JPMorgan Trust IV NPORT-P JPMorgan Macro Opportunities Fund (Jul 2021 report)

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited)

Investments	Shares (000)				Value ($000)
COMMON STOCKS — 50.1%
Banks — 6.9%
First Republic Bank			1			107
HDFC Bank Ltd., ADR (India)			5			371
Huntington Bancshares, Inc.			12			167
ING Groep NV (Netherlands)			9			111
Nordea Bank Abp (Finland)			10			114
Sberbank of Russia PJSC, ADR (Russia)			15			257
Signature Bank			1			141
						1,268
Building Products — 1.1%
Allegion plc			1			92
Trane Technologies plc			1			110
						202
Capital Markets — 0.6%
S&P Global, Inc.			—	(a)		111
Electric Utilities — 2.4%
EDP - Energias de Portugal SA (Portugal)			13			67
Enel SpA (Italy)			17			153
Iberdrola SA (Spain)			9			111
Orsted A/S (Denmark)(b)			1			118
						449
Electrical Equipment — 1.7%
Rockwell Automation, Inc.			—	(a)		152
Schneider Electric SE			1			165
						317
Electronic Equipment, Instruments & Components — 0.5%
Keyence Corp. (Japan)			—	(a)		95
Entertainment — 2.6%
Netflix, Inc.*			1			265
Walt Disney Co. (The)*			1			224
						489
Health Care Equipment & Supplies — 1.2%
Abbott Laboratories			1			91
Medtronic plc			1			130
						221
Household Durables — 1.4%
DR Horton, Inc.			1			131
Lennar Corp., Class A			1			135
						266
Insurance — 2.4%
AIA Group Ltd. (Hong Kong)			15			179
Aon plc, Class A			1			139
Ping An Insurance Group Co. of China Ltd., Class H (China)			15			127
						445
Interactive Media & Services — 2.5%
Alphabet, Inc., Class A*			—	(a)		458
Internet & Direct Marketing Retail — 3.8%
Alibaba Group Holding Ltd. (China)*			9			219
Amazon.com, Inc.*			—	(a)		476
						695
IT Services — 4.1%
Mastercard, Inc., Class A			1			234
PayPal Holdings, Inc.*			1			262
Visa, Inc., Class A			1			272
						768
Life Sciences Tools & Services — 1.7%
Thermo Fisher Scientific, Inc.			1			312
Machinery — 1.2%
Stanley Black & Decker, Inc.			—	(a)		87
Volvo AB, Class B (Sweden)			5			129
						216
Multi-Utilities — 0.4%
RWE AG (Germany)			2			65
Personal Products — 0.9%
Estee Lauder Cos., Inc. (The), Class A			1			174
Pharmaceuticals — 2.9%
AstraZeneca plc (United Kingdom)			2			244
Eli Lilly & Co.			1			125
Novo Nordisk A/S, Class B (Denmark)			2			176
						545
Semiconductors & Semiconductor Equipment — 0.5%
NVIDIA Corp.			1			97
Software — 5.3%
Adobe, Inc.*			—	(a)		175
Atlassian Corp. plc, Class A*			—	(a)		95
Microsoft Corp.			2			474
salesforce.com, Inc.*			1			148
ServiceNow, Inc.*			—	(a)		75
						967
Specialty Retail — 1.9%
Burlington Stores, Inc.*			—	(a)		105
TJX Cos., Inc. (The)			4			242
						347
Textiles, Apparel & Luxury Goods — 4.1%
Lululemon Athletica, Inc.*			1			287
LVMH Moet Hennessy Louis Vuitton SE (France)			—	(a)		227
NIKE, Inc., Class B			1			237
						751
TOTAL COMMON STOCKS (Cost $6,762)						9,258
	Principal Amount ($000)
FOREIGN GOVERNMENT SECURITIES — 1.3%
Republic of South Africa (South Africa)
8.00%, 1/31/2030		ZAR	1,296			84
Romania Government Bond (Romania)
2.75%, 2/26/2026(b)		EUR	60			78
3.62%, 5/26/2030(b)		EUR	58			80
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $231)						242

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

Investments	No. of Contracts			Value ($000)
OPTIONS PURCHASED — 0.4%
CALL OPTIONS PURCHASED — 0.4%
Aerospace & Defense — 0.1%
Airbus SE (France)
12/17/2021 at EUR 100.00, American Style Notional Amount: EUR 104 Counterparty: Exchange-Traded*		EUR	9		21
Boeing Co. (The)
1/21/2022 at USD 300.00, American Style Notional Amount: USD 68 Counterparty: Exchange-Traded*			3		1
Safran SA (France)
3/18/2022 at EUR 140.00, American Style Notional Amount: EUR 55 Counterparty: Exchange-Traded*		EUR	5		1
					23
Banks — 0.3%
Signature Bank
9/17/2021 at USD 250.00, American Style Notional Amount: USD 91 Counterparty: Exchange-Traded*			4		2
Societe Generale SA (France)
12/17/2021 at EUR 27.00, American Style Notional Amount: EUR 124 Counterparty: Exchange-Traded*		EUR	50		6
Standard Chartered plc (United Kingdom)
5/20/2022 at GBP 520.00, American Style Notional Amount: GBP 167 Counterparty: Exchange-Traded*		GBP	11		2
UniCredit SpA (Germany)
12/16/2021 at EUR 10.00, American Style Notional Amount: EUR 113 Counterparty: Exchange-Traded*		EUR	113		12
Wells Fargo & Co.
1/21/2022 at USD 40.00, American Style Notional Amount: USD 92 Counterparty: Exchange-Traded*			20		14
					36
Beverages — 0.0%(c)
Heineken NV (Netherlands)
3/18/2022 at EUR 95.00, American Style Notional Amount: EUR 69 Counterparty: Exchange-Traded*		EUR	7		7
Construction & Engineering — 0.0%(c)
Vinci SA (France)
3/18/2022 at EUR 100.00, American Style Notional Amount: EUR 63 Counterparty: Exchange-Traded*		EUR	7		2
Hotels, Restaurants & Leisure — 0.0%(c)
Compass Group plc (United Kingdom)
3/18/2022 at GBP 1,700.00, American Style Notional Amount: GBP 46 Counterparty: Exchange-Traded*		GBP	3		3
Las Vegas Sands Corp.
1/21/2022 at USD 72.50, American Style Notional Amount: USD 47 Counterparty: Exchange-Traded*			11		—	(a)
Marriott International, Inc.
1/21/2022 at USD 170.00, American Style Notional Amount: USD 73 Counterparty: Exchange-Traded*			5		2
Planet Fitness, Inc.
1/21/2022 at USD 95.00, American Style Notional Amount: USD 68 Counterparty: Exchange-Traded*			9		2
					7
Index Funds — 0.0%(c)
S&P 500 Index
8/31/2021 at USD 4,450.00, European Style Notional Amount: USD 879 Counterparty: Exchange-Traded*			2		7
TOTAL CALL OPTIONS PURCHASED					82
TOTAL OPTIONS PURCHASED (Cost $102)					82
	Principal Amount ($000)
SHORT-TERM INVESTMENTS — 33.8%
FOREIGN GOVERNMENT TREASURY BILLS — 19.9%
Japan Treasury Bills (Japan)
(0.11)%, 8/16/2021(d)		JPY	87,650		799
(0.10)%, 8/23/2021(d)		JPY	88,950		811
(0.10)%, 8/30/2021(d)		JPY	94,100		858
(0.10)%, 9/13/2021(d)		JPY	98,000		893
Letras do Tesouro Nacional (Brazil)
5.01%, 7/1/2023(d)		BRL	2,000		330
TOTAL FOREIGN GOVERNMENT TREASURY BILLS (Cost $3,697)					3,691

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

Investments	Shares (000)		Value ($000)
INVESTMENT COMPANIES — 13.9%
JPMorgan Prime Money Market Fund Class IM Shares, 0.07%(e)(f)(Cost $2,574)		2,573		2,574
TOTAL SHORT-TERM INVESTMENTS (Cost $6,271)				6,265
Total Investments — 85.6% (Cost $13,366)				15,847
Other Assets Less Liabilities — 14.4%				2,669
Net Assets — 100.0%				18,516

Percentages indicated are based on net assets.

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

Abbreviations
ADR	American Depositary Receipt
BRL	Brazilian Real
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
PJSC	Public Joint Stock Company
USD	United States Dollar
ZAR	South African Rand

(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)	Amount rounds to less than 0.1% of net assets.
(d)	The rate shown is the effective yield as of July 31, 2021.
(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)	The rate shown is the current yield as of July 31, 2021.
*	Non-income producing security.

Futures contracts outstanding as of July 31, 2021 (amounts in thousands, except number of contracts):

Description	Number of Contracts			Expiration Date		Trading Currency		Notional Amount ($)			Value and Unrealized Appreciation (Depreciation) ($)
Long Contracts
Euro-BTP		2			09/2021		EUR		366			9
XAU Utilities Index		8			09/2021		USD		531			(5	)
												4
Short Contracts
EURO STOXX 50 Index		(25	)		09/2021		EUR		(1,212	)		(3	)
Euro-Bund		(2	)		09/2021		EUR		(419	)		(12	)
MSCI Emerging Markets E-Mini Index		(2	)		09/2021		USD		(128	)		9
S&P 500 E-Mini Index		(14	)		09/2021		USD		(3,072	)		(86	)
U.S. Treasury 10 Year Note		(5	)		09/2021		USD		(673	)		(12	)
												(104	)
												(100	)

Abbreviations
EUR	Euro
MSCI	Morgan Stanley Capital International
USD	United States Dollar

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

Forward foreign currency exchange contracts outstanding as of July 31, 2021 (amounts in thousands):

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation) ($)
CNY	263		USD	41	Goldman Sachs International**		8/23/2021		—	(a)
HKD	302		USD	39	Citibank, NA		8/23/2021		—	(a)
KRW	79,719		USD	69	Citibank, NA**		8/23/2021		—	(a)
RUB	2,736		USD	37	Barclays Bank plc**		8/23/2021		1
TWD	38,569		USD	1,375	Citibank, NA**		8/23/2021		4
USD	329		BRL	1,685	Citibank, NA**		8/23/2021		6
USD	569		HKD	4,416	Citibank, NA		8/23/2021		—	(a)
USD	186		KRW	213,841	Goldman Sachs International**		8/23/2021		—	(a)
USD	902		TWD	24,873	Citibank, NA**		8/23/2021		12
USD	449		TWD	12,391	Goldman Sachs International**		8/23/2021		6
CNY	8,810		USD	1,355	Goldman Sachs International**		9/27/2021		4
USD	1,385		TWD	38,335	Goldman Sachs International**		9/27/2021		14
CAD	33		USD	26	Goldman Sachs International		10/26/2021		—	(a)
CHF	167		USD	182	Goldman Sachs International		10/26/2021		3
NOK	374		USD	42	Goldman Sachs International		10/26/2021		—	(a)
USD	592		AUD	803	Goldman Sachs International		10/26/2021		3
USD	51		JPY	5,539	Goldman Sachs International		10/26/2021		—	(a)
Total unrealized appreciation									53
CNY	5,704		USD	886	Citibank, NA**		8/23/2021		(4	)
CNY	2,844		USD	442	Goldman Sachs International**		8/23/2021		(2	)
KRW	70,395		USD	61	Citibank, NA**		8/23/2021		—	(a)
TWD	37,263		USD	1,342	Goldman Sachs International**		8/23/2021		(9	)
USD	2,720		CNY	17,721	Goldman Sachs International**		8/23/2021		(21	)
USD	262		DKK	1,652	TD Bank Financial Group		8/23/2021		(1	)
USD	389		INR	29,143	Citibank, NA**		8/23/2021		(2	)
USD	286		RUB	21,287	Goldman Sachs International**		8/23/2021		(4	)
USD	90		ZAR	1,334	Citibank, NA		8/23/2021		(1	)
JPY	60,627		USD	553	Goldman Sachs International		10/26/2021		—	(a)
NOK	7,791		USD	889	Goldman Sachs International		10/26/2021		(7	)
USD	917		CHF	841	Goldman Sachs International		10/26/2021		(13	)
USD	1,174		EUR	993	Goldman Sachs International		10/26/2021		(7	)
USD	277		GBP	200	Goldman Sachs International		10/26/2021		(1	)
USD	3,355		JPY	370,403	Goldman Sachs International		10/26/2021		(23	)
USD	180		NOK	1,605	Goldman Sachs International		10/26/2021		(2	)
USD	234		SEK	2,029	Goldman Sachs International		10/26/2021		(2	)
Total unrealized depreciation									(99	)
Net unrealized depreciation									(46	)

Abbreviations
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNY	China Yuan
DKK	Danish Krone
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
INR	Indian Rupee
JPY	Japanese Yen
KRW	Korean Republic Won
NOK	Norwegian Krone
RUB	Russian Ruble
SEK	Swedish Krona
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand
(a)	Amount rounds to less than one thousand.
**	Non-deliverable forward.

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (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.

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.

Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the 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 and options are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the 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.

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
Common Stocks
Banks	$	1,043		$	225		$	—	$	1,268
Building Products		202			—			—		202
Capital Markets		111			—			—		111
Electric Utilities		—			449			—		449
Electrical Equipment		152			165			—		317
Electronic Equipment, Instruments & Components		—			95			—		95
Entertainment		489			—			—		489
Health Care Equipment & Supplies		221			—			—		221
Household Durables		266			—			—		266
Insurance		139			306			—		445
Interactive Media & Services		458			—			—		458
Internet & Direct Marketing Retail		476			219			—		695
IT Services		768			—			—		768
Life Sciences Tools & Services		312			—			—		312
Machinery		87			129			—		216
Multi-Utilities		—			65			—		65
Personal Products		174			—			—		174
Pharmaceuticals		125			420			—		545
Semiconductors & Semiconductor Equipment		97			—			—		97
Software		967			—			—		967
Specialty Retail		347			—			—		347
Textiles, Apparel & Luxury Goods		524			227			—		751
Total Common Stocks		6,958			2,300			—		9,258
Foreign Government Securities		—			242			—		242
Options Purchased
Call Options Purchased		28			54			—		82
Short-Term Investments
Foreign Government Treasury Bills		—			3,691			—		3,691
Investment Companies		2,574			—			—		2,574
Total Short-Term Investments		2,574			3,691			—		6,265
Total Investments in Securities	$	9,560		$	6,287		$	—	$	15,847
Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts	$	—		$	53		$	—	$	53
Futures Contracts		18			—			—		18
Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts		—			(99	)		—		(99	)
Futures Contracts	��	(118	)		—			—		(118	)
Total Net Appreciation/Depreciation in Other Financial Instruments	$	(100	)	$	(46	)	$	—	$	(146	)

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

(Dollar values in thousands)

B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds, which is 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 such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.

For the period ended July 31, 2021
Security Description	Value at October 31, 2020		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation/ (Depreciation)			Value at July 31, 2021		Shares at July 31, 2021		Dividend Income		Capital Gain Distributions
JPMorgan Prime Money Market Fund Class IM Shares, 0.07%(a)(b)	$	2,356	$	8,098	$	7,880	$	—	(c)	$	—	(c)	$	2,574		2,573	$	1	$	—

(a) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b) The rate shown is the current yield as of July 31, 2021.

(c) Amount rounds to less than one thousand.

C. Derivatives — The Fund used derivative instruments including options, futures contracts 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.

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) — (3) below describe the various derivatives used by the Fund.

(1). Options — The Fund purchased and/or sold (“wrote”) put and call options on various instruments including currencies, futures, securities, options on indices and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.

Options Purchased — Premiums paid by the Fund for options purchased are included as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as unrealized appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.

Options Written — Premiums received by the Fund for options written are adjusted daily to reflect the current market value of the option written and the change in market value is recorded as unrealized appreciation or depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subjects the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.

The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.

The Fund’s exchange-traded option contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions). The Fund’s over-the-counter (“OTC”) options are subject to master netting agreements.

The Fund may be required to post or receive collateral for OTC options. Cash collateral posted by the Fund is considered restricted.

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2021 (Unaudited) (continued)

(Dollar values in thousands)

(2). 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 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).

(3). 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.