JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
Investments | Shares (000) | Value ($000) | ||||||
COMMON STOCKS — 53.5% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
Airbus SE (France) * | 11 | 774 | ||||||
BAE Systems plc (United Kingdom) | 14 | 84 | ||||||
Dassault Aviation SA (France) * | – | (a) | 9 | |||||
Elbit Systems Ltd. (Israel) | – | (a) | 14 | |||||
General Dynamics Corp. | 3 | 455 | ||||||
Leonardo SpA (Italy) | 2 | 10 | ||||||
MTU Aero Engines AG (Germany) | – | (a) | 37 | |||||
Northrop Grumman Corp. | 4 | 1,221 | ||||||
Raytheon Technologies Corp. | 10 | 567 | ||||||
Rolls-Royce Holdings plc (United Kingdom) * | 8 | 14 | ||||||
Safran SA (France) * | 9 | 878 | ||||||
Singapore Technologies Engineering Ltd. (Singapore) | 7 | 17 | ||||||
Thales SA (France) | – | (a) | 34 | |||||
|
| |||||||
4,114 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
Deutsche Post AG (Registered) (Germany) | 4 | 190 | ||||||
DSV Panalpina A/S (Denmark) | 1 | 142 | ||||||
Hyundai Glovis Co. Ltd. (South Korea) | – | (a) | 22 | |||||
SG Holdings Co. Ltd. (Japan) | 1 | 36 | ||||||
Yamato Holdings Co. Ltd. (Japan) | 1 | 34 | ||||||
|
| |||||||
424 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
ANA Holdings, Inc. (Japan) * | 1 | 12 | ||||||
Deutsche Lufthansa AG (Registered) (Germany) * | 1 | 11 | ||||||
Japan Airlines Co. Ltd. (Japan) | 1 | 9 | ||||||
Qantas Airways Ltd. (Australia) | 4 | 11 | ||||||
Ryanair Holdings plc, ADR (Ireland) * | 6 | 470 | ||||||
Singapore Airlines Ltd. (Singapore) | 6 | 14 | ||||||
Southwest Airlines Co. | 7 | 251 | ||||||
|
| |||||||
778 | ||||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Aisin Seiki Co. Ltd. (Japan) | 1 | 22 | ||||||
Bridgestone Corp. (Japan) | 2 | 73 | ||||||
Cie Generale des Etablissements Michelin SCA (France) | 1 | 77 | ||||||
Continental AG (Germany) | – | (a) | 50 | |||||
Denso Corp. (Japan) | 2 | 80 | ||||||
Faurecia SE (France) * | – | (a) | 14 | |||||
Hankook Tire & Technology Co. Ltd. (South Korea) | 1 | 33 | ||||||
Hanon Systems (South Korea) | 2 | 25 | ||||||
Hyundai Mobis Co. Ltd. (South Korea) | – | (a) | 72 | |||||
JTEKT Corp. (Japan) | 1 | 7 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | – | (a) | 20 | |||||
Mando Corp. (South Korea) | 1 | 25 | ||||||
NGK Spark Plug Co. Ltd. (Japan) | 1 | 10 | ||||||
Pirelli & C SpA (Italy) * (b) | 2 | 7 | ||||||
Stanley Electric Co. Ltd. (Japan) | 1 | 17 | ||||||
Sumitomo Electric Industries Ltd. (Japan) | 3 | 36 | ||||||
Sumitomo Rubber Industries Ltd. (Japan) | 1 | 7 | ||||||
Toyoda Gosei Co. Ltd. (Japan) | – | (a) | 7 | |||||
Toyota Industries Corp. (Japan) | 1 | 38 | ||||||
Valeo SA (France) | 1 | 30 | ||||||
Yokohama Rubber Co. Ltd. (The) (Japan) | 1 | 7 | ||||||
|
| |||||||
657 | ||||||||
|
| |||||||
Automobiles — 0.9% | ||||||||
Astra International Tbk. PT (Indonesia) | 87 | 26 | ||||||
Bayerische Motoren Werke AG (Germany) | 1 | 101 | ||||||
Bayerische Motoren Werke AG (Preference) (Germany) | – | (a) | 13 | |||||
Daimler AG (Registered) (Germany) | 4 | 195 | ||||||
Dongfeng Motor Group Co. Ltd., Class H (China) | 46 | 29 | ||||||
Eicher Motors Ltd. (India) | 1 | 22 | ||||||
Ferrari NV (Italy) | 1 | 98 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) * | 5 | 57 | ||||||
Geely Automobile Holdings Ltd. (China) | 9 | 18 | ||||||
Honda Motor Co. Ltd. (Japan) | 7 | 164 | ||||||
Hyundai Motor Co. (South Korea) | 1 | 82 | ||||||
Isuzu Motors Ltd. (Japan) | 2 | 20 | ||||||
Kia Motors Corp. (South Korea) | 2 | 78 | ||||||
Maruti Suzuki India Ltd. (India) | 1 | 63 | ||||||
Mazda Motor Corp. (Japan) | 2 | 14 | ||||||
Mitsubishi Motors Corp. (Japan) | 3 | 6 | ||||||
Nissan Motor Co. Ltd. (Japan) | 10 | 35 | ||||||
Peugeot SA (France) * | 2 | 45 | ||||||
Porsche Automobil Holding SE (Preference) (Germany) * | 1 | 38 | ||||||
Renault SA (France) * | 1 | 21 | ||||||
Subaru Corp. (Japan) | 3 | 50 | ||||||
Suzuki Motor Corp. (Japan) | 2 | 69 | ||||||
Tesla, Inc. * | 8 | 3,559 | ||||||
Thor Industries, Inc. | 7 | 696 | ||||||
Toyota Motor Corp. (Japan) | 21 | 1,367 | ||||||
Volkswagen AG (Germany) | – | (a) | 24 | |||||
Volkswagen AG (Preference) (Germany) | 4 | 607 | ||||||
Yamaha Motor Co. Ltd. (Japan) | 1 | 17 | ||||||
|
| |||||||
7,514 | ||||||||
|
| |||||||
Banks — 3.5% | ||||||||
ABN AMRO Bank NV, CVA (Netherlands) (b) | 2 | 15 | ||||||
Absa Group Ltd. (South Africa) | 6 | 34 | ||||||
Al Rajhi Bank (Saudi Arabia) | 6 | 102 | ||||||
Alinma Bank (Saudi Arabia) * | 9 | 41 | ||||||
Aozora Bank Ltd. (Japan) | 1 | 8 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 12 | 149 | ||||||
Axis Bank Ltd. (India) * | 10 | 55 | ||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 28 | 78 | ||||||
Banco Bradesco SA (Preference) (Brazil) | 10 | 35 | ||||||
Banco Santander Chile, ADR (Chile) | 7 | 95 | ||||||
Banco Santander SA (Spain) | 70 | 131 | ||||||
Bank Central Asia Tbk. PT (Indonesia) | 565 | 1,032 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Bank Hapoalim BM (Israel) | 5 | 26 | ||||||
Bank Leumi Le-Israel BM (Israel) | 6 | 27 | ||||||
Bank of America Corp. | 87 | 2,098 | ||||||
Bank of China Ltd., Class H (China) | 204 | 63 | ||||||
Bank of East Asia Ltd. (The) (Hong Kong) | 6 | 10 | ||||||
Bank of Kyoto Ltd. (The) (Japan) | – | (a) | 10 | |||||
Bank Rakyat Indonesia Persero Tbk. PT (Indonesia) | 1,349 | 277 | ||||||
Bankinter SA (Spain) | 3 | 12 | ||||||
Banque Cantonale Vaudoise (Registered) (Switzerland) | – | (a) | 13 | |||||
Barclays plc (United Kingdom) | 73 | 92 | ||||||
BNP Paribas SA (France) * | 12 | 422 | ||||||
BOC Hong Kong Holdings Ltd. (China) | 16 | 41 | ||||||
CaixaBank SA (Spain) | 15 | 32 | ||||||
Capitec Bank Holdings Ltd. (South Africa) | 3 | 208 | ||||||
Chiba Bank Ltd. (The) (Japan) | 2 | 12 | ||||||
China Construction Bank Corp., Class H (China) | 311 | 202 | ||||||
China Merchants Bank Co. Ltd., Class H (China) | 24 | 112 | ||||||
CIMB Group Holdings Bhd. (Malaysia) | 23 | 17 | ||||||
Citigroup, Inc. | 25 | 1,068 | ||||||
Citizens Financial Group, Inc. | 22 | 563 | ||||||
Commerce Bancshares, Inc. | 7 | 372 | ||||||
Commerzbank AG (Germany) * | 4 | 21 | ||||||
Commonwealth Bank of Australia (Australia) | 7 | 344 | ||||||
Concordia Financial Group Ltd. (Japan) | 4 | 15 | ||||||
Credicorp Ltd. (Peru) | 5 | 560 | ||||||
Credit Agricole SA (France) * | 5 | 43 | ||||||
CTBC Financial Holding Co. Ltd. (Taiwan) | 26 | 17 | ||||||
Cullen/Frost Bankers, Inc. | 4 | 227 | ||||||
Danske Bank A/S (Denmark) * | 3 | 39 | ||||||
DBS Group Holdings Ltd. (Singapore) | 8 | 112 | ||||||
DNB ASA (Norway) | 4 | 56 | ||||||
E.Sun Financial Holding Co. Ltd. (Taiwan) | 74 | 66 | ||||||
Erste Group Bank AG (Austria) | 31 | 645 | ||||||
Fifth Third Bancorp | 14 | 299 | ||||||
FinecoBank Banca Fineco SpA (Italy) * | 3 | 35 | ||||||
First Hawaiian, Inc. | 15 | 214 | ||||||
First Horizon National Corp. | 36 | 338 | ||||||
First Republic Bank | 6 | 664 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 1 | 12 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (Mexico) * | 55 | 192 | ||||||
Hana Financial Group, Inc. (South Korea) | 2 | 50 | ||||||
Hang Seng Bank Ltd. (Hong Kong) | 3 | 47 | ||||||
HDFC Bank Ltd., ADR (India) * | 55 | 2,737 | ||||||
HSBC Holdings plc (United Kingdom) | 86 | 336 | ||||||
Huntington Bancshares, Inc. | 21 | 194 | ||||||
IndusInd Bank Ltd. (India) * | 2 | 13 | ||||||
Industrial & Commercial Bank of China Ltd., Class H (China) | 181 | 94 | ||||||
ING Groep NV (Netherlands) | 56 | 396 | ||||||
Intesa Sanpaolo SpA (Italy) | 70 | 131 | ||||||
Israel Discount Bank Ltd., Class A (Israel) | 5 | 13 | ||||||
Itau Unibanco Holding SA, ADR (Brazil) | 57 | 226 | ||||||
Itausa SA (Preference) (Brazil) | 17 | 27 | ||||||
Japan Post Bank Co. Ltd. (Japan) | 2 | 13 | ||||||
Kasikornbank PCL (Thailand) | 10 | 25 | ||||||
KBC Group NV (Belgium) | 15 | 734 | ||||||
KeyCorp | 37 | 436 | ||||||
Kotak Mahindra Bank Ltd. (India) * | 18 | 308 | ||||||
Lloyds Banking Group plc (United Kingdom) | 299 | 101 | ||||||
M&T Bank Corp. | 6 | 596 | ||||||
Mebuki Financial Group, Inc. (Japan) | 4 | 9 | ||||||
Mediobanca Banca di Credito Finanziario SpA (Italy) | 3 | 21 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 52 | 206 | ||||||
Mizrahi Tefahot Bank Ltd. (Israel) | 1 | 11 | ||||||
Mizuho Financial Group, Inc. (Japan) | 10 | 127 | ||||||
Moneta Money Bank A/S (Czech Republic) (b) | 8 | 18 | ||||||
National Australia Bank Ltd. (Australia) | 13 | 173 | ||||||
National Commercial Bank (Saudi Arabia) | 5 | 48 | ||||||
Natwest Group plc (United Kingdom) | 20 | 28 | ||||||
Nordea Bank Abp (Finland) | 14 | 104 | ||||||
OTP Bank Nyrt. (Hungary) * | 2 | 47 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 14 | 87 | ||||||
Ping An Bank Co. Ltd., Class A (China) | 22 | 49 | ||||||
PNC Financial Services Group, Inc. (The) | 11 | 1,205 | ||||||
Postal Savings Bank of China Co. Ltd., Class H (China) (b) | 76 | 32 | ||||||
Public Bank Bhd. (Malaysia) | 29 | 108 | ||||||
Qatar National Bank QPSC (Qatar) | 11 | 57 | ||||||
Raiffeisen Bank International AG (Austria) * | 1 | 10 | ||||||
Resona Holdings, Inc. (Japan) | 9 | 30 | ||||||
Sberbank of Russia PJSC, ADR (Russia) * | – | (a) | 3 | |||||
Sberbank of Russia PJSC (Russia) | 66 | 194 | ||||||
Sberbank of Russia PJSC, ADR (Russia) * | 10 | 119 | ||||||
ServisFirst Bancshares, Inc. | 8 | 267 | ||||||
Seven Bank Ltd. (Japan) | 2 | 6 | ||||||
Shinhan Financial Group Co. Ltd. (South Korea) | 2 | 50 | ||||||
Shinsei Bank Ltd. (Japan) | 1 | 9 | ||||||
Shizuoka Bank Ltd. (The) (Japan) | 2 | 12 | ||||||
Signature Bank | 3 | 278 | ||||||
Skandinaviska Enskilda Banken AB, Class A (Sweden) * | 7 | 61 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Societe Generale SA (France) * | 3 | 45 | ||||||
Standard Chartered plc (United Kingdom) | 11 | 52 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 6 | 154 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 1 | 37 | ||||||
SVB Financial Group * | 3 | 725 | ||||||
Svenska Handelsbanken AB, Class A (Sweden) * | 98 | 821 | ||||||
Swedbank AB, Class A (Sweden) * | 4 | 60 | ||||||
Toronto-Dominion Bank (The) (Canada) | 18 | 849 | ||||||
Truist Financial Corp. | 62 | 2,377 | ||||||
UniCredit SpA (Italy) * | 9 | 74 | ||||||
United Overseas Bank Ltd. (Singapore) | 5 | 70 | ||||||
US Bancorp | 15 | 531 | ||||||
Wells Fargo & Co. | 40 | 936 | ||||||
Western Alliance Bancorp | 8 | 265 | ||||||
Westpac Banking Corp. (Australia) | 15 | 185 | ||||||
|
| |||||||
28,378 | ||||||||
|
| |||||||
Beverages — 1.1% | ||||||||
Ambev SA, ADR (Brazil) * | 55 | 123 | ||||||
Anheuser-Busch InBev SA/NV (Belgium) | 3 | 173 | ||||||
Asahi Group Holdings Ltd. (Japan) | 2 | 66 | ||||||
Budweiser Brewing Co. APAC Ltd. (China) (b) | 113 | 331 | ||||||
Carlsberg A/S, Class B (Denmark) | 5 | 670 | ||||||
Cia Cervecerias Unidas SA, ADR (Chile) | 1 | 8 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 2 | 15 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. (Japan) | 1 | 8 | ||||||
Coca-Cola Co. (The) | 47 | 2,317 | ||||||
Coca-Cola European Partners plc (United Kingdom) | 1 | 33 | ||||||
Coca-Cola HBC AG (Switzerland) | 1 | 21 | ||||||
Constellation Brands, Inc., Class A | 9 | 1,623 | ||||||
Davide Campari-Milano NV (Italy) | 2 | 27 | ||||||
Diageo plc (United Kingdom) | 68 | 2,345 | ||||||
Fomento Economico Mexicano SAB de CV, ADR (Mexico) | 3 | 161 | ||||||
Heineken Holding NV (Netherlands) | – | (a) | 38 | |||||
Heineken NV (Netherlands) | 1 | 97 | ||||||
Ito En Ltd. (Japan) | – | (a) | 14 | |||||
Keurig Dr Pepper, Inc. | 10 | 288 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 4 | 66 | ||||||
Kweichow Moutai Co. Ltd., Class A (China) | 2 | 489 | ||||||
Pernod Ricard SA (France) | 1 | 143 | ||||||
Remy Cointreau SA (France) | – | (a) | 17 | |||||
Suntory Beverage & Food Ltd. (Japan) | 1 | 23 | ||||||
Treasury Wine Estates Ltd. (Australia) | 3 | 20 | ||||||
United Spirits Ltd. (India) * | 5 | 35 | ||||||
|
| |||||||
9,151 | ||||||||
|
| |||||||
Biotechnology — 1.1% | ||||||||
AbbVie, Inc. | 33 | 2,876 | ||||||
Alexion Pharmaceuticals, Inc. * | 5 | 578 | ||||||
Alnylam Pharmaceuticals, Inc. * | 2 | 311 | ||||||
Amgen, Inc. | 8 | 1,911 | ||||||
Amoy Diagnostics Co. Ltd., Class A (China) (c) | 2 | 17 | ||||||
Argenx SE (Netherlands) * | – | (a) | 50 | |||||
BeiGene Ltd., ADR (China) * | – | (a) | 71 | |||||
Biogen, Inc. * | 1 | 186 | ||||||
Celltrion, Inc. (South Korea) * | – | (a) | 26 | |||||
CSL Ltd. (Australia) | 2 | 396 | ||||||
Exact Sciences Corp. * | 6 | 574 | ||||||
Exelixis, Inc. * | 18 | 432 | ||||||
Galapagos NV (Belgium) * | – | (a) | 25 | |||||
Genmab A/S (Denmark) * | – | (a) | 100 | |||||
Grifols SA (Spain) | 1 | 36 | ||||||
Innovent Biologics, Inc. (China) * (b) | 8 | 60 | ||||||
PeptiDream, Inc. (Japan) * | – | (a) | 19 | |||||
Regeneron Pharmaceuticals, Inc. * | 2 | 1,031 | ||||||
Vertex Pharmaceuticals, Inc. * | 2 | 567 | ||||||
Zai Lab Ltd., ADR (China) * | – | (a) | 29 | |||||
|
| |||||||
9,295 | ||||||||
|
| |||||||
Building Products — 0.5% | ||||||||
AGC, Inc. (Japan) | 1 | 24 | ||||||
Assa Abloy AB, Class B (Sweden) | 4 | 99 | ||||||
China Lesso Group Holdings Ltd. (China) | 19 | 35 | ||||||
Cie de Saint-Gobain (France) * | 2 | 92 | ||||||
Daikin Industries Ltd. (Japan) | 1 | 203 | ||||||
Fortune Brands Home & Security, Inc. | 12 | 1,068 | ||||||
Geberit AG (Registered) (Switzerland) | – | (a) | 92 | |||||
Kingspan Group plc (Ireland) | 1 | 46 | ||||||
Kingspan Group plc (Ireland) | – | (a) | 13 | |||||
Lennox International, Inc. | 2 | 409 | ||||||
LIXIL Group Corp. (Japan) | 1 | 22 | ||||||
Nibe Industrier AB, Class B (Sweden) * | 1 | 34 | ||||||
Patrick Industries, Inc. | 3 | 158 | ||||||
TOTO Ltd. (Japan) | 1 | 28 | ||||||
Trane Technologies plc | 17 | 2,016 | ||||||
|
| |||||||
4,339 | ||||||||
|
| |||||||
Capital Markets — 1.7% | ||||||||
3i Group plc (United Kingdom) | 4 | 53 | ||||||
Ameriprise Financial, Inc. | 3 | 527 | ||||||
Amundi SA (France) * (b) | – | (a) | 18 | |||||
ASX Ltd. (Australia) | 1 | 48 | ||||||
B3 SA - Brasil Bolsa Balcao (Brazil) | 26 | 256 | ||||||
BlackRock, Inc. | 3 | 1,432 | ||||||
Blackstone Group, Inc. (The), Class A | 8 | 392 | ||||||
Charles Schwab Corp. (The) | 35 | 1,268 | ||||||
Credit Suisse Group AG (Registered) (Switzerland) | 10 | 102 | ||||||
Daiwa Securities Group, Inc. (Japan) | 6 | 26 | ||||||
Deutsche Bank AG (Registered) (Germany) * | 8 | 70 | ||||||
Deutsche Boerse AG (Germany) | 1 | 141 | ||||||
Eaton Vance Corp. | 7 | 266 | ||||||
EQT AB (Sweden) | 1 | 20 | ||||||
FactSet Research Systems, Inc. | 1 | 310 | ||||||
Focus Financial Partners, Inc., Class A * | 8 | 267 | ||||||
Hargreaves Lansdown plc (United Kingdom) | 1 | 28 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 28 | 1,299 | ||||||
Invesco Ltd. | 17 | 193 | ||||||
Japan Exchange Group, Inc. (Japan) | 2 | 62 | ||||||
Julius Baer Group Ltd. (Switzerland) | 1 | 40 | ||||||
KIWOOM Securities Co. Ltd. (South Korea) | – | (a) | 19 | |||||
Lazard Ltd., Class A | 10 | 338 | ||||||
London Stock Exchange Group plc (United Kingdom) | 9 | 1,031 | ||||||
LPL Financial Holdings, Inc. | 4 | 303 | ||||||
Macquarie Group Ltd. (Australia) | 1 | 123 | ||||||
Magellan Financial Group Ltd. (Australia) | 1 | 22 | ||||||
Moelis & Co., Class A | 8 | 287 | ||||||
Morgan Stanley | 46 | 2,202 | ||||||
Morningstar, Inc. | 3 | 440 | ||||||
Moscow Exchange MICEX-RTS PJSC (Russia) | 26 | 49 | ||||||
Natixis SA (France) * | 4 | 9 | ||||||
Nomura Holdings, Inc. (Japan) | 13 | 61 | ||||||
Northern Trust Corp. | 6 | 433 | ||||||
Partners Group Holding AG (Switzerland) | – | (a) | 73 | |||||
S&P Global, Inc. | 2 | 611 | ||||||
SBI Holdings, Inc. (Japan) | 1 | 26 | ||||||
Schroders plc (United Kingdom) | 1 | 18 | ||||||
Singapore Exchange Ltd. (Singapore) | 3 | 23 | ||||||
St James’s Place plc (United Kingdom) | 2 | 27 | ||||||
Standard Life Aberdeen plc (United Kingdom) | 10 | 28 | ||||||
State Street Corp. | 9 | 510 | ||||||
StepStone Group, Inc., Class A * | 4 | 96 | ||||||
T. Rowe Price Group, Inc. | 4 | 459 | ||||||
UBS Group AG (Registered) (Switzerland) | 15 | 173 | ||||||
|
| |||||||
14,179 | ||||||||
|
| |||||||
Chemicals — 0.9% | ||||||||
Air Liquide SA (France) | 2 | 317 | ||||||
Air Water, Inc. (Japan) | 1 | 11 | ||||||
Akzo Nobel NV (Netherlands) | 12 | 1,221 | ||||||
Arkema SA (France) | – | (a) | 31 | |||||
Asahi Kasei Corp. (Japan) | 5 | 46 | ||||||
Asian Paints Ltd. (India) | 9 | 237 | ||||||
Axalta Coating Systems Ltd. * | 11 | 245 | ||||||
BASF SE (Germany) | 4 | 236 | ||||||
Chr Hansen Holding A/S (Denmark) | – | (a) | 49 | |||||
Clariant AG (Registered) (Switzerland) | 1 | 17 | ||||||
Covestro AG (Germany) (b) | 1 | 36 | ||||||
Croda International plc (United Kingdom) | 1 | 44 | ||||||
Daicel Corp. (Japan) | 1 | 7 | ||||||
Eastman Chemical Co. | 21 | 1,645 | ||||||
EMS-Chemie Holding AG (Registered) (Switzerland) | – | (a) | 31 | |||||
Evonik Industries AG (Germany) | 1 | 23 | ||||||
Formosa Plastics Corp. (Taiwan) | 14 | 38 | ||||||
FUCHS PETROLUB SE (Preference) (Germany) | – | (a) | 15 | |||||
Givaudan SA (Registered) (Switzerland) | – | (a) | 168 | |||||
ICL Group Ltd. (Israel) | 3 | 11 | ||||||
Johnson Matthey plc (United Kingdom) | 1 | 25 | ||||||
JSR Corp. (Japan) | 1 | 21 | ||||||
Kansai Paint Co. Ltd. (Japan) | 1 | 17 | ||||||
Koninklijke DSM NV (Netherlands) | 1 | 120 | ||||||
Kuraray Co. Ltd. (Japan) | 1 | 13 | ||||||
LANXESS AG (Germany) | – | (a) | 20 | |||||
LG Chem Ltd. (South Korea) | – | (a) | 116 | |||||
Linde plc (United Kingdom) | 5 | 1,222 | ||||||
Linde plc (United Kingdom) | 3 | 787 | ||||||
Lotte Chemical Corp. (South Korea) | – | (a) | 33 | |||||
Mitsubishi Chemical Holdings Corp. (Japan) | 5 | 31 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 1 | 13 | ||||||
Mitsui Chemicals, Inc. (Japan) | 1 | 19 | ||||||
Nippon Paint Holdings Co. Ltd. (Japan) | 1 | 62 | ||||||
Nippon Sanso Holdings Corp. (Japan) | 1 | 9 | ||||||
Nissan Chemical Corp. (Japan) | 1 | 27 | ||||||
Nitto Denko Corp. (Japan) | 1 | 46 | ||||||
Novozymes A/S, Class B (Denmark) | 1 | 55 | ||||||
Orica Ltd. (Australia) | 2 | 19 | ||||||
Petronas Chemicals Group Bhd. (Malaysia) | 22 | 30 | ||||||
Saudi Basic Industries Corp. (Saudi Arabia) | 2 | 54 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 2 | 196 | ||||||
Showa Denko KK (Japan) | 1 | 11 | ||||||
Sika AG (Registered) (Switzerland) | 1 | 147 | ||||||
Solvay SA (Belgium) | – | (a) | 27 | |||||
Sumitomo Chemical Co. Ltd. (Japan) | 6 | 21 | ||||||
Symrise AG (Germany) | 1 | 75 | ||||||
Teijin Ltd. (Japan) | 1 | 12 | ||||||
Toray Industries, Inc. (Japan) | 6 | 27 | ||||||
Tosoh Corp. (Japan) | 1 | 18 | ||||||
Umicore SA (Belgium) | 1 | 35 | ||||||
UPL Ltd. (India) | 6 | 40 | ||||||
Yara International ASA (Norway) | 1 | 29 | ||||||
|
| |||||||
7,805 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% | ||||||||
Brambles Ltd. (Australia) | 6 | 49 | ||||||
Copart, Inc. * | 4 | 472 | ||||||
Country Garden Services Holdings Co. Ltd. (China) | 7 | 45 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 1 | 20 | ||||||
Greentown Service Group Co. Ltd. (China) (b) | 18 | 22 | ||||||
IAA, Inc. * | 8 | 412 | ||||||
MSA Safety, Inc. | 4 | 470 | ||||||
Park24 Co. Ltd. (Japan) | 1 | 8 | ||||||
Rentokil Initial plc (United Kingdom) | 8 | 54 | ||||||
Secom Co. Ltd. (Japan) | 1 | 82 | ||||||
Securitas AB, Class B (Sweden) * | 1 | 20 | ||||||
Sohgo Security Services Co. Ltd. (Japan) | – | (a) | 14 | |||||
Toppan Printing Co. Ltd. (Japan) | 1 | 16 | ||||||
Waste Connections, Inc. | 12 | 1,247 | ||||||
|
| |||||||
2,931 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Communications Equipment — 0.1% | ||||||||
Accton Technology Corp. (Taiwan) | 4 | 31 | ||||||
Cisco Systems, Inc. | 11 | 416 | ||||||
CommScope Holding Co., Inc. * | 36 | 321 | ||||||
Nokia OYJ (Finland) * | 24 | 93 | ||||||
Telefonaktiebolaget LM Ericsson, Class B (Sweden) | 12 | 135 | ||||||
|
| |||||||
996 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 1 | 26 | ||||||
Bouygues SA (France) | 1 | 33 | ||||||
China Conch Venture Holdings Ltd. (China) | 9 | 40 | ||||||
China State Construction Engineering Corp. Ltd., Class A (China) | 45 | 34 | ||||||
China State Construction International Holdings Ltd. (China) | 30 | 20 | ||||||
CIMIC Group Ltd. (Australia) * | – | (a) | 5 | |||||
Eiffage SA (France) * | – | (a) | 29 | |||||
Ferrovial SA (Spain) | 2 | 50 | ||||||
HOCHTIEF AG (Germany) | – | (a) | 8 | |||||
JGC Holdings Corp. (Japan) | 1 | 9 | ||||||
Kajima Corp. (Japan) | 2 | 23 | ||||||
Larsen & Toubro Ltd. (India) | 3 | 38 | ||||||
Obayashi Corp. (Japan) | 3 | 25 | ||||||
Shimizu Corp. (Japan) | 2 | 17 | ||||||
Skanska AB, Class B (Sweden) | 1 | 30 | ||||||
Taisei Corp. (Japan) | 1 | 27 | ||||||
Vinci SA (France) | 9 | 776 | ||||||
WillScot Mobile Mini Holdings Corp. * | 18 | 306 | ||||||
|
| |||||||
1,496 | ||||||||
|
| |||||||
Construction Materials — 0.3% | ||||||||
Anhui Conch Cement Co. Ltd., Class H (China) | 4 | 24 | ||||||
CRH plc (Ireland) | 3 | 120 | ||||||
HeidelbergCement AG (Germany) | 1 | 38 | ||||||
James Hardie Industries plc, CHDI | 2 | 46 | ||||||
LafargeHolcim Ltd. (Registered) (Switzerland) * | 26 | 1,183 | ||||||
Martin Marietta Materials, Inc. | 3 | 797 | ||||||
Siam Cement PCL (The) (Registered) (Thailand) | 15 | 150 | ||||||
Taiheiyo Cement Corp. (Japan) | 1 | 13 | ||||||
UltraTech Cement Ltd. (India) | 1 | 53 | ||||||
|
| |||||||
2,424 | ||||||||
|
| |||||||
Consumer Finance — 0.3% | ||||||||
Acom Co. Ltd. (Japan) | 2 | 7 | ||||||
American Express Co. | 6 | 611 | ||||||
Capital One Financial Corp. | 23 | 1,659 | ||||||
Isracard Ltd. (Israel) | – | (a) | – | (a) | ||||
Shriram Transport Finance Co. Ltd. (India) | 2 | 17 | ||||||
|
| |||||||
2,294 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
AptarGroup, Inc. | 5 | 589 | ||||||
Ball Corp. | 6 | 457 | ||||||
Crown Holdings, Inc. * | 15 | 1,144 | ||||||
Graphic Packaging Holding Co. | 31 | 433 | ||||||
Packaging Corp. of America | 5 | 550 | ||||||
Pactiv Evergreen, Inc. * | 8 | 95 | ||||||
Smurfit Kappa Group plc (Ireland) | 1 | 38 | ||||||
Westrock Co. | 12 | 426 | ||||||
|
| |||||||
3,732 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
Jardine Cycle & Carriage Ltd. (Singapore) | – | (a) | 5 | |||||
LKQ Corp. * | 10 | 286 | ||||||
Pool Corp. | 3 | 873 | ||||||
|
| |||||||
1,164 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.1% | ||||||||
Benesse Holdings, Inc. (Japan) | – | (a) | 8 | |||||
Bright Horizons Family Solutions, Inc. * | 4 | 541 | ||||||
New Oriental Education & Technology Group, Inc., ADR (China) * | 1 | 101 | ||||||
|
| |||||||
650 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% | ||||||||
AMP Ltd. (Australia) | 15 | 14 | ||||||
Berkshire Hathaway, Inc., Class B * | 7 | 1,548 | ||||||
Chailease Holding Co. Ltd. (Taiwan) | 14 | 63 | ||||||
Eurazeo SE (France) * | – | (a) | 9 | |||||
EXOR NV (Netherlands) | – | (a) | 25 | |||||
FirstRand Ltd. (South Africa) | 24 | 59 | ||||||
Groupe Bruxelles Lambert SA (Belgium) | – | (a) | 43 | |||||
Industrivarden AB, Class C (Sweden) * | 1 | 18 | ||||||
Investor AB, Class B (Sweden) | 2 | 126 | ||||||
Kinnevik AB, Class B (Sweden) | 1 | 41 | ||||||
L E Lundbergforetagen AB, Class B (Sweden) * | – | (a) | 16 | |||||
M&G plc (United Kingdom) | 11 | 23 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 2 | 8 | ||||||
ORIX Corp. (Japan) | 6 | 69 | ||||||
Sofina SA (Belgium) | – | (a) | 18 | |||||
Tokyo Century Corp. (Japan) | – | (a) | 11 | |||||
Wendel SE (France) | – | (a) | 10 | |||||
Yuanta Financial Holding Co. Ltd. (Taiwan) | 69 | 43 | ||||||
|
| |||||||
2,144 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.4% | ||||||||
Altice Europe NV (Netherlands) * | 3 | 13 | ||||||
BT Group plc (United Kingdom) | 38 | 48 | ||||||
Cellnex Telecom SA (Spain) (b) | 12 | 730 | ||||||
China Unicom Hong Kong Ltd. (China) | 50 | 33 | ||||||
Deutsche Telekom AG (Registered) (Germany) | 14 | 234 | ||||||
Elisa OYJ (Finland) | 1 | 35 | ||||||
Hellenic Telecommunications Organization SA (Greece) | 2 | 33 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) | 16 | 21 | ||||||
Iliad SA (France) | – | (a) | 11 | |||||
Infrastrutture Wireless Italiane SpA (Italy) (b) | 1 | 11 | ||||||
Koninklijke KPN NV (Netherlands) | 15 | 35 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 10 | 202 | ||||||
Orange SA (France) | 8 | 88 | ||||||
PCCW Ltd. (Hong Kong) | 18 | 11 | ||||||
Proximus SADP (Belgium) | 1 | 12 | ||||||
Saudi Telecom Co. (Saudi Arabia) | 1 | 36 | ||||||
Singapore Telecommunications Ltd. (Singapore) | 35 | 54 | ||||||
Spark New Zealand Ltd. (New Zealand) | 8 | 24 | ||||||
Swisscom AG (Registered) (Switzerland) | – | (a) | 58 | |||||
Telecom Italia SpA (Italy) | 61 | 24 | ||||||
Telefonica Brasil SA (Preference) (Brazil) | 2 | 15 | ||||||
Telefonica Deutschland Holding AG (Germany) | 4 | 11 | ||||||
Telefonica SA (Spain) | 21 | 70 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT (Indonesia) | 301 | 52 | ||||||
Telenor ASA (Norway) | 3 | 51 | ||||||
Telia Co. AB (Sweden) | 10 | 42 | ||||||
Telstra Corp. Ltd. (Australia) | 18 | 35 | ||||||
TPG Telecom Ltd. (Australia) * | 2 | 8 | ||||||
United Internet AG (Registered) (Germany) | – | (a) | 17 | |||||
Verizon Communications, Inc. | 21 | 1,257 | ||||||
|
| |||||||
3,271 | ||||||||
|
| |||||||
Electric Utilities — 1.3% | ||||||||
American Electric Power Co., Inc. | 10 | 788 | ||||||
AusNet Services (Australia) | 8 | 11 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 3 | 33 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 1 | 15 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 3 | 14 | ||||||
CLP Holdings Ltd. (Hong Kong) | 7 | 65 | ||||||
Duke Energy Corp. | 4 | 321 | ||||||
Edison International | 6 | 288 | ||||||
EDP - Energias de Portugal SA (Portugal) | 12 | 58 | ||||||
Electricite de France SA (France) | 3 | 28 | ||||||
Elia Group SA/NV (Belgium) | – | (a) | 13 | |||||
Endesa SA (Spain) | 1 | 36 | ||||||
Enel SpA (Italy) | 34 | 298 | ||||||
Entergy Corp. | 3 | 323 | ||||||
Fortum OYJ (Finland) | 2 | 38 | ||||||
HK Electric Investments & HK Electric Investments Ltd. (Hong Kong) (b) | 11 | 11 | ||||||
Iberdrola SA (Spain) | 157 | 1,931 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 3 | 29 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 2 | 15 | ||||||
Mercury NZ Ltd. (New Zealand) | 3 | 10 | ||||||
NextEra Energy, Inc. | 13 | 3,559 | ||||||
Orsted A/S (Denmark) (b) | 4 | 551 | ||||||
Portland General Electric Co. | 6 | 197 | ||||||
Power Assets Holdings Ltd. (Hong Kong) | 6 | 32 | ||||||
Power Grid Corp. of India Ltd. (India) | 19 | 41 | ||||||
Red Electrica Corp. SA (Spain) | 2 | 34 | ||||||
Siemens Energy AG (Germany) * | 2 | 44 | ||||||
SSE plc (United Kingdom) | 4 | 68 | ||||||
Tenaga Nasional Bhd. (Malaysia) | 13 | 32 | ||||||
Terna Rete Elettrica Nazionale SpA (Italy) | 6 | 42 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 2 | 18 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (Japan) * | 6 | 17 | ||||||
Verbund AG (Austria) | – | (a) | 16 | |||||
Xcel Energy, Inc. | 27 | 1,886 | ||||||
|
| |||||||
10,862 | ||||||||
|
| |||||||
Electrical Equipment — 0.8% | ||||||||
ABB Ltd. (Registered) (Switzerland) | 8 | 198 | ||||||
AMETEK, Inc. | 4 | 447 | ||||||
Eaton Corp. plc | 14 | 1,416 | ||||||
Fuji Electric Co. Ltd. (Japan) | 1 | 16 | ||||||
Generac Holdings, Inc. * | 7 | 1,369 | ||||||
Legrand SA (France) | 1 | 90 | ||||||
Melrose Industries plc (United Kingdom) * | 21 | 30 | ||||||
Mitsubishi Electric Corp. (Japan) | 8 | 104 | ||||||
NARI Technology Co. Ltd., Class A (China) | 13 | 39 | ||||||
Nidec Corp. (Japan) | 2 | 178 | ||||||
Prysmian SpA (Italy) | 1 | 30 | ||||||
Schneider Electric SE (France) | 21 | 2,661 | ||||||
Shanghai Liangxin Electrical Co. Ltd., Class A (China) (c) | 3 | 11 | ||||||
Siemens Gamesa Renewable Energy SA (Spain) | 1 | 27 | ||||||
Vestas Wind Systems A/S (Denmark) | 1 | 134 | ||||||
WEG SA (Brazil) | 14 | 166 | ||||||
Zhejiang Chint Electrics Co. Ltd., Class A (China) | 7 | 30 | ||||||
|
| |||||||
6,946 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% | ||||||||
Amphenol Corp., Class A | 4 | 389 | ||||||
Arrow Electronics, Inc. * | 5 | 355 | ||||||
BOE Technology Group Co. Ltd., Class A (China) | 62 | 45 | ||||||
Cognex Corp. | 5 | 340 | ||||||
Delta Electronics, Inc. (Taiwan) | 55 | 361 | ||||||
Halma plc (United Kingdom) | 2 | 48 | ||||||
Hamamatsu Photonics KK (Japan) | 1 | 30 | ||||||
Hexagon AB, Class B (Sweden) * | 1 | 90 | ||||||
Hirose Electric Co. Ltd. (Japan) | – | (a) | 13 | |||||
Hitachi Ltd. (Japan) | 4 | 139 | ||||||
Hon Hai Precision Industry Co. Ltd. (Taiwan) | 7 | 19 | ||||||
Ingenico Group SA (France) * | – | (a) | 40 | |||||
Keyence Corp. (Japan) | 3 | 1,497 | ||||||
Keysight Technologies, Inc. * | 6 | 582 | ||||||
Kyocera Corp. (Japan) | 1 | 80 | ||||||
Largan Precision Co. Ltd. (Taiwan) | 2 | 234 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Luxshare Precision Industry Co. Ltd., Class A (China) | 3 | 26 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 2 | 156 | ||||||
Omron Corp. (Japan) | 1 | 63 | ||||||
Samsung SDI Co. Ltd. (South Korea) | – | (a) | 48 | |||||
Shimadzu Corp. (Japan) | 1 | 27 | ||||||
Sunny Optical Technology Group Co. Ltd. (China) | 5 | 73 | ||||||
TDK Corp. (Japan) | 1 | 55 | ||||||
Tianma Microelectronics Co. Ltd., Class A (China) (c) | 12 | 25 | ||||||
Venture Corp. Ltd. (Singapore) | 1 | 17 | ||||||
Yokogawa Electric Corp. (Japan) | 1 | 16 | ||||||
Zebra Technologies Corp., Class A * | 2 | 487 | ||||||
|
| |||||||
5,255 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.0% (d) | ||||||||
China Oilfield Services Ltd., Class H (China) | 32 | 22 | ||||||
Tenaris SA | 2 | 10 | ||||||
|
| |||||||
32 | ||||||||
|
| |||||||
Entertainment — 0.8% | ||||||||
Bilibili, Inc., ADR (China) * | 1 | 41 | ||||||
Bollore SA (France) | 4 | 14 | ||||||
CD Projekt SA (Poland) * | 1 | 55 | ||||||
iQIYI, Inc., ADR (China) * | 2 | 34 | ||||||
Konami Holdings Corp. (Japan) | – | (a) | 17 | |||||
NCSoft Corp. (South Korea) | – | (a) | 68 | |||||
NetEase, Inc., ADR (China) | 1 | 337 | ||||||
Netflix, Inc. * | 6 | 2,983 | ||||||
Nexon Co. Ltd. (Japan) | 2 | 52 | ||||||
Nintendo Co. Ltd. (Japan) | 1 | 283 | ||||||
Sea Ltd., ADR (Taiwan) * | 9 | 1,390 | ||||||
Spotify Technology SA * | 2 | 413 | ||||||
Square Enix Holdings Co. Ltd. (Japan) | – | (a) | 26 | |||||
Take-Two Interactive Software, Inc. * | 3 | 486 | ||||||
Toho Co. Ltd. (Japan) | 1 | 21 | ||||||
Ubisoft Entertainment SA (France) * | – | (a) | 35 | |||||
Vivendi SA (France) | 4 | 98 | ||||||
|
| |||||||
6,353 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.1% | ||||||||
American Campus Communities, Inc. | 6 | 208 | ||||||
American Homes 4 Rent, Class A | 15 | 425 | ||||||
Ascendas (Singapore) | 13 | 31 | ||||||
Boston Properties, Inc. | 2 | 141 | ||||||
British Land Co. plc (The) (United Kingdom) | 4 | 16 | ||||||
Brixmor Property Group, Inc. | 25 | 293 | ||||||
CapitaLand Commercial Trust (Singapore) | 11 | 14 | ||||||
CapitaLand Mall Trust (Singapore) | 11 | 16 | ||||||
Covivio (France) | – | (a) | 15 | |||||
CubeSmart | 12 | 373 | ||||||
Daiwa House REIT Investment Corp. (Japan) | – | (a) | 20 | |||||
Dexus (Australia) | 5 | 30 | ||||||
EastGroup Properties, Inc. | 5 | 688 | ||||||
Federal Realty Investment Trust | 4 | 273 | ||||||
Gecina SA (France) | – | (a) | 26 | |||||
GLP J-REIT (Japan) | – | (a) | 23 | |||||
Goodman Group (Australia) | 7 | 90 | ||||||
GPT Group (The) (Australia) | 8 | 23 | ||||||
ICADE (France) | – | (a) | 7 | |||||
Japan Prime Realty Investment Corp. (Japan) | – | (a) | 9 | |||||
Japan Real Estate Investment Corp. (Japan) | – | (a) | 31 | |||||
Japan Retail Fund Investment Corp. (Japan) | – | (a) | 17 | |||||
Kimco Realty Corp. | 27 | 306 | ||||||
Klepierre SA (France) | 1 | 12 | ||||||
Land Securities Group plc (United Kingdom) | 3 | 20 | ||||||
Link (Hong Kong) | 9 | 71 | ||||||
Mapletree Commercial Trust (Singapore) | 9 | 13 | ||||||
Mapletree Logistics Trust (Singapore) | 11 | 17 | ||||||
Mid-America Apartment Communities, Inc. | 8 | 956 | ||||||
Mirvac Group (Australia) | 17 | 26 | ||||||
National Retail Properties, Inc. | 11 | 363 | ||||||
Nippon Building Fund, Inc. (Japan) | – | (a) | 28 | |||||
Nippon Prologis REIT, Inc. (Japan) | – | (a) | 30 | |||||
Nomura Real Estate Master Fund, Inc. (Japan) | – | (a) | 23 | |||||
Orix JREIT, Inc. (Japan) | – | (a) | 17 | |||||
Outfront Media, Inc. | 26 | 374 | ||||||
Prologis, Inc. | 27 | 2,674 | ||||||
Public Storage | 3 | 669 | ||||||
Rayonier, Inc. | 17 | 446 | ||||||
Scentre Group (Australia) | 22 | 35 | ||||||
Segro plc (United Kingdom) | 5 | 60 | ||||||
Stockland (Australia) | 10 | 28 | ||||||
Suntec (Singapore) | 8 | 9 | ||||||
Unibail-Rodamco-Westfield (France) | 1 | 22 | ||||||
United Urban Investment Corp. (Japan) | – | (a) | 14 | |||||
Vicinity Centres (Australia) | 16 | 16 | ||||||
Weyerhaeuser Co. | 15 | 421 | ||||||
|
| |||||||
9,419 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
Aeon Co. Ltd. (Japan) | 3 | 75 | ||||||
Alimentation Couche-Tard, Inc., Class B (Canada) | 27 | 940 | ||||||
Atacadao SA (Brazil) * | 11 | 38 | ||||||
BGF retail Co. Ltd. (South Korea) | – | (a) | 12 | |||||
Bid Corp. Ltd. (South Africa) | 17 | 260 | ||||||
BIM Birlesik Magazalar A/S (Turkey) | 5 | 43 | ||||||
BJ’s Wholesale Club Holdings, Inc. * | 13 | 523 | ||||||
Carrefour SA (France) | 3 | 41 | ||||||
Casey’s General Stores, Inc. | 1 | 256 | ||||||
Cencosud SA (Chile) | 8 | 12 | ||||||
Cia Brasileira de Distribuicao (Brazil) | 2 | 23 | ||||||
Clicks Group Ltd. (South Africa) | 3 | 38 | ||||||
Coles Group Ltd. (Australia) | 6 | 69 | ||||||
Colruyt SA (Belgium) * | – | (a) | 15 | |||||
Cosmos Pharmaceutical Corp. (Japan) | – | (a) | 17 | |||||
Dairy Farm International Holdings Ltd. (Hong Kong) | 1 | 5 | ||||||
Dino Polska SA (Poland) * (b) | 1 | 34 | ||||||
FamilyMart Co. Ltd. (Japan) | 1 | 16 | ||||||
ICA Gruppen AB (Sweden) | – | (a) | 22 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
J Sainsbury plc (United Kingdom) | 7 | 18 | ||||||
Jeronimo Martins SGPS SA (Portugal) | 1 | 17 | ||||||
Kobe Bussan Co. Ltd. (Japan) | – | (a) | 17 | |||||
Koninklijke Ahold Delhaize NV (Netherlands) | 5 | 137 | ||||||
Laobaixing Pharmacy Chain JSC, Class A (China) | 4 | 47 | ||||||
Lawson, Inc. (Japan) | – | (a) | 10 | |||||
METRO AG (Germany) | 1 | 8 | ||||||
Moran Foods Backstop Equity * ‡ | 3 | 3 | ||||||
Performance Food Group Co. * | 16 | 548 | ||||||
Pick n Pay Stores Ltd. (South Africa) | 6 | 16 | ||||||
President Chain Store Corp. (Taiwan) | 29 | 264 | ||||||
Raia Drogasil SA (Brazil) | 40 | 166 | ||||||
Seven & i Holdings Co. Ltd. (Japan) | 3 | 99 | ||||||
SPAR Group Ltd. (The) (South Africa) | 4 | 40 | ||||||
Sundrug Co. Ltd. (Japan) | – | (a) | 11 | |||||
Sysco Corp. | 4 | 277 | ||||||
Tesco plc (United Kingdom) | 41 | 113 | ||||||
Tsuruha Holdings, Inc. (Japan) | – | (a) | 28 | |||||
Walgreens Boots Alliance, Inc. | 11 | 396 | ||||||
Wal-Mart de Mexico SAB de CV (Mexico) | 106 | 254 | ||||||
Welcia Holdings Co. Ltd. (Japan) | – | (a) | 18 | |||||
Wm Morrison Supermarkets plc (United Kingdom) | 10 | 22 | ||||||
Woolworths Group Ltd. (Australia) | 5 | 139 | ||||||
X5 Retail Group NV, GDR (Russia) (b) | 1 | 49 | ||||||
|
| |||||||
5,136 | ||||||||
|
| |||||||
Food Products — 0.8% | ||||||||
a2 Milk Co. Ltd. (The) (New Zealand) * | 3 | 32 | ||||||
Ajinomoto Co., Inc. (Japan) | 2 | 41 | ||||||
Almarai Co. JSC (Saudi Arabia) | 2 | 30 | ||||||
Associated British Foods plc (United Kingdom) | 2 | 36 | ||||||
Barry Callebaut AG (Registered) (Switzerland) | – | (a) | 29 | |||||
Britannia Industries Ltd. (India) | 1 | 34 | ||||||
Calbee, Inc. (Japan) | – | (a) | 13 | |||||
Chocoladefabriken Lindt & Spruengli AG (Switzerland) | – | (a) | 42 | |||||
Danone SA (France) | 3 | 169 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A (China) | 8 | 191 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A (China) | 4 | 24 | ||||||
Kerry Group plc, Class A (Ireland) | 1 | 67 | ||||||
Kerry Group plc, Class A (Ireland) | – | (a) | 19 | |||||
Kikkoman Corp. (Japan) | 1 | 33 | ||||||
Lamb Weston Holdings, Inc. | 7 | 441 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 1 | 38 | ||||||
Mowi ASA (Norway) | 2 | 33 | ||||||
Nestle SA (Registered) (Switzerland) | 40 | 4,814 | ||||||
NH Foods Ltd. (Japan) | – | (a) | 13 | |||||
Nisshin Seifun Group, Inc. (Japan) | 1 | 13 | ||||||
Nissin Foods Holdings Co. Ltd. (Japan) | – | (a) | 28 | |||||
Orkla ASA (Norway) | 3 | 32 | ||||||
Post Holdings, Inc. * | 6 | 524 | ||||||
Savola Group (The) (Saudi Arabia) | 2 | 24 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | – | (a) | 21 | |||||
Uni-President Enterprises Corp. (Taiwan) | 27 | 58 | ||||||
WH Group Ltd. (Hong Kong) (b) | 41 | 33 | ||||||
Wilmar International Ltd. (China) | 8 | 26 | ||||||
Yakult Honsha Co. Ltd. (Japan) | 1 | 28 | ||||||
Yamazaki Baking Co. Ltd. (Japan) | 1 | 9 | ||||||
|
| |||||||
6,895 | ||||||||
|
| |||||||
Gas Utilities — 0.1% | ||||||||
APA Group (Australia) | 5 | 37 | ||||||
Atmos Energy Corp. | 4 | 339 | ||||||
Beijing Enterprises Holdings Ltd. (China) | 4 | 11 | ||||||
China Gas Holdings Ltd. (China) | 16 | 46 | ||||||
Enagas SA (Spain) | 1 | 24 | ||||||
ENN Energy Holdings Ltd. (China) | 4 | 44 | ||||||
Hong Kong & China Gas Co. Ltd. (Hong Kong) | 45 | 65 | ||||||
Kunlun Energy Co. Ltd. (China) | 38 | 25 | ||||||
Naturgy Energy Group SA (Spain) | 1 | 25 | ||||||
Osaka Gas Co. Ltd. (Japan) | 2 | 31 | ||||||
Snam SpA (Italy) | 9 | 44 | ||||||
Toho Gas Co. Ltd. (Japan) | – | (a) | 15 | |||||
Tokyo Gas Co. Ltd. (Japan) | 2 | 37 | ||||||
|
| |||||||
743 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% | ||||||||
Alcon, Inc. (Switzerland) * | 2 | 118 | ||||||
Ambu A/S, Class B (Denmark) | 1 | 19 | ||||||
Asahi Intecc Co. Ltd. (Japan) | 1 | 25 | ||||||
Baxter International, Inc. | 4 | 330 | ||||||
BioMerieux (France) | – | (a) | 27 | |||||
Boston Scientific Corp. * | 65 | 2,503 | ||||||
Carl Zeiss Meditec AG (Germany) | – | (a) | 21 | |||||
Cochlear Ltd. (Australia) | – | (a) | 40 | |||||
Coloplast A/S, Class B (Denmark) | 1 | 80 | ||||||
Demant A/S (Denmark) * | – | (a) | 14 | |||||
DexCom, Inc. * | 1 | 590 | ||||||
DiaSorin SpA (Italy) | – | (a) | 21 | |||||
Fisher & Paykel Healthcare Corp. Ltd. (New Zealand) | 2 | 54 | ||||||
GN Store Nord A/S (Denmark) | 1 | 41 | ||||||
Hoya Corp. (Japan) | 2 | 181 | ||||||
ICU Medical, Inc. * | 2 | 275 | ||||||
IDEXX Laboratories, Inc. * | 1 | 523 | ||||||
Insulet Corp. * | 1 | 317 | ||||||
Intuitive Surgical, Inc. * | 2 | 1,201 | ||||||
Koninklijke Philips NV (Netherlands) * | 4 | 182 | ||||||
Medtronic plc | 6 | 607 | ||||||
Microport Scientific Corp. (China) | 3 | 12 | ||||||
Olympus Corp. (Japan) | 5 | 102 | ||||||
Sartorius AG (Preference) (Germany) | – | (a) | 61 | |||||
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A (China) | 1 | 51 | ||||||
Siemens Healthineers AG (Germany) (b) | 1 | 51 | ||||||
Smith & Nephew plc (United Kingdom) | 4 | 72 | ||||||
Sonova Holding AG (Registered) (Switzerland) * | – | (a) | 59 | |||||
STERIS plc | 2 | 331 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Straumann Holding AG (Registered) (Switzerland) | – | (a) | 45 | |||||
Sysmex Corp. (Japan) | 1 | 67 | ||||||
Terumo Corp. (Japan) | 3 | 107 | ||||||
Top Glove Corp. Bhd. (Malaysia) | 8 | 16 | ||||||
West Pharmaceutical Services, Inc. | 2 | 626 | ||||||
Zimmer Biomet Holdings, Inc. | 9 | 1,239 | ||||||
|
| |||||||
10,008 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.2% | ||||||||
Aier Eye Hospital Group Co. Ltd., Class A (China) | 3 | 23 | ||||||
Alfresa Holdings Corp. (Japan) | 1 | 18 | ||||||
AmerisourceBergen Corp. | 5 | 441 | ||||||
Centene Corp. * | 7 | 399 | ||||||
Chemed Corp. | 1 | 279 | ||||||
Cigna Corp. | 12 | 2,091 | ||||||
Encompass Health Corp. | 7 | 454 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 1 | 76 | ||||||
Fresenius SE & Co. KGaA (Germany) | 2 | 80 | ||||||
HCA Healthcare, Inc. | 2 | 235 | ||||||
Jointown Pharmaceutical Group Co. Ltd., Class A (China) * | 2 | 4 | ||||||
McKesson Corp. | 3 | 407 | ||||||
Medipal Holdings Corp. (Japan) | 1 | 16 | ||||||
Molina Healthcare, Inc. * | 3 | 636 | ||||||
Mouwasat Medical Services Co. (Saudi Arabia) | 1 | 29 | ||||||
NMC Health plc (United Arab Emirates) * ‡ | 1 | — | ||||||
Orpea (France)* | – | (a) | 25 | |||||
Premier, Inc., Class A | 7 | 217 | ||||||
Quest Diagnostics, Inc. | 2 | 261 | ||||||
Ramsay Health Care Ltd. (Australia) | 1 | 37 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 2 | 16 | ||||||
Sinopharm Group Co. Ltd., Class H (China) | 8 | 17 | ||||||
Sonic Healthcare Ltd. (Australia) | 2 | 45 | ||||||
Suzuken Co. Ltd. (Japan) | – | (a) | 11 | |||||
UnitedHealth Group, Inc. | 14 | 4,287 | ||||||
|
| |||||||
10,104 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
GoodRx Holdings, Inc., Class A * | 2 | 119 | ||||||
M3, Inc. (Japan) | 2 | 118 | ||||||
Teladoc Health, Inc. * | 2 | 372 | ||||||
|
| |||||||
609 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
Accor SA (France) * | 1 | 22 | ||||||
Aristocrat Leisure Ltd. (Australia) | 2 | 53 | ||||||
China CYTS Tours Holding Co. Ltd., Class A (China) | 10 | 16 | ||||||
Compass Group plc (United Kingdom) | 8 | 113 | ||||||
Crown Resorts Ltd. (Australia) | 2 | 10 | ||||||
Dunkin’ Brands Group, Inc. | 3 | 264 | ||||||
Evolution Gaming Group AB (Sweden) (b) | 1 | 35 | ||||||
Flutter Entertainment plc (Ireland) | 1 | 103 | ||||||
Galaxy Entertainment Group Ltd. (Macau) | 9 | 61 | ||||||
Genting Singapore Ltd. (Singapore) | 26 | 13 | ||||||
GVC Holdings plc (United Kingdom) | 2 | 31 | ||||||
Huazhu Group Ltd., ADR (China) | 3 | 118 | ||||||
Huazhu Group Ltd. (China) * | 1 | 24 | ||||||
InterContinental Hotels Group plc (United Kingdom) | 15 | 808 | ||||||
La Francaise des Jeux SAEM (France) (b) | – | (a) | 13 | |||||
Las Vegas Sands Corp. | 17 | 779 | ||||||
McDonald’s Corp. | 5 | 1,125 | ||||||
McDonald’s Holdings Co. Japan Ltd. (Japan) | – | (a) | 15 | |||||
Melco Resorts & Entertainment Ltd., ADR (Hong Kong) | 1 | 15 | ||||||
Minor International PCL (Thailand) * | 33 | 21 | ||||||
OPAP SA (Greece) | 3 | 25 | ||||||
Oriental Land Co. Ltd. (Japan) | 1 | 112 | ||||||
Planet Fitness, Inc., Class A * | 3 | 208 | ||||||
Sands China Ltd. (Macau) | 61 | 237 | ||||||
SJM Holdings Ltd. (Macau) | 8 | 9 | ||||||
Sodexo SA (France) | – | (a) | 27 | |||||
Tabcorp Holdings Ltd. (Australia) | 10 | 24 | ||||||
Vail Resorts, Inc. | 1 | 285 | ||||||
Wendy’s Co. (The) | 11 | 243 | ||||||
Whitbread plc (United Kingdom) | 1 | 23 | ||||||
Wynn Macau Ltd. (Macau) * | 6 | 10 | ||||||
Yum China Holdings, Inc. (China) | 6 | 344 | ||||||
Yum! Brands, Inc. | 13 | 1,171 | ||||||
|
| |||||||
6,357 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
Barratt Developments plc (United Kingdom) | 4 | 26 | ||||||
Berkeley Group Holdings plc (United Kingdom) | 1 | 29 | ||||||
Casio Computer Co. Ltd. (Japan) | 1 | 13 | ||||||
Electrolux AB, Series B (Sweden) | 1 | 22 | ||||||
Garmin Ltd. | 7 | 618 | ||||||
Husqvarna AB, Class B (Sweden) | 2 | 19 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 1 | 12 | ||||||
KB Home | 5 | 194 | ||||||
Midea Group Co. Ltd., Class A (China) | 24 | 260 | ||||||
Mohawk Industries, Inc. * | 3 | 302 | ||||||
Newell Brands, Inc. | 21 | 356 | ||||||
Nikon Corp. (Japan) | 1 | 9 | ||||||
Panasonic Corp. (Japan) | 9 | 79 | ||||||
Persimmon plc (United Kingdom) | 30 | 968 | ||||||
Rinnai Corp. (Japan) | – | (a) | 20 | |||||
SEB SA (France) | – | (a) | 16 | |||||
Sekisui Chemical Co. Ltd. (Japan) | 2 | 24 | ||||||
Sekisui House Ltd. (Japan) | 3 | 46 | ||||||
Sharp Corp. (Japan) | 1 | 11 | ||||||
Sony Corp. (Japan) | 20 | 1,526 | ||||||
Suofeiya Home Collection Co. Ltd., Class A (China) | 7 | 29 | ||||||
Taylor Wimpey plc (United Kingdom) | 420 | 587 | ||||||
Toll Brothers, Inc. | 4 | 206 | ||||||
|
| |||||||
5,372 | ||||||||
|
| |||||||
Household Products — 0.4% | ||||||||
Energizer Holdings, Inc. | 12 | 457 | ||||||
Essity AB, Class B (Sweden) * | 3 | 86 | ||||||
Henkel AG & Co. KGaA (Germany) | – | (a) | 41 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Henkel AG & Co. KGaA (Preference) (Germany) | 1 | 79 | ||||||
Hindustan Unilever Ltd. (India) | 3 | 82 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (Mexico) | 21 | 33 | ||||||
Lion Corp. (Japan) | 1 | 18 | ||||||
Pigeon Corp. (Japan) | 1 | 22 | ||||||
Procter & Gamble Co. (The) | 8 | 1,047 | ||||||
Reckitt Benckiser Group plc (United Kingdom) | 9 | 877 | ||||||
Reynolds Consumer Products, Inc. | 8 | 231 | ||||||
Unicharm Corp. (Japan) | 2 | 76 | ||||||
Unilever Indonesia Tbk. PT (Indonesia) | 146 | 80 | ||||||
|
| |||||||
3,129 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.0% (d) | ||||||||
CGN Power Co. Ltd., Class H (China) (b) | 125 | 26 | ||||||
China Yangtze Power Co. Ltd., Class A (China) | 15 | 44 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1 | 9 | ||||||
Meridian Energy Ltd. (New Zealand) | 5 | 18 | ||||||
NTPC Ltd. (India) | 28 | 32 | ||||||
Uniper SE (Germany) | 1 | 27 | ||||||
|
| |||||||
156 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% | ||||||||
Ayala Corp. (Philippines) | 1 | 20 | ||||||
Bidvest Group Ltd. (The) (South Africa) | 12 | 101 | ||||||
Carlisle Cos., Inc. | 3 | 338 | ||||||
CK Hutchison Holdings Ltd. (United Kingdom) | 12 | 70 | ||||||
DCC plc (United Kingdom) | – | (a) | 32 | |||||
Honeywell International, Inc. | 12 | 1,896 | ||||||
Investment AB Latour, Class B (Sweden) | 1 | 15 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 4 | 143 | ||||||
Jardine Strategic Holdings Ltd. (Hong Kong) | 1 | 18 | ||||||
Keihan Holdings Co. Ltd. (Japan) | | – | (a) | 17 | ||||
Keppel Corp. Ltd. (Singapore) | 6 | 20 | ||||||
KOC Holding A/S (Turkey) | 15 | 29 | ||||||
Siemens AG (Registered) (Germany) | 3 | 408 | ||||||
SK Holdings Co. Ltd. (South Korea) | – | (a) | 22 | |||||
Smiths Group plc (United Kingdom) | 2 | 30 | ||||||
Toshiba Corp. (Japan) | 2 | 41 | ||||||
|
| |||||||
3,200 | ||||||||
|
| |||||||
Insurance — 2.4% | ||||||||
Admiral Group plc (United Kingdom) | 1 | 27 | ||||||
Aegon NV (Netherlands) | 8 | 20 | ||||||
Ageas SA (Belgium) | 1 | 30 | ||||||
AIA Group Ltd. (Hong Kong) | 281 | 2,791 | ||||||
AIA Group Ltd. (Hong Kong) | 42 | 415 | ||||||
Alleghany Corp. | 1 | 355 | ||||||
Allianz SE (Registered) (Germany) | 13 | 2,410 | ||||||
American International Group, Inc. | 10 | 262 | ||||||
Assicurazioni Generali SpA (Italy) | 5 | 66 | ||||||
Aviva plc (United Kingdom) | 17 | 61 | ||||||
AXA SA (France) | 8 | 151 | ||||||
Baloise Holding AG (Registered) (Switzerland) | – | (a) | 29 | |||||
Bupa Arabia for Cooperative Insurance Co. (Saudi Arabia) * | 1 | 17 | ||||||
China Life Insurance Co. Ltd., Class H (China) | 38 | 86 | ||||||
China Pacific Insurance Group Co. Ltd., Class H (China) | 23 | 66 | ||||||
Chubb Ltd. | 12 | 1,348 | ||||||
Chubb Ltd. | – | (a) | 13 | |||||
CNA Financial Corp. | 4 | 119 | ||||||
CNP Assurances (France) * | 1 | 9 | ||||||
Dai-ichi Life Holdings, Inc. (Japan) | 5 | 65 | ||||||
Direct Line Insurance Group plc (United Kingdom) | 6 | 20 | ||||||
Fairfax Financial Holdings Ltd. (Canada) | 1 | 342 | ||||||
Fubon Financial Holding Co. Ltd. (Taiwan) | 43 | 63 | ||||||
Gjensidige Forsikring ASA (Norway) | 1 | 17 | ||||||
Hannover Rueck SE (Germany) | – | (a) | 39 | |||||
Hartford Financial Services Group, Inc. (The) | 11 | 390 | ||||||
HDFC Life Insurance Co. Ltd. (India) * (b) | 30 | 225 | ||||||
Insurance Australia Group Ltd. (Australia) | 10 | 31 | ||||||
Japan Post Holdings Co. Ltd. (Japan) | 7 | 46 | ||||||
Japan Post Insurance Co. Ltd. (Japan) | 1 | 16 | ||||||
Kinsale Capital Group, Inc. | 3 | 515 | ||||||
Legal & General Group plc (United Kingdom) | 373 | 909 | ||||||
Loews Corp. | 33 | 1,138 | ||||||
Mapfre SA (Spain) | 5 | 7 | ||||||
Marsh & McLennan Cos., Inc. | 3 | 294 | ||||||
Medibank Pvt Ltd. (Australia) | 12 | 21 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 2 | 51 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Germany) | 1 | 150 | ||||||
NN Group NV (Netherlands) | 1 | 46 | ||||||
PICC Property & Casualty Co. Ltd., Class H (China) | 44 | 31 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H (China) | 245 | 2,538 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H (China) | 7 | 67 | ||||||
Poste Italiane SpA (Italy) (b) | 2 | 20 | ||||||
Progressive Corp. (The) | 14 | 1,362 | ||||||
Prudential plc (United Kingdom) | 11 | 158 | ||||||
QBE Insurance Group Ltd. (Australia) | 6 | 39 | ||||||
RLI Corp. | 6 | 500 | ||||||
RSA Insurance Group plc (United Kingdom) | 4 | 26 | ||||||
Sampo OYJ, Class A (Finland) | 2 | 79 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. (South Korea) | – | (a) | 58 | |||||
Sanlam Ltd. (South Africa) | 23 | 72 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
SCOR SE (France) * | 1 | 19 | ||||||
Sompo Holdings, Inc. (Japan) | 1 | 48 | ||||||
Suncorp Group Ltd. (Australia) | 5 | 33 | ||||||
Swiss Life Holding AG (Registered) (Switzerland) * | – | (a) | 51 | |||||
Swiss Re AG (Switzerland) | 1 | 92 | ||||||
T&D Holdings, Inc. (Japan) | 2 | 23 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 3 | 118 | ||||||
Travelers Cos., Inc. (The) | 8 | 915 | ||||||
Tryg A/S (Denmark) | 1 | 16 | ||||||
Zurich Insurance Group AG (Switzerland) | 3 | 1,008 | ||||||
|
| |||||||
19,933 | ||||||||
|
| |||||||
Interactive Media & Services — 1.7% | ||||||||
Adevinta ASA (France) * | 1 | 17 | ||||||
Alphabet, Inc., Class A * | 2 | 2,471 | ||||||
Alphabet, Inc., Class C * | 3 | 4,754 | ||||||
Auto Trader Group plc (United Kingdom) (b) | 4 | 30 | ||||||
Baidu, Inc., ADR (China) * | 1 | 86 | ||||||
Facebook, Inc., Class A * | 5 | 1,291 | ||||||
Kakaku.com, Inc. (Japan) | 1 | 16 | ||||||
LINE Corp. (Japan) * | – | (a) | 10 | |||||
Momo, Inc., ADR (China) | 1 | 12 | ||||||
NAVER Corp. (South Korea) | 2 | 430 | ||||||
REA Group Ltd. (Australia) | – | (a) | 18 | |||||
Scout24 AG (Germany) (b) | – | (a) | 40 | |||||
SEEK Ltd. (Australia) | 1 | 22 | ||||||
Tencent Holdings Ltd. (China) | 77 | 5,207 | ||||||
Z Holdings Corp. (Japan) | 11 | 75 | ||||||
|
| |||||||
14,479 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.8% | ||||||||
Alibaba Group Holding Ltd., ADR (China) * | 19 | 5,482 | ||||||
Allegro.eu SA (Poland) * (b)(c) | 1 | 11 | ||||||
Amazon.com, Inc. * | 4 | 11,774 | ||||||
Booking Holdings, Inc. * | 1 | 1,947 | ||||||
Chewy, Inc., Class A * | 6 | 315 | ||||||
Dada Nexus Ltd., ADR (China) * | 1 | 20 | ||||||
Delivery Hero SE (Germany) * (b) | 10 | 1,128 | ||||||
JD.com, Inc., ADR (China) * | 9 | 688 | ||||||
Just Eat Takeaway.com NV (Netherlands) * (b) | 1 | 60 | ||||||
Meituan Dianping, Class B (China) * (b) | 11 | 340 | ||||||
MercadoLibre, Inc. (Argentina) * | 1 | 832 | ||||||
Mercari, Inc. (Japan) * | – | (a) | 18 | |||||
MYT Holding Co. * ‡ | 37 | 34 | ||||||
Naspers Ltd., Class N (South Africa) * | 1 | 212 | ||||||
Ocado Group plc (United Kingdom) * | 2 | 68 | ||||||
Pinduoduo, Inc., ADR (China) * | – | (a) | 27 | |||||
Prosus NV (China) * | 2 | 190 | ||||||
Rakuten, Inc. (Japan) | 4 | 39 | ||||||
Trip.com Group Ltd., ADR (China) * | 1 | 30 | ||||||
Zalando SE (Germany) * (b) | 1 | 60 | ||||||
ZOZO, Inc. (Japan) | 1 | 14 | ||||||
|
| |||||||
23,289 | ||||||||
|
| |||||||
IT Services — 2.0% | ||||||||
Adyen NV (Netherlands) * (b) | – | (a) | 140 | |||||
Afterpay Ltd. (Australia) * | 1 | 53 | ||||||
Amadeus IT Group SA (Spain) | 2 | 106 | ||||||
Atos SE (France) * | – | (a) | 33 | |||||
Black Knight, Inc. * | 3 | 282 | ||||||
Booz Allen Hamilton Holding Corp. | 12 | 977 | ||||||
Broadridge Financial Solutions, Inc. | 3 | 437 | ||||||
Capgemini SE (France) | 7 | 894 | ||||||
Computershare Ltd. (Australia) | 2 | 18 | ||||||
Edenred (France) | 1 | 46 | ||||||
EPAM Systems, Inc. * | 1 | 297 | ||||||
FleetCor Technologies, Inc. * | 5 | 1,182 | ||||||
Fujitsu Ltd. (Japan) | 1 | 109 | ||||||
GDS Holdings Ltd., ADR (China) * | – | (a) | 35 | |||||
Global Payments, Inc. | 5 | 827 | ||||||
GMO Payment Gateway, Inc. (Japan) | – | (a) | 21 | |||||
Infosys Ltd. (India) | 45 | 624 | ||||||
Infosys Ltd., ADR (India) | 13 | 179 | ||||||
Itochu Techno-Solutions Corp. (Japan) | – | (a) | 15 | |||||
Leidos Holdings, Inc. | 10 | 865 | ||||||
Mastercard, Inc., Class A | 15 | 5,164 | ||||||
MongoDB, Inc. * | 2 | 397 | ||||||
NEC Corp. (Japan) | 1 | 58 | ||||||
Nexi SpA (Italy) * (b) | 2 | 32 | ||||||
Nomura Research Institute Ltd. (Japan) | 1 | 41 | ||||||
NTT Data Corp. (Japan) | 3 | 35 | ||||||
Obic Co. Ltd. (Japan) | – | (a) | 53 | |||||
Okta, Inc. * | 1 | 135 | ||||||
Otsuka Corp. (Japan) | – | (a) | 20 | |||||
PayPal Holdings, Inc. * | 12 | 2,400 | ||||||
SCSK Corp. (Japan) | – | (a) | 11 | |||||
Snowflake, Inc., Class A * | 1 | 226 | ||||||
Tata Consultancy Services Ltd. (India) | 25 | 840 | ||||||
TIS, Inc. (Japan) | 1 | 19 | ||||||
WEX, Inc. * | 3 | 374 | ||||||
Wix.com Ltd. (Israel) * | – | (a) | 56 | |||||
Worldline SA (France) * (b) | 1 | 47 | ||||||
|
| |||||||
17,048 | ||||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 1 | 59 | ||||||
Brunswick Corp. | 7 | 425 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 1 | 9 | ||||||
Shimano, Inc. (Japan) | – | (a) | 59 | |||||
Yamaha Corp. (Japan) | 1 | 29 | ||||||
|
| |||||||
581 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% | ||||||||
Eurofins Scientific SE (Luxembourg) * | – | (a) | 44 | |||||
Hangzhou Tigermed Consulting Co. Ltd., Class H (China) * (b) | 2 | 33 | ||||||
Lonza Group AG (Registered) (Switzerland) | 2 | 1,067 | ||||||
Mettler-Toledo International, Inc. * | 1 | 675 | ||||||
Pharmaron Beijing Co. Ltd., Class H (China) (b) | 1 | 18 | ||||||
QIAGEN NV * | 1 | 50 | ||||||
Sartorius Stedim Biotech (France) | – | (a) | 40 | |||||
Syneos Health, Inc. * | 7 | 349 | ||||||
Thermo Fisher Scientific, Inc. | 3 | 1,529 | ||||||
WuXi AppTec Co. Ltd., Class H (China) (b) | 3 | 38 | ||||||
Wuxi Biologics Cayman, Inc. (China) * (b) | 5 | 123 | ||||||
|
| |||||||
3,966 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Machinery — 1.8% |
| |||||||
Alfa Laval AB (Sweden) * | 1 | 29 | ||||||
Alstom SA (France) * | 11 | 539 | ||||||
Amada Co. Ltd. (Japan) | 1 | 13 | ||||||
ANDRITZ AG (Austria) | – | (a) | 9 | |||||
Ashok Leyland Ltd. (India) | 25 | 25 | ||||||
Atlas Copco AB, Class A (Sweden) | 23 | 1,082 | ||||||
Atlas Copco AB, Class B (Sweden) | 2 | 69 | ||||||
CNH Industrial NV (United Kingdom) * | 4 | 33 | ||||||
Daifuku Co. Ltd. (Japan) | – | (a) | 40 | |||||
Douglas Dynamics, Inc. | 5 | 161 | ||||||
Dover Corp. | 7 | 777 | ||||||
Epiroc AB, Class A (Sweden) | 3 | 40 | ||||||
Epiroc AB, Class B (Sweden) | 2 | 23 | ||||||
FANUC Corp. (Japan) | 1 | 154 | ||||||
GEA Group AG (Germany) | 1 | 23 | ||||||
Hino Motors Ltd. (Japan) | 1 | 8 | ||||||
Hitachi Construction Machinery Co. Ltd. (Japan) | 1 | 18 | ||||||
Hiwin Technologies Corp. (Taiwan) | 5 | 52 | ||||||
Hoshizaki Corp. (Japan) | – | (a) | 16 | |||||
IDEX Corp. | 2 | 443 | ||||||
Illinois Tool Works, Inc. | 2 | 327 | ||||||
Ingersoll Rand, Inc. * | 11 | 375 | ||||||
ITT, Inc. | 6 | 352 | ||||||
Kawasaki Heavy Industries Ltd. (Japan) | 1 | 8 | ||||||
KION Group AG (Germany) | – | (a) | 23 | |||||
Knorr-Bremse AG (Germany) | – | (a) | 36 | |||||
Komatsu Ltd. (Japan) | 4 | 81 | ||||||
Kone OYJ, Class B (Finland) | 13 | 1,147 | ||||||
Kubota Corp. (Japan) | 4 | 79 | ||||||
Kurita Water Industries Ltd. (Japan) | – | (a) | 13 | |||||
Lincoln Electric Holdings, Inc. | 5 | 443 | ||||||
Makita Corp. (Japan) | 1 | 43 | ||||||
Middleby Corp. (The) * | 3 | 286 | ||||||
MINEBEA MITSUMI, Inc. (Japan) | 2 | 29 | ||||||
MISUMI Group, Inc. (Japan) | 1 | 34 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 1 | 31 | ||||||
Miura Co. Ltd. (Japan) | – | (a) | 20 | |||||
Nabtesco Corp. (Japan) | 1 | 18 | ||||||
NGK Insulators Ltd. (Japan) | 1 | 16 | ||||||
Nordson Corp. | 3 | 643 | ||||||
NSK Ltd. (Japan) | 2 | 11 | ||||||
Otis Worldwide Corp. | 3 | 189 | ||||||
RBC Bearings, Inc. * | 3 | 393 | ||||||
Sandvik AB (Sweden) * | 5 | 93 | ||||||
Schindler Holding AG (Switzerland) | – | (a) | 47 | |||||
Schindler Holding AG (Registered) (Switzerland) | – | (a) | 23 | |||||
SKF AB, Class B (Sweden) | 42 | 864 | ||||||
SMC Corp. (Japan) | 2 | 948 | ||||||
Snap-on, Inc. | 2 | 306 | ||||||
Spirax-Sarco Engineering plc (United Kingdom) | – | (a) | 44 | |||||
Stanley Black & Decker, Inc. | 14 | 2,275 | ||||||
Sumitomo Heavy Industries Ltd. (Japan) | 1 | 12 | ||||||
Techtronic Industries Co. Ltd. (Hong Kong) | 35 | 459 | ||||||
THK Co. Ltd. (Japan) | 1 | 13 | ||||||
Toro Co. (The) | 10 | 839 | ||||||
Volvo AB, Class B (Sweden) * | 33 | 640 | ||||||
Wartsila OYJ Abp (Finland) | 2 | 15 | ||||||
Woodward, Inc. | 5 | 406 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 11 | 8 | ||||||
Yaskawa Electric Corp. (Japan) | 1 | 39 | ||||||
|
| |||||||
15,182 | ||||||||
|
| |||||||
Marine — 0.0% (d) | ||||||||
AP Moller - Maersk A/S, Class A (Denmark) | – | (a) | 20 | |||||
AP Moller - Maersk A/S, Class B (Denmark) | – | (a) | 44 | |||||
Kuehne + Nagel International AG (Registered) (Switzerland) | – | (a) | 45 | |||||
Nippon Yusen KK (Japan) | 1 | 10 | ||||||
|
| |||||||
119 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
Altice USA, Inc., Class A * | 9 | 246 | ||||||
Charter Communications, Inc., Class A * | 4 | 2,361 | ||||||
Clear Channel Outdoor Holdings, Inc. * | 11 | 11 | ||||||
Comcast Corp., Class A | 31 | 1,445 | ||||||
CyberAgent, Inc. (Japan) | – | (a) | 25 | |||||
Dentsu Group, Inc. (Japan) | 1 | 27 | ||||||
Discovery, Inc., Class A * | 18 | 392 | ||||||
Discovery, Inc., Class C * | 17 | 330 | ||||||
DISH Network Corp., Class A * | 13 | 368 | ||||||
Hakuhodo DY Holdings, Inc. (Japan) | 1 | 13 | ||||||
iHeartMedia, Inc., Class A * | – | (a) | 3 | |||||
Informa plc (United Kingdom) | 6 | 31 | ||||||
JCDecaux SA (France) * | – | (a) | 6 | |||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 6 | 212 | ||||||
New York Times Co. (The), Class A | 9 | 398 | ||||||
Nexstar Media Group, Inc., Class A | 5 | 473 | ||||||
Pearson plc (United Kingdom) | 3 | 23 | ||||||
Publicis Groupe SA (France) | 1 | 29 | ||||||
Schibsted ASA, Class B (Norway) * | – | (a) | 16 | |||||
SES SA, FDR (Luxembourg) | 2 | 11 | ||||||
Telenet Group Holding NV (Belgium) | – | (a) | 7 | |||||
ViacomCBS, Inc. | 13 | 370 | ||||||
WPP plc (United Kingdom) | 5 | 41 | ||||||
|
| |||||||
6,838 | ||||||||
|
| |||||||
Metals & Mining — 0.5% | ||||||||
Alrosa PJSC (Russia) | 45 | 43 | ||||||
Anglo American plc (South Africa) | 5 | 125 | ||||||
AngloGold Ashanti Ltd., ADR (Tanzania, United Republic of) | 1 | 37 | ||||||
Antofagasta plc (Chile) | 2 | 22 | ||||||
ArcelorMittal SA (Luxembourg) * | 3 | 40 | ||||||
Baoshan Iron & Steel Co. Ltd., Class A (China) | 57 | 42 | ||||||
BHP Group Ltd. (Australia) | 60 | 1,545 | ||||||
BHP Group plc (Australia) | 9 | 190 | ||||||
BlueScope Steel Ltd. (Australia) | 2 | 20 | ||||||
Boliden AB (Sweden) | 1 | 34 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
Investments | Shares (000) | Value ($000) | ||||||
China Molybdenum Co. Ltd., Class H (China) | 69 | 25 | ||||||
Evolution Mining Ltd. (Australia) | 7 | 29 | ||||||
Evraz plc (Russia) | 2 | 10 | ||||||
Fortescue Metals Group Ltd. (Australia) | 7 | 84 | ||||||
Gerdau SA (Preference) (Brazil) | 12 | 43 | ||||||
Glencore plc (Australia) * | 42 | 87 | ||||||
Gold Fields Ltd., ADR (South Africa) | 1 | 14 | ||||||
Grupo Mexico SAB de CV, Series B (Mexico) | 16 | 42 | ||||||
Hindalco Industries Ltd. (India) | 9 | 22 | ||||||
Hitachi Metals Ltd. (Japan) | 1 | 14 | ||||||
Impala Platinum Holdings Ltd. (South Africa) | 3 | 26 | ||||||
JFE Holdings, Inc. (Japan) | 2 | 15 | ||||||
Magnitogorsk Iron & Steel Works PJSC, GDR (Russia) (b) | 3 | 19 | ||||||
Maruichi Steel Tube Ltd. (Japan) | – | (a) | 5 | |||||
Mitsubishi Materials Corp. (Japan) | 1 | 10 | ||||||
MMC Norilsk Nickel PJSC, ADR (Russia) | 2 | 39 | ||||||
Newcrest Mining Ltd. (Australia) | 3 | 77 | ||||||
Nippon Steel Corp. (Japan) * | 3 | 32 | ||||||
Norsk Hydro ASA (Norway) * | 6 | 16 | ||||||
Northern Star Resources Ltd. (Australia) | 3 | 31 | ||||||
Novolipetsk Steel PJSC (Russia) | 8 | 18 | ||||||
POSCO (South Korea) | – | (a) | 68 | |||||
Rio Tinto Ltd. (Australia) | 2 | 107 | ||||||
Rio Tinto plc (Australia) | 16 | 974 | ||||||
Severstal PAO, GDR (Russia) (b) | 3 | 43 | ||||||
South32 Ltd. (Australia) | 20 | 30 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 1 | 31 | ||||||
thyssenkrupp AG (Germany) * | 2 | 9 | ||||||
Vale SA, ADR (Brazil) | 12 | 124 | ||||||
voestalpine AG (Austria) | – | (a) | 13 | |||||
|
| |||||||
4,155 | ||||||||
|
| |||||||
Multiline Retail — 0.1% | ||||||||
Isetan Mitsukoshi Holdings Ltd. (Japan) | 1 | 7 | ||||||
Kohl’s Corp. | 10 | 182 | ||||||
Lojas Renner SA (Brazil) * | 29 | 205 | ||||||
Magazine Luiza SA (Brazil) | 3 | 43 | ||||||
Marui Group Co. Ltd. (Japan) | 1 | 15 | ||||||
Neiman Marcus Group Restricted Equity * ‡ | – | (a) | 6 | |||||
Neiman Marcus Group Unrestricted Equity * ‡ | – | (a) | 21 | |||||
Next plc (United Kingdom) | 1 | 43 | ||||||
Nordstrom, Inc. | 12 | 138 | ||||||
Pan Pacific International Holdings Corp. (Japan) | 2 | 40 | ||||||
Ryohin Keikaku Co. Ltd. (Japan) | 1 | 17 | ||||||
Wesfarmers Ltd. (Australia) | 5 | 153 | ||||||
|
| |||||||
870 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% | ||||||||
AGL Energy Ltd. (Australia) | 3 | 26 | ||||||
CMS Energy Corp. | 7 | 431 | ||||||
E.ON SE (Germany) | 9 | 105 | ||||||
Engie SA (France) * | 8 | 103 | ||||||
National Grid plc (United Kingdom) | 15 | 170 | ||||||
NorthWestern Corp. | 4 | 209 | ||||||
RWE AG (Germany) | 12 | 431 | ||||||
Suez SA (France) | 1 | 27 | ||||||
Veolia Environnement SA (France) | 2 | 49 | ||||||
|
| |||||||
1,551 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.0% | ||||||||
Ampol Ltd. (Australia) | 1 | 18 | ||||||
Battalion Oil Corp. * | 1 | 4 | ||||||
BP plc (United Kingdom) | 372 | 1,076 | ||||||
Cabot Oil & Gas Corp. | 13 | 234 | ||||||
Chevron Corp. | 13 | 909 | ||||||
China Shenhua Energy Co. Ltd., Class H (China) | 26 | 46 | ||||||
CNOOC Ltd. (China) | 84 | 81 | ||||||
ConocoPhillips | 21 | 676 | ||||||
Diamondback Energy, Inc. | 3 | 86 | ||||||
Ecopetrol SA, ADR (Colombia) | 3 | 26 | ||||||
ENEOS Holdings, Inc. (Japan) | 13 | 46 | ||||||
Eni SpA (Italy) | 11 | 84 | ||||||
EQT Corp. | 19 | 250 | ||||||
Equinor ASA (Norway) | 4 | 60 | ||||||
Equitrans Midstream Corp. | 35 | 299 | ||||||
Formosa Petrochemical Corp. (Taiwan) | 14 | 39 | ||||||
Galp Energia SGPS SA (Portugal) | 2 | 20 | ||||||
Gazprom PJSC, ADR (Russia) | 10 | 45 | ||||||
Idemitsu Kosan Co. Ltd. (Japan) | 1 | 17 | ||||||
Inpex Corp. (Japan) | 4 | 23 | ||||||
Kinder Morgan, Inc. | 41 | 505 | ||||||
Koninklijke Vopak NV (Netherlands) | – | (a) | 17 | |||||
LUKOIL PJSC, ADR (Russia) | 2 | 95 | ||||||
Lundin Energy AB (Sweden) | 1 | 16 | ||||||
Marathon Petroleum Corp. | 15 | 442 | ||||||
Neste OYJ (Finland) | 2 | 94 | ||||||
Oil & Natural Gas Corp. Ltd. (India) | 22 | 21 | ||||||
Oil Search Ltd. (Australia) | 8 | 16 | ||||||
OMV AG (Austria) * | 1 | 17 | ||||||
Origin Energy Ltd. (Australia) | 7 | 23 | ||||||
Petroleo Brasileiro SA (Preference) (Brazil) | 23 | 79 | ||||||
Petronet LNG Ltd. (India) | 8 | 23 | ||||||
Phillips 66 | 8 | 427 | ||||||
Pioneer Natural Resources Co. | 10 | 893 | ||||||
PTT Exploration & Production PCL (Thailand) | 14 | 34 | ||||||
PTT PCL (Thailand) | 31 | 32 | ||||||
Reliance Industries Ltd. (India) | 9 | 264 | ||||||
Repsol SA (Spain) | 6 | 42 | ||||||
Royal Dutch Shell plc, Class A (Netherlands) | 17 | 216 | ||||||
Royal Dutch Shell plc, Class B (Netherlands) | 16 | 190 | ||||||
Santos Ltd. (Australia) | 7 | 26 | ||||||
SK Innovation Co. Ltd. (South Korea) | – | (a) | 43 | |||||
S-Oil Corp. (South Korea) | 1 | 34 | ||||||
Tatneft PJSC, ADR (Russia) | 1 | 25 | ||||||
Tatneft PJSC, ADR (Russia) | 1 | 22 | ||||||
Thai Oil PCL (Thailand) | 25 | 26 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
TOTAL SE (France) | 10 | 358 | ||||||
Washington H Soul Pattinson & Co. Ltd. (Australia) | – | (a) | 8 | |||||
Whiting Petroleum Corp. * | 4 | 63 | ||||||
Williams Cos., Inc. (The) | 21 | 414 | ||||||
Woodside Petroleum Ltd. (Australia) | 4 | 51 | ||||||
|
| |||||||
8,555 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% (d) | ||||||||
Mondi plc (United Kingdom) | 2 | 43 | ||||||
Oji Holdings Corp. (Japan) | 4 | 17 | ||||||
Stora Enso OYJ, Class R (Finland) | 2 | 38 | ||||||
Suzano SA (Brazil) * | 6 | 45 | ||||||
Svenska Cellulosa AB SCA, Class B (Sweden) * | 3 | 35 | ||||||
UPM-Kymmene OYJ (Finland) | 2 | 69 | ||||||
|
| |||||||
247 | ||||||||
|
| |||||||
Personal Products — 0.5% | ||||||||
Beiersdorf AG (Germany) | – | (a) | 48 | |||||
Coty, Inc., Class A | 33 | 88 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 3 | 726 | ||||||
Kao Corp. (Japan) | 2 | 150 | ||||||
Kobayashi Pharmaceutical Co. Ltd. (Japan) | – | (a) | 19 | |||||
Kose Corp. (Japan) | – | (a) | 12 | |||||
LG Household & Health Care Ltd. (South Korea) | – | (a) | 295 | |||||
L’Oreal SA (France) | 1 | 346 | ||||||
Pola Orbis Holdings, Inc. (Japan) | – | (a) | 8 | |||||
Shiseido Co. Ltd. (Japan) | 2 | 98 | ||||||
Unilever NV (United Kingdom) | 34 | 2,084 | ||||||
Unilever plc (United Kingdom) | 5 | 304 | ||||||
|
| |||||||
4,178 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% | ||||||||
Astellas Pharma, Inc. (Japan) | 8 | 118 | ||||||
AstraZeneca plc (United Kingdom) | 6 | 605 | ||||||
Bayer AG (Registered) (Germany) | 4 | 256 | ||||||
Bristol-Myers Squibb Co. | 51 | 3,045 | ||||||
Catalent, Inc. * | 15 | 1,254 | ||||||
Chugai Pharmaceutical Co. Ltd. (Japan) | 3 | 126 | ||||||
CSPC Pharmaceutical Group Ltd. (China) | 28 | 55 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 7 | 221 | ||||||
Eisai Co. Ltd. (Japan) | 1 | 100 | ||||||
Eli Lilly and Co. | 12 | 1,749 | ||||||
GlaxoSmithKline plc (United Kingdom) | 85 | 1,600 | ||||||
H Lundbeck A/S (Denmark) | – | (a) | 10 | |||||
Hikma Pharmaceuticals plc (Jordan) | 1 | 24 | ||||||
Hisamitsu Pharmaceutical Co., Inc. (Japan) | – | (a) | 10 | |||||
Horizon Therapeutics plc * | 6 | 460 | ||||||
Hutchison China MediTech Ltd., ADR (Hong Kong) * | 1 | 23 | ||||||
Ipsen SA (France) | – | (a) | 17 | |||||
Jazz Pharmaceuticals plc * | 3 | 445 | ||||||
Jiangsu Hengrui Medicine Co. Ltd., Class A (China) | 4 | 51 | ||||||
Johnson & Johnson | 8 | 1,147 | ||||||
Kyowa Kirin Co. Ltd. (Japan) | 1 | 31 | ||||||
Merck & Co., Inc. | 6 | 507 | ||||||
Merck KGaA (Germany) | 1 | 80 | ||||||
Nippon Shinyaku Co. Ltd. (Japan) | – | (a) | 16 | |||||
Novartis AG (Registered) (Switzerland) | 9 | 814 | ||||||
Novo Nordisk A/S, Class B (Denmark) | 37 | 2,563 | ||||||
Ono Pharmaceutical Co. Ltd. (Japan) | 2 | 50 | ||||||
Orion OYJ, Class B (Finland) | – | (a) | 20 | |||||
Otsuka Holdings Co. Ltd. (Japan) | 2 | 68 | ||||||
Pfizer, Inc. | 24 | 870 | ||||||
Recordati Industria Chimica e Farmaceutica SpA (Italy) | – | (a) | 23 | |||||
Richter Gedeon Nyrt. (Hungary) | 1 | 14 | ||||||
Roche Holding AG (Switzerland) | 7 | 2,373 | ||||||
Royalty Pharma plc, Class A | 9 | 378 | ||||||
Sanofi (France) | 5 | 478 | ||||||
Santen Pharmaceutical Co. Ltd. (Japan) | 2 | 31 | ||||||
Shionogi & Co. Ltd. (Japan) | 1 | 59 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. (Japan) | 1 | 11 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. (Japan) | – | (a) | 7 | |||||
Takeda Pharmaceutical Co. Ltd. (Japan) | 7 | 239 | ||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel) * | 5 | 42 | ||||||
UCB SA (Belgium) | 1 | 61 | ||||||
Vifor Pharma AG (Switzerland) | – | (a) | 26 | |||||
|
| |||||||
20,077 | ||||||||
|
| |||||||
Professional Services — 0.5% | ||||||||
51job, Inc., ADR (China) * | – | (a) | 34 | |||||
Adecco Group AG (Registered) (Switzerland) | 1 | 35 | ||||||
Bureau Veritas SA (France) * | 1 | 28 | ||||||
CoreLogic, Inc. | 3 | 219 | ||||||
Experian plc (United Kingdom) | 4 | 144 | ||||||
FTI Consulting, Inc. * | 5 | 548 | ||||||
IHS Markit Ltd. | 6 | 481 | ||||||
Intertek Group plc (United Kingdom) | 1 | 56 | ||||||
Nihon M&A Center, Inc. (Japan) | 1 | 34 | ||||||
NMG, Inc. * ‡ | – | (a) | 11 | |||||
Persol Holdings Co. Ltd. (Japan) | 1 | 11 | ||||||
Randstad NV (Netherlands) * | 1 | 26 | ||||||
Recruit Holdings Co. Ltd. (Japan) | 5 | 214 | ||||||
RELX plc (United Kingdom) | 51 | 1,146 | ||||||
SGS SA (Registered) (Switzerland) | – | (a) | 927 | |||||
Teleperformance (France) | – | (a) | 76 | |||||
TransUnion | 5 | 384 | ||||||
Wolters Kluwer NV (Netherlands) | 1 | 98 | ||||||
|
| |||||||
4,472 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% | ||||||||
Aeon Mall Co. Ltd. (Japan) | – | (a) | 6 | |||||
Aroundtown SA (Germany) * | 4 | 21 | ||||||
Ayala Land, Inc. (Philippines) | 34 | 21 | ||||||
Azrieli Group Ltd. (Israel) | – | (a) | 8 | |||||
CapitaLand Ltd. (Singapore) | 11 | 22 | ||||||
CBRE Group, Inc., Class A * | 11 | 499 | ||||||
China Overseas Land & Investment Ltd. (China) | 22 | 54 | ||||||
China Resources Land Ltd. (China) | 18 | 82 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
China Vanke Co. Ltd., Class H (China) | 14 | 42 | ||||||
City Developments Ltd. (Singapore) | 2 | 11 | ||||||
CK Asset Holdings Ltd. (Hong Kong) | 11 | 54 | ||||||
Country Garden Holdings Co. Ltd. (China) | 13 | 16 | ||||||
Cushman & Wakefield plc * | 24 | 251 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | – | (a) | 27 | |||||
Daiwa House Industry Co. Ltd. (Japan) | 2 | 62 | ||||||
Deutsche Wohnen SE (Germany) | 1 | 72 | ||||||
Emaar Properties PJSC (United Arab Emirates) * | 25 | 19 | ||||||
Hang Lung Properties Ltd. (Hong Kong) | 9 | 23 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 7 | 25 | ||||||
Hongkong Land Holdings Ltd. (Hong Kong) | 5 | 18 | ||||||
Hulic Co. Ltd. (Japan) | 1 | 12 | ||||||
Kerry Properties Ltd. (Hong Kong) | 3 | 8 | ||||||
LEG Immobilien AG (Germany) | – | (a) | 41 | |||||
Lendlease Corp. Ltd. (Australia) | 3 | 22 | ||||||
Longfor Group Holdings Ltd. (China) | 13 | 71 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 5 | 76 | ||||||
Mitsui Fudosan Co. Ltd. (Japan) | 4 | 68 | ||||||
New World Development Co. Ltd. (Hong Kong) | 6 | 31 | ||||||
Nomura Real Estate Holdings, Inc. (Japan) | 1 | 10 | ||||||
Pacific Century Premium Developments Ltd. (Hong Kong) * | 2 | 1 | ||||||
Poly Developments and Holdings Group Co. Ltd., Class A (China) | 17 | 41 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 14 | 16 | ||||||
Sumitomo Realty & Development Co. Ltd. (Japan) | 1 | 38 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 6 | 71 | ||||||
Swire Pacific Ltd., Class A (Hong Kong) | 2 | 10 | ||||||
Swire Properties Ltd. (Hong Kong) | 5 | 13 | ||||||
Swiss Prime Site AG (Registered) (Switzerland) | – | (a) | 29 | |||||
Tokyu Fudosan Holdings Corp. (Japan) | 3 | 11 | ||||||
UOL Group Ltd. (Singapore) | 2 | 10 | ||||||
Vonovia SE (Germany) | 16 | 1,078 | ||||||
Wharf Real Estate Investment Co. Ltd. (Hong Kong) | 7 | 29 | ||||||
|
| |||||||
3,019 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
Aurizon Holdings Ltd. (Australia) | 8 | 25 | ||||||
Canadian National Railway Co. (Canada) | 10 | 1,107 | ||||||
Canadian Pacific Railway Ltd. (Canada) | 3 | 995 | ||||||
Central Japan Railway Co. (Japan) | 1 | 86 | ||||||
East Japan Railway Co. (Japan) | 1 | 80 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 1 | 32 | ||||||
Keikyu Corp. (Japan) | 1 | 14 | ||||||
Keio Corp. (Japan) | – | (a) | 25 | |||||
Keisei Electric Railway Co. Ltd. (Japan) | 1 | 14 | ||||||
Kintetsu Group Holdings Co. Ltd. (Japan) | 1 | 30 | ||||||
Knight-Swift Transportation Holdings, Inc. | 7 | 284 | ||||||
Kyushu Railway Co. (Japan) | 1 | 13 | ||||||
Landstar System, Inc. | 3 | 325 | ||||||
Localiza Rent a Car SA (Brazil) * | 4 | 39 | ||||||
Lyft, Inc., Class A * | 23 | 641 | ||||||
MTR Corp. Ltd. (Hong Kong) | 7 | 32 | ||||||
Nagoya Railroad Co. Ltd. (Japan) | 1 | 22 | ||||||
Nippon Express Co. Ltd. (Japan) | – | (a) | 18 | |||||
Norfolk Southern Corp. | 16 | 3,447 | ||||||
Odakyu Electric Railway Co. Ltd. (Japan) | 1 | 30 | ||||||
Old Dominion Freight Line, Inc. | 3 | 545 | ||||||
Seibu Holdings, Inc. (Japan) | 1 | 10 | ||||||
Tobu Railway Co. Ltd. (Japan) | 1 | 25 | ||||||
Tokyu Corp. (Japan) | 2 | 27 | ||||||
Uber Technologies, Inc. * | 16 | 566 | ||||||
West Japan Railway Co. (Japan) | 1 | 35 | ||||||
|
| |||||||
8,467 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% | ||||||||
Advanced Micro Devices, Inc. * | 22 | 1,830 | ||||||
Advantest Corp. (Japan) | 1 | 39 | ||||||
Analog Devices, Inc. | 20 | 2,378 | ||||||
ASE Technology Holding Co. Ltd. (Taiwan) | 19 | 39 | ||||||
ASM Pacific Technology Ltd. (Hong Kong) | 1 | 13 | ||||||
ASML Holding NV (Netherlands) | 8 | 3,094 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 2 | 594 | ||||||
Cabot Microelectronics Corp. | 3 | 429 | ||||||
Disco Corp. (Japan) | – | (a) | 24 | |||||
Enphase Energy, Inc. * | 7 | 594 | ||||||
Entegris, Inc. | 8 | 603 | ||||||
Global Unichip Corp. (Taiwan) | 2 | 18 | ||||||
Globalwafers Co. Ltd. (Taiwan) | 3 | 40 | ||||||
Infineon Technologies AG (Germany) | 5 | 149 | ||||||
Lam Research Corp. | 2 | 770 | ||||||
Lasertec Corp. (Japan) | – | (a) | 25 | |||||
Maxim Integrated Products, Inc. | 5 | 346 | ||||||
MediaTek, Inc. (Taiwan) | 3 | 64 | ||||||
Microchip Technology, Inc. | 4 | 371 | ||||||
Monolithic Power Systems, Inc. | 1 | 246 | ||||||
Nanya Technology Corp. (Taiwan) | 11 | 22 | ||||||
NVIDIA Corp. | 3 | 1,796 | ||||||
NXP Semiconductors NV (Netherlands) | 11 | 1,396 | ||||||
QUALCOMM, Inc. | 11 | 1,301 | ||||||
Realtek Semiconductor Corp. (Taiwan) | 5 | 64 | ||||||
Renesas Electronics Corp. (Japan) * | 3 | 24 | ||||||
Rohm Co. Ltd. (Japan) | – | (a) | 31 | |||||
Silergy Corp. (China) | 1 | 59 | ||||||
SK Hynix, Inc. (South Korea) | 2 | 138 | ||||||
SolarEdge Technologies, Inc. * | 3 | 654 | ||||||
STMicroelectronics NV (Switzerland) | 3 | 83 | ||||||
SUMCO Corp. (Japan) | 1 | 16 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 58 | 4,724 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 134 | 2,016 | ||||||
Texas Instruments, Inc. | 19 | 2,751 | ||||||
Tokyo Electron Ltd. (Japan) | 1 | 157 | ||||||
Vanguard International Semiconductor Corp. (Taiwan) | 14 | 47 | ||||||
|
| |||||||
26,945 | ||||||||
|
| |||||||
Software — 3.0% | ||||||||
Aspen Technology, Inc. * | 4 | 454 | ||||||
AVEVA Group plc (United Kingdom) | – | (a) | 17 | |||||
Cadence Design Systems, Inc. * | 4 | 430 | ||||||
Ceridian HCM Holding, Inc. * | 3 | 277 | ||||||
Check Point Software Technologies Ltd. (Israel) * | – | (a) | 58 | |||||
Crowdstrike Holdings, Inc., Class A * | 4 | 607 | ||||||
CyberArk Software Ltd. * | – | (a) | 17 | |||||
Dassault Systemes SE (France) | 1 | 104 | ||||||
Guidewire Software, Inc. * | 3 | 365 | ||||||
Kingdee International Software Group Co. Ltd. (China) * | 19 | 50 | ||||||
Kingsoft Corp. Ltd. (China) | 10 | 50 | ||||||
Microsoft Corp. | 61 | 12,821 | ||||||
Nemetschek SE (Germany) | – | (a) | 18 | |||||
Nice Ltd. (Israel) * | – | (a) | 60 | |||||
Oracle Corp. (Japan) | – | (a) | 22 | |||||
Paylocity Holding Corp. * | 1 | 171 | ||||||
PTC, Inc. * | 2 | 165 | ||||||
Q2 Holdings, Inc. * | 5 | 434 | ||||||
RealPage, Inc. * | 4 | 244 | ||||||
Sage Group plc (The) (United Kingdom) | 5 | 43 | ||||||
salesforce.com, Inc. * | 9 | 2,312 | ||||||
SAP SE (Germany) | 14 | 2,110 | ||||||
ServiceNow, Inc. * | 1 | 695 | ||||||
Splunk, Inc. * | 3 | 654 | ||||||
SS&C Technologies Holdings, Inc. | 12 | 711 | ||||||
Synopsys, Inc. * | 3 | 588 | ||||||
TeamViewer AG (Germany) * | 1 | 27 | ||||||
Temenos AG (Registered) (Switzerland) | – | (a) | 38 | |||||
Trade Desk, Inc. (The), Class A * | 2 | 825 | ||||||
Trend Micro, Inc. (Japan) | 1 | 37 | ||||||
Tyler Technologies, Inc. * | 1 | 451 | ||||||
WiseTech Global Ltd. (Australia) | 1 | 12 | ||||||
Zscaler, Inc. * | 3 | 470 | ||||||
|
| |||||||
25,337 | ||||||||
|
| |||||||
Specialty Retail — 1.3% | ||||||||
ABC-Mart, Inc. (Japan) | – | (a) | 5 | |||||
AutoZone, Inc. * | 1 | 730 | ||||||
Best Buy Co., Inc. | 11 | 1,176 | ||||||
CarMax, Inc. * | 6 | 578 | ||||||
Fast Retailing Co. Ltd. (Japan) | – | (a) | 126 | |||||
Hennes & Mauritz AB, Class B (Sweden) | 3 | 58 | ||||||
Hikari Tsushin, Inc. (Japan) | – | (a) | 24 | |||||
Home Depot, Inc. (The) | 6 | 1,777 | ||||||
Industria de Diseno Textil SA (Spain) | 18 | 501 | ||||||
JD Sports Fashion plc (United Kingdom) | 2 | 19 | ||||||
Kingfisher plc (United Kingdom) | 9 | 34 | ||||||
Lowe’s Cos., Inc. | 5 | 872 | ||||||
Mr Price Group Ltd. (South Africa) | 9 | 70 | ||||||
Murphy USA, Inc. * | 3 | 382 | ||||||
National Vision Holdings, Inc. * | 7 | 255 | ||||||
Nitori Holdings Co. Ltd. (Japan) | – | (a) | 62 | |||||
O’Reilly Automotive, Inc. * | 6 | 2,979 | ||||||
Ross Stores, Inc. | 4 | 409 | ||||||
Shimamura Co. Ltd. (Japan) | – | (a) | 10 | |||||
Tractor Supply Co. | 6 | 878 | ||||||
USS Co. Ltd. (Japan) | 1 | 16 | ||||||
Yamada Holdings Co. Ltd. (Japan) | 3 | 15 | ||||||
|
| |||||||
10,976 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.8% | ||||||||
Advantech Co. Ltd. (Taiwan) | 5 | 47 | ||||||
Apple, Inc. | 85 | 9,890 | ||||||
Brother Industries Ltd. (Japan) | 1 | 14 | ||||||
Canon, Inc. (Japan) | 4 | 70 | ||||||
Catcher Technology Co. Ltd. (Taiwan) | 6 | 38 | ||||||
FUJIFILM Holdings Corp. (Japan) | 2 | 74 | ||||||
Inventec Corp. (Taiwan) | 19 | 15 | ||||||
Logitech International SA (Registered) (Switzerland) | 1 | 54 | ||||||
Ricoh Co. Ltd. (Japan) | 3 | 19 | ||||||
Samsung Electronics Co. Ltd. (South Korea) | 89 | 4,399 | ||||||
Seiko Epson Corp. (Japan) | 1 | 14 | ||||||
Xiaomi Corp., Class B (China) * (b) | 40 | 108 | ||||||
|
| |||||||
14,742 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
adidas AG (Germany) * | 4 | 1,135 | ||||||
ANTA Sports Products Ltd. (China) | 2 | 21 | ||||||
Burberry Group plc (United Kingdom) | 2 | 34 | ||||||
Carter’s, Inc. | 3 | 224 | ||||||
Cie Financiere Richemont SA (Registered) (Switzerland) | 2 | 148 | ||||||
Columbia Sportswear Co. | 4 | 379 | ||||||
Eclat Textile Co. Ltd. (Taiwan) | 3 | 38 | ||||||
EssilorLuxottica SA (France) * | 1 | 163 | ||||||
Feng TAY Enterprise Co. Ltd. (Taiwan) | 4 | 23 | ||||||
Hermes International (France) | – | (a) | 115 | |||||
Kering SA (France) | – | (a) | 212 | |||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 6 | 2,849 | ||||||
Moncler SpA (Italy) * | 1 | 33 | ||||||
NIKE, Inc., Class B | 7 | 845 | ||||||
Pandora A/S (Denmark) | – | (a) | 30 | |||||
Puma SE (Germany) * | – | (a) | 31 | |||||
Ralph Lauren Corp. | 4 | 277 | ||||||
Shenzhou International Group Holdings Ltd. (China) | 4 | 73 | ||||||
Swatch Group AG (The) (Switzerland) | – | (a) | 28 | |||||
Swatch Group AG (The) (Registered) (Switzerland) | – | (a) | 10 | |||||
|
| |||||||
6,668 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
Housing Development Finance Corp. Ltd. (India) | 36 | 856 | ||||||
Rocket Cos., Inc., Class A * | 13 | 253 | ||||||
|
| |||||||
1,109 | ||||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
Altria Group, Inc. | 7 | 268 | ||||||
British American Tobacco plc (United Kingdom) | 10 | 347 | ||||||
Imperial Brands plc (United Kingdom) | 4 | 71 | ||||||
ITC Ltd. (India) | 99 | 231 | ||||||
Japan Tobacco, Inc. (Japan) | 5 | 93 | ||||||
KT&G Corp. (South Korea) | 1 | 50 | ||||||
Philip Morris International, Inc. | 4 | 322 | ||||||
Swedish Match AB (Sweden) | 1 | 56 | ||||||
|
| |||||||
1,438 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% | ||||||||
AerCap Holdings NV (Ireland) * | 1 | 14 | ||||||
Ashtead Group plc (United Kingdom) | 2 | 68 | ||||||
BOC Aviation Ltd. (Singapore) (b) | 2 | 14 | ||||||
Brenntag AG (Germany) | 1 | 41 | ||||||
Bunzl plc (United Kingdom) | 1 | 46 | ||||||
Ferguson plc | 10 | 1,020 | ||||||
ITOCHU Corp. (Japan) | 6 | 146 | ||||||
Marubeni Corp. (Japan) | 7 | 40 | ||||||
Mitsubishi Corp. (Japan) | 6 | 134 | ||||||
Mitsui & Co. Ltd. (Japan) | 7 | 119 | ||||||
MonotaRO Co. Ltd. (Japan) | 1 | 25 | ||||||
Sumitomo Corp. (Japan) | 5 | 60 | ||||||
Toyota Tsusho Corp. (Japan) | 1 | 25 | ||||||
|
| |||||||
1,752 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% (d) | ||||||||
Aena SME SA (Spain) * (b) | – | (a) | 40 | |||||
Aeroports de Paris (France) | – | (a) | 12 | |||||
Airports of Thailand PCL (Thailand) | 23 | 41 | ||||||
Atlantia SpA (Italy) * | 2 | 33 | ||||||
Auckland International Airport Ltd. (New Zealand) | 5 | 26 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (Germany) * | – | (a) | 7 | |||||
Getlink SE (France) * | 2 | 25 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, Class B (Mexico) * | 2 | 28 | ||||||
International Container Terminal Services, Inc. (Philippines) | 9 | 20 | ||||||
Japan Airport Terminal Co. Ltd. (Japan) | – | (a) | 9 | |||||
Kamigumi Co. Ltd. (Japan) | – | (a) | 8 | |||||
Sydney Airport (Australia) | 6 | 24 | ||||||
Transurban Group (Australia) | 12 | 117 | ||||||
Zhejiang Expressway Co. Ltd., Class H (China) | 20 | 15 | ||||||
|
| |||||||
405 | ||||||||
|
| |||||||
Water Utilities — 0.0% (d) | ||||||||
Severn Trent plc (United Kingdom) | 1 | 32 | ||||||
United Utilities Group plc (United Kingdom) | 3 | 31 | ||||||
|
| |||||||
63 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% | ||||||||
America Movil SAB de CV, Series L (Mexico) | 142 | 89 | ||||||
China Mobile Ltd. (China) | 19 | 122 | ||||||
KDDI Corp. (Japan) | 7 | 171 | ||||||
MTN Group Ltd. (South Africa) | 8 | 25 | ||||||
NTT DOCOMO, Inc. (Japan) | 5 | 176 | ||||||
SK Telecom Co. Ltd. (South Korea) | – | (a) | 34 | |||||
SoftBank Corp. (Japan) | 12 | 135 | ||||||
SoftBank Group Corp. (Japan) | 7 | 408 | ||||||
Tele2 AB, Class B (Sweden) | 2 | 30 | ||||||
TIM Participacoes SA (Brazil) * | 13 | 30 | ||||||
T-Mobile US, Inc. * | 4 | 469 | ||||||
Vodacom Group Ltd. (South Africa) | 4 | 27 | ||||||
Vodafone Group plc (United Kingdom) | 113 | 150 | ||||||
|
| |||||||
1,866 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $319,276) | 446,639 | |||||||
|
| |||||||
INVESTMENT COMPANIES — 14.8% | ||||||||
Fixed Income — 14.8% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (e) | 1,448 | 17,995 | ||||||
JPMorgan Corporate Bond Fund Class R6 Shares (e) | 9,536 | 102,709 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (e) | 119 | 925 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (e) | 124 | 957 | ||||||
|
| |||||||
Total Fixed Income | 122,586 | |||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES (Cost $118,290) | 122,586 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
CORPORATE BONDS — 11.1% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
Bombardier, Inc. (Canada) | ||||||||
6.13%, 1/15/2023 (f) | 87 | 74 | ||||||
7.50%, 3/15/2025 (f) | 195 | 147 | ||||||
7.88%, 4/15/2027 (f) | 98 | 74 | ||||||
BWX Technologies, Inc. 5.38%, 7/15/2026 (f) | 40 | 42 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.13%, 10/1/2024 | 229 | 242 | ||||||
5.90%, 2/1/2027 | 153 | 165 | ||||||
5.95%, 2/1/2037 | 61 | 65 | ||||||
Spirit AeroSystems, Inc. 7.50%, 4/15/2025 (f) | 110 | 111 | ||||||
TransDigm, Inc. 6.25%, 3/15/2026 (f) | 432 | 453 | ||||||
Triumph Group, Inc. | ||||||||
6.25%, 9/15/2024 (f) | 15 | 13 | ||||||
7.75%, 8/15/2025 | 85 | 54 | ||||||
|
| |||||||
1,440 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Air Freight & Logistics — 0.0% (d) | ||||||||
XPO Logistics, Inc. | ||||||||
6.13%, 9/1/2023 (f) | 157 | 160 | ||||||
6.75%, 8/15/2024 (f) | 148 | 157 | ||||||
|
| |||||||
317 | ||||||||
|
| |||||||
Airlines — 0.0% (d) | ||||||||
Delta Air Lines, Inc. | ||||||||
4.50%, 10/20/2025 (f) | 98 | 101 | ||||||
4.75%, 10/20/2028 (f) | 138 | 143 | ||||||
United Airlines Holdings, Inc. 5.00%, 2/1/2024 | 69 | 60 | ||||||
|
| |||||||
304 | ||||||||
|
| |||||||
Auto Components — 0.4% | ||||||||
Adient US LLC | ||||||||
9.00%, 4/15/2025 (f) | 200 | 221 | ||||||
7.00%, 5/15/2026 (f) | 345 | 369 | ||||||
Allison Transmission, Inc. | ||||||||
5.00%, 10/1/2024 (f) | 110 | 111 | ||||||
4.75%, 10/1/2027 (f) | 20 | 21 | ||||||
5.88%, 6/1/2029 (f) | 235 | 254 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.25%, 4/1/2025 | 370 | 367 | ||||||
6.25%, 3/15/2026 | 183 | 177 | ||||||
6.50%, 4/1/2027 | 245 | 237 | ||||||
Clarios Global LP 6.25%, 5/15/2026 (f) | 356 | 373 | ||||||
Cooper-Standard Automotive, Inc. 5.63%, 11/15/2026 (f) | 245 | 172 | ||||||
Dana Financing Luxembourg SARL | ||||||||
5.75%, 4/15/2025 (f) | 170 | 174 | ||||||
6.50%, 6/1/2026 (f) | 290 | 302 | ||||||
Delphi Technologies plc 5.00%, 10/1/2025 (f) | 180 | 206 | ||||||
Goodyear Tire & Rubber Co. (The) 5.00%, 5/31/2026 | 56 | 54 | ||||||
Icahn Enterprises LP | ||||||||
6.38%, 12/15/2025 | 75 | 77 | ||||||
6.25%, 5/15/2026 | 44 | 46 | ||||||
Tenneco, Inc. 5.00%, 7/15/2026 | 160 | 118 | ||||||
|
| |||||||
3,279 | ||||||||
|
| |||||||
Automobiles — 0.0% (d) | ||||||||
Ford Motor Co. | ||||||||
8.50%, 4/21/2023 | 70 | 76 | ||||||
9.00%, 4/22/2025 | 70 | 81 | ||||||
9.63%, 4/22/2030 | 29 | 37 | ||||||
|
| |||||||
194 | ||||||||
|
| |||||||
Banks — 0.1% | ||||||||
CIT Group, Inc. | ||||||||
4.75%, 2/16/2024 | 115 | 118 | ||||||
5.25%, 3/7/2025 | 135 | 143 | ||||||
Citigroup, Inc. Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (g) (h) (i) | 140 | 147 | ||||||
Natwest Group plc (United Kingdom) 5.13%, 5/28/2024 | 125 | 137 | ||||||
|
| |||||||
545 | ||||||||
|
| |||||||
Building Products — 0.1% | ||||||||
American Woodmark Corp. 4.88%, 3/15/2026 (f) | 140 | 142 | ||||||
Standard Industries, Inc. | ||||||||
5.00%, 2/15/2027 (f) | 118 | 123 | ||||||
4.75%, 1/15/2028 (f) | 240 | 249 | ||||||
3.38%, 1/15/2031 (f) | 60 | 59 | ||||||
Summit Materials LLC 5.13%, 6/1/2025 (f) | 85 | 86 | ||||||
|
| |||||||
659 | ||||||||
|
| |||||||
Capital Markets — 0.0% (d) | ||||||||
Goldman Sachs Group, Inc. (The) Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (g) (h) (i) | 100 | 96 | ||||||
MSCI, Inc. 5.38%, 5/15/2027 (f) | 146 | 156 | ||||||
|
| |||||||
252 | ||||||||
|
| |||||||
Chemicals — 0.1% | ||||||||
Axalta Coating Systems LLC 4.75%, 6/15/2027 (f) | 150 | 154 | ||||||
Chemours Co. (The) | ||||||||
6.63%, 5/15/2023 | 150 | 152 | ||||||
7.00%, 5/15/2025 | 345 | 346 | ||||||
NOVA Chemicals Corp. (Canada) | ||||||||
4.88%, 6/1/2024 (f) | 110 | 109 | ||||||
5.25%, 6/1/2027 (f) | 300 | 283 | ||||||
Olin Corp. 5.13%, 9/15/2027 | 50 | 50 | ||||||
WR Grace & Co.-Conn. 5.63%, 10/1/2024 (f) | 30 | 32 | ||||||
|
| |||||||
1,126 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% | ||||||||
ACCO Brands Corp. 5.25%, 12/15/2024 (f) | 163 | 167 | ||||||
ADT Security Corp. (The) | ||||||||
4.13%, 6/15/2023 | 80 | 84 | ||||||
4.88%, 7/15/2032 (f) | 75 | 76 | ||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026 (f) | 21 | 22 | ||||||
9.75%, 7/15/2027 (f) | 22 | 24 | ||||||
Aramark Services, Inc. | ||||||||
5.00%, 4/1/2025 (f) | 130 | 132 | ||||||
5.00%, 2/1/2028 (f) | 165 | 166 | ||||||
Covanta Holding Corp. 5.88%, 7/1/2025 | 40 | 41 | ||||||
GFL Environmental, Inc. (Canada) 3.75%, 8/1/2025 (f) | 95 | 95 | ||||||
Nielsen Co. Luxembourg SARL (The) | ||||||||
5.50%, 10/1/2021 (f) | 17 | 17 | ||||||
5.00%, 2/1/2025 (f) | 27 | 27 | ||||||
Nielsen Finance LLC 5.00%, 4/15/2022 (f) | 320 | 321 | ||||||
Prime Security Services Borrower LLC | ||||||||
5.25%, 4/15/2024 (f) | 47 | 49 | ||||||
5.75%, 4/15/2026 (f) | 150 | 160 | ||||||
6.25%, 1/15/2028 (f) | 125 | 127 | ||||||
|
| |||||||
1,508 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Communications Equipment — 0.1% |
| |||||||
CommScope Technologies LLC | ||||||||
6.00%, 6/15/2025 (f) | 255 | 258 | ||||||
5.00%, 3/15/2027 (f) | 52 | 50 | ||||||
CommScope, Inc. | ||||||||
5.50%, 3/1/2024 (f) | 71 | 73 | ||||||
6.00%, 3/1/2026 (f) | 570 | 595 | ||||||
8.25%, 3/1/2027 (f) | 136 | 141 | ||||||
|
| |||||||
1,117 | ||||||||
|
| |||||||
Construction & Engineering — 0.0% (d) | ||||||||
AECOM 5.13%, 3/15/2027 | 64 | 69 | ||||||
|
| |||||||
Consumer Finance — 0.4% | ||||||||
Ally Financial, Inc. | ||||||||
4.63%, 5/19/2022 | 225 | 236 | ||||||
5.75%, 11/20/2025 | 265 | 298 | ||||||
8.00%, 11/1/2031 | 60 | 82 | ||||||
Avolon Holdings Funding Ltd. (Ireland) | ||||||||
5.13%, 10/1/2023 (f) | 99 | 99 | ||||||
4.38%, 5/1/2026 (f) | 85 | 81 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.47%, 4/5/2021 | 200 | 200 | ||||||
4.06%, 11/1/2024 | 205 | 205 | ||||||
4.39%, 1/8/2026 | 400 | 395 | ||||||
4.54%, 8/1/2026 | 665 | 662 | ||||||
4.27%, 1/9/2027 | 200 | 196 | ||||||
Navient Corp. | ||||||||
6.13%, 3/25/2024 | 140 | 141 | ||||||
6.75%, 6/25/2025 | 190 | 193 | ||||||
5.00%, 3/15/2027 | 50 | 47 | ||||||
OneMain Finance Corp. | ||||||||
8.25%, 10/1/2023 | 100 | 111 | ||||||
6.13%, 3/15/2024 | 75 | 79 | ||||||
6.88%, 3/15/2025 | 40 | 44 | ||||||
7.13%, 3/15/2026 | 120 | 134 | ||||||
6.63%, 1/15/2028 | 39 | 43 | ||||||
5.38%, 11/15/2029 | 65 | 68 | ||||||
|
| |||||||
3,314 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% | ||||||||
Ardagh Packaging Finance plc | ||||||||
6.00%, 2/15/2025 (f) | 200 | 208 | ||||||
5.25%, 8/15/2027 (f) | 400 | 407 | ||||||
Berry Global, Inc. 4.88%, 7/15/2026 (f) | 284 | 298 | ||||||
Crown Americas LLC 4.75%, 2/1/2026 | 35 | 36 | ||||||
LABL Escrow Issuer LLC | ||||||||
6.75%, 7/15/2026 (f) | 305 | 322 | ||||||
10.50%, 7/15/2027 (f) | 75 | 80 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
5.50%, 4/15/2024 (f) | 510 | 512 | ||||||
7.25%, 4/15/2025 (f) | 150 | 141 | ||||||
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (f) (j) | 200 | 207 | ||||||
|
| |||||||
2,211 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Performance Food Group, Inc. 5.50%, 10/15/2027 (f) | 240 | 247 | ||||||
Wolverine Escrow LLC 9.00%, 11/15/2026 (f) | 310 | 256 | ||||||
|
| |||||||
503 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% (d) | ||||||||
Service Corp. International | ||||||||
4.63%, 12/15/2027 | 165 | 175 | ||||||
5.13%, 6/1/2029 | 65 | 72 | ||||||
|
| |||||||
247 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (f) | 235 | 241 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
6.25%, 5/15/2026 (f) | 100 | 107 | ||||||
8.25%, 11/15/2026 (f) | 157 | 172 | ||||||
Sabre GLBL, Inc. | ||||||||
5.25%, 11/15/2023 (f) | 10 | 10 | ||||||
9.25%, 4/15/2025 (f) | 190 | 209 | ||||||
|
| |||||||
739 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% | ||||||||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (f) | 200 | 222 | ||||||
Altice France SA (France) 7.38%, 5/1/2026 (f) | 735 | 770 | ||||||
CCO Holdings LLC | ||||||||
5.75%, 2/15/2026 (f) | 1,060 | 1,103 | ||||||
5.50%, 5/1/2026 (f) | 525 | 547 | ||||||
5.13%, 5/1/2027 (f) | 735 | 773 | ||||||
5.00%, 2/1/2028 (f) | 45 | 47 | ||||||
4.75%, 3/1/2030 (f) | 648 | 686 | ||||||
4.25%, 2/1/2031 (f) | 276 | 286 | ||||||
CenturyLink, Inc. | ||||||||
Series W, 6.75%, 12/1/2023 | 35 | 38 | ||||||
Series Y, 7.50%, 4/1/2024 | 75 | 84 | ||||||
5.63%, 4/1/2025 | 470 | 503 | ||||||
5.13%, 12/15/2026 (f) | 580 | 596 | ||||||
Series G, 6.88%, 1/15/2028 | 49 | 55 | ||||||
Cincinnati Bell, Inc. | ||||||||
7.00%, 7/15/2024 (f) | 240 | 247 | ||||||
8.00%, 10/15/2025 (f) | 89 | 94 | ||||||
Embarq Corp. 8.00%, 6/1/2036 | 147 | 174 | ||||||
Frontier Communications Corp. | ||||||||
7.13%, 1/15/2023 (k) | 55 | 21 | ||||||
7.63%, 4/15/2024 (k) | 25 | 10 | ||||||
6.88%, 1/15/2025 (k) | 14 | 5 | ||||||
11.00%, 9/15/2025 (k) | 67 | 28 | ||||||
8.50%, 4/1/2026 (f) (j) (k) | 207 | 209 | ||||||
8.00%, 4/1/2027 (f) (j) (k) | 340 | 339 | ||||||
Intelsat Jackson Holdings SA (Luxembourg) | ||||||||
5.50%, 8/1/2023 (k) | 565 | 354 | ||||||
8.00%, 2/15/2024 (f) (j) (k) | 250 | 254 | ||||||
8.50%, 10/15/2024 (f) (k) | 183 | 118 | ||||||
9.75%, 7/15/2025 (f) (k) | 140 | 92 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Level 3 Financing, Inc. | ||||||||
5.38%, 1/15/2024 | 240 | 243 | ||||||
5.38%, 5/1/2025 | 120 | 124 | ||||||
5.25%, 3/15/2026 | 10 | 10 | ||||||
4.63%, 9/15/2027 (f) | 85 | 87 | ||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 | 100 | 125 | ||||||
8.75%, 3/15/2032 | 891 | 1,304 | ||||||
Telecom Italia Capital SA (Italy) | ||||||||
6.38%, 11/15/2033 | 240 | 284 | ||||||
6.00%, 9/30/2034 | 305 | 355 | ||||||
Virgin Media Secured Finance plc (United Kingdom) | ||||||||
5.50%, 8/15/2026 (f) | 200 | 209 | ||||||
5.50%, 5/15/2029 (f) | 200 | 214 | ||||||
Windstream Services LLC 9.00%, 6/30/2025 (f) (k) | 195 | 2 | ||||||
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (f) | 325 | 320 | ||||||
|
| |||||||
10,932 | ||||||||
|
| |||||||
Electric Utilities — 0.1% | ||||||||
NextEra Energy Operating Partners LP 4.25%, 7/15/2024 (f) | 63 | 66 | ||||||
NRG Energy, Inc. | ||||||||
7.25%, 5/15/2026 | 115 | 122 | ||||||
6.63%, 1/15/2027 | 117 | 124 | ||||||
5.75%, 1/15/2028 | 124 | 134 | ||||||
5.25%, 6/15/2029 (f) | 10 | 11 | ||||||
PG&E Corp. 5.00%, 7/1/2028 | 290 | 281 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 9/1/2026 (f) | 190 | 198 | ||||||
5.63%, 2/15/2027 (f) | 70 | 74 | ||||||
|
| |||||||
1,010 | ||||||||
|
| |||||||
Electrical Equipment — 0.0% (d) | ||||||||
Sensata Technologies BV 5.63%, 11/1/2024 (f) | 260 | 282 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (d) | ||||||||
CDW LLC | ||||||||
5.50%, 12/1/2024 | 45 | 49 | ||||||
4.25%, 4/1/2028 | 193 | 200 | ||||||
|
| |||||||
249 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% | ||||||||
Archrock Partners LP 6.88%, 4/1/2027 (f) | 9 | 9 | ||||||
Nabors Industries Ltd. 7.25%, 1/15/2026 (f) | 50 | 25 | ||||||
Nabors Industries, Inc. 5.75%, 2/1/2025 | 115 | 39 | ||||||
Shelf Drilling Holdings Ltd. (United Arab Emirates) 8.25%, 2/15/2025 (f) | 87 | 34 | ||||||
Transocean Guardian Ltd. 5.88%, 1/15/2024 (f) | 164 | 106 | ||||||
Transocean Pontus Ltd. 6.13%, 8/1/2025 (f) | 94 | 84 | ||||||
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (f) | 84 | 67 | ||||||
Transocean Proteus Ltd. 6.25%, 12/1/2024 (f) | 67 | 59 | ||||||
Transocean, Inc. 11.50%, 1/30/2027 (f) | 38 | 15 | ||||||
|
| |||||||
438 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
AMC Entertainment Holdings, Inc. | ||||||||
10.50%, 4/24/2026 (f) | 73 | 53 | ||||||
12.00% (PIK), 6/15/2026 (f) (l) | 202 | 52 | ||||||
Cinemark USA, Inc. | ||||||||
4.88%, 6/1/2023 | 147 | 125 | ||||||
8.75%, 5/1/2025 (f) | 60 | 64 | ||||||
Live Nation Entertainment, Inc. | ||||||||
5.63%, 3/15/2026 (f) | 59 | 57 | ||||||
6.50%, 5/15/2027 (f) | 210 | 227 | ||||||
4.75%, 10/15/2027 (f) | 255 | 238 | ||||||
Netflix, Inc. | ||||||||
5.88%, 2/15/2025 | 22 | 25 | ||||||
4.88%, 4/15/2028 | 100 | 112 | ||||||
5.88%, 11/15/2028 | 142 | 169 | ||||||
5.38%, 11/15/2029 (f) | 85 | 100 | ||||||
4.88%, 6/15/2030 (f) | 570 | 650 | ||||||
WMG Acquisition Corp. 3.88%, 7/15/2030 (f) | 120 | 124 | ||||||
|
| |||||||
1,996 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.3% | ||||||||
Brookfield Property REIT, Inc. 5.75%, 5/15/2026 (f) | 80 | 63 | ||||||
ESH Hospitality, Inc. | ||||||||
5.25%, 5/1/2025 (f) | 80 | 81 | ||||||
4.63%, 10/1/2027 (f) | 174 | 171 | ||||||
Iron Mountain, Inc. | ||||||||
4.88%, 9/15/2027 (f) | 124 | 126 | ||||||
4.88%, 9/15/2029 (f) | 165 | 168 | ||||||
MGM Growth Properties Operating Partnership LP | ||||||||
5.63%, 5/1/2024 | 220 | 233 | ||||||
5.75%, 2/1/2027 | 254 | 274 | ||||||
4.50%, 1/15/2028 | 15 | 15 | ||||||
RHP Hotel Properties LP | ||||||||
5.00%, 4/15/2023 | 120 | 117 | ||||||
4.75%, 10/15/2027 | 120 | 111 | ||||||
SBA Communications Corp. 3.88%, 2/15/2027 (f) | 130 | 132 | ||||||
Uniti Group LP 6.00%, 4/15/2023 (f) | 80 | 80 | ||||||
VICI Properties LP | ||||||||
3.50%, 2/15/2025 (f) | 30 | 30 | ||||||
4.25%, 12/1/2026 (f) | 405 | 407 | ||||||
3.75%, 2/15/2027 (f) | 275 | 270 | ||||||
4.13%, 8/15/2030 (f) | 30 | 30 | ||||||
|
| |||||||
2,308 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% | ||||||||
Albertsons Cos., Inc. | ||||||||
3.50%, 2/15/2023 (f) | 40 | 41 | ||||||
5.75%, 3/15/2025 | 133 | 137 | ||||||
3.25%, 3/15/2026 (f) | 100 | 99 | ||||||
7.50%, 3/15/2026 (f) | 115 | 126 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
4.63%, 1/15/2027 (f) | 85 | 87 | ||||||
3.50%, 3/15/2029 (f) | 100 | 97 | ||||||
4.88%, 2/15/2030 (f) | 90 | 94 | ||||||
New Albertsons LP 8.00%, 5/1/2031 | 29 | 34 | ||||||
Rite Aid Corp. | ||||||||
7.50%, 7/1/2025 (f) | 157 | 155 | ||||||
8.00%, 11/15/2026 (f) | 274 | 273 | ||||||
|
| |||||||
1,143 | ||||||||
|
| |||||||
Food Products — 0.3% | ||||||||
B&G Foods, Inc. 5.25%, 4/1/2025 | 169 | 174 | ||||||
JBS USA LUX SA | ||||||||
5.75%, 6/15/2025 (f) | 120 | 123 | ||||||
6.50%, 4/15/2029 (f) | 24 | 27 | ||||||
5.50%, 1/15/2030 (f) | 216 | 236 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.63%, 1/30/2029 | 670 | 745 | ||||||
4.63%, 10/1/2039 (f) | 49 | 52 | ||||||
5.00%, 6/4/2042 | 146 | 159 | ||||||
Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (f) | 200 | 209 | ||||||
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (f) | 105 | 107 | ||||||
Post Holdings, Inc. | ||||||||
5.00%, 8/15/2026 (f) | 199 | 204 | ||||||
5.75%, 3/1/2027 (f) | 210 | 221 | ||||||
5.63%, 1/15/2028 (f) | 90 | 95 | ||||||
5.50%, 12/15/2029 (f) | 36 | 39 | ||||||
4.63%, 4/15/2030 (f) | 42 | 43 | ||||||
|
| |||||||
2,434 | ||||||||
|
| |||||||
Gas Utilities — 0.0% (d) | ||||||||
AmeriGas Partners LP | ||||||||
5.50%, 5/20/2025 | 267 | 287 | ||||||
5.88%, 8/20/2026 | 25 | 27 | ||||||
5.75%, 5/20/2027 | 39 | 43 | ||||||
|
| |||||||
357 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Avantor Funding, Inc. 4.63%, 7/15/2028 (f) | 130 | 135 | ||||||
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (f) | 100 | 103 | ||||||
Hologic, Inc. 4.38%, 10/15/2025 (f) | 222 | 227 | ||||||
Teleflex, Inc. 4.88%, 6/1/2026 | 32 | 33 | ||||||
|
| |||||||
498 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.9% | ||||||||
Acadia Healthcare Co., Inc. 5.63%, 2/15/2023 | 73 | 73 | ||||||
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023 (f) | 41 | 41 | ||||||
Centene Corp. | ||||||||
4.75%, 1/15/2025 | 57 | 59 | ||||||
5.25%, 4/1/2025 (f) | 106 | 110 | ||||||
5.38%, 6/1/2026 (f) | 99 | 104 | ||||||
4.25%, 12/15/2027 | 130 | 136 | ||||||
4.63%, 12/15/2029 | 320 | 345 | ||||||
3.38%, 2/15/2030 | 280 | 291 | ||||||
3.00%, 10/15/2030 | 120 | 122 | ||||||
Community Health Systems, Inc. | ||||||||
6.25%, 3/31/2023 | 100 | 98 | ||||||
8.63%, 1/15/2024 (f) | 185 | 183 | ||||||
8.00%, 3/15/2026 (f) | 24 | 24 | ||||||
DaVita, Inc. | ||||||||
4.63%, 6/1/2030 (f) | 120 | 123 | ||||||
3.75%, 2/15/2031 (f) | 171 | 165 | ||||||
Encompass Health Corp. | ||||||||
5.75%, 11/1/2024 | 197 | 197 | ||||||
4.50%, 2/1/2028 | 295 | 297 | ||||||
HCA, Inc. | ||||||||
5.88%, 5/1/2023 | 195 | 212 | ||||||
5.38%, 2/1/2025 | 105 | 115 | ||||||
5.88%, 2/15/2026 | 1,168 | 1,309 | ||||||
5.63%, 9/1/2028 | 154 | 176 | ||||||
5.88%, 2/1/2029 | 700 | 816 | ||||||
3.50%, 9/1/2030 | 245 | 249 | ||||||
Polaris Intermediate Corp. 8.50%(cash), 12/1/2022 (f) (l) | 102 | 104 | ||||||
Tenet Healthcare Corp. | ||||||||
6.75%, 6/15/2023 | 210 | 221 | ||||||
4.63%, 7/15/2024 | 184 | 184 | ||||||
4.63%, 9/1/2024 (f) | 101 | 102 | ||||||
5.13%, 5/1/2025 | 131 | 131 | ||||||
4.88%, 1/1/2026 (f) | 602 | 611 | ||||||
6.25%, 2/1/2027 (f) | 510 | 526 | ||||||
5.13%, 11/1/2027 (f) | 63 | 65 | ||||||
|
| |||||||
7,189 | ||||||||
|
| |||||||
Health Care Technology — 0.0% (d) | ||||||||
IQVIA, Inc. 5.00%, 5/15/2027 (f) | 200 | 210 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||
1011778 BC ULC (Canada) | ||||||||
4.25%, 5/15/2024 (f) | 270 | 274 | ||||||
5.00%, 10/15/2025 (f) | 145 | 149 | ||||||
3.88%, 1/15/2028 (f) | 30 | 31 | ||||||
Boyd Gaming Corp. 6.38%, 4/1/2026 | 212 | 221 | ||||||
Caesars Resort Collection LLC 5.75%, 7/1/2025 (f) | 72 | 74 | ||||||
Cedar Fair LP | ||||||||
5.38%, 4/15/2027 | 4 | 4 | ||||||
5.25%, 7/15/2029 | 85 | 81 | ||||||
Enterprise Development Authority (The) 12.00%, 7/15/2024 (f) | 67 | 75 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
4.25%, 9/1/2024 | 20 | 20 | ||||||
5.13%, 5/1/2026 | 357 | 367 | ||||||
4.88%, 1/15/2030 | 48 | 49 | ||||||
Hilton Worldwide Finance LLC | ||||||||
4.63%, 4/1/2025 | 115 | 116 | ||||||
4.88%, 4/1/2027 | 60 | 61 | ||||||
International Game Technology plc | ||||||||
6.50%, 2/15/2025 (f) | 200 | 213 | ||||||
6.25%, 1/15/2027 (f) | 200 | 215 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Marriott International, Inc. Series EE, 5.75%, 5/1/2025 | 100 | 111 | ||||||
Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026 | 255 | 262 | ||||||
MGM Resorts International | ||||||||
6.75%, 5/1/2025 | 395 | 413 | ||||||
5.75%, 6/15/2025 | 14 | 15 | ||||||
4.63%, 9/1/2026 | 481 | 478 | ||||||
5.50%, 4/15/2027 | 79 | 83 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
10.88%, 6/1/2023 (f) | 105 | 117 | ||||||
11.50%, 6/1/2025 (f) | 158 | 184 | ||||||
Scientific Games International, Inc. 5.00%, 10/15/2025 (f) | 215 | 216 | ||||||
Six Flags Entertainment Corp. | ||||||||
4.88%, 7/31/2024 (f) | 227 | 213 | ||||||
5.50%, 4/15/2027 (f) | 65 | 62 | ||||||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (f) | 115 | 122 | ||||||
Stars Group Holdings BV (Canada) 7.00%, 7/15/2026 (f) | 184 | 196 | ||||||
Station Casinos LLC | ||||||||
5.00%, 10/1/2025 (f) | 115 | 113 | ||||||
4.50%, 2/15/2028 (f) | 15 | 14 | ||||||
Wyndham Destinations, Inc. | ||||||||
6.35%, 10/1/2025 (j) | 36 | 38 | ||||||
5.75%, 4/1/2027 (j) | 34 | 35 | ||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025 (f) | 402 | 386 | ||||||
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (f) | 355 | 344 | ||||||
Yum! Brands, Inc. | ||||||||
7.75%, 4/1/2025 (f) | 120 | 133 | ||||||
4.75%, 1/15/2030 (f) | 177 | 190 | ||||||
3.63%, 3/15/2031 | 111 | 111 | ||||||
|
| |||||||
5,786 | ||||||||
|
| |||||||
Household Durables — 0.2% | ||||||||
Lennar Corp. | ||||||||
4.75%, 5/30/2025 | 130 | 142 | ||||||
5.25%, 6/1/2026 | 65 | 73 | ||||||
5.00%, 6/15/2027 | 125 | 140 | ||||||
Newell Brands, Inc. | ||||||||
4.70%, 4/1/2026 (j) | 430 | 458 | ||||||
5.87%, 4/1/2036 (j) | 80 | 92 | ||||||
Tempur Sealy International, Inc. | ||||||||
5.63%, 10/15/2023 | 319 | 322 | ||||||
5.50%, 6/15/2026 | 203 | 211 | ||||||
|
| |||||||
1,438 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Central Garden & Pet Co. | ||||||||
6.13%, 11/15/2023 | 55 | 56 | ||||||
5.13%, 2/1/2028 | 195 | 205 | ||||||
Energizer Holdings, Inc. 7.75%, 1/15/2027 (f) | 555 | 606 | ||||||
Spectrum Brands, Inc. | ||||||||
6.13%, 12/15/2024 | 59 | 61 | ||||||
5.75%, 7/15/2025 | 273 | 281 | ||||||
5.00%, 10/1/2029 (f) | 106 | 110 | ||||||
|
| |||||||
1,319 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.0% (d) | ||||||||
Calpine Corp. 5.25%, 6/1/2026 (f) | 285 | 296 | ||||||
Clearway Energy Operating LLC | ||||||||
5.75%, 10/15/2025 | 5 | 5 | ||||||
5.00%, 9/15/2026 | 60 | 63 | ||||||
|
| |||||||
364 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.0% (d) | ||||||||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (f) | 155 | 143 | ||||||
|
| |||||||
IT Services — 0.0% (d) | ||||||||
Gartner, Inc. 4.50%, 7/1/2028 (f) | 130 | 136 | ||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
Mattel, Inc. | ||||||||
3.15%, 3/15/2023 | 96 | 93 | ||||||
6.75%, 12/31/2025 (f) | 540 | 569 | ||||||
5.88%, 12/15/2027 (f) | 120 | 129 | ||||||
Vista Outdoor, Inc. 5.88%, 10/1/2023 | 210 | 211 | ||||||
|
| |||||||
1,002 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.0% (d) | ||||||||
Avantor, Inc. 6.00%, 10/1/2024 (f) | 355 | 371 | ||||||
|
| |||||||
Machinery — 0.0% (d) | ||||||||
Colfax Corp. 6.00%, 2/15/2024 (f) | 50 | 52 | ||||||
Vertical US Newco, Inc. (Germany) 5.25%, 7/15/2027 (f) | 200 | 208 | ||||||
Welbilt, Inc. 9.50%, 2/15/2024 | 50 | 51 | ||||||
|
| |||||||
311 | ||||||||
|
| |||||||
Media — 1.1% | ||||||||
Altice Financing SA (Luxembourg) 7.50%, 5/15/2026 (f) | 720 | 762 | ||||||
AMC Networks, Inc. | ||||||||
5.00%, 4/1/2024 | 125 | 127 | ||||||
4.75%, 8/1/2025 | 50 | 52 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.25%, 2/15/2024 | 497 | 482 | ||||||
5.13%, 8/15/2027 (f) | 343 | 329 | ||||||
CSC Holdings LLC | ||||||||
5.25%, 6/1/2024 | 85 | 91 | ||||||
5.50%, 5/15/2026 (f) | 475 | 493 | ||||||
5.50%, 4/15/2027 (f) | 200 | 211 | ||||||
5.38%, 2/1/2028 (f) | 200 | 211 | ||||||
Diamond Sports Group LLC 5.38%, 8/15/2026 (f) | 346 | 245 | ||||||
DISH DBS Corp. | ||||||||
6.75%, 6/1/2021 | 60 | 62 | ||||||
5.88%, 7/15/2022 | 200 | 208 | ||||||
5.00%, 3/15/2023 | 35 | 36 | ||||||
5.88%, 11/15/2024 | 1,190 | 1,224 | ||||||
7.75%, 7/1/2026 | 320 | 351 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Entercom Media Corp. 6.50%, 5/1/2027 (f) | 48 | 42 | ||||||
Gray Television, Inc. | ||||||||
5.13%, 10/15/2024 (f) | 65 | 66 | ||||||
5.88%, 7/15/2026 (f) | 85 | 88 | ||||||
7.00%, 5/15/2027 (f) | 120 | 131 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 5/1/2026 | 29 | 30 | ||||||
8.38%, 5/1/2027 | 114 | 112 | ||||||
5.25%, 8/15/2027 (f) | 225 | 220 | ||||||
Lamar Media Corp. | ||||||||
5.75%, 2/1/2026 | 70 | 72 | ||||||
3.75%, 2/15/2028 (f) | 30 | 30 | ||||||
4.00%, 2/15/2030 (f) | 65 | 65 | ||||||
Meredith Corp. 6.88%, 2/1/2026 | 220 | 184 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
5.63%, 7/15/2027 (f) | 270 | 284 | ||||||
4.75%, 11/1/2028 (f) | 124 | 126 | ||||||
Outfront Media Capital LLC 5.00%, 8/15/2027 (f) | 165 | 161 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.63%, 8/1/2024 (f) | 243 | 242 | ||||||
5.88%, 3/15/2026 (f) | 12 | 12 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.63%, 7/15/2024 (f) | 15 | 16 | ||||||
5.38%, 7/15/2026 (f) | 230 | 239 | ||||||
5.00%, 8/1/2027 (f) | 295 | 308 | ||||||
5.50%, 7/1/2029 (f) | 12 | 13 | ||||||
4.13%, 7/1/2030 (f) | 315 | 323 | ||||||
TEGNA, Inc. | ||||||||
5.50%, 9/15/2024 (f) | 8 | 8 | ||||||
4.63%, 3/15/2028 (f) | 60 | 59 | ||||||
ViacomCBS, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (h) | 64 | 65 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (h) | 55 | 60 | ||||||
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (f) | 510 | 537 | ||||||
|
| |||||||
8,377 | ||||||||
|
| |||||||
Metals & Mining — 0.3% | ||||||||
Alcoa Nederland Holding BV | ||||||||
6.75%, 9/30/2024 (f) | 400 | 412 | ||||||
6.13%, 5/15/2028 (f) | 200 | 211 | ||||||
Allegheny Technologies, Inc. 7.88%, 8/15/2023 (j) | 15 | 15 | ||||||
Arconic Corp. 6.13%, 2/15/2028 (f) | 200 | 205 | ||||||
Constellium SE 6.63%, 3/1/2025 (f) | 250 | 256 | ||||||
FMG Resources August 2006 Pty. Ltd. (Australia) | ||||||||
4.75%, 5/15/2022 (f) | 47 | 48 | ||||||
5.13%, 5/15/2024 (f) | 15 | 16 | ||||||
4.50%, 9/15/2027 (f) | 70 | 75 | ||||||
Freeport-McMoRan, Inc. | ||||||||
5.00%, 9/1/2027 | 145 | 152 | ||||||
4.13%, 3/1/2028 | 104 | 105 | ||||||
4.38%, 8/1/2028 | 94 | 97 | ||||||
5.40%, 11/14/2034 | 45 | 50 | ||||||
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (f) | 170 | 159 | ||||||
Novelis Corp. | ||||||||
5.88%, 9/30/2026 (f) | 110 | 113 | ||||||
4.75%, 1/30/2030 (f) | 165 | 161 | ||||||
United States Steel Corp. 12.00%, 6/1/2025 (f) | 73 | 78 | ||||||
|
| |||||||
2,153 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (d) | ||||||||
Macy’s, Inc. 8.38%, 6/15/2025 (f) | 320 | 331 | ||||||
Neiman Marcus Group Ltd. LLC 14.00% (Blend (cash 8.00% + PIK 6.00%)), 4/25/2024 (f) (k) (l) | 251 | 73 | ||||||
|
| |||||||
404 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.2% | ||||||||
Antero Midstream Partners LP | ||||||||
5.38%, 9/15/2024 | 240 | 206 | ||||||
5.75%, 1/15/2028 (f) | 60 | 49 | ||||||
Antero Resources Corp. | ||||||||
5.13%, 12/1/2022 | 60 | 49 | ||||||
5.63%, 6/1/2023 | 206 | 149 | ||||||
Apache Corp. | ||||||||
4.63%, 11/15/2025 | 22 | 21 | ||||||
4.88%, 11/15/2027 | 203 | 192 | ||||||
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (f) | 25 | 19 | ||||||
Blue Racer Midstream LLC 6.13%, 11/15/2022 (f) | 355 | 346 | ||||||
Buckeye Partners LP | ||||||||
4.13%, 3/1/2025 (f) | 65 | 62 | ||||||
4.13%, 12/1/2027 | 185 | 175 | ||||||
4.50%, 3/1/2028 (f) | 65 | 63 | ||||||
Cenovus Energy, Inc. (Canada) 5.38%, 7/15/2025 | 197 | 190 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 90 | 92 | ||||||
4.50%, 10/1/2029 | 325 | 333 | ||||||
Cheniere Energy, Inc. 4.63%, 10/15/2028 (f) | 225 | 231 | ||||||
Chesapeake Energy Corp. 11.50%, 1/1/2025 (f) (k) | 107 | 14 | ||||||
Comstock Resources, Inc. | ||||||||
7.50%, 5/15/2025 (f) | 95 | 90 | ||||||
9.75%, 8/15/2026 | 200 | 206 | ||||||
Crestwood Midstream Partners LP | ||||||||
6.25%, 4/1/2023 (j) | 153 | 150 | ||||||
5.75%, 4/1/2025 | 55 | 50 | ||||||
5.63%, 5/1/2027 (f) | 65 | 58 | ||||||
DCP Midstream Operating LP | ||||||||
4.95%, 4/1/2022 | 20 | 20 | ||||||
5.38%, 7/15/2025 | 166 | 171 | ||||||
5.63%, 7/15/2027 | 65 | 66 | ||||||
6.75%, 9/15/2037 (f) | 60 | 58 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
EnLink Midstream Partners LP | ||||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (g) (h) (i) | 125 | 50 | ||||||
4.40%, 4/1/2024 | 32 | 29 | ||||||
4.15%, 6/1/2025 | 165 | 141 | ||||||
4.85%, 7/15/2026 | 18 | 16 | ||||||
EP Energy LLC | ||||||||
9.38%, 5/1/2024 (f) (k) | 30 | – | (a) | |||||
8.00%, 2/15/2025 (f) (k) | 127 | – | (a) | |||||
EQM Midstream Partners LP | ||||||||
6.00%, 7/1/2025 (f) | 25 | 26 | ||||||
4.13%, 12/1/2026 | 85 | 81 | ||||||
EQT Corp. 7.88%, 2/1/2025 (j) | 310 | 344 | ||||||
Genesis Energy LP | ||||||||
6.00%, 5/15/2023 | 40 | 36 | ||||||
6.25%, 5/15/2026 | 160 | 133 | ||||||
7.75%, 2/1/2028 | 64 | 56 | ||||||
Gulfport Energy Corp. | ||||||||
6.63%, 5/1/2023 | 55 | 34 | ||||||
6.00%, 10/15/2024 | 15 | 9 | ||||||
6.38%, 5/15/2025 | 85 | 53 | ||||||
6.38%, 1/15/2026 | 80 | 49 | ||||||
Hess Midstream Operations LP 5.63%, 2/15/2026 (f) | 95 | 97 | ||||||
Hilcorp Energy I LP | ||||||||
5.75%, 10/1/2025 (f) | 57 | 52 | ||||||
6.25%, 11/1/2028 (f) | 52 | 47 | ||||||
Matador Resources Co. 5.88%, 9/15/2026 | 31 | 26 | ||||||
MEG Energy Corp. (Canada) | ||||||||
7.00%, 3/31/2024 (f) | 61 | 57 | ||||||
6.50%, 1/15/2025 (f) | 284 | 278 | ||||||
7.13%, 2/1/2027 (f) | 96 | 86 | ||||||
NuStar Logistics LP | ||||||||
5.75%, 10/1/2025 | 60 | 62 | ||||||
6.00%, 6/1/2026 | 33 | 33 | ||||||
5.63%, 4/28/2027 | 32 | 32 | ||||||
6.38%, 10/1/2030 | 60 | 62 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022 | 71 | 17 | ||||||
6.88%, 1/15/2023 | 60 | 14 | ||||||
6.25%, 5/1/2026 (f) | 265 | 62 | ||||||
Occidental Petroleum Corp. | ||||||||
2.70%, 8/15/2022 | 293 | 273 | ||||||
8.00%, 7/15/2025 | 126 | 127 | ||||||
5.88%, 9/1/2025 | 70 | 64 | ||||||
3.00%, 2/15/2027 | 20 | 16 | ||||||
8.50%, 7/15/2027 | 141 | 142 | ||||||
6.38%, 9/1/2028 | 70 | 65 | ||||||
8.88%, 7/15/2030 | 158 | 162 | ||||||
6.63%, 9/1/2030 | 70 | 65 | ||||||
Parsley Energy LLC | ||||||||
5.38%, 1/15/2025 (f) | 210 | 209 | ||||||
5.25%, 8/15/2025 (f) | 135 | 134 | ||||||
PBF Holding Co. LLC | ||||||||
9.25%, 5/15/2025 (f) | 83 | 85 | ||||||
6.00%, 2/15/2028 (f) | 125 | 84 | ||||||
QEP Resources, Inc. | ||||||||
5.25%, 5/1/2023 | 30 | 22 | ||||||
5.63%, 3/1/2026 | 49 | 28 | ||||||
Range Resources Corp. | ||||||||
4.88%, 5/15/2025 | 140 | 127 | ||||||
9.25%, 2/1/2026 (f) | 50 | 51 | ||||||
SM Energy Co. | ||||||||
5.00%, 1/15/2024 | 55 | 29 | ||||||
5.63%, 6/1/2025 | 45 | 20 | ||||||
6.63%, 1/15/2027 | 89 | 40 | ||||||
Southwestern Energy Co. | ||||||||
6.45%, 1/23/2025 (j) | 227 | 220 | ||||||
7.50%, 4/1/2026 | 60 | 59 | ||||||
7.75%, 10/1/2027 | 10 | 10 | ||||||
Sunoco LP | ||||||||
5.50%, 2/15/2026 | 35 | 35 | ||||||
5.88%, 3/15/2028 | 10 | 10 | ||||||
Tallgrass Energy Partners LP | ||||||||
5.50%, 9/15/2024 (f) | 49 | 46 | ||||||
5.50%, 1/15/2028 (f) | 60 | 54 | ||||||
Targa Resources Partners LP | ||||||||
5.25%, 5/1/2023 | 25 | 25 | ||||||
4.25%, 11/15/2023 | 100 | 99 | ||||||
5.88%, 4/15/2026 | 560 | 575 | ||||||
6.50%, 7/15/2027 | 127 | 132 | ||||||
5.00%, 1/15/2028 | 50 | 49 | ||||||
6.88%, 1/15/2029 | 85 | 91 | ||||||
4.88%, 2/1/2031 (f) | 113 | 109 | ||||||
TerraForm Power Operating LLC 5.00%, 1/31/2028 (f) | 85 | 93 | ||||||
Western Midstream Operating LP 4.00%, 7/1/2022 | 100 | 101 | ||||||
WPX Energy, Inc. | ||||||||
5.75%, 6/1/2026 | 204 | 212 | ||||||
5.25%, 10/15/2027 | 95 | 96 | ||||||
4.50%, 1/15/2030 | 85 | 84 | ||||||
|
| |||||||
8,885 | ||||||||
|
| |||||||
Personal Products — 0.0% (d) | ||||||||
Prestige Brands, Inc. | ||||||||
6.38%, 3/1/2024 (f) | 95 | 97 | ||||||
5.13%, 1/15/2028 (f) | 80 | 83 | ||||||
|
| |||||||
180 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Bausch Health Americas, Inc. | ||||||||
9.25%, 4/1/2026 (f) | 324 | 356 | ||||||
8.50%, 1/31/2027 (f) | 238 | 262 | ||||||
Bausch Health Cos., Inc. | ||||||||
5.50%, 3/1/2023 (f) | 4 | 4 | ||||||
5.88%, 5/15/2023 (f) | 5 | 5 | ||||||
7.00%, 3/15/2024 (f) | 151 | 156 | ||||||
6.13%, 4/15/2025 (f) | 267 | 273 | ||||||
5.50%, 11/1/2025 (f) | 301 | 308 | ||||||
9.00%, 12/15/2025 (f) | 475 | 517 | ||||||
5.75%, 8/15/2027 (f) | 54 | 57 | ||||||
7.00%, 1/15/2028 (f) | 151 | 160 | ||||||
5.00%, 1/30/2028 (f) | 564 | 548 | ||||||
7.25%, 5/30/2029 (f) | 31 | 33 | ||||||
5.25%, 1/30/2030 (f) | 64 | 63 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investment | Principal Amount ($000) | Value ($000) | ||||||
Elanco Animal Health, Inc. 5.90%, 8/28/2028 (j) | 65 | 75 | ||||||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (f) | 410 | 430 | ||||||
|
| |||||||
3,247 | ||||||||
|
| |||||||
Professional Services — 0.0% (d) | ||||||||
Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (f) | 50 | 54 | ||||||
|
| |||||||
Real Estate Management & Development — 0.0% (d) | ||||||||
Kennedy-Wilson, Inc. 5.88%, 4/1/2024 | 39 | 39 | ||||||
|
| |||||||
Road & Rail — 0.1% | ||||||||
AerCap Global Aviation Trust (Ireland) (ICE LIBOR USD 3 Month + 4.30%), 6.50%, 6/15/2045 (f) (h) | 200 | 170 | ||||||
Ashtead Capital, Inc. (United Kingdom) 4.00%, 5/1/2028 (f) | 200 | 208 | ||||||
Avis Budget Car Rental LLC | ||||||||
6.38%, 4/1/2024 (f) | 165 | 157 | ||||||
5.25%, 3/15/2025 (f) | 97 | 88 | ||||||
5.75%, 7/15/2027 (f) | 46 | 41 | ||||||
Hertz Corp. (The) | ||||||||
7.63%, 6/1/2022 (f) (k) | 55 | 51 | ||||||
5.50%, 10/15/2024 (f) (k) | 252 | 113 | ||||||
7.13%, 8/1/2026 (f) (k) | 160 | 72 | ||||||
|
| |||||||
900 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||
Qorvo, Inc. 5.50%, 7/15/2026 | 145 | 154 | ||||||
Sensata Technologies UK Financing Co. plc 6.25%, 2/15/2026 (f) | 400 | 419 | ||||||
|
| |||||||
573 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
CDK Global, Inc. | ||||||||
5.88%, 6/15/2026 | 35 | 36 | ||||||
5.25%, 5/15/2029 (f) | 156 | 167 | ||||||
Open Text Corp. (Canada) 5.88%, 6/1/2026 (f) | 120 | 125 | ||||||
Solera LLC 10.50%, 3/1/2024 (f) | 44 | 46 | ||||||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (f) | 243 | 258 | ||||||
|
| |||||||
632 | ||||||||
|
| |||||||
Specialty Retail — 0.3% | ||||||||
Gap, Inc. (The) | ||||||||
8.38%, 5/15/2023 (f) | 140 | 155 | ||||||
8.88%, 5/15/2027 (f) | 60 | 68 | ||||||
L Brands, Inc. | ||||||||
5.63%, 2/15/2022 | 220 | 229 | ||||||
6.88%, 11/1/2035 | 195 | 192 | ||||||
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | 251 | 259 | ||||||
PetSmart, Inc. | ||||||||
7.13%, 3/15/2023 (f) | 405 | 409 | ||||||
5.88%, 6/1/2025 (f) | 567 | 581 | ||||||
8.88%, 6/1/2025 (f) | 40 | 41 | ||||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026 (f) | 520 | 479 | ||||||
10.75%, 4/15/2027 (f) | 175 | 140 | ||||||
|
| |||||||
2,553 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||
Dell International LLC 7.13%, 6/15/2024 (f) | 165 | 172 | ||||||
NCR Corp. | ||||||||
5.75%, 9/1/2027 (f) | 225 | 235 | ||||||
5.00%, 10/1/2028 (f) | 67 | 67 | ||||||
6.13%, 9/1/2029 (f) | 295 | 312 | ||||||
Western Digital Corp. 4.75%, 2/15/2026 | 191 | 206 | ||||||
Xerox Corp. 4.38%, 3/15/2023 (j) | 64 | 66 | ||||||
|
| |||||||
1,058 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.0% (d) | ||||||||
Ladder Capital Finance Holdings LLLP REIT, 5.25%, 10/1/2025 (f) | 55 | 51 | ||||||
Quicken Loans LLC | ||||||||
5.25%, 1/15/2028 (f) | 170 | 179 | ||||||
3.63%, 3/1/2029 (f) | 42 | 42 | ||||||
3.88%, 3/1/2031 (f) | 42 | 41 | ||||||
|
| |||||||
313 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% | ||||||||
Ahern Rentals, Inc. 7.38%, 5/15/2023 (f) | 145 | 77 | ||||||
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | 120 | 125 | ||||||
Herc Holdings, Inc. 5.50%, 7/15/2027 (f) | 330 | 341 | ||||||
United Rentals North America, Inc. | ||||||||
4.63%, 10/15/2025 | 350 | 359 | ||||||
5.88%, 9/15/2026 | 80 | 84 | ||||||
5.50%, 5/15/2027 | 90 | 96 | ||||||
3.88%, 11/15/2027 | 75 | 77 | ||||||
4.88%, 1/15/2028 | 85 | 89 | ||||||
3.88%, 2/15/2031 | 299 | 303 | ||||||
WESCO Distribution, Inc. | ||||||||
7.13%, 6/15/2025 (f) | 165 | 180 | ||||||
7.25%, 6/15/2028 (f) | 120 | 131 | ||||||
|
| |||||||
1,862 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% | ||||||||
Hughes Satellite Systems Corp. | ||||||||
5.25%, 8/1/2026 | 190 | 202 | ||||||
6.63%, 8/1/2026 | 35 | 38 | ||||||
Sprint Corp. | ||||||||
7.25%, 9/15/2021 | 86 | 90 | ||||||
7.88%, 9/15/2023 | 220 | 252 | ||||||
7.13%, 6/15/2024 | 254 | 292 | ||||||
7.63%, 2/15/2025 | 795 | 930 | ||||||
7.63%, 3/1/2026 | 248 | 300 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
3.50%, 4/15/2025 (f) | 95 | 104 | ||||||||||
6.50%, 1/15/2026 | 309 | 323 | ||||||||||
4.50%, 2/1/2026 | 208 | 214 | ||||||||||
3.75%, 4/15/2027 (f) | 95 | 106 | ||||||||||
4.75%, 2/1/2028 | 740 | 792 | ||||||||||
3.88%, 4/15/2030 (f) | 95 | 108 | ||||||||||
|
| |||||||||||
3,751 | ||||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS (Cost $93,345) | 92,721 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 4.7% | ||||||||||||
Aerospace & Defense — 0.0% (d) | ||||||||||||
MTU Aero Engines AG (Germany) Series MTX, 0.13%, 5/17/2023 (b) | EUR | 200 | 284 | |||||||||
|
| |||||||||||
Airlines — 0.1% | ||||||||||||
Southwest Airlines Co. 1.25%, 5/1/2025 | 397 | 518 | ||||||||||
|
| |||||||||||
Banks — 0.2% | ||||||||||||
Barclays Bank plc (United Kingdom) Zero Coupon, 2/4/2025 | 474 | 592 | ||||||||||
Series VUN, Zero Coupon, 2/18/2025 | 569 | 605 | ||||||||||
BofA Finance LLC 0.25%, 5/1/2023 | 556 | 544 | ||||||||||
|
| |||||||||||
1,741 | ||||||||||||
|
| |||||||||||
Beverages — 0.1% | ||||||||||||
Remy Cointreau SA (France) 0.13%, 9/7/2026 (b) (k) | EUR | | 384 Units | | 729 | |||||||
|
| |||||||||||
Biotechnology — 0.1% | ||||||||||||
BioMarin Pharmaceutical, Inc. 0.60%, 8/1/2024 | 255 | 268 | ||||||||||
Exact Sciences Corp. 1.00%, 1/15/2025 | 227 | 351 | ||||||||||
|
| |||||||||||
619 | ||||||||||||
|
| |||||||||||
Capital Markets — 0.1% | ||||||||||||
Archer Obligations SA (France) Series KER, Zero Coupon, 3/31/2023 (b) | EUR | 600 | 985 | |||||||||
|
| |||||||||||
Chemicals — 0.2% | ||||||||||||
Sika AG (Switzerland) | ||||||||||||
3.75%, 1/30/2022 (b) | CHF | 400 | 738 | |||||||||
0.15%, 6/5/2025 (b) | CHF | 180 | 252 | |||||||||
Symrise AG (Germany) Series SY1G, 0.24%, 6/20/2024 (b) | EUR | 400 | 627 | |||||||||
|
| |||||||||||
1,617 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies — 0.1% | ||||||||||||
China Conch Venture Holdings International Ltd. (China) Zero Coupon, 9/5/2023 (b) | HKD | 4,000 | 568 | |||||||||
|
| |||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||
Chegg, Inc. 0.13%, 3/15/2025 | 286 | 435 | ||||||||||
|
| |||||||||||
Diversified Telecommunication Services — 0.1% |
| |||||||||||
Cellnex Telecom SA (Spain) 1.50%, 1/16/2026 (b) | EUR | 400 | 816 | |||||||||
|
| |||||||||||
Entertainment — 0.1% | ||||||||||||
Live Nation Entertainment, Inc. 2.50%, 3/15/2023 | 612 | 682 | ||||||||||
Sea Ltd. (Taiwan) 1.00%, 12/1/2024 (f) | 119 | 367 | ||||||||||
|
| |||||||||||
1,049 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.2% | ||||||||||||
DexCom, Inc. | ||||||||||||
0.75%, 12/1/2023 | 311 | 786 | ||||||||||
0.25%, 11/15/2025 (f) | 197 | 208 | ||||||||||
Insulet Corp. 0.38%, 9/1/2026 (f) | 451 | 574 | ||||||||||
|
| |||||||||||
1,568 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services — 0.0% (d) | ||||||||||||
Orpea (France) 0.38%, 5/17/2027 (b) (k) | EUR | | 242 Units | | 386 | |||||||
|
| |||||||||||
Household Durables — 0.1% | ||||||||||||
Sony Corp. (Japan) Series 6, Zero Coupon, 9/30/2022 | JPY | 55,000 | 837 | |||||||||
|
| |||||||||||
Interactive Media & Services — 0.2% | ||||||||||||
Snap, Inc. 0.75%, 8/1/2026 | 554 | 767 | ||||||||||
Zillow Group, Inc. 1.38%, 9/1/2026 | 332 | 793 | ||||||||||
|
| |||||||||||
1,560 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail — 0.4% | ||||||||||||
Booking Holdings, Inc. 0.75%, 5/1/2025 (f) | 551 | 707 | ||||||||||
Match Group Financeco, Inc. 0.88%, 10/1/2022 (f) | 250 | 636 | ||||||||||
MercadoLibre, Inc. (Argentina) 2.00%, 8/15/2028 | 412 | 1,037 | ||||||||||
Ocado Group plc (United Kingdom) 0.88%, 12/9/2025 (b) | GBP | 300 | 637 | |||||||||
|
| |||||||||||
3,017 | ||||||||||||
|
| |||||||||||
IT Services — 0.6% | ||||||||||||
Akamai Technologies, Inc. 0.13%, 5/1/2025 | 399 | 513 | ||||||||||
Amadeus IT Group SA (Spain) 1.50%, 4/9/2025 (b) | EUR | 600 | 866 | |||||||||
Atos SE (France) Zero Coupon, 11/6/2024 (b) | EUR | 300 | 443 | |||||||||
MongoDB, Inc. 0.25%, 1/15/2026 (f) | 300 | 392 | ||||||||||
Okta, Inc. 0.13%, 9/1/2025 | 460 | 606 | ||||||||||
Shopify, Inc. (Canada) 0.13%, 11/1/2025 | 300 | 335 | ||||||||||
Square, Inc. 0.50%, 5/15/2023 | 409 | 885 | ||||||||||
Twilio, Inc. 0.25%, 6/1/2023 | 201 | 699 | ||||||||||
|
| |||||||||||
4,739 | ||||||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||||||
Life Sciences Tools & Services — 0.1% |
| |||||||||||
Illumina, Inc. 0.50%, 6/15/2021 | 356 | 457 | ||||||||||
Repligen Corp. 0.38%, 7/15/2024 | 505 | 718 | ||||||||||
|
| |||||||||||
1,175 | ||||||||||||
|
| |||||||||||
Media — 0.1% | ||||||||||||
DISH Network Corp. 3.38%, 8/15/2026 | 70 | 64 | ||||||||||
Liberty Interactive LLC 1.75%, 9/30/2046 (f) | 299 | 551 | ||||||||||
Liberty Media Corp. 1.38%, 10/15/2023 | 268 | 292 | ||||||||||
|
| |||||||||||
907 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% (d) | ||||||||||||
Oasis Petroleum, Inc. 2.63%, 9/15/2023 | 20 | 5 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 0.0% (d) | ||||||||||||
Sino Biopharmaceutical Ltd. (Hong Kong) Zero Coupon, 2/17/2025 (b) | EUR | 171 | 195 | |||||||||
|
| |||||||||||
Real Estate Management & Development — 0.0% (d) | ||||||||||||
Smart Insight International Ltd. (China) 4.50%, 12/5/2023 (b) | HKD | 2,000 | 298 | |||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment — 0.5% | ||||||||||||
Advanced Micro Devices, Inc. 2.13%, 9/1/2026 | 56 | 573 | ||||||||||
Inphi Corp. 0.75%, 4/15/2025 (f) | 588 | 704 | ||||||||||
Microchip Technology, Inc. 1.63%, 2/15/2027 | 1,014 | 1,562 | ||||||||||
ON Semiconductor Corp. 1.63%, 10/15/2023 | 324 | 428 | ||||||||||
Silicon Laboratories, Inc. 1.38%, 3/1/2022 | 209 | 250 | ||||||||||
STMicroelectronics NV (Switzerland) Series B, 0.25%, 7/3/2024 (b) | 200 | 311 | ||||||||||
|
| |||||||||||
3,828 | ||||||||||||
|
| |||||||||||
Software — 1.1% | ||||||||||||
Atlassian, Inc. 0.63%, 5/1/2023 | 460 | 1,035 | ||||||||||
Cloudflare, Inc. 0.75%, 5/15/2025 (f) | 183 | 246 | ||||||||||
Coupa Software, Inc. 0.13%, 6/15/2025 | 656 | 1,195 | ||||||||||
Datadog, Inc. 0.13%, 6/15/2025 (f) | 175 | 231 | ||||||||||
DocuSign, Inc. 0.50%, 9/15/2023 | 361 | 1,090 | ||||||||||
Envestnet, Inc. 1.75%, 6/1/2023 | 352 | 451 | ||||||||||
Five9, Inc. | ||||||||||||
0.13%, 5/1/2023 | 153 | 482 | ||||||||||
0.50%, 6/1/2025 (f) | 192 | 232 | ||||||||||
Palo Alto Networks, Inc. 0.75%, 7/1/2023 | 321 | 362 | ||||||||||
Proofpoint, Inc. 0.25%, 8/15/2024 | 211 | 210 | ||||||||||
RealPage, Inc. 1.50%, 5/15/2025 | 264 | 272 | ||||||||||
RingCentral, Inc. Zero Coupon, 3/1/2025 (f) | 382 | 407 | ||||||||||
ServiceNow, Inc. Zero Coupon, 6/1/2022 | 363 | 1,311 | ||||||||||
Slack Technologies, Inc. 0.50%, 4/15/2025 (f) | 200 | 232 | ||||||||||
Splunk, Inc. 0.50%, 9/15/2023 | 347 | 482 | ||||||||||
Workday, Inc. 0.25%, 10/1/2022 | 362 | 556 | ||||||||||
Xero Investments Ltd. (New Zealand) 2.38%, 10/4/2023 (b) | 474 | 795 | ||||||||||
|
| |||||||||||
9,589 | ||||||||||||
|
| |||||||||||
Specialty Retail — 0.1% | ||||||||||||
Zhongsheng Group Holdings Ltd. (China) Zero Coupon, 5/23/2023 (b) | HKD | 3,000 | 627 | |||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||||
adidas AG (Germany) Series ADS, 0.05%, 9/12/2023 (b) | EUR | 200 | 284 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE (France) Series MCFP, Zero Coupon, 2/16/2021 (b) | | 155 Units | | 769 | ||||||||
|
| |||||||||||
1,053 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% (d) | ||||||||||||
Vodafone Group plc (United Kingdom) 1.50%, 3/12/2022 (b) | GBP | 200 | 216 | |||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $30,108) | 39,361 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES — 3.7% | ||||||||||||
ABFC Trust | ||||||||||||
Series 2003-OPT1, Class M1, 1.18%, 2/25/2033 ‡ (m) | 566 | 563 | ||||||||||
ACC Trust | ||||||||||||
Series 2019-1, Class A, 3.75%, 5/20/2022 (f) | 155 | 156 | ||||||||||
Series 2019-1, Class C, 6.41%, 2/20/2024 (f) | 500 | 491 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust | ||||||||||||
Series 2004-OP1, Class M3, 2.02%, 4/25/2034 (m) | 205 | 199 | ||||||||||
Series 2004-HE3, Class M3, 1.23%, 11/25/2034 ‡ (m) | 32 | 33 | ||||||||||
American Credit Acceptance Receivables Trust | ||||||||||||
Series 2019-2, Class B, 3.05%, 5/12/2023 (f) | 20 | 20 | ||||||||||
Series 2017-2, Class E, 5.52%, 3/12/2024 (f) | 130 | 132 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 2019-1, Class D, 3.81%, 4/14/2025 (f) | 640 | 665 | ||||||
Series 2019-1, Class E, 4.84%, 4/14/2025 (f) | 445 | 463 | ||||||
Series 2019-3, Class E, 3.80%, 9/12/2025 (f) | 400 | 405 | ||||||
AmeriCredit Automobile Receivables Trust Series 2019-1, Class D, 3.62%, 3/18/2025 | 210 | 219 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2002-2, Class M3, 2.80%, 8/25/2032 ‡ (m) | 201 | 200 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Securities Series 2004-R1, Class M1, 0.94%, 2/25/2034‡ (m) | 169 | 163 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2004-W3, Class A3, 0.97%, 2/25/2034 ‡ (m) | 69 | 67 | ||||||
Series 2004-W7, Class M9, 3.96%, 5/25/2034 ‡ (f) (m) | 135 | 144 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2004-2, Class M1, 1.35%, 8/25/2034 ‡ (m) | 254 | 251 | ||||||
CDC Mortgage Capital Trust | ||||||||
Series 2003-HE1, Class M1, 1.50%, 8/25/2033 (m) | 134 | 134 | ||||||
Series 2003-HE3, Class M2, 2.77%, 11/25/2033 ‡ (m) | 2 | 2 | ||||||
Chase Funding Loan Acquisition Trust Series 2004-OPT1, Class M2, 1.65%, 6/25/2034 ‡ (m) | 95 | 94 | ||||||
CHEC Loan Trust Series 2004-2, Class M3, 1.40%, 4/25/2034 ‡ (m) | 205 | 204 | ||||||
CIG Auto Receivables Trust | ||||||||
Series 2019-1A, Class B, 3.59%, 8/15/2024 (f) | 935 | 963 | ||||||
Series 2019-1A, Class C, 3.82%, 8/15/2024 (f) | 225 | 232 | ||||||
Citifinancial Mortgage Securities, Inc. Series 2004-1, Class AF4, 5.07%, 4/25/2034 ‡ (j) | 936 | 975 | ||||||
Conn’s Receivables Funding LLC | ||||||||
Series 2018-A, Class C, 6.02%, 1/15/2023 ‡ (f) | 63 | 63 | ||||||
Series 2019-A, Class B, 4.36%, 10/16/2023 ‡ (f) | 179 | 179 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2003-BC6, Class M2, 1.87%, 10/25/2033 ‡ (m) | 8 | 8 | ||||||
Series 2005-12, Class M2, 0.64%, 2/25/2036 ‡ (m) | 551 | 549 | ||||||
Credit Acceptance Auto Loan Trust Series 2019-1A, Class B, 3.75%, 4/17/2028 (f) | 534 | 559 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
Series 2003-CB5, Class M2, 2.62%, 11/25/2033 ‡ (m) | 31 | 31 | ||||||
Series 2004-CB6, Class M3, 2.25%, 12/25/2033 ‡ (m) | 140 | 138 | ||||||
Series 2004-CB4, Class A5, 6.78%, 5/25/2035 (j) | 509 | 528 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust | ||||||||
Series 2004-5, Class M3, 1.87%, 7/25/2034 ‡ (m) | 258 | 257 | ||||||
Series 2004-6, Class M2, 1.12%, 10/25/2034 ‡ (m) | 209 | 204 | ||||||
Drive Auto Receivables Trust Series 2019-3, Class D, 3.18%, 10/15/2026 | 980 | 1,012 | ||||||
DT Auto Owner Trust Series 2017-1A, Class D, 3.55%, 11/15/2022 (f) | 15 | 15 | ||||||
Equity One Mortgage Pass-Through Trust Series 2003-1, Class M1, 4.86%, 8/25/2033 ‡ (m) | 531 | 546 | ||||||
First Franklin Mortgage Loan Trust Series 2006-FF8, Class IIA3, 0.30%, 7/25/2036 ‡ (m) | 36 | 35 | ||||||
FREED ABS Trust | ||||||||
Series 2018-2, Class B, 4.61%, 10/20/2025 ‡ (f) | 305 | 306 | ||||||
Series 2019-1, Class A, 3.42%, 6/18/2026 (f) | 7 | 7 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
Series 2019-2A, Class B, 3.32%, 3/15/2024 (f) | 1,300 | 1,339 | ||||||
Series 2019-2A, Class D, 4.52%, 2/17/2026 (f) | 550 | 562 | ||||||
GLS Auto Receivables Trust Series 2018-1A, Class B, 3.52%, 8/15/2023 (f) | 350 | 355 | ||||||
GSAMP Trust Series 2004-NC2, Class B2, 3.52%, 10/25/2034 ‡ (f) (m) | 527 | 423 | ||||||
Home Equity Asset Trust | ||||||||
Series 2002-1, Class M2, 2.05%, 11/25/2032 ‡ (m) | 308 | 293 | ||||||
Series 2004-3, Class M1, 1.00%, 8/25/2034 ‡ (m) | 242 | 240 | ||||||
Series 2004-6, Class M2, 1.05%, 12/25/2034 ‡ (m) | 91 | 90 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2004-B, Class M3, 1.35%, 11/25/2034 ‡ (m) | 176 | 175 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2001-2, Class M1, 0.71%, 7/25/2031 ‡ (m) | 150 | 150 | ||||||
Series 2003-4, Class M2, 2.77%, 8/25/2033 ‡ (m) | 16 | 16 | ||||||
Marlette Funding Trust Series 2019-4A, Class A, 2.39%, 12/17/2029 (f) | 192 | 194 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
MASTR Asset-Backed Securities Trust Series 2004-OPT1, Class M2, 1.80%, 2/25/2034 ‡ (m) | 51 | 51 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2003-OPT1, Class M1, 1.12%, 7/25/2034 (m) | 59 | 57 | ||||||
Series 2004-HE1, Class M2, 2.40%, 4/25/2035 ‡ (m) | 233 | 226 | ||||||
Series 2005-NC1, Class M2, 1.23%, 10/25/2035 ‡ (m) | 302 | 300 | ||||||
Series 2005-FM1, Class M1, 0.87%, 5/25/2036 (m) | 213 | 208 | ||||||
MFA LLC Series 2018-NPL1, Class A1, 3.88%, 5/25/2048 ‡ (f) (j) | 219 | 218 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2003-NC8, Class M1, 1.20%, 9/25/2033 ‡ (m) | 1,073 | 1,064 | ||||||
Series 2005-HE1, Class M3, 0.93%, 12/25/2034 ‡ (m) | 263 | 239 | ||||||
Series 2005-HE1, Class M4, 1.23%, 12/25/2034 ‡ (m) | 153 | 143 | ||||||
New Century Home Equity Loan Trust | ||||||||
Series 2003-5, Class M1, 5.03%, 11/25/2033 (j) | 160 | 164 | ||||||
Series 2004-4, Class M1, 0.91%, 2/25/2035 ‡ (m) | 435 | 422 | ||||||
Series 2005-1, Class M1, 0.82%, 3/25/2035 ‡ (m) | 157 | 156 | ||||||
NovaStar Mortgage Funding Trust | ||||||||
Series 2003-2, Class M2, 2.92%, 9/25/2033 ‡ (m) | 372 | 378 | ||||||
Series 2003-3, Class M1, 1.27%, 12/25/2033 ‡ (m) | 51 | 51 | ||||||
Option One Mortgage Acceptance Corp. Asset-Backed Certificates Series 2003-4, Class M1, 1.17%, 7/25/2033 ‡ (m) | 457 | 456 | ||||||
Option One Mortgage Loan Trust Series 2004-2, Class M2, 1.72%, 5/25/2034 ‡ (m) | 471 | 464 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2004-WWF1, Class M4, 1.80%, 12/25/2034 ‡ (m) | 772 | 786 | ||||||
Series 2005-WCH1, Class M4, 1.39%, 1/25/2036 ‡ (m) | 473 | 472 | ||||||
PNMAC GMSR Issuer Trust Series 2018-GT1, Class A, 3.00%, 2/25/2023 (f) (m) | 380 | 371 | ||||||
Prestige Auto Receivables Trust Series 2017-1A, Class D, 3.61%, 10/16/2023 (f) | 230 | 234 | ||||||
Pretium Mortgage Credit Partners I LLC | ||||||||
Series 2019-NPL2, Class A1, 3.84%, 12/27/2058 ‡ (f) (j) | 502 | 503 | ||||||
Series 2019-NPL2, Class A2, 5.93%, 12/27/2058 ‡ (f) (j) | 500 | 499 | ||||||
Prosper Marketplace Issuance Trust Series 2019-2A, Class B, 3.69%, 9/15/2025 ‡ (f) | 100 | 100 | ||||||
PRPM LLC Series 2019-2A, Class A1, 3.97%, 4/25/2024 ‡ (f) (j) | 385 | 388 | ||||||
RAMP Trust | ||||||||
Series 2005-RS6, Class M4, 1.12%, 6/25/2035 ‡ (m) | 500 | 497 | ||||||
Series 2006-RZ3, Class M1, 0.50%, 8/25/2036 ‡ (m) | 1,000 | 967 | ||||||
Renaissance Home Equity Loan Trust Series 2003-2, Class M1, 1.39%, 8/25/2033 ‡ (m) | 1,033 | 1,019 | ||||||
Santander Revolving Auto Loan Trust | ||||||||
Series 2019-A, Class C, 3.00%, 1/26/2032 (f) | 310 | 325 | ||||||
Series 2019-A, Class D, 3.45%, 1/26/2032 (f) | 420 | 438 | ||||||
Saxon Asset Securities Trust | ||||||||
Series 2000-2, Class MF2, 8.66%, 7/25/2030 ‡ (j) | 58 | 51 | ||||||
Series 2003-2, Class M2, 2.77%, 6/25/2033 ‡ (m) | 120 | 123 | ||||||
Series 2003-3, Class M1, 1.12%, 12/25/2033 ‡ (m) | 362 | 355 | ||||||
Series 2004-2, Class MV2, 1.95%, 8/25/2035 ‡ (m) | 213 | 212 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2003-BC4, Class M1, 1.05%, 11/25/2034 ‡ (m) | 202 | 200 | ||||||
Stanwich Mortgage Loan Trust Series 2019-NPB2, Class A1, 3.48%, 11/16/2024 ‡ (f) (j) | 1,253 | 1,243 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC11, Class M1, 1.12%, 10/25/2033 ‡ (m) | 135 | 135 | ||||||
Series 2004-7, Class M1, 1.20%, 8/25/2034 ‡ (m) | 37 | 36 | ||||||
Series 2004-7, Class M2, 1.27%, 8/25/2034 ‡ (m) | 36 | 36 | ||||||
Series 2004-8, Class M2, 1.08%, 9/25/2034 ‡ (m) | 210 | 206 | ||||||
Structured Asset Securities Corp. Trust Series 2005-SC1, Class 1A1, 0.42%, 5/25/2031 ‡ (f) (m) | 97 | 71 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
Series 2019-NPL2, Class A1, 3.97%, 2/25/2049 ‡ (f) (j) | 707 | 707 | ||||||
Series 2019-NPL7, Class A1A, 3.18%, 10/25/2049 ‡ (f) (j) | 979 | 982 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust Series 2004-2, Class M8A, 4.65%, 10/25/2034 ‡ (f) (m) | 194 | 178 | ||||||
Westlake Automobile Receivables Trust Series 2019-1A, Class E, 4.49%, 7/15/2024 (f) | 505 | 525 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES (Cost $30,303) | 31,305 | |||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 2.9% | ||||||||
Alternative Loan Trust | ||||||||
Series 2005-20CB, Class 4A1, 5.25%, 7/25/2020 | 2 | 2 | ||||||
Series 2004-27CB, Class A1, 6.00%, 12/25/2034 | 239 | 239 | ||||||
Series 2005-3CB, Class 1A4, 5.25%, 3/25/2035 | 8 | 9 | ||||||
American Home Mortgage Investment Trust Series 2006-3, Class 22A1, 2.06%, 12/25/2036 (m) | 1,344 | 1,197 | ||||||
Angel Oak Mortgage Trust | ||||||||
Series 2019-5, Class A3, 2.92%, 10/25/2049 (f) (m) | 1,521 | 1,523 | ||||||
Series 2020-1, Class M1, 3.16%, 12/25/2059 ‡ (f) (m) | 897 | 876 | ||||||
Banc of America Alternative Loan Trust | ||||||||
Series 2004-6, Class 4A1, 5.00%, 7/25/2019 | 10 | 10 | ||||||
Series 2006-5, Class 3A1, 6.00%, 6/25/2046 | 24 | 24 | ||||||
Bear Stearns ALT-A Trust | ||||||||
Series 2005-4, Class 23A2, 3.50%, 5/25/2035 (m) | 221 | 219 | ||||||
Series 2005-7, Class 12A3, 0.83%, 8/25/2035 (m) | 8 | 8 | ||||||
Bellemeade Re Ltd. (Bermuda) Series 2019-1A, Class M1A, 1.45%, 3/25/2029 ‡ (f) m) | 82 | 82 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series 2005-HYB3, Class 2A1A, 3.54%, 6/20/2035 (m) | 292 | 295 | ||||||
Series 2006-HYB1, Class 2A2C, 3.15%, 3/20/2036 (m) | 460 | 442 | ||||||
Series 2006-HYB2, Class 2A1B, 3.40%, 4/20/2036 (m) | 416 | 381 | ||||||
Series 2006-21, Class A14, 6.00%, 2/25/2037 | 66 | 51 | ||||||
Citigroup Mortgage Loan Trust Series 2005-11, Class A2A, 2.53%, 10/25/2035 (m) | 91 | 90 | ||||||
Connecticut Avenue Securities Trust Series 2019-R05, Class 1B1, 4.25%, 7/25/2039 (f) (m) | 500 | 437 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
Series 2018-3A, Class B2, 5.91%, 8/25/2058 ‡ (f) (m) | 300 | 300 | ||||||
Series 2019-4A, Class M1, 3.48%, 10/25/2059 ‡ (f) (m) | 1,457 | 1,490 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AF1, Class A4, 0.45%, 4/25/2036 (m) | 476 | 457 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2006-AR1, Class 1A3, 0.48%, 2/25/2036 (m) | 1,266 | 1,216 | ||||||
Eagle RE Ltd. (Bermuda) | ||||||||
Series 2019-1, Class M1B, 1.95%, 4/25/2029 ‡ (f) (m) | 90 | 90 | ||||||
Series 2019-1, Class M2, 3.45%, 4/25/2029 ‡ (f) (m) | 350 | 337 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-HQA2, Class M3, 5.30%, 11/25/2028 (m) | 304 | 313 | ||||||
FHLMC, REMIC Series 3077, Class TO, PO, 4/15/2035 | – | (a) | – | (a) | ||||
FNMA, REMIC | ||||||||
Series 2008-65, Class CD, 4.50%, 8/25/2023 | – | (a) | – | (a) | ||||
Series 2009-86, Class OT, PO, 10/25/2037 | – | (a) | – | (a) | ||||
Fremont Home Loan Trust Series 2004-A, Class M1, 0.97%, 1/25/2034 ‡ (m) | 740 | 730 | ||||||
GCAT Trust Series 2019-NQM2, Class M1, 3.31%, 9/25/2059 ‡ (f) (m) | 2,000 | 2,032 | ||||||
GSR Mortgage Loan Trust Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | 3 | 4 | ||||||
Homeward Opportunities Fund I Trust | ||||||||
Series 2019-1, Class M1, 3.95%, 1/25/2059 ‡ (f) (m) | 250 | 254 | ||||||
Series 2019-1, Class B1, 4.80%, 1/25/2059 ‡ (f) (m) | 250 | 255 | ||||||
Impac CMB Trust | ||||||||
Series 2004-9, Class 1A1, 0.91%, 1/25/2035 (m) | 333 | 334 | ||||||
Series 2005-5, Class A4, 0.91%, 8/25/2035 (m) | 270 | 248 | ||||||
Series 2005-8, Class 1AM, 0.85%, 2/25/2036 (m) | 550 | 528 | ||||||
Series 2007-A, Class M3, 2.40%, 5/25/2037 ‡ (f) (m) | 514 | 494 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-3, Class 3A2, 3.16%, 4/25/2034 (m) | 116 | 117 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-6, Class 8A1, 5.50%, 7/25/2034 | 114 | 117 | ||||||
Series 2005-6, Class 1A2, 5.50%, 12/25/2035 | 246 | 223 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2005-A5, Class A9, 3.51%, 6/25/2035 (m) | 66 | 66 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class B2, | 688 | 648 | ||||||
Nmg Frn 9/18/2025 ‡ | 66 | 66 | ||||||
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | 1 | 1 | ||||||
PRPM LLC Series 2019-1A, Class A1, 4.50%, 1/25/2024 (f) (j) | 597 | 602 | ||||||
RALI Trust Series 2004-QS3, Class CB, 5.00%, 3/25/2019 | – | (a) | – | (a) | ||||
Residential Asset Securitization Trust | ||||||||
Series 2004-A6, Class A1, 5.00%, 8/25/2019 | 3 | 3 | ||||||
Series 2006-A8, Class 3A1, 6.00%, 8/25/2036 | 379 | 274 | ||||||
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 (f) | 25 | 25 | ||||||
Sequoia Mortgage Trust Series 2007-3, Class 1A1, 0.36%, 7/20/2036 (m) | 193 | 184 | ||||||
Starwood Mortgage Residential Trust Series 2019-INV1, Class M1, 3.06%, 9/27/2049 ‡ (f) (m) | 1,721 | 1,652 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
Series 2005-AR2, Class 2A1, 0.61%, 5/25/2045 (m) | 85 | 81 | ||||||
Series 2007-AR7, Class 1A1, 1.00%, 5/25/2047 (m) | 483 | 370 | ||||||
Verus Securitization Trust | ||||||||
Series 2019-4, Class B1, 3.86%, 11/25/2059 ‡ (f) (m) | 1,100 | 1,036 | ||||||
Series 2019-INV1, Class M1, 4.03%, 12/25/2059 ‡ (f) (m) | 100 | 101 | ||||||
Series 2019-INV1, Class B1, 4.99%, 12/25/2059 ‡ (f) | 100 | 94 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR8, Class 2AB2, | 1,018 | 987 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-AR3, Class A1, 3.61%, 3/25/2035 (m) | 193 | 196 | ||||||
Series 2005-AR10, Class 1A3, 3.02%, 9/25/2035 (m) | 1,639 | 1,727 | ||||||
Series 2005-AR10, Class 1A4, 3.02%, 9/25/2035 (m) | 225 | 238 | ||||||
Series 2007-HY3, Class 3A3, 3.59%, 3/25/2037 (m) | 299 | 283 | ||||||
Series 2006-AR17, Class 1A1A, 1.98%, 12/25/2046 (m) | 406 | 374 | ||||||
|
| |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $24,559) | 24,432 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.4% |
| |||||||
U.S. Treasury Notes 2.50%, 1/31/2021 (n)(Cost $20,080) | 20,015 | 20,170 | ||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 1.1% | ||||||||
BANK Series 2019-BN21, Class XA, IO, 1.00%, 10/17/2052 (m) | 5,614 | 363 | ||||||
BX Commercial Mortgage Trust Series 2018-BIOA, Class D, 1.47%, 3/15/2037 ‡ (f) (m) | 500 | 493 | ||||||
Commercial Mortgage Trust Series 2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (f) (m) | 270 | 216 | ||||||
DBGS Mortgage Trust Series 2018-5BP, Class B, 0.98%, 6/15/2033 ‡ (f) (m) | 750 | 737 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series KC04, Class X1, IO, 1.41%, 12/25/2026 (m) | 3,360 | 186 | ||||||
Series K075, Class X3, IO, 2.20%, 5/25/2028 (m) | 2,250 | 300 | ||||||
Series K086, Class X1, IO, 0.39%, 11/25/2028 (m) | 12,337 | 245 | ||||||
Series K090, Class X1, IO, 0.85%, 2/25/2029 (m) | 10,570 | 574 | ||||||
Series K090, Class X3, IO, 2.39%, 10/25/2029 (m) | 3,390 | 554 | ||||||
Series K068, Class X3, IO, 2.13%, 10/25/2044 (m) | 5,100 | 615 | ||||||
Series K729, Class X3, IO, 2.04%, 11/25/2044 (m) | 4,530 | 323 | ||||||
Series K730, Class X3, IO, 2.10%, 2/25/2045 (m) | 3,830 | 295 | ||||||
Series K072, Class X3, IO, 2.21%, 12/25/2045 (m) | 5,070 | 655 | ||||||
Series K089, Class X3, IO, 2.37%, 1/25/2046 (m) | 3,132 | 488 | ||||||
Series K088, Class X3, IO, 2.42%, 2/25/2047 (m) | 3,610 | 577 | ||||||
Series K092, Class X3, IO, 2.32%, 5/25/2047 (m) | 570 | 89 | ||||||
FNMA ACES Series 2016-M4, Class X2, IO, 2.70%, 1/25/2039 (m) | 2,757 | 186 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2019-K736, Class C, 3.88%, 7/25/2026 (f) (m) | 165 | 173 | ||||||
Series 2017-KF40, Class B, 2.86%, 11/25/2027 (f)(m) | 373 | 356 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
GNMA | ||||||||
Series 2012-44, IO, 0.22%, 3/16/2049 (m) | 2,085 | 11 | ||||||
Series 2013-80, IO, 0.71%, 3/16/2052 (m) | 2,797 | 77 | ||||||
Series 2015-86, IO, 0.62%, 5/16/2052 (m) | 1,686 | 58 | ||||||
Series 2014-186, IO, 0.70%, 8/16/2054 (m) | 3,085 | 108 | ||||||
Series 2015-33, IO, 0.70%, 2/16/2056 (m) | 3,160 | 124 | ||||||
Series 2015-59, IO, 0.92%, 6/16/2056 (m) | 480 | 21 | ||||||
Series 2017-173, IO, 1.35%, 9/16/2057 (m) | 1,194 | 95 | ||||||
Series 2017-86, IO, 0.78%, 5/16/2059 (m) | 946 | 52 | ||||||
Series 2017-148, IO, 0.64%, 7/16/2059 (m) | 1,137 | 54 | ||||||
Series 2017-171, IO, 0.69%, 9/16/2059 (m) | 737 | 42 | ||||||
LB Commercial Mortgage Trust Series 2007-C3, Class AJ, 6.11%, 7/15/2044 (m) | 29 | 28 | ||||||
LB-UBS Commercial Mortgage Trust Series 2007-C6, Class AJ, 6.46%, 7/15/2040 (m) | 90 | 86 | ||||||
Velocity Commercial Capital Loan Trust | ||||||||
Series 2019-1, Class A, 3.76%, 3/25/2049 (f) (m) | 48 | 50 | ||||||
Series 2019-1, Class M1, 3.94%, 3/25/2049 ‡ (f) (m) | 815 | 831 | ||||||
Series 2019-3, Class A, 3.03%, 10/25/2049 (f) (m) | 466 | 476 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $10,096) | 9,538 | |||||||
|
| |||||||
Shares | ||||||||
CONVERTIBLE PREFERRED STOCKS — 0.5% | ||||||||
Banks — 0.0% (d) | ||||||||
Wells Fargo & Co. Series L, 7.50% ($1,000 par value) | – | (a) | 294 | |||||
|
| |||||||
Chemicals — 0.0% (d) | ||||||||
International Flavors & Fragrances, Inc. 6.00%, 9/15/2021 ($50 par value) | 6 | 276 | ||||||
|
| |||||||
Electric Utilities — 0.1% | ||||||||
NextEra Energy, Inc. 6.22%, 9/1/2023 ($50 par value) | 17 | 801 | ||||||
|
| |||||||
Food Products — 0.1% | ||||||||
Bunge Ltd. 4.88% ($100 par value) | 4 | 421 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Becton Dickinson and Co. Series B, 6.00%, 6/1/2023 ($50 par value) | 4 | 200 | ||||||
Danaher Corp. Series B, 5.00%, 4/15/2023 ($1,000 par value) | – | (a) | 245 | |||||
|
| |||||||
445 | ||||||||
|
| |||||||
Machinery — 0.1% | ||||||||
Stanley Black & Decker, Inc. Series C, 5.00%, 5/15/2021 ($1,000 par value) | – | (a) | 422 | |||||
|
| |||||||
Multi-Utilities — 0.1% | ||||||||
Dominion Energy, Inc. Series A, 7.25%, 6/1/2022 ($100 par value) | 2 | 221 | ||||||
Sempra Energy Series B, 6.75%, 7/15/2021 ($100 par value) | 4 | 385 | ||||||
|
| |||||||
606 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.0% (d) | ||||||||
Broadcom, Inc. Series A, 8.00%, 9/30/2022 ($1,000 par value) | 1 | 1,045 | ||||||
|
| |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $4,214) | 4,310 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
LOAN ASSIGNMENTS — 0.1% (o) | ||||||||
Auto Components — 0.0% (d) | ||||||||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/6/2024 (h) | 5 | 5 | ||||||
|
| |||||||
Chemicals — 0.0% (d) | ||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.97%, 6/1/2024 (h) | 51 | 50 | ||||||
|
| |||||||
Communications Equipment — 0.0% (d) | ||||||||
Avaya, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 4.40%, 12/15/2024 (h) | 112 | 112 | ||||||
|
| |||||||
Food & Staples Retailing — 0.0% (d) | ||||||||
Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 4/1/2024 ‡ (h) | 44 | 44 | ||||||
Moran Foods LLC, 1st Lien Term Loan B2 (ICE LIBOR USD 3 Month + 10.75%), 11.75%, 4/1/2025 ‡ (h) | 60 | 45 | ||||||
|
| |||||||
89 | ||||||||
|
|
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Health Care Providers & Services — 0.0% (d) |
| |||||||
MultiPlan, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 3.75%, 6/7/2023 (h) | 195 | 192 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (d) | ||||||||
UFC Holdings LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 4/29/2026 (h) | 53 | 52 | ||||||
|
| |||||||
Machinery — 0.0% (d) | ||||||||
Navistar, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 3.66%, 11/6/2024 (h) | 61 | 60 | ||||||
|
| |||||||
Multiline Retail — 0.0% (d) | ||||||||
Neiman Marcus Group Ltd., Term Loan (3-MONTH PRIME + 7.50%), 10.75%, 10/25/2023 (h) | 40 | 6 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
California Resources Corp., DIP Term Loan (ICE LIBOR USD 1 Month + 9.00%), 10.00%, 1/15/2021 ‡ (h) | 300 | 300 | ||||||
California Resources Corp., Senior Secured First Out (ICE LIBOR USD 1 Month + 4.75%), 5.75%, 12/31/2022 (h) | 320 | 115 | ||||||
Gulf Finance LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.25%), 6.25%, 8/25/2023 (h) | 51 | 36 | ||||||
|
| |||||||
451 | ||||||||
|
| |||||||
Pharmaceuticals — 0.0% (d) | ||||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.15%, 6/2/2025 (h) | 150 | 147 | ||||||
|
| |||||||
TOTAL LOAN ASSIGNMENTS (Cost $1,390) | 1,164 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 0.0% (d) | ||||||||
FNMA, Other Pool # AN5182, 3.39%, 4/1/2027 | 343 | 389 | ||||||
GNMA I, 30 Year Pool # 323423, 8.50%, 6/15/2022 | – | (a) | – | (a) | ||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $345) | 389 | |||||||
|
| |||||||
Shares (000) | ||||||||
PREFERRED STOCKS — 0.0% (d) |
| |||||||
Internet & Direct Marketing Retail — 0.0% (d) |
| |||||||
MYT Holding Co. * ‡ (Cost $72) | 75 | 72 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 0.0% (d) | ||||||||
International Equity — 0.0% (d) | ||||||||
iShares MSCI EAFE ETF(Cost $64) | 1 | 64 | ||||||
|
| |||||||
No. of Warrants (000) | ||||||||
WARRANTS — 0.0% (d) | ||||||||
Wireless Telecommunication Services — 0.0% (d) | ||||||||
iHeartMedia Capital I LLCexpiring 5/2/2039, price 1.00 USD * ‡ (Cost $52) | 3 | 22 | ||||||
|
| |||||||
RIGHTS — 0.0% (d) | ||||||||
Containers & Packaging — 0.0% (d) | ||||||||
SCGP Solutions Co. Ltd., expiring 12/31/2020 (Thailand) * | 2 | – | ||||||
|
| |||||||
Media—0.0% (d) | ||||||||
Media General, Inc., CVR * ‡ | 23 | – | (a) | |||||
|
| |||||||
TOTAL RIGHTS (Cost $—) | – | (a) | ||||||
|
| |||||||
Shares (000) | ||||||||
SHORT-TERM INVESTMENTS — 4.1% | ||||||||
INVESTMENT COMPANIES — 4.1% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.23% (e) (p) | 33,801 | 33,825 | ||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.16% (e) (p) | 528 | 528 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES (Cost $34,348) | 34,353 | |||||||
|
| |||||||
Total Investments - 98.9% (Cost $686,542) | 827,126 | |||||||
Other Assets Less Liabilities — 1.1% |
| 9,368 | ||||||
|
| |||||||
Net Assets — 100.0% |
| 836,494 | ||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
PORTFOLIO COMPOSITION BY COUNTRY** | ||||
United States | 71.5 | % | ||
United Kingdom | 2.8 | |||
China | 2.6 | |||
Japan | 2.4 | |||
France | 2.2 | |||
Switzerland | 1.9 | |||
Germany | 1.7 | |||
Taiwan | 1.2 | |||
Netherlands | 1.0 | |||
Others (each less than 1.0%) | 8.5 | |||
Short-Term Investments | 4.2 |
** Percentages indicated are based upon total investments as of September 30, 2020.
Abbreviations
ABS | Asset-backed securities | |
ACES | Alternative Credit Enhancement Securities | |
ADR | American Depositary Receipt | |
CHDI | Clearing House Electronic Subregister System (CHESS) Depository Interest | |
CHF | Swiss Franc | |
CVA | Dutch Certification | |
CVR | Contingent Value Rights | |
DIP | Debtor-in-Possession | |
EAFE | Europe, Australasia and Far East | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
FDR | Fiduciary Depository Receipt | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GBP | British Pound | |
GDR | Global Depositary Receipt | |
GNMA | Government National Mortgage Association | |
HKD | Hong Kong Dollar | |
ICE | Intercontinental Exchange | |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
JPY | Japanese Yen | |
JSC | Joint Stock Company | |
LIBOR | London Interbank Offered Rate | |
NYRS | New York Registry Shares | |
OYJ | Public Limited Company | |
PJSC | Public Joint Stock Company | |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
RTS | Russian Trading System | |
SCA | Limited partnership with share capital | |
SGPS | Holding company | |
USD | United States Dollar | |
(a) | Amount rounds to less than one thousand. | |
(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) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(d) | Amount rounds to less than 0.1% of net assets. | |
(e) | 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. | |
(f) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(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 September 30, 2020. | |
(h) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020. | |
(i) | Security is an interest bearing note with preferred security characteristics. | |
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of September 30, 2020. | |
(k) | Defaulted security. | |
(l) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(m) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2020. | |
(n) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(o) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(p) | The rate shown is the current yield as of September 30, 2020. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as the respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Futures contracts outstanding as of September 30, 2020 (amounts in thousands, except number of contracts):
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount ($) | Value and Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
DJ US Real Estate Index | 681 | 12/2020 | USD | 21,336 | (580 | ) | ||||||||||||||
EURO STOXX 50 Index | 212 | 12/2020 | EUR | 7,909 | (295 | ) | ||||||||||||||
MSCI EAFE E-Mini Index | 7 | 12/2020 | USD | 649 | (13 | ) | ||||||||||||||
MSCI Emerging Markets E-Mini Index | 311 | 12/2020 | USD | 16,923 | (207 | ) | ||||||||||||||
Russell 2000 E-Mini Index | 65 | 12/2020 | USD | 4,892 | 52 | |||||||||||||||
S&P 500 E-Mini Index | 182 | 12/2020 | USD | 30,480 | 236 | |||||||||||||||
U.S. Treasury 10 Year Note | 240 | 12/2020 | USD | 33,480 | 85 | |||||||||||||||
U.S. Treasury Ultra Bond | 58 | 12/2020 | USD | 12,842 | (115 | ) | ||||||||||||||
|
| |||||||||||||||||||
(837 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
FTSE 100 Index | (108 | ) | 12/2020 | GBP | (8,124 | ) | 251 | |||||||||||||
|
| |||||||||||||||||||
(586 | ) | |||||||||||||||||||
|
|
Abbreviations
EAFE | Europe, Australasia, and Far East | |
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
MSCI | Morgan Stanley Capital International | |
USD | United States Dollar |
Forward foreign currency exchange contracts outstanding as of September 30, 2020 (amounts in thousands):
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
CHF | 765 | USD | 828 | Merrill Lynch International | 10/2/2020 | 3 | ||||||||||||||
EUR | 4,916 | USD | 5,729 | Merrill Lynch International | 10/2/2020 | 35 | ||||||||||||||
GBP | 793 | USD | 1,010 | Barclays Bank plc | 10/2/2020 | 13 | ||||||||||||||
USD | 843 | CHF | 765 | Citibank, NA | 10/2/2020 | 12 | ||||||||||||||
USD | 219 | EUR | 185 | Barclays Bank plc | 10/2/2020 | 3 | ||||||||||||||
USD | 5,597 | EUR | 4,731 | TD Bank Financial Group | 10/2/2020 | 50 | ||||||||||||||
USD | 1,044 | GBP | 793 | Citibank, NA | 10/2/2020 | 21 | ||||||||||||||
HKD | 10,831 | USD | 1,397 | State Street Corp. | 10/5/2020 | – | (a) | |||||||||||||
USD | 17 | CNY | 114 | Royal Bank of Canada** | 10/13/2020 | – | (a) | |||||||||||||
AUD | 2,610 | USD | 1,861 | Credit Suisse International | 10/22/2020 | 9 | ||||||||||||||
AUD | 2,570 | USD | 1,817 | TD Bank Financial Group | 10/22/2020 | 24 | ||||||||||||||
CAD | 1,348 | USD | 1,010 | BNP Paribas | 10/22/2020 | 3 | ||||||||||||||
CHF | 1,729 | GBP | 1,439 | Citibank, NA | 10/22/2020 | 22 | ||||||||||||||
CHF | 5,201 | GBP | 4,316 | Goldman Sachs International | 10/22/2020 | 80 | ||||||||||||||
CHF | 1,711 | JPY | 194,613 | BNP Paribas | 10/22/2020 | 13 | ||||||||||||||
CHF | 1,722 | SEK | 16,631 | Credit Suisse International | 10/22/2020 | 13 | ||||||||||||||
CLP | 735,528 | USD | 932 | Citibank, NA** | 10/22/2020 | 5 | ||||||||||||||
COP | 7,152,200 | USD | 1,860 | Barclays Bank plc** | 10/22/2020 | 7 | ||||||||||||||
EUR | 262 | CAD | 407 | Royal Bank of Canada | 10/22/2020 | 1 | ||||||||||||||
EUR | 4,772 | CHF | 5,134 | Citibank, NA | 10/22/2020 | 20 | ||||||||||||||
EUR | 1,598 | CHF | 1,722 | Goldman Sachs International | 10/22/2020 | 5 | ||||||||||||||
EUR | 1,596 | CZK | 43,003 | BNP Paribas | 10/22/2020 | 9 | ||||||||||||||
EUR | 1,591 | HUF | 568,558 | BNP Paribas | 10/22/2020 | 32 | ||||||||||||||
EUR | 1,593 | JPY | 195,237 | Citibank, NA | 10/22/2020 | 17 | ||||||||||||||
EUR | 1,596 | PLN | 7,155 | Barclays Bank plc | 10/22/2020 | 21 | ||||||||||||||
EUR | 4,789 | SEK | 49,922 | BNP Paribas | 10/22/2020 | 42 | ||||||||||||||
EUR | 1,598 | USD | 1,871 | Goldman Sachs International | 10/22/2020 | 4 | ||||||||||||||
EUR | 254 | USD | 296 | TD Bank Financial Group | 10/22/2020 | 1 | ||||||||||||||
GBP | 6,623 | AUD | 11,802 | Barclays Bank plc | 10/22/2020 | 94 | ||||||||||||||
GBP | 1,445 | AUD | 2,589 | Goldman Sachs International | 10/22/2020 | 10 | ||||||||||||||
GBP | 7,220 | CHF | 8,544 | Citibank, NA | 10/22/2020 | 36 | ||||||||||||||
GBP | 1,451 | CHF | 1,703 | Goldman Sachs International | 10/22/2020 | 22 | ||||||||||||||
GBP | 1,454 | JPY | 197,135 | Citibank, NA | 10/22/2020 | 6 | ||||||||||||||
GBP | 616 | NZD | 1,179 | Goldman Sachs International | 10/22/2020 | 14 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
GBP | 735 | USD | 946 | Barclays Bank plc | 10/22/2020 | 3 | ||||||||||||||
GBP | 726 | USD | 922 | Credit Suisse International | 10/22/2020 | 15 | ||||||||||||||
GBP | 1,461 | USD | 1,868 | Goldman Sachs International | 10/22/2020 | 17 | ||||||||||||||
IDR | 3,605,675 | USD | 240 | Citibank, NA** | 10/22/2020 | 2 | ||||||||||||||
ILS | 3,240 | EUR | 793 | BNP Paribas | 10/22/2020 | 16 | ||||||||||||||
ILS | 3,239 | USD | 941 | BNP Paribas | 10/22/2020 | 5 | ||||||||||||||
ILS | 3,275 | USD | 954 | Citibank, NA | 10/22/2020 | 2 | ||||||||||||||
INR | 139,588 | USD | 1,890 | Barclays Bank plc** | 10/22/2020 | 4 | ||||||||||||||
KRW | 1,152,528 | USD | 971 | Barclays Bank plc** | 10/22/2020 | 17 | ||||||||||||||
KRW | 2,225,807 | USD | 1,881 | Citibank, NA** | 10/22/2020 | 28 | ||||||||||||||
MXN | 20,629 | USD | 925 | Goldman Sachs International | 10/22/2020 | 5 | ||||||||||||||
NZD | 4,269 | AUD | 3,907 | Citibank, NA | 10/22/2020 | 26 | ||||||||||||||
NZD | 1,485 | USD | 976 | Goldman Sachs International | 10/22/2020 | 7 | ||||||||||||||
RON | 3,866 | USD | 922 | Citibank, NA | 10/22/2020 | 6 | ||||||||||||||
RUB | 72,459 | USD | 919 | Goldman Sachs International** | 10/22/2020 | 12 | ||||||||||||||
SEK | 25,286 | EUR | 2,400 | Goldman Sachs International | 10/22/2020 | 9 | ||||||||||||||
SEK | 16,831 | EUR | 1,585 | TD Bank Financial Group | 10/22/2020 | 20 | ||||||||||||||
SEK | 8,412 | USD | 925 | BNP Paribas | 10/22/2020 | 15 | ||||||||||||||
SEK | 16,829 | USD | 1,849 | Goldman Sachs International | 10/22/2020 | 31 | ||||||||||||||
TRY | 7,230 | USD | 925 | Goldman Sachs International | 10/22/2020 | 6 | ||||||||||||||
TWD | 8,450 | USD | 290 | Citibank, NA** | 10/22/2020 | 3 | ||||||||||||||
USD | 3,794 | AUD | 5,221 | Citibank, NA | 10/22/2020 | 55 | ||||||||||||||
USD | 8,467 | AUD | 11,617 | TD Bank Financial Group | 10/22/2020 | 146 | ||||||||||||||
USD | 1,907 | BRL | 10,038 | Citibank, NA** | 10/22/2020 | 121 | ||||||||||||||
USD | 810 | BRL | 4,260 | Goldman Sachs International** | 10/22/2020 | 52 | ||||||||||||||
USD | 798 | CAD | 1,050 | TD Bank Financial Group | 10/22/2020 | 9 | ||||||||||||||
USD | 2,811 | CLP | 2,185,835 | Barclays Bank plc** | 10/22/2020 | 26 | ||||||||||||||
USD | 2,053 | CLP | 1,569,574 | Citibank, NA** | 10/22/2020 | 53 | ||||||||||||||
USD | 926 | CLP | 724,261 | Goldman Sachs International** | 10/22/2020 | 4 | ||||||||||||||
USD | 2,614 | COP | 9,699,653 | Goldman Sachs International** | 10/22/2020 | 83 | ||||||||||||||
USD | 954 | EUR | 805 | BNP Paribas | 10/22/2020 | 10 | ||||||||||||||
USD | 16,444 | EUR | 13,853 | Citibank, NA | 10/22/2020 | 195 | ||||||||||||||
USD | 16,910 | EUR | 14,386 | Goldman Sachs International | 10/22/2020 | 36 | ||||||||||||||
USD | 2,829 | GBP | 2,189 | Citibank, NA | 10/22/2020 | 4 | ||||||||||||||
USD | 955 | IDR | 14,106,057 | Barclays Bank plc** | 10/22/2020 | 7 | ||||||||||||||
USD | 961 | ILS | 3,275 | BNP Paribas | 10/22/2020 | 5 | ||||||||||||||
USD | 949 | INR | 69,931 | Citibank, NA** | 10/22/2020 | 1 | ||||||||||||||
USD | 1,923 | KRW | 2,233,845 | Barclays Bank plc** | 10/22/2020 | 8 | ||||||||||||||
USD | 1,878 | KRW | 2,181,999 | Citibank, NA** | 10/22/2020 | 7 | ||||||||||||||
USD | 25,746 | NZD | 38,506 | HSBC Bank, NA | 10/22/2020 | 272 | ||||||||||||||
USD | 975 | RON | 4,002 | Citibank, NA | 10/22/2020 | 13 | ||||||||||||||
USD | 917 | RUB | 71,182 | Barclays Bank plc** | 10/22/2020 | 2 | ||||||||||||||
USD | 2,782 | RUB | 214,148 | Citibank, NA** | 10/22/2020 | 31 | ||||||||||||||
USD | 926 | RUB | 71,365 | Goldman Sachs International** | 10/22/2020 | 9 | ||||||||||||||
USD | 1,894 | SEK | 16,562 | Citibank, NA | 10/22/2020 | 45 | ||||||||||||||
USD | 360 | SEK | 3,149 | Goldman Sachs International | 10/22/2020 | 8 | ||||||||||||||
USD | 3,786 | SEK | 33,460 | TD Bank Financial Group | 10/22/2020 | 49 | ||||||||||||||
USD | 730 | THB | 22,903 | Barclays Bank plc | 10/22/2020 | 7 | ||||||||||||||
USD | 926 | TRY | 7,123 | BNP Paribas | 10/22/2020 | 8 | ||||||||||||||
USD | 3,699 | ZAR | 61,930 | Barclays Bank plc | 10/22/2020 | 11 | ||||||||||||||
USD | 934 | ZAR | 15,653 | BNP Paribas | 10/22/2020 | 2 | ||||||||||||||
ZAR | 31,731 | USD | 1,847 | BNP Paribas | 10/22/2020 | 43 | ||||||||||||||
ZAR | 11,038 | USD | 653 | Citibank, NA | 10/22/2020 | 5 | ||||||||||||||
ZAR | 15,880 | USD | 925 | Goldman Sachs International | 10/22/2020 | 20 | ||||||||||||||
AUD | 2,555 | USD | 1,809 | Merrill Lynch International | 10/29/2020 | 21 | ||||||||||||||
CAD | 3,572 | USD | 2,660 | TD Bank Financial Group | 10/29/2020 | 23 | ||||||||||||||
CHF | 86 | USD | 93 | BNP Paribas | 10/29/2020 | – | (a) |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
CHF | 602 | USD | 652 | Merrill Lynch International | 10/29/2020 | 2 | ||||||||||||||
DKK | 496 | USD | 77 | State Street Corp. | 10/29/2020 | 1 | ||||||||||||||
EUR | 491 | USD | 570 | State Street Corp. | 10/29/2020 | 6 | ||||||||||||||
GBP | 24 | USD | 31 | BNP Paribas | 10/29/2020 | – | (a) | |||||||||||||
GBP | 403 | USD | 513 | Merrill Lynch International | 10/29/2020 | 6 | ||||||||||||||
GBP | 543 | USD | 687 | State Street Corp. | 10/29/2020 | 13 | ||||||||||||||
HKD | 8,407 | USD | 1,084 | State Street Corp. | 10/29/2020 | – | (a) | |||||||||||||
JPY | 17,557 | USD | 165 | BNP Paribas | 10/29/2020 | 2 | ||||||||||||||
JPY | 612,051 | USD | 5,764 | Merrill Lynch International | 10/29/2020 | 41 | ||||||||||||||
JPY | 55,532 | USD | 526 | State Street Corp. | 10/29/2020 | 1 | ||||||||||||||
SGD | 391 | USD | 282 | BNP Paribas | 10/29/2020 | 4 | ||||||||||||||
USD | 104 | EUR | 88 | BNP Paribas | 10/29/2020 | 1 | ||||||||||||||
USD | 111 | EUR | 94 | Goldman Sachs International | 10/29/2020 | 1 | ||||||||||||||
USD | 1,182 | EUR | 1,000 | State Street Corp. | 10/29/2020 | 9 | ||||||||||||||
USD | 17 | GBP | 13 | BNP Paribas | 10/29/2020 | – | (a) | |||||||||||||
USD | 878 | GBP | 652 | Merrill Lynch International | 10/29/2020 | 37 | ||||||||||||||
USD | 483 | GBP | 369 | State Street Corp. | 10/29/2020 | 6 | ||||||||||||||
USD | 83 | SEK | 730 | Goldman Sachs International | 10/29/2020 | 2 | ||||||||||||||
USD | 240 | SEK | 2,086 | State Street Corp. | 10/29/2020 | 7 | ||||||||||||||
USD | 299 | SEK | 2,618 | TD Bank Financial Group | 10/29/2020 | 7 | ||||||||||||||
GBP | 172 | USD | 221 | State Street Corp. | 11/3/2020 | 1 | ||||||||||||||
USD | 889 | JPY | 93,534 | Standard Chartered Bank | 11/4/2020 | 1 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation |
| 2,435 | ||||||||||||||||||
|
| |||||||||||||||||||
JPY | 93,534 | USD | 888 | Standard Chartered Bank | 10/2/2020 | (1 | ) | |||||||||||||
USD | 657 | JPY | 69,721 | Citibank, NA | 10/2/2020 | (4 | ) | |||||||||||||
USD | 225 | JPY | 23,814 | Merrill Lynch International | 10/2/2020 | (1 | ) | |||||||||||||
USD | 1,397 | HKD | 10,831 | TD Bank Financial Group | 10/5/2020 | – | (a) | |||||||||||||
AUD | 11,668 | GBP | 6,573 | Barclays Bank plc | 10/22/2020 | (125 | ) | |||||||||||||
AUD | 11,719 | USD | 8,592 | Citibank, NA | 10/22/2020 | (198 | ) | |||||||||||||
BRL | 11,798 | USD | 2,218 | Citibank, NA** | 10/22/2020 | (119 | ) | |||||||||||||
CAD | 23,918 | USD | 18,143 | BNP Paribas | 10/22/2020 | (180 | ) | |||||||||||||
CHF | 12,893 | EUR | 11,972 | Citibank, NA | 10/22/2020 | (36 | ) | |||||||||||||
CHF | 1,735 | GBP | 1,472 | Credit Suisse International | 10/22/2020 | (15 | ) | |||||||||||||
CHF | 4,455 | USD | 4,908 | Barclays Bank plc | 10/22/2020 | (69 | ) | |||||||||||||
CHF | 640 | USD | 706 | Citibank, NA | 10/22/2020 | (10 | ) | |||||||||||||
CLP | 3,023,925 | USD | 3,942 | Citibank, NA** | 10/22/2020 | (90 | ) | |||||||||||||
CNY | 12,904 | USD | 1,902 | Credit Suisse International** | 10/22/2020 | (2 | ) | |||||||||||||
COP | 3,530,332 | USD | 947 | Citibank, NA** | 10/22/2020 | (26 | ) | |||||||||||||
CZK | 42,286 | EUR | 1,587 | BNP Paribas | 10/22/2020 | (29 | ) | |||||||||||||
CZK | 23,720 | USD | 1,054 | BNP Paribas | 10/22/2020 | (26 | ) | |||||||||||||
CZK | 63,255 | USD | 2,815 | Citibank, NA | 10/22/2020 | (74 | ) | |||||||||||||
EUR | 1,617 | CHF | 1,747 | Goldman Sachs International | 10/22/2020 | (1 | ) | |||||||||||||
EUR | 9,520 | SEK | 101,333 | Goldman Sachs International | 10/22/2020 | (151 | ) | |||||||||||||
EUR | 3,182 | USD | 3,740 | BNP Paribas | 10/22/2020 | (9 | ) | |||||||||||||
EUR | 12,790 | USD | 15,173 | Citibank, NA | 10/22/2020 | (172 | ) | |||||||||||||
EUR | 798 | USD | 939 | Credit Suisse International | 10/22/2020 | (3 | ) | |||||||||||||
EUR | 1,591 | USD | 1,868 | Goldman Sachs International | 10/22/2020 | (2 | ) | |||||||||||||
GBP | 6,572 | EUR | 7,235 | Citibank, NA | 10/22/2020 | (4 | ) | |||||||||||||
GBP | 1,457 | JPY | 201,239 | Barclays Bank plc | 10/22/2020 | (29 | ) | |||||||||||||
GBP | 1,484 | USD | 1,926 | Citibank, NA | 10/22/2020 | (11 | ) | |||||||||||||
HUF | 836,488 | USD | 2,765 | Citibank, NA | 10/22/2020 | (68 | ) | |||||||||||||
IDR | 4,435,592 | USD | 298 | Barclays Bank plc** | 10/22/2020 | – | (a) | |||||||||||||
ILS | 3,300 | USD | 966 | BNP Paribas | 10/22/2020 | (3 | ) | |||||||||||||
INR | 140,114 | USD | 1,903 | Barclays Bank plc** | 10/22/2020 | (2 | ) | |||||||||||||
JPY | 298,686 | CHF | 2,627 | Goldman Sachs International | 10/22/2020 | (21 | ) | |||||||||||||
JPY | 196,276 | EUR | 1,596 | BNP Paribas | 10/22/2020 | (11 | ) | |||||||||||||
JPY | 195,422 | GBP | 1,461 | Goldman Sachs International | 10/22/2020 | (32 | ) |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
MXN | 48,050 | USD | 2,255 | Barclays Bank plc | 10/22/2020 | (87 | ) | |||||||||||||
MXN | 18,165 | USD | 846 | BNP Paribas | 10/22/2020 | (26 | ) | |||||||||||||
MXN | 20,032 | USD | 941 | Goldman Sachs International | 10/22/2020 | (37 | ) | |||||||||||||
NZD | 21,273 | CAD | 18,865 | Citibank, NA | 10/22/2020 | (96 | ) | |||||||||||||
NZD | 1,341 | GBP | 691 | Citibank, NA | 10/22/2020 | (4 | ) | |||||||||||||
PLN | 7,143 | EUR | 1,591 | Goldman Sachs International | 10/22/2020 | (18 | ) | |||||||||||||
PLN | 30,121 | USD | 8,020 | Citibank, NA | 10/22/2020 | (227 | ) | |||||||||||||
RON | 4,002 | USD | 972 | Barclays Bank plc | 10/22/2020 | (11 | ) | |||||||||||||
RUB | 379,105 | USD | 5,023 | Goldman Sachs International** | 10/22/2020 | (152 | ) | |||||||||||||
SEK | 49,984 | EUR | 4,800 | Citibank, NA | 10/22/2020 | (48 | ) | |||||||||||||
SEK | 33,504 | EUR | 3,200 | Goldman Sachs International | 10/22/2020 | (12 | ) | |||||||||||||
SEK | 8,951 | EUR | 860 | Union Bank of Switzerland AG | 10/22/2020 | (9 | ) | |||||||||||||
SEK | 7,624 | USD | 872 | Barclays Bank plc | 10/22/2020 | (21 | ) | |||||||||||||
SEK | 128,307 | USD | 14,637 | Citibank, NA | 10/22/2020 | (307 | ) | |||||||||||||
SEK | 16,484 | USD | 1,882 | Goldman Sachs International | 10/22/2020 | (41 | ) | |||||||||||||
SEK | 9,585 | USD | 1,092 | Union Bank of Switzerland AG | 10/22/2020 | (22 | ) | |||||||||||||
SGD | 2,581 | USD | 1,902 | Goldman Sachs International | 10/22/2020 | (11 | ) | |||||||||||||
THB | 30,332 | USD | 967 | Barclays Bank plc | 10/22/2020 | (10 | ) | |||||||||||||
THB | 37,087 | USD | 1,193 | BNP Paribas | 10/22/2020 | (23 | ) | |||||||||||||
THB | 21,173 | USD | 671 | Goldman Sachs International | 10/22/2020 | (2 | ) | |||||||||||||
TRY | 7,217 | USD | 934 | Barclays Bank plc | 10/22/2020 | (4 | ) | |||||||||||||
TRY | 28,744 | USD | 3,774 | BNP Paribas | 10/22/2020 | (69 | ) | |||||||||||||
TRY | 14,323 | USD | 1,886 | HSBC Bank, NA | 10/22/2020 | (40 | ) | |||||||||||||
USD | 985 | CHF | 913 | Goldman Sachs International | 10/22/2020 | (7 | ) | |||||||||||||
USD | 1,881 | CNY | 12,815 | BNP Paribas** | 10/22/2020 | (6 | ) | |||||||||||||
USD | 1,871 | EUR | 1,600 | Goldman Sachs International | 10/22/2020 | (5 | ) | |||||||||||||
USD | 3,741 | GBP | 2,914 | Goldman Sachs International | 10/22/2020 | (19 | ) | |||||||||||||
USD | 1,886 | IDR | 28,261,881 | Barclays Bank plc** | 10/22/2020 | (14 | ) | |||||||||||||
USD | 1,148 | IDR | 17,199,691 | Goldman Sachs International** | 10/22/2020 | (7 | ) | |||||||||||||
USD | 2,781 | INR | 205,925 | Citibank, NA** | 10/22/2020 | (13 | ) | |||||||||||||
USD | 1 | JPY | 58 | Citibank, NA | 10/22/2020 | – | (a) | |||||||||||||
USD | 1,852 | MXN | 41,904 | Goldman Sachs International | 10/22/2020 | (38 | ) | |||||||||||||
USD | 2,030 | PHP | 98,630 | Citibank, NA** | 10/22/2020 | (4 | ) | |||||||||||||
USD | 1,852 | SEK | 16,888 | BNP Paribas | 10/22/2020 | (34 | ) | |||||||||||||
USD | 1,810 | TRY | 14,175 | Goldman Sachs International | 10/22/2020 | (16 | ) | |||||||||||||
USD | 5,005 | TWD | 145,727 | Goldman Sachs International** | 10/22/2020 | (43 | ) | |||||||||||||
USD | 932 | ZAR | 15,723 | Barclays Bank plc | 10/22/2020 | (5 | ) | |||||||||||||
USD | 936 | ZAR | 15,906 | Goldman Sachs International | 10/22/2020 | (11 | ) | |||||||||||||
ZAR | 7,890 | USD | 487 | Barclays Bank plc | 10/22/2020 | (17 | ) | |||||||||||||
ZAR | 31,139 | USD | 1,922 | BNP Paribas | 10/22/2020 | (68 | ) | |||||||||||||
CHF | 120 | USD | 132 | BNP Paribas | 10/29/2020 | (2 | ) | |||||||||||||
CHF | 52 | USD | 58 | Merrill Lynch International | 10/29/2020 | (1 | ) | |||||||||||||
CHF | 87 | USD | 96 | State Street Corp. | 10/29/2020 | (1 | ) | |||||||||||||
DKK | 699 | USD | 111 | Merrill Lynch International | 10/29/2020 | (1 | ) | |||||||||||||
DKK | 298 | USD | 48 | State Street Corp. | 10/29/2020 | (1 | ) | |||||||||||||
EUR | 77 | USD | 91 | Citibank, NA | 10/29/2020 | – | (a) | |||||||||||||
EUR | 1,325 | USD | 1,571 | Merrill Lynch International | 10/29/2020 | (17 | ) | |||||||||||||
GBP | 194 | USD | 255 | Citibank, NA | 10/29/2020 | (4 | ) | |||||||||||||
GBP | 161 | USD | 210 | State Street Corp. | 10/29/2020 | (1 | ) | |||||||||||||
GBP | 70 | USD | 94 | TD Bank Financial Group | 10/29/2020 | (3 | ) | |||||||||||||
JPY | 3,481 | USD | 33 | Goldman Sachs International | 10/29/2020 | – | (a) | |||||||||||||
JPY | 17,026 | USD | 162 | Merrill Lynch International | 10/29/2020 | – | (a) | |||||||||||||
NOK | 1,513 | USD | 164 | Merrill Lynch International | 10/29/2020 | (2 | ) | |||||||||||||
SEK | 4,077 | USD | 462 | Merrill Lynch International | 10/29/2020 | (7 | ) | |||||||||||||
SEK | 332 | USD | 38 | State Street Corp. | 10/29/2020 | (1 | ) | |||||||||||||
USD | 29 | DKK | 185 | Goldman Sachs International | 10/29/2020 | – | (a) | |||||||||||||
USD | 706 | DKK | 4,515 | Merrill Lynch International | 10/29/2020 | (5 | ) |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||
USD | 126 | DKK | 807 | State Street Corp. | 10/29/2020 | (1 | ) | |||||||||||||
USD | 61 | EUR | 52 | BNP Paribas | 10/29/2020 | – | (a) | |||||||||||||
USD | 260 | EUR | 223 | Citibank, NA | 10/29/2020 | (2 | ) | |||||||||||||
USD | 4,389 | EUR | 3,772 | Merrill Lynch International | 10/29/2020 | (36 | ) | |||||||||||||
USD | 1,035 | EUR | 892 | State Street Corp. | 10/29/2020 | (12 | ) | |||||||||||||
USD | 1,027 | JPY | 109,597 | State Street Corp. | 10/29/2020 | (12 | ) | |||||||||||||
USD | 829 | CHF | 765 | Merrill Lynch International | 11/3/2020 | (3 | ) | |||||||||||||
USD | 5,733 | EUR | 4,916 | Merrill Lynch International | 11/3/2020 | (35 | ) | |||||||||||||
USD | 1,010 | GBP | 793 | Barclays Bank plc | 11/3/2020 | (13 | ) | |||||||||||||
USD | 1,397 | HKD | 10,831 | State Street Corp. | 11/3/2020 | – | (a) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (3,268 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation | (833 | ) | ||||||||||||||||||
|
|
Abbreviations | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chile Peso | |
CNY | China Yuan | |
COP | Colombian Peso | |
CZK | Czech Republic Koruna | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
ILS | Israeli Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | Korean Republic Won | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
PLN | Polish Zloty | |
RON | Romanian Leu | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thai Baht | |
TRY | Turkish Lira | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand | |
(a) | Amount rounds to less than one thousand. | |
** | Non-deliverable forward. |
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“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.
J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Certain foreign equity instruments are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at September 30, 2020.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Asset-Backed Securities | $ | — | $ | 10,972 | $ | 20,333 | $ | 31,305 | ||||||||
Collateralized Mortgage Obligations | — | 13,895 | 10,537 | 24,432 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 7,261 | 2,277 | 9,538 | ||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | 2,243 | 1,871 | — | 4,114 | ||||||||||||
Air Freight & Logistics | — | 424 | — | 424 | ||||||||||||
Airlines | 721 | 57 | — | 778 | ||||||||||||
Auto Components | — | 657 | — | 657 | ||||||||||||
Automobiles | 4,277 | 3,237 | — | 7,514 | ||||||||||||
Banks | 18,377 | 10,001 | — | 28,378 | ||||||||||||
Beverages | 4,553 | 4,598 | — | 9,151 | ||||||||||||
Biotechnology | 8,566 | 729 | — | 9,295 | ||||||||||||
Building Products | 3,651 | 688 | — | 4,339 | ||||||||||||
Capital Markets | 10,590 | 3,589 | — | 14,179 | ||||||||||||
Chemicals | 2,677 | 5,128 | — | 7,805 | ||||||||||||
Commercial Services & Supplies | 2,601 | 330 | — | 2,931 | ||||||||||||
Communications Equipment | 737 | 259 | — | 996 | ||||||||||||
Construction & Engineering | 306 | 1,190 | — | 1,496 | ||||||||||||
Construction Materials | 797 | 1,627 | — | 2,424 | ||||||||||||
Consumer Finance | 2,270 | 24 | — | 2,294 | ||||||||||||
Containers & Packaging | 3,694 | 38 | — | 3,732 | ||||||||||||
Distributors | 1,159 | 5 | — | 1,164 | ||||||||||||
Diversified Consumer Services | 642 | 8 | — | 650 | ||||||||||||
Diversified Financial Services | 1,548 | 596 | — | 2,144 | ||||||||||||
Diversified Telecommunication Services | 1,272 | 1,999 | — | 3,271 | ||||||||||||
Electric Utilities | 7,957 | 2,905 | — | 10,862 | ||||||||||||
Electrical Equipment | 3,409 | 3,537 | — | 6,946 | ||||||||||||
Electronic Equipment, Instruments & Components | 2,178 | 3,077 | — | 5,255 | ||||||||||||
Energy Equipment & Services | — | 32 | — | 32 | ||||||||||||
Entertainment | 5,684 | 669 | — | 6,353 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 8,610 | 809 | — | 9,419 | ||||||||||||
Food & Staples Retailing | 3,491 | 1,642 | 3 | 5,136 | ||||||||||||
Food Products | 965 | 5,930 | — | 6,895 | ||||||||||||
Gas Utilities | 339 | 404 | — | 743 | ||||||||||||
Health Care Equipment & Supplies | 8,542 | 1,466 | — | 10,008 | ||||||||||||
Health Care Providers & Services | 9,736 | 368 | — | (a) | 10,104 | |||||||||||
Health Care Technology | 491 | 118 | — | 609 | ||||||||||||
Hotels, Restaurants & Leisure | 4,576 | 1,781 | — | 6,357 | ||||||||||||
Household Durables | 1,676 | 3,696 | — | 5,372 | ||||||||||||
Household Products | 1,768 | 1,361 | — | 3,129 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 156 | — | 156 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Industrial Conglomerates | $ | 2,234 | $ | 966 | $ | — | $ | 3,200 | ||||||||
Insurance | 7,553 | 12,380 | — | 19,933 | ||||||||||||
Interactive Media & Services | 8,631 | 5,848 | — | 14,479 | ||||||||||||
Internet & Direct Marketing Retail | 21,126 | 2,129 | 34 | 23,289 | ||||||||||||
IT Services | 13,833 | 3,215 | — | 17,048 | ||||||||||||
Leisure Products | 425 | 156 | — | 581 | ||||||||||||
Life Sciences Tools & Services | 2,636 | 1,330 | — | 3,966 | ||||||||||||
Machinery | 8,215 | 6,967 | — | 15,182 | ||||||||||||
Marine | — | 119 | — | 119 | ||||||||||||
Media | 6,609 | 229 | — | 6,838 | ||||||||||||
Metals & Mining | 260 | 3,895 | — | 4,155 | ||||||||||||
Multiline Retail | 568 | 275 | 27 | 870 | ||||||||||||
Multi-Utilities | 640 | 911 | — | 1,551 | ||||||||||||
Oil, Gas & Consumable Fuels | 5,329 | 3,226 | — | 8,555 | ||||||||||||
Paper & Forest Products | 45 | 202 | — | 247 | ||||||||||||
Personal Products | 814 | 3,364 | — | 4,178 | ||||||||||||
Pharmaceuticals | 9,920 | 10,157 | — | 20,077 | ||||||||||||
Professional Services | 1,666 | 2,795 | 11 | 4,472 | ||||||||||||
Real Estate Management & Development | 750 | 2,269 | — | 3,019 | ||||||||||||
Road & Rail | 7,949 | 518 | — | 8,467 | ||||||||||||
Semiconductors & Semiconductor Equipment | 20,783 | 6,162 | — | 26,945 | ||||||||||||
Software | 22,749 | 2,588 | — | 25,337 | ||||||||||||
Specialty Retail | 10,036 | 940 | — | 10,976 | ||||||||||||
Technology Hardware, Storage & Peripherals | 9,890 | 4,852 | — | 14,742 | ||||||||||||
Textiles, Apparel & Luxury Goods | 1,725 | 4,943 | — | 6,668 | ||||||||||||
Thrifts & Mortgage Finance | 253 | 856 | — | 1,109 | ||||||||||||
Tobacco | �� | 590 | 848 | — | 1,438 | |||||||||||
Trading Companies & Distributors | 14 | 1,738 | — | 1,752 | ||||||||||||
Transportation Infrastructure | 28 | 377 | — | 405 | ||||||||||||
Water Utilities | — | 63 | — | 63 | ||||||||||||
Wireless Telecommunication Services | 588 | 1,278 | — | 1,866 | ||||||||||||
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Total Common Stocks | 295,962 | 150,602 | 75 | 446,639 | ||||||||||||
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Convertible Bonds | — | 39,361 | — | 39,361 | ||||||||||||
Convertible Preferred Stocks | 4,310 | — | — | 4,310 | ||||||||||||
Corporate Bonds | — | 92,721 | — | 92,721 | ||||||||||||
Exchange-Traded Funds | 64 | — | — | 64 | ||||||||||||
Investment Companies | 122,586 | — | — | 122,586 | ||||||||||||
Loan Assignments | ||||||||||||||||
Auto Components | — | 5 | — | 5 | ||||||||||||
Chemicals | — | 50 | — | 50 | ||||||||||||
Communications Equipment | — | 112 | — | 112 | ||||||||||||
Food & Staples Retailing | — | — | 89 | 89 | ||||||||||||
Health Care Providers & Services | — | 192 | — | 192 |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Hotels, Restaurants & Leisure | $ | — | $ | 52 | $ | — | $ | 52 | ||||||||
Machinery | — | 60 | — | 60 | ||||||||||||
Multiline Retail | — | 6 | — | 6 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 151 | 300 | 451 | ||||||||||||
Pharmaceuticals | — | 147 | — | 147 | ||||||||||||
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Total Loan Assignments | — | 775 | 389 | 1,164 | ||||||||||||
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Mortgage-Backed Securities | — | 389 | — | 389 | ||||||||||||
Preferred Stocks | — | — | 72 | 72 | ||||||||||||
Rights | ||||||||||||||||
Containers & Packaging | — | — | (a) | — | — | (a) | ||||||||||
Media | — | — | — | (b) | — | (b) | ||||||||||
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Total Rights | — | — | (a) | — | (b) | — | (b) | |||||||||
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U.S. Treasury Obligations | — | 20,170 | — | 20,170 | ||||||||||||
Warrants | — | — | 22 | 22 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 34,353 | — | — | 34,353 | ||||||||||||
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Total Investments in Securities | $ | 457,275 | $ | 336,146 | $ | 33,705 | $ | 827,126 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,435 | $ | — | $ | 2,435 | ||||||||
Futures Contracts | 624 | — | — | 624 | ||||||||||||
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Total Appreciation in Other Financial Instruments | $ | 624 | $ | 2,435 | $ | — | $ | 3,059 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,268 | ) | $ | — | $ | (3,268 | ) | ||||||
Futures Contracts | (1,210 | ) | — | — | (1,210 | ) | ||||||||||
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Total Depreciation in Other Financial Instruments | $ | (1,210 | ) | $ | (3,268 | ) | $ | — | $ | (4,478 | ) | |||||
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(a) | Value is zero. |
(b) | Amount rounds to less than one thousand. |
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Balance as of June 30, 2020 | 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 September 30, 2020 | ||||||||||||||||||||||||||||
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Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 20,226 | $ | — | $ | 302 | $ | 14 | $ | — | (a) | $ | (1,530 | ) | $ | 1,321 | $ | — | $ | 20,333 | ||||||||||||||||
Collateralized Mortgage Obligations | 11,503 | (86 | ) | 513 | 2 | 66 | (1,461 | ) | — | — | 10,537 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 2,000 | — | 65 | — | (a) | — | — | 212 | — | 2,277 | ||||||||||||||||||||||||||
Common Stocks - Food & Staples Retailing | 3 | — | — | — | — | — | — | — | 3 | |||||||||||||||||||||||||||
Common Stocks - Health Care Providers & Services | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks - Internet & Direct Marketing Retail | — | — | 30 | — | 4 | — | — | — | 34 | |||||||||||||||||||||||||||
Common Stocks - Multiline Retail | — | — | 27 | — | — | — | — | — | 27 | |||||||||||||||||||||||||||
Common Stocks -Professional Services | — | — | (4 | ) | — | 15 | — | — | — | 11 | ||||||||||||||||||||||||||
Loan Assignments - Food & Staples Retailing | 89 | — | — | (a) | (1 | ) | 1 | — | — | — | 89 | |||||||||||||||||||||||||
Loan Assignments - Oil, Gas & Consumable Fuels | — | — | — | — | 300 | — | — | — | 300 | |||||||||||||||||||||||||||
Preferred Stocks - Internet & Direct Marketing Retail | — | — | — | — | 72 | — | — | — | 72 | |||||||||||||||||||||||||||
Rights - Media | — | (a) | — | — | — | — | — | — | — | — | (a) | |||||||||||||||||||||||||
Warrants - Wireless Telecommunication Services | 22 | — | — | — | — | — | — | — | 22 | |||||||||||||||||||||||||||
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Total | $ | 33,843 | $ | (86 | ) | $ | 933 | $ | 15 | $ | 458 | $ | (2,991 | ) | $ | 1,533 | $ | — | $ | 33,705 | ||||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, pay downs and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
(b) | Value is zero. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at September 30, 2020, which were valued using significant unobservable inputs (level 3), amounted to approximately $863,000.
There were no significant transfers into or out of level 3 for the period ended September 30, 2020.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at September 30, 2020 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||||||
$ | 20,333 | Discounted Cash Flow | Constant Prepayment Rate | 0.00%-20.00% (8.52%) | ||||||||||||
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Constant Default Rate | 0.00%-6.80% (2.27%) | |||||||||||||||
| Yield (Discount Rate of Cash Flows) | | 1.21%-16.53% (2.96%) | |||||||||||||
Asset-Backed Securities | 20,333 | |||||||||||||||
2,277 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (36.48%) | |||||||||||||
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Constant Default Rate | 0.00% -2.00% (0.73%) | |||||||||||||||
| Yield (Discount Rate of Cash Flows) | | 1.68% -9.42% (2.97%) | |||||||||||||
Commercial Mortgage-Backed Securities | 2,277 | |||||||||||||||
9,823 | Discounted Cash Flow | Constant Prepayment Rate | 2.00% -32.00% (19.18%) | |||||||||||||
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Constant Default Rate | 0.00% -5.60% (0.66%) | |||||||||||||||
| Yield (Discount Rate of Cash Flows) | | 1.65% -5.90% (3.53%) | |||||||||||||
Commercial Mortgage Obligation | 9,823 | |||||||||||||||
3 | Market Comparable Companies | EBITDA Multiple (b) | 6.0x (6.0x) | |||||||||||||
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Common Stock | 3 | |||||||||||||||
— | (c) | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | ||||||||||||
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Rights | — | (c) | ||||||||||||||
343 | Terms of Exchange Offer | Expected Recovery | 100.00% (100.00%) | |||||||||||||
46 | Market Comparable Companies | EBITDA Multiple (b) | 6.0x (6.0x) | |||||||||||||
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Loan Assignments | 389 | |||||||||||||||
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Total | $ | 32,825 | ||||||||||||||
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# The table above does not include certain level 3 investments that are valued by brokers and pricing services. At September 30, 2020, the value of these investments was approximately $880,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A.
(a) Unobservable inputs were weighted by the relative fair value of the instruments.
(b) Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments.
(c) Amount rounds to less than one thousand.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.
For the period ended September 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at September 30, 2020 | Shares at September 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 4,000 | $ | 27,256 | $ | 13,366 | $ | 88 | $ | 17 | $ | 17,995 | 1,448 | $ | 41 | $ | — | |||||||||||||||||||
JPMorgan Corporate Bond Fund Class R6 Shares (a) | 98,796 | 3,184 | — | — | 729 | 102,709 | 9,536 | 663 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 898 | 8 | — | — | 19 | 925 | 119 | 8 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | 937 | 8 | — | — | 12 | 957 | 124 | 8 | — | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.23% (a) (b) | 64,384 | 199,904 | 230,455 | 3 | (11 | ) | 33,825 | 33,801 | 29 | — | ||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.16% (a) (b) | 627 | 2,856 | 2,955 | — | (c) | — | 528 | 528 | — | (c) | — | |||||||||||||||||||||||||
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Total | $ | 169,642 | $ | 233,216 | $ | 246,776 | $ | 91 | $ | 766 | $ | 156,939 | $ | 749 | $ | — | ||||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of September 30, 2020. |
(c) | Amount rounds to less than one thousand. |
C. Derivatives — The Fund used derivative instruments including futures and forward foreign currency exchange contracts, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
JPMorgan Diversified Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes (1) — (2) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. 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 market value on open future contracts are recorded as changes in unrealized appreciation or depreciation. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.
The Fund may be exposed 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 subject the Fund to risk of loss 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).
(2). Forward Foreign Currency Exchange Contracts — The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.