JPMorgan Emerging Markets Debt Fund
Schedule of Portfolio Investments as of May 31, 2024
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. |
JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. |
J.P. Morgan Distribution Services, Inc., member FINRA. |
© J.P. Morgan Chase & Co., 2024. |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — 73.0% | ||
Angola — 1.7% | ||
Republic of Angola | ||
9.50%, 11/12/2025 (a) | 2,600 | 2,652 |
8.25%, 5/9/2028 (a) | 4,942 | 4,658 |
8.00%, 11/26/2029 (a) | 2,300 | 2,090 |
8.75%, 4/14/2032 (b) | 510 | 455 |
8.75%, 4/14/2032 (a) | 2,600 | 2,322 |
9.13%, 11/26/2049 (a) | 3,887 | 3,242 |
15,419 | ||
Argentina — 2.0% | ||
Argentine Republic | ||
0.75%, 7/9/2030 (c) | 8,400 | 4,780 |
3.62%, 7/9/2035 (c) | 12,722 | 5,593 |
4.25%, 1/9/2038 (c) | 6,421 | 3,060 |
3.50%, 7/9/2041 (c) | 8,643 | 3,531 |
3.62%, 7/9/2046 (c) | 2,600 | 1,180 |
18,144 | ||
Azerbaijan — 0.2% | ||
Republic of Azerbaijan 3.50%, 9/1/2032 (a) | 1,650 | 1,391 |
Bahamas — 0.2% | ||
Commonwealth of the Bahamas 6.00%, 11/21/2028 (a) | 2,400 | 2,144 |
Bahrain — 2.3% | ||
Kingdom of Bahrain | ||
7.00%, 10/12/2028 (a) | 4,660 | 4,799 |
6.75%, 9/20/2029 (a) | 6,581 | 6,666 |
5.45%, 9/16/2032 (a) | 3,087 | 2,844 |
5.25%, 1/25/2033 (a) | 2,800 | 2,506 |
7.50%, 2/12/2036 (b) | 3,900 | 3,978 |
20,793 | ||
Benin — 0.3% | ||
Benin Government Bond | ||
7.96%, 2/13/2038 (b) | 1,020 | 957 |
7.96%, 2/13/2038 (a) | 2,400 | 2,251 |
3,208 | ||
Bermuda — 0.4% | ||
Bermuda Government Bond | ||
3.72%, 1/25/2027 (a) | 2,002 | 1,900 |
2.38%, 8/20/2030 (b) | 617 | 516 |
5.00%, 7/15/2032 (b) | 1,232 | 1,184 |
3,600 | ||
Brazil — 2.0% | ||
Federative Republic of Brazil | ||
4.50%, 5/30/2029 | 600 | 561 |
6.00%, 10/20/2033 | 4,600 | 4,446 |
8.25%, 1/20/2034 | 6,642 | 7,586 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Brazil—continued | ||
4.75%, 1/14/2050 | 5,600 | 4,032 |
7.13%, 5/13/2054 | 2,250 | 2,197 |
18,822 | ||
Chile — 0.7% | ||
Republic of Chile | ||
2.55%, 1/27/2032 | 4,600 | 3,834 |
3.10%, 1/22/2061 | 3,600 | 2,196 |
6,030 | ||
Colombia — 2.2% | ||
Republic of Colombia | ||
3.00%, 1/30/2030 | 1,000 | 811 |
3.13%, 4/15/2031 | 2,300 | 1,800 |
10.38%, 1/28/2033 | 963 | 1,148 |
8.00%, 4/20/2033 | 4,500 | 4,633 |
7.50%, 2/2/2034 | 1,003 | 994 |
5.20%, 5/15/2049 | 1,282 | 896 |
4.13%, 5/15/2051 | 4,379 | 2,590 |
8.75%, 11/14/2053 | 5,698 | 5,957 |
3.88%, 2/15/2061 | 1,900 | 1,040 |
19,869 | ||
Costa Rica — 1.6% | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (a) | 1,600 | 1,601 |
5.63%, 4/30/2043 (a) | 378 | 337 |
7.00%, 4/4/2044 (a) | 2,000 | 2,032 |
7.16%, 3/12/2045 (a) | 7,100 | 7,393 |
7.30%, 11/13/2054 (b) | 3,087 | 3,231 |
14,594 | ||
Dominican Republic — 3.7% | ||
Dominican Republic Government Bond | ||
5.95%, 1/25/2027 (a) | 1,200 | 1,191 |
6.00%, 7/19/2028 (a) | 9,906 | 9,832 |
5.50%, 2/22/2029 (a) | 2,600 | 2,506 |
7.05%, 2/3/2031 (b) | 1,100 | 1,130 |
4.88%, 9/23/2032 (a) | 6,860 | 6,119 |
5.30%, 1/21/2041 (a) | 4,800 | 4,064 |
6.85%, 1/27/2045 (a) | 3,837 | 3,769 |
6.40%, 6/5/2049 (a) | 655 | 611 |
5.88%, 1/30/2060 (a) | 5,305 | 4,472 |
33,694 | ||
Ecuador — 1.6% | ||
Republic of Ecuador | ||
6.00%, 7/31/2030 (a) (c) | 1,090 | 730 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Ecuador—continued | ||
3.50%, 7/31/2035 (a) (c) | 13,848 | 7,097 |
2.50%, 7/31/2040 (a) (c) | 15,200 | 7,083 |
14,910 | ||
Egypt — 3.2% | ||
Arab Republic of Egypt | ||
5.88%, 2/16/2031 (a) | 13,094 | 10,541 |
7.05%, 1/15/2032 (a) | 700 | 583 |
7.63%, 5/29/2032 (a) | 6,100 | 5,217 |
8.50%, 1/31/2047 (a) | 7,471 | 5,818 |
7.90%, 2/21/2048 (a) | 3,650 | 2,720 |
8.88%, 5/29/2050 (a) | 1,450 | 1,171 |
8.75%, 9/30/2051 (a) | 2,800 | 2,248 |
7.50%, 2/16/2061 (a) | 1,100 | 773 |
29,071 | ||
El Salvador — 1.2% | ||
Republic of El Salvador | ||
6.38%, 1/18/2027 (a) | 3,472 | 3,050 |
8.63%, 2/28/2029 (a) | 4,500 | 3,919 |
0.25%, 4/17/2030 (b) | 4,250 | 127 |
7.12%, 1/20/2050 (a) | 3,571 | 2,261 |
9.50%, 7/15/2052 (a) | 1,738 | 1,355 |
10,712 | ||
Ethiopia — 0.1% | ||
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (a) | 721 | 485 |
Gabon — 0.5% | ||
Gabonese Republic 6.95%, 6/16/2025 (a) | 4,700 | 4,430 |
Ghana — 1.0% | ||
Republic of Ghana | ||
6.38%, 2/11/2027 (a) (d) | 1,700 | 866 |
7.63%, 5/16/2029 (a) (d) | 3,692 | 1,883 |
8.13%, 3/26/2032 (a) (d) | 4,200 | 2,158 |
8.63%, 4/7/2034 (a) (d) | 2,600 | 1,338 |
7.88%, 2/11/2035 (a) (d) | 3,200 | 1,647 |
8.95%, 3/26/2051 (a) (d) | 2,609 | 1,335 |
9,227 | ||
Guatemala — 1.5% | ||
Republic of Guatemala | ||
5.25%, 8/10/2029 (b) | 1,020 | 974 |
4.90%, 6/1/2030 (b) | 1,424 | 1,344 |
5.38%, 4/24/2032 (a) | 3,400 | 3,200 |
7.05%, 10/4/2032 (b) | 1,400 | 1,458 |
3.70%, 10/7/2033 (a) | 3,936 | 3,183 |
6.13%, 6/1/2050 (a) | 3,814 | 3,443 |
13,602 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Hungary — 2.1% | ||
Hungary Government Bond | ||
5.25%, 6/16/2029 (a) | 3,000 | 2,932 |
2.13%, 9/22/2031 (a) | 6,600 | 5,186 |
5.50%, 6/16/2034 (a) | 4,200 | 4,054 |
3.13%, 9/21/2051 (b) | 2,194 | 1,364 |
6.75%, 9/25/2052 (b) | 796 | 845 |
6.75%, 9/25/2052 (a) | 3,400 | 3,611 |
Magyar Export-Import Bank Zrt. 6.13%, 12/4/2027 (b) | 1,620 | 1,629 |
19,621 | ||
Indonesia — 1.5% | ||
Republic of Indonesia | ||
4.75%, 2/11/2029 | 4,000 | 3,926 |
4.85%, 1/11/2033 | 891 | 865 |
8.50%, 10/12/2035 (a) | 3,900 | 4,909 |
6.63%, 2/17/2037 (a) | 3,595 | 3,992 |
13,692 | ||
Iraq — 0.7% | ||
Republic of Iraq 5.80%, 1/15/2028 (a) | 6,600 | 6,261 |
Ivory Coast — 1.0% | ||
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (a) | 2,400 | 2,336 |
4.88%, 1/30/2032 (a) | EUR1,600 | 1,476 |
5.75%, 12/31/2032 (a) (c) | 325 | 303 |
8.25%, 1/30/2037 (b) | 4,999 | 4,860 |
8,975 | ||
Jamaica — 0.1% | ||
Jamaica Government Bond 7.88%, 7/28/2045 | 1,152 | 1,336 |
Jordan — 0.7% | ||
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (a) | 1,700 | 1,668 |
5.75%, 1/31/2027 (a) | 600 | 580 |
5.85%, 7/7/2030 (a) | 1,400 | 1,289 |
5.85%, 7/7/2030 (b) | 1,000 | 920 |
7.38%, 10/10/2047 (a) | 2,600 | 2,264 |
6,721 | ||
Kazakhstan — 0.2% | ||
Republic of Kazakhstan 6.50%, 7/21/2045 (b) | 1,780 | 2,000 |
Kenya — 0.5% | ||
Republic of Kenya | ||
7.25%, 2/28/2028 (a) | 535 | 502 |
9.75%, 2/16/2031 (b) | 2,006 | 2,004 |
8.00%, 5/22/2032 (a) | 1,146 | 1,044 |
6.30%, 1/23/2034 (a) | 1,800 | 1,422 |
4,972 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Lebanon — 0.2% | ||
Lebanese Republic | ||
6.38%, 3/9/2020 (d) | 12,567 | 861 |
6.15%, 6/19/2020 (d) | 720 | 49 |
6.65%, 11/3/2028 (a) (d) | 7,496 | 514 |
1,424 | ||
Mexico — 1.5% | ||
United Mexican States | ||
6.35%, 2/9/2035 | 7,867 | 7,942 |
6.40%, 5/7/2054 | 6,200 | 5,955 |
13,897 | ||
Mongolia — 0.6% | ||
State of Mongolia | ||
5.13%, 4/7/2026 (a) | 400 | 389 |
3.50%, 7/7/2027 (a) | 4,300 | 3,878 |
8.65%, 1/19/2028 (a) | 200 | 209 |
4.45%, 7/7/2031 (a) | 800 | 676 |
5,152 | ||
Montenegro — 0.5% | ||
Republic of Montenegro 7.25%, 3/12/2031 (b) | 4,427 | 4,453 |
Morocco — 0.7% | ||
Kingdom of Morocco | ||
5.95%, 3/8/2028 (b) | 3,570 | 3,572 |
4.00%, 12/15/2050 (a) | 4,600 | 3,107 |
6,679 | ||
Namibia — 0.2% | ||
Republic of Namibia 5.25%, 10/29/2025 (a) | 2,300 | 2,266 |
Nigeria — 2.4% | ||
Federal Republic of Nigeria | ||
6.50%, 11/28/2027 (a) | 5,600 | 5,228 |
6.13%, 9/28/2028 (a) | 3,000 | 2,664 |
8.38%, 3/24/2029 (b) | 1,400 | 1,334 |
8.38%, 3/24/2029 (a) | 2,100 | 2,000 |
7.14%, 2/23/2030 (a) | 2,300 | 2,025 |
7.38%, 9/28/2033 (a) | 3,720 | 3,098 |
7.70%, 2/23/2038 (a) | 2,200 | 1,740 |
7.63%, 11/28/2047 (a) | 4,919 | 3,684 |
21,773 | ||
Oman — 2.5% | ||
Sultanate of Oman Government Bond | ||
6.50%, 3/8/2047 (a) | 14,800 | 14,543 |
6.75%, 1/17/2048 (a) | 5,700 | 5,714 |
7.00%, 1/25/2051 (a) | 2,700 | 2,807 |
23,064 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Pakistan — 1.6% | ||
Islamic Republic of Pakistan | ||
8.25%, 9/30/2025 (a) | 700 | 666 |
6.00%, 4/8/2026 (a) | 1,400 | 1,266 |
6.88%, 12/5/2027 (a) | 1,900 | 1,663 |
7.38%, 4/8/2031 (a) | 13,255 | 10,848 |
14,443 | ||
Panama — 1.8% | ||
Republic of Panama | ||
3.16%, 1/23/2030 | 2,400 | 2,003 |
2.25%, 9/29/2032 | 2,800 | 1,998 |
6.40%, 2/14/2035 | 6,300 | 5,913 |
7.88%, 3/1/2057 | 2,599 | 2,670 |
3.87%, 7/23/2060 | 4,800 | 2,699 |
4.50%, 1/19/2063 | 2,600 | 1,637 |
16,920 | ||
Paraguay — 1.9% | ||
Republic of Paraguay | ||
7.90%, 2/9/2031 (b) | PYG19,214,000 | 2,638 |
3.85%, 6/28/2033 (a) | 400 | 345 |
5.85%, 8/21/2033 (b) | 3,490 | 3,435 |
6.00%, 2/9/2036 (b) | 640 | 636 |
5.60%, 3/13/2048 (a) | 500 | 441 |
5.40%, 3/30/2050 (a) | 11,711 | 10,025 |
17,520 | ||
Peru — 0.6% | ||
Republic of Peru | ||
2.39%, 1/23/2026 | 800 | 759 |
3.00%, 1/15/2034 | 4,005 | 3,210 |
5.63%, 11/18/2050 | 1,738 | 1,672 |
5,641 | ||
Philippines — 2.1% | ||
Republic of Philippines | ||
4.63%, 7/17/2028 | 12,500 | 12,242 |
3.56%, 9/29/2032 | 2,200 | 1,938 |
5.95%, 10/13/2047 | 4,700 | 4,891 |
5.50%, 1/17/2048 | 648 | 639 |
19,710 | ||
Poland — 1.0% | ||
Republic of Poland | ||
5.75%, 11/16/2032 | 1,527 | 1,574 |
4.88%, 10/4/2033 | 2,733 | 2,635 |
5.50%, 4/4/2053 | 1,290 | 1,245 |
5.50%, 3/18/2054 | 4,172 | 4,000 |
9,454 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Qatar — 0.9% | ||
State of Qatar | ||
4.82%, 3/14/2049 (a) | 1,142 | 1,041 |
4.40%, 4/16/2050 (a) | 8,700 | 7,417 |
8,458 | ||
Romania — 2.4% | ||
Romania Government Bond | ||
3.00%, 2/27/2027 (a) | 4,830 | 4,474 |
6.63%, 2/17/2028 (b) | 2,200 | 2,246 |
3.00%, 2/14/2031 (a) | 3,500 | 2,903 |
3.63%, 3/27/2032 (a) | 4,500 | 3,786 |
7.13%, 1/17/2033 (b) | 500 | 524 |
6.38%, 1/30/2034 (b) | 2,044 | 2,038 |
2.63%, 12/2/2040 (b) | EUR2,076 | 1,494 |
7.63%, 1/17/2053 (b) | 794 | 861 |
7.63%, 1/17/2053 (a) | 3,800 | 4,122 |
22,448 | ||
Saudi Arabia — 4.2% | ||
Kingdom of Saudi Arabia | ||
4.75%, 1/16/2030 (b) | 10,100 | 9,823 |
4.50%, 4/17/2030 (a) | 2,700 | 2,600 |
5.50%, 10/25/2032 (a) | 4,900 | 4,979 |
2.25%, 2/2/2033 (b) | 1,777 | 1,408 |
5.00%, 1/16/2034 (b) | 2,800 | 2,723 |
4.63%, 10/4/2047 (a) | 4,000 | 3,390 |
3.25%, 11/17/2051 (a) | 13,400 | 8,733 |
5.00%, 1/18/2053 (b) | 800 | 697 |
5.75%, 1/16/2054 (b) | 3,000 | 2,895 |
3.45%, 2/2/2061 (b) | 2,365 | 1,517 |
38,765 | ||
Senegal — 0.5% | ||
Republic of Senegal | ||
6.25%, 5/23/2033 (a) | 4,106 | 3,474 |
6.75%, 3/13/2048 (a) | 1,253 | 913 |
4,387 | ||
Serbia — 0.6% | ||
Republic of Serbia | ||
6.50%, 9/26/2033 (b) | 1,510 | 1,510 |
6.50%, 9/26/2033 (a) | 4,400 | 4,400 |
5,910 | ||
South Africa — 2.0% | ||
Republic of South Africa | ||
4.30%, 10/12/2028 | 8,185 | 7,325 |
4.85%, 9/30/2029 | 2,400 | 2,146 |
5.88%, 4/20/2032 | 1,200 | 1,078 |
5.38%, 7/24/2044 | 900 | 647 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
South Africa—continued | ||
5.00%, 10/12/2046 | 528 | 355 |
5.75%, 9/30/2049 | 4,403 | 3,164 |
7.30%, 4/20/2052 | 4,697 | 4,028 |
18,743 | ||
Sri Lanka — 1.5% | ||
Democratic Socialist Republic of Sri Lanka | ||
6.85%, 3/14/2024 (a) (d) | 4,000 | 2,301 |
6.20%, 5/11/2027 (a) (d) | 4,261 | 2,477 |
6.75%, 4/18/2028 (a) (d) | 6,788 | 3,969 |
7.85%, 3/14/2029 (a) (d) | 3,175 | 1,849 |
7.55%, 3/28/2030 (a) (d) | 5,100 | 2,947 |
13,543 | ||
Suriname — 0.3% | ||
Suriname Government International Bond | ||
7.95%, 7/15/2033 (a) (e) | 2,200 | 2,012 |
9.00%, 12/31/2050 (a) (f) | 1,600 | 1,209 |
3,221 | ||
Trinidad And Tobago — 0.5% | ||
Republic of Trinidad and Tobago | ||
4.50%, 6/26/2030 (a) | 3,200 | 2,954 |
5.95%, 1/14/2031 (b) | 1,940 | 1,922 |
4,876 | ||
Tunisia — 0.1% | ||
Tunisian Republic 6.38%, 7/15/2026 (a) | EUR719 | 659 |
Turkey — 5.0% | ||
Istanbul Metropolitan Municipality | ||
6.38%, 12/9/2025 (b) | 2,400 | 2,356 |
10.50%, 12/6/2028 (b) | 1,664 | 1,785 |
Republic of Turkey | ||
9.88%, 1/15/2028 | 7,520 | 8,253 |
5.13%, 2/17/2028 | 2,900 | 2,737 |
HB, 31.08%, 11/8/2028 | TRY178,683 | 5,725 |
5.25%, 3/13/2030 | 1,300 | 1,182 |
9.13%, 7/13/2030 | 5,600 | 6,072 |
HB, 26.20%, 10/5/2033 | TRY100,692 | 3,145 |
7.63%, 5/15/2034 | 3,824 | 3,833 |
4.88%, 4/16/2043 | 8,400 | 5,897 |
Turkiye Ihracat Kredi Bankasi A/S 9.00%, 1/28/2027 (b) | 4,492 | 4,685 |
45,670 | ||
Ukraine — 0.9% | ||
Ukraine Government Bond | ||
7.75%, 9/1/2026 (a) | 1,200 | 363 |
7.75%, 9/1/2028 (a) | 1,600 | 469 |
6.88%, 5/21/2031 (a) | 1,100 | 296 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Ukraine—continued | ||
7.38%, 9/25/2034 (a) | 11,562 | 3,122 |
7.25%, 3/15/2035 (a) | 16,647 | 4,478 |
8,728 | ||
United Arab Emirates — 0.7% | ||
United Arab Emirates Government Bond | ||
4.05%, 7/7/2032 (b) | 2,274 | 2,142 |
3.63%, 3/10/2033 (a) | 2,000 | 1,662 |
3.90%, 9/9/2050 (a) | 1,600 | 1,161 |
4.95%, 7/7/2052 (b) | 1,726 | 1,593 |
6,558 | ||
Uruguay — 1.7% | ||
Oriental Republic of Uruguay | ||
8.50%, 3/15/2028 (a) | UYU30,702 | 774 |
8.25%, 5/21/2031 | UYU59,846 | 1,467 |
9.75%, 7/20/2033 | UYU123,641 | 3,284 |
7.63%, 3/21/2036 | 8,484 | 10,053 |
15,578 | ||
Venezuela, Bolivarian Republic of — 0.3% | ||
Bolivarian Republic of Venezuela | ||
12.75%, 8/23/2022 (a) (d) | 1,900 | 354 |
8.25%, 10/13/2024 (a) (d) | 2,590 | 414 |
7.65%, 4/21/2025 (a) (d) | 3,213 | 511 |
9.25%, 5/7/2028 (a) (d) | 5,055 | 860 |
11.95%, 8/5/2031 (a) (d) | 1,598 | 297 |
9.38%, 1/13/2034 (d) | 1,312 | 243 |
Venezuela Government Bond 11.75%, 10/21/2026 (a) (d) | 2,400 | 456 |
3,135 | ||
Zambia — 0.6% | ||
Republic of Zambia | ||
5.38%, 9/20/2022 (b) | 1,606 | 1,096 |
8.50%, 4/14/2024 (b) | 700 | 535 |
8.97%, 7/30/2027 (b) | 5,677 | 4,327 |
5,958 | ||
Total Foreign Government Securities (Cost $684,922) | 672,756 | |
Corporate Bonds — 22.2% | ||
Azerbaijan — 0.4% | ||
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (a) | 900 | 905 |
State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030 (a) | 2,572 | 2,624 |
3,529 | ||
Bahrain — 0.6% | ||
Bapco Energies BSC Closed 8.38%, 11/7/2028 (a) | 5,600 | 5,957 |
Brazil — 1.3% | ||
Braskem Netherlands Finance BV 4.50%, 1/31/2030 (a) | 2,200 | 1,842 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Brazil — continued | ||
Guara Norte SARL 5.20%, 6/15/2034 (b) | 2,939 | 2,672 |
MV24 Capital BV 6.75%, 6/1/2034 (a) | 2,016 | 1,886 |
Raizen Fuels Finance SA 6.45%, 3/5/2034 (b) | 1,986 | 2,010 |
Yinson Boronia Production BV 8.95%, 7/31/2042 (b) | 3,303 | 3,333 |
11,743 | ||
Chile — 2.3% | ||
Alfa Desarrollo SpA 4.55%, 9/27/2051 (b) | 2,872 | 2,137 |
Banco del Estado de Chile (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 7.95%, 5/2/2029 (b) (g) (h) (i) | 6,795 | 6,990 |
Corp. Nacional del Cobre de Chile | ||
3.00%, 9/30/2029 (a) | 800 | 701 |
5.13%, 2/2/2033 (b) | 443 | 416 |
5.13%, 2/2/2033 (a) | 1,400 | 1,316 |
6.44%, 1/26/2036 (b) | 1,727 | 1,757 |
6.15%, 10/24/2036 (a) | 1,200 | 1,198 |
4.50%, 8/1/2047 (a) | 1,111 | 868 |
6.30%, 9/8/2053 (b) | 2,261 | 2,211 |
Empresa de los Ferrocarriles del Estado | ||
3.07%, 8/18/2050 (b) | 1,271 | 756 |
3.83%, 9/14/2061 (b) | 820 | 532 |
Empresa de Transporte de Pasajeros Metro SA 5.00%, 1/25/2047 (a) | 770 | 654 |
Empresa Nacional del Petroleo | ||
3.45%, 9/16/2031 (b) | 1,220 | 1,033 |
4.50%, 9/14/2047 (a) | 700 | 517 |
GNL Quintero SA 4.63%, 7/31/2029 (a) | 397 | 387 |
21,473 | ||
Colombia — 1.0% | ||
AI Candelaria Spain SA | ||
7.50%, 12/15/2028 (a) | 705 | 686 |
5.75%, 6/15/2033 (b) | 3,640 | 2,876 |
Ecopetrol SA | ||
5.38%, 6/26/2026 | 800 | 782 |
8.63%, 1/19/2029 | 2,500 | 2,603 |
8.38%, 1/19/2036 | 2,282 | 2,221 |
9,168 | ||
Costa Rica — 0.3% | ||
Instituto Costarricense de Electricidad | ||
6.75%, 10/7/2031 (b) | 1,780 | 1,757 |
6.38%, 5/15/2043 (a) | 802 | 703 |
2,460 | ||
India — 1.0% | ||
Greenko Dutch BV 3.85%, 3/29/2026 (b) | 2,732 | 2,570 |
Greenko Power II Ltd. 4.30%, 12/13/2028 (b) | 2,408 | 2,171 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
India — continued | ||
HDFC Bank Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.93%), 3.70%, 8/25/2026 (a) (g) (h) (i) (j) | 2,400 | 2,223 |
Network i2i Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.27%), 5.65%, 1/15/2025 (a) (g) (h) (i) | 2,200 | 2,181 |
9,145 | ||
Indonesia — 0.8% | ||
Pertamina Persero PT | ||
3.10%, 1/21/2030 (a) | 1,200 | 1,060 |
6.50%, 5/27/2041 (a) | 2,086 | 2,193 |
4.70%, 7/30/2049 (a) | 800 | 662 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||
3.88%, 7/17/2029 (a) | 900 | 829 |
5.25%, 5/15/2047 (a) | 1,100 | 961 |
4.00%, 6/30/2050 (b) | 2,170 | 1,555 |
7,260 | ||
Kazakhstan — 1.1% | ||
KazMunayGas National Co. JSC 5.38%, 4/24/2030 (a) | 10,200 | 9,870 |
Malaysia — 0.5% | ||
Petronas Capital Ltd. 3.50%, 3/18/2025 (a) | 4,200 | 4,130 |
Mexico — 6.6% | ||
Banco Mercantil del Norte SA (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (a) (g) (h) (i) (j) | 2,400 | 2,351 |
Banco Nacional de Comercio Exterior SNC | ||
4.38%, 10/14/2025 (a) | 400 | 393 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 2.72%, 8/11/2031 (b) (i) | 2,920 | 2,592 |
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (a) (i) (j) | 2,400 | 2,214 |
Braskem Idesa SAPI 6.99%, 2/20/2032 (b) | 2,965 | 2,197 |
Cometa Energia SA de CV 6.38%, 4/24/2035 (a) | 2,458 | 2,452 |
Comision Federal de Electricidad | ||
3.35%, 2/9/2031 (a) | 1,000 | 825 |
3.35%, 2/9/2031 (b) | 3,719 | 3,068 |
4.68%, 2/9/2051 (b) | 3,882 | 2,720 |
Mexico City Airport Trust | ||
3.88%, 4/30/2028 (a) | 1,200 | 1,125 |
5.50%, 10/31/2046 (a) | 2,100 | 1,780 |
Petroleos Mexicanos | ||
6.88%, 10/16/2025 | 2,100 | 2,080 |
4.50%, 1/23/2026 | 3,200 | 3,028 |
6.88%, 8/4/2026 | 7,169 | 6,992 |
6.50%, 3/13/2027 | 6,019 | 5,678 |
5.35%, 2/12/2028 | 3,800 | 3,352 |
6.70%, 2/16/2032 | 5,400 | 4,535 |
6.35%, 2/12/2048 | 3,300 | 2,128 |
7.69%, 1/23/2050 | 11,689 | 8,485 |
Tierra Mojada Luxembourg II SARL 5.75%, 12/1/2040 (a) | 2,885 | 2,639 |
60,634 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Morocco — 0.3% | ||
OCP SA 7.50%, 5/2/2054 (b) | 2,526 | 2,518 |
Oman — 0.3% | ||
EDO Sukuk Ltd. 5.88%, 9/21/2033 (b) | 3,040 | 3,072 |
Panama — 0.5% | ||
Aeropuerto Internacional de Tocumen SA | ||
4.00%, 8/11/2041 (b) | 800 | 595 |
5.13%, 8/11/2061 (b) | 2,396 | 1,738 |
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (a) | 2,900 | 2,090 |
4,423 | ||
Paraguay — 0.6% | ||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (b) | 7,885 | 5,884 |
Peru — 1.2% | ||
Corp. Financiera de Desarrollo SA | ||
4.75%, 7/15/2025 (a) | 2,040 | 2,008 |
2.40%, 9/28/2027 (a) | 2,300 | 2,060 |
Fondo MIVIVIENDA SA 4.63%, 4/12/2027 (b) | 3,040 | 2,952 |
Peru LNG Srl 5.38%, 3/22/2030 (a) | 2,200 | 1,859 |
Petroleos del Peru SA 5.63%, 6/19/2047 (a) | 3,624 | 2,156 |
11,035 | ||
Poland — 0.6% | ||
Bank Gospodarstwa Krajowego | ||
6.25%, 10/31/2028 (b) | 2,500 | 2,562 |
5.38%, 5/22/2033 (b) | 2,670 | 2,610 |
5,172 | ||
Russia — 0.0% ^ | ||
Vnesheconombank Via VEB Finance plc 5.94%, 11/21/2023 ‡ (a) (d) | 3,090 | — |
Saudi Arabia — 0.3% | ||
Gaci First Investment Co. 5.25%, 10/13/2032 (a) | 400 | 397 |
Greensaif Pipelines Bidco SARL 6.51%, 2/23/2042 (b) | 2,700 | 2,772 |
3,169 | ||
South Africa — 0.3% | ||
Eskom Holdings SOC Ltd. 6.35%, 8/10/2028 (a) | 3,300 | 3,160 |
Trinidad And Tobago — 0.1% | ||
Heritage Petroleum Co. Ltd. 9.00%, 8/12/2029 (a) | 500 | 520 |
Trinidad Generation UnLtd 5.25%, 11/4/2027 (a) | 800 | 778 |
1,298 | ||
Turkey — 0.7% | ||
TC Ziraat Bankasi A/S (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.33%), 8.99%, 8/2/2034 (b) (i) (j) | 4,220 | 4,282 |
Turkiye Varlik Fonu Yonetimi A/S 8.25%, 2/14/2029 (a) | 2,400 | 2,435 |
6,717 | ||
Ukraine — 0.1% | ||
NPC Ukrenergo 6.88%, 11/9/2028 (b) | 3,244 | 1,184 |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United Arab Emirates — 0.8% | ||
DP World Ltd. | ||
6.85%, 7/2/2037 (a) | 2,000 | 2,149 |
5.63%, 9/25/2048 (a) | 2,908 | 2,727 |
MDGH GMTN RSC Ltd. | ||
2.88%, 11/7/2029 (b) | 1,865 | 1,667 |
2.88%, 11/7/2029 (a) | 400 | 358 |
2.50%, 6/3/2031 (a) | 800 | 678 |
7,579 | ||
Uzbekistan — 0.2% | ||
Uzbekneftegaz JSC 4.75%, 11/16/2028 (a) | 2,000 | 1,677 |
Venezuela, Bolivarian Republic of — 0.3% | ||
Petroleos de Venezuela SA | ||
8.50%, 10/27/2020 (a) (d) | 1,725 | 1,315 |
9.00%, 11/17/2021 (a) (d) | 1,510 | 188 |
6.00%, 11/15/2026 (a) (d) | 1,500 | 180 |
5.38%, 4/12/2027 (a) (d) | 5,758 | 677 |
9.75%, 5/17/2035 (a) (d) | 2,500 | 341 |
2,701 | ||
Total Corporate Bonds (Cost $221,856) | 204,958 | |
U.S. Treasury Obligations — 0.3% | ||
United States — 0.3% | ||
U.S. Treasury Notes , 0.38%, 7/15/2024 (k) (Cost $2,338) | 2,352 | 2,338 |
Supranational — 0.2% | ||
Banque Ouest Africaine de Developpement 2.75%, 1/22/2033 (b)(Cost $2,889) | 2,661 | 2,259 |
Short-Term Investments — 3.5% | ||
Foreign Government Treasury Bills — 0.1% | ||
Arab Republic of Egypt, 27.04%, 12/24/2024 (l)(Cost $1,196) | EGP64,900 | 1,201 |
SHARES (000) | ||
Investment Companies — 3.4% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.31% (m) (n)(Cost $30,789) | 30,783 | 30,789 |
Total Short-Term Investments (Cost $31,985) | 31,990 | |
Total Investments — 99.2% (Cost $943,990) | 914,301 | |
Other Assets Less Liabilities — 0.8% | 7,753 | |
NET ASSETS — 100.0% | 922,054 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Abbreviations | |
CJSC | Closed Joint Stock Company |
EGP | Egyptian Pound |
GMTN | Global Medium Term Note |
HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
JSC | Joint Stock Company |
PT | Limited liability company |
PYG | Paraguay Guarani |
TRY | Turkish Lira |
UYU | Uruguayan Peso |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | 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 May 31, 2024. | |
(d) | Defaulted security. | |
(e) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(f) | 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 May 31, 2024. | |
(g) | Security is an interest bearing note with preferred security characteristics. | |
(h) | 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 May 31, 2024. | |
(i) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(j) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2024 is $11,070 or 1.20% of the Fund’s net assets as of May 31, 2024. | |
(k) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(l) | The rate shown is the effective yield as of May 31, 2024. | |
(m) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(n) | The rate shown is the current yield as of May 31, 2024. |
Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury Ultra Bond | 191 | 09/19/2024 | USD | 23,451 | (213 ) |
U.S. Treasury 2 Year Note | 562 | 09/30/2024 | USD | 114,542 | 92 |
(121 ) | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Ultra Note | (257 ) | 09/19/2024 | USD | (28,860 ) | 3 |
(118 ) |
Abbreviations | |
USD | United States Dollar |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts in thousands):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
TRY | 88,411 | USD | 2,294 | Barclays Bank plc | 9/25/2024 | 172 |
TRY | 87,884 | USD | 2,238 | Goldman Sachs International | 9/25/2024 | 213 |
Total unrealized appreciation | 385 | |||||
USD | 5,965 | EUR | 5,520 | Citibank, NA | 6/24/2024 | (31 ) |
Total unrealized depreciation | (31 ) | |||||
Net unrealized appreciation | 354 |
Abbreviations | |
EUR | Euro |
TRY | Turkish Lira |
USD | United States Dollar |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
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 using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”), or may be internally fair valued using methods set forth by the valuation policies approved by the 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 approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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 Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Corporate Bonds | ||||
Azerbaijan | $— | $3,529 | $— | $3,529 |
Bahrain | — | 5,957 | — | 5,957 |
Brazil | — | 11,743 | — | 11,743 |
Chile | — | 21,473 | — | 21,473 |
Colombia | — | 9,168 | — | 9,168 |
Costa Rica | — | 2,460 | — | 2,460 |
India | — | 9,145 | — | 9,145 |
Indonesia | — | 7,260 | — | 7,260 |
Kazakhstan | — | 9,870 | — | 9,870 |
Malaysia | — | 4,130 | — | 4,130 |
Mexico | — | 60,634 | — | 60,634 |
Morocco | — | 2,518 | — | 2,518 |
Oman | — | 3,072 | — | 3,072 |
Panama | — | 4,423 | — | 4,423 |
Paraguay | — | 5,884 | — | 5,884 |
Peru | — | 11,035 | — | 11,035 |
Poland | — | 5,172 | — | 5,172 |
Russia | — | — | —(a ) | —(a ) |
Saudi Arabia | — | 3,169 | — | 3,169 |
South Africa | — | 3,160 | — | 3,160 |
Trinidad And Tobago | — | 1,298 | — | 1,298 |
Turkey | — | 6,717 | — | 6,717 |
Ukraine | — | 1,184 | — | 1,184 |
United Arab Emirates | — | 7,579 | — | 7,579 |
Uzbekistan | — | 1,677 | — | 1,677 |
Venezuela, Bolivarian Republic of | — | 2,701 | — | 2,701 |
Total Corporate Bonds | — | 204,958 | — (a) | 204,958 |
Foreign Government Securities | — | 672,756 | — | 672,756 |
Supranational | — | 2,259 | — | 2,259 |
U.S. Treasury Obligations | — | 2,338 | — | 2,338 |
Short-Term Investments | ||||
Foreign Government Treasury Bills | — | 1,201 | — | 1,201 |
Investment Companies | 30,789 | — | — | 30,789 |
Total Short-Term Investments | 30,789 | 1,201 | — | 31,990 |
Total Investments in Securities | $30,789 | $883,512 | $— (a) | $914,301 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $385 | $— | $385 |
Futures Contracts | 95 | — | — | 95 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (31 ) | — | (31 ) |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Futures Contracts | $(213 ) | $— | $— | $(213 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(118 ) | $354 | $— | $236 |
(a) | Amount rounds to less than one thousand. |
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
B. Investment Transactions with Affiliates— The Fund invested in Underlying Funds 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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended May 31, 2024 | |||||||||
Security Description | Value at February 29, 2024 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at May 31, 2024 | Shares at May 31, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.31% (a) (b) | $95,568 | $182,729 | $247,501 | $(6 ) | $(1 ) | $30,789 | 30,783 | $256 | $— |
(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 May 31, 2024. |
C. Derivatives— The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing 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 currency, index, interest rate, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to 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. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. 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.