backed Certificates | ||
Series 2003-5, Class A2, 6.08%, 8/25/2033 (k) | 242 | 227 |
Series 2003-5, Class M2, 7.76%, 8/25/2033 (k) | 5 | 8 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Option One Mortgage Loan Trust Series 2004-3, Class M2, 6.29%, 11/25/2034 (k) | 306 | 298 |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (c) | 1,500 | 1,217 |
People's Choice Home Loan Securities Trust Series 2004-2, Class M3, 7.16%, 10/25/2034 (k) | 1,910 | 1,612 |
PRET LLC | ||
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (c) (h) | 3,333 | 2,528 |
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (c) (h) | 6,250 | 5,176 |
Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (c) (k) | 5,000 | 4,303 |
Pretium Mortgage Credit Partners LLC Series 2021-RN1, Class A2, 3.60%, 2/25/2061 (c) (h) | 5,000 | 3,924 |
Progress Residential Trust | ||
Series 2021-SFR8, Class G, 4.01%, 10/17/2038 (c) | 6,080 | 5,157 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (c) | 1,250 | 1,145 |
PRPM LLC | ||
Series 2021-1, Class A2, 3.72%, 1/25/2026 (c) (k) | 5,000 | 4,418 |
Series 2021-2, Class A1, 2.12%, 3/25/2026 (c) (k) | 2,982 | 2,853 |
Series 2021-3, Class A2, 3.72%, 4/25/2026 (c) (h) | 5,500 | 4,971 |
Series 2021-5, Class A2, 3.72%, 6/25/2026 (c) (h) | 4,000 | 3,264 |
Series 2021-6, Class A2, 3.47%, 7/25/2026 (c) (h) | 3,447 | 2,937 |
Series 2021-7, Class A2, 3.67%, 8/25/2026 (c) (h) | 5,030 | 4,328 |
Series 2021-8, Class A2, 3.60%, 9/25/2026 (c) (k) | 5,000 | 4,112 |
Series 2021-10, Class A2, 4.83%, 10/25/2026 (c) (h) | 9,000 | 8,044 |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (c) (h) | 3,559 | 3,352 |
Series 2021-11, Class A2, 4.58%, 11/25/2026 (c) (h) | 5,269 | 4,734 |
RAMP Trust Series 2002-RS2, Class AI5, 4.82%, 3/25/2032 (k) | 156 | 150 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 91 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
United States — continued | ||
Renaissance Home Equity Loan Trust | ||
Series 2002-3, Class M1, 6.94%, 12/25/2032 (k) | 301 | 269 |
Series 2003-1, Class M1, 6.94%, 6/25/2033 (k) | 155 | 139 |
Series 2003-4, Class M2F, 6.24%, 3/25/2034 (h) | 581 | 496 |
Series 2003-4, Class M1, 6.71%, 3/25/2034 (k) | 1,058 | 908 |
Santander Bank Auto Credit-Linked Notes | ||
Series 2022-C, Class B, 6.45%, 12/15/2032 (c) | 348 | 347 |
Series 2022-C, Class C, 6.99%, 12/15/2032 (c) | 301 | 301 |
Series 2022-C, Class D, 8.20%, 12/15/2032 (c) | 278 | 280 |
Series 2022-C, Class E, 11.37%, 12/15/2032 (c) | 151 | 152 |
SASCO Mortgage Loan Trust Series 2004-GEL3, Class M1, 4.81%, 8/25/2034 (k) | 448 | 446 |
Saxon Asset Securities Trust Series 2004-2, Class MV2, 3.79%, 8/25/2035 (k) | 123 | 118 |
SBA Small Business Investment Cos. Series 2023-10A, Class 1, 5.17%, 3/10/2033 | 1,852 | 1,802 |
Securitized Asset-Backed Receivables LLC Trust Series 2005-OP1, Class M2, 6.11%, 1/25/2035 (k) | 342 | 315 |
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (c) (h) | 500 | 406 |
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1, Class A3, 3.45%, 2/25/2032 | 706 | 311 |
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (c) | 543 | 545 |
Upstart Pass-Through Trust | ||
Series 2022-PT3, Class A, HB, 21.05%, 4/20/2030 ‡ (c) (k) | 1,459 | 1,475 |
Series 2022-PT4, Class A, HB, 20.51%, 5/20/2030 (c) (k) | 2,649 | 2,649 |
Upstart Securitization Trust | ||
Series 2021-5, Class C, 4.15%, 11/20/2031 (c) | 1,200 | 1,080 |
Series 2022-1, Class C, 5.71%, 3/20/2032 (c) | 1,200 | 1,062 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2022-4, Class A, 5.98%, 8/20/2032 (c) | 313 | 310 |
Wells Fargo Home Equity Asset-Backed Securities Trust | ||
Series 2004-2, Class M8B, 5.00%, 10/25/2034 (c) (k) | 290 | 238 |
Series 2004-2, Class M1, 6.34%, 10/25/2034 (k) | 201 | 200 |
Series 2004-2, Class M8A, 9.94%, 10/25/2034 (c) (k) | 290 | 281 |
152,918 | ||
Total Asset-Backed Securities (Cost $222,889) | 210,331 | |
Loan Assignments — 1.8% (d) (n) | ||
France — 0.0% ^ | ||
Banijay Entertainment, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.17%, 3/1/2028 | 385 | 383 |
Numericable U.S. LLC, 1st Lien Term Loan B-14 (3-MONTH CME TERM SOFR + 5.50%), 10.89%, 8/15/2028 | 204 | 181 |
564 | ||
Germany — 0.0% ^ | ||
Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (6-MONTH SOFR + 3.50%), 9.38%, 7/30/2027 (o) | 346 | 343 |
Ireland — 0.0% ^ | ||
Flutter Entertainment plc, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.90%, 7/22/2028 | 410 | 410 |
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.90%, 7/3/2028 | 89 | 89 |
499 | ||
Luxembourg — 0.1% | ||
Formula One Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.57%, 1/15/2030 | 825 | 824 |
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.90%, 7/3/2028 | 356 | 356 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Luxembourg — continued | ||
Ineos US Finance LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.92%, 2/18/2030 (o) | 523 | 511 |
Nestle Skin Health SA, Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.24%, 10/1/2026 | 6,766 | 6,754 |
8,445 | ||
Netherlands — 0.0% ^ | ||
CommScope, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 4/6/2026 | 840 | 718 |
United States — 1.7% | ||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.43%, 4/20/2028 | 3,410 | 3,452 |
Adient US LLC, Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 4/10/2028 | 2,384 | 2,381 |
Advanced Drainage Systems, Inc., 1st Lien Term Loan B 7.66%, 7/31/2026 | 302 | 304 |
Ahead DB Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.24%, 10/18/2027 | 497 | 492 |
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/24/2028 | 421 | 420 |
Albany Molecular Research, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 9.17%, 8/30/2026 | 308 | 246 |
Alliance Laundry Systems LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.99%, 10/8/2027 | 814 | 812 |
Allied Universal Holdco LLC, 1st Lien Term Loan B | ||
(1-MONTH CME TERM SOFR + 3.75%), 9.17%, 5/12/2028 | 509 | 482 |
(1-MONTH CME TERM SOFR + 4.75%), 10.07%, 5/12/2028 (o) | 145 | 140 |
Altice Financing SA, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 10.39%, 10/28/2027 | 379 | 353 |
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.98%, 12/13/2029 | 750 | 747 |
Ancestry.com, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 12/6/2027 | 387 | 375 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
API Group DE, 1st Lien Term Loan B (3-MONTH SOFR + 2.25%), 7.69%, 10/1/2026 | 746 | 746 |
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.07%, 10/19/2027 | 3,642 | 3,613 |
Asplundh Tree Expert LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.17%, 9/7/2027 | 247 | 248 |
Astoria Energy LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 12/10/2027 | 188 | 188 |
Asurion LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 7/31/2027 | 343 | 327 |
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.67%, 8/19/2028 | 306 | 292 |
Asurion LLC, 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 5.25%), 10.69%, 1/31/2028 | 325 | 281 |
Asurion LLC, Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 9.42%, 8/19/2028 | 336 | 320 |
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.58%, 2/15/2029 (o) | 499 | 482 |
Avantor Funding, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.67%, 11/8/2027 | 283 | 282 |
AZZ, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.07%, 5/13/2029 | 348 | 348 |
B&G Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 10/10/2026 | 391 | 381 |
Bausch Health Cos., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 10.69%, 2/1/2027 | 572 | 432 |
Birkenstock, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.88%, 4/28/2028 | 605 | 603 |
Brookfield WEC Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 8/1/2025 | 625 | 623 |
Brooks Automation, 1st Lien Term Loan B (1-MONTH SOFR + 3.10%), 8.14%, 2/1/2029 (o) | 1,009 | 999 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 93 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 10.49%, 2/1/2030 | 169 | 162 |
Buckeye Partners LP, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.25%), 7.67%, 11/1/2026 | 363 | 362 |
BWAY Intermediate Co., Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.32%, 8/14/2026 | 546 | 529 |
Cabinetworks, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.90%, 5/17/2028 | 3,080 | 2,438 |
Caesars Entertainment, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 2/6/2030 | 689 | 685 |
Calpine Construction Finance Co. LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.57%, 7/31/2030 | 414 | 411 |
Camelot Finance LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 10/30/2026 | 861 | 859 |
Carnival Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.34%, 8/9/2027 (o) | 523 | 513 |
Carroll County Energy LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.99%, 2/13/2026 | 265 | 255 |
CenturyLink, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.69%, 3/15/2027 | 277 | 207 |
Chamberlain Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 11/3/2028 | 546 | 530 |
Ciena Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.84%, 10/24/2030 | 364 | 364 |
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 11/22/2028 | 343 | 335 |
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.92%, 12/18/2026 (p) | 1,786 | 1,615 |
Clarios Global LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.07%, 5/6/2030 | 430 | 429 |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 9.14%, 8/21/2026 | 3,032 | 2,906 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Conair Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.19%, 5/17/2028 | 529 | 489 |
Conservice Midco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 9.67%, 5/13/2027 | 562 | 558 |
Consilio, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 5/12/2028 | 519 | 502 |
Cortes NP Acquisition Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.18%, 3/2/2027 | 503 | 502 |
CPM Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.83%, 9/28/2028 | 331 | 330 |
Creative Artists Agency LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 11/27/2028 (o) | 449 | 447 |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.83%, 1/18/2028 | 1,296 | 1,209 |
DaVita, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 8/12/2026 | 619 | 612 |
DexKo Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.40%, 10/4/2028 | 4,015 | 3,832 |
DigiCert, 1st Lien Term Loan | ||
(1-MONTH CME TERM SOFR + 4.00%), 9.32%, 10/16/2026 | 222 | 218 |
(1-MONTH CME TERM SOFR + 7.00%), 12.32%, 2/19/2029 | 145 | 129 |
DirectV Financing LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 8/2/2027 | 4,140 | 4,022 |
Duff & Phelps Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.14%, 4/9/2027 (o) | 364 | 351 |
DuPont Performance, 1st Lien Term Loan B-4 (3-MONTH SOFR + 2.50%), 7.89%, 12/20/2029 | 483 | 483 |
E.W. Scripps Co., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/7/2028 | 480 | 460 |
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.16%, 8/1/2027 | 514 | 502 |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.32%, 5/31/2030 | 596 | 594 |
Endo Pharmaceuticals, Inc., 1st Lien Term Loan B (1-MONTH PRIME + 6.00%), 14.50%, 3/27/2028 | 197 | 132 |
Ensemble RCM LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 9.23%, 8/3/2026 | 256 | 256 |
Entegris, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.88%, 7/6/2029 | 259 | 259 |
Envision Healthcare Corp., 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 4.25%), 5.33%, 3/31/2027 | 238 | 41 |
(3-MONTH CME TERM SOFR + 3.75%), 8.99%, 3/31/2027 | 581 | 2 |
EPIC Crude Services LP, 1st Lien Term Loan B (3-MONTH SOFR + 5.00%), 10.93%, 3/2/2026 | 4,876 | 4,830 |
Exelon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 8.18%, 12/15/2027 | 422 | 420 |
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 0.00%, 5/16/2024 ‡ (i) | 146 | 16 |
First Student Bidco, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.65%, 7/21/2028 | 2,136 | 2,067 |
First Student Bidco, Inc., 1st Lien Term Loan C | ||
(3-MONTH CME TERM SOFR + 3.00%), 8.65%, 7/21/2028 | 803 | 777 |
(3-MONTH CME TERM SOFR + 4.00%), 8.65%, 7/21/2028 (o) | 298 | 291 |
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.49%, 7/21/2028 (o) | 4,256 | 4,161 |
Garda World Security Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.75%, 10/30/2026 | 400 | 398 |
Garda World Security, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.65%, 2/1/2029 (o) | 246 | 244 |
Gates Global LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.92%, 3/31/2027 | 171 | 171 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Gates Global LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.32%, 11/16/2029 | 173 | 173 |
Gemini HDPE LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.64%, 12/31/2027 (o) | 421 | 419 |
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 7.49%, 12/30/2026 | 547 | 546 |
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.43%, 12/1/2027 | 2,890 | 2,885 |
Getty Images, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.99%, 2/19/2026 | 367 | 367 |
Go Daddy Group, Inc.,1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 2.50%), 7.82%, 11/9/2029 | 596 | 596 |
GoodRx, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 8.17%, 10/10/2025 | 390 | 389 |
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 8/4/2027 (o) | 229 | 226 |
Gray Television, Inc., 1st Lien Term Loan D (1-MONTH CME TERM SOFR + 3.00%), 8.43%, 12/1/2028 | 211 | 202 |
Gray Television, Inc., 1st Lien Term Loan E (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 1/2/2026 | 362 | 361 |
Griffon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.79%, 1/24/2029 | 443 | 441 |
GTCR W Merger Sub LLC, 1st Lien Term Loan B (3-MONTH SOFR + 3.00%), 3.50%, 9/20/2030 (o) | 390 | 387 |
Harsco Corp., Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 7.69%, 6/9/2028 | 604 | 588 |
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 12/15/2026 | 471 | 449 |
Hertz Corp. (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/30/2028 (o) | 450 | 446 |
Hertz Corp. (The), 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/30/2028 (o) | 87 | 86 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 95 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
Holley, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.40%, 11/17/2028 | 450 | 425 |
Hub International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.66%, 6/20/2030 | 507 | 507 |
iHeartCommunications, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 5/1/2026 | 2,987 | 2,539 |
iHeartCommunications, Inc., Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 5/1/2026 | 150 | 127 |
INEOS Enterprises, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 9.27%, 7/8/2030 | 524 | 512 |
Ingram Micro, Inc., 1st Lien Term Loan (3-MONTH SOFR + 3.00%), 8.65%, 6/30/2028 | 272 | 271 |
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 5/4/2028 | 1,050 | 1,045 |
Interior Logic Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.92%, 4/3/2028 | 328 | 266 |
Intrado Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.39%, 1/31/2030 | 349 | 348 |
ION Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.29%, 3/11/2028 | 380 | 371 |
Iridium Communications, 1st Lien Term Loan B (3-MONTH SOFR + 2.50%), 3.25%, 9/20/2030 (o) | 585 | 584 |
Jazz Pharmaceuticals plc, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 5/5/2028 | 509 | 509 |
KDC US Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.32%, 8/15/2028 | 620 | 594 |
LABL, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.42%, 10/29/2028 | 3,058 | 2,872 |
LegalShield, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 12/15/2028 | 325 | 317 |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/9/2028 | 517 | 504 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Live Nation Entertainment, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 10/19/2026 | 408 | 407 |
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.70%, 6/21/2028 | 3,449 | 3,322 |
Mallinckrodt International Finance, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 8.00%), 13.44%, 8/28/2024 | 781 | 813 |
Mallinckrodt International Finance, Delayed Draw 1st Lien Term Loan (1-MONTH CME TERM SOFR + 8.00%), 13.45%, 8/28/2024 | 1,475 | 1,536 |
MED ParentCo, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 9.69%, 8/31/2026 | 403 | 380 |
Medallion Midland Acquisition LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.40%, 10/18/2028 | 615 | 615 |
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 10/23/2028 | 2,223 | 2,208 |
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.57%, 5/3/2028 | 434 | 414 |
MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.92%, 12/18/2027 | 298 | 297 |
Mirion Technologies, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 8.40%, 10/20/2028 | 409 | 408 |
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan (3-MONTH SOFR + 11.50%), 16.65%, 6/30/2026 ‡ | 2,444 | 2,444 |
Moran Foods LLC, 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 7.25%), 12.74%, 6/30/2026 ‡ | 3,464 | 2,808 |
(3-MONTH CME TERM SOFR + 7.25%), 12.74%, 6/30/2026 ‡ | 976 | 759 |
Moran Foods LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 11.50%), 12.74%, 6/30/2026 ‡ | 1,787 | 1,225 |
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH SOFR + 4.75%), 10.18%, 3/27/2029 (o) | 370 | 353 |
Netsmart Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.18%, 10/1/2027 | 445 | 441 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
Nexstar Broadcasting, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.94%, 9/18/2026 | 454 | 454 |
Nielsen Holdings plc, Term Loan B-3 (1-MONTH CME TERM SOFR + 3.75%), 9.07%, 3/6/2028 | 379 | 356 |
NorthRiver Midstream, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.39%, 8/16/2030 (o) | 623 | 621 |
Option Care Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 10/27/2028 | 599 | 600 |
Osmose Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/23/2028 | 731 | 716 |
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 9/24/2028 | 309 | 307 |
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 11/15/2028 (o) | 1,845 | 1,822 |
Pathway Vet Alliance LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 3/31/2027 | 303 | 275 |
PCI Pharma, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 9.15%, 11/30/2027 | 342 | 337 |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.90%, 3/3/2028 | 2,313 | 2,259 |
PetVet Care Centers LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 2/14/2025 | 362 | 361 |
PG&E Corp., Exit Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 6/23/2025 | 315 | 315 |
Pike Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 1/21/2028 | 221 | 220 |
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/21/2028 | 756 | 754 |
PQ Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.98%, 6/9/2028 | 478 | 474 |
Prime Security Services Borrower LLC, 1st Lien Term Loan B (3-MONTH SOFR + 2.50%), 5.33%, 10/13/2030 | 565 | 564 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.91%, 12/28/2027 | 1,409 | 1,328 |
Project Boost Purchaser LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 6/1/2026 | 465 | 461 |
Proofpoint, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 8/31/2028 | 422 | 415 |
Quest Software US Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.78%, 2/1/2029 | 255 | 201 |
Quikrete Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/19/2029 | 491 | 491 |
Radiology Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 10.18%, 7/9/2025 | 549 | 407 |
RealPage, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 4/24/2028 | 534 | 522 |
Restaurant Brands International, Inc., 1st Lien Term Loan B-5 (3-MONTH SOFR + 2.25%), 7.57%, 9/23/2030 | 400 | 396 |
Reynolds Group Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 2/5/2026 | 257 | 256 |
Ring Container Technologies LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/12/2028 | 422 | 421 |
Shearer's Foods LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 9/23/2027 | 320 | 319 |
Shutterfly LLC, 1st Lien Term Loan 11.32%, 10/1/2027 ‡ | 51 | 51 |
Shutterfly LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 5.00%), 10.39%, 10/1/2027 | 3,132 | 2,045 |
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.63%, 1/15/2027 | 213 | 212 |
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.92%, 4/5/2029 (o) | 1,937 | 1,917 |
SRS Distribution, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.92%, 6/2/2028 | 429 | 418 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 97 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 4/16/2025 | 7 | 7 |
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-4 (1-MONTH CME TERM SOFR + 1.75%), 7.19%, 4/16/2025 | 7 | 7 |
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 2/10/2029 | 523 | 517 |
Staples, Inc., 1st Lien Term Loan (Syn LIBOR USD 3 Month + 5.00%), 10.43%, 4/16/2026 | 973 | 835 |
Star Merger Sub, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.18%, 2/6/2026 | 507 | 506 |
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 10.15%, 12/4/2026 | 312 | 298 |
Sundyne, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.67%, 3/17/2027 | 601 | 598 |
Synaptics, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.91%, 12/2/2028 | 458 | 454 |
Syneos Health,Inc., 1st Lien Term Loan B (3-MONTH SOFR + 4.25%), 9.39%, 9/27/2030 | 1,950 | 1,856 |
Tekni-Plex, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 9.65%, 9/15/2028 | 467 | 461 |
ThoughtWorks, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.94%, 3/24/2028 | 151 | 151 |
Traeger Grills, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 6/29/2028 | 311 | 274 |
Trans Union LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 2.25%), 7.68%, 12/1/2028 | 365 | 365 |
TransDigm Group, Inc., 1st Lien Term Loan H (3-MONTH CME TERM SOFR + 3.25%), 8.64%, 2/22/2027 (o) | 248 | 248 |
TransDigm Group, Inc., 1st Lien Term Loan I (3-MONTH CME TERM SOFR + 3.25%), 8.64%, 8/24/2028 | 298 | 297 |
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.64%, 3/31/2028 | 2,192 | 2,074 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Tropicana, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 8.74%, 1/24/2029 | 311 | 285 |
Truck Hero, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 1/31/2028 | 285 | 272 |
UFC Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 2.75%), 8.40%, 4/29/2026 | 286 | 286 |
Ultimate Software Group, 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 3.25%), 8.76%, 5/4/2026 | 712 | 708 |
(3-MONTH CME TERM SOFR + 3.75%), 9.23%, 5/4/2026 (o) | 123 | 123 |
United Airlines, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.25%), 10.80%, 6/21/2027 | 450 | 463 |
United Natural Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 10/22/2025 | 307 | 306 |
Univision Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 3/15/2026 | 624 | 619 |
US Renal Care, 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 5.00%), 10.61%, 6/20/2028 | 3,335 | 2,026 |
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.14%, 11/22/2029 | 529 | 527 |
Utz Quality Foods LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.64%, 1/20/2028 | 275 | 274 |
Vertex Aerospace Services Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.67%, 12/6/2028 | 467 | 466 |
Virtusa Corp., 1st Lien Term Loan B | ||
(1-MONTH CME TERM SOFR + 3.75%), 9.33%, 2/11/2028 (o) | 340 | 338 |
(1-MONTH CME TERM SOFR + 3.75%), 9.17%, 2/15/2029 | 180 | 178 |
VT Topco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.66%, 8/9/2030 | 620 | 618 |
Whataburger, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 8/3/2028 | 540 | 534 |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
United States — continued | ||
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH SOFR + 4.50%), 14.33%, 5/11/2028 | 77 | 82 |
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH SOFR + 4.50%), 9.95%, 5/11/2028 | 364 | 292 |
WhiteWater Whistler Holdings, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.15%, 2/15/2030 | 574 | 573 |
WMG Acquisition Corp., 1st Lien Term Loan G (1-MONTH CME TERM SOFR + 2.13%), 7.56%, 1/20/2028 | 534 | 533 |
Zekelman Industries, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 7.45%, 1/24/2027 | 230 | 229 |
140,031 | ||
Total Loan Assignments (Cost $157,235) | 150,600 | |
Foreign Government Securities — 1.3% | ||
Angola — 0.1% | ||
Republic of Angola | ||
9.50%, 11/12/2025 (b) | 970 | 930 |
8.25%, 5/9/2028 (b) | 300 | 255 |
8.00%, 11/26/2029 (c) | 1,550 | 1,240 |
8.00%, 11/26/2029 (b) | 780 | 624 |
9.13%, 11/26/2049 (b) | 840 | 590 |
3,639 | ||
Argentina — 0.1% | ||
Argentine Republic | ||
1.00%, 7/9/2029 | 885 | 236 |
3.62%, 7/9/2035 (h) | 5,116 | 1,259 |
4.25%, 1/9/2038 (h) | 1,486 | 447 |
3.50%, 7/9/2041 (h) | 3,395 | 884 |
3.62%, 7/9/2046 (h) | 3,960 | 982 |
3,808 | ||
Bahrain — 0.1% | ||
Kingdom of Bahrain | ||
7.00%, 1/26/2026 (b) | 770 | 766 |
7.00%, 10/12/2028 (b) | 1,400 | 1,391 |
6.75%, 9/20/2029 (b) | 200 | 193 |
5.45%, 9/16/2032 (c) | 481 | 405 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Bahrain—continued | ||
6.00%, 9/19/2044 (b) | 1,500 | 1,082 |
7.50%, 9/20/2047 (b) | 970 | 810 |
4,647 | ||
Brazil — 0.1% | ||
Federative Republic of Brazil | ||
4.50%, 5/30/2029 | 1,430 | 1,317 |
8.25%, 1/20/2034 | 785 | 839 |
5.63%, 1/7/2041 | 950 | 772 |
5.00%, 1/27/2045 | 1,230 | 880 |
3,808 | ||
Colombia — 0.1% | ||
Republic of Colombia | ||
3.88%, 4/25/2027 | 990 | 900 |
4.50%, 3/15/2029 | 600 | 520 |
8.00%, 4/20/2033 | 950 | 925 |
7.50%, 2/2/2034 | 593 | 553 |
7.38%, 9/18/2037 | 1,000 | 898 |
6.13%, 1/18/2041 | 950 | 722 |
5.00%, 6/15/2045 | 1,370 | 870 |
5.20%, 5/15/2049 | 420 | 267 |
4.13%, 5/15/2051 | 1,000 | 550 |
6,205 | ||
Costa Rica — 0.0% ^ | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (b) | 1,200 | 1,140 |
6.55%, 4/3/2034 (c) | 1,490 | 1,416 |
7.00%, 4/4/2044 (b) | 1,100 | 1,007 |
3,563 | ||
Dominican Republic — 0.1% | ||
Dominican Republic Government Bond | ||
6.88%, 1/29/2026 (b) | 1,200 | 1,193 |
5.95%, 1/25/2027 (b) | 1,420 | 1,365 |
4.50%, 1/30/2030 (c) | 790 | 668 |
7.05%, 2/3/2031 (c) | 1,330 | 1,274 |
4.88%, 9/23/2032 (c) | 1,090 | 881 |
7.45%, 4/30/2044 (b) | 1,580 | 1,421 |
6.85%, 1/27/2045 (b) | 500 | 416 |
6.50%, 2/15/2048 (b) | 1,950 | 1,548 |
5.88%, 1/30/2060 (c) | 880 | 624 |
9,390 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 99 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Ecuador — 0.0% ^ | ||
Republic of Ecuador | ||
6.00%, 7/31/2030 (b) (h) | 4,410 | 2,234 |
3.50%, 7/31/2035 (b) (h) | 2,240 | 849 |
3,083 | ||
Egypt — 0.1% | ||
Arab Republic of Egypt | ||
5.75%, 5/29/2024 (b) | 1,720 | 1,633 |
3.88%, 2/16/2026 (c) | 665 | 454 |
3.88%, 2/16/2026 (b) | 600 | 410 |
7.50%, 1/31/2027 (b) | 2,670 | 1,843 |
7.60%, 3/1/2029 (b) | 800 | 496 |
5.88%, 2/16/2031 (c) | 482 | 263 |
7.05%, 1/15/2032 (c) | 880 | 497 |
7.63%, 5/29/2032 (c) | 750 | 428 |
8.70%, 3/1/2049 (c) | 1,520 | 796 |
8.88%, 5/29/2050 (b) | 250 | 132 |
8.15%, 11/20/2059 (c) | 1,050 | 535 |
7,487 | ||
El Salvador — 0.0% ^ | ||
Republic of El Salvador | ||
5.88%, 1/30/2025 (b) | 405 | 367 |
6.38%, 1/18/2027 (b) | 1,175 | 951 |
8.63%, 2/28/2029 (b) | 250 | 202 |
7.12%, 1/20/2050 (b) | 1,437 | 894 |
2,414 | ||
Gabon — 0.0% ^ | ||
Gabonese Republic 6.95%, 6/16/2025 (b) | 1,050 | 911 |
Ghana — 0.0% ^ | ||
Republic of Ghana 10.75%, 10/14/2030 (b) (i) | 520 | 324 |
Guatemala — 0.0% ^ | ||
Republic of Guatemala | ||
5.38%, 4/24/2032 (b) | 250 | 222 |
6.13%, 6/1/2050 (c) | 720 | 573 |
795 | ||
Honduras — 0.0% ^ | ||
Republic of Honduras 6.25%, 1/19/2027 (b) | 600 | 558 |
Iraq — 0.0% ^ | ||
Republic of Iraq 5.80%, 1/15/2028 (b) | 2,067 | 1,836 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Ivory Coast — 0.1% | ||
Republic of Cote d'Ivoire | ||
5.75%, 12/31/2032 (b) (h) | 737 | 655 |
6.13%, 6/15/2033 (b) | 3,830 | 3,131 |
3,786 | ||
Jordan — 0.0% ^ | ||
Hashemite Kingdom of Jordan 5.85%, 7/7/2030 (c) | 1,810 | 1,527 |
Kenya — 0.0% ^ | ||
Republic of Kenya | ||
6.88%, 6/24/2024 (b) | 2,413 | 2,313 |
7.00%, 5/22/2027 (b) | 400 | 348 |
6.30%, 1/23/2034 (c) | 483 | 331 |
2,992 | ||
Lebanon — 0.0% ^ | ||
Lebanese Republic | ||
6.65%, 4/22/2024 (b) (i) | 625 | 38 |
6.85%, 3/23/2027 (b) (i) | 2,639 | 161 |
6.65%, 11/3/2028 (b) (i) | 3,415 | 209 |
408 | ||
Mongolia — 0.0% ^ | ||
State of Mongolia | ||
3.50%, 7/7/2027 (b) | 200 | 167 |
8.65%, 1/19/2028 (c) | 340 | 337 |
8.65%, 1/19/2028 (b) | 400 | 397 |
4.45%, 7/7/2031 (b) | 1,000 | 757 |
1,658 | ||
Morocco — 0.0% ^ | ||
Kingdom of Morocco | ||
5.95%, 3/8/2028 (c) | 347 | 340 |
3.00%, 12/15/2032 (c) | 690 | 515 |
6.50%, 9/8/2033 (c) | 426 | 408 |
4.00%, 12/15/2050 (c) | 650 | 384 |
1,647 | ||
Namibia — 0.0% ^ | ||
Republic of Namibia 5.25%, 10/29/2025 (b) | 400 | 380 |
Nigeria — 0.1% | ||
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (b) | 1,000 | 970 |
6.50%, 11/28/2027 (c) | 1,220 | 1,049 |
6.50%, 11/28/2027 (b) | 2,020 | 1,737 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Nigeria—continued | ||
8.75%, 1/21/2031 (b) | 780 | 668 |
7.88%, 2/16/2032 (b) | 1,510 | 1,204 |
7.63%, 11/28/2047 (b) | 600 | 403 |
7.63%, 11/28/2047 (c) | 1,290 | 868 |
6,899 | ||
Oman — 0.1% | ||
Sultanate of Oman Government Bond | ||
5.38%, 3/8/2027 (b) | 1,020 | 985 |
6.00%, 8/1/2029 (b) | 1,180 | 1,145 |
6.25%, 1/25/2031 (c) | 264 | 256 |
7.38%, 10/28/2032 (c) | 625 | 649 |
6.50%, 3/8/2047 (b) | 340 | 295 |
6.75%, 1/17/2048 (b) | 1,170 | 1,043 |
7.00%, 1/25/2051 (c) | 301 | 276 |
4,649 | ||
Pakistan — 0.0% ^ | ||
Islamic Republic of Pakistan | ||
8.25%, 4/15/2024 (b) | 1,430 | 1,276 |
8.25%, 9/30/2025 (b) | 550 | 385 |
6.00%, 4/8/2026 (b) | 450 | 244 |
7.38%, 4/8/2031 (c) | 554 | 269 |
8.88%, 4/8/2051 (b) | 767 | 369 |
2,543 | ||
Paraguay — 0.0% ^ | ||
Republic of Paraguay | ||
4.70%, 3/27/2027 (b) | 400 | 381 |
6.10%, 8/11/2044 (b) | 1,730 | 1,446 |
5.60%, 3/13/2048 (b) | 350 | 269 |
5.40%, 3/30/2050 (c) | 950 | 710 |
2,806 | ||
Senegal — 0.0% ^ | ||
Republic of Senegal | ||
6.25%, 5/23/2033 (b) | 1,000 | 791 |
6.75%, 3/13/2048 (b) | 650 | 431 |
6.75%, 3/13/2048 (c) | 460 | 305 |
1,527 | ||
Serbia — 0.0% ^ | ||
Republic of Serbia 6.50%, 9/26/2033 (c) | 300 | 281 |
South Africa — 0.1% | ||
Republic of South Africa | ||
4.88%, 4/14/2026 | 220 | 209 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
South Africa—continued | ||
4.30%, 10/12/2028 | 2,380 | 2,047 |
6.25%, 3/8/2041 | 2,500 | 1,872 |
5.00%, 10/12/2046 | 700 | 424 |
5.75%, 9/30/2049 | 1,550 | 1,007 |
7.30%, 4/20/2052 | 600 | 467 |
6,026 | ||
Trinidad And Tobago — 0.0% ^ | ||
Republic of Trinidad and Tobago 5.95%, 1/14/2031 (c) | 380 | 366 |
Turkey — 0.2% | ||
Republic of Turkey | ||
5.60%, 11/14/2024 | 1,750 | 1,721 |
4.88%, 10/9/2026 | 1,100 | 1,012 |
9.88%, 1/15/2028 | 4,376 | 4,578 |
5.13%, 2/17/2028 | 940 | 832 |
9.38%, 3/14/2029 | 1,500 | 1,526 |
5.25%, 3/13/2030 | 1,050 | 866 |
9.13%, 7/13/2030 | 900 | 898 |
9.38%, 1/19/2033 | 1,618 | 1,616 |
6.00%, 1/14/2041 | 1,040 | 739 |
4.88%, 4/16/2043 | 1,120 | 679 |
Turkiye Ihracat Kredi Bankasi A/S | ||
9.38%, 1/31/2026 (c) | 617 | 624 |
9.00%, 1/28/2027 (c) | 312 | 313 |
15,404 | ||
Venezuela, Bolivarian Republic of — 0.0% ^ | ||
Bolivarian Republic of Venezuela | ||
9.25%, 5/7/2028 (b) (i) | 400 | 69 |
11.95%, 8/5/2031 (b) | 2,440 | 458 |
527 | ||
Zambia — 0.0% ^ | ||
Republic of Zambia | ||
8.50%, 4/14/2024 (b) (i) | 2,490 | 1,520 |
8.97%, 7/30/2027 (b) (i) | 800 | 485 |
2,005 | ||
Total Foreign Government Securities (Cost $134,761) | 107,899 | |
U.S. Treasury Obligations — 1.0% | ||
United States — 1.0% | ||
U.S. Treasury Bonds | ||
3.63%, 2/15/2053 | 400 | 312 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 101 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — continued | ||
United States — continued | ||
3.63%, 5/15/2053 | 400 | 312 |
U.S. Treasury Notes | ||
0.88%, 1/31/2024 (q) | 87,796 | 86,816 |
3.50%, 2/15/2033 | 800 | 716 |
3.38%, 5/15/2033 | 1,300 | 1,149 |
Total U.S. Treasury Obligations (Cost $89,849) | 89,305 | |
Convertible Bonds — 0.7% | ||
Australia — 0.0% ^ | ||
DEXUS Finance Pty. Ltd. REIT, 2.30%, 6/19/2026 (b) | AUD1,600 | 996 |
Belgium — 0.0% ^ | ||
Groupe Bruxelles Lambert NV 2.13%, 11/29/2025 (b) | EUR400 | 408 |
Canada — 0.0% ^ | ||
Shopify, Inc. 0.13%, 11/1/2025 | 1,011 | 890 |
China — 0.1% | ||
Hansoh Pharmaceutical Group Co. Ltd. Zero Coupon, 1/22/2026 (b) | 600 | 589 |
Meituan Zero Coupon, 4/27/2028 (b) | 1,200 | 1,001 |
PDD Holdings, Inc. Zero Coupon, 12/1/2025 | 1,120 | 1,114 |
Pharmaron Beijing Co. Ltd. Zero Coupon,6/18/2026 (b) | 1,000 | 949 |
Xiaomi Best Time International Ltd. Zero Coupon, 12/17/2027 (b) | 300 | 259 |
3,912 | ||
France — 0.1% | ||
Accor SA 0.70%, 12/7/2027 (b) | EUR580 | 270 |
Safran SA Series SAF, Zero Coupon, 4/1/2028 (b) | EUR434 (r) | 449 |
Selena SARL Series PUM, Zero Coupon, 6/25/2025 (b) | EUR900 | 886 |
Ubisoft Entertainment SA Series UBI, Zero Coupon, 9/24/2024 (b) | EUR790 (r) | 796 |
Worldline SA Zero Coupon, 7/30/2026 (b) | EUR1,237 (r) | 1,098 |
3,499 | ||
Germany — 0.0% ^ | ||
LEG Immobilien SE Series LEG, 0.88%, 9/1/2025 (b) | EUR200 | 193 |
MTU Aero Engines AG Series MTX, 0.05%, 3/18/2027 (b) | EUR1,300 | 1,174 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Germany — continued | ||
RAG-Stiftung Series EVK, Zero Coupon, 10/2/2024 (b) | EUR600 | 608 |
Zalando SE Series B, 0.63%, 8/6/2027 (b) | EUR800 | 696 |
2,671 | ||
Israel — 0.0% ^ | ||
Wix.com Ltd. Zero Coupon, 8/15/2025 | 1,673 | 1,471 |
Mexico — 0.0% ^ | ||
Fomento Economico Mexicano SAB de CV 2.63%, 2/24/2026 (b) | EUR400 | 412 |
New Zealand — 0.0% ^ | ||
Xero Investments Ltd. Zero Coupon, 12/2/2025 (b) | 1,248 | 1,085 |
Singapore — 0.0% ^ | ||
Sea Ltd. 0.25%, 9/15/2026 | 1,234 | 979 |
South Korea — 0.0% ^ | ||
Delivery Hero SE Series A, 1.00%, 4/30/2026 (b) | EUR300 | 264 |
Spain — 0.0% ^ | ||
Cellnex Telecom SA Series CLNX, 0.75%, 11/20/2031 (b) | EUR1,200 | 934 |
Switzerland — 0.0% ^ | ||
Dufry One BV 0.75%, 3/30/2026 (b) | CHF600 | 598 |
United Arab Emirates — 0.0% ^ | ||
Abu Dhabi National Oil Co. 0.70%, 6/4/2024 (b) | 2,200 | 2,124 |
United Kingdom — 0.1% | ||
Barclays Bank plc Series VUN, Zero Coupon, 2/18/2025 | 508 | 524 |
Cornwall Jersey Ltd. 0.75%, 4/16/2026 (b) | GBP500 | 378 |
Just Eat Takeaway.com NV Series B, 0.63%, 2/9/2028 (b) | EUR600 | 438 |
Ocado Group plc 0.75%, 1/18/2027 (b) | GBP300 | 260 |
Shaftesbury Capital plc REIT, 2.00%, 3/30/2026 | GBP500 | 527 |
Trainline plc 1.00%, 1/14/2026 (b) | GBP600 | 631 |
WH Smith plc 1.63%, 5/7/2026 (b) | GBP500 | 526 |
3,284 | ||
United States — 0.4% | ||
Affirm Holdings, Inc. Zero Coupon, 11/15/2026 | 1,308 | 933 |
Airbnb, Inc. Zero Coupon, 3/15/2026 | 1,194 | 1,032 |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Convertible Bonds — continued | ||
United States — continued | ||
Alteryx, Inc. 1.00%, 8/1/2026 | 1,137 | 996 |
American Water Capital Corp. 3.63%, 6/15/2026 (c) | 589 | 567 |
Block, Inc. 0.25%, 11/1/2027 | 1,306 | 976 |
CenterPoint Energy, Inc. 4.25%, 8/15/2026 (c) | 449 | 438 |
Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026 | 740 | 614 |
Chegg, Inc. Zero Coupon, 9/1/2026 | 1,010 | 784 |
Citigroup Global Markets Holdings, Inc. Series 1299, Zero Coupon, 2/26/2026 (b) | HKD6,000 | 703 |
Cloudflare, Inc. Zero Coupon, 8/15/2026 | 766 | 640 |
Coinbase Global, Inc. 0.50%, 6/1/2026 | 429 | 324 |
Confluent, Inc. Zero Coupon, 1/15/2027 | 1,560 | 1,255 |
DISH Network Corp. | ||
2.38%, 3/15/2024 | 3,935 | 3,763 |
3.38%, 8/15/2026 | 4,533 | 2,323 |
DocuSign, Inc. Zero Coupon, 1/15/2024 | 380 | 374 |
Dropbox, Inc. Zero Coupon, 3/1/2026 | 999 | 931 |
Enphase Energy, Inc. Zero Coupon, 3/1/2026 | 314 | 267 |
Etsy, Inc. 0.25%, 6/15/2028 | 925 | 681 |
Euronet Worldwide, Inc. 0.75%, 3/15/2049 | 320 | 293 |
Expedia Group, Inc. Zero Coupon, 2/15/2026 | 1,007 | 875 |
Gulfport Energy Corp. 10.00% (Cash), 12/8/2023 ‡ * (f) (g) (j) | — | 2,817 |
Halozyme Therapeutics, Inc. 0.25%, 3/1/2027 | 469 | 382 |
Liberty Interactive LLC | ||
4.00%, 11/15/2029 | 862 | 159 |
3.75%, 2/15/2030 | 320 | 59 |
Lyft, Inc. 1.50%, 5/15/2025 | 320 | 292 |
Match Group Financeco 2, Inc. 0.88%, 6/15/2026 (c) | 1,250 | 1,074 |
Okta, Inc. 0.13%, 9/1/2025 | 999 | 890 |
QIAGEN NV Series QGEN, Zero Coupon, 12/17/2027 (b) | 1,200 | 1,062 |
Repay Holdings Corp. Zero Coupon, 2/1/2026 (c) | 855 | 679 |
RingCentral, Inc. | ||
Zero Coupon, 3/1/2025 | 1,093 | 995 |
Zero Coupon, 3/15/2026 | 1,173 | 974 |
RWT Holdings, Inc. 5.75%, 10/1/2025 | 313 | 291 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Shift4 Payments, Inc. 0.50%, 8/1/2027 | 544 | 425 |
Snap, Inc. Zero Coupon, 5/1/2027 | 1,328 | 990 |
SolarEdge Technologies, Inc. Zero Coupon, 9/15/2025 | 495 | 430 |
Southern Co. (The) 3.88%, 12/15/2025 (c) | 439 | 431 |
Splunk, Inc. 1.13%, 6/15/2027 | 657 | 621 |
Spotify USA, Inc. Zero Coupon, 3/15/2026 | 1,359 | 1,163 |
Teladoc Health, Inc. 1.25%, 6/1/2027 | 1,140 | 885 |
TripAdvisor, Inc. 0.25%, 4/1/2026 | 672 | 567 |
Uber Technologies, Inc. Zero Coupon, 12/15/2025 | 1,071 | 973 |
Unity Software, Inc. Zero Coupon, 11/15/2026 | 384 | 301 |
35,229 | ||
Vietnam — 0.0% ^ | ||
Novaland Investment Group Corp. 5.25%, 7/16/2026 (b) (i) | 1,000 | 282 |
Total Convertible Bonds (Cost $65,617) | 59,038 | |
SHARES (000) | ||
Preferred Stocks — 0.5% | ||
United States — 0.5% | ||
Allstate Corp. (The) Series J, 7.38%, 7/15/2028 ($25 par value) (s) | 76 | 1,958 |
Goodman Networks, Inc. ‡ * | 64 | — |
Morgan Stanley, | ||
Series I, 6.38%, 10/15/2024 ($25 par value) (s) | 72 | 1,688 |
Series K, 5.85%, 4/15/2027 ($25 par value) (s) | 295 | 6,452 |
Series P, 6.50%, 10/15/2027 ($25 par value) (s) | 167 | 4,120 |
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | 2,316 | 1,517 |
SCE Trust VI 5.00%, 12/7/2023 ($25 par value) (s) | 387 | 6,776 |
Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value) | 122 | 2,472 |
State Street Corp. Series G, 5.35%, 3/15/2026 ($25 par value) (s) | 43 | 942 |
Truist Financial Corp. Series R, 4.75%, 9/1/2025 ($25 par value) (s) | 21 | 367 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 103 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Preferred Stocks — continued | ||
United States — continued | ||
Wells Fargo & Co., | ||
Series Y, 5.63%, 12/15/2023 ($25 par value) (s) | 152 | 3,268 |
Series Z, 4.75%, 3/15/2025 ($25 par value) (s) | 707 | 12,584 |
Total Preferred Stocks (Cost $52,150) | 42,144 | |
Convertible Preferred Stocks — 0.2% | ||
United States — 0.2% | ||
AMG Capital Trust II 5.15%, 10/15/2037 ($50 par value) | 20 | 908 |
Bank of America Corp. Series L, 7.25%, 12/1/2023 ($1,000 par value) | 2 | 2,268 |
Claire's Stores, Inc. ‡ * | 4 | 7,518 |
NextEra Energy, Inc. 6.93%, 9/1/2025 ($49 par value) | 45 | 1,678 |
Wells Fargo & Co. Series L, 7.50% ($1,000 par value) | 1 | 1,553 |
Total Convertible Preferred Stocks (Cost $8,177) | 13,925 | |
PRINCIPAL AMOUNT ($000) | ||
Mortgage-Backed Securities — 0.0% ^ | ||
United States — 0.0% ^ | ||
FHLMC UMBS, 30 Year Pool # SD8238, 4.50%, 8/1/2052 | 97 | 86 |
FNMA UMBS, 20 Year Pool # CA1231, 3.50%, 2/1/2038 | 222 | 199 |
FNMA UMBS, 30 Year | ||
Pool # MA4398, 2.00%, 8/1/2051 | 547 | 404 |
Pool # MA4465, 2.00%, 11/1/2051 | 49 | 36 |
Pool # MA4548, 2.50%, 2/1/2052 | 18 | 14 |
Pool # MA4563, 2.50%, 3/1/2052 | 54 | 42 |
Pool # MA4564, 3.00%, 3/1/2052 | 16 | 13 |
Pool # MA4733, 4.50%, 9/1/2052 | 93 | 83 |
Total Mortgage-Backed Securities (Cost $1,097) | 877 | |
INVESTMENTS | NO. OF WARRANTS (000) | VALUE ($000) |
Warrants — 0.0% ^ | ||
United Kingdom — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD ‡ * | 47 | 772 |
United States — 0.0% ^ | ||
Cineworld Group expiring 11/25/2025, price 4,149.00 GBP * | 17 | — |
Total Warrants (Cost $1) | 772 | |
NO. OF RIGHTS (000) | ||
Rights — 0.0% ^ | ||
Luxembourg — 0.0% ^ | ||
Intelsat Jackson Holdings SA, expiring 12/5/2025‡ * | 56 | — |
United States — 0.0% ^ | ||
Vistra Corp., expiring 12/31/2049‡ * | 488 | 622 |
Total Rights (Cost $1) | 622 | |
PRINCIPAL AMOUNT ($000) | ||
Short-Term Investments — 4.9% | ||
Certificates of Deposits — 0.0% ^ | ||
Barclays Bank plc, 5.72%, 12/7/2023 | 734 | 734 |
Sumitomo Mitsui Banking Corp., (SOFR + 0.70%), 6.02%, 6/6/2024 (d) | 922 | 923 |
Total Certificates of Deposits (Cost $1,656) | 1,657 | |
Commercial Paper — 0.2% | ||
Banco Santander SA, 5.86%, 3/1/2024 (t) | 600 | 589 |
Bank of Montreal, 5.95%, 9/4/2024 (t) | 350 | 333 |
Canadian National Railway Co., 5.84%, 3/4/2024 (t) | 372 | 365 |
CDP Financial, Inc. | ||
5.67%, 3/4/2024 (c) (t) | 800 | 785 |
5.88%, 9/23/2024 (c) (t) | 400 | 380 |
Citigroup Global Markets, Inc., 6.02%, 9/25/2024 (c) | 450 | 427 |
Clorox Co. (The), 5.68%, 12/15/2023 (t) | 250 | 248 |
Commonwealth Bank of Australia | ||
5.92%, 9/9/2024 (t) | 371 | 353 |
5.91%, 9/23/2024 (t) | 400 | 380 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. Morgan Funds | October 31, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Short-Term Investments — continued | ||
Commercial Paper — continued | ||
Cooperatieve Rabobank UA, 5.83%, 6/14/2024 (t) | 600 | 579 |
Credit Agricole Corporate and Investment Bank, 5.77%, 3/21/2024 (t) | 400 | 391 |
Credit Industriel et Commercial, 5.78%, 3/8/2024 (t) | 400 | 392 |
Dexia Credit Local SA | ||
5.60%, 12/19/2023 (c) (t) | 400 | 397 |
5.77%, 3/25/2024 (c) (t) | 400 | 391 |
DNB Bank ASA, 5.74%, 3/25/2024 (t) | 400 | 391 |
HSBC USA, Inc., 6.23%, 8/29/2024 (t) | 700 | 664 |
ING US Funding LLC, 5.85%, 6/14/2024 (t) | 400 | 386 |
LMA-Americas LLC, 5.63%, 1/18/2024 (t) | 400 | 395 |
Macquarie Bank Ltd. | ||
5.62%, 1/16/2024 (t) | 400 | 395 |
5.79%, 3/4/2024 (t) | 400 | 392 |
MUFG Bank Ltd., 5.83%, 1/12/2024 (t) | 275 | 272 |
National Bank of Canada, 5.78%, 3/15/2024 (t) | 400 | 392 |
NatWest Markets plc, 6.00%, 7/22/2024 (c) (t) | 294 | 281 |
Pacific Life Short Term Funding LLC, 5.85%, 6/10/2024 (t) | 357 | 344 |
Royal Bank of Canada, 5.51%, 12/12/2023 (t) | 333 | 331 |
Societe Generale SA, 5.90%, 6/21/2024 (t) | 400 | 385 |
Standard Chartered Bank, 6.01%, 8/13/2024 (t) | 400 | 382 |
Svenska Handelsbanken AB | ||
5.76%, 3/11/2024 (t) | 400 | 392 |
5.87%, 6/3/2024 (t) | 400 | 386 |
Telstra Group Ltd., 5.86%, 3/8/2024 (t) | 400 | 392 |
TELUS Corp., 5.82%, 1/22/2024 (t) | 450 | 444 |
Westpac Banking Corp. | ||
5.83%, 6/18/2024 (t) | 400 | 386 |
5.93%, 9/6/2024 (t) | 507 | 483 |
Total Commercial Paper (Cost $13,505) | 13,503 | |
SHARES (000) | ||
Investment Companies — 3.0% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.49% (l) (u) | 39,980 | 39,996 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Investment Companies — continued | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (l) (u) | 219,381 | 219,469 |
Total Investment Companies (Cost $259,424) | 259,465 | |
Investment of Cash Collateral from Securities Loaned — 1.6% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (l) (u) | 121,937 | 121,961 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (l) (u) | 16,720 | 16,720 |
Total Investment of Cash Collateral from Securities Loaned (Cost $138,682) | 138,681 | |
PRINCIPAL AMOUNT ($000) | ||
U.S. Treasury Obligations — 0.1% | ||
U.S. Treasury Bills | ||
5.38%, 11/30/2023 (t) | 1,400 | 1,394 |
5.40%, 1/18/2024 (t) | 2,200 | 2,175 |
Total U.S. Treasury Obligations (Cost $3,568) | 3,569 | |
Total Short-Term Investments (Cost $416,835) | 416,875 | |
Total Investments — 101.6% (Cost $9,051,901) | 8,664,286 | |
Liabilities in Excess of Other Assets — (1.6)% | (132,825 ) | |
NET ASSETS — 100.0% | 8,531,461 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
ADR | American Depositary Receipt |
AUD | Australian Dollar |
CHF | Swiss Franc |
CIFC | Commercial Industrial Finance Corp. |
CJSC | Closed Joint Stock Company |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 105 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
CVA | Certificaten Van Aandelen (Dutch Certificate) |
ETF | Exchange Traded Fund |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GBP | British Pound |
GDR | Global Depositary Receipt |
GNMA | Government National Mortgage Association |
HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
HKD | Hong Kong Dollar |
ICE | Intercontinental Exchange |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of October 31, 2023. The rate may be subject to a cap and floor. |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
OYJ | Public Limited Company |
PIK | Payment In Kind |
PJSC | Public Joint Stock Company |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
PT | Limited liability company |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
RTS | Russian Trading System |
SCA | Limited partnership with share capital |
SGPS | Holding company |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | The security or a portion of this security is on loan at October 31, 2023. The total value of securities on loan at October 31, 2023 is $131,656. | |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of October 31, 2023. | |
(e) | 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 October 31, 2023 is $174,668 or 2.05% of the Fund’s net assets as of October 31, 2023. | |
(f) | Security is an interest bearing note with preferred security characteristics. | |
(g) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of October 31, 2023. | |
(h) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of October 31, 2023. | |
(i) | Defaulted security. | |
(j) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(k) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of October 31, 2023. | |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. Morgan Funds | October 31, 2023 |
(l) | 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. | |
(m) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(n) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(o) | All or a portion of this security is unsettled as of October 31, 2023. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(p) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(q) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(r) | Amount represents Units. | |
(s) | 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 October 31, 2023. | |
(t) | The rate shown is the effective yield as of October 31, 2023. | |
(u) | The rate shown is the current yield as of October 31, 2023. |
Summary of Investments by Industry, October 31, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
Banks | 9.8 % |
U.S. Equity | 8.5 |
Oil, Gas & Consumable Fuels | 7.6 |
Commercial Mortgage-Backed Securities | 3.9 |
Collateralized Mortgage Obligations | 3.7 |
Electric Utilities | 3.4 |
Diversified Telecommunication Services | 3.3 |
Media | 3.2 |
Capital Markets | 2.8 |
Pharmaceuticals | 2.8 |
Insurance | 2.6 |
Asset-Backed Securities | 2.4 |
Semiconductors & Semiconductor Equipment | 2.2 |
Hotels, Restaurants & Leisure | 1.8 |
Health Care Providers & Services | 1.7 |
Chemicals | 1.4 |
Metals & Mining | 1.4 |
Automobile Components | 1.3 |
Specialty Retail | 1.3 |
Food Products | 1.3 |
Foreign Government Securities | 1.2 |
Multi-Utilities | 1.2 |
Consumer Staples Distribution & Retail | 1.2 |
Consumer Finance | 1.1 |
Wireless Telecommunication Services | 1.1 |
Commercial Services & Supplies | 1.0 |
U.S. Treasury Notes | 1.0 |
Machinery | 1.0 |
Others (each less than 1.0%) | 20.0 |
Short-Term Investments | 4.8 |
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.
October 31, 2023 | J.P. Morgan Funds | 107 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF October 31, 2023 (continued)
Futures contracts outstanding as of October 31, 2023 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
EURO STOXX 50 Index | 88 | 12/15/2023 | EUR | 3,803 | 17 |
FTSE 100 Index | 22 | 12/15/2023 | GBP | 1,964 | (16 ) |
U.S. Treasury 10 Year Note | 31,319 | 12/19/2023 | USD | 3,321,282 | (125,101 ) |
U.S. Treasury Ultra Bond | 465 | 12/19/2023 | USD | 51,905 | (7,557 ) |
(132,657 ) | |||||
Short Contracts | |||||
EURO STOXX 50 Index | (4,735 ) | 12/15/2023 | EUR | (204,613 ) | 8,814 |
S&P 500 E-Mini Index | (394 ) | 12/15/2023 | USD | (82,971 ) | 5,894 |
14,708 | |||||
(117,949 ) |
Abbreviations | |
EUR | Euro |
FTSE | Financial Times and the London Stock Exchange |
GBP | British Pound |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. Morgan Funds | October 31, 2023 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023
(Amounts in thousands, except per share amounts)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |
ASSETS: | ||
Investments in non-affiliates, at value | $2,679,609 | $7,489,143 |
Investments in affiliates, at value | 164,045 | 1,036,462 |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | 23,660 | 138,681 |
Cash | 374 | 5,573 |
Foreign currency, at value | 1,490 | 371 |
Deposits at broker for futures contracts | 1,696 | 373 |
Receivables: | ||
Investment securities sold | 18,078 | 7,419 |
Fund shares sold | 1,503 | 4,649 |
Interest from non-affiliates | 13,164 | 52,712 |
Dividends from non-affiliates | 1,301 | 6,063 |
Dividends from affiliates | 759 | 517 |
Tax reclaims | 2,257 | 9,433 |
Securities lending income (See Note 2.F.) | 11 | 123 |
Variation margin on futures contracts | 4,332 | 18 |
Unrealized appreciation on forward foreign currency exchange contracts | 420 | — |
Total Assets | 2,912,699 | 8,751,537 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | 16,786 | 57,405 |
Investment securities purchased — delayed delivery securities | — | 1,400 |
Collateral received on securities loaned (See Note 2.F.) | 23,660 | 138,681 |
Fund shares redeemed | 3,609 | 16,814 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,131 | — |
Accrued liabilities: | ||
Investment advisory fees | 1,315 | 2,885 |
Administration fees | 159 | 473 |
Distribution fees | 279 | 1,424 |
Service fees | 243 | 237 |
Custodian and accounting fees | 100 | 163 |
Deferred foreign capital gains tax | — | 274 |
Other | 256 | 320 |
Total Liabilities | 47,538 | 220,076 |
Net Assets | $2,865,161 | $8,531,461 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 109 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF October 31, 2023 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |
NET ASSETS: | ||
Paid-in-Capital | $3,167,076 | $10,001,433 |
Total distributable earnings (loss) | (301,915 ) | (1,469,972 ) |
Total Net Assets | $2,865,161 | $8,531,461 |
Net Assets: | ||
Class A | $596,497 | $4,084,316 |
Class C | 221,791 | 803,856 |
Class I | 1,343,601 | 3,261,981 |
Class R2 | 3,737 | — |
Class R3 | 1,237 | — |
Class R4 | 1,529 | — |
Class R5 | 48 | — |
Class R6 | 696,721 | 381,308 |
Total | $2,865,161 | $8,531,461 |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||
Class A | 35,458 | 465,710 |
Class C | 13,509 | 91,924 |
Class I | 79,157 | 371,245 |
Class R2 | 225 | — |
Class R3 | 73 | — |
Class R4 | 91 | — |
Class R5 | 3 | — |
Class R6 | 41,028 | 43,394 |
Net Asset Value (a): | ||
Class A — Redemption price per share | $16.82 | $8.77 |
Class C — Offering price per share (b) | 16.42 | 8.74 |
Class I — Offering and redemption price per share | 16.97 | 8.79 |
Class R2 — Offering and redemption price per share | 16.64 | — |
Class R3 — Offering and redemption price per share | 16.87 | — |
Class R4 — Offering and redemption price per share | 16.84 | — |
Class R5 — Offering and redemption price per share | 16.99 | — |
Class R6 — Offering and redemption price per share | 16.98 | 8.79 |
Class A maximum sales charge | 4.50 % | 4.50 % |
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $17.61 | $9.18 |
Cost of investments in non-affiliates | $2,482,595 | $7,833,423 |
Cost of investments in affiliates | 176,481 | 1,079,796 |
Cost of foreign currency | 1,501 | 110 |
Investment securities on loan, at value (See Note 2.F.) | 22,612 | 131,656 |
Cost of investment of cash collateral (See Note 2.F.) | 23,658 | 138,682 |
(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.
110 | J.P. Morgan Funds | October 31, 2023 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $53,739 | $333,437 |
Interest income from affiliates | 57 | 135 |
Dividend income from non-affiliates | 35,070 | 165,239 |
Dividend income from affiliates | 13,244 | 66,492 |
Income from securities lending (net) (See Note 2.F.) | 349 | 2,388 |
Foreign taxes withheld (net) | (2,052 ) | (11,621 ) |
Total investment income | 100,407 | 556,070 |
EXPENSES: | ||
Investment advisory fees | 17,774 | 40,975 |
Administration fees | 2,424 | 7,317 |
Distribution fees: | ||
Class A | 1,556 | 10,980 |
Class C | 2,207 | 8,422 |
Class R2 | 22 | — |
Class R3 | 3 | — |
Service fees: | ||
Class A | 1,556 | 10,980 |
Class C | 736 | 2,807 |
Class I | 3,942 | 9,636 |
Class R2 | 11 | — |
Class R3 | 3 | — |
Class R4 | 4 | — |
Class R5 | — (a) | — |
Custodian and accounting fees | 571 | 1,139 |
Interest expense to affiliates | 25 | 21 |
Professional fees | 231 | 214 |
Trustees’ and Chief Compliance Officer’s fees | 37 | 61 |
Printing and mailing costs | 164 | 481 |
Registration and filing fees | 100 | 124 |
Transfer agency fees (See Note 2.L.) | 71 | 226 |
Other | 174 | 415 |
Total expenses | 31,611 | 93,798 |
Less fees waived | (4,258 ) | (22,013 ) |
Less expense reimbursements | (10 ) | (1,806 ) |
Net expenses | 27,343 | 69,979 |
Net investment income (loss) | 73,064 | 486,091 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 111 |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED October 31, 2023 (continued)
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | $89,490 | $(166,180 )(a) |
Investments in affiliates | (7,107 ) | (22,666 ) |
Options purchased | (11,484 ) | — |
Futures contracts | (57,969 ) | (267,684 ) |
Foreign currency transactions | 1,878 | 181 |
Forward foreign currency exchange contracts | (44,891 ) | — |
Net realized gain (loss) | (30,083 ) | (456,349 ) |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | 120,312 | 319,162 (b) |
Investments in affiliates | 3,399 | (4,057 ) |
Futures contracts | (28,283 ) | (45,482 ) |
Foreign currency translations | 1,652 | 764 |
Forward foreign currency exchange contracts | (7,102 ) | — |
Unfunded commitments | — | 7 |
Change in net unrealized appreciation/depreciation | 89,978 | 270,394 |
Net realized/unrealized gains (losses) | 59,895 | (185,955 ) |
Change in net assets resulting from operations | $132,959 | $300,136 |
(a)
Net of foreign capital gains tax of $(148).
(b)
Net of change in foreign capital gains tax of $(11).
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. Morgan Funds | October 31, 2023 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $73,064 | $48,884 | $486,091 | $487,922 |
Net realized gain (loss) | (30,083 ) | (228,612 ) | (456,349 ) | (411,754 ) |
Change in net unrealized appreciation/depreciation | 89,978 | (822,865 ) | 270,394 | (2,070,349 ) |
Change in net assets resulting from operations | 132,959 | (1,002,593 ) | 300,136 | (1,994,181 ) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (23,091 ) | (73,481 ) | (218,496 ) | (439,976 ) |
Class C | (11,724 ) | (45,949 ) | (49,645 ) | (154,753 ) |
Class I | (62,359 ) | (255,254 ) | (196,027 ) | (467,053 ) |
Class R2 | (186 ) | (600 ) | — | — |
Class R3 | (55 ) | (121 ) | — | — |
Class R4 | (53 ) | (136 ) | — | — |
Class R5 | (3 ) | (8 ) | — | — |
Class R6 | (27,002 ) | (101,356 ) | (20,157 ) | (40,165 ) |
Total distributions to shareholders | (124,473 ) | (476,905 ) | (484,325 ) | (1,101,947 ) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (424,616 ) | (361,808 ) | (1,458,467 ) | (408,719 ) |
NET ASSETS: | ||||
Change in net assets | (416,130 ) | (1,841,306 ) | (1,642,656 ) | (3,504,847 ) |
Beginning of period | 3,281,291 | 5,122,597 | 10,174,117 | 13,678,964 |
End of period | $2,865,161 | $3,281,291 | $8,531,461 | $10,174,117 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 113 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: | ||||
Class A | ||||
Proceeds from shares issued | $176,651 | $216,187 | $829,913 | $1,060,358 |
Distributions reinvested | 21,152 | 67,553 | 202,940 | 404,267 |
Cost of shares redeemed | (199,611 ) | (218,876 ) | (1,197,437 ) | (1,187,511 ) |
Change in net assets resulting from Class A capital transactions | (1,808 ) | 64,864 | (164,584 ) | 277,114 |
Class C | ||||
Proceeds from shares issued | 14,398 | 30,932 | 62,361 | 113,805 |
Distributions reinvested | 10,860 | 41,472 | 47,562 | 147,746 |
Cost of shares redeemed | (129,588 ) | (119,980 ) | (582,950 ) | (680,135 ) |
Change in net assets resulting from Class C capital transactions | (104,330 ) | (47,576 ) | (473,027 ) | (418,584 ) |
Class I | ||||
Proceeds from shares issued | 300,658 | 417,741 | 582,804 | 805,155 |
Distributions reinvested | 52,368 | 215,638 | 176,742 | 420,510 |
Cost of shares redeemed | (677,199 ) | (956,605 ) | (1,578,367 ) | (1,521,305 ) |
Change in net assets resulting from Class I capital transactions | (324,173 ) | (323,226 ) | (818,821 ) | (295,640 ) |
Class R2 | ||||
Proceeds from shares issued | 625 | 805 | — | — |
Distributions reinvested | 186 | 600 | — | — |
Cost of shares redeemed | (1,929 ) | (1,472 ) | — | — |
Change in net assets resulting from Class R2 capital transactions | (1,118 ) | (67 ) | — | — |
Class R3 | ||||
Proceeds from shares issued | 103 | 1,324 | — | — |
Distributions reinvested | 24 | 5 | — | — |
Cost of shares redeemed | (304 ) | (450 ) | — | — |
Change in net assets resulting from Class R3 capital transactions | (177 ) | 879 | — | — |
Class R4 | ||||
Proceeds from shares issued | 234 | 705 | — | — |
Distributions reinvested | 53 | 136 | — | — |
Cost of shares redeemed | (419 ) | (115 ) | — | — |
Change in net assets resulting from Class R4 capital transactions | (132 ) | 726 | — | — |
Class R5 | ||||
Proceeds from shares issued | 18 | 11 | — | — |
Distributions reinvested | 3 | 8 | — | — |
Cost of shares redeemed | (35 ) | (23 ) | — | — |
Change in net assets resulting from Class R5 capital transactions | (14 ) | (4 ) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. Morgan Funds | October 31, 2023 |
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
CAPITAL TRANSACTIONS: (continued) | ||||
Class R6 | ||||
Proceeds from shares issued | $121,708 | $51,915 | $142,063 | $77,792 |
Distributions reinvested | 25,070 | 96,450 | 19,893 | 39,614 |
Cost of shares redeemed | (139,642 ) | (205,769 ) | (163,991 ) | (89,015 ) |
Change in net assets resulting from Class R6 capital transactions | 7,136 | (57,404 ) | (2,035 ) | 28,391 |
Total change in net assets resulting from capital transactions | $(424,616 ) | $(361,808 ) | $(1,458,467 ) | $(408,719 ) |
SHARE TRANSACTIONS: | ||||
Class A | ||||
Issued | 10,046 | 10,906 | 88,923 | 103,460 |
Reinvested | 1,254 | 3,154 | 21,852 | 38,265 |
Redeemed | (11,370 ) | (11,354 ) | (128,317 ) | (117,153 ) |
Change in Class A Shares | (70 ) | 2,706 | (17,542 ) | 24,572 |
Class C | ||||
Issued | 837 | 1,553 | 6,672 | 10,976 |
Reinvested | 657 | 1,961 | 5,127 | 13,907 |
Redeemed | (7,546 ) | (6,369 ) | (62,838 ) | (67,193 ) |
Change in Class C Shares | (6,052 ) | (2,855 ) | (51,039 ) | (42,310 ) |
Class I | ||||
Issued | 16,978 | 20,991 | 62,284 | 78,373 |
Reinvested | 3,084 | 10,009 | 18,984 | 39,674 |
Redeemed | (38,279 ) | (50,007 ) | (169,004 ) | (151,346 ) |
Change in Class I Shares | (18,217 ) | (19,007 ) | (87,736 ) | (33,299 ) |
Class R2 | ||||
Issued | 37 | 41 | — | — |
Reinvested | 11 | 28 | — | — |
Redeemed | (112 ) | (77 ) | — | — |
Change in Class R2 Shares | (64 ) | (8 ) | — | — |
Class R3 | ||||
Issued | 5 | 67 | — | — |
Reinvested | 2 | — (a) | — | — |
Redeemed | (17 ) | (23 ) | — | — |
Change in Class R3 Shares | (10 ) | 44 | — | — |
Class R4 | ||||
Issued | 14 | 40 | — | — |
Reinvested | 3 | 6 | — | — |
Redeemed | (24 ) | (6 ) | — | — |
Change in Class R4 Shares | (7 ) | 40 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 115 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Global Allocation Fund | JPMorgan Income Builder Fund | |||
Year Ended October 31, 2023 | Year Ended October 31, 2022 | Year Ended October 31, 2023 | Year Ended October 31, 2022 | |
SHARE TRANSACTIONS: (continued) | ||||
Class R5 | ||||
Issued | 1 | 1 | — | — |
Reinvested | — (a) | — (a) | — | — |
Redeemed | (2 ) | (1 ) | — | — |
Change in Class R5 Shares | (1 ) | — (a) | — | — |
Class R6 | ||||
Issued | 6,903 | 2,621 | 15,262 | 7,621 |
Reinvested | 1,477 | 4,487 | 2,139 | 3,749 |
Redeemed | (7,933 ) | (11,269 ) | (17,488 ) | (8,796 ) |
Change in Class R6 Shares | 447 | (4,161 ) | (87 ) | 2,574 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
116 | J.P. Morgan Funds | October 31, 2023 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Global Allocation Fund | |||||||
Class A | |||||||
Year Ended October 31, 2023 | $16.91 | $0.37 | $0.21 | $0.58 | $(0.67 ) | $— | $(0.67 ) |
Year Ended October 31, 2022 | 23.57 | 0.19 | (4.69 ) | (4.50 ) | (0.36 ) | (1.80 ) | (2.16 ) |
Year Ended October 31, 2021 | 19.27 | 0.22 | 4.50 | 4.72 | (0.28 ) | (0.14 ) | (0.42 ) |
Year Ended October 31, 2020 | 18.82 | 0.27 | 0.46 | 0.73 | (0.28 ) | — | (0.28 ) |
Year Ended October 31, 2019 | 17.71 | 0.36 | 1.22 | 1.58 | (0.47 ) | — | (0.47 ) |
Class C | |||||||
Year Ended October 31, 2023 | 16.58 | 0.27 | 0.21 | 0.48 | (0.64 ) | — | (0.64 ) |
Year Ended October 31, 2022 | 23.15 | 0.09 | (4.58 ) | (4.49 ) | (0.28 ) | (1.80 ) | (2.08 ) |
Year Ended October 31, 2021 | 18.94 | 0.11 | 4.41 | 4.52 | (0.17 ) | (0.14 ) | (0.31 ) |
Year Ended October 31, 2020 | 18.54 | 0.18 | 0.46 | 0.64 | (0.24 ) | — | (0.24 ) |
Year Ended October 31, 2019 | 17.47 | 0.27 | 1.19 | 1.46 | (0.39 ) | — | (0.39 ) |
Class I | |||||||
Year Ended October 31, 2023 | 17.02 | 0.42 | 0.21 | 0.63 | (0.68 ) | — | (0.68 ) |
Year Ended October 31, 2022 | 23.72 | 0.24 | (4.73 ) | (4.49 ) | (0.41 ) | (1.80 ) | (2.21 ) |
Year Ended October 31, 2021 | 19.39 | 0.28 | 4.52 | 4.80 | (0.33 ) | (0.14 ) | (0.47 ) |
Year Ended October 31, 2020 | 18.91 | 0.32 | 0.47 | 0.79 | (0.31 ) | — | (0.31 ) |
Year Ended October 31, 2019 | 17.79 | 0.41 | 1.22 | 1.63 | (0.51 ) | — | (0.51 ) |
Class R2 | |||||||
Year Ended October 31, 2023 | 16.78 | 0.30 | 0.21 | 0.51 | (0.65 ) | — | (0.65 ) |
Year Ended October 31, 2022 | 23.40 | 0.12 | (4.65 ) | (4.53 ) | (0.29 ) | (1.80 ) | (2.09 ) |
Year Ended October 31, 2021 | 19.14 | 0.14 | 4.45 | 4.59 | (0.19 ) | (0.14 ) | (0.33 ) |
Year Ended October 31, 2020 | 18.73 | 0.20 | 0.46 | 0.66 | (0.25 ) | — | (0.25 ) |
Year Ended October 31, 2019 | 17.64 | 0.30 | 1.20 | 1.50 | (0.41 ) | — | (0.41 ) |
Class R3 | |||||||
Year Ended October 31, 2023 | 16.97 | 0.35 | 0.21 | 0.56 | (0.66 ) | — | (0.66 ) |
Year Ended October 31, 2022 | 23.65 | 0.16 | (4.70 ) | (4.54 ) | (0.34 ) | (1.80 ) | (2.14 ) |
Year Ended October 31, 2021 | 19.34 | 0.20 | 4.50 | 4.70 | (0.25 ) | (0.14 ) | (0.39 ) |
Year Ended October 31, 2020 | 18.90 | 0.24 | 0.48 | 0.72 | (0.28 ) | — | (0.28 ) |
Year Ended October 31, 2019 | 17.79 | 0.34 | 1.22 | 1.56 | (0.45 ) | — | (0.45 ) |
Class R4 | |||||||
Year Ended October 31, 2023 | 16.91 | 0.39 | 0.21 | 0.60 | (0.67 ) | — | (0.67 ) |
Year Ended October 31, 2022 | 23.57 | 0.21 | (4.68 ) | (4.47 ) | (0.39 ) | (1.80 ) | (2.19 ) |
Year Ended October 31, 2021 | 19.28 | 0.26 | 4.48 | 4.74 | (0.31 ) | (0.14 ) | (0.45 ) |
Year Ended October 31, 2020 | 18.81 | 0.30 | 0.47 | 0.77 | (0.30 ) | — | (0.30 ) |
Year Ended October 31, 2019 | 17.71 | 0.42 | 1.17 | 1.59 | (0.49 ) | — | (0.49 ) |
Class R5 | |||||||
Year Ended October 31, 2023 | 17.04 | 0.41 | 0.22 | 0.63 | (0.68 ) | — | (0.68 ) |
Year Ended October 31, 2022 | 23.73 | 0.25 | (4.72 ) | (4.47 ) | (0.42 ) | (1.80 ) | (2.22 ) |
Year Ended October 31, 2021 | 19.39 | 0.33 | 4.48 | 4.81 | (0.33 ) | (0.14 ) | (0.47 ) |
Year Ended October 31, 2020 | 18.92 | 0.33 | 0.46 | 0.79 | (0.32 ) | — | (0.32 ) |
Year Ended October 31, 2019 | 17.80 | 0.42 | 1.22 | 1.64 | (0.52 ) | — | (0.52 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. Morgan Funds | October 31, 2023 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Net asset value, end of period | Total return (excludes sales charge)(c) | Net assets, end of period (000's) | Net expenses (including dividend and interest expense for securities sold short)(d)(e) | Net investment income (loss)(a) | Expenses without waivers and reimbursements (including dividend and interest expense for securities sold short)(d) | Portfolio turnover rate (excluding securities sold short)(f) | Portfolio turnover rate (including securities sold short)(f) |
$16.82 | 3.39 % | $596,497 | 1.01 % | 2.11 % | 1.17 % | 136 % | — % |
16.91 | (20.90 ) | 600,741 | 1.03 (g) | 0.98 | 1.18 (g) | 92 | 100 |
23.57 | 24.67 | 773,563 | 1.04 (g) | 0.97 | 1.18 (g) | 101 | 110 |
19.27 | 3.94 | 472,779 | 1.03 (g) | 1.45 | 1.19 (g) | 105 | 116 |
18.82 | 9.08 | 443,776 | 1.05 (g) | 2.00 | 1.26 (g) | 111 | 139 |
16.42 | 2.89 | 221,791 | 1.51 | 1.58 | 1.67 | 136 | — |
16.58 | (21.26 ) | 324,254 | 1.53 (g) | 0.47 | 1.68 (g) | 92 | 100 |
23.15 | 24.02 | 519,020 | 1.54 (g) | 0.49 | 1.68 (g) | 101 | 110 |
18.94 | 3.44 | 463,256 | 1.54 (g) | 0.95 | 1.69 (g) | 105 | 116 |
18.54 | 8.54 | 526,390 | 1.55 (g) | 1.49 | 1.76 (g) | 111 | 139 |
16.97 | 3.68 | 1,343,601 | 0.76 | 2.34 | 0.92 | 136 | — |
17.02 | (20.74 ) | 1,657,768 | 0.78 (g) | 1.22 | 0.93 (g) | 92 | 100 |
23.72 | 24.96 | 2,760,026 | 0.79 (g) | 1.23 | 0.93 (g) | 101 | 110 |
19.39 | 4.25 | 2,091,223 | 0.78 (g) | 1.71 | 0.93 (g) | 105 | 116 |
18.91 | 9.36 | 2,170,359 | 0.80 (g) | 2.25 | 1.00 (g) | 111 | 139 |
16.64 | 3.02 | 3,737 | 1.38 | 1.72 | 1.45 | 136 | — |
16.78 | (21.17 ) | 4,859 | 1.40 (g) | 0.62 | 1.45 (g) | 92 | 100 |
23.40 | 24.16 | 6,946 | 1.41 (g) | 0.61 | 1.45 (g) | 101 | 110 |
19.14 | 3.55 | 5,724 | 1.40 (g) | 1.09 | 1.46 (g) | 105 | 116 |
18.73 | 8.69 | 5,394 | 1.42 (g) | 1.64 | 1.56 (g) | 111 | 139 |
16.87 | 3.29 | 1,237 | 1.13 | 1.97 | 1.17 | 136 | — |
16.97 | (21.01 ) | 1,410 | 1.15 (g) | 0.83 | 1.18 (g) | 92 | 100 |
23.65 | 24.47 | 932 | 1.16 (g) | 0.86 | 1.18 (g) | 101 | 110 |
19.34 | 3.85 | 720 | 1.15 (g) | 1.22 | 1.26 (g) | 105 | 116 |
18.90 | 8.97 | 50 | 1.17 (g) | 1.83 | 1.44 (g) | 111 | 139 |
16.84 | 3.54 | 1,529 | 0.88 | 2.24 | 0.92 | 136 | — |
16.91 | (20.78 ) | 1,656 | 0.89 (g) | 1.11 | 0.93 (g) | 92 | 100 |
23.57 | 24.77 | 1,377 | 0.91 (g) | 1.12 | 0.93 (g) | 101 | 110 |
19.28 | 4.13 | 688 | 0.90 (g) | 1.59 | 0.95 (g) | 105 | 116 |
18.81 | 9.20 | 631 | 0.92 (g) | 2.29 | 1.02 (g) | 111 | 139 |
16.99 | 3.69 | 48 | 0.73 | 2.29 | 0.79 | 136 | — |
17.04 | (20.66 ) | 61 | 0.75 (g) | 1.26 | 0.79 (g) | 92 | 100 |
23.73 | 25.00 | 89 | 0.76 (g) | 1.43 | 0.81 (g) | 101 | 110 |
19.39 | 4.23 | 22 | 0.75 (g) | 1.73 | 0.97 (g) | 105 | 116 |
18.92 | 9.39 | 21 | 0.78 (g) | 2.27 | 1.00 (g) | 111 | 139 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 119 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Global Allocation Fund (continued) | |||||||
Class R6 | |||||||
Year Ended October 31, 2023 | $17.02 | $0.44 | $0.20 | $0.64 | $(0.68 ) | $— | $(0.68 ) |
Year Ended October 31, 2022 | 23.71 | 0.27 | (4.72 ) | (4.45 ) | (0.44 ) | (1.80 ) | (2.24 ) |
Year Ended October 31, 2021 | 19.38 | 0.31 | 4.52 | 4.83 | (0.36 ) | (0.14 ) | (0.50 ) |
Year Ended October 31, 2020 | 18.91 | 0.35 | 0.46 | 0.81 | (0.34 ) | — | (0.34 ) |
Year Ended October 31, 2019 | 17.79 | 0.43 | 1.22 | 1.65 | (0.53 ) | — | (0.53 ) |
(a) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(b) | Calculated based upon average shares outstanding. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Does not include expenses of Underlying Funds. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | The Fund presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. For the year ended October 31, 2023 the Fund did not transact in securities sold short. |
(g) | |
October 31, 2023 | October 31, 2022 | October 31, 2021 | October 31, 2020 | October 31, 2019 | |
Net expenses (excluding dividend and interest expense for securities sold short) | |||||
Class A | — % | 1.02 % | 1.03 % | 1.02 % | 1.02 % |
Class C | — | 1.52 | 1.53 | 1.53 | 1.52 |
Class I | — | 0.77 | 0.78 | 0.77 | 0.77 |
Class R2 | — | 1.39 | 1.40 | 1.39 | 1.39 |
Class R3 | — | 1.14 | 1.15 | 1.14 | 1.14 |
Class R4 | — | 0.88 | 0.90 | 0.89 | 0.89 |
Class R5 | — | 0.74 | 0.75 | 0.74 | 0.75 |
Class R6 | — | 0.64 | 0.65 | 0.64 | 0.64 |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | |||||
Class A | — | 1.17 | 1.17 | 1.18 | 1.23 |
Class C | — | 1.67 | 1.67 | 1.68 | 1.73 |
Class I | — | 0.92 | 0.92 | 0.92 | 0.97 |
Class R2 | — | 1.44 | 1.44 | 1.45 | 1.53 |
Class R3 | — | 1.17 | 1.17 | 1.25 | 1.41 |
Class R4 | — | 0.92 | 0.92 | 0.94 | 0.99 |
Class R5 | — | 0.78 | 0.80 | 0.96 | 0.97 |
Class R6 | — | 0.67 | 0.67 | 0.67 | 0.72 |
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. Morgan Funds | October 31, 2023 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Net asset value, end of period | Total return (excludes sales charge)(c) | Net assets, end of period (000's) | Net expenses (including dividend and interest expense for securities sold short)(d)(e) | Net investment income (loss)(a) | Expenses without waivers and reimbursements (including dividend and interest expense for securities sold short)(d) | Portfolio turnover rate (excluding securities sold short)(f) | Portfolio turnover rate (including securities sold short)(f) |
$16.98 | 3.78 % | $696,721 | 0.63 % | 2.50 % | 0.67 % | 136 % | — % |
17.02 | (20.59 ) | 690,542 | 0.65 (g) | 1.36 | 0.68 (g) | 92 | 100 |
23.71 | 25.13 | 1,060,644 | 0.66 (g) | 1.36 | 0.68 (g) | 101 | 110 |
19.38 | 4.34 | 594,754 | 0.65 (g) | 1.83 | 0.68 (g) | 105 | 116 |
18.91 | 9.50 | 528,192 | 0.67 (g) | 2.35 | 0.75 (g) | 111 | 139 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 121 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Income Builder Fund | |||||||
Class A | |||||||
Year Ended October 31, 2023 | $9.01 | $0.46 | $(0.23 ) | $0.23 | $(0.47 ) | $— | $(0.47 ) |
Year Ended October 31, 2022 | 11.62 | 0.41 | (2.08 ) | (1.67 ) | (0.44 ) | (0.50 ) | (0.94 ) |
Year Ended October 31, 2021 | 10.21 | 0.40 | 1.42 | 1.82 | (0.41 ) | — | (0.41 ) |
Year Ended October 31, 2020 | 10.73 | 0.38 | (0.49 ) | (0.11 ) | (0.39 ) | (0.02 ) | (0.41 ) |
Year Ended October 31, 2019 | 10.13 | 0.41 | 0.60 | 1.01 | (0.41 ) | — | (0.41 ) |
Class C | |||||||
Year Ended October 31, 2023 | 8.98 | 0.42 | (0.24 ) | 0.18 | (0.42 ) | — | (0.42 ) |
Year Ended October 31, 2022 | 11.58 | 0.36 | (2.07 ) | (1.71 ) | (0.39 ) | (0.50 ) | (0.89 ) |
Year Ended October 31, 2021 | 10.19 | 0.34 | 1.40 | 1.74 | (0.35 ) | — | (0.35 ) |
Year Ended October 31, 2020 | 10.70 | 0.32 | (0.47 ) | (0.15 ) | (0.34 ) | (0.02 ) | (0.36 ) |
Year Ended October 31, 2019 | 10.10 | 0.36 | 0.60 | 0.96 | (0.36 ) | — | (0.36 ) |
Class I | |||||||
Year Ended October 31, 2023 | 9.03 | 0.48 | (0.24 ) | 0.24 | (0.48 ) | — | (0.48 ) |
Year Ended October 31, 2022 | 11.64 | 0.43 | (2.09 ) | (1.66 ) | (0.45 ) | (0.50 ) | (0.95 ) |
Year Ended October 31, 2021 | 10.23 | 0.41 | 1.42 | 1.83 | (0.42 ) | — | (0.42 ) |
Year Ended October 31, 2020 | 10.74 | 0.39 | (0.48 ) | (0.09 ) | (0.40 ) | (0.02 ) | (0.42 ) |
Year Ended October 31, 2019 | 10.14 | 0.43 | 0.60 | 1.03 | (0.43 ) | — | (0.43 ) |
Class R6 | |||||||
Year Ended October 31, 2023 | 9.03 | 0.49 | (0.24 ) | 0.25 | (0.49 ) | — | (0.49 ) |
Year Ended October 31, 2022 | 11.64 | 0.44 | (2.09 ) | (1.65 ) | (0.46 ) | (0.50 ) | (0.96 ) |
Year Ended October 31, 2021 | 10.23 | 0.42 | 1.42 | 1.84 | (0.43 ) | — | (0.43 ) |
Year Ended October 31, 2020 | 10.74 | 0.40 | (0.48 ) | (0.08 ) | (0.41 ) | (0.02 ) | (0.43 ) |
Year Ended October 31, 2019 | 10.14 | 0.43 | 0.61 | 1.04 | (0.44 ) | — | (0.44 ) |
(a) | Calculated based upon average shares outstanding. |
(b) | 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. |
(c) | Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. Morgan Funds | October 31, 2023 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return (excludes sales charge)(b) | Net assets, end of period (000's) | Net expenses(c) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$8.77 | 2.33 % | $4,084,316 | 0.73 % | 4.95 % | 1.02 % | 48 % |
9.01 | (15.40 ) | 4,354,310 | 0.75 | 4.04 | 1.02 | 56 |
11.62 | 17.94 | 5,328,533 | 0.75 | 3.47 | 1.02 | 72 |
10.21 | (1.01 ) | 4,132,310 | 0.74 | 3.65 | 1.02 | 64 |
10.73 | 10.20 | 3,678,891 | 0.74 | 3.90 | 1.05 | 48 |
8.74 | 1.81 | 803,856 | 1.23 | 4.49 | 1.52 | 48 |
8.98 | (15.80 ) | 1,284,317 | 1.25 | 3.50 | 1.52 | 56 |
11.58 | 17.18 | 2,146,228 | 1.25 | 2.95 | 1.52 | 72 |
10.19 | (1.42 ) | 2,497,469 | 1.24 | 3.16 | 1.52 | 64 |
10.70 | 9.67 | 3,814,158 | 1.24 | 3.43 | 1.55 | 48 |
8.79 | 2.48 | 3,261,981 | 0.58 | 5.14 | 0.77 | 48 |
9.03 | (15.24 ) | 4,142,959 | 0.60 | 4.18 | 0.77 | 56 |
11.64 | 18.08 | 5,728,166 | 0.60 | 3.61 | 0.76 | 72 |
10.23 | (0.76 ) | 4,930,991 | 0.59 | 3.80 | 0.77 | 64 |
10.74 | 10.35 | 5,672,266 | 0.59 | 4.08 | 0.80 | 48 |
8.79 | 2.57 | 381,308 | 0.50 | 5.21 | 0.52 | 48 |
9.03 | (15.16 ) | 392,531 | 0.51 | 4.29 | 0.52 | 56 |
11.64 | 18.18 | 476,037 | 0.51 | 3.69 | 0.51 | 72 |
10.23 | (0.68 ) | 508,648 | 0.51 | 3.90 | 0.52 | 64 |
10.74 | 10.44 | 354,830 | 0.51 | 4.15 | 0.55 | 48 |
SEE NOTES TO FINANCIAL STATEMENTS.
October 31, 2023 | J.P. Morgan Funds | 123 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 2 separate funds of the Trust (each, a "Fund" and collectively, the "Funds") covered by this report:
Classes Offered | Diversification Classification | |
JPMorgan Global Allocation Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | Diversified |
JPMorgan Income Builder Fund | Class A, Class C, Class I and Class R6 | Diversified |
The investment objective of JPMorgan Global Allocation Fund (“Global Allocation Fund”) is to seek to maximize long-term total return.
The investment objective of JPMorgan Income Builder Fund (“Income Builder Fund”) is to seek to maximize income while maintaining prospects for capital appreciation.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge ("CDSC"). No sales charges are assessed with respect to Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds' prospectus. 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.
124 | J.P. Morgan Funds | October 31, 2023 |
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 Income Builder Fund at October 31, 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"):
Global Allocation Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $155,670 | $— | $155,670 |
Collateralized Mortgage Obligations | — | — (a) | — | — (a) |
Commercial Mortgage-Backed Securities | — | 421 | — | 421 |
Common Stocks | ||||
Australia | — | 10,401 | — | 10,401 |
Austria | — | 223 | — | 223 |
Belgium | 15 | 3,574 | — | 3,589 |
Brazil | 6,627 | 34 | — | 6,661 |
Burkina Faso | — | 24 | — | 24 |
Canada | 14,468 | — | — | 14,468 |
Chile | 502 | 41 | — | 543 |
China | 10,862 | 32,830 | — | 43,692 |
Denmark | — | 22,571 | — | 22,571 |
Finland | 38 | 944 | — | 982 |
France | — | 78,218 | — | 78,218 |
Germany | — | 36,186 | — | 36,186 |
Greece | — | 441 | — | 441 |
October 31, 2023 | J.P. Morgan Funds | 125 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Global Allocation Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Hong Kong | $19 | $11,552 | $— | $11,571 |
Hungary | — | 576 | — | 576 |
India | 15,939 | 1,335 | — | 17,274 |
Indonesia | — | 7,158 | — | 7,158 |
Ireland | 80 | 285 | — | 365 |
Israel | 188 | 311 | — | 499 |
Italy | — | 4,891 | — | 4,891 |
Japan | — | 61,531 | — | 61,531 |
Jordan | — | 24 | — | 24 |
Luxembourg | — | 115 | — | 115 |
Macau | — | 516 | — | 516 |
Mexico | 11,265 | — | — | 11,265 |
Netherlands | 112 | 42,014 | — | 42,126 |
New Zealand | 93 | 119 | — | 212 |
Norway | — | 588 | — | 588 |
Peru | 1,023 | — | — | 1,023 |
Poland | — | 546 | — | 546 |
Portugal | — | 171 | — | 171 |
Russia | — | — | 31 | 31 |
Saudi Arabia | — | 2,177 | — | 2,177 |
Singapore | 132 | 14,397 | — | 14,529 |
South Africa | 1,764 | 1,969 | — | 3,733 |
South Korea | — | 28,800 | — | 28,800 |
Spain | 12 | 4,444 | — | 4,456 |
Sweden | — | 12,117 | — | 12,117 |
Switzerland | 176 | 10,510 | — | 10,686 |
Taiwan | 27,532 | 13,926 | — | 41,458 |
Thailand | — | 1,871 | — | 1,871 |
United Arab Emirates | — | — | — (b) | — (b) |
United Kingdom | 2,012 | 58,537 | — | 60,549 |
United States | 764,498 | 25,361 | 254 | 790,113 |
Total Common Stocks | 857,357 | 491,328 | 285 | 1,348,970 |
Convertible Preferred Stocks | — | — | 590 | 590 |
Corporate Bonds | — | 655,096 | — | 655,096 |
Exchange-Traded Funds | 8,521 | — | — | 8,521 |
Foreign Government Securities | — | 376,708 | — | 376,708 |
Investment Companies | 100,074 | — | — | 100,074 |
Loan Assignments | — | — | 814 | 814 |
Preferred Stocks | — | — | 26 | 26 |
Rights | — | — | 22 | 22 |
Supranational | — | 12,529 | — | 12,529 |
U.S. Treasury Obligations | — | 34,273 | — | 34,273 |
Warrants | — | — | 15 | 15 |
Short-Term Investments | ||||
Certificates of Deposits | — | 3,850 | — | 3,850 |
Commercial Paper | — | 81,872 | — | 81,872 |
Foreign Government Treasury Bills | — | 232 | — | 232 |
Investment Companies | 63,971 | — | — | 63,971 |
126 | J.P. Morgan Funds | October 31, 2023 |
Global Allocation Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investment of Cash Collateral from Securities Loaned | $23,660 | $— | $— | $23,660 |
Total Short-Term Investments | 87,631 | 85,954 | — | 173,585 |
Total Investments in Securities | $1,053,583 | $1,811,979 | $1,752 | $2,867,314 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $420 | $— | $420 |
Futures Contracts | 8,353 | 25 | — | 8,378 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (1,131 ) | — | (1,131 ) |
Futures Contracts | (47,303 ) | (236 ) | — | (47,539 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(38,950 ) | $(922 ) | $— | $(39,872 ) |
(a) | Amount rounds to less than one thousand. |
(b) | Value is zero. |
There were no significant transfers into or out of level 3 for the year ended October 31, 2023.
Income Builder Fund | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | ||||
Cayman Islands | $— | $57,413 | $— | $57,413 |
United States | — | 139,549 | 13,369 | 152,918 |
Total Asset-Backed Securities | — | 196,962 | 13,369 | 210,331 |
Collateralized Mortgage Obligations | ||||
Bermuda | — | 708 | — | 708 |
United States | — | 320,749 | 2 | 320,751 |
Total Collateralized Mortgage Obligations | — | 321,457 | 2 | 321,459 |
Commercial Mortgage-Backed Securities | — | 336,394 | — | 336,394 |
Common Stocks | ||||
Australia | — | 64,080 | — | 64,080 |
Austria | — | 10,433 | — | 10,433 |
Belgium | 1,515 | 6,893 | — | 8,408 |
Brazil | 26,590 | 1,095 | — | 27,685 |
Canada | 154,622 | — | — | 154,622 |
Chile | 4,899 | — | — | 4,899 |
China | 18,393 | 157,241 | — | 175,634 |
Denmark | — | 26,906 | — | 26,906 |
Finland | 4,447 | 50,299 | — | 54,746 |
France | — | 129,921 | — | 129,921 |
Germany | — | 99,033 | — | 99,033 |
Hong Kong | 643 | 32,800 | — | 33,443 |
India | 16,195 | 22,904 | — | 39,099 |
Indonesia | — | 26,260 | — | 26,260 |
Ireland | 1,963 | — | — | 1,963 |
October 31, 2023 | J.P. Morgan Funds | 127 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Income Builder Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Israel | $— | $2,184 | $— | $2,184 |
Italy | — | 77,033 | — | 77,033 |
Japan | — | 120,181 | — | 120,181 |
Luxembourg | — | — | 6,151 | 6,151 |
Mexico | 33,982 | — | — | 33,982 |
Netherlands | — | 58,935 | — | 58,935 |
New Zealand | 1,194 | 5,016 | — | 6,210 |
Norway | 3,013 | 28,460 | — | 31,473 |
Poland | — | 8,954 | — | 8,954 |
Portugal | 812 | 5,356 | — | 6,168 |
Russia | — | — | 106 | 106 |
Saudi Arabia | — | 11,023 | — | 11,023 |
Singapore | 4,056 | 29,569 | — | 33,625 |
South Africa | 32,480 | 10,272 | — | 42,752 |
South Korea | 886 | 70,388 | — | 71,274 |
Spain | 1,894 | 88,070 | — | 89,964 |
Sweden | — | 44,326 | — | 44,326 |
Switzerland | 197 | 39,560 | — | 39,757 |
Taiwan | 16,706 | 90,209 | — | 106,915 |
Thailand | — | 10,545 | — | 10,545 |
United Kingdom | 22,176 | 189,973 | — | 212,149 |
United States | 1,302,548 | 94,041 | 7,182 | 1,403,771 |
Total Common Stocks | 1,649,211 | 1,611,960 | 13,439 | 3,274,610 |
Convertible Bonds | ||||
Australia | — | 996 | — | 996 |
Belgium | — | 408 | — | 408 |
Canada | — | 890 | — | 890 |
China | — | 3,912 | — | 3,912 |
France | — | 3,499 | — | 3,499 |
Germany | — | 2,671 | — | 2,671 |
Israel | — | 1,471 | — | 1,471 |
Mexico | — | 412 | — | 412 |
New Zealand | — | 1,085 | — | 1,085 |
Singapore | — | 979 | — | 979 |
South Korea | — | 264 | — | 264 |
Spain | — | 934 | — | 934 |
Switzerland | — | 598 | — | 598 |
United Arab Emirates | — | 2,124 | — | 2,124 |
United Kingdom | — | 3,284 | — | 3,284 |
United States | — | 32,412 | 2,817 | 35,229 |
Vietnam | — | 282 | — | 282 |
Total Convertible Bonds | — | 56,221 | 2,817 | 59,038 |
Convertible Preferred Stocks | ||||
United States | 6,407 | — | 7,518 | 13,925 |
Corporate Bonds | ||||
Australia | — | 9,826 | — | 9,826 |
Austria | — | 1,256 | — | 1,256 |
Azerbaijan | — | 2,077 | — | 2,077 |
128 | J.P. Morgan Funds | October 31, 2023 |
Income Builder Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Bahrain | $— | $1,154 | $— | $1,154 |
Belgium | — | 193 | — | 193 |
Brazil | — | 4,123 | — | 4,123 |
Canada | — | 155,318 | — | 155,318 |
China | — | 16,538 | — | 16,538 |
Colombia | — | 1,876 | — | 1,876 |
Denmark | — | 4,559 | — | 4,559 |
Finland | — | 7,605 | — | 7,605 |
France | — | 82,953 | — | 82,953 |
Germany | — | 7,639 | — | 7,639 |
Guatemala | — | 1,026 | — | 1,026 |
Hong Kong | — | 13,416 | — | 13,416 |
India | — | 27,932 | — | 27,932 |
Indonesia | — | 13,329 | — | 13,329 |
Ireland | — | 16,261 | — | 16,261 |
Israel | — | 992 | — | 992 |
Italy | — | 8,565 | — | 8,565 |
Japan | — | 12,001 | — | 12,001 |
Kazakhstan | — | 2,549 | — | 2,549 |
Luxembourg | — | 17,825 | 1 | 17,826 |
Macau | — | 13,905 | — | 13,905 |
Malaysia | — | 274 | — | 274 |
Mexico | — | 15,289 | — | 15,289 |
Morocco | — | 352 | — | 352 |
Netherlands | — | 36,635 | — | 36,635 |
New Zealand | — | 288 | — | 288 |
Norway | — | 8,289 | — | 8,289 |
Panama | — | 771 | — | 771 |
Paraguay | — | 257 | — | 257 |
Peru | — | 1,258 | — | 1,258 |
Philippines | — | 3,461 | — | 3,461 |
Singapore | — | 402 | — | 402 |
South Africa | — | 2,072 | — | 2,072 |
South Korea | — | 1,711 | — | 1,711 |
Spain | — | 36,242 | — | 36,242 |
Sweden | — | 8,207 | — | 8,207 |
Switzerland | — | 29,205 | — | 29,205 |
Thailand | — | 4,801 | — | 4,801 |
United Kingdom | — | 137,389 | — | 137,389 |
United States | — | 2,149,344 | 1,301 | 2,150,645 |
Uzbekistan | — | 1,060 | — | 1,060 |
Venezuela, Bolivarian Republic of | — | 911 | — | 911 |
Total Corporate Bonds | — | 2,861,136 | 1,302 | 2,862,438 |
Exchange-Traded Funds | 776,997 | — | — | 776,997 |
Foreign Government Securities | — | 107,899 | — | 107,899 |
Loan Assignments | ||||
France | — | 564 | — | 564 |
Germany | — | 343 | — | 343 |
October 31, 2023 | J.P. Morgan Funds | 129 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Income Builder Fund (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Ireland | $— | $499 | $— | $499 |
Luxembourg | — | 8,445 | — | 8,445 |
Netherlands | — | 718 | — | 718 |
United States | — | 132,728 | 7,303 | 140,031 |
Total Loan Assignments | — | 143,297 | 7,303 | 150,600 |
Mortgage-Backed Securities | — | 877 | — | 877 |
Preferred Stocks | ||||
United States | 40,627 | — | 1,517 | 42,144 |
Rights | ||||
Luxembourg | — | — | — | — |
United States | — | — | 622 | 622 |
Total Rights | — | — | 622 | 622 |
U.S. Treasury Obligations | — | 89,305 | — | 89,305 |
Warrants | ||||
United Kingdom | — | — | 772 | 772 |
United States | — | — (a) | — | — (a) |
Total Warrants | — | — (a) | 772 | 772 |
Short-Term Investments | ||||
Certificates of Deposits | — | 1,657 | — | 1,657 |
Commercial Paper | — | 13,503 | — | 13,503 |
Investment Companies | 259,465 | — | — | 259,465 |
Investment of Cash Collateral from Securities Loaned | 138,681 | — | — | 138,681 |
U.S. Treasury Obligations | — | 3,569 | — | 3,569 |
Total Short-Term Investments | 398,146 | 18,729 | — | 416,875 |
Total Investments in Securities | $2,871,388 | $5,744,237 | $48,661 | $8,664,286 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $14,725 | $— | $— | $14,725 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (132,674 ) | — | — | (132,674 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(117,949 ) | $— | $— | $(117,949 ) |
(a) | 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:
Income Builder Fund | Balance as of October 31, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of October 31, 2023 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $84,575 | $(277 ) | $626 | $20 | $— (a) | $(26,101 ) | $3,725 | $(49,199 ) | $13,369 |
Collateralized Mortgage Obligations | 144,403 | 48 | 680 | — (a) | 5,172 | (20,292 ) | 2 | (130,011 ) | 2 |
Commercial Mortgage-Backed Securities | 269,605 | (15,197 ) | 18,877 | 34 | — | (71,876 ) | — | (201,443 ) | — |
130 | J.P. Morgan Funds | October 31, 2023 |
Income Builder Fund | Balance as of October 31, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of October 31, 2023 |
Common Stocks | $9,550 | $1,059 | $(5,356 ) | $— | $— | $(1,059 ) | $9,245 | $— | $13,439 |
Convertible Bonds | 2,040 | — | 777 | — | — | — | — | — | 2,817 |
Convertible Preferred Stocks | 7,100 | — | 418 | — | — | — | — | — | 7,518 |
Corporate Bonds | 17 | 6 | 454 | — | — | (7 ) | 832 | — | 1,302 |
Loan Assignments | 2,697 | — | 182 | 808 | 7,227 | (3,611 ) | — | — | 7,303 |
Preferred Stocks | 2,537 | — | (1,020 ) | — | — | — | — | — | 1,517 |
Rights | 622 | — | — (a) | — | — | — | — | — | 622 |
Warrants | 2,162 | — | (1,390 ) | — | — | — | — | — | 772 |
Total | $525,308 | $(14,361 ) | $14,248 | $862 | $12,399 | $(122,946 ) | $13,804 | $(380,653 ) | $48,661 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. | ||||||||
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at October 31, 2023, which were valued using significant unobservable inputs (level 3) amounted to $(6,494). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
For the year ended October 31, 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 October 31, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$226 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 20.00% (20.00%) | |
148 | Terms of Restructuring | Expected Recovery | $1.00 ($1.00) | |
- (b) | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | |
Liquidity Discount | 30.00% (30.00%) | |||
Common Stocks | 374 | |||
- (b) | Market Comparable Companies | EBITDA Multiple (c) | 5.0x (5.0x) | |
Liquidity Discount | 30.00% (30.00%) | |||
Preferred Stocks | - (b) | |||
1,817 | Discounted Cash Flow | Constant Prepayment Rate | 8.00% - 18.00% (9.88%) | |
Constant Default Rate | 5.00% - 12.00% (10.68%) |
October 31, 2023 | J.P. Morgan Funds | 131 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Fair Value at October 31, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
Yield (Discount Rate of Cash Flows) | 7.56% - 10.37% (8.09%) | |||
Asset-Backed Securities | 1,817 | |||
3,735 | Terms of Restructuring | Expected Recovery | 10.90% - 100.00% (89.30%) | |
3,568 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 17.75% - 19.75% (18.18%) | |
Loan Assignments | 7,303 | |||
2,817 | Term of Restructuring | Liquidation Preference | 71.43x (71.43x) | |
Convertible Bonds | 2,817 | |||
1 | Pending Distribution Amount | Expected Recovery | $0.01 ($0.01) | |
Rights | 1 | |||
Total | $12,312 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At October 31, 2023, the value of these investments was $36,349. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Amount rounds to less than one thousand. |
(c) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
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 October 31, 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 Funds invested 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. In addition, it is unclear whether loans, 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 loans 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.
132 | J.P. Morgan Funds | October 31, 2023 |
D. Unfunded Commitments — Income Builder Fund may enter into commitments to buy and sell investments, including commitments to buy private placements to settle on future dates, as part of its normal investment activities. Commitments are generally traded and priced as part of a related private placement. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported on the Statement of Assets and Liabilities. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner.
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 October 31, 2023, which are shown as a Payable for Investment securities purchased — delayed delivery securities on the Statements of Assets and Liabilities. The values of these securities held at October 31, 2023 are detailed on the SOI, 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.
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.
October 31, 2023 | J.P. Morgan Funds | 133 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
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 October 31, 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) | |
Global Allocation Fund | $22,612 | $(22,612 )** | $— |
Income Builder Fund | 131,656 | (131,656 ) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
** | Subsequent to October 31, 2023, additional collateral was received. |
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 year ended October 31, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
Global Allocation Fund | $3 |
Income Builder Fund | 14 |
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 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.
Global Allocation Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan High Yield Fund Class R6 Shares (a) | $— | $130,415 | $129,063 | $(1,352 ) | $— | $— | — | $601 | $— |
JPMorgan Income Fund Class R6 Shares (a) | 146,493 | 7,630 | 51,620 | (5,825 ) | 3,396 | 100,074 | 12,541 | 7,632 | — |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | 282,824 | 2,701,536 | 2,920,467 | 70 | 8 | 63,971 | 63,945 | 5,011 | — |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 45,756 | 281,001 | 306,000 | 7 * | (5 ) | 20,759 | 20,755 | 1,361 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 5,399 | 165,683 | 168,181 | — | — | 2,901 | 2,901 | 216 * | — |
Total | $480,472 | $3,286,265 | $3,575,331 | $(7,100 ) | $3,399 | $187,705 | $14,821 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
134 | J.P. Morgan Funds | October 31, 2023 |
Income Builder Fund | |||||||||
For the year ended October 31, 2023 | |||||||||
Security Description | Value at October 31, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at October 31, 2023 | Shares at October 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Equity Premium Income ETF (a) | $292,788 | $467,784 | $192,391 | $(22,689 ) | $6,332 | $551,824 | 10,487 | $49,854 | $— |
JPMorgan Income ETF (a) | — | 42,623 | — | — | 17 | 42,640 | 967 | — | — |
JPMorgan Nasdaq Equity Premium Income ETF (a) | — | 192,902 | — | — | (10,369 ) | 182,533 | 3,954 | 4,878 | — |
JPMorgan Prime Money Market Fund Class IM Shares, 5.49% (a) (b) | 47,930 | 464,759 | 472,706 | 5 | 8 | 39,996 | 39,980 | 2,189 | — |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.41% (a) (b) | 407,567 | 5,467,642 | 5,655,783 | 18 | 25 | 219,469 | 219,381 | 9,571 | — |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.53% (a) (b) | 147,949 | 448,000 | 474,000 | 82 * | (70 ) | 121,961 | 121,937 | 7,235 * | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.29% (a) (b) | 29,510 | 382,382 | 395,172 | — | — | 16,720 | 16,720 | 945 * | — |
Total | $925,744 | $7,466,092 | $7,190,052 | $(22,584 ) | $(4,057 ) | $1,175,143 | $74,672 | $— | |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of October 31, 2023. |
* | 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 year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
I. Derivatives — The Funds used derivative instruments including options, futures contracts and forward foreign currency exchange contracts, 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
October 31, 2023 | J.P. Morgan Funds | 135 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
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 and currencies 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.
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.
136 | J.P. Morgan Funds | October 31, 2023 |
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 October 31, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
Global Allocation Fund | Income Builder Fund | |
Equity Risk Exposure: | ||
Unrealized Appreciation on Futures Contracts * | $4,691 | $14,725 |
Unrealized Depreciation on Futures Contracts * | (28,917 ) | (16 ) |
Foreign Exchange Rate Risk Exposure: | ||
Unrealized Appreciation on Futures Contracts * | 1,195 | — |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 420 | — |
Unrealized Depreciation on Futures Contracts * | (151 ) | — |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (1,131 ) | — |
Interest Rate Risk Exposure: | ||
Unrealized Appreciation on Futures Contracts * | 2,492 | — |
Unrealized Depreciation on Futures Contracts * | (18,471 ) | (132,658 ) |
Net Fair Value of Derivative Contracts: | ||
Unrealized Appreciation (Depreciation) on Futures Contracts * | (39,161 ) | (117,949 ) |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | (711 ) | — |
* | 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 year ended October 31, 2023, by primary underlying risk exposure:
Global Allocation Fund | Income Builder Fund | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | ||
Equity Risk Exposure: | ||
Futures Contracts | $10,003 | $(57,508 ) |
Purchased Options | (11,484 ) | — |
Foreign Exchange Rate Risk Exposure: | ||
Futures Contracts | 84 | — |
Forward Foreign Currency Exchange Contracts | (44,891 ) | — |
Interest Rate Risk Exposure: | ||
Futures Contracts | (68,056 ) | (210,176 ) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||
Equity Risk Exposure: | ||
Futures Contracts | (44,767 ) | (18,403 ) |
Foreign Exchange Rate Risk Exposure: | ||
Futures Contracts | 15,120 | — |
Forward Foreign Currency Exchange Contracts | (7,102 ) | — |
October 31, 2023 | J.P. Morgan Funds | 137 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
Global Allocation Fund | Income Builder Fund | |
Interest Rate Risk Exposure: | ||
Futures Contracts | $1,364 | $(27,079 ) |
Derivatives Volume
The table below discloses the volume of the Funds' options, futures contracts and forward foreign currency exchange contracts activity during the year ended October 31, 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):
Global Allocation Fund | Income Builder Fund | |
Futures Contracts: | ||
Average Notional Balance Long | $1,414,643 | $2,915,735 |
Average Notional Balance Short | (347,061 ) | (513,416 ) |
Ending Notional Balance Long | 1,121,777 | 3,378,954 |
Ending Notional Balance Short | (417,246 ) | (287,584 ) |
Forward Foreign Currency Exchange Contracts: | ||
Average Settlement Value Purchased | (233,323 ) | — |
Average Settlement Value Sold | 572,581 | — |
Ending Settlement Value Purchased | (117,712 ) | — |
Ending Settlement Value Sold | 77,968 | — |
Exchange-Traded Options: | ||
Average Number of Contracts Purchased | 3,956 | — |
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.
The Funds' derivatives contracts held at October 31, 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 realizes 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.
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.
138 | J.P. Morgan Funds | October 31, 2023 |
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 year ended October 31, 2023 are as follows:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |
Global Allocation Fund | |||||||||
Transfer agency fees | $24 | $16 | $19 | $2 | $— (a) | $— (a) | $— (a) | $10 | $71 |
Income Builder Fund | |||||||||
Transfer agency fees | 123 | 39 | 54 | n/a | n/a | n/a | n/a | 10 | 226 |
(a) | Amount rounds to less than one thousand. |
M. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund's policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds' tax positions for all open tax years and has determined that as of October 31, 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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Global Allocation Fund | $(20,772 ) | $(51,945 ) | $72,717 |
Income Builder Fund | 786 | 7,167 | (7,953 ) |
The reclassifications for the Funds relate primarily to foreign currency gains or losses and tax adjustments on certain investments.
3. Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
Global Allocation Fund | 0.55 % |
Income Builder Fund | 0.42 |
October 31, 2023 | J.P. Morgan Funds | 139 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund's respective average daily net assets, plus 0.050% of each Fund's respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund's respective average daily net assets between $20 billion and $25 billion, plus 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the year ended October 31, 2023, the effective 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:
Class A | Class C | Class R2 | Class R3 | |
Global Allocation Fund | 0.25 % | 0.75 % | 0.50 % | 0.25 % |
Income Builder Fund | 0.25 | 0.75 | n/a | n/a |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2023, JPMDS retained the following:
Front-End Sales Charge | CDSC | |
Global Allocation Fund | $18 | $— (a) |
Income Builder Fund | 131 | 1 |
(a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | |
Global Allocation Fund | 0.25 % | 0.25 % | 0.25 % | 0.25 % | 0.25 % | 0.25 % | 0.10 % |
Income Builder Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
140 | J.P. Morgan Funds | October 31, 2023 |
F. Waivers and Reimbursements —The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds' respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |
Global Allocation Fund | 1.03 % | 1.53 % | 0.78 % | 1.40 % | 1.15 % | 0.90 % | 0.75 % | 0.65 % |
Income Builder Fund | 0.75 | 1.25 | 0.60 | n/a | n/a | n/a | n/a | 0.52 |
The expense limitation agreements were in effect for the year ended October 31, 2023 and are in place until at least February 29, 2024.
For the year ended October 31, 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 Waivers | |||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | |
Global Allocation Fund | $580 | $387 | $3,047 | $4,014 | $8 |
Income Builder Fund | 455 | 303 | 20,734 | 21,492 | 1,803 |
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 year ended October 31, 2023 were as follows:
Global Allocation Fund | $244 |
Income Builder Fund | 521 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the year ended October 31, 2023 the amount of these reimbursements were as follows:
Global Allocation Fund | $2 |
Income Builder Fund | 3 |
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 year ended October 31, 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.
October 31, 2023 | J.P. Morgan Funds | 141 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
4. Investment Transactions
During the year ended October 31, 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 | Sales of U.S. Government | |
Global Allocation Fund | $3,988,890 | $4,364,582 | $49,745 | $59,929 |
Income Builder Fund | 4,372,220 | 5,864,277 | 128,434 | 92,339 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at October 31, 2023 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Global Allocation Fund | $2,697,688 | $316,653 | $186,899 | $129,754 |
Income Builder Fund | 9,028,279 | 520,776 | 1,002,718 | (481,942 ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, tax adjustments on certain investments and tax adjustments on certain derivatives.
The tax character of distributions paid during the year ended October 31, 2023 was as follows:
Ordinary Income* | Total Distributions Paid | |
Global Allocation Fund | $124,473 | $124,473 |
Income Builder Fund | 484,325 | 484,325 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended October 31, 2022 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
Global Allocation Fund | $311,808 | $165,097 | $476,905 |
Income Builder Fund | 719,734 | 382,213 | 1,101,947 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of October 31, 2023, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
Global Allocation Fund | $— | $(337,402 ) | $35,539 |
Income Builder Fund | 4,311 | (992,131 ) | (482,020 ) |
The cumulative timing differences primarily consist of tax adjustments on certain investments, tax adjustments on certain derivatives, straddle loss deferrals and wash sale loss deferrals.
142 | J.P. Morgan Funds | October 31, 2023 |
At October 31, 2023, the following Funds had net capital loss carryforwards, which are available to offset future realized gains:
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Global Allocation Fund | $228,726 | $108,676 |
Income Builder Fund | 453,247 | 538,883 |
During the year ended October 31, 2023, the following Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||
Short-Term | Long-Term | |
Global Allocation Fund | $— | $26,328 |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund, or loans outstanding to another fund, during the year ended October 31, 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 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 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. Effective August 8, 2023, the Credit Facility was amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the year ended October 31, 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.
October 31, 2023 | J.P. Morgan Funds | 143 |
NOTES TO FINANCIAL STATEMENTS
AS OF October 31, 2023 (continued)
(Dollar values in thousands)
As of October 31, 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 | % of the Fund | Number of Individual Shareholder and/or Non-Affiliated Omnibus Accounts | % of the Fund | |
Global Allocation Fund | — | — % | 2 | 22.0 % |
Income Builder Fund | 1 | 16.3 | 3 | 36.5 |
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 October 31, 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.
144 | J.P. Morgan Funds | October 31, 2023 |
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.
London Interbank Offered Rate ("LIBOR") was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector actors have worked to establish 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 which may affect the value, volatility, liquidity or return on certain of the Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' 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 the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of any future pandemic or other global event to 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 or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event 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.
October 31, 2023 | J.P. Morgan Funds | 145 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and Shareholders of JPMorgan Global Allocation Fund and JPMorgan Income Builder Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Global Allocation Fund and JPMorgan Income Builder Fund (two of the funds constituting JPMorgan Trust I, hereafter collectively referred to as the "Funds") as of October 31, 2023, the related statements of operations for the year ended October 31, 2023, the statements of changes in net assets for each of the two years in the period ended October 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2023 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2023 and each of the financial highlights for each of the five years in the period ended October 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, transfer agent, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
December 21, 2023
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
146 | J.P. Morgan Funds | October 31, 2023 |
TRUSTEES
(Unaudited)
The Funds' Statement of Additional Information includes additional information about the Funds' Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 170 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 170 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 170 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 170 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 170 | None |
October 31, 2023 | J.P. Morgan Funds | 147 |
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 170 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 170 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 170 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 170 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 170 | None |
Marilyn McCoy (1948); Trustee since 1999. | Retired; Vice President of Administration and Planning, Northwestern University (1985-2023). | 170 | None |
148 | J.P. Morgan Funds | October 31, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | |||
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 170 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 170 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 170 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 170 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 170 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board's current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (170 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
October 31, 2023 | J.P. Morgan Funds | 149 |
TRUSTEES
(Unaudited) (continued)
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. | |||
150 | J.P. Morgan Funds | October 31, 2023 |
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Managing Director, J.P. Morgan Investment Management Inc. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)* | Vice President, J.P. Morgan Investment Management Inc. Mr. House has been with J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. Mr. Mannarino has been with J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
October 31, 2023 | J.P. Morgan Funds | 151 |
OFFICERS
(Unaudited) (continued)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
152 | J.P. Morgan Funds | October 31, 2023 |
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, May 1, 2023, and continued to hold your shares at the end of the reporting period, October 31, 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 May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Global Allocation Fund | ||||
Class A | ||||
Actual | $1,000.00 | $943.40 | $4.95 | 1.01 % |
Hypothetical | 1,000.00 | 1,020.11 | 5.14 | 1.01 |
Class C | ||||
Actual | 1,000.00 | 941.50 | 7.39 | 1.51 |
Hypothetical | 1,000.00 | 1,017.59 | 7.68 | 1.51 |
Class I | ||||
Actual | 1,000.00 | 944.90 | 3.73 | 0.76 |
Hypothetical | 1,000.00 | 1,021.37 | 3.87 | 0.76 |
Class R2 | ||||
Actual | 1,000.00 | 941.70 | 6.75 | 1.38 |
Hypothetical | 1,000.00 | 1,018.25 | 7.02 | 1.38 |
Class R3 | ||||
Actual | 1,000.00 | 943.00 | 5.53 | 1.13 |
Hypothetical | 1,000.00 | 1,019.51 | 5.75 | 1.13 |
Class R4 | ||||
Actual | 1,000.00 | 944.50 | 4.31 | 0.88 |
Hypothetical | 1,000.00 | 1,020.77 | 4.48 | 0.88 |
Class R5 | ||||
Actual | 1,000.00 | 945.50 | 3.58 | 0.73 |
Hypothetical | 1,000.00 | 1,021.53 | 3.72 | 0.73 |
Class R6 | ||||
Actual | 1,000.00 | 945.40 | 3.09 | 0.63 |
Hypothetical | 1,000.00 | 1,022.03 | 3.21 | 0.63 |
October 31, 2023 | J.P. Morgan Funds | 153 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value May 1, 2023 | Ending Account Value October 31, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Income Builder Fund | ||||
Class A | ||||
Actual | $1,000.00 | $943.50 | $3.53 | 0.72 % |
Hypothetical | 1,000.00 | 1,021.58 | 3.67 | 0.72 |
Class C | ||||
Actual | 1,000.00 | 940.80 | 5.97 | 1.22 |
Hypothetical | 1,000.00 | 1,019.05 | 6.21 | 1.22 |
Class I | ||||
Actual | 1,000.00 | 944.30 | 2.79 | 0.57 |
Hypothetical | 1,000.00 | 1,022.33 | 2.91 | 0.57 |
Class R6 | ||||
Actual | 1,000.00 | 944.70 | 2.40 | 0.49 |
Hypothetical | 1,000.00 | 1,022.73 | 2.50 | 0.49 |
* | Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
154 | J.P. Morgan Funds | October 31, 2023 |
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.
October 31, 2023 | J.P. Morgan Funds | 155 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board and its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant to their annual consideration of the continuation of the investment advisory agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, at which the Trustees considered the continuation of the investment advisory agreement for each Fund whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for each Fund and the other J.P. Morgan Funds overseen by the Board in which the Funds may invest (“Underlying Funds”). Each investment committee reported to the full Board, which then considered each investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds and Underlying Funds received from J.P. Morgan Investment Management Inc. (the “Adviser”). This information included the Funds’ and Underlying Funds’ performance as compared to the performance of the Funds’ and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Funds’ and Underlying Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Funds and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the
Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Funds and independent legal counsel to the Trustees, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements with independent legal counsel in executive sessions at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds and Underlying Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances, and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. Among other things, the Trustees considered:
• The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the Adviser’s other fund offerings within the J.P. Morgan Fund complex;
156 | J.P. Morgan Funds | October 31, 2023 |
• The administration services provided by the Adviser in its role as Administrator;
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the financial industry generally;
• The overall reputation and capabilities of the Adviser and its affiliates;
• The commitment of the Adviser to provide high quality service to the Funds and Underlying Funds;
• Their overall confidence in the Adviser’s integrity; and
• The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund and Underlying Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the services provided to the Funds by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates from providing services to each Fund and Underlying Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to each Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser and reviewed with the Board. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMorgan Distributions Services, Inc. (“JPMDS”), an affiliate of the Adviser and the Adviser, earn fees from each Fund and/or Underlying Funds for
providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for each Fund and/or Underlying Funds, and the profitability of the arrangements to JPMCB.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds' operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including the benefits received by the Adviser and its affiliates in connection with the Funds’ investments in the Underlying Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and
October 31, 2023 | J.P. Morgan Funds | 157 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser's and JPMDS's ongoing investments in their business in support of the Funds, including the Adviser's and/or JPMDS's investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including, to the extent applicable, institutional separate accounts, collective investment trusts, other registered investment companies and/or private funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered investment company involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the applicable registered investment company, typically bears the sub-advisory fee and that many responsibilities related to the advisory function are typically retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute and/or relative performance information for each Fund in a report prepared by
Broadridge. The Trustees considered the total return performance information, which included the ranking of each Fund within a performance universe comprised of funds’ selected share classes with the same Broadridge investment classification and objective (the “Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s Universe and noted that Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for each Fund at regular Board meetings by the Adviser and the independent consultant and also considered the special analysis prepared for certain Funds by the independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Global Allocation Fund’s performance for Class A shares was in the fifth, third and fourth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for both Class I and Class R6 shares was in the fifth, third and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the Income Builder Fund’s performance for Class A, Class I and Class R6 shares was in the third, fourth and fourth quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other
158 | J.P. Morgan Funds | October 31, 2023 |
funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group quintile rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it can be difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Global Allocation Fund’s net advisory fee for Class A shares was in the first and second quintiles of the Peer Group and Universe, respectively, and that actual total expenses for Class A shares were in the first and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and third quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the
net advisory fee for Class R6 shares was in the second and third quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contracts of the Underlying Funds in which the Fund invests.
The Trustees noted that the Income Builder Fund’s net advisory fee for Class A shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first quintile of both the Peer Group and Universe. The Trustees noted that net advisory fee for Class I shares was in the first and third quintiles of the Peer Group and Universe, respectively, and that actual total expenses for Class I shares were in the first and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles of the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contracts of the Underlying Funds in which the Fund may invest.
October 31, 2023 | J.P. Morgan Funds | 159 |
TAX LETTER
(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2023. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2023. The information necessary to complete your income tax returns for the calendar year ending December 31, 2023 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended October 31, 2023:
Dividends Received Deduction | |
JPMorgan Global Allocation Fund | 10.48 % |
JPMorgan Income Builder Fund | 9.17 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2023:
Qualified Dividend Income | |
JPMorgan Global Allocation Fund | $27,650 |
JPMorgan Income Builder Fund | 135,307 |
160 | J.P. Morgan Funds | October 31, 2023 |
Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
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What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
○Social Security number and account balances | |
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○checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don't share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don't share |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com |
Page 2
Who we are | |
Who is providing this notice? | J.P. Morgan Funds |
What we do | |
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you: |
○open an account or provide contact information | |
○give us your account information or pay us by check | |
○make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: |
○sharing for affiliates’ everyday business purposes – information about your creditworthiness | |
○affiliates from using your information to market to you | |
○sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
○J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
○J.P. Morgan Funds doesn’t jointly market. | |
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. October 2023.
AN-IB-GAL-1023
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The Audit committee financial experts are Gary L. French, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia, each of whom is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2023 – $625,893
2022 – $837,633
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2023 – $105,514
2022 – $152,543
Audit-related fees consists of security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2023 – $153,757
2022 – $235,368
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended October 31, 2023 and 2022, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2023 – Not applicable
2022 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2023 – 0.0%
2022 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable - Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2022 - $31.9 million
2021 - $30.8 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
| (1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
| (2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
| (3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
| (4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
| (5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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 the 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.
(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:
(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. |
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 | ||
| December 28, 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 | ||
| December 28, 2023 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| December 28, 2023 | ||