N-CSR 1 d289489dncsr.htm JPMORGAN TRUST I JPMorgan Trust I
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21295

 

 

JPMorgan Trust I

(Exact name of registrant as specified in charter)

 

 

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

 

 

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

 

 

Registrant’s telephone number, including area code: (800) 480-4111

Date of fiscal year end: October 31

Date of reporting period: November 1, 2015 through October 31, 2016

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

 

 

 


Table of Contents

ITEM 1. REPORTS TO STOCKHOLDERS.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).


Table of Contents
 

Annual Report

J.P. Morgan Specialty Funds

October 31, 2016

JPMorgan Opportunistic Equity Long/Short Fund

JPMorgan Research Market Neutral Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan Opportunistic Equity Long/Short Fund

       3   

JPMorgan Research Market Neutral Fund

       6   
Schedules of Portfolio Investments        9   
Financial Statements        22   
Financial Highlights        28   
Notes to Financial Statements        32   
Report of Independent Registered Public Accounting Firm        41   
Trustees        42   
Officers        44   
Schedule of Shareholder Expenses        45   
Board Approval of Investment Advisory Agreements        46   
Tax Letter        49   

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


Table of Contents

CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

 

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         1   


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J.P. Morgan Specialty Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

U.S. financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December 2015 interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided.

The Standard & Poor’s 500 Index (S&P 500) reached new record highs in August 2016 and mostly held those gains through October. Notably, crude oil prices reached 15-monnth highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories.

For the twelve months ended October 31, 2016, the S&P 500 Index returned 4.51%, while the BofA Merrill Lynch 3-Month U.S. Treasury Index returned 0.31%.

 

 
2       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


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JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Select Class Shares)*      (0.29)%   
Standard & Poor’s 500 Index      4.51%   
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index      0.31%   
Net Assets as of 10/31/2016 (In Thousands)    $ 213,634   

 

INVESTMENT OBJECTIVE**

The JPMorgan Opportunistic Equity Long/Short Fund (the “Fund”) seeks capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund (Select Class Shares) underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the twelve months ended October 31, 2016. The Fund’s security selection in the information technology sector and its security selection and underweight position in the industrials sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the consumer discretionary sector and its security selection and underweight position in the health care sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s long positions in Norwegian Cruise Line Holdings Ltd., Mobileye NV and Signet Jewelers Ltd. Shares of Norwegian Cruise Line, an owner/operator of vacation cruise ships that was not held in the Benchmark, fell amid general weakness in the cruise ship industry due to slack consumer demand in North America and concerns about the spread of the Zika virus. Shares of Mobileye, a provider of camera-assisted driving systems that was not held in the Benchmark, fell after the company reported its contract with Tesla Motors Inc. would not be extended. Shares of Signet Jewelers Ltd., a retailer of jewelry and watches, fell amid investor concerns about its credit operations and the quality of its gems.

Leading individual contributors to relative performance included the Fund’s long positions in Tempur Sealy International Inc., Jarden Corp. and Newell Brands Inc. Shares of Tempur Sealy, a bedding manufacturer not held in the Benchmark, rose on better-than-expected earnings. Shares of Jarden, a consumer products company not held in the Benchmark, rose after it agreed to be acquired by Newell Inc. Shares of Newell, a consumer products company, rose after the company raised its forecast for earnings and sales.

HOW WAS THE FUND POSITIONED?

During the twelve months ended October 31, 2016, the Fund invested at least 80% of its assets under management in long and short positions in equity securities, selecting from a universe of equity securities with market capitalizations similar to those included in the Russell 1000 Index and/or S&P 500 Index. The Fund’s manager sought to achieve lower volatility than the Benchmark through a disciplined research process, security selection and risk management. For the six month reporting period, the Fund’s average gross exposure was 90% and its average net exposure was 46%.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         3   


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.      

Newell Brands, Inc.

     8.3
  2.      

KLA-Tencor Corp.

     4.3   
  3.      

Comcast Corp., Class A

     4.3   
  4.      

Alphabet, Inc., Class A

     3.9   
  5.      

Fidelity National Information Services, Inc.

     3.8   
  6.      

Berkshire Hathaway, Inc., Class A

     3.2   
  7.      

Affiliated Managers Group, Inc.

     2.8   
  8.      

Johnson & Johnson

     2.7   
  9.      

Thermo Fisher Scientific, Inc.

     2.7   
  10.      

Twenty-First Century Fox, Inc., Class B

     2.6   

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.      

Berkshire Hathaway, Inc., Class B

     13.6
  2.      

Twenty-First Century Fox, Inc., Class A

     10.7   
  3.      

Verizon Communications, Inc.

     6.0   
  4.      

United Parcel Service, Inc., Class B

     5.6   
  5.      

Wynn Resorts Ltd.

     4.4   
  6.      

Sally Beauty Holdings, Inc.

     4.2   
  7.      

TJX Cos., Inc. (The)

     3.4   
  8.      

Dollar Tree, Inc.

     2.9   
  9.      

Wyndham Worldwide Corp.

     2.2   
  10.      

Ross Stores, Inc.

     2.0   

LONG PORTFOLIO COMPOSITION BY SECTOR***

 

Consumer Discretionary

     20.2

Information Technology

     18.8  

Financials

     7.0  

Health Care

     6.1  

Consumer Staples

     4.4  
Materials      3.1  

Industrials

     1.9  

Others (each less than 1.0%)

     1.2   

Short-Term Investment

     37.3   

 

SHORT PORTFOLIO COMPOSITION BY SECTOR****

 

Consumer Discretionary

     40.8

Financials

     18.2  

Industrials

     12.8  

Information Technology

     8.6  

Telecommunication Services

     6.0  
Health Care      4.8  
Consumer Staples      3.3  

Energy

     2.2  

Real Estate

     1.5  

Utilities

     1.0  

Others (each less than 1.0%)

     0.8   

 

***   Percentages indicated are based on total long investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   August 29, 2014          

With Sales Charge*

          (5.74 )%         4.31

Without Sales Charge

          (0.53 )        6.93  

CLASS C SHARES

   August 29, 2014          

With CDSC**

          (2.00 )        6.41  

Without CDSC

          (1.00 )        6.41  

CLASS R2 SHARES

   August 29, 2014        (0.76 )        6.67  

CLASS R5 SHARES

   August 29, 2014        (0.12 )        7.41  

CLASS R6 SHARES

   August 29, 2014        (0.06 )        7.47  

SELECT CLASS SHARES

   August 29, 2014        (0.29 )        7.19  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (8/29/14 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on August 29, 2014.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Opportunistic Equity Long/Short Fund, the S&P 500 Index, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and Lipper Alternative Long/Short Equity Funds Index from August 29, 2014 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The performance of the Lipper Alternative Long/Short Equity Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not

identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Alternative Long/Short Equity Funds Index represents the total returns of the funds in the indicated category as defined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         5   


Table of Contents

JPMorgan Research Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Institutional Class Shares)*      (2.47)%   
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index      0.31%   
Net Assets as of 10/31/2016 (In Thousands)    $ 347,351   

 

INVESTMENT OBJECTIVE**

The JPMorgan Research Market Neutral Fund (the “Fund”) seeks to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund (Institutional Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended October 31, 2016.

Investors’ concerns about global economic growth as well as weakening oil prices and uncertainty over China’s economy, created a headwind for the Fund. Overall, stocks that the Fund’s portfolio managers found to be undervalued underperformed the broader market, while stocks that the research team found to be unattractively valued outperformed the broader market.

The Fund’s security selection in the pharmaceutical & health care sector and the consumer cyclical sector was a leading detractor from performance relative to the Benchmark, while security selection in the media and energy sectors was a leading positive contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s short positions in Medtronic PLC and Johnson & Johnson and its long position in Valeant Pharmaceuticals International Inc. Shares of Medtronic, a medical devices maker, rose on continued growth in earnings and revenue. Shares of Johnson & Johnson, a maker of consumer health care products, rose on better than expected earnings. Shares of Valeant, a manufacture of drugs and

medical devices, declined by more than 90% during the reporting period amid federal and state investigations into the company’s sales practices.

Leading individual contributors to the Fund’s relative performance included its short position in Intel Corp. and its long positions in Facebook Inc. and Broadcom Ltd. Shares of Intel, a semiconductor manufacturer, fell after the company reduced its earnings forecast due to restructuring charges. Shares of Facebook, an Internet social media company, rose amid continued growth in advertising revenue. Shares of Broadcom, a semiconductor manufacturer, rose following news of a $37 billion takeover offer from Avago Technologies Inc.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers aimed to construct a portfolio of long and short positions with a low correlation to traditional investments such as stocks and bonds. The Fund’s portfolio managers used fundamental research to estimate companies’ long-term earnings forecasts, ranking approximately 600 large and mid cap stocks into five quintiles. The Fund’s portfolio managers looked to the top two quintiles for potential long positions in stocks that they believed were undervalued and the bottom two quintiles for potential short positions in stocks that they believed were overvalued.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
6       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO*  
  1.      

Union Pacific Corp.

     2.6
  2.      

Broadcom Ltd., (Singapore)

     2.6   
  3.      

Alphabet, Inc., Class C

     2.5   
  4.      

NextEra Energy, Inc.

     2.1   
  5.      

Chubb Ltd., (Switzerland)

     1.9   
  6.      

Canadian Pacific Railway Ltd., (Canada)

     1.7   
  7.      

Amazon.com, Inc.

     1.7   
  8.      

Humana, Inc.

     1.7   
  9.      

Lowe’s Cos., Inc.

     1.6   
  10.      

Pioneer Natural Resources Co.

     1.6   

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO**  
  1.      

Exxon Mobil Corp.

     2.3
  2.      

Verizon Communications, Inc.

     2.3   
  3.      

Dominion Resources, Inc.

     2.3   
  4.      

Boeing Co. (The)

     2.2   
  5.      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR, (Taiwan)

     1.9   
  6.      

Duke Energy Corp.

     1.7   
  7.      

Intel Corp.

     1.6   
  8.      

Coca-Cola Co. (The)

     1.6   
  9.      

3M Co.

     1.6   
  10.      

Medtronic plc, (Ireland)

     1.5   

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*

 

Information Technology

     17.9

Consumer Discretionary

     15.2  

Financials

     12.6  

Industrials

     12.2  

Consumer Staples

     8.7  

Health Care

     7.0  

Materials

     5.6  

Utilities

     5.5  
Energy      5.3  

Real Estate

     2.6  

Telecommunication Services

     1.2  

U.S. Treasury Obligations

     0.2   

Short-Term Investment

     6.0   

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**

 

Consumer Discretionary

     18.6

Information Technology

     14.1  

Industrials

     13.2  
Financials      12.2  

Consumer Staples

     10.2  

Health Care

     7.5  

Utilities

     6.3  

Materials

     6.2  

Energy

     5.4  

Real Estate

     3.3  

Telecommunication Services

     3.0  

 

*   Percentages indicated are based on total long investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
**   Percentages indicated are based on total short investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         7   


Table of Contents

JPMorgan Research Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2002               

With Sales Charge*

          (7.98 )%         (1.77 )%         0.24

Without Sales Charge

          (2.88 )        (0.70 )        0.79  

CLASS C SHARES

   November 2, 2009               

With CDSC**

          (4.33 )        (1.19 )        0.29  

Without CDSC

          (3.33 )        (1.19 )        0.29  

INSTITUTIONAL CLASS SHARES

   December 31, 1998        (2.47 )        (0.23 )        1.28  

SELECT CLASS SHARES

   November 2, 2009        (2.64 )        (0.46 )        1.11  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR FUND PERFORMANCE (10/31/06 to 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Select Class Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns for Select Class Shares would have been lower than shown because Select Class Shares have higher expenses than Institutional Class Shares.

Returns for Class C Shares prior to its inception date are based on the performance of Class B Shares, all of which converted to Class A Shares on June 19, 2015. The actual returns of Class C Shares would have been similar to those shown because Class C Shares had similar expenses to Class B Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Research Market Neutral Fund, BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and Lipper Alternative Equity Market Neutral Funds Average from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect

reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Alternative Equity Market Neutral Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Lipper Alternative Equity Market Neutral Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc.

Institutional Class Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — 94.0%

  

 

Common Stocks — 58.9%

  

 

Consumer Discretionary — 19.0%

  

 

Auto Components — 0.2%

  

  (h)   

Adient plc, (Ireland) (a)

    15   
  5     

BorgWarner, Inc.

    164   
  3     

Delphi Automotive plc, (United Kingdom)

    164   
   

 

 

 
      343   
   

 

 

 
 

Distributors — 1.5%

  

  97     

LKQ Corp. (a)

    3,127   
   

 

 

 
 

Hotels, Restaurants & Leisure — 0.2%

  

  7     

Hilton Worldwide Holdings, Inc.

    155   
  3     

Starbucks Corp.

    142   
  2     

Yum! Brands, Inc.

    157   
   

 

 

 
      454   
   

 

 

 
 

Household Durables — 7.9%

  

  5     

D.R. Horton, Inc.

    144   
  349     

Newell Brands, Inc. (j)

    16,752   
   

 

 

 
      16,896   
   

 

 

 
 

Internet & Direct Marketing Retail — 1.5%

  

  4     

Amazon.com, Inc. (a)

    3,302   
   

 

 

 
 

Media — 7.3%

  

  139     

Comcast Corp., Class A

    8,596   
  20     

DISH Network Corp., Class A (a)

    1,167   
  20     

Liberty Media Corp.-Liberty Media, Class A (a)

    547   
  2     

Time Warner, Inc.

    162   
  195     

Twenty-First Century Fox, Inc., Class B

    5,142   
   

 

 

 
      15,614   
   

 

 

 
 

Multiline Retail — 0.1%

  

  2     

Dollar General Corp.

    160   
   

 

 

 
 

Specialty Retail — 0.2%

  

  1     

Home Depot, Inc. (The)

    156   
  2     

Lowe’s Cos., Inc.

    148   
  1     

O’Reilly Automotive, Inc. (a)

    148   
   

 

 

 
      452   
   

 

 

 
 

Textiles, Apparel & Luxury Goods — 0.1%

  

  3     

NIKE, Inc., Class B

    150   
   

 

 

 
 

Total Consumer Discretionary

    40,498   
   

 

 

 
 

Consumer Staples — 4.1%

  

 

Beverages — 2.1%

  

  37     

Anheuser-Busch InBev N.V., (Belgium), ADR (j)

    4,256   
  2     

PepsiCo, Inc.

    244   
   

 

 

 
      4,500   
   

 

 

 
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
   
 

Food & Staples Retailing — 0.3%

  

  8     

Kroger Co. (The)

    250   
  3     

Walgreens Boots Alliance, Inc.

    246   
   

 

 

 
      496   
   

 

 

 
 

Food Products — 0.1%

  

  6     

Mondelez International, Inc., Class A

    260   
   

 

 

 
 

Household Products — 0.1%

  

  2     

Kimberly-Clark Corp.

    237   
   

 

 

 
 

Tobacco — 1.5%

  

  49     

Altria Group, Inc. (j)

    3,272   
   

 

 

 
 

Total Consumer Staples

    8,765   
   

 

 

 
 

Energy — 0.5%

  

 

Oil, Gas & Consumable Fuels — 0.5%

  

  2     

Anadarko Petroleum Corp.

    122   
  3     

Cheniere Energy, Inc. (a)

    120   
  1     

Concho Resources, Inc. (a)

    116   
  1     

Diamondback Energy, Inc. (a)

    109   
  1     

EOG Resources, Inc.

    128   
  2     

EQT Corp.

    130   
  1     

Pioneer Natural Resources Co.

    134   
  3     

TransCanada Corp., (Canada)

    126   
  3     

Valero Energy Corp.

    152   
   

 

 

 
 

Total Energy

    1,137   
   

 

 

 
 

Financials — 6.6%

  

 

Banks — 0.3%

  

  7     

Bank of America Corp.

    109   
  2     

Citigroup, Inc.

    108   
  8     

KeyCorp

    117   
  11     

Regions Financial Corp.

    115   
  2     

Wells Fargo & Co.

    107   
  4     

Zions Bancorporation

    114   
   

 

 

 
      670   
   

 

 

 
 

Capital Markets — 2.9%

  

  43     

Affiliated Managers Group, Inc. (a)

    5,702   
  (h)   

BlackRock, Inc.

    105   
  3     

Charles Schwab Corp. (The)

    106   
  (h)   

Intercontinental Exchange, Inc.

    101   
  4     

Morgan Stanley

    118   
   

 

 

 
      6,132   
   

 

 

 
 

Consumer Finance — 0.1%

  

  6     

Ally Financial, Inc.

    102   
  2     

Capital One Financial Corp.

    111   
   

 

 

 
      213   
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         9   


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

 

Diversified Financial Services — 3.0%

  

  (h)   

Berkshire Hathaway, Inc., Class A (a)

    6,471   
   

 

 

 
 

Insurance — 0.3%

  

  2     

Arthur J. Gallagher & Co.

    113   
  1     

Chubb Ltd., (Switzerland)

    118   
  1     

Everest Re Group Ltd., (Bermuda)

    125   
  2     

Hartford Financial Services Group, Inc. (The)

    106   
  3     

MetLife, Inc.

    118   
  3     

XL Group Ltd., (Bermuda)

    115   
   

 

 

 
      695   
   

 

 

 
 

Total Financials

    14,181   
   

 

 

 
 

Health Care — 5.7%

  

 

Health Care Equipment & Supplies — 0.6%

  

  17     

Abbott Laboratories

    686   
  31     

Boston Scientific Corp. (a)

    678   
   

 

 

 
      1,364   
   

 

 

 
 

Life Sciences Tools & Services — 2.5%

  

  37     

Thermo Fisher Scientific, Inc. (j)

    5,427   
   

 

 

 
 

Pharmaceuticals — 2.6%

  

  47     

Johnson & Johnson

    5,476   
   

 

 

 
 

Total Health Care

    12,267   
   

 

 

 
 

Industrials — 1.8%

  

 

Aerospace & Defense — 0.1%

  

  1     

Northrop Grumman Corp.

    194   
   

 

 

 
 

Airlines — 0.1%

  

  3     

United Continental Holdings, Inc. (a)

    174   
   

 

 

 
 

Building Products — 0.1%

  

  1     

Lennox International, Inc.

    175   
   

 

 

 
 

Commercial Services & Supplies — 0.1%

  

  3     

Johnson Controls International plc

    136   
  2     

Waste Connections, Inc., (Canada)

    172   
   

 

 

 
      308   
   

 

 

 
 

Road & Rail — 1.3%

  

  17     

Canadian Pacific Railway Ltd., (Canada) (j)

    2,470   
  2     

Kansas City Southern

    168   
  2     

Union Pacific Corp.

    173   
   

 

 

 
      2,811   
   

 

 

 
 

Trading Companies & Distributors — 0.1%

  

  4     

AerCap Holdings N.V., (Ireland) (a)

    181   
   

 

 

 
 

Total Industrials

    3,843   
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Information Technology — 17.7%

  

  

Electronic Equipment, Instruments & Components — 0.1%

  

  3      

TE Connectivity Ltd., (Switzerland)

    197   
    

 

 

 
  

Internet Software & Services — 3.7%

  

  10      

Alphabet, Inc., Class A (a) (j)

    7,778   
  2      

Facebook, Inc., Class A (a)

    201   
    

 

 

 
       7,979   
    

 

 

 
  

IT Services — 7.4%

  

  2      

Accenture plc, (Ireland), Class A

    189   
  102      

Fidelity National Information Services, Inc.

    7,546   
  20      

Fiserv, Inc. (a)

    1,935   
  25      

Mastercard, Inc., Class A

    2,722   
  38      

Visa, Inc., Class A (j)

    3,163   
  2      

WEX, Inc. (a)

    211   
    

 

 

 
       15,766   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 5.9%

  

  3      

Analog Devices, Inc.

    188   
  1      

Broadcom Ltd., (Singapore)

    188   
  73      

Intel Corp.

    2,529   
  115      

KLA-Tencor Corp.

    8,659   
  2      

Lam Research Corp.

    196   
  2      

NXP Semiconductors N.V., (Netherlands) (a)

    193   
  3      

QUALCOMM, Inc.

    202   
  3      

Skyworks Solutions, Inc.

    193   
  3      

Texas Instruments, Inc.

    197   
    

 

 

 
       12,545   
    

 

 

 
  

Software — 0.3%

  

  2      

Adobe Systems, Inc. (a)

    193   
  5      

Mobileye N.V., (Israel) (a)

    183   
  2      

Workday, Inc., Class A (a)

    190   
    

 

 

 
       566   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.3%

  

  9      

Hewlett Packard Enterprise Co.

    212   
  15      

HP, Inc.

    213   
  4      

Western Digital Corp.

    224   
    

 

 

 
       649   
    

 

 

 
  

Total Information Technology

    37,702   
    

 

 

 
  

Materials — 2.9%

  

  

Chemicals — 1.1%

  

  1      

E.I. du Pont de Nemours & Co.

    48   
  1      

Eastman Chemical Co.

    43   
  19      

Ecolab, Inc. (j)

    2,132   
  2      

Mosaic Co. (The)

    39   
    

 

 

 
       2,262   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

 

Construction Materials — 0.0% (g)

 

  (h)   

Martin Marietta Materials, Inc.

    41   
  (h)   

Vulcan Materials Co.

    42   
   

 

 

 
      83   
   

 

 

 
 

Containers & Packaging — 1.7%

  

  4     

Ball Corp.

    328   
  74     

Berry Plastics Group, Inc. (a)

    3,236   
  1     

Crown Holdings, Inc. (a)

    47   
  1     

WestRock Co.

    37   
   

 

 

 
      3,648   
   

 

 

 
 

Metals & Mining — 0.1%

  

  21     

TimkenSteel Corp. (a)

    217   
   

 

 

 
 

Total Materials

    6,210   
   

 

 

 
 

Real Estate — 0.2%

  

 

Equity Real Estate Investment Trusts (REITs) — 0.2%

  

  2     

HCP, Inc.

    62   
  2     

Kimco Realty Corp.

    53   
  3     

LaSalle Hotel Properties

    62   
  2     

Omega Healthcare Investors, Inc.

    64   
  1     

SL Green Realty Corp.

    56   
  2     

STORE Capital Corp.

    56   
   

 

 

 
 

Total Real Estate

    353   
   

 

 

 
 

Telecommunication Services — 0.2%

  

 

Diversified Telecommunication Services — 0.1%

  

  4     

Level 3 Communications, Inc. (a)

    221   
   

 

 

 
 

Wireless Telecommunication Services — 0.1%

  

  4     

T-Mobile U.S., Inc. (a)

    206   
   

 

 

 
 

Total Telecommunication Services

    427   
   

 

 

 
 

Utilities — 0.2%

  

 

Electric Utilities — 0.2%

  

  1     

Edison International

    87   
  3     

Exelon Corp.

    99   
  1     

NextEra Energy, Inc.

    93   
  1     

PG&E Corp.

    93   
   

 

 

 
      372   
   

 

 

 
 

Multi-Utilities — 0.0% (g)

 

  1     

WEC Energy Group, Inc.

    79   
   

 

 

 
 

Total Utilities

    451   
   

 

 

 
 

Total Common Stocks
(Cost $117,644)

    125,834   
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    

 

Short-Term Investment — 35.1%

  

  

Investment Company — 35.1%

  

  74,891      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) (Cost $74,891)

    74,891   
    

 

 

 
  

Total Investments — 94.0%
(Cost $192,535)

    200,725   
  

Other Assets in Excess of
Liabilities — 6.0%

    12,909   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 213,634   
    

 

 

 

 

Short Positions — 22.5%

  

 

Common Stocks — 22.5%

  

  

Consumer Discretionary — 9.2%

  

  

Auto Components — 0.2%

  

  2      

Autoliv, Inc., (Sweden)

    237   
  2      

Lear Corp.

    259   
    

 

 

 
       496   
    

 

 

 
  

Hotels, Restaurants & Leisure — 2.4%

  

  4      

Darden Restaurants, Inc.

    248   
  4      

Marriott International, Inc., Class A

    250   
  5      

McDonald’s Corp.

    539   
  24      

Norwegian Cruise Line Holdings Ltd. (a)

    918   
  16      

Wyndham Worldwide Corp.

    1,059   
  22      

Wynn Resorts Ltd.

    2,106   
    

 

 

 
       5,120   
    

 

 

 
  

Leisure Products — 0.1%

  

  3      

Hasbro, Inc.

    251   
    

 

 

 
  

Media — 2.9%

  

  11      

Interpublic Group of Cos., Inc. (The)

    235   
  11      

Omnicom Group, Inc.

    838   
  195      

Twenty-First Century Fox, Inc., Class A

    5,117   
    

 

 

 
       6,190   
    

 

 

 
  

Multiline Retail — 0.9%

  

  18      

Dollar Tree, Inc. (a)

    1,395   
  5      

Kohl’s Corp.

    236   
  3      

Target Corp.

    233   
    

 

 

 
       1,864   
    

 

 

 
  

Specialty Retail — 2.6%

  

  1      

AutoZone, Inc. (a)

    381   
  12      

Bed Bath & Beyond, Inc.

    483   
  16      

Ross Stores, Inc.

    974   
  78      

Sally Beauty Holdings, Inc. (a)

    2,022   
  22      

TJX Cos., Inc. (The)

    1,609   
    

 

 

 
       5,469   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         11   


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Textiles, Apparel & Luxury Goods — 0.1%

  

  6      

Under Armour, Inc., Class A (a)

    184   
    

 

 

 
  

Total Consumer Discretionary

    19,574   
    

 

 

 
  

Consumer Staples — 0.7%

  

  

Beverages — 0.1%

  

  4      

Brown-Forman Corp., Class B

    178   
    

 

 

 
  

Food & Staples Retailing — 0.3%

  

  2      

CVS Health Corp.

    173   
  4      

Sysco Corp.

    170   
  2      

Wal-Mart Stores, Inc.

    171   
  6      

Whole Foods Market, Inc.

    174   
    

 

 

 
       688   
    

 

 

 
  

Food Products — 0.1%

  

  3      

General Mills, Inc.

    188   
    

 

 

 
  

Household Products — 0.2%

  

  4      

Church & Dwight Co., Inc.

    184   
  1      

Clorox Co. (The)

    168   
  2      

Colgate-Palmolive Co.

    169   
    

 

 

 
       521   
    

 

 

 
  

Total Consumer Staples

    1,575   
    

 

 

 
  

Energy — 0.5%

  

  

Energy Equipment & Services — 0.1%

  

  1      

Helmerich & Payne, Inc.

    86   
  2      

National Oilwell Varco, Inc.

    79   
    

 

 

 
       165   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 0.4%

  

  1      

Apache Corp.

    85   
  1      

Chevron Corp.

    91   
  1      

Cimarex Energy Co.

    82   
  2      

Enbridge, Inc., (Canada)

    77   
  1      

Exxon Mobil Corp.

    82   
  2      

Hess Corp.

    82   
  6      

Marathon Oil Corp.

    79   
  3      

Murphy Oil Corp.

    74   
  2      

Noble Energy, Inc.

    86   
  6      

Southwestern Energy Co. (a)

    63   
  2      

Spectra Energy Corp.

    76   
    

 

 

 
       877   
    

 

 

 
  

Total Energy

    1,042   
    

 

 

 
  

Financials — 4.1%

  

  

Banks — 0.4%

  

  6      

Associated Banc-Corp.

    126   
  6      

Fifth Third Bancorp

    135   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Banks — continued

  

  9      

First Horizon National Corp.

    141   
  8      

People’s United Financial, Inc.

    138   
  3      

SunTrust Banks, Inc.

    131   
  3      

U.S. Bancorp

    138   
    

 

 

 
       809   
    

 

 

 
  

Capital Markets — 0.2%

  

  1      

CME Group, Inc.

    136   
  4      

Franklin Resources, Inc.

    135   
  2      

T. Rowe Price Group, Inc.

    126   
    

 

 

 
       397   
    

 

 

 
  

Diversified Financial Services — 3.0%

  

  45      

Berkshire Hathaway, Inc., Class B (a)

    6,510   
    

 

 

 
  

Insurance — 0.5%

  

  2      

Aflac, Inc.

    126   
  2      

Allstate Corp. (The)

    139   
  1      

Aon plc, (United Kingdom)

    133   
  4      

Progressive Corp. (The)

    122   
  1      

RenaissanceRe Holdings Ltd., (Bermuda)

    143   
  2      

Torchmark Corp.

    121   
  1      

Travelers Cos., Inc. (The)

    124   
  2      

W.R. Berkley Corp.

    128   
    

 

 

 
       1,036   
    

 

 

 
  

Total Financials

    8,752   
    

 

 

 
  

Health Care — 1.1%

  

  

Health Care Equipment & Supplies — 0.9%

  

  10      

Baxter International, Inc.

    484   
  2      

C.R. Bard, Inc.

    467   
  6      

Medtronic plc, (Ireland)

    471   
  5      

Varian Medical Systems, Inc. (a)

    430   
    

 

 

 
       1,852   
    

 

 

 
  

Health Care Providers & Services — 0.2%

  

  6      

Cardinal Health, Inc.

    437   
    

 

 

 
  

Total Health Care

    2,289   
    

 

 

 
  

Industrials — 2.9%

  

  

Aerospace & Defense — 0.1%

  

  1      

Boeing Co. (The)

    178   
    

 

 

 
  

Air Freight & Logistics — 1.3%

  

  2      

C.H. Robinson Worldwide, Inc.

    165   
  25      

United Parcel Service, Inc., Class B

    2,704   
    

 

 

 
       2,869   
    

 

 

 
  

Commercial Services & Supplies — 0.1%

  

  3      

Waste Management, Inc.

    178   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

 

Electrical Equipment — 0.3%

  

  1     

Acuity Brands, Inc.

    169   
  9     

Eaton Corp. plc

    544   
   

 

 

 
      713   
   

 

 

 
 

Industrial Conglomerates — 0.3%

  

  4     

3M Co.

    616   
   

 

 

 
 

Machinery — 0.5%

  

  3     

AGCO Corp.

    167   
  5     

Donaldson Co., Inc.

    170   
  13     

PACCAR, Inc.

    715   
   

 

 

 
      1,052   
   

 

 

 
 

Road & Rail — 0.1%

  

  2     

J.B. Hunt Transport Services, Inc.

    183   
   

 

 

 
 

Trading Companies & Distributors — 0.2%

  

  6     

Air Lease Corp.

    180   
  5     

Fastenal Co.

    178   
   

 

 

 
      358   
   

 

 

 
 

Total Industrials

    6,147   
   

 

 

 
 

Information Technology — 1.9%

  

 

Communications Equipment — 0.2%

  

  17     

Juniper Networks, Inc.

    444   
   

 

 

 
 

Electronic Equipment, Instruments & Components — 0.2%

  

  6     

Amphenol Corp., Class A

    389   
   

 

 

 
 

Semiconductors & Semiconductor Equipment — 1.0%

  

  10     

Maxim Integrated Products, Inc.

    391   
  6     

Microchip Technology, Inc.

    390   
  31     

Micron Technology, Inc. (a)

    529   
  13     

Taiwan Semiconductor Manufacturing Co., Ltd., (Taiwan), ADR

    402   
  8     

Xilinx, Inc.

    401   
   

 

 

 
      2,113   
   

 

 

 
 

Software — 0.3%

  

  4     

Citrix Systems, Inc. (a)

    380   
  5     

salesforce.com, Inc. (a)

    399   
   

 

 

 
      779   
   

 

 

 
 

Technology Hardware, Storage & Peripherals — 0.2%

  

  11     

Seagate Technology plc

    390   
   

 

 

 
 

Total Information Technology

    4,115   
   

 

 

 
 

Materials — 0.2%

  

 

Chemicals — 0.1%

  

  (h)   

Agrium, Inc., (Canada)

    43   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
   
 

Chemicals — continued

  

  (h)   

Air Products & Chemicals, Inc.

    35   
  (h)   

LyondellBasell Industries N.V., Class A

    35   
   

 

 

 
      113   
   

 

 

 
 

Containers & Packaging — 0.1%

  

  (h)   

AptarGroup, Inc.

    34   
  1     

Avery Dennison Corp.

    41   
  1     

Bemis Co., Inc.

    37   
  1     

Sonoco Products Co.

    43   
   

 

 

 
      155   
   

 

 

 
 

Metals & Mining — 0.0% (g)

 

  2     

Alcoa, Inc. (a)

    54   
   

 

 

 
 

Paper & Forest Products — 0.0% (g) 

  

  1     

Domtar Corp.

    40   
   

 

 

 
 

Total Materials

    362   
   

 

 

 
 

Real Estate — 0.3%

  

 

Equity Real Estate Investment Trusts (REITs) — 0.3%

  

  1     

Digital Realty Trust, Inc.

    57   
  (h)   

Federal Realty Investment Trust

    67   
  2     

Healthcare Realty Trust, Inc.

    60   
  2     

Healthcare Trust of America, Inc., Class A

    62   
  4     

Host Hotels & Resorts, Inc.

    64   
  1     

Simon Property Group, Inc.

    214   
  2     

UDR, Inc.

    73   
  1     

Ventas, Inc.

    64   
  1     

Welltower, Inc.

    55   
   

 

 

 
 

Total Real Estate

    716   
   

 

 

 
 

Telecommunication Services — 1.4%

  

 

Diversified Telecommunication Services — 1.4%

  

  60     

Verizon Communications, Inc.

    2,897   
   

 

 

 
 

Utilities — 0.2%

  

 

Electric Utilities — 0.1%

  

  2     

Duke Energy Corp.

    124   
  2     

Southern Co. (The)

    127   
   

 

 

 
      251   
   

 

 

 
 

Multi-Utilities — 0.1%

  

  2     

Consolidated Edison, Inc.

    134   
  2     

Dominion Resources, Inc.

    131   
   

 

 

 
      265   
   

 

 

 
 

Total Utilities

    516   
   

 

 

 
 

Total Securities Sold Short
(Proceeds $49,097)

  $ 47,985   
   

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         13   


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — 99.3%

  

 

Common Stocks — 93.2%

  

  

Consumer Discretionary — 15.1%

  

  

Auto Components — 0.2%

  

  14      

Delphi Automotive plc, (United Kingdom)

    892   
    

 

 

 
  

Hotels, Restaurants & Leisure — 3.0%

  

  43      

Carnival Corp.

    2,122   
  48      

Royal Caribbean Cruises Ltd.

    3,678   
  79      

Starbucks Corp.

    4,180   
  4      

Yum! Brands, Inc.

    355   
    

 

 

 
       10,335   
    

 

 

 
  

Household Durables — 1.5%

  

  99      

D.R. Horton, Inc.

    2,842   
  6      

Harman International Industries, Inc.

    445   
  37      

MDC Holdings, Inc.

    872   
  54      

PulteGroup, Inc.

    1,002   
    

 

 

 
       5,161   
    

 

 

 
  

Internet & Direct Marketing Retail — 1.7%

  

  7      

Amazon.com, Inc. (a)

    5,796   
    

 

 

 
  

Media — 4.3%

  

  16      

CBS Corp. (Non-Voting), Class B (j)

    925   
  10      

Charter Communications, Inc., Class A (a)

    2,592   
  37      

DISH Network Corp., Class A (a)

    2,183   
  491      

Sirius XM Holdings, Inc. (a)

    2,046   
  38      

Time Warner, Inc.

    3,360   
  148      

Twenty-First Century Fox, Inc., Class B

    3,918   
    

 

 

 
       15,024   
    

 

 

 
  

Specialty Retail — 4.4%

  

  52      

Best Buy Co., Inc. (j)

    2,019   
  22      

Home Depot, Inc. (The)

    2,679   
  85      

Lowe’s Cos., Inc.

    5,639   
  9      

O’Reilly Automotive, Inc. (a)

    2,437   
  35      

TJX Cos., Inc. (The)

    2,591   
    

 

 

 
       15,365   
    

 

 

 
  

Total Consumer Discretionary

    52,573   
    

 

 

 
  

Consumer Staples — 8.7%

  

  

Beverages — 4.0%

  

  25      

Constellation Brands, Inc., Class A

    4,230   
  43      

Molson Coors Brewing Co., Class B

    4,505   
  47      

PepsiCo, Inc.

    5,051   
    

 

 

 
       13,786   
    

 

 

 
  

Food & Staples Retailing — 2.0%

  

  23      

Costco Wholesale Corp.

    3,360   
  67      

Kroger Co. (The)

    2,063   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Food & Staples Retailing — continued

  

  17      

Walgreens Boots Alliance, Inc.

    1,447   
    

 

 

 
       6,870   
    

 

 

 
  

Food Products — 1.3%

  

  75      

Mondelez International, Inc., Class A

    3,390   
  16      

Post Holdings, Inc. (a)

    1,210   
    

 

 

 
       4,600   
    

 

 

 
  

Household Products — 0.5%

  

  15      

Kimberly-Clark Corp.

    1,679   
    

 

 

 
  

Personal Products — 0.2%

  

  9      

Estee Lauder Cos., Inc. (The), Class A

    827   
    

 

 

 
  

Tobacco — 0.7%

  

  12      

Altria Group, Inc.

    798   
  28      

Reynolds American, Inc.

    1,516   
    

 

 

 
       2,314   
    

 

 

 
  

Total Consumer Staples

    30,076   
    

 

 

 
  

Energy — 5.2%

  

  

Energy Equipment & Services — 0.3%

  

  15      

Schlumberger Ltd.

    1,136   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 4.9%

  

  12      

Anadarko Petroleum Corp.

    702   
  17      

Cabot Oil & Gas Corp.

    356   
  15      

Concho Resources, Inc. (a)

    1,878   
  45      

Diamondback Energy, Inc. (a)

    4,089   
  26      

EOG Resources, Inc.

    2,372   
  31      

Pioneer Natural Resources Co.

    5,491   
  5      

Range Resources Corp.

    172   
  34      

Southwestern Energy Co. (a)

    354   
  17      

TransCanada Corp., (Canada)

    754   
  16      

Valero Energy Corp.

    940   
    

 

 

 
       17,108   
    

 

 

 
  

Total Energy

    18,244   
    

 

 

 
  

Financials — 12.5%

  

  

Banks — 3.4%

  

  42      

Bank of America Corp. (j)

    687   
  30      

Citigroup, Inc.

    1,498   
  57      

Citizens Financial Group, Inc.

    1,506   
  31      

East West Bancorp, Inc.

    1,207   
  76      

Huntington Bancshares, Inc.

    803   
  226      

KeyCorp

    3,187   
  14      

SVB Financial Group (a)

    1,731   
  33      

Zions Bancorporation

    1,066   
    

 

 

 
       11,685   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

  

Capital Markets — 3.2%

  

  5      

Affiliated Managers Group, Inc. (a)

    671   
  56      

Bank of New York Mellon Corp. (The)

    2,428   
  75      

Charles Schwab Corp. (The)

    2,384   
  11      

Intercontinental Exchange, Inc.

    2,915   
  69      

Morgan Stanley (j)

    2,319   
  7      

State Street Corp.

    504   
    

 

 

 
       11,221   
    

 

 

 
  

Insurance — 5.9%

  

  47      

Arthur J. Gallagher & Co.

    2,263   
  52      

Chubb Ltd., (Switzerland) (j)

    6,660   
  13      

Everest Re Group Ltd., (Bermuda)

    2,697   
  52      

Hartford Financial Services Group, Inc. (The)

    2,290   
  26      

Lincoln National Corp.

    1,271   
  92      

MetLife, Inc.

    4,300   
  29      

XL Group Ltd., (Bermuda)

    992   
    

 

 

 
       20,473   
    

 

 

 
  

Total Financials

    43,379   
    

 

 

 
  

Health Care — 7.0%

  

  

Biotechnology — 2.0%

  

  12      

Alexion Pharmaceuticals, Inc. (a)

    1,559   
  7      

Biogen, Inc. (a)

    2,094   
  4      

BioMarin Pharmaceutical, Inc. (a)

    316   
  9      

Celgene Corp. (a) (j)

    957   
  4      

Incyte Corp. (a)

    380   
  19      

Vertex Pharmaceuticals, Inc. (a)

    1,412   
    

 

 

 
       6,718   
    

 

 

 
  

Health Care Equipment & Supplies — 0.3%

  

  47      

Boston Scientific Corp. (a)

    1,039   
    

 

 

 
  

Health Care Providers & Services — 3.2%

  

  43      

Aetna, Inc. (j)

    4,570   
  34      

Humana, Inc.

    5,791   
  5      

UnitedHealth Group, Inc.

    754   
    

 

 

 
       11,115   
    

 

 

 
  

Life Sciences Tools & Services — 0.2%

  

  5      

Illumina, Inc. (a) (j)

    730   
    

 

 

 
  

Pharmaceuticals — 1.3%

  

  5      

Allergan plc (a)

    1,143   
  27      

Bristol-Myers Squibb Co.

    1,362   
  17      

Eli Lilly & Co.

    1,265   
  26      

Pfizer, Inc.

    817   
    

 

 

 
       4,587   
    

 

 

 
  

Total Health Care

    24,189   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Industrials — 12.1%

  

  

Aerospace & Defense — 1.2%

  

  21      

Curtiss-Wright Corp.

    1,897   
  5      

General Dynamics Corp.

    789   
  14      

Textron, Inc.

    542   
  10      

United Technologies Corp.

    1,056   
    

 

 

 
       4,284   
    

 

 

 
  

Airlines — 0.9%

  

  38      

Delta Air Lines, Inc.

    1,594   
  25      

United Continental Holdings, Inc. (a)

    1,414   
    

 

 

 
       3,008   
    

 

 

 
  

Building Products — 0.5%

  

  8      

Allegion plc, (Ireland) (j)

    532   
  9      

Lennox International, Inc.

    1,342   
    

 

 

 
       1,874   
    

 

 

 
  

Construction & Engineering — 0.4%

  

  25      

Fluor Corp.

    1,303   
    

 

 

 
  

Electrical Equipment — 1.4%

  

  74      

Eaton Corp. plc

    4,749   
    

 

 

 
  

Industrial Conglomerates — 1.3%

  

  40      

Honeywell International, Inc.

    4,405   
    

 

 

 
  

Machinery — 2.0%

  

  8      

Ingersoll-Rand plc

    561   
  10      

PACCAR, Inc.

    539   
  15      

Pentair plc, (United Kingdom)

    825   
  9      

Snap-on, Inc.

    1,399   
  31      

Stanley Black & Decker, Inc. (j)

    3,495   
    

 

 

 
       6,819   
    

 

 

 
  

Road & Rail — 4.4%

  

  10      

Canadian National Railway Co., (Canada)

    658   
  42      

Canadian Pacific Railway Ltd., (Canada) (j)

    5,956   
  100      

Union Pacific Corp.

    8,858   
    

 

 

 
       15,472   
    

 

 

 
  

Total Industrials

    41,914   
    

 

 

 
  

Information Technology — 17.8%

  

  

Electronic Equipment, Instruments & Components — 0.7%

  

  37      

TE Connectivity Ltd., (Switzerland)

    2,347   
    

 

 

 
  

Internet Software & Services — 3.6%

  

  11      

Alphabet, Inc., Class C (a) (j)

    8,747   
  30      

Facebook, Inc., Class A (a)

    3,942   
    

 

 

 
       12,689   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         15   


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

  

IT Services — 3.3%

  

  28      

Accenture plc, (Ireland), Class A (j)

    3,238   
  7      

Cognizant Technology Solutions Corp., Class A (a)

    348   
  50      

Fidelity National Information Services, Inc. (j)

    3,681   
  48      

First Data Corp., Class A (a)

    665   
  11      

Visa, Inc., Class A

    879   
  24      

WEX, Inc. (a)

    2,592   
    

 

 

 
       11,403   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 6.3%

  

  54      

Analog Devices, Inc.

    3,466   
  13      

Applied Materials, Inc.

    389   
  52      

Broadcom Ltd., (Singapore) (j)

    8,822   
  26      

Lam Research Corp. (j)

    2,487   
  30      

NXP Semiconductors N.V., (Netherlands) (a) (j)

    2,952   
  54      

Texas Instruments, Inc.

    3,846   
    

 

 

 
       21,962   
    

 

 

 
  

Software — 3.3%

  

  45      

Adobe Systems, Inc. (a) (j)

    4,890   
  7      

Citrix Systems, Inc. (a)

    569   
  55      

Microsoft Corp.

    3,303   
  36      

Mobileye N.V., (Israel) (a)

    1,320   
  16      

Workday, Inc., Class A (a)

    1,355   
    

 

 

 
       11,437   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.6%

  

  19      

Hewlett Packard Enterprise Co.

    417   
  79      

HP, Inc.

    1,144   
  7      

Western Digital Corp.

    397   
    

 

 

 
       1,958   
    

 

 

 
  

Total Information Technology

    61,796   
    

 

 

 
  

Materials — 5.5%

  

  

Chemicals — 2.8%

  

  14      

Dow Chemical Co. (The)

    769   
  30      

E.I. du Pont de Nemours & Co.

    2,076   
  55      

Eastman Chemical Co.

    3,943   
  49      

Mosaic Co. (The)

    1,144   
  30      

Olin Corp.

    647   
  23      

Westlake Chemical Corp.

    1,167   
    

 

 

 
       9,746   
    

 

 

 
  

Construction Materials — 0.7%

  

  7      

Martin Marietta Materials, Inc.

    1,339   
  9      

Vulcan Materials Co.

    1,054   
    

 

 

 
       2,393   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Containers & Packaging — 2.0%

  

  10      

Ball Corp.

    747   
  85      

Crown Holdings, Inc. (a)

    4,585   
  18      

Sealed Air Corp.

    836   
  19      

WestRock Co.

    896   
    

 

 

 
       7,064   
    

 

 

 
  

Total Materials

    19,203   
    

 

 

 
  

Real Estate — 2.6%

  

  

Equity Real Estate Investment Trusts (REITs) — 2.6%

  

  13      

AvalonBay Communities, Inc.

    2,270   
  2      

Equinix, Inc.

    757   
  14      

HCP, Inc.

    474   
  79      

Kimco Realty Corp.

    2,095   
  8      

Regency Centers Corp.

    568   
  24      

SL Green Realty Corp.

    2,315   
  19      

STORE Capital Corp.

    519   
    

 

 

 
  

Total Real Estate

    8,998   
    

 

 

 
  

Telecommunication Services — 1.2%

  

  

Diversified Telecommunication Services — 0.2%

  

  5      

SBA Communications Corp., Class A (a) (j)

    576   
    

 

 

 
  

Wireless Telecommunication Services — 1.0%

  

  72      

T-Mobile U.S., Inc. (a) (j)

    3,560   
    

 

 

 
  

Total Telecommunication Services

    4,136   
    

 

 

 
  

Utilities — 5.5%

  

  

Electric Utilities — 4.5%

  

  9      

American Electric Power Co., Inc.

    558   
  42      

Edison International

    3,076   
  24      

Exelon Corp.

    802   
  56      

NextEra Energy, Inc. (j)

    7,166   
  32      

PG&E Corp.

    1,971   
  45      

Xcel Energy, Inc.

    1,868   
    

 

 

 
       15,441   
    

 

 

 
  

Multi-Utilities — 1.0%

  

  23      

Ameren Corp.

    1,161   
  44      

CMS Energy Corp.

    1,838   
  6      

Sempra Energy

    626   
    

 

 

 
       3,625   
    

 

 

 
  

Total Utilities

    19,066   
    

 

 

 
  

Total Common Stocks
(Cost $254,607)

    323,574   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Short-Term Investments — 6.1%

  

  

Investment Company — 6.0%

  

  20,684      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)

    20,684   
    

 

 

 
PRINCIPAL
AMOUNT($)
              
  

U.S. Treasury Obligation — 0.1%

  

  605      

U.S. Treasury Bill, 0.483%, 03/30/17 (k) (n)

    604   
    

 

 

 
  

Total Short-Term Investments
(Cost $21,287)

    21,288   
    

 

 

 
  

Total Investments — 99.3%
(Cost $275,894)

    344,862   
  

Other Assets in Excess of
Liabilities — 0.7%

    2,489   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 347,351   
    

 

 

 
SHARES               

 

Short Positions — 92.9%

  

 

Common Stocks — 92.9%

  

  

Consumer Discretionary — 17.2%

  

  

Auto Components — 0.7%

  

  15      

Autoliv, Inc., (Sweden)

    1,496   
  17      

BorgWarner, Inc.

    606   
  3      

Lear Corp.

    331   
    

 

 

 
       2,433   
    

 

 

 
  

Automobiles — 0.8%

  

  112      

Ford Motor Co.

    1,316   
  44      

General Motors Co.

    1,381   
    

 

 

 
       2,697   
    

 

 

 
  

Hotels, Restaurants & Leisure — 3.4%

  

  2      

Chipotle Mexican Grill, Inc. (a)

    830   
  9      

Choice Hotels International, Inc.

    412   
  39      

Darden Restaurants, Inc.

    2,512   
  34      

Hyatt Hotels Corp., Class A (a)

    1,727   
  34      

Marriott International, Inc., Class A

    2,367   
  36      

McDonald’s Corp.

    4,086   
    

 

 

 
       11,934   
    

 

 

 
  

Household Durables — 0.4%

  

  15      

Garmin Ltd., (Switzerland)

    720   
  25      

Toll Brothers, Inc. (a)

    697   
    

 

 

 
       1,417   
    

 

 

 
  

Internet & Direct Marketing Retail — 1.8%

  

  12      

Expedia, Inc.

    1,602   
  31      

Netflix, Inc. (a)

    3,887   
  1      

Priceline Group, Inc. (The) (a)

    885   
    

 

 

 
       6,374   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Leisure Products — 1.1%

  

  19      

Hasbro, Inc.

    1,568   
  65      

Mattel, Inc.

    2,064   
    

 

 

 
       3,632   
    

 

 

 
  

Media — 4.7%

  

  7      

AMC Networks, Inc., Class A (a)

    360   
  48      

Cinemark Holdings, Inc.

    1,906   
  55      

Discovery Communications, Inc., Class A (a)

    1,425   
  114      

Interpublic Group of Cos., Inc. (The)

    2,554   
  171      

News Corp., Class A

    2,070   
  36      

Omnicom Group, Inc.

    2,912   
  73      

Regal Entertainment Group, Class A

    1,570   
  32      

Scripps Networks Interactive, Inc., Class A

    2,076   
  13      

Viacom, Inc., Class B

    503   
  9      

Walt Disney Co. (The)

    834   
    

 

 

 
       16,210   
    

 

 

 
  

Multiline Retail — 1.4%

  

  25      

Kohl’s Corp.

    1,101   
  9      

Nordstrom, Inc.

    478   
  50      

Target Corp.

    3,430   
    

 

 

 
       5,009   
    

 

 

 
  

Specialty Retail — 1.7%

  

  24      

Abercrombie & Fitch Co., Class A

    351   
  72      

Bed Bath & Beyond, Inc.

    2,907   
  22      

CarMax, Inc. (a)

    1,099   
  30      

DSW, Inc., Class A

    625   
  38      

Gap, Inc. (The)

    1,037   
    

 

 

 
       6,019   
    

 

 

 
  

Textiles, Apparel & Luxury Goods — 1.2%

  

  25      

lululemon athletica, Inc., (Canada) (a)

    1,454   
  7      

NIKE, Inc., Class B

    361   
  35      

Under Armour, Inc., Class A (a)

    1,076   
  15      

Under Armour, Inc., Class C (a)

    379   
  16      

VF Corp.

    884   
    

 

 

 
       4,154   
    

 

 

 
  

Total Consumer Discretionary

    59,879   
    

 

 

 
  

Consumer Staples — 9.4%

  

  

Beverages — 2.1%

  

  46      

Brown-Forman Corp., Class B

    2,113   
  124      

Coca-Cola Co. (The)

    5,258   
    

 

 

 
       7,371   
    

 

 

 
  

Food & Staples Retailing — 2.1%

  

  37      

CVS Health Corp.

    3,138   
  41      

Sysco Corp.

    1,958   
  77      

Whole Foods Market, Inc.

    2,167   
    

 

 

 
       7,263   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         17   


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Food Products — 1.4%

  

  28      

General Mills, Inc.

    1,766   
  4      

Hershey Co. (The)

    379   
  18      

Kellogg Co.

    1,384   
  14      

Kraft Heinz Co. (The)

    1,244   
    

 

 

 
       4,773   
    

 

 

 
  

Household Products — 3.8%

  

  64      

Church & Dwight Co., Inc.

    3,085   
  33      

Clorox Co. (The)

    3,985   
  47      

Colgate-Palmolive Co.

    3,325   
  32      

Procter & Gamble Co. (The)

    2,778   
    

 

 

 
       13,173   
    

 

 

 
  

Personal Products — 0.0% (g)

 

  8      

Coty, Inc., Class A

    179   
    

 

 

 
  

Total Consumer Staples

    32,759   
    

 

 

 
  

Energy — 5.0%

  

  

Energy Equipment & Services — 0.4%

  

  9      

Baker Hughes, Inc.

    499   
  13      

Helmerich & Payne, Inc.

    801   
    

 

 

 
       1,300   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 4.6%

  

  40      

Chevron Corp.

    4,221   
  21      

ConocoPhillips

    921   
  88      

Exxon Mobil Corp.

    7,324   
  14      

Hess Corp.

    676   
  50      

Marathon Oil Corp.

    654   
  14      

Murphy Oil Corp.

    360   
  16      

Noble Energy, Inc.

    562   
  13      

Occidental Petroleum Corp.

    911   
  5      

Phillips 66

    398   
    

 

 

 
       16,027   
    

 

 

 
  

Total Energy

    17,327   
    

 

 

 
  

Financials — 11.4%

  

  

Banks — 3.6%

  

  30      

Bank of Hawaii Corp.

    2,217   
  13      

BB&T Corp.

    498   
  87      

Fifth Third Bancorp

    1,891   
  38      

First Horizon National Corp.

    583   
  8      

M&T Bank Corp.

    994   
  62      

People’s United Financial, Inc.

    1,002   
  18      

PNC Financial Services Group, Inc. (The)

    1,711   
  83      

U.S. Bancorp

    3,696   
    

 

 

 
       12,592   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Capital Markets — 2.4%

  

  21      

CME Group, Inc.

    2,052   
  53      

Federated Investors, Inc., Class B

    1,439   
  37      

Franklin Resources, Inc.

    1,259   
  14      

Invesco Ltd.

    388   
  5      

Northern Trust Corp.

    362   
  43      

T. Rowe Price Group, Inc.

    2,752   
    

 

 

 
       8,252   
    

 

 

 
  

Insurance — 5.4%

  

  31      

Aflac, Inc.

    2,121   
  10      

Allstate Corp. (The)

    665   
  2      

Aon plc, (United Kingdom)

    222   
  18      

Arch Capital Group Ltd., (Bermuda) (a)

    1,375   
  13      

Axis Capital Holdings Ltd., (Bermuda)

    763   
  109      

Progressive Corp. (The)

    3,420   
  10      

RenaissanceRe Holdings Ltd., (Bermuda)

    1,280   
  25      

Torchmark Corp.

    1,576   
  30      

Travelers Cos., Inc. (The)

    3,235   
  6      

Unum Group

    209   
  67      

W.R. Berkley Corp.

    3,814   
    

 

 

 
       18,680   
    

 

 

 
  

Total Financials

    39,524   
    

 

 

 
  

Health Care — 7.0%

  

  

Biotechnology — 1.4%

  

  52      

AbbVie, Inc.

    2,911   
  13      

Amgen, Inc.

    1,793   
  1      

Regeneron Pharmaceuticals, Inc. (a)

    310   
    

 

 

 
       5,014   
    

 

 

 
  

Health Care Equipment & Supplies — 2.5%

  

  6      

C.R. Bard, Inc.

    1,279   
  5      

DENTSPLY SIRONA, Inc.

    276   
  58      

Medtronic plc, (Ireland)

    4,730   
  11      

Stryker Corp.

    1,292   
  8      

Varian Medical Systems, Inc. (a)

    762   
  3      

Zimmer Biomet Holdings, Inc.

    316   
    

 

 

 
       8,655   
    

 

 

 
  

Health Care Providers & Services — 2.0%

  

  14      

AmerisourceBergen Corp.

    949   
  22      

Cardinal Health, Inc.

    1,497   
  40      

Community Health Systems, Inc. (a)

    213   
  12      

DaVita, Inc. (a)

    688   
  18      

Express Scripts Holding Co. (a)

    1,213   
  3      

Henry Schein, Inc. (a)

    423   
  5      

Laboratory Corp. of America Holdings (a)

    627   
  5      

Quest Diagnostics, Inc.

    375   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Health Care Providers & Services — continued

  

  33      

Tenet Healthcare Corp. (a)

    642   
  2      

Universal Health Services, Inc., Class B

    266   
    

 

 

 
       6,893   
    

 

 

 
  

Health Care Technology — 0.4%

  

  2      

athenahealth, Inc. (a)

    158   
  22      

Cerner Corp. (a)

    1,283   
    

 

 

 
       1,441   
    

 

 

 
  

Pharmaceuticals — 0.7%

  

  20      

Johnson & Johnson

    2,265   
    

 

 

 
  

Total Health Care

    24,268   
    

 

 

 
  

Industrials — 12.2%

  

  

Aerospace & Defense — 3.3%

  

  50      

Boeing Co. (The)

    7,134   
  15      

Lockheed Martin Corp.

    3,591   
  5      

Raytheon Co.

    710   
    

 

 

 
       11,435   
    

 

 

 
  

Air Freight & Logistics — 0.5%

  

  11      

C.H. Robinson Worldwide, Inc.

    756   
  11      

United Parcel Service, Inc., Class B

    1,185   
    

 

 

 
       1,941   
    

 

 

 
  

Electrical Equipment — 0.7%

  

  38      

Emerson Electric Co.

    1,921   
  4      

Rockwell Automation, Inc.

    524   
    

 

 

 
       2,445   
    

 

 

 
  

Industrial Conglomerates — 2.2%

  

  31      

3M Co.

    5,074   
  89      

General Electric Co.

    2,576   
    

 

 

 
       7,650   
    

 

 

 
  

Machinery — 1.8%

  

  35      

AGCO Corp.

    1,772   
  62      

Donaldson Co., Inc.

    2,261   
  19      

Flowserve Corp.

    813   
  14      

Illinois Tool Works, Inc.

    1,540   
    

 

 

 
       6,386   
    

 

 

 
  

Professional Services — 0.2%

  

  13      

Nielsen Holdings plc

    576   
    

 

 

 
  

Road & Rail — 2.2%

  

  238      

Heartland Express, Inc.

    4,380   
  61      

Knight Transportation, Inc.

    1,797   
  65      

Werner Enterprises, Inc.

    1,558   
    

 

 

 
       7,735   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Trading Companies & Distributors — 1.3%

  

  61      

Fastenal Co.

    2,363   
  10      

W.W. Grainger, Inc.

    2,019   
    

 

 

 
       4,382   
    

 

 

 
  

Total Industrials

    42,550   
    

 

 

 
  

Information Technology — 13.1%

  

  

Communications Equipment — 1.9%

  

  130      

Cisco Systems, Inc.

    3,988   
  98      

Juniper Networks, Inc.

    2,568   
    

 

 

 
       6,556   
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.2%

  

  12      

Amphenol Corp., Class A

    758   
    

 

 

 
  

Internet Software & Services — 0.6%

  

  42      

eBay, Inc. (a)

    1,200   
  11      

GrubHub, Inc. (a)

    423   
  31      

Twitter, Inc. (a)

    549   
    

 

 

 
       2,172   
    

 

 

 
  

IT Services — 1.2%

  

  15      

Automatic Data Processing, Inc.

    1,271   
  9      

International Business Machines Corp.

    1,423   
  27      

Paychex, Inc.

    1,502   
    

 

 

 
       4,196   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 6.4%

  

  152      

Intel Corp.

    5,283   
  21      

Maxim Integrated Products, Inc.

    832   
  60      

Microchip Technology, Inc.

    3,618   
  64      

Micron Technology, Inc. (a)

    1,097   
  6      

NVIDIA Corp.

    424   
  12      

Qorvo, Inc. (a)

    690   
  31      

QUALCOMM, Inc.

    2,130   
  202      

Taiwan Semiconductor Manufacturing Co., Ltd., (Taiwan), ADR

    6,273   
  11      

Versum Materials, Inc. (a)

    254   
  31      

Xilinx, Inc.

    1,562   
    

 

 

 
       22,163   
    

 

 

 
  

Software — 1.3%

  

  66      

Oracle Corp.

    2,552   
  19      

salesforce.com, Inc. (a)

    1,420   
  8      

SAP SE, (Germany), ADR

    686   
    

 

 

 
       4,658   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 1.5%

  

  29      

Apple, Inc.

    3,258   
  20      

NetApp, Inc.

    672   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         19   


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Technology Hardware, Storage & Peripherals — continued

  

  32      

Seagate Technology plc

    1,112   
    

 

 

 
       5,042   
    

 

 

 
  

Total Information Technology

    45,545   
    

 

 

 
  

Materials — 5.8%

  

  

Chemicals — 3.1%

  

  8      

Air Products & Chemicals, Inc.

    1,027   
  15      

CF Industries Holdings, Inc.

    348   
  12      

Ecolab, Inc.

    1,416   
  44      

LyondellBasell Industries N.V., Class A

    3,500   
  9      

Monsanto Co.

    887   
  4      

PPG Industries, Inc.

    363   
  18      

Praxair, Inc.

    2,072   
  4      

Sherwin-Williams Co. (The)

    1,078   
    

 

 

 
       10,691   
    

 

 

 
  

Containers & Packaging — 1.1%

  

  16      

AptarGroup, Inc.

    1,136   
  14      

Avery Dennison Corp.

    949   
  7      

Bemis Co., Inc.

    360   
  8      

International Paper Co.

    356   
  4      

Packaging Corp. of America

    363   
  17      

Sonoco Products Co.

    830   
    

 

 

 
       3,994   
    

 

 

 
  

Metals & Mining — 1.2%

  

  25      

Alcoa, Inc. (a)

    713   
  19      

Compass Minerals International, Inc.

    1,358   
  108      

Freeport-McMoRan, Inc. (a)

    1,205   
  17      

Nucor Corp.

    816   
    

 

 

 
       4,092   
    

 

 

 
  

Paper & Forest Products — 0.4%

  

  38      

Domtar Corp.

    1,352   
    

 

 

 
  

Total Materials

    20,129   
    

 

 

 
  

Real Estate — 3.1%

  

  

Equity Real Estate Investment Trusts (REITs) — 3.1%

  

  12      

Digital Realty Trust, Inc.

    1,111   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Equity Real Estate Investment Trusts (REITs) — continued

  

  9      

Equity Residential

    543   
  3      

Essex Property Trust, Inc.

    557   
  11      

Federal Realty Investment Trust

    1,597   
  38      

General Growth Properties, Inc.

    956   
  24      

Healthcare Trust of America, Inc., Class A

    734   
  75      

Host Hotels & Resorts, Inc.

    1,163   
  11      

UDR, Inc.

    388   
  38      

Ventas, Inc.

    2,602   
  14      

Welltower, Inc.

    962   
    

 

 

 
  

Total Real Estate

    10,613   
    

 

 

 
  

Telecommunication Services — 2.8%

  

  

Diversified Telecommunication Services — 2.8%

  

  41      

AT&T, Inc.

    1,505   
  35      

CenturyLink, Inc.

    930   
  152      

Verizon Communications, Inc.

    7,295   
    

 

 

 
  

Total Telecommunication Services

    9,730   
    

 

 

 
  

Utilities — 5.9%

  

  

Electric Utilities — 2.3%

  

  70      

Duke Energy Corp.

    5,569   
  11      

PPL Corp.

    381   
  37      

Southern Co. (The)

    1,924   
    

 

 

 
       7,874   
    

 

 

 
  

Gas Utilities — 0.2%

  

  12      

UGI Corp.

    560   
    

 

 

 
  

Multi-Utilities — 3.4%

  

  61      

Consolidated Edison, Inc.

    4,601   
  97      

Dominion Resources, Inc.

    7,294   
    

 

 

 
       11,895   
    

 

 

 
  

Total Utilities

    20,329   
    

 

 

 
  

Total Securities Sold Short
(Proceeds $326,987)

  $ 322,653   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Short Futures Outstanding

  

  (19     

E-mini S&P 500

       12/16/16           USD           (2,014      $ 48   
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

J.P. MORGAN SPECIALTY FUNDS

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

ADR  

—  American Depositary Receipt

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(g)  

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(j)  

—  All or a portion of the security is segregated for short sales.

(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 current yield as of October 31, 2016.

(n)  

—  The rate shown is the effective yield at the date of purchase.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         21   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

       

Opportunistic
Equity

Long/Short
Fund

       Research
Market
Neutral Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 125,834         $ 324,178   

Investments in affiliates, at value

       74,891           20,684   
    

 

 

      

 

 

 

Total investment securities, at value

       200,725           344,862   

Deposits at broker for securities sold short

       51,075           321,493   

Receivables:

         

Investment securities sold

       26,709           17,418   

Fund shares sold

       77           176   

Dividends from non-affiliates

       15           127   

Dividends from affiliates

       16           8   

Variation margin on futures contracts

                 2   
    

 

 

      

 

 

 

Total Assets

       278,617           684,086   
    

 

 

      

 

 

 

LIABILITIES:

         

Payables:

         

Due to custodian

       6           100   

Securities sold short, at value

       47,985           322,653   

Dividend expense to non-affiliates on securities sold short

       79           374   

Investment securities purchased

       16,099           12,728   

Fund shares redeemed

       394           429   

Accrued liabilities:

         

Investment advisory fees

       204           187   

Administration fees

       8             

Distribution fees

       12           15   

Shareholder servicing fees

       26           38   

Custodian and accounting fees

       8           24   

Other

       162           187   
    

 

 

      

 

 

 

Total Liabilities

       64,983           336,735   
    

 

 

      

 

 

 

Net Assets

     $ 213,634         $ 347,351   
    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
        Opportunistic
Equity
Long/Short
Fund
       Research
Market
Neutral Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 208,750         $ 371,281   

Accumulated undistributed (distributions in excess of) net investment income

       (1,098        (6,483

Accumulated net realized gains (losses)

       (3,320        (90,797

Net unrealized appreciation (depreciation)

       9,302           73,350   
    

 

 

      

 

 

 

Total Net Assets

     $ 213,634         $ 347,351   
    

 

 

      

 

 

 

Net Assets:

         

Class A

     $ 43,298         $ 25,393   

Class C

       3,273           15,003   

Class R2

       21             

Class R5

       21             

Class R6

       8,432             

Institutional Class

                 253,734   

Select Class

       158,589           53,221   
    

 

 

      

 

 

 

Total

     $ 213,634         $ 347,351   
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

($0.0001 par value; unlimited number of shares authorized):

         

Class A

       2,529           1,835   

Class C

       193           1,149   

Class R2

       1             

Class R5

       1             

Class R6

       487             

Institutional Class

                 17,360   

Select Class

       9,213           3,703   

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 17.12         $ 13.84   

Class C — Offering price per share (b)

       16.94           13.06   

Class R2 — Offering and redemption price per share

       17.03             

Class R5 — Offering and redemption price per share

       17.29             

Class R6 — Offering and redemption price per share

       17.31             

Institutional Class — Offering and redemption price per share

                 14.62   

Select Class — Offering and redemption price per share

       17.21           14.37   

Class A maximum sales charge

       5.25        5.25

Class A maximum public offering price per share

         

[net asset value per share/(100% — maximum sales charge)]

     $ 18.07         $ 14.61   
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 117,644         $ 255,210   

Cost of investments in affiliates

       74,891           20,684   

Proceeds from securities sold short

       49,097           326,987   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         23   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

       

Opportunistic
Equity

Long/Short
Fund

     Research
Market
Neutral Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates on securities sold short

     $ 5       $ 69   

Dividend income from non-affiliates

       2,574         5,885   

Dividend income from affiliates

       218         223   
    

 

 

    

 

 

 

Total investment income

       2,797         6,177   
    

 

 

    

 

 

 

EXPENSES:

       

Investment advisory fees

       2,562         3,819   

Administration fees

       175         392   

Distribution fees:

       

Class A

       136         97   

Class C

       23         144   

Class R2

       (a)         

Shareholder servicing fees:

       

Class A

       136         97   

Class C

       8         48   

Class R2

       (a)         

Class R5

       (a)         

Institutional Class

               348   

Select Class

       376         179   

Custodian and accounting fees

       58         34   

Interest expense to affiliates

               8   

Professional fees

       93         74   

Interest expense to non-affiliates

               4   

Trustees’ and Chief Compliance Officer’s fees

       15         17   

Printing and mailing costs

       29         75   

Registration and filing fees

       127         49   

Transfer agency fees (See Note 2.F.)

       17         30   

Sub-transfer agency fees (See Note 2.F.)

       99         151   

Other

       9         5   

Dividend expense to non-affiliates on securities sold short

       985         10,086   
    

 

 

    

 

 

 

Total expenses

       4,848         15,657   
    

 

 

    

 

 

 

Less fees waived

       (406      (1,254

Less expense reimbursements

       (20        
    

 

 

    

 

 

 

Net expenses

       4,422         14,403   
    

 

 

    

 

 

 

Net investment income (loss)

       (1,625      (8,226
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

       

Investments in non-affiliates

       4,215         34,174   

Futures

               18   

Securities sold short

       (4,975      (15,015
    

 

 

    

 

 

 

Net realized gain (loss)

       (760      19,177   
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

       

Investments in non-affiliates

       1,317         (23,772

Futures

               89   

Securities sold short

       1,560         (3,714
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       2,877         (27,397
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       2,117         (8,220
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 492       $ (16,446
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Opportunistic Equity Long/Short Fund      Research Market Neutral Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

  

Net investment income (loss)

     $ (1,625    $ (746    $ (8,226      $ (11,750

Net realized gain (loss)

       (760      236         19,177           (19,486

Change in net unrealized appreciation/depreciation

       2,877         6,145         (27,397        8,292   
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in net assets resulting from operations

       492         5,635         (16,446        (22,944
    

 

 

    

 

 

    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

               

Class A

               

From net realized gains

       (567      (1                (2,115

Class B (a)

               

From net realized gains

                                 (9

Class C

               

From net realized gains

       (18      (b)                 (293

Class R2

               

From net realized gains

       (b)       (b)                   

Class R5

               

From net realized gains

       (b)       (b)                   

Class R6

               

From net realized gains

       (b)       (b)                   

Institutional Class

               

From net realized gains

                                 (6,577

Select Class

               

From net realized gains

       (1,173      (23                (8,645
    

 

 

    

 

 

    

 

 

      

 

 

 

Total distributions to shareholders

       (1,758      (24                (17,639
    

 

 

    

 

 

    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

               

Change in net assets resulting from capital transactions

       67,443         136,595         (293,232        (16,248
    

 

 

    

 

 

    

 

 

      

 

 

 

NET ASSETS:

               

Change in net assets

       66,177         142,206         (309,678        (56,831

Beginning of period

       147,457         5,251         657,029           713,860   
    

 

 

    

 

 

    

 

 

      

 

 

 

End of period

     $ 213,634       $ 147,457       $ 347,351         $ 657,029   
    

 

 

    

 

 

    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ (1,098    $ (b)     $ (6,483      $ (11,213
    

 

 

    

 

 

    

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         25   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     Opportunistic Equity Long/Short Fund     Research Market Neutral Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
    Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

   $ 64,846      $ 30,459      $ 11,078       $ 13,814   

Net assets acquired in Fund reorganization (See Note 8)

                           20,677   

Distributions reinvested

     567        1                2,088   

Cost of shares redeemed

     (51,340     (523     (46,582      (49,119

Conversion from Class B Shares

                           255   
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

   $ 14,073      $ 29,937      $ (35,504    $ (12,285
  

 

 

   

 

 

   

 

 

    

 

 

 

Class B (a)

         

Proceeds from shares issued

   $      $      $       $ 3   

Distributions reinvested

                           7   

Cost of shares redeemed

                           (70

Conversion to Class A Shares

                           (255
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class B capital transactions

   $      $      $       $ (315
  

 

 

   

 

 

   

 

 

    

 

 

 

Class C

         

Proceeds from shares issued

   $ 3,353      $ 781      $ 674       $ 1,778   

Net assets acquired in Fund reorganization (See Note 8)

                           15,527   

Distributions reinvested

     18        (b)              271   

Cost of shares redeemed

     (916     (37     (8,689      (4,266
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

   $ 2,455      $ 744      $ (8,015    $ 13,310   
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R2

         

Distributions reinvested

     (b)      (b)                

Cost of shares redeemed

            (35               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ (b)    $ (35   $       $   
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R5

         

Distributions reinvested

     (b)      (b)                

Cost of shares redeemed

            (36               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ (b)    $ (36   $       $   
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R6

         

Proceeds from shares issued

   $ 9,490      $      $       $   

Distributions reinvested

     (b)      (b)                

Cost of shares redeemed

     (1,485     (35               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ 8,005      $ (35   $       $   
  

 

 

   

 

 

   

 

 

    

 

 

 

Institutional Class

         

Proceeds from shares issued

   $      $      $ 303,966       $ 69,664   

Distributions reinvested

                           4,044   

Cost of shares redeemed

                   (273,016      (98,360
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Institutional Class capital transactions

   $      $      $ 30,950       $ (24,652
  

 

 

   

 

 

   

 

 

    

 

 

 

Select Class

         

Proceeds from shares issued

   $ 101,558      $ 107,271      $ 8,216       $ 26,592   

Net assets acquired in Fund reorganization (See Note 8)

                           55,860   

Distributions reinvested

     1,148        23                8,531   

Cost of shares redeemed

     (59,796     (1,274     (288,879      (83,289
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ 42,910      $ 106,020      $ (280,663    $ 7,694   
  

 

 

   

 

 

   

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

   $ 67,443      $ 136,595      $ (293,232    $ (16,248
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents
     Opportunistic Equity Long/Short Fund     Research Market Neutral Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
    Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

         

Class A

         

Issued

     3,830        1,782        789         761   

Shares issued in connection with Fund reorganization (See Note 8)

                           1,428   

Reinvested

     34        (a)              141   

Redeemed

     (3,089     (31     (3,369      (3,369

Conversion from Class B Shares

                           18   
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class A Shares

     775        1,751        (2,580      (1,021
  

 

 

   

 

 

   

 

 

    

 

 

 

Class B (b)

         

Issued

                           (a) 

Reinvested

                           1   

Redeemed

                           (6

Conversion to Class A Shares

                           (18
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class B Shares

                           (23
  

 

 

   

 

 

   

 

 

    

 

 

 

Class C

         

Issued

     199        47        51         183   

Shares issued in connection with Fund reorganization (See Note 8)

                           1,113   

Reinvested

     1        (a)              19   

Redeemed

     (55     (2     (663      (309
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class C Shares

     145        45        (612      1,006   
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R2

         

Reinvested

     (a)      (a)                

Redeemed

            (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class R2 Shares

     (a)      (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R5

         

Reinvested

     (a)      (a)                

Redeemed

            (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class R5 Shares

     (a)      (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Class R6

         

Issued

     571                         

Reinvested

     (a)      (a)                

Redeemed

     (85     (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Class R6 Shares

     486        (2               
  

 

 

   

 

 

   

 

 

    

 

 

 

Institutional Class

         

Issued

                   20,509         4,541   

Reinvested

                           261   

Redeemed

                   (18,650      (6,419
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Institutional Class Shares

                   1,859         (1,617
  

 

 

   

 

 

   

 

 

    

 

 

 

Select Class

         

Issued

     6,047        6,419        570         1,852   

Shares issued in connection with Fund reorganization (See Note 8)

                           3,780   

Reinvested

     68        1                559   

Redeemed

     (3,566     (73     (19,768      (5,541
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in Select Class Shares

     2,549        6,347        (19,198      650   
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         27   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations      Distributions         
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
    

 

Net realized
and unrealized

gains
(losses) on
investments

       Total from
investment
operations
    

Net

realized

gain

    

Net asset
value,

end of
period

 

Opportunistic Equity Long/Short Fund

  

Class A

  

Year Ended October 31, 2016

     $ 17.37         $ (0.16    $ 0.07         $ (0.09    $ (0.16    $ 17.12   

Year Ended October 31, 2015

       15.75           (0.25      1.93           1.68         (0.06      17.37   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.06      0.81           0.75                 15.75   

Class C

                       

Year Ended October 31, 2016

       17.27           (0.24      0.07           (0.17      (0.16      16.94   

Year Ended October 31, 2015

       15.73           (0.37      1.97           1.60         (0.06      17.27   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.07      0.80           0.73                 15.73   

Class R2

                       

Year Ended October 31, 2016

       17.32           (0.20      0.07           (0.13      (0.16      17.03   

Year Ended October 31, 2015

       15.74           (0.35      1.99           1.64         (0.06      17.32   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.06      0.80           0.74                 15.74   

Class R5

                       

Year Ended October 31, 2016

       17.47           (0.08      0.06           (0.02      (0.16      17.29   

Year Ended October 31, 2015

       15.76           (0.23      2.00           1.77         (0.06      17.47   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.04      0.80           0.76                 15.76   

Class R6

                       

Year Ended October 31, 2016

       17.48           (0.08      0.07           (0.01      (0.16      17.31   

Year Ended October 31, 2015

       15.76           (0.23      2.01           1.78         (0.06      17.48   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.04      0.80           0.76                 15.76   

Select Class

                       

Year Ended October 31, 2016

       17.42           (0.12      0.07           (0.05      (0.16      17.21   

Year Ended October 31, 2015

       15.75           (0.26      1.99           1.73         (0.06      17.42   

August 29, 2014 (i) through October 31, 2014

       15.00           (0.05      0.80           0.75                 15.75   

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.80% and 2.07% for the year ended October 31, 2016, 1.81% and 2.20% for the year ended October 31, 2015 and 2.00% and 11.67% for the period ended October 31, 2014; for Class C are 2.29% and 2.52% for the year ended October 31, 2016, 2.39% and 3.18% for the year ended October 31. 2015 and 2.50% and 12.17% for the period ended October 31, 2014; for Class R2 are 2.05% and 4.35% for the year ended October 31, 2016, 2.21% and 4.13% for the year ended October 31, 2015 and 2.25% and 11.92% for the period ended October 31, 2014; for Class R5 are 1.35% and 3.70% for the year ended October 31, 2016, 1.52% and 3.43% for the year ended October 31, 2015 and 1.55% and 11.22% for the period ended October 31, 2014; for Class R6 are 1.29% and 1.60% for the year ended October 31, 2016, 1.47% and 3.39% for the year ended October 31, 2015 and 1.50% and 11.17% for the period ended October 31, 2014; for Select Class are 1.54% and 1.71% for the year ended October 31, 2016, 1.66% and 2.20% for the year ended October 31, 2015 and 1.75% and 11.42% for the period ended October 31, 2014, respectively.
(f) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(g) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(h) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2015 and period ended October 31, 2014.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
            Ratios to average net assets (a)        
Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net expenses
(including
dividend and
interest
expense for
securities sold
short) (e)(f)
    Net
investment 
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
including dividend
and interest expense
for securities sold
short) (e)
    Portfolio
turnover rate
(excluding
securities sold
short) (c)(g)
    Portfolio
turnover rate
(including
securities sold
short) (c)(g)
 
           
           
  (0.53 )%    $ 43,298        2.26     (0.96 )%      2.53     463     749
  10.74        30,480        2.38 (h)      (1.70 )(h)      2.77 (h)      347        734   
  5.00        52        2.65 (h)      (2.24 )(h)      12.33 (h)      94        178   
           
  (1.00     3,273        2.75        (1.46     2.98        463        749   
  10.25        823        2.96 (h)      (2.17 )(h)      3.75 (h)      347        734   
  4.87        52        3.15 (h)      (2.74 )(h)      12.82 (h)      94        178   
           
  (0.76     21        2.51        (1.18     4.81        463        749   
  10.49        21        2.78 (h)      (2.01 )(h)      4.70 (h)      347        734   
  4.93        52        2.90 (h)      (2.49 )(h)      12.57 (h)      94        178   
           
  (0.12     21        1.81        (0.48     4.16        463        749   
  11.31        21        2.09 (h)      (1.32 )(h)      4.00 (h)      347        734   
  5.07        53        2.20 (h)      (1.79 )(h)      11.88 (h)      94        178   
           
  (0.06     8,432        1.75        (0.45     2.06        463        749   
  11.37        21        2.04 (h)      (1.27 )(h)      3.96 (h)      347        734   
  5.07        53        2.15 (h)      (1.74 )(h)      11.82 (h)      94        178   
           
  (0.29     158,589        2.00        (0.69     2.17        463        749   
  11.06        116,091        2.23 (h)      (1.53 )(h)      2.77 (h)      347        734   
  5.00        4,989        2.40 (h)      (1.99 )(h)      12.07 (h)      94        178   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         29   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

       Per share operating performance  
                Investment operations        Distributions           
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
      

 

 

 

Net realized
and unrealized
gains
(losses) on
investments

       Total from
investment
operations
      

Net

realized

gain

       Net asset
value, end
of period
 

Research Market Neutral Fund

  

Class A

  

Year Ended October 31, 2016

     $ 14.25         $ (0.28      $ (0.13      $ (0.41      $         $ 13.84   

Year Ended October 31, 2015

       15.17           (0.31        (0.22        (0.53        (0.39        14.25   

Year Ended October 31, 2014

       14.58           (0.34        0.93           0.59                     15.17   

Year Ended October 31, 2013

       14.44           (0.35        0.49           0.14                     14.58   

Year Ended October 31, 2012

       14.71           (0.35        0.08           (0.27                  14.44   

Class C

                             

Year Ended October 31, 2016

       13.51           (0.32        (0.13        (0.45                  13.06   

Year Ended October 31, 2015

       14.48           (0.35        (0.23        (0.58        (0.39        13.51   

Year Ended October 31, 2014

       13.99           (0.39        0.88           0.49                     14.48   

Year Ended October 31, 2013

       13.91           (0.41        0.49           0.08                     13.99   

Year Ended October 31, 2012

       14.25           (0.41        0.07           (0.34                  13.91   

Institutional Class

                             

Year Ended October 31, 2016

       14.99           (0.23        (0.14        (0.37                  14.62   

Year Ended October 31, 2015

       15.87           (0.23        (0.26        (0.49        (0.39        14.99   

Year Ended October 31, 2014

       15.17           (0.27        0.97           0.70                     15.87   

Year Ended October 31, 2013

       14.95           (0.29        0.51           0.22                     15.17   

Year Ended October 31, 2012

       15.16           (0.29        0.08           (0.21                  14.95   

Select Class

                             

Year Ended October 31, 2016

       14.76           (0.25        (0.14        (0.39                  14.37   

Year Ended October 31, 2015

       15.66           (0.26        (0.25        (0.51        (0.39        14.76   

Year Ended October 31, 2014

       15.02           (0.31        0.95           0.64                     15.66   

Year Ended October 31, 2013

       14.83           (0.32        0.51           0.19                     15.02   

Year Ended October 31, 2012

       15.08           (0.32        0.07           (0.25                  14.83   

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(d) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.22% and 1.53% for the year ended October 31, 2016, 1.43% and 1.89% for the year ended October 31, 2015 , 1.49% and 1.91% for the year ended October 31, 2014, 1.49% and 1.93% for the year ended October 31, 2013 and 1.49% and 1.99% for the year ended October 31, 2012; for Class C 1.72% and 2.02% for the year ended October 31, 2016, 1.90% and 2.32% for the year ended October 31, 2015, 1.99% and 2.41% for the year ended October 31, 2014, 1.99% and 2.43% for the year ended October 31, 2013 and 1.99% and 2.49% for the year ended October 31, 2012; for Institutional Class 0.81% and 1.06% for the year ended October 31, 2016, 0.95% and 1.44% for the year ended October 31, 2015, 0.99% and 1.51% for the year ended October 31, 2014, 0.99% and 1.53% for the year ended October 31, 2013 and 0.99% and 1.59% for the year ended October 31, 2012; for Select Class are 0.96% and 1.27% for the year ended October 31, 2016, 1.18% and 1.57% for the year ended October 31, 2015, 1.25% and 1.66% for the year ended October 31, 2014, 1.24% and 1.66% for the year ended October 31, 2013 and 1.24% and 1.74% for the year ended October 31, 2012, respectively.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
            Ratios to average net assets        
Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net expenses
(including
dividend and
interest
expense for
securities sold
short) (c)(d)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
(including dividend
and interest expense
for securities sold
short) (d)
    Portfolio
turnover rate
(excluding
securities sold
short) (e)
    Portfolio
turnover rate
(including
securities sold
short) (e)
 
           
           
  (2.88 )%    $ 25,393        3.33     (2.07 )%      3.64     133     298
  (3.59     62,910        3.57        (1.94     4.03        163        370   
  4.05        82,477        3.82        (2.26     4.24        90        192   
  0.97        88,944        4.24        (2.42     4.68        75        149   
  (1.84     116,146        4.46        (2.47     4.96        82        186   
           
  (3.33     15,003        3.83        (2.53     4.13        133        298   
  (4.12     23,790        4.04        (2.63     4.46        163        370   
  3.50        10,933        4.32        (2.76     4.74        90        192   
  0.58        14,209        4.74        (2.92     5.18        75        149   
  (2.39     19,275        4.96        (2.97     5.46        82        186   
           
  (2.47     253,734        2.92        (1.61     3.17        133        298   
  (3.17     232,339        3.09        (1.48     3.58        163        370   
  4.61        271,595        3.32        (1.76     3.84        90        192   
  1.47        316,843        3.74        (1.91     4.28        75        149   
  (1.39     337,565        3.99        (1.98     4.59        82        186   
           
  (2.64     53,221        3.07        (1.82     3.38        133        298   
  (3.34     337,990        3.32        (1.74     3.71        163        370   
  4.26        348,525        3.57        (2.01     3.99        90        192   
  1.28        292,993        3.99        (2.15     4.43        75        149   
  (1.66     290,794        4.17        (2.19     4.67        82        186   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         31   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Opportunistic Equity Long/Short Fund    Class A, Class C, Class R2, Class R5, Class R6 and Select Class    Non-Diversified
Research Market Neutral Fund    Class A, Class C, Institutional Class* and Select Class    Diversified

 

* Effective December 1, 2016, Institutional Class was renamed Class L and is publicly offered on a limited basis.

The investment objective of Opportunistic Equity Long/Short Fund is to seek capital appreciation.

The investment objective of Research Market Neutral Fund is to seek to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.

Opportunistic Equity Long/Short Fund commenced operations on August 29, 2014. Prior to January 23, 2015, the Fund was not publicly offered for investment.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.

Investments in open-end investment companies excluding exchange traded funds (“ETFs) (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures and options are generally valued on the basis of available market quotations.

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

 

 
32       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Opportunistic Equity Long/Short Fund

 

      Level 1
Quoted prices
    Level 2
Other significant
observable inputs
     Level 3
Significant
unobservable inputs
     Total  

Total Investments in Securities (a)

   $ 200,725      $       $       $ 200,725   
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities for Securities Sold Short (a)

   $ (47,985   $       $       $ (47,985
  

 

 

   

 

 

    

 

 

    

 

 

 
Research Market Neutral Fund  
      Level 1
Quoted prices
    Level 2
Other significant
observable inputs
     Level 3
Significant
unobservable inputs
     Total  

Total Investments in Securities (b)

   $ 344,258      $ 604       $       $ 344,862   
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities for Securities Sold Short (a)

   $ (322,653   $       $       $ (322,653
  

 

 

   

 

 

    

 

 

    

 

 

 

Appreciation in Other Financial Instruments

          

Futures Contracts

   $ 48      $       $       $ 48   
  

 

 

   

 

 

    

 

 

    

 

 

 

 

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.
(b) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 2 consists of a U.S. Treasury Bill that is held for futures contracts collateral. Please refer to the SOIs for industry specifics of portfolio holdings.

There were no transfers among any levels during the year ended October 31, 2016.

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

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

The table below discloses the volume of the Fund’s options contracts activity during the year ended October 31, 2016:

 

      Opportunistic
Equity
Long/Short
Fund
 

Exchange-Traded Options:

  

Average Number of Contracts Purchased

     778   

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).

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         33   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

C. Short Sales — The Funds engaged in short sales as part of their normal investment activities. In a short sale, the Funds sell securities they do not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Funds borrow securities from a broker. To close out a short position, the Funds deliver the same securities to the broker.

The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.

The Funds are obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as dividend expense on securities sold short.

Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.

The Funds will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Funds replace the borrowed security. The Funds will record a realized gain if the price of the borrowed security declines between those dates.

As of October 31, 2016, the Funds had outstanding short sales as listed on their SOIs.

D. Futures Contracts — Research Market Neutral Fund used index futures contracts to more effectively manage the long and short equity exposures in the portfolio. The use of futures contracts exposes the Fund to equity price risk.

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 the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the year ended October 31, 2016 (amounts in thousands):

 

      Research Market
Neutral Fund
 

Futures Contracts

  

Average Notional Balance Short

   $ 8,970   

Ending Notional Balance Short

     2,014   

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).

E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, and dividend expense on securities sold short, are recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual

 

 
34       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2016


Table of Contents

amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

F. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency and sub-transfer agency fees charged to each class of the Funds for the year ended October 31, 2016 are as follows (amounts in thousands):

 

      Class A      Class C      Class R2     Class R5     Class R6      Institutional Class      Select Class      Total  

Opportunistic Equity Long/Short Fund

                     

Transfer agency fees

   $ 3       $ 1       $ (a)    $ (a)    $ 9         n/a       $ 4       $ 17   

Sub-transfer agency fees

     70         2                               n/a         27         99   

Research Market Neutral Fund

                     

Transfer agency fees

     14         4         n/a        n/a        n/a       $ 5         7         30   

Sub-transfer agency fees

     21         11         n/a        n/a        n/a         71         48         151   

 

(a) Amount rounds to less than 500.

G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016 no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

H. Distributions to Shareholders — Distributions from net investment income are generally declared and paid annually for the Opportunistic Equity Long/Short Fund, and are generally declared and paid quarterly for the Research Market Neutral Fund and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

 

        Paid-in-Capital       

Accumulated

undistributed

(distributions

in excess of)

net investment
income

      

Accumulated

net realized

gains (losses)

 

Opportunistic Equity Long/Short Fund

     $ (288      $ 527         $ (239

Research Market Neutral Fund

       (12,774        12,956           (182

The reclassifications for the Funds relate primarily to dividend expense for securities sold short and net operating loss.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of each Fund’s respective average daily net assets as follows:

 

Opportunistic Equity Long/Short Fund

     1.20

Research Market Neutral Fund

     0.80   

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         35   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016 the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

      Class A     Class C     Class R2  

Opportunistic Equity Long/Short Fund

     0.25     0.75     0.50

Research Market Neutral Fund

     0.25        0.75        n/a   

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Opportunistic Equity Long/Short Fund

   $ 2         $   

Research Market Neutral Fund

     1           (a) 

 

(a) Amount rounds to less than 500.

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

      Class A     Class C     Class R2     Class R5     Institutional Class     Select Class  

Opportunistic Equity Long/Short Fund

     0.25     0.25     0.25     0.05     n/a        0.25

Research Market Neutral Fund

     0.25        0.25        n/a        n/a        0.10     0.25   

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expense. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

      Class A     Class C     Class R2     Class R5     Class R6     Institutional Class     Select Class  

Opportunistic Equity Long/Short Fund

     1.85     2.35     2.10     1.40     1.35     n/a        1.60

Research Market Neutral Fund

     1.25        1.75        n/a        n/a        n/a        0.85     0.99   

 

 
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The expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until at least February 28, 2017.

For the year ended October 31, 2016 the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

     Contractual Waivers         
      Investment
Advisory
     Administration      Shareholder
Servicing
     Total      Contractual
Reimbursements
 

Opportunistic Equity Long/Short Fund

   $ 114       $ 75       $ 94       $ 283       $ 20   

Research Market Neutral Fund

     603         382         89         1,074           

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 were as follows (amounts in thousands):

 

Opportunistic Equity Long/Short Fund

   $ 123   

Research Market Neutral Fund

     180   

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended October 31, 2016 Research Market Neutral Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, the Funds incurred brokerage commissions with broker dealers affiliated with the Adviser as follows (amounts in thousands):

 

Research Market Neutral Fund

   $ (a) 

 

(a) Amount rounds to less than 500.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

      Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
       Securities
Sold Short
       Covers on
Securities
Sold Short
 

Opportunistic Equity Long/Short Fund

   $ 678,357         $ 655,052         $ 403,808         $ 387,308   

Research Market Neutral Fund

     531,595           715,578           471,409           654,735   

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

     

Aggregate

Cost

      

Gross

Unrealized

Appreciation

      

Gross

Unrealized

Depreciation

      

Net Unrealized

Appreciation

(Depreciation)

 

Opportunistic Equity Long/Short Fund

   $ 194,791         $ 8,577         $ 2,644         $ 5,933   

Research Market Neutral Fund

     281,579           83,081           19,798           63,283   

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         37   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

       

Ordinary

Income*

      

Net

Long-Term

Capital Gains

      

Total

Distributions

Paid

 

Opportunistic Equity Long/Short Fund

     $ 1,677         $ 81         $ 1,758   

 

* Short-term gains are treated as ordinary income for income tax purposes.

There were no distributions paid from Research Market Neutral Fund during the fiscal year ended October 31, 2016.

The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

       

Ordinary

Income*

      

Net

Long-Term

Capital Gains

      

Total

Distributions

Paid

 

Opportunistic Equity Long/Short Fund

     $ 24         $         $ 24   

Research Market Neutral Fund

                 17,639           17,639   

 

* Short-term gains are treated as ordinary income for income tax purposes.

At October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

       

Current

Distributable

Ordinary

Income

      

Current

Distributable

Long-Term

Capital Gain or

(Tax Basis Capital

Loss Carryover)

    

Unrealized

Appreciation

(Depreciation)

 

Opportunistic Equity Long/Short Fund

     $         $ (a)     $ 5,982   

Research Market Neutral Fund

                 (68,342      50,896   

 

(a) Amount rounds to less than 500.

For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals, late year ordinary loss deferrals and Straddle Loss Deferral.

During the year ended October 31, 2016, Research Market Neutral Fund utilized capital loss carryforwards of approximately $7,993,000.

As of October 31, 2016, the following Funds had net capital loss carryforwards (amounts in thousands):

 

       

Capital Loss
Carryforward
Character

Short-Term

       Long-Term  

Research Market Neutral Fund

       68,342      $   

 

* Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384.

Net capital losses and other late year losses incurred after October 31, 2016 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended October 31, 2016, the following Funds deferred to November 1, 2016 net capital losses and other late year loss of (amounts in thousands):

 

        Late Year
Ordinary Loss
Deferral
 

Opportunistic Equity Long/Short Fund

     $ 1,093   

Research Market Neutral Fund

       6,463   

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current

 

 
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bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of October 31, 2016, the Funds had individual shareholder accounts and/or omnibus accounts which collectively represent the following percentage of each Fund’s net assets:

 

      Number of
Individual Affiliated
Shareholder
Accounts and/or
Affiliated Omnibus
Accounts
      

% of

the
Fund

    

Number of

Individual Non-

affiliated
Shareholder

Accounts and/or
Non-affiliated
Omnibus Accounts

      

% of

the
Fund

 

Opportunistic Equity Long/Short Fund

     1           32.2      1           16.9

The J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate 49.8% of the net assets of the Research Market Neutral Fund.

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

Because Opportunistic Equity Long/Short Fund may invest a substantial portion of its assets in REITs, the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.

Since Opportunistic Equity Long/Short Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.

As of October 31, 2016, the Research Market Neutral Fund pledged substantially all of its assets to Citibank for securities sold short. For the Research Market Neutral Fund, deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citibank. The Opportunistic Equity Long/Short Fund pledged substantially all of its assets to Citigroup Global Markets, Inc. for securities sold short. Deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citigroup Global Markets, Inc.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

8. Business Combinations

On February 19, 2015, the Board of Trustees of the Trust approved the reorganizations of JPMorgan Market Neutral Fund (the “Target Fund”) into JPMorgan Research Market Neutral Fund (the “Acquiring Fund”). The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on June 19, 2015. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class C and Select Class shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, with a value equal to their respective holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $150,374,000 and identified cost of approximately $147,762,000, as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. As of June 19, 2015, the Target Fund had pre-enactment and post-enactment net capital loss carryforward of approximately $48,726,000 and $43,743,000, respectively.

The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands):

 

      Shares
Outstanding
       Net Assets        Net Asset
Value
Per Share
       Net
Unrealized
Appreciation
(Depreciation)
 

Target Fund

                 

Market Neutral Fund

                  $ 2,193   

Class A

     1,428         $ 20,677         $ 14.48        

Class C

     1,113           15,527           13.95        

Select Class

     3,780           55,860           14.78        

Acquiring Fund

                 

Research Market Neutral Fund

                    102,245   

Class A

     4,209           61,174           14.54        

Class B

     18           253           13.81        

Class C

     710           9,808           13.81        

Institutional Class

     16,048           244,983           15.27        

Select Class

     21,932           329,894           15.04        

Post Reorganization

                 

Research Market Neutral Fund

                    104,438   

Class A

     5,631           81,851           14.54        

Class B

     18           253           13.81        

Class C

     1,835           25,335           13.81        

Institutional Class

     16,048           244,983           15.27        

Select Class

     25,646           385,754           15.04        

Expenses related to reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Fund in an amount sufficient to offset costs incurred by the Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Fund assets associated with the reorganization.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Opportunistic Equity Long/Short Fund and JPMorgan Research Market Neutral Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Opportunistic Equity Long/Short Fund and JPMorgan Research Market Neutral Fund (each a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016 and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agency, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
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Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         43   


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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During the
Period
*
       Annualized
Expense
Ratio
 

Opportunistic Equity Long/Short Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,034.40         $ 11.66           2.28

Hypothetical

       1,000.00           1,013.67           11.54          
2.28
  

Class C

                   

Actual

       1,000.00           1,031.70           14.15           2.77   

Hypothetical

       1,000.00           1,011.21           14.00           2.77   

Class R2

                   

Actual

       1,000.00           1,032.70           25.24           4.94   

Hypothetical

       1,000.00           1,000.30           24.84           4.94   

Class R5

                   

Actual

       1,000.00           1,036.60           22.17           4.33   

Hypothetical

       1,000.00           1,003.37           21.80           4.33   

Class R6

                   

Actual

       1,000.00           1,037.10           9.01           1.76   

Hypothetical

       1,000.00           1,016.29           8.92           1.76   

Select Class

                   

Actual

       1,000.00           1,035.50           10.28           2.01   

Hypothetical

       1,000.00           1,015.03           10.18           2.01   

Research Market Neutral Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,002.20         $ 17.67           3.51

Hypothetical

       1,000.00           1,007.49           17.71           3.51   

Class C

                   

Actual

       1,000.00           1,000.00           20.16           4.01   

Hypothetical

       1,000.00           1,004.98           20.21           4.01   

Institutional Class

                   

Actual

       1,000.00           1,004.10           15.67           3.11   

Hypothetical

       1,000.00           1,009.50           15.71           3.11   

Select Class

                   

Actual

       1,000.00           1,003.50           16.37           3.25   

Hypothetical

       1,000.00           1,008.80           16.41           3.25   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreement for each of the Funds whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of Funds with greater than two years of performance history in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The

Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider

 

 

 
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and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds which had at least one full year of performance at the time of review in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds which had at least one full year of performance at the time of review within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”) as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Opportunistic Equity Long/Short Fund’s performance for both Class A and Select Class shares was in the first quintile, based upon both the Peer Group and Universe for the one-year period ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Research Market Neutral Fund’s performance for Class A shares was in the fifth, fourth, and fifth quintiles based upon the Universe, and for Select Class shares, in the fifth, third, fifth quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed

the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Opportunistic Equity Long/Short Fund’s net advisory fee and actual total expenses were in the fourth quintile for both Class A and Select Class shares, based upon the Peer Group. The Trustees noted that the Fund’s net advisory fee and actual total expenses were in the third quintile for both Class A and Select Class shares, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable

The Trustees noted that the Research Market Neutral Fund’s net advisory fee and actual total expenses for both Class A and Select Class shares were in the first quintiles, based upon the Peer Group. The Trustees noted that the net advisory fee for Class A shares was in the second quintile and Select Class shares was in the first quintile, and that actual total expenses were in the first quintiles, based upon the Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

 

 

 
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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Long Term Capital Gain

The Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Long Term
Capital Gain
 

Opportunistic Equity Long Short Fund

   $ 81   

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Qualified
Dividend
Income
 

Opportunistic Equity Long Short Fund

   $ 1,575   
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SPECIALTY FUNDS         49   


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

  Social Security number and account balances

 

  transaction history and account transactions

 

  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


Table of Contents

LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

  open an account or provide contact information

 

  give us your account information or pay us by check

 

  make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

  sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

  affiliates from using your information to market to you

 

  sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

  J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016. All rights reserved. October 2016.  

AN-SPEC-1016


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Annual Report

J.P. Morgan International Equity Funds

October 31, 2016

JPMorgan Emerging Economies Fund

JPMorgan Emerging Markets Equity Fund

JPMorgan Emerging Markets Equity Income Fund

JPMorgan Global Research Enhanced Index Fund

JPMorgan Global Unconstrained Equity Fund

JPMorgan International Equity Fund

JPMorgan International Equity Income Fund

JPMorgan International Opportunities Fund

JPMorgan International Research Enhanced Equity Fund

JPMorgan International Unconstrained Equity Fund

JPMorgan International Value Fund

JPMorgan Intrepid International Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan Emerging Economies Fund

       3   

JPMorgan Emerging Markets Equity Fund

       6   

JPMorgan Emerging Markets Equity Income Fund

       9   

JPMorgan Global Research Enhanced Index Fund

       12   

JPMorgan Global Unconstrained Equity Fund

       14   

JPMorgan International Equity Fund

       16   

JPMorgan International Equity Income Fund

       18   

JPMorgan International Opportunities Fund

       22   

JPMorgan International Research Enhanced Equity Fund

       25   

JPMorgan International Unconstrained Equity Fund

       27   

JPMorgan International Value Fund

       30   

JPMorgan Intrepid International Fund

       33   
Schedules of Portfolio Investments        36   
Financial Statements        80   
Financial Highlights        108   
Notes to Financial Statements        132   
Report of Independent Registered Public Accounting Firm        161   
Trustees        162   
Officers        164   
Schedule of Shareholder Expenses        165   
Board Approval of Investment Advisory Agreements        170   
Tax Letter        176   

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         1   


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J.P. Morgan International Equity Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

Global financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December 2015 interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular experienced a brief but significant rise in prices. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided.

Economic growth in China and other emerging market nations, firmness in commodities prices and attractive valuations drew investors to emerging market equities during the second half of the reporting period. In Europe, a sluggish economy and investor concerns about the long-term impact of the Brexit weighted down equity prices. During the reporting period, central bankers in Japan and Europe increased economic stimulus, which supported financial markets generally.

Notably, crude oil prices reached 15-monnth highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories. For the twelve months ended October 31, 2016, the Morgan Stanley Capital International Europe Australasia and Far East Index (net of foreign withholding tax) returned -3.23% and the Morgan Stanley Capital International Emerging Markets Index (net of foreign withholding tax) returned 9.27%.

 

 
2       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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JPMorgan Emerging Economies Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      5.93%   
Morgan Stanley Capital International (“MSCI”) Emerging Markets Index (net of foreign withholding taxes)      9.27%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,779,712   

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Economies Fund (the “Fund”) seeks long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

The Fund’s security selection and overweight position in the consumer staples sector and its security selection and underweight position in the financials sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the information technology sector and its underweight position in the telecommunication services sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight positions in Taiwan Semiconductor Manufacturing Co., Petroleo Brasileiro SA (“Petrobras”) and Banco Bradesco SA. Shares of Taiwan Semiconductor rose on better than expected earnings and strong demand from smartphone makers. Shares of Petrobras, Brazil’s state controlled oil and gas company that was not held in the Fund, rose on strengthening in global energy prices. Shares of Banco Bradesco, a Brazilian bank that was not held in the Fund, rose on expectations for a rebound in Brazil’s economy.

Leading individual contributors to relative performance included the Fund’s overweight positions in Banco do Brasil SA,

Netease Inc. and Hindustan Petroleum Corp. Shares of Banco do Brasil, a Brazilian banking and financial services company, rose on investor expectations for a rebound in Brazil’s economy. Shares of Netease, a Chinese provider of mobile games, rose on continued earnings growth and strong demand for recent game releases. Shares of Hindustan Petroleum, an Indian oil and gas company that was not held in the Benchmark, rose on a rise in global energy prices.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers used a combination of top-down and bottom-up research, seeking what they believed to be attractively priced countries, sectors and securities with positive catalysts. As a result of this process, the Fund’s largest average country exposures during the twelve months ended October 31, 2016, were to China, South Korea and Taiwan and its smallest average country exposures were to Chile, Egypt, Singapore and Indonesia. From a sector perspective, the Fund’s largest average weightings were in the financials, information technology and consumer discretionary sectors, while its smallest average weightings were in the real estate, telecommunications services and health care sectors.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         3   


Table of Contents

JPMorgan Emerging Economies Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Industrial & Commercial Bank of China Ltd., Class H (China)      2.0
  2.       Samsung Electronics Co., Ltd. (South Korea)      1.9   
  3.       Tencent Holdings Ltd. (China)      1.6   
  4.       NetEase, Inc., ADR (China)      1.5   
  5.       Bank of China Ltd., Class H (China)      1.3   
  6.       Polski Koncern Naftowy Orlen S.A. (Poland)      1.3   
  7.       Alibaba Group Holding Ltd., ADR (China)      1.2   
  8.       Largan Precision Co., Ltd. (Taiwan)      1.2   
  9.       SK Hynix, Inc. (South Korea)      1.2   
  10.       SK Innovation Co., Ltd. (South Korea)      1.2   

PORTFOLIO COMPOSITION BY COUNTRY***

 
China      21.8
South Korea      19.1  
Taiwan      11.7  
Russia      9.6  
Thailand      6.4  
Brazil      5.6  
Turkey      4.4  
Hong Kong      4.1  
India      3.2  
Mexico      2.8  
Poland      2.7  
United Arab Emirates      1.4  
Hungary      1.4  
Malaysia      1.4  
South Africa      1.0  
Others (each less than 1.0%)      1.3   
Short-Term Investment      2.1   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 28, 2008               

With Sales Charge*

          0.08        (1.73 )%         (2.19 )% 

Without Sales Charge

          5.62          (0.67 )        (1.58 )

CLASS C SHARES

   February 28, 2008               

With CDSC**

          4.11          (1.17 )        (2.08 )

Without CDSC

          5.11          (1.17 )        (2.08 )

CLASS R5 SHARES

   February 28, 2008        6.03          (0.23 )        (1.14 )

CLASS R6 SHARES

   September 1, 2015        6.25          (0.21 )        (1.13 )

SELECT CLASS SHARES

   February 28, 2008        5.93          (0.43 )        (1.34 )

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/08 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2008.

Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Emerging Economies Fund, the MSCI Emerging Markets Index and the Lipper Emerging Markets Funds Index from February 28, 2008 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper Emerging Markets Funds Index includes

expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. The Lipper Emerging Markets Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         5   


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JPMorgan Emerging Markets Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Institutional Class Shares)1*      12.71%   
Morgan Stanley Capital International (“MSCI”) Emerging Markets Index (net of foreign withholding taxes)      9.27%   
Net Assets as of 10/31/2016 (In Thousands)    $ 3,124,578   

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return from a portfolio of equity securities from emerging markets issuers.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares outperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016. The Fund’s security selection in the financials and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight position in the materials sector and its security selection in the health care sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Sberbank of Russia OJSC, Bidvest Group Ltd. and Itau Unibanco Holding SA. Shares of Sberbank, a Russian commercial bank, rose on continued profit growth. Shares of Bidvest, a South African conglomerate, rose after the company reported growth in earnings and revenue. Shares of Itau Unibanco, a Brazilian banking and financial services company, rose on signs of economic recovery in Brazil.

Leading individual detractors from relative performance included the Fund’s overweight positions in Vipshop Holdings Ltd. and Woolworths Holdings Ltd. and its underweight position in Petroleo Brasiliero SA (Petrobras). Shares of Vipshop, an

Internet retailer based in China, fell on slowing sales growth and increased competition. Shares of Woolworths, a South African retail chain, fell on lower-than-expected sales of apparel. Shares of Petrobras, Brazil’s state controlled oil and gas company that was not held in the Fund, rose on improvement in global energy prices.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed an active strategy in which portfolio construction was focused on the highest-conviction ideas found at the security level. The Fund’s portfolio managers used bottom-up fundamental research to determine the Fund’s security weightings, researching companies in an attempt to determine their underlying value and potential for future earnings growth. As a result of this process, the Fund’s largest average sector positions during the reporting period were in the financials, information technology and consumer discretionary sectors, while the smallest average sector positions in which the Fund was invested were in the telecommunication services, utilities and health care sectors.

 

1  

Effective December 1, 2016, the Fund’s Institutional Class Shares were renamed Class L Shares.

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
6       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Tencent Holdings Ltd. (China)      6.4
  2.       Taiwan Semiconductor Manufacturing Co., Ltd., ADR (Taiwan)      4.3   
  3.       AIA Group Ltd. (Hong Kong)      3.7   
  4.       Housing Development Finance Corp., Ltd. (India)      3.5   
  5.       Tata Consultancy Services Ltd. (India)      2.7   
  6.       Sberbank PAO (Russia)      2.6   
  7.       Bid Corp., Ltd. (South Africa)      2.4   
  8.       Alibaba Group Holding Ltd., ADR (China)      2.4   
  9.       Samsung Electronics Co., Ltd. (South Korea)      2.2   
  10.       HDFC Bank Ltd., ADR (India)      2.0   

PORTFOLIO COMPOSITION BY COUNTRY***

 
India      19.9
China      17.3  
South Africa      13.1  
Brazil      10.6  
Taiwan      7.9  
Hong Kong      6.3  
Russia      5.5  
South Korea      3.8  
Indonesia      3.2  
Thailand      1.4  
United States      1.2  
Peru      1.2  
Panama      1.1  
Mexico      1.1  
Others (each less than 1.0%)      3.5   
Short-Term Investment      2.9   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         7   


Table of Contents

JPMorgan Emerging Markets Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   September 28, 2001               

With Sales Charge*

          6.37        0.00 %(a)         2.85

Without Sales Charge

          12.25          1.09          3.40  

CLASS C SHARES

   February 28, 2006               

With CDSC**

          10.71          0.59          2.89  

Without CDSC

          11.71          0.59          2.89  

CLASS R5 SHARES

   September 9, 2016        12.71          1.51          3.82  

CLASS R6 SHARES

   December 23, 2013        12.83          1.56          3.85  

INSTITUTIONAL CLASS SHARES

   November 15, 1993        12.71          1.51          3.82  

SELECT CLASS SHARES

   September 10, 2001        12.51          1.35          3.66  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.
(a)   Amount rounds to less than 0.005%.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of R6 Shares would have been different than those shown because R6 Shares have different expenses than Institutional Class Shares.

Returns for Class R5 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Institutional Class Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Emerging Markets Equity Fund, the MSCI Emerging Markets Index and the Lipper Emerging Markets Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation

treaties. The performance of the Lipper Emerging Markets Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. The Lipper Emerging Markets Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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JPMorgan Emerging Markets Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      10.04%   
Morgan Stanley Capital International (“MSCI”) Emerging Markets Index (net of foreign withholding taxes)      9.27%   
Net Assets as of 10/31/2016 (In Thousands)      $11,576   

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Markets Equity Income Fund (the “Fund”) seeks to provide both current income and long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

The Fund’s security selection in the financials sector and its security selection and underweight position in the industrials sector were leading contributors to performance relative to the Benchmark. The Fund’s overweight position in the telecommunication services sector and its security selection and underweight position in the materials sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in BB Seguridade Participacoes SA, Vanguard International Semiconductor Co. and Tractebel Energia SA. Shares of BB Seguridade, a Brazilian insurer, rose after reporting better-than-expected earnings growth. Shares of Vanguard International, a Taiwan-based maker of custom semiconductors, rose on better-than-expected earnings. Shares of Tractebel Energia, a Brazilian energy producer, rose amid the continued growth in Brazil’s energy sector.

Leading individual detractors from relative performance included the Fund’s overweight positions in Advanced Info Services Public Co. and its underweight positions in Tencent Holdings Ltd. and Petroleo Brasileiro SA (“Petrobras”). Shares of Advanced Info Services, a Thai mobile communications provider, fell after the company failed to win any new wireless spectrum at a government auction. Shares of Tencent Holdings, a Chinese Internet and social media company that was not held in the Fund, rose amid continued growth in earnings and advertising growth. Shares of Petrobras, Brazil’s state controlled oil and gas company that was not held in the Fund, rose on renewed strength in global energy prices.

HOW THE FUND WAS MANAGED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to security selection, rigorously researching companies in an attempt to determine their underlying value and potential for future growth. The Fund’s portfolio managers looked for dividend yielding equity securities that they believed were undervalued and possessed the long-term earnings power and strong cash flow generation that would enable them to grow their dividends.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         9   


Table of Contents

JPMorgan Emerging Markets Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Taiwan Semiconductor Manufacturing Co., Ltd., ADR (Taiwan)      4.8
  2.       China Mobile Ltd. (Hong Kong)      3.0   
  3.       AMBEV S.A., ADR (Brazil)      3.0   
  4.       BB Seguridade Participacoes S.A. (Brazil)      2.8   
  5.       Banco Santander Chile, ADR (Chile)      2.8   
  6.       Delta Electronics, Inc. (Taiwan)      2.7   
  7.       Kimberly-Clark de Mexico S.A.B. de C.V., Class A (Mexico)      2.7   
  8.       Vanguard International Semiconductor Corp. (Taiwan)      2.6   
  9.       China Resources Power Holdings Co., Ltd. (Hong Kong)      2.3   
  10.       Moscow Exchange MICEX-RTS PJSC (Russia)      2.2   

SUMMARY OF INVESTMENTS BY COUNTRY***

 
Taiwan      22.7
South Africa      14.3  
Hong Kong      11.6  
Brazil      9 .8  
Russia      7 .4  
South Korea      6 .1  
China      4 .3  
Mexico      4 .3  
Czech Republic      3 .6   
Chile      2 .8  
Thailand      2 .5  
Turkey      2 .4  
Hungary      1 .8  
Saudi Arabia      1 .4  
United Arab Emirates      1 .4  
Indonesia      1 .2  
Short-Term Investment      2 .4   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
10       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   December 12, 2014          

With Sales Charge*

          4.02        (5.70 )% 

Without Sales Charge

          9.76          (2.97 )

CLASS C SHARES

   December 12, 2014          

With CDSC**

          8.19          (3.48 )

Without CDSC

          9.19          (3.48 )

CLASS R5 SHARES

   December 12, 2014        10.24          (2.56 )

CLASS R6 SHARES

   December 12, 2014        10.26          (2.49 )

SELECT CLASS SHARES

   December 12, 2014        10.04          (2.74 )

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (12/12/14 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on December 12, 2014.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Emerging Markets Equity Income Fund, the MSCI Emerging Markets Index and the Lipper Emerging Markets Funds Index from December 12, 2014 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper Emerging Markets Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the

Fund. The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. The Lipper Emerging Markets Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         11   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      0.91%   
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)1      1.18%   
Net Assets as of 10/31/2016 (In Thousands)    $ 6,907,306   

 

INVESTMENT OBJECTIVE**

The JPMorgan Global Research Enhanced Index Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the health care and transportation services & consumer cyclicals sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the media and energy sectors was a leading positive contributor to relative performance. By region, the Fund’s security selection in North America was the leading detractor from relative performance, while the Fund’s security selection in the Pacific region, excluding Japan, was neutral to relative performance.

Due to the Fund holding a relatively large number of securities during the period, the impact of individual holdings on the Fund’s relative performance tended to be small.

HOW WAS THE FUND POSITIONED?

The Fund sought to outperform the Benchmark over time, while seeking to achieve sector, geographic and risk characteristics similar to that of the Benchmark. Using the fundamental equity insights generated by JPMorgan’s team of analysts, the Fund’s portfolio managers took marginally overweight positions in securities that they considered undervalued, while being marginally underweight in or not holding securities in the Benchmark that they considered overvalued. During the reporting period, the Fund’s portfolio managers used exchange-traded funds and futures to help manage cash flows.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Apple, Inc. (United States)      2.0
  2.       Microsoft Corp. (United States)      1.6   
  3.       Facebook, Inc., Class A (United States)      1.2   
  4.       Amazon.com, Inc. (United States)      1.1   
  5.       Exxon Mobil Corp. (United States)      1.1   
  6.       Alphabet, Inc., Class C (United States)      1.0   
  7.       Wells Fargo & Co. (United States)      0.9   
  8.       General Electric Co. (United States)      0.8   
  9.       Alphabet, Inc., Class A (United States)      0.8   
  10.       Nestle S.A. (Switzerland)      0.8   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States      57.0
Japan      9.4  
United Kingdom      5.4  
France      4.1  
Germany      3.8  
Canada      3.7  
Switzerland      3.7  
Australia      2.7  
Netherlands      2.1  
Hong Kong      1.3  
Spain      1.0  
Others (each less than 1.0%)      5.5   
Short-Term Investment      0.3   

 

1   

MSCI World Index is a registered service mark of Morgan Stanley Capital International, which does not sponsor and is in no way affiliated with the Fund.

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
12       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 28, 2013               

With Sales Charge*

          (4.62 )%         2.00        5.71

Without Sales Charge

          0.68          3.85          7.27  

CLASS C SHARES

   February 28, 2013               

With CDSC**

          (0.84 )        3.30          6.73  

Without CDSC

          0.16          3.30          6.73  

CLASS R2 SHARES

   February 28, 2013        0.46          3.59          7.00  

SELECT CLASS SHARES

   February 28, 2013        0.91          4.09          7.54  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/13 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Global Research Enhanced Index Fund, the MSCI World Index and the Lipper Global Large-Cap Core Funds Index from February 28, 2013 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI World Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Global Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Lipper Global Large-Cap Core Funds Index is an index based on the total returns of certain mutuals funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also,

performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         13   


Table of Contents

JPMorgan Global Unconstrained Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (3.29)%   
Morgan Stanley Capital International (“MSCI”) All Country World Index (net of foreign withholding taxes)      2.05%   
Net Assets as of 10/31/2016 (In Thousands)      $1,672   

 

INVESTMENT OBJECTIVE**

The JPMorgan Global Unconstrained Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI All Country World Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection and overweight positions in both the financials and health care sectors were leading detractors from performance relative to the Benchmark. The Fund’s security selection and underweight positions in the information technology sector and its security selection in the consumer discretionary sector were leading positive contributors to relative performance.

By region, the Fund’s overweight positions and security selection in the U.K. and continental Europe were leading detractors from relative performance, while the Fund’s overweight position in North America and its security selection and underweight position in Japan contributed to relative performance.

Leading individual detractors from the Fund’s relative performance included overweight positions in Teva Pharmaceutical Industries Ltd., Barclays PLC and Sanofi SA. Shares of Teva Pharmaceutical, an Israel-based maker of generic and specialty drugs, fell amid investor concerns about the company’s patent on a key drug and general concerns about pricing pressure on generic drugs. Shares of Barclays, a U.K. financial services company, fell amid investor concerns that continued low interest rates and the U.K.’s exit from the European Union would undermine earnings. Shares of Sanofi, a French pharmaceuticals company, declined after the company’s new chief executive warned of sluggish earnings growth in the near term.

Leading individual contributors to the Fund’s relative performance included overweight positions in NXP Semiconductors NV, Qualcomm Inc. and Amazon.com Inc. Shares of NXP Semiconductors, a Dutch maker of semiconductors, rose on news of a takeover bid from Qualcomm. Shares of Qualcomm, a U.S. communications technology maker, rose on investor expectations of an improved competitive position. Shares of Amazon.com, an Internet retailer, rose as the company continued to generate strong revenue and earnings growth.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers combined a contrarian approach with bottom-up fundamental research to construct a global portfolio of what they believed were undervalued companies, characterized by sustainability of earnings, strong free cash flow and the ability to increase earnings faster than their sector peers.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Alphabet, Inc., Class C (United States)      4.7
  2.       Teva Pharmaceutical Industries Ltd., ADR (Israel)      4.4   
  3.       Time, Inc. (United States)      3.4   
  4.       Twenty-First Century Fox, Inc., Class A (United States)      3.2   
  5.       Citigroup, Inc. (United States)      3.2   
  6.       Sanofi (France)      2.9   
  7.       Amazon.com, Inc. (United States)      2.7   
  8.       JD.com, Inc., ADR (China)      2.2   
  9.       Chubb Ltd. (Switzerland)      2.1   
  10.       AXA S.A. (France)      2.1   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States      46.8
China      8.5  
United Kingdom      7.8  
France      6.5  
Switzerland      6.3  
Japan      5.4  
Israel      4.3  
Netherlands      3.4  
Germany      2.1  
Singapore      2.0  
Canada      1.4  
Russia      1.3  
Hong Kong      1.1  
Luxembourg      1.1  
Italy      1.0  
India      1.0  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
14       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   November 30, 2011               

With Sales Charge*

          (8.58 )%         1.08        7.64

Without Sales Charge

          (3.53 )        2.90          8.83  

CLASS C SHARES

   November 30, 2011               

With CDSC**

          (5.02 )        2.39          8.29  

Without CDSC

          (4.02 )        2.39          8.29  

CLASS R2 SHARES

   November 30, 2011        (3.85 )        2.63          8.54  

CLASS R5 SHARES

   November 30, 2011        (3.12 )        3.36          9.32  

CLASS R6 SHARES

   November 30, 2011        (3.10 )        3.41          9.37  

SELECT CLASS SHARES

   November 30, 2011        (3.29 )        3.21          9.13  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (11/30/11 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on November 30, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Global Unconstrained Equity Fund, the MSCI All Country World Index and the Lipper Global Multi-Cap Core Funds Index from November 30, 2011 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The Lipper Global Multi-Cap Core Funds Index is an index based on the total returns of certain

mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Subsequent to the inception date of the Fund and through January 5, 2015, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         15   


Table of Contents

JPMorgan International Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (1.50)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)      (3.23)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 3,424,466   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Equity Fund (the “Fund”) seeks total return from long-term capital growth and income. Total return consists of capital growth and current income.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

The Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the financials and health care sectors was a leading detractor from relative performance.

Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Taiwan Semiconductor Manufacturing Co., Tokyo Electronics Ltd. and Arm Holdings Ltd. Shares of Taiwan Semiconductor, which was not held in the Benchmark, Tokyo Electron, a provider of equipment to the semiconductor industry, and Arm Holdings, a U.K. semiconductor manufacturer, rose on increasing demand for semiconductors used in a range of products, including mobile devices, automobiles and wearable accessories. Shares of Arm Holdings were also boosted by news of the company’s acquisition by Softbank Inc.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Credit Suisse Group AG, Barclays PLC and Prudential PLC. Shares of Credit Suisse, a Swiss financial services company, Barclays, a U.K. financial services company, and Prudential, a U.K. insurance and financial services provider not held in the Benchmark, fell amid sluggish economic growth and investor concerns that the U.K.’s planned exit from the European Union would prompt European monetary authorities to hold interest rates low, undermining investment returns and bank interest margins.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with

solid financial positions that possessed the potential to increase their earnings faster than their industry peers.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       HSBC Holdings plc (United Kingdom)      2.2
  2.       Roche Holding AG (Switzerland)      2.1   
  3.       Vodafone Group plc (United Kingdom)      2.0   
  4.       Novartis AG (Switzerland)      2.0   
  5.       Japan Tobacco, Inc. (Japan)      2.0   
  6.       Samsung Electronics Co., Ltd., GDR (South Korea)      2.0   
  7.       Sumitomo Mitsui Financial Group, Inc. (Japan)      1.9   
  8.       SAP SE (Germany)      1.9   
  9.       Royal Dutch Shell plc, Class A (Netherlands)      1.8   
  10.       Anheuser-Busch InBev S.A./N.V. (Belgium)      1.8   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      23.8
United Kingdom      17.9  
France      11.7  
Switzerland      10.5  
Germany      7.6  
Netherlands      6.2  
Hong Kong      4.8  
China      3.7  
South Korea      2.6  
Belgium      1.8  
Taiwan      1.3  
Australia      1.3  
India      1.1  
South Africa      1.1  
Denmark      1.1  
Others (each less than 1.0%)      2.4   
Short-Term Investment      1.1   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
16       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2002               

With Sales Charge*

          (7.00 )%         3.07        0.49

Without Sales Charge

          (1.83 )        4.19          1.04  

CLASS C SHARES

   January 31, 2003               

With CDSC**

          (3.31 )        3.67          0.51  

Without CDSC

          (2.31 )        3.67          0.51  

CLASS R2 SHARES

   November 3, 2008        (2.08 )        3.93          0.83  

CLASS R5 SHARES

   May 15, 2006        (1.34 )        4.67          1.49  

CLASS R6 SHARES

   November 30, 2010        (1.30 )        4.71          1.51  

SELECT CLASS SHARES

   January 1, 1997        (1.50 )        4.45          1.29  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of R2 Shares would have been lower than those shown because R2 Shares have higher expenses than Class A Shares.

Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan International Equity Fund, the MSCI EAFE Index and the Lipper International Large-Cap Core Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The

performance of the Lipper International Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         17   


Table of Contents

JPMorgan International Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (3.31)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)      (3.23)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 134,155   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Equity Income Fund (the “Fund”) seeks to provide both current income and long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the industrial cyclical and the consumer non-durable sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection and underweight position in the banks sector and its overweight position in the technology-semiconductors sector were leading positive contributors to relative performance.

By region, the Fund’s underweight positions and security selection in the Pacific and in Japan detracted from relative performance, while the Fund’s holdings in emerging markets, where the Benchmark had no exposure, and its security selection and underweight position in Continental Europe made positive contributions to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Persimmon PLC, Bayer AG and Ryanair Holdings PLC. Shares of Persimmon, a U.K. homebuilder, fell amid investor concerns that the U.K.’s planned exit from the European Union would hurt sales. Shares of Bayer, a German maker of pharmaceuticals and health care

products, fell on news of its plan to acquire Monsanto Co. Shares of Ryanair Holdings, a low-fare airline based in Ireland and not held in the Benchmark, fell on investor concerns about the impact of on tourism of terrorist attacks and an air traffic controllers’ strike in France.

Leading individual contributors to relative performance included the Fund’s overweight positions in Nippon Telegraph and Telephone Corp., a Japanese provider of telecommunications services, Danske Bank A/S, a Danish bank, and GlaxoSmithKline PLC., a U.K., drug maker. Shares of all three companies rose as they continued to return capital to shareholders in the form of dividends and/or share buybacks.

HOW THE FUND WAS MANAGED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to security selection, rigorously researching companies in an attempt to determine their underlying value and potential for future growth. The Fund’s portfolio managers looked for dividend yielding equity securities that they believed were undervalued and possessed the long-term earnings power and strong cash flow generation that would enable them to grow their dividends.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
18       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       GlaxoSmithKline plc (United Kingdom)      3.7
  2.       Taiwan Semiconductor Manufacturing Co., Ltd., ADR (Taiwan)      3.5   
  3.       Anheuser-Busch InBev S.A./N.V. (Belgium)      3.5   
  4.       UPM-Kymmene OYJ (Finland)      2.8   
  5.       Toronto-Dominion Bank (The) (Canada)      2.8   
  6.       Royal Dutch Shell plc, Class A (Netherlands)      2.7   
  7.       WPP plc (United Kingdom)      2.7   
  8.       Danske Bank A/S (Denmark)      2.6   
  9.       Moneta Money Bank A.S. (Czech Republic)      2.5   
  10.       MMC Norilsk Nickel PJSC, ADR (Russia)      2.4   

PORTFOLIO COMPOSITION BY COUNTRY***

 
United Kingdom      25.4
Netherlands      9.5   
Germany      9.1   
Japan      8.4   
France      7.1   
Russia      6.1   
Taiwan      4.6   
Canada      3.7   
Belgium      3.5   
Switzerland      3.1   
Finland      2.8   
Denmark      2.6   
Czech Republic      2.5   
Hong Kong      2.4   
Australia      1.9   
Israel      1.8   
Norway      1.6   
New Zealand      1.1   
Others (each less than 1.0%)      0.9   
Short-Term Investment      1.9   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         19   


Table of Contents

JPMorgan International Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 28, 2011               

With Sales Charge*

          (8.67 )%         4.61        2.37

Without Sales Charge

          (3.60 )        5.74          3.35  

CLASS C SHARES

   February 28, 2011               

With CDSC**

          (5.02 )        5.22          2.83  

Without CDSC

          (4.02 )        5.22          2.83  

CLASS R2 SHARES

   February 28, 2011        (3.84 )        5.48          3.08  

CLASS R5 SHARES

   February 28, 2011        (3.14 )        6.22          3.80  

CLASS R6 SHARES

   January 30, 2015        (3.09 )        6.22          3.81  

SELECT CLASS SHARES

   February 28, 2011        (3.31 )        6.03          3.63  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/11 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2011.

Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan International Equity Income Fund, the MSCI EAFE Index and the Lipper International Equity Income Funds Index from February 28, 2011 to October 31, 2016. Return information prior to July 31, 2013 for the Lipper International Equity Income Funds Index is not provided by Lipper, Inc. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do

not benefit from double taxation treaties. The performance of the Lipper International Equity Income Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Equity Income Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
20       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this

information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         21   


Table of Contents

JPMorgan International Opportunities Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      (4.69)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)      (3.23)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 2,769,870   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Opportunities Fund (the “Fund”) seeks to provide high total return from a portfolio of equity securities of foreign companies in developed and, to a lesser extent, emerging markets.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s underweight position and security selection in the basic industries sector and security selection in the health care sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the banks sector and its overweight position in the technology semiconductors sector were leading contributors to relative performance.

By region, the Fund’s security selection and overweight position in the U.K. and its underweight position in the Pacific region, excluding Japan, were leading detractors from relative performance. The Fund’s security selection in continental Europe made a positive contribution to relative performance.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Dixons Carphone PLC, Associated British Foods PLC and Taylor Wimpey PLC. Shares of Dixons Carphone, a U.K. retailer of telecommunications services, Associated British Foods, owner of the Primark chain of supermarkets, and Taylor Wimpey, a U.K. homebuilder, all declined as U.K.’s vote to exit the European Union led to a

decline in the pound’s value and raised investor concerns about the U.K. economy.

Leading individual contributors to relative performance included the Fund’s overweight positions in Keyence Corp., Daikin Industries Ltd. and Adidas AG. Shares of both Keyence, a Japanese maker of sensors used in factory automation equipment, and Daikin Industries, a Japanese maker of air conditioners, rose on continued strength in operating profits at both companies. Shares of Adidas, a German maker of athletic apparel, rose after the company reported better-than-expected earnings and raised its earnings and sales forecasts several times during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to security selection, seeking to identify what they believed were the most attractive investment opportunities within each sector. The Fund’s portfolio managers looked for securities that they believed possessed an attractive valuation signal (as measured by a proprietary dividend discount model) and a timely catalyst that would enable the security to realize its inherent value. In addition, the Fund employed futures and currency forwards to help manage cash flows and the Fund’s currency exposure.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
22       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Royal Dutch Shell plc, Class A (Netherlands)      2.8
  2.       Roche Holding AG (Switzerland)      2.4   
  3.       British American Tobacco plc (United Kingdom)      2.1   
  4.       Anheuser-Busch InBev S.A./N.V. (Belgium)      2.1   
  5.       Siemens AG (Germany)      1.9   
  6.       GlaxoSmithKline plc (United Kingdom)      1.8   
  7.       Australia & New Zealand Banking Group Ltd. (Australia)      1.6   
  8.       Mitsubishi UFJ Financial Group, Inc. (Japan)      1.6   
  9.       Yamato Holdings Co., Ltd. (Japan)      1.6   
  10.       ORIX Corp. (Japan)      1.6   

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      25.8
United Kingdom      15.5   
France      12.3   
Germany      9.7   
Netherlands      5.8   
Switzerland      5.6   
Australia      3.7   
Italy      3.6   
Denmark      3.4   
Hong Kong      2.2   
Belgium      2.1   
Norway      1.6   
United States      1.5   
Finland      1.4   
Sweden      1.2   
India      1.1   
Others (each less than 1.0%)      0.9   
Short-Term Investment      2.6   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         23   


Table of Contents

JPMorgan International Opportunities Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   September 10, 2001               

With Sales Charge*

          (9.68 )%         3.37        0.37

Without Sales Charge

          (4.69        4.49           0.91   

CLASS C SHARES

   July 31, 2007               

With CDSC**

          (6.26        3.95           0.40   

Without CDSC

          (5.26        3.95           0.40   

CLASS R6 SHARES

   November 30, 2010        (4.09        5.07           1.42   

INSTITUTIONAL CLASS SHARES

   February 26, 1997        (4.25        4.96           1.36   

SELECT CLASS SHARES

   September 10, 2001        (4.40        4.78           1.17   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class C Shares prior to its inception date are based on the performance of Class B Shares, all of which converted to Class A Shares on June 19, 2015. The actual returns of Class C Shares would have been similar to those shown because Class C Shares had similar expenses to Class B Shares.

Returns for Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class A Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan International Opportunities Fund, the MSCI EAFE Index and the Lipper International Large-Cap Core Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The

performance of the Lipper International Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
24       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Research Enhanced Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (2.72)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)      (3.23)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,335,211   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Research Enhanced Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the industrial cyclical and basic industries sectors was a leading positive contributor to relative performance. The Fund’s security selection in the banks and finance sector and the transportation services and consumer cyclical sector was a leading detractor from relative performance.

By region, the Fund’s security selection in Japan and continental Europe made a positive contribution to relative performance, while the Fund’s underweight allocation to the Pacific, excluding Japan, detracted from relative performance.

Due to the Fund holding a relatively large number of securities during the period, the impact of individual holdings on the Fund’s relative performance tended to be small.

HOW WAS THE FUND POSITIONED?

The Fund sought to outperform the Benchmark over time, while seeking to achieve sector, geographic and risk characteristics similar to that of the Benchmark. Using the fundamental equity insights generated by analysts, the Fund’s portfolio managers took a marginally overweight position in securities included within the universe of the Benchmark that they considered undervalued, while marginally underweighting or not holding securities in the Benchmark that they considered overvalued.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Nestle S.A. (Switzerland)      2.6
  2.       Roche Holding AG (Switzerland)      1.8   
  3.       British American Tobacco plc (United Kingdom)      1.5   
  4.       HSBC Holdings plc (United Kingdom)      1.4   
  5.       Toyota Motor Corp. (Japan)      1.4   
  6.       Siemens AG (Germany)      1.3   
  7.       SAP SE (Germany)      1.3   
  8.       Bayer AG (Germany)      1.2   
  9.       Royal Dutch Shell plc, Class B (Netherlands)      1.2   
  10.       GlaxoSmithKline plc (United Kingdom)      1.2   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      23.1
United Kingdom      15.4   
France      10.5   
Germany      10.1   
Switzerland      9.6   
Australia      6.4   
Netherlands      6.1   
Hong Kong      2.8   
Italy      2.4   
Spain      2.1   
Finland      2.0   
Sweden      1.2   
Belgium      1.0   
Others (each less than 1.0%)      4.8   
Short-Term Investment      2.5   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         25   


Table of Contents

JPMorgan International Research Enhanced Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   April 23, 1993               

With Sales Charge*

          (8.06 )%         3.86        0.21

Without Sales Charge

          (2.94        4.99           0.75   

CLASS C SHARES

   November 4, 1997               

With CDSC**

          (4.41        4.40           0.12   

Without CDSC

          (3.41        4.40           0.12   

CLASS R2 SHARES

   November 3, 2008        (3.22        4.73           0.50   

SELECT CLASS SHARES

   October 28, 1992        (2.72        5.25           1.00   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to its inception date are based on the performance of Select Class Shares. Class R2 Shares performance has been adjusted to reflect the difference in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan International Research Enhanced Equity Fund, the MSCI EAFE Index and the Lipper International Multi-Cap Core Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Multi-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside of the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

 

 

 
26       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Unconstrained Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (1.47)%   
Morgan Stanley Capital International (“MSCI”) All Country World Index, Ex-U.S. (net of foreign withholding taxes)      0.22%   
Net Assets as of 10/31/2016 (In Thousands)    $ 109,775   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Unconstrained Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the financials sector and its security selection and overweight position in the health care sector were leading detractors from performance relative to the Benchmark. The Fund’s overweight position in the information technology sector and its security selection in the materials sectors were leading contributors to relative performance.

By region, the Fund’s security selection and overweight position in Continental Europe and its underweight position and security selection in the Pacific, excluding Japan, were leading detractors from performance relative to the Benchmark. The Fund’s security selection in Japan contributed to relative performance.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Nokia Corp., Teva Pharmaceutical Industrial Ltd. and Barclays PLC. Shares of Nokia, a Finnish telecommunications provider, declined as weakness in the wireless network market hurt the company’s earnings. Shares of Teva Pharmaceutical, an Israel-based maker of generic and specialty drugs, fell amid investor

concerns about pricing pressure on generic drugs and the loss of a patent on a key drug. Shares of Barclays, a U.K. financial services company, fell amid investor concerns that continued low interest rates and the U.K.’s exit from the European Union would undermine earnings.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Arm Holdings PLC, LafargeHolcim Ltd. and Covestro AG. Shares of Arm Holdings, a U.K. semiconductor designer, rose on news of a takeover bid from Softbank Inc. Shares of LafargeHolcim, a construction materials maker based in Switzerland, rose on investor expectations for a rebound in global demand for cement and other materials. Shares of Covestro, a German maker of advanced materials, rose following its spin-off from Bayer AG.

HOW WAS THE FUND POSITIONED?

By harnessing their team’s global sector specialists, the Fund’s portfolio managers sought to build a high-conviction, benchmark-agnostic portfolio of growth, value and unique companies, whose future prospects, the managers believed, were under-appreciated by the market and thus possessed the potential to deliver higher-than-expected earnings that could have a positive effect on the share price.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         27   


Table of Contents

JPMorgan International Unconstrained Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       LafargeHolcim Ltd. (Switzerland)      4.2
  2.       Rio Tinto plc (United Kingdom)      3.4   
  3.       Alimentation Couche-Tard, Inc., Class B (Canada)      3.1   
  4.       Baidu, Inc., ADR (China)      2.9   
  5.       Altice N.V., Class A (Netherlands)      2.9   
  6.       CNOOC Ltd. (China)      2.9   
  7.       Teva Pharmaceutical Industries Ltd., ADR (Israel)      2.8   
  8.       Vodafone Group plc (United Kingdom)      2.7   
  9.       NN Group N.V. (Netherlands)      2.7   
  10.       Cie Financiere Richemont S.A. (Switzerland)      2.6   

PORTFOLIO COMPOSITION BY COUNTRY***

 
United Kingdom      17.8
Switzerland      12.0   
Netherlands      10.5   
China      10.0   
Hong Kong      8.5   
Japan      7.6   
Canada      4.5   
Finland      3.9   
Germany      3.5   
Israel      2.8   
Belgium      2.6   
India      2.2   
Taiwan      2.0   
France      2.0   
Denmark      2.0   
United States      1.7   
South Africa      1.7   
South Korea      1.5   
Italy      1.3   
Short-Term Investment      1.9   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
28       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   November 30, 2011               

With Sales Charge*

          (6.98 )%         (2.23 )%         5.74

Without Sales Charge

          (1.80        (0.46        6.90   

CLASS C SHARES

   November 30, 2011               

With CDSC**

          (3.28        (0.96        6.36   

Without CDSC

          (2.28        (0.96        6.36   

CLASS R2 SHARES

   November 30, 2011        (2.05        (0.72        6.63   

CLASS R5 SHARES

   November 30, 2011        (1.38        (0.01        7.38   

CLASS R6 SHARES

   November 30, 2011        (1.29        0.05           7.44   

SELECT CLASS SHARES

   November 30, 2011        (1.47        (0.15        7.20   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (11/30/11 To 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on November 30, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan International Unconstrained Equity Fund, the MSCI All Country World Index, ex-U.S. and the Lipper International Large-Cap Growth Funds Index from November 30, 2011 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index, ex-U.S. does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Large-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI All Country World Index, ex-U.S. is a free float-adjusted market capitalization weighted index that is designed to measure the equity market

performance of developed and emerging markets, excluding the United States. The Lipper International Large-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Subsequent to the inception date of the Fund and through May 30, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         29   


Table of Contents

JPMorgan International Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Institutional Class Shares1)*      (4.63)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Value Index (net of foreign withholding taxes)      (3.35)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,308,220   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Value Fund (the “Fund”) seeks to provide high total return from a portfolio of foreign company equity securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares underperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the health care and insurance sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the retail sector and its overweight position in the technology-semiconductors sector were leading contributors to relative performance.

By region, the Fund’s underweight position in the Pacific, excluding Japan, and its security selection in the U.K. and Japan were leading detractors from performance relative to the Benchmark. The Fund’s out-of-Benchmark holdings in both emerging markets and Canada were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Teva Pharmaceutical Industries Ltd., Prudential PLC and Telecom Italia Spa. Shares of Teva Pharmaceutical, a drug maker not held in the Benchmark, fell amid investor concerns about pressure on generic drug prices and the loss of a key drug patent. Shares of Prudential, an insurance and financial services provider not held in the Benchmark, fell amid the continued low interest rate environment and investor concerns about the impact of the U.K.’s planned exit from the European Union. Shares of Telecom Italia, a telecommunications provider in Italy, fell on investor concerns about increased competition in the Italian telecommunications market.

 

Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Nippon Telegraph and Telephone Corp., Daikin Industries Ltd. and Suzuki Motor Corp. Shares of Nippon Telegraph and Telephone, a telecommunications provider in Japan, rose as the company continued to return capital to shareholders via dividends and share repurchases. Shares of Daikin, a Japanese manufacturer of air conditioners that was not held in the Benchmark, rose as sales growth in emerging markets and an expanding presence in the U.S. boosted earnings. Shares of Suzuki Motor, an auto manufacturer not held in the Benchmark, rose amid continued growth in India and on news that the company was cleared of wrongdoing in a probe of fuel-efficiency measurement methods.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to security selection, seeking to identify what they believed were the most attractive value investment opportunities within each sector. The Fund’s portfolio managers looked for securities that they believed possessed an attractive valuation signal (as measured by a proprietary dividend discount model) and a timely catalyst that would enable the securities to realize their inherent value. In addition, the Fund employed futures and currency forwards to help manage cash flows and currency exposure.

 

1   

Effective December 1, 2016, the Fund’s Institutional Class was renamed Class L.

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
30       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
TOP TEN HOLDINGS OF THE PORTFOLIO***  
  1.       TOTAL S.A (France)      3.5
  2.       Royal Dutch Shell plc, Class A (Netherlands)      3.4   
  3.       Australia & New Zealand Banking Group Ltd. (Australia)      3.0   
  4.       Mitsubishi UFJ Financial Group, Inc. (Japan)      2.7   
  5.       Siemens AG (Germany)      2.5   
  6.       BNP Paribas S.A (France)      2.5   
  7.       Vodafone Group plc (United Kingdom)      2.1   
  8.       AXA S.A (France)      2.1   
  9.       ING Groep N.V (Netherlands)      2.0   
  10.       Zurich Insurance Group AG (Switzerland)      2.0   

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      23.6
France      15.7  
United Kingdom      13.2  
Germany      7.9  
Netherlands      7.1  
Switzerland      4.6  
Australia      4.0  
Italy      3.7  
Finland      2.3  
Belgium      2.0  
Hong Kong      2.0  
Sweden      1.9  
Israel      1.4  
Norway      1.2  
United States      1.2  
Spain      1.2  
Luxembourg      1.1  
China      1.0  
South Korea      1.0  
Others (each less than 1.0%)      2.6   
Short-Term Investment      1.3   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         31   


Table of Contents

JPMorgan International Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   September 28, 2001               

With Sales Charge*

          (9.99 )%         1.65        (0.74 )% 

Without Sales Charge

          (5.01        2.76           (0.21

CLASS C SHARES

   July 11, 2006               

With CDSC**

          (6.54        2.26           (0.71

Without CDSC

          (5.54        2.26           (0.71

CLASS R2 SHARES

   November 3, 2008        (5.28        2.51           (0.41

CLASS R5 SHARES

   September 9, 2016        (4.56        3.20           0.20   

CLASS R6 SHARES

   November 30, 2010        (4.45        3.31           0.27   

INSTITUTIONAL CLASS SHARES

   November 4, 1993        (4.63        3.19           0.20   

SELECT CLASS SHARES

   September 10, 2001        (4.74        3.05           0.05   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of R2 Shares would have been lower than those shown because R2 Shares have higher expenses than Class A Shares.

Returns for Class R5 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R5 shares would have been different than those shown because Class R5 Shares have different expenses than Institutional Class Shares.

Returns for Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Institutional Class Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan International Value Fund, the MSCI EAFE Value Index and the Lipper International Large-Cap Value Funds Average from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested

after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Large-Cap Value Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Value Index is a free float-adjusted market capitalization weighted index that is designed to measure the performance of value-oriented stocks in the world’s equity markets, excluding the U.S. and Canada. Investors cannot invest directly in an index. The Lipper International Large-Cap Value Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc.

Institutional Class Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
32       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Intrepid International Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      (3.07)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)      (3.23)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 2,694,314   

 

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid International Fund (the “Fund”) seeks to maximize long-term capital growth by investing primarily in equity securities in developed markets outside the U.S.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016. The Fund’s portfolio managers attempted to construct the Fund so that security selection and style factors (i.e., growth, value and quality characteristics) would be the primary drivers of returns.

The Fund’s security selection in the consumer discretionary and financials sectors was a leading contributor to performance relative to the Benchmark for the twelve month period. The Fund’s security selection in the information technology and health care sectors was a leading detractor from relative performance.

The Fund targeted investments in companies that exhibited specific growth, value and quality characteristics during the period. The Fund held a range of 150 to 250 securities during the period. Consequently, the impact of any individual security on the Fund’s overall performance tended to be small.

HOW WAS THE FUND POSITIONED?

The Fund’s strategy was rooted in the notion that investor behavior is influenced by human emotion. This influence is believed to give rise to persistent growth, value and quality anomalies within the market. During the reporting period, the Fund’s portfolio managers sought to exploit these anomalies by utilizing a series of style screens designed to identify securities with attractive growth, value and/or quality characteristics.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         33   


Table of Contents

JPMorgan Intrepid International Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Royal Dutch Shell plc, Class B (Netherlands)      2.0
  2.       Roche Holding AG (Switzerland)      1.7   
  3.       Nestle S.A. (Switzerland)      1.5   
  4.       British American Tobacco plc (United Kingdom)      1.3   
  5.       Unilever N.V., CVA (United Kingdom)      1.3   
  6.       TOTAL S.A. (France)      1.2   
  7.       BP plc (United Kingdom)      1.2   
  8.       BHP Billiton Ltd. (Australia)      1.0   
  9.       Novartis AG (Switzerland)      1.0   
  10.       Siemens AG (Germany)      1.0   

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      24.0
United Kingdom      15.4   
France      11.3   
Switzerland      8.5   
Germany      8.0   
Australia      6.7   
Netherlands      4.2   
Hong Kong      3.4   
Sweden      2.7   
Denmark      2.3   
Spain      2.1   
Italy      1.3   
Norway      1.1   
Belgium      1.0   
United States      1.0   
Others (each less than 1.0%)      4.9   
Short-Term Investment      2.1   

 

***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
34       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   April 30, 2001               

With Sales Charge*

          (8.15 )%         4.03        (0.01 )% 

Without Sales Charge

          (3.07        5.16           0.53   

CLASS C SHARES

   February 28, 2006               

With CDSC**

          (4.56        4.63           0.03   

Without CDSC

          (3.56        4.63           0.03   

CLASS R2 SHARES

   November 3, 2008        (3.36        4.88           0.33   

CLASS R6 SHARES

   May 29, 2015        (2.59        5.69           1.04   

INSTITUTIONAL CLASS SHARES

   April 30, 2001        (2.67        5.66           1.02   

SELECT CLASS SHARES

   February 28, 2006        (2.73        5.46           0.80   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of R6 Shares would have been different than those shown because R6 Shares have different expenses than Class A Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Intrepid International Fund, the MSCI EAFE Index and the Lipper International Multi-Cap Core Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation

treaties. The performance of the Lipper International Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Multi-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         35   


Table of Contents

JPMorgan Emerging Economies Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.3%

  

  

Brazil — 4.3%

  

  2,216      

Banco do Brasil S.A. (a)

    20,373   
  1,054      

Cia de Saneamento Basico do Estado de Sao Paulo, ADR (a)

    11,092   
  2,148      

EDP — Energias do Brasil S.A.

    10,291   
  2,484      

Marfrig Global Foods S.A. (a)

    4,412   
  2,406      

MRV Engenharia e Participacoes S.A.

    9,271   
  808      

Qualicorp S.A.

    5,224   
  2,386      

Vale S.A., ADR (a)

    16,510   
    

 

 

 
       77,173   
    

 

 

 
  

Chile — 0.5%

  

  2,823      

Cencosud S.A.

    9,202   
    

 

 

 
  

China — 21.6%

  

  1,603      

AAC Technologies Holdings, Inc.

    15,269   
  216      

Alibaba Group Holding Ltd., ADR (a)

    21,932   
  6,116      

Anhui Conch Cement Co., Ltd., Class H

    16,903   
  50,174      

Bank of China Ltd., Class H

    22,484   
  6,365      

BYD Electronic International Co., Ltd.

    5,008   
  17,899      

China CITIC Bank Corp., Ltd., Class H

    11,544   
  10,733      

China Everbright Bank Co., Ltd., Class H

    4,893   
  6,885      

China Lesso Group Holdings Ltd.

    5,040   
  4,874      

China Mengniu Dairy Co., Ltd.

    9,207   
  8,328      

China Merchants Bank Co., Ltd., Class H

    20,252   
  8,814      

China Shenhua Energy Co., Ltd., Class H

    18,272   
  5,567      

China Vanke Co., Ltd., Class H

    14,530   
  506      

Chlitina Holding Ltd.

    2,215   
  8,500      

CSPC Pharmaceutical Group Ltd.

    8,801   
  13,350      

Geely Automobile Holdings Ltd.

    13,736   
  8,414      

Guangzhou Automobile Group Co., Ltd., Class H

    10,161   
  10,732      

Huadian Power International Corp., Ltd., Class H

    4,600   
  162      

Huaneng Power International, Inc., Class H

    7,364   
  11,980      

Huaneng Power International, Inc., Class H

    99   
  9,397      

Industrial & Commercial Bank of China Ltd., Class H

    5,644   
  57,463      

Industrial & Commercial Bank of China Ltd., Class H

    34,491   
  103      

NetEase, Inc., ADR

    26,518   
  137      

New Oriental Education & Technology Group, Inc., ADR (a)

    6,848   
  7,768      

PICC Property & Casualty Co., Ltd., Class H

    12,538   
  2,089      

Shanghai Pharmaceuticals Holding Co., Ltd., Class H

    5,376   
  6,236      

Shenzhen Expressway Co., Ltd., Class H

    6,249   
  785      

Shenzhou International Group Holdings Ltd.

    5,200   
  6,850      

Sinopec Shanghai Petrochemical Co., Ltd., Class H

    3,492   
  3,207      

Sinopharm Group Co., Ltd., Class H

    15,574   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

China — continued

  

  901      

Sunny Optical Technology Group Co., Ltd.

    4,394   
  1,095      

Tencent Holdings Ltd.

    29,025   
  3,174      

TravelSky Technology Ltd., Class H

    6,772   
  11,922      

Xinyi Solar Holdings Ltd. (a)

    4,417   
  5,238      

Zhejiang Expressway Co., Ltd., Class H

    5,484   
    

 

 

 
       384,332   
    

 

 

 
  

Hong Kong — 4.0%

  

  10,160      

China Power International Development Ltd.

    3,695   
  5,256      

China Resources Land Ltd.

    13,054   
  4,038      

COSCO Shipping Ports Ltd.

    4,003   
  1,720      

Kingboard Chemical Holdings Ltd.

    5,084   
  6,501      

Lee & Man Paper Manufacturing Ltd.

    4,885   
  5,963      

Nine Dragons Paper Holdings Ltd.

    4,848   
  3,614      

Shenzhen International Holdings Ltd.

    5,580   
  9,802      

Skyworth Digital Holdings Ltd.

    6,327   
  12,624      

Truly International Holdings Ltd.

    4,937   
  17,006      

WH Group Ltd. (e)

    13,773   
  6,526      

Xinyi Glass Holdings Ltd. (a)

    5,611   
    

 

 

 
       71,797   
    

 

 

 
  

Hungary — 1.4%

  

  135      

MOL Hungarian Oil & Gas plc

    8,628   
  583      

OTP Bank plc

    16,330   
    

 

 

 
       24,958   
    

 

 

 
  

India — 3.2%

  

  1,540      

Bharat Petroleum Corp., Ltd.

    15,465   
  1,106      

HCL Technologies Ltd.

    12,715   
  2,181      

Hindustan Petroleum Corp., Ltd.

    15,284   
  353      

Tata Motors Ltd., ADR

    13,918   
    

 

 

 
       57,382   
    

 

 

 
  

Indonesia — 0.3%

  

  833      

Gudang Garam Tbk PT

    4,333   
    

 

 

 
  

Malaysia — 1.4%

  

  14,521      

AirAsia Bhd

    9,587   
  4,271      

Tenaga Nasional Bhd

    14,600   
    

 

 

 
       24,187   
    

 

 

 
  

Mexico — 2.7%

  

  1,388      

Arca Continental S.A.B. de C.V.

    8,637   
  569      

Coca-Cola Femsa S.A.B. de C.V., Series L

    4,273   
  168      

Fomento Economico Mexicano S.A.B. de C.V., ADR

    16,099   
  455      

Gruma S.A.B. de C.V., Class B

    6,311   
  5,458      

Grupo Mexico S.A.B. de C.V., Series B

    13,447   
    

 

 

 
       48,767   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Poland — 2.7%

  

  561      

Eurocash S.A.

    5,682   
  716      

KGHM Polska Miedz S.A.

    12,999   
  1,122      

Polski Koncern Naftowy Orlen S.A.

    22,223   
  4,855      

Polskie Gornictwo Naftowe i Gazownictwo S.A.

    6,216   
    

 

 

 
       47,120   
    

 

 

 
  

Russia — 9.0%

  

  7,316      

Alrosa PJSC

    10,234   
  380      

LUKOIL PJSC, ADR

    18,494   
  56      

Magnit PJSC

    9,352   
  20,921      

Magnitogorsk Iron & Steel OJSC

    10,512   
  1,139      

MMC Norilsk Nickel PJSC, ADR

    17,181   
  1,742      

Mobile TeleSystems PJSC, ADR

    13,429   
  6,717      

Moscow Exchange MICEX-RTS PJSC

    12,373   
  140      

Ros Agro plc, GDR (e)

    1,827   
  51      

Ros Agro plc, GDR

    669   
  2,912      

Rosneft PJSC, GDR

    15,836   
  2,137      

Sberbank PAO, ADR

    20,260   
  771      

Severstal PJSC, GDR

    10,874   
  326      

Tatneft PJSC, ADR

    10,869   
  252      

X5 Retail Group N.V., GDR (a)

    7,534   
    

 

 

 
       159,444   
    

 

 

 
  

Singapore — 0.6%

  

  366      

Jardine Cycle & Carriage Ltd.

    11,086   
    

 

 

 
  

South Africa — 1.1%

  

  646      

SPAR Group Ltd. (The)

    9,144   
  333      

Tiger Brands Ltd.

    9,494   
    

 

 

 
       18,638   
    

 

 

 
  

South Korea — 18.9%

  

  30      

Amorepacific Corp.

    9,421   
  25      

BGF retail Co., Ltd.

    3,802   
  43      

Com2uSCorp (a)

    3,531   
  25      

Coway Co., Ltd.

    1,968   
  703      

Hana Financial Group, Inc.

    20,100   
  260      

Hankook Tire Co., Ltd.

    12,478   
  78      

Hyosung Corp.

    9,123   
  13      

LG Household & Health Care Ltd.

    9,292   
  481      

LG Uplus Corp.

    4,954   
  45      

Mando Corp.

    10,515   
  74      

NCSoft Corp.

    17,078   
  328      

Partron Co., Ltd.

    2,561   
  85      

POSCO

    17,614   
  23      

Samsung Electronics Co., Ltd.

    32,889   
  435      

Shinhan Financial Group Co., Ltd.

    16,640   
  585      

SK Hynix, Inc.

    20,940   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

South Korea — continued

  

  157      

SK Innovation Co., Ltd.

    20,672   
  202      

S-Oil Corp.

    13,827   
  1,689      

Woori Bank

    18,405   
  73      

Hyundai Heavy Industries Co., Ltd. (a)

    9,220   
  278      

Hyundai Marine & Fire Insurance Co., Ltd.

    8,582   
  70      

Hyundai Mobis Co., Ltd.

    16,660   
  452      

Korea Electric Power Corp.

    19,568   
  185      

KT&G Corp.

    18,262   
  783      

LG Display Co., Ltd.

    18,720   
    

 

 

 
       336,822   
    

 

 

 
  

Taiwan — 11.6%

  

  5,989      

Accton Technology Corp.

    9,564   
  1,340      

Casetek Holdings Ltd.

    4,302   
  1,196      

Catcher Technology Co., Ltd.

    9,362   
  3,543      

Elite Material Co., Ltd.

    9,864   
  2,863      

FLEXium Interconnect, Inc.

    8,142   
  703      

Grape King Bio Ltd.

    5,903   
  6,692      

Hon Hai Precision Industry Co., Ltd.

    18,075   
  8,410      

King Yuan Electronics Co., Ltd.

    7,397   
  179      

Largan Precision Co., Ltd.

    21,118   
  3,721      

Micro-Star International Co., Ltd.

    10,705   
  5,382      

Pegatron Corp.

    14,492   
  3,759      

Powertech Technology, Inc.

    10,725   
  1,555      

Realtek Semiconductor Corp.

    5,267   
  290      

Silicon Motion Technology Corp., ADR

    11,759   
  281      

St. Shine Optical Co., Ltd.

    5,905   
  629      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    19,551   
  2,664      

Tong Yang Industry Co., Ltd.

    6,199   
  7,984      

Uni-President Enterprises Corp.

    15,425   
  2,853      

Win Semiconductors Corp.

    7,923   
  2,012      

Zhen Ding Technology Holding Ltd.

    4,577   
    

 

 

 
       206,255   
    

 

 

 
  

Thailand — 6.3%

  

  19,637      

Charoen Pokphand Foods PCL, NVDR

    17,660   
  5,223      

CP ALL PCL, NVDR

    9,053   
  55,055      

IRPC PCL, NVDR

    7,515   
  3,721      

Kiatnakin Bank PCL, NVDR

    6,214   
  36,137      

Krung Thai Bank PCL, NVDR

    17,748   
  1,887      

PTT PCL, NVDR

    18,578   
  27,353      

Star Petroleum Refining PCL, NVDR

    9,820   
  11,804      

Thai Beverage PCL

    8,183   
  3,695      

Thai Oil PCL, NVDR

    7,381   
  9,159      

Thai Union Group PCL, NVDR

    5,676   
  4,090      

Thanachart Capital PCL, NVDR

    4,612   
    

 

 

 
       112,440   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         37   


Table of Contents

JPMorgan Emerging Economies Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except number of Future contracts)

 

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Turkey — 4.3%

  

  6,747      

Akbank TAS

    18,057   
  1,250      

Arcelik A.S.

    8,261   
  19,246      

Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.

    19,666   
  8,103      

Eregli Demir ve Celik Fabrikalari TAS

    11,018   
  3,722      

Tekfen Holding A.S.

    9,445   
  728      

Tofas Turk Otomobil Fabrikasi A.S.

    5,489   
  3,907      

Turkiye Sise ve Cam Fabrikalari A.S.

    4,110   
  193      

Ulker Biskuvi Sanayi A.S.

    1,197   
    

 

 

 
       77,243   
    

 

 

 
  

United Arab Emirates — 1.4%

  

  10,423      

Aldar Properties PJSC

    7,462   
  9,329      

Emaar Properties PJSC

    17,665   
    

 

 

 
       25,127   
    

 

 

 
  

Total Common Stocks
(Cost $1,591,415)

    1,696,306   
    

 

 

 

 

Preferred Stocks — 1.8%

  

  

Brazil — 1.2%

  

  682      

Braskem S.A., Class A

    6,057   
  559      

Cia Brasileira de Distribuicao

    10,701   
  1,798      

Cia Energetica de Minas Gerais

    5,491   
    

 

 

 
       22,249   
    

 

 

 
  

Russia — 0.6%

  

  23,397      

Surgutneftegas OJSC

    10,609   
    

 

 

 
  

Total Preferred Stocks
(Cost $32,396)

    32,858   
    

 

 

 

 

Short-Term Investment — 2.1%

  

  

Investment Company — 2.1%

  

  36,972      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $36,972)

    36,972   
    

 

 

 
  

Total Investments — 99.2%
(Cost $1,660,783)

    1,766,136   
  

Other Assets in Excess of
Liabilities — 0.8%

    13,576   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,779,712   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     14.6

Oil, Gas & Consumable Fuels

     12.4  

Metals & Mining

     6.8  

Electronic Equipment, Instruments & Components

     6.4  

Semiconductors & Semiconductor Equipment

     5.0  

Food Products

     4.8  

Internet Software & Services

     4.4  

Technology Hardware, Storage & Peripherals

     4.1  

Food & Staples Retailing

     3.7  

Real Estate Management & Development

     3.0  

Auto Components

     2.9  

Electric Utilities

     2.8  

Automobiles

     2.5  

Beverages

     2.1  

Personal Products

     1.5  

Health Care Providers & Services

     1.5  

Household Durables

     1.5  

Tobacco

     1.3  

Transportation Infrastructure

     1.2  

Insurance

     1.2  

Software

     1.2  

Equity Real Estate Investment Trusts (REITs)

     1.1  

IT Services

     1.1  

Chemicals

     1.1  

Construction Materials

     1.0  

Others (each less than 1.0%)

     8.7   

Short-Term Investment

     2.1   
 

 

Futures Contracts                                        
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  508        

Mini MSCI Emerging Markets Index

       12/16/16           USD         $ 22,949         $ (282
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Emerging Markets Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.3%

  

  

Argentina — 0.6%

  

  117      

MercadoLibre, Inc.

    19,667   
    

 

 

 
  

Australia — 0.7%

  

  4,119      

Oil Search Ltd.

    20,646   
    

 

 

 
  

Brazil — 10.0%

  

  5,254      

AMBEV S.A., ADR

    31,000   
  5,009      

BB Seguridade Participacoes S.A.

    50,219   
  4,254      

CCR S.A.

    23,165   
  2,728      

Cielo S.A.

    27,730   
  3,647      

Itau Unibanco Holding S.A. (Preference Shares), ADR

    43,508   
  4,019      

Kroton Educacional S.A.

    20,008   
  4,439      

Lojas Renner S.A.

    37,530   
  846      

Marcopolo S.A. (a)

    663   
  819      

Raia Drogasil S.A. (a)

    18,227   
  2,102      

Ultrapar Participacoes S.A.

    47,798   
  2,451      

WEG S.A.

    13,545   
    

 

 

 
       313,393   
    

 

 

 
  

China — 16.3%

  

  3,047      

AAC Technologies Holdings, Inc.

    29,027   
  748      

Alibaba Group Holding Ltd., ADR (a)

    76,016   
  182      

Baidu, Inc., ADR (a)

    32,166   
  6,281      

Chongqing Changan Automobile Co., Ltd., Class B

    9,577   
  11,331      

CNOOC Ltd.

    14,258   
  1,143      

CNOOC Ltd.

    1,442   
  1,712      

JD.com, Inc., ADR (a)

    44,431   
  7,162      

Ping An Insurance Group Co. of China Ltd., Class H

    37,697   
  4,527      

Shenzhou International Group Holdings Ltd.

    29,985   
  7,535      

Tencent Holdings Ltd.

    199,703   
  1,464      

Tsingtao Brewery Co., Ltd., Class H

    5,841   
  2,071      

Vipshop Holdings Ltd., ADR (a)

    28,315   
    

 

 

 
       508,458   
    

 

 

 
  

Cyprus — 0.2%

  

  1,207      

Globaltrans Investment plc, GDR

    5,856   
    

 

 

 
  

Egypt — 0.3%

  

  2,247      

Commercial International Bank Egypt SAE, GDR

    9,934   
    

 

 

 
  

Hong Kong — 6.4%

  

  18,667      

AIA Group Ltd.

    117,432   
  517      

Jardine Matheson Holdings Ltd.

    31,497   
  11,573      

Sands China Ltd.

    50,223   
    

 

 

 
       199,152   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

India — 20.0%

 
  1,756      

Asian Paints Ltd.

    28,290   
  2,198      

HDFC Bank Ltd.

    48,780   
  903      

HDFC Bank Ltd., ADR

    63,940   
  5,303      

Housing Development Finance Corp., Ltd.

    109,527   
  1,640      

IndusInd Bank Ltd.

    29,382   
  3,681      

Infosys Ltd., ADR

    56,171   
  16,999      

ITC Ltd.

    61,550   
  2,407      

Kotak Mahindra Bank Ltd.

    29,563   
  1,845      

Lupin Ltd.

    41,965   
  2,334      

Tata Consultancy Services Ltd.

    83,586   
  754      

Tata Motors Ltd., ADR

    29,698   
  733      

UltraTech Cement Ltd.

    43,560   
    

 

 

 
       626,012   
    

 

 

 
  

Indonesia — 3.2%

 
  71,609      

Astra International Tbk PT

    45,179   
  28,279      

Bank Central Asia Tbk PT

    33,622   
  23,468      

Bank Rakyat Indonesia Persero Tbk PT

    21,913   
    

 

 

 
       100,714   
    

 

 

 
  

Mexico — 1.1%

 
  3,708      

Infraestructura Energetica Nova S.A.B. de C.V.

    16,417   
  1,583      

Promotora y Operadora de Infraestructura S.A.B. de C.V.

    17,698   
    

 

 

 
       34,115   
    

 

 

 
  

Panama — 1.1%

 
  375      

Copa Holdings S.A., Class A

    34,550   
    

 

 

 
  

Peru — 1.2%

 
  246      

Credicorp Ltd.

    36,520   
    

 

 

 
  

Russia — 5.5%

 
  643      

LUKOIL PJSC, ADR

    31,282   
  306      

Magnit PJSC

    51,382   
  181      

Magnit PJSC, GDR

    7,174   
  35,253      

Sberbank PAO

    82,057   
    

 

 

 
       171,895   
    

 

 

 
  

South Africa — 13.2%

 
  1,755      

Aspen Pharmacare Holdings Ltd.

    38,223   
  4,360      

Bid Corp. Ltd.

    76,558   
  3,907      

Bidvest Group Ltd. (The)

    48,536   
  331      

Capitec Bank Holdings Ltd.

    16,801   
  9,183      

FirstRand Ltd.

    32,927   
  1,738      

Mr Price Group Ltd.

    19,805   
  3,174      

Remgro Ltd.

    52,698   
  9,054      

Sanlam Ltd.

    43,856   
  2,463      

Shoprite Holdings Ltd.

    36,353   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         39   


Table of Contents

JPMorgan Emerging Markets Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

South Africa — continued

 
  7,717      

Woolworths Holdings Ltd.

    44,695   
    

 

 

 
       410,452   
    

 

 

 
  

South Korea — 3.8%

 
  213      

Hyundai Motor Co.

    25,958   
  671      

Kia Motors Corp.

    23,827   
  48      

Samsung Electronics Co., Ltd.

    68,691   
    

 

 

 
       118,476   
    

 

 

 
  

Switzerland — 0.8%

 
  443      

Luxoft Holding, Inc. (a)

    23,468   
    

 

 

 
  

Taiwan — 8.0%

 
  5,761      

Delta Electronics, Inc.

    30,329   
  1,732      

Eclat Textile Co., Ltd.

    19,625   
  239      

Largan Precision Co., Ltd.

    28,196   
  5,095      

President Chain Store Corp.

    38,068   
  4,294      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    133,552   
    

 

 

 
       249,770   
    

 

 

 
  

Thailand — 1.4%

 
  5,060      

Kasikornbank PCL, NVDR

    24,836   
  1,048      

Siam Cement PCL (The)

    15,090   
  284      

Siam Cement PCL (The), NVDR

    4,061   
    

 

 

 
       43,987   
    

 

 

 
  

Turkey — 0.3%

 
  1,022      

Ford Otomotiv Sanayi A.S.

    10,444   
    

 

 

 
  

United States — 1.2%

 
  372      

EPAM Systems, Inc. (a)

    23,928   
  596      

Yum China Holdings, Inc. (a)

    14,442   
    

 

 

 
       38,370   
    

 

 

 
  

Total Common Stocks
(Cost $2,581,130)

    2,975,879   
    

 

 

 

 

Preferred Stocks — 0.7%

  

  

Brazil — 0.7%

 
  1,178      

Itau Unibanco Holding S.A.

    14,199   
  6,706      

Marcopolo S.A.

    6,954   
    

 

 

 
  

Total Preferred Stocks
(Cost $18,886)

    21,153   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Structured Instruments — 1.1%

  

  

China — 1.1%

 
  

Low Exercise Cash Settled Call Warrants — 1.1%

  

  

Chongqing Changan Automobile Co., Ltd.,

 
  2,681      

expiring 02/17/17 (Strike Price $1.00) (issued through UBS AG) (a)

    6,202   
  3,931      

expiring 09/29/17 (Strike Price $0.00) (issued through BNP Paribas) (a)

    9,092   
  3,453      

Hangzhou Robam Appliances Co., Ltd.,
expiring 12/02/16 (Strike Price $0.00) (issued through UBS AG) (a)

    19,191   
    

 

 

 
  

Total Structured Instruments
(Cost $36,423)

    34,485   
    

 

 

 
NUMBER OF
WARRANT
              

 

Warrant — 0.6%

  

  

Saudi Arabia — 0.6%

 
  1,278      

Almarai Co., expiring 07/24/17
(Strike Price $1.00) (a)
(Cost $17,678)

    19,787   
    

 

 

 
SHARES               

 

Short-Term Investment — 2.9%

  

  

Investment Company — 2.9%

 
  91,254      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $91,254)

    91,254   
    

 

 

 
  

Total Investments — 100.6%
(Cost $2,745,371)

    3,142,558   
  

Liabilities in Excess of
Other Assets — (0.6)%

    (17,980
    

 

 

 
  

NET ASSETS — 100.0%

  $ 3,124,578   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     14.8

Internet Software & Services

     10.4  

Insurance

     7.9  

Food & Staples Retailing

     7.2  

IT Services

     6.8  

Automobiles

     4.6  

Semiconductors & Semiconductor Equipment

     4.2  

Oil, Gas & Consumable Fuels

     3.7  

Thrifts & Mortgage Finance

     3.5  

Electronic Equipment, Instruments & Components

     2.8  

Diversified Financial Services

     2.7  

Multiline Retail

     2.6  

Pharmaceuticals

     2.6  
INDUSTRY    PERCENTAGE  

Industrial Conglomerates

     2.5 %

Internet & Direct Marketing Retail

     2.3  

Technology Hardware, Storage & Peripherals

     2.2  

Hotels, Restaurants & Leisure

     2.1  

Construction Materials

     2.0  

Tobacco

     2.0  

Textiles, Apparel & Luxury Goods

     1.6  

Transportation Infrastructure

     1.3  

Beverages

     1.2  

Airlines

     1.1  

Others (each less than 1.0%)

     5.0   

Short-Term Investment

     2.9   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         41   


Table of Contents

JPMorgan Emerging Markets Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 94.9%

 
  

Brazil — 9.9%

  

  58      

AMBEV S.A., ADR

    345   
  17      

Banco Bradesco S.A., ADR (a)

    174   
  6      

Banco do Brasil S.A. (a)

    60   
  33      

BB Seguridade Participacoes S.A.

    327   
  18      

Engie Brasil Energia S.A.

    236   
    

 

 

 
       1,142   
    

 

 

 
  

Chile — 2.8%

  

  14      

Banco Santander Chile, ADR

    325   
    

 

 

 
  

China — 2.4%

  

  88      

Fuyao Glass Industry Group Co., Ltd., Class A

    231   
  16      

Fuyao Glass Industry Group Co., Ltd., Class H (e)

    48   
    

 

 

 
       279   
    

 

 

 
  

Czech Republic — 3.6%

  

  7      

Komercni Banka A.S.

    250   
  47      

Moneta Money Bank A.S., (a) (e)

    165   
    

 

 

 
       415   
    

 

 

 
  

Hong Kong — 11.7%

  

  31      

China Mobile Ltd.

    349   
  158      

China Resources Power Holdings Co., Ltd.

    268   
  11      

Hang Seng Bank Ltd.

    198   
  158      

HKT Trust & HKT Ltd.

    217   
  55      

Sands China Ltd.

    238   
  7      

VTech Holdings Ltd.

    85   
    

 

 

 
       1,355   
    

 

 

 
  

Hungary — 1.8%

  

  7      

OTP Bank plc

    208   
    

 

 

 
  

Indonesia — 1.2%

  

  420      

Telekomunikasi Indonesia Persero Tbk PT

    136   
    

 

 

 
  

Mexico — 4.3%

  

  54      

Bolsa Mexicana de Valores S.A.B. de C.V.

    87   
  49      

Fibra Uno Administracion S.A. de C.V.

    93   
  147      

Kimberly-Clark de Mexico S.A.B. de C.V., Class A

    317   
    

 

 

 
       497   
    

 

 

 
  

Russia — 7.4%

  

  4      

LUKOIL PJSC, ADR

    218   
  6      

MegaFon PJSC, GDR

    54   
  7      

MMC Norilsk Nickel PJSC, ADR

    99   
  10      

Mobile TeleSystems PJSC, ADR

    74   
  139      

Moscow Exchange MICEX-RTS PJSC

    256   
  5      

PhosAgro PJSC, GDR

    62   
  7      

Severstal PJSC, GDR

    96   
    

 

 

 
       859   
    

 

 

 
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

South Africa — 14.4%

  

  36     

AVI Ltd.

    250   
  21     

Barclays Africa Group Ltd.

    241   
  9     

Bid Corp. Ltd.

    162   
  6     

Bidvest Group Ltd. (The)

    71   
  67     

FirstRand Ltd.

    239   
  76     

Life Healthcare Group Holdings Ltd.

    203   
  96     

MMI Holdings Ltd.

    162   
  17     

Vodacom Group Ltd.

    180   
  28     

Woolworths Holdings Ltd.

    162   
   

 

 

 
      1,670   
   

 

 

 
 

South Korea — 6.2%

  

  2     

Kangwon Land, Inc.

    82   
  2     

KT&G Corp.

    244   
  (h)   

Samsung Electronics Co., Ltd.

    223   
  8     

SK Telecom Co., Ltd., ADR

    168   
   

 

 

 
      717   
   

 

 

 
 

Taiwan — 22.8%

  

  16     

Asustek Computer, Inc.

    143   
  81     

Cheng Shin Rubber Industry Co., Ltd.

    165   
  36     

Chicony Electronics Co., Ltd.

    92   
  61     

Delta Electronics, Inc.

    320   
  54     

Far EasTone Telecommunications Co., Ltd.

    127   
  27     

MediaTek, Inc.

    205   
  35     

Novatek Microelectronics Corp.

    131   
  23     

President Chain Store Corp.

    172   
  74     

Quanta Computer, Inc.

    150   
  29     

Siliconware Precision Industries Co., Ltd.

    44   
  68     

Taiwan Mobile Co., Ltd.

    238   
  18     

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    555   
  148     

Vanguard International Semiconductor Corp.

    301   
   

 

 

 
      2,643   
   

 

 

 
 

Thailand — 2.5%

  

  16     

Siam Cement PCL (The)

    235   
  12     

Thai Oil PCL

    23   
  19     

Thai Oil PCL, NVDR

    38   
   

 

 

 
      296   
   

 

 

 
 

Turkey — 2.5%

  

  6     

Eregli Demir ve Celik Fabrikalari TAS

    9   
  25     

Tofas Turk Otomobil Fabrikasi A.S.

    187   
  4     

Tupras Turkiye Petrol Rafinerileri A.S.

    91   
   

 

 

 
      287   
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United Arab Emirates — 1.4%

  

  51      

First Gulf Bank PJSC

    160   
    

 

 

 
  

Total Common Stocks
(Cost $10,588)

    10,989   
    

 

 

 

 

Structured Instruments — 2.0%

  

  

China — 2.0%

  

  

Low Exercise Cash Settled Call Warrants — 2.0%

  

  33      

Midea Group Co., Ltd., expiring 02/17/2017 (Strike Price $1.00) (issued through UBS AG) (a)

    131   
  23      

Midea Group Co., Ltd., expiring 10/13/2017 (Strike Price $0.00) (issued through BNP Paribas) (a)

    93   
    

 

 

 
  

Total Structured Instruments
(Cost $211)

    224   
    

 

 

 
NUMBER OF
WARRANTS
              

 

Warrants — 1.4%

  

  

Saudi Arabia — 1.4%

  

  10      

Al Rajhi Bank, expiring 01/22/18 (Strike Price $1.00) (a)

    154   
  1      

Yanbu National Petrochemical, expiring 07/31/17 (Strike Price $1.00) (a)

    11   
    

 

 

 
  

Total Warrants
(Cost $162)

    165   
    

 

 

 
SHARES               

 

Short-Term Investment — 2.4%

  

  

Investment Company — 2.4%

  

  282      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
0.290% (b) (l)
(Cost $282)

    282   
    

 

 

 
  

Total Investments — 100.7%
(Cost $11,243)

    11,660   
  

Liabilities in Excess of
Other Assets — (0.7)%

    (84
    

 

 

 
  

NET ASSETS — 100.0%

  $ 11,576   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     17.4

Semiconductors & Semiconductor Equipment

     10.6  

Wireless Telecommunication Services

     10.2  

Technology Hardware, Storage & Peripherals

     5.2  

Independent Power & Renewable Electricity Producers

     4.3  

Insurance

     4.2  

Capital Markets

     4.1  

Auto Components

     3.8  

Oil, Gas & Consumable Fuels

     3.2  

Diversified Telecommunication Services

     3.0  

Beverages

     3.0  

Food & Staples Retailing

     2.9  

Hotels, Restaurants & Leisure

     2.7  

Electronic Equipment, Instruments & Components

     2.7  

Household Products

     2.7  

Food Products

     2.1  

Construction Materials

     2.1  

Tobacco

     2.1  

Diversified Financial Services

     2.1  

Metals & Mining

     1.7  

Health Care Providers & Services

     1.7  

Automobiles

     1.6  

Multiline Retail

     1.4  

Others (each less than 1.0%)

     2.8   

Short-Term Investment

     2.4   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         43   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 99.0%

  

  

Australia — 2.7%

  

  119      

AGL Energy Ltd.

    1,737   
  987      

Alumina Ltd.

    1,186   
  299      

Amcor Ltd.

    3,337   
  531      

AMP Ltd.

    1,842   
  306      

APA Group

    1,850   
  60      

Aristocrat Leisure Ltd.

    703   
  19      

ASX Ltd.

    662   
  637      

Aurizon Holdings Ltd.

    2,361   
  683      

Australia & New Zealand Banking Group Ltd.

    14,425   
  61      

Bendigo & Adelaide Bank Ltd.

    516   
  649      

BHP Billiton Ltd.

    11,335   
  459      

BHP Billiton plc

    6,909   
  237      

Boral Ltd.

    1,133   
  297      

Brambles Ltd.

    2,603   
  71      

Caltex Australia Ltd.

    1,649   
  71      

Challenger Ltd.

    579   
  209      

Coca-Cola Amatil Ltd.

    1,513   
  19      

Cochlear Ltd.

    1,805   
  349      

Commonwealth Bank of Australia

    19,443   
  166      

Computershare Ltd.

    1,334   
  23      

Crown Resorts Ltd.

    192   
  92      

CSL Ltd.

    7,005   
  341      

Dexus Property Group

    2,319   
  266      

DUET Group

    482   
  127      

Fortescue Metals Group Ltd.

    534   
  449      

Goodman Group

    2,315   
  211      

GPT Group (The)

    748   
  184      

Incitec Pivot Ltd.

    412   
  352      

Insurance Australia Group Ltd.

    1,473   
  175      

LendLease Group

    1,794   
  72      

Macquarie Group Ltd.

    4,362   
  487      

Medibank Private Ltd.

    953   
  1,368      

Mirvac Group

    2,171   
  521      

National Australia Bank Ltd.

    11,063   
  148      

Newcrest Mining Ltd.

    2,592   
  339      

Oil Search Ltd.

    1,700   
  112      

Orica Ltd.

    1,386   
  267      

Origin Energy Ltd.

    1,078   
  341      

Qantas Airways Ltd.

    793   
  357      

QBE Insurance Group Ltd.

    2,703   
  40      

Ramsay Health Care Ltd.

    2,251   
  25      

REA Group Ltd.

    955   
  317      

Santos Ltd.

    848   
  958      

Scentre Group

    3,065   
  15      

SEEK Ltd.

    162   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

Australia — continued

  

  44     

Sonic Healthcare Ltd.

    690   
  1,438     

South32 Ltd.

    2,806   
  490     

Stockland

    1,646   
  338     

Suncorp Group Ltd.

    3,069   
  319     

Sydney Airport

    1,517   
  341     

Tabcorp Holdings Ltd.

    1,253   
  166     

Tatts Group Ltd.

    511   
  869     

Telstra Corp., Ltd.

    3,286   
  131     

TPG Telecom Ltd.

    751   
  499     

Transurban Group

    3,936   
  110     

Treasury Wine Estates Ltd.

    895   
  1,285     

Vicinity Centres

    2,801   
  215     

Wesfarmers Ltd.

    6,688   
  342     

Westfield Corp.

    2,311   
  675     

Westpac Banking Corp.

    15,608   
  156     

Woodside Petroleum Ltd.

    3,346   
  293     

Woolworths Ltd.

    5,257   
   

 

 

 
      186,649   
   

 

 

 
 

Austria — 0.0% (g)

 
  (h)   

Telekom Austria AG

    (h) 
   

 

 

 
 

Belgium — 0.5%

 
  208     

Anheuser-Busch InBev S.A./N.V.

    23,859   
  166     

KBC Group N.V. (a)

    10,117   
   

 

 

 
      33,976   
   

 

 

 
 

Bermuda — 0.2%

 
  32     

Everest Re Group Ltd.

    6,460   
  150     

XL Group Ltd.

    5,196   
   

 

 

 
      11,656   
   

 

 

 
 

Canada — 3.7%

 
  52     

Agnico-Eagle Mines Ltd.

    2,644   
  33     

Agrium, Inc.

    2,989   
  104     

Alimentation Couche-Tard, Inc., Class B

    5,234   
  85     

ARC Resources Ltd.

    1,435   
  155     

Bank of Montreal

    9,860   
  280     

Bank of Nova Scotia (The)

    15,065   
  275     

Barrick Gold Corp.

    4,847   
  36     

BCE, Inc.

    1,651   
  221     

Brookfield Asset Management, Inc., Class A

    7,732   
  98     

Canadian Imperial Bank of Commerce

    7,342   
  188     

Canadian National Railway Co.

    11,801   
  270     

Canadian Natural Resources Ltd.

    8,577   
  84     

Canadian Pacific Railway Ltd.

    12,041   
  36     

Canadian Pacific Railway Ltd.

    5,137   
  17     

Canadian Tire Corp., Ltd., Class A

    1,670   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

 

Canada — continued

  

  209     

Cenovus Energy, Inc.

    3,013   
  55     

CGI Group, Inc., Class A (a)

    2,602   
  5     

Constellation Software, Inc.

    2,205   
  126     

Crescent Point Energy Corp.

    1,495   
  29     

Dollarama, Inc.

    2,146   
  194     

Enbridge, Inc.

    8,378   
  211     

Encana Corp.

    2,014   
  6     

Fairfax Financial Holdings Ltd.

    2,829   
  69     

Fortis, Inc.

    2,272   
  43     

Franco-Nevada Corp.

    2,787   
  57     

Gildan Activewear, Inc.

    1,460   
  198     

Goldcorp, Inc.

    3,004   
  73     

Great-West Lifeco, Inc.

    1,839   
  73     

Imperial Oil Ltd.

    2,378   
  32     

Intact Financial Corp.

    2,201   
  84     

Inter Pipeline Ltd.

    1,735   
  294     

Kinross Gold Corp. (a)

    1,142   
  56     

Loblaw Cos. Ltd.

    2,761   
  98     

Magna International, Inc.

    4,035   
  52     

Magna International, Inc.

    2,128   
  486     

Manulife Financial Corp.

    7,039   
  59     

Metro, Inc.

    1,834   
  82     

National Bank of Canada

    2,933   
  30     

Open Text Corp.

    1,855   
  93     

Pembina Pipeline Corp.

    2,866   
  207     

Potash Corp. of Saskatchewan, Inc.

    3,362   
  92     

Power Corp. of Canada

    1,982   
  62     

Power Financial Corp.

    1,457   
  54     

Restaurant Brands International, Inc.

    2,407   
  89     

Rogers Communications, Inc., Class B

    3,595   
  336     

Royal Bank of Canada

    20,977   
  63     

Saputo, Inc.

    2,270   
  101     

Shaw Communications, Inc., Class B

    1,993   
  103     

Silver Wheaton Corp.

    2,485   
  37     

SNC-Lavalin Group, Inc.

    1,495   
  152     

Sun Life Financial, Inc.

    5,084   
  383     

Suncor Energy, Inc.

    11,485   
  133     

Teck Resources Ltd., Class B

    2,867   
  423     

Toronto-Dominion Bank (The)

    19,206   
  175     

TransCanada Corp.

    7,913   
   

 

 

 
      255,554   
   

 

 

 
 

China — 0.0% (g)

 
  412     

Yangzijiang Shipbuilding Holdings Ltd.

    220   
   

 

 

 
 

Colombia — 0.0%

 
  (h)   

Pacific Exploration and Production Corp. (a)

      
   

 

 

 
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

Denmark — 0.8%

 
  6     

AP Moller — Maersk A/S, Class B

    9,604   
  104     

Chr Hansen Holding A/S

    6,219   
  241     

Danske Bank A/S

    7,447   
  509     

Novo Nordisk A/S, Class B

    18,140   
  75     

Pandora A/S

    9,701   
  1,274     

TDC A/S (a)

    7,026   
   

 

 

 
      58,137   
   

 

 

 
 

Finland — 0.3%

 
  153     

Cargotec Oyj, Class B

    6,287   
  763     

Nokia OYJ

    3,405   
  (h)   

Nokian Renkaat OYJ

    (h) 
  479     

UPM-Kymmene OYJ

    11,139   
   

 

 

 
      20,831   
   

 

 

 
 

France — 4.1%

 
  183     

Air Liquide S.A.

    18,608   
  110     

Airbus Group SE

    6,504   
  102     

Arkema S.A.

    9,694   
  845     

AXA S.A.

    19,059   
  370     

BNP Paribas S.A.

    21,473   
  176     

Bouygues S.A.

    5,749   
  109     

Capgemini S.A.

    9,007   
  101     

Cie de Saint-Gobain

    4,485   
  133     

Cie Generale des Etablissements Michelin

    14,374   
  32     

Danone S.A.

    2,247   
  101     

Engie S.A.

    1,454   
  45     

Kering

    10,060   
  23     

L’Oreal S.A.

    4,056   
  13     

LVMH Moet Hennessy Louis Vuitton SE

    2,373   
  1,735     

Natixis S.A.

    8,777   
  69     

Nexans S.A. (a)

    3,919   
  112     

Publicis Groupe S.A.

    7,659   
  147     

Renault S.A.

    12,763   
  261     

Sanofi

    20,280   
  251     

Schneider Electric SE

    16,869   
  178     

Societe Generale S.A.

    6,943   
  102     

Sodexo S.A.

    11,860   
  95     

Technip S.A.

    6,275   
  94     

Thales S.A.

    8,870   
  660     

TOTAL S.A.

    31,622   
  6     

Unibail-Rodamco SE

    1,511   
  197     

Vinci S.A.

    14,237   
  194     

Vivendi S.A.

    3,936   
   

 

 

 
      284,664   
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         45   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Germany — 3.4%

 
  95      

adidas AG

    15,678   
  65      

Allianz SE

    10,150   
  191      

BASF SE

    16,877   
  207      

Bayer AG

    20,532   
  38      

Bayerische Motoren Werke AG

    3,313   
  143      

Brenntag AG

    7,635   
  36      

Continental AG

    6,929   
  156      

Daimler AG

    11,101   
  389      

Deutsche Post AG

    12,059   
  642      

Deutsche Telekom AG

    10,468   
  970      

E.ON SE

    7,110   
  153      

Evonik Industries AG

    4,776   
  165      

Fresenius SE & Co. KGaA

    12,159   
  77      

HeidelbergCement AG

    7,295   
  519      

Infineon Technologies AG

    9,329   
  32      

Linde AG

    5,272   
  78      

Merck KGaA

    8,043   
  26      

Muenchener Rueckversicherungs-Gesellschaft AG

    4,997   
  280      

SAP SE

    24,700   
  234      

Siemens AG

    26,610   
  1,335      

Telefonica Deutschland Holding AG

    5,177   
  97      

Uniper SE (a)

    1,291   
    

 

 

 
       231,501   
    

 

 

 
  

Hong Kong — 1.3%

 
  2,496      

AIA Group Ltd.

    15,705   
  53      

ASM Pacific Technology Ltd.

    514   
  85      

Bank of East Asia Ltd. (The)

    343   
  925      

BOC Hong Kong Holdings Ltd.

    3,295   
  572      

Cathay Pacific Airways Ltd.

    753   
  176      

Cheung Kong Infrastructure Holdings Ltd.

    1,440   
  464      

Cheung Kong Property Holdings Ltd.

    3,429   
  650      

CK Hutchison Holdings Ltd.

    8,024   
  446      

CLP Holdings Ltd.

    4,534   
  409      

Galaxy Entertainment Group Ltd.

    1,675   
  153      

Hang Lung Properties Ltd.

    336   
  192      

Hang Seng Bank Ltd.

    3,468   
  350      

Henderson Land Development Co., Ltd.

    2,072   
  322      

HKT Trust & HKT Ltd.

    443   
  1,806      

Hong Kong & China Gas Co., Ltd.

    3,527   
  229      

Hong Kong Exchanges & Clearing Ltd.

    6,041   
  49      

Hongkong Land Holdings Ltd.

    327   
  38      

Jardine Matheson Holdings Ltd.

    2,333   
  342      

Kerry Properties Ltd.

    1,083   
  908      

Li & Fung Ltd.

    446   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Hong Kong — continued

 
  349      

Link REIT

    2,479   
  240      

MTR Corp., Ltd.

    1,328   
  499      

New World Development Co., Ltd.

    620   
  311      

NWS Holdings Ltd.

    550   
  293      

Power Assets Holdings Ltd.

    2,745   
  653      

Sands China Ltd.

    2,835   
  1,068      

Sino Land Co., Ltd.

    1,813   
  330      

Sun Hung Kai Properties Ltd.

    4,914   
  204      

Swire Pacific Ltd., Class A

    2,115   
  99      

Techtronic Industries Co., Ltd.

    370   
  699      

WH Group Ltd. (e)

    566   
  412      

Wharf Holdings Ltd. (The)

    3,089   
  388      

Wheelock & Co., Ltd.

    2,388   
  223      

Yue Yuen Industrial Holdings Ltd.

    847   
    

 

 

 
       86,447   
    

 

 

 
  

Ireland — 0.9%

 
  308      

Accenture plc, Class A

    35,827   
  179      

Allegion plc

    11,403   
  148      

James Hardie Industries plc, CDI

    2,203   
  117      

Medtronic plc (a)

    9,602   
    

 

 

 
       59,035   
    

 

 

 
  

Israel — 0.1%

 
  155      

Teva Pharmaceutical Industries Ltd., ADR

    6,614   
    

 

 

 
  

Italy — 0.7%

 
  382      

Atlantia S.p.A.

    9,354   
  3,031      

Enel S.p.A.

    13,033   
  48      

Eni S.p.A.

    695   
  6,179      

Intesa Sanpaolo S.p.A.

    14,327   
  984      

Snam S.p.A.

    5,186   
  6,576      

Telecom Italia S.p.A. (a)

    5,717   
    

 

 

 
       48,312   
    

 

 

 
  

Japan — 9.3%

 
  27      

AEON Financial Service Co., Ltd.

    474   
  143      

Aeon Mall Co., Ltd.

    2,125   
  193      

Air Water, Inc.

    3,611   
  123      

Ajinomoto Co., Inc.

    2,731   
  61      

Alfresa Holdings Corp.

    1,279   
  295      

Amada Holdings Co., Ltd.

    3,365   
  139      

ANA Holdings, Inc.

    390   
  19      

Asahi Group Holdings Ltd.

    664   
  135      

Asahi Kasei Corp.

    1,217   
  302      

Astellas Pharma, Inc.

    4,488   
  137      

Bandai Namco Holdings, Inc.

    4,092   
  217      

Bridgestone Corp.

    8,110   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

 

Japan — continued

 
  264     

Canon, Inc.

    7,570   
  54     

Casio Computer Co., Ltd.

    749   
  45     

Central Japan Railway Co.

    7,635   
  380     

Chiba Bank Ltd. (The)

    2,350   
  141     

Chubu Electric Power Co., Inc.

    2,079   
  54     

Chugai Pharmaceutical Co., Ltd.

    1,833   
  702     

Concordia Financial Group Ltd.

    3,254   
  67     

Dai Nippon Printing Co., Ltd.

    672   
  165     

Daicel Corp.

    2,175   
  292     

Dai-ichi Life Holdings, Inc.

    4,287   
  91     

Daiichi Sankyo Co., Ltd.

    2,177   
  77     

Daikin Industries Ltd.

    7,417   
  26     

Daito Trust Construction Co., Ltd.

    4,357   
  206     

Daiwa House Industry Co., Ltd.

    5,651   
  65     

DeNA Co., Ltd.

    2,088   
  61     

Denso Corp.

    2,633   
  57     

Dentsu, Inc.

    2,856   
  81     

DIC Corp.

    2,445   
  82     

East Japan Railway Co.

    7,192   
  52     

Eisai Co., Ltd.

    3,288   
  81     

Electric Power Development Co., Ltd.

    1,879   
  32     

FANUC Corp.

    5,895   
  13     

Fast Retailing Co., Ltd.

    4,312   
  471     

Fuji Electric Co., Ltd.

    2,352   
  103     

Fuji Heavy Industries Ltd.

    4,037   
  154     

FUJIFILM Holdings Corp.

    5,834   
  380     

Fujitsu Ltd.

    2,254   
  104     

Hankyu Hanshin Holdings, Inc.

    3,443   
  58     

Hisamitsu Pharmaceutical Co., Inc.

    3,073   
  1,299     

Hitachi Ltd.

    6,925   
  38     

Hokuriku Electric Power Co.

    433   
  406     

Honda Motor Co., Ltd.

    12,151   
  104     

Hoya Corp.

    4,335   
  235     

Hulic Co., Ltd.

    2,241   
  175     

Inpex Corp.

    1,631   
  26     

Isuzu Motors Ltd.

    320   
  530     

ITOCHU Corp.

    6,689   
  70     

Itochu Techno-Solutions Corp.

    1,721   
  77     

J. Front Retailing Co., Ltd.

    1,053   
  96     

Japan Airlines Co., Ltd.

    2,836   
  116     

Japan Exchange Group, Inc.

    1,719   
  (h)   

Japan Prime Realty Investment Corp.

    579   
  (h)   

Japan Real Estate Investment Corp.

    1,842   
  (h)   

Japan Retail Fund Investment Corp.

    1,072   
  298     

Japan Tobacco, Inc.

    11,322   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

 
  161      

JFE Holdings, Inc.

    2,313   
  135      

JSR Corp.

    2,044   
  54      

JTEKT Corp.

    796   
  1,064      

JX Holdings, Inc.

    4,202   
  520      

Kajima Corp.

    3,507   
  296      

Kansai Electric Power Co., Inc. (The) (a)

    2,829   
  91      

Kao Corp.

    4,662   
  706      

Kawasaki Heavy Industries Ltd.

    2,062   
  360      

KDDI Corp.

    10,951   
  67      

Keikyu Corp.

    676   
  259      

Keio Corp.

    2,144   
  78      

Kewpie Corp.

    2,210   
  13      

Keyence Corp.

    9,310   
  326      

Kirin Holdings Co., Ltd.

    5,606   
  205      

Komatsu Ltd.

    4,572   
  148      

Kubota Corp.

    2,386   
  27      

Kurita Water Industries Ltd.

    637   
  19      

Kyocera Corp.

    923   
  198      

Kyowa Hakko Kirin Co., Ltd.

    3,021   
  155      

Kyushu Electric Power Co., Inc.

    1,406   
  7      

Lawson, Inc.

    509   
  96      

M3, Inc.

    2,934   
  59      

Mabuchi Motor Co., Ltd.

    3,401   
  7      

Makita Corp.

    456   
  399      

Marubeni Corp.

    2,095   
  175      

Mazda Motor Corp.

    2,906   
  14      

MEIJI Holdings Co., Ltd.

    1,347   
  58      

Mitsubishi Chemical Holdings Corp.

    380   
  441      

Mitsubishi Corp.

    9,603   
  450      

Mitsubishi Electric Corp.

    6,088   
  127      

Mitsubishi Estate Co., Ltd.

    2,524   
  672      

Mitsubishi Heavy Industries Ltd.

    2,875   
  27      

Mitsubishi Materials Corp.

    771   
  186      

Mitsubishi Tanabe Pharma Corp.

    3,611   
  3,293      

Mitsubishi UFJ Financial Group, Inc.

    16,992   
  617      

Mitsubishi UFJ Lease & Finance Co., Ltd.

    2,985   
  182      

Mitsui & Co., Ltd.

    2,516   
  525      

Mitsui Chemicals, Inc.

    2,585   
  135      

Mitsui Fudosan Co., Ltd.

    3,075   
  271      

Mitsui OSK Lines Ltd.

    678   
  3,641      

Mizuho Financial Group, Inc.

    6,130   
  38      

MS&AD Insurance Group Holdings, Inc.

    1,122   
  26      

Murata Manufacturing Co., Ltd.

    3,561   
  129      

NGK Insulators Ltd.

    2,368   
  136      

NGK Spark Plug Co., Ltd.

    2,695   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         47   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

 

Japan — continued

 
  135     

NH Foods Ltd.

    3,235   
  70     

Nidec Corp.

    6,802   
  26     

Nintendo Co., Ltd.

    6,147   
  (h)   

Nippon Building Fund, Inc.

    1,907   
  135     

Nippon Express Co., Ltd.

    667   
  (h)   

Nippon Prologis REIT, Inc.

    582   
  130     

Nippon Steel & Sumitomo Metal Corp.

    2,576   
  206     

Nippon Telegraph & Telephone Corp.

    9,120   
  603     

Nissan Motor Co., Ltd.

    6,134   
  185     

Nisshin Seifun Group, Inc.

    2,730   
  32     

Nitori Holdings Co., Ltd.

    3,870   
  26     

Nitto Denko Corp.

    1,791   
  791     

Nomura Holdings, Inc.

    3,962   
  1     

Nomura Real Estate Master Fund, Inc.

    1,201   
  214     

NSK Ltd.

    2,380   
  359     

NTT DOCOMO, Inc.

    9,003   
  33     

Obic Co., Ltd.

    1,688   
  90     

Olympus Corp.

    3,215   
  75     

Omron Corp.

    2,882   
  38     

Ono Pharmaceutical Co., Ltd.

    961   
  84     

Oriental Land Co., Ltd.

    4,883   
  460     

ORIX Corp.

    7,281   
  27     

Otsuka Corp.

    1,280   
  135     

Otsuka Holdings Co., Ltd.

    5,917   
  668     

Panasonic Corp.

    6,893   
  194     

Rakuten, Inc.

    2,239   
  19     

Recruit Holdings Co., Ltd.

    759   
  616     

Resona Holdings, Inc.

    2,732   
  19     

Rinnai Corp.

    1,835   
  13     

Ryohin Keikaku Co., Ltd.

    2,755   
  61     

Santen Pharmaceutical Co., Ltd.

    882   
  108     

Sekisui Chemical Co., Ltd.

    1,695   
  86     

Sekisui House Ltd.

    1,414   
  157     

Seven & i Holdings Co., Ltd.

    6,549   
  68     

Shimadzu Corp.

    989   
  19     

Shimamura Co., Ltd.

    2,432   
  13     

Shimano, Inc.

    2,291   
  122     

Shin-Etsu Chemical Co., Ltd.

    9,258   
  65     

Shionogi & Co., Ltd.

    3,196   
  47     

Shiseido Co., Ltd.

    1,215   
  326     

Shizuoka Bank Ltd. (The)

    2,751   
  7     

SMC Corp.

    1,971   
  231     

SoftBank Group Corp.

    14,517   
  31     

Sompo Holdings, Inc.

    1,013   
  326     

Sony Corp.

    10,284   
  27     

Stanley Electric Co., Ltd.

    741   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

 
  66      

Sumitomo Chemical Co., Ltd.

    312   
  358      

Sumitomo Electric Industries Ltd.

    5,282   
  322      

Sumitomo Metal Mining Co., Ltd.

    4,184   
  352      

Sumitomo Mitsui Financial Group, Inc.

    12,215   
  128      

Sumitomo Mitsui Trust Holdings, Inc.

    4,312   
  64      

Sumitomo Realty & Development Co., Ltd.

    1,682   
  32      

Sundrug Co., Ltd.

    2,549   
  34      

Suntory Beverage & Food Ltd.

    1,474   
  33      

Suruga Bank Ltd.

    801   
  84      

Suzuken Co., Ltd.

    2,682   
  175      

Suzuki Motor Corp.

    6,236   
  20      

Sysmex Corp.

    1,400   
  96      

Takeda Pharmaceutical Co., Ltd.

    4,312   
  39      

Terumo Corp.

    1,504   
  61      

Tohoku Electric Power Co., Inc.

    741   
  225      

Tokio Marine Holdings, Inc.

    8,871   
  282      

Tokyo Electric Power Co. Holdings, Inc. (a)

    1,094   
  58      

Tokyo Electron Ltd.

    5,214   
  646      

Tokyo Gas Co., Ltd.

    2,931   
  87      

Tokyo Tatemono Co., Ltd.

    1,110   
  68      

Tokyu Corp.

    509   
  486      

Tokyu Fudosan Holdings Corp.

    2,738   
  387      

Toppan Printing Co., Ltd.

    3,639   
  67      

Toray Industries, Inc.

    624   
  264      

Toshiba Corp. (a)

    956   
  67      

Toyota Industries Corp.

    3,083   
  538      

Toyota Motor Corp.

    31,213   
  27      

Toyota Tsusho Corp.

    635   
  52      

Trend Micro, Inc.

    1,814   
  84      

Unicharm Corp.

    2,002   
  1      

United Urban Investment Corp.

    910   
  52      

West Japan Railway Co.

    3,202   
  582      

Yamada Denki Co., Ltd.

    3,008   
  213      

Yamaha Motor Co., Ltd.

    4,725   
  135      

Yamato Holdings Co., Ltd.

    3,078   
    

 

 

 
       645,333   
    

 

 

 
  

Luxembourg — 0.1%

 
  1,413      

ArcelorMittal (a)

    9,549   
    

 

 

 
  

Netherlands — 2.1%

 
  134      

ASML Holding N.V.

    14,156   
  155      

Heineken Holding N.V.

    11,907   
  39      

Heineken N.V.

    3,199   
  1,328      

ING Groep N.V., CVA

    17,435   
  511      

Koninklijke Ahold Delhaize N.V.

    11,650   
  2,205      

Koninklijke KPN N.V.

    7,189   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Netherlands — continued

 
  317      

Koninklijke Philips N.V.

    9,546   
  342      

NN Group N.V.

    10,316   
  89      

NXP Semiconductors N.V. (a)

    8,862   
  1,290      

Royal Dutch Shell plc, Class A

    32,134   
  763      

Royal Dutch Shell plc, Class B

    19,689   
    

 

 

 
       146,083   
    

 

 

 
  

New Zealand — 0.1%

 
  291      

Auckland International Airport Ltd.

    1,371   
  192      

Contact Energy Ltd.

    652   
  262      

Fletcher Building Ltd.

    1,943   
  102      

Ryman Healthcare Ltd.

    649   
  579      

Spark New Zealand Ltd.

    1,514   
    

 

 

 
       6,129   
    

 

 

 
  

Norway — 0.1%

 
  942      

Norsk Hydro ASA

    4,209   
    

 

 

 
  

Portugal — 0.1%

 
  437      

Galp Energia SGPS S.A.

    5,931   
    

 

 

 
  

Singapore — 0.9%

 
  169      

Ascendas Real Estate Investment Trust

    288   
  207      

Broadcom Ltd.

    35,267   
  335      

CapitaLand Ltd.

    743   
  379      

CapitaLand Mall Trust

    564   
  390      

ComfortDelGro Corp., Ltd.

    711   
  472      

DBS Group Holdings Ltd.

    5,092   
  771      

Genting Singapore plc

    413   
  866      

Global Logistic Properties Ltd.

    1,102   
  2,431      

Hutchison Port Holdings Trust, Class U

    1,080   
  17      

Jardine Cycle & Carriage Ltd.

    506   
  449      

Keppel Corp., Ltd.

    1,699   
  796      

Oversea-Chinese Banking Corp., Ltd.

    4,850   
  79      

Singapore Exchange Ltd.

    404   
  153      

Singapore Press Holdings Ltd.

    410   
  1,756      

Singapore Telecommunications Ltd.

    4,895   
  304      

United Overseas Bank Ltd.

    4,097   
  618      

Wilmar International Ltd.

    1,467   
    

 

 

 
       63,588   
    

 

 

 
  

Spain — 1.0%

 
  762      

Banco Bilbao Vizcaya Argentaria S.A.

    5,485   
  2,488      

Banco Santander S.A.

    12,191   
  10,081      

Bankia S.A.

    8,857   
  1,157      

Distribuidora Internacional de Alimentacion S.A.

    6,178   
  1,691      

Iberdrola S.A.

    11,508   
  386      

Industria de Diseno Textil S.A.

    13,452   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Spain — continued

 
  981      

Telefonica S.A.

    9,969   
    

 

 

 
       67,640   
    

 

 

 
  

Sweden — 0.7%

 
  63      

Assa Abloy AB, Class B

    1,151   
  308      

Electrolux AB, Series B

    7,297   
  1,283      

Nordea Bank AB

    13,483   
  877      

Sandvik AB

    9,965   
  978      

Skandinaviska Enskilda Banken AB, Class A

    9,862   
  602      

Telefonaktiebolaget LM Ericsson, Class B

    2,922   
  1,625      

Telia Co. AB

    6,492   
    

 

 

 
       51,172   
    

 

 

 
  

Switzerland — 3.7%

 
  186      

ABB Ltd. (a)

    3,836   
  58      

Actelion Ltd. (a)

    8,434   
  203      

Chubb Ltd.

    25,795   
  91      

Cie Financiere Richemont S.A.

    5,851   
  266      

Credit Suisse Group AG (a)

    3,712   
  285      

LafargeHolcim Ltd. (a)

    15,223   
  765      

Nestle S.A.

    55,502   
  403      

Novartis AG

    28,574   
  174      

Roche Holding AG

    39,972   
  125      

Swiss Re AG

    11,605   
  10      

Syngenta AG (a)

    3,954   
  342      

TE Connectivity Ltd.

    21,523   
  485      

UBS Group AG

    6,853   
  234      

Wolseley plc

    12,114   
  47      

Zurich Insurance Group AG (a)

    12,357   
    

 

 

 
       255,305   
    

 

 

 
  

United Kingdom — 5.4%

 
  1,196      

3i Group plc

    9,808   
  82      

Anglo American plc (a)

    1,141   
  230      

Associated British Foods plc

    6,924   
  134      

AstraZeneca plc

    7,481   
  508      

BAE Systems plc

    3,368   
  1,804      

Barclays plc

    4,180   
  811      

Barratt Developments plc

    4,499   
  3,201      

BP plc

    18,924   
  560      

British American Tobacco plc

    32,114   
  615      

BT Group plc

    2,822   
  516      

Capita plc

    3,691   
  3,891      

Centrica plc

    10,192   
  325      

Compass Group plc

    5,872   
  179      

Delphi Automotive plc

    11,669   
  281      

Diageo plc

    7,478   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         49   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United Kingdom — continued

 
  1,175      

Dixons Carphone plc

    4,516   
  1,486      

GlaxoSmithKline plc

    29,357   
  2,942      

HSBC Holdings plc

    22,154   
  157      

Imperial Brands plc

    7,578   
  228      

InterContinental Hotels Group plc

    8,846   
  2,866      

ITV plc

    5,974   
  1,249      

Kingfisher plc

    5,516   
  32      

Liberty Global plc, Class A (a)

    1,030   
  120      

Liberty Global plc, Series C (a)

    3,810   
  2,000      

Lloyds Banking Group plc

    1,396   
  182      

London Stock Exchange Group plc

    6,257   
  319      

National Grid plc

    4,146   
  38      

Pentair plc

    2,121   
  243      

Persimmon plc

    5,028   
  1,051      

Prudential plc

    17,145   
  49      

Randgold Resources Ltd.

    4,348   
  188      

Reckitt Benckiser Group plc

    16,803   
  98      

Rio Tinto Ltd.

    4,075   
  357      

Rio Tinto plc

    12,411   
  1,401      

RSA Insurance Group plc

    9,457   
  1,430      

Standard Chartered plc (a)

    12,432   
  499      

Unilever N.V., CVA

    20,866   
  8,225      

Vodafone Group plc

    22,588   
  166      

Whitbread plc

    7,323   
  449      

WPP plc

    9,758   
    

 

 

 
       375,098   
    

 

 

 
  

United States — 56.8%

 
  12      

3M Co.

    2,013   
  553      

Abbott Laboratories

    21,707   
  89      

AbbVie, Inc.

    4,951   
  47      

Activision Blizzard, Inc.

    2,008   
  298      

Adobe Systems, Inc. (a)

    32,007   
  193      

Aetna, Inc.

    20,753   
  161      

Agilent Technologies, Inc.

    7,029   
  116      

Alexion Pharmaceuticals, Inc. (a)

    15,111   
  135      

Allergan plc (a)

    28,209   
  20      

Alliance Data Systems Corp. (a)

    4,118   
  70      

Alphabet, Inc., Class A (a)

    56,303   
  86      

Alphabet, Inc., Class C (a)

    67,357   
  249      

Altria Group, Inc.

    16,433   
  98      

Amazon.com, Inc. (a)

    77,217   
  102      

American Electric Power Co., Inc.

    6,615   
  104      

American Express Co.

    6,906   
  379      

American International Group, Inc.

    23,356   
  38      

American Water Works Co., Inc.

    2,810   
  51      

Amgen, Inc.

    7,226   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

United States — continued

 
  71      

Anadarko Petroleum Corp.

    4,249   
  389      

Analog Devices, Inc.

    24,958   
  40      

Anthem, Inc.

    4,844   
  1,227      

Apple, Inc.

    139,292   
  123      

Archer-Daniels-Midland Co.

    5,378   
  20      

Arrow Electronics, Inc. (a)

    1,221   
  264      

Arthur J. Gallagher & Co.

    12,755   
  1,298      

AT&T, Inc.

    47,754   
  99      

Automatic Data Processing, Inc.

    8,660   
  3      

AutoZone, Inc. (a)

    2,108   
  82      

AvalonBay Communities, Inc.

    14,050   
  3,138      

Bank of America Corp.

    51,774   
  334      

Bank of New York Mellon Corp. (The)

    14,466   
  45      

Becton Dickinson and Co.

    7,474   
  252      

Berkshire Hathaway, Inc., Class B (a)

    36,420   
  222      

Best Buy Co., Inc.

    8,631   
  86      

Biogen, Inc. (a)

    23,981   
  33      

BioMarin Pharmaceutical, Inc. (a)

    2,655   
  57      

BlackRock, Inc.

    19,396   
  33      

Boston Properties, Inc.

    3,940   
  902      

Boston Scientific Corp. (a)

    19,847   
  592      

Bristol-Myers Squibb Co.

    30,162   
  61      

Brixmor Property Group, Inc.

    1,545   
  89      

Cabot Oil & Gas Corp.

    1,869   
  46      

Campbell Soup Co.

    2,485   
  252      

Capital One Financial Corp.

    18,681   
  88      

Carnival Corp.

    4,323   
  53      

Caterpillar, Inc.

    4,423   
  195      

CBS Corp. (Non-Voting), Class B

    11,058   
  286      

Celgene Corp. (a)

    29,221   
  33      

Centene Corp. (a)

    2,087   
  658      

Charles Schwab Corp. (The)

    20,848   
  96      

Charter Communications, Inc., Class A (a)

    23,903   
  316      

Chevron Corp.

    33,109   
  52      

Cigna Corp.

    6,190   
  714      

Cisco Systems, Inc.

    21,919   
  969      

Citigroup, Inc.

    47,625   
  89      

Citizens Financial Group, Inc.

    2,339   
  355      

CMS Energy Corp.

    14,950   
  749      

Coca-Cola Co. (The)

    31,758   
  260      

Cognizant Technology Solutions Corp., Class A (a)

    13,376   
  57      

Colgate-Palmolive Co.

    4,096   
  656      

Comcast Corp., Class A

    40,531   
  108      

Concho Resources, Inc. (a)

    13,690   
  172      

ConocoPhillips

    7,493   
  143      

Constellation Brands, Inc., Class A

    23,843   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United States — continued

 
  181      

Corning, Inc.

    4,110   
  171      

Costco Wholesale Corp.

    25,213   
  262      

Crown Holdings, Inc. (a)

    14,199   
  72      

Cummins, Inc.

    9,188   
  81      

CVS Health Corp.

    6,823   
  354      

D.R. Horton, Inc.

    10,215   
  102      

Danaher Corp.

    8,019   
  53      

Deere & Co.

    4,722   
  3      

Dell Technologies, Inc., — VMware, Inc., Class V (a)

    167   
  241      

Delta Air Lines, Inc.

    10,086   
  96      

Diamondback Energy, Inc. (a)

    8,766   
  264      

Discover Financial Services

    14,846   
  197      

DISH Network Corp., Class A (a)

    11,517   
  120      

Dollar General Corp.

    8,278   
  421      

Dow Chemical Co. (The)

    22,629   
  42      

Dr. Pepper Snapple Group, Inc.

    3,649   
  40      

DTE Energy Co.

    3,847   
  317      

E.I. du Pont de Nemours & Co.

    21,826   
  210      

Eastman Chemical Co.

    15,119   
  329      

Eaton Corp. plc

    20,968   
  240      

Edison International

    17,634   
  20      

Electronic Arts, Inc. (a)

    1,570   
  347      

Eli Lilly & Co.

    25,640   
  283      

EOG Resources, Inc.

    25,568   
  173      

EQT Corp.

    11,393   
  58      

Equifax, Inc.

    7,156   
  26      

Equinix, Inc. REIT

    9,460   
  254      

Exelon Corp.

    8,661   
  43      

Extra Space Storage, Inc.

    3,170   
  875      

Exxon Mobil Corp.

    72,943   
  14      

F5 Networks, Inc. (a)

    1,874   
  616      

Facebook, Inc., Class A (a)

    80,674   
  55      

FedEx Corp.

    9,525   
  313      

Fidelity National Information Services, Inc.

    23,145   
  150      

Fluor Corp.

    7,805   
  31      

Foot Locker, Inc.

    2,060   
  65      

Fortive Corp.

    3,336   
  94      

General Dynamics Corp.

    14,231   
  1,987      

General Electric Co.

    57,820   
  436      

General Motors Co.

    13,783   
  449      

Gilead Sciences, Inc.

    33,078   
  56      

Global Payments, Inc.

    4,068   
  84      

Goldman Sachs Group, Inc. (The)

    15,057   
  184      

Halliburton Co.

    8,460   
  93      

Harman International Industries, Inc.

    7,449   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

United States — continued

 
  334      

Hartford Financial Services Group, Inc. (The)

    14,738   
  133      

HCP, Inc.

    4,556   
  560      

Hewlett Packard Enterprise Co.

    12,576   
  113      

Hilton Worldwide Holdings, Inc.

    2,556   
  40      

Hologic, Inc. (a)

    1,444   
  379      

Home Depot, Inc. (The)

    46,237   
  327      

Honeywell International, Inc.

    35,848   
  922      

HP, Inc.

    13,357   
  86      

Humana, Inc.

    14,681   
  66      

Illumina, Inc. (a)

    8,970   
  31      

Incyte Corp. (a)

    2,684   
  163      

Ingersoll-Rand plc

    10,946   
  412      

Intel Corp.

    14,369   
  61      

Intercontinental Exchange, Inc.

    16,589   
  139      

International Business Machines Corp.

    21,397   
  86      

Jack Henry & Associates, Inc.

    7,000   
  452      

Johnson & Johnson

    52,424   
  1,050      

KeyCorp

    14,832   
  206      

Kimberly-Clark Corp.

    23,613   
  421      

Kimco Realty Corp.

    11,196   
  254      

Kinder Morgan, Inc.

    5,193   
  131      

Kraft Heinz Co. (The)

    11,660   
  389      

Kroger Co. (The)

    12,037   
  59      

L-3 Communications Holdings, Inc.

    8,105   
  29      

Laboratory Corp. of America Holdings (a)

    3,686   
  139      

Lam Research Corp.

    13,485   
  83      

LaSalle Hotel Properties

    1,983   
  40      

Lennox International, Inc.

    5,906   
  48      

Lincoln National Corp.

    2,379   
  444      

Lowe’s Cos., Inc.

    29,581   
  25      

Macerich Co. (The)

    1,762   
  16      

ManpowerGroup, Inc.

    1,213   
  184      

Marathon Petroleum Corp.

    8,000   
  42      

Martin Marietta Materials, Inc.

    7,740   
  366      

Masco Corp.

    11,307   
  93      

Mastercard, Inc., Class A

    10,001   
  41      

McDonald’s Corp.

    4,578   
  47      

McKesson Corp.

    6,016   
  590      

Merck & Co., Inc.

    34,660   
  477      

MetLife, Inc.

    22,385   
  1,874      

Microsoft Corp.

    112,287   
  13      

Mohawk Industries, Inc. (a)

    2,318   
  217      

Molson Coors Brewing Co., Class B

    22,566   
  687      

Mondelez International, Inc., Class A

    30,885   
  95      

Monsanto Co.

    9,529   
  819      

Morgan Stanley

    27,503   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         51   


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United States — continued

 
  393      

Mosaic Co. (The)

    9,247   
  46      

Mylan N.V. (a)

    1,682   
  97      

Newell Brands, Inc.

    4,652   
  110      

Newmont Mining Corp.

    4,067   
  234      

NextEra Energy, Inc.

    29,903   
  211      

NIKE, Inc., Class B

    10,563   
  64      

Northrop Grumman Corp.

    14,569   
  263      

Occidental Petroleum Corp.

    19,202   
  275      

Oracle Corp.

    10,572   
  66      

O’Reilly Automotive, Inc. (a)

    17,479   
  259      

PACCAR, Inc.

    14,212   
  222      

PayPal Holdings, Inc. (a)

    9,256   
  492      

PepsiCo, Inc.

    52,764   
  1,691      

Pfizer, Inc.

    53,621   
  312      

PG&E Corp.

    19,375   
  251      

Philip Morris International, Inc.

    24,177   
  135      

Pioneer Natural Resources Co.

    24,078   
  3      

Priceline Group, Inc. (The) (a)

    3,907   
  484      

Procter & Gamble Co. (The)

    42,048   
  146      

Prologis, Inc.

    7,632   
  91      

Prudential Financial, Inc.

    7,745   
  13      

Public Service Enterprise Group, Inc.

    563   
  367      

PulteGroup, Inc.

    6,832   
  83      

QUALCOMM, Inc.

    5,689   
  43      

Quest Diagnostics, Inc.

    3,485   
  20      

Regency Centers Corp.

    1,436   
  3      

Regeneron Pharmaceuticals, Inc. (a)

    942   
  1,111      

Regions Financial Corp.

    11,900   
  449      

Reynolds American, Inc.

    24,726   
  27      

Robert Half International, Inc.

    1,019   
  146      

Ross Stores, Inc.

    9,140   
  198      

Royal Caribbean Cruises Ltd.

    15,215   
  17      

S&P Global, Inc.

    2,123   
  373      

Schlumberger Ltd.

    29,144   
  166      

Sealed Air Corp.

    7,587   
  155      

Sempra Energy

    16,574   
  33      

Sensata Technologies Holding N.V. (a)

    1,187   
  5      

Sherwin-Williams Co. (The)

    1,300   
  266      

Shire plc

    15,031   
  115      

Simon Property Group, Inc.

    21,328   
  1,214      

Sirius XM Holdings, Inc. (a)

    5,063   
  76      

SL Green Realty Corp.

    7,429   
  76      

Snap-on, Inc.

    11,775   
  633      

Spirit Realty Capital, Inc.

    7,537   
  189      

Stanley Black & Decker, Inc.

    21,532   
  532      

Starbucks Corp.

    28,215   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

United States — continued

 
  87     

State Street Corp.

    6,121   
  274     

STORE Capital Corp.

    7,491   
  60     

Stryker Corp.

    6,967   
  101     

SunTrust Banks, Inc.

    4,589   
  45     

SVB Financial Group (a)

    5,534   
  32     

Synopsys, Inc. (a)

    1,895   
  208     

TD Ameritrade Holding Corp.

    7,119   
  499     

Texas Instruments, Inc.

    35,368   
  66     

Textron, Inc.

    2,655   
  124     

Thermo Fisher Scientific, Inc.

    18,232   
  85     

Thomson Reuters Corp.

    3,345   
  303     

Time Warner, Inc.

    26,981   
  350     

TJX Cos., Inc. (The)

    25,798   
  256     

T-Mobile U.S., Inc. (a)

    12,709   
  26     

TripAdvisor, Inc. (a)

    1,700   
  886     

Twenty-First Century Fox, Inc., Class A

    23,270   
  90     

Twenty-First Century Fox, Inc., Class B

    2,386   
  94     

U.S. Bancorp

    4,209   
  381     

Union Pacific Corp.

    33,612   
  259     

United Continental Holdings, Inc. (a)

    14,551   
  37     

United Parcel Service, Inc., Class B

    4,035   
  227     

United Technologies Corp.

    23,205   
  348     

UnitedHealth Group, Inc.

    49,195   
  199     

Valero Energy Corp.

    11,759   
  159     

Vantiv, Inc., Class A (a)

    9,283   
  (h)   

Veritiv Corp. (a)

    (h) 
  601     

Verizon Communications, Inc.

    28,886   
  144     

Vertex Pharmaceuticals, Inc. (a)

    10,953   
  601     

Visa, Inc., Class A

    49,618   
  35     

Voya Financial, Inc.

    1,059   
  252     

Walgreens Boots Alliance, Inc.

    20,815   
  67     

Wal-Mart Stores, Inc.

    4,671   
  239     

Walt Disney Co. (The)

    22,135   
  70     

WEC Energy Group, Inc.

    4,206   
  1,397     

Wells Fargo & Co.

    64,285   
  76     

Western Union Co. (The)

    1,519   
  158     

WestRock Co.

    7,286   
  60     

Workday, Inc., Class A (a)

    5,161   
  9     

WW Grainger, Inc.

    1,852   
  308     

Xcel Energy, Inc.

    12,791   
  176     

Yum! Brands, Inc.

    15,199   
  21     

Zoetis, Inc.

    996   
   

 

 

 
      3,924,995   
   

 

 

 
 

Total Common Stocks
(Cost $6,292,658)

    6,838,628   
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Preferred Stocks — 0.4%

  

  

Germany — 0.4%

 
  136      

Henkel AG & Co. KGaA

    17,469   
  77      

Volkswagen AG

    10,600   
    

 

 

 
  

Total Preferred Stocks
(Cost $26,909)

    28,069   
    

 

 

 
NUMBER OF
RIGHTS
              

 

Rights — 0.0% (g)

  

  

Spain — 0.0% (g)

 
  2,488      

Banco Santander S.A., expiring 11/02/16 (a)
(Cost $128)

    139   
    

 

 

 
SHARES               

 

Short-Term Investment — 0.3%

  

  

Investment Company — 0.3%

 
  17,326      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $17,326)

    17,326   
    

 

 

 
  

Total Investments — 99.7%
(Cost $6,337,021)

    6,884,162   
  

Other Assets in Excess of
Liabilities — 0.3%

    23,144   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 6,907,306   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     8.6

Pharmaceuticals

     6.4  

Oil, Gas & Consumable Fuels

     6.1  

Insurance

     4.0  

IT Services

     3.2  

Internet Software & Services

     3.0  

Software

     2.9  

Media

     2.9  

Beverages

     2.8  

Capital Markets

     2.7  

Chemicals

     2.6  

Technology Hardware, Storage & Peripherals

     2.6  

Specialty Retail

     2.6  

Semiconductors & Semiconductor Equipment

     2.4  

Biotechnology

     2.3  

Diversified Telecommunication Services

     2.3  

Industrial Conglomerates

     2.1  

Electric Utilities

     2.0  

Equity Real Estate Investment Trusts (REITs)

     2.0  

Food Products

     1.9  

Health Care Providers & Services

     1.9  

Machinery

     1.9  

Automobiles

     1.7  

Hotels, Restaurants & Leisure

     1.7  

Food & Staples Retailing

     1.7  

Tobacco

     1.7  

Household Products

     1.5  

Metals & Mining

     1.4  

Road & Rail

     1.3  

Health Care Equipment & Supplies

     1.3  

Internet & Direct Marketing Retail

     1.2  

Aerospace & Defense

     1.2  

Wireless Telecommunication Services

     1.1  

Household Durables

     1.0  

Electrical Equipment

     1.0  

Others (each less than 1.0%)

     12.7   

Short-Term Investment

     0.3   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         53   


Table of Contents

JPMorgan Global Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 98.6%

  

 

Canada — 1.4%

  

  (h)   

Canadian Pacific Railway Ltd.

    23   
   

 

 

 
 

China — 8.3%

  

  (h)   

Baidu, Inc., ADR (a)

    27   
  (h)   

CNOOC Ltd., ADR

    27   
  1     

JD.com, Inc., ADR (a)

    36   
  6     

Ping An Insurance Group Co. of China Ltd., Class H

    29   
  1     

Vipshop Holdings Ltd., ADR (a)

    20   
   

 

 

 
      139   
   

 

 

 
 

France — 6.4%

  

  (h)   

Airbus Group SE

    25   
  2     

AXA S.A.

    35   
  1     

Sanofi

    48   
   

 

 

 
      108   
   

 

 

 
 

Germany — 2.1%

  

  9     

Telefonica Deutschland Holding AG

    34   
   

 

 

 
 

Hong Kong — 1.1%

  

  16     

China Unicom Hong Kong Ltd.

    19   
   

 

 

 
 

India — 1.0%

  

  2     

ICICI Bank Ltd., ADR

    17   
   

 

 

 
 

Israel — 4.3%

  

  2     

Teva Pharmaceutical Industries Ltd., ADR

    72   
   

 

 

 
 

Italy — 1.0%

  

  1     

Eni S.p.A.

    17   
   

 

 

 
 

Japan — 5.3%

  

  2     

Inpex Corp.

    17   
  1     

Sumitomo Electric Industries Ltd.

    16   
  1     

Sumitomo Mitsui Financial Group, Inc.

    31   
  1     

Suzuki Motor Corp.

    25   
   

 

 

 
      89   
   

 

 

 
 

Luxembourg — 1.1%

  

  3     

ArcelorMittal (a)

    18   
   

 

 

 
 

Netherlands — 3.4%

  

  1     

ASR Nederland N.V. (a)

    23   
  (h)   

NXP Semiconductors N.V. (a)

    33   
   

 

 

 
      56   
   

 

 

 
 

Russia — 1.2%

  

  1     

Magnit PJSC, GDR

    21   
   

 

 

 
 

Singapore — 2.0%

  

  (h)   

Broadcom Ltd.

    33   
   

 

 

 
 

Switzerland — 6.2%

  

  (h)   

Chubb Ltd.

    35   
  (h)   

LafargeHolcim Ltd. (a)

    19   
  (h)   

Novartis AG

    33   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

Switzerland — continued

  

  1     

UBS Group AG

    16   
   

 

 

 
      103   
   

 

 

 
 

United Kingdom — 7.7%

  

  6     

BT Group plc

    28   
  1     

Burberry Group plc

    19   
  10     

ITV plc

    21   
  1     

Liberty Global plc, Class A (a)

    30   
  11     

Vodafone Group plc

    30   
   

 

 

 
      128   
   

 

 

 
 

United States — 46.1%

  

  (h)   

Aetna, Inc.

    14   
  (h)   

Alexion Pharmaceuticals, Inc. (a)

    33   
  (h)   

Allergan plc (a)

    22   
  (h)   

Alphabet, Inc., Class C (a)

    78   
  (h)   

Amazon.com, Inc. (a)

    44   
  1     

CBRE Group, Inc., Class A (a)

    28   
  1     

Citigroup, Inc.

    53   
  (h)   

DISH Network Corp., Class A (a)

    27   
  (h)   

Eastman Chemical Co.

    24   
  (h)   

Gilead Sciences, Inc.

    21   
  (h)   

Harman International Industries, Inc.

    28   
  (h)   

Honeywell International, Inc.

    23   
  (h)   

Humana, Inc.

    22   
  1     

Kroger Co. (The)

    31   
  (h)   

Macy’s, Inc.

    16   
  1     

MetLife, Inc.

    24   
  1     

Morgan Stanley

    31   
  1     

Mosaic Co. (The)

    13   
  1     

Navient Corp.

    13   
  (h)   

Pioneer Natural Resources Co.

    31   
  (h)   

Shire plc, ADR

    31   
  (h)   

SVB Financial Group (a)

    14   
  4     

Time, Inc.

    57   
  2     

Twenty-First Century Fox, Inc., Class A

    53   
  (h)   

United Continental Holdings, Inc. (a)

    24   
  (h)   

Vertex Pharmaceuticals, Inc. (a)

    16   
   

 

 

 
      771   
   

 

 

 
 

Total Common Stocks
(Cost $1,649)

    1,648   
   

 

 

 
 

Total Investments — 98.6%
(Cost $1,649)

    1,648   
 

Other Assets in Excess of
Liabilities — 1.4%

    24   
   

 

 

 
 

NET ASSETS — 100.0%

  $ 1,672   
   

 

 

 

 

Percentages indicated are based on net assets.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Media

     11.4

Pharmaceuticals

     10.6  

Insurance

     8.8  

Banks

     7.0  

Internet Software & Services

     6.4  

Biotechnology

     6.1  

Internet & Direct Marketing Retail

     6.1  

Oil, Gas & Consumable Fuels

     5.6  

Diversified Telecommunication Services

     5.0  

Semiconductors & Semiconductor Equipment

     4.0  

Food & Staples Retailing

     3.2  

Capital Markets

     2.9  

Chemicals

     2.3   

Health Care Providers & Services

     2.2  
INDUSTRY    PERCENTAGE  

Wireless Telecommunication Services

     1.8 %

Household Durables

     1.7  

Real Estate Management & Development

     1.7  

Aerospace & Defense

     1.5  

Automobiles

     1.5  

Airlines

     1.5  

Road & Rail

     1.4  

Industrial Conglomerates

     1.4  

Construction Materials

     1.2  

Textiles, Apparel & Luxury Goods

     1.1  

Metals & Mining

     1.1  

Auto Components

     1.0  

Multiline Retail

     1.0  

Others (each less than 1.0%)

     0.5   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         55   


Table of Contents

JPMorgan International Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.3%

  

  

Australia — 1.3%

 
  1,626      

BHP Billiton Ltd.

    28,405   
  768      

BHP Billiton plc

    11,556   
  1,794      

South32 Ltd.

    3,501   
    

 

 

 
       43,462   
    

 

 

 
  

Belgium — 1.8%

 
  530      

Anheuser-Busch InBev S.A./N.V.

    60,798   
    

 

 

 
  

China — 3.7%

 
  193      

Baidu, Inc., ADR (a)

    34,205   
  31,099      

CNOOC Ltd.

    39,131   
  6,079      

Ping An Insurance Group Co. of China Ltd., Class H

    31,994   
  13,730      

Wynn Macau Ltd.

    21,035   
    

 

 

 
       126,365   
    

 

 

 
  

Denmark — 1.1%

 
  1,014      

Novo Nordisk A/S, Class B

    36,116   
    

 

 

 
  

France — 11.6%

 
  879      

Accor S.A.

    33,342   
  1,889      

AXA S.A.

    42,630   
  361      

BNP Paribas S.A.

    20,938   
  265      

Essilor International S.A.

    29,772   
  305      

Imerys S.A.

    21,205   
  132      

Kering

    29,206   
  228      

LVMH Moet Hennessy Louis Vuitton SE

    41,593   
  282      

Pernod Ricard S.A.

    33,564   
  346      

Safran S.A.

    23,775   
  616      

Sanofi

    47,910   
  757      

Schneider Electric SE

    50,922   
  358      

Technip S.A.

    23,762   
    

 

 

 
       398,619   
    

 

 

 
  

Germany — 6.3%

 
  346      

Allianz SE

    54,033   
  405      

Bayer AG

    40,254   
  227      

Continental AG

    43,560   
  165      

Fresenius Medical Care AG & Co. KGaA

    13,435   
  734      

SAP SE

    64,632   
    

 

 

 
       215,914   
    

 

 

 
  

Hong Kong — 4.7%

 
  5,301      

Cheung Kong Property Holdings Ltd.

    39,189   
  7,872      

China Overseas Land & Investment Ltd.

    24,166   
  4,030      

CK Hutchison Holdings Ltd.

    49,756   
  6,606      

Hang Lung Properties Ltd.

    14,527   
  8,011      

Sands China Ltd.

    34,767   
    

 

 

 
       162,405   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

India — 1.1%

 
  549      

HDFC Bank Ltd., ADR

    38,855   
    

 

 

 
  

Indonesia — 0.8%

 
  43,232      

Astra International Tbk PT

    27,275   
    

 

 

 
  

Israel — 0.9%

 
  699      

Teva Pharmaceutical Industries Ltd., ADR

    29,873   
    

 

 

 
  

Japan — 23.7%

 
  2,767      

Astellas Pharma, Inc.

    41,064   
  328      

Daikin Industries Ltd.

    31,423   
  214      

FANUC Corp.

    39,199   
  1,565      

Honda Motor Co., Ltd.

    46,824   
  3,916      

Inpex Corp.

    36,528   
  1,753      

Japan Tobacco, Inc.

    66,657   
  1,311      

KDDI Corp.

    39,836   
  46      

Keyence Corp.

    33,942   
  1,346      

Komatsu Ltd.

    29,950   
  3,232      

Kubota Corp.

    52,096   
  660      

Makita Corp.

    45,605   
  1,406      

Mitsui Fudosan Co., Ltd.

    32,020   
  415      

Nidec Corp.

    40,194   
  235      

Nitto Denko Corp.

    16,351   
  600      

Shin-Etsu Chemical Co., Ltd.

    45,462   
  187      

SMC Corp.

    54,265   
  1,914      

Sumitomo Mitsui Financial Group, Inc.

    66,369   
  441      

Tokyo Electron Ltd.

    39,771   
  938      

Toyota Motor Corp.

    54,434   
    

 

 

 
       811,990   
    

 

 

 
  

Netherlands — 6.2%

 
  679      

Akzo Nobel N.V.

    43,882   
  371      

ASML Holding N.V.

    39,236   
  3,621      

ING Groep N.V.

    47,536   
  215      

NXP Semiconductors N.V. (a)

    21,528   
  2,453      

Royal Dutch Shell plc, Class A

    61,086   
    

 

 

 
       213,268   
    

 

 

 
  

South Africa — 1.1%

 
  216      

Naspers Ltd., Class N

    36,245   
    

 

 

 
  

South Korea — 2.6%

 
  95      

Hyundai Mobis Co., Ltd.

    22,571   
  95      

Samsung Electronics Co., Ltd. GDR

    66,651   
    

 

 

 
       89,222   
    

 

 

 
  

Switzerland — 10.5%

 
  518      

Cie Financiere Richemont S.A.

    33,304   
  817      

Credit Suisse Group AG (a)

    11,393   
  9,682      

Glencore plc (a)

    29,638   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Switzerland — continued

 
  355      

LafargeHolcim Ltd. (a)

    18,993   
  480      

LafargeHolcim Ltd. (a)

    25,592   
  945      

Novartis AG

    67,072   
  307      

Roche Holding AG

    70,563   
  3,925      

UBS Group AG

    55,490   
  177      

Zurich Insurance Group AG (a)

    46,266   
    

 

 

 
       358,311   
    

 

 

 
  

Taiwan — 1.3%

 
  1,465      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    45,570   
    

 

 

 
  

United Kingdom — 17.9%

 
  761      

Aggreko plc

    7,444   
  7,541      

Barclays plc

    17,472   
  927      

British American Tobacco plc

    53,104   
  2,235      

Burberry Group plc

    40,305   
  9,865      

HSBC Holdings plc

    74,233   
  717      

Imperial Brands plc

    34,676   
  32,579      

Lloyds Banking Group plc

    22,751   
  4,681      

Meggitt plc

    24,903   
  890      

Persimmon plc

    18,433   
  3,572      

Prudential plc

    58,287   
  728      

Rio Tinto Ltd.

    30,118   
  543      

Rio Tinto plc

    18,877   
  4,743      

Standard Chartered plc (a)

    41,243   
  865      

Travis Perkins plc

    14,079   
  1,397      

Tullow Oil plc (a)

    4,511   
  993      

Unilever plc

    41,470   
  24,977      

Vodafone Group plc

    68,595   
  1,917      

WPP plc

    41,635   
    

 

 

 
       612,136   
    

 

 

 
  

United States — 0.7%

 
  441      

Shire plc

    24,900   
    

 

 

 
  

Total Common Stocks
(Cost $3,172,187)

    3,331,324   
    

 

 

 

 

Preferred Stock — 1.2%

  

  

Germany — 1.2%

 
  339      

Henkel AG & Co. KGaA
(Cost $30,396)

    43,587   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 1.1%

  

  

Investment Company — 1.1%

 
  36,620      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $36,620)

    36,620   
    

 

 

 
  

Total Investments — 99.6%
(Cost $3,239,203)

    3,411,531   
  

Other Assets in Excess of
Liabilities — 0.4%

    12,935   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 3,424,466   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Pharmaceuticals

     9.8

Banks

     9.7  

Insurance

     6.8  

Machinery

     6.5  

Tobacco

     4.5  

Semiconductors & Semiconductor Equipment

     4.3  

Textiles, Apparel & Luxury Goods

     4.2  

Oil, Gas & Consumable Fuels

     4.1  

Automobiles

     3.8  

Metals & Mining

     3.6  

Real Estate Management & Development

     3.2  

Wireless Telecommunication Services

     3.2  

Chemicals

     3.1  

Beverages

     2.8  

Electrical Equipment

     2.7  

Hotels, Restaurants & Leisure

     2.6  

Media

     2.3  

Capital Markets

     2.0  

Technology Hardware, Storage & Peripherals

     2.0  

Auto Components

     1.9  

Construction Materials

     1.9  

Software

     1.9  

Industrial Conglomerates

     1.5  

Aerospace & Defense

     1.4  

Household Products

     1.3  

Personal Products

     1.2  

Internet Software & Services

     1.0  

Electronic Equipment, Instruments & Components

     1.0  

Others (each less than 1.0%)

     4.6   

Short-Term Investment

     1.1   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         57   


Table of Contents

JPMorgan International Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.7%

  

  

Australia — 1.9%

 
  490      

Goodman Group

    2,527   
    

 

 

 
  

Belgium — 3.5%

 
  41      

Anheuser-Busch InBev S.A./N.V.

    4,725   
    

 

 

 
  

Canada — 3.7%

 
  83      

Toronto-Dominion Bank (The)

    3,756   
  27      

TransCanada Corp.

    1,221   
    

 

 

 
       4,977   
    

 

 

 
  

China — 0.9%

 
  969      

CNOOC Ltd.

    1,219   
    

 

 

 
  

Czech Republic — 2.5%

 
  969      

Moneta Money Bank A.S. (a) (e)

    3,378   
    

 

 

 
  

Denmark — 2.6%

 
  112      

Danske Bank A/S

    3,467   
    

 

 

 
  

Finland — 2.8%

 
  162      

UPM-Kymmene OYJ

    3,769   
    

 

 

 
  

France — 7.0%

 
  26      

Capgemini S.A.

    2,186   
  30      

Cie Generale des Etablissements Michelin

    3,220   
  7      

Unibail-Rodamco SE

    1,595   
  34      

Vinci S.A.

    2,447   
    

 

 

 
       9,448   
    

 

 

 
  

Germany — 9.1%

 
  9      

Allianz SE

    1,356   
  15      

BASF SE

    1,307   
  28      

Daimler AG

    1,994   
  22      

Deutsche Boerse AG (a)

    1,720   
  78      

Deutsche Telekom AG

    1,269   
  64      

Deutsche Wohnen AG

    2,085   
  22      

Siemens AG

    2,477   
    

 

 

 
       12,208   
    

 

 

 
  

Hong Kong — 2.4%

 
  1,151      

HKT Trust & HKT Ltd.

    1,582   
  370      

Sands China Ltd.

    1,606   
    

 

 

 
       3,188   
    

 

 

 
  

Israel — 1.8%

 
  1,300      

Bezeq The Israeli Telecommunication Corp., Ltd.

    2,361   
    

 

 

 
  

Japan — 8.4%

 
  35      

Bridgestone Corp.

    1,321   
  51      

Daiwa House Industry Co., Ltd.

    1,403   
  33      

Japan Tobacco, Inc.

    1,236   
  60      

Mitsubishi Corp.

    1,312   
  267      

Mitsubishi UFJ Financial Group, Inc., ADR

    1,373   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

 
  58      

Nippon Telegraph & Telephone Corp.

    2,585   
  17      

Toyota Motor Corp., ADR

    1,965   
    

 

 

 
       11,195   
    

 

 

 
  

Netherlands — 9.4%

 
  159      

ING Groep N.V.

    2,093   
  82      

Koninklijke Ahold Delhaize N.V.

    1,866   
  90      

NN Group N.V.

    2,716   
  145      

Royal Dutch Shell plc, Class A

    3,619   
  61      

Wolters Kluwer N.V.

    2,369   
    

 

 

 
       12,663   
    

 

 

 
  

New Zealand — 1.1%

 
  545      

Spark New Zealand Ltd.

    1,427   
    

 

 

 
  

Norway — 1.6%

 
  146      

DNB ASA

    2,113   
    

 

 

 
  

Russia — 6.1%

 
  40      

LUKOIL PJSC, ADR

    1,951   
  216      

MMC Norilsk Nickel PJSC, ADR

    3,252   
  209      

Severstal PJSC, GDR

    2,951   
    

 

 

 
       8,154   
    

 

 

 
  

Switzerland — 3.0%

 
  482      

Glencore plc (a)

    1,476   
  15      

Swiss Re AG

    1,369   
  24      

Wolseley plc

    1,225   
    

 

 

 
       4,070   
    

 

 

 
  

Taiwan — 4.6%

 
  152      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    4,730   
  695      

Vanguard International Semiconductor Corp.

    1,415   
    

 

 

 
       6,145   
    

 

 

 
  

United Kingdom — 25.3%

 
  310      

3i Group plc

    2,544   
  380      

BAE Systems plc

    2,519   
  839      

Booker Group plc

    1,841   
  51      

British American Tobacco plc

    2,910   
  67      

Compass Group plc

    1,219   
  456      

Direct Line Insurance Group plc

    1,927   
  251      

GlaxoSmithKline plc

    4,951   
  85      

HSBC Holdings plc, ADR

    3,190   
  55      

Imperial Brands plc

    2,637   
  37      

InterContinental Hotels Group plc

    1,421   
  808      

ITV plc

    1,684   
  56      

Persimmon plc

    1,157   
  360      

RSA Insurance Group plc

    2,428   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United Kingdom — continued

 
  164      

WPP plc

    3,553   
    

 

 

 
       33,981   
    

 

 

 
  

Total Common Stocks
(Cost $126,706)

    131,015   
    

 

 

 

 

Short-Term Investment — 1.9%

  

  

Investment Company — 1.9%

 
  2,567      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $2,567)

    2,567   
    

 

 

 
  

Total Investments — 99.6%
(Cost $129,273)

    133,582   
  

Other Assets in Excess of
Liabilities — 0.4%

    573   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 134,155   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     14.5

Insurance

     7.3  

Diversified Telecommunication Services

     6.9  

Oil, Gas & Consumable Fuels

     6.0  

Metals & Mining

     5.7  

Tobacco

     5.1  

Semiconductors & Semiconductor Equipment

     4.6  

Media

     3.9  

Pharmaceuticals

     3.7  

Beverages

     3.5  

Auto Components

     3.4  

Capital Markets

     3.2  

Hotels, Restaurants & Leisure

     3.2  

Equity Real Estate Investment Trusts (REITs)

     3.1  

Automobiles

     3.0  

Paper & Forest Products

     2.8  

Food & Staples Retailing

     2.8  

Real Estate Management & Development

     2.6  

Trading Companies & Distributors

     1.9  

Aerospace & Defense

     1.9  

Industrial Conglomerates

     1.9  

Construction & Engineering

     1.8  

Professional Services

     1.8  

IT Services

     1.6  

Chemicals

     1.0  

Others (each less than 1.0%)

     0.9   

Short-Term Investment

     1.9   
 

 

Forward Foreign Currency Exchange Contracts  
CONTRACTS
TO BUY
    CURRENCY      COUNTERPARTY    SETTLEMENT
DATE
     SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  731        GBP                  
  6,929        for HKD      

Societe Generale

     11/18/16       $ 893    $ 895    $ 2   
  12,078        HKD      

Royal Bank of Canada

     11/18/16         1,556         1,557         1   
  29,692        SEK      

Citibank, N.A.

     11/18/16         3,371         3,290         (81
  2,145        SGD      

Australia and New Zealand Banking Group Limited

     11/18/16         1,543         1,542         (1
           $ 7,363       $ 7,284       $ (79

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         59   


Table of Contents

JPMorgan International Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

CONTRACTS
TO SELL
    CURRENCY      COUNTERPARTY    SETTLEMENT
DATE
     SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  5,178        GBP      

Goldman Sachs International

     11/18/16       $ 6,306       $ 6,340       $ (34
  1,272        HKD      

Standard Chartered Bank

     11/18/16         164         164         (h) 
           $ 6,470       $ 6,504       $ (34

 

 

 

 

# For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at October 31, 2016 of the currency being sold, and the value at October 31, 2016 is the U.S. dollar market value of the currency being purchased.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.5%

  

  

Australia — 3.7%

  

  2,140      

Australia & New Zealand Banking Group Ltd.

    45,185   
  6,111      

Goodman Group

    31,500   
  2,795      

Oil Search Ltd.

    14,008   
  1,657      

Westfield Corp.

    11,197   
    

 

 

 
       101,890   
    

 

 

 
  

Belgium — 2.1%

  

  493      

Anheuser-Busch InBev S.A./N.V.

    56,617   
    

 

 

 
  

China — 0.5%

  

  2,970      

ENN Energy Holdings Ltd.

    13,963   
    

 

 

 
  

Denmark — 3.3%

  

  452      

Chr Hansen Holding A/S

    27,099   
  231      

Genmab A/S (a)

    37,967   
  764      

Novo Nordisk A/S, Class B

    27,230   
    

 

 

 
       92,296   
    

 

 

 
  

Finland — 1.4%

  

  1,089      

UPM-Kymmene OYJ

    25,322   
  304      

Wartsila OYJ Abp

    13,158   
    

 

 

 
       38,480   
    

 

 

 
  

France — 12.2%

  

  564      

Airbus Group SE

    33,480   
  1,427      

AXA S.A.

    32,203   
  748      

BNP Paribas S.A.

    43,368   
  414      

Capgemini S.A.

    34,302   
  106      

Kering

    23,552   
  858      

Klepierre

    35,076   
  359      

Renault S.A.

    31,200   
  586      

Technip S.A.

    38,917   
  297      

Thales S.A.

    27,976   
  801      

TOTAL S.A.

    38,390   
    

 

 

 
       338,464   
    

 

 

 
  

Germany — 8.3%

  

  185      

adidas AG

    30,394   
  179      

Bayer AG

    17,780   
  148      

Continental AG

    28,400   
  467      

Daimler AG

    33,310   
  428      

Fresenius SE & Co. KGaA

    31,650   
  2,069      

Infineon Technologies AG

    37,218   
  458      

Siemens AG

    52,017   
    

 

 

 
       230,769   
    

 

 

 
  

Hong Kong — 2.2%

  

  5,986      

China Resources Gas Group Ltd.

    18,770   
  8,474      

China Resources Land Ltd.

    21,045   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Hong Kong — continued

  

  1,785      

CK Hutchison Holdings Ltd.

    22,042   
    

 

 

 
       61,857   
    

 

 

 
  

India — 1.1%

  

  415      

HDFC Bank Ltd., ADR

    29,371   
    

 

 

 
  

Italy — 3.6%

  

  9,201      

Enel S.p.A.

    39,559   
  4,222      

Snam S.p.A.

    22,247   
  43,288      

Telecom Italia S.p.A. (a)

    37,630   
    

 

 

 
       99,436   
    

 

 

 
  

Japan — 25.7%

  

  405      

Daikin Industries Ltd.

    38,821   
  704      

Dentsu, Inc.

    35,094   
  2,280      

DMG Mori Co., Ltd.

    24,181   
  485      

Izumi Co., Ltd.

    22,424   
  893      

Japan Airlines Co., Ltd.

    26,360   
  4,395      

Kajima Corp.

    29,638   
  57      

Keyence Corp.

    41,786   
  1,238      

Mitsubishi Corp.

    26,936   
  8,649      

Mitsubishi UFJ Financial Group, Inc.

    44,625   
  1,680      

Mitsui Fudosan Co., Ltd.

    38,260   
  869      

NH Foods Ltd.

    20,824   
  2,069      

Nippon Steel & Sumitomo Metal Corp.

    40,997   
  947      

Nippon Telegraph & Telephone Corp.

    41,969   
  444      

Oriental Land Co., Ltd.

    25,941   
  2,777      

ORIX Corp.

    43,998   
  1,110      

Sompo Holdings, Inc.

    35,916   
  847      

Sumitomo Mitsui Financial Group, Inc.

    29,353   
  472      

Suntory Beverage & Food Ltd.

    20,621   
  1,084      

Suzuki Motor Corp.

    38,634   
  1,013      

Tokio Marine Holdings, Inc.

    39,952   
  1,957      

Yamato Holdings Co., Ltd.

    44,593   
    

 

 

 
       710,923   
    

 

 

 
  

Netherlands — 5.7%

  

  370      

ASML Holding N.V.

    39,170   
  3,254      

ING Groep N.V.

    42,718   
  3,070      

Royal Dutch Shell plc, Class A

    76,485   
    

 

 

 
       158,373   
    

 

 

 
  

Norway — 1.6%

  

  9,824      

Norsk Hydro ASA

    43,920   
    

 

 

 
  

Spain — 0.4%

  

  2,270      

Distribuidora Internacional de Alimentacion S.A.

    12,122   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         61   


Table of Contents

JPMorgan International Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Sweden — 1.2%

  

  3,260      

Nordea Bank AB

    34,261   
    

 

 

 
  

Switzerland — 5.6%

  

  303      

Nestle S.A.

    21,961   
  283      

Roche Holding AG

    65,100   
  2,680      

UBS Group AG

    37,895   
  584      

Wolseley plc

    30,278   
    

 

 

 
       155,234   
    

 

 

 
  

United Kingdom — 15.4%

  

  723      

Associated British Foods plc

    21,744   
  426      

AstraZeneca plc

    23,876   
  1,000      

British American Tobacco plc

    57,286   
  6,327      

BT Group plc

    29,041   
  7,396      

Dixons Carphone plc

    28,433   
  2,533      

GlaxoSmithKline plc

    50,037   
  4,213      

HSBC Holdings plc

    31,726   
  462      

InterContinental Hotels Group plc

    17,909   
  3,634      

Kingfisher plc

    16,054   
  1,190      

Pennon Group plc

    12,145   
  1,589      

Prudential plc

    25,924   
  385      

Reckitt Benckiser Group plc

    34,449   
  1,082      

Rio Tinto plc

    37,625   
  8,411      

Taylor Wimpey plc

    14,566   
  9,074      

Vodafone Group plc

    24,919   
    

 

 

 
       425,734   
    

 

 

 
  

United States — 1.5%

  

  737      

Shire plc

    41,599   
    

 

 

 
  

Total Common Stocks
(Cost $2,592,617)

    2,645,309   
    

 

 

 

 

Preferred Stock — 1.3%

  

  

Germany — 1.3%

  

  280      

Henkel AG & Co. KGaA
(Cost $25,403)

    35,934   
    

 

 

 

 

Short-Term Investment — 2.6%

  

  

Investment Company — 2.6%

  

  72,806      

JPMorgan U.S. Government Money Market Fund, Institutional Class
Shares, 0.290% (b) (l)
(Cost $72,806)

    72,806   
    

 

 

 
  

Total Investments — 99.4%
(Cost $2,690,826)

    2,754,049   
  

Other Assets in Excess of
Liabilities — 0.6%

    15,821   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 2,769,870   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     10.9

Pharmaceuticals

     6.7  

Insurance

     4.9  

Oil, Gas & Consumable Fuels

     4.7  

Metals & Mining

     4.4  

Diversified Telecommunication Services

     3.9  

Automobiles

     3.7  

Biotechnology

     2.9  

Equity Real Estate Investment Trusts (REITs)

     2.8  

Beverages

     2.8  

Semiconductors & Semiconductor Equipment

     2.8  

Industrial Conglomerates

     2.7  

Household Products

     2.6  

Food Products

     2.3  

Aerospace & Defense

     2.2  

Real Estate Management & Development

     2.2  

Tobacco

     2.1  

Trading Companies & Distributors

     2.1  

Gas Utilities

     2.0  

Textiles, Apparel & Luxury Goods

     2.0  

Air Freight & Logistics

     1.6  

Specialty Retail

     1.6  

Diversified Financial Services

     1.6  

Hotels, Restaurants & Leisure

     1.6  

Electronic Equipment, Instruments & Components

     1.5  

Electric Utilities

     1.4  

Energy Equipment & Services

     1.4  

Building Products

     1.4  

Capital Markets

     1.4  

Machinery

     1.4  

Media

     1.3  

IT Services

     1.2  

Health Care Providers & Services

     1.1  

Construction & Engineering

     1.1  

Auto Components

     1.0  

Chemicals

     1.0  

Airlines

     1.0  

Others (each less than 1.0%)

     4.1   

Short-Term Investment

     2.6   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  153        

TOPIX Index

       12/08/16           JPY         $ 20,300         $ 531   
  794        

Euro STOXX 50 Index

       12/16/16           EUR           26,622           70   
  279        

FTSE 100 Index

       12/16/16           GBP           23,615           (215
                        

 

 

 
                         $ 386   
                        

 

 

 

 

Forward Foreign Currency Exchange Contracts  
CONTRACTS
TO BUY
    CURRENCY      COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  12,626        EUR                      
  1,432,272        for JPY      

Standard Chartered Bank

       11/14/16         $ 13,663    $ 13,867    $ 204   
  11,434        GBP                      
  12,727        for EUR      

Goldman Sachs International

       11/14/16           13,978      13,998      20   
  15,250        AUD      

Australia & New Zealand Banking Group Limited

       11/14/16           11,662         11,597         (65
  109,239        AUD      

Standard Chartered Bank

       11/14/16           82,405         83,071         666   
  110,325        CHF      

Morgan Stanley

       11/14/16           114,908         111,555         (3,353
  8,267        EUR      

Standard Chartered Bank

       11/14/16           9,125         9,080         (45
  4,929        GBP      

Citibank, N.A.

       11/14/16           6,566         6,035         (531
  20,876        GBP      

Goldman Sachs International

       11/14/16           27,933         25,559         (2,374
  10,710        GBP      

Merrill Lynch International

       11/14/16           14,072         13,112         (960
  12,518        GBP      

Morgan Stanley

       11/14/16           16,581         15,325         (1,256
  22,192        GBP      

Royal Bank of Canada

       11/14/16           27,875         27,170         (705
  5,935        GBP      

State Street Corp.

       11/14/16           7,284         7,265         (19
  13,449        GBP      

TD Bank Financial Group

       11/14/16           16,445         16,465         20   
  201,399        HKD      

Australia & New Zealand Banking Group Limited

       11/14/16           25,986         25,970         (16
  5,249,417        JPY      

Goldman Sachs International

       11/14/16           51,648         50,076         (1,572
  537,349        JPY      

Merrill Lynch International

       11/14/16           5,308         5,126         (182
  1,084,659        JPY      

Standard Chartered Bank

       11/14/16           10,415         10,347         (68
  182,238        SEK      

TD Bank Financial Group

       11/14/16           21,405         20,187         (1,218
  37,640        SGD      

TD Bank Financial Group

       11/14/16           28,077         27,057         (1,020
               $ 505,336       $ 492,862       $ (12,474

 

 

 

 

CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  336,438      DKK   

Morgan Stanley

       11/14/16         $ 50,881         $ 49,679         $ 1,202   
  24,260      EUR   

BNP Paribas

       11/14/16           27,433           26,644           789   
  44,064      EUR   

Citibank, N.A.

       11/14/16           49,815           48,394           1,421   
  12,943      EUR   

Goldman Sachs International

       11/14/16           14,094           14,215           (121
  8,506      EUR   

Merrill Lynch International

       11/14/16           9,568           9,341           227   
  29,580      EUR   

State Street Corp.

       11/14/16           33,273           32,488           785   
  4,756      GBP   

Goldman Sachs International

       11/14/16           6,220           5,823           397   
  97,453      GBP   

Standard Chartered Bank

       11/14/16           129,084           119,310           9,774   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         63   


Table of Contents

JPMorgan International Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

CONTRACTS
TO SELL
    CURRENCY      COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  3,710,440        JPY      

Citibank, N.A.

       11/14/16         $ 36,683         $ 35,395         $ 1,288   
  1,066,217        JPY      

Goldman Sachs International

       11/14/16           10,569           10,171           398   
  864,386        JPY      

Merrill Lynch International

       11/14/16           8,334           8,246           88   
  893,948        JPY      

State Street Corp.

       11/14/16           8,632           8,527           105   
  190,241        NOK      

TD Bank Financial Group

       11/14/16           22,485           23,025           (540
               $ 407,071         $ 391,258         $ 15,813   

 

 

 

 

# For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at October 31, 2016 of the currency being sold, and the value at October 31, 2016 is the U.S. Dollar market value of the currency being purchased.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.8%

  

  

Australia — 6.4%

  

  987      

AMP Ltd.

    3,421   
  708      

Australia & New Zealand Banking Group Ltd.

    14,955   
  449      

BGP Holdings plc (a)

    (h) 
  786      

BHP Billiton Ltd.

    13,731   
  254      

Commonwealth Bank of Australia

    14,117   
  49      

CSL Ltd.

    3,738   
  848      

Dexus Property Group

    5,763   
  1,525      

Goodman Group

    7,860   
  113      

Macquarie Group Ltd.

    6,812   
  52      

National Australia Bank Ltd.

    1,107   
  335      

Wesfarmers Ltd.

    10,445   
  151      

Westpac Banking Corp.

    3,499   
    

 

 

 
       85,448   
    

 

 

 
  

Belgium — 1.0%

  

  122      

Anheuser-Busch InBev S.A./N.V.

    13,955   
    

 

 

 
  

Denmark — 0.8%

  

  70      

Chr Hansen Holding A/S

    4,167   
  191      

Novo Nordisk A/S, Class B

    6,818   
    

 

 

 
       10,985   
    

 

 

 
  

Finland — 2.0%

  

  100      

Cargotec Oyj, Class B

    4,087   
  1,828      

Nokia OYJ

    8,162   
  570      

Outokumpu OYJ (a)

    3,973   
  219      

UPM-Kymmene OYJ

    5,099   
  115      

Wartsila OYJ Abp

    4,968   
    

 

 

 
       26,289   
    

 

 

 
  

France — 10.4%

  

  145      

Air Liquide S.A.

    14,710   
  169      

Airbus Group SE

    10,012   
  35      

Arkema S.A.

    3,311   
  611      

AXA S.A.

    13,783   
  206      

BNP Paribas S.A.

    11,957   
  80      

Capgemini S.A.

    6,590   
  286      

Engie S.A.

    4,126   
  928      

Natixis S.A.

    4,694   
  68      

Pernod Ricard S.A.

    8,063   
  65      

Renault S.A.

    5,627   
  140      

Sanofi

    10,894   
  163      

Schneider Electric SE

    10,937   
  58      

Sodexo S.A.

    6,782   
  106      

Technip S.A.

    7,028   
  266      

TOTAL S.A.

    12,763   
  398      

Vivendi S.A.

    8,050   
    

 

 

 
       139,327   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Germany — 9.0%

  

  43      

adidas AG

    7,134   
  15      

Allianz SE

    2,269   
  25      

BASF SE

    2,187   
  156      

Bayer AG

    15,499   
  136      

Brenntag AG

    7,280   
  203      

Daimler AG

    14,468   
  57      

Deutsche Bank AG (a)

    821   
  271      

Deutsche Post AG

    8,399   
  522      

Deutsche Telekom AG

    8,514   
  47      

HeidelbergCement AG

    4,488   
  443      

Infineon Technologies AG

    7,959   
  34      

Linde AG

    5,633   
  196      

SAP SE

    17,248   
  157      

Siemens AG

    17,878   
    

 

 

 
       119,777   
    

 

 

 
  

Hong Kong — 2.8%

  

  700      

AIA Group Ltd.

    4,404   
  631      

Cheung Kong Property Holdings Ltd.

    4,666   
  818      

CK Hutchison Holdings Ltd.

    10,096   
  33      

Hang Seng Bank Ltd.

    602   
  112      

Hang Seng Bank Ltd.

    2,012   
  18      

Power Assets Holdings Ltd.

    164   
  713      

Power Assets Holdings Ltd.

    6,697   
  727      

Sands China Ltd.

    3,154   
  689      

Wharf Holdings Ltd. (The)

    5,168   
    

 

 

 
       36,963   
    

 

 

 
  

Ireland — 0.4%

  

  69      

Ryanair Holdings plc, ADR (a)

    5,161   
    

 

 

 
  

Israel — 0.8%

  

  237      

Teva Pharmaceutical Industries Ltd., ADR

    10,141   
    

 

 

 
  

Italy — 2.3%

  

  311      

Assicurazioni Generali S.p.A.

    4,022   
  268      

Atlantia S.p.A.

    6,574   
  2,173      

Enel S.p.A.

    9,341   
  8,330      

Telecom Italia S.p.A. (a)

    7,241   
  1,684      

UniCredit S.p.A.

    4,180   
    

 

 

 
       31,358   
    

 

 

 
  

Japan — 23.0%

  

  202      

Bridgestone Corp.

    7,554   
  46      

Central Japan Railway Co.

    7,805   
  82      

Daikin Industries Ltd.

    7,876   
  84      

Dentsu, Inc.

    4,187   
  355      

DMG Mori Co., Ltd.

    3,768   
  109      

East Japan Railway Co.

    9,630   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         65   


Table of Contents

JPMorgan International Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

 

Japan — continued

  

  106     

Electric Power Development Co., Ltd.

    2,471   
  1,025     

Fujitsu Ltd.

    6,081   
  1,680     

Hitachi Ltd.

    8,956   
  318     

Honda Motor Co., Ltd.

    9,524   
  373     

J. Front Retailing Co., Ltd.

    5,129   
  205     

Japan Airlines Co., Ltd.

    6,053   
  69     

Japan Tobacco, Inc.

    2,616   
  229     

JFE Holdings, Inc.

    3,281   
  1,096     

JX Holdings, Inc.

    4,331   
  1,021     

Kajima Corp.

    6,885   
  182     

KDDI Corp.

    5,519   
  5     

Keyence Corp.

    3,372   
  477     

Kirin Holdings Co., Ltd.

    8,194   
  322     

Kyowa Hakko Kirin Co., Ltd.

    4,906   
  306     

Kyushu Electric Power Co., Inc.

    2,781   
  140     

LIXIL Group Corp.

    3,211   
  97     

Mabuchi Motor Co., Ltd.

    5,650   
  421     

Mazda Motor Corp.

    6,983   
  286     

Medipal Holdings Corp.

    4,890   
  2,396     

Mitsubishi UFJ Financial Group, Inc.

    12,360   
  124     

Mitsui & Co., Ltd.

    1,719   
  348     

Mitsui Fudosan Co., Ltd.

    7,919   
  160     

MS&AD Insurance Group Holdings, Inc.

    4,738   
  160     

NGK Spark Plug Co., Ltd.

    3,181   
  73     

Nidec Corp.

    7,025   
  183     

Nippon Steel & Sumitomo Metal Corp.

    3,618   
  237     

Nippon Telegraph & Telephone Corp.

    10,508   
  181     

Nishi-Nippon Financial Holdings, Inc. (a)

    1,800   
  (h)   

Nitori Holdings Co., Ltd.

    10   
  141     

Omron Corp.

    5,404   
  292     

ORIX Corp.

    4,634   
  161     

Otsuka Holdings Co., Ltd.

    7,024   
  249     

Seiko Epson Corp.

    5,049   
  266     

Seven & i Holdings Co., Ltd.

    11,099   
  99     

Shin-Etsu Chemical Co., Ltd.

    7,484   
  275     

Sony Corp.

    8,661   
  895     

Sumitomo Bakelite Co., Ltd.

    4,860   
  295     

Sumitomo Mitsui Financial Group, Inc.

    10,242   
  182     

Sumitomo Realty & Development Co., Ltd.

    4,784   
  144     

Suntory Beverage & Food Ltd.

    6,305   
  105     

Suzuken Co., Ltd.

    3,382   
  402     

Takashimaya Co., Ltd.

    3,279   
  891     

Tokyo Gas Co., Ltd.

    4,042   
  315     

Toyota Motor Corp.

    18,290   
  324     

Yamato Holdings Co., Ltd.

    7,373   
   

 

 

 
      306,443   
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Luxembourg — 0.5%

  

  1,035      

ArcelorMittal (a)

    6,995   
    

 

 

 
  

Netherlands — 6.0%

  

  767      

Aegon N.V.

    3,317   
  100      

ASML Holding N.V.

    10,563   
  108      

Heineken N.V.

    8,914   
  901      

ING Groep N.V.

    11,829   
  1,248      

Koninklijke KPN N.V.

    4,069   
  346      

Koninklijke Philips N.V.

    10,414   
  160      

NN Group N.V.

    4,814   
  441      

Royal Dutch Shell plc, Class A

    10,995   
  599      

Royal Dutch Shell plc, Class B

    15,450   
    

 

 

 
       80,365   
    

 

 

 
  

New Zealand — 0.4%

  

  1,902      

Spark New Zealand Ltd.

    4,976   
    

 

 

 
  

Portugal — 0.3%

  

  297      

Galp Energia SGPS S.A.

    4,027   
    

 

 

 
  

Singapore — 0.8%

  

  801      

DBS Group Holdings Ltd.

    8,637   
  352      

Singapore Exchange Ltd.

    1,795   
    

 

 

 
       10,432   
    

 

 

 
  

Spain — 2.1%

  

  1,149      

Banco Santander S.A.

    5,631   
  6,471      

Bankia S.A.

    5,685   
  1,138      

Iberdrola S.A.

    7,741   
  272      

Repsol S.A.

    3,797   
  536      

Telefonica S.A.

    5,448   
    

 

 

 
       28,302   
    

 

 

 
  

Sweden — 1.2%

  

  926      

Nordea Bank AB

    9,728   
  589      

Sandvik AB

    6,689   
    

 

 

 
       16,417   
    

 

 

 
  

Switzerland — 9.5%

  

  39      

Actelion Ltd. (a)

    5,590   
  147      

Cie Financiere Richemont S.A.

    9,425   
  158      

Credit Suisse Group AG (a)

    2,199   
  34      

LafargeHolcim Ltd. (a)

    1,823   
  152      

LafargeHolcim Ltd. (a)

    8,110   
  468      

Nestle S.A.

    33,943   
  181      

Novartis AG

    12,871   
  103      

Roche Holding AG

    23,605   
  11      

Syngenta AG (a)

    4,255   
  643      

UBS Group AG

    9,093   
  195      

Wolseley plc

    10,112   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Switzerland — continued

  

  22      

Zurich Insurance Group AG (a)

    5,807   
    

 

 

 
       126,833   
    

 

 

 
  

United Kingdom — 15.3%

  

  590      

3i Group plc

    4,832   
  158      

Associated British Foods plc

    4,745   
  175      

AstraZeneca plc

    9,799   
  1,211      

Aviva plc

    6,561   
  3,401      

Barclays plc

    7,879   
  674      

Barratt Developments plc

    3,736   
  1,795      

BP plc

    10,609   
  340      

British American Tobacco plc

    19,509   
  3,083      

Centrica plc

    8,075   
  1,574      

Debenhams plc

    1,034   
  1,160      

Dixons Carphone plc

    4,459   
  779      

GlaxoSmithKline plc

    15,381   
  2,431      

HSBC Holdings plc

    18,308   
  236      

HSBC Holdings plc

    1,776   
  196      

InterContinental Hotels Group plc

    7,598   
  2,330      

ITV plc

    4,858   
  12,699      

Lloyds Banking Group plc

    8,868   
  271      

Prudential plc

    4,417   
  115      

Reckitt Benckiser Group plc

    10,251   
  122      

Rio Tinto Ltd.

    5,043   
  72      

Rio Tinto plc

    2,493   
  517      

RSA Insurance Group plc

    3,489   
  877      

Standard Chartered plc (a)

    7,628   
  1,355      

Taylor Wimpey plc

    2,346   
  148      

Unilever N.V., CVA

    6,184   
  5,221      

Vodafone Group plc

    14,338   
  77      

Whitbread plc

    3,392   
  283      

WPP plc

    6,144   
    

 

 

 
       203,752   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

United States — 0.8%

  

  199      

Shire plc

    11,218   
    

 

 

 
  

Total Common Stocks
(Cost $1,260,405)

    1,279,164   
    

 

 

 

 

Preferred Stocks — 1.0%

  

  

Germany — 1.0%

  

  83      

Henkel AG & Co. KGaA

    10,679   
  23      

Volkswagen AG

    3,156   
    

 

 

 
  

Total Preferred Stocks
(Cost $10,860)

    13,835   
    

 

 

 
NUMBER OF
RIGHTS
              

 

Rights — 0.0% (g)

  

  

Spain — 0.0% (g)

 
  1,149      

Banco Santander S.A., expiring 11/02/16 (a)
(Cost $59)

    64   
    

 

 

 
SHARES               

 

Short-Term Investment — 2.5%

  

  

Investment Company — 2.5%

 
  32,949      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $32,949)

    32,949   
    

 

 

 
  

Total Investments — 99.3%
(Cost $1,304,273)

    1,326,012   
  

Other Assets in Excess of
Liabilities — 0.7%

    9,199   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,335,211   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         67   


Table of Contents

JPMorgan International Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

 

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     12.6

Pharmaceuticals

     8.8  

Oil, Gas & Consumable Fuels

     4.7  

Automobiles

     4.4  

Insurance

     4.4  

Diversified Telecommunication Services

     3.7  

Chemicals

     3.5  

Beverages

     3.4  

Metals & Mining

     3.0  

Food Products

     2.9  

Industrial Conglomerates

     2.9  

Electric Utilities

     2.0  

Capital Markets

     1.9  

Electrical Equipment

     1.8  

Real Estate Management & Development

     1.7  

Tobacco

     1.7  

Food & Staples Retailing

     1.6  

Household Products

     1.6  
INDUSTRY    PERCENTAGE  

Hotels, Restaurants & Leisure

     1.6 %

Biotechnology

     1.6  

Wireless Telecommunication Services

     1.5  

Machinery

     1.5  

Trading Companies & Distributors

     1.4  

Semiconductors & Semiconductor Equipment

     1.4  

Electronic Equipment, Instruments & Components

     1.3  

Road & Rail

     1.3  

Software

     1.3  

Textiles, Apparel & Luxury Goods

     1.2  

Air Freight & Logistics

     1.2  

Media

     1.1  

Household Durables

     1.1  

Construction Materials

     1.1  

Equity Real Estate Investment Trusts (REITs)

     1.0  

IT Services

     1.0  

Others (each less than 1.0%)

     10.3   

Short-Term Investment

     2.5   
 

 

Futures Contracts                                
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  40        

TOPIX Index

       12/08/16           JPY         $ 5,307         $ 238   
  336        

Euro STOXX 50 Index

       12/16/16           EUR           11,266           212   
  119        

FTSE 100 Index

       12/16/16           GBP           10,072           248   
                        

 

 

 
                         $ 698   
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 98.2%

  

  

Belgium — 2.6%

  

  25      

Anheuser-Busch InBev S.A./N.V.

    2,901   
    

 

 

 
  

Canada — 4.5%

  

  68      

Alimentation Couche-Tard, Inc., Class B

    3,439   
  24      

Canadian National Railway Co.

    1,514   
    

 

 

 
       4,953   
    

 

 

 
  

China — 10.0%

  

  18      

Baidu, Inc., ADR (a)

    3,153   
  614      

CNOOC Ltd.

    775   
  2,487      

CNOOC Ltd.

    3,129   
  77      

JD.com, Inc., ADR (a)

    2,005   
  1,234      

Wynn Macau Ltd.

    1,890   
    

 

 

 
       10,952   
    

 

 

 
  

Denmark — 2.0%

  

  61      

Novo Nordisk A/S, Class B

    2,176   
    

 

 

 
  

Finland — 3.9%

  

  608      

Nokia OYJ

    2,713   
  37      

Wartsila OYJ Abp

    1,619   
    

 

 

 
       4,332   
    

 

 

 
  

France — 2.0%

  

  142      

Orange S.A.

    2,227   
    

 

 

 
  

Germany — 3.5%

  

  11      

Continental AG

    2,042   
  42      

Zalando SE, (a) (e)

    1,830   
    

 

 

 
       3,872   
    

 

 

 
  

Hong Kong — 8.5%

  

  430      

AIA Group Ltd.

    2,705   
  312      

Cheung Kong Property Holdings Ltd.

    2,306   
  1,826      

China Unicom Hong Kong Ltd.

    2,144   
  178      

CK Hutchison Holdings Ltd.

    2,192   
    

 

 

 
       9,347   
    

 

 

 
  

India — 2.2%

  

  33      

HDFC Bank Ltd., ADR

    2,358   
    

 

 

 
  

Israel — 2.8%

  

  71      

Teva Pharmaceutical Industries Ltd. ADR

    3,034   
    

 

 

 
  

Italy — 1.3%

  

  605      

Intesa Sanpaolo S.p.A.

    1,402   
    

 

 

 
  

Japan — 7.6%

  

  66      

KDDI Corp.

    1,997   
  3      

Keyence Corp.

    1,833   
  163      

Kubota Corp.

    2,627   
  71      

Shiseido Co., Ltd.

    1,842   
    

 

 

 
       8,299   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Netherlands — 10.5%

  

  32      

Akzo Nobel N.V.

    2,098   
  171      

Altice N.V., Class A (a)

    3,145   
  156      

ING Groep N.V.

    2,050   
  99      

NN Group N.V.

    2,982   
  13      

NXP Semiconductors N.V. (a)

    1,288   
    

 

 

 
       11,563   
    

 

 

 
  

South Africa — 1.7%

  

  11      

Naspers Ltd., Class N

    1,867   
    

 

 

 
  

South Korea — 1.5%

  

  2      

Samsung Electronics Co., Ltd. GDR

    1,591   
    

 

 

 
  

Switzerland — 12.0%

  

  12      

Actelion Ltd. (a)

    1,779   
  45      

Cie Financiere Richemont S.A.

    2,907   
  86      

LafargeHolcim Ltd. (a)

    4,565   
  10      

Roche Holding AG

    2,320   
  115      

UBS Group AG

    1,623   
    

 

 

 
       13,194   
    

 

 

 
  

Taiwan — 2.0%

  

  72      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    2,241   
    

 

 

 
  

United Kingdom — 17.9%

  

  39      

British American Tobacco plc

    2,241   
  189      

British Land Co. plc (The)

    1,353   
  968      

ITV plc

    2,017   
  338      

Meggitt plc

    1,797   
  96      

RELX N.V.

    1,617   
  107      

Rio Tinto plc

    3,737   
  115      

Smith & Nephew plc

    1,661   
  249      

Standard Chartered plc (a)

    2,161   
  1,101      

Vodafone Group plc

    3,023   
    

 

 

 
       19,607   
    

 

 

 
  

United States — 1.7%

  

  34      

Shire plc

    1,912   
    

 

 

 
  

Total Common Stocks
(Cost $107,374)

    107,828   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         69   


Table of Contents

JPMorgan International Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 1.9%

  

  

Investment Company — 1.9%

  

  2,047      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
0.290% (b) (l)
(Cost $2,047)

    2,047   
    

 

 

 
  

Total Investments — 100.1%
(Cost $109,421)

    109,875   
  

Liabilities in Excess of
Other Assets — (0.1)%

    (100
    

 

 

 
  

NET ASSETS — 100.0%

  $ 109,775   
    

 

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     7.2

Pharmaceuticals

     6.8  

Media

     6.4  

Insurance

     5.2  

Wireless Telecommunication Services

     4.6  

Construction Materials

     4.1  

Diversified Telecommunication Services

     4.0  

Machinery

     3.9  

Oil, Gas & Consumable Fuels

     3.6  

Internet & Direct Marketing Retail

     3.5  

Metals & Mining

     3.4  

Biotechnology

     3.4  

Semiconductors & Semiconductor Equipment

     3.2  

Food & Staples Retailing

     3.1  

Internet Software & Services

     2.9  

Textiles, Apparel & Luxury Goods

     2.6  

Beverages

     2.6  

Communications Equipment

     2.5  

Real Estate Management & Development

     2.1  

Tobacco

     2.0  

Industrial Conglomerates

     2.0  

Chemicals

     1.9  

Auto Components

     1.9  

Hotels, Restaurants & Leisure

     1.7  

Personal Products

     1.7  

Electronic Equipment, Instruments & Components

     1.7  

Aerospace & Defense

     1.6  

Health Care Equipment & Supplies

     1.5  

Capital Markets

     1.5  

Professional Services

     1.5  

Technology Hardware, Storage & Peripherals

     1.4  

Road & Rail

     1.4  

Equity Real Estate Investment Trusts (REITs)

     1.2  

Short-Term Investment

     1.9   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 99.3%

  

  

Australia — 4.1%

  

  1,843      

Australia & New Zealand Banking Group Ltd.

    38,914   
  2,756      

Goodman Group

    14,206   
    

 

 

 
       53,120   
    

 

 

 
  

Belgium — 2.0%

  

  114      

Anheuser-Busch InBev S.A./N.V.

    13,046   
  225      

KBC Group N.V. (a)

    13,723   
    

 

 

 
       26,769   
    

 

 

 
  

Canada — 0.9%

  

  275      

TransCanada Corp.

    12,437   
    

 

 

 
  

Chile — 0.6%

  

  331      

Banco Santander Chile, ADR

    7,574   
    

 

 

 
  

China — 1.0%

  

  10,241      

CNOOC Ltd.

    12,886   
    

 

 

 
  

Denmark — 0.6%

  

  60      

Pandora A/S

    7,799   
    

 

 

 
  

Finland — 2.3%

  

  1,741      

Outokumpu OYJ (a)

    12,136   
  773      

UPM-Kymmene OYJ

    17,982   
    

 

 

 
       30,118   
    

 

 

 
  

France — 15.8%

  

  139      

Air Liquide S.A.

    14,172   
  221      

Airbus Group SE

    13,116   
  1,202      

AXA S.A.

    27,124   
  573      

BNP Paribas S.A.

    33,236   
  136      

Capgemini S.A.

    11,291   
  2,527      

Natixis S.A.

    12,785   
  222      

Renault S.A.

    19,348   
  233      

Schneider Electric SE

    15,677   
  209      

Technip S.A.

    13,894   
  961      

TOTAL S.A.

    46,051   
    

 

 

 
       206,694   
    

 

 

 
  

Germany — 8.0%

  

  133      

Bayer AG

    13,172   
  217      

Brenntag AG

    11,599   
  363      

Daimler AG

    25,888   
  92      

HeidelbergCement AG

    8,661   
  627      

Infineon Technologies AG

    11,273   
  295      

Siemens AG

    33,541   
    

 

 

 
       104,134   
    

 

 

 
  

Hong Kong — 2.0%

  

  2,324      

China Overseas Land & Investment Ltd.

    7,134   
  1,553      

CK Hutchison Holdings Ltd.

    19,178   
    

 

 

 
       26,312   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Ireland — 0.5%

  

  89      

Ryanair Holdings plc, ADR (a)

    6,679   
    

 

 

 
  

Israel — 1.4%

  

  437      

Teva Pharmaceutical Industries Ltd., ADR

    18,673   
    

 

 

 
  

Italy — 3.7%

  

  5,693      

Enel S.p.A.

    24,477   
  5,983      

Intesa Sanpaolo S.p.A.

    13,874   
  11,368      

Telecom Italia S.p.A. (a)

    9,882   
    

 

 

 
       48,233   
    

 

 

 
  

Japan — 23.8%

  

  219      

Bridgestone Corp.

    8,170   
  226      

Daikin Industries Ltd.

    21,629   
  703      

Daiwa House Industry Co., Ltd.

    19,284   
  223      

Dentsu, Inc.

    11,116   
  574      

DMG Mori Co., Ltd.

    6,084   
  803      

Honda Motor Co., Ltd.

    24,030   
  402      

Japan Airlines Co., Ltd.

    11,855   
  115      

Mabuchi Motor Co., Ltd.

    6,662   
  626      

Mitsubishi Corp.

    13,616   
  6,771      

Mitsubishi UFJ Financial Group, Inc.

    34,934   
  781      

Mitsui Fudosan Co., Ltd.

    17,786   
  439      

NGK Spark Plug Co., Ltd.

    8,716   
  282      

NH Foods Ltd.

    6,758   
  586      

Nippon Telegraph & Telephone Corp.

    25,986   
  279      

Sompo Holdings, Inc.

    9,018   
  295      

Sony Corp.

    9,301   
  1,096      

Sumitomo Electric Industries Ltd.

    16,192   
  317      

Sumitomo Mitsui Financial Group, Inc.

    11,001   
  419      

Sumitomo Mitsui Trust Holdings, Inc.

    14,125   
  204      

Suzuken Co., Ltd.

    6,546   
  444      

Suzuki Motor Corp.

    15,838   
  544      

Yamato Holdings Co., Ltd.

    12,399   
    

 

 

 
       311,046   
    

 

 

 
  

Luxembourg — 1.1%

  

  2,125      

ArcelorMittal (a)

    14,356   
    

 

 

 
  

Netherlands — 7.1%

  

  454      

ASR Nederland N.V. (a)

    10,062   
  2,045      

ING Groep N.V.

    26,842   
  382      

NN Group N.V.

    11,515   
  1,800      

Royal Dutch Shell plc, Class A

    44,834   
    

 

 

 
       93,253   
    

 

 

 
  

Norway — 1.2%

  

  3,627      

Norsk Hydro ASA

    16,215   
    

 

 

 
  

South Korea — 1.0%

  

  9      

Samsung Electronics Co., Ltd.

    12,531   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         71   


Table of Contents

JPMorgan International Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Spain — 1.2%

  

  17,799      

Bankia S.A.

    15,637   
    

 

 

 
  

Sweden — 1.9%

  

  2,340      

Nordea Bank AB

    24,591   
    

 

 

 
  

Switzerland — 4.6%

  

  181      

LafargeHolcim Ltd. (a)

    9,640   
  52      

Roche Holding AG

    11,988   
  230      

Wolseley plc

    11,913   
  102      

Zurich Insurance Group AG (a)

    26,727   
    

 

 

 
       60,268   
    

 

 

 
  

United Kingdom — 13.3%

  

  1,268      

Barratt Developments plc

    7,033   
  196      

British American Tobacco plc

    11,253   
  4,777      

Centrica plc

    12,513   
  1,326      

GlaxoSmithKline plc

    26,186   
  165      

InterContinental Hotels Group plc

    6,394   
  9,815      

Lloyds Banking Group plc

    6,854   
  992      

National Grid plc

    12,901   
  1,350      

Prudential plc

    22,029   
  720      

Rio Tinto plc

    25,051   
  1,810      

Standard Chartered plc (a)

    15,736   
  10,015      

Vodafone Group plc

    27,503   
    

 

 

 
       173,453   
    

 

 

 
  

United States — 1.2%

  

  286      

Shire plc

    16,134   
    

 

 

 
  

Total Common Stocks
(Cost $1,333,584)

    1,298,912   
    

 

 

 

 

Short-Term Investment — 1.3%

  

  

Investment Company — 1.3%

  

  16,805      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
0.290% (b) (l)
(Cost $16,805)

    16,805   
    

 

 

 
  

Total Investments — 100.6%
(Cost $1,350,389)

    1,315,717   
  

Liabilities in Excess of
Other Assets — (0.6)%

    (7,497
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,308,220   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     20.5

Oil, Gas & Consumable Fuels

     8.8  

Insurance

     8.1  

Automobiles

     6.5  

Pharmaceuticals

     5.3  

Metals & Mining

     5.1  

Industrial Conglomerates

     4.0  

Real Estate Management & Development

     3.4  

Trading Companies & Distributors

     2.8  

Diversified Telecommunication Services

     2.7  

Auto Components

     2.5  

Wireless Telecommunication Services

     2.1  

Multi-Utilities

     1.9  

Electric Utilities

     1.9  

Electrical Equipment

     1.7  

Building Products

     1.6  

Airlines

     1.4  

Construction Materials

     1.4  

Paper & Forest Products

     1.4  

Household Durables

     1.2  

Biotechnology

     1.2  

Equity Real Estate Investment Trusts (REITs)

     1.1  

Chemicals

     1.1  

Energy Equipment & Services

     1.1  

Aerospace & Defense

     1.0  

Beverages

     1.0  

Technology Hardware, Storage & Peripherals

     1.0  

Others (each less than 1.0%)

     6.9   

Short-Term Investment

     1.3   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
Forward Foreign Currency Exchange Contracts  
CONTRACTS
TO BUY
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  38,655      HKD                   
  4,438      for EUR   

Australia & New Zealand Banking Group Limited

       11/28/16         $ 4,877 #    $ 4,985    $ 108   
  713,157      JPY                   
  5,388      for GBP   

HSBC Bank, N.A.

       11/28/16           6,598      6,806      208   
  66,351      AUD   

Standard Chartered Bank

       11/28/16           50,609         50,439         (170
  4,045      CAD   

Merrill Lynch International

       11/28/16           3,103         3,016         (87
  25,504      CHF   

Credit Suisse International

       11/28/16           26,712         25,807         (905
  2,544      EUR   

Australia & New Zealand Banking Group Limited

       11/28/16           2,866         2,796         (70
  9,039      EUR   

Citibank, N.A.

       11/28/16           9,853         9,933         80   
  17,414      EUR   

Deutsche Bank AG

       11/28/16           19,637         19,136         (501
  4,661      EUR   

Standard Chartered Bank

       11/28/16           5,257         5,122         (135
  3,256      GBP   

Australia & New Zealand Banking Group Limited

       11/28/16           3,985         3,988         3   
  4,949      GBP   

Citibank, N.A.

       11/28/16           6,437         6,061         (376
  3,278      GBP   

Deutsche Bank AG

       11/28/16           4,267         4,014         (253
  11,427      GBP   

Goldman Sachs International

       11/28/16           14,327         13,993         (334
  3,459      GBP   

Royal Bank of Canada

       11/28/16           4,524         4,236         (288
  17,189      GBP   

Standard Chartered Bank

       11/28/16           22,869         21,050         (1,819
  11,734      HKD   

State Street Corp.

       11/28/16           1,515         1,513         (2
  529,183      JPY   

Citibank, N.A.

       11/28/16           5,083         5,050         (33
  692,763      JPY   

Goldman Sachs International

       11/28/16           6,694         6,612         (82
  536,481      JPY   

HSBC Bank, N.A.

       11/28/16           5,375         5,120         (255
  1,063,297      JPY   

Standard Chartered Bank

       11/28/16           10,428         10,148         (280
  118,422      SEK   

Merrill Lynch International

       11/28/16           14,255         13,126         (1,129
  27,597      SGD   

State Street Corp.

       11/28/16           20,461         19,840         (621
               $ 249,732       $ 242,791       $ (6,941

 

 

 

 

CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  5,860      AUD   

Australia & New Zealand Banking Group Limited

       11/28/16         $ 4,425         $ 4,454         $ (29
  18,045      CAD   

Morgan Stanley

       11/28/16           13,996           13,456           540   
  8,116      CHF   

Australia & New Zealand Banking Group Limited

       11/28/16           8,354           8,212           142   
  4,508      CHF   

State Street Corp.

       11/28/16           4,675           4,561           114   
  3,147      EUR   

Australia & New Zealand Banking Group Limited

       11/28/16           3,545           3,458           87   
  6,763      EUR   

BNP Paribas

       11/28/16           7,500           7,432           68   
  5,927      EUR   

Citibank, N.A.

       11/28/16           6,628           6,513           115   
  62,595      EUR   

Credit Suisse International

       11/28/16           71,297           68,785           2,512   
  14,252      EUR   

HSBC Bank, N.A.

       11/28/16           16,020           15,661           359   
  5,042      EUR   

Standard Chartered Bank

       11/28/16           5,692           5,541           151   
  8,355      EUR   

State Street Corp.

       11/28/16           9,402           9,181           221   
  5,428      EUR   

TD Bank Financial Group

       11/28/16           6,022           5,964           58   
  13,039      GBP   

Citibank, N.A.

       11/28/16           17,011           15,968           1,043   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         73   


Table of Contents

JPMorgan International Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  275,554      JPY   

Australia & New Zealand Banking Group Limited

       11/28/16         $ 2,657         $ 2,630         $ 27   
  1,607,384      JPY   

Citibank, N.A.

       11/28/16           15,794           15,340           454   
  503,685      JPY   

Goldman Sachs International

       11/28/16           4,981           4,807           174   
  653,841      JPY   

Societe Generale

       11/28/16           6,415           6,240           175   
  633,187      JPY   

Standard Chartered Bank

       11/28/16           6,246           6,043           203   
  63,226      NOK   

Deutsche Bank AG

       11/28/16           7,699           7,653           46   
  4,454      SGD   

Societe Generale

       11/28/16           3,244           3,202           42   
               $ 221,603         $ 215,101         $ 6,502   

 

 

 

 

# For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at October 31, 2016 of the currency being sold, and the value at October 31, 2016 is the U.S. Dollar market value of the currency being purchased.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.1%

  

  

Australia — 6.7%

  

  952      

Australia & New Zealand Banking Group Ltd.

    20,100   
  1,197      

Bendigo & Adelaide Bank Ltd.

    10,111   
  1,599      

BHP Billiton Ltd.

    27,930   
  1,192      

Challenger Ltd.

    9,728   
  317      

Flight Centre Travel Group Ltd.

    8,139   
  1,859      

Fortescue Metals Group Ltd.

    7,800   
  2,253      

GPT Group (The)

    7,965   
  2,559      

Harvey Norman Holdings Ltd.

    9,801   
  997      

LendLease Group

    10,215   
  182      

Macquarie Group Ltd.

    11,021   
  6,966      

South32 Ltd.

    13,595   
  2,056      

Star Entertainment Grp Ltd. (The)

    7,779   
  1,049      

Westpac Banking Corp.

    24,248   
  551      

Woodside Petroleum Ltd.

    11,793   
    

 

 

 
       180,225   
    

 

 

 
  

Austria — 0.3%

  

  243      

Erste Group Bank AG

    7,635   
    

 

 

 
  

Belgium — 1.0%

  

  91      

Anheuser-Busch InBev S.A./N.V.

    10,411   
  336      

bpost S.A.

    8,942   
  143      

KBC Group N.V. (a)

    8,695   
    

 

 

 
       28,048   
    

 

 

 
  

China — 0.3%

  

  11,939      

China Construction Bank Corp., Class H

    8,718   
    

 

 

 
  

Denmark — 2.3%

  

  481      

Danske Bank A/S

    14,846   
  606      

Novo Nordisk A/S, Class B

    21,600   
  58      

Pandora A/S

    7,520   
  1,232      

TDC A/S (a)

    6,795   
  138      

Vestas Wind Systems A/S

    11,029   
    

 

 

 
       61,790   
    

 

 

 
  

Finland — 0.7%

  

  312      

Tieto OYJ

    8,556   
  486      

UPM-Kymmene OYJ

    11,307   
    

 

 

 
       19,863   
    

 

 

 
  

France — 11.3%

  

  704      

Altran Technologies S.A.

    10,051   
  90      

Arkema S.A.

    8,504   
  823      

AXA S.A.

    18,559   
  379      

BNP Paribas S.A.

    21,973   
  110      

Capgemini S.A.

    9,131   
  672      

Engie S.A.

    9,694   
  205      

Faurecia

    7,545   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

France — continued

  

  1,738      

Natixis S.A.

    8,792   
  102      

Nexans S.A. (a)

    5,818   
  732      

Orange S.A.

    11,522   
  358      

Peugeot S.A. (a)

    5,364   
  132      

Publicis Groupe S.A.

    9,055   
  108      

Renault S.A.

    9,407   
  154      

Safran S.A.

    10,569   
  335      

Sanofi

    26,098   
  250      

Schneider Electric SE

    16,826   
  359      

Societe Generale S.A.

    14,011   
  86      

Sodexo S.A.

    10,036   
  116      

Technip S.A.

    7,712   
  110      

Teleperformance

    11,647   
  121      

Thales S.A.

    11,357   
  665      

TOTAL S.A.

    31,833   
  202      

Valeo S.A.

    11,661   
  223      

Vinci S.A.

    16,139   
    

 

 

 
       303,304   
    

 

 

 
  

Germany — 7.5%

  

  149      

Allianz SE

    23,300   
  159      

Bayer AG

    15,780   
  135      

Bayerische Motoren Werke AG

    11,735   
  55      

Continental AG

    10,553   
  185      

Covestro AG (e)

    10,971   
  451      

Deutsche Telekom AG

    7,354   
  283      

Evonik Industries AG

    8,874   
  178      

Freenet AG

    5,092   
  127      

Fresenius Medical Care AG & Co. KGaA

    10,341   
  148      

Fresenius SE & Co. KGaA

    10,936   
  92      

Hannover Rueck SE

    10,244   
  128      

HeidelbergCement AG

    12,120   
  623      

Infineon Technologies AG

    11,201   
  99      

Merck KGaA

    10,149   
  132      

OSRAM Licht AG

    7,520   
  244      

Siemens AG

    27,674   
  180      

Zalando SE (a) (e)

    7,907   
    

 

 

 
       201,751   
    

 

 

 
  

Hong Kong — 3.4%

  

  2,991      

BOC Hong Kong Holdings Ltd.

    10,659   
  1,525      

Cheung Kong Property Holdings Ltd.

    11,270   
  2,988      

China Overseas Land & Investment Ltd.

    9,173   
  1,103      

CK Hutchison Holdings Ltd.

    13,614   
  7,978      

New World Development Co., Ltd.

    9,919   
  2,379      

Sands China Ltd.

    10,325   
  1,156      

Wharf Holdings Ltd. (The)

    8,667   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         75   


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Hong Kong — continued

  

  1,319      

Wheelock & Co., Ltd.

    8,117   
  10,654      

Xinyi Glass Holdings Ltd. (a)

    9,161   
    

 

 

 
       90,905   
    

 

 

 
  

India — 0.4%

  

  139      

HDFC Bank Ltd., ADR

    9,822   
    

 

 

 
  

Indonesia — 0.4%

  

  343      

Telekomunikasi Indonesia Persero Tbk PT, ADR

    11,138   
    

 

 

 
  

Ireland — 0.3%

  

  109      

DCC plc

    8,847   
    

 

 

 
  

Israel — 0.5%

  

  308      

Teva Pharmaceutical Industries Ltd., ADR

    13,153   
    

 

 

 
  

Italy — 1.2%

  

  3,433      

Enel S.p.A.

    14,757   
  4,238      

Intesa Sanpaolo S.p.A.

    9,826   
  1,228      

Mediobanca S.p.A.

    8,997   
    

 

 

 
       33,580   
    

 

 

 
  

Japan — 23.9%

  

  613      

Amada Holdings Co., Ltd.

    6,986   
  1,344      

Asahi Glass Co., Ltd.

    9,400   
  945      

Astellas Pharma, Inc.

    14,027   
  358      

Bandai Namco Holdings, Inc.

    10,709   
  298      

Bridgestone Corp.

    11,115   
  73      

Central Japan Railway Co.

    12,328   
  1,868      

Concordia Financial Group Ltd.

    8,663   
  125      

FamilyMart UNY Holdings Co., Ltd.

    7,865   
  2,289      

Fuji Electric Co., Ltd.

    11,430   
  289      

Fuji Heavy Industries Ltd.

    11,281   
  121      

Hikari Tsushin, Inc.

    11,144   
  312      

Hitachi Chemical Co., Ltd.

    7,291   
  846      

Hitachi Metals Ltd.

    10,571   
  624      

Honda Motor Co., Ltd.

    18,680   
  242      

Hoya Corp.

    10,076   
  377      

Idemitsu Kosan Co., Ltd.

    8,657   
  702      

Isuzu Motors Ltd.

    8,682   
  920      

ITOCHU Corp.

    11,621   
  434      

Japan Tobacco, Inc.

    16,516   
  635      

KDDI Corp.

    19,309   
  211      

Koito Manufacturing Co., Ltd.

    11,083   
  667      

Kuraray Co., Ltd.

    10,118   
  198      

Matsumotokiyoshi Holdings Co., Ltd.

    10,190   
  667      

Mazda Motor Corp.

    11,065   
  579      

Mitsubishi Corp.

    12,598   
  981      

Mitsubishi Electric Corp.

    13,272   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

  

  4,531      

Mitsubishi UFJ Financial Group, Inc.

    23,380   
  1,977      

Mitsubishi UFJ Lease & Finance Co., Ltd.

    9,573   
  420      

Mitsui Fudosan Co., Ltd.

    9,565   
  328      

Nippon Telegraph & Telephone Corp.

    14,551   
  80      

Nitori Holdings Co., Ltd.

    9,544   
  144      

Nitto Denko Corp.

    10,004   
  555      

NTT DOCOMO, Inc.

    13,936   
  1,020      

Obayashi Corp.

    9,827   
  775      

ORIX Corp.

    12,283   
  271      

Otsuka Holdings Co., Ltd.

    11,874   
  119      

Pola Orbis Holdings, Inc.

    9,919   
  152      

SCREEN Holdings Co., Ltd.

    10,426   
  793      

Sekisui Chemical Co., Ltd.

    12,495   
  182      

Shin-Etsu Chemical Co., Ltd.

    13,800   
  224      

Shionogi & Co., Ltd.

    11,046   
  148      

SoftBank Group Corp.

    9,302   
  359      

Sompo Holdings, Inc.

    11,603   
  380      

Sony Corp.

    11,980   
  2,110      

Sumitomo Chemical Co., Ltd.

    9,979   
  703      

Sumitomo Electric Industries Ltd.

    10,387   
  2,154      

Sumitomo Heavy Industries Ltd.

    11,340   
  491      

Sumitomo Mitsui Financial Group, Inc.

    17,017   
  268      

Sumitomo Mitsui Trust Holdings, Inc.

    9,043   
  697      

T&D Holdings, Inc.

    8,430   
  2,312      

Taiheiyo Cement Corp.

    6,621   
  1,198      

Taisei Corp.

    8,979   
  132      

Tokyo Electron Ltd.

    11,862   
  734      

Tokyo Tatemono Co., Ltd.

    9,319   
  348      

Toyota Motor Corp.

    20,181   
  340      

Yamaha Corp.

    12,130   
    

 

 

 
       645,073   
    

 

 

 
  

Luxembourg — 0.4%

  

  253      

APERAM S.A.

    11,487   
    

 

 

 
  

Netherlands — 4.2%

  

  1,461      

Aegon N.V.

    6,320   
  1,532      

ING Groep N.V.

    20,112   
  605      

Koninklijke Ahold Delhaize N.V.

    13,791   
  360      

NN Group N.V.

    10,835   
  2,118      

Royal Dutch Shell plc, Class B

    54,632   
  1,499      

Steinhoff International Holdings N.V.

    7,984   
    

 

 

 
       113,674   
    

 

 

 
  

Norway — 1.1%

  

  828      

DNB ASA

    11,966   
  2,424      

Norsk Hydro ASA

    10,837   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Norway — continued

  

  385      

Telenor ASA

    6,117   
    

 

 

 
       28,920   
    

 

 

 
  

Portugal — 0.2%

  

  1,940      

EDP — Energias de Portugal S.A.

    6,412   
    

 

 

 
  

Singapore — 0.5%

  

  682      

DBS Group Holdings Ltd.

    7,355   
  216      

Jardine Cycle & Carriage Ltd.

    6,526   
    

 

 

 
       13,881   
    

 

 

 
  

South Korea — 0.4%

  

  203      

POSCO, ADR

    10,523   
    

 

 

 
  

Spain — 2.1%

  

  279      

ACS Actividades de Construccion y Servicios S.A.

    8,527   
  243      

Amadeus IT Group S.A.

    11,450   
  468      

Gas Natural SDG S.A.

    9,214   
  2,219      

Iberdrola S.A.

    15,105   
  877      

Repsol S.A.

    12,242   
    

 

 

 
       56,538   
    

 

 

 
  

Sweden — 2.7%

  

  281      

Atlas Copco AB, Class A

    8,241   
  416      

Boliden AB

    9,641   
  645      

Castellum AB

    8,734   
  249      

Hexagon AB, Class B

    8,726   
  456      

Securitas AB, Class B

    7,045   
  525      

Swedbank AB, Class A

    12,288   
  218      

Swedish Match AB

    7,574   
  544      

Trelleborg AB, Class B,

    9,496   
    

 

 

 
       71,745   
    

 

 

 
  

Switzerland — 8.5%

  

  485      

ABB Ltd. (a)

    10,005   
  68      

Actelion Ltd. (a)

    9,821   
  158      

Adecco Group AG

    9,393   
  11      

Georg Fischer AG

    9,696   
  4,197      

Glencore plc (a)

    12,849   
  51      

Lonza Group AG (a)

    9,587   
  562      

Nestle S.A.

    40,778   
  391      

Novartis AG

    27,781   
  199      

Roche Holding AG

    45,759   
  2      

Sika AG

    10,925   
  37      

Swiss Life Holding AG (a)

    9,736   
  146      

Swiss Re AG

    13,592   
  1,277      

UBS Group AG

    18,056   
    

 

 

 
       227,978   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Taiwan — 0.5%

  

  395      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    12,275   
    

 

 

 
  

United Kingdom — 15.3%

  

  1,350      

3i Group plc

    11,067   
  1,124      

Ashmore Group plc

    4,829   
  1,697      

Aviva plc

    9,195   
  1,403      

Barratt Developments plc

    7,782   
  3,143      

Booker Group plc

    6,893   
  5,290      

BP plc

    31,271   
  597      

British American Tobacco plc

    34,198   
  2,474      

BT Group plc

    11,354   
  605      

Burberry Group plc

    10,912   
  1,493      

Carillion plc

    4,577   
  285      

Diageo plc

    7,598   
  1,605      

Direct Line Insurance Group plc

    6,791   
  489      

GlaxoSmithKline plc

    9,663   
  3,199      

HSBC Holdings plc

    24,094   
  404      

Imperial Brands plc

    19,559   
  211      

Intertek Group plc

    8,804   
  2,384      

ITV plc

    4,970   
  1,949      

J Sainsbury plc

    5,975   
  1,049      

John Wood Group plc

    9,859   
  15,297      

Lloyds Banking Group plc

    10,682   
  381      

Persimmon plc

    7,884   
  543      

Playtech plc

    6,164   
  1,036      

Prudential plc

    16,912   
  249      

Reckitt Benckiser Group plc

    22,316   
  604      

RELX N.V.

    10,186   
  673      

Rio Tinto plc

    23,408   
  1,229      

Segro plc

    6,583   
  1,005      

UBM plc

    8,823   
  808      

Unilever N.V., CVA

    33,777   
  8,168      

Vodafone Group plc

    22,431   
  631      

WPP plc

    13,697   
    

 

 

 
       412,254   
    

 

 

 
  

United States — 1.0%

  

  199      

Carnival plc

    9,592   
  322      

Shire plc

    18,196   
    

 

 

 
       27,788   
    

 

 

 
  

Total Common Stocks
(Cost $2,633,317)

    2,617,327   
    

 

 

 

 

Preferred Stock — 0.5%

  

  

Germany — 0.5%

  

  97      

Henkel AG & Co. KGaA
(Cost $9,898)

    12,450   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         77   


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 2.1%

  

  

Investment Company — 2.1%

  

  55,706      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)
(Cost $55,706)

    55,706   
    

 

 

 
  

Total Investments — 99.7%
(Cost $2,698,921)

    2,685,483   
  

Other Assets in Excess of
Liabilities — 0.3%

    8,831   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 2,694,314   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     12.0

Pharmaceuticals

     7.7  

Oil, Gas & Consumable Fuels

     5.6  

Insurance

     5.4  

Metals & Mining

     5.2  

Automobiles

     3.6  

Chemicals

     3.4  

Real Estate Management & Development

     3.2  

Tobacco

     2.9  

Electrical Equipment

     2.8  

Auto Components

     2.7  

Wireless Telecommunication Services

     2.6  

Diversified Telecommunication Services

     2.6  

Industrial Conglomerates

     1.9  

Household Durables

     1.8  

Construction & Engineering

     1.8  

Hotels, Restaurants & Leisure

     1.7  

Semiconductors & Semiconductor Equipment

     1.7  

Machinery

     1.7  

Capital Markets

     1.7  

Food & Staples Retailing

     1.7  

Personal Products

     1.6  

Food Products

     1.5  

Professional Services

     1.5  

IT Services

     1.5  

Media

     1.4  

Electric Utilities

     1.4  

Household Products

     1.3  

Diversified Financial Services

     1.2  

Biotechnology

     1.0  

Others (each less than 1.0%)

     11.8   

Short-Term Investment

     2.1   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

J.P. Morgan International Equity Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

ADR  

—  American Depositary Receipt

AUD  

—  Australian Dollar

CAD  

—  Canadian Dollar

CDI  

—  CHESS Depository Interest

CHF  

—  Swiss Franc

CVA  

—  Dutch Certification

DKK  

—  Danish Krone

EUR  

—  Euro

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

GDR  

—  Global Depositary Receipt

HKD  

—  Hong Kong Dollar

JPY  

—  Japanese Yen

MSCI  

—  Morgan Stanley Capital International

NOK  

—  Norwegian Krone

NVDR  

—  Non Voting Depositary Receipt

SEK  

—  Swedish Krona

SGD  

—  Singapore Dollar

TOPIX  

—  Tokyo Stock Price Index

REIT  

—  Real Estate Investment Trust

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         79   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

        Emerging
Economies
Fund
     Emerging
Markets
Equity Fund
     Emerging
Markets
Equity
Income Fund
     Global
Research
Enhanced
Index Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 1,729,164       $ 3,051,304       $ 11,378       $ 6,866,836   

Investments in affiliates, at value

       36,972         91,254         282         17,326   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total investment securities, at value

       1,766,136         3,142,558         11,660         6,884,162   

Cash

       1,925         732         69         60   

Foreign currency, at value

       5,934         409         15         689   

Deposits at broker for futures contracts

       1,118                           

Receivables:

             

Investment securities sold

       6,792                 8         36,991   

Fund shares sold

       460         5,311         13         5,212   

Dividends from non-affiliates

       823         540         8         9,976   

Dividends from affiliates

       7         21         (a)       5   

Tax reclaims

       10                         6,284   

Variation margin on futures contracts

       117                           
    

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

       1,783,322         3,149,571         11,773         6,943,379   
    

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES:

  

Payables:

             

Investment securities purchased

       1,085         15,635         (a)       31,600   

Fund shares redeemed

       262         1,898         (a)       2,260   

Accrued liabilities:

             

Investment advisory fees

       1,108         1,916         113         385   

Administration fees

       7         1         1           

Distribution fees

       31         110         2         (a) 

Shareholder servicing fees

       39         119         1         1,410   

Custodian and accounting fees

       103         291         9         102   

Trustees’ and Chief Compliance Officer’s fees

       (a)       (a)       (a)       36   

Deferred India capital gains tax

       836         4,628                   

Audit fees

       77         84         67         84   

Other

       62         311         4         196   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

       3,610         24,993         197         36,073   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net Assets

     $ 1,779,712       $ 3,124,578       $ 11,576       $ 6,907,306   
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
        Emerging
Economies
Fund
     Emerging
Markets
Equity Fund
     Emerging
Markets
Equity
Income Fund
     Global
Research
Enhanced
Index Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 1,898,626       $ 2,825,379       $ 11,668       $ 6,558,300   

Accumulated undistributed (distributions in excess of) net investment income

       21,844         19,088         15         125,863   

Accumulated net realized gains (losses)

       (245,029      (112,458      (524      (323,451

Net unrealized appreciation (depreciation)

       104,271         392,569         417         546,594   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total Net Assets

     $ 1,779,712       $ 3,124,578       $ 11,576       $ 6,907,306   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net Assets:

  

Class A

     $ 148,331       $ 411,713       $ 8,291       $ 20   

Class C

       2,448         39,568         94         20   

Class R2

                               20   

Class R5

       1,602         20         19           

Class R6

       1,573,822         1,980,671         24           

Institutional Class

               390,647                   

Select Class

       53,509         301,959         3,148         6,907,246   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     $ 1,779,712       $ 3,124,578       $ 11,576       $ 6,907,306   
    

 

 

    

 

 

    

 

 

    

 

 

 

Outstanding units of beneficial interest (shares)

  

($0.0001 par value; unlimited number of shares authorized):

             

Class A

       12,844         18,891         616         1   

Class C

       215         1,868         7         1   

Class R2

                               1   

Class R5

       136         1         1           

Class R6

       135,260         88,190         2           

Institutional Class

               17,374                   

Select Class

       4,581         13,524         233         376,003   

Net Asset Value (a):

             

Class A — Redemption price per share

     $ 11.55       $ 21.79       $ 13.46       $ 18.45   

Class C — Offering price per share (b)

       11.41         21.18         13.44         18.46   

Class R2 — Offering and redemption price per share

                               18.46   

Class R5 — Offering and redemption price per share

       11.78         22.49         13.51           

Class R6 — Offering and redemption price per share

       11.64         22.46         13.52           

Institutional Class — Offering and redemption price per share

               22.49                   

Select Class — Offering and redemption price per share

       11.68         22.33         13.51         18.37   

Class A maximum sales charge

       5.25      5.25      5.25      5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 12.19       $ 23.00       $ 14.21       $ 19.47   
    

 

 

    

 

 

    

 

 

    

 

 

 

Cost of investments in non-affiliates

     $ 1,623,811       $ 2,654,117       $ 10,961       $ 6,319,695   

Cost of investments in affiliates

       36,972         91,254         282         17,326   

Cost of foreign currency

       5,936         411         15         692   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         81   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except per share amounts)

 

            
Global
Unconstrained
Equity Fund
     International
Equity Fund
       International
Equity
Income Fund
     International
Opportunities
Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 1,648       $ 3,374,911         $ 131,015       $ 2,681,243   

Investments in affiliates, at value

               36,620           2,567         72,806   
    

 

 

    

 

 

      

 

 

    

 

 

 

Total investment securities, at value

       1,648         3,411,531           133,582         2,754,049   

Cash

       115         50           20         50   

Foreign currency, at value

       1         1,204           87         2,334   

Deposits at broker for futures contracts

                                 4,781   

Due from custodian

                                 2,550   

Receivables:

               

Investment securities sold

       20         6,133                     

Fund shares sold

               329           694         352   

Dividends from non-affiliates

       2         7,974           264         5,363   

Dividends from affiliates

       (a)       7           1         13   

Tax reclaims

       15         3,549           137         2,094   

Unrealized appreciation on forward foreign currency exchange contracts

                         3         17,384   
    

 

 

    

 

 

      

 

 

    

 

 

 

Total Assets

       1,801         3,430,777           134,788         2,788,970   
    

 

 

    

 

 

      

 

 

    

 

 

 

LIABILITIES:

  

Payables:

               

Investment securities purchased

       35         2,884           1         2,563   

Fund shares redeemed

               728           273         300   

Variation margin on futures contracts

                                 186   

Unrealized depreciation on forward foreign currency exchange contracts

                         116         14,045   

Accrued liabilities:

               

Investment advisory fees

       8         2,104           60         1,411   

Administration fees

               90                   191   

Distribution fees

       (a)       60           22         36   

Shareholder servicing fees

       (a)       58           10         103   

Custodian and accounting fees

       8         81           18         65   

Trustees’ and Chief Compliance Officer’s fees

               7           (a)       4   

Audit fees

       76         105           81         83   

Other

       2         194           52         113   
    

 

 

    

 

 

      

 

 

    

 

 

 

Total Liabilities

       129         6,311           633         19,100   
    

 

 

    

 

 

      

 

 

    

 

 

 

Net Assets

     $ 1,672       $ 3,424,466         $ 134,155       $ 2,769,870   
    

 

 

    

 

 

      

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
            
Global
Unconstrained
Equity Fund
     International
Equity Fund
     International
Equity
Income Fund
     International
Opportunities
Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 1,730       $ 3,293,066       $ 140,261       $ 2,737,818   

Accumulated undistributed (distributions in excess of) net investment income

       (5      4,945         248         84,841   

Accumulated net realized gains (losses)

       (52      (45,502      (10,539      (119,423

Net unrealized appreciation (depreciation)

       (1      171,957         4,185         66,634   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total Net Assets

     $ 1,672       $ 3,424,466       $ 134,155       $ 2,769,870   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net Assets:

  

Class A

     $ 417       $ 216,932       $ 66,722       $ 171,940   

Class C

       210         22,235         11,754         1,565   

Class R2

       18         1,461         316           

Class R5

       18         58,836         700           

Class R6

       18         3,030,640         21         2,522,883   

Institutional Class

                               49,483   

Select Class

       991         94,362         54,642         23,999   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     $ 1,672       $ 3,424,466       $ 134,155       $ 2,769,870   
    

 

 

    

 

 

    

 

 

    

 

 

 

Outstanding units of beneficial interest (shares)

  

($0.0001 par value; unlimited number of shares authorized):

             

Class A

       30         15,230         4,639         12,482   

Class C

       15         1,647         822         118   

Class R2

       2         103         22           

Class R5

       1         4,067         49           

Class R6

       1         209,532         1         179,589   

Institutional Class

                               3,521   

Select Class

       70         6,532         3,791         1,715   

Net Asset Value (a):

             

Class A — Redemption price per share

     $ 14.12       $ 14.24       $ 14.38       $ 13.77   

Class C — Offering price per share (b)

       14.02         13.50         14.30         13.30   

Class R2 — Offering and redemption price per share

       14.24         14.17         14.36           

Class R5 — Offering and redemption price per share

       14.24         14.47         14.42           

Class R6 — Offering and redemption price per share

       14.23         14.46         14.41         14.05   

Institutional Class — Offering and redemption price per share

                               14.05   

Select Class — Offering and redemption price per share

       14.23         14.45         14.41         14.00   

Class A maximum sales charge

       5.25      5.25      5.25      5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 14.90       $ 15.03       $ 15.18       $ 14.53   
    

 

 

    

 

 

    

 

 

    

 

 

 

Cost of investments in non-affiliates

     $ 1,649       $ 3,202,583       $ 126,706       $ 2,618,020   

Cost of investments in affiliates

               36,620         2,567         72,806   

Cost of foreign currency

       1         1,203         87         2,338   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         83   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except per share amounts)

 

        International
Research
Enhanced
Equity Fund
     International
Unconstrained
Equity Fund
     International
Value Fund
       Intrepid
International
Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 1,293,063       $ 107,828       $ 1,298,912         $ 2,629,777   

Investments in affiliates, at value

       32,949         2,047         16,805           55,706   
    

 

 

    

 

 

    

 

 

      

 

 

 

Total investment securities, at value

       1,326,012         109,875         1,315,717           2,685,483   

Cash

       35         50         47           50   

Foreign currency, at value

       1,342         38         125           819   

Deposits at broker for futures contracts

       1,244                             

Due from custodian

       2,057         105                     

Receivables:

               

Investment securities sold

               1                     

Fund shares sold

       2,053         109         4,422           188   

Dividends from non-affiliates

       3,177         79         3,355           7,410   

Dividends from affiliates

       10         1         2           12   

Tax reclaims

       2,292         53         2,026           2,595   

Unrealized appreciation on forward foreign currency exchange contracts

                       6,930             

Due from Adviser

       2                             
    

 

 

    

 

 

    

 

 

      

 

 

 

Total Assets

       1,338,224         110,311         1,332,624           2,696,557   
    

 

 

    

 

 

    

 

 

      

 

 

 

LIABILITIES:

  

Payables:

               

Investment securities purchased

       2,067         293         1           12   

Fund shares redeemed

       391         63         14,965           291   

Variation margin on futures contracts

       61                             

Unrealized depreciation on forward foreign currency exchange contracts

                       7,369             

Accrued liabilities:

               

Investment advisory fees

               52         676           1,366   

Administration fees

                       91           185   

Distribution fees

       28         6         140           36   

Shareholder servicing fees

       226         2         207           67   

Custodian and accounting fees

       36         10         57           79   

Trustees’ and Chief Compliance Officer’s fees

       (a)       (a)       2           3   

Sub-transfer agency fees

       80         3         657           68   

Audit fees

       76         77         79           80   

Other

       48         30         160           56   
    

 

 

    

 

 

    

 

 

      

 

 

 

Total Liabilities

       3,013         536         24,404           2,243   
    

 

 

    

 

 

    

 

 

      

 

 

 

Net Assets

     $ 1,335,211       $ 109,775       $ 1,308,220         $ 2,694,314   
    

 

 

    

 

 

    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
84       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
        International
Research
Enhanced
Equity Fund
     International
Unconstrained
Equity Fund
     International
Value Fund
     Intrepid
International
Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 1,297,834       $ 111,868       $ 1,669,370       $ 2,950,565   

Accumulated undistributed (distributions in excess of) net investment income

       28,549         2,550         57,698         60,413   

Accumulated net realized gains (losses)

       (13,336      (5,095      (383,388      (302,873

Net unrealized appreciation (depreciation)

       22,164         452         (35,460      (13,791
    

 

 

    

 

 

    

 

 

    

 

 

 

Total Net Assets

     $ 1,335,211       $ 109,775       $ 1,308,220       $ 2,694,314   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net Assets:

  

Class A

     $ 69,626       $ 14,034       $ 573,449       $ 164,327   

Class C

       13,507         4,626         24,453         2,287   

Class R2

       10,222         20         1,182         503   

Class R5

               20         20           

Class R6

               81,146         27,998         2,487,086   

Institutional Class

                       523,251         23,748   

Select Class

       1,241,856         9,929         157,867         16,363   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     $ 1,335,211       $ 109,775       $ 1,308,220       $ 2,694,314   
    

 

 

    

 

 

    

 

 

    

 

 

 

Outstanding units of beneficial interest (shares)

  

($0.0001 par value; unlimited number of shares authorized):

             

Class A

       4,479         814         46,886         8,912   

Class C

       908         272         2,059         123   

Class R2

       673         1         98         28   

Class R5

               1         2           

Class R6

               4,651         2,238         131,521   

Institutional Class

                       41,848         1,236   

Select Class

       79,195         569         12,556         852   

Net Asset Value (a):

             

Class A — Redemption price per share

     $ 15.54       $ 17.24       $ 12.23       $ 18.44   

Class C — Offering price per share (b)

       14.88         17.04         11.88         18.57   

Class R2 — Offering and redemption price per share

       15.19         17.21         12.04         18.29   

Class R5 — Offering and redemption price per share

               17.44         12.51           

Class R6 — Offering and redemption price per share

               17.45         12.51         18.91   

Institutional Class — Offering and redemption price per share

                       12.50         19.22   

Select Class — Offering and redemption price per share

       15.68         17.45         12.57         19.20   

Class A maximum sales charge

       5.25      5.25      5.25      5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 16.40       $ 18.20       $ 12.91       $ 19.46   
    

 

 

    

 

 

    

 

 

    

 

 

 

Cost of investments in non-affiliates

     $ 1,271,324       $ 107,374       $ 1,333,584       $ 2,643,215   

Cost of investments in affiliates

       32,949         2,047         16,805         55,706   

Cost of foreign currency

       1,354         38         125         826   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         85   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

        Emerging
Economies
Fund
     Emerging
Markets
Equity Fund
     Emerging
Markets
Equity
Income Fund
     Global
Research
Enhanced
Index Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $       $       $       $ 9   

Interest income from affiliates

       6         3                 (a) 

Dividend income from non-affiliates

       40,648         48,831         243         183,964   

Dividend income from affiliates

       108         222         1         123   

Foreign taxes withheld

       (3,676      (3,328      (25      (8,460
    

 

 

    

 

 

    

 

 

    

 

 

 

Total investment income

       37,086         45,728         219         175,636   
    

 

 

    

 

 

    

 

 

    

 

 

 

EXPENSES:

  

Investment advisory fees

       11,693         22,326         48         13,872   

Administration fees

       1,042         1,982         4         5,688   

Distribution fees:

             

Class A

       166         747         5         (a) 

Class C

       21         291         (a)       (a) 

Class R2

                               (a) 

Shareholder servicing fees:

             

Class A

       166         747         5         (a) 

Class C

       7         97         (a)       (a) 

Class R2

                               (a) 

Class R5 (b)

       3         (a)       (a)         

Institutional Class

               305                   

Select Class

       137         700         7         17,340   

Custodian and accounting fees

       852         1,465         50         638   

Interest expense to affiliates

       1                         12   

Professional fees

       110         127         64         149   

Trustees’ and Chief Compliance Officer’s fees

       18         26         15         71   

Printing and mailing costs

       49         74         3         156   

Registration and filing fees

       92         137         61         162   

Transfer agency fees (See Note 2.J.)

       23         114         3         65   

Sub-transfer agency fees (See Note 2.J.)

       102         839                 105   

Offering costs

                       15           

Other

       24         41         7         81   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses

       14,506         30,018         287         38,339   
    

 

 

    

 

 

    

 

 

    

 

 

 

Less fees waived

       (2,073      (4,332      (53      (14,867

Less expense reimbursements

       (5      (3      (166      (1
    

 

 

    

 

 

    

 

 

    

 

 

 

Net expenses

       12,428         25,683         68         23,471   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       24,658         20,045         151         152,165   
    

 

 

    

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

  

Investments in non-affiliates

       (63,142      (69,913      (291      (233,812

Futures

       3,290         1,258         (105      11,473   

Foreign currency transactions

       323         (186      (7      77   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       (59,529      (68,841      (403      (222,262
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

  

Investments in non-affiliates

       132,358 (c)       346,960 (d)       811         127,187   

Futures

       697                         (10,589

Foreign currency translations

       51         19         (a)       (204
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       133,106         346,979         811         116,394   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       73,577         278,138         408         (105,868
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 98,235       $ 298,183       $ 559       $ 46,297   
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016, for Emerging Markets Equity Fund.
(c) Net of change in India capital gains tax of approximately $(867,000) for Emerging Economies Fund.
(d) Net of change in India capital gains tax of approximately $(4,226,000) for Emerging Markets Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
86       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
            
Global
Unconstrained
Equity Fund
     International
Equity Fund
     International
Equity
Income Fund
     International
Opportunities
Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $ (a)     $ (a)     $ 1       $ 1   

Interest income from affiliates

               1         2         1   

Dividend income from non-affiliates

       467         98,535         5,141         83,132   

Dividend income from affiliates

       4         250         12         161   

Foreign taxes withheld

       (18      (7,108      (375      (5,783
    

 

 

    

 

 

    

 

 

    

 

 

 

Total investment income

       453         91,678         4,781         77,512   
    

 

 

    

 

 

    

 

 

    

 

 

 

EXPENSES:

  

Investment advisory fees

       122         25,684         794         15,502   

Administration fees

       14         2,633         93         2,119   

Distribution fees:

             

Class A

       36         564         166         431   

Class C

       2         182         79         11   

Class R2

       (a)       7         1           

Shareholder servicing fees:

             

Class A

       36         564         166         431   

Class C

       1         61         26         4   

Class R2

       (a)       3         (a)         

Class R5

       (a)       28         (a)         

Institutional Class

                               51   

Select Class

       7         301         90         61   

Custodian and accounting fees

       55         497         77         367   

Interest expense to affiliates

       (a)       4         (a)       3   

Professional fees

       74         165         81         129   

Trustees’ and Chief Compliance Officer’s fees

       15         32         15         26   

Printing and mailing costs

       15         125         21         68   

Registration and filing fees

       60         128         59         103   

Transfer agency fees (See Note 2.J.)

       6         76         13         45   

Sub-transfer agency fees (See Note 2.J.)

       18         290         55         142   

Other

       6         51         10         42   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses

       467         31,395         1,746         19,535   
    

 

 

    

 

 

    

 

 

    

 

 

 

Less fees waived

       (136      (3,809      (406      (96

Less expense reimbursements

       (212      (7      (2        
    

 

 

    

 

 

    

 

 

    

 

 

 

Net expenses

       119         27,579         1,338         19,439   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       334         64,099         3,443         58,073   
    

 

 

    

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

  

Investments in non-affiliates

       5,419         (20,832      (9,325      (85,077

Futures

       228                         8,069   

Foreign currency transactions

       135         (1,457      154         29,185   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       5,782         (22,289      (9,171      (47,823
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

  

Investments in non-affiliates

       (108      (25,699      1,540         (81,776

Futures

                               386   

Foreign currency translations

       (a)       54         (117      3,972   
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (108      (25,645      1,423         (77,418
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       5,674         (47,934      (7,748      (125,241
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 6,008       $ 16,165       $ (4,305    $ (67,168
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         87   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

        International
Research
Enhanced
Equity Fund
     International
Unconstrained
Equity Fund
     International
Value Fund
     Intrepid
International
Fund
 

INVESTMENT INCOME:

             

Interest income from non-affiliates

     $ 7       $ (a)     $ (a)     $ 10   

Interest income from affiliates

       1         (a)               1   

Dividend income from non-affiliates

       38,381         2,423         69,083         88,941   

Dividend income from affiliates

       116         9         62         155   

Foreign taxes withheld

       (2,933      (203      (5,984      (7,037
    

 

 

    

 

 

    

 

 

    

 

 

 

Total investment income

       35,572         2,229         63,161         82,070   
    

 

 

    

 

 

    

 

 

    

 

 

 

EXPENSES:

             

Investment advisory fees

       2,151         640         11,292         14,659   

Administration fees

       882         75         1,544         2,003   

Distribution fees:

             

Class A

       180         26         1,580         418   

Class C

       115         33         207         19   

Class R2

       28         (a)       8         2   

Shareholder servicing fees:

             

Class A

       180         26         1,580         418   

Class C

       38         11         69         7   

Class R2

       14         (a)       4         1   

Class R5 (b)

               (a)       (a)         

Institutional Class

                       1,011         31   

Select Class

       2,457         26         485         44   

Custodian and accounting fees

       189         66         223         426   

Interest expense to affiliates

       3         (a)       6         5   

Professional fees

       143         71         131         142   

Trustees’ and Chief Compliance Officer’s fees

       18         15         20         25   

Printing and mailing costs

       65         7         226         58   

Registration and filing fees

       75         46         162         91   

Transfer agency fees (See Note 2.J.)

       58         13         52         36   

Sub-transfer agency fees (See Note 2.J.)

       250         12         2,175         135   

Other

       21         8         32         39   
    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses

       6,867         1,075         20,807         18,559   
    

 

 

    

 

 

    

 

 

    

 

 

 

Less fees waived

       (2,836      (283      (547      (187

Less expense reimbursements

       (a)       (1      (5      (1
    

 

 

    

 

 

    

 

 

    

 

 

 

Net expenses

       4,031         791         20,255         18,371   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       31,541         1,438         42,906         63,699   
    

 

 

    

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

             

Investments in non-affiliates

       (11,238 )(c)       (4,273      (54,223      (12,802

Futures

       3,623                 1,684           

Foreign currency transactions

       (110      1,164         17,781         513   
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       (7,725      (3,109      (34,758      (12,289
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

             

Investments in non-affiliates

       (36,153      2,170         (140,646      (67,533

Futures

       310                           

Foreign currency translations

       (51      (1      (2,092      (214
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (35,894      2,169         (142,738      (67,747
    

 

 

    

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       (43,619      (940      (177,496      (80,036
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ (12,078    $ 498       $ (134,590    $ (16,337
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016, for International Value Fund.
(c) Net of India capital gains tax of approximately $2,000 for International Research Enhanced Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

           
Emerging Economies Fund
       Emerging Markets Equity Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 24,658         $ 14,254         $ 20,045         $ 19,330   

Net realized gain (loss)

       (59,529        (84,340        (68,841        (27,573

Change in net unrealized appreciation/depreciation

       133,106           (71,084        346,979           (380,760
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       98,235           (141,170        298,183           (389,003
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

                   

From net investment income

       (378        (1,309        (1,590        (2,876

Class B (a)

                   

From net investment income

                                     (3

Class C

                   

From net investment income

       (1        (54                  (188

Class R5 (b)

                   

From net investment income

                 (17,780                    

Class R6 (c)

                   

From net investment income

       (12,736                  (13,982        (14,467

Institutional Class

                   

From net investment income

                           (2,796        (4,060

Select Class

                   

From net investment income

       (168        (4,910        (1,894        (5,672
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (13,283        (24,053        (20,262        (27,266
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       593,917           39,393           580,806           147,146   
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       678,869           (125,830        858,727           (269,123

Beginning of period

       1,100,843           1,226,673           2,265,851           2,534,974   
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 1,779,712         $ 1,100,843         $ 3,124,578         $ 2,265,851   
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 21,844         $ 10,066         $ 19,088         $ 19,491   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Commencement of offering of class of shares effective September 9, 2016, for Emerging Markets Equity Fund.
(c) Commencement of offering of class of shares effective September 1, 2015, for Emerging Economies Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         89   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
Emerging Markets Equity Income Fund
     Global Research Enhanced Index Fund  
        Year Ended
October 31, 2016
     Period Ended
October 31, 2015 
(a)
     Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

     $ 151       $ 101       $ 152,165       $ 126,380   

Net realized gain (loss)

       (403      (129      (222,262      (89,014

Change in net unrealized appreciation/depreciation

       811         (394      116,394         101,877   
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

       559         (422      46,297         139,243   
    

 

 

    

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

             

From net investment income

       (85      (2      (b)       (1

From net realized gains

                               (1

Class C

             

From net investment income

       (1      (1              (b) 

From net realized gains

                               (1

Class R2

             

From net investment income

                       (b)       (b) 

From net realized gains

                               (1

Class R5

             

From net investment income

       (b)       (b)                 

Class R6

             

From net investment income

       (1      (1                

Select Class

             

From net investment income

       (54      (84      (138,054      (71,222

From net realized gains

                               (47,876
    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to shareholders

       (141      (88      (138,054      (119,102
    

 

 

    

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       8,465         3,203         (416,215      3,817,424   
    

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS:

  

Change in net assets

       8,883         2,693         (507,972      3,837,565   

Beginning of period

       2,693                 7,415,278         3,577,713   
    

 

 

    

 

 

    

 

 

    

 

 

 

End of period

     $ 11,576       $ 2,693       $ 6,907,306       $ 7,415,278   
    

 

 

    

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 15       $ 12       $ 125,863       $ 112,183   
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Commencement of operations was December 12, 2014.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
90       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
           
Global Unconstrained Equity Fund
       International Equity Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                 

Net investment income (loss)

     $ 334       $ 38         $ 64,099         $ 52,700   

Net realized gain (loss)

       5,782         482           (22,289        (11,664

Change in net unrealized appreciation/depreciation

       (108      (275        (25,645        (93,907
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       6,008         245           16,165           (52,871
    

 

 

    

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

                 

From net investment income

       (443      (2        (3,550        (3,160

From net realized gains

       (5,070      (24                    

Return of capital

       (841                            

Class B (a)

                 

From net investment income

                                   (1

Class C

                 

From net investment income

       (4      (2        (328        (332

From net realized gains

       (7      (36                    

Return of capital

       (17                            

Class R2

                 

From net investment income

       (b)       (1        (21        (13

From net realized gains

       (1      (16                    

Return of capital

       (1                            

Class R5

                 

From net investment income

       (b)       (2        (1,103        (1,256

From net realized gains

       (b)       (16                    

Return of capital

       (1                            

Class R6

                 

From net investment income

       (b)       (2        (57,230        (36,053

From net realized gains

       (b)       (16                    

Return of capital

       (1                            

Select Class

                 

From net investment income

       (78      (89        (2,129        (8,468

From net realized gains

       (590      (887                    

Return of capital

       (169                            
    

 

 

    

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (7,223      (1,093        (64,361        (49,283
    

 

 

    

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       1,246         (2,043        550,039           537,987   
    

 

 

    

 

 

      

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       31         (2,891        501,843           435,833   

Beginning of period

       1,641         4,532           2,922,623           2,486,790   
    

 

 

    

 

 

      

 

 

      

 

 

 

End of period

     $ 1,672       $ 1,641         $ 3,424,466         $ 2,922,623   
    

 

 

    

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ (5    $ 12         $ 4,945         $ 6,664   
    

 

 

    

 

 

      

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         91   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
International Equity Income Fund
       International Opportunities Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
       Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

               

Net investment income (loss)

     $ 3,443       $ 2,671         $ 58,073       $ 32,441   

Net realized gain (loss)

       (9,171      1,803           (47,823      (49,185

Change in net unrealized appreciation/depreciation

       1,423         (6,667        (77,418      27,406   
    

 

 

    

 

 

      

 

 

    

 

 

 

Change in net assets resulting from operations

       (4,305      (2,193        (67,168      10,662   
    

 

 

    

 

 

      

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

               

From net investment income

       (2,121      (2,802        (362      (1,196

From net realized gains

       (1,055      (747                  

Class B (a)

               

From net investment income

                                 (3

Class C

               

From net investment income

       (297      (160        (b)       (26

From net realized gains

       (151      (30                  

Class R2

               

From net investment income

       (4      (19                  

From net realized gains

       (1      (5                  

Class R5

               

From net investment income

       (14      (21                  

From net realized gains

       (b)       (6                  

Class R6 (c)

               

From net investment income

       (1      (1        (13,758      (43,134

From net realized gains

       (1                          

Institutional Class

               

From net investment income

                         (312      (1,208

Select Class

               

From net investment income

       (1,237      (1,460        (55      (1,161

From net realized gains

       (534      (342                  
    

 

 

    

 

 

      

 

 

    

 

 

 

Total distributions to shareholders

       (5,416      (5,593        (14,487      (46,728
    

 

 

    

 

 

      

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       33,459         4,141           611,155         520,590   
    

 

 

    

 

 

      

 

 

    

 

 

 

NET ASSETS:

  

Change in net assets

       23,738         (3,645        529,500         484,524   

Beginning of period

       110,417         114,062           2,240,370         1,755,846   
    

 

 

    

 

 

      

 

 

    

 

 

 

End of period

     $ 134,155       $ 110,417         $ 2,769,870       $ 2,240,370   
    

 

 

    

 

 

      

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 248       $ 30         $ 84,841       $ 11,104   
    

 

 

    

 

 

      

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class shares effective January 30, 2015, for International Equity Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
       International Research Enhanced
Equity Fund
       International Unconstrained
Equity Fund
 
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                 

Net investment income (loss)

     $ 31,541         $ 21,426         $ 1,438       $ 235   

Net realized gain (loss)

       (7,725        5,781           (3,109      (835

Change in net unrealized appreciation/depreciation

       (35,894        (31,203        2,169         (2,078
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from operations

       (12,078        (3,996        498         (2,678
    

 

 

      

 

 

      

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

                 

From net investment income

       (1,772        (2,144        (18      (3

From net realized gains

       (738        (14,822                (23

Class B (a)

                 

From net investment income

                 (30                  

From net realized gains

                 (279                  

Class C

                 

From net investment income

       (316        (384        (3      (1

From net realized gains

       (169        (3,366                (9

Class R2

                 

From net investment income

       (80        (65                (1

From net realized gains

       (35        (441                (5

Class R5

                 

From net investment income

                           (b)       (1

From net realized gains

                                   (5

Class R6

                 

From net investment income

                           (253      (1

From net realized gains

                                   (5

Select Class

                 

From net investment income

       (19,237        (14,339                (44

From net realized gains

       (7,017        (90,006                (267
    

 

 

      

 

 

      

 

 

    

 

 

 

Total distributions to shareholders

       (29,364        (125,876        (274      (365
    

 

 

      

 

 

      

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       492,324           330,697           35,055         72,975   
    

 

 

      

 

 

      

 

 

    

 

 

 

NET ASSETS:

  

Change in net assets

       450,882           200,825           35,279         69,932   

Beginning of period

       884,329           683,504           74,496         4,564   
    

 

 

      

 

 

      

 

 

    

 

 

 

End of period

     $ 1,335,211         $ 884,329         $ 109,775       $ 74,496   
    

 

 

      

 

 

      

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 28,549         $ 18,491         $ 2,550       $ 222   
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         93   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
International Value Fund
       Intrepid International Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 42,906         $ 46,749         $ 63,699         $ 41,458   

Net realized gain (loss)

       (34,758        836           (12,289        (23,971

Change in net unrealized appreciation/depreciation

       (142,738        (132,259        (67,747        (9,677
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       (134,590        (84,674        (16,337        7,810   
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

                   

From net investment income

       (7,469        (17,828        (2,746        (1,178

Class B (a)

                   

From net investment income

                 (34                    

Class C

                   

From net investment income

       (176        (874        (35        (7

Class R2

                   

From net investment income

       (18        (54        (3        (1

Class R6 (b)

                   

From net investment income

       (61        (1,141        (39,523          

Institutional Class

                   

From net investment income

       (19,068        (104,543        (210        (23,132

Select Class

                   

From net investment income

       (2,865        (10,060        (365        (194
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (29,657        (134,534        (42,882        (24,512
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       (971,729        (1,126,276        671,617           505,255   
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       (1,135,976        (1,345,484        612,398           488,553   

Beginning of period

       2,444,196           3,789,680           2,081,916           1,593,363   
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 1,308,220         $ 2,444,196         $ 2,694,314         $ 2,081,916   
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 57,698         $ 25,330         $ 60,413         $ 36,755   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Commencement of offering of class shares effective May 29, 2015, for Intrepid International Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
94       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
         
Emerging Economies Fund
     Emerging Markets Equity Fund  
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

           

Class A

           

Proceeds from shares issued

   $ 124,070       $ 39,047       $ 206,821       $ 141,966   

Distributions reinvested

     378         703         1,541         2,387   

Cost of shares redeemed

     (24,840      (68,699      (105,922      (164,706

Conversion from Class B Shares

                             1,651   
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

   $ 99,608       $ (28,949    $ 102,440       $ (18,702
  

 

 

    

 

 

    

 

 

    

 

 

 

Class B (a)

           

Proceeds from shares issued

   $       $       $       $ 103   

Distributions reinvested

                             3   

Cost of shares redeemed

                             (954

Conversion to Class A Shares

                             (1,651
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class B capital transactions

   $       $       $       $ (2,499
  

 

 

    

 

 

    

 

 

    

 

 

 

Class C

           

Proceeds from shares issued

   $ 283       $ 694       $ 7,659       $ 10,799   

Distributions reinvested

     1         54                 176   

Cost of shares redeemed

     (1,482      (1,667      (15,484      (14,202
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

   $ (1,198    $ (919    $ (7,825    $ (3,227
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R5 (b)

           

Proceeds from shares issued

   $ 79,836       $ 514,420       $ 20       $   

Distributions reinvested

             17,780                   

Cost of shares redeemed

     (158,991      (1,200,435                
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ (79,155    $ (668,235    $ 20       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R6 (c)

           

Proceeds from shares issued

   $ 962,670       $ 743,085       $ 895,741       $ 600,665   

Distributions reinvested

     12,736                 13,982         14,467   

Cost of shares redeemed

     (206,220      (150      (232,265      (448,676
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ 769,186       $ 742,935       $ 677,458       $ 166,456   
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Class

           

Proceeds from shares issued

   $       $       $ 177,616       $ 154,149   

Distributions reinvested

                     1,936         2,196   

Cost of shares redeemed

                     (138,231      (175,383
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Institutional Class capital transactions

   $       $       $ 41,321       $ (19,038
  

 

 

    

 

 

    

 

 

    

 

 

 

Select Class

           

Proceeds from shares issued

   $ 21,815       $ 39,198       $ 115,950       $ 169,818   

Distributions reinvested

     86         4,292         1,651         5,148   

Cost of shares redeemed

     (216,425      (48,929      (350,209      (150,810
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ (194,524    $ (5,439    $ (232,608    $ 24,156   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

   $ 593,917       $ 39,393       $ 580,806       $ 147,146   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Commencement of offering of class of shares effective September 9, 2016, for Emerging Markets Equity Fund.
(c) Commencement of offering of class of shares effective September 1, 2015, for Emerging Economies Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         95   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

         
Emerging Economies Fund
     Emerging Markets Equity Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
     Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     11,197        3,271         10,198         6,573   

Reinvested

     36        58         84         110   

Redeemed

     (2,309     (5,564      (5,454      (7,475

Conversion from Class B Shares

                            76   
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Class A Shares

     8,924        (2,235      4,828         (716
  

 

 

   

 

 

    

 

 

    

 

 

 

Class B (a)

  

Issued

                            5   

Reinvested

                            (b) 

Redeemed

                            (43

Conversion to Class A Shares

                            (78
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Class B Shares

                            (116
  

 

 

   

 

 

    

 

 

    

 

 

 

Class C

  

Issued

     28        56         402         507   

Reinvested

     (b)      5                 8   

Redeemed

     (145     (141      (822      (691
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Class C Shares

     (117     (80      (420      (176
  

 

 

   

 

 

    

 

 

    

 

 

 

Class R5 (c)

  

Issued

     7,225        44,196         1           

Reinvested

            1,470                   

Redeemed

     (14,428     (102,824                
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Class R5 Shares

     (7,203     (57,158      1           
  

 

 

   

 

 

    

 

 

    

 

 

 

Class R6 (d)

  

Issued

     87,032        65,993         42,972         28,601   

Reinvested

     1,219                745         646   

Redeemed

     (18,962     (22      (11,576      (19,445
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Class R6 Shares

     69,289        65,971         32,141         9,802   
  

 

 

   

 

 

    

 

 

    

 

 

 

Institutional Class

  

Issued

                    8,547         6,950   

Reinvested

                    103         98   

Redeemed

                    (6,992      (8,181
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Institutional Class Shares

                    1,658         (1,133
  

 

 

   

 

 

    

 

 

    

 

 

 

Select Class

  

Issued

     2,004        3,352         5,865         7,719   

Reinvested

     8        355         88         231   

Redeemed

     (19,109     (3,905      (17,594      (6,853
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in Select Class Shares

     (17,097     (198      (11,641      1,097   
  

 

 

   

 

 

    

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective September 9, 2016, for Emerging Markets Equity Fund.
(d) Commencement of offering of class of shares effective September 1, 2015, for Emerging Economies Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
96       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
     Emerging Markets
Equity Income Fund
    Global Research
Enhanced Index Fund
 
      Year Ended
October 31, 2016
    Period Ended
October 31, 2015 
(a)
    Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

        

Class A

        

Proceeds from shares issued

   $ 8,578      $ 95      $ (b)    $   

Distributions reinvested

     85        2        (b)      2   

Cost of shares redeemed

     (653     (b)             (45
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class A capital transactions

   $ 8,010      $ 97      $ (b)    $ (43
  

 

 

   

 

 

   

 

 

   

 

 

 

Class C

        

Proceeds from shares issued

   $ 57      $ 37      $      $   

Distributions reinvested

     1        1               1   

Cost of shares redeemed

     (b)                    (45
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class C capital transactions

   $ 58      $ 38      $      $ (44
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R2

        

Proceeds from shares issued

   $      $      $      $   

Distributions reinvested

                   (b)      1   

Cost of shares redeemed

                          (45
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $      $      $ (b)    $ (44
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R5

        

Proceeds from shares issued

   $ (b)    $ 20      $      $   

Distributions reinvested

     (b)      (b)               

Cost of shares redeemed

     (b)                      
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ (b)    $ 20      $      $   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

        

Proceeds from shares issued

   $ 8      $ 20      $      $   

Distributions reinvested

     1        1                 

Cost of shares redeemed

     (4                     
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ 5      $ 21      $      $   
  

 

 

   

 

 

   

 

 

   

 

 

 

Select Class

        

Proceeds from shares issued

   $ 397      $ 2,943      $ 1,314,724      $ 4,477,297   

Distributions reinvested

     54        84        9,477        12,872   

Cost of shares redeemed

     (59            (1,740,416     (672,614
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ 392      $ 3,027      $ (416,215   $ 3,817,555   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total change in net assets resulting from capital transactions

   $ 8,465      $ 3,203      $ (416,215   $ 3,817,424   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Commencement of operations was December 12, 2014.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         97   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     Emerging Markets
Equity Income Fund
    Global Research
Enhanced Index Fund
 
      Year Ended
October 31, 2016
    Period Ended
October 31, 2015 
(a)
    Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     652        7                 

Reinvested

     7        (b)      (b)      (b) 

Redeemed

     (50     (b)             (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class A Shares

     609        7        (b)      (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Class C

  

Issued

     4        3                 

Reinvested

     (b)      (b)             (b) 

Redeemed

                          (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class C Shares

     4        3               (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R2

  

Reinvested

                   (b)      (b) 

Redeemed

                          (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R2 Shares

                   (b)      (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R5

  

Issued

            1                 

Reinvested

     (b)      (b)               
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R5 Shares

     (b)      1                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R6

  

Issued

     1        1                 

Reinvested

     (b)      (b)               

Redeemed

     (b)                      
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R6 Shares

     1        1                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Select Class

  

Issued

     30        196        74,956        245,025   

Reinvested

     4        7        538        703   

Redeemed

     (4            (99,095     (36,321
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Select Class Shares

     30        203        (23,601     209,407   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Commencement of operations was December 12, 2014.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
98       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
         
Global Unconstrained Equity Fund
     International Equity Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
     Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

          

Class A

          

Proceeds from shares issued

   $ 121,461      $ 237       $ 110,321       $ 132,476   

Distributions reinvested

     6,351        18         3,515         1,943   

Cost of shares redeemed

     (126,936     (64      (113,970      (86,116

Conversion from Class B Shares

                            650   
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

   $ 876      $ 191       $ (134    $ 48,953   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class B (a)

          

Proceeds from shares issued

   $      $       $       $ 16   

Distributions reinvested

                            1   

Cost of shares redeemed

                            (370

Conversion to Class A Shares

                            (650
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class B capital transactions

   $      $       $       $ (1,003
  

 

 

   

 

 

    

 

 

    

 

 

 

Class C

          

Proceeds from shares issued

   $ 50      $ 311       $ 2,485       $ 8,119   

Distributions reinvested

     26        31         272         271   

Cost of shares redeemed

     (146     (59      (7,667      (5,118
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

   $ (70   $ 283       $ (4,910    $ 3,272   
  

 

 

   

 

 

    

 

 

    

 

 

 

Class R2

          

Proceeds from shares issued

   $ (b)    $ 7       $ 883       $ 437   

Distributions reinvested

            10         10         6   

Cost of shares redeemed

     (b)      (58      (596      (606
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ (b)    $ (41    $ 297       $ (163
  

 

 

   

 

 

    

 

 

    

 

 

 

Class R5

          

Proceeds from shares issued

   $ (b)    $ 8       $ 6,787       $ 12,066   

Distributions reinvested

            10         1,103         1,256   

Cost of shares redeemed

     (b)      (60      (4,763      (49,835
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ (b)    $ (42    $ 3,127       $ (36,513
  

 

 

   

 

 

    

 

 

    

 

 

 

Class R6

          

Proceeds from shares issued

   $      $ 8       $ 1,159,108       $ 643,342   

Distributions reinvested

            11         57,229         36,053   

Cost of shares redeemed

     (b)      (61      (239,110      (200,977
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ (b)    $ (42    $ 977,227       $ 478,418   
  

 

 

   

 

 

    

 

 

    

 

 

 

Select Class

          

Proceeds from shares issued

   $ 15,051      $ 915       $ 32,905       $ 190,845   

Distributions reinvested

     803        565         1,578         7,832   

Cost of shares redeemed

     (15,414     (3,872      (460,051      (153,654
  

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ 440      $ (2,392    $ (425,568    $ 45,023   
  

 

 

   

 

 

    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

   $ 1,246      $ (2,043    $ 550,039       $ 537,987   
  

 

 

   

 

 

    

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         99   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

         
Global Unconstrained Equity Fund
    International Equity Fund  
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
    Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     9,129         14        8,046         8,553   

Reinvested

     478         1        265         124   

Redeemed

     (9,592      (4     (8,294      (5,716

Conversion from Class B Shares

                            40   
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class A Shares

     15         11        17         3,001   
  

 

 

    

 

 

   

 

 

    

 

 

 

Class B (a)

  

Issued

                            2   

Reinvested

                            (b) 

Redeemed

                            (25

Conversion to Class A Shares

                            (42
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class B Shares

                            (65
  

 

 

    

 

 

   

 

 

    

 

 

 

Class C

  

Issued

     3         18        189         544   

Reinvested

     2         2        22         18   

Redeemed

     (10      (4     (584      (353
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class C Shares

     (5      16        (373      209   
  

 

 

    

 

 

   

 

 

    

 

 

 

Class R2

  

Issued

             (b)      64         30   

Reinvested

             (b)      1         (b) 

Redeemed

             (2     (44      (40
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class R2 Shares

             (2     21         (10
  

 

 

    

 

 

   

 

 

    

 

 

 

Class R5

  

Issued

             (b)      483         767   

Reinvested

             1        81         79   

Redeemed

             (4     (338      (3,196
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class R5 Shares

             (3     226         (2,350
  

 

 

    

 

 

   

 

 

    

 

 

 

Class R6

  

Issued

             1        82,405         41,655   

Reinvested

             1        4,227         2,277   

Redeemed

             (5     (16,681      (13,127
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Class R6 Shares

             (3     69,951         30,805   
  

 

 

    

 

 

   

 

 

    

 

 

 

Select Class

  

Issued

     1,096         56        2,347         12,232   

Reinvested

     60         33        117         491   

Redeemed

     (1,149      (238     (30,864      (9,778
  

 

 

    

 

 

   

 

 

    

 

 

 

Change in Select Class Shares

     7         (149     (28,400      2,945   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
100       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
         
International Equity Income Fund
    International Opportunities Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
    Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

        

Class A

        

Proceeds from shares issued

   $ 47,652      $ 58,461      $ 107,477      $ 136,311   

Distributions reinvested

     3,171        1,987        362        667   

Cost of shares redeemed

     (45,371     (63,685     (84,187     (88,624

Conversion from Class B Shares

                          98   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class A capital transactions

   $ 5,452      $ (3,237   $ 23,652      $ 48,452   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class B (a)

        

Proceeds from shares issued

   $      $      $      $ (b) 

Distributions reinvested

                          3   

Cost of shares redeemed

                          (103

Conversion to Class A Shares

                          (98
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class B capital transactions

   $      $      $      $ (198
  

 

 

   

 

 

   

 

 

   

 

 

 

Class C

        

Proceeds from shares issued

   $ 7,012      $ 6,733      $ 469      $ 815   

Distributions reinvested

     445        188        (b)      23   

Cost of shares redeemed

     (3,519     (1,399     (554     (485
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class C capital transactions

   $ 3,938      $ 5,522      $ (85   $ 353   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R2

        

Proceeds from shares issued

   $ 282      $ 245      $      $   

Distributions reinvested

     5        24                 

Cost of shares redeemed

     (12     (798              
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ 275      $ (529   $      $   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R5

        

Proceeds from shares issued

   $ 696      $ 1      $      $   

Distributions reinvested

     14        27                 

Cost of shares redeemed

     (14     (600              
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ 696      $ (572   $      $   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R6 (c)

        

Proceeds from shares issued

   $ 1      $ 20      $ 871,518      $ 566,773   

Distributions reinvested

     2        1        13,758        43,134   

Cost of shares redeemed

     (b)      (b)      (295,100     (114,856
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ 3      $ 21      $ 590,176      $ 495,051   
  

 

 

   

 

 

   

 

 

   

 

 

 

Institutional Class

        

Proceeds from shares issued

   $      $      $ 11,992      $ 16,816   

Distributions reinvested

                   243        832   

Cost of shares redeemed

                   (15,183     (17,121
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Institutional Class capital transactions

   $      $      $ (2,948   $ 527   
  

 

 

   

 

 

   

 

 

   

 

 

 

Select Class

        

Proceeds from shares issued

   $ 54,317      $ 32,401      $ 8,676      $ 11,466   

Distributions reinvested

     1,598        1,227        35        899   

Cost of shares redeemed

     (32,820     (30,692     (8,351     (35,960
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ 23,095      $ 2,936      $ 360      $ (23,595
  

 

 

   

 

 

   

 

 

   

 

 

 

Total change in net assets resulting from capital transactions

   $ 33,459      $ 4,141      $ 611,155      $ 520,590   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class shares effective January 30, 2015, for International Equity Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         101   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

         
International Equity Income Fund
    International Opportunities Fund  
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
    Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     3,246        3,583        7,900        9,264   

Reinvested

     216        123        26        47   

Redeemed

     (3,069     (4,009     (6,175     (6,062

Conversion from Class B Shares

                          6   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class A Shares

     393        (303     1,751        3,255   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class B (a)

  

Issued

                          1   

Reinvested

                          (b) 

Redeemed

                          (8

Conversion to Class A Shares

                          (6
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class B Shares

                          (13
  

 

 

   

 

 

   

 

 

   

 

 

 

Class C

  

Issued

     479        413        36        56   

Reinvested

     31        12        (b)      2   

Redeemed

     (243     (86     (42     (34
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class C Shares

     267        339        (6     24   
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R2

  

Issued

     19        16                 

Reinvested

     (b)      1                 

Redeemed

     (1     (48              
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R2 Shares

     18        (31              
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R5

  

Issued

     48                        

Reinvested

     1        2                 

Redeemed

     (1     (37              
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R5 Shares

     48        (35              
  

 

 

   

 

 

   

 

 

   

 

 

 

Class R6 (c)

  

Issued

     (b)      1        63,733        38,682   

Reinvested

     (b)      (b)      975        2,979   

Redeemed

     (b)             (20,913     (7,635
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Class R6 Shares

     (b)      1        43,795        34,026   
  

 

 

   

 

 

   

 

 

   

 

 

 

Institutional Class

  

Issued

                   861        1,107   

Reinvested

                   17        57   

Redeemed

                   (1,102     (1,144
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Institutional Class Shares

                   (224     20   
  

 

 

   

 

 

   

 

 

   

 

 

 

Select Class

  

Issued

     3,700        1,976        636        778   

Reinvested

     108        76        3        62   

Redeemed

     (2,258     (1,921     (596     (2,328
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Select Class Shares

     1,550        131        43        (1,488
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class shares effective January 30, 2015, for International Equity Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
102       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
     International Research Enhanced
Equity Fund
     International Unconstrained
Equity Fund
 
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

          

Class A

          

Proceeds from shares issued

   $ 9,158       $ 11,729       $ 11,592      $ 6,956   

Distributions reinvested

     2,436         16,487         18        26   

Cost of shares redeemed

     (19,422      (25,950      (3,467     (1,313

Conversion from Class B Shares

             1,210                  
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class A capital transactions

   $ (7,828    $ 3,476       $ 8,143      $ 5,669   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class B (a)

          

Proceeds from shares issued

   $       $ 4       $      $   

Distributions reinvested

             305                  

Cost of shares redeemed

             (612               

Conversion to Class A Shares

             (1,210               
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class B capital transactions

   $       $ (1,513    $      $   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class C

          

Proceeds from shares issued

   $ 998       $ 3,206       $ 2,759      $ 3,688   

Distributions reinvested

     467         3,601         3        10   

Cost of shares redeemed

     (5,171      (5,182      (1,551     (334
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class C capital transactions

   $ (3,706    $ 1,625       $ 1,211      $ 3,364   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R2

          

Proceeds from shares issued

   $ 8,693       $ 2,346       $      $ (b) 

Distributions reinvested

     28         130                6   

Cost of shares redeemed

     (1,738      (1,185      (b)      (52
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ 6,983       $ 1,291       $ (b)    $ (46
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R5

          

Proceeds from shares issued

   $       $       $      $ (b) 

Distributions reinvested

                     (b)      6   

Cost of shares redeemed

                     (b)      (53
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $       $       $ (b)    $ (47
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R6

          

Proceeds from shares issued

   $       $       $ 75,541      $ 5,150   

Distributions reinvested

                     253        6   

Cost of shares redeemed

                     4        (53
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $       $       $ 75,798      $ 5,103   
  

 

 

    

 

 

    

 

 

   

 

 

 

Select Class

          

Proceeds from shares issued

   $ 568,584       $ 282,422       $ 7,331      $ 63,186   

Distributions reinvested

     25,196         93,786                311   

Cost of shares redeemed

     (96,905      (50,390      (57,428     (4,565
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ 496,875       $ 325,818       $ (50,097   $ 58,932   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total change in net assets resulting from capital transactions

   $ 492,324       $ 330,697       $ 35,055      $ 72,975   
  

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         103   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     International Research Enhanced
Equity Fund
    International Unconstrained
Equity Fund
 
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
    Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     600         687        688        387   

Reinvested

     157         1,007        1        2   

Redeemed

     (1,276      (1,492     (206     (77

Conversion from Class B Shares

             69                 
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class A Shares

     (519      271        483        312   
  

 

 

    

 

 

   

 

 

   

 

 

 

Class B (a)

  

Issued

             (b)               

Reinvested

             21                 

Redeemed

             (38              

Conversion to Class A Shares

             (76              
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class B Shares

             (93              
  

 

 

    

 

 

   

 

 

   

 

 

 

Class C

  

Issued

     67         196        167        208   

Reinvested

     32         229        (b)      1   

Redeemed

     (353      (316     (92     (19
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class C Shares

     (254      109        75        190   
  

 

 

    

 

 

   

 

 

   

 

 

 

Class R2

  

Issued

     581         141                 

Reinvested

     2         8               (b) 

Redeemed

     (115      (70            (2
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class R2 Shares

     468         79               (2
  

 

 

    

 

 

   

 

 

   

 

 

 

Class R5

  

Reinvested

                    (b)      (b) 

Redeemed

                           (2
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class R5 Shares

                    (b)      (2
  

 

 

    

 

 

   

 

 

   

 

 

 

Class R6

  

Issued

                    4,336        301   

Reinvested

                    15        (b) 

Redeemed

                    (1     (3
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Class R6 Shares

                    4,350        298   
  

 

 

    

 

 

   

 

 

   

 

 

 

Select Class

  

Issued

     37,181         16,621        438        3,408   

Reinvested

     1,614         5,675               19   

Redeemed

     (6,312      (2,957     (3,248     (255
  

 

 

    

 

 

   

 

 

   

 

 

 

Change in Select Class Shares

     32,483         19,339        (2,810     3,172   
  

 

 

    

 

 

   

 

 

   

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
104       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
         
International Value Fund
     Intrepid International Fund  
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
     Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

           

Class A

           

Proceeds from shares issued

   $ 205,683       $ 371,930       $ 102,499       $ 95,968   

Distributions reinvested

     7,392         17,402         2,734         490   

Cost of shares redeemed

     (291,409      (138,921      (87,263      (42,454

Conversion from Class B Shares

             971                   
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

   $ (78,334    $ 251,382       $ 17,970       $ 54,004   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class B (a)

           

Proceeds from shares issued

   $       $ 25       $       $   

Distributions reinvested

             30                   

Cost of shares redeemed

             (679                

Conversion to Class A Shares

             (971                
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class B capital transactions

   $       $ (1,595    $       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class C

           

Proceeds from shares issued

   $ 5,220       $ 11,310       $ 651       $ 1,873   

Distributions reinvested

     154         726         32         6   

Cost of shares redeemed

     (10,150      (9,151      (1,054      (324
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

   $ (4,776    $ 2,885       $ (371    $ 1,555   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R2

           

Proceeds from shares issued

   $ 765       $ 867       $ 318       $ 215   

Distributions reinvested

     8         19         3         1   

Cost of shares redeemed

     (1,410      (577      (41      (81
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ (637    $ 309       $ 280       $ 135   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R5 (b)

           

Proceeds from shares issued

   $ 20       $       $       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ 20       $       $       $   
  

 

 

    

 

 

    

 

 

    

 

 

 

Class R6 (c)

           

Proceeds from shares issued

   $ 28,014       $ 2,297       $ 900,498       $ 1,949,477   

Distributions reinvested

     61         36         39,523           

Cost of shares redeemed

     (2,057      (29,993      (259,983      (16,332
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ 26,018       $ (27,660    $ 680,038       $ 1,933,145   
  

 

 

    

 

 

    

 

 

    

 

 

 

Institutional Class

           

Proceeds from shares issued

   $ 320,955       $ 578,308       $ 3,104       $ 387,580   

Distributions reinvested

     13,888         74,288         50         22,528   

Cost of shares redeemed

     (1,188,471      (1,957,791      (27,450      (1,897,256
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Institutional Class capital transactions

   $ (853,628    $ (1,305,195    $ (24,296    $ (1,487,148
  

 

 

    

 

 

    

 

 

    

 

 

 

Select Class

           

Proceeds from shares issued

   $ 57,659       $ 63,280       $ 6,578       $ 8,368   

Distributions reinvested

     1,701         4,957         221         105   

Cost of shares redeemed

     (119,752      (114,639      (8,803      (4,909
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ (60,392    $ (46,402    $ (2,004    $ 3,564   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

   $ (971,729    $ (1,126,276    $ 671,617       $ 505,255   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Commencement of offering of class shares effective September 9, 2016, for International Value Fund.
(c) Commencement of offering of class shares effective May 29, 2015, for Intrepid International Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         105   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

         
International Value Fund
     Intrepid International Fund  
      Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

     17,288         27,494         5,754        4,850   

Reinvested

     600         1,313         148        26   

Redeemed

     (24,382      (10,221      (4,883     (2,172

Conversion from Class B Shares

             69                  
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class A Shares

     (6,494      18,655         1,019        2,704   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class B (a)

  

Issued

             2                  

Reinvested

             2                  

Redeemed

             (49               

Conversion to Class A Shares

             (69               
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class B Shares

             (114               
  

 

 

    

 

 

    

 

 

   

 

 

 

Class C

  

Issued

     445         847         35        92   

Reinvested

     13         56         2        (b) 

Redeemed

     (874      (700      (57     (16
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class C Shares

     (416      203         (20     76   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R2

  

Issued

     65         65         18        11   

Reinvested

     1         2         (b)      (b) 

Redeemed

     (118      (44      (2     (4
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class R2 Shares

     (52      23         16        7   
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R5 (c)

  

Issued

     2                          
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class R5 Shares

     2                          
  

 

 

    

 

 

    

 

 

   

 

 

 

Class R6 (d)

  

Issued

     2,230         163         49,855        94,346   

Reinvested

     5         3         2,101          

Redeemed

     (174      (2,138      (13,945     (836
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class R6 Shares

     2,061         (1,972      38,011        93,510   
  

 

 

    

 

 

    

 

 

   

 

 

 

Institutional Class

  

Issued

     26,460         41,907         170        19,195   

Reinvested

     1,108         5,511         3        1,164   

Redeemed

     (97,097      (139,563      (1,551     (91,679
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Institutional Class Shares

     (69,529      (92,145      (1,378     (71,320
  

 

 

    

 

 

    

 

 

   

 

 

 

Select Class

  

Issued

     4,708         4,565         354        405   

Reinvested

     135         365         12        5   

Redeemed

     (9,716      (8,265      (472     (241
  

 

 

    

 

 

    

 

 

   

 

 

 

Change in Select Class Shares

     (4,873      (3,335      (106     169   
  

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class shares effective September 9, 2016, for International Value Fund.
(d) Commencement of offering of class shares effective May 29, 2015, for Intrepid International Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
106       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         107   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Emerging Economies Fund

  

Class A

  

Year Ended October 31, 2016

     $ 11.03         $ 0.15       $ 0.46         $ 0.61         $ (0.09

Year Ended October 31, 2015

       13.13           0.13 (g)       (2.03        (1.90        (0.20

Year Ended October 31, 2014

       13.63           0.22         (0.57        (0.35        (0.15

Year Ended October 31, 2013

       12.88           0.19         0.67           0.86           (0.11

Year Ended October 31, 2012

       12.65           0.17         0.21           0.38           (0.15

Class C

  

Year Ended October 31, 2016

       10.86           0.09         0.46           0.55           (h) 

Year Ended October 31, 2015

       12.92           0.10 (g)       (2.03        (1.93        (0.13

Year Ended October 31, 2014

       13.44           0.15         (0.57        (0.42        (0.10

Year Ended October 31, 2013

       12.72           0.13         0.66           0.79           (0.07

Year Ended October 31, 2012

       12.58           0.15         0.15           0.30           (0.16

Class R5

  

Year Ended October 31, 2016

       11.11           0.05         0.62           0.67             

Year Ended October 31, 2015

       13.22           0.20 (g)       (2.06        (1.86        (0.25

Year Ended October 31, 2014

       13.71           0.29         (0.58        (0.29        (0.20

Year Ended October 31, 2013

       12.94           0.25         0.68           0.93           (0.16

Year Ended October 31, 2012

       12.71           0.25         0.18           0.43           (0.20

Class R6

  

Year Ended October 31, 2016

       11.11           0.21         0.46           0.67           (0.14

September 1, 2015 (i) through October 31, 2015

       10.46           (0.02 )(g)       0.67           0.65             

Select Class

  

Year Ended October 31, 2016

       11.06           0.18         0.47           0.65           (0.03

Year Ended October 31, 2015

       13.17           0.18 (g)       (2.06        (1.88        (0.23

Year Ended October 31, 2014

       13.67           0.26         (0.58        (0.32        (0.18

Year Ended October 31, 2013

       12.91           0.21         0.70           0.91           (0.15

Year Ended October 31, 2012

       12.68           0.22         0.18           0.40           (0.17

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Amount rounds to less than $0.01.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
108       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 11.55        5.62   $ 148,331        1.42     1.42     1.70     72
  11.03        (14.60     43,220        1.58        1.06 (g)      1.99        118   
  13.13        (2.56     80,806        1.60        1.71        1.73        79   
  13.63        6.67        69,690        1.60        1.45        1.72        43   
  12.88        3.15        30,356        1.65        1.37        1.76        72   
           
  11.41        5.11        2,448        1.96        0.82        2.37        72   
  10.86        (15.02     3,614        2.09        0.80 (g)      2.36        118   
  12.92        (3.12     5,331        2.10        1.13        2.23        79   
  13.44        6.25        5,089        2.10        1.02        2.22        43   
  12.72        2.54        2,088        2.12        1.21        2.27        72   
           
  11.78        6.03        1,602        1.08        0.49        1.25        72   
  11.11        (14.20     81,516        1.14        1.65 (g)      1.25        118   
  13.22        (2.12     852,477        1.15        2.19        1.28        79   
  13.71        7.21        676,985        1.15        1.84        1.27        43   
  12.94        3.53        331,032        1.19        1.99        1.31        72   
           
  11.64        6.16        1,573,822        0.94        1.99        1.09        72   
  11.11        6.21        732,627        1.07        (0.92 )(g)      1.17        118   
           
  11.68        5.93        53,509        1.21        1.67        1.40        72   
  11.06        (14.45     239,866        1.34        1.51 (g)      1.46        118   
  13.17        (2.35     288,059        1.35        1.96        1.48        79   
  13.67        7.04        277,822        1.35        1.61        1.47        43   
  12.91        3.34        82,457        1.39        1.70        1.51        72   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         109   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized 
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Emerging Markets Equity Fund

                      

Class A

                      

Year Ended October 31, 2016

     $ 19.53         $ 0.09       $ 2.28         $ 2.37         $ (0.11

Year Ended October 31, 2015

       23.72           0.12 (g)       (4.12        (4.00        (0.19

Year Ended October 31, 2014

       23.05           0.16 (g)       0.59           0.75           (0.08

Year Ended October 31, 2013

       22.01           0.10         1.02           1.12           (0.08

Year Ended October 31, 2012

       21.09           0.07         0.85           0.92             

Class C

                      

Year Ended October 31, 2016

       18.96           (0.01      2.23           2.22             

Year Ended October 31, 2015

       23.03           0.03 (g)       (4.02        (3.99        (0.08

Year Ended October 31, 2014

       22.41           0.05 (g)       0.57           0.62             

Year Ended October 31, 2013

       21.44           (0.01      0.99           0.98           (0.01

Year Ended October 31, 2012

       20.65           (0.04      0.83           0.79             

Class R5

                      

September 9, 2016 (h) through October 31, 2016

       22.40           0.01         0.08           0.09             

Class R6

                      

Year Ended October 31, 2016

       20.13           0.19         2.35           2.54           (0.21

Year Ended October 31, 2015

       24.44           0.22 (g)       (4.23        (4.01        (0.30

December 23, 2013 (h) through October 31, 2014

       22.47           0.38 (g)       1.59           1.97             

Institutional Class

                      

Year Ended October 31, 2016

       20.15           0.17         2.35           2.52           (0.18

Year Ended October 31, 2015

       24.42           0.23 (g)       (4.26        (4.03        (0.24

Year Ended October 31, 2014

       23.73           0.17 (g)       0.70           0.87           (0.18

Year Ended October 31, 2013

       22.65           0.20         1.04           1.24           (0.16

Year Ended October 31, 2012

       21.66           0.16         0.87           1.03           (0.04

Select Class

                      

Year Ended October 31, 2016

       19.98           0.13         2.35           2.48           (0.13

Year Ended October 31, 2015

       24.24           0.19 (g)       (4.21        (4.02        (0.24

Year Ended October 31, 2014

       23.47           0.18 (g)       0.64           0.82           (0.05

Year Ended October 31, 2013

       22.40           0.17         1.03           1.20           (0.13

Year Ended October 31, 2012

       21.42           0.13         0.86           0.99           (0.01

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
110       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
   

Net
investment
income
(loss)

    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 21.79        12.25   $ 411,713        1.44     0.44     1.76     23
  19.53        (16.95     274,710        1.61        0.57 (g)      1.88        35   
  23.72        3.26        350,555        1.70        0.72 (g)      1.81        33   
  23.05        5.08        327,090        1.76        0.46        1.79        34   
  22.01        4.36        281,194        1.82        0.33        1.82        20   
           
  21.18        11.71        39,568        1.95        (0.06     2.26        23   
  18.96        (17.38     43,387        2.10        0.13 (g)      2.33        35   
  23.03        2.77        56,732        2.20        0.22 (g)      2.31        33   
  22.41        4.56        56,119        2.26        (0.06     2.29        34   
  21.44        3.83        44,643        2.32        (0.17     2.32        20   
           
  22.49        0.40        20        0.90        0.28        1.08        23   
           
  22.46        12.83        1,980,671        0.94        0.96        1.08        23   
  20.13        (16.54     1,128,390        1.10        0.99 (g)      1.16        35   
  24.44        8.77        1,130,050        1.20        1.85 (g)      1.33        33   
           
  22.49        12.71        390,647        1.04        0.84        1.22        23   
  20.15        (16.60     316,635        1.21        1.05 (g)      1.31        35   
  24.42        3.72        411,449        1.30        0.72 (g)      1.40        33   
  23.73        5.47        1,123,600        1.36        0.88        1.39        34   
  22.65        4.80        629,223        1.41        0.73        1.42        20   
           
  22.33        12.51        301,959        1.20        0.66        1.43        23   
  19.98        (16.70     502,729        1.35        0.88 (g)      1.48        35   
  24.24        3.51        583,501        1.45        0.78 (g)      1.56        33   
  23.47        5.34        1,900,639        1.51        0.74        1.54        34   
  22.40        4.65        1,291,326        1.57        0.60        1.57        20   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         111   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
       Net realized
and unrealized 
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Emerging Markets Equity Income Fund

                        

Class A

                        

Year Ended October 31, 2016

     $ 12.50         $ 0.44         $ 0.76         $ 1.20         $ (0.24

December 12, 2014 (h) through October 31, 2015

       15.00           0.45           (2.52        (2.07        (0.43

Class C

                        

Year Ended October 31, 2016

       12.51           0.27           0.85           1.12           (0.19

December 12, 2014 (h) through October 31, 2015

       15.00           0.42           (2.55        (2.13        (0.36

Class R5

                        

Year Ended October 31, 2016

       12.53           0.40           0.85           1.25           (0.27

December 12, 2014 (h) through October 31, 2015

       15.00           0.51           (2.53        (2.02        (0.45

Class R6

                        

Year Ended October 31, 2016

       12.53           0.41           0.85           1.26           (0.27

December 12, 2014 (h) through October 31, 2015

       15.00           0.52           (2.53        (2.01        (0.46

Select Class

                        

Year Ended October 31, 2016

       12.53           0.38           0.85           1.23           (0.25

December 12, 2014 (h) through October 31, 2015

       15.00           0.49           (2.53        (2.04        (0.43

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2016 and for the period ended October 31, 2015.
(g) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(h) Commencement of operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
112       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)(f)
   

Net
investment 
income
(loss) (f)

    Expenses
without waivers
and reimbursements (f)
    Portfolio
turnover
rate (c)(g)
 
           
           
$ 13.46        9.76   $ 8,291        1.54     3.36     3.29     21
  12.50        (13.93     86        1.57        3.72        10.55        25   
           
  13.44        9.10        94        2.05        2.15        8.18        21   
  12.51        (14.26     32        2.08        3.32        12.02        25   
           
  13.51        10.15        19        1.10        3.22        9.72        21   
  12.53        (13.55     17        1.14        4.05        10.84        25   
           
  13.52        10.26        24        1.05        3.32        9.33        21   
  12.53        (13.51     17        1.08        4.10        10.82        25   
           
  13.51        9.96        3,148        1.30        3.05        8.02        21   
  12.53        (13.70     2,541        1.33        3.85        10.36        25   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         113   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (b)
     Net realized
and unrealized 
gains
(losses) on
investments
    Total from
investment
operations
     Net
investment
income
    Net
realized
gain
    Total
distributions
 

Global Research Enhanced Index Fund

  

           

Class A

                 

Year Ended October 31, 2016

   $ 18.52       $ 0.35       $ (0.23   $ 0.12       $ (0.19   $      $ (0.19

Year Ended October 31, 2015

     18.77         0.37         (0.15     0.22         (0.22     (0.25     (0.47

Year Ended October 31, 2014

     17.33         0.34         1.35        1.69         (0.15     (0.10     (0.25

February 28, 2013 (g) through October 31, 2013

     15.00         0.19         2.14        2.33                         

Class C

                 

Year Ended October 31, 2016

     18.43         0.26         (0.23     0.03                         

Year Ended October 31, 2015

     18.68         0.28         (0.15     0.13         (0.13     (0.25     (0.38

Year Ended October 31, 2014

     17.28         0.25         1.33        1.58         (0.08     (0.10     (0.18

February 28, 2013 (g) through October 31, 2013

     15.00         0.14         2.14        2.28                         

Class R2

                 

Year Ended October 31, 2016

     18.47         0.30         (0.22     0.08         (0.09            (0.09

Year Ended October 31, 2015

     18.72         0.32         (0.15     0.17         (0.17     (0.25     (0.42

Year Ended October 31, 2014

     17.30         0.29         1.35        1.64         (0.12     (0.10     (0.22

February 28, 2013 (g) through October 31, 2013

     15.00         0.17         2.13        2.30                         

Select Class

                 

Year Ended October 31, 2016

     18.56         0.39         (0.24     0.15         (0.34            (0.34

Year Ended October 31, 2015

     18.81         0.39         (0.12     0.27         (0.27     (0.25     (0.52

Year Ended October 31, 2014

     17.37         0.39         1.33        1.72         (0.18     (0.10     (0.28

February 28, 2013 (g) through October 31, 2013

     15.00         0.19         2.18        2.37                         

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Commencement of operations.
(h) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.
(i) Ratios are disproportionate among classes due to the size of net assets and fixed expenses.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
114       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        

Net asset
value,
end of
period

    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 18.45        0.68   $ 20        0.59     1.95     3.30     35
  18.52        1.22        20        0.58        1.98        0.99        44   
  18.77        9.90        64        0.58        1.87        0.81        40   
  17.33        15.53        58        0.58 (h)      1.79 (h)      1.62 (h)(i)      25   
           
  18.46        0.16        20        1.09        1.44        3.81        35   
  18.43        0.73        20        1.08        1.48        1.50        44   
  18.68        9.27        63        1.08        1.37        1.31        40   
  17.28        15.20        58        1.08 (h)      1.29 (h)      2.12 (h)(i)      25   
           
  18.46        0.46        20        0.84        1.70        3.55        35   
  18.47        0.98        20        0.83        1.73        1.25        44   
  18.72        9.58        63        0.83        1.62        1.06        40   
  17.30        15.33        58        0.83 (h)      1.54 (h)      1.87 (h)(i)      25   
           
  18.37        0.91        6,907,246        0.34        2.19        0.55        35   
  18.56        1.51        7,415,218        0.33        2.06        0.56        44   
  18.81        10.09        3,577,523        0.33        2.16        0.56        40   
  17.37        15.80        1,895,025        0.33 (h)      1.73 (h)      0.60 (h)(i)      25   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         115   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Return
of
capital
    Total
distributions
 

Global Unconstrained Equity Fund

  

Class A

  

Year Ended October 31, 2016

   $ 16.12       $ 0.27 (f)    $ (0.88   $ (0.61   $ (0.30   $ (0.27   $ (0.82   $ (1.39

Year Ended October 31, 2015

     19.55         0.11 (f)      0.66        0.77        (0.31     (3.89            (4.20

Year Ended October 31, 2014

     20.11         0.23        1.17        1.40        (0.17     (1.79            (1.96

Year Ended October 31, 2013

     16.73         0.24        3.77        4.01        (0.22     (0.41            (0.63

November 30, 2011 (h) through October 31, 2012

     15.00         0.17        1.56        1.73        (i)                    (i) 

Class C

  

Year Ended October 31, 2016

     16.01         0.11 (f)      (0.79     (0.68     (0.22     (0.27     (0.82     (1.31

Year Ended October 31, 2015

     19.43         0.04 (f)      0.64        0.68        (0.21     (3.89            (4.10

Year Ended October 31, 2014

     20.01         0.14        1.16        1.30        (0.09     (1.79            (1.88

Year Ended October 31, 2013

     16.65         0.16        3.76        3.92        (0.15     (0.41            (0.56

November 30, 2011 (h) through October 31, 2012

     15.00         0.09        1.56        1.65                               

Class R2

  

Year Ended October 31, 2016

     16.11         0.14 (f)      (0.79     (0.65     (0.13     (0.27     (0.82     (1.22

Year Ended October 31, 2015

     19.49         0.08 (f)      0.65        0.73        (0.22     (3.89            (4.11

Year Ended October 31, 2014

     20.06         0.18        1.17        1.35        (0.13     (1.79            (1.92

Year Ended October 31, 2013

     16.69         0.20        3.77        3.97        (0.19     (0.41            (0.60

November 30, 2011 (h) through October 31, 2012

     15.00         0.13        1.56        1.69                               

Class R5

  

Year Ended October 31, 2016

     16.21         0.24 (f)      (0.80     (0.56     (0.32     (0.27     (0.82     (1.41

Year Ended October 31, 2015

     19.65         0.21 (f)      0.64        0.85        (0.40     (3.89            (4.29

Year Ended October 31, 2014

     20.19         0.31        1.19        1.50        (0.25     (1.79            (2.04

Year Ended October 31, 2013

     16.79         0.32        3.79        4.11        (0.30     (0.41            (0.71

November 30, 2011 (h) through October 31, 2012

     15.00         0.23        1.57        1.80        (0.01                   (0.01

Class R6

  

Year Ended October 31, 2016

     16.22         0.25 (f)      (0.80     (0.55     (0.35     (0.27     (0.82     (1.44

Year Ended October 31, 2015

     19.66         0.21 (f)      0.66        0.87        (0.42     (3.89            (4.31

Year Ended October 31, 2014

     20.20         0.32        1.19        1.51        (0.26     (1.79            (2.05

Year Ended October 31, 2013

     16.80         0.33        3.78        4.11        (0.30     (0.41            (0.71

November 30, 2011 (h) through October 31, 2012

     15.00         0.24        1.57        1.81        (0.01                   (0.01

Select Class

  

Year Ended October 31, 2016

     16.18         0.26 (f)      (0.83     (0.57     (0.29     (0.27     (0.82     (1.38

Year Ended October 31, 2015

     19.60         0.19 (f)      0.64        0.83        (0.36     (3.89            (4.25

Year Ended October 31, 2014

     20.15         0.27        1.19        1.46        (0.22     (1.79            (2.01

Year Ended October 31, 2013

     16.76         0.29        3.77        4.06        (0.26     (0.41            (0.67

November 30, 2011 (h) through October 31, 2012

     15.00         0.20        1.57        1.77        (0.01                   (0.01

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2013 and for the period ended October 31, 2012.
(h) Commencement of operations.
(i) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
116       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (b)(e)
 
           
           
$ 14.12        (3.53 )%    $ 417        0.74     1.95     1.90     1,256
  16.12        4.76        244        1.00        0.67        7.57        132   
  19.55        7.83        75        1.35        1.27        4.32        97   
  20.11        24.74        70        1.35 (g)      1.37 (g)      5.36 (g)      71   
  16.73        11.55        56        1.35 (g)      1.14 (g)      6.89 (g)      49   
           
  14.02        (4.02     210        1.17        0.78        11.83        1,256   
  16.01        4.26        317        1.48        0.21        9.92        132   
  19.43        7.28        74        1.85        0.77        4.82        97   
  20.01        24.16        69        1.85 (g)      0.87 (g)      5.85 (g)      71   
  16.65        11.00        56        1.85 (g)      0.65 (g)      7.38 (g)      49   
           
  14.24        (3.79     18        0.92        1.00        13.46        1,256   
  16.11        4.55        20        1.46        0.45        8.67        132   
  19.49        7.55        75        1.60        1.02        4.56        97   
  20.06        24.45        69        1.60 (g)      1.12 (g)      5.60 (g)      71   
  16.69        11.27        56        1.60 (g)      0.90 (g)      7.14 (g)      49   
           
  14.24        (3.12     18        0.22        1.70        12.77        1,256   
  16.21        5.26        20        0.76        1.15        7.97        132   
  19.65        8.34        76        0.90        1.72        3.86        97   
  20.19        25.29        70        0.90 (g)      1.82 (g)      4.89 (g)      71   
  16.79        11.99        56        0.90 (g)      1.60 (g)      6.45 (g)      49   
           
  14.23        (3.10     18        0.17        1.75        12.75        1,256   
  16.22        5.34        20        0.71        1.20        7.91        132   
  19.66        8.39        76        0.85        1.77        3.81        97   
  20.20        25.33        70        0.85 (g)      1.87 (g)      4.85 (g)      71   
  16.80        12.06        56        0.85 (g)      1.65 (g)      6.40 (g)      49   
           
  14.23        (3.23     991        0.36        1.86        5.37        1,256   
  16.18        5.13        1,020        0.88        1.06        7.34        132   
  19.60        8.11        4,156        1.10        1.52        4.06        97   
  20.15        25.04        3,844        1.10 (g)      1.62 (g)      5.10 (g)      71   
  16.76        11.77        3,075        1.10 (g)      1.40 (g)      6.64 (g)      49   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         117   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

International Equity Fund

  

Class A

  

Year Ended October 31, 2016

     $ 14.75         $ 0.22       $ (0.51      $ (0.29      $ (0.22

Year Ended October 31, 2015

       15.25           0.23         (0.50        (0.27        (0.23

Year Ended October 31, 2014

       15.92           0.37 (e)       (0.68        (0.31        (0.36

Year Ended October 31, 2013

       13.36           0.20         2.56           2.76           (0.20

Year Ended October 31, 2012

       12.61           0.22         0.74           0.96           (0.21

Class C

  

Year Ended October 31, 2016

       14.02           0.13         (0.47        (0.34        (0.18

Year Ended October 31, 2015

       14.52           0.15         (0.48        (0.33        (0.17

Year Ended October 31, 2014

       15.20           0.26 (e)       (0.64        (0.38        (0.30

Year Ended October 31, 2013

       12.78           0.12         2.45           2.57           (0.15

Year Ended October 31, 2012

       12.08           0.16         0.69           0.85           (0.15

Class R2

  

Year Ended October 31, 2016

       14.69           0.18         (0.50        (0.32        (0.20

Year Ended October 31, 2015

       15.19           0.20         (0.51        (0.31        (0.19

Year Ended October 31, 2014

       15.87           0.30 (e)       (0.65        (0.35        (0.33

Year Ended October 31, 2013

       13.31           0.11         2.61           2.72           (0.16

Year Ended October 31, 2012

       12.58           0.15         0.77           0.92           (0.19

Class R5

  

Year Ended October 31, 2016

       14.97           0.27         (0.49        (0.22        (0.28

Year Ended October 31, 2015

       15.46           0.29         (0.49        (0.20        (0.29

Year Ended October 31, 2014

       16.13           0.44 (e)       (0.69        (0.25        (0.42

Year Ended October 31, 2013

       13.52           0.27         2.60           2.87           (0.26

Year Ended October 31, 2012

       12.75           0.29         0.74           1.03           (0.26

Class R6

  

Year Ended October 31, 2016

       14.97           0.29         (0.51        (0.22        (0.29

Year Ended October 31, 2015

       15.46           0.32         (0.52        (0.20        (0.29

Year Ended October 31, 2014

       16.13           0.45 (e)       (0.69        (0.24        (0.43

Year Ended October 31, 2013

       13.52           0.28         2.59           2.87           (0.26

Year Ended October 31, 2012

       12.75           0.29         0.74           1.03           (0.26

Select Class

  

Year Ended October 31, 2016

       14.95           0.24         (0.48        (0.24        (0.26

Year Ended October 31, 2015

       15.45           0.29         (0.53        (0.24        (0.26

Year Ended October 31, 2014

       16.13           0.39 (e)       (0.67        (0.28        (0.40

Year Ended October 31, 2013

       13.52           0.23         2.61           2.84           (0.23

Year Ended October 31, 2012

       12.76           0.26         0.74           1.00           (0.24

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.32, $0.21, $0.25, $0.39, $0.40 and $0.34 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 2.01%, 1.40%, 1.59%, 2.40%, 2.48% and 2.08% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
118       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (d)
 
           
           
$ 14.24        (1.83 )%    $ 216,932        1.31     1.62     1.49     11
  14.75        (1.89     224,370        1.31        1.50        1.59        13   
  15.25        (2.06     186,242        1.31        2.34 (e)      1.45        6   
  15.92        20.85        188,590        1.30        1.33        1.47        8   
  13.36        7.70        98,274        1.30        1.72        1.51        5   
           
  13.50        (2.31     22,235        1.81        0.97        2.06        11   
  14.02        (2.36     28,313        1.81        1.02        2.05        13   
  14.52        (2.59     26,299        1.81        1.73 (e)      1.95        6   
  15.20        20.25        23,655        1.80        0.83        1.97        8   
  12.78        7.16        17,873        1.80        1.31        2.01        5   
           
  14.17        (2.08     1,461        1.56        1.28        1.95        11   
  14.69        (2.14     1,203        1.56        1.28        1.92        13   
  15.19        (2.33     1,405        1.56        1.92 (e)      1.70        6   
  15.87        20.58        1,230        1.55        0.78        1.72        8   
  13.31        7.45        721        1.55        1.16        1.74        5   
           
  14.47        (1.34     58,836        0.86        1.93        1.02        11   
  14.97        (1.42     57,500        0.86        1.88        1.06        13   
  15.46        (1.65     95,749        0.86        2.73 (e)      1.00        6   
  16.13        21.42        106,963        0.85        1.79        1.02        8   
  13.52        8.19        63,767        0.85        2.24        1.05        5   
           
  14.46        (1.36     3,030,640        0.81        2.05        0.91        11   
  14.97        (1.37     2,088,835        0.80        2.03        0.91        13   
  15.46        (1.60     1,681,788        0.81        2.81 (e)      0.95        6   
  16.13        21.47        1,248,489        0.80        1.85        0.97        8   
  13.52        8.23        682,861        0.80        2.26        1.00        5   
           
  14.45        (1.50     94,362        1.06        1.69        1.24        11   
  14.95        (1.66     522,402        1.06        1.84        1.19        13   
  15.45        (1.88     494,344        1.06        2.41 (e)      1.20        6   
  16.13        21.23        434,316        1.05        1.51        1.22        8   
  13.52        7.91        210,375        1.05        2.02        1.25        5   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         119   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (b)
    Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
     Net
investment
income
     Net
realized
gain
     Total
distributions
 

International Equity Income Fund

  

Class A

  

Year Ended October 31, 2016

   $ 15.66       $ 0.45 (g)    $ (1.01    $ (0.56    $ (0.46    $ (0.26    $ (0.72

Year Ended October 31, 2015

     16.41         0.39 (g)      (0.33      0.06         (0.65      (0.16      (0.81

Year Ended October 31, 2014

     16.67         0.91 (h)      (0.38      0.53         (0.66      (0.13      (0.79

Year Ended October 31, 2013

     14.12         0.43        2.55         2.98         (0.41      (0.02      (0.43

Year Ended October 31, 2012

     13.37         0.31        0.88         1.19         (0.44              (0.44

Class C

  

Year Ended October 31, 2016

     15.59         0.38 (g)      (1.01      (0.63      (0.40      (0.26      (0.66

Year Ended October 31, 2015

     16.36         0.39 (g)      (0.42      (0.03      (0.58      (0.16      (0.74

Year Ended October 31, 2014

     16.63         0.84 (h)      (0.40      0.44         (0.58      (0.13      (0.71

Year Ended October 31, 2013

     14.11         0.34        2.55         2.89         (0.35      (0.02      (0.37

Year Ended October 31, 2012

     13.35         0.36        0.77         1.13         (0.37              (0.37

Class R2

  

Year Ended October 31, 2016

     15.65         0.39 (g)      (0.98      (0.59      (0.44      (0.26      (0.70

Year Ended October 31, 2015

     16.41         0.61 (g)      (0.60      0.01         (0.61      (0.16      (0.77

Year Ended October 31, 2014

     16.67         0.87 (h)      (0.39      0.48         (0.61      (0.13      (0.74

Year Ended October 31, 2013

     14.12         0.40        2.54         2.94         (0.37      (0.02      (0.39

Year Ended October 31, 2012

     13.36         0.40        0.76         1.16         (0.40              (0.40

Class R5

  

Year Ended October 31, 2016

     15.70         0.49 (g)      (0.98      (0.49      (0.53      (0.26      (0.79

Year Ended October 31, 2015

     16.46         0.76 (g)      (0.63      0.13         (0.73      (0.16      (0.89

Year Ended October 31, 2014

     16.72         0.99 (h)      (0.39      0.60         (0.73      (0.13      (0.86

Year Ended October 31, 2013

     14.15         0.51        2.54         3.05         (0.46      (0.02      (0.48

Year Ended October 31, 2012

     13.38         0.50        0.76         1.26         (0.49              (0.49

Class R6

  

Year Ended October 31, 2016

     15.69         0.51 (g)      (0.99      (0.48      (0.54      (0.26      (0.80

January 30, 2015 (i) through October 31, 2015

     15.82         0.69 (g)      (0.41      0.28         (0.41              (0.41

Select Class

  

Year Ended October 31, 2016

     15.70         0.46 (g)      (0.98      (0.52      (0.51      (0.26      (0.77

Year Ended October 31, 2015

     16.45         0.49 (g)      (0.37      0.12         (0.71      (0.16      (0.87

Year Ended October 31, 2014

     16.71         0.96 (h)      (0.40      0.56         (0.69      (0.13      (0.82

Year Ended October 31, 2013

     14.14         0.47        2.55         3.02         (0.43      (0.02      (0.45

Year Ended October 31, 2012

     13.37         0.47        0.76         1.23         (0.46              (0.46

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.66, $0.59, $0.62, $0.74 and $0.71 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 3.94%, 3.53%, 3.74%, 4.44% and 4.25% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
120       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 14.38        (3.60 )%    $ 66,722        1.24     3.06 %(g)      1.57     162
  15.66        0.29        66,499        1.25        2.42 (g)      1.67        238   
  16.41        3.18        74,652        1.25        5.44 (h)      1.67        138   
  16.67        21.40        49,118        1.24        2.77        1.82        63   
  14.12        9.09        9,003        1.25        2.21        2.31        52   
           
  14.30        (4.09     11,754        1.75        2.59 (g)      2.12        162   
  15.59        (0.23     8,649        1.75        2.45 (g)      2.20        238   
  16.36        2.67        3,530        1.75        5.03 (h)      2.17        138   
  16.63        20.74        1,957        1.74        2.16        2.32        63   
  14.11        8.66        646        1.75        2.69        2.95        52   
           
  14.36        (3.84     316        1.49        2.66 (g)      2.39        162   
  15.65        (0.01     52        1.50        3.74 (g)      1.89        238   
  16.41        2.90        574        1.50        5.24 (h)      1.92        138   
  16.67        21.12        558        1.49        2.60        2.11        63   
  14.12        8.87        461        1.50        2.95        2.70        52   
           
  14.42        (3.14     700        0.79        3.33 (g)      1.29        162   
  15.70        0.71        19        0.80        4.59 (g)      1.16        238   
  16.46        3.60        587        0.80        5.94 (h)      1.22        138   
  16.72        21.94        566        0.79        3.31        1.41        63   
  14.15        9.62        465        0.80        3.65        2.00        52   
           
  14.41        (3.09     21        0.75        3.48 (g)      3.06        162   
  15.69        1.66        21        0.75        5.70 (g)      1.15        238   
           
  14.41        (3.31     54,642        0.89        3.13 (g)      1.31        162   
  15.70        0.66        35,177        0.91        3.00 (g)      1.41        238   
  16.45        3.39        34,719        1.00        5.75 (h)      1.42        138   
  16.71        21.73        55,485        0.99        3.04        1.59        63   
  14.14        9.43        27,292        1.00        3.44        2.20        52   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         121   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
       Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

International Opportunities Fund

                        

Class A

                        

Year Ended October 31, 2016

     $ 14.48         $ 0.25         $ (0.93      $ (0.68      $ (0.03

Year Ended October 31, 2015

       14.80           0.20           (0.23        (0.03        (0.29

Year Ended October 31, 2014

       15.25           0.36           (0.69        (0.33        (0.12

Year Ended October 31, 2013

       12.45           0.25           2.83           3.08           (0.28

Year Ended October 31, 2012

       12.00           0.23           0.56           0.79           (0.34

Class C

                        

Year Ended October 31, 2016

       14.04           0.14           (0.88        (0.74        (e) 

Year Ended October 31, 2015

       14.41           0.10           (0.19        (0.09        (0.28

Year Ended October 31, 2014

       14.88           0.27           (0.66        (0.39        (0.08

Year Ended October 31, 2013

       12.15           0.16           2.77           2.93           (0.20

Year Ended October 31, 2012

       11.65           0.18           0.55           0.73           (0.23

Class R6

                        

Year Ended October 31, 2016

       14.75           0.32           (0.92        (0.60        (0.10

Year Ended October 31, 2015

       15.13           0.26           (0.21        0.05           (0.43

Year Ended October 31, 2014

       15.57           0.44           (0.70        (0.26        (0.18

Year Ended October 31, 2013

       12.69           0.32           2.88           3.20           (0.32

Year Ended October 31, 2012

       12.20           0.31           0.56           0.87           (0.38

Institutional Class

                        

Year Ended October 31, 2016

       14.76           0.30           (0.93        (0.63        (0.08

Year Ended October 31, 2015

       15.13           0.24           (0.20        0.04           (0.41

Year Ended October 31, 2014

       15.57           0.42           (0.69        (0.27        (0.17

Year Ended October 31, 2013

       12.69           0.31           2.88           3.19           (0.31

Year Ended October 31, 2012

       12.20           0.30           0.56           0.86           (0.37

Select Class

                        

Year Ended October 31, 2016

       14.68           0.28           (0.93        (0.65        (0.03

Year Ended October 31, 2015

       15.06           0.25           (0.24        0.01           (0.39

Year Ended October 31, 2014

       15.50           0.40           (0.69        (0.29        (0.15

Year Ended October 31, 2013

       12.64           0.29           2.87           3.16           (0.30

Year Ended October 31, 2012

       12.15           0.28           0.56           0.84           (0.35

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Amount rounds to less than 0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
122       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
        
Net
investment 
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover 
rate (d)
 
           
           
$ 13.77        (4.69 )%    $ 171,940        1.29     1.83     1.29     48
  14.48        (0.15     155,397        1.31        1.34        1.43        43   
  14.80        (2.18     110,667        1.23        2.39        1.24        55   
  15.25        25.09        123,807        1.25        1.78        1.26        36   
  12.45        6.95        67,472        1.29        1.91        1.30        45   
           
  13.30        (5.26     1,565        1.89        1.06        1.91        48   
  14.04        (0.63     1,743        1.83        0.70        1.83        43   
  14.41        (2.65     1,441        1.73        1.80        1.74        55   
  14.88        24.41        1,109        1.75        1.19        1.76        36   
  12.15        6.47        531        1.79        1.55        1.80        45   
           
  14.05        (4.09     2,522,883        0.71        2.29        0.71        48   
  14.75        0.41        2,003,409        0.71        1.75        0.72        43   
  15.13        (1.67     1,539,613        0.73        2.82        0.74        55   
  15.57        25.71        1,204,314        0.75        2.27        0.76        36   
  12.69        7.59        692,117        0.79        2.58        0.79        45   
           
  14.05        (4.25     49,483        0.82        2.11        0.83        48   
  14.76        0.33        55,273        0.82        1.61        0.83        43   
  15.13        (1.76     56,348        0.83        2.71        0.84        55   
  15.57        25.60        60,310        0.85        2.18        0.86        36   
  12.69        7.45        41,574        0.89        2.47        0.90        45   
           
  14.00        (4.40     23,999        1.05        1.99        1.05        48   
  14.68        0.13        24,548        1.00        1.71        1.01        43   
  15.06        (1.91     47,581        0.98        2.55        0.99        55   
  15.50        25.38        47,743        0.99        2.04        1.01        36   
  12.64        7.28        33,029        1.04        2.35        1.05        45   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         123   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (a)
    Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Total
distributions
 

International Research Enhanced Equity Fund

  

Class A

  

Year Ended October 31, 2016

   $ 16.54       $ 0.40 (e)    $ (0.89   $ (0.49   $ (0.36   $ (0.15   $ (0.51

Year Ended October 31, 2015

     20.38         0.43        (0.60     (0.17     (0.40     (3.27     (3.67

Year Ended October 31, 2014

     21.20         0.47        (0.56     (0.09     (0.39     (0.34     (0.73

Year Ended October 31, 2013

     17.24         0.38        4.00        4.38        (0.42            (0.42

Year Ended October 31, 2012

     16.83         0.37        0.45        0.82        (0.41            (0.41

Class C

               

Year Ended October 31, 2016

     15.85         0.31 (e)      (0.85     (0.54     (0.28     (0.15     (0.43

Year Ended October 31, 2015

     19.68         0.33        (0.58     (0.25     (0.31     (3.27     (3.58

Year Ended October 31, 2014

     20.51         0.36        (0.56     (0.20     (0.29     (0.34     (0.63

Year Ended October 31, 2013

     16.68         0.27        3.86        4.13        (0.30            (0.30

Year Ended October 31, 2012

     16.27         0.25        0.44        0.69        (0.28            (0.28

Class R2

               

Year Ended October 31, 2016

     16.21         0.31 (e)      (0.84     (0.53     (0.34     (0.15     (0.49

Year Ended October 31, 2015

     20.07         0.37        (0.58     (0.21     (0.38     (3.27     (3.65

Year Ended October 31, 2014

     20.91         0.40        (0.54     (0.14     (0.36     (0.34     (0.70

Year Ended October 31, 2013

     17.03         0.35        3.92        4.27        (0.39            (0.39

Year Ended October 31, 2012

     16.66         0.32        0.45        0.77        (0.40            (0.40

Select Class

               

Year Ended October 31, 2016

     16.70         0.46 (e)      (0.92     (0.46     (0.41     (0.15     (0.56

Year Ended October 31, 2015

     20.54         0.48        (0.60     (0.12     (0.45     (3.27     (3.72

Year Ended October 31, 2014

     21.36         0.52        (0.56     (0.04     (0.44     (0.34     (0.78

Year Ended October 31, 2013

     17.36         0.40        4.06        4.46        (0.46            (0.46

Year Ended October 31, 2012

     16.96         0.41        0.45        0.86        (0.46            (0.46

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Net investment income may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(f) Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
124       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (d)
 
           
           
$ 15.54        (2.94 )%    $ 69,626        0.60     2.60 %(e)      1.02     24
  16.54        (0.29     82,667        0.60        2.51        0.99        39   
  20.38        (0.40     96,325        0.59        2.23        1.10        63   
  21.20        25.84        108,193        0.75        2.04        1.35        51   
  17.24        5.16        96,191        1.07        2.27        1.31        19   
           
  14.88        (3.41     13,507        1.10        2.14 (e)      1.55        24   
  15.85        (0.77     18,423        1.10        2.01        1.52        39   
  19.68        (0.93     20,724        1.09        1.75        1.60        63   
  20.51        25.09        21,802        1.30        1.49        1.85        51   
  16.68        4.43        16,291        1.79        1.57        1.81        19   
           
  15.19        (3.22     10,222        0.84        2.08 (e)      1.34        24   
  16.21        (0.50     3,331        0.85        2.22        1.41        39   
  20.07        (0.66     2,521        0.84        1.95        1.33        63   
  20.91        25.52        1,957        0.95        1.88        1.61        51   
  17.03        4.94        786        1.32        1.97        1.56        19   
           
  15.68        (2.72     1,241,856        0.34        2.98 (e)      0.59        24   
  16.70        0.00 (f)      779,908        0.35        2.79        0.60        39   
  20.54        (0.16     562,180        0.34        2.45        0.84        63   
  21.36        26.18        464,273        0.53        2.10        1.09        51   
  17.36        5.40        469,065        0.82        2.51        1.06        19   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         125   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized 
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Total
distributions
 

International Unconstrained Equity Fund

  

Class A

  

Year Ended October 31, 2016

   $ 17.61       $ 0.22 (f)(g)    $ (0.55   $ (0.33   $ (0.04   $      $ (0.04

Year Ended October 31, 2015

     18.59         0.09 (f)(g)      0.39        0.48        (0.17     (1.29     (1.46

Year Ended October 31, 2014

     20.59         0.13 (h)      (0.65     (0.52     (0.17     (1.31     (1.48

Year Ended October 31, 2013

     17.28         0.15        3.62        3.77        (0.11     (0.35     (0.46

November 30, 2011 (j) through October 31, 2012

     15.00         0.17        2.11        2.28                        

Class C

  

Year Ended October 31, 2016

     17.45         0.13 (f)(g)      (0.53     (0.40     (0.01            (0.01

Year Ended October 31, 2015

     18.44         (0.02 )(f)(g)      0.39        0.37        (0.07     (1.29     (1.36

Year Ended October 31, 2014

     20.47         0.09 (h)      (0.69     (0.60     (0.12     (1.31     (1.43

Year Ended October 31, 2013

     17.20         0.07        3.59        3.66        (0.04     (0.35     (0.39

November 30, 2011 (j) through October 31, 2012

     15.00         0.10        2.10        2.20                        

Class R2

  

Year Ended October 31, 2016

     17.57         0.15 (f)(g)      (0.51     (0.36                     

Year Ended October 31, 2015

     18.55         0.03 (f)(g)      0.39        0.42        (0.11     (1.29     (1.40

Year Ended October 31, 2014

     20.53         0.12 (h)      (0.68     (0.56     (0.11     (1.31     (1.42

Year Ended October 31, 2013

     17.24         0.12        3.59        3.71        (0.07     (0.35     (0.42

November 30, 2011 (j) through October 31, 2012

     15.00         0.14        2.10        2.24                        

Class R5

  

Year Ended October 31, 2016

     17.75         0.27 (f)(g)      (0.52     (0.25     (0.06            (0.06

Year Ended October 31, 2015

     18.72         0.16 (f)(g)      0.39        0.55        (0.23     (1.29     (1.52

Year Ended October 31, 2014

     20.69         0.24 (h)      (0.67     (0.43     (0.23     (1.31     (1.54

Year Ended October 31, 2013

     17.35         0.25        3.61        3.86        (0.17     (0.35     (0.52

November 30, 2011 (j) through October 31, 2012

     15.00         0.24        2.11        2.35                        

Class R6

  

Year Ended October 31, 2016

     17.76         0.29 (f)(g)      (0.52     (0.23     (0.08            (0.08

Year Ended October 31, 2015

     18.73         (0.01 )(f)(g)      0.57        0.56        (0.24     (1.29     (1.53

Year Ended October 31, 2014

     20.70         0.25 (h)      (0.67     (0.42     (0.24     (1.31     (1.55

Year Ended October 31, 2013

     17.36         0.26        3.61        3.87        (0.18     (0.35     (0.53

November 30, 2011 (j) through October 31, 2012

     15.00         0.25        2.11        2.36                        

Select Class

  

Year Ended October 31, 2016

     17.71         0.24 (f)(g)      (0.50     (0.26                     

Year Ended October 31, 2015

     18.67         0.15 (f)(g)      0.38        0.53        (0.20     (1.29     (1.49

Year Ended October 31, 2014

     20.64         0.21 (h)      (0.67     (0.46     (0.20     (1.31     (1.51

Year Ended October 31, 2013

     17.32         0.21        3.60        3.81        (0.14     (0.35     (0.49

November 30, 2011 (j) through October 31, 2012

     15.00         0.21        2.11        2.32                        

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes interest expense, if applicable, which is less than 0.01% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $0.10, $0.06, $0.08, $0.20, $0.22 and $0.17 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.80%, 0.37%, 0.48%, 1.18%, 1.23% and 0.99% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.
(i) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2013 and for the period ended October 31, 2012.
(j) Commencement of operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
126       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (b)(e)
 
           
           
$ 17.24        (1.86 )%    $ 14,034        1.24     1.28 %(g)      1.61     51
  17.61        3.04        5,824        1.24        0.49 (g)      2.31        42   
  18.59        (2.47     351        1.32        0.98 (h)      5.09        63   
  20.59        22.23        83        1.32 (i)      0.89 (i)      7.99 (i)      65   
  17.28        15.20        58        1.32 (i)      1.17 (i)      6.99 (i)      40   
           
  17.04        (2.28     4,626        1.74        0.75 (g)      2.14        51   
  17.45        2.39        3,439        1.74        (0.12 )(g)      2.79        42   
  18.44        (2.91     137        1.82        0.55 (h)      6.19        63   
  20.47        21.61        76        1.82 (i)      0.40 (i)      8.35 (i)      65   
  17.20        14.67        57        1.82 (i)      0.67 (i)      7.47 (i)      40   
           
  17.21        (2.05     20        1.49        0.87 (g)      4.37        51   
  17.57        2.67        20        1.51        0.19 (g)      5.11        42   
  18.55        (2.68     68        1.57        0.66 (h)      6.05        63   
  20.53        21.92        70        1.57 (i)      0.67 (i)      8.01 (i)      65   
  17.24        14.93        57        1.57 (i)      0.92 (i)      7.23 (i)      40   
           
  17.44        (1.38     20        0.80        1.57 (g)      3.59        51   
  17.75        3.43        20        0.81        0.89 (g)      4.43        42   
  18.72        (1.99     70        0.87        1.36 (h)      5.34        63   
  20.69        22.76        71        0.87 (i)      1.37 (i)      7.31 (i)      65   
  17.35        15.67        58        0.87 (i)      1.62 (i)      6.54 (i)      40   
           
  17.45        (1.29     81,146        0.74        1.70 (g)      1.02        51   
  17.76        3.48        5,335        0.74        (0.05 )(g)      2.87        42   
  18.73        (1.95     70        0.82        1.41 (h)      5.29        63   
  20.70        22.80        71        0.82 (i)      1.42 (i)      7.26 (i)      65   
  17.36        15.73        58        0.82 (i)      1.67 (i)      6.49 (i)      40   
           
  17.45        (1.47     9,929        0.89        1.41 (g)      1.35        51   
  17.71        3.29        59,858        0.89        0.83 (g)      1.84        42   
  18.67        (2.18     3,868        1.07        1.17 (h)      5.55        63   
  20.64        22.49        3,925        1.07 (i)      1.17 (i)      7.52 (i)      65   
  17.32        15.47        3,175        1.07 (i)      1.42 (i)      6.74 (i)      40   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         127   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
    Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

International Value Fund

                     

Class A

                     

Year Ended October 31, 2016

     $ 13.02         $ 0.23      $ (0.88      $ (0.65      $ (0.14

Year Ended October 31, 2015

       14.14           0.18 (g)      (0.83        (0.65        (0.47

Year Ended October 31, 2014

       15.02           0.47 (g)(h)      (1.07        (0.60        (0.28

Year Ended October 31, 2013

       12.18           0.22        2.91           3.13           (0.29

Year Ended October 31, 2012

       12.05           0.31        0.21           0.52           (0.39

Class C

                     

Year Ended October 31, 2016

       12.65           0.17        (0.87        (0.70        (0.07

Year Ended October 31, 2015

       13.72           0.10 (g)      (0.78        (0.68        (0.39

Year Ended October 31, 2014

       14.61           0.38 (g)(h)      (1.05        (0.67        (0.22

Year Ended October 31, 2013

       11.84           0.16        2.83           2.99           (0.22

Year Ended October 31, 2012

       11.72           0.25        0.19           0.44           (0.32

Class R2

                     

Year Ended October 31, 2016

       12.83           0.19        (0.87        (0.68        (0.11

Year Ended October 31, 2015

       13.93           0.14 (g)      (0.81        (0.67        (0.43

Year Ended October 31, 2014

       14.78           0.42 (g)(h)      (1.05        (0.63        (0.22

Year Ended October 31, 2013

       11.99           0.18        2.88           3.06           (0.27

Year Ended October 31, 2012

       11.86           0.28        0.19           0.47           (0.34

Class R5

                     

September 9, 2016 (i) through October 31, 2016

       12.55           0.03        (0.07        (0.04          

Class R6

                     

Year Ended October 31, 2016

       13.31           0.37        (0.96        (0.59        (0.21

Year Ended October 31, 2015

       14.42           0.18 (g)      (0.76        (0.58        (0.53

Year Ended October 31, 2014

       15.29           0.54 (g)(h)      (1.09        (0.55        (0.32

Year Ended October 31, 2013

       12.38           0.30        2.96           3.26           (0.35

Year Ended October 31, 2012

       12.26           0.37        0.21           0.58           (0.46

Institutional Class

                     

Year Ended October 31, 2016

       13.29           0.31        (0.93        (0.62        (0.17

Year Ended October 31, 2015

       14.41           0.23 (g)      (0.83        (0.60        (0.52

Year Ended October 31, 2014

       15.29           0.53 (g)(h)      (1.09        (0.56        (0.32

Year Ended October 31, 2013

       12.38           0.29        2.95           3.24           (0.33

Year Ended October 31, 2012

       12.26           0.36        0.20           0.56           (0.44

Select Class

                     

Year Ended October 31, 2016

       13.37           0.28        (0.91        (0.63        (0.17

Year Ended October 31, 2015

       14.48           0.23 (g)      (0.84        (0.61        (0.50

Year Ended October 31, 2014

       15.19           0.45 (g)(h)      (1.04        (0.59        (0.12

Year Ended October 31, 2013

       12.31           0.27        2.93           3.20           (0.32

Year Ended October 31, 2012

       12.19           0.34        0.21           0.55           (0.43

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.39, $0.30, $0.34, $0.46, $0.45 and $0.37 for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 2.67%, 2.13%, 2.39%, 3.06%, 2.99% and 2.44% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
128       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
   

Net assets,
end of
period
(000’s)

    Net
expenses (e)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 12.23        (5.01 )%    $ 573,449        1.35     1.91     1.43     61
  13.02        (4.63     695,251        1.35        1.31 (g)      1.45        74   
  14.14        (4.09     491,010        1.33        3.19 (g)(h)      1.36        59   
  15.02        26.13        221,077        1.33        1.66        1.35        66   
  12.18        4.64        124,691        1.35        2.66        1.37        62   
           
  11.88        (5.54     24,453        1.85        1.43        1.91        61   
  12.65        (5.01     31,296        1.85        0.79 (g)      1.90        74   
  13.72        (4.64     31,176        1.83        2.65 (g)(h)      1.86        59   
  14.61        25.58        22,682        1.83        1.19        1.85        66   
  11.84        4.04        14,311        1.85        2.23        1.87        62   
           
  12.04        (5.28     1,182        1.59        1.65        1.91        61   
  12.83        (4.84     1,929        1.60        1.01 (g)      2.01        74   
  13.93        (4.33     1,768        1.58        2.91 (g)(h)      1.61        59   
  14.78        25.91        1,249        1.59        1.39        1.60        66   
  11.99        4.27        881        1.60        2.43        1.62        62   
           
  12.51        (0.32     20        0.79        1.52        0.79        61   
           
  12.51        (4.45     27,998        0.72        3.00        0.73        61   
  13.31        (4.04     2,354        0.73        1.32 (g)      0.73        74   
  14.42        (3.64     30,992        0.83        3.58 (g)(h)      0.84        59   
  15.29        26.84        107,313        0.84        2.12        0.85        66   
  12.38        5.11        25,945        0.84        3.06        0.87        62   
           
  12.50        (4.63     523,251        0.90        2.53        0.91        61   
  13.29        (4.23     1,480,321        0.95        1.63 (g)      0.99        74   
  14.41        (3.75     2,932,420        0.93        3.51 (g)(h)      0.96        59   
  15.29        26.72        1,087,334        0.94        2.08        0.95        66   
  12.38        5.00        639,798        0.94        3.03        0.97        62   
           
  12.57        (4.74     157,867        1.01        2.28        1.02        61   
  13.37        (4.28     233,045        1.03        1.62 (g)      1.03        74   
  14.48        (3.90     300,712        1.08        2.96 (g)(h)      1.10        59   
  15.19        26.46        1,634,392        1.09        1.99        1.10        66   
  12.31        4.87        1,458,864        1.10        2.92        1.12        62   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         129   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning 
of period
       Net
investment
income
(loss) (b)
     Net realized 
and unrealized 
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Intrepid International Fund

                      

Class A

                      

Year Ended October 31, 2016

     $ 19.36         $ 0.40 (g)     $ (0.99      $ (0.59      $ (0.33

Year Ended October 31, 2015

       19.49           0.34 (g)       (0.26        0.08           (0.21

Year Ended October 31, 2014

       19.79           0.39 (g)       (0.45        (0.06        (0.24

Year Ended October 31, 2013

       15.90           0.25         3.88           4.13           (0.24

Year Ended October 31, 2012

       15.32           0.25         0.49           0.74           (0.16

Class C

                      

Year Ended October 31, 2016

       19.52           0.28 (g)       (0.97        (0.69        (0.26

Year Ended October 31, 2015

       19.63           0.23 (g)       (0.24        (0.01        (0.10

Year Ended October 31, 2014

       19.92           0.36 (g)       (0.52        (0.16        (0.13

Year Ended October 31, 2013

       16.00           0.17         3.90           4.07           (0.15

Year Ended October 31, 2012

       15.36           0.18         0.50           0.68           (0.04

Class R2

                      

Year Ended October 31, 2016

       19.21           0.36 (g)       (1.01        (0.65        (0.27

Year Ended October 31, 2015

       19.31           0.38 (g)       (0.34        0.04           (0.14

Year Ended October 31, 2014

       19.61           0.40 (g)       (0.53        (0.13        (0.17

Year Ended October 31, 2013

       15.74           0.20         3.86           4.06           (0.19

Year Ended October 31, 2012

       15.21           0.19         0.50           0.69           (0.16

Class R6

                      

Year Ended October 31, 2016

       19.84           0.49 (g)       (1.01        (0.52        (0.41

May 29, 2015 (h) through October 31, 2015

       21.08           0.12 (g)       (1.36        (1.24          

Institutional Class

                      

Year Ended October 31, 2016

       19.83           0.41 (g)       (0.94        (0.53        (0.08

Year Ended October 31, 2015

       19.95           0.52 (g)       (0.34        0.18           (0.30

Year Ended October 31, 2014

       20.23           0.49 (g)       (0.46        0.03           (0.31

Year Ended October 31, 2013

       16.24           0.34         3.97           4.31           (0.32

Year Ended October 31, 2012

       15.66           0.33         0.50           0.83           (0.25

Select Class

                      

Year Ended October 31, 2016

       20.13           0.46 (g)       (1.01        (0.55        (0.38

Year Ended October 31, 2015

       20.22           0.42 (g)       (0.26        0.16           (0.25

Year Ended October 31, 2014

       20.51           0.51 (g)       (0.53        (0.02        (0.27

Year Ended October 31, 2013

       16.46           0.31         4.01           4.32           (0.27

Year Ended October 31, 2012

       15.85           0.30         0.51           0.81           (0.20

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
130       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover 
rate (c)(f)
 
           
           
$ 18.44        (3.07 )%    $ 164,327        1.25     2.21 %(g)      1.29     38
  19.36        0.45        152,834        1.29        1.75 (g)      1.49        33   
  19.49        (0.33     101,114        1.39        1.96 (g)      1.46        48   
  19.79        26.25        60,135        1.47        1.42        1.54        49   
  15.90        4.97        32,231        1.50        1.65        1.62        46   
           
  18.57        (3.56     2,287        1.75        1.52 (g)      1.87        38   
  19.52        (0.05     2,789        1.78        1.17 (g)      1.91        33   
  19.63        (0.84     1,318        1.89        1.79 (g)      1.96        48   
  19.92        25.60        1,131        1.98        0.94        2.04        49   
  16.00        4.45        875        2.00        1.18        2.12        46   
           
  18.29        (3.36     503        1.50        2.02 (g)      1.75        38   
  19.21        0.24        227        1.52        1.91 (g)      1.69        33   
  19.31        (0.66     98        1.64        2.03 (g)      1.71        48   
  19.61        26.02        98        1.72        1.16        1.79        49   
  15.74        4.64        81        1.75        1.29        1.87        46   
           
  18.91        (2.59     2,487,086        0.71        2.65 (g)      0.72        38   
  19.84        (5.88     1,854,941        0.73        1.47 (g)      0.74        33   
           
  19.22        (2.67     23,748        0.82        2.19 (g)      0.83        38   
  19.83        0.93        51,833        0.85        2.57 (g)      0.91        33   
  19.95        0.13        1,474,870        0.89        2.39 (g)      1.05        48   
  20.23        26.90        582,599        0.97        1.88        1.14        49   
  16.24        5.50        303,575        1.00        2.16        1.21        46   
           
  19.20        (2.73     16,363        0.90        2.44 (g)      1.08        38   
  20.13        0.80        19,292        0.97        2.04 (g)      1.12        33   
  20.22        (0.13     15,963        1.14        2.47 (g)      1.21        48   
  20.51        26.56        13,916        1.23        1.68        1.29        49   
  16.46        5.24        9,467        1.25        1.94        1.37        46   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         131   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 12 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

 

     Classes Offered   Trust   Diversified/Non-Diversified
Emerging Economies Fund   Class A, Class C, Class R5, Class R6* and Select Class   JPM I   Diversified
Emerging Markets Equity Fund   Class A, Class C, Class R5**, Class R6, Institutional Class^ and Select Class   JPM I   Diversified
Emerging Markets Equity Income Fund   Class A, Class C, Class R5, Class R6 and Select Class   JPM I   Diversified
Global Research Enhanced Index Fund   Class A, Class C, Class R2, and Select Class   JPM I   Diversified
Global Unconstrained Equity Fund   Class A, Class C, Class R2, Class R5, Class R6 and Select Class   JPM I   Diversified
International Equity Fund   Class A, Class C, Class R2, Class R5, Class R6 and Select Class   JPM I   Diversified
International Equity Income Fund   Class A, Class C, Class R2, Class R5, Class R6*** and Select Class   JPM I   Diversified
International Opportunities Fund   Class A, Class C, Class R6, Institutional Class and Select Class   JPM I   Diversified
International Research Enhanced Equity Fund   Class A, Class C, Class R2 and Select Class   JPM II   Diversified
International Unconstrained Equity Fund   Class A, Class C, Class R2, Class R5, Class R6 and Select Class   JPM I   Diversified
International Value Fund   Class A, Class C, Class R2, Class R5**, Class R6, Institutional Class^ and Select Class   JPM I   Diversified
Intrepid International Fund   Class A, Class C, Class R2, Class R6****, Institutional Class and Select Class   JPM I   Diversified

Emerging Markets Equity Income Fund commenced operations on December 12, 2014. Prior to March 27, 2015, the Fund was not publicly offered for investment.

As of October 31, 2016, Class A, Class C and Class R2 Shares of Global Research Enhanced Index Fund and Class R2 shares of the Global Unconstrained Equity Fund were not publicly offered for investment.

Prior to January 5, 2015, Class A, Class C, Class R5, Class R6 and Select Class Shares of Global Unconstrained Equity Fund were not publicly offered for investment.

 

        * Class R6 Shares commenced operations on September 1, 2015, for Emerging Economies Fund.
      ** Class R5 Shares commenced operations on September 9, 2016, for Emerging Markets Equity Fund and International Value Fund.
    *** Class R6 Shares commenced operations on January 30, 2015, for International Equity Income Fund.
  **** Class R6 Shares commenced operations on May 29, 2015, for Intrepid International Fund.
        ^ Effective December 1, 2016, Institutional Class was renamed Class L and is publicly offered on a limited basis.

The investment objective of Emerging Economies Fund is to seek long-term capital growth.

The investment objective of Emerging Markets Equity Fund is to seek to provide high total return from a portfolio of equity securities from emerging markets issuers.

The investment objective of Emerging Markets Equity Income Fund and the International Equity Income Fund is to seek to provide both current income and long-term capital appreciation.

The investment objective of Global Research Enhanced Index Fund, International Research Enhanced Equity Fund and International Unconstrained Equity Fund is to seek to provide long-term capital appreciation.

The investment objective of Global Unconstrained Equity Fund is to seek to provide long-term capital appreciation.

The investment objective of International Equity Fund is to seek total return from long-term capital growth and income. Total return consists of capital growth and current income.

The investment objective of International Opportunities Fund is to seek to provide high total return from a portfolio of equity securities of foreign companies in developed and, to a lesser extent, emerging markets.

The investment objective of International Value Fund is to seek to provide high total return from a portfolio of foreign company equity securities.

The investment objective of Intrepid International Fund is to seek to maximize long-term capital growth by investing primarily in equity securities in developed markets outside the U.S.

 

 
132       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         133   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Emerging Economies Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Brazil

     $ 77,173         $         $         $ 77,173   

Chile

       9,202                               9,202   

China

       55,298           329,034                     384,332   

Hong Kong

                 71,797                     71,797   

Hungary

                 24,958                     24,958   

India

       13,918           43,464                     57,382   

Indonesia

                 4,333                     4,333   

Malaysia

       14,600           9,587                     24,187   

Mexico

       48,767                               48,767   

Poland

                 47,120                     47,120   

Russia

       53,899           105,545                     159,444   

Singapore

                 11,086                     11,086   

South Africa

       9,144           9,494                     18,638   

South Korea

                 336,822                     336,822   

Taiwan

       31,310           174,945                     206,255   

Thailand

                 112,440                     112,440   

Turkey

                 77,243                     77,243   

United Arab Emirates

                 25,127                     25,127   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       313,311           1,382,995                     1,696,306   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Brazil

       22,249                               22,249   

Russia

       8,408           2,201                     10,609   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Preferred Stocks

       30,657           2,201                     32,858   
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       36,972                               36,972   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 380,940         $ 1,385,196         $         $ 1,766,136   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Futures Contracts

     $ (282      $         $         $ (282
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
134       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Emerging Markets Equity Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Argentina

     $ 19,667         $         $         $ 19,667   

Australia

                 20,646                     20,646   

Brazil

       313,393                               313,393   

China

       180,928           327,530                     508,458   

Cyprus

       5,856                               5,856   

Egypt

       9,934                               9,934   

Hong Kong

       31,497           167,655                     199,152   

India

       149,809           476,203                     626,012   

Indonesia

                 100,714                     100,714   

Mexico

       34,115                               34,115   

Panama

       34,550                               34,550   

Peru

       36,520                               36,520   

Russia

                 171,895                     171,895   

South Africa

                 410,452                     410,452   

South Korea

                 118,476                     118,476   

Switzerland

       23,468                               23,468   

Taiwan

       133,552           116,218                     249,770   

Thailand

                 43,987                     43,987   

Turkey

                 10,444                     10,444   

United States

       38,370                               38,370   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       1,011,659           1,964,220                     2,975,879   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Brazil

       21,153                               21,153   

Structured Instruments

                   

China

                 34,485                     34,485   

Warrants

                   

Saudi Arabia

                 19,787                     19,787   

Short-Term Investment

                   

Investment Company

       91,254                               91,254   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 1,124,066         $ 2,018,492         $         $ 3,142,558   
    

 

 

      

 

 

      

 

 

      

 

 

 

Emerging Markets Equity Income Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Brazil

     $ 1,142         $         $         $ 1,142   

Chile

       325                               325   

China

                 279                     279   

Czech Republic

                 415                     415   

Hong Kong

       217           1,138                     1,355   

Hungary

                 208                     208   

Indonesia

                 136                     136   

Mexico

       497                               497   

Russia

       446           413                     859   

South Africa

       250           1,420                     1,670   

South Korea

       168           549                     717   

Taiwan

       555           2,088                     2,643   

Thailand

       23           273                     296   

Turkey

                 287                     287   

United Arab Emirates

                 160                     160   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       3,623           7,366                     10,989   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         135   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Emerging Markets Equity Income Fund (continued)              
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
     Level 3
Significant
unobservable inputs
     Total  

Structured Instruments

               

China

     $         $ 224       $       $ 224   

Warrants

               

Saudi Arabia

                 165                 165   

Short-Term Investment

               

Investment Company

       282                           282   
    

 

 

      

 

 

    

 

 

    

 

 

 

Total Investments in Securities

     $ 3,905         $ 7,755       $       $ 11,660   
    

 

 

      

 

 

    

 

 

    

 

 

 
Global Research Enhanced Index Fund              
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
     Level 3
Significant
unobservable inputs
     Total  

Investments in Securities

               

Common Stocks

               

Australia

     $         $ 186,649       $       $ 186,649   

Austria

                 (a)               (a) 

Belgium

       23,859           10,117                 33,976   

Bermuda

       11,656                           11,656   

Canada

       255,554                           255,554   

China

                 220                 220   

Colombia

                         (b)       (b) 

Denmark

                 58,137                 58,137   

Finland

                 20,831                 20,831   

France

                 284,664                 284,664   

Germany

       1,291           230,210                 231,501   

Hong Kong

       2,776           83,671                 86,447   

Ireland

       56,832           2,203                 59,035   

Israel

       6,614                           6,614   

Italy

                 48,312                 48,312   

Japan

                 645,333                 645,333   

Luxembourg

                 9,549                 9,549   

Netherlands

       8,862           137,221                 146,083   

New Zealand

                 6,129                 6,129   

Norway

                 4,209                 4,209   

Portugal

                 5,931                 5,931   

Singapore

       35,267           28,321                 63,588   

Spain

                 67,640                 67,640   

Sweden

                 51,172                 51,172   

Switzerland

       47,318           207,987                 255,305   

United Kingdom

       18,630           356,468                 375,098   

United States

       3,909,964           15,031                 3,924,995   
    

 

 

      

 

 

    

 

 

    

 

 

 

Total Common Stocks

       4,378,623           2,460,005         (b)       6,838,628   
    

 

 

      

 

 

    

 

 

    

 

 

 

Preferred Stocks

               

Germany

                 28,069                 28,069   

Right

               

Spain

       139                           139   

Short-Term Investment

               

Investment Company

       17,326                           17,326   
    

 

 

      

 

 

    

 

 

    

 

 

 

Total Investments in Securities

     $ 4,396,088         $ 2,488,074       $ (b)     $ 6,884,162   
    

 

 

      

 

 

    

 

 

    

 

 

 

 

 
136       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Global Unconstrained Equity Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Canada

     $ 23         $         $         $ 23   

China

       110           29                     139   

France

                 108                     108   

Germany

                 34                     34   

Hong Kong

                 19                     19   

India

       17                               17   

Israel

       72                               72   

Italy

                 17                     17   

Japan

                 89                     89   

Luxembourg

                 18                     18   

Netherlands

       33           23                     56   

Russia

                 21                     21   

Singapore

       33                               33   

Switzerland

       35           68                     103   

United Kingdom

       30           98                     128   

United States

       771                               771   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       1,124           524                     1,648   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 1,124         $ 524         $         $ 1,648   
    

 

 

      

 

 

      

 

 

      

 

 

 
International Equity Fund                  
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 43,462         $         $ 43,462   

Belgium

       60,798                               60,798   

China

       34,205           92,160                     126,365   

Denmark

                 36,116                     36,116   

France

                 398,619                     398,619   

Germany

                 215,914                     215,914   

Hong Kong

                 162,405                     162,405   

India

       38,855                               38,855   

Indonesia

                 27,275                     27,275   

Israel

       29,873                               29,873   

Japan

                 811,990                     811,990   

Netherlands

       21,528           191,740                     213,268   

South Africa

                 36,245                     36,245   

South Korea

                 89,222                     89,222   

Switzerland

                 358,311                     358,311   

Taiwan

       45,570                               45,570   

United Kingdom

                 612,136                     612,136   

United States

                 24,900                     24,900   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       230,829           3,100,495                     3,331,324   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stock

                   

Germany

                 43,587                     43,587   

Short-Term Investment

                   

Investment Company

       36,620                               36,620   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 267,449         $ 3,144,082         $         $ 3,411,531   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         137   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

International Equity Income Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 2,527         $         $ 2,527   

Belgium

       4,725                               4,725   

Canada

       4,977                               4,977   

China

                 1,219                     1,219   

Czech Republic

                 3,378                     3,378   

Denmark

                 3,467                     3,467   

Finland

                 3,769                     3,769   

France

                 9,448                     9,448   

Germany

                 12,208                     12,208   

Hong Kong

       1,582           1,606                     3,188   

Israel

                 2,361                     2,361   

Japan

       3,338           7,857                     11,195   

Netherlands

                 12,663                     12,663   

New Zealand

                 1,427                     1,427   

Norway

                 2,113                     2,113   

Russia

                 8,154                     8,154   

Switzerland

                 4,070                     4,070   

Taiwan

       4,730           1,415                     6,145   

United Kingdom

       3,190           30,791                     33,981   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       22,542           108,473                     131,015   
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       2,567                               2,567   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 25,109         $ 108,473         $         $ 133,582   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ 3         $         $ 3   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ (116      $         $ (116
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
138       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

International Opportunities Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 101,890         $         $ 101,890   

Belgium

       56,617                               56,617   

China

                 13,963                     13,963   

Denmark

                 92,296                     92,296   

Finland

                 38,480                     38,480   

France

                 338,464                     338,464   

Germany

                 230,769                     230,769   

Hong Kong

                 61,857                     61,857   

India

       29,371                               29,371   

Italy

                 99,436                     99,436   

Japan

                 710,923                     710,923   

Netherlands

                 158,373                     158,373   

Norway

                 43,920                     43,920   

Spain

                 12,122                     12,122   

Sweden

                 34,261                     34,261   

Switzerland

                 155,234                     155,234   

United Kingdom

                 425,734                     425,734   

United States

                 41,599                     41,599   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       85,988           2,559,321                     2,645,309   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Germany

                 35,934                     35,934   

Short-Term Investment

                   

Investment Company

       72,806                               72,806   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 158,794         $ 2,595,255         $         $ 2,754,049   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ 17,384         $         $ 17,384   

Futures Contracts

                 601                     601   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Appreciation in Other Financial Instruments

     $         $ 17,985         $         $ 17,985   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ (14,045      $         $ (14,045

Futures Contracts

                 (215                  (215
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Depreciation in Other Financial Instruments

     $         $ (14,260      $         $ (14,260
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         139   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

International Research Enhanced Equity Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
     Total  

Investments in Securities

  

Common Stocks

  

Australia

     $         $ 85,448         $ (b)    $ 85,448   

Belgium

       13,955                             13,955   

Denmark

                 10,985                   10,985   

Finland

                 26,289                   26,289   

France

                 139,327                   139,327   

Germany

                 119,777                   119,777   

Hong Kong

                 36,963                   36,963   

Ireland

       5,161                             5,161   

Israel

       10,141                             10,141   

Italy

                 31,358                   31,358   

Japan

       1,800           304,643                   306,443   

Luxembourg

                 6,995                   6,995   

Netherlands

                 80,365                   80,365   

New Zealand

                 4,976                   4,976   

Portugal

                 4,027                   4,027   

Singapore

                 10,432                   10,432   

Spain

                 28,302                   28,302   

Sweden

                 16,417                   16,417   

Switzerland

                 126,833                   126,833   

United Kingdom

                 203,752                   203,752   

United States

                 11,218                   11,218   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Common Stocks

       31,057           1,248,107           (b)       1,279,164   
    

 

 

      

 

 

      

 

 

    

 

 

 

Preferred Stocks

  

Germany

                 13,835                   13,835   

Rights

  

Spain

       64                             64   

Short-Term Investment

  

Investment Company

       32,949                             32,949   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Investments in Securities

     $ 64,070         $ 1,261,942         $ (b)     $ 1,326,012   
    

 

 

      

 

 

      

 

 

    

 

 

 

Appreciation in Other Financial Instruments

  

Futures Contracts

     $         $ 698         $       $ 698   
    

 

 

      

 

 

      

 

 

    

 

 

 

 

 
140       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

International Unconstrained Equity Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Belgium

     $ 2,901         $         $         $ 2,901   

Canada

       4,953                               4,953   

China

       5,158           5,794                     10,952   

Denmark

                 2,176                     2,176   

Finland

                 4,332                     4,332   

France

                 2,227                     2,227   

Germany

                 3,872                     3,872   

Hong Kong

                 9,347                     9,347   

India

       2,358                               2,358   

Israel

       3,034                               3,034   

Italy

                 1,402                     1,402   

Japan

                 8,299                     8,299   

Netherlands

       1,288           10,275                     11,563   

South Africa

                 1,867                     1,867   

South Korea

                 1,591                     1,591   

Switzerland

                 13,194                     13,194   

Taiwan

       2,241                               2,241   

United Kingdom

                 19,607                     19,607   

United States

                 1,912                     1,912   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       21,933           85,895                     107,828   
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       2,047                               2,047   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 23,980         $ 85,895         $         $ 109,875   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         141   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

International Value Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 53,120         $         $ 53,120   

Belgium

       13,045           13,724                     26,769   

Canada

       12,437                               12,437   

Chile

       7,574                               7,574   

China

                 12,886                     12,886   

Denmark

                 7,799                     7,799   

Finland

                 30,118                     30,118   

France

                 206,694                     206,694   

Germany

                 104,134                     104,134   

Hong Kong

                 26,312                     26,312   

Ireland

       6,679                               6,679   

Israel

       18,673                               18,673   

Italy

                 48,233                     48,233   

Japan

                 311,046                     311,046   

Luxembourg

                 14,356                     14,356   

Netherlands

                 93,253                     93,253   

Norway

                 16,215                     16,215   

South Korea

                 12,531                     12,531   

Spain

                 15,637                     15,637   

Sweden

                 24,591                     24,591   

Switzerland

                 60,268                     60,268   

United Kingdom

                 173,453                     173,453   

United States

                 16,134                     16,134   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       58,408           1,240,504                     1,298,912   
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       16,805                               16,805   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 75,213         $ 1,240,504         $         $ 1,315,717   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $  —         $ 6,930         $         $ 6,930   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ (7,369      $         $ (7,369
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
142       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

Intrepid International Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 180,225         $         $ 180,225   

Austria

                 7,635                     7,635   

Belgium

       10,411           17,637                     28,048   

China

                 8,718                     8,718   

Denmark

                 61,790                     61,790   

Finland

                 19,863                     19,863   

France

                 303,304                     303,304   

Germany

                 201,751                     201,751   

Hong Kong

                 90,905                     90,905   

India

       9,822                               9,822   

Indonesia

       11,138                               11,138   

Ireland

                 8,847                     8,847   

Israel

       13,153                               13,153   

Italy

                 33,580                     33,580   

Japan

                 645,073                     645,073   

Luxembourg

                 11,487                     11,487   

Netherlands

                 113,674                     113,674   

Norway

                 28,920                     28,920   

Portugal

                 6,412                     6,412   

Singapore

                 13,881                     13,881   

South Korea

       10,523                               10,523   

Spain

                 56,538                     56,538   

Sweden

                 71,745                     71,745   

Switzerland

                 227,978                     227,978   

Taiwan

       12,275                               12,275   

United Kingdom

                 412,254                     412,254   

United States

                 27,788                     27,788   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       67,322           2,550,005                     2,617,327   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Germany

                 12,450                     12,450   

Short-Term Investment

                   

Investment Company

       55,706                               55,706   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 123,028         $ 2,562,455         $         $ 2,685,483   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.
(b) Value is zero.

For the Emerging Economies Fund and Intrepid International Fund the transfers from level 1 to level 2 in the amounts of approximately $25,117,000 and $26,193,000, respectively, are due to applying the fair value factors to certain securities during the year ended October 31, 2016.

For the Emerging Markets Equity Fund and Emerging Markets Equity Income Fund the transfers from level 1 to level 2 in the amounts of approximately $26,270,000 and $88,000, respectively, and the transfers from level 2 to level 1 in the amounts of approximately $25,558,000 and $61,000, respectively, are due to the application and non-application of the fair value factors to certain securities during the year ended October 31, 2016.

For the Global Research Enhanced Index Fund and International Research Enhanced Equity Fund there were no significant transfers among any levels during the year ended October 31, 2016.

For the Global Unconstrained Equity Fund, International Equity Fund, International Equity Income Fund, International Opportunities Fund, International Unconstrained Equity Fund and International Value Fund there were no transfers among any levels during the year ended October 31, 2016.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

As of October 31, 2016, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A or Regulation S under the Securities Act.

C. Futures Contracts — Emerging Economies Fund, Emerging Markets Equity Fund, Emerging Markets Equity Income Fund, Global Research Enhanced Index Fund, Global Unconstrained Equity Fund, International Opportunities Fund, International Research Enhanced Equity Fund and International Value Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

The table below discloses the volume of the Funds’ futures contracts activity during the year ended October 31, 2016 (amounts in thousands):

 

     Emerging
Economies
Fund
    Emerging
Markets
Equity
Fund
    Emerging
Markets Equity
Income Fund
    Global Research
Enhanced Index
Fund
    Global
Unconstrained
Equity Fund
    International
Opportunities
Fund
    International
Research Enhanced
Equity Fund
    International
Value Fund
 

Futures Contracts:

               

Average Notional Balance Long

  $ 18,061      $ 44,955 (a)    $ 502 (b)    $ 87,241 (c)    $ 129,611 (d)    $ 14,839      $ 27,866      $ 4,256   

Ending Notional Balance Long

    22,949                                70,537        26,645          

 

(a) For the period from August 1, 2016 to August 31, 2016.
(b) For the period from September 1, 2016 to September 30, 2016.
(c) For the period from November 1, 2015 to March 31, 2016.
(d) For the period from March 1, 2016 to March 31, 2016.

D. Forward Foreign Currency Exchange Contracts  International Equity Income Fund, International Opportunities Fund and International Value Fund may be exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward 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 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 Funds record 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 Funds also record a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

As of October 31, 2016, the Funds did not receive or post collateral for forward foreign currency exchange contracts.

 

 
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Table of Contents

The table below discloses the volume of the Funds’ forward foreign currency exchange contracts activity during the year ended October 31, 2016 (amounts in thousands):

 

Forward Foreign Currency Exchange Contracts:      International Equity
Income Fund
       International
Opportunities
Fund
       International
Value Fund
 

Average Settlement Value Purchased

     $ 5,834         $ 478,295         $ 386,008   

Average Settlement Value Sold

       3,853           425,246           349,244   

Ending Settlement Value Purchased

       7,363           505,336           249,732   

Ending Settlement Value Sold

       6,470           407,071           221,603   

The Funds’ forward foreign currency 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).

E. Summary of Derivatives Information

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Emerging Economies Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Liabilities:            Futures Contracts (a)  

Equity contracts

   Payables, Net Assets — Unrealized Depreciation      $ (282
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

International Equity Income Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

   Receivables      $ 3   
       

 

 

 

Gross Liabilities:

             

Foreign exchange contracts

   Payables      $ (116
       

 

 

 

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

International Opportunities Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location                        
Gross Assets:          Futures
Contracts 
(a)
     Forward Foreign
Currency Exchange
Contracts
     Total  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation    $ 601       $       $ 601   

Foreign exchange contracts

   Receivables              17,384         17,384   
     

 

 

    

 

 

    

 

 

 

Total

      $ 601       $ 17,384       $ 17,985   
     

 

 

    

 

 

    

 

 

 

Gross Liabilities:

                         

Equity contracts

   Payables, Net Assets — Unrealized Depreciation    $ (215    $       $ (215

Foreign exchange contracts

   Payables              (14,045      (14,045
     

 

 

    

 

 

    

 

 

 

Total

      $ (215    $ (14,045    $ (14,260
     

 

 

    

 

 

    

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of October 31, 2016 (amounts in thousands):

International Opportunities Fund

 

Counterparty      Gross Amount of
Derivative Assets
Presented on the
Statement of  Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

BNP Paribas

     $ 789        $        $        $ 789   

Citibank, N.A.

       2,709          (531                 2,178   

Goldman Sachs International

       815          (815                   

Merrill Lynch International

       315          (315                   

Morgan Stanley

       1,202          (1,202               

Standard Chartered Bank

       10,644          (113                 10,531   

State Street Corp.

       890          (19                 871   

TD Bank Financial Group

       20          (20                   
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 17,384        $ (3,015      $        $ 14,369   
    

 

 

      

 

 

      

 

 

      

 

 

 
Counterparty      Gross Amount of
Derivative Liabilities
Presented on the
Statement  of Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Posted
       Net Amount Due
To Counterparty
(Not less than zero)
 

Australia and New Zealand Banking Group Limited

     $ 81         $         $         $ 81   

Citibank, N.A.

       531           (531                    

Goldman Sachs International

       4,067           (815                  3,252   

Merrill Lynch International

       1,142           (315             827   

Morgan Stanley

       4,609           (1,202                  3,407   

Royal Bank of Canada

       705                               705   

Standard Chartered Bank

       113           (113                    

State Street Corp.

       19           (19               

TD Bank Financial Group

       2,778           (20                  2,758   
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 14,045        $ (3,015      $        $ 11,030   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

International Research Enhanced Equity Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 698   
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

 

 
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Table of Contents

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

International Value Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

   Receivables      $ 6,930   
       

 

 

 

Gross Liabilities:

             

Foreign exchange contracts

   Payables      $ (7,369
       

 

 

 

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of October 31, 2016 (amounts in thousands):

International Value Fund

 

Counterparty      Gross Amount of
Derivative Assets
Presented on the
Statement of  Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Australia and New Zealand Banking Group Limited

     $ 367        $ (99      $        $ 268   

BNP Paribas

       68                            68   

Citibank, N.A.

       1,692          (409                 1,283   

Credit Suisse International

       2,512          (905                 1,607   

Deutsche Bank AG

       46          (46                   

Goldman Sachs International

       174          (174                   

HSBC Bank, N.A.

       567          (255                 312   

Morgan Stanley

       540                            540   

Societe Generale

       217                            217   

Standard Chartered Bank

       354          (354                   

State Street Corp.

       335          (335                   

TD Bank Financial Group

       58                            58   
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 6,930        $ (2,577      $        $ 4,353   
    

 

 

      

 

 

      

 

 

      

 

 

 
Counterparty      Gross Amount of
Derivative Liabilities
Presented on the
Statement  of Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Posted
       Net Amount Due
To Counterparty
(Not less than zero)
 

Australia and New Zealand Banking Group Limited

     $ 99         $ (99      $         $   

Citibank, N.A.

       409           (409                    

Credit Suisse International

       905           (905                    

Deutsche Bank AG

       754           (46                  708   

Goldman Sachs International

       416           (174                  242   

HSBC Bank, N.A.

       255           (255                    

Merrill Lynch International

       1,216                               1,216   

Royal Bank of Canada

       288                               288   

Standard Chartered Bank

       2,404           (354                  2,050   

State Street Corp.

       623           (335                  288   
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 7,369        $ (2,577      $        $ 4,792   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against the counterparty (i.e. decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Funds often include the ability to terminate (i.e. close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and 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 with collateral posted to a segregated account by one party to the other.

The following tables present the effect of derivatives on the Statements of Operations for the year ended October 31, 2016, by primary underlying risk exposure (amounts in thousands):

Emerging Economies Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 3,290   
    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 697   
    

 

 

 

Emerging Markets Equity Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 1,258   
    

 

 

 

Emerging Markets Equity Income Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (105
    

 

 

 

Global Research Enhanced Index Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 11,473   
    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (10,589
    

 

 

 

Global Unconstrained Equity Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 228   
    

 

 

 

International Equity Income Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ 240   
    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ (113
    

 

 

 

 

 
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Table of Contents

International Opportunities Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts       

Forward Foreign

Currency Exchange

Contracts

       Total  

Equity contracts

     $ 8,069         $         $ 8,069   

Foreign exchange contracts

                 30,000           30,000   
    

 

 

      

 

 

      

 

 

 
     $ 8,069         $ 30,000         $ 38,069   
    

 

 

      

 

 

      

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures
Contracts
       Forward Foreign
Currency Exchange
Contracts
       Total  

Equity contracts

     $ 386         $         $ 386   

Foreign exchange contracts

                 4,056           4,056   
    

 

 

      

 

 

      

 

 

 
     $ 386         $ 4,056         $ 4,442   
    

 

 

      

 

 

      

 

 

 

International Research Enhanced Equity Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts          

Equity contracts

     $ 3,623   
    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 310   
    

 

 

 

International Value Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts        Forward Foreign
Currency Exchange
Contracts
       Total  

Equity contracts

     $ 1,684         $         $ 1,684   

Foreign exchange contracts

                 18,395         $ 18,395   
    

 

 

      

 

 

      

 

 

 
     $ 1,684         $ 18,395         $ 20,079   
    

 

 

      

 

 

      

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ (2,175
    

 

 

 

The Funds’ derivatives contracts held at October 31, 2016 are not accounted for as hedging instruments under GAAP.

F. Structured Instruments — Emerging Markets Equity Fund and Emerging Markets Equity Income Fund invested in structured instruments that have similar economic characteristics to equity securities. These instruments often seek to replicate the performance of an underlying reference asset such as an equity security or market (“reference asset”). The value of these instruments is generally derived from the price movements of the reference asset. On maturity date of each instrument, the Funds will receive a payment from the instrument’s issuing entity based on the value of the reference asset and record a realized gain or loss. The instrument may receive dividends paid in connection with the reference asset which are reported as Net realized gain (loss) on investment transactions on the Statements of Operations.

Structured instruments may be issued by banks, broker dealers or their affiliates or other entities and typically constitute unsecured contractual obligations of the issuing entity. In addition to credit risk, investments in structured instruments generally have the same risks associated with a direct investment in the reference asset. However, there can be no assurance that structured instruments will trade at the same price or have the same value as the reference asset. In addition, structured instruments may be subject to transfer restrictions and a liquid market may not exist for these instruments.

The lack of a liquid market may make it difficult to sell the structured instruments or accurately value them. Investments in structured instruments subject the Funds to counterparty risk.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

G. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

H. Offering and Organizational Costs — Total offering costs of approximately $121,000 incurred in connection with the offering of shares of Emerging Markets Equity Income Fund were amortized on a straight line basis over 12 months from the date the Fund commenced operations. For the year ended October 31, 2016, total offering costs amortized were approximately $14,000.

I. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a fund first learns of the dividend.

J. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended October 31, 2016 are as follows (amounts in thousands):

 

      Class A      Class C     Class R2     Class R5     Class R6     Institutional
Class
     Select Class     Total  

Emerging Economies Fund

                  

Transfer agency fees

   $ 6       $ 2        n/a      $ 1      $ 9        n/a       $ 5      $ 23   

Sub-transfer agency fees

     76         5        n/a        2               n/a         19        102   

Emerging Markets Equity Fund

  

               

Transfer agency fees

     59         10        n/a               14      $ 14         17        114   

Sub-transfer agency fees

     455         55        n/a                      89         240        839   

Emerging Markets Equity Income Fund

  

               

Transfer agency fees

     2         1        n/a        (a)      (a)      n/a         (a)      3   

Sub-transfer agency fees

                    n/a                      n/a                  

Global Research Enhanced Index Fund

  

               

Transfer agency fees

     1         (a)    $ (a)      n/a        n/a        n/a         64        65   

Sub-transfer agency fees

                           n/a        n/a        n/a         105        105   

Global Unconstrained Equity Fund

  

               

Transfer agency fees

     3         1        (a)      (a)      (a)      n/a         2        6   

Sub-transfer agency fees

     16         (a)                           n/a         2        18   

International Equity Fund

  

               

Transfer agency fees

     33         7        1        1        22        n/a         12        76   

Sub-transfer agency fees

     145         29        4        30               n/a         82        290   

International Equity Income Fund

  

               

Transfer agency fees

     4         3        1        1        (a)      n/a         4        13   

Sub-transfer agency fees

     33         8        (a)                    n/a         14        55   

 

 
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      Class A      Class C      Class R2      Class R5     Class R6     Institutional
Class
     Select Class      Total  

International Opportunities Fund

  

                  

Transfer agency fees

   $ 15       $ 2       $ n/a       $ n/a      $ 17      $ 2       $ 9       $ 45   

Sub-transfer agency fees

     121         2         n/a         n/a               6         13         142   

International Research Enhanced Equity Fund

  

                  

Transfer agency fees

     39         4         3         n/a        n/a        n/a         12         58   

Sub-transfer agency fees

     94         30         11         n/a        n/a        n/a         115         250   

International Unconstrained Equity Fund

  

                  

Transfer agency fees

     5         3       $ 1         (a)      (a)      n/a         4         13   

Sub-transfer agency fees

     6         2                               n/a         4         12   

International Value Fund

  

                  

Transfer agency fees

     29         4         1                1      $ 9         8         52   

Sub-transfer agency fees

     1,253         46         6                       799         71         2,175   

Intrepid International Fund

  

                  

Transfer agency fees

     10         1         1         n/a        19        3         2         36   

Sub-transfer agency fees

     112         2         1         n/a               1         19         135   

 

(a) Amount rounds to less than 500.

K. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

L. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. Certain Funds are subject to a tax imposed on short-term capital gains on securities of issuers domiciled in India. The Funds record an estimated deferred tax liability for these securities that have been held for less than one year at the end of the reporting period, assuming those positions were disposed of at the end of the period. This amount, if any, is reported as Deferred India capital gains tax in the accompanying Statements of Assets and Liabilities. Short-term realized capital losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short-term realized capital gains.

India has enacted rules imposing a tax on the indirect transfers of Indian shares. Based upon current guidance from the Indian tax authorities, management does not believe that such tax will be applicable to the Funds. However, management’s conclusion, regarding this and other foreign tax matters, may be subject to future review based on changes in, or the interpretation of, the accounting standards and the tax laws and regulations.

M. Distributions to Shareholders — Distributions from net investment income if any, are generally declared and paid annually, except for International Equity Income Fund, which are declared and paid monthly and for International Equity Fund, which are declared and paid quarterly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following amounts were reclassified within the capital accounts (amounts in thousands):

 

      Paid-in-Capital        Accumulated
undistributed
(distributions
in excess of)
net investment
income
       Accumulated
net realized
gains (losses)
 

Emerging Economies Fund

   $         $ 403         $ (403

Emerging Markets Equity Fund

               (186        186   

Emerging Markets Equity Income Fund

               (7        7   

Global Research Enhanced Index Fund

               (431        431   

Global Unconstrained Equity Fund

               174           (174

International Equity Fund

               (1,457        1,457   

International Equity Income Fund

               449           (449

International Opportunities Fund

               30,151           (30,151

International Research Enhanced Equity Fund

               (78        78   

International Unconstrained Equity Fund

               1,164           (1,164

International Value Fund

     (35,803        19,119           16,684   

Intrepid International Fund

     (281,157        2,841           278,316   

The reclassifications for the Funds relate primarily to foreign currency gains or losses, expiration of capital loss carryforwards, return of capital distributions and investments in passive foreign investment companies (“PFICs”).

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets.

The annual rate for each Fund is as follows:

 

Emerging Economies Fund*

     0.85

Emerging Markets Equity Fund*

     0.85   

Emerging Markets Equity Income Fund

     1.00   

Global Research Enhanced Index Fund

     0.20   

Global Unconstrained Equity Fund

     0.70   

International Equity Fund**

     0.80   

International Equity Income Fund

     0.70   

International Opportunities Fund

     0.60   

International Research Enhanced Equity Fund

     0.20   

International Unconstrained Equity Fund

     0.70   

International Value Fund

     0.60   

Intrepid International Fund

     0.60   

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

 

  * Prior to May 20, 2016 the Investment Advisory fee for the Emerging Economies Fund and the Emerging Markets Equity Fund was 1.00%.
** Effective November 1, 2016 the Investment Advisory fee for the International Equity Fund was reduced to 0.70%.

B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares. The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the

 

 
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1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2  

Emerging Economies Fund

       0.25        0.75        n/a   

Emerging Markets Equity Fund

       0.25           0.75           n/a   

Emerging Markets Equity Income Fund

       0.25           0.75           n/a   

Global Research Enhanced Index Fund

       0.25           0.75           0.50

Global Unconstrained Equity Fund

       0.25           0.75           0.50   

International Equity Fund

       0.25           0.75           0.50   

International Equity Income Fund

       0.25           0.75           0.50   

International Opportunities Fund

       0.25           0.75           n/a   

International Research Enhanced Equity Fund

       0.25           0.75           0.50   

International Unconstrained Equity Fund

       0.25           0.75           0.50   

International Value Fund

       0.25           0.75           0.50   

Intrepid International Fund

       0.25           0.75           0.50   

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following amounts (in thousands):

 

        Front-End
Sales Charge
       CDSC  

Emerging Economies Fund

     $ 4         $   

Emerging Markets Equity Fund

       85           (a) 

Emerging Markets Equity Income Fund

       (a)           

Global Unconstrained Equity Fund

       1             

International Equity Fund

       13           (a) 

International Equity Income Fund

       40           (a) 

International Opportunities Fund

       4           (a) 

International Research Enhanced Equity Fund

       4           (a) 

International Unconstrained Equity Fund

       15           (a) 

International Value Fund

       289           1   

Intrepid International Fund

       2             

 

(a) Amount rounds to less than 500.

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor

under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

      Class A     Class C     Class R2     Class R5     Institutional Class     Select Class  

Emerging Economies Fund

     0.25     0.25     n/a        0.05     n/a        0.25

Emerging Markets Equity Fund

     0.25        0.25        n/a        0.05        0.10     0.25   

Emerging Markets Equity Income Fund

     0.25        0.25        n/a        0.05        n/a        0.25   

Global Research Enhanced Index Fund

     0.25        0.25        0.25     n/a        n/a        0.25   

Global Unconstrained Equity Fund

     0.25        0.25        0.25        0.05        n/a        0.25   

International Equity Fund

     0.25        0.25        0.25        0.05        n/a        0.25   

International Equity Income Fund

     0.25        0.25        0.25        0.05        n/a        0.25   

International Opportunities Fund

     0.25        0.25        n/a        n/a        0.10        0.25   

International Research Enhanced Equity Fund

     0.25        0.25        0.25        n/a        n/a        0.25   

International Unconstrained Equity Fund

     0.25        0.25        0.25        0.05        n/a        0.25   

International Value Fund

     0.25        0.25        0.25        0.05        0.10        0.25   

Intrepid International Fund

     0.25        0.25        0.25        n/a        0.10        0.25   

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

 

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

E. Custodian and Accounting Fees — JPMCB provides portfolio and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included as Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

      Class A     Class C     Class R2     Class R5     Class R6     Institutional Class     Select Class  

Emerging Economies Fund*

     1.35     1.85     n/a        0.95     0.85     n/a        1.10

Emerging Markets Equity Fund**

     1.35        1.85        n/a        0.95        0.85        0.95     1.10   

Emerging Markets Equity Income Fund

     1.55        2.05        n/a        1.10        1.05        n/a        1.30   

Global Research Enhanced Index Fund

     0.59        1.09        0.84     n/a        n/a        n/a        0.34   

Global Unconstrained Equity Fund***

     0.75        1.25        1.00        0.30        0.25        n/a        0.40   

International Equity Fund

     1.31        1.81        1.56        0.86        0.81        n/a        1.06   

International Equity Income Fund

     1.25        1.75        1.50        0.80        0.75        n/a        0.90   

International Opportunities Fund****

     1.31        1.92        n/a        n/a        0.81        0.91        1.06   

International Research Enhanced Equity Fund

     0.60        1.10        0.85        n/a        n/a        n/a        0.35   

International Unconstrained Equity Fund

     1.25        1.75        1.50        0.80        0.75        n/a        0.90   

International Value Fund

     1.35        1.85        1.60        0.95        0.85        0.95        1.10   

Intrepid International Fund

     1.25        1.75        1.50        n/a        0.75        0.85        0.90   

 

        * Prior to May 20, 2016, the contractual expense limitations for Emerging Economies Fund were 1.55%, 2.05%, 1.10%, 1.05% and 1.30% for Class A, Class C, Class R5, Class R6 and Select Class Shares, respectively.

 

      ** Prior to May 20, 2016, the contractual expense limitations for Emerging Markets Equity Fund were 1.55%, 2.05%, 1.05%, 1.15% and 1.30% for Class A, Class C, Class R6, Institutional Class and Select Class Shares, respectively.

 

    *** The expense limitation agreement was in effect for the year ended October 31, 2016, and is in effect through May 31, 2017. Thereafter, the contractual expense limitation will be 1.25%, 1.75%, 1.50%, 0.80%, 0.75% and 0.90% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

 

  **** The expense limitation is in place until October 31, 2018.

Effective November 1, 2016, the contractual expense limitation for International Equity Fund were reduced to 1.24%, 1.74%, 1.49%, 0.84%, 0.74% and 0.99% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively until at least May 31, 2017.

Effective November 1, 2016 the contractual expense limitation for International Opportunities Fund were reduced to 1.24%, 1.74%, 0.74% and 0.99% for Class A, Class C, Class R6 and Select Class Shares, respectively until at least May 31, 2017.

Except as noted above, the expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until February 28, 2017.

For the year ended October 31, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers        
        Investment
Advisory
       Administration        Shareholder
Servicing
    Total     Contractual
Reimbursements
 

Emerging Economies Fund

     $ 1,139         $ 759         $ 113      $ 2,011      $ 5   

Emerging Markets Equity Fund

       1,968           1,312           932        4,212        3   

Emerging Markets Equity Income Fund

       48           3           2        53        166   

Global Research Enhanced Index Fund

       8,974           5,688           81        14,743        1   

Global Unconstrained Equity Fund

       26           14           6        46        212   

International Equity Fund

       2,003           1,332           334        3,669        7   

International Equity Income Fund

       249           93           57        399        2   

International Opportunities Fund

                           (a)      (a)        

International Research Enhanced Equity Fund

       1,683           882           211        2,776        (a) 

International Unconstrained Equity Fund

       168           75           34        277        1   

International Value Fund

                           501        501        5   

Intrepid International Fund

                           97        97        1   

 

(a) Amount rounds to less than 500.

 

 
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     Voluntary Waivers  
      Investment
Advisory
     Total  

Global Unconstrained Equity Fund

   $ 87       $ 87   

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 were as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 62   

Emerging Markets Equity Fund

     120   

Emerging Markets Equity Income Fund

     (a) 

Global Research Enhanced Index Fund

     124   

Global Unconstrained Equity Fund

     3   

International Equity Fund

     140   

International Equity Income Fund

     7   

International Opportunities Fund

     96   

International Research Enhanced Equity Fund

     60   

International Unconstrained Equity Fund

     6   

International Value Fund

     46   

Intrepid International Fund

     90   

 

(a) Amount rounds to less than 500.    

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended October 31, 2016, International Equity Income Fund and International Unconstrained Equity Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 3   

Emerging Markets Equity Fund

     4   

Emerging Markets Equity Income Fund

     (a) 

Global Research Enhanced Index Fund

     15   

Global Unconstrained Equity Fund

     2   

International Equity Fund

     20   

International Equity Income Fund

     1   

International Opportunities Fund

     42   

International Research Enhanced Equity Fund

     5   

International Unconstrained Equity Fund

     2   

International Value Fund

     21   

Intrepid International Fund

     22   

 

(a) Amount rounds to less than 500.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

      Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 

Emerging Economies Fund

   $ 1,509,781         $ 895,020   

Emerging Markets Equity Fund

     1,073,184           532,748   

Emerging Markets Equity Income Fund

     9,118           999   

Global Research Enhanced Index Fund

     2,397,005           2,611,719   

Global Unconstrained Equity Fund

     138,393           143,712   

International Equity Fund

     865,695           342,320   

International Equity Income Fund

     210,263           177,562   

International Opportunities Fund

     1,860,042           1,198,244   

International Research Enhanced Equity Fund

     720,207           248,259   

International Unconstrained Equity Fund

     82,387           45,728   

International Value Fund

     1,146,952           2,046,839   

Intrepid International Fund

     1,545,140           901,162   

During the year ended October 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Emerging Economies Fund

     $ 1,666,022         $ 189,111         $ 88,997         $ 100,114   

Emerging Markets Equity Fund

       2,759,960           559,665           177,067           382,598   

Equity Markets Equity Income Fund

       11,266           740           346           394   

Global Research Enhanced Index Fund

       6,431,078           817,566           364,482           453,084   

Global Unconstrained Equity Fund

       1,700           69           121           (52

International Equity Fund

       3,246,440           522,648           357,557           165,091   

International Equity Income Fund

       130,818           7,544           4,780           2,764   

International Opportunities Fund

       2,707,134           249,436           202,521           46,915   

International Research Enhanced Equity Fund

       1,316,619           131,448           122,055           9,393   

International Unconstrained Equity Fund

       109,796           8,567           8,488           79   

International Value Fund

       1,358,600           76,642           119,525           (42,883

Intrepid International Fund

       2,708,447           217,097           240,061           (22,964

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in PFICs and wash sale loss deferrals.

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

        Ordinary
Income
*
       Net
Long-Term
Capital Gains
      

Return

of
Capital

       Total
Distributions
Paid
 

Emerging Economies Fund

     $ 13,283         $         $         $ 13,283   

Emerging Markets Equity Fund

       20,262                               20,262   

Emerging Markets Equity Income Fund

       141                               141   

Global Research Enhanced Index Fund

       138,054                               138,054   

Global Unconstrained Equity Fund

       5,669           524           1,030           7,223   

International Equity Fund

       64,361                               64,361   

International Equity Income Fund

       3,670           1,746                     5,416   

International Opportunities Fund

       14,487                               14,487   

International Research Enhanced Equity Fund

       21,405           7,959                     29,364   

International Unconstrained Equity Fund

       274                               274   

International Value Fund

       29,657                               29,657   

Intrepid International Fund

       42,882                               42,882   

 

 
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The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

        Ordinary
Income
*
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 

Emerging Economies Fund

     $ 24,053         $         $ 24,053   

Emerging Markets Equity Fund

       27,266                     27,266   

Emerging Markets Equity Income Fund

       88                     88   

Global Research Enhanced Index Fund

       101,093           18,009           119,102   

Global Unconstrained Equity Fund

       414           679           1,093   

International Equity Fund

       49,283                     49,283   

International Equity Income Fund

       4,463           1,130           5,593   

International Opportunities Fund

       46,728                     46,728   

International Research Enhanced Equity Fund

       21,518           104,358           125,876   

International Unconstrained Equity Fund

       135           230           365   

International Value Fund

       134,534                     134,534   

Intrepid International Fund

       24,512                     24,512   

 

* Short-term gains are treated as ordinary income for income tax purposes.

At October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Long-Term
Capital Gain or
(Tax Basis Capital
Loss Carryover)
       Unrealized
Appreciation
(Depreciation)
 

Emerging Economies Fund

     $ 22,466         $ (240,682      $ 99,314   

Emerging Markets Equity Fund

       19,137           (97,872        377,980   

Emerging Markets Equity Income Fund

       18           (501        394   

Global Research Enhanced Index Fund

       133,184           (236,628        452,481   

Global Unconstrained Equity Fund

                           (53

International Equity Fund

       8,174           (41,407        164,720   

International Equity Income Fund

       488           (9,342        2,754   

International Opportunities Fund

       94,751           (109,971        47,298   

International Research Enhanced Equity Fund

       31,206           (3,153        9,358   

International Unconstrained Equity Fund

       2,553           (4,719        78   

International Value Fund

       59,157           (376,555        (43,707

Intrepid International Fund

       64,358           (297,270        (23,317

For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals, investments in PFICs, trustee deferred compensation and mark to market of forward foreign currency contracts.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At October 31, 2016, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains as follows (amounts in thousands):

 

        2017        2018        2019        Total  

Emerging Economies Fund

     $ 1,890         $         $ 16,730         $ 18,620   

Emerging Markets Equity Fund

       4,903                               4,903   

International Equity Fund

                 4,532           3,312           7,844   

International Opportunities Fund

                           5,449           5,449   

International Value Fund

       241,545           63,767                     305,312   

Intrepid International Fund

       250,971                               250,971   

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

At October 31, 2016, the following Funds had post-enactment net capital loss carryforwards as follows (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term        Long-Term  

Emerging Economies Fund

   $ 146,542         $ 75,520   

Emerging Markets Equity Fund

     10,629           82,340   

Emerging Markets Equity Income Fund

     183        318

Global Research Enhanced Index Fund

     104,492           132,136   

International Equity Fund

               33,563   

International Equity Income Fund

     8,624           718   

International Opportunities Fund

     82,645           21,877   

International Research Enhanced Equity Fund

     2,467           686   

International Unconstrained Equity Fund

     3,639           1,080   

International Value Fund

     71,243             

Intrepid International Fund

     46,299             

 

* Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384.

During the year ended October 31, 2016, the following Fund utilized capital loss carryforwards as follows (amounts in thousands):

 

International Equity Fund

   $ 1,547   

During the year ended October 31, 2016, the following Funds had expired capital loss carryforwards as follows (amounts in thousands):

 

International Value Fund

   $ 35,803   

Intrepid International Fund

     281,157   

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at October 31, 2016. Average borrowings from the Facility for the year ended October 31, 2016, were as follows (amounts in thousands):

 

        Average
Borrowings
       Average Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

Emerging Economies Fund

     $ 26,124           0.36        5         $ 1   

Global Research Enhanced Index Fund

       10,348           0.49           6           1   

International Value Fund

       12,220           0.40           7           1   

Intrepid International Fund

       26,338           0.38           7           2   

In addition, effective August 16, 2016, the Trusts along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

 

 
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Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

As of October 31, 2016, the J.P. Morgan Investor Funds and the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:

 

      J.P. Morgan
Investor
Funds
       JPMorgan
SmartRetirement
Funds
 

Emerging Economies Fund

     n/a           71.6

Emerging Markets Equity Fund

     n/a           50.1   

International Equity Fund

     n/a           71.2   

International Opportunities Fund

     n/a           87.8   

International Research Enhanced Equity Fund

     53.2        n/a   

International Unconstrained Equity Fund

     68.9           n/a   

Intrepid International Fund

     n/a           89.3   

As of October 31, 2016, the following Funds had individual shareholder accounts and/or omnibus accounts which collectively represented the following percentage of each Fund’s net assets:

 

        Number of
Individual Affiliated
Shareholder
Accounts and/or
Affiliated Omnibus
Accounts
       % of
the
Fund
       Number of
Individual
Non-affiliated
Shareholder
Accounts and/or
Non-affiliated
Omnibus Accounts
     % of
the
Fund
 

Emerging Markets Equity Income Fund

       4           24.6        1         58.9

Global Research Enhanced Index Fund

       1           87.3           n/a         n/a   

Global Unconstrained Equity Fund

       1           16.5           1         17.3   

International Equity Income Fund

       n/a           n/a           8         47.3   

International Research Enhanced Equity Fund

       3           18.3           1         17.3   

International Value Fund

       n/a           n/a           9         69.6   

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on the Fund. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

 

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

As of October 31, 2016, the following Funds had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

      Brazil     China     France     Germany     Hong Kong     India     Japan  

Emerging Economies Fund

         21.8                    

Emerging Markets Equity Fund

     10.6        17.3                             19.9          

Emerging Markets Equity Income Fund

                                 11.6                 

International Equity Fund

                   11.7                             23.8   

International Opportunities Fund

                   12.3                             25.8   

International Research Enhanced Equity Fund

                   10.5        10.1                      23.1   

International Unconstrained Equity Fund

            10.0                                      

International Value Fund

                   15.7                             23.6   

Intrepid International Fund

                   11.3                             24.0   

 

      Netherlands     South
Africa
    South
Korea
    Switzerland     Taiwan     United
Kingdom
 

Emerging Economies Fund

             19.1         11.7    

Emerging Markets Equity Fund

            13.1                               

Emerging Markets Equity Income Fund

            14.3                      22.7          

International Equity Fund

                          10.5               17.9   

International Equity Income Fund

                                        25.4   

International Opportunities Fund

                                        15.5   

International Research Enhanced Equity Fund

                                        15.4   

International Unconstrained Equity Fund

     10.5                      12.0               17.8   

International Value Fund

                                        13.2   

Intrepid International Fund

                                        15.4   

As of October 31, 2016, a significant portion of each Fund’s net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

8. Subsequent Event

The Institutional Class Shares of International Opportunities Fund and Intrepid International Fund liquidated on December 8, 2016.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity Fund, JPMorgan Emerging Markets Equity Income Fund, JPMorgan Global Research Enhanced Index Fund, JPMorgan Global Unconstrained Equity Fund, JPMorgan International Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Opportunities Fund, JPMorgan International Research Enhanced Equity Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund and JPMorgan Intrepid International Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity Fund, JPMorgan Global Research Enhanced Index Fund, JPMorgan Global Unconstrained Equity Fund, JPMorgan International Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Opportunities Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund and JPMorgan Intrepid International Fund (each a separate fund of JPMorgan Trust I), and JPMorgan International Research Enhanced Equity Fund (a separate fund of JPMorgan Trust II) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, and the financial position of JPMorgan Emerging Markets Equity Income Fund (a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016, and the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for the period December 12, 2014 (commencement of operations) through October 31, 2015, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter collectively referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trusts since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
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Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trusts since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) 

The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees.

 

(2)

A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         163   


Table of Contents

OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trusts (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
164       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

Emerging Economies Fund

                   

Class A

                   

Actual*

     $ 1,000.00         $ 1,091.70         $ 7.15           1.36

Hypothetical*

       1,000.00           1,018.30           6.90           1.36   

Class C

                   

Actual*

       1,000.00           1,088.70           9.82           1.87   

Hypothetical*

       1,000.00           1,015.74           9.48           1.87   

Class R5

                   

Actual*

       1,000.00           1,092.80           5.05           0.96   

Hypothetical*

       1,000.00           1,020.31           4.88           0.96   

Class R6

                   

Actual*

       1,000.00           1,094.00           4.53           0.86   

Hypothetical*

       1,000.00           1,020.81           4.37           0.86   

Select Class

                   

Actual*

       1,000.00           1,092.60           5.89           1.12   

Hypothetical*

       1,000.00           1,019.51           5.69           1.12   

Emerging Markets Equity Fund

                   

Class A

                   

Actual*

       1,000.00           1,107.20           7.20           1.36   

Hypothetical*

       1,000.00           1,018.30           6.90           1.36   

Class C

                   

Actual*

       1,000.00           1,104.90           9.84           1.86   

Hypothetical*

       1,000.00           1,015.79           9.42           1.86   

Class R5

                   

Actual**

       1,000.00           1,004.00           1.23           0.90   

Hypothetical*

       1,000.00           1,020.61           4.57           0.90   

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         165   


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

Emerging Markets Equity Fund (continued)

                   

Class R6

                   

Actual*

     $ 1,000.00         $ 1,110.80         $ 4.56           0.86 %  

Hypothetical*

       1,000.00           1,020.81           4.37           0.86   

Institutional Class

                   

Actual*

       1,000.00           1,110.10           5.09           0.96   

Hypothetical*

       1,000.00           1,020.31           4.88           0.96   

Select Class

                   

Actual*

       1,000.00           1,109.30           5.89           1.11   

Hypothetical*

       1,000.00           1,019.56           5.63           1.11   

Emerging Markets Equity Income Fund

                   

Class A

                   

Actual*

       1,000.00           1,080.70           8.05           1.54   

Hypothetical*

       1,000.00           1,017.39           7.81           1.54   

Class C

                   

Actual*

       1,000.00           1,077.50           10.65           2.04   

Hypothetical*

       1,000.00           1,014.88           10.33           2.04   

Class R5

                   

Actual*

       1,000.00           1,082.80           5.71           1.09   

Hypothetical*

       1,000.00           1,019.66           5.53           1.09   

Class R6

                   

Actual*

       1,000.00           1,083.80           5.45           1.04   

Hypothetical*

       1,000.00           1,019.91           5.28           1.04   

Select Class

                   

Actual*

       1,000.00           1,081.70           6.75           1.29   

Hypothetical*

       1,000.00           1,018.65           6.55           1.29   

Global Research Enhanced Index Fund

                   

Class A

                   

Actual*

       1,000.00           1,025.00           3.00           0.59   

Hypothetical*

       1,000.00           1,022.17           3.00           0.59   

Class C

                   

Actual*

       1,000.00           1,022.10           5.54           1.09   

Hypothetical*

       1,000.00           1,019.66           5.53           1.09   

Class R2

                   

Actual*

       1,000.00           1,026.30           4.28           0.84   

Hypothetical*

       1,000.00           1,020.91           4.27           0.84   

Select Class

                   

Actual*

       1,000.00           1,023.80           1.73           0.34   

Hypothetical*

       1,000.00           1,023.43           1.73           0.34   

Global Unconstrained Equity Fund

                   

Class A

                   

Actual*

       1,000.00           1,028.40           3.52           0.69   

Hypothetical*

       1,000.00           1,021.67           3.51           0.69   

Class C

                   

Actual*

       1,000.00           1,026.40           6.11           1.20   

Hypothetical*

       1,000.00           1,019.10           6.09           1.20   

Class R2

                   

Actual*

       1,000.00           1,028.20           4.84           0.95   

Hypothetical*

       1,000.00           1,020.36           4.82           0.95   

Class R5

                   

Actual*

       1,000.00           1,031.10           1.28           0.25   

Hypothetical*

       1,000.00           1,023.88           1.27           0.25   

 

 
166       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

Global Unconstrained Equity Fund (continued)

                   

Class R6

                   

Actual*

     $ 1,000.00         $ 1,031.20         $ 1.02           0.20 %  

Hypothetical*

       1,000.00           1,024.13           1.02           0.20   

Select Class

                   

Actual*

       1,000.00           1,030.40           1.79           0.35   

Hypothetical*

       1,000.00           1,023.38           1.78           0.35   

International Equity Fund

                   

Class A

                   

Actual*

       1,000.00           1,034.20           6.70           1.31   

Hypothetical*

       1,000.00           1,018.55           6.65           1.31   

Class C

                   

Actual*

       1,000.00           1,031.80           9.24           1.81   

Hypothetical*

       1,000.00           1,016.04           9.17           1.81   

Class R2

                   

Actual*

       1,000.00           1,032.50           7.97           1.56   

Hypothetical*

       1,000.00           1,017.29           7.91           1.56   

Class R5

                   

Actual*

       1,000.00           1,036.90           4.40           0.86   

Hypothetical*

       1,000.00           1,020.81           4.37           0.86   

Class R6

                   

Actual*

       1,000.00           1,036.40           4.15           0.81   

Hypothetical*

       1,000.00           1,021.06           4.12           0.81   

Select Class

                   

Actual*

       1,000.00           1,035.80           5.42           1.06   

Hypothetical*

       1,000.00           1,019.81           5.38           1.06   

International Equity Income Fund

                   

Class A

                   

Actual*

       1,000.00           987.50           6.19           1.24   

Hypothetical*

       1,000.00           1,018.90           6.29           1.24   

Class C

                   

Actual*

       1,000.00           985.70           8.68           1.74   

Hypothetical*

       1,000.00           1,016.39           8.82           1.74   

Class R2

                   

Actual*

       1,000.00           986.60           7.44           1.49   

Hypothetical*

       1,000.00           1,017.65           7.56           1.49   

Class R5

                   

Actual*

       1,000.00           989.80           3.95           0.79   

Hypothetical*

       1,000.00           1,021.17           4.01           0.79   

Class R6

                   

Actual*

       1,000.00           990.00           3.70           0.74   

Hypothetical*

       1,000.00           1,021.42           3.76           0.74   

Select Class

                   

Actual*

       1,000.00           989.30           4.45           0.89   

Hypothetical*

       1,000.00           1,020.66           4.52           0.89   

International Opportunities Fund

                   

Class A

                   

Actual*

       1,000.00           990.60           6.40           1.28   

Hypothetical*

       1,000.00           1,018.70           6.50           1.28   

Class C

                   

Actual*

       1,000.00           988.10           9.55           1.91   

Hypothetical*

       1,000.00           1,015.53           9.68           1.91   

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         167   


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

International Opportunities Fund (continued)

                   

Class R6

                   

Actual*

     $ 1,000.00         $ 993.60         $ 3.56           0.71 %  

Hypothetical*

       1,000.00           1,021.57           3.61           0.71   

Institutional Class

                   

Actual*

       1,000.00           992.90           4.16           0.83   

Hypothetical*

       1,000.00           1,020.96           4.22           0.83   

Select Class

                   

Actual*

       1,000.00           992.20           5.26           1.05   

Hypothetical*

       1,000.00           1,019.86           5.33           1.05   

International Research Enhanced Equity Fund

                   

Class A

                   

Actual*

       1,000.00           1,006.50           2.98           0.59   

Hypothetical*

       1,000.00           1,022.17           3.00           0.59   

Class C

                   

Actual*

       1,000.00           1,004.00           5.49           1.09   

Hypothetical*

       1,000.00           1,019.66           5.53           1.09   

Class R2

                   

Actual*

       1,000.00           1,005.30           4.23           0.84   

Hypothetical*

       1,000.00           1,020.91           4.27           0.84   

Select Class

                   

Actual*

       1,000.00           1,008.40           1.72           0.34   

Hypothetical*

       1,000.00           1,023.43           1.73           0.34   

International Unconstrained Equity Fund

                   

Class A

                   

Actual*

       1,000.00           1,017.10           6.29           1.24   

Hypothetical*

       1,000.00           1,018.90           6.29           1.24   

Class C

                   

Actual*

       1,000.00           1,014.90           8.81           1.74   

Hypothetical*

       1,000.00           1,016.39           8.82           1.74   

Class R2

                   

Actual*

       1,000.00           1,015.90           7.55           1.49   

Hypothetical*

       1,000.00           1,017.65           7.56           1.49   

Class R5

                   

Actual*

       1,000.00           1,019.30           4.06           0.80   

Hypothetical*

       1,000.00           1,021.11           4.06           0.80   

Class R6

                   

Actual*

       1,000.00           1,019.90           3.76           0.74   

Hypothetical*

       1,000.00           1,021.42           3.76           0.74   

Select Class

                   

Actual*

       1,000.00           1,018.70           4.52           0.89   

Hypothetical*

       1,000.00           1,020.66           4.52           0.89   

International Value Fund

                   

Class A

                   

Actual*

       1,000.00           1,006.60           6.81           1.35   

Hypothetical*

       1,000.00           1,018.35           6.85           1.35   

Class C

                   

Actual*

       1,000.00           1,004.20           9.32           1.85   

Hypothetical*

       1,000.00           1,015.84           9.37           1.85   

Class R2

                   

Actual*

       1,000.00           1,005.80           7.97           1.58   

Hypothetical*

       1,000.00           1,017.19           8.01           1.58   

 

 
168       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

International Value Fund (continued)

                   

Class R5

                   

Actual**

     $ 1,000.00         $ 996.80         $ 1.08           0.79 %  

Hypothetical*

       1,000.00           1,021.17           4.01           0.79   

Class R6

                   

Actual*

       1,000.00           1,010.50           3.64           0.72   

Hypothetical*

       1,000.00           1,021.52           3.66           0.72   

Institutional Class

                   

Actual*

       1,000.00           1,008.90           4.65           0.92   

Hypothetical*

       1,000.00           1,020.51           4.67           0.92   

Select Class

                   

Actual*

       1,000.00           1,008.80           5.10           1.01   

Hypothetical*

       1,000.00           1,020.06           5.13           1.01   

Intrepid International Fund

                   

Class A

                   

Actual*

       1,000.00           1,015.40           6.33           1.25   

Hypothetical*

       1,000.00           1,018.85           6.34           1.25   

Class C

                   

Actual*

       1,000.00           1,013.10           8.86           1.75   

Hypothetical*

       1,000.00           1,016.34           8.87           1.75   

Class R2

                   

Actual*

       1,000.00           1,013.90           7.59           1.50   

Hypothetical*

       1,000.00           1,017.60           7.61           1.50   

Class R6

                   

Actual*

       1,000.00           1,018.30           3.60           0.71   

Hypothetical*

       1,000.00           1,021.57           3.61           0.71   

Institutional Class

                   

Actual*

       1,000.00           1,018.00           4.11           0.81   

Hypothetical*

       1,000.00           1,021.06           4.12           0.81   

Select Class

                   

Actual*

       1,000.00           1,016.90           4.56           0.90   

Hypothetical*

       1,000.00           1,020.61           4.57           0.90   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 52/366 (to reflect the actual period.) Commencement of operations was September 9, 2016.

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of Funds with greater than two years of performance history in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees

also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes

 

 

 
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designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Senior Officer/ Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the International Equity Fund and International Research Enhanced Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the Senior Officer’s report in determining whether to continue the Advisory Agreements.

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Emerging Economies Fund, Emerging Markets Equity Fund, Emerging Markets Equity Income Fund, Global Research Enhanced Index Fund, Global Unconstrained Equity Fund, International Equity Income Fund, International Opportunities Fund, International Unconstrained Equity Fund, International Value Fund and Intrepid International Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds which had at least one full year of performance at the time of review in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds which had at least one full year of performance at the time of review within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three-, and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Emerging Economies Fund’s performance for Class A shares was in the fourth, fourth and fifth quintiles based upon the Peer Group, and in the third, fourth and fourth quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015,

respectively. The Trustees noted that the performance for the Select Class shares was in the fourth, fifth, and fourth quintiles, based upon the Peer Group, and in the third, fourth, and fourth quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the Emerging Markets Equity Fund’s performance for Class A shares was in the fourth quintile based upon the Peer Group, and in the fourth, fourth and third quintiles, based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees noted that performance for Select Class shares was in the fourth, fifth, and second quintiles based upon the Peer Group, and in the fourth, fourth, and third quintiles based upon the Universe, for r the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the Emerging Markets Equity Income Fund’s performance for both Class A and Select Class shares was in the fifth quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser. Based upon this discussion and various other factors, the Trustees concluded that the performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the Global Research Enhanced Index Fund’s performance for the Select Class shares was in the second quintile for the one-year period ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analyses and evaluation prepared by the independent consultant. Based upon these discussions and

 

 

 
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various other factors, the Trustees concluded that the performance was reasonable.

The Trustees noted that the Global Unconstrained Equity Fund’s performance for both Class A and Select Class shares was in the first and second quintiles based upon both the Peer Group and Universe, for the one- and three-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analyses and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the International Equity Fund’s performance for Class A shares was in the third, fifth and fourth quintiles based upon the Peer group, and in the third, fifth and third quintiles, based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for the Select Class shares was in the third, fifth and third quintiles, based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the International Equity Income Fund’s performance for Class A shares was in the first quintile based upon the Peer Group, for the one- and three- year periods ended December 31, 2015, and in the first quintile, based upon the Universe, for the one- year period ended December 31, 2015. The Trustees noted that performance for the Select Class shares was in the first quintile based upon the Universe, for the one- and three- year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, including changes to the Fund’s name and investment strategy effective January 30, 2015, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the International Opportunities Fund’s performance for Class A shares was in the first, first and second quintiles based upon the Peer Group, and in the first, second and second quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015. The Trustees noted that the performance for Select Class shares was in the first, second and second quintiles, based upon the

Universe, for the one- three- and five- year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the International Research Enhanced Equity Fund’s performance for Class A shares was in the second, third and fourth quintiles, based upon the Peer Group, and in the second, third and third, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for Select Class shares was in fourth quintile, based upon the Peer Group, and in the second, second and third quintiles, based upon the Universe, for the one- three- and five- year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the International Unconstrained Equity Fund’s performance for Class A shares was in the second and fourth quintiles based upon the Universe and for Select Class shares, was in the second and third quintiles based upon the Universe for the one- and three-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the International Value Fund’s performance for both Class A and Select Class shares was in the fourth, fifth and fourth quintiles, based upon the Universe, for the one-, three- and five- year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the Intrepid International Fund’s performance for Class A shares was in the first, third and fourth quintiles based upon the Peer Group and in the first, second and third quintiles, based upon the Universe, for the one-, three- and five- year periods ended December 31, 2015, respectively. The Trustees noted that the performance for the Select Class shares was in the second, first and first quintiles, based upon the Peer Group, and in the first, second and second quintiles, based upon the Universe for the one-, three,- and five- year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Emerging Economies Fund’s net advisory fee and actual total expenses for both Class A and Select Class shares were in the first quintile, based upon the Peer Group, and that the actual total expenses for Class A and Select Class shares were in the first and second quintiles, respectively, based upon the Universe. The Trustees also noted that Fund’s expense caps were reduced effective July 1, 2015 and the advisory fees were reduced effective May 20, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Emerging Markets Equity Fund’s net advisory fee for Class A shares was in the first and second

quintile, based upon the Peer Group and Universe, respectively, and that the actual total expenses were in first quintiles for both the Peer Group and the Universe. The Trustees noted that the net advisory fee and total actual expenses for the Select Class shares were in the second quintile based upon both the Peer Group and the Universe. The Trustees also noted that Fund’s expense caps were reduced effective March 1, 2015 and the advisory fees were reduced effective May 20, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Emerging Markets Equity Income Fund’s net advisory fee for Class A shares was in the first quintile, and that the actual total expenses were in the second and third quintiles, respectively. The Trustees also noted that Fund’s expense caps were reduced effective July 1, 2015. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Global Research Enhanced Index Fund’s net advisory fee and actual total expenses for Select Class shares were in the first quintile. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Global Unconstrained Equity Fund’s net advisory fee for both Class A and Select Class shares was in the first quintile, and that the actual total expenses for both Class A and Select Class shares were in the first quintiles, based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Equity Fund’s net advisory fee for Class A shares was in the second quintile, and that actual total expenses for Class A shares was in the second quintile. The Trustees also noted that the Fund’s contractual advisory fee and expense caps were reduced effective November 1, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Equity Income Fund’s net advisory fee for Class A shares was in the first quintile, and that the actual total expenses for Class A shares were in the second quintile, based upon the Peer Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Research Enhanced Equity Fund’s net advisory fee for both Class A and Select Class shares was in the first quintile, and actual total expenses for both Class A and Select Class shares were in the first quintile, based upon both the Peer Group and Universe. After consider-

 

 

 
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ing the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Opportunities Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses shares were in the second quintile, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Select Class shares was in the first quintile, and actual total expenses were in the third quintile, based upon the Universe. The Trustees also noted that the Fund’s expense caps were reduced effective November 1, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Unconstrained Equity Fund’s net advisory fee and total actual expenses for Class A shares was in the first quintile, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Select Class shares was in the first quintile and actual total expenses were in the second quintile, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the International Value Fund’s net advisory fee for Class A shares was in the first quintile, based

upon the Peer Group and in the second quintile based upon the Universe, and that the actual total expenses were in the fourth and second quintiles, based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Select Class shares was in the first quintile based upon the Peer Group, and in the second quintile, based upon the Universe, and that the actual total expenses were in the first quintile, based upon the Peer Group, and in the third quintile, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Intrepid International Fund’s net advisory fee for Class A shares was in the second quintile, based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles, based on the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for the Select Class shares was in second and third quintiles, based upon the Peer Group and Universe, respectively, and that actual total expenses were in the second quintile based upon both the Peer Group and Universe. The Trustees also noted that the Fund’s contractual advisory fee and expense caps were reduced effective March 1, 2015. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

 

 

 
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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended October 31, 2016:

 

     

Dividends

Received

Deduction

 

Global Research Enhanced Index Fund

     51.11

Global Unconstrained Equity Fund

     4.04   

Long Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

     

Long-Term

Capital Gain

Distribution

 

Global Unconstrained Equity Fund

   $ 524   

International Equity Income Fund

     1,746   

International Research Enhanced Equity Fund

     7,959   

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as

qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

     

Qualified

Dividend

Income

 

Emerging Economies Fund

   $ 17,609   

Emerging Markets Equity Fund

     24,541   

Emerging Markets Equity Income Fund

     170   

Global Research Enhanced Index Fund

     138,054   

Global Unconstrained Equity Fund

     467   

International Equity Fund

     71,676   

International Equity Income Fund

     4,145   

International Opportunities Fund

     20,270   

International Research Enhanced Equity Fund

     24,302   

International Unconstrained Equity Fund

     495   

International Value Fund

     35,104   

Intrepid International Fund

     50,069   

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended October 31, 2016, the following Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as follows or amounts as finally determined (amounts in thousands):

 

      Gross
Income
     Foreign Tax
Pass Through
 

Emerging Economies Fund

   $ 36,358       $ 4,326   

Emerging Markets Equity Fund

     49,058         4,279   

Emerging Markets Equity Income Fund

     209         29   

International Equity Fund

     99,197         7,316   

International Equity Income Fund

     5,272         475   

International Opportunities Fund

     83,837         5,783   

International Research Enhanced Equity Fund

     32,852         2,897   

International Unconstrained Equity Fund

     1,653         222   

International Value Fund

     69,211         5,447   

Intrepid International Fund

     88,805         7,187   
 

 

 
176       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

 Social Security number and account balances

 

 transaction history and account transactions

 

 checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

 open an account or provide contact information

 

 give us your account information or pay us by check

 

 make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

 sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

 affiliates from using your information to market to you

 

 sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

 J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-INTEQ-1016


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Annual Report

J.P. Morgan Tax Aware Funds

October 31, 2016

JPMorgan Tax Aware Equity Fund

JPMorgan Tax Aware Real Return Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan Tax Aware Equity Fund

       3   

JPMorgan Tax Aware Real Return Fund

       6   
Schedules of Portfolio Investments        10   
Financial Statements        26   
Financial Highlights        32   
Notes to Financial Statements        36   
Report of Independent Registered Public Accounting Firm        45   
Trustees        46   
Officers        48   
Schedule of Shareholder Expenses        49   
Board Approval of Investment Advisory Agreements        50   
Tax Letter        53   

Privacy Notice — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

NOVEMBER 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         1   


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J.P. Morgan Tax Aware Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

U.S. financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided. By the end of August 2016, the Standard & Poor’s 500 Index had reached new record highs and mostly held those gains through October. Overall, bond markets in the U.S. had positive returns during the reporting period, with lower quality bonds generally outperforming higher quality bonds. For the twelve months ended October 31, 2016, the S&P 500 returned 4.51%, while the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly the Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index) returned 3.10%.

 

 
2       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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JPMorgan Tax Aware Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Institutional Class Shares)*      2.94%   
S&P 500 Index      4.51%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,181,805   

 

INVESTMENT OBJECTIVE**

The JPMorgan Tax Aware Equity Fund (the “Fund”) seeks to provide high after-tax total return from a portfolio of selected equity securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended October 31, 2016.

The Fund’s security selection in the pharmaceutical/medical technology and the big banks & brokers sectors was a leading detractor from relative performance. The Fund’s security selection in the semiconductors & hardware sector and the media sector was a leading contributor to performance relative to the Benchmark.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Allergan PLC and Vertex Pharmaceuticals Inc. and its underweight position in Johnson & Johnson. Shares of Allergan, a pharmaceutical company, fell after its plan to merge with Pfizer Inc. collapsed in early April 2016. Shares of Vertex, a drug maker, fell on investor expectations that U.S. regulators would move to curb prices on a broad range of drugs. Shares of Johnson & Johnson, a maker of consumer health care products that was not held in the Fund, rose on better than expected earnings.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Broadcom Ltd., UnitedHealth Group Inc. and Pioneer Natural Resources Co. Shares of Broadcom, a semiconductor manufacturer, rose following news of a $37 billion takeover offer from Avago Technologies Inc. Shares of UnitedHealth Group, a health insurer, rose on better than expected earnings. Shares of Pioneer Natural Resources, a producer of shale oil and gas, rose after the company issued an upbeat forecast for production and prices.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s portfolio managers employed a bottom-up fundamental approach to security

selection, researching companies to determine what they believed to be their underlying value and potential for future earnings growth.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      

Apple, Inc.

     4.5
  2.      

Broadcom Ltd., (Singapore)

     4.0   
  3.      

Microsoft Corp.

     3.7   
  4.      

Time Warner, Inc.

     3.2   
  5.      

UnitedHealth Group, Inc.

     2.8   
  6.      

Amazon.com, Inc.

     2.8   
  7.      

Honeywell International, Inc.

     2.5   
  8.      

Alphabet, Inc., Class C

     2.2   
  9.      

Wells Fargo & Co.

     2.1   
  10.      

Facebook, Inc., Class A

     2.1   

 

PORTFOLIO COMPOSITION BY SECTOR***

 
Information Technology      27.6
Financials      16.3  
Consumer Discretionary      14.8  
Health Care      12.7  
Industrials      9.9  
Energy      7.2  
Consumer Staples      6.2  
Materials      2.6  
Utilities      1.7  
Telecommunication Services      0.6   
Short-Term Investment      0.4   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         3   


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JPMorgan Tax Aware Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
        1 YEAR     5 YEAR     10 YEAR  
    Inception Date
of Class
  Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
 

CLASS A SHARES

  March 22,
2011
                 

With Sales Charge*

      (2.91 )%      (4.07 )%      (0.77 )%      12.01     11.42     9.56     5.96     5.56     4.76

Without Sales Charge

      2.47       1.25       2.33       13.23       12.63       10.58       6.53       6.13       5.24  

CLASS C SHARES

  March 22,
2011
                 

With CDSC**

      0.95       (0.17 )     1.39       12.66       12.17       10.12       6.23       5.88       5.00  

Without CDSC

      1.95       0.83       1.96       12.66       12.17       10.12       6.23       5.88       5.00  

INSTITUTIONAL CLASS SHARES

  January 30,
1997
    2.94       1.62       2.66       13.72       13.04       10.98       6.79       6.34       5.45  

SELECT CLASS SHARES

  March 22,
2011
    2.76       1.48       2.54       13.53       12.88       10.82       6.69       6.26       5.37  

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

TEN YEAR FUND PERFORMANCE (10/31/06 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class A, Class C and Select Class Shares prior to their inception date are based on the performance of Institutional Class Shares. The actual returns of Class A, Class C and Select Class Shares would have been lower than those shown because Class A, Class C and Select Class Shares have higher expenses than Institutional Class Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Tax Aware Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all

dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment.

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.

 

 

 
4       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares, with the exception of returns noted above as after taxes.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         5   


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JPMorgan Tax Aware Real Return Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      3.63%   
Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly the Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index)      3.10%   
Composite Benchmark**      4.67%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,535,755   

 

INVESTMENT OBJECTIVE***

The JPMorgan Tax Aware Real Return Fund (the “Fund”) seeks to maximize after-tax inflation protected return.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares had a positive absolute return and outperformed the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) but underperformed the Composite Benchmark for the twelve months ended October 31, 2016.

The Fund’s hedge against inflation was a leading contributor to absolute performance as inflation swap indexes rose during the reporting period. Inflation swap returns were driven higher by improvement in global oil prices, which increased inflationary pressure. The Fund’s allocation to a 90% hedge, rather than a 100% hedge, detracted from absolute and relative performance.

Relative to the Benchmark, the Fund’s longer overall duration and its longer duration in electric, industrial development revenue/pollution control revenue and transportation sector bonds helped performance during the reporting period. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates fall or rise, respectively, compared with bonds with shorter duration.

The Fund’s overall bias toward higher quality bonds detracted from relative performance, particularly its underweight position in bonds rated A and BBB, as lower rated bonds generally outperformed higher rated bonds during the reporting period.

HOW WAS THE FUND POSITIONED?

Among the Fund’s tax-exempt fixed income investments, the Fund employed a bottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk. The Fund maintained its bias to high quality debt securities, as the Fund’s portfolio managers preferred

higher-quality issuances. The Fund’s portfolio managers also maintained an inflation-overlay hedging strategy, using zero-coupon inflation-linked swaps to purchase protection against inflation along the yield curve.

During the period, the Fund’s portfolio managers reduced the hedge ratio to 90% from 95% as asset valuations rose.

INVESTMENT APPROACH

The Fund uses zero-coupon inflation-linked swaps (“inflation swaps”) in combination with tax-exempt municipal bonds to seek to replicate a portfolio of inflation protected securities. The Fund is designed to protect the total return generated by its tax-exempt fixed income holdings from inflation risk. The inflation swaps used by the Fund are based on cumulative percentage movements in the Consumer Price Index for All Urban Consumers (“CPI-U”). The inflation swaps are structured so that one counterparty agrees to pay the cumulative percentage change in the CPI-U over the duration of the swap. The other counterparty (the Fund) pays a compounded fixed rate (zero coupon inflation-swap rate), which is based on the “breakeven inflation rate,” calculated as the yield difference between a nominal U.S. Treasury security and a U.S. Treasury Inflation Protected Security of equal maturity.

The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying bonds is used as the general basis for the Fund’s inflation swap positioning. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that may result from macroeconomic or technical factors.

 

 

 
6       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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PORTFOLIO COMPOSITION****

 
Municipal Bonds      97.7
Short-Term Investment      2.3   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The Fund’s Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
****   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         7   


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JPMorgan Tax Aware Real Return Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
        1 YEAR     5 YEAR     10 YEAR  
    Inception Date
of Class
  Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
 

CLASS A SHARES

  August 31,
2005
                 

With Sales Charge*

      (0.25 )%      (0.25 )%      0.93     0.48     0.48     0.93     1.82     1.82     1.99

Without Sales Charge

      3.64       3.64       3.18       1.25       1.25       1.54       2.21       2.21       2.31  

CLASS C SHARES

  August 31,
2005
                 

With CDSC**

      1.98       1.98       1.95       0.62       0.62       0.91       1.57       1.56       1.67  

Without CDSC

      2.98       2.98       2.52       0.62       0.62       0.91       1.57       1.56       1.67  

CLASS R6 SHARES

  August 16,
2013
    3.99       3.99       3.53       1.59       1.59       1.87       2.52       2.52       2.61  

INSTITUTIONAL CLASS SHARES

  August 31,
2005
    3.89       3.89       3.43       1.53       1.53       1.81       2.48       2.48       2.58  

SELECT CLASS SHARES

  August 31,
2005
    3.63       3.63       3.22       1.36       1.36       1.64       2.33       2.33       2.43  

 

*   Sales Charge for Class A Shares is 3.75%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

TEN YEAR FUND PERFORMANCE (10/31/06 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Institutional Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Tax Aware Real Return Fund, the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index, the Tax Aware Real Return Composite Benchmark and the Lipper Intermediate Municipal Debt Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes

reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund.

The Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Tax Aware Real Return Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. The Lipper Intermediate Municipal Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

 

 

 
8       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

Select Class Shares have a $1,000,000 minimum initial investment. For some investors, income from municipal bonds may be subject to the Alternative Minimum Tax. Capital gains, if any, are federally taxable. Income may be subject to state and local taxes.

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these

waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares, with the exception of returns noted above as after taxes.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         9   


Table of Contents

JPMorgan Tax Aware Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 99.6%

  

  

Consumer Discretionary — 14.8%

  

  

Auto Components — 0.0% (g)

 

  14      

Adient plc, (Ireland) (a)

    644   
    

 

 

 
  

Automobiles — 1.2%

  

  434      

General Motors Co.

    13,709   
    

 

 

 
  

Hotels, Restaurants & Leisure — 0.9%

  

  109      

Carnival Corp.

    5,362   
  64      

Yum! Brands, Inc.

    5,487   
    

 

 

 
       10,849   
    

 

 

 
  

Household Durables — 0.3%

 
  44      

Harman International Industries, Inc.

    3,515   
    

 

 

 
  

Internet & Direct Marketing Retail — 2.8%

  

  42      

Amazon.com, Inc. (a)

    33,223   
    

 

 

 
  

Media — 5.2%

  

  27      

Charter Communications, Inc., Class A (a)

    6,714   
  173      

Comcast Corp., Class A

    10,665   
  110      

DISH Network Corp., Class A (a)

    6,424   
  426      

Time Warner, Inc.

    37,893   
    

 

 

 
       61,696   
    

 

 

 
  

Specialty Retail — 4.4%

 
  13      

AutoZone, Inc. (a)

    9,701   
  195      

Home Depot, Inc. (The)

    23,820   
  274      

Lowe’s Cos., Inc.

    18,256   
    

 

 

 
       51,777   
    

 

 

 
  

Total Consumer Discretionary

    175,413   
    

 

 

 
  

Consumer Staples — 6.2%

  

  

Beverages — 3.4%

  

  79      

Constellation Brands, Inc., Class A

    13,220   
  149      

Molson Coors Brewing Co., Class B

    15,431   
  112      

PepsiCo, Inc.

    12,003   
    

 

 

 
       40,654   
    

 

 

 
  

Food & Staples Retailing — 1.2%

  

  93      

Costco Wholesale Corp.

    13,808   
    

 

 

 
  

Food Products — 0.8%

 
  220      

Mondelez International, Inc., Class A

    9,905   
    

 

 

 
  

Household Products — 0.8%

 
  103      

Procter & Gamble Co. (The)

    8,928   
    

 

 

 
  

Total Consumer Staples

    73,295   
    

 

 

 
  

Energy — 7.2%

  

  

Oil, Gas & Consumable Fuels — 7.2%

  

  365      

Cabot Oil & Gas Corp.

    7,613   
  145      

Chevron Corp.

    15,147   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Oil, Gas & Consumable Fuels — continued

  

  201      

ConocoPhillips

    8,742   
  52      

Diamondback Energy, Inc. (a)

    4,720   
  203      

EOG Resources, Inc.

    18,333   
  133      

Occidental Petroleum Corp.

    9,661   
  115      

Pioneer Natural Resources Co.

    20,641   
    

 

 

 
  

Total Energy

    84,857   
    

 

 

 
  

Financials — 16.3%

  

  

Banks — 6.6%

  

  1,464      

Bank of America Corp.

    24,157   
  457      

Citigroup, Inc.

    22,482   
  65      

First Republic Bank

    4,838   
  107      

KeyCorp

    1,505   
  552      

Wells Fargo & Co.

    25,382   
    

 

 

 
       78,364   
    

 

 

 
  

Capital Markets — 3.9%

  

  33      

BlackRock, Inc.

    11,334   
  23      

Goldman Sachs Group, Inc. (The)

    4,064   
  47      

Intercontinental Exchange, Inc.

    12,671   
  527      

Morgan Stanley

    17,697   
    

 

 

 
       45,766   
    

 

 

 
  

Consumer Finance — 1.1%

 
  53      

Capital One Financial Corp.

    3,888   
  167      

Discover Financial Services

    9,390   
    

 

 

 
       13,278   
    

 

 

 
  

Insurance — 4.7%

 
  154      

American International Group, Inc.

    9,489   
  190      

Chubb Ltd., (Switzerland)

    24,189   
  199      

Marsh & McLennan Cos., Inc.

    12,621   
  192      

MetLife, Inc.

    9,026   
    

 

 

 
       55,325   
    

 

 

 
  

Total Financials

    192,733   
    

 

 

 
  

Health Care — 12.7%

  

  

Biotechnology — 2.7%

  

  52      

Alexion Pharmaceuticals, Inc. (a)

    6,738   
  44      

Biogen, Inc. (a)

    12,403   
  88      

Celgene Corp. (a)

    8,947   
  55      

Vertex Pharmaceuticals, Inc. (a)

    4,163   
    

 

 

 
       32,251   
    

 

 

 
  

Health Care Equipment & Supplies — 0.9%

 
  257      

Boston Scientific Corp. (a)

    5,654   
  60      

Danaher Corp.

    4,682   
    

 

 

 
       10,336   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Health Care Providers & Services — 3.9%

 
  46      

Aetna, Inc.

    4,924   
  47      

Humana, Inc.

    8,118   
  237      

UnitedHealth Group, Inc.

    33,471   
    

 

 

 
       46,513   
    

 

 

 
  

Life Sciences Tools & Services — 0.3%

 
  72      

Agilent Technologies, Inc.

    3,115   
    

 

 

 
  

Pharmaceuticals — 4.9%

 
  77      

Allergan plc (a)

    16,082   
  247      

Bristol-Myers Squibb Co.

    12,581   
  105      

Eli Lilly & Co.

    7,724   
  98      

Merck & Co., Inc.

    5,743   
  484      

Pfizer, Inc.

    15,338   
    

 

 

 
       57,468   
    

 

 

 
  

Total Health Care

    149,683   
    

 

 

 
  

Industrials — 9.9%

  

  

Airlines — 0.9%

  

  102      

Southwest Airlines Co.

    4,069   
  123      

United Continental Holdings, Inc. (a)

    6,918   
    

 

 

 
       10,987   
    

 

 

 
  

Building Products — 2.7%

  

  136      

Allegion plc, (Ireland)

    8,701   
  36      

Lennox International, Inc.

    5,194   
  580      

Masco Corp.

    17,905   
    

 

 

 
       31,800   
    

 

 

 
  

Commercial Services & Supplies — 1.1%

  

  141      

Johnson Controls International plc

    5,704   
  98      

Waste Connections, Inc., (Canada)

    7,401   
    

 

 

 
       13,105   
    

 

 

 
  

Industrial Conglomerates — 4.1%

  

  640      

General Electric Co.

    18,614   
  268      

Honeywell International, Inc.

    29,432   
    

 

 

 
       48,046   
    

 

 

 
  

Machinery — 1.1%

  

  119      

Stanley Black & Decker, Inc.

    13,547   
    

 

 

 
  

Total Industrials

    117,485   
    

 

 

 
  

Information Technology — 27.6%

  

  

Internet Software & Services — 6.5%

  

  30      

Alphabet, Inc., Class A (a)

    24,646   
  33      

Alphabet, Inc., Class C (a)

    26,083   
  192      

Facebook, Inc., Class A (a)

    25,210   
    

 

 

 
       75,939   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

IT Services — 5.4%

  

  114      

Accenture plc, (Ireland), Class A

    13,232   
  192      

Fidelity National Information Services, Inc.

    14,206   
  192      

Mastercard, Inc., Class A

    20,590   
  119      

Visa, Inc., Class A

    9,852   
  52      

WEX, Inc. (a)

    5,651   
    

 

 

 
       63,531   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 6.0%

  

  274      

Broadcom Ltd., (Singapore)

    46,700   
  105      

Lam Research Corp.

    10,190   
  63      

NXP Semiconductors N.V., (Netherlands) (a)

    6,320   
  111      

Texas Instruments, Inc.

    7,878   
    

 

 

 
       71,088   
    

 

 

 
  

Software — 5.2%

  

  166      

Adobe Systems, Inc. (a)

    17,873   
  731      

Microsoft Corp.

    43,796   
    

 

 

 
       61,669   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 4.5%

  

  471      

Apple, Inc.

    53,477   
    

 

 

 
  

Total Information Technology

    325,704   
    

 

 

 
  

Materials — 2.6%

  

  

Chemicals — 1.5%

  

  221      

Dow Chemical Co. (The)

    11,911   
  48      

E.I. du Pont de Nemours & Co.

    3,274   
  30      

PPG Industries, Inc.

    2,831   
    

 

 

 
       18,016   
    

 

 

 
  

Construction Materials — 1.1%

  

  71      

Martin Marietta Materials, Inc.

    13,201   
    

 

 

 
  

Total Materials

    31,217   
    

 

 

 
  

Telecommunication Services — 0.6%

  

  

Diversified Telecommunication Services — 0.6%

  

  134      

Verizon Communications, Inc.

    6,453   
    

 

 

 
  

Utilities — 1.7%

  

  

Electric Utilities — 0.6%

  

  53      

NextEra Energy, Inc.

    6,819   
    

 

 

 
  

Multi-Utilities — 1.1%

  

  156      

CMS Energy Corp.

    6,558   
  302      

NiSource, Inc.

    7,016   
    

 

 

 
       13,574   
    

 

 

 
  

Total Utilities

    20,393   
    

 

 

 
  

Total Common Stocks
(Cost $694,086)

    1,177,233   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         11   


Table of Contents

JPMorgan Tax Aware Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 0.4%

 
  

Investment Company — 0.4%

  

  4,640      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) (Cost $4,640)

    4,640   
    

 

 

 
  

Total Investments — 100.0%
(Cost $698,726)

    1,181,873   
  

Liabilities in Excess of
Other Assets — 0.0% 
(g)

    (68
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,181,805   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — 96.5% (t)

  

  

Alaska — 1.1%

 
  

Other Revenue — 1.1%

 
  13,490      

Borough of Matanuska-Susitna, Goose Creek Correctional Center Project, Rev., 5.250%, 09/01/29

    16,386   
    

 

 

 
  

Arizona — 3.1%

  

  

General Obligation — 0.1%

  

  1,400      

City of Goodyear, GO, AGM, 6.000%, 07/01/19

    1,519   
    

 

 

 
  

Prerefunded — 2.7%

  

  33,840      

Arizona State Transportation Board, Series A, Rev., GAN, 5.250%, 07/01/20 (p)

    38,820   
  3,000      

Arizona State Transportation Board, Maricopa County Regional Area Road, Rev., 5.000%, 07/01/20 (p)

    3,418   
    

 

 

 
       42,238   
    

 

 

 
  

Special Tax — 0.2%

 
  

Phoenix Civic Improvement Corp., Senior Lien,

 
  1,085      

Series C, Rev., 5.000%, 07/01/22

    1,257   
  1,000      

Series C, Rev., 5.000%, 07/01/24

    1,162   
    

 

 

 
       2,419   
    

 

 

 
  

Utility — 0.1%

  

  1,500      

Salt River Project Agricultural Improvement & Power District, Electric System, Series A, Rev., 5.000%, 01/01/22

    1,628   
    

 

 

 
  

Total Arizona

    47,804   
    

 

 

 
  

Arkansas — 0.1%

 
  

Water & Sewer — 0.1%

  

  1,815      

City of Fort Smith, Water & Sewer, Rev., AGM, 5.000%, 10/01/22

    1,948   
    

 

 

 
  

California — 17.6%

  

  

Certificate of Participation/Lease — 0.0% (g)

  

  80      

Los Angeles Unified School District, Headquarters Building Projects, Series B, COP, 5.000%, 10/01/31

    94   
    

 

 

 
  

Education — 3.2%

  

  7,500      

California Educational Facilities Authority, Stanford University, Series U-3, Rev., 5.000%, 06/01/43

    10,353   
  

California State University, Systemwide,

 
  3,000      

Series A, Rev., 5.000%, 11/01/24

    3,781   
  1,500      

Series A, Rev., 5.000%, 11/01/28

    1,890   
  2,625      

Series A, Rev., 5.000%, 11/01/29

    3,277   
  5,000      

Series A, Rev., 5.000%, 11/01/30

    6,194   
  4,875      

Series A, Rev., 5.000%, 11/01/31

    6,007   
  4,000      

Series A, Rev., 5.000%, 11/01/32

    4,894   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Education — continued

  

  2,475      

Golden West Schools Financing Authority, Placentia-Yorba Linda University, Rev., AMBAC, 5.500%, 08/01/20

    2,866   
  3,110      

Simi Valley School Financing Authority, Rev., AGM, 5.000%, 08/01/21

    3,270   
  5,000      

University of California, Series AF, Rev., 5.000%, 05/15/27

    6,069   
    

 

 

 
       48,601   
    

 

 

 
  

General Obligation — 7.3%

 
  1,490      

Carlsbad Unified School District, Series B, GO, Zero Coupon, 05/01/19

    1,441   
  750      

Center Unified School District, Election of 1991, Series D, GO, NATL-RE, Zero Coupon, 08/01/26

    484   
  

Contra Costa Community College District,

 
  2,115      

GO, 5.000%, 08/01/21

    2,493   
  1,000      

GO, 5.000%, 08/01/22

    1,174   
  1,000      

GO, 5.000%, 08/01/24

    1,168   
  7,500      

Los Angeles Community College District, Series A, GO, 4.000%, 08/01/32

    8,338   
  145      

Los Angeles Community College District, Election of 2008, Series G, GO, 4.000%, 08/01/39

    158   
  

Los Angeles Unified School District,

 
  1,000      

Series A-1, GO, AGM, 5.000%, 07/01/19

    1,029   
  9,000      

Series C, GO, 5.000%, 07/01/26

    11,163   
  5,000      

Series D, GO, 5.250%, 07/01/24

    5,565   
  

Murrieta Valley Unified School District,

 
  550      

GO, AGM, 5.000%, 09/01/22

    659   
  725      

GO, AGM, 5.000%, 09/01/23

    886   
  

San Diego Unified School District, Election of 1998,

 
  3,800      

Series C-2, GO, AGM, 5.500%, 07/01/24

    4,862   
  1,000      

Series F-1, GO, AGM, 5.250%, 07/01/28

    1,309   
  1,000      

State Center Community College District, GO, 5.000%, 08/01/24

    1,199   
  

State of California, Various Purpose,

 
  310      

GO, 5.000%, 04/01/17

    316   
  5,000      

GO, 5.000%, 04/01/20

    5,487   
  10,010      

GO, 5.000%, 03/01/25

    12,495   
  12,705      

GO, 5.000%, 03/01/28

    15,479   
  10,370      

GO, 5.000%, 08/01/30

    12,403   
  5,000      

GO, 5.500%, 04/01/18

    5,332   
  5,000      

GO, 5.500%, 04/01/21

    5,549   
  5,000      

GO, 5.625%, 04/01/26

    5,552   
  6,600      

GO, 6.500%, 04/01/33

    7,454   
    

 

 

 
       111,995   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         13   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Other Revenue — 0.4%

  

  4,950      

Golden State Tobacco Securitization Corp., Tobacco Settlement, Series A, Rev., 5.000%, 06/01/34

    5,805   
    

 

 

 
  

Prerefunded — 2.1%

  

  2,000      

California Educational Facilities Authority, University of Southern California, Series A, Rev., 5.000%, 10/01/18 (p)

    2,158   
  3,500      

California Health Facilities Financing Authority, Providence Health & Services, Series C, Rev., 6.250%, 10/01/18 (p)

    3,860   
  2,070      

California State Department of Water Resources, Power Supply, Series H, Rev., AGM-CR, 5.000%, 05/01/18 (p)

    2,199   
  8,700      

California State Public Works Board, University of California, Series H, Rev., 5.000%, 09/01/23 (p)

    10,788   
  2,695      

Center Unified School District, Election of 1991, GO, NATL-RE, Zero Coupon, 08/01/17 (p)

    1,745   
  15      

City of Los Angeles, Department of Water & Power, Power System, Series A, Rev., 5.000%, 01/01/23 (p)

    18   
  10,285      

University of California, Series O, Rev., 5.750%, 05/15/19 (p)

    11,517   
    

 

 

 
       32,285   
    

 

 

 
  

Transportation — 0.5%

 
  

California Infrastructure & Economic Development Bank, Bay Area Toll Bridges, First Lien,

 
  340      

Series A, Rev., AGM, 5.000%, 07/01/22 (p)

    411   
  2,315      

Series A, Rev., FGIC, 5.000%, 07/01/25 (p)

    2,945   
  

San Francisco Bay Area Rapid Transit District, Sales Tax,

 
  3,005      

Series A, Rev., 4.000%, 07/01/33

    3,362   
  175      

Series A, Rev., 5.000%, 07/01/24

    220   
  395      

Series A, Rev., 5.000%, 07/01/25

    503   
  225      

Series A, Rev., 5.000%, 07/01/26

    285   
    

 

 

 
       7,726   
    

 

 

 
  

Utility — 3.2%

 
  

City of Los Angeles, Department of Water & Power, Power System,

 
  2,500      

Series A, Rev., 5.000%, 07/01/23

    3,109   
  1,010      

Series A, Rev., 5.000%, 07/01/30

    1,197   
  25,385      

Series B, Rev., 5.000%, 07/01/28

    30,857   
  2,100      

Series B, Rev., 5.000%, 07/01/31

    2,523   
  1,925      

Series B, Rev., 5.000%, 07/01/32

    2,300   
  3,300      

Series D, Rev., 5.000%, 07/01/32

    3,985   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Utility — continued

 
  5,000      

Long Beach Bond Finance Authority, Natural Gas, Series A, Rev., 5.250%, 11/15/21

    5,724   
    

 

 

 
       49,695   
    

 

 

 
  

Water & Sewer — 0.9%

 
  450      

City of Los Angeles, Wastewater System, Series B, Rev., 5.000%, 06/01/19

    497   
  4,750      

City of Santa Rosa, Wastewater, Capital Appreciation, Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 09/01/23

    4,068   
  2,545      

Metropolitan Water District Southern Water Works, Series A, Rev., 5.000%, 10/01/25

    3,031   
  6,000      

San Diego County Water Authority, Series A, Rev., 5.000%, 05/01/30

    7,136   
    

 

 

 
       14,732   
    

 

 

 
  

Total California

    270,933   
    

 

 

 
  

Colorado — 2.0%

  

  

General Obligation — 1.8%

  

  4,250      

Dawson Ridge Metropolitan District No. 1, Series A, GO, Zero Coupon, 10/01/22 (p)

    3,863   
  

Douglas County School District No. Re-1, Douglas & Elbert Counties,

 
  6,950      

GO, 5.250%, 12/15/23

    8,653   
  2,345      

GO, 5.250%, 12/15/25

    2,996   
  10,000      

Jefferson County School District No. R-1, GO, 5.000%, 12/15/22

    12,074   
    

 

 

 
       27,586   
    

 

 

 
  

Prerefunded — 0.2%

  

  2,170      

Colorado Higher Education, COP, 5.500%, 11/01/18 (p)

    2,368   
  1,225      

Platte River Power Authority, Series HH, Rev., 5.000%, 06/01/19 (p)

    1,350   
    

 

 

 
       3,718   
    

 

 

 
  

Total Colorado

    31,304   
    

 

 

 
  

Connecticut — 0.8%

  

  

General Obligation — 0.6%

  

  200      

City of Greenwich, GO, 5.000%, 06/01/20

    213   
  8,200      

State of Connecticut, Series E, GO, 5.000%, 08/15/30

    9,584   
    

 

 

 
       9,797   
    

 

 

 
  

Prerefunded — 0.1%

  

  1,000      

Connecticut State Health & Educational Facility Authority, Quinnipiac University, Series I, Rev., NATL-RE, 5.000%, 07/01/17 (p)

    1,028   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Water & Sewer — 0.1%

  

  

South Central Regional Water Authority, Water System Revenue,

 
  250      

Series A, Rev., NATL-RE, 5.250%, 08/01/19

    278   
  1,290      

Series A, Rev., NATL-RE, 5.250%, 08/01/20

    1,481   
    

 

 

 
       1,759   
    

 

 

 
  

Total Connecticut

    12,584   
    

 

 

 
  

Delaware — 0.2%

  

  

Education — 0.1%

  

  1,000      

University of Delaware, Series B, Rev., 5.000%, 11/01/21

    1,114   
    

 

 

 
  

General Obligation — 0.1%

  

  1,000      

State of Delaware, Series C, GO, 5.000%, 03/01/21

    1,165   
    

 

 

 
  

Total Delaware

    2,279   
    

 

 

 
  

District of Columbia — 0.9%

  

  

Special Tax — 0.1%

  

  2,000      

District of Columbia, Income Tax, Series A, Rev., 5.000%, 12/01/20

    2,307   
    

 

 

 
  

Water & Sewer — 0.8%

  

  

District of Columbia Water & Sewer Authority, Sub Lien,

 
  5,000      

Series C, Rev., 5.000%, 10/01/25

    5,987   
  5,000      

Series C, Rev., 5.000%, 10/01/29

    5,925   
    

 

 

 
       11,912   
    

 

 

 
  

Total District of Columbia

    14,219   
    

 

 

 
  

Florida — 3.4%

  

  

General Obligation — 2.8%

  

  

Florida State Board of Education, Public Education Capital Outlay,

 
  5,090      

Series A, GO, 5.000%, 06/01/24

    5,831   
  32,375      

Series D, GO, 5.000%, 06/01/25

    37,710   
    

 

 

 
       43,541   
    

 

 

 
  

Other Revenue — 0.6%

  

  7,245      

Palm Beach County, Public Improvement, Rev., 5.000%, 05/01/33

    8,748   
    

 

 

 
  

Total Florida

    52,289   
    

 

 

 
  

Georgia — 1.8%

  

  

General Obligation — 0.1%

  

  

State of Georgia,

 
  300      

Series B, GO, 5.000%, 07/01/20

    342   
  1,000      

Series B, GO, 5.750%, 08/01/17

    1,038   
    

 

 

 
       1,380   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Transportation — 0.4%

  

  6,000      

City of Atlanta, Airport, Series A, Rev., 5.000%, 01/01/21

    6,908   
    

 

 

 
  

Utility — 0.4%

  

  5,700      

Municipal Electric Authority of Georgia, Series B, Rev., 6.250%, 01/01/17

    5,753   
    

 

 

 
  

Water & Sewer — 0.9%

  

  6,895      

Cobb County, Water & Sewer, Rev., 5.000%, 07/01/22

    7,591   
  5,000      

Fulton County, Water & Sewerage, Rev., 5.000%, 01/01/23

    5,752   
  125      

Henry County Water & Sewerage Authority, Rev., 5.000%, 02/01/29

    146   
    

 

 

 
       13,489   
    

 

 

 
  

Total Georgia

    27,530   
    

 

 

 
  

Idaho — 0.6%

  

  

Prerefunded — 0.6%

  

  8,000      

Idaho Health Facilities Authority, Trinity Health Group, Series B, Rev., 6.000%, 12/01/18 (p)

    8,830   
    

 

 

 
  

Illinois — 1.1%

  

  

General Obligation — 0.3%

  

  140      

Du Page & Will Counties Community School District No. 204 Indian Prairie, School Building, Series F, GO, AGM-CR, FGIC, 6.250%, 12/30/21

    173   
  3,205      

Kane, Cook & DuPage Counties, School District No. 46, Elgin, Series A, GO, 5.000%, 01/01/33

    3,600   
  625      

Village of Schaumburg, Series A, GO, 4.000%, 12/01/20

    691   
    

 

 

 
       4,464   
    

 

 

 
  

Other Revenue — 0.2%

  

  3,000      

City of Chicago, Sales Tax, Rev., AGM, 5.000%, 01/01/18

    3,044   
    

 

 

 
  

Prerefunded — 0.0% (g)

  

  610      

Chicago Transit Authority, Capital Grant, Federal Transit Administration, Rev., AMBAC, 5.000%, 12/01/16 (p)

    612   
    

 

 

 
  

Special Tax — 0.0% (g)

  

  

City of Chicago, Motor Fuel Tax,

 
  150      

Rev., 5.000%, 01/01/20

    158   
  200      

Rev., 5.000%, 01/01/21

    213   
  150      

Rev., 5.000%, 01/01/22

    161   
    

 

 

 
       532   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         15   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Transportation — 0.3%

  

  3,000      

Illinois State Toll Highway Authority, Series A, Rev., 5.000%, 12/01/22

    3,598   
  750      

Regional Transportation Authority, Series A, Rev., NATL-RE, 6.000%, 07/01/24

    968   
    

 

 

 
       4,566   
    

 

 

 
  

Water & Sewer — 0.3%

  

  1,125      

City of Chicago, Wastewater Transmission, Series A, Rev., BHAC-CR, 5.250%, 01/01/30

    1,172   
  

City of Chicago, Water Revenue, Second Lien Project,

 
  1,000      

Rev., 5.000%, 11/01/21

    1,137   
  400      

Rev., 5.000%, 11/01/22

    462   
  1,000      

Rev., 5.000%, 11/01/29

    1,152   
    

 

 

 
       3,923   
    

 

 

 
  

Total Illinois

    17,141   
    

 

 

 
  

Indiana — 1.4%

  

  

Education — 0.1%

  

  1,030      

South Bend Community School Corp., First Mortgage, Rev., AGM, 5.000%, 07/05/17

    1,059   
    

 

 

 
  

Other Revenue — 1.0%

  

  1,110      

Fort Wayne Redevelopment Authority, Lease Rental, Harrison Square Project, Rev., 5.000%, 02/01/26

    1,330   
  9,870      

Indiana Finance Authority, Revolving Fund, Series A, Rev., 5.000%, 02/01/26

    11,524   
  1,750      

Indianapolis Local Public Improvement Bond Bank, Pilot Infrastructure Project, Series F, Rev., AGM, 5.000%, 01/01/22

    1,962   
    

 

 

 
       14,816   
    

 

 

 
  

Utility — 0.3%

  

  4,050      

Indianapolis Local Public Improvement Bond Bank, Stormwater Project, Series D, Rev., 5.000%, 01/01/26

    4,821   
    

 

 

 
  

Water & Sewer — 0.0% (g)

  

  

City of Evansville, Waterworks District,

 
  325      

Series B, Rev., 5.000%, 01/01/22

    381   
  375      

Series B, Rev., 5.000%, 01/01/23

    437   
    

 

 

 
       818   
    

 

 

 
  

Total Indiana

    21,514   
    

 

 

 
  

Iowa — 0.4%

  

  

Other Revenue — 0.4%

  

  5,440      

Iowa Finance Authority, State Revolving Fund, Rev., 5.000%, 08/01/26

    6,382   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Kentucky — 1.5%

  

  

Education — 0.6%

  

  1,190      

Meade Country School District Finance Corp., School Building, Rev., 5.000%, 09/01/26

    1,470   
  6,000      

Oldham County, School District Finance Corp., School Building, Rev., 5.000%, 06/01/26

    7,431   
    

 

 

 
       8,901   
    

 

 

 
  

Prerefunded — 0.5%

  

  7,145      

Kentucky State Property & Buildings Commission, Project No. 89, Rev., AGM, 5.000%, 11/01/18 (p)

    7,725   
    

 

 

 
  

Transportation — 0.4%

  

  5,185      

Kentucky Turnpike Authority, Revitalization Projects, Series A, Rev., 5.000%, 07/01/28

    5,989   
    

 

 

 
  

Total Kentucky

    22,615   
    

 

 

 
  

Louisiana — 0.8%

  

  

Housing — 0.2%

  

  3,270      

Louisiana Public Facilities Authority, Multi-Family Housing, CR, Series A, Rev., Zero Coupon, 02/01/20 (p)

    3,130   
    

 

 

 
  

Other Revenue — 0.5%

  

  3,000      

Louisiana Local Government Environmental Facilities & Community Development Authority, LCTCS Act 360 Project, Rev., 5.000%, 10/01/32

    3,517   
  4,375      

Louisiana Public Facilities Authority, CR, Series B, Rev., Zero Coupon, 12/01/19 (p)

    4,202   
    

 

 

 
       7,719   
    

 

 

 
  

Utility — 0.1%

  

  1,250      

City of Alexandria, Utilities, Series A, Rev., 5.000%, 05/01/43

    1,435   
    

 

 

 
  

Total Louisiana

    12,284   
    

 

 

 
  

Maryland — 0.4%

  

  

General Obligation — 0.4%

  

  4,785      

Harford County, Series B, GO, 5.000%, 07/01/23

    5,888   
    

 

 

 
  

Massachusetts — 4.2%

  

  

General Obligation — 2.8%

  

  

Commonwealth of Massachusetts,

 
  9,000      

Series A, GO, 5.250%, 08/01/19

    10,029   
  200      

Series C, GO, AGM, 5.500%, 12/01/22

    249   
  

Commonwealth of Massachusetts, Consolidated Loan of 2014,

 
  5,000      

Series C, GO, 4.000%, 07/01/31

    5,402   
  2,500      

Series C, GO, 5.000%, 07/01/23

    2,985   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

General Obligation — continued

  

  6,875      

Series F, GO, 5.000%, 11/01/26

    8,291   
  13,300      

Series F, GO, 5.000%, 11/01/27

    16,015   
    

 

 

 
       42,971   
    

 

 

 
  

Other Revenue — 0.6%

  

  7,420      

Massachusetts School Building Authority, Dedicated Sales Tax, Series B, Rev., 5.000%, 08/15/30

    8,873   
    

 

 

 
  

Transportation — 0.8%

  

  10,000      

Massachusetts Bay Transportation Authority, Series A, Rev., 5.250%, 07/01/27

    13,019   
    

 

 

 
  

Total Massachusetts

    64,863   
    

 

 

 
  

Michigan — 1.3%

  

  

Education — 0.3%

  

  4,170      

University of Michigan, Series A, Rev., 5.000%, 04/01/21

    4,555   
    

 

 

 
  

General Obligation — 0.2%

  

  2,000      

Huron Valley School District, GO, Q-SBLF, 5.000%, 05/01/24

    2,294   
    

 

 

 
  

Other Revenue — 0.1%

  

  1,240      

State of Michigan, Trunk Line Fund, Rev., 5.000%, 11/15/28

    1,440   
    

 

 

 
  

Water & Sewer — 0.7%

  

  10,000      

City of Grand Rapids, Sanitary Sewer System, Series A, Rev., AGM-CR, BHAC-CR, FGIC, 5.500%, 01/01/22

    11,212   
    

 

 

 
  

Total Michigan

    19,501   
    

 

 

 
  

Minnesota — 1.4%

  

  

General Obligation — 0.7%

  

  775      

Olmsted County, Crossover, Series A, GO, 5.000%, 02/01/21

    899   
  8,275      

State of Minnesota, Various Purpose, Series F, GO, 5.000%, 08/01/20

    9,472   
    

 

 

 
       10,371   
    

 

 

 
  

Other Revenue — 0.7%

  

  9,705      

State of Minnesota, General Fund Refunding Appropriation, Series B, Rev., 5.000%, 03/01/25

    11,442   
    

 

 

 
  

Total Minnesota

    21,813   
    

 

 

 
  

Missouri — 0.8%

  

  

Other Revenue — 0.5%

  

  6,620      

Kansas City Industrial Development Authority, Downtown Redevelopment District, Series A, Rev., 5.000%, 09/01/21

    7,611   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Prerefunded — 0.0% (g)

  

  20      

Missouri Environmental Improvement & Energy Resources Authority, Water Pollution Control & Drinking Water, Series A, Rev., 5.000%, 01/01/20 (p)

    22   
    

 

 

 
  

Transportation — 0.3%

  

  4,060      

Missouri Highways & Transportation Commission, Federal Reimbursement, Series A, Rev., 5.000%, 05/01/20

    4,464   
    

 

 

 
  

Water & Sewer — 0.0% (g)

  

  

Missouri Environmental Improvement & Energy Resources Authority, Water Pollution Control & Drinking Water,

 
  15      

Series A, Rev., 5.000%, 01/01/19 (p)

    16   
  365      

Series B, Rev., 5.000%, 07/01/25

    421   
    

 

 

 
       437   
    

 

 

 
  

Total Missouri

    12,534   
    

 

 

 
  

Nebraska — 0.4%

  

  

Prerefunded — 0.0% (g)

  

  155      

Nebraska Public Power District, Series B, Rev., AGM, 5.000%, 07/01/17 (p)

    159   
    

 

 

 
  

Utility — 0.4%

  

  

Nebraska Public Power District,

 
  250      

Series B, Rev., AGM, 5.000%, 01/01/17

    252   
  445      

Series B, Rev., AGM, 5.000%, 01/01/18

    457   
  5,000      

Omaha Public Power District, Electric System, Series A, Rev., 4.000%, 02/01/32

    5,408   
    

 

 

 
       6,117   
    

 

 

 
  

Total Nebraska

    6,276   
    

 

 

 
  

New Hampshire — 0.3%

  

  

Prerefunded — 0.3%

  

  4,505      

New Hampshire Municipal Bond Bank, Series E, Rev., 5.000%, 01/15/20 (p)

    5,053   
    

 

 

 
  

New Jersey — 2.2%

  

  

Education — 1.3%

  

  

New Jersey Economic Development Authority, School Facilities Construction,

 
  10,000      

Series PP, Rev., 5.000%, 06/15/29

    11,149   
  3,500      

Series XX, Rev., 5.000%, 06/15/19

    3,767   
  5,145      

Series XX, Rev., 5.000%, 06/15/21

    5,659   
    

 

 

 
       20,575   
    

 

 

 
  

General Obligation — 0.2%

  

  850      

North Brunswick Township Board of Education, GO, 5.000%, 07/15/22

    976   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         17   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

General Obligation — continued

  

  

Township of Woodbridge,

 
  1,100      

GO, 5.000%, 07/15/22

    1,249   
  1,200      

GO, 5.000%, 07/15/23

    1,360   
    

 

 

 
       3,585   
    

 

 

 
  

Transportation — 0.6%

  

  2,500      

New Jersey Transportation Trust Fund Authority, Transportation Program, Series AA, Rev., 5.000%, 06/15/36

    2,709   
  5,000      

New Jersey Transportation Trust Fund Authority, Transportation System, Series B, Rev., AMBAC, 5.250%, 12/15/22

    5,682   
    

 

 

 
       8,391   
    

 

 

 
  

Water & Sewer — 0.1%

  

  1,995      

Sussex County Municipal Utilities Authority, Wastewater Facilities, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 12/01/20

    1,863   
    

 

 

 
  

Total New Jersey

    34,414   
    

 

 

 
  

New Mexico — 0.9%

  

  

Other Revenue — 0.8%

  

  

New Mexico Finance Authority, Senior Lien Public Project,

 
  1,625      

Series B, Rev., 5.000%, 06/01/22

    1,724   
  1,690      

Series B, Rev., 5.000%, 06/01/23

    1,793   
  1,820      

Series B, Rev., 5.000%, 06/01/25

    1,928   
  1,965      

Series B, Rev., 5.000%, 06/01/27

    2,078   
  4,200      

Series C, Rev., 5.000%, 06/01/22

    4,902   
    

 

 

 
       12,425   
    

 

 

 
  

Transportation — 0.1%

  

  1,385      

New Mexico Finance Authority, State Transportation, Sub Lien, Series A-2, Rev., 5.000%, 12/15/21

    1,590   
    

 

 

 
  

Total New Mexico

    14,015   
    

 

 

 
  

New York — 25.3%

  

  

General Obligation — 1.2%

  

  5,000      

City of New York, Fiscal Year 2010, Series E, GO, 5.000%, 08/01/23

    5,521   
  

City of New York, Fiscal Year 2013,

 
  6,085      

Series D, GO, 5.000%, 08/01/28

    7,240   
  4,050      

Series F, Sub Series F-1, GO, 5.000%, 03/01/30

    4,777   
    

 

 

 
       17,538   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Hospital — 0.0% (g)

  

  510      

New York State Dormitory Authority, Mental Health Services Facilities Improvement, Series D, Rev., AGM, 5.000%, 02/15/18

    516   
    

 

 

 
  

Industrial Development Revenue/Pollution Control Revenue — 0.7%

   

  9,475      

New York Liberty Development Corp., World Trade Centrer Projects, Class 1, Rev., 5.000%, 09/15/30

    11,122   
    

 

 

 
  

Other Revenue — 10.2%

  

  6,750      

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2007, Series S-2, Rev., NATL-RE, 5.000%, 01/15/22

    6,808   
  3,500      

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2015, Series S-1, Rev., 5.000%, 07/15/40

    4,089   
  3,750      

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2010, Series B, Rev., 5.000%, 11/01/21

    4,196   
  9,000      

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2012, Series D, Sub Series D-1, Rev., 5.000%, 11/01/31

    10,520   
  10,000      

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013, Sub Series F-1, Rev., 5.000%, 02/01/31

    11,760   
  7,875      

New York Local Government Assistance Corp., Sub Lien, Series A-5/6, Rev., 5.500%, 04/01/19

    8,732   
  8,500      

New York State Dormitory Authority, Consolidated Services Contract, Series A, Rev., 5.000%, 07/01/23

    9,365   
  

New York State Dormitory Authority, State Sales Tax,

 
  5,000      

Series A, Rev., 5.000%, 03/15/21

    5,815   
  3,000      

Series A, Rev., 5.000%, 03/15/28

    3,688   
  5,000      

Series A, Rev., 5.000%, 03/15/29

    6,096   
  14,500      

Series A, Rev., 5.000%, 03/15/31

    17,445   
  7,985      

Series A, Rev., 5.000%, 03/15/32

    9,565   
  1,000      

Series A, Rev., 5.000%, 03/15/33

    1,193   
  4,225      

Series A, Rev., 5.000%, 03/15/34

    5,020   
  10,000      

Series A, Rev., 5.000%, 03/15/44

    11,666   
  

New York State Urban Development Corp., Service Contract,

 
  15,000      

Series B, Rev., 5.250%, 01/01/25

    16,074   
  5,000      

Series D, Rev., 5.500%, 01/01/19

    5,482   
  

Sales Tax Asset Receivable Corp., Fiscal Year 2015,

 
  4,500      

Series A, Rev., 5.000%, 10/15/25

    5,636   
  1,800      

Series A, Rev., 5.000%, 10/15/28

    2,245   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Other Revenue — continued

  

  7,500      

Series A, Rev., 5.000%, 10/15/29

    9,284   
  1,850      

Series A, Rev., 5.000%, 10/15/31

    2,275   
    

 

 

 
       156,954   
    

 

 

 
  

Prerefunded — 1.1%

  

  745      

Metropolitan Transportation Authority, Series C, Rev., 6.500%, 11/15/18 (p)

    830   
  350      

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series CC, Rev., 5.000%, 06/15/18 (p)

    373   
  

New York State Dormitory Authority, State Personal Income Tax, Education,

 
  10,000      

Series A, Rev., 5.000%, 03/15/18 (p)

    10,570   
  20      

Series C, Rev., 5.000%, 12/15/16 (p)

    20   
  4,395      

New York State Dormitory Authority, University Dormitory Facilities, Series A, Rev., 5.000%, 07/01/18 (p)

    4,696   
  1,000      

New York State Environmental Facilities Corp., State Personal Income Tax, Series A, Rev., 5.000%, 12/15/17 (p)

    1,048   
    

 

 

 
       17,537   
    

 

 

 
  

Special Tax — 2.8%

  

  

New York State Dormitory Authority, State Personal Income Tax,

 
  7,250      

Series C, Rev., 5.000%, 03/15/31

    8,723   
  12,500      

Series C, Rev., 5.000%, 03/15/33

    14,973   
  4,000      

New York State Dormitory Authority, State Personal Income Tax, Education, Series A, Rev., 5.000%, 03/15/23

    4,366   
  3,500      

New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series C, Rev., 5.000%, 03/15/41

    3,967   
  10,000      

New York State Thruway Authority, State Personal Income Tax, Transportation, Series A, Rev., 5.000%, 03/15/26

    11,452   
    

 

 

 
       43,481   
    

 

 

 
  

Transportation — 4.2%

  

  

Metropolitan Transportation Authority,

 
  1,500      

Series A, Rev., 5.000%, 11/15/41

    1,735   
  255      

Series C, Rev., 6.500%, 11/15/28

    283   
  5,000      

Subseries C-1, Rev., 5.250%, 11/15/28

    6,204   
  

New York Transportation Development Corp., Special Facilities, Laguardia Airport Terminal B Redevelopment Project,

 
  2,530      

Series A, Rev., AMT, 4.000%, 07/01/31

    2,659   
  3,500      

Series A, Rev., AMT, AGM, 4.000%, 07/01/35

    3,645   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Transportation — continued

  

  

Port Authority of New York & New Jersey, Consolidated,

 
  2,965      

Rev., 5.000%, 05/01/34

    3,336   
  2,000      

Rev., 5.000%, 05/01/35

    2,251   
  6,500      

Rev., 5.000%, 10/15/41

    7,682   
  

Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels,

 
  25,000      

Series A, Rev., 5.000%, 01/01/26

    29,361   
  4,970      

Series A-2, Rev., 5.000%, 11/15/28

    5,368   
  1,250      

Series B, Rev., 5.000%, 11/15/31

    1,490   
    

 

 

 
       64,014   
    

 

 

 
  

Utility — 2.6%

  

  

Utility Debt Securitization Authority,

 
  9,675      

Rev., 5.000%, 12/15/35

    11,663   
  5,250      

Rev., 5.000%, 12/15/36

    6,314   
  5,000      

Rev., 5.000%, 12/15/37

    6,005   
  4,000      

Series TE, Rev., 5.000%, 12/15/28

    4,886   
  5,000      

Series TE, Rev., 5.000%, 12/15/29

    6,095   
  4,250      

Series TE, Rev., 5.000%, 12/15/41

    5,040   
    

 

 

 
       40,003   
    

 

 

 
  

Water & Sewer — 2.5%

  

  380      

New York City Municipal Water Finance Authority, Water & Sewer System Second General Resolution, Fiscal Year 2009, Series AA, Rev., 5.000%, 06/15/17 (p)

    390   
  2,150      

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series CC, Rev., 5.000%, 06/15/29

    2,291   
  16,335      

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2010, Series FF, Rev., 5.000%, 06/15/24

    18,583   
  

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2015,

 
  3,000      

Series FF, Rev., 5.000%, 06/15/31

    3,635   
  2,000      

Series FF, Rev., 5.000%, 06/15/32

    2,412   
  10,225      

New York State Environmental Facilities Corp., State Clean Water & Drinking Water, Series C, Rev., 5.000%, 06/15/21

    10,494   
    

 

 

 
       37,805   
    

 

 

 
  

Total New York

    388,970   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         19   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

North Carolina — 0.6%

  

  

Prerefunded — 0.6%

  

  2,170      

City of High Point, Combined Enterprise System, Rev., AGM, 5.000%, 11/01/18 (p)

    2,347   
  5,950      

Wake County, Hammond Road Detention Center, Limited Obligation, Rev., 5.000%, 06/01/19 (p)

    6,556   
    

 

 

 
  

Total North Carolina

    8,903   
    

 

 

 
  

Ohio — 0.8%

  

  

General Obligation — 0.4%

  

  4,750      

City of Columbus, Series 1, GO, 5.000%, 07/01/27

    5,847   
    

 

 

 
  

Other Revenue — 0.2%

  

  550      

City of Cleveland, Parking Facilities, Rev., AGM, 5.250%, 09/15/18 (p)

    595   
  2,235      

Ohio State Building Authority, State Facilities, Adult Correctional Building Fund Projects, Series B, Rev., 5.000%, 10/01/22

    2,491   
    

 

 

 
       3,086   
    

 

 

 
  

Prerefunded — 0.0% (g)

  

  670      

State of Ohio, Higher Educational Facility, Denison University 2007 Project, Rev., 5.000%, 11/01/17 (p)

    698   
    

 

 

 
  

Water & Sewer — 0.2%

  

  

Northeast Ohio Regional Sewer District, Wastewater Improvement,

 
  555      

Rev., 5.000%, 11/15/25

    686   
  1,500      

Rev., 5.000%, 11/15/27

    1,829   
    

 

 

 
       2,515   
    

 

 

 
  

Total Ohio

    12,146   
    

 

 

 
  

Oklahoma — 0.5%

  

  

Transportation — 0.4%

  

  

Oklahoma Turnpike Authority, Turnpike System, Second Senior,

 
  3,000      

Series A, Rev., 5.000%, 01/01/22

    3,461   
  2,000      

Series A, Rev., 5.000%, 01/01/24

    2,304   
    

 

 

 
       5,765   
    

 

 

 
  

Water & Sewer — 0.1%

  

  1,380      

Oklahoma City Water Utilities Trust, Water & Sewer System, Rev., 5.000%, 07/01/27

    1,677   
    

 

 

 
  

Total Oklahoma

    7,442   
    

 

 

 
  

Oregon — 1.7%

  

  

General Obligation — 0.0% (g)

  

  100      

Marion County, GO, AMBAC, 5.500%, 06/01/23

    125   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Other Revenue — 0.8%

  

  

Oregon State Department of Administrative Services, Lottery,

 
  1,500      

Series A, Rev., 5.000%, 04/01/27

    1,792   
  8,975      

Series C, Rev., 5.000%, 04/01/25

    10,995   
    

 

 

 
       12,787   
    

 

 

 
  

Prerefunded — 0.7%

  

  

Oregon State Department of Administrative Services,

 
  3,425      

Series A, COP, 5.000%, 05/01/19 (p)

    3,766   
  6,965      

Series A, COP, 5.000%, 05/01/19 (p)

    7,646   
    

 

 

 
       11,412   
    

 

 

 
  

Water & Sewer — 0.2%

  

  2,180      

City of Portland, Sewer System, Second Lien, Series B, Rev., 4.000%, 10/01/36

    2,371   
    

 

 

 
  

Total Oregon

    26,695   
    

 

 

 
  

Pennsylvania — 0.9%

  

  

General Obligation — 0.5%

  

  4,195      

Commonwealth of Pennsylvania, Third Series, GO, 5.375%, 07/01/21

    4,921   
  1,860      

Red Lion Area School District, GO, AGM, 5.000%, 05/01/20

    1,970   
    

 

 

 
       6,891   
    

 

 

 
  

Hospital — 0.2%

  

  3,000      

Sayre Health Care Facilities Authority, Guthrie Health Issue, Rev., VAR, 1.344%, 12/01/24

    2,968   
    

 

 

 
  

Prerefunded — 0.2%

  

  3,225      

Pennsylvania State University, Series A, Rev., 5.000%, 03/01/19 (p)

    3,525   
    

 

 

 
  

Total Pennsylvania

    13,384   
    

 

 

 
  

Rhode Island — 0.1%

  

  

Education — 0.0% (g)

  

  655      

Rhode Island Health & Educational Building Corp., Brown University, Series A, Rev., 5.000%, 09/01/25

    762   
    

 

 

 
  

General Obligation — 0.1%

  

  1,000      

State of Rhode Island & Providence Plantations, Consolidated Capital Development Loan of 2014, Series A, GO, 5.000%, 11/01/24

    1,229   
    

 

 

 
  

Total Rhode Island

    1,991   
    

 

 

 
  

South Carolina — 0.8%

  

  

Prerefunded — 0.2%

  

  2,220      

City of Charleston, Waterworks & Sewer System, Series A, Rev., 5.000%, 01/01/19 (p)

    2,412   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Utility — 0.5%

  

  7,000      

Piedmont Municipal Power Agency, Series A-3, Rev., AGC, 5.000%, 01/01/18

    7,322   
    

 

 

 
  

Water & Sewer — 0.1%

  

  1,500      

City of Columbia, Rev., 5.000%, 02/01/26

    1,765   
    

 

 

 
  

Total South Carolina

    11,499   
    

 

 

 
  

Tennessee — 0.1%

  

  

General Obligation — 0.1%

  

  835      

Metropolitan Government of Nashville & Davidson County, GO, 5.000%, 07/01/24

    992   
    

 

 

 
  

Prerefunded — 0.0% (g)

  

  195      

Metropolitan Government of Nashville & Davidson County, GO, 5.000%, 07/01/22 (p)

    235   
    

 

 

 
  

Total Tennessee

    1,227   
    

 

 

 
  

Texas — 9.1%

  

  

Education — 0.5%

  

  

University of North Texas, Financing System,

 
  1,255      

Series A, Rev., 5.000%, 04/15/20

    1,371   
  2,500      

Series A, Rev., 5.000%, 04/15/22

    2,737   
  500      

University of Texas, Financing System, Series C, Rev., 5.000%, 08/15/18

    536   
  

Waco Educational Finance Corp., Baylor University,

 
  2,275      

Series C, Rev., 5.000%, 03/01/21

    2,396   
  1,215      

Series C, Rev., 5.000%, 03/01/22

    1,280   
    

 

 

 
       8,320   
    

 

 

 
  

General Obligation — 4.1%

  

  

Carroll Independent School District,

 
  1,000      

Series C, GO, 5.000%, 02/15/20

    1,090   
  945      

Series C, GO, 5.000%, 02/15/22

    1,035   
  325      

Series C, GO, 5.000%, 02/15/23

    356   
  4,485      

City of Garland, Series A, GO, 5.000%, 02/15/23

    4,710   
  4,000      

City of Houston, Public Improvement, Series A, GO, 5.000%, 03/01/30

    4,737   
  3,150      

City of Lubbock, GO, 5.000%, 02/15/25

    3,831   
  680      

City of Pflugerville, Limited Tax, GO, 5.000%, 08/01/23

    810   
  

City of San Antonio, General Improvement,

 
  700      

GO, 5.000%, 08/01/23

    820   
  3,500      

GO, 5.000%, 08/01/24

    4,094   
  4,735      

GO, 5.000%, 08/01/26

    5,531   
  2,735      

GO, 5.000%, 08/01/27

    3,192   
  4,000      

Counties of Dallas, Denton, Collin and Rockwall, City of Dallas, GO, 5.000%, 02/15/29

    4,761   
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

General Obligation — continued

  

  

Crandall Independent School District,

 
  1,150      

Series A, GO, PSF-GTD, Zero Coupon, 08/15/25

    932   
  2,140      

Series A, GO, PSF-GTD, Zero Coupon, 08/15/26

    1,680   
  2,145      

Series A, GO, PSF-GTD, Zero Coupon, 08/15/27

    1,624   
  2,105      

Series A, GO, PSF-GTD, Zero Coupon, 08/15/28

    1,537   
  1,965      

Dallas County Community College District, GO, 5.000%, 02/15/24

    2,140   
  1,830      

Harlandale Independent School District, GO, AGC, 5.000%, 08/01/27

    2,002   
  1,000      

Hays County, GO, 5.000%, 02/15/23

    1,120   
  

Hays County, Pass-Through Toll,

 
  1,500      

GO, 5.000%, 02/15/23

    1,679   
  1,785      

GO, 5.000%, 02/15/24

    1,992   
  2,410      

GO, 5.000%, 02/15/25

    2,683   
  

San Jacinto Community College District,

 
  390      

GO, AMBAC, 5.000%, 02/15/20

    394   
  2,600      

GO, 5.000%, 02/15/40

    2,952   
  

State of Texas, Water Financial Assistance,

 
  2,500      

Series A, GO, 5.000%, 08/01/20

    2,678   
  4,340      

Series A, GO, 5.000%, 08/01/21

    4,647   
    

 

 

 
       63,027   
    

 

 

 
  

Prerefunded — 2.2%

  

  

Dallas Area Rapid Transit, Senior Lien,

 
  3,000      

Rev., 5.250%, 12/01/18 (p)

    3,270   
  7,660      

Series A, Rev., 5.000%, 06/01/19 (p)

    8,440   
  9,055      

North Texas Municipal Water District, Rev., 5.000%, 06/01/18 (p)

    9,643   
  5,000      

San Jacinto Community College District, GO, 5.000%, 02/15/19 (p)

    5,454   
  5,000      

Southwest Higher Education Authority, Inc., Southern Methodist University Project, Rev., 5.000%, 10/01/19 (p)

    5,569   
  1,800      

Tarrant County, Limited Tax, GO, 5.000%, 07/15/18 (p)

    1,926   
    

 

 

 
       34,302   
    

 

 

 
  

Transportation — 0.8%

  

  3,000      

City of Houston, Airport System, Sub Lien, Series B, Rev., 5.000%, 07/01/26

    3,465   
  7,660      

Grand Parkway Transportation Corp., Series B, Rev., 5.250%, 10/01/51

    9,038   
    

 

 

 
       12,503   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         21   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Utility — 0.3%

  

  3,000      

City of San Antonio, Electric and Gas System, Rev., 5.000%, 02/01/26

    3,792   
    

 

 

 
  

Water & Sewer — 1.2%

  

  5,550      

City of Houston, Water & Sewer System, Junior Lien, Series A, Rev., AGM, 5.750%, 12/01/32 (p)

    8,056   
  1,250      

City of San Antonio, Water System Junior Lien, Series E, Rev., 5.000%, 05/15/24

    1,518   
  

Coastal Water Authority, City of Houston Projects,

 
  100      

Rev., 4.000%, 12/15/18

    106   
  3,315      

Rev., 5.000%, 12/15/23

    3,789   
  3,820      

Texas Water Development Board, State Revolving Fund, Series A, Sub Series A-1, Rev., 5.000%, 07/15/20

    4,229   
    

 

 

 
       17,698   
    

 

 

 
  

Total Texas

    139,642   
    

 

 

 
  

Utah — 0.6%

  

  

Prerefunded — 0.6%

  

  7,455      

Metropolitan Water District of Salt Lake & Sandy, Series A, Rev., 5.000%, 07/01/19 (p)

    8,246   
  1,150      

Utah State University of Agriculture & Applied Science, Rev., 5.000%, 06/01/19 (p)

    1,267   
    

 

 

 
  

Total Utah

    9,513   
    

 

 

 
  

Vermont — 0.5%

  

  

Education — 0.2%

  

  

University of Vermont & State Agricultural College,

 
  2,115      

Rev., AMBAC, 5.000%, 10/01/21

    2,193   
  1,175      

Rev., AMBAC, 5.000%, 10/01/22

    1,218   
    

 

 

 
       3,411   
    

 

 

 
  

Prerefunded — 0.3%

  

  3,295      

University of Vermont & State Agricultural College, Rev., AMBAC, 5.000%, 10/01/17 (p)

    3,424   
    

 

 

 
  

Total Vermont

    6,835   
    

 

 

 
  

Virginia — 3.6%

  

  

Education — 0.7%

  

  10,050      

Virginia College Building Authority, Public Higher Education Financing Program, Series B, Rev., 5.000%, 09/01/19

    11,167   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

General Obligation — 2.0%

  

  205      

City of Richmond, Public Improvement, Series D, GO, 5.000%, 07/15/26

    233   
  17,575      

Commonwealth of Virginia, Series D, GO, 5.000%, 06/01/20

    19,396   
  9,000      

Fairfax County, Public Improvement, Series A, GO, 4.000%, 10/01/28

    10,500   
    

 

 

 
       30,129   
    

 

 

 
  

Other Revenue — 0.0% (g)

  

  25      

Virginia Public Building Authority, Public Facilities, Series B-1, Rev., 5.000%, 08/01/18 (p)

    27   
  405      

Virginia Resources Authority, Pooled Financing Program, Infrastructure, Rev., 5.000%, 11/01/23

    453   
    

 

 

 
       480   
    

 

 

 
  

Prerefunded — 0.1%

  

  560      

Virginia Resources Authority, Pooled Financing Program, Infrastructure, Series A, Rev., 5.000%, 11/01/19 (p)

    625   
    

 

 

 
  

Transportation — 0.8%

  

  9,660      

Commonwealth of Virginia, Transportation Board, Transportation Capital Projects, Rev., 5.000%, 05/15/27

    12,163   
    

 

 

 
  

Total Virginia

    54,564   
    

 

 

 
  

Washington — 3.2%

  

  

General Obligation — 0.8%

  

  1,100      

Snohomish County, Edmonds School District No. 15, GO, 5.000%, 12/01/33

    1,286   
  

State of Washington, Various Purpose,

 
  2,000      

Series D, GO, 5.000%, 02/01/24

    2,415   
  7,000      

Series R-2017B, GO, 5.000%, 08/01/31

    8,539   
  275      

Yakima County School District No. 7, GO, 5.500%, 12/01/23

    310   
    

 

 

 
       12,550   
    

 

 

 
  

Prerefunded — 1.9%

  

  

State of Washington, Various Purpose,

 
  10,000      

Series 2010C, GO, 5.000%, 08/01/19 (p)

    11,083   
  12,400      

Series R-2010A, GO, 5.000%, 01/01/19 (p)

    13,471   
  4,415      

Yakima County School District No. 7, GO, 5.500%, 12/01/19 (p)

    5,016   
    

 

 

 
       29,570   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Transportation — 0.4%

  

  

Port of Seattle, Intermediate Lien,

 
  3,750      

Series B, Rev., 5.000%, 03/01/33

    4,387   
  1,000      

Series B, Rev., 5.000%, 03/01/34

    1,166   
    

 

 

 
       5,553   
    

 

 

 
  

Water & Sewer — 0.1%

  

  1,325      

City of Seattle, Drainage & Wastewater Improvement, Rev., 5.000%, 09/01/26

    1,574   
    

 

 

 
  

Total Washington

    49,247   
    

 

 

 
  

Total Municipal Bonds
(Cost $1,383,012)

    1,482,457   
    

 

 

 
SHARES               

 

Short-Term Investment — 2.3%

 
  

Investment Company — 2.3%

  

  35,458      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) †
(Cost $35,458)

    35,458   
    

 

 

 
  

Total Investments — 98.8%
(Cost $1,418,470)

    1,517,915   
  

Other Assets in Excess of
Liabilities — 1.2%

    17,840   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,535,755   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         23   


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

 

Inflation-Linked Swaps                                  
    

RATE TYPE (r)

                  
SWAP COUNTERPARTY    PAYMENTS MADE
BY THE FUND
   PAYMENTS RECEIVED
BY THE FUND
   TERMINATION
DATE
   NOTIONAL
AMOUNT
     VALUE  

Barclays Bank plc

   2.812% at termination    CPI-U at termination    10/12/19    $ 25,000       $ (4,187

Barclays Bank plc

   2.590% at termination    CPI-U at termination    12/31/19      35,000         (3,162

Barclays Bank plc

   2.439% at termination    CPI-U at termination    05/15/24      18,000         (1,523

Barclays Bank plc

   2.700% at termination    CPI-U at termination    09/03/44      5,000         (1,284

BNP Paribas

   2.100% at termination    CPI-U at termination    08/26/18      25,000         (962

BNP Paribas

   2.105% at termination    CPI-U at termination    08/26/18      12,000         (465

BNP Paribas

   2.190% at termination    CPI-U at termination    09/03/19      13,000         (592

BNP Paribas

   2.350% at termination    CPI-U at termination    07/06/20      25,000         (1,851

BNP Paribas

   2.693% at termination    CPI-U at termination    09/03/44      4,000         (1,015

BNP Paribas

   2.695% at termination    CPI-U at termination    09/03/44      4,000         (1,019

Citibank, N.A.

   2.275% at termination    CPI-U at termination    07/02/18      50,000         (2,707

Citibank, N.A.

   2.220% at termination    CPI-U at termination    07/06/18      50,000         (2,443

Citibank, N.A.

   2.190% at termination    CPI-U at termination    09/02/19      9,000         (410

Citibank, N.A.

   2.420% at termination    CPI-U at termination    05/24/20      25,000         (2,109

Citibank, N.A.

   2.420% at termination    CPI-U at termination    06/30/20      50,000         (4,137

Citibank, N.A.

   2.410% at termination    CPI-U at termination    07/01/20      50,000         (4,074

Citibank, N.A.

   2.330% at termination    CPI-U at termination    07/06/20      50,000         (3,583

Citibank, N.A.

   1.865% at termination    CPI-U at termination    10/24/21      65,000         103   

Citibank, N.A.

   2.480% at termination    CPI-U at termination    07/01/22      50,000         (5,256

Citibank, N.A.

   2.458% at termination    CPI-U at termination    05/21/24      10,000         (871

Citibank, N.A.

   2.492% at termination    CPI-U at termination    08/27/24      22,000         (2,042

Citibank, N.A.

   2.477% at termination    CPI-U at termination    09/02/24      15,000         (1,367

Citibank, N.A.

   2.623% at termination    CPI-U at termination    10/07/24      14,000         (453

Credit Suisse International

   2.250% at termination    CPI-U at termination    05/09/17      50,000         (2,594

Credit Suisse International

   2.178% at termination    CPI-U at termination    05/28/18      65,000         (3,049

Deutsche Bank AG, New York

   2.500% at termination    CPI-U at termination    02/25/18      50,000         (3,080

Deutsche Bank AG, New York

   2.140% at termination    CPI-U at termination    09/10/19      55,000         (2,342

Deutsche Bank AG, New York

   2.410% at termination    CPI-U at termination    06/30/20      20,000         (1,631

Deutsche Bank AG, New York

   2.477% at termination    CPI-U at termination    02/21/24      40,000         (3,505

Deutsche Bank AG, New York

   2.415% at termination    CPI-U at termination    12/15/24      54,000         (1,140

Deutsche Bank AG, New York

   2.708% at termination    CPI-U at termination    02/25/44      5,000         (1,293

Deutsche Bank AG, New York

   2.498% at termination    CPI-U at termination    10/10/44      8,000         (1,393

Deutsche Bank AG, New York

   2.000% at termination    CPI-U at termination    10/13/45      5,000         131   

Goldman Sachs International

   2.211% at termination    CPI-U at termination    08/29/19      20,000         (935

Goldman Sachs International

   2.185% at termination    CPI-U at termination    09/02/19      12,000         (544

Goldman Sachs International

   2.194% at termination    CPI-U at termination    09/02/19      19,000         (870

Morgan Stanley Capital Services

   2.175% at termination    CPI-U at termination    10/01/18      20,000         (846

Morgan Stanley Capital Services

   2.323% at termination    CPI-U at termination    06/23/19      20,000         (1,015

Morgan Stanley Capital Services

   2.525% at termination    CPI-U at termination    01/27/24      30,000         (2,796

Morgan Stanley Capital Services

   2.500% at termination    CPI-U at termination    02/04/24      34,000         (3,059

Morgan Stanley Capital Services

   2.673% at termination    CPI-U at termination    09/12/44      3,000         (735

Royal Bank of Scotland

   2.430% at termination    CPI-U at termination    06/28/20      25,000         (2,100

Royal Bank of Scotland

   2.423% at termination    CPI-U at termination    06/30/20      75,000         (6,235

Royal Bank of Scotland

   2.475% at termination    CPI-U at termination    03/17/24      7,000         (614

Royal Bank of Scotland

   3.556% at termination    CPI-U at termination    07/31/29      49,000         (21,721

Royal Bank of Scotland

   2.733% at termination    CPI-U at termination    02/10/44      9,000         (2,420

Union Bank of Switzerland AG

   2.170% at termination    CPI-U at termination    04/22/18      50,000         (2,328
              

 

 

 
               $ (111,523
              

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

J.P. Morgan Tax Aware Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

AGC  

—  Insured by Assured Guaranty Corp.

AGM  

—  Insured by Assured Guaranty Municipal Corp.

AMBAC  

—  Insured by American Municipal Bond Assurance Corp.

AMT  

—  Alternative Minimum Tax

BHAC  

—  Insured by Berkshire Hathaway Assurance Corp.

COP  

—  Certificate of Participation

CPI-U  

—  Consumer Price Index for All Urban Consumers

CR  

—  Custodial Receipts

FGIC  

—  Insured by Financial Guaranty Insurance Co.

GAN  

—  Grant Anticipation Notes

GO  

—  General Obligation

GTD  

—  Guaranteed

MTA  

—  Metropolitan Transportation Authority

NATL  

—  Insured by National Public Finance Guarantee Corp.

PSF  

—  Permanent School Fund

Q-SBLF  

—  Qualified School Bond Loan Fund

RE  

—  Reinsured

Rev.  

—  Revenue

VAR  

—  Variable Rate Security. The interest rate shown is the rate in effect as of October 31, 2016.

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

(p)  

—  Security is prerefunded or escrowed to maturity.

(r)  

—  Rates shown are per annum and payments are as described.

(t)  

—  The date shown represents the earliest of the prerefunded date, next put date, or final maturity date.

 

—  Approximately $2,530,000 of this investment is restricted as collateral for swaps to various brokers.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         25   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

        Tax Aware
Equity Fund
       Tax Aware
Real Return
Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 1,177,233         $ 1,482,457   

Investments in affiliates, at value

       4,640           32,928   

Investments in affiliates — restricted, at value

                 2,530   
    

 

 

      

 

 

 

Total investment securities, at value

       1,181,873           1,517,915   

Restricted cash

                 111,760   

Receivables:

         

Investment securities sold

       5,269             

Fund shares sold

       904           1,325   

Interest and dividends from non-affiliates

       884           18,776   

Dividends from affiliates

       1           8   

Outstanding swap contracts, at value

                 234   
    

 

 

      

 

 

 

Total Assets

       1,188,931           1,650,018   
    

 

 

      

 

 

 

LIABILITIES:

         

Payables:

         

Investment securities purchased

       5,581             

Fund shares redeemed

       903           1,710   

Outstanding swap contracts, at value

                 111,757   

Accrued liabilities:

         

Investment advisory fees

       355           393   

Administration fees

       82           65   

Distribution fees

       7           31   

Shareholder servicing fees

       82           129   

Custodian and accounting fees

       9           14   

Collateral management fees

                 15   

Other

       107           149   
    

 

 

      

 

 

 

Total Liabilities

       7,126           114,263   
    

 

 

      

 

 

 

Net Assets

     $ 1,181,805         $ 1,535,755   
    

 

 

      

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
        Tax Aware
Equity Fund
       Tax Aware
Real Return
Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 653,715         $ 1,607,827   

Accumulated undistributed (distributions in excess of) net investment income

       1,437           127   

Accumulated net realized gains (losses)

       43,506           (60,121

Net unrealized appreciation (depreciation)

       483,147           (12,078
    

 

 

      

 

 

 

Total Net Assets

     $ 1,181,805         $ 1,535,755   
    

 

 

      

 

 

 

Net Assets:

         

Class A

     $ 13,971         $ 47,268   

Class C

       5,729           33,016   

Class R6

                 197,981   

Institutional Class

       1,068,546           1,144,534   

Select Class

       93,559           112,956   
    

 

 

      

 

 

 

Total

     $ 1,181,805         $ 1,535,755   
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

($0.0001 par value; unlimited number of shares authorized):

         

Class A

       485           4,928   

Class C

       200           3,451   

Class R6

                 20,596   

Institutional Class

       36,922           119,129   

Select Class

       3,236           11,762   

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 28.82         $ 9.59   

Class C — Offering price per share (b)

       28.62           9.57   

Class R6 — Offering and redemption price per share

                 9.61   

Institutional Class — Offering and redemption price per share

       28.94           9.61   

Select Class — Offering and redemption price per share

       28.91           9.60   

Class A maximum sales charge

       5.25        3.75

Class A maximum public offering price per share

         

[net asset value per share/(100% — maximum sales charge)]

     $ 30.42         $ 9.96   
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 694,086         $ 1,383,012   

Cost of investments in affiliates

       4,640           32,928   

Cost of investments in affiliates — restricted

                 2,530   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         27   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

        Tax Aware
Equity Fund
     Tax Aware
Real Return
Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $       $ 51,644   

Interest income from affiliates

               67   

Dividend income from non-affiliates

       21,736           

Dividend income from affiliates

       15         30   
    

 

 

    

 

 

 

Total investment income

       21,751         51,741   
    

 

 

    

 

 

 

EXPENSES:

       

Investment advisory fees

       4,370         5,579   

Administration fees

       1,021         1,307   

Distribution fees:

       

Class A

       35         125   

Class C

       40         277   

Shareholder servicing fees:

       

Class A

       35         125   

Class C

       13         92   

Institutional Class

       1,139         1,195   

Select Class

       227         307   

Custodian and accounting fees

       44         110   

Professional fees

       62         109   

Collateral management fees

               46   

Interest expense to affiliates

       (a)         

Interest expense to non-affiliates

       5         7   

Trustees’ and Chief Compliance Officer’s fees

       19         20   

Printing and mailing costs

       56         33   

Registration and filing fees

       47         105   

Transfer agency fees(See Note 2.E.)

       21         17   

Sub-transfer agency fees (See Note 2.E.)

       67         111   

Other

       17         14   
    

 

 

    

 

 

 

Total expenses

       7,218         9,579   
    

 

 

    

 

 

 

Less fees waived

       (96      (1,177
    

 

 

    

 

 

 

Net expenses

       7,122         8,402   
    

 

 

    

 

 

 

Net investment income (loss)

       14,629         43,339   
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

       

Investments in non-affiliates

       50,563         14,839   

Swaps

               (27,532
    

 

 

    

 

 

 

Net realized gain (loss)

       50,563         (12,693
    

 

 

    

 

 

 

Distributions of capital gains received from investment company affiliates

               1   

Change in net unrealized appreciation/depreciation on:

       

Investments in non-affiliates

       (30,737      (5,559

Swaps

               35,430   
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (30,737      29,871   
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       19,826         17,179   
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 34,455       $ 60,518   
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Tax Aware Equity Fund      Tax Aware Real Return Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

  

Net investment income (loss)

     $ 14,629       $ 15,731       $ 43,339      $ 56,097   

Net realized gain (loss)

       50,563         56,837         (12,693     4,047   

Distributions of capital gains received from investment company affiliates

                       1        1   

Change in net unrealized appreciation/depreciation

       (30,737      10,846         29,871        (114,372
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from operations

       34,455         83,414         60,518        (54,227
    

 

 

    

 

 

    

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

            

Class A

            

From net investment income

       (108      (84      (1,249     (1,839

From net realized gains

       (526      (303               

Class C

            

From net investment income

       (18      (9      (691     (990

From net realized gains

       (198      (80               

Class R6

            

From net investment income

                       (5,423     (6,644

Institutional Class

            

From net investment income

       (13,182      (14,056      (32,988     (43,614

From net realized gains

       (51,885      (35,725               

Select Class

            

From net investment income

       (925      (803      (3,204     (4,759

From net realized gains

       (3,533      (2,330               
    

 

 

    

 

 

    

 

 

   

 

 

 

Total distributions to shareholders

       (70,375      (53,390      (43,555     (57,846
    

 

 

    

 

 

    

 

 

   

 

 

 

CAPITAL TRANSACTIONS:

            

Change in net assets resulting from capital transactions

       (149,342      (53,542      (211,512     (426,662
    

 

 

    

 

 

    

 

 

   

 

 

 

NET ASSETS:

            

Change in net assets

       (185,262      (23,518      (194,549     (538,735

Beginning of period

       1,367,067         1,390,585         1,730,304        2,269,039   
    

 

 

    

 

 

    

 

 

   

 

 

 

End of period

     $ 1,181,805       $ 1,367,067       $ 1,535,755      $ 1,730,304   
    

 

 

    

 

 

    

 

 

   

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 1,437       $ 1,134       $ 127      $ 343   
    

 

 

    

 

 

    

 

 

   

 

 

 

CAPITAL TRANSACTIONS:

            

Class A

            

Proceeds from shares issued

     $ 5,639       $ 4,098       $ 5,823      $ 13,317   

Distributions reinvested

       505         294         1,131        1,615   

Cost of shares redeemed

       (4,291      (3,071      (16,887     (49,348
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 1,853       $ 1,321       $ (9,933   $ (34,416
    

 

 

    

 

 

    

 

 

   

 

 

 

Class C

            

Proceeds from shares issued

     $ 1,806       $ 2,763       $ 2,704      $ 2,320   

Distributions reinvested

       216         79         508        708   

Cost of shares redeemed

       (913      (949      (13,442     (17,235
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 1,109       $ 1,893       $ (10,230   $ (14,207
    

 

 

    

 

 

    

 

 

   

 

 

 

Class R6

            

Proceeds from shares issued

     $       $       $ 9,612      $ 2,543   

Distributions reinvested

                       3,012        3,138   

Cost of shares redeemed

                       (a)      (63,715
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $       $       $ 12,624      $ (58,034
    

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         29   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       Tax Aware Equity Fund      Tax Aware Real Return Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
     Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS: (continued)

            

Institutional Class

            

Proceeds from shares issued

     $ 151,339       $ 192,338       $ 390,021      $ 405,663   

Distributions reinvested

       4,570         2,264         5,007        7,420   

Cost of shares redeemed

       (317,844      (250,487      (565,755     (710,114
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Institutional Class capital transactions

     $ (161,935    $ (55,885    $ (170,727   $ (297,031
    

 

 

    

 

 

    

 

 

   

 

 

 

Select Class

            

Proceeds from shares issued

     $ 23,060       $ 13,376       $ 27,567      $ 67,605   

Distributions reinvested

       1,414         971         1,312        1,682   

Cost of shares redeemed

       (14,843      (15,218      (62,125     (92,261
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ 9,631       $ (871    $ (33,246   $ (22,974
    

 

 

    

 

 

    

 

 

   

 

 

 

Total change in net assets resulting from capital transactions

     $ (149,342    $ (53,542    $ (211,512   $ (426,662
    

 

 

    

 

 

    

 

 

   

 

 

 

SHARE TRANSACTIONS:

            

Class A

            

Issued

       210         140         608        1,371   

Reinvested

       18         10         118        167   

Redeemed

       (154      (107      (1,766     (5,075
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class A Shares

       74         43         (1,040     (3,537
    

 

 

    

 

 

    

 

 

   

 

 

 

Class C

            

Issued

       65         96         283        238   

Reinvested

       8         3         53        74   

Redeemed

       (32      (33      (1,410     (1,783
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class C Shares

       41         66         (1,074     (1,471
    

 

 

    

 

 

    

 

 

   

 

 

 

Class R6

            

Issued

                       996        264   

Reinvested

                       314        325   

Redeemed

                       (a)      (6,623
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in Class R6 Shares

                       1,310        (6,034
    

 

 

    

 

 

    

 

 

   

 

 

 

Institutional Class

            

Issued

       5,539         6,574         40,712        41,759   

Reinvested

       164         80         523        770   

Redeemed

       (11,397      (8,493      (59,079     (73,359
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in Institutional Class Shares

       (5,694      (1,839      (17,844     (30,830
    

 

 

    

 

 

    

 

 

   

 

 

 

Select Class

            

Issued

       867         456         2,886        6,911   

Reinvested

       51         34         137        174   

Redeemed

       (534      (515      (6,513     (9,552
    

 

 

    

 

 

    

 

 

   

 

 

 

Change in Select Class Shares

       384         (25      (3,490     (2,467
    

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

 

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OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         31   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (a)
    Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
     Net
investment
income
    Net
realized
gain
     Total
distributions
 

Tax Aware Equity Fund

                  

Class A

                  

Year Ended October 31, 2016

   $ 29.60       $ 0.20      $ 0.47       $ 0.67       $ (0.22   $ (1.23    $ (1.45

Year Ended October 31, 2015

     29.01         0.20        1.41         1.61         (0.21     (0.81      (1.02

Year Ended October 31, 2014

     24.87         0.19        4.15         4.34         (0.20             (0.20

Year Ended October 31, 2013

     19.60         0.23 (e)      5.33         5.56         (0.29             (0.29

Year Ended October 31, 2012

     17.43         0.18        2.18         2.36         (0.19             (0.19

Class C

                  

Year Ended October 31, 2016

     29.43       $ 0.06        0.46         0.52         (0.10     (1.23      (1.33

Year Ended October 31, 2015

     28.88         0.05        1.40         1.45         (0.09     (0.81      (0.90

Year Ended October 31, 2014

     24.78         0.06        4.12         4.18         (0.08             (0.08

Year Ended October 31, 2013

     19.54         0.12 (e)      5.32         5.44         (0.20             (0.20

Year Ended October 31, 2012

     17.42         0.08        2.19         2.27         (0.15             (0.15

Institutional Class

                  

Year Ended October 31, 2016

     29.70       $ 0.34        0.46         0.80         (0.33     (1.23      (1.56

Year Ended October 31, 2015

     29.10         0.34        1.39         1.73         (0.32     (0.81      (1.13

Year Ended October 31, 2014

     24.92         0.30        4.18         4.48         (0.30             (0.30

Year Ended October 31, 2013

     19.63         0.34 (e)      5.32         5.66         (0.37             (0.37

Year Ended October 31, 2012

     17.43         0.28        2.17         2.45         (0.25             (0.25

Select Class

                  

Year Ended October 31, 2016

     29.68       $ 0.29        0.46         0.75         (0.29     (1.23      (1.52

Year Ended October 31, 2015

     29.08         0.29        1.40         1.69         (0.28     (0.81      (1.09

Year Ended October 31, 2014

     24.88         0.29 (f)      4.13         4.42         (0.22 )(f)              (0.22

Year Ended October 31, 2013

     19.60         0.29 (e)      5.33         5.62         (0.34             (0.34

Year Ended October 31, 2012

     17.43         0.21        2.20         2.41         (0.24             (0.24

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.20, $0.09, $0.31 and $0.25 for Class A, Class C, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.88%, 0.41%, 1.41% and 1.15% for Class A, Class C, Institutional Class and Select Class Shares, respectively.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
    Net
investment
income
(loss)
   

Expenses without
waivers,
reimbursements and
earnings credits

    Portfolio
turnover
rate (d)
 
           
           
$ 28.82        2.47   $ 13,971        1.03     0.71     1.03     41
  29.60        5.71        12,164        0.99        0.70        0.99        59   
  29.01        17.50        10,667        0.96        0.71        0.96        59   
  24.87        28.65        7,944        0.96        1.03 (e)      0.96        67   
  19.60        13.64        4,902        0.96        0.95        0.96        55   
           
  28.62        1.95        5,729        1.52        0.21        1.52        41   
  29.43        5.18        4,680        1.50        0.16        1.50        59   
  28.88        16.92        2,700        1.46        0.21        1.46        59   
  24.78        28.03        1,950        1.46        0.56 (e)      1.46        67   
  19.54        13.10        1,432        1.46        0.43        1.46        55   
           
  28.94        2.94        1,068,546        0.55        1.19        0.56        41   
  29.70        6.16        1,265,581        0.55        1.16        0.55        59   
  29.10        18.04        1,293,555        0.55        1.10        0.56        59   
  24.92        29.13        120,302        0.55        1.56 (e)      0.56        67   
  19.63        14.19        148,369        0.55        1.53        0.56        55   
           
  28.91        2.76        93,559        0.71        1.02        0.72        41   
  29.68        6.00        84,642        0.71        0.99        0.71        59   
  29.08        17.82        83,663        0.71        1.10        0.71        59   
  24.88        28.96        975,826        0.71        1.29 (e)      0.71        67   
  19.60        13.93        713,205        0.71        1.12        0.71        55   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         33   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Tax Aware Real Return Fund

                      

Class A

                      

Year Ended October 31, 2016

     $ 9.49         $ 0.24 (f)     $ 0.10         $ 0.34         $ (0.24

Year Ended October 31, 2015

       10.01           0.25 (f)       (0.51        (0.26        (0.26

Year Ended October 31, 2014

       10.06           0.26 (f)       (0.04        0.22           (0.27

Year Ended October 31, 2013

       10.51           0.25         (0.48        (0.23        (0.22

Year Ended October 31, 2012

       10.19           0.24         0.32           0.56           (0.24

Class C

                      

Year Ended October 31, 2016

       9.47           0.18 (f)       0.10           0.28           (0.18

Year Ended October 31, 2015

       9.98           0.19 (f)       (0.50        (0.31        (0.20

Year Ended October 31, 2014

       10.03           0.19 (f)       (0.04        0.15           (0.20

Year Ended October 31, 2013

       10.48           0.17         (0.47        (0.30        (0.15

Year Ended October 31, 2012

       10.16           0.18         0.32           0.50           (0.18

Class R6

                      

Year Ended October 31, 2016

       9.51           0.27 (f)       0.11           0.38           (0.28

Year Ended October 31, 2015

       10.03           0.28 (f)       (0.50        (0.22        (0.30

Year Ended October 31, 2014

       10.08           0.30 (f)       (0.05        0.25           (0.30

August 16, 2013(g) through October 31, 2013

       9.92           0.05         0.18           0.23           (0.07

Institutional Class

                      

Year Ended October 31, 2016

       9.51           0.26 (f)       0.11           0.37           (0.27

Year Ended October 31, 2015

       10.03           0.27 (f)       (0.50        (0.23        (0.29

Year Ended October 31, 2014

       10.08           0.29 (f)       (0.05        0.24           (0.29

Year Ended October 31, 2013

       10.53           0.27         (0.48        (0.21        (0.24

Year Ended October 31, 2012

       10.20           0.27         0.33           0.60           (0.27

Select Class

                      

Year Ended October 31, 2016

       9.50           0.25 (f)       0.10           0.35           (0.25

Year Ended October 31, 2015

       10.02           0.26 (f)       (0.51        (0.25        (0.27

Year Ended October 31, 2014

       10.06           0.27 (f)       (0.04        0.23           (0.27

Year Ended October 31, 2013

       10.51           0.25         (0.47        (0.22        (0.23

Year Ended October 31, 2012

       10.19           0.26         0.31           0.57           (0.25

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)(e)
 
           
           
$ 9.59        3.64   $ 47,268        0.75     2.50     0.98     7
  9.49        (2.59     56,660        0.75        2.58        0.97        18   
  10.01        2.15        95,153        0.75        2.58        0.97        11   
  10.06        (2.22     153,819        0.75        2.31        0.97        16   
  10.51        5.55        222,694        0.75        2.34        0.97        8   
           
  9.57        2.98        33,016        1.40        1.85        1.50        7   
  9.47        (3.16     42,843        1.40        1.93        1.49        18   
  9.98        1.48        59,850        1.40        1.93        1.46        11   
  10.03        (2.85     83,639        1.40        1.67        1.47        16   
  10.48        4.92        108,755        1.40        1.70        1.47        8   
           
  9.61        3.99        197,981        0.40        2.84        0.46        7   
  9.51        (2.24     183,464        0.40        2.93        0.45        18   
  10.03        2.52        253,993        0.40        2.94        0.46        11   
  10.08        2.33        102,671        0.38        2.69        0.47        16   
           
  9.61        3.89        1,144,534        0.50        2.75        0.57        7   
  9.51        (2.33     1,302,381        0.50        2.83        0.56        18   
  10.03        2.41        1,682,468        0.50        2.83        0.56        11   
  10.08        (1.97     960,451        0.50        2.57        0.57        16   
  10.53        5.91        944,652        0.50        2.58        0.57        8   
           
  9.60        3.74        112,956        0.65        2.60        0.74        7   
  9.50        (2.49     144,956        0.65        2.68        0.73        18   
  10.02        2.25        177,575        0.65        2.67        0.72        11   
  10.06        (2.11     1,544,101        0.65        2.42        0.72        16   
  10.51        5.66        1,979,923        0.65        2.46        0.72        8   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         35   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Tax Aware Equity Fund    Class A, Class C, Institutional Class and Select Class    Diversified
Tax Aware Real Return Fund    Class A, Class C, Class R6, Institutional Class and Select Class    Diversified

The investment objective of Tax Aware Equity Fund is to seek to provide high after-tax total return from a portfolio of selected equity securities.

The investment objective of Tax Aware Real Return Fund is to seek to maximize after-tax inflation protected return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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 Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Swaps are valued utilizing market quotations from approved Pricing Services.

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

 

 
36       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Tax Aware Equity Fund

 

      Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (a)

   $ 1,181,873         $         $         $ 1,181,873   
  

 

 

      

 

 

      

 

 

      

 

 

 

Tax Aware Real Return Fund

 

      Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (b)

   $ 35,458         $ 1,482,457         $         $ 1,517,915   
  

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                 

Inflation-Linked Swaps

   $         $ 234         $         $ 234   
  

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                 

Inflation-Linked Swaps

   $         $ (111,757      $         $ (111,757
  

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.

 

(b) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and as an investment of cash collateral for swaps. Please refer to the SOIs for state specifics of portfolio holdings.

There were no transfers among any levels during the year ended October 31, 2016.

B. Swaps — Tax Aware Real Return Fund engaged in inflation-linked swaps to provide inflation protection within its portfolio. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively in the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. Cash collateral posted to Goldman Sachs International by the Fund is invested in an affiliated money market fund (See Note 3.F.) and is reported on the Statements of Assets and Liabilities as Investments in affiliates — restricted. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.G.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         37   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Tax Aware Real Return Fund’s swap contracts at net value and collateral posted or received by counterparty as of October 31, 2016 are as follows (amounts in thousands):

 

Fund Counterparty            Value of swap contracts        Collateral
amount
 

Barclays Bank plc

   Collateral Posted      $ (10,156      $ 10,390   

BNP Paribas

          (5,904        6,400   

Citibank, N.A.

          (29,349        29,890   

Credit Suisse International

          (5,643        6,010   

Deutsche Bank AG, New York

          (14,253        14,470   

Goldman Sachs International

          (2,349        2,530   

Morgan Stanley Capital Services

          (8,451        8,810   

Royal Bank of Scotland

          (33,090        33,230   

Union Bank of Switzerland AG

          (2,328        2,560   

The use of swaps exposes the Fund to interest rate risk. The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and, (iv) documentation risk relating to disagreement over contract terms.

Tax Aware Real Return 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 the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and 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 with collateral posted to a segregated account by one party to the other.

The Fund’s swap contracts are subject to master netting arrangements.

The table below discloses the volume of the Fund’s swap activity during the year ended October 31, 2016 (amounts in thousands):

 

Interest Rate-Related Swaps (Inflation-Linked Swaps)      Tax Aware
Real Return Fund
 

Average Notional Balance — Pays Fixed Rate

     $ 1,457,462   

Ending Notional Balance — Pays Fixed Rate

       1,351,000   

C. Summary of Derivatives Information

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of October 31, 2016 (amounts in thousands):

Tax Aware Real Return Fund

 

Counterparty      Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities
(a)
       Derivatives
Available
for offset
       Collateral
Received 
(b)
       Net Amount Due
From Counterparty
(not less than zero)
 

Citibank, N.A.

     $ 103         $ (103      $         $   

Deutsche Bank AG, New York

       131           (131                    
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 234         $ (234      $         $   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
38       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents
Counterparty      Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Posted 
(b)
      

Net Amount Due

From Counterparty
(not less than zero)

 

Barclays Bank plc

     $ 10,156         $         $ (10,156      $         —   

BNP Paribas

       5,904                     (5,904          

Citibank, N.A.

       29,452           (103        (29,349          

Credit Suisse International

       5,643                     (5,643          

Deutsche Bank AG, New York

       14,384           (131        (14,253          

Goldman Sachs International

       2,349                     (2,349          

Morgan Stanley Capital Services

       8,451                     (8,451          

Royal Bank of Scotland

       33,090                     (33,090          

Union Bank of Switzerland AG

       2,328                     (2,328          
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 111,757         $ (234      $ (111,523      $   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.

 

(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.B. for actual swap collateral

received or posted.

The Fund’s derivatives contracts held at October 31, 2016 are not accounted for as hedging instruments under GAAP.

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

E. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency and sub-transfer agency fees charged to each class of the Funds for the year ended October 31, 2016 are as follows (amounts in thousands):

 

        Class A        Class C        Institutional Class        Class R6        Select Class        Total  

Tax Aware Equity Fund

                             

Transfer agency fees

     $ 3         $ 1         $ 13           n/a         $ 4         $ 21   

Sub-transfer agency fees

       8           2           49           n/a           8           67   

Tax Aware Real Return Fund

                             

Transfer agency fees

       2           2           9         $ 2           2           17   

Sub-transfer agency fees

       9           14           52                     36           111   

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

G. Distributions to Shareholders — Tax Aware Equity Fund generally declares and pays distributions from net investment income quarterly. Tax Aware Real Return Fund generally declares and pays distributions from net investment income monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         39   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following amounts were reclassified within the capital accounts (amounts in thousands):

 

      Paid-in-Capital     Accumulated
undistributed
(distributions
in excess of)
net investment
income
    Accumulated
net realized
gains (losses)
 

Tax Aware Equity Fund

   $      $ (93   $ 93   

Tax Aware Real Return Fund

     (a)      (a)      (a) 

 

(a) Amount rounds to less than 500.

The reclassifications for the Funds relate primarily to non-taxable dividends.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

 

Tax Aware Equity Fund

       0.35

Tax Aware Real Return Fund

       0.35   

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares. The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C  

Tax Aware Equity Fund

       0.25        0.75

Tax Aware Real Return Fund

       0.25           0.75   

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following (amounts in thousands):

 

      Front-End Sales Charge  

Tax Aware Equity Fund

   $ 4   

Tax Aware Real Return Fund

     3   

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Institutional Class        Select Class  

Tax Aware Equity Fund

       0.25        0.25        0.10        0.25

Tax Aware Real Return Fund

       0.25           0.25           0.10           0.25   

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

 

 
40       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


Table of Contents

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend expenses related to short sales, interest expenses related to short sales (effective March 1, 2016), interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

        Class A        Class C        Class R6        Institutional Class        Select Class  

Tax Aware Equity Fund

       1.05        1.55        n/a           0.55        0.80

Tax Aware Real Return Fund

       0.75           1.40           0.40        0.50           0.65   

Effective November 1, 2016, the contractual expense limitation for the Tax Aware Equity Fund’s Select Class will be reduced to 0.55% and Tax Aware Real Return Fund’s Class C and Select Class will be reduced to 1.25% and 0.50%, respectively, until at least October 31, 2018.

The expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until at least February 28, 2017.

For the year ended October 31, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers  
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total  

Tax Aware Equity Fund

     $         $         $ 85         $ 85   

Tax Aware Real Return Fund

       581           387           189           1,157   

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 were as follows (amounts in thousands):

 

Tax Aware Equity Fund

     $ 11   

Tax Aware Real Return Fund

       20   

G. Collateral Management Fees — JPMCB provides derivatives collateral management services for Tax Aware Real Return Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statements of Operations.

H. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended October 31, 2016, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, the Fund incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Tax Aware Equity Fund

     $ (a) 

 

(a) Amount rounds to less than 500.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         41   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
      

Sales
(excluding U.S.

Government)

 

Tax Aware Equity Fund

     $ 515,856         $ 715,312   

Tax Aware Real Return Fund

       106,053           313,461   

During the year ended October 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Tax Aware Equity Fund

     $ 704,834         $ 483,188         $ 6,149         $ 477,039   

Tax Aware Real Return Fund

       1,418,470           100,233           788           99,445   

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

       Total Distributions Paid From:           
        Ordinary
Income
*
       Tax Exempt
Income
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 

Tax Aware Equity Fund

     $ 14,233         $         $ 56,142         $ 70,375   

Tax Aware Real Return Fund

       73           43,482                     43,555   

 

* Short-term gains are treated as ordinary income for income tax purposes.

The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

       Total Distributions Paid From:           
        Ordinary
Income
*
       Tax Exempt
Income
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 

Tax Aware Equity Fund

     $ 14,952         $         $ 38,438         $ 53,390   

Tax Aware Real Return Fund

       40           57,806                     57,846   

 

* Short-term gains are treated as ordinary income for income tax purposes.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Tax Exempt
Income
       Current
Distributable
Long-Term
Capital Gain or
(Tax Basis
Loss Carryover)
       Unrealized
Appreciation
(Depreciation)
 

Tax Aware Equity Fund

     $ 1,482         $         $ 49,617         $ 477,039   

Tax Aware Real Return Fund

                 177           (60,121        (12,078

For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals and trustee deferred compensation.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

 

 
42       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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At October 31, 2016, the following Fund had post-enactment net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):

 

       Capital Loss Carryforward Character  
            Short-Term                Long-Term      

Tax Aware Real Return Fund

     $ 30,936         $   

At October 31, 2016, the following Fund had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

        2017        2018        2019        Total  

Tax Aware Real Return Fund

     $ 26,211         $ 2,850         $ 124         $ 29,185   

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at October 31, 2016. Average borrowings from the Facility for the year ended October 31, 2016, was as follows (amounts in thousands):

 

        Average
Borrowings
       Average Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

Tax Aware Equity Fund

     $ 9,691           0.34        3         $ (a) 

 

(a) Amount rounds to less than 500.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         43   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

As of October 31, 2016, the Funds had affiliated omnibus accounts which collectively represent the following percentage of each Fund’s net assets as follows:

 

        Number of
Affiliated
Omnibus Accounts
       % of the Fund  

Tax Aware Equity Fund

       2           84.9

Tax Aware Real Return Fund

       3           73.9   

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

Tax Aware Real Return Fund invests primarily in a portfolio of municipal debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Tax Aware Equity Fund and JPMorgan Tax Aware Real Return Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Tax Aware Equity Fund and JPMorgan Tax Aware Real Return Fund (each a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         45   


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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
46       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         47   


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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Tax Aware Equity Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,046.90         $ 5.40           1.05

Hypothetical

       1,000.00           1,019.86           5.33           1.05   

Class C

                   

Actual

       1,000.00           1,044.40           7.81           1.52   

Hypothetical

       1,000.00           1,017.50           7.71           1.52   

Institutional Class

                   

Actual

       1,000.00           1,049.20           2.83           0.55   

Hypothetical

       1,000.00           1,022.37           2.80           0.55   

Select Class

                   

Actual

       1,000.00           1,048.40           3.71           0.72   

Hypothetical

       1,000.00           1,021.52           3.66           0.72   
Tax Aware Real Return Fund                    

Class A

                   

Actual

     $ 1,000.00         $ 1,007.10         $ 3.78           0.75

Hypothetical

       1,000.00           1,021.37           3.81           0.75   

Class C

                   

Actual

       1,000.00           1,004.00           7.05           1.40   

Hypothetical

       1,000.00           1,018.10           7.10           1.40   

Class R6

                   

Actual

       1,000.00           1,008.90           2.02           0.40   

Hypothetical

       1,000.00           1,023.13           2.03           0.40   

Institutional Class

                   

Actual

       1,000.00           1,008.30           2.52           0.50   

Hypothetical

       1,000.00           1,022.62           2.54           0.50   

Select Class

                   

Actual

       1,000.00           1,006.70           3.28           0.65   

Hypothetical

       1,000.00           1,021.87           3.30           0.65   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         49   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses compiled by Broadridge, using data from Lipper Inc. (together, “Broadridge/Lipper”), independent providers of investment company data. The Trustees’ independent consultant also provided additional analyses of the performance of the Funds, as well as a risk/return assessment of the Tax Aware Real Return Fund as compared to the Fund’s objectives and peers, in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed

Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes

 

 

 
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designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted

 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         51   


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that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. For the Tax Aware Real Return Fund, the Trustees and Adviser determined that the Peer Group and/or Universe were less meaningful and the independent consultant prepared an analysis of the Fund across various risk and return metrics including tracking error, volatility, total/excess return versus various indices and customized peer groups of funds with similar portfolio objectives (as selected by the independent consultant). The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Tax Aware Equity Fund’s performance for Class A shares was in the second and first quintiles, based upon both the Peer Group and Universe, respectively, for the one- and three-year periods. The Trustees noted that performance for the Institutional Class shares was in the first quintiles, based upon the Peer Group, and in the second, first and first quintiles, based upon the Universe, for the one-, three, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analyses and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Tax Aware Real Return Fund’s performance for both Class A and Select Class shares was in the fifth quintiles, based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended

December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the fixed income committee at each of their regular meetings over the course of the next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Tax Aware Equity Fund’s net advisory fee for Class A shares was in the first quintile, based upon the Peer Group and Universe, and that the actual total expenses were in the second quintiles, based upon the Peer Group and Universe. The Trustees noted that the Fund’s net advisory fee for the Select Class shares was in first quintile, based upon the Peer Group, and in the second quintile, based upon the Universe, and that actual total expenses were in the first quintile, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Tax Aware Real Return Fund’s net advisory fee for Class A shares was in the second quintile, based upon the Peer Group, and in the third quintile based upon the Universe, and that the actual total expenses for Class A shares were in the third quintile, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Select Class shares was in the third quintile, based upon both the Peer Group and Universe, and that actual total expenses were in the fifth quintile, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

 

 

 
52       J.P. MORGAN TAX AWARE FUNDS   OCTOBER 31, 2016


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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

The Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended October 31, 2016:

 

      Dividend
Received
Deduction
 

Tax Aware Equity Fund

     100.00

Long Term Capital Gain

The Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Long-Term
Capital Gain
 

Tax Aware Equity Fund

   $ 56,142   

Qualified Dividend Income (QDI)

The Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Qualified
Dividend
Income
 

Tax Aware Equity Fund

   $ 14,233   

Tax-Exempt Income

The Fund listed below had the following percentage, or maximum allowable percentage, of dividends paid from investment income that are exempt from federal income tax for the fiscal year ended October 31, 2016:

 

      Exempt
Distributions
Paid
 

Tax Aware Real Return Fund

     99.83

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN TAX AWARE FUNDS         53   


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

 Social Security number and account balances

 

 transaction history and account transactions

 

 checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

 open an account or provide contact information

 

 give us your account information or pay us by check

 

 make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

 sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

 affiliates from using your information to market to you

 

 sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

 J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-TA-1016


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Annual Report

J.P. Morgan Country/Region Funds

October 31, 2016

JPMorgan China Region Fund

JPMorgan Intrepid European Fund

JPMorgan Latin America Fund

LOGO


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CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan China Region Fund

       3   

JPMorgan Intrepid European Fund

       5   

JPMorgan Latin America Fund

       7   
Schedules of Portfolio Investments        9   
Financial Statements        16   
Financial Highlights        24   
Notes to Financial Statements        30   
Report of Independent Registered Public Accounting Firm        40   
Trustees        41   
Officers        43   
Schedule of Shareholder Expenses        44   
Board Approval of Investment Advisory Agreements        46   
Tax Letter        50   

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’s LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         1   


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J.P. Morgan Country/Region Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

Global financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December 2015 interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular experienced a brief but significant rise in prices. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided.

Economic growth in China and other emerging market nations, firmness in commodities prices and attractive valuations drew investors to emerging market equities during the second half of the reporting period. In Europe, a sluggish economy and investor concerns about the long-term impact of the Brexit weighted down equity prices. During the reporting period, central bankers in Japan and Europe increased economic stimulus, which supported financial markets generally.

Notably, crude oil prices reached 15-month highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories. For the twelve months ended October 31, 2016, the Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes) returned 1.18% and the MSCI Emerging Markets Index (net of foreign withholding taxes) returned 9.27%.

 

 
2       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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JPMorgan China Region Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Select Class Shares)*      3.51%   
Morgan Stanley Capital International (“MSCI”) Golden Dragon Index (net of foreign withholding taxes)      6.96%   
Net Assets as of 10/31/2016 (In Thousands)    $ 23,113   

 

INVESTMENT OBJECTIVE**

The JPMorgan China Region Fund (the “Fund”) will seek long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI Golden Dragon Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the industrials and financials sectors was a leading detractor from performance relative to the Benchmark for the reporting period. The Fund’s security selection and overweight position in the information technology sector and its security selection in the consumer staples sector were leading contributors to relative performance.

By region, the Fund’s security selection and overweight position in China and its security selection in Hong Kong detracted from relative performance, while the Fund’s security selection in Taiwan modestly helped relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in China Taiping Insurance Holdings Co., CAR Inc. and China Everbright International Ltd. Shares of Taiping Insurance, a Chinese insurer, fell amid increased financial market volatility and a sell-off in equities at the start of 2016. Shares of CAR Inc., a Chinese auto rental company, fell after the company offered a weak outlook for growth amid increased competitive pressure. Shares of China Everbright, a Chinese industrial conglomerate, fell amid investor concerns about earnings growth.

Leading individual contributors to the Fund’s relative performance included its overweight positions in AAC Technologies Holdings Inc., Tencent Holdings Ltd. and Largan Precision Co. Shares of AAC Technologies, a Chinese maker of smartphone components, rose on earnings growth and strong demand for its products in mobile devices. Shares of Tencent Holding, a Chinese Internet social media and entertainment company, rose on investor expectations for further earnings growth. Shares of Largan Precision, a Taiwanese maker of optical components used in mobile devices, rose on investor expectations that the company would benefit from Apple Inc.’s iPhone 7 upgrade.

 

HOW WAS THE FUND POSITIONED?

The Fund targets quality and growth in securities and its portfolio managers seek to invest in high-conviction investment ideas that they believe have attractive prospects. The portfolio managers employed a bottom-up fundamental approach to security selection, rigorously researching companies in an attempt to determine their underlying value and potential for future earnings growth. During the period, the portfolio managers sought to invest in opportunities in the consumer, health care, select technology, Internet and environmental sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Tencent Holdings Ltd. (China)      9.9
  2.       Taiwan Semiconductor Manufacturing Co., Ltd., ADR (Taiwan)      9.1   
  3.       Alibaba Group Holding Ltd., ADR (China)      7.7   
  4.       AIA Group Ltd. (Hong Kong)      5.1   
  5.       China Construction Bank Corp., Class H (China)      4.4   
  6.       Ping An Insurance Group Co. of China Ltd., Class H (China)      3.8   
  7.       CNOOC Ltd. (China)      2.7   
  8.       Largan Precision Co., Ltd. (Taiwan)      2.6   
  9.       Hong Kong Exchanges & Clearing Ltd. (Hong Kong)      2.5   
  10.      

China Merchants Bank Co., Ltd., Class H (China)

     2.4   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
China      55.9
Hong Kong      23.2   
Taiwan      19.8   
Singapore      1.1   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         3   


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JPMorgan China Region Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 28, 2007               

With Sales Charge*

          (2.12 )%         5.13        3.88

Without Sales Charge

          3.29           6.27           4.46   

CLASS C SHARES

   February 28, 2007               

With CDSC**

          1.69           5.73           3.94   

Without CDSC

          2.69           5.73           3.94   

SELECT CLASS SHARES

   February 28, 2007        3.51           6.53           4.72   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/07 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2007.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan China Region Fund, the MSCI Golden Dragon Index and the Lipper China Region Funds Index from February 28, 2007 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Golden Dragon Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper China Region Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Golden Dragon

Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the China region. The Lipper China Region Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations. The Fund is also subject to the additional risk of non-diversified “regional” fund investing.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
4       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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JPMorgan Intrepid European Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class A Shares, without a sales charge)*      (8.98)%   
Morgan Stanley Capital International (“MSCI”) Europe Index (net of foreign withholding taxes)      (7.48)%   
Net Assets as of 10/31/2016 (In Thousands)    $ 782,387   

 

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid European Fund (the “Fund”) seeks total return from long-term capital growth. Total return consists of capital growth and current income.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the MSCI Europe Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

The Fund’s security selection in the consumer discretionary sector and its underweight position and security selection in the consumer staples sector were leading detractors from performance relative to the Benchmark for the reporting period. The Fund’s underweight position and security selection in the health care sector and its security selection in the materials sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s positions in Osram Licht AG, Land Securities Group PLC and Taylor Wimpey PLC. Shares of Osram Licht, a German maker of lighting, fell as the company struggled to transition from traditional incandescent lighting to light-emitting diode technology. Shares of Land Securities Group, a U.K. real estate investment trust, and Taylor Wimpey, a U.K. homebuilder, declined as U.K.’s vote to exit the European Union led to a decline in the British pound’s value and raised investor concerns about the U.K. economy.

Leading individual contributors to relative performance included the Fund’s overweight positions in Logitech International SA, Gamesa Corporacion Tecnologica SA and Vestas Wind Systems A/S. Shares of Logitech International, a Swiss provider of digital entertainment technology, rose after the company posted earnings growth and raised its earnings forecast. Shares of Gamesa, a Spanish provider of wind energy systems, rose on gains in new orders and news of a merger with Siemens AG’s wind power business. Shares of Vestas, a Danish provider of wind energy systems, rose on increased orders and the company’s first dividend in 12 years.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the

potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed had these style characteristics. Portfolio positions were based on bottom-up security selection rather than top-down asset allocation decisions.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Siemens AG (Germany)      3.2
  2.       Roche Holding AG (Switzerland)      3.1   
  3.       TOTAL S.A. (France)      2.8   
  4.       Glencore plc (Switzerland)      2.6   
  5.       Allianz SE (Germany)      2.0   
  6.       Enel S.p.A. (Italy)      2.0   
  7.       HSBC Holdings plc (United Kingdom)      2.0   
  8.       Reckitt Benckiser Group plc (United Kingdom)      1.9   
  9.       BNP Paribas S.A. (France)      1.9   
  10.       Imperial Brands plc (United Kingdom)      1.8   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
United Kingdom      24.4
France      17.1   
Germany      15.5   
Switzerland      14.8   
Netherlands      5.5   
Italy      5.1   
Spain      3.6   
Denmark      2.7   
Sweden      2.1   
Luxembourg      2.0   
Finland      1.7   
Austria      1.6   
Norway      1.5   
Belgium      1.4   
Short-Term Investment      1.0   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         5   


Table of Contents

JPMorgan Intrepid European Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   November 2, 1995               

With Sales Charge*

          (13.75 )%         6.08        0.91

Without Sales Charge

          (8.98        7.23           1.45   

CLASS C SHARES

   November 1, 1998               

With CDSC**

          (10.42        6.70           0.95   

Without CDSC

          (9.42        6.70           0.95   

INSTITUTIONAL CLASS SHARES

   September 10, 2001        (8.51        7.76           1.94   

SELECT CLASS SHARES

   September 10, 2001        (8.69        7.53           1.73   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (10/31/06 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Intrepid European Fund, the MSCI Europe Index and the Lipper European Region Funds Index from October 31, 2006 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI Europe Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper European Region Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Europe Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market

performance of the developed markets in Europe. The Lipper European Region Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
6       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Latin America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class A Shares, without a sales charge)*      29.22%   
Morgan Stanley Capital International (“MSCI”) Emerging Markets
(“EM”) Latin America Index (net of foreign withholding taxes)
     33.28%   
Net Assets as of 10/31/2016 (In Thousands)    $ 79,456   

 

INVESTMENT OBJECTIVE**

The JPMorgan Latin America Fund (the “Fund”) will seek long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the MSCI EM Latin America Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s security selection in the financials sector and its underweight position in the energy sector were leading detractors from performance relative to the Benchmark during the reporting period. The Fund’s security selection and underweight position in the consumer staples sector and its underweight position in the telecommunication services sector contributed to relative performance.

By region, the Fund’s security selection in Brazil and overweight position in Argentina, which was not held in the Benchmark, were leading detractors from relative performance, while the Fund’s underweight position in Chile and its security selection in Mexico were leading contributors to relative performance.

Leading individual detractors from the Fund’s relative performance included its underweight positions in Petroleo Brasileiro SA (“Petrobras”), Banco Bradesco SA and Vale SA. Shares of Petrobras, Brazil’s state controlled oil and gas company that was not held in the Fund, rose on renewed strength in global energy prices. Shares of Banco Bradesco, a Brazilian bank that was not held in the Fund, rose on expectations for a rebound in Brazil’s economy. Shares of Vale, a Brazilian metals and mining company, rose on rising prices for global commodities. All three companies also benefitted from improved investor sentiment on Brazil following the impeachment of President Dilma Rousseff.

Leading individual contributors to the Fund’s relative performance included its underweight positions in America Movil SAB and Grupo Televisa SAB and its overweight position in Raia Drogasil SA. Shares of America Movil, a Mexican telecommunications provider, fell on investor concerns about increased competition. Shares of Grupo Televisa, a Mexican cable and satellite television provider, fell on a decline in earnings due to higher costs. Shares of Raia Drogasil, a Brazilian retail pharmacy chain, gained from strong same-store sales growth and increased market share.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund employed a strategy in which portfolio construction was focused on the opportunities at the security level. The Fund’s portfolio managers used bottom-up fundamental research to determine the Fund’s security weightings, rigorously researching companies in an attempt to determine their underlying value and potential for future growth. As a result of this process, the Fund’s largest average overweight positions versus the Benchmark were in the industrials and financials sectors and the Fund’s largest average underweight positions were in the telecom and materials sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      

Itau Unibanco Holding S.A. (Preference Shares), ADR (Brazil)

     7.1
  2.      

Banco Bradesco S.A., ADR (Brazil)

     6.1   
  3.      

Petroleo Brasileiro S.A., ADR (Brazil)

     5.1   
  4.      

Raia Drogasil S.A. (Brazil)

     4.1   
  5.      

Itausa - Investimentos Itau S.A. (Brazil)

     3.4   
  6.      

Fleury S.A. (Brazil)

     3.4   
  7.      

Credicorp Ltd. (Peru)

     3.3   
  8.      

Fomento Economico Mexicano S.A.B. de C.V., ADR (Mexico)

     3.2   
  9.      

Wal-Mart de Mexico S.A.B. de C.V. (Mexico)

     2.9   
  10.      

Lojas Renner S.A. (Brazil)

     2.6   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 

Brazil

     59.4

Mexico

     26.0   

Peru

     4.2   

Argentina

     2.2   

Luxembourg

     2.0   

Panama

     2.0   

United States

     1.9   

Chile

     1.8   

Others (each less than 1.0%)

     0.5   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         7   


Table of Contents

JPMorgan Latin America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
       1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     February 28, 2007                  

With Sales Charge*

          22.40        (5.78 )%         0.36

Without Sales Charge

          29.22           (4.75        0.92   

CLASS C SHARES

     February 28, 2007                  

With CDSC**

          27.57           (5.23        0.41   

Without CDSC

          28.57           (5.23        0.41   

CLASS R6 SHARES

     November 2, 2015           29.86           (4.47        1.19   

SELECT CLASS SHARES

     February 28, 2007           29.55           (4.51        1.17   

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/07 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 28, 2007.

Returns for Class R6 Shares prior to its inception date are based on the performance of the Select Class Shares. The actual return of Class R6 Shares would have been different than those shown because Select Class Shares have different expenses than Class R6 Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Latin America Fund, the MSCI EM Latin America Index and the Lipper Latin American Funds Average from February 28, 2007 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI EM Latin America Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper Latin American Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to

the expenses incurred by the Fund. The MSCI EM Latin America Index is a free float-adjusted market capitalization index that is designed to measure equity

market performance of emerging markets in Latin America. Investors cannot invest directly in an index. The Lipper Latin American Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations. The Fund is also subject to the additional risk of non-diversified “regional” fund investing.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan China Region Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.3%

  

  

China — 51.2%

  

  57      

AAC Technologies Holdings, Inc.

    538   
  18      

Alibaba Group Holding Ltd., ADR (a)

    1,783   
  457      

BBMG Corp., Class H

    167   
  914      

CGN Power Co., Ltd., Class H (e)

    267   
  300      

China CITIC Bank Corp., Ltd., Class H

    193   
  68      

China Conch Venture Holdings Ltd.

    126   
  1,389      

China Construction Bank Corp., Class H

    1,014   
  226      

China Merchants Bank Co., Ltd., Class H

    550   
  778      

China Telecom Corp., Ltd., Class H

    401   
  68      

Chongqing Changan Automobile Co., Ltd., Class B

    103   
  493      

CNOOC Ltd.

    620   
  248      

CSPC Pharmaceutical Group Ltd.

    257   
  6      

Ctrip.com International Ltd., ADR (a)

    260   
  17      

JD.com, Inc., ADR (a)

    438   
  55      

Jiangsu Hengrui Medicine Co., Ltd., Class A

    375   
  104      

MGM China Holdings Ltd.

    172   
  195      

Phoenix Healthcare Group Co., Ltd.

    310   
  169      

Ping An Insurance Group Co. of China Ltd., Class H

    890   
  438      

Postal Savings Bank of China Co., Ltd., Class H (a) (e)

    237   
  34      

Spring Airlines Co., Ltd., Class A

    215   
  87      

Tencent Holdings Ltd.

    2,292   
  12      

Tuniu Corp., ADR (a)

    111   
  20      

Vipshop Holdings Ltd., ADR (a)

    277   
  107      

Wynn Macau Ltd.

    164   
  4      

ZTO Express Cayman, Inc., ADR (a)

    72   
    

 

 

 
       11,832   
    

 

 

 
  

Hong Kong — 23.2%

  

  186      

AIA Group Ltd.

    1,172   
  180      

Brilliance China Automotive Holdings Ltd.

    214   
  44      

Cafe de Coral Holdings Ltd.

    155   
  70      

Cheung Kong Property Holdings Ltd.

    515   
  194      

China Everbright International Ltd.

    232   
  120      

China Resources Gas Group Ltd.

    376   
  98      

China Resources Land Ltd.

    243   
  117      

China Taiping Insurance Holdings Co., Ltd. (a)

    225   
  21      

Hong Kong Exchanges & Clearing Ltd.

    568   
  41      

IMAX China Holding, Inc. (a) (e)

    195   
  283      

Nexteer Automotive Group Ltd.

    373   
  34      

Orient Overseas International Ltd.

    127   
  234      

Regina Miracle International Holdings Ltd., (e)

    239   
  301      

Sino Biopharmaceutical Ltd.

    210   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Hong Kong — continued

 
  347      

WH Group Ltd. (e)

    281   
  31      

Wharf Holdings Ltd. (The)

    233   
    

 

 

 
       5,358   
    

 

 

 
  

Singapore — 1.1%

  

  46      

BOC Aviation Ltd. (e)

    251   
    

 

 

 
  

Taiwan — 19.8%

  

  241      

Advanced Semiconductor Engineering, Inc.

    283   
  250      

China Life Insurance Co., Ltd.

    230   
  388      

E.Sun Financial Holding Co., Ltd.

    220   
  7      

Eclat Textile Co., Ltd.

    79   
  21      

Himax Technologies, Inc., ADR

    164   
  5      

Largan Precision Co., Ltd.

    590   
  47      

President Chain Store Corp.

    351   
  7      

Silicon Motion Technology Corp., ADR

    268   
  70      

Taiwan Paiho Ltd.

    238   
  68      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    2,102   
  20      

Wistron NeWeb Corp.

    56   
    

 

 

 
       4,581   
    

 

 

 
  

Total Common Stocks
(Cost $15,667)

    22,022   
    

 

 

 

 

Structured Instruments — 4.8%

  

  

China — 4.8%

  

  

Low Exercise Cash Settled Call Warrants — 4.8%

  

  43      

Beijing Originwater Technology Co., Ltd., expiring 07/17/17 (Strike Price $0.00) (issued through UBS AG) (a)

    116   
  20      

Guoxuan High-Tech Co., Ltd., expiring 08/15/17 (Strike Price $1.00) (issued through UBS AG) (a)

    106   
  60      

Hangzhou Hikvision Digital Technology Co., Ltd., expiring 10/27/17 (Strike Price $0.00) (issued through UBS AG) (a)

    216   
  33      

Hangzhou Robam Appliances Co., Ltd., expiring 10/27/17 (Strike Price $0.00) (issued through UBS AG) (a)

    183   
  43      

Han’s Laser Technology Industry Group Co., Ltd., expiring 11/06/17 (Strike Price $0.00) (issued through Morgan Stanley) (a)

    142   
  3      

Han’s Laser Technology Industry Group Co., Ltd., expiring 11/28/17 (Strike Price $0.00 (issued through UBS AG) (a)

    11   
  46      

Luxshare Precision Industry Co., Ltd., expiring 06/26/17 (Strike Price $0.00) (issued through UBS AG) (a)

    152   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         9   


Table of Contents

JPMorgan China Region Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Structured Instruments — continued

 
  

Low Exercise Cash Settled Call Warrants — continued

  

  21      

Wangsu Science & Technology Co., Ltd., expiring 10/27/17 (Strike Price $0.00) (issued through UBS AG) (a)

    190   
    

 

 

 
  

Total Structured Instruments
(Cost $1,112)

    1,116   
    

 

 

 
  

Total Investments — 100.1%
(Cost $16,779)

    23,138   
  

Liabilities in Excess of
Other Assets — (0.1)%

    (25
    

 

 

 
  

NET ASSETS — 100.0%

  $ 23,113   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Internet Software & Services

     17.6

Semiconductors & Semiconductor Equipment

     12.2   

Insurance

     10.9   

Banks

     9.6   

Capital Markets

     7.3   

Electronic Equipment, Instruments & Components

     4.9   

Real Estate Management & Development

     4.3   

Internet & Direct Marketing Retail

     4.2   

Pharmaceuticals

     3.6   

Oil, Gas & Consumable Fuels

     2.7   

Hotels, Restaurants & Leisure

     2.6   

Textiles, Apparel & Luxury Goods

     2.4   
INDUSTRY    PERCENTAGE  

Diversified Telecommunication Services

     1.7

Gas Utilities

     1.6   

Auto Components

     1.6   

Food & Staples Retailing

     1.5   

Automobiles

     1.4   

Health Care Providers & Services

     1.3   

Food Products

     1.2   

Independent Power & Renewable Electricity Producers

     1.2   

Trading Companies & Distributors

     1.1   

Commercial Services & Supplies

     1.0   

Others (each less than 1.0%)

     4.1   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Intrepid European Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 94.4%

 
  

Austria — 1.6%

 
  392      

Erste Group Bank AG

    12,305   
    

 

 

 
  

Belgium — 1.3%

 
  170      

KBC Group N.V. (a)

    10,335   
    

 

 

 
  

Denmark — 2.6%

 
  93      

Carlsberg A/S, Class B

    8,389   
  154      

Vestas Wind Systems A/S

    12,302   
    

 

 

 
       20,691   
    

 

 

 
  

Finland — 1.7%

 
  568      

UPM-Kymmene OYJ

    13,212   
    

 

 

 
  

France — 16.6%

 
  82      

Arkema S.A.

    7,808   
  354      

AXA S.A.

    7,981   
  243      

BNP Paribas S.A.

    14,091   
  46      

Kering

    10,123   
  837      

Orange S.A.

    13,173   
  88      

Renault S.A.

    7,618   
  130      

Societe Generale S.A.

    5,066   
  67      

Sodexo S.A.

    7,786   
  146      

Technip S.A.

    9,660   
  126      

Thales S.A.

    11,875   
  443      

TOTAL S.A.

    21,203   
  234      

Valeo S.A.

    13,523   
    

 

 

 
       129,907   
    

 

 

 
  

Germany — 13.5%

 
  77      

adidas AG

    12,598   
  97      

Allianz SE

    15,164   
  108      

Covestro AG (e)

    6,397   
  336      

Deutsche Lufthansa AG

    4,296   
  309      

Deutsche Wohnen AG

    10,107   
  128      

Evonik Industries AG

    4,014   
  74      

HeidelbergCement AG

    7,023   
  49      

Hochtief AG

    6,692   
  578      

RWE AG (a)

    9,201   
  210      

Siemens AG

    23,892   
  135      

Zalando SE (a) (e)

    5,941   
    

 

 

 
       105,325   
    

 

 

 
  

Italy — 4.9%

 
  1,681      

Enav S.p.A. (a) (e)

    6,265   
  3,475      

Enel S.p.A.

    14,940   
  86      

Ferrari N.V.

    4,549   
  2,185      

Intesa Sanpaolo S.p.A.

    5,067   
  302      

Prysmian S.p.A.

    7,508   
    

 

 

 
       38,329   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Luxembourg — 1.9%

 
  179      

APERAM S.A.

    8,150   
  1,011      

ArcelorMittal (a)

    6,834   
    

 

 

 
       14,984   
    

 

 

 
  

Netherlands — 5.3%

 
  838      

ING Groep N.V.

    11,002   
  117      

Koninklijke DSM N.V.

    7,541   
  253      

NN Group N.V.

    7,627   
  174      

Randstad Holding N.V.

    8,933   
  163      

Wolters Kluwer N.V.

    6,304   
    

 

 

 
       41,407   
    

 

 

 
  

Norway — 1.4%

 
  2,504      

Norsk Hydro ASA

    11,195   
    

 

 

 
  

Spain — 3.5%

 
  704      

Banco Bilbao Vizcaya Argentaria S.A.

    5,071   
  2,039      

Banco Santander S.A.

    9,989   
  529      

Gamesa Corp., Tecnologica S.A.

    12,212   
    

 

 

 
       27,272   
    

 

 

 
  

Sweden — 2.1%

 
  225      

Atlas Copco AB, Class A

    6,601   
  420      

Boliden AB

    9,735   
    

 

 

 
       16,336   
    

 

 

 
  

Switzerland — 14.3%

 
  352      

ABB Ltd. (a)

    7,254   
  48      

Actelion Ltd. (a)

    6,882   
  6,412      

Glencore plc (a)

    19,629   
  474      

Logitech International S.A.

    11,465   
  64      

Lonza Group AG (a)

    12,032   
  183      

Nestle S.A.

    13,261   
  101      

Roche Holding AG

    23,137   
  1,367      

STMicroelectronics N.V.

    12,973   
  20      

Swiss Life Holding AG (a)

    5,345   
    

 

 

 
       111,978   
    

 

 

 
  

United Kingdom — 23.7%

 
  491      

Ashtead Group plc

    7,646   
  754      

Auto Trader Group plc (e)

    3,457   
  192      

British American Tobacco plc

    11,013   
  490      

Compass Group plc

    8,873   
  203      

Dialog Semiconductor plc (a)

    7,966   
  1,888      

GKN plc

    7,361   
  1,967      

HSBC Holdings plc

    14,811   
  282      

Imperial Brands plc

    13,617   
  1,617      

Legal & General Group plc

    4,135   
  11,586      

Lloyds Banking Group plc

    8,090   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         11   


Table of Contents

JPMorgan Intrepid European Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

 
  

United Kingdom — continued

 
  415      

Persimmon plc

    8,580   
  377      

Prudential plc

    6,151   
  158      

Reckitt Benckiser Group plc

    14,111   
  378      

Rio Tinto plc

    13,140   
  1,059      

Sage Group plc (The)

    9,345   
  710      

Subsea 7 S.A. (a)

    7,951   
  628      

Tate & Lyle plc

    5,985   
  3,905      

Taylor Wimpey plc

    6,762   
  3,306      

Tesco plc (a)

    8,514   
  347      

Weir Group plc (The)

    7,203   
  488      

WPP plc

    10,601   
    

 

 

 
       185,312   
    

 

 

 
  

Total Common Stocks
(Cost $733,240)

    738,588   
    

 

 

 

 

Preferred Stock — 1.5%

 
  

Germany — 1.5%

 
  93      

Henkel AG & Co. KGaA
(Cost $12,428)

    11,952   
    

 

 

 

 

Short-Term Investment — 1.0%

 
  

Investment Company — 1.0%

 
  7,631      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) (Cost $7,631)

    7,631   
    

 

 

 
  

Total Investments — 96.9%
(Cost $753,299)

    758,171   
  

Other Assets in Excess of
Liabilities — 3.1%

    24,216   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 782,387   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     12.6

Metals & Mining

     9.1   

Insurance

     6.1   

Electrical Equipment

     5.2   

Household Products

     3.4   

Chemicals

     3.4   

Tobacco

     3.2   

Industrial Conglomerates

     3.2   

Pharmaceuticals

     3.1   

Textiles, Apparel & Luxury Goods

     3.0   

Oil, Gas & Consumable Fuels

     2.8   

Semiconductors & Semiconductor Equipment

     2.8   

Auto Components

     2.8   

Food Products

     2.5   

Energy Equipment & Services

     2.3   

Hotels, Restaurants & Leisure

     2.2   

Household Durables

     2.0   

Professional Services

     2.0   

Electric Utilities

     2.0   

Machinery

     1.8   

Paper & Forest Products

     1.7   

Diversified Telecommunication Services

     1.7   

Automobiles

     1.6   

Life Sciences Tools & Services

     1.6   

Aerospace & Defense

     1.6   

Technology Hardware, Storage & Peripherals

     1.5   

Media

     1.4   

Real Estate Management & Development

     1.3   

Software

     1.2   

Multi-Utilities

     1.2   

Food & Staples Retailing

     1.1   

Beverages

     1.1   

Trading Companies & Distributors

     1.0   

Others (each less than 1.0%)

     5.5   

Short-Term Investment

     1.0   
 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  333        

Euro STOXX 50 Index

       12/16/16           EUR         $ 11,165         $ 8   
  65        

FTSE 100 Index

       12/16/16           GBP           5,502           (3
                        

 

 

 
                         $ 5   
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Latin America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.0%

 
  

Argentina — 2.2%

 
  5      

MercadoLibre, Inc.

    778   
  30      

Pampa Energia S.A., ADR (a)

    1,008   
    

 

 

 
       1,786   
    

 

 

 
  

Bermuda — 0.5%

 
  35      

Wilson Sons Ltd., BDR

    371   
    

 

 

 
  

Brazil — 56.2%

 
  253      

AMBEV S.A., ADR

    1,491   
  43      

Arezzo Industria e Comercio S.A.

    400   
  470      

Banco Bradesco S.A., ADR (a)

    4,896   
  118      

BB Seguridade Participacoes S.A.

    1,185   
  274      

BM&FBovespa S.A. — Bolsa de Valores Mercadorias e Futuros (a)

    1,609   
  336      

BR Malls Participacoes S.A. (a)

    1,341   
  286      

CCR S.A.

    1,560   
  71      

CVC Brasil Operadora e Agencia de Viagens S.A.

    549   
  132      

Engie Brasil Energia S.A.

    1,695   
  147      

Ez Tec Empreendimentos e Participacoes S.A.

    764   
  203      

Fleury S.A.

    2,695   
  45      

Gerdau S.A., ADR

    153   
  119      

Iochpe Maxion S.A.

    609   
  473      

Itau Unibanco Holding S.A. (Preference Shares), ADR

    5,648   
  373      

Kroton Educacional S.A.

    1,858   
  115      

Linx S.A.

    684   
  116      

Localiza Rent a Car S.A.

    1,451   
  245      

Lojas Renner S.A.

    2,073   
  24      

M. Dias Branco S.A. (a)

    1,003   
  41      

Odontoprev S.A.

    155   
  26      

Ouro Fino Saude Animal Participacoes S.A.

    304   
  371      

Petroleo Brasileiro S.A., ADR (a)

    4,102   
  145      

Raia Drogasil S.A. (a)

    3,232   
  171      

Transmissora Alianca de Energia Eletrica S.A.

    1,103   
  48      

Ultrapar Participacoes S.A.

    1,091   
  123      

Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A.

    1,152   
  335      

WEG S.A.

    1,851   
    

 

 

 
       44,654   
    

 

 

 
  

Chile — 1.8%

 
  187      

S.A.C.I. Falabella

    1,468   
    

 

 

 
  

Luxembourg — 2.0%

 
  36      

Globant S.A. (a)

    1,567   
    

 

 

 
  

Mexico — 26.1%

 
  95      

Alsea S.A.B. de C.V.

    353   
  565      

Bolsa Mexicana de Valores S.A.B. de C.V.

    905   
  381      

Concentradora Fibra Hotelera Mexicana S.A. de C.V.

    300   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Mexico — continued

 
  474      

Corp. Inmobiliaria Vesta S.A.B. de C.V.

    717   
  27      

Fomento Economico Mexicano S.A.B. de C.V., ADR

    2,559   
  789      

Gentera S.A.B. de C.V.

    1,557   
  83      

Gruma S.A.B. de C.V., Class B

    1,158   
  134      

Grupo Aeroportuario del Centro Norte S.A.B. de C.V.

    780   
  171      

Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B

    1,656   
  10      

Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR

    1,615   
  308      

Grupo Financiero Banorte S.A.B. de C.V., Class O

    1,815   
  86      

Grupo Financiero Santander Mexico S.A.B. de C.V., Class B

    156   
  188      

Grupo Lala S.A.B. de C.V.

    349   
  238      

Infraestructura Energetica Nova S.A.B. de C.V.

    1,055   
  162      

Organizacion Soriana S.A.B de C.V., Class B (a)

    441   
  116      

Promotora y Operadora de Infraestructura S.A.B. de C.V.

    1,302   
  408      

Qualitas Controladora S.A.B. de C.V.

    750   
  169      

Telesites S.A.B de C.V. (a)

    98   
  300      

Unifin Financiera S.A.B. de C.V. SOFOM ENR

    894   
  1,077      

Wal-Mart de Mexico S.A.B. de C.V.

    2,278   
    

 

 

 
       20,738   
    

 

 

 
  

Panama — 2.0%

 
  17      

Copa Holdings S.A., Class A

    1,552   
    

 

 

 
  

Peru — 4.3%

 
  18      

Credicorp Ltd.

    2,633   
  24      

Intercorp Financial Services, Inc.

    745   
    

 

 

 
       3,378   
    

 

 

 
  

United States — 1.9%

 
  33      

FirstCash, Inc.

    1,546   
    

 

 

 
  

Total Common Stocks
(Cost $67,648)

    77,060   
    

 

 

 

 

Preferred Stock — 3.4%

 
  

Brazil — 3.4%

 
  916      

Itausa — Investimentos Itau S.A.
(Cost $2,834)

    2,703   
    

 

 

 
  

Total Investments — 100.4%
(Cost $70,482)

    79,763   
  

Liabilities in Excess of
Other Assets — (0.4)%

    (307
    

 

 

 
  

NET ASSETS — 100.0%

  $ 79,456   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         13   


Table of Contents

JPMorgan Latin America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     23.3

Transportation Infrastructure

     9.1   

Food & Staples Retailing

     7.5   

Oil, Gas & Consumable Fuels

     6.5   

Beverages

     5.1   

Consumer Finance

     5.0   

Multiline Retail

     4.4   

Health Care Providers & Services

     3.6   

Capital Markets

     3.2   

Food Products

     3.1   

Machinery

     3.1   

Software

     2.8   

Electric Utilities

     2.6   

Real Estate Management & Development

     2.6   

Insurance

     2.4   

Diversified Consumer Services

     2.3   

Independent Power & Renewable Electricity Producers

     2.1   

Airlines

     1.9   

Road & Rail

     1.8   

Commercial Services & Supplies

     1.4   

Gas Utilities

     1.3   

Hotels, Restaurants & Leisure

     1.1   

Internet Software & Services

     1.0   

Household Durables

     1.0   

Others (each less than 1.0%)

     1.8   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

J.P. Morgan Country/Region Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

ADR  

—  American Depositary Receipt

BDR  

—  Brazilian Depositary Receipt

EUR  

—  Euro

GBP  

—  British Pound

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         15   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

        China
Region Fund
       Intrepid
European
Fund
       Latin
America
Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 23,138         $ 750,540         $ 79,763   

Investments in affiliates, at value

                 7,631             
    

 

 

      

 

 

      

 

 

 

Total investment securities, at value

       23,138           758,171           79,763   

Cash

       84           100             

Foreign currency, at value

       159                       

Receivables:

              

Investment securities sold

       179           32,762           4,381   

Fund shares sold

       30           902           86   

Dividends from non-affiliates

                 451           136   

Dividends from affiliates

                 2           (a) 

Tax reclaims

                 2,177             

Variation margin on futures contracts

                 5             
    

 

 

      

 

 

      

 

 

 

Total Assets

       23,590           794,570           84,366   
    

 

 

      

 

 

      

 

 

 

LIABILITIES:

  

Payables:

              

Due to custodian

                           3,766   

Investment securities purchased

       283           9,788           939   

Fund shares redeemed

       5           1,445           27   

Accrued liabilities:

              

Investment advisory fees

       54           438           53   

Administration fees

                 55             

Distribution fees

       2           68           4   

Shareholder servicing fees

       5           112           3   

Custodian and accounting fees

       19           26           21   

Trustees’ and Chief Compliance Officer’s fees

                           (a) 

Audit fees

       76           79           75   

Other

       33           172           22   
    

 

 

      

 

 

      

 

 

 

Total Liabilities

       477           12,183           4,910   
    

 

 

      

 

 

      

 

 

 

Net Assets

     $ 23,113         $ 782,387         $ 79,456   
    

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents
        China
Region Fund
       Intrepid
European
Fund
       Latin
America
Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 15,737         $ 1,004,421         $ 112,698   

Accumulated undistributed (distributions in excess of) net investment income

       104           16,954           1,008   

Accumulated net realized gains (losses)

       913           (243,676        (43,533

Net unrealized appreciation (depreciation)

       6,359           4,688           9,283   
    

 

 

      

 

 

      

 

 

 

Total Net Assets

     $ 23,113         $ 782,387         $ 79,456   
    

 

 

      

 

 

      

 

 

 

Net Assets:

  

Class A

     $ 4,697         $ 162,767         $ 11,878   

Class C

       2,044           50,152           2,700   

Class R6

                           31,187   

Institutional Class

                 424,388             

Select Class

       16,372           145,080           33,691   
    

 

 

      

 

 

      

 

 

 

Total

     $ 23,113         $ 782,387         $ 79,456   
    

 

 

      

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

($0.0001 par value; unlimited number of shares authorized):

  

  

Class A

       279           7,419           823   

Class C

       126           2,570           192   

Class R6

                           2,151   

Institutional Class

                 18,773             

Select Class

       940           6,484           2,285   

Net Asset Value (a):

              

Class A — Redemption price per share

     $ 16.85         $ 21.94         $ 14.43   

Class C — Offering price per share (b)

       16.26           19.52           14.07   

Class R6 — Offering and redemption price per share

                           14.50   

Institutional Class — Offering and redemption price per share

                 22.61             

Select Class — Offering and redemption price per share

       17.41           22.37           14.74   

Class A maximum sales charge

       5.25        5.25        5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 17.78         $ 23.16         $ 15.23   
    

 

 

      

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 16,779         $ 745,668         $ 70,482   

Cost of investments in affiliates

                 7,631             

Cost of foreign currency

       159                       

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         17   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

        China
Region Fund
     Intrepid
European
Fund
       Latin
America
Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $       $ 1         $   

Dividend income from non-affiliates

       497         31,360           2,040   

Dividend income from affiliates

               88           6   

Foreign taxes withheld

       (33      (2,989        (27
    

 

 

    

 

 

      

 

 

 

Total investment income

       464         28,460           2,019   
    

 

 

    

 

 

      

 

 

 

EXPENSES:

  

Investment advisory fees

       251         6,048           742   

Administration fees

       21         763           61   

Distribution fees:

            

Class A

       12         497           26   

Class C

       17         474           18   

Shareholder servicing fees:

            

Class A

       12         497           26   

Class C

       6         158           6   

Institutional Class

               453             

Select Class

       45         539           47   

Custodian and accounting fees

       92         181           106   

Interest expense to affiliates

       1         3           (a) 

Professional fees

       73         142           82   

Trustees’ and Chief Compliance Officer’s fees

       14         19           15   

Printing and mailing costs

       13         88           18   

Registration and filing fees

       29         89           49   

Transfer agency fees (See Note 2.G.)

       8         60           9   

Sub-transfer agency fees (See Note 2.G.)

       8         478           31   

Other

       5         16           7   
    

 

 

    

 

 

      

 

 

 

Total expenses

       607         10,505           1,243   
    

 

 

    

 

 

      

 

 

 

Less fees waived

       (237      (58        (342

Less expense reimbursements

       (13                (3
    

 

 

    

 

 

      

 

 

 

Net expenses

       357         10,447           898   
    

 

 

    

 

 

      

 

 

 

Net investment income (loss)

       107         18,013           1,121   
    

 

 

    

 

 

      

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

            

Net realized gain (loss) on transactions from:

  

Investments in non-affiliates

       2,145         (96,713        (2,660

Futures

               1,023             

Foreign currency transactions

       2         (989        80   
    

 

 

    

 

 

      

 

 

 

Net realized gain (loss)

       2,147         (96,679        (2,580
    

 

 

    

 

 

      

 

 

 

Change in net unrealized appreciation/depreciation on:

  

Investments in non-affiliates

       (2,002      (17,911        22,423   

Futures

               (321          

Foreign currency translations

       (a)       (4        11   
    

 

 

    

 

 

      

 

 

 

Change in net unrealized appreciation/depreciation

       (2,002      (18,236        22,434   
    

 

 

    

 

 

      

 

 

 

Net realized/unrealized gains (losses)

       145         (114,915        19,854   
    

 

 

    

 

 

      

 

 

 

Change in net assets resulting from operations

     $ 252       $ (96,902      $ 20,975   
    

 

 

    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       China Region Fund        Intrepid European Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 107         $ 1,948         $ 18,013         $ 18,063   

Net realized gain (loss)

       2,147           57,904           (96,679        (6,107

Change in net unrealized appreciation/depreciation

       (2,002        (56,140        (18,236        14,213   
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       252           3,712           (96,902        26,169   
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

                   

From net investment income

       (422        (17        (2,758        (5,957

From net realized gains

                 (1,561                    

Class B (a)

                   

From net investment income

                                     (83

Class C

                   

From net investment income

       (206        (1        (733        (1,910

From net realized gains

                 (524                    

Institutional Class

                   

From net investment income

                           (8,098        (15,040

Select Class

                   

From net investment income

       (1,223        (2,062        (3,259        (13,713

From net realized gains

                 (56,611                    
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (1,851        (60,776        (14,848        (36,703
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       (10,477        (245,912        (174,875        36,262   
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       (12,076        (302,976        (286,625        25,728   

Beginning of period

       35,189           338,165           1,069,012           1,043,284   
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 23,113         $ 35,189         $ 782,387         $ 1,069,012   
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 104         $ 1,845         $ 16,954         $ 14,778   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a)

All remaining Class B Shares converted to Class A Shares on June 19, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         19   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       Latin America Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

  

Net investment income (loss)

     $ 1,121         $ 937   

Net realized gain (loss)

       (2,580        (13,613

Change in net unrealized appreciation/depreciation

       22,434           (23,518
    

 

 

      

 

 

 

Change in net assets resulting from operations

       20,975           (36,194
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

  

Class A

         

From net investment income

       (111        (46

Class C

         

From net investment income

       (24        (3

Class R6 (a)

         

From net investment income

       (804          

Select Class

         

From net investment income

       (9        (366
    

 

 

      

 

 

 

Total distributions to shareholders

       (948        (415
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       (4,641        (9,057
    

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       15,386           (45,666

Beginning of period

       64,070           109,736   
    

 

 

      

 

 

 

End of period

     $ 79,456         $ 64,070   
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 1,008         $ 755   
    

 

 

      

 

 

 

 

(a) Commencement of offering of class of shares effective November 2, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents
       China Region Fund        Intrepid European Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

                   

Class A

                   

Proceeds from shares issued

     $ 550         $ 9,418         $ 62,580         $ 101,001   

Distributions reinvested

       418           1,558           2,662           5,618   

Cost of shares redeemed

       (1,591        (7,025        (97,769        (79,205

Conversion from Class B Shares

                                     1,748   
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (623      $ 3,951         $ (32,527      $ 29,162   
    

 

 

      

 

 

      

 

 

      

 

 

 

Class B (a)

                   

Proceeds from shares issued

     $         $         $         $ 21   

Distributions reinvested

                                     78   

Cost of shares redeemed

                                     (1,646

Conversion to Class A Shares

                                     (1,748
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class B capital transactions

     $         $         $         $ (3,295
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C

                   

Proceeds from shares issued

     $ 324         $ 2,203         $ 9,072         $ 35,114   

Distributions reinvested

       155           403           641           1,620   

Cost of shares redeemed

       (861        (1,062        (26,738        (22,267
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (382      $ 1,544         $ (17,025      $ 14,467   
    

 

 

      

 

 

      

 

 

      

 

 

 

Institutional Class

                   

Proceeds from shares issued

     $         $         $ 371,399         $ 211,567   

Distributions reinvested

                           6,847           1,521   

Cost of shares redeemed

                           (96,077        (389,848
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Institutional Class capital transactions

     $         $         $ 282,169         $ (176,760
    

 

 

      

 

 

      

 

 

      

 

 

 

Select Class

                   

Proceeds from shares issued

     $ 1,403         $ 51,374         $ 72,289         $ 311,755   

Distributions reinvested

       217           1,507           1,756           8,848   

Cost of shares redeemed

       (11,092        (304,288        (481,537        (147,915
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ (9,472      $ (251,407      $ (407,492      $ 172,688   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ (10,477      $ (245,912      $ (174,875      $ 36,262   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         21   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       China Region Fund        Intrepid European Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

  

Class A

  

Issued

       35           394           2,755           4,087   

Reinvested

       26           84           115           237   

Redeemed

       (100        (352        (4,445        (3,257

Conversion from Class B Shares

                                     69   
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class A Shares

       (39        126           (1,575        1,136   
    

 

 

      

 

 

      

 

 

      

 

 

 

Class B (a)

  

Issued

                                     (b) 

Reinvested

                                     4   

Redeemed

                                     (74

Conversion to Class A Shares

                                     (77
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class B Shares

                                     (147
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C

  

Issued

       21           96           449           1,587   

Reinvested

       10           23           31           76   

Redeemed

       (57        (53        (1,362        (1,022
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class C Shares

       (26        66           (882        641   
    

 

 

      

 

 

      

 

 

      

 

 

 

Institutional Class

  

Issued

                           14,948           8,326   

Reinvested

                           288           62   

Redeemed

                           (4,219        (15,520
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Institutional Class Shares

                           11,017           (7,132
    

 

 

      

 

 

      

 

 

      

 

 

 

Select Class

  

Issued

       86           2,264           3,181           12,569   

Reinvested

       13           80           74           367   

Redeemed

       (666        (15,818        (20,109        (6,018
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Select Class Shares

       (567        (13,474        (16,854        6,918   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents
       Latin America Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 3,759         $ 4,301   

Distributions reinvested

       105           45   

Cost of shares redeemed

       (6,671        (10,704
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (2,807      $ (6,358
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 643         $ 697   

Distributions reinvested

       24           3   

Cost of shares redeemed

       (664        (1,189
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 3         $ (489
    

 

 

      

 

 

 

Class R6 (a)

         

Proceeds from shares issued

     $ 43,650         $   

Distributions reinvested

       804             

Cost of shares redeemed

       (22,557          
    

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 21,897         $   
    

 

 

      

 

 

 

Select Class

         

Proceeds from shares issued

     $ 25,228         $ 8,351   

Distributions reinvested

       9           351   

Cost of shares redeemed

       (48,971        (10,912
    

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ (23,734      $ (2,210
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ (4,641      $ (9,057
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

  

Class A

  

Issued

       317           296   

Reinvested

       10           3   

Redeemed

       (569        (760
    

 

 

      

 

 

 

Change in Class A Shares

       (242        (461
    

 

 

      

 

 

 

Class C

  

Issued

       58           53   

Reinvested

       2           (b) 

Redeemed

       (58        (84
    

 

 

      

 

 

 

Change in Class C Shares

       2           (31
    

 

 

      

 

 

 

Class R6 (a)

  

Issued

       3,690             

Reinvested

       77             

Redeemed

       (1,616          
    

 

 

      

 

 

 

Change in Class R6 Shares

       2,151             
    

 

 

      

 

 

 

Select Class

  

Issued

       2,048           576   

Reinvested

       1           23   

Redeemed

       (4,143        (734
    

 

 

      

 

 

 

Change in Select Class Shares

       (2,094        (135
    

 

 

      

 

 

 

 

(a) Commencement of offering of class of shares effective November 2, 2015.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         23   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

      

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
     Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
       Net
investment
income
       Net
realized
gain
       Total
distributions
 

China Region Fund

                              

Class A

                              

Year Ended October 31, 2016

     $ 17.73         $ 0.06       $ 0.44       $ 0.50         $ (1.38      $         $ (1.38

Year Ended October 31, 2015

       22.02           0.25 (e)       (0.57 )(f)       (0.32        (0.08        (3.89        (3.97

Year Ended October 31, 2014

       20.62           0.09 (g)       1.37         1.46           (0.06                  (0.06

Year Ended October 31, 2013

       17.73           0.08         2.81         2.89                                 

Year Ended October 31, 2012

       16.64           0.10         1.13         1.23           (0.14                  (0.14

Class C

                              

Year Ended October 31, 2016

       17.20           (0.03      0.43         0.40           (1.34                  (1.34

Year Ended October 31, 2015

       21.50           0.08 (e)       (0.48 )(f)       (0.40        (0.01        (3.89        (3.90

Year Ended October 31, 2014

       20.18           0.03 (g)       1.29         1.32                                 

Year Ended October 31, 2013

       17.43           0.01         2.74         2.75                                 

Year Ended October 31, 2012

       16.31           (h)       1.13         1.13           (0.01                  (0.01

Select Class

                              

Year Ended October 31, 2016

       17.87           0.09         0.48         0.57           (1.03                  (1.03

Year Ended October 31, 2015

       22.17           0.16 (e)       (0.43 )(f)       (0.27        (0.14        (3.89        (4.03

Year Ended October 31, 2014

       20.75           0.09 (g)       1.44         1.53           (0.11                  (0.11

Year Ended October 31, 2013

       17.84           0.22         2.74         2.96           (0.05                  (0.05

Year Ended October 31, 2012

       16.75           0.12         1.15         1.27           (0.18                  (0.18

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(f) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statements of Changes in Net Assets due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.04, $(0.02) and $0.04 for Class A, Class C and Select Class, respectively, and the net investment income (loss) ratio would have been 0.19%, (0.08)% and 0.21% for Class A, Class C and Select Class Shares, respectively.
(h) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
    
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (d)
 
           
           
$ 16.85        3.29   $ 4,697        1.55     0.38     2.65     61
  17.73        (2.04     5,651        1.75        1.15 (e)      2.10        176   
  22.02        7.12        4,237        1.85        0.42 (g)      2.02        72   
  20.62        16.30        6,079        1.85        0.44        2.29        72   
  17.73        7.51        3,138        1.98        0.61        5.40        85   
           
  16.26        2.76        2,044        2.05        (0.22     3.11        61   
  17.20        (2.49     2,610        2.24        0.37 (e)      2.62        176   
  21.50        6.54        1,857        2.35        0.15 (g)      2.52        72   
  20.18        15.78        1,550        2.35        0.03        2.82        72   
  17.43        6.97        1,441        2.48        (0.01     5.89        85   
           
  17.41        3.51        16,372        1.30        0.53        2.27        61   
  17.87        (1.81     26,928        1.56        0.69 (e)      1.69        176   
  22.17        7.39        332,071        1.60        0.43 (g)      1.76        72   
  20.75        16.62        640,511        1.60        1.13        1.82        72   
  17.84        7.78        4,483        1.73        0.70        5.15        85   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         25   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
       Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Intrepid European Fund

                        

Class A

                        

Year Ended October 31, 2016

     $ 24.41         $ 0.37         $ (2.55      $ (2.18      $ (0.29

Year Ended October 31, 2015

       24.54           0.36           0.32           0.68           (0.81

Year Ended October 31, 2014

       24.79           0.66           (0.90        (0.24        (0.01

Year Ended October 31, 2013

       17.89           0.27           6.87           7.14           (0.24

Year Ended October 31, 2012

       16.98           0.26 (e)         1.19           1.45           (0.54

Class C

                        

Year Ended October 31, 2016

       21.77           0.23           (2.27        (2.04        (0.21

Year Ended October 31, 2015

       21.99           0.21           0.29           0.50           (0.72

Year Ended October 31, 2014

       22.32           0.47           (0.79        (0.32        (0.01

Year Ended October 31, 2013

       16.11           0.18           6.16           6.34           (0.13

Year Ended October 31, 2012

       15.33           0.22 (e)         1.01           1.23           (0.45

Institutional Class

                        

Year Ended October 31, 2016

       25.13           0.49           (2.60        (2.11        (0.41

Year Ended October 31, 2015

       25.23           0.54           0.28           0.82           (0.92

Year Ended October 31, 2014

       25.46           0.79           (0.93        (0.14        (0.09

Year Ended October 31, 2013

       18.35           0.22           7.20           7.42           (0.31

Year Ended October 31, 2012

       17.42           0.40 (e)         1.17           1.57           (0.64

Select Class

                        

Year Ended October 31, 2016

       24.83           0.44           (2.59        (2.15        (0.31

Year Ended October 31, 2015

       24.95           0.45           0.32           0.77           (0.89

Year Ended October 31, 2014

       25.18           0.71           (0.88        (0.17        (0.06

Year Ended October 31, 2013

       18.15           0.22           7.07           7.29           (0.26

Year Ended October 31, 2012

       17.24           0.38 (e)         1.12           1.50           (0.59

 

(a) Calculated based upon average shares outstanding.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.24, $0.21, $0.39 and $0.37 for Class A, Class C, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 1.44%, 1.39%, 2.28% and 2.20% for Class A, Class C, Institutional Class and Select Class Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
    
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (d)
 
           
           
$ 21.94        (8.98 )%    $ 162,767        1.42     1.66     1.43     142
  24.41        2.86        219,548        1.41        1.48        1.41        167   
  24.54        (0.95     192,865        1.30        2.55        1.31        197   
  24.79        40.30        98,202        1.47        1.30        1.76        253   
  17.89        9.04        94,840        1.50        1.54 (e)      1.74        297   
           
  19.52        (9.42     50,152        1.91        1.16        1.92        142   
  21.77        2.37        75,145        1.91        0.98        1.91        167   
  21.99        (1.46     61,814        1.80        2.00        1.81        197   
  22.32        39.62        21,663        1.95        0.94        2.27        253   
  16.11        8.47        8,953        2.00        1.48 (e)      2.26        297   
           
  22.61        (8.48     424,388        0.90        2.16        0.90        142   
  25.13        3.36        194,930        0.90        2.16        0.91        167   
  25.23        (0.56     375,683        0.90        2.93        0.91        197   
  25.46        40.95        249,744        0.98        0.96        1.18        253   
  18.35        9.63        16,151        1.00        2.37 (e)      1.35        297   
           
  22.37        (8.73     145,080        1.10        1.95        1.10        142   
  24.83        3.22        579,389        1.07        1.81        1.07        167   
  24.95        (0.68     409,675        1.05        2.69        1.06        197   
  25.18        40.63        328,979        1.18        0.94        1.33        253   
  18.15        9.27        15,469        1.25        2.29 (e)      1.51        297   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         27   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
       Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Latin America Fund

                        

Class A

                        

Year Ended October 31, 2016

     $ 11.31         $ 0.14         $ 3.11         $ 3.25         $ (0.13

Year Ended October 31, 2015

       17.43           0.14           (6.23        (6.09        (0.03

Year Ended October 31, 2014

       18.47           0.10           (1.02        (0.92        (0.12

Year Ended October 31, 2013

       18.46           0.10           (0.05        0.05           (0.04

Year Ended October 31, 2012

       18.88           0.10           (0.49        (0.39        (0.03

Class C

                        

Year Ended October 31, 2016

       11.06           0.08           3.04           3.12           (0.11

Year Ended October 31, 2015

       17.11           0.06           (6.10        (6.04        (0.01

Year Ended October 31, 2014

       18.12           0.02           (1.00        (0.98        (0.03

Year Ended October 31, 2013

       18.21           0.01           (0.06        (0.05        (0.04

Year Ended October 31, 2012

       18.72           0.01           (0.49        (0.48        (0.03

Class R6

                        

November 2, 2015(g) through October 31, 2016

       11.46           0.21           3.05           3.26           (0.22

Select Class

                        

Year Ended October 31, 2016

       11.40           0.15           3.20           3.35           (0.01

Year Ended October 31, 2015

       17.58           0.17           (6.27        (6.10        (0.08

Year Ended October 31, 2014

       18.63           0.16           (1.04        (0.88        (0.17

Year Ended October 31, 2013

       18.59           0.15           (0.05        0.10           (0.06

Year Ended October 31, 2012

       18.98           0.13           (0.48        (0.35        (0.04

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
   

Net assets,
end of
period
(000’s)

    Net
expenses (e)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)(f)
 
           
           
$ 14.43        29.13   $ 11,878        1.55     1.20     2.15     61
  11.31        (34.97     12,044        1.66        0.97 (e)      2.08        25   
  17.43        (4.98     26,591        1.70        0.55 (e)      1.89        58   
  18.47        0.25        24,688        1.70        0.54 (e)      1.91        37   
  18.46        (2.04     17,490        1.86        0.52 (e)      2.03        49   
           
  14.07        28.57        2,700        2.05        0.72        2.65        61   
  11.06        (35.30     2,108        2.16        0.45 (f)      2.58        25   
  17.11        (5.42     3,778        2.20        0.11 (f)      2.39        58   
  18.12        (0.30     4,292        2.20        0.07 (f)      2.42        37   
  18.21        (2.54     3,370        2.37        0.05 (f)      2.52        49   
           
  14.50        29.18        31,187        1.05        1.77        1.46        61   
           
  14.74        29.46        33,691        1.29        1.19        1.77        61   
  11.40        (34.80     49,918        1.41        1.22 (h)      1.65        25   
  17.58        (4.72     79,367        1.45        0.88 (h)      1.64        58   
  18.63        0.50        109,334        1.45        0.79 (h)      1.67        37   
  18.59        (1.85     60,487        1.61        0.69 (h)      1.78        49   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         29   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 3 separate funds of the Trust (collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
China Region Fund    Class A, Class C and Select Class    Non-Diversified
Intrepid European Fund    Class A, Class C, Institutional Class^ and Select Class    Diversified
Latin America Fund    Class A, Class C, Class R6* and Select Class    Non-Diversified

 

* Class R6 Shares commenced operations on November 2, 2015 for Latin America Fund.
^ Effective December 1, 2016, the Institutional Class was renamed Class L and is publicly offered on a limited basis.

The investment objectives of the Funds are as follows:

The China Region Fund and Latin America Fund will seek long-term capital growth.

The Intrepid European Fund seeks total return from long-term capital growth. Total return consists of capital growth and current income.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

 

 
30       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations.

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

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable for inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

China Region Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

China

     $ 3,178         $ 8,654         $         $ 11,832   

Hong Kong

                 5,358                     5,358   

Singapore

                 251                     251   

Taiwan

       2,534           2,047                     4,581   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       5,712           16,310                     22,022   
    

 

 

      

 

 

      

 

 

      

 

 

 

Structured Instruments

                   

China

                 1,116                     1,116   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 5,712         $ 17,426         $         $ 23,138   
    

 

 

      

 

 

      

 

 

      

 

 

 
Intrepid European Fund                    
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

                   

Common Stocks

                   

Austria

     $         $ 12,305         $         $ 12,305   

Belgium

                 10,335                     10,335   

Denmark

                 20,691                     20,691   

Finland

                 13,212                     13,212   

France

                 129,907                     129,907   

Germany

                 105,325                     105,325   

Italy

       6,265           32,064                     38,329   

Luxembourg

                 14,984                     14,984   

Netherlands

                 41,407                     41,407   

Norway

                 11,195                     11,195   

Spain

                 27,272                     27,272   

Sweden

                 16,336                     16,336   

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Intrepid European Fund (continued)                    
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Switzerland

                 111,978                     111,978   

United Kingdom

                 185,312                     185,312   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       6,265           732,323                     738,588   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stock

                   

Germany

                 11,952                     11,952   

Short-Term Investment

                   

Investment Company

       7,631                               7,631   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 13,896         $ 744,275         $         $ 758,171   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Futures Contracts

     $         $ 8         $         $ 8   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Futures Contracts

     $         $ (3      $         $ (3
    

 

 

      

 

 

      

 

 

      

 

 

 

Latin America Fund

                   
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (a)

     $ 79,763         $         $         $ 79,763   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for country specifics of portfolio holdings.

For China Region Fund, transfers from level 1 to level 2 in the amount of approximately $471,000 are due to applying the fair value factors to certain securities during the year ended October 31, 2016.

For Intrepid European Fund and Latin America Fund there were no transfers among any levels during the year ended October 31, 2016.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

As of October 31, 2016, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. Futures Contracts — Intrepid European Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.

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 the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

 

 
32       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

The table below discloses the volume of the Fund’s futures contracts activity during the year ended October 31, 2016 (amounts in thousands):

 

        Intrepid
European
Fund
 

Futures Contracts:

    

Average Notional Balance Long

     $ 16,934   

Ending Notional Balance Long

       16,667   

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).

D. Structured Instruments — China Region Fund invested in structured instruments that have similar economic characteristics to equity securities. These instruments often seek to replicate the performance of an underlying reference asset such as an equity security or market (“reference asset”). The value of these instruments is generally derived from the price movements of the reference asset. On maturity date of each instrument, the Fund will receive a payment from the instrument’s issuing entity based on the value of the reference asset and record a realized gain or loss. The instrument may receive dividends paid in connection with the reference asset which are reported as Net realized gain (loss) on investment transactions on the Statements of Operations.

Structured instruments may be issued by banks, broker dealers or their affiliates or other entities and typically constitute unsecured contractual obligations of the issuing entity. In addition to credit risk, investments in structured instruments generally have the same risks associated with a direct investment in the reference asset. However, there can be no assurance that structured instruments will trade at the same price or have the same value as the reference asset. In addition, structured instruments may be subject to transfer restrictions and a liquid market may not exist for these instruments. The lack of a liquid market may make it difficult to sell the structured instruments or accurately value them. Investments in structured instruments subject the Fund to counterparty risk.

E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain or loss on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

G. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended October 31, 2016 are as follows (amounts in thousands):

 

        Class A        Class C        Class R6        Institutional Class        Select Class        Total  

China Region Fund

                             

Transfer agency fees

     $ 3         $ 1           n/a           n/a         $ 4         $ 8   

Sub-transfer agency fees

       5           1           n/a           n/a           2           8   

Intrepid European Fund

                             

Transfer agency fees

       35           9           n/a         $ 3           13           60   

Sub-transfer agency fees

       239           72           n/a           41           126           478   

Latin America Fund

                             

Transfer agency fees

       4           1         $ 1           n/a           3           9   

Sub-transfer agency fees

       17           3                     n/a           11           31   

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         33   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required on the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

I. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

J. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

 

        Paid-in-Capital        Accumulated
undistributed
(distributions in
excess of)
net investment
income
       Accumulated
net realized
gains (losses)
 

China Region Fund

     $         $ 3         $ (3

Intrepid European Fund

       (97,190        (989        98,179   

Latin America Fund

       (1,454        80           1,374   

The reclassifications for the Funds relate primarily to foreign currency gains or losses and expiration of capital loss carryforwards.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

 

China Region Fund

       1.00

Intrepid European Fund

       0.65   

Latin America Fund

       1.00   

The Adviser, on behalf of China Region Fund, has entered into an investment sub-advisory agreement with JF International Management, Inc. (“JFIMI”), a wholly-owned subsidiary of JPMorgan Asset Management (Asia) Inc., which is wholly-owned by J.P. Morgan Asset Management Holdings Inc. For performing its services as sub-adviser, JFIMI receives a portion of the fees payable to the Adviser. The fee is accrued daily and paid monthly at an annual rate of 0.48% of the Fund’s average daily net assets. The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective annual rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

 

 
34       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C  

China Region Fund

       0.25        0.75

Intrepid European Fund

       0.25           0.75   

Latin America Fund

       0.25           0.75   

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

China Region Fund

     $ 1         $ (a) 

Intrepid European Fund

       57           (a) 

Latin America Fund

       1             

 

(a) Amount rounds to less than 500.

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Institutional Class        Select Class  

China Region Fund

       0.25        0.25        n/a           0.25

Intrepid European Fund

       0.25           0.25           0.10        0.25   

Latin America Fund

       0.25           0.25           n/a           0.25   

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

Interest expense paid to the custodian related to cash overdraft, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

        Class A        Class C        Class R6        Institutional Class        Select Class  

China Region Fund

       1.55        2.05        n/a           n/a           1.30

Intrepid European Fund

       1.50           2.00           n/a           1.00        1.25   

Latin America Fund

       1.55           2.05           1.05        n/a           1.30   

The expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until at least February 28, 2017.

For the year ended October 31, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total        Reimbursements  

China Region Fund

     $ 180         $ 21         $ 36         $ 237         $ 13   

Intrepid European Fund

                           3           3             

Latin America Fund

       241           61           36           338           3   

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         35   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 were as follows (amounts in thousands):

 

Intrepid European Fund

     $ 55   

Latin America Fund

       4   

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended October 31, 2016, the China Region Fund and Latin America Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Intrepid European Fund

     $ 63   

Latin America Fund

       (a) 

 

(a) Amount rounds to less than 500.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 

China Region Fund

     $ 15,106         $ 26,696   

Intrepid European Fund

       1,283,809           1,441,411   

Latin America Fund

       43,589           45,189   

During the year ended October 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net
Unrealized
Appreciation
(Depreciation)
 

China Region Fund

     $ 17,471         $ 6,076         $ 409         $ 5,667   

Intrepid European Fund

       758,780           46,915           47,524           (609

Latin America Fund

       70,985           13,892           5,114           8,778   

For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

 

 
36       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


Table of Contents

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

        Ordinary
Income*
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 

China Region Fund

     $ 1,851         $         $ 1,851   

Intrepid European Fund

       14,848                     14,848   

Latin America Fund

       948                     948   

 

* Short-term gains are treated as ordinary income for income tax purposes.

The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

        Ordinary
Income*
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 

China Region Fund

     $ 3,145         $ 57,631         $ 60,776   

Intrepid European Fund

       36,703                     36,703   

Latin America Fund

       415                     415   

 

* Short-term gains are treated as ordinary income for income tax purposes.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Long-Term
Capital Gain
       Tax Basis
Capital Loss
Carryover
       Unrealized
Appreciation
(Depreciation)
 

China Region Fund

     $ 114         $ 1,602         $         $ 5,667   

Intrepid European Fund

       16,972                     (238,188        (799

Latin America Fund

       1,014                     (43,030        8,778   

For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of October 31, 2016, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  

Intrepid European Fund

     $ (129,417      $ (9,863

Latin America Fund

       (15,689        (21,582

As of October 31, 2016, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

 

        2017        2019        Total  

Intrepid European Fund

     $ (98,908                $ (98,908

Latin America Fund

       (2,277        (3,482        (5,759

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         37   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016. Average borrowings from the Facility for the year ended October 31, 2016, were as follows (amounts in thousands):

 

        Average
Borrowings
       Average Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

Latin America Fund

     $ 7,757           0.41        2         $ (a) 

 

(a) Amount rounds to less than 500.

Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statements of Operations.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds had no borrowings outstanding from Credit Facility at October 31, 2016. Average borrowings from the Credit Facility for, or at any time during the year ended October 31, 2016, were as follows (amounts in thousands):

 

        Average
Borrowings
       Average Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

Latin America Fund

     $ 3,725           0.53        4         $ 1   

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of October 31, 2016, the Funds had affiliated and/or non-affiliated omnibus accounts, which collectively represented the following percentage of each applicable Fund’s net assets:

 

        Number of
Affiliated
Omnibus
Accounts
       % of the
Fund
       Number of
Unaffiliated
Omnibus
Accounts
       % of the
Fund
 

China Region Fund

       3           71.9                    

Intrepid European Fund

       2           12.4                       

Latin America Fund

                           1           32.6

The J.P. Morgan Investor Funds, which are affiliated and/or non-affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:

 

        J.P. Morgan
Investor Funds
 

Intrepid European Fund

       38.3

Latin America Fund

       39.2   

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

 

 

 
38       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on the Fund. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of October 31, 2016, the Funds had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

        Brazil      China      France      Germany      Hong
Kong
     Mexico      Switzerland      Taiwan      United
Kingdom
 

China Region Fund

               55.90                      23.20                      19.80        

Intrepid European Fund

                       17.10      15.50                      14.80              24.40

Latin America Fund

       59.40                                      26.00                        

As of October 31, 2016, substantially all of the Funds’ net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

The China Region Fund invests primarily in equity securities of companies in the China Region. In general, China Region companies are those that are organized under the laws of, or have a principal office in, the People’s Republic of China (including Hong Kong and Macau) (“China”), or Taiwan; or the principal securities market for which is China or Taiwan. The Latin America Fund invests primarily in equity securities of Latin America issuers or other investments economically tied to Latin America.

A company of a specific country or region is one that is organized under the laws of, or has a principal office in that country or region; the principal securities market for which is that country or region; that derives at least 50% of its total revenues or profits from goods that are produced or sold, investments made, or services performed in that country or region; or at least 50% of the assets of which are located in that country or region.

Because these Funds may invest a significant portion of their assets in these markets, they are subject to greater risks of adverse events that occur in those markets and may experience greater volatility than a Fund that is more broadly diversified geographically.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         39   


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan China Region Fund, JPMorgan Intrepid European Fund and JPMorgan Latin America Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan China Region Fund, JPMorgan Intrepid European Fund and JPMorgan Latin America Fund (each a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
40       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         41   


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TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) 

The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) 

A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

    * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
42       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         43   


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

China Region Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,121.90         $ 8.32           1.56

Hypothetical

       1,000.00           1,017.29           7.91           1.56   

Class C

                   

Actual

       1,000.00           1,118.50           10.97           2.06   

Hypothetical

       1,000.00           1,014.78           10.43           2.06   

Select Class

                   

Actual

       1,000.00           1,122.60           6.99           1.31   

Hypothetical

       1,000.00           1,018.55           6.65           1.31   

Intrepid European Fund

                   

Class A

                   

Actual

       1,000.00           973.80           7.19           1.45   

Hypothetical

       1,000.00           1,017.85           7.35           1.45   

Class C

                   

Actual

       1,000.00           971.60           9.61           1.94   

Hypothetical

       1,000.00           1,015.38           9.83           1.94   

Institutional Class

                   

Actual

       1,000.00           976.30           4.47           0.90   

Hypothetical

       1,000.00           1,020.61           4.57           0.90   

Select Class

                   

Actual

       1,000.00           975.20           5.61           1.13   

Hypothetical

       1,000.00           1,019.46           5.74           1.13   

Latin America Fund

                   

Class A

                   

Actual

       1,000.00           1,155.30           8.34           1.54   

Hypothetical

       1,000.00           1,017.39           7.81           1.54   

 

 
44       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Latin America Fund (continued)

                   

Class C

                   

Actual

     $ 1,000.00         $ 1,153.30         $ 11.04           2.04 %  

Hypothetical

       1,000.00           1,014.88           10.33           2.04   

Class R6

                   

Actual

       1,000.00           1,159.10           5.64           1.04   

Hypothetical

       1,000.00           1,019.91           5.28           1.04   

Select Class

                   

Actual

       1,000.00           1,157.00           6.99           1.29   

Hypothetical

       1,000.00           1,018.65           6.55           1.29   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         45   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose annual report is contained herein, and sub-advisory agreement for the China Region Fund, (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees

also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Funds and by the sub-adviser from the Adviser, as applicable, under the applicable Advisory Agreements was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser and Sub-Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreements. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s and sub-adviser’s, as applicable, senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser and sub-adviser, as applicable. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s and sub-adviser’s, as applicable, risk governance model and reports showing the Adviser’s and sub-adviser’s, as applicable, compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by JPMorgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates, and sub-adviser, as applicable, to the Funds, gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser, sub-adviser, as applicable, and their affiliates, the

 

 

 
46       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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commitment of the Adviser and sub-adviser, as applicable, to provide high quality service to the Funds, their overall confidence in the Adviser’s and sub-adviser’s, as applicable, integrity and the Adviser’s and sub-adviser’s, as applicable, responsiveness to questions or concerns raised by them, including the Adviser’s and sub-adviser’s, as applicable, willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund. In addition, with respect to the China Region Fund, the Trustees considered the different roles and responsibilities performed by the Adviser and sub-adviser under the Advisory Agreements, including the Adviser’s monitoring and evaluating of the sub-adviser to help ensure that the sub-adviser is managing the Fund consistently with its investment objective and restrictions.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser and, as applicable, the sub-adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and sub-adviser, as applicable, and their affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser or sub-adviser, as applicable.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser and sub-adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates

 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         47   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the China Region Fund’s performance for Class A shares was in the third, first, and third quintiles based upon the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for Select Class shares was in the fourth, third and second quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation

prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Intrepid European Fund’s performance for Class A shares was in the fourth, first and second quintiles based upon the Peer Group, and in the third, second, and second quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for the Select Class shares was in the third, second and second quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Latin America Fund’s performance for both Class A and Select Class shares were in the fourth, second and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees also considered the fee paid by the Adviser to the sub-adviser, as applicable, out of the advisory fee. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the China Region Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon the Peer Group and Universe. The

 

 

 
48       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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Trustees noted that the net advisory fee for the Select Class shares was in the first quintile, based upon the Universe, and that the actual total expenses for the Select Class shares was in the second quintile, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees paid by the Fund to the Adviser and by the Adviser to the sub-adviser were reasonable.

The Trustees noted that the Intrepid European Fund’s net advisory fee for Class A shares was in the first and second quintiles, based upon the Peer Group and Universe, respectively and that the actual total expenses for Class A shares were in the fifth and third quintiles, based upon the Peer Group and Universe,

respectively. The Trustees noted that the net advisory fee for Select Class shares was in the first quintile, and that the actual total expenses were in the second quintile, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that, the Latin America Fund’s net advisory fee for Class A and Select Class shares were both in the third quintile, and that the actual total expenses for Class A and Select shares were in the third and first quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN COUNTRY/REGION FUNDS         49   


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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Qualified
Dividend
Income
 

China Region Fund

   $ 543   

Intrepid European Fund

     17,780   

Latin America Fund

     948   

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended October 31, 2016, the following Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as follows or amounts as finally determined (amounts in thousands):

 

      Gross
Income
     Foreign Tax
Pass Through
 

China Region Fund

   $ 503       $ 46   

Intrepid European Fund

     31,522         2,932   

Latin America Fund

     2,038         40   
 

 

 
50       J.P. MORGAN COUNTRY/REGION FUNDS   OCTOBER 31, 2016


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

¡   Social Security number and account balances

 

¡   transaction history and account transactions

 

¡   checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

¡   open an account or provide contact information

 

¡   give us your account information or pay us by check

 

¡   make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

¡   affiliates from using your information to market to you

 

¡   sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

¡   J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

¡   J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016  

AN-INTEQ-CO-1016


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Annual Report

J.P. Morgan SMA Funds

October 31, 2016

JPMorgan International Value SMA Fund

JPMorgan Tax Aware Real Return SMA Fund

LOGO


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CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan International Value SMA Fund

       3   

JPMorgan Tax Aware Real Return SMA Fund

       6   
Schedules of Portfolio Investments        9   
Financial Statements        15   
Financial Highlights        18   
Notes to Financial Statements        22   
Report of Independent Registered Public Accounting Firm        31   
Trustees        32   
Officers        34   
Schedule of Shareholder Expenses        35   
Board Approval of Investment Advisory Agreements        36   
Tax Letter        39   

Privacy Notice — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

NOVEMBER 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         1   


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J.P. Morgan Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

Global financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December 2015 interest rate increase – the first in a decade – with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular experienced a brief but significant rise in prices. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided.

Economic growth in China and other emerging market nations, firmness in commodities prices and attractive valuations drew investors to emerging market equities during the second half of the reporting period. In Europe, a sluggish economy and investor concerns about the long-term impact of the Brexit weighted down equity prices. During the reporting period, central bankers in Japan and Europe increased economic stimulus, which supported financial markets generally.

Notably, crude oil prices reached 15-month highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories.

 

 
2       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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JPMorgan International Value SMA Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund*      (0.83)%   
Morgan Stanley Capital International (“MSCI”) Europe, Australasia   
and Far East (“EAFE”) Value Index (net of foreign withholding taxes)      (3.35)%   
Net Assets as of 10/31/2016 (In Thousands)      $76,748   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Value SMA Fund (the “Fund”) seeks to provide high total return from a portfolio of foreign company equity securities. The Fund was established to implement the International Value separately managed account strategy, and to hold common shares of companies that were deemed attractive by the Fund’s portfolio managers but were not accessible as American Depositary Receipts (ADRs).

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s shares outperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2016.

By sector, the Fund’s underweight position in the banks sector and its security selection in the basic materials sector were leading contributors to performance relative to the Benchmark. The Fund’s underweight position in the energy sector and its security selection in the insurance sector were leading detractors from relative performance.

By region, the Fund’s security selection in Europe, excluding the U.K., and in emerging markets was a leading contributor to relative performance, while the Fund’s underweight position in the Pacific, excluding Japan, and its security selection in Japan were leading detractors from relative performance. Emerging markets were not represented in the Benchmark.

Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Daikin Industries Ltd., Suzuki Motor Corp. and Goodman Group. Shares of Daikin, a Japanese manufacturer of air conditioners that was not held in the Benchmark, rose as sales growth in emerging markets, an expanding presence in the U.S. and as a weaker yen boosted earnings. Shares of Suzuki Motor, an auto manufacturer not held in the Benchmark, rose amid sales growth in Europe and India. Shares of Goodman Group Property Ltd., an Australian industrial property manager, rose after the company raised its earnings forecast.

Leading individual detractors from relative performance included the Fund’s overweight positions in Samsung Electronics Co., Barratt Developments PLC and Japan Airlines Co. Shares of Samsung Electronics, a maker of smartphones and other consumer electronics that was not held in the Benchmark, fell amid a sales halt and recall of its Galaxy Note 7 line of smartphones. Shares of Barratt Developments, a U.K. homebuilder, declined amid investor concerns about the long-term impact of the U.K.’s planned exit from the European Union. Shares of Japan Airlines, fell after the company reported a drop in revenue and operating profit.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to security selection, seeking to identify what they believed were the most attractive value investment opportunities within each sector. The Fund’s portfolio managers looked for securities that they believed possessed an attractive valuation signal (as measured by a proprietary dividend discount model) and a timely catalyst that would enable the securities to realize their inherent value.

The Fund is offered as a component of the JPMorgan International Value SMA Managed Account Strategy (“SMA Strategy”) to participants in separately managed account programs. As a result, the Fund’s holdings depend on whether a particular security or instrument can be purchased directly on behalf of the participants in the separately managed account programs investing in the SMA Strategy.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         3   


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JPMorgan International Value SMA Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*  
  1.       Daimler AG (Germany)      6.4
  2.       Daikin Industries Ltd. (Japan)      5.4   
  3.       Renault S.A. (France)      4.8   
  4.       Daiwa House Industry Co., Ltd. (Japan)      4.8   
  5.       UPM-Kymmene OYJ (Finland)      4.5   
  6.       Mitsui Fudosan Co., Ltd. (Japan)      4.4   
  7.       Sumitomo Electric Industries Ltd. (Japan)      4.1   
  8.       Standard Chartered plc (United Kingdom)      3.9   
  9.       Suzuki Motor Corp. (Japan)      3.9   
  10.       Bankia S.A. (Spain)      3.9   

PORTFOLIO COMPOSITION BY COUNTRY*

 
Japan      45.4
Germany      11.2  
France      10.8  
Finland      7.4  
United Kingdom      5.7  
Netherlands      5.3  
Spain      3.9  
Australia      3.5  
South Korea      3.2  
Denmark      1.9  
Hong Kong      1.7  

 

*   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

     INCEPTION DATE OF
CLASS
     1 YEAR      3 YEAR      5 YEAR      SINCE INCEPTION  

International Value SMA Fund

   August 17, 2007        (0.83 )%       (3.46 )%       3.22      (0.48 )% 

LIFE OF FUND PERFORMANCE (8/17/07 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on August 17, 2007.

The graph illustrates comparative performance for $10,000 invested in the JPMorgan International Value SMA Fund, the MSCI EAFE Value Index and the Lipper International Multi-Cap Value Funds Index from August 17, 2007 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Lipper International Multi-Cap Value Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the MSCI EAFE Value Index does not reflect the deduction of expenses associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to nonresident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are

not identical to the expenses incurred by the Fund. The MSCI EAFE Value Index is a free float-adjusted market capitalization weighted index that is designed to measure the performance of value-oriented stocks in developed markets, excluding the U.S. and Canada. The Lipper International Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         5   


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      3.80%   
Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (formerly the Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index)      3.10%   
Tax Aware Real Return Composite Benchmark**      4.67%   
Net Assets as of 10/31/2016 (In Thousands)    $ 10,197   

 

INVESTMENT OBJECTIVE***

The JPMorgan Tax Aware Real Return SMA Fund (the “Fund”) seeks to maximize after-tax inflation protected return.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares had a positive absolute return and outperformed the Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) but underperformed the Composite Benchmark for the twelve months ended October 31, 2016.

The Fund’s hedge against inflation was a leading contributor to absolute performance as inflation swap indexes rose during the reporting period. Inflation swap returns were driven higher by improvement in global oil prices, which increased inflationary pressure. The Fund’s allocation to a 90% hedge, rather than a 100% hedge, detracted from absolute and relative performance.

Relative to the Benchmark, the Fund’s longer overall duration and its longer duration in electric, industrial development revenue/pollution control revenue and transportation sector bonds helped performance during the reporting period. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates fall or rise, respectively, compared with bonds with shorter duration.

The Fund’s overall bias toward higher quality bonds detracted from relative performance, particularly its underweight position in bonds rated A and BBB, as lower rated bonds generally outperformed higher rated bonds during the reporting period.

HOW WAS THE FUND POSITIONED?

Among the Fund’s tax-exempt fixed income investments, the Fund employed a bottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk. The Fund maintained its bias to high quality debt securities, as the Fund’s portfolio managers preferred higher-quality issuances. The Fund’s portfolio managers also maintained an inflation-overlay hedging strategy, using zero- coupon inflation-linked swaps to purchase protection against inflation along the yield curve.

The Fund is a component of separately managed accounts that also invest, at the direction of JPMorgan Investment Management Inc. (“JPMIM”) or in accordance with a JPMIM model investment portfolio, in individual securities and other investments. The Fund is managed in a manner consistent with its role in separately managed accounts.

During the period, the Fund’s portfolio managers reduced the hedge ratio to 90% from 95% as asset valuations rose.

INVESTMENT APPROACH

The Fund uses zero-coupon inflation-linked swaps (“inflation swaps”) in combination with tax-exempt municipal bonds to seek to replicate a portfolio of inflation protected securities. The Fund is designed to protect the total return generated by its tax-exempt fixed income holdings from inflation risk. The inflation swaps used by the Fund are based on cumulative percentage movements in the Consumer Price Index for All Urban Consumers (“CPI-U”). The inflation swaps are structured so that one counterparty agrees to pay the cumulative percentage change in the CPI-U over the duration of the swap. The other counterparty (the Fund) pays a compounded fixed rate (zero coupon inflation-swap rate), which is based on the “breakeven inflation rate,” calculated as the yield difference between a nominal U.S. Treasury security and a U.S. Treasury Inflation Protected Security (TIPS) of equal maturity.

The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying bonds is used as the general basis for the Fund’s inflation swap positioning. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that may result from macroeconomic or technical factors.

 

 

 
6       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

PORTFOLIO COMPOSITION****

 
Municipal Bonds      92.7
Short-Term Investment      7.3   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The return of the Fund’s Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
****   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         7   


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

     INCEPTION DATE OF
CLASS
       1 YEAR      3 YEAR      5 YEAR     SINCE INCEPTION  

Tax Aware Real Return SMA Fund

     May 31, 2007                

Before Taxes

          3.80      1.27      1.52     3.15

After Taxes on Distributions

          3.80         1.27         1.51        3.15   

After Taxes on Distributions and Sale of Fund Shares

          3.41         1.68         1.82        3.16   

LIFE OF FUND PERFORMANCE (5/31/07 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on May 31, 2007.

The graph illustrates comparative performance for $10,000 invested in the JPMorgan Tax Aware Real Return SMA Fund, the Tax Aware Real Return Composite Benchmark, the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Lipper Intermediate Municipal Debt Funds Index from May 31, 2007 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Tax Aware Real Return Composite Benchmark and the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Tax Aware Real Return Composite Benchmark is determined by adding the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the

Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. The Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

For some investors, income from municipal bonds may be subject to the Alternative Minimum Tax. Capital gains, if any, are federally taxable. Income may be subject to state and local taxes.

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate tax liability.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares, with the exception of returns noted above as after taxes.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan International Value SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.4%

  

  

Australia — 3.4%

 
  516      

Goodman Group

    2,658   
    

 

 

 
  

Denmark — 1.8%

 
  11      

Pandora A/S

    1,396   
    

 

 

 
  

Finland — 7.2%

 
  313      

Outokumpu OYJ (a)

    2,180   
  145      

UPM-Kymmene OYJ

    3,365   
    

 

 

 
       5,545   
    

 

 

 
  

France — 10.6%

 
  26      

Capgemini S.A.

    2,113   
  469      

Natixis S.A.

    2,373   
  42      

Renault S.A.

    3,621   
    

 

 

 
       8,107   
    

 

 

 
  

Germany — 10.9%

 
  41      

Brenntag AG

    2,171   
  67      

Daimler AG

    4,753   
  15      

HeidelbergCement AG

    1,459   
    

 

 

 
       8,383   
    

 

 

 
  

Hong Kong — 1.7%

 
  418      

China Overseas Land & Investment Ltd.

    1,283   
    

 

 

 
  

Japan — 44.2%

 
  42      

Daikin Industries Ltd.

    4,054   
  131      

Daiwa House Industry Co., Ltd.

    3,593   
  41      

Dentsu, Inc.

    2,039   
  104      

DMG Mori Co., Ltd.

    1,106   
  75      

Japan Airlines Co., Ltd.

    2,222   
  20      

Mabuchi Motor Co., Ltd.

    1,186   
  114      

Mitsubishi Corp.

    2,481   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

 
  146      

Mitsui Fudosan Co., Ltd.

    3,325   
  80      

NGK Spark Plug Co., Ltd.

    1,578   
  51      

NH Foods Ltd.

    1,222   
  51      

Sompo Holdings, Inc.

    1,650   
  205      

Sumitomo Electric Industries Ltd.

    3,033   
  37      

Suzuken Co., Ltd.

    1,188   
  81      

Suzuki Motor Corp.

    2,895   
  103      

Yamato Holdings Co., Ltd.

    2,349   
    

 

 

 
       33,921   
    

 

 

 
  

Netherlands — 5.2%

 
  82      

ASR Nederland N.V. (a)

    1,814   
  72      

NN Group N.V.

    2,155   
    

 

 

 
       3,969   
    

 

 

 
  

South Korea — 3.1%

 
  2      

Samsung Electronics Co., Ltd.

    2,379   
    

 

 

 
  

Spain — 3.8%

 
  3,291      

Bankia S.A.

    2,892   
    

 

 

 
  

United Kingdom — 5.5%

 
  237      

Barratt Developments plc

    1,312   
  339      

Standard Chartered plc (a)

    2,945   
    

 

 

 
       4,257   
    

 

 

 
  

Total Investments — 97.4%
(Cost $67,090)

    74,790   
  

Other Assets in Excess of
Liabilities — 2.6%

    1,958   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 76,748   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         9   


Table of Contents

JPMorgan International Value SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Automobiles

     15.1

Banks

     11.0  

Real Estate Management & Development

     10.9  

Insurance

     7.5  

Trading Companies & Distributors

     6.2  

Auto Components

     6.2  

Building Products

     5.4  

Paper & Forest Products

     4.5  

Equity Real Estate Investment Trusts (REITs)

     3.5  

Technology Hardware, Storage & Peripherals

     3.2  

Air Freight & Logistics

     3.1  
INDUSTRY    PERCENTAGE  

Airlines

     3.0 %

Metals & Mining

     2.9  

IT Services

     2.8  

Media

     2.7  

Construction Materials

     2.0  

Textiles, Apparel & Luxury Goods

     1.9  

Household Durables

     1.8  

Food Products

     1.6  

Health Care Providers & Services

     1.6  

Electrical Equipment

     1.6  

Machinery

     1.5  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — 87.1% (t)

  

  

California — 3.8%

 
  

Education — 1.8%

 
  60      

California Educational Facilities Authority, Pomona College, Series A, Rev., 5.000%, 01/01/18

    63   
  75      

Golden West Schools Financing Authority, Series A, Rev., NATL-RE, 5.800%, 02/01/20

    86   
  25      

Golden West Schools Financing Authority, Beverly Hills Unified School District, Rev., NATL-RE, FGIC, 5.250%, 08/01/23

    31   
    

 

 

 
       180   
    

 

 

 
  

General Obligation — 2.0%

 
  165      

Tustin Unified School District, School Facilities Improvement District No. 2002-1, GO, 5.000%, 08/01/31

    204   
    

 

 

 
  

Total California

    384   
    

 

 

 
  

Connecticut — 4.2%

 
  

Water & Sewer — 4.2%

 
  

City of Stamford, Water Pollution Control System & Facility,

 
  100      

Series A, Rev., 6.000%, 08/15/20

    119   
  150      

Series A, Rev., 6.000%, 08/15/21

    184   
  100      

Series A, Rev., 6.000%, 08/15/22

    127   
    

 

 

 
  

Total Connecticut

    430   
    

 

 

 
  

District of Columbia — 1.2%

 
  

Water & Sewer — 1.2%

 
  100      

District of Columbia Water & Sewer Authority, Public Utility Subordinate Lien, Series C, Rev., 5.000%, 10/01/24

    120   
    

 

 

 
  

Florida — 7.6%

 
  

General Obligation — 2.9%

 
  250      

Florida State Board of Education, Public Education Capital Outlay, Series D, GO, 5.000%, 06/01/25

    291   
    

 

 

 
  

Utility — 4.7%

 
  100      

JEA, St. Johns River Power Park System, Series 8, Rev., 4.000%, 10/01/17 (p)

    103   
  300      

Sarasota County, Florida Utility System, Series B, Rev., 5.000%, 10/01/25

    380   
    

 

 

 
       483   
    

 

 

 
  

Total Florida

    774   
    

 

 

 
  

Georgia — 7.6%

 
  

General Obligation — 3.8%

 
  300      

Dekalb County, Georgia Special Transportation, Parks and Greenspace and Libraries, GO, 5.000%, 12/01/26

    382   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Water & Sewer — 3.8%

 
  250      

DeKalb County, Water & Sewerage, Series B, Rev., 5.250%, 10/01/26

    324   
  60      

Jackson County Water & Sewer Authority, Series A, Rev., XLCA, 5.250%, 09/01/21

    68   
    

 

 

 
       392   
    

 

 

 
  

Total Georgia

    774   
    

 

 

 
  

Illinois — 0.6%

 
  

General Obligation — 0.6%

 
  60      

City of Chicago, Series A, GO, AGM, 5.500%, 01/01/19

    64   
    

 

 

 
  

Indiana — 1.2%

 
  

Education — 1.2%

 
  100      

Purdue University, Student Fee, Series U, Rev., 5.250%, 07/01/21

    118   
    

 

 

 
  

Massachusetts — 4.9%

 
  

Transportation — 4.9%

 
  

Massachusetts Bay Transportation Authority,

 
  150      

Series A, Rev., 5.250%, 07/01/27

    195   
  250      

Series B, Rev., 5.250%, 07/01/23

    310   
    

 

 

 
  

Total Massachusetts

    505   
    

 

 

 
  

Nevada — 2.4%

 
  

Water & Sewer — 2.4%

 
  200      

Truckee Meadows Water Authority, Rev., 5.000%, 07/01/31

    243   
    

 

 

 
  

New Jersey — 1.5%

 
  

Transportation — 1.5%

 
  

New Jersey Transportation Trust Fund Authority, Transportation System,

 
  80      

Series A, Rev., 5.250%, 12/15/20

    89   
  60      

Series A, Rev., 5.500%, 12/15/21

    68   
    

 

 

 
  

Total New Jersey

    157   
    

 

 

 
  

New Mexico — 9.8%

 
  

Other Revenue — 4.2%

 
  340      

New Mexico Finance Authority, Senior Lien Public Project, Series C, Rev., 5.000%, 06/01/22

    397   
  30      

New Mexico Finance Authority, Subordinate Lien Public Project Revolving Fund, Series B, Rev., NATL-RE, 5.000%, 06/15/17

    30   
    

 

 

 
       427   
    

 

 

 
  

Transportation — 5.6%

 
  250      

New Mexico Finance Authority, State Transportation, Senior Lien, Series B, Rev., 5.000%, 06/15/24

    284   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         11   


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

Transportation — continued

 
  250      

New Mexico Finance Authority, State Transportation, Sub Lien, Series A-2, Rev., 5.000%, 12/15/21

    287   
    

 

 

 
       571   
    

 

 

 
  

Total New Mexico

    998   
    

 

 

 
  

New York — 11.0%

 
  

Education — 0.5%

 
  55      

New York State Dormitory Authority, Series A, Rev., 5.000%, 07/01/17

    56   
    

 

 

 
  

General Obligation — 0.8%

 
  10      

City of New York, Subseries E-1, GO, 6.250%, 10/15/28

    11   
  20      

County of Tompkins, Public Improvement, Series A, GO, 4.000%, 03/01/21

    23   
  50      

Eastport South Manor Central School District, GO, 4.000%, 08/01/17

    51   
    

 

 

 
       85   
    

 

 

 
  

Other Revenue — 1.2%

 
  110      

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2009, Series S-5, Rev., 5.000%, 01/15/26

    119   
    

 

 

 
  

Prerefunded — 0.9%

 
  85      

City of New York, Subseries E-1, GO, 6.250%, 10/15/18 (p)

    94   
    

 

 

 
  

Special Tax — 1.8%

 
  150      

New York State Dormitory Authority, State Personal Income Tax, Series C, Rev., 5.000%, 03/15/33

    180   
    

 

 

 
  

Transportation — 5.8%

 
  

Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels,

 
  410      

Series A, Rev., 5.000%, 01/01/26

    482   
  100      

Series D, Rev., 5.000%, 11/15/18

    108   
    

 

 

 
       590   
    

 

 

 
  

Total New York

    1,124   
    

 

 

 
  

Ohio — 5.6%

 
  

General Obligation — 5.6%

 
  250      

City of Columbus, Series 1, GO, 5.000%, 07/01/27

    308   
  100      

Franklin County, Various Purpose, GO, 5.000%, 12/01/19

    108   
  125      

State of Ohio, Common Schools, Series A, GO, 5.000%, 09/15/26

    160   
    

 

 

 
  

Total Ohio

    576   
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Oregon — 2.7%

 
  

General Obligation — 2.7%

 
  215      

Clackamas County School District No. 7J, Lake Oswego, GO, AGM, 5.250%, 06/01/25

    275   
    

 

 

 
  

Pennsylvania — 0.2%

 
  

General Obligation — 0.2%

 
  15      

Central Bucks School District, Series A, GO, 5.000%, 05/15/23

    17   
    

 

 

 
  

South Carolina — 3.4%

 
  

General Obligation — 3.4%

 
  300      

State of South Carolina, Series C, GO, 5.000%, 03/01/22

    349   
    

 

 

 
  

Tennessee — 0.5%

 
  

Prerefunded — 0.5%

 
  50      

Metropolitan Government of Nashville & Davidson County, GO, 5.000%, 01/01/18 (p)

    52   
    

 

 

 
  

Texas — 10.2%

 
  

General Obligation — 2.8%

 
  250      

Hays County, Pass-Through Toll, GO, 5.000%, 02/15/23

    280   
    

 

 

 
  

Prerefunded — 3.0%

 
  70      

City of Mesquite, Waterworks & Sewer System, Rev., AGM, 5.000%, 03/01/17 (p)

    71   
  210      

Harris County, Series C, Rev., 5.000%, 08/15/19 (p)

    233   
    

 

 

 
       304   
    

 

 

 
  

Utility — 4.1%

 
  355      

City of Houston, Combined Utility System, First Lien, Series D, Rev., 5.000%, 11/15/24

    418   
    

 

 

 
  

Water & Sewer — 0.3%

 
  30      

North Texas Municipal Water District, Water System, Rev., 5.250%, 09/01/20

    35   
    

 

 

 
  

Total Texas

    1,037   
    

 

 

 
  

Utah — 2.4%

 
  

Other Revenue — 2.4%

 
  200      

Utah Transit Authority Sales Tax, Subordinate Sales Tax, Series A, Rev., 5.000%, 06/15/29

    246   
    

 

 

 
  

Virginia — 4.3%

 
  

Education — 0.6%

 
  50      

Virginia College Building Authority, 21st Century College & Equipment Programs, Educational Facilities, Series E-2, Rev., 5.000%, 02/01/23

    61   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Municipal Bonds — continued

  

  

General Obligation — 3.7%

 
  300      

County of Chesterfield, Public Improvement, GO, 5.000%, 01/01/24

    373   
    

 

 

 
  

Total Virginia

    434   
    

 

 

 
  

Washington — 2.0%

 
  

General Obligation — 0.3%

 
  25      

Snohomish County, Everett School District No. 2, GO, NATL-RE, FGIC, 5.000%, 12/01/16

    25   
    

 

 

 
  

Transportation — 1.7%

 
  150      

Central Puget Sound Regional Transportation Authority, Sales Tax & Motor Vehicle Excise Tax, Series P-1, Rev., 5.000%, 02/01/25

    177   
    

 

 

 
  

Total Washington

    202   
    

 

 

 
  

Total Municipal Bonds
(Cost $8,326)

    8,879   
    

 

 

 

SHARES

     SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 6.8%

  

  

Investment Company — 6.8%

 
  696      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) (Cost $696)

    696   
    

 

 

 
  

Total Investments — 93.9%
(Cost $9,022)

    9,575   
  

Other Assets in Excess of
Liabilities — 6.1%

    622   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 10,197   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Inflation-Linked Swaps                                      
    

RATE TYPE (r)

                      
SWAP COUNTERPARTY    PAYMENTS MADE
BY THE FUND
   PAYMENTS RECEIVED
BY THE FUND
     TERMINATION
DATE
     NOTIONAL
AMOUNT
     VALUE  

Bank of America N.A.

   1.700% at termination      CPI-U at termination         04/04/18       $ 500       $ 3   

BNP Paribas

   1.695% at termination      CPI-U at termination         06/02/19         1,250         12   

BNP Paribas

   2.720% at termination      CPI-U at termination         04/01/21         6,000         (725

Royal Bank of Scotland

   2.620% at termination      CPI-U at termination         06/28/25         1,000         (147
              

 

 

 
               $ (857
              

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         13   


Table of Contents

J.P. Morgan SMA Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

AGM  

—  Insured by Assured Guaranty Municipal Corp.

CPI-U  

—  Consumer Price Index for All Urban Consumers

FGIC  

—  Insured by Financial Guaranty Insurance Co.

GO  

—  General Obligation

MTA  

—  Metropolitan Transportation Authority

NATL  

—  Insured by National Public Finance Guarantee Corp.

RE  

—  Reinsured

Rev.  

—  Revenue

XLCA  

—  Insured by XL Capital Assurance

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

(p)  

—  Security is prerefunded or escrowed to maturity.

(r)  

—  Rates shown are per annum and payments are as described.

(t)  

—  The date shown represents the earliest of the prerefunded date, next put date, or final maturity date.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

      International
Value SMA
Fund
    Tax Aware
Real Return
SMA Fund
 

ASSETS:

    

Investments in non-affiliates, at value

   $ 74,790      $ 8,879   

Investments in affiliates, at value

            696   
  

 

 

   

 

 

 

Total investment securities, at value

     74,790        9,575   

Restricted cash

            1,320   

Cash

     1,418          

Receivables:

    

Fund shares sold

            127   

Interest and dividends from non-affiliates

     278        112   

Dividends from affiliates

            (a) 

Tax reclaims

     389          

Outstanding swap contracts, at value

            15   

Due from Adviser

     25        17   
  

 

 

   

 

 

 

Total Assets

     76,900        11,166   
  

 

 

   

 

 

 

LIABILITIES:

    

Payables:

              

Fund shares redeemed

     56          

Outstanding swap contracts, at value

            872   

Accrued liabilities:

    

Custodian and accounting fees

     8        3   

Collateral management fees

            10   

Trustees’ and Chief Compliance Officer’s fees

            (a) 

Audit fees

     80        82   

Other

     8        2   
  

 

 

   

 

 

 

Total Liabilities

     152        969   
  

 

 

   

 

 

 

Net Assets

   $ 76,748      $ 10,197   
  

 

 

   

 

 

 

NET ASSETS:

    

Paid-in-Capital

   $ 83,374      $ 10,652   

Accumulated undistributed (distributions in excess of) net investment income

     1,825        1   

Accumulated net realized gains (losses)

     (16,127     (152

Net unrealized appreciation (depreciation)

     7,676        (304
  

 

 

   

 

 

 

Total Net Assets

   $ 76,748      $ 10,197   
  

 

 

   

 

 

 

Outstanding units of beneficial interest (shares)

($0.0001 par value; unlimited number of shares authorized):

     6,691        1,015   

Net asset value, offering and redemption price per share (b)

   $ 11.47      $ 10.04   
  

 

 

   

 

 

 

Cost of investments in non-affiliates

   $ 67,090      $ 8,326   

Cost of investments in affiliates

            696   

 

(a) Amount rounds to less than 500.
(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         15   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

      International
Value SMA
Fund
    Tax Aware
Real Return
SMA Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

   $      $ 288   

Dividend income from non-affiliates

     2,220          

Dividend income from affiliates

            1   

Foreign taxes withheld

     (286       
  

 

 

   

 

 

 

Total investment income

     1,934        289   
  

 

 

   

 

 

 

EXPENSES:

    

Administration fees

     69        8   

Custodian and accounting fees

     44        42   

Interest expense to affiliates

     (a)        

Professional fees

     109        79   

Collateral management fees

            31   

Interest expense to non-affiliates

     (a)        

Trustees’ and Chief Compliance Officer’s fees

     14        15   

Printing and mailing costs

     11        6   

Registration and filing fees

     16        17   

Transfer agency fees

     1        (a) 

Sub-transfer agency fees

     7        (a) 

Other

     8        3   
  

 

 

   

 

 

 

Total expenses

     279        201   
  

 

 

   

 

 

 

Less fees waived

     (69     (8

Less expense reimbursements

     (210     (193
  

 

 

   

 

 

 

Net expenses

              
  

 

 

   

 

 

 

Net investment income (loss)

     1,934        289   
  

 

 

   

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

     (4,714     354   

Futures

     (223       

Foreign currency transactions

     (34       

Swaps

            (190
  

 

 

   

 

 

 

Net realized gain (loss)

     (4,971     164   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

     1,934        (324

Futures

     (a)        

Foreign currency translations

     13          

Swaps

            263   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     1,947        (61
  

 

 

   

 

 

 

Net realized/unrealized gains (losses)

     (3,024     103   
  

 

 

   

 

 

 

Change in net assets resulting from operations

   $ (1,090   $ 392   
  

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       International Value SMA Fund        Tax Aware Real Return SMA Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 1,934         $ 4,228         $ 289         $ 468   

Net realized gain (loss)

       (4,971        7,247           164           (304

Change in net unrealized appreciation/depreciation

       1,947           (8,554        (61        (639
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       (1,090        2,921           392           (475
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                   

From net investment income

       (3,412        (7,972        (290        (486
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

                   

Proceeds from shares issued

       24,016           43,621           3,956           2,728   

Distributions reinvested

       1,944           6,549                       

Cost of shares redeemed

       (50,767        (256,024        (4,944        (11,631
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (24,807        (205,854        (988        (8,903
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

                   

Change in net assets

       (29,309        (210,905        (886        (9,864

Beginning of period

       106,057           316,962           11,083           20,947   
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 76,748         $ 106,057         $ 10,197         $ 11,083   
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 1,825         $ 3,247         $ 1         $ 2   
    

 

 

      

 

 

      

 

 

      

 

 

 

SHARE TRANSACTIONS:

                   

Issued

       2,260           3,544           394           268   

Reinvested

       173           541                       

Redeemed

       (4,564        (20,060        (493        (1,146
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Shares

       (2,131        (15,975        (99        (878
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         17   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

International Value SMA Fund

                     

Year Ended October 31, 2016

     $ 12.02         $ 0.25 (e)    $ (0.36      $ (0.11      $ (0.44

Year Ended October 31, 2015

       12.78           0.26 (e)      (0.69        (0.43        (0.33

Year Ended October 31, 2014

       13.87           0.30        (1.12        (0.82        (0.27

Year Ended October 31, 2013

       11.31           0.31        2.69           3.00           (0.44

Year Ended October 31, 2012

       11.47           0.43        (0.21        0.22           (0.38

 

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(b) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(c) The Fund’s expenses have been contractually capped at 0.00%. See Note 3.E. in the Notes to Financial Statements. The Fund is an integral part of “separately managed accounts” programs sponsored by investment advisors and/or broker-dealers, some of which are unaffiliated with the Funds and the Investment Advisor. Participants in these programs pay a fee to the sponsor of the program.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Calculated based upon average shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        

Net asset
value,
end of
period

    Total return (a)     Net assets,
end of
period
(000’s)
    Net
expenses (b)(c)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (d)
 
           
$ 11.47        (0.83 )%    $ 76,748            2.31     0.33     70
  12.02        (3.42     106,057               2.11        0.20        113   
  12.78        (6.04     316,962               2.22        0.17        85   
  13.87        27.33        325,158               2.66        0.22        72   
  11.31        2.28        201,942               3.58        0.21        81   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         19   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

Tax Aware Real Return SMA Fund

                      

Year Ended October 31, 2016

     $ 9.95         $ 0.28 (e)     $ 0.09         $ 0.37         $ (0.28

Year Ended October 31, 2015

       10.52           0.31 (e)       (0.55        (0.24        (0.33

Year Ended October 31, 2014

       10.58           0.30         (0.05        0.25           (0.31

Year Ended October 31, 2013

       11.11           0.29         (0.54        (0.25        (0.28

Year Ended October 31, 2012

       10.71           0.27         0.39           0.66           (0.26

 

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(b) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(c) The Fund’s expenses have been contractually capped at 0.00%. See Note 3.E. in the Notes to Financial Statements. The Fund is an integral part of “separately managed accounts” programs sponsored by investment advisors and/or broker-dealers unaffiliated with the Funds and the Investment Advisor. Participants in these programs pay a fee to the sponsor of the program.
(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(e) Calculated based upon average shares outstanding.
(f) Amount rounds to less than 0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period
    Total return (a)     Net assets,
end of
period
(000’s)
    Net
expenses (b)(c)
    Net
investment
income
(loss)
        
Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (d)
 
           
$ 10.04        3.80   $ 10,197            2.82     1.97     32
  9.95        (2.27     11,083               3.07        1.01        (f) 
  10.52        2.38        20,947               2.85        0.78        6   
  10.58        (2.29     27,244               2.58        0.60        16   
  11.11        6.24        39,681               2.45        0.51        4   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         21   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:

 

      Diversified/Non-Diversified
International Value SMA Fund    Diversified
Tax Aware Real Return SMA Fund    Diversified

The investment objective of International Value SMA Fund is to seek to provide high total return from a portfolio of foreign company equity securities.

The investment objective of Tax Aware Real Return SMA Fund is to seek to maximize after-tax inflation protected return.

Shares of the Funds may be purchased only by or on behalf of separately managed accounts where J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), serves as the investment adviser, sub-adviser or model portfolio provider for the account with the separately managed account sponsor or directly with the client. The Funds’ shares may not be purchased directly by individuals.

Prior to April 1, 2016, JPMorgan Funds Management, Inc. (the “Administrator” or “JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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.

Futures are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.

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

 

 
22       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


Table of Contents

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

International Value SMA Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (a)

     $         $ 74,790         $         $ 74,790   
    

 

 

      

 

 

      

 

 

      

 

 

 

Tax Aware Real Return SMA Fund

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (b)

     $ 696         $ 8,879         $         $ 9,575   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Inflation-Linked Swaps

     $         $ 15         $         $ 15   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Inflation-Linked Swaps

     $         $ (872      $         $ (872
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All portfolio holdings designated as level 2 are disclosed individually on the SOIs. Please refer to the SOIs for country specifics of portfolio holdings.
(b) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for state specifics of portfolio holdings.

There were no transfers among any levels during the year ended October 31, 2016.

B. Restricted Securities — Certain securities held by International Value SMA Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Fund.

As of October 31, 2016, International Value SMA Fund had no investments in restricted securities under the Securities Act.

C. Futures Contracts — International Value SMA Fund used index futures contracts to gain or reduce exposure to the market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.

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 the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         23   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

As of October 31, 2016, the Fund did not hold futures contracts.

The table below discloses the volume of the Fund’s futures contracts activity during the year ended October 31, 2016 (amounts in thousands):

 

      International
Value SMA
Fund
 

Futures Contracts

  

Average Notional Balance Long

   $ 348   

D. Swaps — Tax Aware Real Return SMA Fund engaged in inflation-linked swaps to provide inflation protection within its portfolio. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively in the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund, otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.F.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.

The Fund’s swap contracts at net value and collateral posted or received by counterparty as of October 31, 2016 are as follows (amounts in thousands):

 

Fund                Fund Counterparty      Value of
swap
contracts
       Collateral
amount
 

Tax Aware Real Return SMA Fund

       Collateral Posted         BNP Paribas      $ (713      $ 1,060   
          Royal Bank of Scotland        (147        260   

The use of swaps exposes the Fund to interest rate risk. The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and, (iv) documentation risk relating to disagreement over contract terms.

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 the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements gives the Fund and

 

 
24       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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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 with collateral posted to a segregated account by one party to the other.

The Fund’s swap contracts are subject to master netting arrangements.

The table below discloses the volume of the Fund’s swap activity during the year ended October 31, 2016 (amounts in thousands):

 

        Tax Aware
Real Return SMA Fund
 

Interest Rate-Related Swaps (Inflation-Linked Swaps):

    

Average Notional Balance — Pays Fixed rate

     $ 9,135   

Ending Notional Balance — Pays Fixed Rate

       8,750   

E. Summary of Derivatives Information

The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Tax Aware Real Return SMA Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Swaps  

Interest rate contracts

   Receivables      $ 15   
       

 

 

 
Gross Liabilities:            Swaps  

Interest rate contracts

   Payables      $ (872
       

 

 

 

The following tables present the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of October 31, 2016 (amounts in thousands):

Tax Aware Real Return SMA Fund

 

Counterparty      Gross Amount of
Derivative Assets
Subject to  Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities
(a)
       Derivatives
Available
for Offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Bank of America N.A.

     $ 3         $         $         $ 3   

BNP Paribas

       12           (12                    
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 15         $ (12      $         $ 3   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

Counterparty      Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities
(a)
       Derivatives
Available
for Offset
       Collateral
Posted
    

Net Amount Due

To Counterparty
(Not less than zero)

 

BNP Paribas

     $ 725         $ (12      $ (713 )(b)     $   

Royal Bank of Scotland

       147                     (147 )(b)         
    

 

 

      

 

 

      

 

 

    

 

 

 
     $ 872         $ (12      $ (860    $   
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.
(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.D. for actual swap collateral received or posted.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         25   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following tables present the effect of derivatives on the Statements of Operations for the year ended October 31, 2016, by primary underlying risk exposure (amounts in thousands):

International Value SMA Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (223
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (a) 
    

 

 

 

 

(a) Amount rounds to less than 500.

Tax Aware Real Return SMA Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Swaps  

Interest rate contracts

     $ (190
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Swaps  

Interest rate contracts

     $ 263   
    

 

 

 

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

H. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

J. Foreign Taxes — International Value SMA Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

 

 
26       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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K. Distributions to Shareholders — Distributions from net investment income are generally declared and paid annually for International Value SMA Fund and monthly for Tax Aware Real Return SMA Fund. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

 

        Paid-in-Capital        Accumulated
undistributed
distributions
in excess of)
net investment
income
       Accumulated
net realized
gains (losses)
 

International Value SMA Fund

     $         $ 56         $ (56

The reclassifications for the Fund relate primarily to Investments in Passive Foreign Investment Companies (“PFICs”).

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser does not charge an advisory fee to the Funds. It should be understood, however, that the Funds are an integral part of separately managed account programs. Participants in these programs pay a fee to the sponsor of the program. The Adviser is compensated directly or indirectly by the separately managed account sponsors.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.E.

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Funds’ shares. The Distributor receives no compensation in its capacity as the Funds’ underwriter.

D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. International Value SMA Fund earns interest on uninvested cash balances held by the custodian. Such interest amounts are presented separately on the Statements of Operations. For Tax Aware Real Return SMA Fund, payments to the custodian may be reduced by credits earned, if any, by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

E. Waivers and Reimbursements — No expenses or fees (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest expenses related to short sales (effective March 1, 2016), interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) are borne by the Funds pursuant to contractual arrangements with the Adviser through February 28, 2017.

For the year ended October 31, 2016, the Funds’ Adviser and the Administrator waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

        Contractual
Waivers
       Contractual
Reimbursements
 

International Value SMA Fund

     $ 69         $ 210   

Tax Aware Real Return SMA Fund

       8           193   

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         27   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The amounts of these waivers/reimbursements resulting from investments in these money market funds for the year ended October 31, 2016 was as follows (amount in thousands):

 

Tax Aware Real Return SMA Fund

   $ —(a)   

 

(a) Amount rounds to less than 500.

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for Tax Aware Real Return SMA Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statements of Operations.

G. Other — The Funds may invest in affiliated J.P. Morgan money market funds. The Funds’ Adviser and its affiliates provide services to and receive fees from the J.P. Morgan money market funds; therefore, the Adviser and its affiliates may indirectly receive fees, including advisory fees, from the Funds.

Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, International Value SMA Fund incurred brokerage commissions with broker-dealers affiliated with the Adviser of approximately $2,000.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 

International Value SMA Fund

     $ 58,165         $ 81,934   

Tax Aware Real Return SMA Fund

       3,106           5,491   

During the year ended October 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

International Value SMA Fund

     $ 68,020         $ 9,480         $ 2,710         $ 6,770   

Tax Aware Real Return SMA Fund

       9,022           571           18           553   

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in PFICs and wash sale loss deferrals.

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

        Ordinary
Income
*
       Tax-Exempt
Distributions
       Total
Distributions
Paid
 

International Value SMA Fund

     $ 3,412         $         $ 3,412   

Tax Aware Real Return SMA Fund

       (a)         290           290   

 

* Short-term gains are treated as ordinary income for tax purposes.

 

 
28       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

        Ordinary
Income
*
       Tax-Exempt
Distributions
       Total
Distributions
Paid
 

International Value SMA Fund

     $ 7,972         $         $ 7,972   

Tax Aware Real Return SMA Fund

       (a)         486           486   

 

* Short-term gains are treated as ordinary income for income tax purposes.
(a) Amount rounds to less than 500.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Tax Exempt
Income
       Tax Basis
Capital Loss
Carryover
       Unrealized
Appreciation
(Depreciation)
 

International Value SMA Fund

     $ 2,149         $         $ (15,509      $ 6,745   

Tax Aware Real Return SMA Fund

                 5           (153        (304

For the Funds, the cumulative timing differences primarily consisted of Investments in PFICs and wash sale loss deferrals.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At October 31, 2016, the Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

        2017        2018        2019        Total  

International Value SMA Fund

     $ 10,125         $         $         $ 10,125   

Tax Aware Real Return SMA Fund

                 9           4           13   

At October 31, 2016, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term  

International Value SMA Fund

     $ 5,384   

Tax Aware Real Return SMA Fund

       140   

During the year ended October 31, 2016, the following Fund utilized capital loss carryforwards as follows (amounts in thousands):

 

Tax Aware Real Return SMA Fund

     $ 162   

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         29   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended. The Funds did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of October 31, 2016, International Value SMA Fund had three shareholders, which are accounts maintained by separately managed account sponsors on behalf of their clients, that owned 90.6% of the Fund’s outstanding shares. Tax Aware Real Return SMA Fund had a shareholder, which is an account maintained by a separately managed account sponsor on behalf of its clients, that owned 100.0% of the Fund’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Funds’ performance.

International Value SMA Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws, or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of October 31, 2016, International Value SMA Fund had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

        France        Germany        Japan  

International Value SMA Fund

       10.8        11.2        45.4

As of October 31, 2016, substantially all of the International Value SMA Fund’s net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

Tax Aware Real Return SMA Fund invests primarily in a portfolio of municipal debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

Tax Aware Real Return SMA Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan International Value SMA Fund and JPMorgan Tax Aware Real Return SMA Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan International Value SMA Fund and JPMorgan Tax Aware Real Return SMA Fund (each a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
32       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including administration fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Fund at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
†*
       Annualized
Expense
Ratio
 

International Value SMA Fund

                   

Actual

     $ 1,000.00         $ 1,034.30         $ 0.00           0.00

Hypothetical

       1,000.00           1,025.14           0.00           0.00   

Tax Aware Real Return SMA Fund

                   

Actual

     $ 1,000.00         $ 1,009.10         $ 0.00           0.00

Hypothetical

       1,000.00           1,025.14           0.00           0.00   

 

Reflects the fact that no fees or expenses are borne by the Funds. The Funds are an integral part of “separately managed accounts” programs sponsored by investment advisers and/or broker-dealers unaffiliated with the Funds and the Adviser. Participants in these programs pay a fee to the sponsor of the program.

 

* Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees, composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together “Broadridge/Lipper”) . The Trustees’ independent consultant also provided additional analyses of the performance of certain J.P. Morgan Funds with greater than two years of performance history in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The

Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the overall arrangement between the Funds and the Adviser, as provided in each Advisory Agreement, was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc.in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider

 

 

 
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and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees noted that there was no advisory fee charged to the Funds. The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMIM did not earn fees from the Funds for providing administrative services due to contractual waivers it has in place. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services. In addition, the Trustees considered that the Adviser receives fees from sponsors of, and/or investors in, separately managed accounts that are invested in the Funds.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that

there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that there was not an investment advisory fee charged to the Funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the Advisory Agreement or management fees including administrative fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe ”) as well as a sub-set of funds within the Universe (the “Peer Group”)by total return for applicable one-, three-, and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and/or Universe Group. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance are summarized below:

The Trustees noted that the International Value SMA Fund’s performance was in the fourth, fifth, and fifth quintiles based upon the Peer Group, and in the second, fifth and fourth quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and, based upon this discussion, the Adviser’s analysis and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the Equity Committee at each of their regular meetings over the course of the next year.

The Trustees noted that the Tax Aware Real Return SMA Fund’s performance was in the fifth quintile based upon the Peer Group, for each of the one- and three- year periods ended December 31, 2015, and also in the fifth quintile based upon the Universe, for the one-, three- and five- year periods ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser, based upon this discussion, the Adviser’s analysis and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

Advisory Fees and Expense Ratios

The Funds are not charged a separate investment advisory fee by the Adviser because the Funds are used only by managed-account strategies advised or sub-advised by the Adviser, or to which the Adviser provides a model portfolio. The Trustees considered each Fund’s contractual advisory fee rate and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee (which is 0.00%) and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the expenses of each Fund after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of expense ratios because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s expense ratios are summarized below:

The Trustees noted that the International Value SMA Fund’s contractual advisory fee and the actual total expenses were in the first quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

The Trustees noted that the Tax Aware Real Return SMA Fund’s contractual advisory fee and the actual total expenses were in the first quintiles, respectively, of both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

 

 

 
38       J.P. MORGAN SMA FUNDS   OCTOBER 31, 2016


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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Qualified Dividend Income (QDI)

The Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Qualified
Dividend
Income
 

International Value SMA Fund

   $ 2,221   

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended October 31, 2016, the following Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as follows or amounts as finally determined (amounts in thousands):

 

      Gross
Income
     Foreign Tax
Pass Through
 

International Value SMA Fund

   $ 2,221       $ 283   

Tax-Exempt Income

The Fund listed below had the following percentage, or maximum allowable percentage, of dividends paid from investment income that are exempt from federal income tax for the fiscal year ended October 31, 2016:

 

      Exempt
Distributions
Paid
 

Tax Aware Real Return SMA Fund

     99.84
 

 

 
OCTOBER 31, 2016   J.P. MORGAN SMA FUNDS         39   


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

¡   Social Security number and account balances

 

¡   transaction history and account transactions

 

¡   checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

¡   open an account or provide contact information

 

¡   give us your account information or pay us by check

 

¡   make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

¡   affiliates from using your information to market to you

 

¡   sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

¡   J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

¡   J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-SMA-1016


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Annual Report

J.P. Morgan Funds

October 31, 2016

JPMorgan Global Allocation Fund

JPMorgan Income Builder Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Market Overview        2   

Fund Commentaries:

    

JPMorgan Global Allocation Fund

       3   

JPMorgan Income Builder Fund

       6   
Schedules of Portfolio Investments        9   
Financial Statements        92   
Financial Highlights        98   
Notes to Financial Statements        102   
Report of Independent Registered Public Accounting Firm        121   
Trustees        122   
Officers        124   
Schedule of Shareholder Expenses        125   
Board Approval of Investment Advisory Agreements        126   
Tax Letter        129   

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

 

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         1   


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J.P. Morgan Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

Global financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Financial markets appeared to absorb the U.S. Federal Reserve’s December interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular experienced a brief but significant rise in prices. In June 2016, British voters confounded the expectations of some and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided.

Economic growth in China and other emerging market nations, firmness in commodities prices and attractive valuations drew investors to emerging market equities during the second half of the reporting period. In Europe, a sluggish economy and investor concerns about the long-term impact of the Brexit weighted down equity prices. During the reporting period, central bankers in Japan and Europe increased economic stimulus, which supported financial markets generally.

Notably, crude oil prices reached 15-month highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories.

For the twelve months ended October 31, 2016, the Morgan Stanley Capital International World Index (net of foreign withholding taxes) returned 1.18% and the Bloomberg Barclays U.S. Aggregate Index (formerly the Barclays U.S. Aggregate Index) returned 4.37%.

 

 
2       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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JPMorgan Global Allocation Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      1.79%   
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)      1.18%   
Bloomberg Barclays U.S. Aggregate Index (formerly the Barclays U.S. Aggregate Index)      4.37%   
Global Allocation Composite Benchmark      2.59%   
Net Assets as of 10/31/2016 (In Thousands)    $ 1,430,782   

 

INVESTMENT OBJECTIVE**

The JPMorgan Global Allocation Fund (the “Fund”) seeks to maximize long-term total return.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the twelve months ended October 31, 2016, the Fund’s Select Class Shares outperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and underperformed the Bloomberg Barclays U.S. Aggregate Index and the Global Allocation Composite Benchmark (the “Composite Benchmark”), which consists of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Index.

Relative to the Benchmark, the Fund’s increased allocation to U.S. sectors was a leading contributor to performance for the reporting period. Additionally, the Fund’s allocation to high yield bonds (also known as “junk bonds”) contributed to relative performance as high yield bonds outperformed both developed and emerging market equities.

The Fund’s holdings in developed market equity securities and its bias away from emerging market equity securities detracted from relative performance as emerging market equities outperformed their developed counterparts amid strength in global oil prices, a moderation of strength of the U.S. dollar and improving fundamentals.

 

The Fund’s portfolio managers’ decision to tactically hedge exposure to the British pound also helped relative performance as the U.S. dollar strengthened against the pound during the reporting period largely as a result of the U.K.’s referendum vote to leave the European Union.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to maintain a constructive view on developed market equities and extended credit. However, the Fund’s developed international market equity exposure was decreased in both Europe, excluding the U.K, and Japan, given the portfolio managers’ views on slowing, but still positive, global growth and the questions about efficacy of further monetary easing by central banks. Japanese equity exposure was decreased after the Bank of Japan’s negative interest rate policy hurt investor sentiment as evidenced by a strengthening yen, which hurt asset prices. The portfolio managers added to the Fund’s emerging market equity exposure toward the end of the reporting period amid stabilization in emerging market currencies driven by expectations of a more moderate pace of U.S. Federal Reserve monetary tightening in the intermediate term. In fixed income assets, the portfolio managers maintained a positive view on credit as expressed through high yield bonds in the U.S. and Europe, as well as non-agency mortgages. Within core fixed income, the Fund decreased its allocation to global government bonds and investment grade corporate bonds.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         3   


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JPMorgan Global Allocation Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

TOP TEN HOLDINGS OF THE PORTFOLIO***  
  1.       JPMorgan Emerging Markets Debt Fund, Class R6 Shares (United States)      6.0
  2.       U.S. Treasury Notes, (United States), 0.500%, 01/31/17      1.4   
  3.       Government of Japan, (Japan), Series 343, 0.100%, 06/20/26      1.0   
  4.       Alphabet, Inc., Class C (United States)      0.8   
  5.       Republic of Australia, (Australia), Reg. S, Series 122, 5.250%, 03/15/19      0.8   
  6.       Facebook, Inc., Class A (United States)      0.6   
  7.       Nestle S.A., (Switzerland)      0.5   
  8.       Amazon.com, Inc. (United States)      0.5   
  9.       Microsoft Corp. (United States)      0.5   
  10.       UnitedHealth Group, Inc. (United States)      0.4   

PORTFOLIO COMPOSITION***

 
Common Stocks      45.6
Corporate Bonds      27.6   
Investment Company      6.0   
Asset-Backed Securities      4.5   
Foreign Government Securities      3.9   
Collateralized Mortgage Obligations      2.7   
U.S. Treasury Obligations      2.3   
Loan Assignments      1.0   
Others (each less than 1.0%)      2.0   
Short-Term Investments      4.4   

 

*   The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   May 31, 2011               

With Sales Charge*

          (3.09 )%         6.28        3.83

Without Sales Charge

          1.50          7.27          4.71  

CLASS C SHARES

   May 31, 2011               

With CDSC**

          0.03          6.74          4.20  

Without CDSC

          1.03          6.74           4.20  

CLASS R2 SHARES

   May 31, 2011        1.30          7.01          4.46  

SELECT CLASS SHARES

   May 31, 2011        1.79          7.53          4.98  

 

*   Sales Charge for Class A Shares is 4.50%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (5/31/11 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on May 31, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Global Allocation Fund, the MSCI World Index, Bloomberg Barclays U.S. Aggregate Index, the Global Allocation Composite Benchmark and the Lipper Flexible Portfolio Funds Index from May 31, 2011 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI World Index, the Bloomberg Barclays U.S. Aggregate Index and the Global Allocation Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Global Allocation Composite Benchmark does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The performance of the Lipper Flexible Portfolio Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Global Allocation Composite Benchmark is a composite

benchmark comprised of unmanaged indexes that includes 60% MSCI World Index and 40% Bloomberg Barclays U.S. Aggregate Index. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Flexible Portfolio Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as defined by Lipper, Inc. Investors cannot invest directly in an index.

Subsequent to the inception date of the Fund through May 30, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         5   


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JPMorgan Income Builder Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      4.23%   
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)      1.18%   
Bloomberg Barclays U.S. Aggregate Index (formerly the Barclays U.S. Aggregate Index)      4.37%   
Income Builder Composite Benchmark      2.59%   
Net Assets as of 10/31/2016 (In Thousands)    $ 12,158,594   

 

INVESTMENT OBJECTIVE**

The JPMorgan Income Builder Fund (the “Fund”) seeks to maximize income while maintaining prospects for capital appreciation.

INVESTMENT APPROACH

J.P. Morgan’s Multi-Asset Solutions Team (the “Team”) combined capital markets research and asset allocation with the insights of specialist asset class teams to construct a broadly diversified portfolio of income producing securities that the Team believed would perform well given the Team’s market views. The underlying specialist teams built portfolios of their highest conviction securities with what they believed to be the best opportunities for yield and total return on a risk-adjusted basis.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the twelve months ended October 31, 2016, the Fund’s Class A Shares, without a sales charge, outperformed both the MSCI World Index and the Income Builder Composite Benchmark (the “Composite Benchmark”), which is comprised of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Index. The Fund underperformed the Bloomberg Barclays U.S. Aggregate Index.

The Fund’s lower weightings toward equities in favor of high yield debt (also known as “junk bonds”) and investment grade

corporate debt were positive contributors to performance relative to both the MSCI World Index and the Composite Benchmark. The Funds’ allocation to global equities detracted from performance relative to the Bloomberg Barclays U.S. Aggregate Index, which holds no equity, as bonds generally outperformed equity prices during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers positioned the Fund to tactically pursue income. The portfolio managers expected slow but still positive growth in the U.S., with low recession risk. During the reporting period, the portfolio managers reduced the Fund’s allocation to equities in favor of bonds by adding to the Fund’s position in high yield debt and U.S. investment-grade fixed income. In the low growth environment, the portfolio managers preferred quality and yield to capital growth. While interest rates were beginning to rise in the U.S. during the reporting period, they remained extremely low globally, so the portfolio managers believed that investors’ desire for yield and their own low expectations for recession would provide a solid backdrop for high yield and other credit asset classes.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
6       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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TOP TEN HOLDINGS OF THE PORTFOLIO*  
  1.       Occidental Petroleum Corp. (United States)      0.6
  2.       Microsoft Corp. (United States)      0.6   
  3.       Johnson & Johnson (United States)      0.6   
  4.       GlaxoSmithKline plc, (United Kingdom)      0.6   
  5.       Wells Fargo & Co. (United States)      0.6   
  6.       U.S. Treasury Note, 0.500%, 01/31/17 (United States)      0.6   
  7.       AvalonBay Communities, Inc. (United States)      0.5   
  8.       Comcast Corp., Class A (United States)      0.5   
  9.       CME Group, Inc. (United States)      0.5   
  10.       Pfizer, Inc. (United States)      0.5   

PORTFOLIO COMPOSITION*

 
Corporate Bonds      42.6
Common Stocks      32.3   
Preferred Securities      6.6   
Asset-Backed Securities      4.6   
Foreign Government Securities      3.4   
Collateralized Mortgage Obligations      3.3   
Commercial Mortgage-Backed Securities      1.3   
Preferred Stocks      1.2   
Loan Assignments      1.1   
Others (each less than 1.0%)      1.3   
Short-Term Investments      2.3   

 

*   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         7   


Table of Contents

JPMorgan Income Builder Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   May 31, 2007               

With Sales Charge*

          (0.47 )%         5.83        4.60

Without Sales Charge

          4.23          6.80          5.11  

CLASS C SHARES

   May 31, 2007               

With CDSC**

          2.70          6.25          4.58  

Without CDSC

          3.70          6.25          4.58  

SELECT CLASS SHARES

   May 31, 2007        4.36          6.94          5.29  

 

*   Sales Charge for Class A Shares is 4.50%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (5/31/07 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on May 31, 2007.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Income Builder Fund, the MSCI World Index, the Bloomberg Barclays U.S. Aggregate Index, the Income Builder Composite Benchmark and the Lipper Flexible Portfolio Funds Index from May 31, 2007 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI World Index, the Bloomberg Barclays U.S. Aggregate Index and the Income Builder Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and have been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The MSCI World Index assumes the dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper Flexible Portfolio Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment

grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Income Builder Composite Benchmark is a composite benchmark comprised of unmanaged indexes that includes 60% MSCI World Index and 40% Bloomberg Barclays U.S. Aggregate Index. The Lipper Flexible Portfolio Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

From the inception of the Fund through December 18, 2009, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted. Class A Shares have a $1,000 minimum initial investment and carry a 4.50% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — 4.5%

 
  

United States — 4.5%

  

  566      

ABFC Trust, Series 2004-HE1, Class M1, VAR, 1.434%, 03/25/34

    530   
  

ACE Securities Corp. Home Equity Loan Trust,

 
  624      

Series 2002-HE3, Class M1, VAR, 2.334%, 10/25/32

    608   
  1,617      

Series 2003-HE1, Class M1, VAR, 1.509%, 11/25/33

    1,528   
  400      

Series 2003-NC1, Class M1, VAR, 1.704%, 07/25/33

    383   
  480      

Series 2003-OP1, Class M1, VAR, 1.584%, 12/25/33

    458   
  258      

Series 2004-HE4, Class M2, VAR, 1.509%, 12/25/34

    253   
  550      

Series 2004-OP1, Class M3, VAR, 2.409%, 04/25/34

    490   
  

Ameriquest Mortgage Securities, Inc.,

 
  693      

Series 2003-10, Class M1, VAR, 1.584%, 12/25/33

    656   
  298      

Series 2003-10, Class M2, VAR, 3.084%, 12/25/33

    289   
  472      

Series 2004-FR1W, Class A6, VAR, 4.580%, 05/25/34

    470   
  97      

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-11, Class M3, VAR, 3.324%, 12/25/33

    95   
  413      

Amortizing Residential Collateral Trust, Series 2004-1, Class M5, VAR, 2.409%, 10/25/34

    389   
  983      

Argent Securities, Inc., Series 2004-W4, Class A, VAR, 1.054%, 03/25/34

    921   
  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  984      

Series 2003-W5, Class M2, VAR, 3.309%, 10/25/33

    939   
  1,711      

Series 2003-W9, Class M2, VAR, 3.114%, 01/25/34

    1,671   
  275      

Series 2004-W5, Class M1, VAR, 1.434%, 04/25/34

    261   
  

Asset-Backed Securities Corp. Home Equity Loan Trust,

 
  871      

Series 2004-HE1, Class M1, VAR, 1.585%, 01/15/34

    844   
  700      

Series 2004-HE2, Class M2, VAR, 2.409%, 04/25/34

    640   
  1,237      

Series 2004-HE3, Class M2, VAR, 2.214%, 06/25/34

    1,120   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

Bear Stearns Asset-Backed Securities I Trust,

 
  770      

Series 2004-FR2, Class M3, VAR, 2.334%, 06/25/34

    749   
  974      

Series 2004-HE6, Class M2, VAR, 2.409%, 08/25/34

    930   
  

Bear Stearns Asset-Backed Securities Trust,

 
  667      

Series 2004-1, Class M1, VAR, 1.509%, 06/25/34

    636   
  238      

Series 2004-2, Class M1, VAR, 1.734%, 08/25/34

    221   
  1,104      

Chase Funding Trust, Series 2002-2, Class 2M1, VAR, 1.434%, 02/25/32

    1,068   
  

Countrywide Asset-Backed Certificates,

 
  34      

Series 2002-3, Class M1, VAR, 1.659%, 03/25/32

    33   
  60      

Series 2002-4, Class M1, VAR, 1.659%, 12/25/32

    55   
  326      

Series 2003-BC4, Class M2, VAR, 1.884%, 06/25/33

    314   
  204      

Series 2003-BC6, Class M2, VAR, 2.259%, 10/25/33

    190   
  120      

Series 2004-2, Class M1, VAR, 1.284%, 05/25/34

    114   
  481      

Series 2004-3, Class M1, VAR, 1.284%, 06/25/34

    456   
  519      

Series 2005-AB3, Class 1A1, VAR, 0.784%, 02/25/36

    459   
  828      

Series 2006-4, Class 1A1M, VAR, 0.794%, 07/25/36

    812   
  972      

Countrywide Partnership Trust, Series 2004-EC1, Class M2, VAR, 1.479%, 01/25/35

    897   
  

Credit-Based Asset Servicing & Securitization LLC,

 
  1,524      

Series 2004-CB4, Class A5, SUB, 4.868%, 05/25/35

    1,539   
  619      

Series 2004-CB5, Class M1, VAR, 1.449%, 01/25/34

    578   
  181      

Series 2005-CB1, Class M2, VAR, 1.629%, 01/25/35

    165   
  589      

CWABS, Inc. Asset-Backed Certificates, Series 2003-BC1, Class A1, VAR, 1.334%, 03/25/33

    560   
  

CWABS, Inc. Asset-Backed Certificates Trust,

 
  107      

Series 2004-5, Class M3, VAR, 2.259%, 07/25/34

    98   
  524      

Series 2004-6, Class M1, VAR, 1.434%, 10/25/34

    494   
  94      

Series 2004-6, Class M2, VAR, 1.509%, 10/25/34

    88   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         9   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

 
  

United States — continued

  

  341      

Equity One Mortgage Pass-Through Trust, Series 2003-4, Class M1, SUB, 5.869%, 10/25/34

    329   
  578      

First Franklin Mortgage Loan Trust, Series 2005-FF10, Class A1, VAR, 0.834%, 11/25/35

    525   
  

Fremont Home Loan Trust,

 
  48      

Series 2003-B, Class M2, VAR, 2.964%, 12/25/33

    47   
  892      

Series 2004-2, Class M2, VAR, 1.464%, 07/25/34

    861   
  1,708      

Series 2004-A, Class M1, VAR, 1.359%, 01/25/34

    1,568   
  309      

Series 2004-B, Class M7, VAR, 3.534%, 05/25/34

    254   
  

GSAMP Trust,

 
  732      

Series 2004-OPT, Class M1, VAR, 1.404%, 11/25/34

    676   
  385      

Series 2006-HE3, Class A2C, VAR, 0.694%, 05/25/46

    358   
  

Home Equity Asset Trust,

 
  1,162      

Series 2003-3, Class M1, VAR, 1.824%, 08/25/33

    1,116   
  373      

Series 2004-7, Class M1, VAR, 1.464%, 01/25/35

    360   
  1,161      

Series 2007-2, Class 2A2, VAR, 0.719%, 07/25/37

    1,133   
  

Home Equity Mortgage Loan Asset-Backed Trust,

 
  300      

Series 2004-B, Class M3, VAR, 1.734%, 11/25/34

    273   
  330      

Series 2004-B, Class M8, VAR, 3.834%, 11/25/34

    299   
  1,132      

Series 2006-B, Class 2A3, VAR, 0.724%, 06/25/36

    1,074   
  

Long Beach Mortgage Loan Trust,

 
  1,083      

Series 2004-3, Class M2, VAR, 1.434%, 07/25/34

    1,022   
  622      

Series 2004-3, Class M4, VAR, 2.147%, 07/25/34

    584   
  

MASTR Asset-Backed Securities Trust,

 
  154      

Series 2003-NC1, Class M5, VAR, 5.422%, 04/25/33

    130   
  1,503      

Series 2004-WMC2, Class M1, VAR, 1.434%, 04/25/34

    1,402   
  887      

Series 2005-NC1, Class M2, VAR, 1.284%, 12/25/34

    854   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

Morgan Stanley ABS Capital I, Inc. Trust,

 
  282      

Series 2003-HE2, Class M2, VAR, 3.009%, 08/25/33

    276   
  797      

Series 2004-HE6, Class M1, VAR, 1.359%, 08/25/34

    773   
  34      

Series 2004-HE8, Class M3, VAR, 1.659%, 09/25/34

    32   
  439      

Series 2004-NC5, Class M1, VAR, 1.434%, 05/25/34

    408   
  532      

Series 2004-NC6, Class M2, VAR, 2.409%, 07/25/34

    474   
  507      

Series 2004-NC7, Class M2, VAR, 1.464%, 07/25/34

    488   
  60      

Series 2005-HE1, Class M3, VAR, 1.314%, 12/25/34

    49   
  369      

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-AM3, Class A3, VAR, 1.514%, 02/25/33

    350   
  

New Century Home Equity Loan Trust,

 
  597      

Series 2004-2, Class M3, VAR, 1.539%, 08/25/34

    537   
  1,262      

Series 2004-4, Class M1, VAR, 1.299%, 02/25/35

    1,163   
  340      

NovaStar Mortgage Funding Trust, Series 2003-2, Class M3, VAR, 3.909%, 09/25/33

    324   
  1,698      

Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class M1, VAR, 1.554%, 07/25/33

    1,559   
  

Option One Mortgage Loan Trust,

 
  771      

Series 2004-1, Class M1, VAR, 1.434%, 01/25/34

    713   
  720      

Series 2004-1, Class M2, VAR, 2.184%, 01/25/34

    641   
  37      

Series 2004-3, Class M2, VAR, 1.389%, 11/25/34

    33   
  500      

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M4, VAR, 1.779%, 01/25/36

    460   
  

Pretium Mortgage Credit Partners I LLC,

 
  938      

Series 2016-NPL1, Class A1, SUB, 4.375%, 02/27/31 (e)

    947   
  636      

Series 2016-NPL3, Class A1, SUB, 4.375%, 05/27/31 (e)

    642   
  626      

RAMP Trust, Series 2006-EFC2, Class A3, VAR, 0.694%, 12/25/36

    605   
  

RASC Trust,

 
  205      

Series 2001-KS2, Class AI5, SUB, 7.514%, 06/25/31

    209   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

 
  

United States — continued

  

  1,615      

Series 2005-EMX1, Class M1, VAR, 1.179%, 03/25/35

    1,521   
  

Renaissance Home Equity Loan Trust,

 
  427      

Series 2003-2, Class M1, VAR, 1.772%, 08/25/33

    399   
  818      

Series 2004-1, Class M4, VAR, 2.334%, 05/25/34

    661   
  161      

Series 2005-1, Class AF6, SUB, 4.970%, 05/25/35

    164   
  451      

Saxon Asset Securities Trust, Series 2003-3, Class M1, VAR, 1.509%, 12/25/33

    429   
  1,505      

Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP2, Class M1, VAR, 1.509%, 08/25/34

    1,427   
  550      

Soundview Home Loan Trust, Series 2005-OPT1, Class M2, VAR, 1.209%, 06/25/35

    507   
  935      

Specialty Underwriting & Residential Finance Trust, Series 2003-BC4, Class M1, VAR, 1.434%, 11/25/34

    879   
  

Structured Asset Investment Loan Trust,

 
  428      

Series 2003-BC11, Class M1, VAR, 1.509%, 10/25/33

    420   
  449      

Series 2004-6, Class A3, VAR, 1.334%, 07/25/34

    432   
  465      

Series 2004-7, Class M2, VAR, 1.659%, 08/25/34

    406   
  691      

Series 2004-8, Class M9, VAR, 4.284%, 09/25/34

    546   
  72      

Series 2004-BNC1, Class A5, VAR, 1.774%, 09/25/34

    67   
  

Structured Asset Securities Corp. Mortgage Loan Trust,

 
  529      

Series 2006-BC4, Class A4, VAR, 0.704%, 12/25/36

    462   
  915      

Series 2006-BC6, Class A4, VAR, 0.704%, 01/25/37

    839   
  1,484      

Vericrest Opportunity Loan Trust, Series 2016-NPL3, Class A1, SUB, 4.250%, 03/26/46 (e)

    1,503   
  1,273      

VOLT XLV LLC, Series 2016-NPL5, Class A1, SUB, 4.000%, 05/25/46 (e)

    1,283   
  1,334      

VOLT XLVII LLC, Series 2016-NPL7, Class A1, SUB, 3.750%, 06/25/46 (e)

    1,338   
  626      

VOLT XXII LLC, Series 2015-NPL4, Class A1, SUB, 3.500%, 02/25/55 (e)

    627   
  1,177      

VOLT XXXIII LLC, Series 2015-NPL5, Class A1, SUB, 3.500%, 03/25/55 (e)

    1,181   
  984      

VOLT XXXVII LLC, Series 2015-NP11, Class A1, SUB, 3.625%, 07/25/45 (e)

    987   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  1,252      

VOLT XXXVIII LLC, Series 2015-NP12, Class A1, SUB, 3.875%, 09/25/45 (e)

    1,256   
  

Wells Fargo Home Equity Asset-Backed Securities Trust,

 
  458      

Series 2004-2, Class M6, VAR, 3.354%, 10/25/34

    448   
  97      

Series 2004-2, Class M8A, VAR, 5.034%, 10/25/34 (e)

    91   
    

 

 

 
  

Total Asset-Backed Securities
(Cost $63,718)

    64,422   
    

 

 

 

 

Collateralized Mortgage Obligations — 2.7%

  

  

Non-Agency CMO — 2.7%

 
  

United States — 2.7%

 
  

Alternative Loan Trust

 
  629      

Series 2004-27CB, Class A1, 6.000%, 12/25/34

    626   
  162      

Series 2004-28CB, Class 6A1, 6.000%, 01/25/35

    164   
  127      

Series 2005-11CB, Class 2A1, 5.500%, 06/25/35

    122   
  29      

Series 2005-19CB, Class A2, IF, 15.765%, 06/25/35 (u)

    36   
  108      

Banc of America Funding Trust, Series 2005-6, Class 1A2, 5.500%, 10/25/35

    102   
  610      

Banc of America Mortgage Trust, Series 2004-D, Class 2A2, VAR, 3.263%, 05/25/34

    603   
  

Bear Stearns ALT-A Trust

 
  117      

Series 2005-4, Class 23A1, VAR, 2.986%, 05/25/35

    113   
  903      

Series 2005-4, Class 23A2, VAR, 2.986%, 05/25/35

    886   
  286      

Series 2005-7, Class 12A3, VAR, 1.214%, 08/25/35

    269   
  

Bear Stearns ARM Trust

 
  674      

Series 2004-3, Class 2A, VAR, 3.067%, 07/25/34

    671   
  848      

Series 2005-5, Class A2, VAR, 2.460%, 08/25/35

    844   
  412      

Series 2005-9, Class A1, VAR, 2.830%, 10/25/35

    397   
  775      

Series 2006-1, Class A1, VAR, 2.580%, 02/25/36

    770   
  

Chase Mortgage Finance Trust

 
  363      

Series 2006-S4, Class A5, 6.000%, 12/25/36

    296   
  184      

Series 2007-A1, Class 1A1, VAR, 3.063%, 02/25/37

    185   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         11   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

  

  406      

Series 2007-A1, Class 1A5, VAR, 3.063%, 02/25/37

    388   
  258      

Series 2007-A1, Class 8A1, VAR, 3.168%, 02/25/37

    261   
  

CHL Mortgage Pass-Through Trust

 
  135      

Series 2004-9, Class A7, 5.250%, 06/25/34

    138   
  673      

Series 2004-25, Class 2A1, VAR, 1.214%, 02/25/35

    591   
  313      

Series 2006-21, Class A14, 6.000%, 02/25/37

    285   
  349      

Series 2007-10, Class A4, 5.500%, 07/25/37

    281   
  

Citigroup Mortgage Loan Trust, Inc.

 
  783      

Series 2005-3, Class 2A2A, VAR, 3.042%, 08/25/35

    769   
  863      

Series 2005-4, Class A, VAR, 3.041%, 08/25/35

    842   
  235      

Series 2005-11, Class A2A, VAR, 2.930%, 10/25/35

    232   
  

Credit Suisse First Boston Mortgage Securities Corp.

 
  43      

Series 2003-25, Class 2A1, 4.500%, 10/25/18

    43   
  622      

Series 2004-8, Class 5A1, 6.000%, 12/25/34

    658   
  

GSR Mortgage Loan Trust

 
  567      

Series 2004-11, Class 2A2, VAR, 3.302%, 09/25/34

    560   
  311      

Series 2005-AR6, Class 1A1, VAR, 3.014%, 09/25/35

    317   
  

Impac CMB Trust

 
  133      

Series 2004-6, Class 1A2, VAR, 1.314%, 10/25/34

    127   
  786      

Series 2005-2, Class 2A2, VAR, 1.334%, 04/25/35

    727   
  486      

Series 2005-4, Class 2A2, VAR, 1.294%, 05/25/35

    420   
  343      

Series 2005-4, Class 2A2, VAR, 1.659%, 05/25/35

    294   
  384      

Series 2007-A, Class M1, VAR, 0.934%, 05/25/37 (e)

    356   
  

JP Morgan Mortgage Trust

 
  522      

Series 2005-A5, Class 2A2, VAR, 3.242%, 08/25/35

    524   
  376      

Series 2005-A8, Class 2A3, VAR, 2.981%, 11/25/35

    351   
  484      

MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, VAR, 3.032%, 04/21/34

    495   
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   VALUE  
   
 

United States — continued

  

  191     

MASTR Alternative Loan Trust, Series 2004-6, Class 8A1, 5.500%, 07/25/34

    194   
 

Merrill Lynch Mortgage Investors Trust

 
  127     

Series 2003-A4, Class 3A, VAR, 3.368%, 05/25/33

    122   
  118     

Series 2005-1, Class 2A1, VAR, 2.681%, 04/25/35

    115   
  94     

Series 2005-A2, Class A3, VAR, 2.655%, 02/25/35

    90   
  446     

Series 2005-A5, Class A3, VAR, 2.820%, 06/25/35

    435   
 

Morgan Stanley Mortgage Loan Trust

 
  228     

Series 2004-5AR, Class 4A, VAR, 3.151%, 07/25/34

    219   
  513     

Series 2004-7AR, Class 2A6, VAR, 2.962%, 09/25/34

    521   
  415     

Series 2004-11AR, Class 1A2A, VAR, 0.844%, 01/25/35

    387   
  621     

MortgageIT Trust, Series 2005-1, Class 1B1, VAR, 2.034%, 02/25/35

    577   
  1,116     

Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-5, Class 1APT, VAR, 0.814%, 12/25/35

    980   
 

Opteum Mortgage Acceptance Corp. Trust

 
  821     

Series 2005-4, Class 1A2, VAR, 0.924%, 11/25/35

    751   
  895     

Series 2006-1, Class 1AC1, VAR, 0.834%, 04/25/36

    779   
  1,250     

Series 2006-1, Class 1APT, VAR, 0.744%, 04/25/36

    1,036   
  (h)   

Prudential Home Mortgage Securities Co., Inc. (The), Series 1988-1, Class A, VAR, 0.000%, 04/25/18

    (h) 
  114     

RALI Trust, Series 2006-QS18, Class 3A1, 5.750%, 12/25/21

    108   
 

Residential Asset Securitization Trust

 
  11     

Series 2004-A3, Class A1, 4.500%, 06/25/34

    11   
  242     

Series 2004-A8, Class A1, 5.250%, 11/25/34

    242   
 

RFMSI Trust

 
  23     

Series 2003-S15, Class A1, 4.500%, 08/25/18

    24   
  33     

Series 2003-S16, Class A2, 4.500%, 09/25/18

    33   
  84     

Series 2003-S20, Class 2A1, 4.750%, 12/25/18

    84   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

  

  1,065      

Series 2006-S10, Class 1A1, 6.000%, 10/25/36

    1,006   
  1,198      

Sequoia Mortgage Trust, Series 2007-3, Class 1A1, VAR, 0.726%, 07/20/36

    1,091   
  376      

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 4A3, VAR, 3.086%, 08/25/35

    368   
  

WaMu Mortgage Pass-Through Certificates Trust

 
  30      

Series 2003-S8, Class A2, 5.000%, 09/25/18

    31   
  84      

Series 2004-CB2, Class 5A, 5.000%, 07/25/19

    85   
  1,128      

Series 2005-AR3, Class A1, VAR, 2.788%, 03/25/35

    1,098   
  756      

Series 2005-AR5, Class A6, VAR, 2.713%, 05/25/35

    755   
  566      

Series 2005-AR7, Class A3, VAR, 2.755%, 08/25/35

    565   
  399      

Series 2005-AR10, Class 1A3, VAR, 2.733%, 09/25/35

    386   
  526      

Series 2005-AR14, Class 1A4, VAR, 2.659%, 12/25/35

    506   
  75      

Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS3, Class 2A2, 4.500%, 03/25/18

    75   
  781      

Wells Fargo Mortgage-Backed Securities, Series 2005-AR14, Class A1, VAR, 3.008%, 08/25/35

    783   
  

Wells Fargo Mortgage-Backed Securities Trust

 
  296      

Series 2003-H, Class A1, VAR, 3.024%, 09/25/33

    294   
  313      

Series 2003-K, Class 1A1, VAR, 2.902%, 11/25/33

    314   
  344      

Series 2003-M, Class A1, VAR, 2.950%, 12/25/33

    344   
  1,109      

Series 2004-CC, Class A1, VAR, 2.866%, 01/25/35

    1,117   
  498      

Series 2004-DD, Class 1A1, VAR, 2.840%, 01/25/35

    496   
  169      

Series 2004-EE, Class 2A2, VAR, 3.028%, 12/25/34

    172   
  208      

Series 2004-H, Class A1, VAR, 3.052%, 06/25/34

    208   
  116      

Series 2004-K, Class 1A2, VAR, 3.110%, 07/25/34

    115   
  413      

Series 2004-K, Class 2A6, VAR, 3.096%, 07/25/34

    419   
  260      

Series 2004-N, Class A7, VAR, 3.009%, 08/25/34

    259   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  348      

Series 2004-Z, Class 2A2, VAR, 2.878%, 12/25/34

    354   
  1,458      

Series 2005-AR1, Class 1A1, VAR, 2.766%, 02/25/35

    1,476   
  441      

Series 2005-AR2, Class 2A2, VAR, 2.891%, 03/25/35

    444   
  162      

Series 2005-AR2, Class 3A1, VAR, 2.847%, 03/25/35

    164   
  609      

Series 2005-AR3, Class 1A1, VAR, 3.071%, 03/25/35

    621   
  698      

Series 2005-AR10, Class 2A1, VAR, 2.981%, 06/25/35

    717   
  405      

Series 2005-AR16, Class 6A3, VAR, 3.074%, 10/25/35

    408   
  870      

Series 2006-AR2, Class 2A1, VAR, 2.921%, 03/25/36

    868   
  78      

Series 2006-AR2, Class 2A3, VAR, 2.921%, 03/25/36

    77   
  277      

Series 2006-AR3, Class A3, VAR, 3.028%, 03/25/36

    271   
  780      

Series 2006-AR6, Class 7A1, VAR, 2.985%, 03/25/36

    770   
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $37,722)

    38,108   
    

 

 

 

 

Commercial Mortgage-Backed Securities — 0.6%

  

  

United States — 0.6%

  

  

JP Morgan Chase Commercial Mortgage Securities Trust,

 
  1,000      

Series 2007-LD11, Class AM, VAR, 5.755%, 06/15/49

    1,011   
  1,000      

Series 2007-LDPX, Class AM, VAR, 5.464%, 01/15/49

    981   
  1,700      

LB Commercial Mortgage Trust, Series 2007-C3, Class AJ, VAR, 5.916%, 07/15/44

    1,689   
  1,778      

LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class AJ, VAR, 5.452%, 09/15/39

    1,653   
  

Morgan Stanley Capital I Trust,

 
  348      

Series 2006-HQ8, Class AJ, VAR, 5.422%, 03/12/44

    349   
  1,192      

Series 2006-HQ10, Class AJ, VAR, 5.389%, 11/12/41

    1,188   
  1,000      

Series 2007-HQ11, Class AJ, VAR, 5.508%, 02/12/44

    996   
  

Wachovia Bank Commercial Mortgage Trust,

 
  69      

Series 2006-C24, Class AJ, VAR, 5.658%, 03/15/45

    69   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         13   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Commercial Mortgage-Backed Securities — continued

  

  

United States — continued

  

  1,000      

Series 2007-C31, Class C, VAR, 5.651%, 04/15/47

    964   
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $8,966)

    8,900   
    

 

 

 
SHARES               

 

Common Stocks — 45.3%

  

  

Australia — 1.3%

  

  221      

AMP Ltd.

    766   
  152      

Australia & New Zealand Banking Group Ltd.

    3,213   
  170      

BHP Billiton Ltd.

    2,973   
  57      

Commonwealth Bank of Australia

    3,191   
  11      

CSL Ltd.

    810   
  128      

Dexus Property Group

    871   
  269      

Goodman Group

    1,389   
  25      

Macquarie Group Ltd.

    1,487   
  5      

National Australia Bank Ltd.

    116   
  32      

Oil Search Ltd.

    158   
  74      

Wesfarmers Ltd.

    2,299   
  37      

Westpac Banking Corp.

    858   
    

 

 

 
       18,131   
    

 

 

 
  

Belgium — 0.2%

  

  26      

Anheuser-Busch InBev S.A./N.V. (a)

    3,008   
    

 

 

 
  

Bermuda — 0.1%

 
  25      

Lazard Ltd., Class A

    894   
    

 

 

 
  

Brazil — 0.3%

 
  160      

AMBEV S.A., ADR

    943   
  109      

CCR S.A.

    596   
  84      

Cielo S.A.

    855   
  78      

Lojas Renner S.A.

    663   
  41      

Ultrapar Participacoes S.A.

    929   
  14      

Vale S.A., ADR (a)

    92   
  110      

WEG S.A.

    606   
    

 

 

 
       4,684   
    

 

 

 
  

Canada — 0.3%

 
  3      

Novadaq Technologies, Inc. (a)

    37   
  54      

Waste Connections, Inc.

    4,096   
    

 

 

 
       4,133   
    

 

 

 
  

Chile — 0.0% (g)

 
  24      

Banco Santander Chile, ADR

    555   
    

 

 

 
  

China — 0.5%

 
  12      

Alibaba Group Holding Ltd., ADR (a)

    1,255   
  6      

Baidu, Inc., ADR (a)

    1,141   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

China — continued

 
  417      

CNOOC Ltd.

    524   
  580      

Geely Automobile Holdings Ltd.

    597   
  110      

Tencent Holdings Ltd.

    2,902   
  120      

Tingyi Cayman Islands Holding Corp.

    129   
  114      

Tsingtao Brewery Co., Ltd., Class H

    455   
    

 

 

 
       7,003   
    

 

 

 
  

Denmark — 0.2%

 
  16      

Chr Hansen Holding A/S

    933   
  45      

Novo Nordisk A/S, Class B

    1,586   
    

 

 

 
       2,519   
    

 

 

 
  

Finland — 0.4%

 
  23      

Cargotec Oyj, Class B

    929   
  399      

Nokia OYJ

    1,780   
  124      

Outokumpu OYJ (a)

    866   
  51      

UPM-Kymmene OYJ

    1,177   
  28      

Wartsila OYJ Abp

    1,198   
    

 

 

 
       5,950   
    

 

 

 
  

France — 2.1%

 
  32      

Air Liquide S.A.

    3,287   
  37      

Airbus Group SE

    2,174   
  7      

Arkema S.A.

    705   
  128      

AXA S.A.

    2,882   
  44      

BNP Paribas S.A.

    2,535   
  15      

Capgemini S.A.

    1,281   
  82      

Engie S.A.

    1,178   
  228      

Natixis S.A.

    1,154   
  15      

Pernod Ricard S.A.

    1,732   
  14      

Renault S.A.

    1,203   
  31      

Sanofi

    2,419   
  35      

Schneider Electric SE

    2,376   
  13      

Sodexo S.A.

    1,464   
  23      

Technip S.A.

    1,528   
  58      

TOTAL S.A.

    2,762   
  84      

Vivendi S.A.

    1,701   
    

 

 

 
       30,381   
    

 

 

 
  

Germany — 1.8%

 
  9      

adidas AG

    1,550   
  4      

Allianz SE

    591   
  3      

BASF SE

    240   
  34      

Bayer AG

    3,398   
  29      

Brenntag AG

    1,561   
  42      

Daimler AG

    3,012   
  6      

Deutsche Bank AG (a)

    86   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Germany — continued

 
  60      

Deutsche Post AG

    1,867   
  113      

Deutsche Telekom AG

    1,836   
  10      

HeidelbergCement AG

    967   
  96      

Infineon Technologies AG

    1,732   
  9      

Linde AG

    1,435   
  40      

SAP SE

    3,506   
  34      

Siemens AG

    3,880   
    

 

 

 
       25,661   
    

 

 

 
  

Hong Kong — 0.9%

 
  488      

AIA Group Ltd.

    3,069   
  170      

Cheung Kong Property Holdings Ltd.

    1,260   
  173      

CK Hutchison Holdings Ltd.

    2,141   
  16      

Hang Seng Bank Ltd.

    288   
  20      

Jardine Matheson Holdings Ltd.

    1,206   
  173      

Power Assets Holdings Ltd.

    1,619   
  262      

Sands China Ltd.

    1,135   
  501      

Sun Art Retail Group Ltd.

    352   
  158      

Wharf Holdings Ltd. (The)

    1,185   
    

 

 

 
       12,255   
    

 

 

 
  

India — 0.6%

 
  20      

Dr. Reddy’s Laboratories Ltd., ADR

    964   
  55      

HDFC Bank Ltd., ADR

    3,869   
  140      

Infosys Ltd., ADR

    2,133   
  55      

Mahindra & Mahindra Ltd., GDR

    1,081   
    

 

 

 
       8,047   
    

 

 

 
  

Indonesia — 0.2%

 
  1,225      

Astra International Tbk PT

    772   
  481      

Bank Central Asia Tbk PT

    571   
  671      

Bank Rakyat Indonesia Persero Tbk PT

    627   
  104      

Unilever Indonesia Tbk PT

    356   
    

 

 

 
       2,326   
    

 

 

 
  

Ireland — 0.1%

 
  15      

Ryanair Holdings plc, ADR (a)

    1,134   
    

 

 

 
  

Israel — 0.2%

 
  17      

Mobileye N.V. (a)

    614   
  52      

Teva Pharmaceutical Industries Ltd., ADR

    2,206   
    

 

 

 
       2,820   
    

 

 

 
  

Italy — 0.5%

 
  67      

Assicurazioni Generali S.p.A.

    864   
  59      

Atlantia S.p.A.

    1,448   
  458      

Enel S.p.A.

    1,968   
  1,813      

Telecom Italia S.p.A. (a)

    1,576   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

Italy — continued

 
  383      

UniCredit S.p.A.

    951   
    

 

 

 
       6,807   
    

 

 

 
  

Japan — 4.6%

 
  49      

Bridgestone Corp.

    1,825   
  10      

Central Japan Railway Co.

    1,717   
  18      

Daikin Industries Ltd.

    1,706   
  18      

Dentsu, Inc.

    902   
  77      

DMG Mori Co., Ltd.

    819   
  25      

East Japan Railway Co.

    2,174   
  18      

Electric Power Development Co., Ltd.

    426   
  225      

Fujitsu Ltd.

    1,335   
  372      

Hitachi Ltd.

    1,983   
  69      

Honda Motor Co., Ltd.

    2,071   
  80      

J. Front Retailing Co., Ltd.

    1,107   
  44      

Japan Airlines Co., Ltd.

    1,310   
  8      

Japan Tobacco, Inc.

    289   
  32      

JFE Holdings, Inc.

    462   
  255      

JX Holdings, Inc.

    1,008   
  225      

Kajima Corp.

    1,517   
  40      

KDDI Corp.

    1,204   
  1      

Keyence Corp.

    733   
  101      

Kirin Holdings Co., Ltd.

    1,728   
  70      

Kyowa Hakko Kirin Co., Ltd.

    1,062   
  47      

Kyushu Electric Power Co., Inc.

    423   
  33      

LIXIL Group Corp.

    765   
  21      

Mabuchi Motor Co., Ltd.

    1,238   
  99      

Mazda Motor Corp.

    1,637   
  65      

Medipal Holdings Corp.

    1,102   
  520      

Mitsubishi UFJ Financial Group, Inc.

    2,682   
  35      

Mitsui & Co., Ltd.

    481   
  75      

Mitsui Fudosan Co., Ltd.

    1,708   
  39      

MS&AD Insurance Group Holdings, Inc.

    1,149   
  28      

NGK Spark Plug Co., Ltd.

    554   
  16      

Nidec Corp.

    1,529   
  43      

Nippon Steel & Sumitomo Metal Corp.

    852   
  53      

Nippon Telegraph & Telephone Corp.

    2,328   
  20      

Nishi-Nippon Financial Holdings, Inc. (a)

    203   
  29      

Omron Corp.

    1,109   
  65      

ORIX Corp.

    1,036   
  35      

Otsuka Holdings Co., Ltd.

    1,532   
  57      

Seiko Epson Corp.

    1,153   
  57      

Seven & i Holdings Co., Ltd.

    2,396   
  22      

Shin-Etsu Chemical Co., Ltd.

    1,630   
  61      

Sony Corp.

    1,910   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         15   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Japan — continued

 
  195      

Sumitomo Bakelite Co., Ltd.

    1,059   
  64      

Sumitomo Mitsui Financial Group, Inc.

    2,229   
  42      

Sumitomo Realty & Development Co., Ltd.

    1,104   
  34      

Suntory Beverage & Food Ltd.

    1,504   
  20      

Suzuken Co., Ltd.

    642   
  78      

Takashimaya Co., Ltd.

    636   
  200      

Tokyo Gas Co., Ltd.

    908   
  69      

Toyota Motor Corp.

    3,979   
  75      

Yamato Holdings Co., Ltd.

    1,713   
    

 

 

 
       66,569   
    

 

 

 
  

Luxembourg — 0.1%

 
  221      

ArcelorMittal (a)

    1,491   
    

 

 

 
  

Malaysia — 0.0% (g)

 
  82      

Public Bank Bhd

    388   
    

 

 

 
  

Mexico — 0.1%

 
  83      

Grupo Financiero Banorte S.A.B. de C.V., Class O

    489   
  272      

Wal-Mart de Mexico S.A.B. de C.V.

    575   
    

 

 

 
       1,064   
    

 

 

 
  

Netherlands — 1.3%

 
  178      

Aegon N.V.

    771   
  20      

ASML Holding N.V.

    2,089   
  23      

Heineken N.V.

    1,883   
  195      

ING Groep N.V.

    2,558   
  330      

Koninklijke KPN N.V.

    1,076   
  72      

Koninklijke Philips N.V.

    2,179   
  35      

NN Group N.V.

    1,061   
  16      

NXP Semiconductors N.V. (a)

    1,650   
  96      

Royal Dutch Shell plc, Class A

    2,380   
  130      

Royal Dutch Shell plc, Class B

    3,354   
    

 

 

 
       19,001   
    

 

 

 
  

New Zealand — 0.1%

 
  385      

Spark New Zealand Ltd.

    1,006   
    

 

 

 
  

Peru — 0.0% (g)

 
  4      

Credicorp Ltd.

    617   
    

 

 

 
  

Portugal — 0.1%

 
  67      

Galp Energia SGPS S.A.

    908   
    

 

 

 
  

Russia — 0.2%

 
  20      

Lukoil PJSC, ADR

    991   
  24      

Magnit PJSC, GDR

    945   
  17      

Mobile TeleSystems PJSC, ADR

    132   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

Russia — continued

 
  104      

Sberbank of Russia PJSC, ADR

    984   
    

 

 

 
       3,052   
    

 

 

 
  

Singapore — 0.3%

 
  13      

Broadcom Ltd.

    2,284   
  187      

DBS Group Holdings Ltd.

    2,011   
  39      

Singapore Exchange Ltd.

    196   
    

 

 

 
       4,491   
    

 

 

 
  

South Africa — 0.5%

 
  24      

Aspen Pharmacare Holdings Ltd.

    516   
  49      

Bid Corp. Ltd.

    859   
  47      

Bidvest Group Ltd. (The)

    589   
  7      

Capitec Bank Holdings Ltd.

    345   
  223      

FirstRand Ltd.

    799   
  25      

Mr. Price Group Ltd.

    286   
  51      

MTN Group Ltd.

    444   
  56      

Remgro Ltd.

    936   
  56      

RMB Holdings Ltd.

    245   
  95      

Sanlam Ltd.

    458   
  38      

Shoprite Holdings Ltd.

    558   
  16      

Tiger Brands Ltd.

    467   
    

 

 

 
       6,502   
    

 

 

 
  

South Korea — 0.2%

 
  7      

Hyundai Motor Co.

    883   
  1      

Samsung Electronics Co., Ltd.

    2,131   
    

 

 

 
       3,014   
    

 

 

 
  

Spain — 0.4%

 
  317      

Banco Santander S.A.

    1,551   
  1,359      

Bankia S.A.

    1,194   
  221      

Iberdrola S.A.

    1,502   
  38      

Repsol S.A.

    537   
  148      

Telefonica S.A.

    1,502   
    

 

 

 
       6,286   
    

 

 

 
  

Sweden — 0.2%

 
  183      

Nordea Bank AB

    1,924   
  119      

Sandvik AB

    1,351   
    

 

 

 
       3,275   
    

 

 

 
  

Switzerland — 2.1%

 
  9      

Actelion Ltd. (a)

    1,326   
  27      

Allied World Assurance Co. Holdings AG

    1,159   
  13      

Chubb Ltd.

    1,683   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Switzerland — continued

 
  32      

Cie Financiere Richemont S.A.

    2,039   
  25      

Credit Suisse Group AG (a)

    345   
  25      

LafargeHolcim Ltd. (a)

    1,869   
  102      

Nestle S.A.

    7,388   
  39      

Novartis AG

    2,796   
  22      

Roche Holding AG

    5,084   
  2      

Syngenta AG (a)

    772   
  124      

UBS Group AG

    1,749   
  42      

Wolseley plc

    2,168   
  5      

Zurich Insurance Group AG (a)

    1,232   
    

 

 

 
       29,610   
    

 

 

 
  

Taiwan — 0.3%

 
  143      

Delta Electronics, Inc.

    752   
  113      

President Chain Store Corp.

    844   
  102      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    3,179   
    

 

 

 
       4,775   
    

 

 

 
  

Thailand — 0.1%

 
  47      

Siam Cement PCL (The)

    673   
  176      

Siam Commercial Bank PCL (The)

    720   
    

 

 

 
       1,393   
    

 

 

 
  

Turkey — 0.0% (g)

 
  65      

KOC Holding A.S.

    271   
  118      

Turkiye Garanti Bankasi A.S.

    320   
    

 

 

 
       591   
    

 

 

 
  

United Kingdom — 3.0%

 
  133      

3i Group plc

    1,088   
  35      

Associated British Foods plc

    1,045   
  38      

AstraZeneca plc

    2,132   
  260      

Aviva plc

    1,408   
  712      

Barclays plc

    1,650   
  118      

Barratt Developments plc

    653   
  388      

BP plc

    2,296   
  73      

British American Tobacco plc

    4,171   
  632      

Centrica plc

    1,656   
  165      

Debenhams plc

    108   
  247      

Dixons Carphone plc

    949   
  170      

GlaxoSmithKline plc

    3,353   
  556      

HSBC Holdings plc

    4,190   
  42      

InterContinental Hotels Group plc

    1,642   
  443      

ITV plc

    923   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

United Kingdom — continued

 
  2,660      

Lloyds Banking Group plc

    1,858   
  64      

Prudential plc

    1,051   
  24      

Reckitt Benckiser Group plc

    2,168   
  27      

Rio Tinto Ltd.

    1,124   
  17      

Rio Tinto plc

    588   
  127      

RSA Insurance Group plc

    859   
  196      

Standard Chartered plc (a)

    1,706   
  280      

Taylor Wimpey plc

    485   
  32      

Unilever N.V., CVA

    1,339   
  1,136      

Vodafone Group plc

    3,119   
  13      

Whitbread plc

    572   
  62      

WPP plc

    1,342   
    

 

 

 
       43,475   
    

 

 

 
  

United States — 22.0%

 
  49      

Acadia Healthcare Co., Inc. (a)

    1,759   
  11      

Acuity Brands, Inc.

    2,391   
  17      

Adobe Systems, Inc. (a)

    1,833   
  16      

AdvanSix, Inc. (a)

    254   
  27      

Aetna, Inc.

    2,916   
  9      

Affiliated Managers Group, Inc. (a)

    1,227   
  1      

Alleghany Corp. (a)

    371   
  14      

Alphabet, Inc., Class C (a)

    11,099   
  9      

Amazon.com, Inc. (a)

    6,825   
  28      

American Electric Power Co., Inc.

    1,819   
  58      

American Homes 4 Rent, Class A

    1,227   
  46      

American International Group, Inc.

    2,830   
  33      

Amphenol Corp., Class A

    2,160   
  10      

Amplify Snack Brands, Inc. (a)

    144   
  39      

Apple, Inc.

    4,468   
  29      

Applied Materials, Inc.

    852   
  34      

Aramark

    1,257   
  14      

Arista Networks, Inc. (a)

    1,215   
  17      

Arrow Electronics, Inc. (a)

    1,059   
  2      

AutoZone, Inc. (a)

    1,192   
  22      

Ball Corp.

    1,716   
  210      

Bank of America Corp.

    3,466   
  24      

Bed Bath & Beyond, Inc.

    964   
  31      

Best Buy Co., Inc.

    1,206   
  4      

BlackRock, Inc.

    1,482   
  17      

Brinker International, Inc.

    838   
  43      

Brixmor Property Group, Inc.

    1,091   
  50      

Capital One Financial Corp.

    3,706   
  30      

Carlisle Cos., Inc.

    3,139   
  9      

Casey’s General Stores, Inc.

    1,016   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         17   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

United States — continued

 
  75      

CBRE Group, Inc., Class A (a)

    1,932   
  20      

CBS Corp. (Non-Voting), Class B

    1,108   
  13      

Celgene Corp. (a)

    1,327   
  100      

Charles Schwab Corp. (The)

    3,185   
  6      

Charter Communications, Inc., Class A (a)

    1,463   
  6      

Cigna Corp.

    713   
  63      

Cisco Systems, Inc.

    1,942   
  37      

Citigroup, Inc.

    1,798   
  41      

Citizens Financial Group, Inc.

    1,091   
  76      

Clear Channel Outdoor Holdings, Inc., Class A

    438   
  43      

CNO Financial Group, Inc.

    645   
  16      

Columbia Sportswear Co.

    878   
  21      

Concho Resources, Inc. (a)

    2,606   
  25      

ConocoPhillips

    1,105   
  84      

Corning, Inc.

    1,900   
  6      

CoStar Group, Inc. (a)

    1,135   
  29      

Coty, Inc., Class A

    656   
  17      

CVS Health Corp.

    1,427   
  71      

Delta Air Lines, Inc.

    2,970   
  41      

DISH Network Corp., Class A (a)

    2,402   
  27      

Dollar General Corp.

    1,889   
  17      

Dover Corp.

    1,136   
  11      

Dr. Pepper Snapple Group, Inc.

    949   
  19      

Duke Energy Corp.

    1,536   
  16      

Eagle Materials, Inc.

    1,321   
  38      

East West Bancorp, Inc.

    1,490   
  12      

EastGroup Properties, Inc.

    787   
  18      

Edison International

    1,337   
  38      

Electronic Arts, Inc. (a)

    3,011   
  12      

Energizer Holdings, Inc.

    542   
  48      

Entercom Communications Corp., Class A

    628   
  45      

Envision Healthcare Holdings, Inc. (a)

    896   
  14      

EOG Resources, Inc.

    1,246   
  19      

EQT Corp.

    1,257   
  11      

Equifax, Inc.

    1,415   
  21      

Eversource Energy

    1,175   
  12      

Expedia, Inc.

    1,491   
  46      

Exxon Mobil Corp.

    3,806   
  62      

Facebook, Inc., Class A (a)

    8,097   
  46      

Fifth Third Bancorp

    998   
  13      

First Republic Bank

    948   
  32      

Fortune Brands Home & Security, Inc.

    1,753   
  39      

Gap, Inc. (The)

    1,066   
  21      

Genuine Parts Co.

    1,898   
  34      

Gilead Sciences, Inc.

    2,491   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 
  57      

GoDaddy, Inc., Class A (a)

    2,034   
  46      

Graphic Packaging Holding Co.

    571   
  17      

Guidewire Software, Inc. (a)

    949   
  21      

Hanesbrands, Inc.

    533   
  19      

Harris Corp.

    1,691   
  44      

Hartford Financial Services Group, Inc. (The)

    1,936   
  17      

HCA Holdings, Inc. (a)

    1,334   
  51      

HD Supply Holdings, Inc. (a)

    1,685   
  46      

Hewlett Packard Enterprise Co.

    1,030   
  142      

Hilton Worldwide Holdings, Inc.

    3,218   
  23      

HollyFrontier Corp.

    572   
  28      

Home Depot, Inc. (The)

    3,414   
  15      

Honeywell International, Inc.

    1,690   
  6      

Humana, Inc.

    1,112   
  12      

Illinois Tool Works, Inc.

    1,339   
  10      

Illumina, Inc. (a)

    1,338   
  6      

Intercept Pharmaceuticals, Inc. (a)

    800   
  29      

Invesco Ltd.

    808   
  24      

Johnson & Johnson

    2,821   
  52      

KapStone Paper & Packaging Corp.

    935   
  29      

Kimco Realty Corp.

    774   
  71      

Kinder Morgan, Inc.

    1,454   
  18      

Kite Pharma, Inc. (a)

    814   
  14      

KLA-Tencor Corp.

    1,030   
  33      

Kohl’s Corp.

    1,447   
  26      

Kroger Co. (The)

    818   
  68      

La Quinta Holdings, Inc. (a)

    681   
  2      

Lam Research Corp.

    180   
  18      

Lennox International, Inc.

    2,622   
  47      

LKQ Corp. (a)

    1,503   
  81      

Loews Corp.

    3,500   
  9      

M&T Bank Corp.

    1,075   
  33      

Marathon Petroleum Corp.

    1,431   
  7      

Marsh & McLennan Cos., Inc.

    466   
  7      

Martin Marietta Materials, Inc.

    1,353   
  29      

Mastercard, Inc., Class A

    3,083   
  51      

Media General, Inc. (a)

    856   
  38      

Merck & Co., Inc.

    2,251   
  107      

Microsoft Corp.

    6,414   
  9      

Middleby Corp. (The) (a)

    963   
  19      

Mohawk Industries, Inc. (a)

    3,425   
  8      

Monster Beverage Corp. (a)

    1,167   
  39      

Morgan Stanley

    1,294   
  9      

Nasdaq, Inc.

    589   
  2      

National Bank Holdings Corp., Class A

    48   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

United States — continued

 
  14      

Netflix, Inc. (a)

    1,700   
  15      

Newell Brands, Inc.

    699   
  10      

Nexstar Broadcasting Group, Inc., Class A

    479   
  16      

NextEra Energy, Inc.

    1,999   
  1      

NII Holdings, Inc. (a)

    2   
  16      

Northern Trust Corp.

    1,172   
  36      

Norwegian Cruise Line Holdings Ltd. (a)

    1,390   
  14      

NVIDIA Corp.

    973   
  17      

Old Dominion Freight Line, Inc. (a)

    1,240   
  40      

Outfront Media, Inc.

    855   
  8      

Palo Alto Networks, Inc. (a)

    1,280   
  75      

PayPal Holdings, Inc. (a)

    3,120   
  36      

PBF Energy, Inc., Class A

    792   
  1      

Penn Virginia Corp. (a)

    42   
  125      

Pfizer, Inc.

    3,958   
  19      

Phillips 66

    1,518   
  24      

PNC Financial Services Group, Inc. (The)

    2,302   
  15      

Post Holdings, Inc. (a)

    1,109   
  2      

Priceline Group, Inc. (The) (a)

    2,828   
  21      

Procter & Gamble Co. (The)

    1,856   
  10      

Prudential Financial, Inc.

    831   
  21      

QUALCOMM, Inc.

    1,413   
  55      

Rayonier, Inc.

    1,466   
  20      

Red Rock Resorts, Inc., Class A

    436   
  2      

Regeneron Pharmaceuticals, Inc. (a)

    820   
  30      

Revance Therapeutics, Inc. (a)

    403   
  19      

S&P Global, Inc.

    2,259   
  19      

salesforce.com, Inc. (a)

    1,453   
  12      

Sempra Energy

    1,254   
  20      

ServiceNow, Inc. (a)

    1,755   
  43      

Shire plc

    2,454   
  16      

Signature Bank (a)

    1,979   
  19      

Sinclair Broadcast Group, Inc., Class A

    465   
  46      

Southwest Airlines Co.

    1,855   
  11      

Spark Therapeutics, Inc. (a)

    535   
  24      

Splunk, Inc. (a)

    1,471   
  34      

Sprouts Farmers Market, Inc. (a)

    747   
  15      

Stanley Black & Decker, Inc.

    1,720   
  37      

Starbucks Corp.

    1,966   
  44      

SunTrust Banks, Inc.

    1,978   
  26      

T. Rowe Price Group, Inc.

    1,640   
  17      

TCEH Corp. (a)

    260   
  5      

Tesla Motors, Inc. (a)

    955   
  32      

Texas Instruments, Inc.

    2,266   
  65      

TherapeuticsMD, Inc. (a)

    374   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 
  21      

Tiffany & Co.

    1,528   
  10      

Time Warner, Inc.

    884   
  23      

T-Mobile U.S., Inc. (a)

    1,138   
  15      

Travelers Cos., Inc. (The)

    1,642   
  14      

TreeHouse Foods, Inc. (a)

    1,231   
  24      

Tyson Foods, Inc., Class A

    1,728   
  38      

U.S. Bancorp

    1,705   
  5      

Ulta Salon Cosmetics & Fragrance, Inc. (a)

    1,170   
  18      

United Technologies Corp.

    1,871   
  45      

UnitedHealth Group, Inc.

    6,291   
  34      

Unum Group

    1,198   
  36      

Vantiv, Inc., Class A (a)

    2,089   
  28      

Veeva Systems, Inc., Class A (a)

    1,083   
  30      

Verizon Communications, Inc.

    1,434   
  16      

Vertex Pharmaceuticals, Inc. (a)

    1,179   
  39      

Visa, Inc., Class A

    3,258   
  12      

Vulcan Materials Co.

    1,345   
  2      

W.W. Grainger, Inc.

    453   
  11      

WABCO Holdings, Inc. (a)

    1,113   
  20      

Wayfair, Inc., Class A (a)

    655   
  131      

Wells Fargo & Co.

    6,034   
  38      

WestRock Co.

    1,776   
  23      

Weyerhaeuser Co.

    697   
  10      

Workday, Inc., Class A (a)

    863   
  44      

Xcel Energy, Inc.

    1,841   
    

 

 

 
       314,729   
    

 

 

 
  

Total Common Stocks
(Cost $617,491)

    648,545   
    

 

 

 
PRINCIPAL
AMOUNT
              

 

Convertible Bonds — 0.0% (g)

 

  

United States — 0.0% (g)

 
  60      

Liberty Interactive LLC, 3.750%, 02/15/30

    36   
  125      

NRG Yield, Inc., 3.250%, 06/01/20 (e)

    120   
    

 

 

 
  

Total Convertible Bonds
(Cost $147)

    156   
    

 

 

 

 

Corporate Bonds — 27.4%

  

  

Australia — 0.0% (g)

 
  192      

BHP Billiton Finance USA Ltd., 5.000%, 09/30/43

    219   
    

 

 

 
  

Bahamas — 0.0% (g)

 
  262      

Ultrapetrol Bahamas Ltd., 8.875%, 06/15/21 (d)

    50   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         19   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Bermuda — 0.2%

 
  

Aircastle Ltd.,

 
  255      

5.125%, 03/15/21

    271   
  54      

5.500%, 02/15/22

    58   
  161      

7.625%, 04/15/20

    183   
  825      

IHS Markit Ltd., 5.000%, 11/01/22 (e)

    872   
  

Weatherford International Ltd.,

 
  111      

4.500%, 04/15/22

    100   
  43      

5.950%, 04/15/42

    33   
  248      

6.500%, 08/01/36

    196   
  52      

6.750%, 09/15/40

    41   
  369      

7.000%, 03/15/38

    304   
  68      

7.750%, 06/15/21

    69   
  67      

8.250%, 06/15/23

    69   
    

 

 

 
       2,196   
    

 

 

 
  

Canada — 0.8%

 
  

1011778 B.C. ULC/New Red Finance, Inc.,

 
  189      

4.625%, 01/15/22 (e)

    195   
  440      

6.000%, 04/01/22 (e)

    460   
  285      

ATS Automation Tooling Systems, Inc., 6.500%, 06/15/23 (e)

    295   
  80      

Baytex Energy Corp., 5.625%, 06/01/24 (e)

    64   
  

Bombardier, Inc.,

 
  6      

4.750%, 04/15/19 (e)

    6   
  30      

5.500%, 09/15/18 (e)

    31   
  5      

6.125%, 01/15/23 (e)

    4   
  329      

Cascades, Inc., 5.750%, 07/15/23 (e)

    332   
  

Cenovus Energy, Inc.,

 
  52      

4.450%, 09/15/42

    46   
  149      

6.750%, 11/15/39

    166   
  

Concordia International Corp.,

 
  949      

7.000%, 04/15/23 (e)

    546   
  109      

9.000%, 04/01/22 (e)

    105   
  160      

9.500%, 10/21/22 (e)

    97   
  20      

Encana Corp., 3.900%, 11/15/21

    20   
  550      

Garda World Security Corp., 7.250%, 11/15/21 (e)

    525   
  160      

HudBay Minerals, Inc., 9.500%, 10/01/20

    164   
  

Lundin Mining Corp.,

 
  270      

7.500%, 11/01/20 (e)

    287   
  175      

7.875%, 11/01/22 (e)

    189   
  250      

Masonite International Corp., 5.625%, 03/15/23 (e)

    259   
  267      

Mattamy Group Corp., 6.500%, 11/15/20 (e)

    266   
  

MEG Energy Corp.,

 
  380      

6.375%, 01/30/23 (e)

    314   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Canada — continued

 
  434      

6.500%, 03/15/21 (e)

    374   
  228      

7.000%, 03/31/24 (e)

    186   
  

New Gold, Inc.,

 
  247      

6.250%, 11/15/22 (e)

    250   
  115      

7.000%, 04/15/20 (e)

    118   
  

NOVA Chemicals Corp.,

 
  54      

5.000%, 05/01/25 (e)

    54   
  319      

5.250%, 08/01/23 (e)

    325   
  

Open Text Corp.,

 
  323      

5.625%, 01/15/23 (e)

    335   
  156      

5.875%, 06/01/26 (e)

    166   
  

Precision Drilling Corp.,

 
  53      

5.250%, 11/15/24

    47   
  140      

6.500%, 12/15/21

    135   
  105      

Quebecor Media, Inc., 5.750%, 01/15/23

    110   
  

Teck Resources Ltd.,

 
  160      

3.000%, 03/01/19

    159   
  233      

4.750%, 01/15/22

    232   
  180      

5.400%, 02/01/43

    163   
  330      

6.000%, 08/15/40

    318   
  165      

6.125%, 10/01/35

    163   
  45      

8.000%, 06/01/21 (e)

    49   
  169      

8.500%, 06/01/24 (e)

    196   
  73      

Trinidad Drilling Ltd., 7.875%, 01/15/19 (e)

    72   
  

Valeant Pharmaceuticals International, Inc.,

 
  427      

5.375%, 03/15/20 (e)

    363   
  366      

5.625%, 12/01/21 (e)

    296   
  603      

5.875%, 05/15/23 (e)

    464   
  586      

6.125%, 04/15/25 (e)

    451   
  280      

6.375%, 10/15/20 (e)

    244   
  362      

6.750%, 08/15/21 (e)

    308   
  340      

7.000%, 10/01/20 (e)

    299   
  135      

7.250%, 07/15/22 (e)

    115   
  354      

7.500%, 07/15/21 (e)

    312   
  482      

Videotron Ltd., 5.375%, 06/15/24 (e)

    504   
    

 

 

 
       11,179   
    

 

 

 
  

Cayman Islands — 0.1%

 
  176      

Shelf Drilling Holdings Ltd., 8.625%, 11/01/18 (e)

    143   
  

Transocean, Inc.,

 
  119      

5.550%, 10/15/22

    102   
  188      

6.800%, 03/15/38

    123   
  1,223      

9.000%, 07/15/23 (e)

    1,195   
  300      

UPCB Finance IV Ltd., 5.375%, 01/15/25 (e)

    305   
    

 

 

 
       1,868   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Finland — 0.0% (g)

 
  501      

Nokia OYJ, 6.625%, 05/15/39

    541   
    

 

 

 
  

France — 1.3%

 
  

Areva S.A.,

 
  EUR 300      

4.375%, 11/06/19

    335   
  EUR 1,700      

4.875%, 09/23/24

    1,875   
  500      

BiSoho SAS, Reg. S, 5.875%, 05/01/23

    587   
  EUR 2,100      

Casino Guichard Perrachon S.A., Reg. S, 3.248%, 03/07/24

    2,499   
  EUR 800      

Crown European Holdings S.A., Reg. S, 4.000%, 07/15/22

    962   
  EUR 450      

Elis S.A., Reg. S, 3.000%, 04/30/22

    504   
  EUR 2,100      

Europcar Groupe S.A., Reg. S, 5.750%, 06/15/22

    2,407   
  EUR 300      

Groupe Fnac S.A., 3.250%, 09/30/23 (e)

    336   
  EUR 300      

Holdikks SAS, Reg. S, 6.750%, 07/15/21

    243   
  EUR 650      

Italcementi Finance S.A., Reg. S, 6.625%, 03/19/20

    839   
  EUR 1,100      

Labeyrie Fine Foods SAS, Reg. S, 5.625%, 03/15/21

    1,254   
  EUR 1,000      

Peugeot S.A., Reg. S, 2.375%, 04/14/23

    1,153   
  EUR 1,000      

Rexel S.A., Reg. S, 3.500%, 06/15/23

    1,125   
  

SFR Group S.A.,

 
  800      

6.000%, 05/15/22 (e)

    818   
  200      

6.250%, 05/15/24 (e)

    200   
  334      

7.375%, 05/01/26 (e)

    337   
  EUR 1,550      

Reg. S, 5.375%, 05/15/22

    1,774   
  EUR 400      

Reg. S, 5.625%, 05/15/24

    461   
  EUR 300      

Vallourec S.A., Reg. S, 2.250%, 09/30/24

    263   
  EUR 1,100      

Verallia Packaging SASU, Reg. S, 5.125%, 08/01/22

    1,267   
    

 

 

 
       19,239   
    

 

 

 
  

Germany — 1.0%

 
  EUR 1,500      

CeramTec Group GmbH, Reg. S, 8.250%, 08/15/21

    1,745   
  EUR 800      

Douglas GmbH, Reg. S, 6.250%, 07/15/22

    957   
  EUR 600      

HeidelbergCement AG, Reg. S, 2.250%, 03/30/23

    690   
  EUR 800      

HP Pelzer Holding GmbH, Reg. S, 7.500%, 07/15/21

    939   
  

IHO Verwaltungs GmbH,

 
  200      

4.125% (cash), 09/15/21 (e) (v)

    205   
  200      

4.500% (cash), 09/15/23 (e) (v)

    203   
  EUR 500      

Reg. S, 3.250% (cash), 09/15/23 (v)

    557   
  EUR 600      

Pfleiderer GmbH, Reg. S, 7.875%, 08/01/19

    684   
  EUR 850      

ProGroup AG, Reg. S, 5.125%, 05/01/22

    997   
  EUR 1,300      

ThyssenKrupp AG, Reg. S, 1.750%, 11/25/20

    1,459   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Germany — continued

 
  EUR 900      

Trionista TopCo GmbH, Reg. S, 6.875%, 04/30/21

    1,040   
  400      

Unitymedia GmbH, 6.125%, 01/15/25 (e)

    417   
  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH,

 
  535      

5.500%, 01/15/23 (e)

    555   
  EUR 2,400      

Reg. S, 4.000%, 01/15/25

    2,720   
  EUR 770      

Reg. S, 5.750%, 01/15/23

    898   
  EUR 800      

WEPA Hygieneprodukte GmbH, Reg. S, 3.750%, 05/15/24

    915   
    

 

 

 
       14,981   
    

 

 

 
  

Ireland — 0.4%

 
  

Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc.,

 
  200      

6.000%, 06/30/21 (e)

    205   
  235      

7.250%, 05/15/24 (e)

    248   
  EUR 200      

Reg. S, 4.125%, 05/15/23

    230   
  EUR 1,464      

Reg. S, 6.750%, 05/15/24

    1,712   
  EUR 900      

Bank of Ireland, Reg. S, VAR, 4.250%, 06/11/24

    993   
  EUR 961      

eircom Finance DAC, Reg. S, 4.500%, 05/31/22

    1,087   
  400      

Endo Ltd./Endo Finance LLC/Endo Finco, Inc., 6.000%, 07/15/23 (e)

    346   
  EUR 1,300      

Smurfit Kappa Acquisitions, Reg. S, 3.250%, 06/01/21

    1,548   
    

 

 

 
       6,369   
    

 

 

 
  

Italy — 0.7%

 
  1,000      

Buzzi Unicem S.p.A., Reg. S, 2.125%, 04/28/23

    1,118   
  EUR 1,200      

Enel S.p.A., Reg. S, VAR, 5.000%, 01/15/75

    1,405   
  EUR 2,000      

Leonardo-Finmeccanica S.p.A., 4.500%, 01/19/21

    2,454   
  1,000      

LKQ Italia Bondco SpA, Reg. S, 3.875%, 04/01/24

    1,168   
  EUR 2,950      

Telecom Italia S.p.A., Reg. S, 3.250%, 01/16/23

    3,407   
    

 

 

 
       9,552   
    

 

 

 
  

Japan — 0.2%

 
  

SoftBank Group Corp.,

 
  400      

4.500%, 04/15/20 (e)

    411   
  EUR 900      

Reg. S, 4.000%, 07/30/22

    1,084   
  EUR 700      

Reg. S, 4.750%, 07/30/25

    846   
    

 

 

 
       2,341   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         21   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Liberia — 0.0% (g)

 
  

Royal Caribbean Cruises Ltd.,

 
  15      

5.250%, 11/15/22

    17   
  1      

7.500%, 10/15/27

    1   
    

 

 

 
       18   
    

 

 

 
  

Luxembourg — 2.5%

 
  510      

Actavis Funding SCS, 4.750%, 03/15/45

    535   
  

Altice Financing S.A.,

 
  400      

6.500%, 01/15/22 (e)

    420   
  300      

6.625%, 02/15/23 (e)

    309   
  450      

7.500%, 05/15/26 (e)

    465   
  EUR 900      

Reg. S, 5.250%, 02/15/23

    1,031   
  EUR 600      

Altice Finco S.A., Reg. S, 9.000%, 06/15/23

    744   
  

Altice Luxembourg S.A.,

 
  200      

7.625%, 02/15/25 (e)

    208   
  400      

7.750%, 05/15/22 (e)

    422   
  EUR 500      

Reg. S, 6.250%, 02/15/25

    566   
  EUR 2,250      

Reg. S, 7.250%, 05/15/22

    2,618   
  

ArcelorMittal,

 
  250      

6.125%, 06/01/25

    274   
  1,734      

7.250%, 02/25/22

    1,968   
  153      

8.000%, 10/15/39

    164   
  EUR 1,200      

Reg. S, 3.125%, 01/14/22

    1,349   
  EUR 1,600      

Auris Luxembourg II S.A., Reg. S, 8.000%, 01/15/23

    1,903   
  526      

Camelot Finance S.A., 7.875%, 10/15/24 (e)

    538   
  161      

Capsugel S.A., 7.000% (cash), 05/15/19 (e) (v)

    161   
  EUR 1,000      

Cirsa Funding Luxembourg S.A., Reg. S, 5.750%, 05/15/21

    1,158   
  600      

ConvaTec Healthcare E S.A., 10.500%, 12/15/18 (e)

    607   
  EUR 1,300      

Dufry Finance SCA, Reg. S, 4.500%, 08/01/23

    1,523   
  EUR 683      

eDreams ODIGEO S.A., 8.500%, 08/01/21 (e)

    767   
  EUR 800      

Galapagos S.A., Reg. S, 5.375%, 06/15/21

    847   
  GBP 417      

Garfunkelux Holdco 2 S.A., Reg. S, 11.000%, 11/01/23

    504   
  EUR 400      

Garfunkelux Holdco 3 S.A., Reg. S, 7.500%, 08/01/22

    443   
  EUR 832      

Gestamp Funding Luxembourg S.A., Reg. S, 3.500%, 05/15/23

    951   
  EUR 600      

HeidelbergCement Finance Luxembourg S.A., Reg. S, 7.500%, 04/03/20

    806   
  

Intelsat Jackson Holdings S.A.,

 
  430      

5.500%, 08/01/23

    285   
  223      

7.250%, 04/01/19

    178   
  355      

7.250%, 10/15/20

    266   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Luxembourg — continued

 
  535      

8.000%, 02/15/24 (e)

    542   
  31      

Intelsat Luxembourg S.A., 7.750%, 06/01/21

    10   
  63      

Mallinckrodt International Finance S.A., 4.750%, 04/15/23

    55   
  

Mallinckrodt International Finance S.A./Mallinckrodt CB LLC,

 
  20      

4.875%, 04/15/20 (e)

    20   
  90      

5.500%, 04/15/25 (e)

    83   
  916      

5.625%, 10/15/23 (e)

    861   
  183      

5.750%, 08/01/22 (e)

    172   
  EUR 750      

Matterhorn Telecom Holding S.A., Reg. S, 4.875%, 05/01/23

    814   
  EUR 450      

Matterhorn Telecom S.A., Reg. S, 3.875%, 05/01/22

    496   
  EUR 700      

Monitchem HoldCo 2 S.A., Reg. S, 6.875%, 06/15/22

    667   
  50      

Nielsen Co. Luxembourg SARL (The), 5.500%, 10/01/21 (e)

    52   
  EUR 800      

Picard Bondco S.A., Reg. S, 7.750%, 02/01/20

    927   
  EUR 2,000      

SIG Combibloc Holdings SCA, Reg. S, 7.750%, 02/15/23

    2,319   
  EUR 900      

Swissport Investments S.A., Reg. S, 6.750%, 12/15/21

    1,047   
  EUR 1,600      

Telenet Finance V Luxembourg S.C.A., Reg. S, 6.250%, 08/15/22

    1,866   
  EUR 550      

Telenet Finance VI Luxembourg S.C.A., Reg. S, 4.875%, 07/15/27

    630   
  EUR 950      

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., Reg. S, 6.375%, 05/01/22

    1,106   
  

Wind Acquisition Finance S.A.,

 
  200      

4.750%, 07/15/20 (e)

    201   
  EUR 1,850      

Reg. S, 7.000%, 04/23/21

    2,115   
    

 

 

 
       35,993   
    

 

 

 
  

Mexico — 0.1%

  

  

Cemex S.A.B. de C.V.,

 
  400      

5.700%, 01/11/25 (e)

    407   
  1,340      

6.125%, 05/05/25 (e)

    1,380   
  200      

7.750%, 04/16/26 (e)

    223   
    

 

 

 
       2,010   
    

 

 

 
  

Netherlands — 1.3%

  

  257      

Alcoa Nederland Holding B.V., 6.750%, 09/30/24 (e)

    266   
  400      

Bluewater Holding B.V., 10.000%, 12/10/19 (e)

    204   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Netherlands — continued

  

  

Fiat Chrysler Automobiles N.V.,

 
  437      

4.500%, 04/15/20

    448   
  663      

5.250%, 04/15/23

    676   
  EUR 2,100      

Reg. S, 3.750%, 03/29/24

    2,383   
  EUR 1,000      

Grupo Antolin Dutch B.V., Reg. S, 5.125%, 06/30/22

    1,172   
  525      

Mylan N.V., 5.250%, 06/15/46 (e)

    536   
  

NXP B.V./NXP Funding LLC,

 
  200      

4.125%, 06/15/20 (e)

    211   
  355      

4.125%, 06/01/21 (e)

    379   
  400      

4.625%, 06/15/22 (e)

    436   
  200      

5.750%, 02/15/21 (e)

    208   
  EUR 600      

PortAventura Entertainment Barcelona B.V., Reg. S, 7.250%, 12/01/20

    684   
  EUR 1,100      

Repsol International Finance B.V., Reg. S, VAR, 4.500%, 03/25/75

    1,121   
  EUR 3,400      

Schaeffler Finance B.V., Reg. S, 3.250%, 05/15/25

    4,012   
  

Sensata Technologies B.V.,

 
  388      

4.875%, 10/15/23 (e)

    402   
  38      

5.000%, 10/01/25 (e)

    39   
  7      

5.625%, 11/01/24 (e)

    8   
  565      

Shell International Finance B.V., 3.750%, 09/12/46

    541   
  435      

Teva Pharmaceutical Finance Netherlands III B.V., 4.100%, 10/01/46

    404   
  EUR 2,000      

UPC Holding B.V., Reg. S, 6.375%, 09/15/22

    2,333   
  

Ziggo Bond Finance B.V.,

 
  200      

5.875%, 01/15/25 (e)

    199   
  EUR 700      

Reg. S, 4.625%, 01/15/25

    778   
  485      

Ziggo Secured Finance B.V., 5.500%, 01/15/27 (e)

    476   
    

 

 

 
       17,916   
    

 

 

 
  

Norway — 0.1%

  

  EUR 600      

Lock A.S., Reg. S, 7.000%, 08/15/21

    685   
    

 

 

 
  

Portugal — 0.1%

  

  EUR 700      

EDP—Energias de Portugal S.A., Reg. S, VAR, 5.375%, 09/16/75

    806   
    

 

 

 
  

Singapore — 0.0% (g)

 

  

Flex Ltd.,

 
  15      

4.625%, 02/15/20

    16   
  195      

5.000%, 02/15/23

    211   
    

 

 

 
       227   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Spain — 0.1%

  

  EUR 1,150      

Campofrio Food Group S.A., Reg. S, 3.375%, 03/15/22

    1,307   
    

 

 

 
  

Sweden — 0.3%

  

  EUR 1,700      

Verisure Holding AB, Reg. S, 6.000%, 11/01/22

    2,029   
  

Volvo Car AB,

 
  EUR 650      

Reg. S, 3.250%, 05/18/21

    760   
  EUR 1,250      

Volvo Treasury AB, Reg. S, VAR, 4.200%, 06/10/75

    1,439   
    

 

 

 
       4,228   
    

 

 

 
  

United Kingdom — 2.0%

  

  

Adient Global Holdings Ltd.,

 
  EUR 383      

3.500%, 08/15/24 (e)

    418   
  EUR 400      

Reg. S, 3.500%, 08/15/24

    436   
  EUR 950      

Alliance Automotive Finance plc, Reg. S, 6.250%, 12/01/21

    1,111   
  

Anglo American Capital plc,

 
  554      

4.125%, 09/27/22 (e)

    548   
  425      

4.450%, 09/27/20 (e)

    434   
  200      

4.875%, 05/14/25 (e)

    203   
  EUR 1,100      

Reg. S, 2.500%, 04/29/21

    1,232   
  EUR 490      

Reg. S, 2.750%, 06/07/19

    562   
  EUR 800      

Reg. S, 3.250%, 04/03/23

    911   
  EUR 900      

Reg. S, 3.500%, 03/28/22

    1,047   
  GBP 500      

Boparan Finance plc, Reg. S, 5.250%, 07/15/19

    598   
  

Ensco plc,

 
  52      

4.500%, 10/01/24

    42   
  105      

4.700%, 03/15/21

    97   
  GBP 400      

Galaxy Bidco Ltd., Reg. S, 6.375%, 11/15/20

    501   
  GBP 250      

Galaxy Finco Ltd., Reg. S, 7.875%, 11/15/21

    300   
  GBP 400      

Iceland Bondco plc, Reg. S, 6.250%, 07/15/21

    470   
  EUR 1,150      

Ineos Finance plc, Reg. S, 4.000%, 05/01/23

    1,287   
  241      

Inmarsat Finance plc, 6.500%, 10/01/24 (e)

    244   
  

International Game Technology plc,

 
  375      

6.250%, 02/15/22 (e)

    398   
  400      

6.500%, 02/15/25 (e)

    434   
  EUR 1,650      

Reg. S, 4.750%, 02/15/23

    1,963   
  

Jaguar Land Rover Automotive plc,

 
  200      

4.125%, 12/15/18 (e)

    203   
  409      

4.250%, 11/15/19 (e)

    423   
  537      

5.625%, 02/01/23 (e)

    556   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         23   


Table of Contents

 

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United Kingdom — continued

  

  GBP 642      

Reg. S, 3.875%, 03/01/23

    800   
  GBP 258      

Reg. S, 5.000%, 02/15/22

    342   
  EUR 986      

Lincoln Finance Ltd., Reg. S, 6.875%, 04/15/21

    1,176   
  EUR 550      

Merlin Entertainments plc, Reg. S, 2.750%, 03/15/22

    629   
  GBP 193      

New Look Secured Issuer plc, Reg. S, 6.500%, 07/01/22

    212   
  EUR 400      

OTE plc, Reg. S, 7.875%, 02/07/18

    469   
  GBP 1,100      

Pizzaexpress Financing 2 plc, Reg. S, 6.625%, 08/01/21

    1,323   
  

Royal Bank of Scotland Group plc,

 
  862      

6.100%, 06/10/23

    894   
  1,185      

6.125%, 12/15/22

    1,251   
  200      

Sensata Technologies UK Financing Co. plc, 6.250%, 02/15/26 (e)

    215   
  EUR 1,500      

Synlab Unsecured Bondco plc, Reg. S, 8.250%, 07/01/23

    1,774   
  EUR 1,700      

Tesco Corporate Treasury Services plc, Reg. S, 2.500%, 07/01/24

    1,904   
  GBP 500      

Thomas Cook Group plc, 7.750%, 06/22/17

    633   
  

Virgin Media Finance plc,

 
  600      

6.375%, 04/15/23 (e)

    612   
  EUR 850      

Reg. S, 4.500%, 01/15/25

    925   
  EUR 900      

Worldpay Finance plc, Reg. S, 3.750%, 11/15/22

    1,065   
    

 

 

 
       28,642   
    

 

 

 
  

United States — 16.2%

  

  485      

21st Century Fox America, Inc., 4.950%, 10/15/45

    533   
  530      

AbbVie, Inc., 4.450%, 05/14/46

    527   
  

Acadia Healthcare Co., Inc.,

 
  25      

5.125%, 07/01/22

    25   
  555      

5.625%, 02/15/23

    556   
  40      

6.125%, 03/15/21

    41   
  115      

6.500%, 03/01/24

    118   
  303      

ACE Cash Express, Inc., 11.000%, 02/01/19 (e)

    171   
  990      

ADT Corp. (The), 4.125%, 06/15/23

    968   
  153      

Advanced Micro Devices, Inc., 7.000%, 07/01/24

    152   
  

AECOM,

 
  313      

5.750%, 10/15/22

    329   
  785      

5.875%, 10/15/24

    829   
  

AES Corp.,

 
  1,000      

5.500%, 04/15/25

    1,010   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  188      

6.000%, 05/15/26

    194   
  7      

VAR, 3.842%, 06/01/19

    7   
  391      

Ahern Rentals, Inc., 7.375%, 05/15/23 (e)

    256   
  375      

AK Steel Corp., 7.500%, 07/15/23

    404   
  

Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,

 
  285      

5.750%, 03/15/25 (e)

    281   
  651      

6.625%, 06/15/24 (e)

    676   
  490      

Alcatel-Lucent USA, Inc., 6.450%, 03/15/29

    540   
  

Alere, Inc.,

 
  190      

6.375%, 07/01/23 (e)

    198   
  292      

6.500%, 06/15/20

    296   
  230      

Aleris International, Inc., 9.500%, 04/01/21 (e)

    247   
  

Alliance Data Systems Corp.,

 
  218      

5.375%, 08/01/22 (e)

    210   
  120      

5.875%, 11/01/21 (e)

    121   
  

Ally Financial, Inc.,

 
  319      

3.250%, 11/05/18

    319   
  102      

3.600%, 05/21/18

    103   
  670      

4.125%, 03/30/20

    681   
  566      

4.125%, 02/13/22

    566   
  473      

4.625%, 05/19/22

    484   
  25      

4.625%, 03/30/25

    25   
  710      

5.125%, 09/30/24

    744   
  400      

5.750%, 11/20/25

    409   
  23      

6.250%, 12/01/17

    24   
  448      

8.000%, 11/01/31

    535   
  

Altice U.S. Finance I Corp.,

 
  605      

5.375%, 07/15/23 (e)

    622   
  457      

5.500%, 05/15/26 (e)

    466   
  260      

Altria Group, Inc., 3.875%, 09/16/46

    256   
  170      

AMC Entertainment Holdings, Inc., 5.875%, 11/15/26 (e)

    171   
  

AMC Entertainment, Inc.,

 
  200      

5.750%, 06/15/25

    200   
  208      

5.875%, 02/15/22

    216   
  

AMC Networks, Inc.,

 
  300      

4.750%, 12/15/22

    306   
  430      

5.000%, 04/01/24

    435   
  325      

American Airlines Group, Inc., 5.500%, 10/01/19 (e)

    336   
  550      

American Axle & Manufacturing, Inc., 6.625%, 10/15/22

    579   
  525      

American International Group, Inc., 4.800%, 07/10/45

    559   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  95      

AmeriGas Finance LLC/AmeriGas Finance Corp., 7.000%, 05/20/22

    100   
  

AmeriGas Partners LP/AmeriGas Finance Corp.,

 
  277      

5.625%, 05/20/24

    290   
  127      

5.875%, 08/20/26

    133   
  525      

Amgen, Inc., 4.400%, 05/01/45

    534   
  164      

AMN Healthcare, Inc., 5.125%, 10/01/24 (e)

    166   
  

Amsurg Corp.,

 
  55      

5.625%, 11/30/20

    56   
  450      

5.625%, 07/15/22

    459   
  475      

Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46

    545   
  425      

Anixter, Inc., 5.500%, 03/01/23

    447   
  

Antero Resources Corp.,

 
  1,199      

5.125%, 12/01/22

    1,208   
  387      

5.375%, 11/01/21

    391   
  100      

6.000%, 12/01/20

    103   
  835      

Apple, Inc., 3.850%, 08/04/46

    815   
  300      

Aramark Services, Inc., 5.125%, 01/15/24

    314   
  45      

Archrock Partners LP/Archrock Partners Finance Corp., 6.000%, 10/01/22

    42   
  

Arconic, Inc.,

 
  932      

5.125%, 10/01/24

    972   
  220      

5.400%, 04/15/21

    234   
  125      

5.900%, 02/01/27

    132   
  100      

6.150%, 08/15/20

    109   
  5      

6.750%, 07/15/18

    5   
  120      

6.750%, 01/15/28

    131   
  400      

Ashtead Capital, Inc., 5.625%, 10/01/24 (e)

    421   
  850      

AT&T, Inc., 4.500%, 03/09/48 (e)

    801   
  

Avaya, Inc.,

 
  740      

7.000%, 04/01/19 (e)

    601   
  287      

10.500%, 03/01/21

    95   
  

Axalta Coating Systems LLC,

 
  160      

4.875%, 08/15/24 (e)

    163   
  EUR 500      

Reg. S, 4.250%, 08/15/24

    568   
  165      

B&G Foods, Inc., 4.625%, 06/01/21

    170   
  

Ball Corp.,

 
  100      

4.000%, 11/15/23

    101   
  215      

4.375%, 12/15/20

    229   
  EUR 850      

4.375%, 12/15/23

    1,049   
  150      

5.000%, 03/15/22

    161   
  110      

5.250%, 07/01/25

    117   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

Bank of America Corp.,

 
  405      

3.500%, 04/19/26

    415   
  360      

4.875%, 04/01/44

    407   
  

Belden, Inc.,

 
  3      

5.250%, 07/15/24 (e)

    3   
  226      

5.500%, 09/01/22 (e)

    231   
  570      

Berkshire Hathaway Energy Co., 4.500%, 02/01/45

    628   
  

Berry Plastics Corp.,

 
  230      

5.125%, 07/15/23

    234   
  190      

5.500%, 05/15/22

    198   
  

Blue Cube Spinco, Inc.,

 
  615      

9.750%, 10/15/23

    722   
  864      

10.000%, 10/15/25

    1,037   
  135      

Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (e)

    132   
  359      

BlueLine Rental Finance Corp., 7.000%, 02/01/19 (e)

    313   
  

Boardwalk Pipelines LP,

 
  17      

4.950%, 12/15/24

    18   
  322      

5.950%, 06/01/26

    357   
  

Boyd Gaming Corp.,

 
  120      

6.375%, 04/01/26 (e)

    128   
  342      

6.875%, 05/15/23

    366   
  185      

Briggs & Stratton Corp., 6.875%, 12/15/20

    205   
  923      

Bumble Bee Holdings, Inc., 9.000%, 12/15/17 (e)

    922   
  

Cablevision Systems Corp.,

 
  662      

8.000%, 04/15/20

    702   
  74      

8.625%, 09/15/17

    77   
  497      

CalAtlantic Group, Inc., 5.875%, 11/15/24

    531   
  652      

Caleres, Inc., 6.250%, 08/15/23

    686   
  

California Resources Corp.,

 
  3      

5.500%, 09/15/21

    2   
  256      

8.000%, 12/15/22 (e)

    173   
  137      

Callon Petroleum Co., 6.125%, 10/01/24 (e)

    141   
  

Calpine Corp.,

 
  370      

5.250%, 06/01/26 (e)

    375   
  4      

5.375%, 01/15/23

    4   
  20      

5.500%, 02/01/24

    19   
  7      

5.750%, 01/15/25

    7   
  754      

5.875%, 01/15/24 (e)

    794   
  500      

6.000%, 01/15/22 (e)

    523   
  517      

Casella Waste Systems, Inc., 7.750%, 02/15/19

    528   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         25   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  345      

CBS Corp., 4.600%, 01/15/45

    350   
  76      

CCM Merger, Inc., 9.125%, 05/01/19 (e)

    79   
  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 
  480      

5.500%, 05/01/26 (e)

    493   
  30      

5.750%, 09/01/23

    32   
  859      

5.750%, 02/15/26 (e)

    895   
  1,836      

5.875%, 04/01/24 (e)

    1,937   
  

CDW LLC/CDW Finance Corp.,

 
  105      

5.000%, 09/01/23

    108   
  70      

5.500%, 12/01/24

    74   
  444      

6.000%, 08/15/22

    470   
  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.,

 
  500      

5.250%, 03/15/21

    519   
  5      

5.375%, 06/01/24

    5   
  600      

Cemex Finance LLC, 6.000%, 04/01/24 (e)

    620   
  

Centene Corp.,

 
  162      

4.750%, 05/15/22

    164   
  355      

4.750%, 01/15/25

    354   
  295      

5.625%, 02/15/21

    311   
  260      

6.125%, 02/15/24

    276   
  477      

Central Garden & Pet Co., 6.125%, 11/15/23

    512   
  5      

Cenveo Corp., 8.500%, 09/15/22 (e)

    4   
  

CF Industries, Inc.,

 
  95      

4.950%, 06/01/43

    79   
  330      

5.150%, 03/15/34

    297   
  125      

5.375%, 03/15/44

    107   
  15      

7.125%, 05/01/20

    17   
  

Change Healthcare Holdings, Inc.,

 
  280      

6.000%, 02/15/21 (e)

    294   
  405      

11.000%, 12/31/19

    425   
  460      

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.484%, 10/23/45 (e)

    541   
  270      

Cheniere Corpus Christi Holdings LLC, 7.000%, 06/30/24 (e)

    286   
  

Chesapeake Energy Corp.,

 
  387      

4.875%, 04/15/22

    329   
  113      

5.750%, 03/15/23

    98   
  220      

6.125%, 02/15/21

    201   
  486      

8.000%, 12/15/22 (e)

    494   
  

CHS/Community Health Systems, Inc.,

 
  4      

5.125%, 08/15/18

    4   
  535      

5.125%, 08/01/21

    495   
  521      

6.875%, 02/01/22

    388   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  320      

7.125%, 07/15/20

    259   
  354      

8.000%, 11/15/19

    308   
  240      

Cincinnati Bell, Inc., 7.000%, 07/15/24 (e)

    251   
  568      

Cinemark USA, Inc., 5.125%, 12/15/22

    584   
  1,770      

CIT Group, Inc., 5.000%, 08/15/22

    1,894   
  449      

Citgo Holding, Inc., 10.750%, 02/15/20 (e)

    459   
  149      

CITGO Petroleum Corp., 6.250%, 08/15/22 (e)

    152   
  

Citigroup, Inc.,

 
  410      

3.400%, 05/01/26

    417   
  440      

4.650%, 07/30/45

    482   
  

Claire’s Stores, Inc.,

 
  159      

6.125%, 03/15/20 (e)

    78   
  26      

9.000%, 03/15/19 (e)

    13   
  

Clear Channel Worldwide Holdings, Inc.,

 
  15      

Series A, 6.500%, 11/15/22

    15   
  55      

Series A, 7.625%, 03/15/20

    52   
  795      

Series B, 6.500%, 11/15/22

    810   
  685      

Series B, 7.625%, 03/15/20

    663   
  

Clearwater Paper Corp.,

 
  270      

4.500%, 02/01/23

    269   
  91      

5.375%, 02/01/25 (e)

    92   
  8      

Clearwire Communications LLC/Clearwire Finance, Inc., 14.750%, 12/01/16 (e)

    8   
  34      

Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 12.000%, 11/01/21

    34   
  499      

CNG Holdings, Inc., 9.375%, 05/15/20 (e)

    327   
  

CNO Financial Group, Inc.,

 
  39      

4.500%, 05/30/20

    40   
  645      

5.250%, 05/30/25

    656   
  372      

Coeur Mining, Inc., 7.875%, 02/01/21

    381   
  235      

Columbia Pipeline Group, Inc., 5.800%, 06/01/45

    279   
  575      

Comcast Corp., 3.400%, 07/15/46

    531   
  389      

Commercial Metals Co., 4.875%, 05/15/23

    385   
  68      

CommScope Technologies Finance LLC, 6.000%, 06/15/25 (e)

    71   
  

CommScope, Inc.,

 
  23      

4.375%, 06/15/20 (e)

    24   
  310      

5.000%, 06/15/21 (e)

    318   
  295      

5.500%, 06/15/24 (e)

    309   
  242      

Communications Sales & Leasing, Inc./CSL Capital LLC, 6.000%, 04/15/23 (e)

    251   
  

Concho Resources, Inc.,

 
  100      

5.500%, 10/01/22

    103   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  102      

6.500%, 01/15/22

    105   
  30      

CONSOL Energy, Inc., 5.875%, 04/15/22

    28   
  306      

Consolidated Communications, Inc., 6.500%, 10/01/22

    301   
  

Constellation Brands, Inc.,

 
  100      

4.250%, 05/01/23

    105   
  3      

4.750%, 11/15/24

    3   
  270      

4.750%, 12/01/25

    297   
  60      

6.000%, 05/01/22

    70   
  10      

Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18

    11   
  314      

Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21

    346   
  

Continental Resources, Inc.,

 
  39      

3.800%, 06/01/24

    36   
  152      

4.500%, 04/15/23

    145   
  927      

5.000%, 09/15/22

    913   
  297      

7.125%, 04/01/21

    308   
  181      

Cooper-Standard Automotive, Inc., 5.625%, 11/15/26 (d) (e)

    182   
  505      

Cortes NP Acquisition Corp., 9.250%, 10/15/24 (e)

    529   
  420      

Cott Beverages, Inc., 5.375%, 07/01/22

    426   
  

Covanta Holding Corp.,

 
  100      

5.875%, 03/01/24

    97   
  95      

6.375%, 10/01/22

    97   
  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.,

 
  55      

6.000%, 12/15/20

    56   
  9      

6.125%, 03/01/22

    9   
  324      

6.250%, 04/01/23

    328   
  225      

Crown Americas LLC/Crown Americas Capital Corp. V, 4.250%, 09/30/26 (e)

    221   
  325      

Crown Americas LLC/Crown Americas Capital Corp. IV, 4.500%, 01/15/23

    333   
  

CSC Holdings LLC,

 
  463      

5.500%, 04/15/27 (e)

    470   
  250      

6.750%, 11/15/21

    263   
  221      

8.625%, 02/15/19

    246   
  20      

CSI Compressco LP/CSI Compressco Finance, Inc., 7.250%, 08/15/22

    19   
  908      

CVR Partners LP/CVR Nitrogen Finance Corp., 9.250%, 06/15/23 (e)

    890   
  71      

Dana, Inc., 5.500%, 12/15/24

    74   
  269      

Darling Ingredients, Inc., 5.375%, 01/15/22

    280   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

DaVita, Inc.,

 
  335      

5.000%, 05/01/25

    323   
  479      

5.125%, 07/15/24

    467   
  115      

5.750%, 08/15/22

    118   
  

DCP Midstream Operating LP,

 
  200      

3.875%, 03/15/23

    195   
  87      

4.950%, 04/01/22

    89   
  1,287      

Dean Foods Co., 6.500%, 03/15/23 (e)

    1,371   
  38      

Delta Air Lines 2007-1 Class B Pass-Through Trust, 8.021%, 08/10/22

    43   
  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.,

 
  5      

3.480%, 06/01/19 (e)

    5   
  159      

4.420%, 06/15/21 (e)

    166   
  464      

5.450%, 06/15/23 (e)

    497   
  345      

5.875%, 06/15/21 (e)

    362   
  464      

6.020%, 06/15/26 (e)

    506   
  350      

7.125%, 06/15/24 (e)

    383   
  65      

8.100%, 07/15/36 (e)

    77   
  553      

8.350%, 07/15/46 (e)

    671   
  353      

Diebold, Inc., 8.500%, 04/15/24 (e)

    374   
  

DISH DBS Corp.,

 
  80      

5.875%, 07/15/22

    83   
  1,714      

6.750%, 06/01/21

    1,842   
  561      

7.750%, 07/01/26

    616   
  110      

7.875%, 09/01/19

    122   
  611      

Dollar Tree, Inc., 5.750%, 03/01/23

    648   
  460      

Dominion Gas Holdings LLC, 4.600%, 12/15/44

    483   
  266      

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e)

    269   
  705      

DS Services of America, Inc., 10.000%, 09/01/21 (e)

    783   
  310      

DuPont Fabros Technology LP, 5.875%, 09/15/21

    325   
  

Dynegy, Inc.,

 
  562      

5.875%, 06/01/23

    503   
  190      

7.375%, 11/01/22

    184   
  330      

7.625%, 11/01/24

    316   
  200      

8.000%, 01/15/25 (e)

    193   
  115      

E*TRADE Financial Corp., 5.375%, 11/15/22

    123   
  65      

Eldorado Resorts, Inc., 7.000%, 08/01/23

    69   
  3,382      

Embarq Corp., 7.995%, 06/01/36

    3,433   
  141      

EMC Corp., 2.650%, 06/01/20

    137   
  250      

Emera U.S. Finance LP, 4.750%, 06/15/46 (e)

    264   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         27   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  220      

EMI Music Publishing Group North America Holdings, Inc., 7.625%, 06/15/24 (e)

    238   
  356      

Endo Finance LLC, 5.750%, 01/15/22 (e)

    320   
  250      

Endo Finance LLC/Endo Finco, Inc., 5.375%, 01/15/23 (e)

    213   
  783      

Energy Transfer Equity LP, 5.875%, 01/15/24

    793   
  375      

EnerSys, 5.000%, 04/30/23 (e)

    384   
  

EnLink Midstream Partners LP,

 
  175      

4.150%, 06/01/25

    170   
  92      

4.850%, 07/15/26

    94   
  42      

Entegris, Inc., 6.000%, 04/01/22 (e)

    43   
  525      

Enterprise Products Operating LLC, 4.900%, 05/15/46

    544   
  280      

Envision Healthcare Corp., 5.125%, 07/01/22 (e)

    278   
  

EP Energy LLC/Everest Acquisition Finance, Inc.,

 
  148      

6.375%, 06/15/23

    101   
  172      

7.750%, 09/01/22

    117   
  710      

9.375%, 05/01/20

    555   
  

Equinix, Inc.,

 
  750      

5.375%, 01/01/22

    795   
  47      

5.375%, 04/01/23

    49   
  3      

5.750%, 01/01/25

    3   
  86      

5.875%, 01/15/26

    92   
  398      

ESH Hospitality, Inc., 5.250%, 05/01/25 (e)

    394   
  520      

Exelon Corp., 4.450%, 04/15/46

    542   
  540      

Express Scripts Holding Co., 4.800%, 07/15/46

    542   
  146      

Ferrellgas LP/Ferrellgas Finance Corp., 6.750%, 06/15/23

    136   
  200      

Fidelity & Guaranty Life Holdings, Inc., 6.375%, 04/01/21 (e)

    200   
  

First Data Corp.,

 
  540      

5.000%, 01/15/24 (e)

    547   
  190      

5.375%, 08/15/23 (e)

    196   
  733      

5.750%, 01/15/24 (e)

    746   
  73      

6.750%, 11/01/20 (e)

    75   
  842      

7.000%, 12/01/23 (e)

    885   
  545      

Ford Motor Co., 4.750%, 01/15/43

    546   
  

Freeport-McMoRan, Inc.,

 
  565      

3.100%, 03/15/20

    544   
  105      

3.550%, 03/01/22

    96   
  795      

3.875%, 03/15/23

    723   
  392      

5.400%, 11/14/34

    338   
  658      

5.450%, 03/15/43

    546   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

Fresenius Medical Care U.S. Finance II, Inc.,

 
  160      

4.125%, 10/15/20 (e)

    166   
  220      

4.750%, 10/15/24 (e)

    229   
  85      

5.625%, 07/31/19 (e)

    92   
  200      

5.875%, 01/31/22 (e)

    227   
  25      

6.500%, 09/15/18 (e)

    27   
  300      

Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e)

    335   
  

Frontier Communications Corp.,

 
  745      

6.250%, 09/15/21

    708   
  15      

7.125%, 03/15/19

    16   
  40      

8.125%, 10/01/18

    43   
  425      

8.500%, 04/15/20

    454   
  188      

8.875%, 09/15/20

    200   
  629      

9.250%, 07/01/21

    664   
  328      

10.500%, 09/15/22

    341   
  542      

11.000%, 09/15/25

    553   
  210      

FTI Consulting, Inc., 6.000%, 11/15/22

    221   
  352      

GCP Applied Technologies, Inc., 9.500%, 02/01/23 (e)

    399   
  525      

General Motors Co., 5.200%, 04/01/45

    536   
  

Genesis Energy LP/Genesis Energy Finance Corp.,

 
  397      

5.625%, 06/15/24

    393   
  65      

5.750%, 02/15/21

    65   
  52      

6.000%, 05/15/23

    52   
  30      

6.750%, 08/01/22

    31   
  720      

GenOn Energy, Inc., 9.875%, 10/15/20

    538   
  550      

Gilead Sciences, Inc., 4.150%, 03/01/47

    545   
  

Global Partners LP/GLP Finance Corp.,

 
  165      

6.250%, 07/15/22

    158   
  125      

7.000%, 06/15/23

    119   
  

GLP Capital LP/GLP Financing II, Inc.,

 
  20      

4.375%, 04/15/21

    21   
  650      

5.375%, 11/01/23

    696   
  85      

5.375%, 04/15/26

    90   
  275      

Golden Nugget, Inc., 8.500%, 12/01/21 (e)

    289   
  

Goldman Sachs Group, Inc. (The),

 
  405      

3.750%, 02/25/26

    422   
  375      

4.750%, 10/21/45

    413   
  120      

Goodman Networks, Inc., 12.125%, 07/01/18

    51   
  

Goodyear Tire & Rubber Co. (The),

 
  290      

5.000%, 05/31/26

    292   
  675      

5.125%, 11/15/23

    697   
  140      

7.000%, 05/15/22

    147   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  

Graphic Packaging International, Inc.,

 
  110      

4.750%, 04/15/21

    117   
  100      

4.875%, 11/15/22

    105   
  

Gray Television, Inc.,

 
  285      

5.125%, 10/15/24 (e)

    277   
  165      

5.875%, 07/15/26 (e)

    164   
  25      

Greif, Inc., 6.750%, 02/01/17

    25   
  1,000      

Group 1 Automotive, Inc., 5.250%, 12/15/23 (e)

    995   
  9      

Guitar Center, Inc., 6.500%, 04/15/19 (e)

    8   
  235      

H&E Equipment Services, Inc., 7.000%, 09/01/22

    247   
  520      

Halliburton Co., 5.000%, 11/15/45

    571   
  330      

Hardwoods Acquisition, Inc., 7.500%, 08/01/21 (e)

    239   
  

Harland Clarke Holdings Corp.,

 
  250      

6.875%, 03/01/20 (e)

    240   
  5      

9.750%, 08/01/18 (e)

    5   
  430      

Harris Corp., 5.054%, 04/27/45

    473   
  240      

HCA Holdings, Inc., 6.250%, 02/15/21

    259   
  

HCA, Inc.,

 
  289      

3.750%, 03/15/19

    296   
  205      

4.250%, 10/15/19

    213   
  280      

4.500%, 02/15/27

    276   
  55      

4.750%, 05/01/23

    57   
  346      

5.000%, 03/15/24

    362   
  165      

5.250%, 04/15/25

    173   
  295      

5.250%, 06/15/26

    308   
  551      

5.375%, 02/01/25

    563   
  290      

5.875%, 03/15/22

    319   
  535      

5.875%, 02/15/26

    562   
  125      

6.500%, 02/15/20

    138   
  472      

7.500%, 02/15/22

    537   
  5      

8.000%, 10/01/18

    6   
  451      

Series 1, 5.875%, 05/01/23

    478   
  

HD Supply, Inc.,

 
  200      

5.250%, 12/15/21 (e)

    213   
  250      

5.750%, 04/15/24 (e)

    262   
  395      

Hecla Mining Co., 6.875%, 05/01/21

    403   
  550      

Hess Corp., 5.800%, 04/01/47

    563   
  1,282      

Hexion, Inc., 6.625%, 04/15/20

    1,122   
  

Hilcorp Energy I LP/Hilcorp Finance Co.,

 
  970      

5.000%, 12/01/24 (e)

    946   
  60      

5.750%, 10/01/25 (e)

    60   
  118      

7.625%, 04/15/21 (e)

    121   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  10      

Reg. S, 7.625%, 04/15/21

    10   
  130      

Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (e)

    137   
  295      

Hilton Domestic Operating Co., Inc., 4.250%, 09/01/24 (e)

    296   
  

Holly Energy Partners LP/Holly Energy Finance Corp.,

 
  364      

6.000%, 08/01/24 (e)

    378   
  25      

6.500%, 03/01/20

    26   
  333      

Hologic, Inc., 5.250%, 07/15/22 (e)

    352   
  

Hughes Satellite Systems Corp.,

 
  544      

5.250%, 08/01/26 (e)

    536   
  174      

6.625%, 08/01/26 (e)

    172   
  50      

Huntington Ingalls Industries, Inc., 5.000%, 12/15/21 (e)

    52   
  865      

IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19

    824   
  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

 
  35      

4.875%, 03/15/19

    35   
  115      

5.875%, 02/01/22

    109   
  315      

6.000%, 08/01/20

    307   
  

iHeartCommunications, Inc.,

 
  1,195      

9.000%, 12/15/19

    907   
  30      

9.000%, 03/01/21

    21   
  1,015      

ILFC E-Capital Trust I, VAR, 4.000%, 12/21/65 (e)

    809   
  580      

ILFC E-Capital Trust II, VAR, 4.250%, 12/21/65 (e)

    473   
  96      

Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.625%, 11/15/24 (e)

    96   
  8      

Infor Software Parent LLC/Infor Software Parent, Inc., 7.125% (cash), 05/01/21 (e) (v)

    8   
  

Infor U.S., Inc.,

 
  324      

5.750%, 08/15/20 (e)

    339   
  524      

6.500%, 05/15/22

    542   
  163      

Informatica LLC, 7.125%, 07/15/23 (e)

    152   
  215      

Ingles Markets, Inc., 5.750%, 06/15/23

    223   
  515      

Intel Corp., 4.100%, 05/19/46

    530   
  34      

inVentiv Health, Inc., 9.000%, 01/15/18 (e)

    34   
  

Iron Mountain, Inc.,

 
  369      

5.750%, 08/15/24

    378   
  266      

6.000%, 10/01/20 (e)

    282   
  235      

Isle of Capri Casinos, Inc., 5.875%, 03/15/21

    244   
  

J.C. Penney Corp., Inc.,

 
  385      

5.875%, 07/01/23 (e)

    396   
  4      

8.125%, 10/01/19

    5   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         29   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  245      

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.375%, 08/01/23 (e)

    246   
  

JBS USA LUX S.A./JBS USA Finance, Inc.,

 
  736      

5.750%, 06/15/25 (e)

    719   
  700      

5.875%, 07/15/24 (e)

    700   
  550      

7.250%, 06/01/21 (e)

    565   
  300      

8.250%, 02/01/20 (e)

    308   
  59      

Jo-Ann Stores LLC, 8.125%, 03/15/19 (e)

    59   
  126      

Kaiser Aluminum Corp., 5.875%, 05/15/24

    133   
  44      

Kennedy-Wilson, Inc., 5.875%, 04/01/24

    45   
  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC,

 
  250      

5.000%, 06/01/24 (e)

    257   
  250      

5.250%, 06/01/26 (e)

    261   
  EUR 550      

Kloeckner Pentaplast of America, Inc., Reg. S, 7.125%, 11/01/20

    632   
  520      

Kraft Heinz Foods Co., 4.375%, 06/01/46

    524   
  555      

Kroger Co. (The), 3.875%, 10/15/46

    531   
  

L Brands, Inc.,

 
  385      

5.625%, 02/15/22

    422   
  300      

5.625%, 10/15/23

    330   
  250      

6.750%, 07/01/36

    265   
  325      

6.875%, 11/01/35

    344   
  

Lamar Media Corp.,

 
  175      

5.000%, 05/01/23

    183   
  32      

5.375%, 01/15/24

    34   
  178      

5.750%, 02/01/26

    191   
  30      

5.875%, 02/01/22

    31   
  294      

Landry’s, Inc., 6.750%, 10/15/24 (e)

    300   
  

Lennar Corp.,

 
  15      

4.500%, 06/15/19

    16   
  25      

4.500%, 11/15/19

    26   
  260      

4.750%, 05/30/25

    264   
  154      

4.875%, 12/15/23

    158   
  60      

6.950%, 06/01/18

    64   
  5      

Series B, 12.250%, 06/01/17

    5   
  

Level 3 Financing, Inc.,

 
  384      

5.125%, 05/01/23

    388   
  417      

5.250%, 03/15/26 (e)

    422   
  50      

5.375%, 08/15/22

    52   
  142      

5.375%, 01/15/24

    145   
  291      

5.375%, 05/01/25

    295   
  3      

5.625%, 02/01/23

    3   
  5      

VAR, 4.407%, 01/15/18

    5   
  5      

Levi Strauss & Co., 5.000%, 05/01/25

    5   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  251      

Liberty Mutual Group, Inc., 7.800%, 03/15/37 (e)

    295   
  

LifePoint Health, Inc.,

 
  75      

5.375%, 05/01/24 (e)

    75   
  254      

5.500%, 12/01/21

    263   
  363      

LIN Television Corp., 5.875%, 11/15/22

    380   
  

Live Nation Entertainment, Inc.,

 
  240      

4.875%, 11/01/24 (e)

    240   
  410      

5.375%, 06/15/22 (e)

    424   
  350      

Lockheed Martin Corp., 3.800%, 03/01/45

    347   
  338      

M/I Homes, Inc., 6.750%, 01/15/21

    356   
  138      

Martin Midstream Partners LP/Martin Midstream Finance Corp., 7.250%, 02/15/21

    132   
  4      

Masco Corp., 5.950%, 03/15/22

    5   
  757      

MasTec, Inc., 4.875%, 03/15/23

    737   
  

Match Group, Inc.,

 
  110      

6.375%, 06/01/24

    119   
  200      

6.750%, 12/15/22

    213   
  289      

Mediacom Broadband LLC/Mediacom Broadband Corp., 6.375%, 04/01/23

    301   
  230      

Meritage Homes Corp., 7.000%, 04/01/22

    257   
  520      

MetLife, Inc., 4.600%, 05/13/46

    565   
  95      

MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., 5.625%, 05/01/24 (e)

    101   
  

MGM Resorts International,

 
  296      

4.625%, 09/01/26

    285   
  350      

5.250%, 03/31/20

    370   
  320      

6.000%, 03/15/23

    346   
  575      

6.625%, 12/15/21

    642   
  270      

6.750%, 10/01/20

    301   
  280      

7.750%, 03/15/22

    324   
  45      

11.375%, 03/01/18

    50   
  

Micron Technology, Inc.,

 
  425      

5.250%, 08/01/23 (e)

    416   
  186      

5.250%, 01/15/24 (e)

    181   
  114      

5.500%, 02/01/25

    111   
  14      

5.625%, 01/15/26 (e)

    14   
  17      

5.875%, 02/15/22

    18   
  365      

7.500%, 09/15/23 (e)

    403   
  216      

Microsemi Corp., 9.125%, 04/15/23 (e)

    249   
  550      

Microsoft Corp., 3.700%, 08/08/46

    539   
  550      

Milacron LLC/Mcron Finance Corp., 7.750%, 02/15/21 (e)

    562   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  

Momentive Performance Materials, Inc.,

 
  262      

3.880%, 10/24/21

    233   
  35      

8.875%, 10/15/20 (d)

      
  

Morgan Stanley,

 
  425      

3.125%, 07/27/26

    424   
  395      

4.300%, 01/27/45

    414   
  741      

MPG Holdco I, Inc., 7.375%, 10/15/22

    755   
  646      

MPH Acquisition Holdings LLC, 7.125%, 06/01/24 (e)

    691   
  400      

MPLX LP, 5.500%, 02/15/23

    417   
  404      

MSCI, Inc., 5.250%, 11/15/24 (e)

    424   
  4      

Murphy Oil USA, Inc., 6.000%, 08/15/23

    4   
  

Nationstar Mortgage LLC/Nationstar Capital Corp.,

 
  300      

6.500%, 08/01/18

    304   
  15      

6.500%, 07/01/21

    15   
  248      

6.500%, 06/01/22

    241   
  45      

7.875%, 10/01/20

    46   
  27      

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.125%, 11/15/21 (e)

    20   
  246      

NBTY, Inc., 7.625%, 05/15/21 (e)

    241   
  245      

NCI Building Systems, Inc., 8.250%, 01/15/23 (e)

    268   
  

NCR Corp.,

 
  50      

5.000%, 07/15/22

    51   
  4      

5.875%, 12/15/21

    4   
  16      

6.375%, 12/15/23

    17   
  350      

Neiman Marcus Group Ltd. LLC, 8.000%, 10/15/21 (e)

    289   
  

Netflix, Inc.,

 
  150      

5.500%, 02/15/22

    162   
  115      

5.750%, 03/01/24

    125   
  

New Albertson’s, Inc.,

 
  204      

7.450%, 08/01/29

    196   
  30      

7.750%, 06/15/26

    30   
  102      

8.000%, 05/01/31

    99   
  225      

8.700%, 05/01/30

    229   
  121      

Series C, 6.625%, 06/01/28

    109   
  

Newfield Exploration Co.,

 
  231      

5.375%, 01/01/26

    238   
  126      

5.625%, 07/01/24

    131   
  193      

5.750%, 01/30/22

    201   
  

Nexstar Broadcasting, Inc.,

 
  35      

6.125%, 02/15/22 (e)

    36   
  25      

6.875%, 11/15/20

    26   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  245      

Nexstar Escrow Corp., 5.625%, 08/01/24 (e)

    243   
  243      

NFP Corp., 9.000%, 07/15/21 (e)

    248   
  2      

NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 07/15/19

    2   
  425      

NGPL PipeCo LLC, 9.625%, 06/01/19 (e)

    446   
  1,033      

Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (e)

    1,052   
  483      

Noble Energy, Inc., 5.050%, 11/15/44

    485   
  

Novelis Corp.,

 
  390      

5.875%, 09/30/26 (e)

    395   
  415      

6.250%, 08/15/24 (e)

    431   
  

NRG Energy, Inc.,

 
  850      

6.250%, 05/01/24

    825   
  11      

6.625%, 03/15/23

    11   
  215      

7.250%, 05/15/26 (e)

    211   
  

NRG Yield Operating LLC,

 
  180      

5.000%, 09/15/26 (e)

    175   
  600      

5.375%, 08/15/24

    612   
  532      

Nuance Communications, Inc., 5.375%, 08/15/20 (e)

    547   
  

NuStar Logistics LP,

 
  149      

4.800%, 09/01/20

    151   
  53      

6.750%, 02/01/21

    58   
  40      

NWH Escrow Corp., 7.500%, 08/01/21 (e)

    29   
  

Oasis Petroleum, Inc.,

 
  107      

6.500%, 11/01/21

    107   
  77      

6.875%, 03/15/22

    76   
  505      

ONEOK Partners LP, 6.200%, 09/15/43

    571   
  

ONEOK, Inc.,

 
  19      

4.250%, 02/01/22

    19   
  47      

7.500%, 09/01/23

    54   
  540      

Oracle Corp., 4.000%, 07/15/46

    534   
  

Orbital ATK, Inc.,

 
  113      

5.250%, 10/01/21

    117   
  110      

5.500%, 10/01/23

    115   
  

Oshkosh Corp.,

 
  20      

5.375%, 03/01/22

    21   
  66      

5.375%, 03/01/25

    69   
  

Outfront Media Capital LLC/Outfront Media Capital Corp.,

 
  33      

5.250%, 02/15/22

    34   
  245      

5.625%, 02/15/24

    255   
  205      

5.875%, 03/15/25

    214   
  

Owens-Brockway Glass Container, Inc.,

 
  80      

5.000%, 01/15/22 (e)

    84   
  255      

5.375%, 01/15/25 (e)

    262   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         31   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  17      

6.375%, 08/15/25 (e)

    19   
  100      

Parker Drilling Co., 6.750%, 07/15/22

    79   
  310      

Party City Holdings, Inc., 6.125%, 08/15/23 (e)

    329   
  167      

PBF Holding Co. LLC/PBF Finance Corp., 7.000%, 11/15/23 (e)

    154   
  137      

PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 05/15/23

    133   
  75      

Penn Virginia Corp., 8.500%, 05/01/20 (d)

    1   
  293      

Penske Automotive Group, Inc., 5.500%, 05/15/26

    291   
  80      

Performance Food Group, Inc., 5.500%, 06/01/24 (e)

    82   
  534      

PetSmart, Inc., 7.125%, 03/15/23 (e)

    559   
  290      

Philip Morris International, Inc., 4.875%, 11/15/43

    329   
  495      

Phillips 66, 4.875%, 11/15/44

    530   
  150      

Phillips 66 Partners LP, 4.900%, 10/01/46

    149   
  329      

Pilgrim’s Pride Corp., 5.750%, 03/15/25 (e)

    336   
  85      

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 01/15/24

    91   
  560      

PolyOne Corp., 5.250%, 03/15/23

    573   
  

Post Holdings, Inc.,

 
  250      

5.000%, 08/15/26 (e)

    242   
  475      

6.750%, 12/01/21 (e)

    508   
  200      

7.750%, 03/15/24 (e)

    220   
  100      

8.000%, 07/15/25 (e)

    114   
  

Prestige Brands, Inc.,

 
  245      

5.375%, 12/15/21 (e)

    254   
  90      

6.375%, 03/01/24 (e)

    96   
  1,210      

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.250%, 05/15/23 (e)

    1,283   
  115      

Provident Funding Associates LP/PFG Finance Corp., 6.750%, 06/15/21 (e)

    116   
  525      

Prudential Financial, Inc., 4.600%, 05/15/44

    559   
  EUR    850      

PSPC Escrow Corp., Reg. S, 6.000%, 02/01/23

    900   
  

PulteGroup, Inc.,

 
  163      

5.000%, 01/15/27

    162   
  230      

5.500%, 03/01/26

    239   
  15      

PVH Corp., 4.500%, 12/15/22

    15   
  

QEP Resources, Inc.,

 
  399      

5.250%, 05/01/23

    392   
  601      

5.375%, 10/01/22

    595   
  236      

Qorvo, Inc., 6.750%, 12/01/23

    258   
  10      

Quad/Graphics, Inc., 7.000%, 05/01/22

    10   
  785      

Quicken Loans, Inc., 5.750%, 05/01/25 (e)

    775   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

Quintiles IMS, Inc.,

 
  230      

4.875%, 05/15/23 (e)

    236   
  330      

5.000%, 10/15/26 (e)

    341   
  

Qwest Capital Funding, Inc.,

 
  7      

6.875%, 07/15/28

    7   
  345      

7.750%, 02/15/31

    329   
  25      

Qwest Corp., 7.250%, 09/15/25

    27   
  161      

Radian Group, Inc., 7.000%, 03/15/21

    180   
  25      

Radio Systems Corp., 8.375%, 11/01/19 (e)

    26   
  

Range Resources Corp.,

 
  305      

4.875%, 05/15/25

    291   
  171      

5.000%, 03/15/23 (e)

    166   
  

Regal Entertainment Group,

 
  365      

5.750%, 03/15/22

    378   
  50      

5.750%, 06/15/23

    51   
  250      

5.750%, 02/01/25

    251   
  

Revlon Consumer Products Corp.,

 
  110      

5.750%, 02/15/21

    111   
  154      

6.250%, 08/01/24 (e)

    159   
  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,

 
  310      

5.125%, 07/15/23 (e)

    318   
  410      

5.750%, 10/15/20

    421   
  100      

6.875%, 02/15/21

    103   
  250      

8.250%, 02/15/21

    261   
  186      

Rice Energy, Inc., 7.250%, 05/01/23

    197   
  

Rite Aid Corp.,

 
  511      

6.125%, 04/01/23 (e)

    540   
  5      

6.750%, 06/15/21

    5   
  10      

9.250%, 03/15/20

    11   
  

Rose Rock Midstream LP/Rose Rock Finance Corp.,

 
  228      

5.625%, 07/15/22

    218   
  20      

5.625%, 11/15/23

    19   
  360      

RSP Permian, Inc., 6.625%, 10/01/22

    379   
  

Sabine Pass Liquefaction LLC,

 
  1,723      

5.625%, 03/01/25

    1,822   
  100      

5.750%, 05/15/24

    106   
  325      

5.875%, 06/30/26 (e)

    350   
  200      

6.250%, 03/15/22

    219   
  

Sabre GLBL, Inc.,

 
  40      

5.250%, 11/15/23 (e)

    41   
  110      

5.375%, 04/15/23 (e)

    113   
  11      

Safeway, Inc., 5.000%, 08/15/19

    11   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  

Sally Holdings LLC/Sally Capital, Inc.,

 
  75      

5.500%, 11/01/23

    79   
  267      

5.625%, 12/01/25

    285   
  150      

5.750%, 06/01/22

    156   
  

SBA Communications Corp.,

 
  228      

4.875%, 07/15/22

    232   
  103      

4.875%, 09/01/24 (e)

    103   
  

Scientific Games International, Inc.,

 
  510      

7.000%, 01/01/22 (e)

    542   
  375      

10.000%, 12/01/22

    345   
  200      

Scotts Miracle-Gro Co. (The), 6.000%, 10/15/23 (e)

    212   
  

Sealed Air Corp.,

 
  105      

4.875%, 12/01/22 (e)

    111   
  410      

5.125%, 12/01/24 (e)

    435   
  100      

5.250%, 04/01/23 (e)

    105   
  16      

SemGroup Corp., 7.500%, 06/15/21

    16   
  540      

Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, 5.875%, 05/15/21 (e)

    535   
  278      

Serta Simmons Bedding LLC, 8.125%, 10/01/20 (e)

    289   
  

Service Corp. International,

 
  320      

5.375%, 05/15/24

    336   
  80      

8.000%, 11/15/21

    95   
  40      

SESI LLC, 7.125%, 12/15/21

    39   
  305      

Shingle Springs Tribal Gaming Authority, 9.750%, 09/01/21 (e)

    332   
  30      

Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 05/01/22 (e)

    30   
  

Sinclair Television Group, Inc.,

 
  170      

5.125%, 02/15/27 (e)

    163   
  10      

5.375%, 04/01/21

    10   
  301      

5.625%, 08/01/24 (e)

    306   
  115      

6.125%, 10/01/22

    122   
  

Sirius XM Radio, Inc.,

 
  230      

4.625%, 05/15/23 (e)

    232   
  430      

5.375%, 04/15/25 (e)

    440   
  337      

5.375%, 07/15/26 (e)

    342   
  120      

5.750%, 08/01/21 (e)

    125   
  115      

6.000%, 07/15/24 (e)

    122   
  

Six Flags Entertainment Corp.,

 
  270      

4.875%, 07/31/24 (e)

    271   
  770      

5.250%, 01/15/21 (e)

    789   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  

SM Energy Co.,

  

  525      

5.000%, 01/15/24

    488   
  314      

5.625%, 06/01/25

    299   
  68      

6.500%, 01/01/23

    68   
  100      

6.750%, 09/15/26

    103   
  

Smithfield Foods, Inc.,

 
  144      

5.250%, 08/01/18 (e)

    145   
  400      

5.875%, 08/01/21 (e)

    417   
  425      

6.625%, 08/15/22

    448   
  230      

Solera LLC/Solera Finance, Inc., 10.500%, 03/01/24 (e)

    257   
  55      

Spectra Energy Partners LP, 4.500%, 03/15/45

    54   
  

Spectrum Brands, Inc.,

 
  664      

5.750%, 07/15/25

    719   
  14      

6.125%, 12/15/24

    15   
  65      

6.625%, 11/15/22

    70   
  10      

Speedway Motorsports, Inc., 5.125%, 02/01/23

    10   
  300      

Speedy Cash Intermediate Holdings Corp., 10.750%, 05/15/18 (e)

    238   
  

Springleaf Finance Corp.,

 
  43      

7.750%, 10/01/21

    44   
  203      

8.250%, 12/15/20

    220   
  

Sprint Capital Corp.,

 
  97      

6.875%, 11/15/28

    89   
  177      

6.900%, 05/01/19

    186   
  569      

8.750%, 03/15/32

    583   
  

Sprint Communications, Inc.,

 
  381      

6.000%, 12/01/16

    381   
  1,379      

7.000%, 03/01/20 (e)

    1,500   
  630      

7.000%, 08/15/20

    654   
  852      

8.375%, 08/15/17

    887   
  95      

9.125%, 03/01/17

    97   
  

Sprint Corp.,

 
  310      

7.125%, 06/15/24

    295   
  629      

7.250%, 09/15/21

    644   
  43      

7.625%, 02/15/25

    42   
  486      

7.875%, 09/15/23

    480   
  343      

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.360%, 09/20/21 (e)

    344   
  122      

SS&C Technologies Holdings, Inc., 5.875%, 07/15/23

    128   
  

Standard Industries, Inc.,

 
  94      

5.125%, 02/15/21 (e)

    99   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         33   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  125      

5.375%, 11/15/24 (e)

    129   
  158      

5.500%, 02/15/23 (e)

    164   
  593      

6.000%, 10/15/25 (e)

    633   
  

Steel Dynamics, Inc.,

 
  165      

5.125%, 10/01/21

    172   
  286      

5.500%, 10/01/24

    302   
  285      

6.375%, 08/15/22

    297   
  255      

Sterigenics-Nordion Holdings LLC, 6.500%, 05/15/23 (e)

    262   
  32      

Stone Energy Corp., 7.500%, 11/15/22

    19   
  102      

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.500%, 06/01/24

    104   
  789      

Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 07/15/23

    809   
  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.,

 
  198      

5.500%, 08/15/22

    192   
  85      

7.500%, 07/01/21

    88   
  540      

Sunoco Logistics Partners Operations LP, 5.350%, 05/15/45

    545   
  

Sunoco LP/Sunoco Finance Corp.,

 
  384      

6.250%, 04/15/21

    394   
  290      

6.375%, 04/01/23

    296   
  

SUPERVALU, Inc.,

 
  151      

6.750%, 06/01/21

    152   
  1,110      

7.750%, 11/15/22

    1,126   
  

Talen Energy Supply LLC,

 
  150      

4.600%, 12/15/21

    123   
  15      

4.625%, 07/15/19 (e)

    14   
  100      

6.500%, 06/01/25

    84   
  270      

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 09/15/24 (e)

    269   
  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

 
  307      

4.250%, 11/15/23

    289   
  365      

5.125%, 02/01/25 (e)

    365   
  125      

5.375%, 02/01/27 (e)

    125   
  100      

6.750%, 03/15/24

    106   
  

Taylor Morrison Communities, Inc./Monarch Communities, Inc.,

 
  125      

5.625%, 03/01/24 (e)

    130   
  90      

5.875%, 04/15/23 (e)

    95   
  400      

Team Health, Inc., 7.250%, 12/15/23 (e)

    452   
  

TEGNA, Inc.,

 
  155      

4.875%, 09/15/21 (e)

    162   
  30      

5.125%, 07/15/20

    31   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  200      

5.500%, 09/15/24 (e)

    205   
  635      

6.375%, 10/15/23

    671   
  

Teleflex, Inc.,

 
  295      

4.875%, 06/01/26

    304   
  170      

5.250%, 06/15/24

    176   
  265      

Tempur Sealy International, Inc., 5.625%, 10/15/23

    274   
  

Tenet Healthcare Corp.,

 
  685      

4.375%, 10/01/21

    682   
  753      

4.500%, 04/01/21

    753   
  230      

4.750%, 06/01/20

    235   
  130      

5.500%, 03/01/19

    127   
  49      

6.000%, 10/01/20

    52   
  5      

6.250%, 11/01/18

    5   
  18      

6.750%, 02/01/20

    18   
  175      

6.750%, 06/15/23

    161   
  223      

8.000%, 08/01/20

    221   
  116      

8.125%, 04/01/22

    113   
  400      

VAR, 4.350%, 06/15/20

    402   
  84      

Tenneco, Inc., 5.375%, 12/15/24

    88   
  389      

Terraform Global Operating LLC, 13.750%, 08/15/22 (e)

    405   
  

TerraForm Power Operating LLC,

 
  213      

SUB, 9.375%, 02/01/23 (e)

    213   
  487      

SUB, 9.625%, 06/15/25 (e)

    503   
  32      

Tesoro Corp., 5.125%, 04/01/24

    33   
  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.,

 
  576      

6.250%, 10/15/22

    610   
  175      

6.375%, 05/01/24

    189   
  1,000      

Texas Competitive Electric Holdings Co. LLC, 11.500%, 10/01/20 (d)

    37   
  34      

Texas Gas Transmission LLC, 4.500%, 02/01/21 (e)

    35   
  495      

Time Warner, Inc., 4.850%, 07/15/45

    526   
  

T-Mobile USA, Inc.,

 
  3      

5.250%, 09/01/18

    3   
  121      

6.000%, 03/01/23

    127   
  117      

6.000%, 04/15/24

    125   
  665      

6.125%, 01/15/22

    703   
  253      

6.250%, 04/01/21

    263   
  281      

6.375%, 03/01/25

    301   
  359      

6.500%, 01/15/24

    385   
  182      

6.500%, 01/15/26

    201   
  129      

6.625%, 11/15/20

    133   
  413      

6.625%, 04/01/23

    439   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  220      

6.633%, 04/28/21

    230   
  757      

6.731%, 04/28/22

    793   
  442      

6.836%, 04/28/23

    472   
  

Toll Brothers Finance Corp.,

 
  216      

4.875%, 11/15/25

    220   
  255      

5.625%, 01/15/24

    270   
  134      

Tops Holding LLC/Tops Markets II Corp., 8.000%, 06/15/22 (e)

    118   
  

TransDigm, Inc.,

 
  462      

5.500%, 10/15/20

    476   
  821      

6.000%, 07/15/22

    857   
  193      

6.375%, 06/15/26 (e)

    198   
  10      

6.500%, 07/15/24

    10   
  

TreeHouse Foods, Inc.,

 
  19      

4.875%, 03/15/22

    20   
  205      

6.000%, 02/15/24 (e)

    220   
  151      

Tutor Perini Corp., 7.625%, 11/01/18

    151   
  217      

U.S. Airways 2013-1 Class B Pass-Through Trust, 5.375%, 11/15/21

    224   
  250      

U.S. Concrete, Inc., 6.375%, 06/01/24

    260   
  190      

U.S. Foods, Inc., 5.875%, 06/15/24 (e)

    199   
  297      

Unifrax I LLC/Unifrax Holding Co., 7.500%, 02/15/19 (e)

    286   
  131      

Unit Corp., 6.625%, 05/15/21

    121   
  

United Rentals North America, Inc.,

 
  25      

4.625%, 07/15/23

    26   
  475      

5.500%, 07/15/25

    481   
  105      

5.500%, 05/15/27

    105   
  775      

5.750%, 11/15/24

    804   
  25      

5.875%, 09/15/26

    26   
  135      

6.125%, 06/15/23

    141   
  121      

United States Steel Corp., 8.375%, 07/01/21 (e)

    129   
  334      

Univar USA, Inc., 6.750%, 07/15/23 (e)

    346   
  

Universal Health Services, Inc.,

 
  2      

3.750%, 08/01/19 (e)

    2   
  2      

4.750%, 08/01/22 (e)

    2   
  

Univision Communications, Inc.,

 
  285      

5.125%, 05/15/23 (e)

    289   
  550      

5.125%, 02/15/25 (e)

    551   
  738      

6.750%, 09/15/22 (e)

    778   
  162      

8.500%, 05/15/21 (e)

    167   
  55      

Valvoline, Inc., 5.500%, 07/15/24 (e)

    58   
  

VEREIT Operating Partnership LP,

 
  68      

4.125%, 06/01/21

    71   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  30      

4.875%, 06/01/26

    31   
  54      

VeriSign, Inc., 5.250%, 04/01/25

    57   
  

Verizon Communications, Inc.,

 
  855      

4.125%, 08/15/46

    817   
  130      

4.862%, 08/21/46

    137   
  290      

Versum Materials, Inc., 5.500%, 09/30/24 (e)

    297   
  150      

Viacom, Inc., 4.375%, 03/15/43

    138   
  33      

Weatherford International LLC., 6.800%, 06/15/37

    26   
  7      

Wells Enterprises, Inc., 6.750%, 02/01/20 (e)

    7   
  265      

WESCO Distribution, Inc., 5.375%, 06/15/24 (e)

    268   
  

West Corp.,

 
  167      

4.750%, 07/15/21 (e)

    172   
  386      

5.375%, 07/15/22 (e)

    372   
  

Western Digital Corp.,

 
  162      

7.375%, 04/01/23 (e)

    177   
  349      

10.500%, 04/01/24 (e)

    404   
  

Western Gas Partners LP,

 
  225      

4.650%, 07/01/26

    236   
  155      

5.375%, 06/01/21

    169   
  40      

5.450%, 04/01/44

    41   
  131      

Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 02/15/23

    137   
  

Whiting Petroleum Corp.,

 
  678      

5.000%, 03/15/19

    644   
  397      

5.750%, 03/15/21

    368   
  147      

6.250%, 04/01/23

    136   
  

Williams Cos., Inc. (The),

 
  275      

3.700%, 01/15/23

    266   
  142      

7.750%, 06/15/31

    164   
  21      

Series A, 7.500%, 01/15/31

    24   
  

Windstream Services LLC,

 
  135      

7.500%, 06/01/22

    127   
  134      

7.500%, 04/01/23

    126   
  130      

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.750%, 12/15/18 (e)

    130   
  

WMG Acquisition Corp.,

 
  EUR 400      

4.125%, 11/01/24 (e)

    453   
  60      

4.875%, 11/01/24 (e)

    60   
  20      

5.000%, 08/01/23 (e)

    20   
  450      

5.625%, 04/15/22 (e)

    468   
  380      

6.750%, 04/15/22 (e)

    401   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         35   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

  

  

WPX Energy, Inc.,

 
  611      

5.250%, 09/15/24

    580   
  55      

6.000%, 01/15/22

    55   
  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

 
  240      

5.375%, 03/15/22

    246   
  295      

5.500%, 03/01/25 (e)

    296   
  

XPO Logistics, Inc.,

 
  125      

6.125%, 09/01/23 (e)

    128   
  265      

6.500%, 06/15/22 (e)

    276   
  20      

Xylem, Inc., 4.375%, 11/01/46

    20   
  

Zayo Group LLC/Zayo Capital, Inc.,

 
  395      

6.000%, 04/01/23

    415   
  90      

6.375%, 05/15/25

    95   
  

ZF North America Capital, Inc.,

 
  350      

4.000%, 04/29/20 (e)

    369   
  572      

4.500%, 04/29/22 (e)

    605   
  150      

4.750%, 04/29/25 (e)

    158   
  EUR 100      

Reg. S, 2.750%, 04/27/23

    117   
    

 

 

 
       232,423   
    

 

 

 
  

Total Corporate Bonds
(Cost $386,538)

    392,790   
    

 

 

 

 

Foreign Government Securities — 3.9%

  

  

Australia — 0.8%

 
  AUD 12,925      

Republic of Australia, Series 122, 5.250%, 03/15/19

    10,642   
    

 

 

 
  

Canada — 0.5%

 
  CAD 7,936      

Republic of Canada, 1.750%, 03/01/19

    6,081   
    

 

 

 
  

France — 0.4%

 
  

Republic of France,

 
  EUR 1,460      

3.250%, 05/25/45

    2,348   
  EUR 2,060      

4.750%, 04/25/35

    3,725   
    

 

 

 
       6,073   
    

 

 

 
  

Italy — 0.4%

 
  

Republic of Italy,

 
  EUR 797      

3.500%, 03/01/30 (e)

    1,036   
  EUR 3,810      

0.450%, 06/01/21

    4,163   
  EUR 562      

4.750%, 09/01/44 (e)

    865   
    

 

 

 
       6,064   
    

 

 

 
  

Japan — 1.0%

 
  JPY 1,500,000      

Government of Japan, Series 343, 0.100%, 06/20/26

    14,532   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Spain — 0.2%

 
  EUR 2,467      

Kingdom of Spain, 4.000%, 04/30/20 (e)

    3,079   
    

 

 

 
  

United Kingdom — 0.6%

 
  

United Kingdom Gilt,

 
  GBP 4,026      

1.000%, 09/07/17

    4,961   
  GBP 3,223      

1.750%, 01/22/17

    3,959   
    

 

 

 
       8,920   
    

 

 

 
  

Total Foreign Government Securities
(Cost $56,832)

    55,391   
    

 

 

 
SHARES               

 

Investment Company — 6.0%

  

  10,311      

JPMorgan Emerging Markets Debt Fund, Class R6 Shares (b)
(Cost $85,994)

    85,580   
    

 

 

 
PRINCIPAL
AMOUNT
              

 

Loan Assignments — 1.0%

  

  

Australia — 0.0% (g)

 
  184      

FMG Resources Pty, Ltd., Term Loan B, VAR, 3.750%, 06/30/19

    184   
    

 

 

 
  

Canada — 0.0% (g)

 
  238      

Concordia Healthcare Corp. Initial Dollar Term Loan, VAR, 5.250%, 10/21/21

    213   
    

 

 

 
  

Singapore — 0.0% (g)

 
  364      

Avago Technologies, Term A-2 Loan, VAR, 3.535%, 02/01/23

    368   
    

 

 

 
  

United Kingdom — 0.0% (g)

 
  260      

Virgin Media Investment Holdings Ltd., F Facility, VAR, 3.500%, 06/30/23

    261   
    

 

 

 
  

United States — 1.0%

 
  766      

Albertson’s LLC, Term Loan B-5, VAR, 4.750%, 12/21/22

    774   
  99      

Atkore International, Inc., 1st Lien Initial Term Loan, VAR, 4.500%, 04/09/21

    100   
  90      

Avaya, Inc., Term Loan B-3, VAR, 5.390%, 10/26/17 ^

    78   
  185      

Avaya, Inc., Term Loan B-6, VAR, 6.500%, 03/31/18 ^

    157   
  75      

Berry Plastics Corp., Term Loan G, VAR, 3.500%, 01/06/21

    75   
  780      

California Resources Corp., 1st Lien Second Out Term Loan, VAR, 11.375%, 08/05/21

    838   
  993      

Calpine Corp., Term Loan B, VAR, 4.000%, 01/15/23

    997   
  899      

Chesapeake Energy Corp., 1st Lien Last Out, VAR, 8.500%, 08/15/21 ^

    960   
  351      

Cincinnati Bell, Term Loan B, VAR, 4.000%, 09/10/20

    352   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Loan Assignments — continued

  

  

United States — continued

  

  427      

Citgo Holding, Inc., Term Loan, VAR, 9.500%, 05/12/18

    431   
  240      

Cortes NP Acquisition Corp., 1st Lien Term Loan B, VAR, 5%, 09/26/23 ^

    238   
  165      

Dell Software Group, Term Loan, VAR, 6.500%, 03/31/22 ^

    165   
  100      

Delta 2 Sarl, USD Facility B-3, VAR, 4.750%, 07/30/21 ^

    100   
  520      

Dynegy, Inc., 1st Lien Term Loan B, VAR, 5.000%, 06/27/23

    521   
  60      

Energy Future Intermediate Holding Co. LLC, Term Loan, VAR, 4.250%, 06/30/17

    60   
  630      

EP Energy LLC/Everest Acquisition LLC, 1st Lien Term Loan, VAR, 9.750%, 06/30/21 ^

    644   
  48      

FGI Operating Co. LLC, Term B Loan, VAR, 5.500%, 04/19/19

    45   
  501      

First Data Corp., 2021C New Dollar Term Loan, VAR, 3.524%, 03/24/21

    503   
  232      

Graton Economic Development Authority, Incremental Term B Loan, VAR, 4.750%, 09/01/22

    233   
  75      

Gray Television, Inc., Initial Term Loan, VAR, 3.938%, 06/13/21

    75   
  1,285      

Gulf Finance LLC, Term Loan B, VAR, 6.250%, 07/27/23

    1,254   
  72      

Intrawest Operations Group LLC, Term Loan, VAR, 4.500%, 12/09/20

    72   
  155      

Landry’s, Inc., 1st Lien Term Loan, VAR, 4.000%, 09/22/23

    156   
  70      

Media General, Inc., Term B Loan, VAR, 4.000%, 07/31/20

    70   
  216      

Microsemi Corp., Closing Date Term B Loan, VAR, 3.750%, 01/15/23

    218   
  72      

MTL Publishing LLC, Term B-3 Loan, VAR, 4.000%, 08/19/22

    72   
  349      

MultiPlan, Inc., 1st Lien Term Loan B, VAR, 5.000%, 06/07/23

    353   
  55      

NVLX Acquisition LLC, 1st Lien Term Loan, VAR, 6.000%, 12/05/21

    55   
  53      

NXP B.V./NXP Funding LLC, Tranche F Loan, VAR, 3.405%, 12/07/20

    54   
  142      

On Semiconductor Corp., Term Loan B, VAR, 3.777%, 03/31/23

    143   
  206      

Petco Animal Supplies, Inc., Tranche B-1 Term Loan, VAR, 5.000%, 01/26/23

    208   
  30      

Pinnacle Foods Finance LLC, 1st Lien Term Loan G, VAR, 3.387%, 04/29/20

    31   
  298      

Pinnacle Foods Finance LLC, Fourth Amendment Tranche I Term Loan, VAR, 3.284%, 01/13/23

    300   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

  

  192      

Revlon Consumer Products Corp., Term Loan B, VAR, 4.250%, 09/07/23

    192   
  5      

Rite Aid Corp., 2nd Lien Term Loan, VAR, 5.750%, 08/21/20

    5   
  247      

Sears Roebuck Acceptance Corp., Term Loan, VAR, 5.500%, 06/30/18

    242   
  4      

Serta Simmons Holdings, 1st Lien Senior Secured Term Loan, VAR, 4.250%, 10/01/19

    4   
  100      

Solar Winds Holdings, Inc., Initial U.S. Term Loan, VAR, 5.500%, 02/03/23

    100   
  238      

SUPERVALU, Inc., Term Loan B, VAR, 5.500%, 03/21/19

    238   
  165      

Syniverse Holdings, Inc., Initial Term Loan, VAR, 4.000%, 04/23/19

    152   
  8      

Syniverse Holdings, Inc., Tranche B Term Loan, VAR, 4.000%, 04/23/19

    7   
  142      

Texas Competitive Electric Holdings Co. LLC, 1st Lien Term Loan C, VAR, 5.000%, 08/04/23

    144   
  625      

Texas Competitive Electric Holdings Co. LLC, Term Loan B, VAR, 5.000%, 08/04/23

    630   
  461      

UPC Financing Partnership, Term Loan AN, VAR, 4.080%, 08/31/24

    464   
  271      

Viskase Cos., Inc., Initial Term Loan, VAR, 4.376%, 01/30/21

    255   
  602      

Western Refining, Inc., 1st Lien Term Loan B, VAR, 5.500%, 06/23/23

    601   
  247      

XPO Logistics, Inc., Term Loan B, VAR, 4.250%, 10/31/21

    249   
    

 

 

 
       13,615   
    

 

 

 
  

Total Loan Assignments
(Cost $14,397)

    14,641   
    

 

 

 
NUMBER OF
CONTRACTS
              

 

Options Purchased — 0.3%

 
  

United States — 0.3%

 
  

Call Options Purchased — 0.3%

 
  EUR      846      

Euro STOXX 50 Index, expiring 12/16/16 at EUR 3,050.00, European Style

    821   
  7,685      

iShares MSCI Emerging Markets ETF, expiring 12/16/16 at $37.50, American Style

    749   
  15,925      

iShares MSCI Emerging Markets ETF, expiring 12/16/16 at $38.50, American Style

    836   
  660      

S&P 500 Index, expiring 12/16/16 at $2,150.00, European Style

    1,931   
    

 

 

 
  

Total Options Purchased
(Cost $8,592)

    4,337   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         37   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   VALUE  

 

Preferred Securities — 0.8% (x)

 
 

Cayman Islands — 0.1%

 
  780     

XLIT Ltd., Series E, VAR, 6.500%, 04/15/17

    598   
   

 

 

 
 

France — 0.1%

 
  EUR 500     

Arkema S.A., Reg. S, VAR, 4.750%, 10/29/20

    583   
  248     

Credit Agricole S.A., VAR, 8.125%, 12/23/25 (e)

    266   
 

Societe Generale S.A.,

 
  EUR 600     

Reg. S, VAR, 9.375%, 09/04/19

    796   
  200     

VAR, 7.375%, 09/13/21 (e)

    199   
   

 

 

 
      1,844   
   

 

 

 
 

Luxembourg — 0.1%

 
  EUR 900     

SES S.A., Reg. S, VAR, 4.625%, 01/02/22

    1,015   
   

 

 

 
 

Netherlands — 0.3%

 
  EUR 1,000     

Gas Natural Fenosa Finance B.V., Reg. S, VAR, 4.125%, 11/18/22

    1,132   
 

Telefonica Europe B.V.,

 
  EUR 2,700     

Reg. S, VAR, 5.000%, 03/31/20

    3,083   
  EUR 500     

Reg. S, VAR, 7.625%, 09/18/21

    632   
   

 

 

 
      4,847   
   

 

 

 
 

United Kingdom — 0.1%

 
  400     

Barclays plc, VAR, 8.250%, 12/15/18

    405   
 

Royal Bank of Scotland Group plc,

 
  200     

VAR, 7.500%, 08/10/20

    184   
  200     

VAR, 8.625%, 08/15/21

    199   
   

 

 

 
      788   
   

 

 

 
 

United States — 0.1%

 
  410     

Bank of America Corp., Series AA, VAR, 6.100%, 03/17/25

    428   
 

Citigroup, Inc.,

 
  15     

Series P, VAR, 5.950%, 05/15/25

    15   
  415     

Series Q, VAR, 5.950%, 08/15/20

    426   
  560     

Series R, VAR, 6.125%, 11/15/20

    586   
  240     

Series T, VAR, 6.250%, 08/15/26

    258   
  95     

VAR, 5.950%, 01/30/23

    99   
   

 

 

 
      1,812   
   

 

 

 
 

Total Preferred Securities
(Cost $10,746)

    10,904   
   

 

 

 
SHARES              

 

Preferred Stocks — 0.3%

 
 

Brazil — 0.1%

 
  104     

Itau Unibanco Holding S.A. ($— par value)

    1,256   
   

 

 

 
 

Cayman Islands — 0.0% (g)

 
  (h)   

XLIT Ltd., Series D, VAR, 4.000%, 11/28/16 ($1,000 par value) @

    67   
   

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

Germany — 0.2%

  

  17      

Henkel AG & Co. KGaA ($— par value)

    2,207   
  3      

Volkswagen AG ($— par value)

    481   
    

 

 

 
       2,688   
    

 

 

 
  

United States — 0.0% (g)

 

  1      

GMAC Capital Trust I, Series 2, VAR, 6.602%, 02/15/40 ($25 par value)

    16   
    

 

 

 
  

Total Preferred Stocks
(Cost $3,306)

    4,027   
    

 

 

 
NUMBER OF
RIGHTS
              

 

Rights — 0.0% (g)

 

  

Spain — 0.0% (g)

  

  298      

Banco Santander S.A., expiring 11/01/16 (a)
(Cost $15)

    17   
    

 

 

 
PRINCIPAL
AMOUNT
              

 

U.S. Treasury Obligations — 2.3%

  

  

U.S. Treasury Bonds,

 
  2,952      

3.625%, 08/15/43

    3,594   
  3,790      

3.750%, 08/15/41

    4,668   
  580      

5.375%, 02/15/31

    824   
  627      

6.125%, 08/15/29

    921   
  

U.S. Treasury Notes,

 
  20,251      

0.500%, 01/31/17 (k)

    20,261   
  2,088      

2.125%, 05/15/25

    2,148   
    

 

 

 
  

Total U.S. Treasury Obligations
(Cost $33,086)

    32,416   
    

 

 

 
SHARES               

 

Short-Term Investments — 4.4%

  

  

Foreign Government Treasury Bill — 0.3%

  

  CAD 6,609      

Canadian Treasury Bill, 0.554%, 08/24/17 (n)

    4,906   
    

 

 

 
  

Investment Company — 4.1%

  

  58,351      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)

    58,351   
    

 

 

 
  

Total Short-Term Investments
(Cost $63,334)

    63,257   
    

 

 

 
  

Total Investments — 99.5%
(Cost $1,390,884)

    1,423,491   
  

Other Assets in Excess of
Liabilities — 0.5%

    7,291   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,430,782   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Investment Companies

     6.0

Banks

     5.8  

Asset-Backed Securities

     4.5  

Oil, Gas & Consumable Fuels

     4.5  

Foreign Government Securities

     3.9  

Diversified Telecommunication Services

     3.5  

Media

     3.5  

Pharmaceuticals

     3.0  

Non-Agency CMO

     2.7  

Insurance

     2.5  

Health Care Providers & Services

     2.5  

Hotels, Restaurants & Leisure

     2.3  

Metals & Mining

     2.0  

Internet Software & Services

     2.0  

Software

     1.8  

Food Products

     1.8  

Automobiles

     1.7  

Food & Staples Retailing

     1.7  
INDUSTRY    PERCENTAGE  

Capital Markets

     1.6 %

Wireless Telecommunication Services

     1.6  

Semiconductors & Semiconductor Equipment

     1.6  

U.S. Treasury Notes

     1.6  

Chemicals

     1.5  

Electric Utilities

     1.5  

IT Services

     1.5  

Specialty Retail

     1.4  

Containers & Packaging

     1.2  

Auto Components

     1.2  

Beverages

     1.1  

Industrial Conglomerates

     1.1  

Construction Materials

     1.0  

Internet & Direct Marketing Retail

     1.0  

Machinery

     1.0  

Biotechnology

     1.0  

Others (each less than 1.0%)

     19.0   

Short-Term Investments

     4.4   
 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  8        

TOPIX Index

       12/08/16           JPY           1,061           45   
  33        

10 Year Mini Japanese Government Bond

       12/12/16           JPY           4,773           3   
  2        

SPI 200 Index

       12/15/16           AUD           201           2   
  105        

E-mini Russell 2000

       12/16/16           USD           12,509           (198
  170        

E-mini S&P 500

       12/16/16           USD           18,021           24   
  44        

Euro STOXX 50 Index

       12/16/16           EUR           1,475           39   
  15        

FTSE 100 Index

       12/16/16           GBP           1,270           54   
  1,121        

Mini MSCI Emerging Markets Index

       12/16/16           USD           50,641           34   
  302        

10 Year U.S. Treasury Note

       12/20/16           USD           39,147           (246
  12        

U.S. Treasury Long Bond

       12/20/16           USD           1,953           (94
    

Short Futures Outstanding

                   
  (23     

Euro Bund

       12/08/16           EUR           (4,095        27   
  (9     

Euro-Buxl 30-Year Bond

       12/08/16           EUR           (1,777        (h) 
  (321     

TOPIX Index

       12/08/16           JPY           (42,591        (1,988
  (2,001     

Euro STOXX 50 Index

       12/16/16           EUR           (67,091        (1,981
  (24     

Long Gilt

       12/28/16           GBP           (3,682        116   
                        

 

 

 
                           (4,163
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         39   


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

 

Forward Foreign Currency Exchange Contracts  
CONTRACTS
TO BUY
    CURRENCY    COUNTERPARTY    SETTLEMENT
DATE
     SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  15,505      AUD   

Australia & New Zealand Banking Group Limited

     12/30/16         11,608         11,777         169   
  254      AUD   

Societe Generale

     12/30/16         190         193         3   
  8,771      CAD   

Royal Bank of Canada

     12/30/16         6,666         6,542         (124
  1,707      EUR   

Australia & New Zealand Banking Group Limited

     12/30/16         1,921         1,879         (42
  512      EUR   

Merrill Lynch International

     12/30/16         574         563         (11
  357      EUR   

Morgan Stanley

     12/30/16         393         393         (h) 
  15,320      EUR   

Societe Generale

     12/30/16         17,286         16,864         (422
  778      EUR   

Standard Chartered Bank

     12/30/16         861         856         (5
  201      GBP   

Australia & New Zealand Banking Group Limited

     12/30/16         249         246         (3
  367      GBP   

Morgan Stanley

     12/30/16         450         449         (1
  167      GBP   

Standard Chartered Bank

     12/30/16         204         205         1   
             40,402         39,967         (435

 

 

 

 

CONTRACTS
TO SELL
    CURRENCY      COUNTERPARTY    SETTLEMENT
DATE
     SETTLEMENT
VALUE
     VALUE AT
OCTOBER 31, 2016
     NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  29,803        AUD      

Royal Bank of Canada

     12/30/16         22,782         22,637         145   
  1,320        CAD      

Goldman Sachs International

     11/30/16         986         984         2   
  5,250        CAD      

Royal Bank of Canada

     11/30/16         3,942         3,915         27   
  17,199        CAD      

Citibank, N.A.

     12/30/16         13,194         12,829         365   
  1,249        EUR      

Australia & New Zealand Banking Group Limited

     12/30/16         1,407         1,375         32   
  142,207        EUR      

Citibank, N.A.

     12/30/16         160,318         156,548         3,770   
  661        EUR      

Credit Suisse International

     12/30/16         746         728         18   
  324        EUR      

Merrill Lynch International

     12/30/16         354         357         (3
  449        EUR      

Morgan Stanley

     12/30/16         491         494         (3
  626        EUR      

Societe Generale

     12/30/16         688         689         (1
  432        EUR      

Standard Chartered Bank

     12/30/16         476         475         1   
  809        GBP      

Australia & New Zealand Banking Group Limited

     11/30/16         985         991         (6
  6,503        GBP      

Citibank, N.A.

     11/30/16         7,960         7,964         (4
  394        GBP      

Australia & New Zealand Banking Group Limited

     12/30/16         483         483         (h) 
  5,136        GBP      

Morgan Stanley

     12/30/16         6,717         6,295         422   
  1,531,115        JPY      

Credit Suisse International

     12/30/16         15,295         14,639         656   
             236,824         231,403         5,421   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — 4.5%

  

  

United States — 4.5%

  

  

ABFC Trust,

 
  328      

Series 2003-OPT1, Class A1A, VAR, 1.354%, 04/25/33

    319   
  2,082      

Series 2004-HE1, Class M1, VAR, 1.434%, 03/25/34

    1,950   
  1,486      

Series 2004-OPT3, Class M1, VAR, 1.284%, 09/25/33

    1,405   
  3,102      

Series 2004-OPT5, Class A1, VAR, 1.234%, 06/25/34

    2,931   
  1,558      

Series 2005-WF1, Class M1, VAR, 1.074%, 11/25/34

    1,478   
  1,443      

Accredited Mortgage Loan Trust, Series 2004-4, Class M1, VAR, 1.404%, 01/25/35

    1,337   
  

ACE Securities Corp. Home Equity Loan Trust,

 
  1,318      

Series 2003-FM1, Class M1, VAR, 1.824%, 11/25/32

    1,191   
  1,518      

Series 2003-HE1, Class M1, VAR, 1.509%, 11/25/33

    1,435   
  954      

Series 2003-NC1, Class M1, VAR, 1.704%, 07/25/33

    914   
  4,360      

Series 2003-OP1, Class M1, VAR, 1.584%, 12/25/33

    4,165   
  1,154      

Series 2004-HE2, Class M1, VAR, 1.569%, 10/25/34

    1,095   
  2,791      

Series 2004-HE4, Class M2, VAR, 1.509%, 12/25/34

    2,740   
  4,575      

Series 2004-OP1, Class M2, VAR, 2.109%, 04/25/34

    4,334   
  1,090      

American Homes 4 Rent, Series 2014-SFR1, Class D, VAR, 2.635%, 06/17/31 (e)

    1,089   
  768      

Ameriquest Mortgage Securities, Inc. Asset-Backed Certificates, Series 2002-AR1, Class M1, VAR, 1.596%, 09/25/32

    707   
  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  1,401      

Series 2003-13, Class M1, VAR, 1.554%, 01/25/34

    1,283   
  604      

Series 2003-13, Class M2, VAR, 3.084%, 01/25/34

    572   
  916      

Series 2004-R1, Class A2, VAR, 1.134%, 02/25/34

    812   
  5,354      

Series 2004-R1, Class M1, VAR, 1.329%, 02/25/34

    4,961   
  560      

Series 2004-R1, Class M2, VAR, 1.404%, 02/25/34

    515   
  95      

Series 2004-R3, Class A1B, VAR, 1.234%, 05/25/34

    95   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  374      

Series 2004-R8, Class M1, VAR, 1.494%, 09/25/34

    372   
  1,922      

Argent Securities, Inc., Series 2004-W4, Class A, VAR, 1.054%, 03/25/34

    1,802   
  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  1,326      

Series 2003-W5, Class M2, VAR, 3.309%, 10/25/33

    1,266   
  824      

Series 2004-W2, Class M2, VAR, 2.409%, 04/25/34

    780   
  608      

Series 2004-W2, Class M3, VAR, 2.634%, 04/25/34

    539   
  2,249      

Series 2004-W3, Class A3, VAR, 1.354%, 02/25/34

    2,049   
  1,489      

Series 2004-W6, Class M1, VAR, 1.359%, 05/25/34

    1,429   
  596      

Series 2004-W7, Class M2, VAR, 1.434%, 05/25/34

    553   
  

Asset-Backed Securities Corp. Home Equity Loan Trust,

 
  2,583      

Series 2001-HE3, Class A1, VAR, 1.075%, 11/15/31

    2,440   
  77      

Series 2001-HE3, Class M1, VAR, 1.435%, 11/15/31

    77   
  211      

Series 2003-HE3, Class M2, VAR, 3.535%, 06/15/33

    202   
  1,819      

Series 2003-HE4, Class M1, VAR, 1.769%, 08/15/33

    1,727   
  1,932      

Series 2004-HE2, Class M2, VAR, 2.409%, 04/25/34

    1,765   
  1,391      

Series 2004-HE7, Class M2, VAR, 2.109%, 10/25/34

    1,318   
  1,243      

Bayview Financial Acquisition Trust, Series 2006-D, Class 1A5, SUB, 5.668%, 12/28/36

    1,221   
  464      

Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A2, SUB, 5.638%, 11/28/36

    461   
  

Bear Stearns Asset-Backed Securities I Trust,

 
  5,845      

Series 2004-HE6, Class M2, VAR, 2.409%, 08/25/34

    5,578   
  2,569      

Series 2004-HE11, Class M2, VAR, 2.109%, 12/25/34

    2,521   
  

Bear Stearns Asset-Backed Securities Trust,

 
  887      

Series 2003-1, Class M1, VAR, 2.184%, 11/25/42

    837   
  585      

Series 2003-SD1, Class A, VAR, 1.434%, 12/25/33

    552   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         41   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

  

  

United States — continued

  

  1,156      

Series 2003-SD1, Class M1, VAR, 1.809%, 12/25/33

    1,099   
  1,687      

Series 2004-HE2, Class M2, VAR, 2.334%, 03/25/34

    1,621   
  2,227      

Series 2004-SD4, Class A1, VAR, 1.434%, 08/25/44

    2,128   
  770      

CDC Mortgage Capital Trust, Series 2003-HE1, Class M1, VAR, 1.884%, 08/25/33

    741   
  

Centex Home Equity Loan Trust,

 
  6,641      

Series 2004-A, Class M1, VAR, 1.134%, 01/25/34

    6,257   
  917      

Series 2004-C, Class M2, VAR, 1.329%, 06/25/34

    800   
  603      

Series 2004-D, Class MF2, SUB, 5.560%, 09/25/34

    551   
  1,640      

Series 2004-D, Class MF3, SUB, 5.760%, 09/25/34

    1,256   
  275      

Series 2004-D, Class MV2, VAR, 1.224%, 09/25/34

    222   
  

Chase Funding Loan Acquisition Trust,

 
  1,263      

Series 2004-AQ1, Class M1, VAR, 1.629%, 05/25/34

    1,148   
  2,096      

Series 2004-OPT1, Class M2, VAR, 2.034%, 06/25/34

    2,022   
  

Chase Funding Trust,

 
  1,553      

Series 2003-4, Class 1A5, SUB, 5.318%, 05/25/33

    1,595   
  200      

Series 2003-4, Class 2M1, VAR, 1.434%, 03/25/33

    192   
  568      

Series 2003-5, Class 1M2, VAR, 5.641%, 09/25/32

    506   
  2,345      

Series 2003-6, Class 2A2, VAR, 1.114%, 11/25/34

    2,065   
  2,664      

Series 2003-6, Class 2M1, VAR, 1.284%, 11/25/34

    2,493   
  1,162      

Series 2004-1, Class 1M1, 4.725%, 05/25/33

    1,126   
  1,231      

Series 2004-1, Class 2M1, VAR, 1.284%, 09/25/33

    1,138   
  2,212      

Series 2004-2, Class 1M1, VAR, 5.700%, 02/26/35

    2,064   
  1,566      

CHEC Loan Trust, Series 2004-1, Class M1, VAR,1.434%, 07/25/34

    1,393   
  

Citigroup Mortgage Loan Trust, Inc.,

 
  309      

Series 2005-OPT1, Class M4, VAR, 1.584%, 02/25/35

    267   
  178      

Series 2005-WF2, Class AF7, SUB, 5.249%, 08/25/35

    162   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  

Countrywide Asset-Backed Certificates,

 
  281      

Series 2002-3, Class M1, VAR, 1.659%, 03/25/32

    276   
  1,129      

Series 2002-4, Class M1, VAR, 1.659%, 12/25/32

    1,048   
  1,345      

Series 2003-3, Class 3A, VAR, 1.074%, 11/25/33

    1,252   
  10,710      

Series 2004-2, Class M1, VAR, 1.284%, 05/25/34

    10,173   
  3,612      

Series 2004-3, Class M1, VAR, 1.284%, 06/25/34

    3,425   
  669      

Series 2004-3, Class M2, VAR, 1.359%, 06/25/34

    626   
  1,353      

Series 2004-BC1, Class M1, VAR, 1.284%, 02/25/34

    1,285   
  319      

Series 2004-BC4, Class M1, VAR, 1.584%, 11/25/34

    306   
  1,020      

Series 2004-ECC2, Class M2, VAR, 1.509%, 12/25/34

    981   
  5,090      

Series 2005-AB3, Class 1A1, VAR, 0.784%, 02/25/36

    4,502   
  10,334      

Series 2006-19, Class 2A2, VAR, 0.694%, 03/25/37

    9,959   
  1,352      

Countrywide Partnership Trust, Series 2004-EC1, Class M2, VAR, 1.479%, 01/25/35

    1,246   
  

Credit-Based Asset Servicing & Securitization LLC,

 
  2,932      

Series 2003-CB6, Class M1, VAR, 1.584%, 12/25/33 (d)

    2,717   
  1,645      

Series 2004-CB2, Class M1, VAR, 1.314%, 07/25/33

    1,516   
  712      

Series 2005-CB8, Class AF2, SUB, 3.981%, 12/25/35

    704   
  

CWABS, Inc. Asset-Backed Certificates,

 
  4,405      

Series 2003-BC1, Class A1, VAR, 1.334%, 03/25/33

    4,186   
  795      

Series 2004-1, Class M2, VAR, 1.359%, 03/25/34

    737   
  1,427      

Series 2004-1, Class M3, VAR, 1.509%, 02/25/34

    1,329   
  

CWABS, Inc. Asset-Backed Certificates Trust,

 
  2,095      

Series 2004-5, Class M2, VAR, 1.539%, 07/25/34

    2,020   
  855      

Series 2004-6, Class M2, VAR, 1.509%, 10/25/34

    806   
  349      

Series 2005-11, Class AF6, VAR, 4.726%, 02/25/36

    361   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

  

  

United States — continued

  

  502      

Equity One Mortgage Pass-Through Trust, Series 2003-4, Class M1, SUB, 5.869%, 10/25/34

    485   
  210      

Finance America Mortgage Loan Trust, Series 2004-3, Class M2, VAR, 1.479%, 11/25/34

    162   
  

First Franklin Mortgage Loan Asset-Backed Certificates,

 
  1,029      

Series 2004-FF3, Class M1, VAR, 1.359%, 05/25/34

    959   
  10,500      

Series 2005-FF11, Class M1, VAR, 1.179%, 11/25/35

    9,907   
  

First Franklin Mortgage Loan Trust,

 
  5,649      

Series 2003-FF5, Class M1, VAR, 1.434%, 03/25/34

    5,283   
  2,512      

Series 2004-FF5, Class A1, VAR, 1.254%, 08/25/34

    2,402   
  12,608      

Series 2005-FF10, Class A1, VAR, 0.834%, 11/25/35

    11,433   
  2,123      

Series 2005-FF10, Class A4, VAR, 0.854%, 11/25/35

    2,105   
  310      

Series 2005-FF11, Class A2D, VAR, 1.214%, 11/25/35

    310   
  1,554      

Series 2006-FF8, Class IIA3, VAR, 0.684%, 07/25/36

    1,490   
  

Fremont Home Loan Trust,

 
  2,228      

Series 2003-A, Class M1, VAR, 1.509%, 08/25/33

    2,089   
  2,321      

Series 2004-2, Class M2, VAR, 1.464%, 07/25/34

    2,241   
  2,135      

Series 2004-A, Class M1, VAR, 1.359%, 01/25/34

    1,960   
  558      

Series 2004-B, Class M2, VAR, 1.479%, 05/25/34

    498   
  1,021      

Series 2004-C, Class M1, VAR, 1.509%, 08/25/34

    964   
  1,799      

Series 2004-D, Class M1, VAR, 1.404%, 11/25/34

    1,608   
  1,323      

Series 2004-D, Class M2, VAR, 1.434%, 11/25/34

    1,263   
  1,416      

GSAA Trust, Series 2005-6, Class A3, VAR, 0.904%, 06/25/35

    1,404   
  

GSAMP Trust,

 
  2,504      

Series 2003-HE1, Class M1, VAR, 1.771%, 06/20/33

    2,450   
  1,571      

Series 2003-SEA, Class A1, VAR, 0.934%, 02/25/33

    1,459   
  951      

Series 2005-HE3, Class M2, VAR, 1.539%, 06/25/35

    938   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  2,356      

Series 2005-NC1, Class M1, VAR, 1.209%, 02/25/35

    2,306   
  3,395      

Series 2006-FM1, Class A2C, VAR, 0.694%, 04/25/36

    2,089   
  7,226      

Series 2006-HE3, Class A2C, VAR, 0.694%, 05/25/46

    6,729   
  2,661      

Series 2006-HE4, Class A2C, VAR, 0.684%, 06/25/36

    2,522   
  6,960      

Series 2007-SEA1, Class A, VAR, 0.834%, 12/25/36 (e)

    6,452   
  

Home Equity Asset Trust,

 
  4,400      

Series 2002-5, Class M1, VAR, 2.234%, 05/25/33

    4,227   
  1,069      

Series 2003-3, Class M1, VAR, 1.824%, 08/25/33

    1,027   
  443      

Series 2004-6, Class M2, VAR, 1.434%, 12/25/34

    387   
  4,100      

Series 2005-7, Class M1, VAR, 0.984%, 01/25/36

    3,951   
  

Home Equity Mortgage Loan Asset-Backed Trust,

 
  601      

Series 2004-B, Class M2, VAR, 1.659%, 11/25/34

    558   
  10,034      

Series 2004-C, Class M1, VAR, 1.374%, 03/25/35

    9,343   
  1,061      

Series 2004-C, Class M2, VAR, 1.434%, 03/25/35

    950   
  1,396      

Series 2006-B, Class 2A3, VAR, 0.724%, 06/25/36

    1,324   
  

Invitation Homes Trust,

 
  2,520      

Series 2013-SFR1, Class C, VAR, 2.374%, 12/17/30 (e)

    2,518   
  3,050      

Series 2013-SFR1, Class E, VAR, 3.174%, 12/17/30 (e)

    3,028   
  418      

JP Morgan Mortgage Acquisition Trust, Series 2006-NC1, Class A4, VAR, 0.704%, 04/25/36

    412   
  

Long Beach Mortgage Loan Trust,

 
  945      

Series 2001-2, Class M1, VAR, 1.365%, 07/25/31

    896   
  2,921      

Series 2002-5, Class M1, VAR, 1.779%, 11/25/32

    2,811   
  453      

Series 2003-4, Class M1, VAR, 1.554%, 08/25/33

    432   
  975      

Series 2004-3, Class M2, VAR, 1.434%, 07/25/34

    921   
  636      

Series 2004-3, Class M4, VAR, 2.147%, 07/25/34

    598   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         43   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

  

  

United States — continued

  

  684      

Series 2004-3, Class M6, VAR, 2.672%, 07/25/34

    641   
  2,132      

Series 2004-4, Class M1, VAR, 1.434%, 10/25/34

    1,954   
  337      

Series 2005-WL2, Class M1, VAR, 1.239%, 08/25/35

    335   
  

MASTR Asset-Backed Securities Trust,

 
  2,100      

Series 2004-OPT2, Class M1, VAR, 1.434%, 09/25/34

    1,982   
  1,016      

Series 2004-OPT2, Class M2, VAR, 1.509%, 09/25/34

    901   
  2,641      

Series 2005-NC1, Class M2, VAR, 1.284%, 12/25/34

    2,542   
  

Merrill Lynch Mortgage Investors Trust,

 
  582      

Series 2003-OPT1, Class M1, VAR, 1.509%, 07/25/34

    539   
  466      

Series 2004-HE2, Class M1, VAR, 1.734%, 08/25/35

    445   
  112      

Series 2004-WMC5, Class M5, VAR, 2.259%, 07/25/35

    108   
  2,281      

Series 2005-FM1, Class M1, VAR, 1.014%, 05/25/36

    2,107   
  

Morgan Stanley ABS Capital I, Inc. Trust,

 
  1,218      

Series 2003-NC10, Class M1, VAR, 1.554%, 10/25/33

    1,159   
  8,829      

Series 2004-HE1, Class M1, VAR, 1.389%, 01/25/34

    8,424   
  706      

Series 2004-HE2, Class M2, VAR, 2.334%, 03/25/34

    665   
  1,033      

Series 2004-HE2, Class M3, VAR, 2.709%, 03/25/34

    576   
  4,476      

Series 2004-HE3, Class M1, VAR, 1.389%, 03/25/34

    4,280   
  1,490      

Series 2004-HE3, Class M2, VAR, 2.409%, 03/25/34

    1,425   
  1,395      

Series 2004-HE6, Class M1, VAR, 1.359%, 08/25/34

    1,353   
  1,429      

Series 2004-HE6, Class M2, VAR, 1.434%, 08/25/34

    1,355   
  948      

Series 2004-HE6, Class M3, VAR, 1.509%, 08/25/34

    806   
  1,278      

Series 2004-HE7, Class M2, VAR, 1.479%, 08/25/34

    1,265   
  91      

Series 2004-HE7, Class M3, VAR, 1.554%, 08/25/34

    87   
  2,600      

Series 2004-HE8, Class M1, VAR, 1.494%, 09/25/34

    2,456   
  1,331      

Series 2004-HE8, Class M2, VAR, 1.554%, 09/25/34

    1,292   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  840      

Series 2004-HE8, Class M3, VAR, 1.659%, 09/25/34

    792   
  2,955      

Series 2004-NC3, Class M1, VAR, 1.329%, 03/25/34

    2,780   
  5,820      

Series 2004-NC5, Class M1, VAR, 1.434%, 05/25/34

    5,412   
  772      

Series 2004-NC6, Class M2, VAR, 2.409%, 07/25/34

    687   
  302      

Series 2004-NC7, Class M3, VAR, 1.509%, 07/25/34

    268   
  702      

Series 2004-NC8, Class M3, VAR, 1.644%, 09/25/34

    662   
  1,894      

Series 2004-OP1, Class M2, VAR, 1.449%, 11/25/34

    1,838   
  995      

Series 2004-OP1, Class M3, VAR, 1.554%, 11/25/34

    913   
  2,298      

Series 2004-WMC2, Class M1, VAR, 1.449%, 07/25/34

    2,198   
  1,155      

Series 2004-WMC2, Class M2, VAR, 2.334%, 07/25/34

    1,111   
  3,341      

Series 2004-WMC3, Class M2, VAR, 1.329%, 01/25/35

    2,995   
  490      

Series 2005-HE1, Class M2, VAR, 1.239%, 12/25/34

    425   
  1,326      

Series 2005-HE1, Class M3, VAR, 1.314%, 12/25/34

    1,089   
  311      

Series 2005-NC1, Class M3, VAR, 1.299%, 01/25/35

    252   
  

New Century Home Equity Loan Trust,

 
  578      

Series 2003-3, Class M1, VAR, 1.719%, 07/25/33

    558   
  954      

Series 2003-B, Class M2, VAR, 3.009%, 11/25/33

    936   
  3,350      

Series 2004-1, Class M1, VAR, 1.419%, 05/25/34

    3,106   
  245      

Series 2004-2, Class M2, VAR, 1.464%, 08/25/34

    227   
  1,139      

Series 2004-2, Class M4, VAR, 2.334%, 08/25/34

    1,068   
  972      

Series 2004-2, Class M6, VAR, 2.784%, 08/25/34

    906   
  2,670      

Series 2004-3, Class M2, VAR, 1.509%, 11/25/34

    2,598   
  505      

Series 2004-3, Class M3, VAR, 1.599%, 11/25/34

    421   
  5,678      

Series 2004-4, Class M1, VAR, 1.299%, 02/25/35

    5,232   
  634      

Series 2004-4, Class M2, VAR, 1.329%, 02/25/35

    554   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

  

  

United States — continued

  

  309      

Series 2005-1, Class M3, VAR, 1.314%, 03/25/35

    245   
  3,035      

Series 2006-2, Class A2B, VAR, 0.694%, 08/25/36

    2,542   
  

NovaStar Mortgage Funding Trust,

 
  1,191      

Series 2003-2, Class M2, VAR, 2.956%, 09/25/33

    1,140   
  717      

Series 2003-3, Class M2, VAR, 2.184%, 12/25/33

    710   
  4,395      

Series 2004-2, Class M4, VAR, 2.334%, 09/25/34

    3,960   
  

Option One Mortgage Acceptance Corp. Asset-Backed Certificates,

 
  1,746      

Series 2003-2, Class M1, VAR, 1.509%, 04/25/33

    1,608   
  1,518      

Series 2003-3, Class M1A, VAR, 2.094%, 06/25/33

    1,440   
  6,772      

Series 2003-5, Class A1, VAR, 1.174%, 08/25/33

    6,455   
  555      

Series 2003-5, Class A2, VAR, 1.174%, 08/25/33

    530   
  399      

Series 2003-5, Class M2, VAR, 2.859%, 08/25/33

    364   
  

Option One Mortgage Loan Trust,

 
  5,388      

Series 2002-3, Class A1, VAR, 1.034%, 08/25/32

    5,115   
  974      

Series 2002-3, Class A2, VAR, 1.074%, 08/25/32

    905   
  1,652      

Series 2003-1, Class A2, VAR, 1.374%, 02/25/33

    1,588   
  9,830      

Series 2004-2, Class M1, VAR, 1.329%, 05/25/34

    9,178   
  754      

Series 2004-3, Class M2, VAR, 1.389%, 11/25/34

    683   
  1,910      

People’s Choice Home Loan Securities Trust, Series 2004-2, Class M3, VAR, 2.259%, 10/25/34

    1,360   
  

Pretium Mortgage Credit Partners I LLC,

 
  3,369      

Series 2015-NPL4, Class A1, SUB, 4.375%, 11/27/30 (e)

    3,396   
  6,096      

Series 2016-NPL1, Class A1, SUB, 4.375%, 02/27/31 (e)

    6,156   
  9,905      

Series 2016-NPL3, Class A1, SUB, 4.375%, 05/27/31 (e)

    10,000   
  2,820      

RAAC Trust, Series 2005-RP3, Class M1, VAR, 1.325%, 05/25/39 (e)

    2,748   
  

RAMP Trust,

 
  742      

Series 2002-RS2, Class AI5, VAR, 6.030%, 03/25/32

    756   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  106      

Series 2004-RS11, Class M1, VAR, 1.464%, 11/25/34

    105   
  

RASC Trust,

 
  834      

Series 2001-KS3, Class AII, VAR, 0.994%, 09/25/31

    797   
  5,914      

Series 2005-EMX1, Class M1, VAR, 1.179%, 03/25/35

    5,643   
  2,621      

Series 2006-KS5, Class A3, VAR, 0.694%, 07/25/36

    2,577   
  343      

Series 2006-KS7, Class A3, VAR, 0.684%, 09/25/36

    341   
  

Renaissance Home Equity Loan Trust,

 
  1,929      

Series 2002-3, Class M1, VAR, 2.034%, 12/25/32

    1,893   
  628      

Series 2003-1, Class M1, VAR, 2.034%, 06/25/33

    571   
  1,684      

Series 2003-3, Class M1, VAR, 1.264%, 12/25/33

    1,549   
  1,515      

Series 2003-3, Class M2F, SUB, 5.681%, 12/25/33

    1,478   
  2,950      

Series 2003-4, Class M1, VAR, 1.384%, 03/25/34

    2,735   
  1,295      

Series 2003-4, Class M2F, SUB, 5.744%, 03/25/34

    1,124   
  881      

Series 2004-1, Class M1, VAR, 1.114%, 05/25/34

    818   
  697      

Series 2005-1, Class AF6, SUB, 4.970%, 05/25/35

    713   
  1,164      

Series 2005-2, Class AV3, VAR, 0.904%, 08/25/35

    1,014   
  1,237      

Series 2005-4, Class A3, SUB, 5.565%, 02/25/36

    1,240   
  1,393      

SASCO Mortgage Loan Trust, Series 2004-GEL3, Class M1, VAR, 2.109%, 08/25/34

    1,322   
  

Saxon Asset Securities Trust,

 
  5,737      

Series 2003-3, Class M1, VAR, 1.509%, 12/25/33

    5,455   
  353      

Series 2004-2, Class AF3, VAR, 5.105%, 08/25/35

    354   
  1,629      

Series 2004-2, Class MV2, VAR, 2.334%, 08/25/35

    1,564   
  3,766      

Series 2005-2, Class M2, VAR, 1.194%, 10/25/35

    3,299   
  

Securitized Asset-Backed Receivables LLC Trust,

 
  3,016      

Series 2004-NC1, Class M1, VAR, 1.314%, 02/25/34

    2,835   
  994      

Series 2004-OP1, Class M2, VAR, 2.184%, 02/25/34

    936   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         45   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   VALUE  

 

Asset-Backed Securities — continued

  

 

United States — continued

  

  4,322     

Series 2004-OP2, Class M1, VAR, 1.509%, 08/25/34

    4,097   
  1,830     

Series 2005-FR2, Class M2, VAR, 1.509%, 03/25/35

    1,764   
  2,687     

Series 2005-OP1, Class M2, VAR, 1.209%, 01/25/35

    2,486   
  3,055     

Soundview Home Loan Trust, Series 2006-OPT3, Class 2A3, VAR, 0.704%, 06/25/36

    2,825   
 

Specialty Underwriting & Residential Finance Trust,

 
  2,430     

Series 2004-BC1, Class M2, VAR, 2.139%, 02/25/35

    2,273   
  1,620     

Series 2004-BC3, Class M1, VAR, 1.464%, 07/25/35

    1,559   
 

Structured Asset Investment Loan Trust,

 
  470     

Series 2003-BC3, Class M1, VAR, 1.959%, 04/25/33

    464   
  3,432     

Series 2003-BC6, Class M1, VAR, 1.659%, 07/25/33

    3,255   
  1,924     

Series 2003-BC11, Class M2, VAR, 3.084%, 10/25/33

    1,912   
  1,916     

Series 2003-BC12, Class M1, VAR, 1.509%, 11/25/33

    1,838   
  2,974     

Series 2004-1, Class M1, VAR, 1.509%, 02/25/34

    2,863   
  (h)   

Series 2004-1, Class M2, VAR, 3.234%, 02/25/34

    (h) 
  3,628     

Series 2004-5, Class M3, VAR, 1.464%, 05/25/34

    3,467   
  14,180     

Series 2004-6, Class A3, VAR, 1.334%, 07/25/34

    13,664   
  2,473     

Series 2004-6, Class M1, VAR, 1.434%, 07/25/34

    2,311   
  2,350     

Series 2004-7, Class M1, VAR, 1.584%, 08/25/34

    2,176   
  586     

Series 2004-8, Class M2, VAR, 1.464%, 09/25/34

    526   
  466     

Series 2004-BNC1, Class A5, VAR, 1.774%, 09/25/34

    432   
  2,821     

Series 2005-HE2, Class M1, VAR, 1.254%, 07/25/35

    2,702   
 

Structured Asset Securities Corp. Mortgage Loan Trust,

 
  5,756     

Series 2006-BC4, Class A4, VAR, 0.704%, 12/25/36

    5,021   
  11,621     

Series 2006-BC6, Class A4, VAR, 0.704%, 01/25/37

    10,656   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  158      

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-AM1, Class M1, VAR, 1.884%, 04/25/33

    154   
  4,931      

Vericrest Opportunity Loan Trust, Series 2016-NPL3, Class A1, SUB, 4.250%, 03/26/46 (e)

    4,993   
  3,074      

VOLT XLII LLC, Series 2016-NPL2, Class A1, SUB, 4.250%, 03/26/46 (e)

    3,108   
  1,698      

VOLT XLV LLC, Series 2016-NPL5, Class A1, SUB, 4.000%, 05/25/46 (e)

    1,711   
  4,893      

VOLT XLVII LLC, Series 2016-NPL7, Class A1, SUB, 3.750%, 06/25/46 (e)

    4,907   
  6,248      

VOLT XLVIII LLC, Series 2016-NPL8, Class A1, SUB, 3.500%, 07/25/46 (e)

    6,246   
  4,972      

VOLT XXII LLC, Series 2015-NPL4, Class A1, SUB, 3.500%, 02/25/55 (e)

    4,975   
  4,107      

VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.500%, 06/26/45 (e)

    4,106   
  2,648      

VOLT XXXIII LLC, Series 2015-NPL5, Class A1, SUB, 3.500%, 03/25/55 (e)

    2,657   
  5,408      

VOLT XXXV, Series 2016-NPL9, Class A1, SUB, 3.500%, 09/25/46 (e)

    5,409   
  4,014      

VOLT XXXVI LLC, Series 2015-NP10, Class A1, SUB, 3.625%, 07/25/45 (e)

    4,030   
  7,579      

VOLT XXXVII LLC, Series 2015-NP11, Class A1, SUB, 3.625%, 07/25/45 (e)

    7,602   
  6,328      

VOLT XXXVIII LLC, Series 2015-NP12, Class A1, SUB, 3.875%, 09/25/45 (e)

    6,350   
  

Wells Fargo Home Equity Asset-Backed Securities Trust,

 
  108      

Series 2004-2, Class A21B, VAR, 1.374%, 10/25/34

    106   
  1,115      

Series 2004-2, Class M1, VAR, 1.434%, 10/25/34

    1,069   
  1,722      

Series 2004-2, Class M4, VAR, 2.334%, 10/25/34

    1,605   
  830      

Series 2004-2, Class M5, VAR, 2.409%, 10/25/34

    791   
  290      

Series 2004-2, Class M8A, VAR, 5.034%, 10/25/34 (e)

    273   
  290      

Series 2004-2, Class M8B, VAR, 5.000%, 10/25/34 (e)

    259   
  

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,

 
  531      

Series 2004-1, Class M2, VAR, 1.164%, 04/25/34

    483   
  738      

Series 2004-1, Class M4, VAR, 1.684%, 04/25/34

    672   
    

 

 

 
  

Total Asset-Backed Securities
(Cost $533,300)

    548,773   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — 3.3%

  

  

Non-Agency CMO — 3.3%

  

  

United States — 3.3%

  

  

Adjustable Rate Mortgage Trust

 
  5,790      

Series 2004-2, Class 6A1, VAR, 3.096%, 02/25/35

    5,727   
  6,405      

Series 2004-4, Class 4A1, VAR, 3.040%, 03/25/35

    6,358   
  2,476      

Series 2005-2, Class 3A1, VAR, 3.152%, 06/25/35

    2,351   
  

Alternative Loan Trust

 
  1,318      

Series 2004-12CB, Class 2A1, 6.000%, 06/25/34

    1,349   
  81      

Series 2004-16CB, Class 2A1, 5.000%, 08/25/19

    82   
  539      

Series 2004-27CB, Class A1, 6.000%, 12/25/34

    536   
  822      

Series 2004-28CB, Class 2A4, 5.750%, 01/25/35

    804   
  139      

Series 2004-28CB, Class 4A1, 5.000%, 01/25/20

    140   
  1,580      

Series 2004-28CB, Class 6A1, 6.000%, 01/25/35

    1,603   
  5,754      

Series 2004-32CB, Class 2A5, 5.500%, 02/25/35

    5,963   
  338      

Series 2005-3CB, Class 1A4, 5.250%, 03/25/35

    331   
  12,520      

Series 2005-3CB, Class 1A13, 5.500%, 03/25/35

    11,543   
  6,905      

Series 2005-6CB, Class 1A4, 5.500%, 04/25/35

    6,379   
  771      

Series 2005-6CB, Class 1A6, 5.500%, 04/25/35

    737   
  6,677      

Series 2005-10CB, Class 1A5, 5.500%, 05/25/35

    6,419   
  3,839      

Series 2005-10CB, Class 1A8, 5.500%, 05/25/35

    3,806   
  2,935      

Series 2005-13CB, Class A4, 5.500%, 05/25/35

    2,778   
  355      

Series 2005-20CB, Class 1A1, 5.500%, 07/25/35

    323   
  1,500      

Series 2005-21CB, Class A4, 5.250%, 06/25/35

    1,424   
  6,675      

Series 2005-21CB, Class A17, 6.000%, 06/25/35

    6,619   
  3,420      

Series 2005-23CB, Class A15, 5.500%, 07/25/35

    3,222   
  64      

Series 2005-50CB, Class 4A1, 5.000%, 11/25/20

    64   
  1,358      

Series 2005-64CB, Class 1A1, 5.500%, 12/25/35

    1,264   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  3,438      

Series 2005-64CB, Class 1A15, 5.500%, 12/25/35

    3,198   
  1,093      

Series 2005-85CB, Class 3A2, 5.250%, 02/25/21

    1,053   
  732      

Series 2005-86CB, Class A4, 5.500%, 02/25/36

    632   
  376      

Series 2005-J1, Class 3A1, 6.500%, 08/25/32

    377   
  782      

Series 2005-J3, Class 3A1, 6.500%, 09/25/34

    778   
  458      

Series 2005-J6, Class 2A1, 5.500%, 07/25/25

    452   
  16      

Series 2005-J7, Class 2A1, 6.000%, 10/25/17

    16   
  590      

Series 2005-J11, Class 5A1, 5.500%, 11/25/20

    574   
  611      

Series 2005-J14, Class A3, 5.500%, 12/25/35

    518   
  1,758      

Series 2006-4CB, Class 2A5, 5.500%, 04/25/36

    1,662   
  1,070      

Series 2006-19CB, Class A15, 6.000%, 08/25/36

    936   
  483      

Series 2006-25CB, Class A2, 6.000%, 10/25/36

    417   
  299      

Series 2006-J1, Class 1A13, 5.500%, 02/25/36

    261   
  903      

Series 2006-J3, Class 4A1, 5.750%, 05/25/26

    801   
  337      

Series 2007-8CB, Class A9, 6.000%, 05/25/37

    300   
  271      

Series 2007-19, Class 1A8, 6.000%, 08/25/37

    214   
  280      

Series 2007-25, Class 2A1, 6.000%, 11/25/22

    273   
  139      

Series 2007-9T1, Class 3A1, 5.500%, 05/25/22

    100   
  442      

American Home Mortgage Investment Trust, Series 2005-1, Class 6A, VAR, 3.248%, 06/25/45

    439   
  

Banc of America Alternative Loan Trust

 
  618      

Series 2004-9, Class 4A1, 5.500%, 10/25/19

    619   
  1,084      

Series 2004-12, Class 4A1, 5.500%, 01/25/20

    1,077   
  231      

Series 2005-3, Class 2A1, 5.500%, 04/25/20

    234   
  190      

Series 2005-4, Class 3A1, 5.500%, 05/25/20

    188   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         47   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

  

  

United States — continued

  

  94      

Series 2005-6, Class 5A4, 5.500%, 07/25/35

    80   
  128      

Series 2005-6, Class 7A1, 5.500%, 07/25/20

    124   
  1,188      

Series 2005-11, Class 4A5, 5.750%, 12/25/35

    1,021   
  709      

Series 2005-12, Class 5A1, 5.250%, 01/25/21

    701   
  19      

Series 2006-4, Class 2A1, 6.000%, 05/25/21

    19   
  1,275      

Series 2006-4, Class 3CB4, 6.000%, 05/25/46

    1,058   
  896      

Series 2006-5, Class CB7, 6.000%, 06/25/46

    782   
  

Banc of America Funding Trust

 
  4,267      

Series 2005-6, Class 1A2, 5.500%, 10/25/35

    4,038   
  1,397      

Series 2005-7, Class 4A7, 6.000%, 11/25/35

    1,411   
  918      

Series 2006-2, Class 2A20, 5.750%, 03/25/36

    856   
  2,560      

Series 2006-A, Class 1A1, VAR, 3.031%, 02/20/36

    2,534   
  243      

Series 2007-4, Class 8A1, 5.500%, 11/25/34

    230   
  

Banc of America Mortgage Trust

 
  1,374      

Series 2004-A, Class 2A2, VAR, 2.947%, 02/25/34

    1,353   
  630      

Series 2007-3, Class 1A1, 6.000%, 09/25/37

    569   
  582      

Bear Stearns Alt-A Trust, Series 2006-8, Class 3A1, VAR, 0.694%, 02/25/34

    531   
  781      

Bear Stearns ARM Trust, Series 2005-2, Class A2, VAR, 3.128%, 03/25/35

    786   
  1,002      

Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC5, Class M1, VAR, 1.204%, 10/25/34

    433   
  456      

Bear Stearns Asset-Backed Securities Trust, Series 2003-AC4, Class M1, SUB, 5.658%, 09/25/33

    446   
  

Chase Mortgage Finance Trust

 
  1,933      

Series 2006-S3, Class 1A2, 6.000%, 11/25/36

    1,575   
  1,401      

Series 2006-S4, Class A5, 6.000%, 12/25/36

    1,141   
  14,384      

Series 2007-A2, Class 3A1, VAR, 3.030%, 07/25/37

    14,338   
  370      

Series 2007-S2, Class 1A8, 6.000%, 03/25/37

    316   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  

CHL Mortgage Pass-Through Trust

 
  261      

Series 2003-27, Class A1, VAR, 3.270%, 06/25/33

    259   
  617      

Series 2003-37, Class 2A1, VAR, 3.181%, 09/25/33

    590   
  5,615      

Series 2004-25, Class 2A1, VAR, 1.214%, 02/25/35

    4,928   
  201      

Series 2005-5, Class A2, 5.500%, 03/25/35

    202   
  298      

Series 2005-20, Class A7, 5.250%, 12/25/27

    285   
  371      

Series 2005-30, Class A5, 5.500%, 01/25/36

    362   
  2,575      

Series 2006-10, Class 1A16, 6.000%, 05/25/36

    2,206   
  168      

Series 2006-15, Class A1, 6.250%, 10/25/36

    147   
  762      

Series 2006-17, Class A2, 6.000%, 12/25/36

    668   
  4,750      

Series 2006-18, Class 2A4, 6.000%, 12/25/36

    4,241   
  273      

Series 2006-J2, Class 1A1, 6.000%, 04/25/36

    246   
  273      

Series 2007-2, Class A2, 6.000%, 03/25/37

    242   
  2,289      

Series 2007-3, Class A18, 6.000%, 04/25/37

    1,970   
  251      

Series 2007-10, Class A4, 5.500%, 07/25/37

    203   
  621      

Series 2007-13, Class A4, 6.000%, 08/25/37

    557   
  963      

Series 2007-18, Class 2A1, 6.500%, 11/25/37

    799   
  1,445      

Citicorp Mortgage Securities Trust, Series 2007-4, Class 1A9, 6.000%, 05/25/37

    1,392   
  1,007      

Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A, VAR, 2.930%, 10/25/35

    993   
  

Citigroup Mortgage Loan Trust, Inc.

 
  542      

Series 2005-3, Class 2A2A, VAR, 3.042%, 08/25/35

    533   
  1,291      

Series 2005-4, Class A, VAR, 3.041%, 08/25/35

    1,259   
  1,447      

Series 2005-6, Class A1, VAR, 2.690%, 09/25/35

    1,480   
  1,535      

Series 2005-9, Class 2A2, 5.500%, 11/25/35

    1,534   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

  

  

United States — continued

  

  1,473      

Series 2006-8, Class A3, VAR, 0.884%, 10/25/35 (e)

    1,146   
  

Credit Suisse First Boston Mortgage Securities Corp.

 
  571      

Series 2003-29, Class 3A1, 5.500%, 12/25/33

    603   
  7,424      

Series 2004-4, Class 4A1, 5.500%, 08/25/34

    7,642   
  221      

Series 2004-8, Class 4A3, 5.500%, 12/25/34

    224   
  1,359      

Series 2004-AR5, Class 6A1, VAR, 2.965%, 06/25/34

    1,363   
  1,395      

Series 2005-2, Class 1A2, 5.250%, 01/25/28

    1,394   
  343      

Series 2005-4, Class 3A17, 5.500%, 06/25/35

    344   
  3,057      

Series 2005-10, Class 11A1, 5.500%, 11/25/20

    2,789   
  82      

Series 2005-10, Class 12A1, 5.250%, 11/25/20

    74   
  639      

Series 2005-10, Class 5A3, 5.500%, 11/25/35

    590   
  

CSFB Mortgage-Backed Pass-Through Certificates

 
  1,043      

Series 2004-AR4, Class 2A1, VAR, 3.010%, 05/25/34

    1,028   
  5,672      

Series 2004-AR4, Class 4A1, VAR, 3.782%, 05/25/34

    5,670   
  

CSFB Mortgage-Backed Trust

 
  3,232      

Series 2004-AR6, Class 7A1, VAR, 3.030%, 10/25/34

    3,264   
  

CSMC Mortgage-Backed Trust

 
  119      

Series 2006-8, Class 5A1, VAR, 5.755%, 10/25/26

    104   
  1,093      

Series 2007-2, Class 3A13, 5.500%, 03/25/37

    987   
  195      

Series 2007-3, Class 4A5, 5.000%, 04/25/37

    182   
  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

 
  240      

Series 2005-1, Class 2A1, VAR, 5.858%, 02/25/20

    242   
  84      

Series 2005-2, Class 2A1, VAR, 0.834%, 03/25/20

    81   
  4,836      

DSLA Mortgage Loan Trust, Series 2005-AR4, Class 2A1A, VAR, 0.788%, 08/19/45

    4,115   
  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  880      

Series 2014-DN2, Class M3, VAR, 4.134%, 04/25/24

    907   
  3,000      

Series 2016-DNA3, Class M2, VAR, 2.534%, 12/25/28

    3,032   
  

First Horizon Alternative Mortgage Securities Trust

 
  179      

Series 2005-FA1, Class 1A4, 5.500%, 03/25/35

    175   
  960      

Series 2006-FA6, Class 3A1, 5.750%, 11/25/21

    952   
  

First Horizon Mortgage Pass-Through Trust

 
  447      

Series 2004-AR7, Class 4A1, VAR, 2.728%, 02/25/35

    441   
  3,647      

Series 2005-5, Class 1A6, 5.500%, 10/25/35

    3,520   
  789      

Series 2006-2, Class 1A3, 6.000%, 08/25/36

    729   
  104      

Series 2006-2, Class 1A7, 6.000%, 08/25/36

    96   
  749      

Series 2006-3, Class 1A13, 6.250%, 11/25/36

    707   
  

GMACM Mortgage Loan Trust

 
  1,135      

Series 2004-AR2, Class 3A, VAR, 3.612%, 08/19/34

    1,101   
  728      

Series 2005-AR1, Class 3A, VAR, 3.284%, 03/18/35

    709   
  1,703      

GSMSC Pass-Through Trust, Series 2008-2R, Class 2A1, VAR, 7.500%, 10/25/36 (e)

    1,397   
  

GSR Mortgage Loan Trust

 
  405      

Series 2004-15F, Class 1A2, 5.500%, 12/25/34

    413   
  516      

Series 2005-1F, Class 2A3, 6.000%, 02/25/35

    522   
  240      

Series 2005-AR3, Class 6A1, VAR, 3.112%, 05/25/35

    224   
  5,447      

Series 2005-AR4, Class 3A5, VAR, 3.233%, 07/25/35

    5,028   
  2,507      

Series 2006-1F, Class 2A9, 6.000%, 02/25/36

    2,232   
  1,548      

Series 2006-1F, Class 2A16, 6.000%, 02/25/36

    1,382   
  492      

Series 2006-9F, Class 8A1, 5.500%, 08/25/21

    446   
  836      

Series 2007-1F, Class 3A13, 6.000%, 01/25/37

    785   
  489      

HarborView Mortgage Loan Trust, Series 2005-11, Class 2A1A, VAR, 0.838%, 08/19/45

    452   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         49   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

  

  

United States — continued

  

  

Impac CMB Trust

 
  1,620      

Series 2004-5, Class 1A1, VAR, 1.254%, 10/25/34

    1,547   
  590      

Series 2004-5, Class 1M2, VAR, 1.404%, 10/25/34

    540   
  3,481      

Series 2004-6, Class 1A2, VAR, 1.314%, 10/25/34

    3,329   
  1,351      

Series 2004-7, Class 1A2, VAR, 1.454%, 11/25/34

    1,249   
  5,423      

Series 2004-9, Class 1A1, VAR, 1.294%, 01/25/35

    4,923   
  1,175      

Series 2004-10, Class 2A, VAR, 1.174%, 03/25/35

    998   
  2,344      

Series 2004-10, Class 3A1, VAR, 1.234%, 03/25/35

    2,106   
  795      

Series 2005-1, Class 1A1, VAR, 1.054%, 04/25/35

    733   
  1,079      

Series 2005-1, Class 1A2, VAR, 1.154%, 04/25/35

    938   
  1,025      

Series 2005-2, Class 1A2, VAR, 1.154%, 04/25/35

    887   
  834      

Series 2005-4, Class 1A1A, VAR, 1.074%, 05/25/35

    750   
  464      

Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A4, 3.750%, 08/25/33

    436   
  

IndyMac INDX Mortgage Loan Trust

 
  713      

Series 2005-AR3, Class 3A1, VAR, 2.916%, 04/25/35

    687   
  1,900      

Series 2005-AR14, Class 2A1A, VAR, 0.834%, 07/25/35

    1,621   
  

JP Morgan Mortgage Trust

 
  329      

Series 2004-A6, Class 1A1, VAR, 2.982%, 12/25/34

    323   
  950      

Series 2005-A3, Class 6A6, VAR, 3.022%, 06/25/35

    923   
  377      

Series 2005-A8, Class 1A1, VAR, 3.026%, 11/25/35

    356   
  214      

Series 2006-S2, Class 2A1, 5.000%, 06/25/21

    201   
  128      

Series 2006-S3, Class 2A4, 5.500%, 08/25/21

    127   
  718      

Series 2007-A1, Class 2A2, VAR, 3.058%, 07/25/35

    702   
  109      

Series 2007-S3, Class 2A3, 6.000%, 08/25/22

    107   
  1,969      

Lehman Mortgage Trust, Series 2005-2, Class 2A5, 5.500%, 12/25/35

    1,722   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  

Lehman XS Trust

 
  11,742      

Series 2005-5N, Class 3A1A, VAR, 0.834%, 11/25/35

    10,361   
  7,742      

Series 2005-7N, Class 1A1A, VAR, 0.804%, 12/25/35

    6,900   
  

MASTR Alternative Loan Trust

 
  800      

Series 2004-8, Class 1A1, 6.500%, 09/25/34

    860   
  2,361      

Series 2004-12, Class 3A1, 6.000%, 12/25/34

    2,456   
  779      

Series 2005-3, Class 1A1, 5.500%, 04/25/35

    802   
  423      

Series 2005-5, Class 3A1, 5.750%, 08/25/35

    362   
  1,278      

Series 2005-6, Class 1A2, 5.500%, 12/25/35

    1,127   
  1,110      

Series 2006-3, Class 3A1, 5.500%, 06/25/21

    1,040   
  

Merrill Lynch Mortgage Investors Trust

 
  244      

Series 2005-1, Class 2A1, VAR, 2.681%, 04/25/35

    237   
  770      

Series 2005-1, Class 2A2, VAR, 2.681%, 04/25/35

    745   
  2,527      

Series 2006-1, Class 2A1, VAR, 2.649%, 02/25/36

    2,500   
  500      

Series 2006-AF2, Class AF2, 6.250%, 10/25/36

    409   
  

Morgan Stanley Mortgage Loan Trust

 
  678      

Series 2004-8AR, Class 4A1, VAR, 2.965%, 10/25/34

    675   
  1,133      

Series 2004-9, Class 1A, VAR, 5.381%, 11/25/34

    1,191   
  157      

Series 2005-4, Class 1A, 5.000%, 08/25/35

    158   
  1,922      

Series 2006-2, Class 1A, 5.250%, 02/25/21

    1,843   
  

MortgageIT Trust

 
  6,987      

Series 2005-3, Class A1, VAR, 0.834%, 08/25/35

    6,575   
  972      

Series 2005-5, Class A1, VAR, 0.794%, 12/25/35

    886   
  125      

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-WF1, Class 2A5, SUB, 5.159%, 03/25/35

    126   
  3,631      

Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-5, Class 1APT, VAR, 0.814%, 12/25/35

    3,187   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

  

  

United States — continued

  

  

Opteum Mortgage Acceptance Corp. Trust

 
  932      

Series 2005-4, Class 1A2, VAR, 0.924%, 11/25/35

    852   
  1,343      

Series 2006-1, Class 1AC1, VAR, 0.834%, 04/25/36

    1,169   
  1,104      

Series 2006-1, Class 1APT, VAR, 0.744%, 04/25/36

    915   
  2,068      

Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.870%, 05/25/35

    1,993   
  

RALI Trust

 
  63      

Series 2003-QS20, Class CB, 5.000%, 11/25/18

    64   
  3,166      

Series 2004-QA3, Class CB2, VAR, 4.163%, 08/25/34

    3,184   
  501      

Series 2004-QS15, Class A2, VAR, 0.934%, 11/25/34

    486   
  3,117      

Series 2005-QA5, Class A2, VAR, 4.370%, 04/25/35

    2,847   
  193      

Series 2005-QS2, Class A1, 5.500%, 02/25/35

    191   
  3,560      

Series 2005-QS6, Class A1, 5.000%, 05/25/35

    3,304   
  1,695      

Series 2005-QS17, Class A3, 6.000%, 12/25/35

    1,464   
  3,268      

Series 2006-QS4, Class A2, 6.000%, 04/25/36

    2,808   
  114      

Series 2006-QS18, Class 3A1, 5.750%, 12/25/21

    108   
  

Residential Asset Securitization Trust

 
  233      

Series 2004-A6, Class A1, 5.000%, 08/25/19

    233   
  206      

Series 2004-A8, Class A1, 5.250%, 11/25/34

    206   
  5,208      

Series 2005-A3, Class A2, 5.500%, 04/25/35

    4,688   
  3,053      

Series 2005-A8CB, Class A11, 6.000%, 07/25/35

    2,882   
  238      

Series 2005-A14, Class A1, 5.500%, 12/25/35

    211   
  

RFMSI Trust

 
  575      

Series 2004-S9, Class 2A1, 4.750%, 12/25/19

    577   
  227      

Series 2005-S7, Class A6, 5.500%, 11/25/35

    224   
  1,305      

Series 2005-SA1, Class 3A, VAR, 3.038%, 03/25/35

    1,286   
  1,776      

Sequoia Mortgage Trust, Series 2007-3, Class 1A1, VAR, 0.726%, 07/20/36

    1,616   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  

Structured Adjustable Rate Mortgage Loan Trust

 
  1,389      

Series 2004-16, Class 5A2, VAR, 2.997%, 11/25/34

    1,387   
  724      

Series 2005-1, Class 1A1, VAR, 3.051%, 02/25/35

    694   
  533      

Series 2005-17, Class 4A3, VAR, 3.086%, 08/25/35

    521   
  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

 
  961      

Series 2003-35, Class B1, VAR, 5.485%, 12/25/33

    808   
  7,800      

Series 2004-10, Class 1A1, VAR, 5.421%, 06/25/34

    7,943   
  

Structured Asset Securities Corp. Trust

 
  561      

Series 2005-6, Class 2A3, 5.500%, 05/25/35

    571   
  275      

Series 2005-6, Class 5A2, 5.000%, 05/25/35

    277   
  

WaMu Mortgage Pass-Through Certificates Trust

 
  2,081      

Series 2004-AR10, Class A1B, VAR, 0.954%, 07/25/44

    1,978   
  2,606      

Series 2004-AR11, Class A, VAR, 2.839%, 10/25/34

    2,620   
  7,081      

Series 2005-AR5, Class A6, VAR, 2.713%, 05/25/35

    7,070   
  2,532      

Series 2005-AR7, Class A3, VAR, 2.755%, 08/25/35

    2,529   
  3,998      

Series 2005-AR14, Class 1A3, VAR, 2.659%, 12/25/35

    3,835   
  2,667      

Series 2005-AR14, Class 1A4, VAR, 2.659%, 12/25/35

    2,566   
  78      

Series 2005-AR15, Class A1A1, VAR, 0.794%, 11/25/45

    73   
  1,569      

Series 2005-AR16, Class 1A1, VAR, 2.610%, 12/25/35

    1,469   
  181      

Series 2005-AR18, Class 1A3A, VAR, 2.549%, 01/25/36

    179   
  670      

Series 2006-AR2, Class 1A1, VAR, 2.478%, 03/25/36

    619   
  1,227      

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-3, Class 5A2, 5.500%, 03/25/21

    1,155   
  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

 
  2,077      

Series 2005-1, Class 1A3, 5.500%, 03/25/35

    1,978   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         51   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Collateralized Mortgage Obligations — continued

  

  

United States — continued

  

  1,068      

Series 2005-4, Class CB7, 5.500%, 06/25/35

    985   
  1,686      

Series 2005-10, Class 4CB1, 5.750%, 12/25/35

    1,582   
  362      

Series 2006-5, Class 2CB5, 6.500%, 07/25/36

    302   
  1,955      

Series 2007-1, Class 2A1, 6.000%, 01/25/22

    1,865   
  

Wells Fargo Mortgage-Backed Securities Trust

 
  905      

Series 2004-BB, Class A5, VAR, 2.882%, 01/25/35

    908   
  9,252      

Series 2004-DD, Class 1A1, VAR, 2.840%, 01/25/35

    9,202   
  1,120      

Series 2004-DD, Class 2A6, VAR, 2.845%, 01/25/35

    1,112   
  4,862      

Series 2004-M, Class A1, VAR, 3.004%, 08/25/34

    4,963   
  6,415      

Series 2004-N, Class A6, VAR, 3.009%, 08/25/34

    6,407   
  6,092      

Series 2004-N, Class A7, VAR, 3.009%, 08/25/34

    6,084   
  1,127      

Series 2004-Q, Class 1A1, VAR, 3.002%, 09/25/34

    1,131   
  695      

Series 2004-Q, Class 1A2, VAR, 3.002%, 09/25/34

    700   
  206      

Series 2005-AR2, Class 2A2, VAR, 2.891%, 03/25/35

    208   
  938      

Series 2005-AR3, Class 2A1, VAR, 3.096%, 03/25/35

    944   
  549      

Series 2005-AR4, Class 2A2, VAR, 2.999%, 04/25/35

    548   
  2,483      

Series 2005-AR5, Class 1A1, VAR, 3.049%, 04/25/35

    2,462   
  220      

Series 2005-AR7, Class 2A1, VAR, 3.078%, 05/25/35

    217   
  4,807      

Series 2005-AR8, Class 1A1, VAR, 3.041%, 06/25/35

    4,866   
  3,179      

Series 2005-AR10, Class 1A1, VAR, 2.993%, 06/25/35

    3,290   
  1,307      

Series 2005-AR11, Class 1A1, VAR, 2.992%, 06/25/35

    1,304   
  859      

Series 2005-AR15, Class 1A6, VAR, 2.984%, 09/25/35

    810   
  3,215      

Series 2005-AR16, Class 6A3, VAR, 3.074%, 10/25/35

    3,240   
  395      

Series 2005-AR16, Class 7A1, VAR, 3.080%, 10/25/35

    380   
  1,338      

Series 2006-4, Class 1A9, 5.750%, 04/25/36

    1,365   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  2,626      

Series 2006-AR2, Class 2A1, VAR, 2.921%, 03/25/36

    2,619   
  463      

Series 2006-AR2, Class 2A3, VAR, 2.921%, 03/25/36

    453   
  2,845      

Series 2006-AR6, Class 5A1, VAR, 2.997%, 03/25/36

    2,826   
  546      

Series 2006-AR19, Class A3, VAR, 4.711%, 12/25/36

    503   
  434      

Series 2007-2, Class 1A13, 6.000%, 03/25/37

    430   
  855      

Series 2007-15, Class A1, 6.000%, 11/25/37

    846   
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $398,945)

    401,248   
    

 

 

 

 

Commercial Mortgage-Backed Securities — 1.3%

  

  

United States — 1.3%

  

  

Banc of America Commercial Mortgage Trust,

 
  785      

Series 2006-1, Class C, VAR, 5.509%, 09/10/45

    784   
  3,270      

Series 2006-2, Class B, VAR, 5.665%, 05/10/45

    3,262   
  2,350      

Series 2007-3, Class AJ, VAR, 5.552%, 06/10/49

    2,386   
  5,000      

Series 2007-3, Class B, VAR, 5.552%, 06/10/49

    4,974   
  

Bear Stearns Commercial Mortgage Securities Trust,

 
  747      

Series 2006-PW13, Class AJ, VAR, 5.611%, 09/11/41

    750   
  7,165      

Series 2006-PW13, Class C, VAR, 5.680%, 09/11/41 (e)

    6,925   
  11,480      

Series 2007-PW16, Class AJ, VAR, 5.717%, 06/11/40

    11,364   
  5,790      

Series 2007-PW17, Class AJ, VAR, 5.887%, 06/11/50

    5,832   
  5,769      

CD Commercial Mortgage Trust, Series 2005-CD1, Class E, VAR, 5.274%, 07/15/44

    5,762   
  

CD Mortgage Trust,

 
  2,400      

Series 2007-CD5, Class B, VAR, 6.116%, 11/15/44

    2,445   
  3,159      

Series 2007-CD5, Class D, VAR, 6.116%, 11/15/44 (e)

    3,053   
  

COMM Mortgage Trust,

 
  4,585      

Series 2006-C8, Class AJ, 5.377%, 12/10/46

    4,510   
  5,400      

Series 2015-CR23, Class CMC, VAR, 3.685%, 05/10/48 (e)

    5,474   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Commercial Mortgage-Backed Securities — continued

  

  

United States — continued

  

  2,275      

Commercial Mortgage Trust,
Series 2007-GG11, Class AJ, VAR, 6.031%, 12/10/49

    2,274   
  1,848      

GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class AM, VAR, 5.290%, 11/10/45

    1,846   
  4,150      

GS Mortgage Securities Trust,
Series 2006-GG8, Class AJ, 5.622%, 11/10/39

    3,401   
  

JP Morgan Chase Commercial Mortgage Securities Trust,

 
  1,500      

Series 2005-LDP2, Class E, VAR, 4.981%, 07/15/42

    1,490   
  4,900      

Series 2006-LDP8, Class D, VAR, 5.618%, 05/15/45

    4,497   
  6,350      

Series 2007-LD11, Class AM, VAR, 5.755%, 06/15/49

    6,416   
  5,000      

Series 2007-LDPX, Class AM, VAR, 5.464%, 01/15/49

    4,905   
  2,000      

LB Commercial Mortgage Trust,
Series 2007-C3, Class AJ, VAR, 5.916%, 07/15/44

    1,987   
  

LB-UBS Commercial Mortgage Trust,

 
  5,778      

Series 2006-C6, Class AJ, VAR, 5.452%, 09/15/39

    5,373   
  2,410      

Series 2006-C6, Class B, VAR, 5.472%, 09/15/39

    2,145   
  4,800      

Series 2007-C1, Class AJ, 5.484%, 02/15/40

    4,806   
  1,240      

Series 2007-C1, Class C, VAR, 5.533%, 02/15/40

    1,232   
  9,200      

Series 2007-C6, Class AJ, VAR, 6.116%, 07/15/40

    9,310   
  

Morgan Stanley Capital I Trust,

 
  609      

Series 2006-HQ8, Class AJ, VAR, 5.422%, 03/12/44

    611   
  3,480      

Series 2006-HQ8, Class C, VAR, 5.422%, 03/12/44

    3,161   
  1,000      

Series 2006-HQ8, Class D, VAR, 5.422%, 03/12/44

    419   
  3,584      

Series 2006-HQ9, Class D, VAR, 5.862%, 07/12/44

    3,576   
  4,691      

Series 2006-HQ10, Class AJ, VAR, 5.389%, 11/12/41

    4,679   
  7,725      

Series 2007-HQ11, Class AJ, VAR, 5.508%, 02/12/44

    7,691   
  2,922      

Series 2007-HQ11, Class B, VAR, 5.538%, 02/12/44

    2,717   
  3,255      

Series 2007-HQ12, Class B, VAR, 5.721%, 04/12/49

    3,249   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

  

  

Wachovia Bank Commercial Mortgage Trust,

 
  362      

Series 2006-C24, Class AJ, VAR, 5.658%, 03/15/45

    361   
  5,900      

Series 2006-C29, Class AJ, VAR, 5.368%, 11/15/48

    5,887   
  7,275      

Series 2007-C31, Class AJ, VAR, 5.660%, 04/15/47

    7,279   
  1,200      

Series 2007-C31, Class C, VAR, 5.651%, 04/15/47

    1,157   
  2,075      

Series 2007-C33, Class AJ, VAR, 5.959%, 02/15/51

    2,077   
  2,650      

Series 2007-C33, Class B, VAR, 5.959%, 02/15/51

    2,560   
  6,313      

Series 2007-C33, Class C, VAR, 5.959%, 02/15/51

    5,843   
  2,500      

Series 2007-C34, Class AJ, VAR, 5.942%, 05/15/46

    2,509   
  1,500      

Series 2007-C34, Class B, VAR, 6.017%, 05/15/46

    1,491   
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $168,562)

    162,470   
    

 

 

 
SHARES               

 

Common Stocks — 32.0%

  

  

Australia — 0.5%

  

  398      

BHP Billiton plc

    5,984   
  1,116      

Dexus Property Group

    7,578   
  2,086      

Goodman Group

    10,754   
  5,939      

Mirvac Group

    9,422   
  4,354      

Scentre Group

    13,936   
  2,074      

Westfield Corp.

    14,016   
    

 

 

 
       61,690   
    

 

 

 
  

Belgium — 0.3%

 
  275      

Anheuser-Busch InBev S.A./N.V. (a)

    31,556   
  80      

KBC Group N.V. (a)

    4,889   
  26      

Warehouses De Pauw CVA

    2,425   
    

 

 

 
       38,870   
    

 

 

 
  

Bermuda — 0.0% (g)

 
  32      

Validus Holdings Ltd.

    1,648   
    

 

 

 
  

Brazil — 0.3%

 
  2,593      

AMBEV S.A., ADR

    15,299   
  197      

Banco do Brasil S.A. (a)

    1,812   
  1,294      

BB Seguridade Participacoes S.A.

    12,975   
  778      

Engie Brasil Energia S.A.

    9,972   
    

 

 

 
       40,058   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         53   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Canada — 0.3%

 
  369      

Allied Properties Real Estate Investment Trust

    9,919   
  340      

Canadian Apartment Properties REIT

    7,422   
  183      

RioCan Real Estate Investment Trust

    3,558   
  300      

TransCanada Corp.

    13,560   
    

 

 

 
       34,459   
    

 

 

 
  

Chile — 0.1%

 
  623      

Banco Santander Chile, ADR

    14,247   
    

 

 

 
  

China — 0.1%

 
  994      

Fuyao Glass Industry Group Co., Ltd., Class A

    2,604   
  2,854      

Fuyao Glass Industry Group Co., Ltd., Class H, (e)

    8,277   
    

 

 

 
       10,881   
    

 

 

 
  

Czech Republic — 0.3%

 
  268      

Komercni Banka A.S.

    9,793   
  8,333      

Moneta Money Bank A.S. (a) (e)

    29,058   
    

 

 

 
       38,851   
    

 

 

 
  

Denmark — 0.4%

 
  1,161      

Danske Bank A/S

    35,816   
  33      

Pandora A/S

    4,312   
  150      

Tryg A/S

    2,931   
    

 

 

 
       43,059   
    

 

 

 
  

Finland — 0.6%

 
  129      

Elisa OYJ

    4,348   
  284      

Fortum OYJ

    4,733   
  105      

Kone OYJ, Class B

    4,813   
  118      

Metso OYJ

    3,105   
  131      

Nokian Renkaat OYJ

    4,381   
  103      

Orion OYJ, Class B

    4,384   
  482      

Stora Enso OYJ, Class R

    4,559   
  1,895      

UPM-Kymmene OYJ

    44,091   
    

 

 

 
       74,414   
    

 

 

 
  

France — 1.6%

 
  358      

AXA S.A.

    8,078   
  173      

BNP Paribas S.A.

    10,025   
  310      

Cie Generale des Etablissements Michelin

    33,610   
  252      

CNP Assurances

    4,372   
  480      

Credit Agricole S.A.

    5,179   
  191      

Edenred

    4,421   
  330      

Electricite de France S.A.

    3,703   
  370      

Engie S.A.

    5,336   
  42      

Fonciere Des Regions

    3,652   
  31      

Gecina S.A.

    4,571   
  50      

ICADE

    3,624   
  190      

Klepierre

    7,754   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
  

France — continued

  

  131      

Lagardere S.C.A.

    3,346   
  530      

Natixis S.A.

    2,682   
  431      

Orange S.A.

    6,779   
  59      

Renault S.A.

    5,098   
  178      

Societe Generale S.A.

    6,934   
  55      

Technip S.A.

    3,655   
  300      

TOTAL S.A.

    14,362   
  227      

Unibail-Rodamco SE

    53,936   
    

 

 

 
       191,117   
    

 

 

 
  

Germany — 1.1%

 
  166      

Allianz SE

    25,919   
  671      

alstria office REIT-AG (a)

    8,660   
  123      

BASF SE

    10,825   
  66      

Bayerische Motoren Werke AG

    5,781   
  147      

Daimler AG

    10,501   
  522      

Deutsche Telekom AG

    8,523   
  152      

Deutsche Wohnen AG

    4,980   
  109      

Evonik Industries AG

    3,412   
  42      

Hannover Rueck SE

    4,729   
  31      

Muenchener Rueckversicherungs-Gesellschaft AG

    5,989   
  357      

Siemens AG

    40,554   
    

 

 

 
       129,873   
    

 

 

 
  

Hong Kong — 0.6%

 
  1,234      

China Mobile Ltd.

    14,131   
  6,278      

China Resources Power Holdings Co., Ltd.

    10,637   
  514      

Hang Seng Bank Ltd.

    9,275   
  5,460      

HKT Trust & HKT Ltd.

    7,505   
  1,136      

Hongkong Land Holdings Ltd.

    7,604   
  976      

Link REIT

    6,943   
  2,852      

New World Development Co., Ltd.

    3,546   
  2,527      

Sands China Ltd.

    10,966   
  293      

VTech Holdings Ltd.

    3,592   
    

 

 

 
       74,199   
    

 

 

 
  

Hungary — 0.1%

 
  277      

OTP Bank plc

    7,756   
    

 

 

 
  

India — 0.1%

 
  1,319      

Coal India Ltd.

    6,435   
  2,541      

ITC Ltd.

    9,199   
    

 

 

 
       15,634   
    

 

 

 
  

Indonesia — 0.0% (g)

 
  17,899      

Telekomunikasi Indonesia Persero Tbk PT

    5,779   
    

 

 

 
  

Ireland — 0.4%

 
  333      

Accenture plc, Class A

    38,687   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Ireland — continued

 
  36      

Paddy Power Betfair plc

    3,735   
    

 

 

 
       42,422   
    

 

 

 
  

Italy — 0.4%

 
  420      

Assicurazioni Generali S.p.A.

    5,429   
  589      

Atlantia S.p.A.

    14,420   
  1,381      

Enel S.p.A.

    5,938   
  444      

Eni S.p.A.

    6,438   
  451      

Mediobanca S.p.A.

    3,301   
  599      

Poste Italiane S.p.A. (e)

    3,985   
  1,005      

Snam S.p.A.

    5,296   
  805      

Terna Rete Elettrica Nazionale S.p.A.

    3,941   
    

 

 

 
       48,748   
    

 

 

 
  

Japan — 0.9%

 
  538      

Daiwa House Industry Co., Ltd.

    14,752   
  6      

Japan Hotel REIT Investment Corp.

    4,352   
  1      

Japan Real Estate Investment Corp.

    6,393   
  2      

Japan Retail Fund Investment Corp.

    3,758   
  425      

Japan Tobacco, Inc.

    16,166   
  2,592      

Mitsubishi UFJ Financial Group, Inc.

    13,374   
  6      

Nippon Prologis REIT, Inc.

    13,726   
  612      

Nippon Telegraph & Telephone Corp.

    27,139   
  4      

Orix JREIT, Inc.

    6,234   
    

 

 

 
       105,894   
    

 

 

 
  

Luxembourg — 0.0% (g)

 
  42      

RTL Group S.A.

    3,283   
    

 

 

 
  

Mexico — 0.2%

 
  2,006      

Bolsa Mexicana de Valores S.A.B. de C.V.

    3,214   
  2,015      

Fibra Uno Administracion S.A. de C.V.

    3,846   
  5,472      

Kimberly-Clark de Mexico S.A.B. de C.V., Class A

    11,801   
    

 

 

 
       18,861   
    

 

 

 
  

Netherlands — 1.0%

 
  179      

ABN AMRO Group N.V., CVA (e)

    4,124   
  61      

Eurocommercial Properties N.V., CVA

    2,594   
  672      

ING Groep N.V.

    8,824   
  306      

Koninklijke Ahold Delhaize N.V.

    6,984   
  1,591      

Koninklijke KPN N.V.

    5,189   
  669      

NN Group N.V.

    20,156   
  1,801      

Royal Dutch Shell plc, Class A

    44,876   
  851      

Royal Dutch Shell plc, Class B

    21,949   
  164      

Vastned Retail N.V.

    6,308   
    

 

 

 
       121,004   
    

 

 

 
  

Norway — 0.2%

 
  230      

Gjensidige Forsikring ASA

    4,113   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
  

Norway — continued

 
  261      

Marine Harvest ASA (a)

    4,727   
  383      

Orkla ASA

    3,616   
  327      

Statoil ASA

    5,333   
  246      

Telenor ASA

    3,912   
  101      

Yara International ASA

    3,555   
    

 

 

 
       25,256   
    

 

 

 
  

Portugal — 0.1%

 
  1,454      

EDP — Energias de Portugal S.A.

    4,807   
  256      

Galp Energia SGPS S.A.

    3,470   
    

 

 

 
       8,277   
    

 

 

 
  

Russia — 0.3%

 
  205      

Lukoil PJSC, ADR

    9,962   
  269      

MegaFon PJSC, GDR

    2,560   
  309      

MMC Norilsk Nickel PJSC, ADR

    4,657   
  455      

Mobile TeleSystems PJSC, ADR

    3,505   
  5,376      

Moscow Exchange MICEX-RTS PJSC

    9,902   
  215      

PhosAgro PJSC, GDR

    2,662   
  261      

Severstal PJSC, GDR

    3,686   
    

 

 

 
       36,934   
    

 

 

 
  

Singapore — 0.0% (g)

 
  992      

Ascendas Real Estate Investment Trust

    1,691   
  1,584      

CapitaLand Commercial Trust

    1,793   
    

 

 

 
       3,484   
    

 

 

 
  

South Africa — 0.6%

 
  1,220      

AVI Ltd.

    8,575   
  929      

Barclays Africa Group Ltd.

    10,780   
  394      

Bid Corp. Ltd.

    6,911   
  467      

Bidvest Group Ltd. (The)

    5,805   
  3,170      

FirstRand Ltd.

    11,368   
  677      

Investec plc

    4,199   
  3,088      

Life Healthcare Group Holdings Ltd.

    8,249   
  3,240      

MMI Holdings Ltd.

    5,428   
  604      

Vodacom Group Ltd.

    6,516   
  999      

Woolworths Holdings Ltd.

    5,786   
    

 

 

 
       73,617   
    

 

 

 
  

South Korea — 0.2%

 
  100      

Kangwon Land, Inc.

    3,331   
  106      

KT&G Corp.

    10,407   
  6      

Samsung Electronics Co., Ltd.

    8,696   
  340      

SK Telecom Co., Ltd., ADR

    7,423   
    

 

 

 
       29,857   
    

 

 

 
  

Spain — 0.6%

 
  334      

Abertis Infraestructuras S.A.

    4,943   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         55   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

Spain — continued

 
  118      

ACS Actividades de Construccion y Servicios S.A.

    3,598   
  34      

Aena S.A. (e)

    4,948   
  1,065      

Banco Bilbao Vizcaya Argentaria S.A.

    7,668   
  2,209      

Banco Santander S.A.

    10,822   
  461      

Distribuidora Internacional de Alimentacion S.A.

    2,462   
  166      

Enagas S.A.

    4,760   
  225      

Endesa S.A.

    4,767   
  220      

Gas Natural SDG S.A.

    4,330   
  1,125      

Iberdrola S.A.

    7,659   
  1,501      

Mapfre S.A.

    4,451   
  234      

Red Electrica Corp. S.A.

    4,873   
  314      

Repsol S.A.

    4,382   
  726      

Telefonica S.A.

    7,379   
    

 

 

 
       77,042   
    

 

 

 
  

Sweden — 0.2%

 
  138      

ICA Gruppen AB

    4,291   
  592      

Nordea Bank AB

    6,221   
  128      

Skanska AB, Class B

    2,771   
  363      

Svenska Handelsbanken AB, Class A

    4,944   
  244      

Swedbank AB, Class A

    5,708   
    

 

 

 
       23,935   
    

 

 

 
  

Switzerland — 0.5%

 
  323      

ABB Ltd. (a)

    6,671   
  2      

Banque Cantonale Vaudoise

    1,340   
  18      

Cembra Money Bank AG (a)

    1,393   
  77      

Chubb Ltd.

    9,763   
  451      

STMicroelectronics N.V.

    4,280   
  228      

Swiss Re AG

    21,178   
  252      

Wolseley plc

    13,089   
  28      

Zurich Insurance Group AG (a)

    7,434   
    

 

 

 
       65,148   
    

 

 

 
  

Taiwan — 0.9%

 
  489      

Asustek Computer, Inc.

    4,281   
  3,544      

Cheng Shin Rubber Industry Co., Ltd.

    7,211   
  1,059      

Chicony Electronics Co., Ltd.

    2,705   
  2,269      

Delta Electronics, Inc.

    11,947   
  2,134      

Far EasTone Telecommunications Co., Ltd.

    5,043   
  753      

MediaTek, Inc.

    5,708   
  1,750      

Novatek Microelectronics Corp.

    6,552   
  1,238      

President Chain Store Corp.

    9,250   
  4,506      

Quanta Computer, Inc.

    9,116   
  795      

Siliconware Precision Industries Co., Ltd.

    1,202   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
  

Taiwan — continued

 
  3,066      

Taiwan Mobile Co., Ltd.

    10,728   
  719      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

    22,340   
  6,288      

Vanguard International Semiconductor Corp.

    12,802   
    

 

 

 
       108,885   
    

 

 

 
  

Thailand — 0.1%

 
  384      

Siam Cement PCL (The)

    5,528   
  119      

Siam Cement PCL (The), NVDR

    1,696   
  284      

Thai Oil PCL

    567   
  1,026      

Thai Oil PCL, NVDR

    2,049   
    

 

 

 
       9,840   
    

 

 

 
  

Turkey — 0.1%

 
  317      

Eregli Demir ve Celik Fabrikalari TAS

    431   
  1,138      

Tofas Turk Otomobil Fabrikasi A.S.

    8,577   
  185      

Tupras Turkiye Petrol Rafinerileri A.S.

    3,771   
    

 

 

 
       12,779   
    

 

 

 
  

United Arab Emirates — 0.1%

 
  2,149      

First Gulf Bank PJSC

    6,720   
    

 

 

 
  

United Kingdom — 3.6%

 
  979      

Aberdeen Asset Management plc

    3,830   
  169      

Admiral Group plc

    3,962   
  482      

Amec Foster Wheeler plc

    2,630   
  160      

AstraZeneca plc

    8,946   
  4,145      

BAE Systems plc

    27,461   
  683      

Barratt Developments plc

    3,789   
  2,461      

BP plc

    14,547   
  247      

British American Tobacco plc

    14,133   
  1,545      

British Land Co. plc (The)

    11,062   
  1,276      

BT Group plc

    5,857   
  1,808      

Centrica plc

    4,735   
  6,327      

Direct Line Insurance Group plc

    26,769   
  1,346      

G4S plc

    3,614   
  3,489      

GlaxoSmithKline plc

    68,924   
  4,186      

HSBC Holdings plc

    31,511   
  417      

ICAP plc

    2,475   
  295      

IMI plc

    3,586   
  148      

Imperial Brands plc

    7,156   
  322      

Inmarsat plc

    2,765   
  118      

InterContinental Hotels Group plc

    4,570   
  1,514      

J Sainsbury plc

    4,642   
  947      

Kingfisher plc

    4,183   
  10,270      

Lloyds Banking Group plc

    7,171   
  682      

Meggitt plc

    3,626   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

  

United Kingdom — continued

 
  664      

National Grid plc

    8,637   
  2,048      

Old Mutual plc

    5,037   
  1,133      

Persimmon plc

    23,462   
  239      

Rio Tinto plc

    8,296   
  741      

Royal Mail plc

    4,447   
  1,856      

Safestore Holdings plc

    8,145   
  1,538      

Segro plc

    8,238   
  137      

Severn Trent plc

    3,903   
  308      

SSE plc

    5,980   
  334      

St. James’s Place plc

    3,863   
  720      

Standard Life plc

    2,971   
  470      

Tate & Lyle plc

    4,483   
  1,560      

Taylor Wimpey plc

    2,702   
  2,251      

Tritax Big Box REIT plc

    3,741   
  393      

United Utilities Group plc

    4,514   
  12,915      

Vodafone Group plc

    35,470   
  700      

William Hill plc

    2,532   
  1,591      

WPP plc

    34,545   
    

 

 

 
       442,910   
    

 

 

 
  

United States — 15.2%

 
  67      

3M Co.

    10,994   
  38      

AbbVie, Inc.

    2,124   
  628      

Altria Group, Inc.

    41,510   
  86      

Analog Devices, Inc.

    5,522   
  139      

Apartment Investment & Management Co., Class A

    6,112   
  121      

Apple, Inc.

    13,696   
  46      

Arthur J. Gallagher & Co.

    2,236   
  769      

AT&T, Inc.

    28,279   
  86      

Automatic Data Processing, Inc.

    7,520   
  372      

AvalonBay Communities, Inc.

    63,656   
  784      

Bank of America Corp.

    12,928   
  253      

BB&T Corp.

    9,928   
  32      

Boston Properties, Inc.

    3,889   
  636      

Brandywine Realty Trust

    9,859   
  128      

Bristol-Myers Squibb Co.

    6,541   
  655      

Brixmor Property Group, Inc.

    16,643   
  102      

Camden Property Trust

    8,345   
  98      

Chevron Corp.

    10,297   
  109      

Cincinnati Financial Corp.

    7,683   
  78      

Cinemark Holdings, Inc.

    3,121   
  617      

CME Group, Inc.

    61,806   
  193      

CMS Energy Corp.

    8,140   
  196      

Coca-Cola Co. (The)

    8,314   
  1,029      

Comcast Corp., Class A

    63,604   
    
SHARES
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  247      

ConocoPhillips

    10,727   
  1      

Constar International, Inc., Class A (a)

      
  23      

Cullen/Frost Bankers, Inc.

    1,763   
  371      

DDR Corp.

    5,671   
  163      

Digital Realty Trust, Inc.

    15,230   
  99      

Douglas Emmett, Inc.

    3,631   
  74      

Dr. Pepper Snapple Group, Inc.

    6,455   
  22      

DTE Energy Co.

    2,091   
  188      

Duke Realty Corp.

    4,903   
  3      

Dynegy, Inc. (a)

    27   
  344      

E.I. du Pont de Nemours & Co.

    23,648   
  80      

Edison International

    5,864   
  160      

Eli Lilly & Co.

    11,802   
  161      

Equity One, Inc.

    4,596   
  88      

Extra Space Storage, Inc.

    6,449   
  217      

Exxon Mobil Corp.

    18,093   
  127      

Fidelity National Information Services, Inc.

    9,367   
  1,106      

General Motors Co.

    34,940   
  38      

Gilead Sciences, Inc.

    2,827   
  279      

Halcon Resources Corp. (a)

    2,498   
  910      

HCP, Inc.

    31,171   
  219      

Highwoods Properties, Inc.

    10,845   
  467      

Home Depot, Inc. (The)

    56,990   
  143      

Honeywell International, Inc.

    15,710   
  263      

Hospitality Properties Trust

    7,186   
  137      

Illinois Tool Works, Inc.

    15,569   
  95      

International Business Machines Corp.

    14,526   
  611      

Johnson & Johnson

    70,898   
  67      

Kimberly-Clark Corp.

    7,693   
  1,141      

Kimco Realty Corp.

    30,370   
  468      

KLA-Tencor Corp.

    35,168   
  152      

L Brands, Inc.

    10,972   
  808      

LaSalle Hotel Properties

    19,201   
  490      

Liberty Property Trust

    19,794   
  39      

M&T Bank Corp.

    4,792   
  222      

Macerich Co. (The)

    15,704   
  351      

Merck & Co., Inc.

    20,607   
  863      

MetLife, Inc.

    40,536   
  1,241      

Microsoft Corp.

    74,336   
  122      

Mid-America Apartment Communities, Inc.

    11,304   
  274      

Mondelez International, Inc., Class A

    12,308   
  707      

Morgan Stanley

    23,743   
  177      

National Health Investors, Inc.

    13,430   
  288      

National Retail Properties, Inc.

    13,130   
  3      

Nebraska Book Holdings, Inc. (a)

    (h) 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         57   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

    
SHARES
    SECURITY DESCRIPTION   VALUE  

 

Common Stocks — continued

  

 

United States — continued

 
  (h)   

New Cotai LLC/New Cotai Capital Corp., Class B (a) (e)

    73   
  274     

NextEra Energy, Inc.

    35,025   
  178     

NII Holdings, Inc. (a)

    435   
  253     

NiSource, Inc.

    5,890   
  135     

Northern Trust Corp.

    9,810   
  1,035     

Occidental Petroleum Corp.

    75,458   
  495     

Omega Healthcare Investors, Inc.

    15,752   
  22     

Penn Virginia Corp. (a)

    890   
  75     

PepsiCo, Inc.

    8,072   
  1,872     

Pfizer, Inc.

    59,366   
  187     

Philip Morris International, Inc.

    18,042   
  146     

PNC Financial Services Group, Inc. (The)

    13,954   
  79     

PPG Industries, Inc.

    7,359   
  112     

Procter & Gamble Co. (The)

    9,715   
  663     

Prologis, Inc.

    34,605   
  59     

Public Storage

    12,571   
  92     

Regency Centers Corp.

    6,607   
  60     

Republic Services, Inc.

    3,179   
  148     

Senior Housing Properties Trust

    3,158   
  234     

Simon Property Group, Inc.

    43,434   
  168     

SL Green Realty Corp.

    16,535   
  23     

Snap-on, Inc.

    3,538   
  2,118     

Spirit Realty Capital, Inc.

    25,231   
  747     

STORE Capital Corp.

    20,397   
  133     

T. Rowe Price Group, Inc.

    8,523   
  483     

TCEH Corp. (a)

    7,340   
  493     

Texas Instruments, Inc.

    34,916   
  103     

Time Warner, Inc.

    9,131   
  175     

Travelers Cos., Inc. (The)

    18,886   
  383     

U.S. Bancorp

    17,135   
  235     

UnitedHealth Group, Inc.

    33,167   
  97     

Ventas, Inc.

    6,551   
  325     

Verizon Communications, Inc.

    15,633   
  139     

VF Corp.

    7,535   
  82     

Vornado Realty Trust

    7,605   
  1,474     

Wells Fargo & Co.

    67,797   
  217     

Welltower, Inc.

    14,887   
  172     

Xcel Energy, Inc.

    7,166   
   

 

 

 
      1,844,680   
   

 

 

 
 

Total Common Stocks
(Cost $3,559,049)

    3,892,111   
   

 

 

 
PRINCIPAL
AMOUNT/UNITS
     SECURITY DESCRIPTION   VALUE  

 

Convertible Bonds — 0.7%

  

  

Austria — 0.0% (g)

 

  

Steinhoff Finance Holding GmbH,

 
  EUR 400      

Reg. S, 1.250%, 08/11/22

    441   
  EUR 1,800      

Reg. S, 1.250%, 10/21/23

    1,966   
    

 

 

 
       2,407   
    

 

 

 
  

Bermuda — 0.0% (g)

 

  800      

Jazz Investments I Ltd., 1.875%, 08/15/21

    793   
  

Weatherford International Ltd.,

 
  1,340      

5.875%, 07/01/21

    1,421   
    

 

 

 
       2,214   
    

 

 

 
  

Cayman Islands — 0.1%

  

  HKD 2,000      

ASM Pacific Technology Ltd., Reg. S, 2.000%, 03/28/19

    275   
  2,000      

China Overseas Finance Investment Cayman V Ltd., Reg. S, Zero Coupon, 01/05/23

    2,058   
  

Ctrip.com International Ltd.,

 
  1,296      

1.250%, 09/15/22 (e)

    1,273   
  345      

1.990%, 07/01/25

    378   
  HKD 6,000      

Kingsoft Corp., Ltd., Reg. S, 1.250%, 04/11/19

    766   
  500      

TPK Holding Co., Ltd., Reg. S, Zero Coupon, 04/08/20

    464   
  667      

YY, Inc., 2.250%, 04/01/19

    649   
  1,300      

Zhen Ding Technology Holding Ltd., Reg. S, Zero Coupon, 06/26/19

    1,313   
    

 

 

 
       7,176   
    

 

 

 
  

France — 0.0% (g)

 

 

 

EUR 867

Units

  

  

  

Air France-KLM, Reg. S, 2.030%, 02/15/23

    949   
 

 

EUR 576

Units

  

  

  

Rallye S.A., Reg. S, 1.000%, 10/02/20

    606   
  800      

TOTAL S.A., Reg. S, 0.500%, 12/02/22

    829   
    

 

 

 
       2,384   
    

 

 

 
  

Germany — 0.0% (g)

 

  EUR 800      

Rocket Internet SE, Reg. S, 3.000%, 07/22/22

    777   
    

 

 

 
  

Hong Kong — 0.0% (g)

 

  600      

Baosteel Hong Kong Investment Co. Ltd., Reg. S, Zero Coupon, 12/01/18

    601   
    

 

 

 
  

Japan — 0.0% (g)

 

  300      

Mebuki Financial Group, Inc., Reg. S, Zero Coupon, 04/24/19

    296   
  500      

Yamaguchi Financial Group, Inc., Reg. S, VAR, 0.357%, 03/26/20

    524   
    

 

 

 
       820   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT/UNITS
     SECURITY DESCRIPTION   VALUE  

 

Convertible Bonds — continued

  

  

Luxembourg — 0.0% (g)

 

  EUR 400      

OHL Investments S.A., Reg. S, 4.000%, 04/25/18

    408   
  2,200      

Subsea 7 S.A., Reg. S, 1.000%, 10/05/17

    2,162   
    

 

 

 
       2,570   
    

 

 

 
  

Netherlands — 0.1%

  

  EUR 1,700      

America Movil B.V., Reg. S, 5.500%, 09/17/18

    1,688   
  EUR 900      

Amorim Energia B.V., Reg. S, 3.375%, 06/03/18

    1,020   
  500      

Brenntag Finance B.V., Reg. S, 1.875%, 12/02/22

    532   
 

 

27

Units

  

  

  

Fiat Chrysler Automobiles N.V., 7.875%, 12/15/16

    1,764   
  EUR 600      

OCI N.V., Reg. S, 3.875%, 09/25/18

    600   
  600      

STMicroelectronics N.V., Reg. S, 1.000%, 07/03/21

    647   
  1,368      

Yandex N.V., 1.125%, 12/15/18

    1,310   
    

 

 

 
       7,561   
    

 

 

 
  

Singapore — 0.0% (g)

 

  

CapitaLand Ltd.,

 
  SGD 4,250      

Reg. S, 1.850%, 06/19/20

    2,968   
  SGD 750      

Reg. S, 1.950%, 10/17/23

    542   
    

 

 

 
       3,510   
    

 

 

 
  

Spain — 0.1%

  

  

International Consolidated Airlines Group S.A.,

 
  EUR 800      

Reg. S, 0.250%, 11/17/20

    812   
  EUR 1,000      

Reg. S, 0.625%, 11/17/22

    984   
  EUR 1,700      

Telefonica Participaciones SAU, Reg. S, 4.900%, 09/25/17

    1,633   
  EUR 3,500      

Telefonica S.A., Reg. S, 6.000%, 07/24/17

    3,509   
    

 

 

 
       6,938   
    

 

 

 
  

United Arab Emirates — 0.0% (g)

 
  

Aabar Investments PJSC,

 
  EUR 2,000      

Reg. S, 0.500%, 03/27/20

    1,762   
  EUR 1,500      

Reg. S, 1.000%, 03/27/22

    1,202   
  1,400      

DP World Ltd., Reg. S, 1.750%, 06/19/24

    1,388   
  400      

National Bank of Abu Dhabi PJSC, Reg. S, 1.000%, 03/12/18

    397   
    

 

 

 
       4,749   
    

 

 

 
  

United Kingdom — 0.1%

  

  GBP 400      

Balfour Beatty Finance No.2 Ltd., Reg. S, 1.875%, 12/03/18

    486   
  400      

Brait SE, Reg. S, 2.750%, 09/18/20

    467   
PRINCIPAL
AMOUNT/UNITS
     SECURITY DESCRIPTION   VALUE  
  

United Kingdom — continued

  

  GBP 1,300      

British Land White 2015 Ltd., Reg. S, Zero Coupon, 06/09/20

    1,473   
  GBP 400      

Remgro Jersey GBP Ltd., Reg. S, 2.625%, 03/22/21

    515   
  HKD 8,000      

Shine Power International Ltd., Reg. S, Zero Coupon, 07/28/19

    1,025   
  GBP 2,800      

Vodafone Group plc, Reg. S, 2.000%, 02/25/19

    3,749   
    

 

 

 
       7,715   
    

 

 

 
  

United States — 0.3%

  

  894      

Advanced Micro Devices, Inc., 2.125%, 09/01/26

    1,008   
  398      

Akamai Technologies, Inc., Zero Coupon, 02/15/19

    418   
  917      

Ares Capital Corp., 4.750%, 01/15/18

    944   
  625      

Blackhawk Network Holdings, Inc., 1.500%, 01/15/22 (e)

    629   
  910      

Brocade Communications Systems, Inc., 1.375%, 01/01/20

    902   
  807      

Cheniere Energy, Inc., 4.250%, 03/15/45

    495   
  1,555      

Cobalt International Energy, Inc., 3.125%, 05/15/24

    509   
  826      

Colony Capital, Inc., 3.875%, 01/15/21

    807   
  2,385      

DISH Network Corp., 3.375%, 08/15/26 (e)

    2,732   
  956      

Extra Space Storage LP, 3.125%, 10/01/35 (e)

    1,018   
  1,870      

FireEye, Inc., Series B, 1.625%, 06/01/35

    1,680   
  509      

IAS Operating Partnership LP, 5.000%, 03/15/18 (e)

    508   
  533      

Impax Laboratories, Inc., 2.000%, 06/15/22

    462   
  1,486      

Intel Corp., 2.950%, 12/15/35

    1,933   
  551      

Intercept Pharmaceuticals, Inc., 3.250%, 07/01/23

    540   
  456      

Ionis Pharmaceuticals, Inc., 1.000%, 11/15/21

    373   
  

Liberty Interactive LLC,

 
  861      

1.750%, 09/30/46 (e)

    865   
  1,384      

4.000%, 11/15/29

    857   
  

Liberty Media Corp.,

 
  1,054      

1.375%, 10/15/23

    1,078   
  625      

2.250%, 09/30/46 (e)

    643   
  382      

Medicines Co. (The), 2.750%, 07/15/23 (e)

    362   
  1,290      

Micron Technology, Inc., Series G, 3.000%, 11/15/43

    1,138   
  67      

Nebraska Book Holdings, Inc., 2.000% (PIK), 04/01/26 (e) (v)

    10   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         59   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT/UNITS
     SECURITY DESCRIPTION   VALUE  

 

Convertible Bonds — continued

  

  

United States — continued

  

  1,000      

NRG Yield, Inc., 3.250%, 06/01/20 (e)

    961   
  

Nuance Communications, Inc.,

 
  561      

1.000%, 12/15/35 (e)

    487   
  488      

2.750%, 11/01/31

    489   
  790      

ON Semiconductor Corp., 1.000%, 12/01/20

    789   
  473      

Priceline Group, Inc. (The), 0.900%, 09/15/21

    506   
  505      

Redwood Trust, Inc., 4.625%, 04/15/18

    506   
  546      

Solarcity Corp., 1.625%, 11/01/19

    427   
  983      

Starwood Property Trust, Inc., 3.750%, 10/15/17

    1,008   
  826      

SunPower Corp., 0.875%, 06/01/21

    615   
  2,526      

Tesla Motors, Inc., 1.250%, 03/01/21

    2,207   
  432      

Trinity Industries, Inc., 3.875%, 06/01/36

    481   
  

Twitter, Inc.,

 
  1,382      

0.250%, 09/15/19

    1,292   
  1,410      

1.000%, 09/15/21

    1,298   
  

VEREIT, Inc.,

 
  379      

3.000%, 08/01/18

    379   
  2,098      

3.750%, 12/15/20

    2,135   
  262      

Verint Systems, Inc., 1.500%, 06/01/21

    247   
  777      

Viavi Solutions, Inc., 0.625%, 08/15/33

    772   
  646      

Whiting Petroleum Corp., 1.250%, 04/01/20

    542   
  716      

Wright Medical Group, Inc., 2.000%, 02/15/20

    733   
  

Yahoo!, Inc.,

 
  1,246      

Zero Coupon, 12/01/18

    1,261   
    

 

 

 
       37,046   
    

 

 

 
  

Total Convertible Bonds
(Cost $91,381)

    86,468   
    

 

 

 

 

Corporate Bonds — 42.2%

  

  

Argentina — 0.0% (g)

 

  1,290      

Petrobras Argentina S.A., 7.375%, 07/21/23 (e)

    1,327   
  

YPF S.A.,

 
  890      

8.500%, 07/28/25 (e)

    970   
  950      

Reg. S, 8.750%, 04/04/24

    1,041   
    

 

 

 
       3,338   
    

 

 

 
  

Australia — 0.1%

  

  

BHP Billiton Finance USA Ltd.,

 
  8,830      

5.000%, 09/30/43

    10,060   
  1,720      

VAR, 6.750%, 10/19/75 (e)

    1,948   
  1,560      

Nufarm Australia Ltd., 6.375%, 10/15/19 (e)

    1,591   
    

 

 

 
       13,599   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Bahamas — 0.0% (g)

 

  5,100      

Ultrapetrol Bahamas Ltd., 8.875%, 06/15/21 (d)

    969   
    

 

 

 
  

Bermuda — 0.2%

  

  

Aircastle Ltd.,

 
  1,062      

5.000%, 04/01/23

    1,099   
  1,935      

5.500%, 02/15/22

    2,075   
  3,400      

6.750%, 04/15/17

    3,468   
  7,097      

7.625%, 04/15/20

    8,073   
  2,230      

Digicel Group Ltd., Reg. S, 7.125%, 04/01/22

    1,761   
  425      

Fly Leasing Ltd., 6.750%, 12/15/20

    443   
  1,805      

IHS Markit Ltd., 5.000%, 11/01/22 (e)

    1,909   
  

Weatherford International Ltd.,

 
  380      

5.950%, 04/15/42

    287   
  1,986      

6.500%, 08/01/36

    1,569   
  421      

6.750%, 09/15/40

    334   
  2,649      

7.000%, 03/15/38

    2,185   
  559      

7.750%, 06/15/21

    565   
  549      

8.250%, 06/15/23

    568   
    

 

 

 
       24,336   
    

 

 

 
  

Brazil — 0.1%

  

  2,703      

Banco Daycoval S.A., Reg. S, 5.750%, 03/19/19

    2,757   
  3,920      

Votorantim Cimentos S.A., Reg. S, 7.250%, 04/05/41

    3,798   
    

 

 

 
       6,555   
    

 

 

 
  

Canada — 1.7%

  

  

1011778 B.C. ULC/New Red Finance, Inc.,

 
  1,280      

4.625%, 01/15/22 (e)

    1,321   
  9,970      

6.000%, 04/01/22 (e)

    10,429   
  2,332      

ATS Automation Tooling Systems, Inc., 6.500%, 06/15/23 (e)

    2,414   
  

Baytex Energy Corp.,

 
  339      

5.125%, 06/01/21 (e)

    286   
  364      

5.625%, 06/01/24 (e)

    293   
  

Bombardier, Inc.,

 
  965      

4.750%, 04/15/19 (e)

    960   
  543      

5.500%, 09/15/18 (e)

    560   
  648      

6.125%, 01/15/23 (e)

    562   
  1,580      

7.500%, 03/15/25 (e)

    1,414   
  188      

7.750%, 03/15/20 (e)

    191   
  

Cascades, Inc.,

 
  1,420      

5.500%, 07/15/22 (e)

    1,449   
  1,450      

5.750%, 07/15/23 (e)

    1,465   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Canada — continued

  

  

Cenovus Energy, Inc.,

 
  396      

4.450%, 09/15/42

    347   
  1,195      

6.750%, 11/15/39

    1,335   
  

Concordia International Corp.,

 
  7,727      

7.000%, 04/15/23 (e)

    4,443   
  874      

9.000%, 04/01/22 (e)

    846   
  7,890      

Emera, Inc., Series 16-A, VAR, 6.750%, 06/15/76

    8,718   
  

Encana Corp.,

 
  178      

3.900%, 11/15/21

    180   
  770      

6.625%, 08/15/37

    837   
  4,424      

Garda World Security Corp., 7.250%, 11/15/21 (e)

    4,225   
  1,302      

HudBay Minerals, Inc., 9.500%, 10/01/20

    1,335   
  

Lundin Mining Corp.,

 
  1,800      

7.500%, 11/01/20 (e)

    1,912   
  1,795      

7.875%, 11/01/22 (e)

    1,939   
  2,002      

Masonite International Corp., 5.625%, 03/15/23 (e)

    2,072   
  2,118      

Mattamy Group Corp., 6.500%, 11/15/20 (e)

    2,113   
  

MEG Energy Corp.,

 
  10,720      

6.375%, 01/30/23 (e)

    8,844   
  2,576      

6.500%, 03/15/21 (e)

    2,222   
  3,959      

7.000%, 03/31/24 (e)

    3,226   
  

New Gold, Inc.,

 
  2,043      

6.250%, 11/15/22 (e)

    2,063   
  1,054      

7.000%, 04/15/20 (e)

    1,086   
  

NOVA Chemicals Corp.,

 
  685      

5.000%, 05/01/25 (e)

    687   
  2,395      

5.250%, 08/01/23 (e)

    2,440   
  

Open Text Corp.,

 
  1,957      

5.625%, 01/15/23 (e)

    2,027   
  1,290      

5.875%, 06/01/26 (e)

    1,374   
  

Pacific Exploration & Production Corp.,

 
  1,350      

5.125%, 03/28/23 (d)

    268   
  2,230      

5.375%, 01/26/19 (d)

    443   
  1,709      

5.625%, 01/19/25 (d)

    340   
  

Precision Drilling Corp.,

 
  1,347      

5.250%, 11/15/24

    1,187   
  235      

6.500%, 12/15/21

    227   
  10,145      

Quebecor Media, Inc., 5.750%, 01/15/23

    10,602   
  50      

Quebecor World Capital Corp., 6.125%, 01/15/16 (d)

      
  50      

Quebecor, Inc., 9.750%, 01/15/16 (d)

      
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Canada — continued

  

  

Teck Resources Ltd.,

 
  1,335      

3.000%, 03/01/19

    1,328   
  1,635      

4.750%, 01/15/22

    1,626   
  1,455      

5.400%, 02/01/43

    1,313   
  2,670      

6.000%, 08/15/40

    2,576   
  1,370      

6.125%, 10/01/35

    1,356   
  355      

8.000%, 06/01/21 (e)

    388   
  1,383      

8.500%, 06/01/24 (e)

    1,601   
  

Transcanada Trust,

 
  9,359      

Series 16-A, VAR, 5.875%, 08/15/76

    10,014   
  9,855      

VAR, 5.625%, 05/20/75

    9,966   
  1,651      

Trinidad Drilling Ltd., 7.875%, 01/15/19 (e)

    1,616   
  

Valeant Pharmaceuticals International, Inc.,

 
  4,875      

5.375%, 03/15/20 (e)

    4,144   
  706      

5.500%, 03/01/23 (e)

    549   
  1,555      

5.625%, 12/01/21 (e)

    1,259   
  28,914      

5.875%, 05/15/23 (e)

    22,264   
  8,568      

6.125%, 04/15/25 (e)

    6,597   
  2,675      

6.375%, 10/15/20 (e)

    2,327   
  7,840      

6.750%, 08/15/21 (e)

    6,664   
  8,320      

7.000%, 10/01/20 (e)

    7,322   
  7,262      

7.250%, 07/15/22 (e)

    6,173   
  21,192      

7.500%, 07/15/21 (e)

    18,649   
  

Videotron Ltd.,

 
  1,966      

5.000%, 07/15/22

    2,052   
  7,328      

5.375%, 06/15/24 (e)

    7,667   
    

 

 

 
       206,133   
    

 

 

 
  

Cayman Islands — 0.2%

  

  1,470      

Comcel Trust via Comunicaciones Celulares S.A., Reg. S, 6.875%, 02/06/24

    1,497   
  2,079      

Shelf Drilling Holdings Ltd., 8.625%, 11/01/18 (e)

    1,689   
  

Transocean, Inc.,

 
  958      

5.550%, 10/15/22

    819   
  1,530      

6.800%, 03/15/38

    1,006   
  8,307      

9.000%, 07/15/23 (e)

    8,115   
  7,407      

UPCB Finance IV Ltd., 5.375%, 01/15/25 (e)

    7,518   
  1,700      

UPCB Finance VI Ltd., 6.875%, 01/15/22 (e)

    1,768   
  1,056      

Vale Overseas Ltd., 5.875%, 06/10/21

    1,125   
    

 

 

 
       23,537   
    

 

 

 
  

Chile — 0.1%

  

  4,040      

Cencosud S.A., Reg. S, 5.500%, 01/20/21

    4,394   
  1,350      

Empresa Electrica Angamos S.A., Reg. S, 4.875%, 05/25/29

    1,323   
    

 

 

 
       5,717   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         61   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Colombia — 0.1%

  

  7,282      

Ecopetrol S.A., 7.375%, 09/18/43

    7,419   
    

 

 

 
  

Croatia — 0.0% (g)

 

  2,540      

Hrvatska Elektroprivreda, 5.875%, 10/23/22 (e)

    2,759   
    

 

 

 
  

Finland — 0.0% (g)

 
  

Nokia OYJ,

 
  904      

5.375%, 05/15/19

    967   
  1,452      

6.625%, 05/15/39

    1,568   
    

 

 

 
       2,535   
    

 

 

 
  

France — 0.2%

  

  

SFR Group S.A.,

 
  18,441      

6.000%, 05/15/22 (e)

    18,856   
  3,730      

6.250%, 05/15/24 (e)

    3,728   
  6,061      

7.375%, 05/01/26 (e)

    6,121   
    

 

 

 
       28,705   
    

 

 

 
  

Georgia — 0.1%

  

  

Georgian Railway JSC,

 
  4,580      

7.750%, 07/11/22 (e)

    5,118   
  988      

Reg. S, 7.750%, 07/11/22

    1,104   
    

 

 

 
       6,222   
    

 

 

 
  

Germany — 0.1%

  

  

IHO Verwaltungs GmbH,

 
  1,085      

4.125% (cash), 09/15/21 (e) (v)

    1,111   
  2,715      

4.500% (cash), 09/15/23 (e) (v)

    2,749   
  1,085      

4.750% (cash), 09/15/26 (e) (v)

    1,082   
  2,014      

Unitymedia GmbH, 6.125%, 01/15/25 (e)

    2,100   
  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH,

 
  800      

5.000%, 01/15/25 (e)

    811   
  EUR524      

5.125%, 01/21/23 (e)

    605   
  2,888      

5.500%, 01/15/23 (e)

    2,993   
    

 

 

 
       11,451   
    

 

 

 
  

Hungary — 0.0% (g)

 

  3,820      

MFB Magyar Fejlesztesi Bank Zrt,

 
  

6.250%, 10/21/20 (e)

    4,302   
    

 

 

 
  

Indonesia — 0.1%

  

  

Pertamina Persero PT,

 
  1,200      

Reg. S, 4.875%, 05/03/22

    1,279   
  5,340      

Reg. S, 5.250%, 05/23/21

    5,763   
  2,910      

Reg. S, 6.000%, 05/03/42

    3,063   
  7,010      

Reg. S, 6.450%, 05/30/44

    7,723   
    

 

 

 
       17,828   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Ireland — 0.4%

  

  

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust,

 
  500      

3.750%, 05/15/19

    513   
  900      

4.625%, 10/30/20

    947   
  

Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc.,

 
  900      

6.250%, 01/31/19 (e)

    917   
  1,000      

6.750%, 01/31/21 (e)

    1,030   
  88      

7.000%, 11/15/20 (e)

    91   
  5,475      

7.250%, 05/15/24 (e)

    5,776   
  3,205      

VAR, 3.850%, 12/15/19 (e)

    3,257   
  

Endo Ltd./Endo Finance LLC/Endo Finco, Inc.,

 
  10,650      

6.000%, 07/15/23 (e)

    9,213   
  1,770      

6.500%, 02/01/25 (e)

    1,491   
  3,365      

Grifols Worldwide Operations Ltd., 5.250%, 04/01/22

    3,516   
  3,830      

James Hardie International Finance Ltd., 5.875%, 02/15/23 (e)

    4,041   
  13,280      

Perrigo Finance Unlimited Co., 4.900%, 12/15/44

    13,032   
  3,100      

Russian Railways Via RZD Capital plc, Reg. S, 5.700%, 04/05/22

    3,309   
  2,150      

Vnesheconombank Via VEB Finance plc, Reg. S, 5.942%, 11/21/23

    2,217   
    

 

 

 
       49,350   
    

 

 

 
  

Israel — 0.1%

 
  5,600      

Israel Electric Corp., Ltd., Reg. S, Series 6, 5.000%, 11/12/24 (e)

    6,062   
    

 

 

 
  

Italy — 0.1%

 
  8,600      

Enel S.p.A., VAR, 8.750%, 09/24/73 (e)

    10,036   
  2,000      

Telecom Italia S.p.A., 5.303%, 05/30/24 (e)

    2,033   
    

 

 

 
       12,069   
    

 

 

 
  

Japan — 0.0% (g)

 
  4,299      

SoftBank Group Corp., 4.500%, 04/15/20 (e)

    4,417   
    

 

 

 
  

Kazakhstan — 0.1%

 
  

KazMunayGas National Co. JSC,

 
  10,596      

Reg. S, 6.375%, 04/09/21

    11,656   
  2,500      

Reg. S, 9.125%, 07/02/18

    2,737   
    

 

 

 
       14,393   
    

 

 

 
  

Liberia — 0.0% (g)

 
  

Royal Caribbean Cruises Ltd.,

 
  1,315      

5.250%, 11/15/22

    1,439   
  110      

7.500%, 10/15/27

    134   
    

 

 

 
       1,573   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Luxembourg — 1.7%

 
  

Actavis Funding SCS,

 
  6,730      

4.750%, 03/15/45

    7,066   
  9,725      

4.850%, 06/15/44

    10,299   
  5,150      

Albea Beauty Holdings S.A., 8.375%, 11/01/19 (e)

    5,356   
  

Altice Financing S.A.,

 
  724      

6.500%, 01/15/22 (e)

    759   
  8,062      

6.625%, 02/15/23 (e)

    8,309   
  7,885      

7.500%, 05/15/26 (e)

    8,141   
  

Altice Finco S.A.,

 
  200      

7.625%, 02/15/25 (e)

    198   
  200      

9.875%, 12/15/20 (e)

    211   
  

Altice Luxembourg S.A.,

 
  415      

7.625%, 02/15/25 (e)

    432   
  13,563      

7.750%, 05/15/22 (e)

    14,292   
  

ArcelorMittal,

 
  4,303      

6.125%, 06/01/25

    4,712   
  17,202      

7.250%, 02/25/22

    19,524   
  500      

7.750%, 03/01/41

    525   
  2,000      

8.000%, 10/15/39

    2,150   
  4,220      

Camelot Finance S.A., 7.875%, 10/15/24 (e)

    4,315   
  788      

Capsugel S.A., 7.000% (cash), 05/15/19 (e) (v)

    788   
  5,534      

ConvaTec Healthcare E S.A., 10.500%, 12/15/18 (e)

    5,596   
  1,300      

Dana Financing Luxembourg Sarl, 6.500%, 06/01/26 (e)

    1,383   
  564      

FAGE International S.A./FAGE USA Dairy Industry, Inc., 5.625%, 08/15/26 (e)

    582   
  1,800      

Gazprom OAO Via Gaz Capital S.A., Reg. S, 9.250%, 04/23/19

    2,054   
  

INEOS Group Holdings S.A.,

 
  6,920      

5.625%, 08/01/24 (e)

    6,860   
  13,925      

5.875%, 02/15/19 (e)

    14,186   
  

Intelsat Jackson Holdings S.A.,

 
  9,965      

5.500%, 08/01/23

    6,602   
  1,772      

7.250%, 04/01/19

    1,413   
  28,072      

7.250%, 10/15/20

    21,054   
  6,565      

7.500%, 04/01/21

    4,825   
  3,180      

8.000%, 02/15/24 (e)

    3,222   
  2,223      

Intelsat Luxembourg S.A., 7.750%, 06/01/21

    722   
  

Mallinckrodt International Finance S.A.,

 
  160      

3.500%, 04/15/18

    158   
  539      

4.750%, 04/15/23

    470   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Luxembourg — continued

  

  

Mallinckrodt International Finance S.A./Mallinckrodt CB LLC,

 
  1,675      

4.875%, 04/15/20 (e)

    1,685   
  6,105      

5.500%, 04/15/25 (e)

    5,639   
  8,538      

5.625%, 10/15/23 (e)

    8,026   
  2,189      

5.750%, 08/01/22 (e)

    2,058   
  2,550      

Millicom International Cellular S.A., Reg. S, 6.625%, 10/15/21

    2,659   
  2,750      

MOL Group Finance S.A., Reg. S, 6.250%, 09/26/19

    3,015   
  5,240      

Nielsen Co. Luxembourg SARL (The), 5.500%, 10/01/21 (e)

    5,463   
  2,250      

Russian Agricultural Bank OJSC Via RSHB Capital S.A., Reg. S, 7.750%, 05/29/18

    2,393   
  3,650      

Sberbank of Russia Via SB Capital SA, Reg. S, 4.950%, 02/07/17

    3,673   
  2,200      

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.750%, 05/01/22 (e)

    2,321   
  2,081      

VTB Bank OJSC Via VTB Capital S.A., Reg. S, 6.950%, 10/17/22

    2,172   
  

Wind Acquisition Finance S.A.,

 
  6,237      

4.750%, 07/15/20 (e)

    6,268   
  795      

7.375%, 04/23/21 (e)

    815   
    

 

 

 
       202,391   
    

 

 

 
  

Malaysia — 0.0% (g)

 
  1,200      

Petronas Capital Ltd., Reg. S, 4.500%, 03/18/45

    1,304   
    

 

 

 
  

Mexico — 0.4%

 
  

Alfa S.A.B. de C.V.,

 
  3,412      

6.875%, 03/25/44 (e)

    3,639   
  4,500      

Reg. S, 5.250%, 03/25/24

    4,871   
  600      

Banco Nacional de Comercio Exterior SNC, VAR, 3.800%, 08/11/26 (e)

    592   
  2,600      

BBVA Bancomer S.A., Reg. S, 6.750%, 09/30/22

    2,924   
  

Cemex S.A.B. de C.V.,

 
  890      

5.700%, 01/11/25 (e)

    905   
  6,390      

6.125%, 05/05/25 (e)

    6,582   
  5,190      

7.250%, 01/15/21 (e)

    5,552   
  450      

7.750%, 04/16/26 (e)

    502   
  510      

Comision Federal de Electricidad, 4.750%, 02/23/27 (e)

    519   
  2,150      

Grupo KUO S.A.B. de C.V., Reg. S, 6.250%, 12/04/22

    2,180   
  2,154      

Mexichem S.A.B. de C.V., Reg. S, 6.750%, 09/19/42

    2,283   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         63   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

Mexico — continued

 
  

Mexico City Airport Trust,

 
  470      

4.250%, 10/31/26 (e)

    477   
  870      

5.500%, 10/31/46 (e)

    849   
  3,229      

Nemak S.A.B de C.V., Reg. S, 5.500%, 02/28/23

    3,336   
  

Petroleos Mexicanos,

 
  3,649      

5.625%, 01/23/46

    3,142   
  3,170      

6.500%, 06/02/41

    3,081   
  7,320      

6.625%, 06/15/35

    7,331   
  2,750      

6.875%, 08/04/26 (e)

    3,065   
  1,250      

Reg. S, 6.375%, 02/04/21

    1,364   
    

 

 

 
       53,194   
    

 

 

 
  

Morocco — 0.1%

 
  

OCP S.A.,

 
  4,670      

Reg. S, 5.625%, 04/25/24

    5,027   
  6,671      

Reg. S, 6.875%, 04/25/44

    7,305   
    

 

 

 
       12,332   
    

 

 

 
  

Netherlands — 1.1%

 
  

Alcoa Nederland Holding B.V.,

 
  2,996      

6.750%, 09/30/24 (e)

    3,101   
  900      

7.000%, 09/30/26 (e)

    925   
  2,680      

Bharti Airtel International Netherlands B.V., Reg. S, 5.125%, 03/11/23

    2,879   
  4,600      

Bluewater Holding B.V.,

 
  

10.000%, 12/10/19 (e)

    2,346   
  

Fiat Chrysler Automobiles N.V.,

 
  2,584      

4.500%, 04/15/20

    2,648   
  8,442      

5.250%, 04/15/23

    8,611   
  746      

InterGen N.V., 7.000%, 06/30/23 (e)

    632   
  2,825      

Kazakhstan Temir Zholy Finance B.V., Reg. S, 6.950%, 07/10/42

    2,917   
  4,372      

LYB International Finance B.V., 4.875%, 03/15/44

    4,645   
  3,350      

Majapahit Holding B.V., Reg. S, 7.750%, 01/20/20

    3,835   
  10,319      

Mylan N.V., 5.250%, 06/15/46 (e)

    10,536   
  

NXP B.V./NXP Funding LLC,

 
  2,281      

4.125%, 06/15/20 (e)

    2,406   
  2,905      

4.125%, 06/01/21 (e)

    3,101   
  2,665      

4.625%, 06/15/22 (e)

    2,905   
  5,525      

4.625%, 06/01/23 (e)

    6,050   
  5,902      

5.750%, 02/15/21 (e)

    6,138   
  6,874      

5.750%, 03/15/23 (e)

    7,347   
  

Petrobras Global Finance B.V.,

 
  3,480      

5.375%, 01/27/21

    3,413   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Netherlands — continued

 
  2,070      

6.750%, 01/27/41

    1,821   
  3,900      

8.375%, 05/23/21

    4,315   
  4,100      

8.750%, 05/23/26

    4,599   
  

Schaeffler Finance B.V.,

 
  1,750      

4.250%, 05/15/21 (e)

    1,796   
  2,755      

4.750%, 05/15/23 (e)

    2,841   
  

Sensata Technologies B.V.,

 
  4,678      

4.875%, 10/15/23 (e)

    4,847   
  1,395      

5.000%, 10/01/25 (e)

    1,430   
  2,034      

5.625%, 11/01/24 (e)

    2,156   
  

Shell International Finance B.V.,

 
  6,731      

3.750%, 09/12/46

    6,445   
  10,905      

4.000%, 05/10/46

    10,806   
  1,620      

4.375%, 05/11/45

    1,705   
  14,230      

Teva Pharmaceutical Finance Netherlands III B.V., 4.100%, 10/01/46

    13,200   
  1,425      

Ziggo Bond Finance B.V., 5.875%, 01/15/25 (e)

    1,414   
  3,875      

Ziggo Secured Finance B.V., 5.500%, 01/15/27 (e)

    3,806   
    

 

 

 
       135,616   
    

 

 

 
  

Peru — 0.1%

 
  2,950      

Banco de Credito del Peru, Reg. S, 4.250%, 04/01/23

    3,155   
  2,800      

BBVA Banco Continental S.A., Reg. S, 5.000%, 08/26/22

    3,069   
  1,924      

Consorcio Transmantaro S.A., Reg. S, 4.375%, 05/07/23

    1,984   
    

 

 

 
       8,208   
    

 

 

 
  

Singapore — 0.0% (g)

 
  480      

Flex Ltd., 5.000%, 02/15/23

    521   
    

 

 

 
  

Turkey — 0.0% (g)

 
  1,550      

Akbank TAS, Reg. S, 5.125%, 03/31/25

    1,504   
  1,500      

Turkiye Garanti Bankasi AS, Reg. S, 5.250%, 09/13/22

    1,509   
    

 

 

 
       3,013   
    

 

 

 
  

United Arab Emirates — 0.0% (g)

 
  3,100      

DP World Ltd., Reg. S, 6.850%, 07/02/37

    3,530   
    

 

 

 
  

United Kingdom — 0.7%

 
  3,720      

Adient Global Holdings Ltd., 4.875%, 08/15/26 (e)

    3,659   
  3,075      

Afren plc, Reg. S, 6.625%, 12/09/20 (d)

    15   
  

Anglo American Capital plc,

 
  2,170      

3.625%, 05/14/20 (e)

    2,181   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United Kingdom — continued

 
  3,197      

4.125%, 09/27/22 (e)

    3,165   
  739      

4.450%, 09/27/20 (e)

    753   
  3,646      

4.875%, 05/14/25 (e)

    3,710   
  

Ensco plc,

 
  429      

4.500%, 10/01/24

    343   
  864      

4.700%, 03/15/21

    798   
  1,906      

Inmarsat Finance plc, 6.500%, 10/01/24 (e)

    1,930   
  

International Game Technology plc,

 
  9,425      

6.250%, 02/15/22 (e)

    10,000   
  5,555      

6.500%, 02/15/25 (e)

    6,027   
  

Jaguar Land Rover Automotive plc,

 
  3,528      

4.125%, 12/15/18 (e)

    3,590   
  1,814      

4.250%, 11/15/19 (e)

    1,878   
  300      

5.625%, 02/01/23 (e)

    310   
  

Royal Bank of Scotland Group plc,

 
  1,610      

5.125%, 05/28/24

    1,595   
  14,647      

6.125%, 12/15/22

    15,467   
  

Sea Trucks Group Ltd.,

 
  2,631      

Reg. S, 9.000%, 03/26/18 (e)

    829   
  8,856      

Sensata Technologies UK Financing Co. plc, 6.250%, 02/15/26 (e)

    9,520   
  1,470      

Star Energy Geothermal Wayang Windu Ltd., Reg. S, 6.125%, 03/27/20

    1,529   
  

Virgin Media Finance plc,

 
  889      

5.750%, 01/15/25 (e)

    880   
  1,400      

6.000%, 10/15/24 (e)

    1,421   
  2,548      

6.375%, 04/15/23 (e)

    2,599   
  

Virgin Media Secured Finance plc,

 
  975      

5.250%, 01/15/26 (e)

    970   
  7,764      

5.375%, 04/15/21 (e)

    8,017   
  1,300      

5.500%, 01/15/25 (e)

    1,333   
  1,100      

5.500%, 08/15/26 (e)

    1,112   
    

 

 

 
       83,631   
    

 

 

 
  

United States — 34.3%

 
  

21st Century Fox America, Inc.,

 
  6,795      

4.750%, 09/15/44

    7,225   
  4,795      

4.950%, 10/15/45

    5,269   
  

AbbVie, Inc.,

 
  5,040      

4.450%, 05/14/46

    5,013   
  14,294      

4.700%, 05/14/45

    14,762   
  

Acadia Healthcare Co., Inc.,

 
  520      

5.125%, 07/01/22

    510   
  700      

5.625%, 02/15/23

    701   
  528      

6.125%, 03/15/21

    545   
  3,004      

6.500%, 03/01/24

    3,083   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  5,280      

ACCO Brands Corp., 6.750%, 04/30/20

    5,557   
  3,366      

ACE Cash Express, Inc., 11.000%, 02/01/19 (e)

    1,902   
  2,375      

ACI Worldwide, Inc., 6.375%, 08/15/20 (e)

    2,446   
  

ADT Corp. (The),

 
  6,730      

3.500%, 07/15/22

    6,374   
  8,100      

4.125%, 06/15/23

    7,920   
  2,239      

Advanced Micro Devices, Inc., 7.000%, 07/01/24

    2,218   
  

AECOM,

 
  2,780      

5.750%, 10/15/22

    2,918   
  9,398      

5.875%, 10/15/24

    9,926   
  

AES Corp.,

 
  1,900      

4.875%, 05/15/23

    1,885   
  1,500      

5.500%, 03/15/24

    1,522   
  6,285      

5.500%, 04/15/25

    6,348   
  2,903      

6.000%, 05/15/26

    2,990   
  6,704      

7.375%, 07/01/21

    7,559   
  8,189      

Aetna, Inc., 4.375%, 06/15/46

    8,299   
  3,136      

Ahern Rentals, Inc., 7.375%, 05/15/23 (e)

    2,054   
  5,465      

Air Medical Group Holdings, Inc., 6.375%, 05/15/23 (e)

    5,274   
  3,020      

AK Steel Corp., 7.500%, 07/15/23

    3,254   
  

Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,

 
  2,365      

5.750%, 03/15/25 (e)

    2,335   
  8,103      

6.625%, 06/15/24 (e)

    8,407   
  2,953      

Alcatel-Lucent USA, Inc., 6.450%, 03/15/29

    3,256   
  

Alere, Inc.,

 
  497      

6.375%, 07/01/23 (e)

    518   
  3,955      

6.500%, 06/15/20

    4,006   
  

Aleris International, Inc.,

 
  240      

7.875%, 11/01/20

    240   
  1,975      

9.500%, 04/01/21 (e)

    2,123   
  

Alliance Data Systems Corp.,

 
  1,939      

5.375%, 08/01/22 (e)

    1,866   
  970      

5.875%, 11/01/21 (e)

    980   
  2,395      

Allison Transmission, Inc., 5.000%, 10/01/24 (e)

    2,443   
  19,105      

Allstate Corp. (The), VAR, 5.750%, 08/15/53

    20,494   
  

Ally Financial, Inc.,

 
  2,460      

3.500%, 01/27/19

    2,460   
  5,200      

4.125%, 03/30/20

    5,285   
  3,039      

4.125%, 02/13/22

    3,040   
  9,865      

4.250%, 04/15/21

    9,951   
  17,232      

4.625%, 05/19/22

    17,620   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         65   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  11,685      

4.625%, 03/30/25

    11,889   
  1,600      

4.750%, 09/10/18

    1,644   
  3,835      

5.125%, 09/30/24

    4,017   
  2,855      

5.750%, 11/20/25

    2,923   
  3,435      

8.000%, 11/01/31

    4,105   
  

Altice U.S. Finance I Corp.,

 
  4,520      

5.375%, 07/15/23 (e)

    4,644   
  3,703      

5.500%, 05/15/26 (e)

    3,777   
  7,825      

Altria Group, Inc., 3.875%, 09/16/46

    7,712   
  3,120      

AMC Entertainment Holdings, Inc., 5.875%, 11/15/26 (e)

    3,143   
  

AMC Entertainment, Inc.,

 
  5,480      

5.750%, 06/15/25

    5,487   
  1,400      

5.875%, 02/15/22

    1,451   
  

AMC Networks, Inc.,

 
  2,100      

4.750%, 12/15/22

    2,142   
  9,150      

5.000%, 04/01/24

    9,264   
  1,620      

American Airlines Group, Inc., 5.500%, 10/01/19 (e)

    1,673   
  

American Axle & Manufacturing, Inc.,

 
  1,600      

6.250%, 03/15/21

    1,664   
  3,925      

6.625%, 10/15/22

    4,131   
  3,450      

7.750%, 11/15/19

    3,899   
  

American International Group, Inc.,

 
  4,240      

4.500%, 07/16/44

    4,317   
  10,770      

4.800%, 07/10/45

    11,474   
  1,950      

AmeriGas Finance LLC/AmeriGas Finance Corp., 7.000%, 05/20/22

    2,052   
  

AmeriGas Partners LP/AmeriGas Finance Corp.,

 
  1,039      

5.625%, 05/20/24

    1,088   
  1,039      

5.875%, 08/20/26

    1,084   
  13,750      

Amgen, Inc., 4.400%, 05/01/45

    13,995   
  

Amkor Technology, Inc.,

 
  9,149      

6.375%, 10/01/22

    9,435   
  4,556      

6.625%, 06/01/21

    4,647   
  1,312      

AMN Healthcare, Inc., 5.125%, 10/01/24 (e)

    1,332   
  

Amsurg Corp.,

 
  1,000      

5.625%, 11/30/20

    1,025   
  1,075      

5.625%, 07/15/22

    1,097   
  6,805      

Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46

    7,806   
  

Anixter, Inc.,

 
  6,606      

5.500%, 03/01/23

    6,953   
  2,060      

5.625%, 05/01/19

    2,183   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  2,255      

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 09/15/24 (e)

    2,271   
  

Antero Resources Corp.,

 
  7,948      

5.125%, 12/01/22

    8,008   
  3,548      

5.375%, 11/01/21

    3,583   
  3,955      

5.625%, 06/01/23

    4,034   
  1,565      

6.000%, 12/01/20

    1,610   
  

Anthem, Inc.,

 
  3,295      

4.650%, 08/15/44

    3,505   
  3,640      

5.100%, 01/15/44

    4,126   
  

Apple, Inc.,

 
  7,235      

3.850%, 08/04/46

    7,059   
  11,605      

4.650%, 02/23/46

    12,841   
  1,120      

Aramark Services, Inc., 5.125%, 01/15/24

    1,173   
  930      

Archrock Partners LP/Archrock Partners Finance Corp., 6.000%, 10/01/22

    872   
  

Arconic, Inc.,

 
  9,295      

5.125%, 10/01/24

    9,690   
  2,063      

5.400%, 04/15/21

    2,197   
  3,092      

5.870%, 02/23/22

    3,306   
  789      

6.150%, 08/15/20

    862   
  1,469      

6.750%, 01/15/28

    1,605   
  12,442      

Ashland LLC, 4.750%, 08/15/22

    12,854   
  

Ashtead Capital, Inc.,

 
  3,100      

5.625%, 10/01/24 (e)

    3,263   
  8,485      

6.500%, 07/15/22 (e)

    8,898   
  

AT&T, Inc.,

 
  1,765      

4.300%, 12/15/42

    1,626   
  4,700      

4.350%, 06/15/45

    4,316   
  8,215      

4.750%, 05/15/46

    8,047   
  3,850      

5.150%, 03/15/42

    3,977   
  6,960      

5.650%, 02/15/47

    7,761   
  275      

AutoNation, Inc., 5.500%, 02/01/20

    300   
  

Avaya, Inc.,

 
  4,920      

7.000%, 04/01/19 (e)

    3,998   
  3,340      

9.000%, 04/01/19 (e)

    2,772   
  2,160      

10.500%, 03/01/21

    713   
  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

 
  5,265      

5.500%, 04/01/23

    5,212   
  5,730      

6.375%, 04/01/24 (e)

    5,759   
  3,175      

Axalta Coating Systems LLC, 4.875%, 08/15/24 (e)

    3,223   
  4,450      

B&G Foods, Inc., 4.625%, 06/01/21

    4,572   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

Ball Corp.,

 
  495      

4.000%, 11/15/23

    501   
  1,850      

4.375%, 12/15/20

    1,970   
  905      

5.000%, 03/15/22

    973   
  1,962      

5.250%, 07/01/25

    2,089   
  5,095      

Baxalta, Inc., 5.250%, 06/23/45

    5,726   
  1,807      

Becton, Dickinson and Co., 4.685%, 12/15/44

    1,974   
  

Belden, Inc.,

 
  445      

5.250%, 07/15/24 (e)

    448   
  5,499      

5.500%, 09/01/22 (e)

    5,623   
  

Berry Plastics Corp.,

 
  1,875      

5.125%, 07/15/23

    1,908   
  500      

6.000%, 10/15/22

    530   
  7,755      

Biogen, Inc., 5.200%, 09/15/45

    8,754   
  

Blue Cube Spinco, Inc.,

 
  5,012      

9.750%, 10/15/23

    5,889   
  6,107      

10.000%, 10/15/25

    7,329   
  4,817      

Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (e)

    4,709   
  3,080      

BlueLine Rental Finance Corp., 7.000%, 02/01/19 (e)

    2,687   
  

Boardwalk Pipelines LP,

 
  132      

4.950%, 12/15/24

    137   
  5,777      

5.950%, 06/01/26

    6,409   
  920      

Boise Cascade Co., 5.625%, 09/01/24 (e)

    930   
  

Boyd Gaming Corp.,

 
  970      

6.375%, 04/01/26 (e)

    1,038   
  7,395      

6.875%, 05/15/23

    7,913   
  1,500      

Briggs & Stratton Corp., 6.875%, 12/15/20

    1,661   
  7,840      

Bumble Bee Holdings, Inc., 9.000%, 12/15/17 (e)

    7,830   
  

Cablevision Systems Corp.,

 
  5,671      

8.000%, 04/15/20

    6,011   
  629      

8.625%, 09/15/17

    658   
  

Caesars Entertainment Operating Co., Inc.,

 
  5,850      

8.500%, 02/15/20 (d)

    6,011   
  10,800      

9.000%, 02/15/20 (d)

    11,124   
  6,390      

11.250%, 06/01/17 (d)

    6,454   
  

CalAtlantic Group, Inc.,

 
  1,240      

5.375%, 10/01/22

    1,303   
  1,538      

5.875%, 11/15/24

    1,642   
  1,275      

8.375%, 01/15/21

    1,514   
  2,759      

Caleres, Inc., 6.250%, 08/15/23

    2,904   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

California Resources Corp.,

 
  55      

5.500%, 09/15/21

    33   
  19      

6.000%, 11/15/24

    10   
  3,303      

8.000%, 12/15/22 (e)

    2,238   
  1,151      

Callon Petroleum Co., 6.125%, 10/01/24 (e)

    1,186   
  

Calpine Corp.,

 
  3,015      

5.250%, 06/01/26 (e)

    3,060   
  1,139      

5.375%, 01/15/23

    1,128   
  1,500      

5.500%, 02/01/24

    1,451   
  1,140      

5.750%, 01/15/25

    1,109   
  4,467      

5.875%, 01/15/24 (e)

    4,701   
  4,101      

6.000%, 01/15/22 (e)

    4,287   
  4,610      

Casella Waste Systems, Inc., 7.750%, 02/15/19

    4,709   
  3,650      

CBS Corp., 4.600%, 01/15/45

    3,707   
  1,090      

CBS Radio, Inc., 7.250%, 11/01/24 (e)

    1,132   
  658      

CCM Merger, Inc., 9.125%, 05/01/19 (e)

    688   
  

CCO Holdings LLC/CCO Holdings Capital Corp.,

 
  3,280      

5.125%, 05/01/23 (e)

    3,395   
  3,700      

5.375%, 05/01/25 (e)

    3,802   
  9,840      

5.500%, 05/01/26 (e)

    10,110   
  266      

5.750%, 09/01/23

    281   
  10,221      

5.750%, 02/15/26 (e)

    10,649   
  35,767      

5.875%, 04/01/24 (e)

    37,734   
  

CDW LLC/CDW Finance Corp.,

 
  2,242      

5.000%, 09/01/23

    2,302   
  875      

5.500%, 12/01/24

    921   
  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.,

 
  1,095      

5.250%, 03/15/21

    1,135   
  575      

5.375%, 06/01/24

    607   
  8,615      

Celgene Corp., 5.000%, 08/15/45

    9,252   
  

Cemex Finance LLC,

 
  640      

6.000%, 04/01/24 (e)

    661   
  6,690      

9.375%, 10/12/22 (e)

    7,342   
  

Centene Corp.,

 
  100      

4.750%, 05/15/22

    101   
  2,850      

4.750%, 01/15/25

    2,843   
  2,570      

5.625%, 02/15/21

    2,705   
  1,745      

6.125%, 02/15/24

    1,854   
  2,600      

Central Garden & Pet Co., 6.125%, 11/15/23

    2,789   
  

CenturyLink, Inc.,

 
  13,146      

Series T, 5.800%, 03/15/22

    13,343   
  8,375      

Series W, 6.750%, 12/01/23

    8,606   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         67   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  1,275      

Cenveo Corp., 8.500%, 09/15/22 (e)

    893   
  

CF Industries, Inc.,

 
  5,290      

4.950%, 06/01/43

    4,430   
  2,630      

5.150%, 03/15/34

    2,368   
  8,530      

5.375%, 03/15/44

    7,302   
  

Change Healthcare Holdings, Inc.,

 
  4,180      

6.000%, 02/15/21 (e)

    4,389   
  4,435      

11.000%, 12/31/19

    4,657   
  22,245      

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.484%, 10/23/45 (e)

    26,146   
  

Chemours Co. (The),

 
  4,745      

6.625%, 05/15/23

    4,602   
  1,500      

7.000%, 05/15/25

    1,459   
  2,120      

Cheniere Corpus Christi Holdings LLC, 7.000%, 06/30/24 (e)

    2,247   
  

Chesapeake Energy Corp.,

 
  3,110      

4.875%, 04/15/22

    2,643   
  918      

5.750%, 03/15/23

    794   
  1,771      

6.125%, 02/15/21

    1,616   
  9,807      

8.000%, 12/15/22 (e)

    9,979   
  

CHS/Community Health Systems, Inc.,

 
  151      

5.125%, 08/15/18

    149   
  3,274      

5.125%, 08/01/21

    3,028   
  4,257      

6.875%, 02/01/22

    3,172   
  2,575      

7.125%, 07/15/20

    2,086   
  2,889      

8.000%, 11/15/19

    2,513   
  142      

Chukchansi Economic Development Authority, 9.750%, 05/30/20 (d) (e)

    73   
  1,934      

Cincinnati Bell, Inc., 7.000%, 07/15/24 (e)

    2,026   
  

Cinemark USA, Inc.,

 
  3,600      

4.875%, 06/01/23

    3,605   
  2,412      

5.125%, 12/15/22

    2,478   
  

CIT Group, Inc.,

 
  7,263      

5.000%, 08/15/22

    7,774   
  9,242      

5.375%, 05/15/20

    9,877   
  17,825      

5.500%, 02/15/19 (e)

    18,783   
  2,077      

Citgo Holding, Inc., 10.750%, 02/15/20 (e)

    2,125   
  1,908      

CITGO Petroleum Corp., 6.250%, 08/15/22 (e)

    1,951   
  

Claire’s Stores, Inc.,

 
  1,150      

6.125%, 03/15/20 (e)

    564   
  11,608      

9.000%, 03/15/19 (e)

    5,804   
  

Clean Harbors, Inc.,

 
  1,490      

5.125%, 06/01/21

    1,525   
  6,200      

5.250%, 08/01/20

    6,324   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Clear Channel Worldwide Holdings, Inc.,

 
  1,675      

Series A, 6.500%, 11/15/22

    1,675   
  34,845      

Series B, 6.500%, 11/15/22

    35,507   
  115      

Series A, 7.625%, 03/15/20

    108   
  21,593      

Series B, 7.625%, 03/15/20

    20,891   
  

Clearwater Paper Corp.,

 
  3,025      

4.500%, 02/01/23

    3,010   
  900      

5.375%, 02/01/25 (e)

    909   
  387      

Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 12.000%, 11/01/21

    392   
  4,235      

CNG Holdings, Inc., 9.375%, 05/15/20 (e)

    2,774   
  

CNH Industrial Capital LLC,

 
  3,475      

4.375%, 11/06/20

    3,553   
  5,420      

4.875%, 04/01/21

    5,623   
  

CNO Financial Group, Inc.,

 
  600      

4.500%, 05/30/20

    616   
  5,015      

5.250%, 05/30/25

    5,103   
  2,977      

Coeur Mining, Inc., 7.875%, 02/01/21

    3,051   
  2,669      

Cogent Communications Finance, Inc., 5.625%, 04/15/21 (e)

    2,682   
  3,900      

Cogent Communications Group, Inc., 5.375%, 03/01/22 (e)

    4,007   
  3,290      

Columbia Pipeline Group, Inc., 5.800%, 06/01/45

    3,902   
  3,320      

Comcast Corp., 3.400%, 07/15/46

    3,067   
  3,227      

Commercial Metals Co., 4.875%, 05/15/23

    3,195   
  9,502      

CommScope Technologies Finance LLC, 6.000%, 06/15/25 (e)

    9,977   
  

CommScope, Inc.,

 
  358      

4.375%, 06/15/20 (e)

    369   
  2,355      

5.000%, 06/15/21 (e)

    2,420   
  5,188      

5.500%, 06/15/24 (e)

    5,434   
  

Communications Sales & Leasing, Inc./CSL Capital LLC,

 
  4,115      

6.000%, 04/15/23 (e)

    4,269   
  7,160      

8.250%, 10/15/23

    7,554   
  

Concho Resources, Inc.,

 
  657      

5.500%, 04/01/23

    672   
  1,834      

6.500%, 01/15/22

    1,898   
  1,855      

CONSOL Energy, Inc., 5.875%, 04/15/22

    1,707   
  2,232      

Consolidated Communications, Inc., 6.500%, 10/01/22

    2,199   
  1,270      

Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/54

    1,423   
  30      

Constar International, Inc., 11.000%, 12/31/17 (d)

    3   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

Constellation Brands, Inc.,

 
  299      

3.750%, 05/01/21

    316   
  995      

4.750%, 11/15/24

    1,089   
  1,865      

4.750%, 12/01/25

    2,049   
  510      

6.000%, 05/01/22

    592   
  793      

Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18

    828   
  43      

Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19

    47   
  899      

Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21

    991   
  722      

Continental Airlines 2012-3 Class C Pass-Through Certificates, 6.125%, 04/29/18

    758   
  

Continental Resources, Inc.,

 
  310      

3.800%, 06/01/24

    285   
  6,476      

4.500%, 04/15/23

    6,168   
  8,434      

5.000%, 09/15/22

    8,308   
  468      

7.125%, 04/01/21

    485   
  3,273      

Cooper-Standard Automotive, Inc., 5.625%, 11/15/26 (d) (e)

    3,285   
  

Corrections Corp. of America,

 
  8,720      

4.125%, 04/01/20

    8,153   
  2,400      

4.625%, 05/01/23

    2,106   
  4,070      

Cortes NP Acquisition Corp., 9.250%, 10/15/24 (e)

    4,263   
  

Cott Beverages, Inc.,

 
  3,076      

5.375%, 07/01/22

    3,122   
  5,762      

6.750%, 01/01/20

    5,985   
  

Covanta Holding Corp.,

 
  240      

5.875%, 03/01/24

    234   
  577      

6.375%, 10/01/22

    587   
  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.,

 
  854      

6.000%, 12/15/20

    869   
  3,830      

6.125%, 03/01/22

    3,916   
  1,409      

6.250%, 04/01/23

    1,427   
  1,765      

Crown Americas LLC/Crown Americas Capital Corp. V, 4.250%, 09/30/26 (e)

    1,730   
  1,770      

Crown Americas LLC/Crown Americas Capital Corp. IV, 4.500%, 01/15/23

    1,814   
  1,863      

Crown Castle International Corp., 4.875%, 04/15/22

    2,055   
  

CSC Holdings LLC,

 
  4,250      

5.500%, 04/15/27 (e)

    4,311   
  1,400      

6.625%, 10/15/25 (e)

    1,517   
  1,995      

6.750%, 11/15/21

    2,100   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  1,781      

8.625%, 02/15/19

    1,987   
  7,700      

10.125%, 01/15/23 (e)

    8,682   
  900      

10.875%, 10/15/25 (e)

    1,035   
  1,600      

CSI Compressco LP/CSI Compressco Finance, Inc., 7.250%, 08/15/22

    1,480   
  4,820      

CSX Corp., 4.250%, 11/01/66

    4,682   
  7,380      

CVR Partners LP/CVR Nitrogen Finance Corp., 9.250%, 06/15/23 (e)

    7,237   
  

Dana, Inc.,

 
  6,250      

5.500%, 12/15/24

    6,469   
  6,125      

6.000%, 09/15/23

    6,393   
  4,795      

Darling Ingredients, Inc., 5.375%, 01/15/22

    4,999   
  

DaVita, Inc.,

 
  7,480      

5.000%, 05/01/25

    7,218   
  3,569      

5.125%, 07/15/24

    3,480   
  1,275      

5.750%, 08/15/22

    1,308   
  

DCP Midstream Operating LP,

 
  1,595      

3.875%, 03/15/23

    1,551   
  702      

4.950%, 04/01/22

    720   
  6,738      

Dean Foods Co., 6.500%, 03/15/23 (e)

    7,176   
  37      

Delta Air Lines 2009-1 Series B Pass-Through Trust, 9.750%, 12/17/16

    37   
  351      

Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20

    378   
  447      

Delta Air Lines 2012-1 Class B Pass-Through Trust, 6.875%, 05/07/19 (e)

    483   
  

Denbury Resources, Inc.,

 
  4,635      

4.625%, 07/15/23

    3,372   
  3,290      

5.500%, 05/01/22

    2,599   
  6,625      

Devon Energy Corp., 5.000%, 06/15/45

    6,418   
  

Diamond 1 Finance Corp./Diamond 2 Finance Corp.,

 
  25      

3.480%, 06/01/19 (e)

    26   
  1,310      

4.420%, 06/15/21 (e)

    1,370   
  7,581      

5.450%, 06/15/23 (e)

    8,121   
  2,895      

5.875%, 06/15/21 (e)

    3,036   
  9,141      

6.020%, 06/15/26 (e)

    9,960   
  1,465      

7.125%, 06/15/24 (e)

    1,605   
  529      

8.100%, 07/15/36 (e)

    629   
  8,987      

8.350%, 07/15/46 (e)

    10,898   
  4,015      

Diebold, Inc., 8.500%, 04/15/24 (e)

    4,255   
  

DISH DBS Corp.,

 
  7,460      

5.000%, 03/15/23

    7,348   
  21,445      

5.875%, 07/15/22

    22,249   
  12,880      

5.875%, 11/15/24

    12,969   
  24,609      

6.750%, 06/01/21

    26,439   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         69   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  3,982      

7.750%, 07/01/26

    4,373   
  530      

7.875%, 09/01/19

    590   
  6,950      

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.125%, 06/15/21 (e)

    6,377   
  5,148      

Dollar Tree, Inc., 5.750%, 03/01/23

    5,463   
  2,229      

Dominion Gas Holdings LLC, 4.600%, 12/15/44

    2,343   
  

Dominion Resources, Inc.,

 
  4,755      

4.700%, 12/01/44

    5,209   
  17,485      

VAR, 5.750%, 10/01/54

    18,184   
  1,984      

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e)

    2,004   
  3,419      

DS Services of America, Inc., 10.000%, 09/01/21 (e)

    3,795   
  5,625      

Duke Energy Corp., 3.750%, 09/01/46

    5,367   
  1,693      

DuPont Fabros Technology LP, 5.875%, 09/15/21

    1,773   
  

Dynegy, Inc.,

 
  5,138      

5.875%, 06/01/23

    4,601   
  6,280      

7.375%, 11/01/22

    6,076   
  8,155      

7.625%, 11/01/24

    7,798   
  3,400      

8.000%, 01/15/25 (e)

    3,281   
  720      

E*TRADE Financial Corp., 5.375%, 11/15/22

    770   
  560      

Eldorado Resorts, Inc., 7.000%, 08/01/23

    595   
  26,596      

Embarq Corp., 7.995%, 06/01/36

    26,995   
  1,129      

EMC Corp., 2.650%, 06/01/20

    1,098   
  1,825      

EMI Music Publishing Group North America Holdings, Inc., 7.625%, 06/15/24 (e)

    1,971   
  3,026      

Endo Finance LLC, 5.750%, 01/15/22 (e)

    2,723   
  1,846      

Endo Finance LLC/Endo Finco, Inc., 7.250%, 01/15/22 (e)

    1,749   
  8,500      

Energizer Holdings, Inc., 5.500%, 06/15/25 (e)

    8,606   
  6,302      

Energy Transfer Equity LP, 5.875%, 01/15/24

    6,381   
  

Energy Transfer Partners LP,

 
  3,020      

5.150%, 02/01/43

    2,801   
  1,155      

6.125%, 12/15/45

    1,203   
  2,091      

EnerSys, 5.000%, 04/30/23 (e)

    2,143   
  

EnLink Midstream Partners LP,

 
  890      

4.150%, 06/01/25

    868   
  756      

4.850%, 07/15/26

    770   
  455      

EnLink Midstream Partners LP/EnLink Midstream Finance Corp., 7.125%, 06/01/22

    481   
  5,373      

Entegris, Inc., 6.000%, 04/01/22 (e)

    5,561   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Enterprise Products Operating LLC,

 
  2,890      

4.850%, 03/15/44

    2,926   
  12,190      

4.900%, 05/15/46

    12,632   
  1,754      

Envision Healthcare Corp., 5.125%, 07/01/22 (e)

    1,744   
  

EP Energy LLC/Everest Acquisition Finance, Inc.,

 
  993      

6.375%, 06/15/23

    675   
  4,036      

7.750%, 09/01/22

    2,745   
  14,675      

9.375%, 05/01/20

    11,483   
  

Equinix, Inc.,

 
  1,320      

4.875%, 04/01/20

    1,366   
  3,098      

5.375%, 01/01/22

    3,284   
  950      

5.375%, 04/01/23

    992   
  948      

5.750%, 01/01/25

    1,002   
  3,555      

5.875%, 01/15/26

    3,776   
  8,015      

ERAC USA Finance LLC, 4.200%, 11/01/46 (e)

    7,777   
  5,852      

ESH Hospitality, Inc., 5.250%, 05/01/25 (e)

    5,793   
  

Exelon Corp.,

 
  6,060      

4.450%, 04/15/46

    6,311   
  3,750      

5.100%, 06/15/45

    4,245   
  

Express Scripts Holding Co.,

 
  7,130      

4.800%, 07/15/46

    7,150   
  1,556      

6.125%, 11/15/41

    1,853   
  

FedEx Corp.,

 
  6,025      

4.550%, 04/01/46

    6,437   
  2,215      

4.750%, 11/15/45

    2,411   
  1,170      

Ferrellgas LP/Ferrellgas Finance Corp., 6.750%, 06/15/23

    1,091   
  1,605      

Fidelity & Guaranty Life Holdings, Inc., 6.375%, 04/01/21 (e)

    1,601   
  

First Data Corp.,

 
  5,757      

5.000%, 01/15/24 (e)

    5,829   
  14,508      

5.375%, 08/15/23 (e)

    14,979   
  29,972      

5.750%, 01/15/24 (e)

    30,497   
  5,563      

6.750%, 11/01/20 (e)

    5,758   
  11,323      

7.000%, 12/01/23 (e)

    11,903   
  22,380      

Ford Motor Co., 4.750%, 01/15/43

    22,405   
  2,500      

Ford Motor Credit Co. LLC, 5.000%, 05/15/18

    2,617   
  

Freeport-McMoRan, Inc.,

 
  2,395      

3.100%, 03/15/20

    2,305   
  985      

3.550%, 03/01/22

    901   
  7,550      

3.875%, 03/15/23

    6,871   
  3,074      

4.000%, 11/14/21

    2,905   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  1,145      

4.550%, 11/14/24

    1,047   
  375      

5.400%, 11/14/34

    323   
  5,805      

5.450%, 03/15/43

    4,818   
  

Fresenius Medical Care U.S. Finance II, Inc.,

 
  860      

4.125%, 10/15/20 (e)

    894   
  2,965      

4.750%, 10/15/24 (e)

    3,091   
  978      

5.625%, 07/31/19 (e)

    1,059   
  3,357      

5.875%, 01/31/22 (e)

    3,803   
  400      

6.500%, 09/15/18 (e)

    431   
  1,850      

Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e)

    2,067   
  

Frontier Communications Corp.,

 
  1,085      

6.250%, 09/15/21

    1,031   
  865      

7.125%, 03/15/19

    925   
  365      

8.125%, 10/01/18

    397   
  6,723      

8.500%, 04/15/20

    7,177   
  715      

8.875%, 09/15/20

    760   
  4,695      

9.250%, 07/01/21

    4,953   
  10,798      

10.500%, 09/15/22

    11,230   
  22,317      

11.000%, 09/15/25

    22,784   
  900      

FTI Consulting, Inc., 6.000%, 11/15/22

    945   
  4,460      

GCI, Inc., 6.750%, 06/01/21

    4,605   
  3,552      

GCP Applied Technologies, Inc., 9.500%, 02/01/23 (e)

    4,023   
  5,100      

General Cable Corp., 5.750%, 10/01/22

    4,820   
  

General Motors Co.,

 
  12,250      

4.875%, 10/02/23

    13,194   
  9,020      

6.250%, 10/02/43

    10,337   
  9,930      

6.750%, 04/01/46

    12,198   
  

General Motors Financial Co., Inc.,

 
  1,621      

3.250%, 05/15/18

    1,650   
  700      

3.450%, 04/10/22

    708   
  205      

4.250%, 05/15/23

    213   
  1,050      

4.750%, 08/15/17

    1,076   
  

Genesis Energy LP/Genesis Energy Finance Corp.,

 
  2,418      

5.625%, 06/15/24

    2,394   
  1,054      

6.000%, 05/15/23

    1,057   
  780      

6.750%, 08/01/22

    801   
  

GenOn Energy, Inc.,

 
  1,000      

9.500%, 10/15/18

    803   
  4,859      

9.875%, 10/15/20

    3,632   
  

GEO Group, Inc. (The),

 
  8,165      

5.875%, 01/15/22

    7,696   
  2,215      

6.000%, 04/15/26

    1,910   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Gilead Sciences, Inc.,

 
  7,890      

4.150%, 03/01/47

    7,825   
  15,575      

4.750%, 03/01/46

    16,836   
  

Global Partners LP/GLP Finance Corp.,

 
  1,085      

6.250%, 07/15/22

    1,036   
  1,250      

7.000%, 06/15/23

    1,194   
  

GLP Capital LP/GLP Financing II, Inc.,

 
  160      

4.375%, 04/15/21

    169   
  4,035      

5.375%, 11/01/23

    4,322   
  1,555      

5.375%, 04/15/26

    1,648   
  1,890      

Golden Nugget, Inc., 8.500%, 12/01/21 (e)

    1,985   
  2,585      

Goodman Networks, Inc., 12.125%, 07/01/18

    1,105   
  

Goodyear Tire & Rubber Co. (The),

 
  4,150      

5.000%, 05/31/26

    4,171   
  1,685      

5.125%, 11/15/23

    1,740   
  5,787      

7.000%, 05/15/22

    6,083   
  3,179      

8.750%, 08/15/20

    3,807   
  

Graphic Packaging International, Inc.,

 
  1,187      

4.750%, 04/15/21

    1,261   
  570      

4.875%, 11/15/22

    597   
  

Gray Television, Inc.,

 
  2,285      

5.125%, 10/15/24 (e)

    2,216   
  1,445      

5.875%, 07/15/26 (e)

    1,438   
  3,425      

Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19

    3,361   
  2,460      

Group 1 Automotive, Inc., 5.250%, 12/15/23 (e)

    2,448   
  983      

Guitar Center, Inc., 6.500%, 04/15/19 (e)

    882   
  1,045      

Gulfport Energy Corp., 6.000%, 10/15/24 (e)

    1,063   
  7,564      

H&E Equipment Services, Inc., 7.000%, 09/01/22

    7,957   
  315      

Halcon Resources Corp., 8.625%, 02/01/20 (e)

    321   
  15,855      

Halliburton Co., 5.000%, 11/15/45

    17,418   
  2,870      

Hardwoods Acquisition, Inc., 7.500%, 08/01/21 (e)

    2,081   
  

Harland Clarke Holdings Corp.,

 
  2,075      

6.875%, 03/01/20 (e)

    1,987   
  395      

9.750%, 08/01/18 (e)

    404   
  4,520      

Harris Corp., 5.054%, 04/27/45

    4,977   
  650      

Hartford Financial Services Group, Inc. (The), VAR, 8.125%, 06/15/38

    710   
  3,847      

HCA Holdings, Inc., 6.250%, 02/15/21

    4,150   
  

HCA, Inc.,

 
  2,318      

3.750%, 03/15/19

    2,370   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         71   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  1,410      

4.250%, 10/15/19

    1,463   
  2,330      

4.500%, 02/15/27

    2,301   
  1,976      

5.000%, 03/15/24

    2,065   
  2,275      

5.250%, 04/15/25

    2,383   
  2,985      

5.250%, 06/15/26

    3,121   
  34,466      

5.375%, 02/01/25

    35,233   
  9,245      

5.875%, 03/15/22

    10,169   
  6,435      

5.875%, 02/15/26

    6,757   
  8,811      

6.500%, 02/15/20

    9,753   
  30,533      

7.500%, 02/15/22

    34,731   
  1,400      

8.000%, 10/01/18

    1,552   
  2,040      

Series 1, 5.875%, 05/01/23

    2,162   
  

HD Supply, Inc.,

 
  10,595      

5.250%, 12/15/21 (e)

    11,257   
  2,010      

5.750%, 04/15/24 (e)

    2,111   
  

HealthSouth Corp.,

 
  3,470      

5.750%, 11/01/24

    3,578   
  3,650      

5.750%, 09/15/25

    3,778   
  3,151      

Hecla Mining Co., 6.875%, 05/01/21

    3,214   
  

Herc Rentals, Inc.,

 
  3,190      

7.500%, 06/01/22 (e)

    3,190   
  4,775      

7.750%, 06/01/24 (e)

    4,799   
  

Hertz Corp. (The),

 
  4,215      

5.500%, 10/15/24 (e)

    4,092   
  1,741      

5.875%, 10/15/20

    1,789   
  3,150      

6.250%, 10/15/22

    3,213   
  9,315      

7.375%, 01/15/21

    9,595   
  5,595      

Hess Corp., 5.800%, 04/01/47

    5,731   
  

Hexion, Inc.,

 
  20,394      

6.625%, 04/15/20

    17,845   
  1,600      

8.875%, 02/01/18

    1,521   
  

Hilcorp Energy I LP/Hilcorp Finance Co.,

 
  1,234      

5.000%, 12/01/24 (e)

    1,203   
  4,222      

5.750%, 10/01/25 (e)

    4,233   
  1,656      

7.625%, 04/15/21 (e)

    1,697   
  600      

Hillman Group, Inc. (The), 6.375%, 07/15/22 (e)

    557   
  6,428      

Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (e)

    6,749   
  3,590      

Hilton Domestic Operating Co., Inc., 4.250%, 09/01/24 (e)

    3,599   
  2,800      

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21

    2,884   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Holly Energy Partners LP/Holly Energy Finance Corp.,

 
  2,710      

6.000%, 08/01/24 (e)

    2,818   
  500      

6.500%, 03/01/20

    514   
  4,617      

Hologic, Inc., 5.250%, 07/15/22 (e)

    4,883   
  1,000      

HRG Group, Inc., 7.875%, 07/15/19

    1,048   
  

Hughes Satellite Systems Corp.,

 
  7,450      

5.250%, 08/01/26 (e)

    7,338   
  1,570      

6.500%, 06/15/19

    1,713   
  2,335      

6.625%, 08/01/26 (e)

    2,312   
  

Huntsman International LLC,

 
  560      

4.875%, 11/15/20

    581   
  11,665      

5.125%, 11/15/22

    12,073   
  7,805      

IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19

    7,434   
  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

 
  2,470      

4.875%, 03/15/19

    2,459   
  919      

5.875%, 02/01/22

    874   
  

iHeartCommunications, Inc.,

 
  2,813      

9.000%, 12/15/19

    2,134   
  2,067      

9.000%, 03/01/21

    1,478   
  8,163      

ILFC E-Capital Trust I, VAR, 4.000%, 12/21/65 (e)

    6,510   
  4,720      

ILFC E-Capital Trust II, VAR, 4.250%, 12/21/65 (e)

    3,847   
  3,317      

Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.625%, 11/15/24 (e)

    3,321   
  1,209      

Indiana Michigan Power Co., Series K, 4.550%, 03/15/46

    1,315   
  8,192      

Infor Software Parent LLC/Infor Software Parent, Inc., 7.125% (cash), 05/01/21 (e) (v)

    8,312   
  

Infor U.S., Inc.,

 
  1,248      

5.750%, 08/15/20 (e)

    1,306   
  15,605      

6.500%, 05/15/22

    16,151   
  5,663      

Informatica LLC, 7.125%, 07/15/23 (e)

    5,267   
  2,065      

Ingles Markets, Inc., 5.750%, 06/15/23

    2,137   
  10,440      

Intel Corp., 4.100%, 05/19/46

    10,752   
  

International Lease Finance Corp.,

 
  1,500      

4.625%, 04/15/21

    1,567   
  825      

5.875%, 04/01/19

    887   
  5,250      

6.250%, 05/15/19

    5,683   
  4,020      

Interval Acquisition Corp., 5.625%, 04/15/23

    4,151   
  4,480      

inVentiv Health, Inc., 9.000%, 01/15/18 (e)

    4,542   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

Iron Mountain, Inc.,

 
  1,530      

5.750%, 08/15/24

    1,568   
  4,028      

6.000%, 10/01/20 (e)

    4,265   
  1,250      

6.000%, 08/15/23

    1,328   
  4,093      

Isle of Capri Casinos, Inc., 5.875%, 03/15/21

    4,257   
  1,915      

ITC Holdings Corp., 5.300%, 07/01/43

    2,164   
  

J.C. Penney Corp., Inc.,

 
  400      

5.875%, 07/01/23 (e)

    411   
  449      

8.125%, 10/01/19

    489   
  500      

Jack Cooper Holdings Corp., 9.250%, 06/01/20

    335   
  2,310      

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.375%, 08/01/23 (e)

    2,323   
  1,007      

JB Poindexter & Co., Inc., 9.000%, 04/01/22 (e)

    1,058   
  

JBS USA LUX S.A./JBS USA Finance, Inc.,

 
  4,689      

5.750%, 06/15/25 (e)

    4,584   
  4,448      

5.875%, 07/15/24 (e)

    4,445   
  9,834      

7.250%, 06/01/21 (e)

    10,104   
  2,701      

8.250%, 02/01/20 (e)

    2,775   
  773      

Jo-Ann Stores LLC, 8.125%, 03/15/19 (e)

    771   
  993      

Kaiser Aluminum Corp., 5.875%, 05/15/24

    1,049   
  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC,

 
  2,070      

5.000%, 06/01/24 (e)

    2,127   
  2,070      

5.250%, 06/01/26 (e)

    2,158   
  2,000      

Kinder Morgan Energy Partners LP, 5.625%, 09/01/41

    1,992   
  7,460      

Kindred Healthcare, Inc., 8.750%, 01/15/23

    7,236   
  

Kinetic Concepts, Inc./KCI USA, Inc.,

 
  2,560      

7.875%, 02/15/21 (e)

    2,781   
  10,065      

9.625%, 10/01/21 (e)

    9,700   
  6,400      

KLX, Inc., 5.875%, 12/01/22 (e)

    6,513   
  2,065      

Kohl’s Corp., 5.550%, 07/17/45

    2,005   
  

Kraft Heinz Foods Co.,

 
  7,495      

4.375%, 06/01/46

    7,551   
  11,712      

5.200%, 07/15/45

    13,255   
  3,574      

Kratos Defense & Security Solutions, Inc., 7.000%, 05/15/19

    3,252   
  3,680      

Kroger Co. (The), 3.875%, 10/15/46

    3,521   
  

L Brands, Inc.,

 
  1,335      

5.625%, 02/15/22

    1,462   
  4,100      

5.625%, 10/15/23

    4,510   
  4,245      

6.625%, 04/01/21

    4,882   
  6,385      

6.750%, 07/01/36

    6,778   
  1,606      

6.875%, 11/01/35

    1,702   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Lamar Media Corp.,

 
  1,000      

5.000%, 05/01/23

    1,047   
  258      

5.375%, 01/15/24

    272   
  3,757      

5.750%, 02/01/26

    4,022   
  1,340      

Landry’s, Inc., 6.750%, 10/15/24 (e)

    1,367   
  2,900      

Laredo Petroleum, Inc., 7.375%, 05/01/22

    2,987   
  

Lear Corp.,

 
  3,400      

5.250%, 01/15/25

    3,655   
  2,000      

5.375%, 03/15/24

    2,138   
  

Lennar Corp.,

 
  950      

4.500%, 06/15/19

    992   
  690      

4.500%, 11/15/19

    725   
  625      

4.750%, 05/30/25

    634   
  994      

4.875%, 12/15/23

    1,021   
  175      

6.950%, 06/01/18

    186   
  555      

Series B, 12.250%, 06/01/17

    586   
  1,000      

Level 3 Communications, Inc., 5.750%, 12/01/22

    1,030   
  

Level 3 Financing, Inc.,

 
  6,451      

5.125%, 05/01/23

    6,515   
  3,753      

5.250%, 03/15/26 (e)

    3,800   
  325      

5.375%, 08/15/22

    335   
  4,220      

5.375%, 01/15/24

    4,294   
  9,989      

5.375%, 05/01/25

    10,139   
  401      

5.625%, 02/01/23

    412   
  75      

Levi Strauss & Co., 5.000%, 05/01/25

    78   
  870      

Liberty Interactive LLC, 8.250%, 02/01/30

    931   
  2,538      

Liberty Mutual Group, Inc., 7.800%, 03/15/37 (e)

    2,982   
  

LifePoint Health, Inc.,

 
  609      

5.375%, 05/01/24 (e)

    605   
  1,335      

5.500%, 12/01/21

    1,382   
  1,887      

LIN Television Corp., 5.875%, 11/15/22

    1,974   
  

Live Nation Entertainment, Inc.,

 
  2,805      

4.875%, 11/01/24 (e)

    2,798   
  1,365      

5.375%, 06/15/22 (e)

    1,413   
  1,018      

7.000%, 09/01/20 (e)

    1,057   
  3,265      

LSB Industries, Inc., SUB, 8.500%, 08/01/19

    3,036   
  5,837      

LTF Merger Sub, Inc., 8.500%, 06/15/23 (e)

    5,954   
  2,495      

M/I Homes, Inc., 6.750%, 01/15/21

    2,626   
  1,320      

Magellan Midstream Partners LP, 4.250%, 09/15/46

    1,283   
  3,805      

Magnachip Semiconductor Corp., 6.625%, 07/15/21

    3,310   
  4,280      

Markel Corp., 5.000%, 04/05/46

    4,537   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         73   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  1,117      

Martin Midstream Partners LP/Martin Midstream Finance Corp., 7.250%, 02/15/21

    1,070   
  6,815      

Massachusetts Electric Co., 4.004%, 08/15/46 (e)

    6,924   
  4,837      

MasTec, Inc., 4.875%, 03/15/23

    4,710   
  890      

Match Group, Inc., 6.375%, 06/01/24

    961   
  7,280      

McDonald’s Corp., 4.875%, 12/09/45

    8,158   
  2,500      

Mediacom Broadband LLC/Mediacom Broadband Corp., 6.375%, 04/01/23

    2,600   
  

Meritage Homes Corp.,

 
  1,270      

7.000%, 04/01/22

    1,418   
  420      

7.150%, 04/15/20

    466   
  12,815      

MetLife, Inc., 6.400%, 12/15/36

    14,353   
  

MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.,

 
  1,985      

4.500%, 09/01/26 (e)

    1,942   
  2,465      

5.625%, 05/01/24 (e)

    2,624   
  

MGM Resorts International,

 
  2,430      

4.625%, 09/01/26

    2,339   
  1,495      

5.250%, 03/31/20

    1,580   
  22,455      

6.000%, 03/15/23

    24,307   
  3,070      

6.625%, 12/15/21

    3,429   
  350      

6.750%, 10/01/20

    390   
  20,834      

7.750%, 03/15/22

    24,109   
  2,165      

Michaels Stores, Inc., 5.875%, 12/15/20 (e)

    2,233   
  

Micron Technology, Inc.,

 
  2,921      

5.250%, 08/01/23 (e)

    2,863   
  10,302      

5.250%, 01/15/24 (e)

    10,044   
  265      

5.500%, 02/01/25

    259   
  847      

5.625%, 01/15/26 (e)

    822   
  1,087      

5.875%, 02/15/22

    1,123   
  6,314      

7.500%, 09/15/23 (e)

    6,969   
  5,025      

Microsemi Corp., 9.125%, 04/15/23 (e)

    5,791   
  

Microsoft Corp.,

 
  11,045      

3.950%, 08/08/56

    10,783   
  13,370      

4.750%, 11/03/55

    14,988   
  3,870      

Milacron LLC/Mcron Finance Corp., 7.750%, 02/15/21 (e)

    3,957   
  4,645      

Molson Coors Brewing Co., 4.200%, 07/15/46

    4,672   
  

Momentive Performance Materials, Inc.,

 
  1,350      

3.880%, 10/24/21

    1,202   
  1,350      

8.875%, 10/15/20 (d)

    (h) 
  

Motors Liquidation Co.,

 
  10      

6.750%, 05/01/28 (d)

      
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  11      

7.750%, 03/15/36 (d)

      
  115      

8.375%, 07/15/33 (d)

      
  6,054      

MPG Holdco I, Inc., 7.375%, 10/15/22

    6,168   
  5,316      

MPH Acquisition Holdings LLC, 7.125%, 06/01/24 (e)

    5,688   
  

MPLX LP,

 
  5,720      

4.875%, 12/01/24

    5,984   
  7,685      

4.875%, 06/01/25

    8,020   
  5,035      

5.500%, 02/15/23

    5,246   
  2,185      

MSCI, Inc., 5.250%, 11/15/24 (e)

    2,294   
  7,005      

National Rural Utilities Cooperative Finance Corp., VAR, 5.250%, 04/20/46

    7,487   
  

Nationstar Mortgage LLC/Nationstar Capital Corp.,

 
  1,372      

6.500%, 07/01/21

    1,362   
  1,028      

6.500%, 06/01/22

    1,000   
  3,280      

7.875%, 10/01/20

    3,345   
  421      

9.625%, 05/01/19

    441   
  342      

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.125%, 11/15/21 (e)

    258   
  2,007      

NBTY, Inc., 7.625%, 05/15/21 (e)

    1,967   
  1,965      

NCI Building Systems, Inc., 8.250%, 01/15/23 (e)

    2,149   
  

NCR Corp.,

 
  686      

5.000%, 07/15/22

    697   
  903      

6.375%, 12/15/23

    955   
  

Neiman Marcus Group Ltd. LLC,

 
  4,962      

8.000%, 10/15/21 (e)

    4,093   
  4,925      

8.750% (cash), 10/15/21 (e)

    3,888   
  

Netflix, Inc.,

 
  1,164      

5.375%, 02/01/21

    1,248   
  700      

5.500%, 02/15/22

    758   
  1,645      

5.750%, 03/01/24

    1,789   
  700      

5.875%, 02/15/25

    775   
  747      

Neuberger Berman Group LLC/Neuberger Berman Finance Corp., 5.875%, 03/15/22 (e)

    778   
  

New Albertson’s, Inc.,

 
  675      

6.625%, 06/01/28

    607   
  1,129      

7.450%, 08/01/29

    1,087   
  645      

7.750%, 06/15/26

    640   
  960      

8.000%, 05/01/31

    934   
  2,042      

8.700%, 05/01/30

    2,073   
  

Newfield Exploration Co.,

 
  1,000      

5.375%, 01/01/26

    1,028   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  3,882      

5.625%, 07/01/24

    4,037   
  5,347      

5.750%, 01/30/22

    5,574   
  

Nexstar Broadcasting, Inc.,

 
  4,580      

6.125%, 02/15/22 (e)

    4,694   
  6,533      

6.875%, 11/15/20

    6,770   
  2,020      

Nexstar Escrow Corp., 5.625%, 08/01/24 (e)

    2,005   
  1,985      

NFP Corp., 9.000%, 07/15/21 (e)

    2,025   
  

NGL Energy Partners LP/NGL Energy Finance Corp.,

 
  445      

5.125%, 07/15/19

    440   
  750      

6.875%, 10/15/21

    739   
  

NGPL PipeCo LLC,

 
  3,400      

7.119%, 12/15/17 (e)

    3,543   
  1,100      

9.625%, 06/01/19 (e)

    1,155   
  12,144      

Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (e)

    12,368   
  

Noble Energy, Inc.,

 
  2,060      

5.050%, 11/15/44

    2,069   
  3,150      

5.250%, 11/15/43

    3,322   
  2,725      

Northwest Airlines 2007-1 Class A Pass-Through Trust, 7.027%, 11/01/19

    3,066   
  

Novelis Corp.,

 
  5,165      

5.875%, 09/30/26 (e)

    5,230   
  5,000      

6.250%, 08/15/24 (e)

    5,200   
  

NRG Energy, Inc.,

 
  2,500      

6.250%, 05/01/24

    2,425   
  3,766      

6.625%, 03/15/23

    3,757   
  10,058      

6.625%, 01/15/27 (e)

    9,420   
  

NRG Yield Operating LLC,

 
  2,465      

5.000%, 09/15/26 (e)

    2,391   
  1,000      

5.375%, 08/15/24

    1,020   
  2,867      

Nuance Communications, Inc., 5.375%, 08/15/20 (e)

    2,946   
  

Nucor Corp.,

 
  1,657      

5.200%, 08/01/43

    1,874   
  3,360      

6.400%, 12/01/37

    4,117   
  

NuStar Logistics LP,

 
  1,189      

4.800%, 09/01/20

    1,204   
  430      

6.750%, 02/01/21

    467   
  1,010      

NWH Escrow Corp., 7.500%, 08/01/21 (e)

    732   
  

Oasis Petroleum, Inc.,

 
  6,919      

6.500%, 11/01/21

    6,875   
  5,814      

6.875%, 03/15/22

    5,756   
  360      

6.875%, 01/15/23

    353   
  1,320      

Oglethorpe Power Corp., 4.250%, 04/01/46

    1,355   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  3,600      

ONEOK Partners LP, 6.200%, 09/15/43

    4,068   
  

ONEOK, Inc.,

 
  150      

4.250%, 02/01/22

    148   
  383      

7.500%, 09/01/23

    440   
  

Oracle Corp.,

 
  13,145      

4.000%, 07/15/46

    12,995   
  10,650      

4.375%, 05/15/55

    11,002   
  

Orbital ATK, Inc.,

 
  672      

5.250%, 10/01/21

    696   
  870      

5.500%, 10/01/23

    907   
  

Oshkosh Corp.,

 
  2,475      

5.375%, 03/01/22

    2,596   
  4,609      

5.375%, 03/01/25

    4,816   
  

Outfront Media Capital LLC/Outfront Media Capital Corp.,

 
  748      

5.250%, 02/15/22

    774   
  1,650      

5.625%, 02/15/24

    1,716   
  750      

5.875%, 03/15/25

    784   
  

Owens-Brockway Glass Container, Inc.,

 
  810      

5.000%, 01/15/22 (e)

    848   
  545      

5.375%, 01/15/25 (e)

    561   
  584      

5.875%, 08/15/23 (e)

    622   
  1,084      

6.375%, 08/15/25 (e)

    1,190   
  

Parker Drilling Co.,

 
  755      

6.750%, 07/15/22

    596   
  660      

7.500%, 08/01/20

    543   
  705      

Parsley Energy LLC/Parsley Finance Corp., 6.250%, 06/01/24 (e)

    740   
  2,540      

Party City Holdings, Inc., 6.125%, 08/15/23 (e)

    2,696   
  1,588      

PBF Holding Co. LLC/PBF Finance Corp., 7.000%, 11/15/23 (e)

    1,469   
  1,089      

PBF Logistics LP/PBF Logistics Finance Corp., 6.875%, 05/15/23

    1,056   
  

Penn Virginia Corp.,

 
  500      

7.250%, 04/15/19 (d)

    10   
  1,100      

8.500%, 05/01/20 (d)

    21   
  2,399      

Penske Automotive Group, Inc., 5.500%, 05/15/26

    2,381   
  660      

Performance Food Group, Inc., 5.500%, 06/01/24 (e)

    680   
  17,800      

PetSmart, Inc., 7.125%, 03/15/23 (e)

    18,623   
  14,121      

Phillips 66, 4.875%, 11/15/44

    15,132   
  3,815      

Phillips 66 Partners LP, 4.900%, 10/01/46

    3,791   
  2,096      

Pilgrim’s Pride Corp., 5.750%, 03/15/25 (e)

    2,143   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         75   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  760      

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.875%, 01/15/24

    815   
  

Pioneer Natural Resources Co.,

 
  425      

6.875%, 05/01/18

    456   
  231      

7.500%, 01/15/20

    267   
  

Plains All American Pipeline LP/PAA Finance Corp.,

 
  1,560      

4.700%, 06/15/44

    1,439   
  1,490      

4.900%, 02/15/45

    1,417   
  4,466      

Plantronics, Inc., 5.500%, 05/31/23 (e)

    4,544   
  3,924      

PolyOne Corp., 5.250%, 03/15/23

    4,016   
  

Post Holdings, Inc.,

 
  1,997      

5.000%, 08/15/26 (e)

    1,937   
  2,200      

6.000%, 12/15/22 (e)

    2,321   
  5,411      

6.750%, 12/01/21 (e)

    5,783   
  7,604      

7.750%, 03/15/24 (e)

    8,357   
  350      

8.000%, 07/15/25 (e)

    399   
  9,206      

PPL Capital Funding, Inc., Series A, VAR, 6.700%, 03/30/67

    8,216   
  

Prestige Brands, Inc.,

 
  1,725      

5.375%, 12/15/21 (e)

    1,790   
  805      

6.375%, 03/01/24 (e)

    855   
  9,773      

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.250%, 05/15/23 (e)

    10,363   
  

Prudential Financial, Inc.,

 
  7,920      

VAR, 5.200%, 03/15/44

    8,098   
  5,006      

VAR, 5.375%, 05/15/45

    5,204   
  23,245      

VAR, 5.625%, 06/15/43

    24,988   
  20,685      

VAR, 5.875%, 09/15/42

    22,650   
  

PulteGroup, Inc.,

 
  1,376      

5.000%, 01/15/27

    1,366   
  1,576      

5.500%, 03/01/26

    1,639   
  

QEP Resources, Inc.,

 
  2,072      

5.250%, 05/01/23

    2,036   
  4,333      

5.375%, 10/01/22

    4,290   
  812      

6.875%, 03/01/21

    854   
  2,241      

Qorvo, Inc., 6.750%, 12/01/23

    2,454   
  1,000      

Quad/Graphics, Inc., 7.000%, 05/01/22

    960   
  12,606      

QUALCOMM, Inc., 4.800%, 05/20/45

    13,884   
  6,099      

Quicken Loans, Inc., 5.750%, 05/01/25 (e)

    6,023   
  

Quintiles IMS, Inc.,

 
  1,255      

4.875%, 05/15/23 (e)

    1,291   
  6,380      

5.000%, 10/15/26 (e)

    6,587   
  7,311      

6.000%, 11/01/20 (e)

    7,421   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Qwest Capital Funding, Inc.,

 
  239      

6.875%, 07/15/28

    226   
  2,995      

7.750%, 02/15/31

    2,860   
  375      

Qwest Corp., 7.250%, 09/15/25

    409   
  

R.R. Donnelley & Sons Co.,

 
  58      

7.000%, 02/15/22

    58   
  265      

7.875%, 03/15/21

    285   
  1,123      

Radian Group, Inc., 7.000%, 03/15/21

    1,259   
  3,655      

Radio Systems Corp., 8.375%, 11/01/19 (e)

    3,815   
  

Range Resources Corp.,

 
  6,244      

4.875%, 05/15/25

    5,966   
  2,947      

5.000%, 03/15/23 (e)

    2,851   
  1,500      

Realogy Group LLC/Realogy Co.-Issuer Corp., 5.250%, 12/01/21 (e)

    1,577   
  

Regal Entertainment Group,

 
  8,779      

5.750%, 03/15/22

    9,086   
  1,200      

5.750%, 06/15/23

    1,233   
  315      

5.750%, 02/01/25

    317   
  3,000      

Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 04/15/23

    3,090   
  2,030      

Reliance Holding USA, Inc., Reg. S, 5.400%, 02/14/22

    2,267   
  

Revlon Consumer Products Corp.,

 
  600      

5.750%, 02/15/21

    606   
  1,271      

6.250%, 08/01/24 (e)

    1,309   
  6,790      

Reynolds American, Inc., 5.850%, 08/15/45

    8,495   
  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC,

 
  1,700      

5.125%, 07/15/23 (e)

    1,742   
  8,885      

5.750%, 10/15/20

    9,119   
  4,750      

6.875%, 02/15/21

    4,916   
  1,745      

7.000%, 07/15/24 (e)

    1,865   
  1,950      

8.250%, 02/15/21

    2,037   
  1,732      

9.875%, 08/15/19

    1,775   
  

RHP Hotel Properties LP/RHP Finance Corp.,

 
  2,950      

5.000%, 04/15/21

    3,038   
  3,828      

5.000%, 04/15/23

    3,905   
  1,145      

Rice Energy, Inc., 7.250%, 05/01/23

    1,214   
  

Rite Aid Corp.,

 
  11,397      

6.125%, 04/01/23 (e)

    12,045   
  910      

6.750%, 06/15/21

    958   
  1,600      

9.250%, 03/15/20

    1,682   
  6,840      

Riverbed Technology, Inc., 8.875%, 03/01/23 (e)

    7,285   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  885      

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 6.125%, 08/15/21 (e)

    914   
  

Rose Rock Midstream LP/Rose Rock Finance Corp.,

 
  1,146      

5.625%, 07/15/22

    1,095   
  1,070      

5.625%, 11/15/23

    1,027   
  7,778      

RSI Home Products, Inc., 6.500%, 03/15/23 (e)

    8,245   
  3,043      

RSP Permian, Inc., 6.625%, 10/01/22

    3,207   
  

Sabine Pass Liquefaction LLC,

 
  2,420      

5.000%, 03/15/27 (e)

    2,462   
  3,337      

5.625%, 02/01/21

    3,521   
  16,197      

5.625%, 04/15/23

    17,209   
  2,853      

5.625%, 03/01/25

    3,017   
  975      

5.750%, 05/15/24

    1,031   
  4,785      

5.875%, 06/30/26 (e)

    5,157   
  5,295      

6.250%, 03/15/22

    5,798   
  

Sabre GLBL, Inc.,

 
  2,542      

5.250%, 11/15/23 (e)

    2,609   
  8,087      

5.375%, 04/15/23 (e)

    8,299   
  

Sally Holdings LLC/Sally Capital, Inc.,

 
  575      

5.500%, 11/01/23

    605   
  500      

5.625%, 12/01/25

    534   
  6,400      

5.750%, 06/01/22

    6,656   
  2,170      

Sanchez Energy Corp., 6.125%, 01/15/23

    1,855   
  

SBA Communications Corp.,

 
  2,791      

4.875%, 07/15/22

    2,833   
  3,930      

4.875%, 09/01/24 (e)

    3,935   
  

Scientific Games International, Inc.,

 
  3,170      

7.000%, 01/01/22 (e)

    3,368   
  3,000      

10.000%, 12/01/22

    2,760   
  7,683      

Scotts Miracle-Gro Co. (The), 6.000%, 10/15/23 (e)

    8,144   
  

Sealed Air Corp.,

 
  1,400      

4.875%, 12/01/22 (e)

    1,484   
  1,750      

5.125%, 12/01/24 (e)

    1,855   
  1,233      

5.250%, 04/01/23 (e)

    1,298   
  600      

6.500%, 12/01/20 (e)

    683   
  3,905      

Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, 5.875%, 05/15/21 (e)

    3,871   
  15,842      

Serta Simmons Bedding LLC, 8.125%, 10/01/20 (e)

    16,457   
  

Service Corp. International,

 
  2,865      

5.375%, 01/15/22

    2,973   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  7,080      

5.375%, 05/15/24

    7,434   
  2,735      

7.500%, 04/01/27

    3,200   
  450      

7.625%, 10/01/18

    496   
  1,240      

8.000%, 11/15/21

    1,469   
  850      

SESI LLC, 7.125%, 12/15/21

    829   
  408      

Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/19 (e)

    426   
  2,664      

Shingle Springs Tribal Gaming Authority, 9.750%, 09/01/21 (e)

    2,904   
  910      

Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 05/01/22 (e)

    919   
  

Sinclair Television Group, Inc.,

 
  2,835      

5.125%, 02/15/27 (e)

    2,715   
  7,354      

5.375%, 04/01/21

    7,602   
  3,388      

5.625%, 08/01/24 (e)

    3,447   
  4,230      

6.125%, 10/01/22

    4,468   
  

Sirius XM Radio, Inc.,

 
  1,505      

4.625%, 05/15/23 (e)

    1,515   
  11,480      

5.375%, 04/15/25 (e)

    11,738   
  6,182      

5.375%, 07/15/26 (e)

    6,281   
  3,275      

5.750%, 08/01/21 (e)

    3,414   
  9,590      

6.000%, 07/15/24 (e)

    10,177   
  

Six Flags Entertainment Corp.,

 
  2,565      

4.875%, 07/31/24 (e)

    2,571   
  2,230      

5.250%, 01/15/21 (e)

    2,286   
  

SM Energy Co.,

 
  1,760      

5.000%, 01/15/24

    1,637   
  1,354      

5.625%, 06/01/25

    1,290   
  1,957      

6.500%, 11/15/21

    1,986   
  3,016      

6.500%, 01/01/23

    3,001   
  945      

6.750%, 09/15/26

    968   
  

Smithfield Foods, Inc.,

 
  1,175      

5.250%, 08/01/18 (e)

    1,184   
  5,530      

5.875%, 08/01/21 (e)

    5,765   
  4,075      

6.625%, 08/15/22

    4,297   
  2,030      

Solera LLC/Solera Finance, Inc., 10.500%, 03/01/24 (e)

    2,269   
  7,620      

Southern Co. (The), 4.400%, 07/01/46

    8,056   
  2,345      

Southern Co. Gas Capital Corp., 3.950%, 10/01/46

    2,327   
  3,800      

Southern Copper Corp., 5.875%, 04/23/45

    3,773   
  

Southern Power Co.,

 
  1,380      

5.150%, 09/15/41

    1,474   
  1,534      

5.250%, 07/15/43

    1,642   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         77   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

Southwestern Energy Co.,

 
  565      

4.100%, 03/15/22

    506   
  2,920      

6.700%, 01/23/25

    2,781   
  1,605      

Spectra Energy Partners LP, 4.500%, 03/15/45

    1,587   
  

Spectrum Brands, Inc.,

 
  5,594      

5.750%, 07/15/25

    6,055   
  2,159      

6.125%, 12/15/24

    2,364   
  4,204      

6.625%, 11/15/22

    4,501   
  1,075      

Speedway Motorsports, Inc., 5.125%, 02/01/23

    1,083   
  2,325      

Speedy Cash Intermediate Holdings Corp., 10.750%, 05/15/18 (e)

    1,843   
  

Springleaf Finance Corp.,

 
  349      

7.750%, 10/01/21

    362   
  1,688      

8.250%, 12/15/20

    1,828   
  

Sprint Capital Corp.,

 
  2,998      

6.875%, 11/15/28

    2,748   
  1,336      

6.900%, 05/01/19

    1,406   
  16,490      

8.750%, 03/15/32

    16,897   
  

Sprint Communications, Inc.,

 
  1,828      

6.000%, 12/01/16

    1,830   
  2,727      

6.000%, 11/15/22

    2,536   
  8,626      

7.000%, 03/01/20 (e)

    9,381   
  5,925      

7.000%, 08/15/20

    6,147   
  478      

8.375%, 08/15/17

    498   
  14,460      

9.000%, 11/15/18 (e)

    15,906   
  305      

11.500%, 11/15/21

    357   
  

Sprint Corp.,

 
  3,076      

7.125%, 06/15/24

    2,930   
  17,348      

7.250%, 09/15/21

    17,760   
  17,433      

7.625%, 02/15/25

    16,774   
  33,106      

7.875%, 09/15/23

    32,692   
  2,756      

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.360%, 09/20/21 (e)

    2,763   
  

SPX FLOW, Inc.,

 
  1,370      

5.625%, 08/15/24 (e)

    1,389   
  2,175      

5.875%, 08/15/26 (e)

    2,207   
  1,560      

SS&C Technologies Holdings, Inc., 5.875%, 07/15/23

    1,634   
  

Standard Industries, Inc.,

 
  826      

5.125%, 02/15/21 (e)

    867   
  1,606      

5.375%, 11/15/24 (e)

    1,658   
  1,664      

5.500%, 02/15/23 (e)

    1,731   
  4,066      

6.000%, 10/15/25 (e)

    4,340   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  

Steel Dynamics, Inc.,

 
  1,125      

5.125%, 10/01/21

    1,173   
  625      

5.250%, 04/15/23

    647   
  2,600      

5.500%, 10/01/24

    2,743   
  1,935      

6.375%, 08/15/22

    2,017   
  1,945      

Sterigenics-Nordion Holdings LLC, 6.500%, 05/15/23 (e)

    1,999   
  1,315      

Stone Energy Corp., 7.500%, 11/15/22

    799   
  2,545      

Stryker Corp., 4.625%, 03/15/46

    2,724   
  194      

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.500%, 06/01/24

    198   
  6,330      

Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 07/15/23

    6,488   
  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.,

 
  1,419      

5.500%, 08/15/22

    1,376   
  793      

7.500%, 07/01/21

    825   
  

Sunoco Logistics Partners Operations LP,

 
  5,150      

5.300%, 04/01/44

    5,169   
  7,420      

5.350%, 05/15/45

    7,494   
  

Sunoco LP/Sunoco Finance Corp.,

 
  1,288      

5.500%, 08/01/20

    1,315   
  3,029      

6.250%, 04/15/21

    3,105   
  1,055      

6.375%, 04/01/23

    1,079   
  

SUPERVALU, Inc.,

 
  1,201      

6.750%, 06/01/21

    1,207   
  8,925      

7.750%, 11/15/22

    9,059   
  4,815      

Sysco Corp., 4.500%, 04/01/46

    5,069   
  

Talen Energy Supply LLC,

 
  878      

4.625%, 07/15/19 (e)

    834   
  2,351      

6.500%, 06/01/25

    1,963   
  2,150      

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 09/15/24 (e)

    2,139   
  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

 
  1,882      

4.250%, 11/15/23

    1,769   
  3,930      

5.125%, 02/01/25 (e)

    3,930   
  850      

5.250%, 05/01/23

    844   
  1,500      

6.375%, 08/01/22

    1,545   
  2,750      

6.750%, 03/15/24

    2,915   
  

Taylor Morrison Communities, Inc./Monarch Communities, Inc.,

 
  185      

5.625%, 03/01/24 (e)

    192   
  1,795      

5.875%, 04/15/23 (e)

    1,894   
  1,665      

Team Health, Inc., 7.250%, 12/15/23 (e)

    1,881   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

TEGNA, Inc.,

 
  1,415      

4.875%, 09/15/21 (e)

    1,475   
  384      

5.125%, 07/15/20

    399   
  2,210      

5.500%, 09/15/24 (e)

    2,265   
  5,470      

6.375%, 10/15/23

    5,785   
  

Teleflex, Inc.,

 
  368      

4.875%, 06/01/26

    379   
  875      

5.250%, 06/15/24

    906   
  

Tempur Sealy International, Inc.,

 
  5,300      

5.500%, 06/15/26

    5,459   
  3,155      

5.625%, 10/15/23

    3,265   
  

Tenet Healthcare Corp.,

 
  3,935      

4.375%, 10/01/21

    3,915   
  5,756      

4.500%, 04/01/21

    5,756   
  8,190      

4.750%, 06/01/20

    8,374   
  2,995      

5.500%, 03/01/19

    2,928   
  4,629      

6.000%, 10/01/20

    4,907   
  510      

6.250%, 11/01/18

    539   
  6,790      

6.750%, 02/01/20

    6,654   
  9,795      

6.750%, 06/15/23

    8,987   
  10,318      

8.000%, 08/01/20

    10,238   
  13,423      

8.125%, 04/01/22

    13,121   
  

Tenneco, Inc.,

 
  2,225      

5.000%, 07/15/26

    2,236   
  1,097      

5.375%, 12/15/24

    1,145   
  

Terex Corp.,

 
  10,370      

6.000%, 05/15/21

    10,552   
  4,100      

6.500%, 04/01/20

    4,200   
  1,402      

Terraform Global Operating LLC, 13.750%, 08/15/22 (e)

    1,458   
  

TerraForm Power Operating LLC,

 
  3,741      

SUB, 9.375%, 02/01/23 (e)

    3,740   
  4,273      

SUB, 9.625%, 06/15/25 (e)

    4,412   
  480      

Tesoro Corp., 5.125%, 04/01/24

    494   
  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.,

 
  893      

5.500%, 10/15/19

    949   
  5,369      

5.875%, 10/01/20

    5,503   
  4,815      

6.125%, 10/15/21

    5,038   
  5,267      

6.250%, 10/15/22

    5,583   
  1,540      

6.375%, 05/01/24

    1,659   
  29,250      

Texas Competitive Electric Holdings Co. LLC, 8.500%, 05/01/20 (d)

    1,082   
  276      

Texas Gas Transmission LLC, 4.500%, 02/01/21 (e)

    288   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  5,545      

TI Group Automotive Systems LLC, 8.750%, 07/15/23 (e)

    5,850   
  

Time Warner, Inc.,

 
  1,890      

4.650%, 06/01/44

    1,958   
  10,590      

4.850%, 07/15/45

    11,258   
  5,500      

Time, Inc., 5.750%, 04/15/22 (e)

    5,294   
  

T-Mobile USA, Inc.,

 
  595      

5.250%, 09/01/18

    604   
  2,880      

6.000%, 03/01/23

    3,031   
  944      

6.000%, 04/15/24

    1,004   
  1,715      

6.125%, 01/15/22

    1,814   
  1,296      

6.250%, 04/01/21

    1,350   
  2,355      

6.375%, 03/01/25

    2,524   
  1,360      

6.500%, 01/15/24

    1,459   
  9,845      

6.500%, 01/15/26

    10,854   
  1,571      

6.625%, 11/15/20

    1,618   
  4,187      

6.625%, 04/01/23

    4,449   
  14,994      

6.633%, 04/28/21

    15,659   
  14,410      

6.731%, 04/28/22

    15,095   
  4,532      

6.836%, 04/28/23

    4,840   
  

Toll Brothers Finance Corp.,

 
  2,070      

4.875%, 11/15/25

    2,111   
  935      

5.625%, 01/15/24

    989   
  1,215      

Tops Holding LLC/Tops Markets II Corp., 8.000%, 06/15/22 (e)

    1,069   
  

TransDigm, Inc.,

 
  1,000      

5.500%, 10/15/20

    1,031   
  3,320      

6.000%, 07/15/22

    3,465   
  1,584      

6.375%, 06/15/26 (e)

    1,623   
  4,272      

6.500%, 07/15/24

    4,496   
  3,915      

6.500%, 05/15/25

    4,091   
  1,380      

TreeHouse Foods, Inc., 6.000%, 02/15/24 (e)

    1,482   
  2,165      

Tri-State Generation & Transmission Association, Inc., 4.250%, 06/01/46

    2,226   
  

Triumph Group, Inc.,

 
  4,545      

4.875%, 04/01/21

    4,204   
  1,686      

5.250%, 06/01/22

    1,549   
  3,170      

Tutor Perini Corp., 7.625%, 11/01/18

    3,168   
  3,065      

U.S. Airways 2013-1 Class B Pass-Through Trust, 5.375%, 11/15/21

    3,164   
  2,086      

U.S. Concrete, Inc., 6.375%, 06/01/24

    2,169   
  1,560      

U.S. Foods, Inc., 5.875%, 06/15/24 (e)

    1,634   
  538      

UAL 2007-1 Pass-Through Trust, 6.636%, 07/02/22

    574   
  2,950      

UCI International LLC, 8.625%, 02/15/19 (d)

    620   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         79   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  2,523      

Unifrax I LLC/Unifrax Holding Co., 7.500%, 02/15/19 (e)

    2,428   
  3,616      

Unit Corp., 6.625%, 05/15/21

    3,327   
  

United Rentals North America, Inc.,

 
  1,053      

4.625%, 07/15/23

    1,087   
  3,281      

5.500%, 07/15/25

    3,322   
  4,440      

5.500%, 05/15/27

    4,440   
  4,880      

5.750%, 11/15/24

    5,063   
  1,015      

5.875%, 09/15/26

    1,034   
  6,478      

6.125%, 06/15/23

    6,786   
  8,872      

7.625%, 04/15/22

    9,438   
  988      

United States Steel Corp., 8.375%, 07/01/21 (e)

    1,050   
  2,125      

Univar USA, Inc., 6.750%, 07/15/23 (e)

    2,199   
  

Universal Health Services, Inc.,

 
  288      

3.750%, 08/01/19 (e)

    299   
  420      

4.750%, 08/01/22 (e)

    431   
  

Univision Communications, Inc.,

 
  4,600      

5.125%, 05/15/23 (e)

    4,669   
  5,030      

5.125%, 02/15/25 (e)

    5,042   
  4,528      

6.750%, 09/15/22 (e)

    4,772   
  368      

8.500%, 05/15/21 (e)

    379   
  950      

Valvoline, Inc., 5.500%, 07/15/24 (e)

    1,002   
  418      

VeriSign, Inc., 5.250%, 04/01/25

    441   
  3,475      

Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 02/01/23 (e)

    3,371   
  

Verizon Communications, Inc.,

 
  2,970      

4.125%, 08/15/46

    2,839   
  11,025      

4.522%, 09/15/48

    11,061   
  17,780      

4.862%, 08/21/46

    18,755   
  4,125      

Versum Materials, Inc., 5.500%, 09/30/24 (e)

    4,218   
  2,585      

Viacom, Inc., 4.375%, 03/15/43

    2,380   
  3,750      

Vista Outdoor, Inc., 5.875%, 10/01/23

    3,938   
  

Voya Financial, Inc.,

 
  4,645      

4.800%, 06/15/46

    4,571   
  13,110      

VAR, 5.650%, 05/15/53

    13,044   
  1,567      

W&T Offshore, Inc., 8.500%, 06/15/19

    642   
  

Walgreens Boots Alliance, Inc.,

 
  1,800      

4.650%, 06/01/46

    1,897   
  9,770      

4.800%, 11/18/44

    10,476   
  268      

Weatherford International LLC., 6.800%, 06/15/37

    214   
  433      

Wells Enterprises, Inc., 6.750%, 02/01/20 (e)

    447   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  2,235      

WESCO Distribution, Inc., 5.375%, 06/15/24 (e)

    2,261   
  

West Corp.,

 
  1,377      

4.750%, 07/15/21 (e)

    1,418   
  3,189      

5.375%, 07/15/22 (e)

    3,070   
  

Western Digital Corp.,

 
  8,185      

7.375%, 04/01/23 (e)

    8,963   
  14,250      

10.500%, 04/01/24 (e)

    16,476   
  

Western Gas Partners LP,

 
  1,820      

4.650%, 07/01/26

    1,908   
  1,225      

5.375%, 06/01/21

    1,336   
  770      

5.450%, 04/01/44

    791   
  1,071      

Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 02/15/23

    1,119   
  353      

Western Refining, Inc., 6.250%, 04/01/21

    356   
  

Whiting Petroleum Corp.,

 
  5,243      

5.000%, 03/15/19

    4,981   
  6,464      

5.750%, 03/15/21

    5,996   
  4,680      

6.250%, 04/01/23

    4,317   
  

Williams Cos., Inc. (The),

 
  2,210      

3.700%, 01/15/23

    2,138   
  1,144      

7.750%, 06/15/31

    1,316   
  162      

Series A, 7.500%, 01/15/31

    186   
  

Williams Partners LP/ACMP Finance Corp.,

 
  2,300      

4.875%, 05/15/23

    2,331   
  1,495      

6.125%, 07/15/22

    1,538   
  

Windstream Services LLC,

 
  1,400      

6.375%, 08/01/23

    1,232   
  12,509      

7.500%, 06/01/22

    11,821   
  3,689      

7.500%, 04/01/23

    3,459   
  11,550      

7.750%, 10/01/21

    11,420   
  1,155      

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.750%, 12/15/18 (e)

    1,153   
  

WMG Acquisition Corp.,

 
  1,785      

4.875%, 11/01/24 (e)

    1,781   
  420      

5.000%, 08/01/23 (e)

    425   
  4,250      

5.625%, 04/15/22 (e)

    4,420   
  3,408      

6.750%, 04/15/22 (e)

    3,595   
  

WPX Energy, Inc.,

 
  4,896      

6.000%, 01/15/22

    4,884   
  800      

8.250%, 08/01/23

    864   
  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

 
  1,835      

5.375%, 03/15/22

    1,885   
  12,320      

5.500%, 03/01/25 (e)

    12,351   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

  

  

United States — continued

 
  

XPO Logistics, Inc.,

 
  2,365      

6.125%, 09/01/23 (e)

    2,433   
  8,690      

6.500%, 06/15/22 (e)

    9,038   
  540      

Xylem, Inc., 4.375%, 11/01/46

    540   
  

Zayo Group LLC/Zayo Capital, Inc.,

 
  12,445      

6.000%, 04/01/23

    13,083   
  750      

6.375%, 05/15/25

    788   
  11,510      

Zebra Technologies Corp., 7.250%, 10/15/22

    12,402   
  

ZF North America Capital, Inc.,

 
  2,586      

4.000%, 04/29/20 (e)

    2,722   
  10,105      

4.500%, 04/29/22 (e)

    10,686   
  7,838      

4.750%, 04/29/25 (e)

    8,269   
    

 

 

 
       4,166,262   
    

 

 

 
  

Venezuela — 0.1%

 
  

Petroleos de Venezuela S.A.,

 
  8,039      

6.000%, 11/15/26

    2,958   
  3,900      

Reg. S, 5.375%, 04/12/27

    1,418   
  4,650      

Reg. S, 9.000%, 11/17/21

    2,302   
  2,500      

Reg. S, 12.750%, 02/17/22

    1,469   
    

 

 

 
       8,147   
    

 

 

 
  

Total Corporate Bonds
(Cost $5,052,442)

    5,131,418   
    

 

 

 

 

Foreign Government Securities — 3.3%

  

  

Angola — 0.0% (g)

 
  1,640      

Republic of Angola, 9.500%, 11/12/25 (e)

    1,605   
    

 

 

 
  

Argentina — 0.3%

 
  1,420      

City of Buenos Aires Argentina, 7.500%, 06/01/27 (e)

    1,520   
  

Provincia de Buenos Aires,

 
  1,312      

Reg. S, 9.625%, 04/18/28

    1,508   
  2,300      

Reg. S, 9.950%, 06/09/21

    2,617   
  4,499      

Reg. S, 10.875%, 01/26/21

    5,168   
  

Republic of Argentina,

 
  3,060      

6.250%, 04/22/19 (e)

    3,245   
  8,860      

6.875%, 04/22/21 (e)

    9,569   
  12,370      

7.125%, 07/06/36 (e)

    12,729   
  1,490      

7.500%, 04/22/26 (e)

    1,628   
  1,830      

7.625%, 04/22/46 (e)

    1,994   
  1,400      

7.000%, 04/17/17 (d)

    1,427   
    

 

 

 
       41,405   
    

 

 

 
  

Aruba — 0.0% (g)

 
  2,220      

Government of Aruba, 4.625%, 09/14/23 (e)

    2,349   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Azerbaijan — 0.0% (g)

 
  2,800      

State Oil Co. of the Azerbaijan Republic, 6.950%, 03/18/30

    3,024   
    

 

 

 
  

Belarus — 0.0% (g)

 
  4,800      

Republic of Belarus, 8.950%, 01/26/18

    5,040   
    

 

 

 
  

Brazil — 0.3%

 
  

Federative Republic of Brazil,

 
  1,450      

2.625%, 01/05/23

    1,340   
  5,740      

4.250%, 01/07/25

    5,674   
  4,750      

4.875%, 01/22/21

    5,025   
  3,940      

7.125%, 01/20/37

    4,501   
  11,100      

8.250%, 01/20/34

    13,931   
    

 

 

 
       30,471   
    

 

 

 
  

Cameroon — 0.0% (g)

 
  600      

Republic of Cameroon, Reg. S, 9.500%, 11/19/25

    667   
    

 

 

 
  

Costa Rica — 0.1%

 
  1,370      

Instituto Costarricense de Electricidad, Reg. S, 6.950%, 11/10/21

    1,449   
  

Republic of Costa Rica,

 
  3,370      

7.158%, 03/12/45 (e)

    3,539   
  5,290      

Reg. S, 9.995%, 08/01/20

    6,374   
    

 

 

 
       11,362   
    

 

 

 
  

Croatia — 0.1%

 
  

Republic of Croatia,

 
  5,990      

Reg. S, 6.000%, 01/26/24

    6,745   
  3,790      

Reg. S, 6.750%, 11/05/19

    4,159   
    

 

 

 
       10,904   
    

 

 

 
  

Dominican Republic — 0.1%

 
  

Government of Dominican Republic,

 
  1,290      

6.875%, 01/29/26 (e)

    1,422   
  2,105      

7.450%, 04/30/44 (e)

    2,347   
  4,437      

9.040%, 01/23/18 (e)

    4,614   
  5,340      

Reg. S, 7.500%, 05/06/21

    5,901   
    

 

 

 
       14,284   
    

 

 

 
  

Ecuador — 0.1%

 
  

Republic of Ecuador,

 
  6,000      

10.500%, 03/24/20 (e)

    6,330   
  5,790      

10.750%, 03/28/22 (e)

    6,123   
    

 

 

 
       12,453   
    

 

 

 
  

El Salvador — 0.1%

 
  5,990      

Republic of El Salvador, Reg. S, 7.750%, 01/24/23

    6,544   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         81   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Foreign Government Securities — continued

  

  

Ethiopia — 0.0% (g)

 
  2,200      

Federal Democratic Republic of Ethiopia, 6.625%, 12/11/24 (e)

    2,079   
    

 

 

 
  

Gabon — 0.0% (g)

 
  1,800      

Republic of Gabonese, Reg. S, 6.375%, 12/12/24

    1,642   
    

 

 

 
  

Ghana — 0.0% (g)

 
  4,550      

Republic of Ghana, 10.750%, 10/14/30 (e)

    5,358   
    

 

 

 
  

Honduras — 0.0% (g)

 
  4,180      

Republic of Honduras, Reg. S, 8.750%, 12/16/20

    4,739   
    

 

 

 
  

Hungary — 0.1%

 
  

Republic of Hungary,

 
  2,830      

5.375%, 03/25/24

    3,255   
  5,540      

5.750%, 11/22/23

    6,454   
  2,152      

7.625%, 03/29/41

    3,271   
    

 

 

 
       12,980   
    

 

 

 
  

Indonesia — 0.2%

 
  

Republic of Indonesia,

 
  4,550      

5.875%, 01/15/24 (e)

    5,278   
  6,680      

6.750%, 01/15/44 (e)

    8,809   
  2,440      

Reg. S, 5.375%, 10/17/23

    2,756   
  5,992      

Reg. S, 11.625%, 03/04/19

    7,279   
    

 

 

 
       24,122   
    

 

 

 
  

Iraq — 0.1%

 
  11,385      

Republic of Iraq, Reg. S, 5.800%, 01/15/28

    9,165   
    

 

 

 
  

Ivory Coast — 0.0% (g)

 
  3,220      

Republic of Ivory Coast, 6.375%, 03/03/28 (e)

    3,360   
    

 

 

 
  

Jamaica — 0.1%

 
  

Government of Jamaica,

 
  1,250      

7.875%, 07/28/45

    1,441   
  5,050      

8.000%, 03/15/39

    5,889   
    

 

 

 
       7,330   
    

 

 

 
  

Jordan — 0.0% (g)

 
  2,200      

Kingdom of Jordan, 5.750%, 01/31/27 (e)

    2,189   
    

 

 

 
  

Kazakhstan — 0.0% (g)

 
  1,150      

Republic of Kazakhstan, Reg. S, 5.125%, 07/21/25

    1,275   
    

 

 

 
  

Kenya — 0.0% (g)

 
  750      

Citigroup, Inc., CLN, 0.000%, 11/15/32 (linked to Republic of Kenya 20-Year Bond, 12.000%, 11/01/32; credit rating B)

    558   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Kenya — continued

 
  2,420      

Republic of Kenya, Reg. S, 6.875%, 06/24/24

    2,411   
    

 

 

 
       2,969   
    

 

 

 
  

Lebanon — 0.1%

 
  

Republic of Lebanon,

 
  842      

5.450%, 11/28/19

    827   
  4,500      

6.600%, 11/27/26

    4,371   
  5,050      

Reg. S, 8.250%, 04/12/21

    5,403   
    

 

 

 
       10,601   
    

 

 

 
  

Mexico — 0.1%

 
  6,550      

United Mexican States, 4.600%, 01/23/46

    6,403   
    

 

 

 
  

Morocco — 0.0% (g)

 
  2,250      

Kingdom of Morocco, Reg. S, 5.500%, 12/11/42

    2,531   
    

 

 

 
  

Netherlands — 0.0% (g)

 
  2,363      

Republic of Angola Via Northern Lights III BV, Reg. S, 7.000%, 08/16/19

    2,352   
    

 

 

 
  

Oman — 0.0% (g)

 
  1,490      

Republic of Oman, 4.750%, 06/15/26 (e)

    1,499   
    

 

 

 
  

Pakistan — 0.1%

 
  

Republic of Pakistan,

 
  3,465      

8.250%, 04/15/24 (e)

    3,897   
  4,150      

Reg. S, 6.750%, 12/03/19

    4,394   
    

 

 

 
       8,291   
    

 

 

 
  

Panama — 0.1%

 
  

Republic of Panama,

 
  3,300      

3.750%, 03/16/25

    3,490   
  1,540      

3.875%, 03/17/28

    1,632   
  2,450      

4.300%, 04/29/53

    2,487   
  2,400      

6.700%, 01/26/36

    3,177   
    

 

 

 
       10,786   
    

 

 

 
  

Paraguay — 0.0% (g)

 
  670      

Republic of Paraguay, 5.000%, 04/15/26 (e)

    720   
    

 

 

 
  

Peru — 0.0% (g)

 
  

Republic of Peru,

 
  1,900      

5.625%, 11/18/50

    2,403   
  1,500      

6.550%, 03/14/37

    2,059   
    

 

 

 
       4,462   
    

 

 

 
  

Philippines — 0.1%

 
  7,080      

Republic of the Philippines, 10.625%, 03/16/25

    11,288   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Foreign Government Securities — continued

  

  

Romania — 0.1%

 
  

Republic of Romania,

 
  2,580      

6.750%, 02/07/22 (e)

    3,064   
  4,680      

Reg. S, 6.125%, 01/22/44

    6,078   
    

 

 

 
       9,142   
    

 

 

 
  

Russia — 0.2%

 
  

Russian Federation,

 
  4,400      

Reg. S, 4.875%, 09/16/23

    4,724   
  8,200      

Reg. S, 5.875%, 09/16/43

    9,348   
  6,390      

Reg. S, 12.750%, 06/24/28

    11,159   
    

 

 

 
       25,231   
    

 

 

 
  

Serbia — 0.1%

 
  5,330      

Republic of Serbia, Reg. S, 7.250%, 09/28/21

    6,116   
    

 

 

 
  

Slovenia — 0.1%

 
  

Republic of Slovenia,

 
  1,720      

Reg. S, 5.250%, 02/18/24

    2,000   
  4,020      

Reg. S, 5.850%, 05/10/23

    4,748   
    

 

 

 
       6,748   
    

 

 

 
  

South Africa — 0.1%

 
  

Republic of South Africa,

 
  1,210      

4.875%, 04/14/26

    1,254   
  4,000      

5.875%, 05/30/22

    4,510   
  5,334      

5.875%, 09/16/25

    5,974   
    

 

 

 
       11,738   
    

 

 

 
  

Sri Lanka — 0.1%

 
  

Republic of Sri Lanka,

 
  3,350      

Reg. S, 5.875%, 07/25/22

    3,423   
  2,590      

Reg. S, 6.250%, 10/04/20

    2,703   
    

 

 

 
       6,126   
    

 

 

 
  

Turkey — 0.2%

 
  

Republic of Turkey,

 
  7,450      

6.000%, 01/14/41

    7,674   
  6,810      

6.250%, 09/26/22

    7,414   
  12,540      

7.375%, 02/05/25

    14,672   
    

 

 

 
       29,760   
    

 

 

 
  

Ukraine — 0.1%

 
  

Republic of Ukraine,

 
  169      

7.750%, 09/01/19 (e)

    169   
  4,277      

7.750%, 09/01/20 (e)

    4,233   
  3,078      

7.750%, 09/01/22 (e)

    3,013   
  3,078      

7.750%, 09/01/23 (e)

    2,980   
  978      

7.750%, 09/01/24 (e)

    941   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Ukraine — continued

 
  978      

7.750%, 09/01/25 (e)

    936   
    

 

 

 
       12,272   
    

 

 

 
  

Uruguay — 0.1%

 
  

Republic of Uruguay,

 
  3,060      

5.100%, 06/18/50

    3,045   
  1,280      

7.625%, 03/21/36

    1,758   
  1,230      

8.000%, 11/18/22

    1,578   
    

 

 

 
       6,381   
    

 

 

 
  

Venezuela — 0.1%

 
  

Republic of Venezuela,

 
  3,370      

9.250%, 09/15/27

    1,676   
  3,650      

Reg. S, 7.750%, 10/13/19

    1,871   
  6,760      

Reg. S, 9.000%, 05/07/23

    3,067   
  2,490      

Reg. S, 11.750%, 10/21/26

    1,385   
  3,560      

Reg. S, 11.950%, 08/05/31

    1,985   
    

 

 

 
       9,984   
    

 

 

 
  

Zambia — 0.0% (g)

 
  

Republic of Zambia,

 
  2,090      

8.500%, 04/14/24 (e)

    2,032   
  3,910      

8.970%, 07/30/27 (e)

    3,827   
    

 

 

 
       5,859   
    

 

 

 
  

Total Foreign Government Securities
(Cost $387,275)

    405,606   
    

 

 

 

 

Loan Assignments — 1.1%

  

  

Australia — 0.0% (g)

 
  1,283      

FMG Resources Pty, Ltd., Term Loan B, VAR, 3.750%, 06/30/19

    1,281   
    

 

 

 
  

Bermuda — 0.0% (g)

 
  829      

Floatel Delaware LLC/Floatel International Ltd., Initial Term Loan, VAR, 6.000%, 06/27/20

    650   
    

 

 

 
  

Canada — 0.0% (g)

 
  2,357      

Concordia Healthcare Corp., Initial Dollar Term Loan, VAR, 5.250%, 10/21/21

    2,109   
  301      

MEG Energy Corp., Incremental Term Loan, VAR, 3.750%, 03/31/20

    283   
    

 

 

 
       2,392   
    

 

 

 
  

Cayman Islands — 0.0% (g)

 
  660      

Shelf Drilling Midco Ltd., Term Loan, VAR, 10.000%, 10/08/18 (d)

    452   
    

 

 

 
  

Luxembourg — 0.1%

 
  1,700      

Delta 2 Lux Sarl, 2nd Lien Facility, VAR, 7.750%, 07/29/22

    1,711   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         83   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Loan Assignments — continued

  

  

Luxembourg — continued

 
  990      

Onex Wizard Acquisition Co. II S.C.A., Initial Dollar Term Loan, VAR, 4.000%, 03/11/22

    991   
    

 

 

 
       2,702   
    

 

 

 
  

Singapore — 0.0% (g)

 
  2,652      

Avago Technologies, Term A-2 Loan, VAR, 3.535%, 02/01/23

    2,678   
    

 

 

 
  

United Kingdom — 0.0% (g)

 
  2,135      

Virgin Media Investment Holdings Ltd., F Facility, VAR, 3.500%, 06/30/23

    2,143   
    

 

 

 
  

United States — 1.0%

 
  6,416      

Albertson’s LLC, Term Loan B-5, VAR, 4.750%, 12/21/22

    6,479   
  182      

Alon USA Partners LP, MLP Term Loan, VAR, 9.250%, 11/26/18

    181   
  397      

Atkore International, Inc., 1st Lien Initial Term Loan, VAR, 4.500%, 04/09/21

    398   
  735      

Avaya, Inc., Term Loan B-3, VAR, 5.390%, 10/26/17

    637   
  1,565      

Avaya, Inc., Term Loan B-6, VAR, 6.500%, 03/31/18 ^

    1,330   
  1,264      

Avaya, Inc., Term Loan B-7, VAR, 6.250%, 05/29/20

    1,035   
  640      

Berry Plastics Corp., Term Loan G, VAR, 3.500%, 01/06/21

    640   
  1,457      

Berry Plastics Corp., Term Loan H, VAR, 3.750%, 10/01/22

    1,462   
  3,186      

California Resources Corp., 1st Lien Second Out Term Loan, VAR, 11.375%, 12/31/21

    3,421   
  4,410      

Chesapeake Energy Corp., 1st Lien Last Out, VAR, 8.500%, 08/15/21 ^

    4,711   
  845      

Chrysler Group LLC, Term Loan B, VAR, 3.500%, 05/24/17

    846   
  1,856      

Chrysler Group LLC, Tranche B Term Loan, VAR, 3.250%, 12/31/18

    1,857   
  1,212      

Cincinnati Bell, Inc., Term Loan B, VAR, 4.000%, 09/10/20

    1,214   
  3,494      

Citgo Holding, Inc., Term Loan, VAR, 9.500%, 05/12/18

    3,532   
  5,407      

Clear Channel Communications, Inc., Term Loan D, VAR, 7.284%, 01/30/19

    4,085   
  1,873      

Clear Channel Communications, Inc., Tranche E Term Loan, VAR, 8.034%, 07/30/19

    1,411   
  1,931      

Cortes NP Acquisition Corp., 1st Lien Term Loan B, VAR, 5.000%, 09/26/23 ^

    1,919   
  1,305      

Dell Software Group, Term Loan, VAR, 7%, 10/9/22 ^

    1,304   
  1,375      

Delta 2 Sarl, USD Facility B-3, VAR, 4.750%, 07/30/21

    1,377   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 
  1,604      

Dole Food Co., Inc., Tranche B Term Loan, VAR, 4.562%, 11/01/18

    1,609   
  801      

Drillships Ocean Ventures, Inc., Term Loan, VAR, 5.500%, 07/25/21

    568   
  4,290      

Dynegy, Inc., Term Loan B, VAR, 5.000%, 06/27/23

    4,301   
  640      

Energy Future Intermediate Holding Co. LLC, Term Loan, VAR, 4.250%, 06/30/17

    643   
  164      

Entercom Radio LLC, Term B-2 Loan, VAR, 4.020%, 11/23/18

    164   
  5,059      

EP Energy LLC/Everest Acquisition LLC, 1st Lien Term Loan, VAR, 9.750%, 06/30/21 ^

    5,173   
  802      

FGI Operating Co. LLC, Term B Loan, VAR, 5.500%, 04/19/19

    748   
  1,510      

Fieldwood Energy LLC, 2nd Lien Closing Date Loan, VAR, 8.375%, 09/30/20 (d)

    887   
  2,261      

First Data Corp., 2021C New Dollar Term Loan, VAR, 3.524%, 03/24/21

    2,270   
  108      

Fram Group Holdings Ltd., Term Loan, VAR, 7.000%, 07/29/17

    105   
  848      

Go Daddy Group, Inc. (The), Initial Term Loan, VAR, 4.250%, 05/13/21

    853   
  1,724      

Graton Economic Development Authority, Incremental Term B Loan, VAR, 4.750%, 09/01/22

    1,731   
  640      

Gray Television, Inc., Initial Term Loan, VAR, 3.938%, 06/13/21

    644   
  10,655      

Gulf Finance LLC, Term Loan B, VAR, 6.250%, 07/27/23

    10,402   
  499      

Infor U.S., Inc., Tranche B-5 Term Loan, VAR, 3.750%, 06/03/20

    497   
  1,082      

Intrawest Operations Group LLC, Term Loan, VAR, 4.500%, 12/09/20

    1,090   
  867      

inVentiv Health, Inc., Term Loan B4, VAR, 8.750%, 05/15/18

    867   
  2,083      

J. Crew Group, Inc., Initial Loan, VAR, 4.000%, 03/05/21

    1,585   
  1,246      

Landry’s, Inc., 1st Lien Term Loan, VAR, 4.000%, 09/22/23

    1,252   
  601      

Media General, Inc., Term B Loan, VAR, 4.000%, 07/31/20

    601   
  1,287      

Microsemi Corp., Closing Date Term Loan B, VAR, 3.750%, 01/15/23

    1,298   
  614      

MTL Publishing LLC, Term B-3 Loan, VAR, 4.000%, 08/19/22

    614   
  2,848      

MultiPlan, Inc., 1st Lien Term Loan B, VAR, 5.000%, 06/07/23

    2,877   
  455      

NVLX Acquisition LLC, 1st Lien Term Loan, VAR, 6.000%, 12/05/21

    458   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
84       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Loan Assignments — continued

  

  

United States — continued

 
  465      

NXP B.V./NXP Funding LLC, Tranche F Loan, VAR, 3.405%, 12/07/20

    467   
  1,247      

On Semiconductor Corp., Term Loan B, VAR, 3.777%, 03/31/23

    1,254   
  1,266      

Petsmart, Inc., Term Loan B, VAR, 4.000%, 03/11/22

    1,269   
  5,084      

Pinnacle Foods Finance LLC, 1st Lien Term Loan G, VAR, 3.387%, 04/29/20

    5,111   
  1,265      

Pinnacle Foods Finance LLC, Fourth Amendment Tranche I Term Loan, VAR, 3.284%, 01/13/23

    1,275   
  1,602      

Revlon Consumer Products Corp., Term Loan B, VAR, 4.250%, 09/07/23

    1,605   
  395      

Rite Aid Corp., 2nd Lien Term Loan, VAR, 5.750%, 08/21/20

    396   
  2,125      

Rite Aid Corp.,Tranche 2 Term Loan, VAR, 4.875%, 06/21/21

    2,131   
  2,688      

ROC Finance LLC, Funded Term B Loan, VAR, 5.000%, 06/20/19

    2,683   
  788      

Sabine Oil & Gas LLC, Term Loan, VAR, 12.000%, 12/31/18 (d) ^

    23   
  709      

Scientific Games Corp., Initial Term Loan, VAR, 6.000%, 10/18/20

    712   
  1,581      

Sears Roebuck Acceptance Corp., Term Loan, VAR, 5.500%, 06/30/18

    1,546   
  1,001      

Serta Simmons Holdings, 1st Lien Senior Secured Term Loan, VAR, 4.250%, 10/01/19

    998   
  844      

Signode Industrial Group U.S., Inc. Initial Term B Loan, VAR, 3.750%, 05/01/21

    842   
  394      

Solar Winds Holdings, Inc., Initial US Term Loan, VAR, 5.500%, 02/05/23

    396   
  1,921      

SUPERVALU, Inc., Term Loan B, VAR, 5.500%, 03/21/19

    1,926   
  1,036      

Syniverse Holdings, Inc., Initial Term Loan, VAR, 4.000%, 04/23/19

    953   
  306      

Syniverse Holdings, Inc., Tranche B Term Loan, VAR, 4.000%, 04/23/19

    281   
  1,183      

Texas Competitive Electric Holdings Co. LLC, 1st Lien Term Loan C, VAR, 5.000%, 08/04/23

    1,194   
  5,189      

Texas Competitive Electric Holdings Co. LLC, Term Loan B, VAR, 5.000%, 08/04/23

    5,234   
  762      

Tribune Media Co., Term Loan B, VAR, 3.750%, 12/27/20

    765   
  434      

Univision Communications, Inc., 2013 Incremental Term Loan, VAR, 4.000%, 03/01/20

    434   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  1,177      

Univision Communications, Inc., Replacement 1st Lien Term Loan, VAR, 4.000%, 03/01/20 ^

    1,179   
  3,840      

UPC Financing Partnership, Senior Secured Term Loan AN, VAR, 4.080%, 08/30/24

    3,857   
  754      

Vertis, Inc., 1st Lien Term Loan, VAR, 12.000%, 12/21/15 (d)

    (h) 
  2,141      

Viskase Cos., Inc., 5 Year Term Loan, VAR, 4.376%, 01/30/21

    2,013   
  2,494      

Western Refining, Inc., 1st Lien Term Loan B, VAR, 5.500%, 06/23/23

    2,489   
  2,061      

XPO Logistics, Inc., Term Loan B, VAR, 4.250%, 10/31/21

    2,070   
    

 

 

 
       122,179   
    

 

 

 
  

Total Loan Assignments
(Cost $137,922)

    134,477   
    

 

 

 

 

Preferred Securities — 6.6% (x)

  

  

Australia — 0.0% (g)

 
  1,725      

Australia & New Zealand Banking Group Ltd., VAR, 6.750%, 06/15/26 (e)

    1,894   
    

 

 

 
  

Belgium — 0.1%

 
  EUR 10,775      

KBC Group N.V., Reg. S, VAR, 5.625%, 03/19/19

    11,829   
    

 

 

 
  

Cayman Islands — 0.0% (g)

 
  3,924      

XLIT Ltd., Series E, VAR, 6.500%, 04/15/17

    3,009   
    

 

 

 
  

France — 0.3%

 
  4,410      

BNP Paribas S.A., VAR, 7.375%, 08/19/25 (e)

    4,526   
  

Credit Agricole S.A.,

 
  12,935      

VAR, 6.625%, 09/23/19 (e)

    12,579   
  4,435      

VAR, 8.125%, 12/23/25 (e)

    4,763   
  GBP 2,000      

Orange S.A., Reg. S, VAR, 5.875%, 02/07/22

    2,635   
  12,990      

Societe Generale S.A., VAR, 7.375%, 09/13/21 (e)

    12,879   
    

 

 

 
       37,382   
    

 

 

 
  

Netherlands — 0.1%

 
  EUR 2,500      

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Reg. S, VAR, 5.500%, 06/29/20

    2,761   
  GBP 4,400      

Telefonica Europe B.V., Reg. S, VAR, 6.750%, 11/26/20

    5,731   
    

 

 

 
       8,492   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         85   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Preferred Securities — continued

  

  

Spain — 0.1%

 
  

Banco Bilbao Vizcaya Argentaria S.A.,

 
  EUR 1,000      

Reg. S, VAR, 6.750%, 02/18/20

    1,058   
  EUR 1,800      

Reg. S, VAR, 7.000%, 02/19/19

    1,909   
  2,000      

Reg. S, VAR, 9.000%, 05/09/18

    2,078   
    

 

 

 
       5,045   
    

 

 

 
  

Sweden — 0.1%

 
  5,000      

Skandinaviska Enskilda Banken AB, Reg. S, VAR, 5.750%, 05/13/20

    5,012   
  5,000      

Svenska Handelsbanken AB, Reg. S, VAR, 5.250%, 03/01/21

    5,000   
  5,000      

Swedbank AB, Reg. S, VAR, 5.500%, 03/17/20

    5,063   
    

 

 

 
       15,075   
    

 

 

 
  

Switzerland — 0.2%

 
  

Credit Suisse Group AG,

 
  6,385      

VAR, 6.250%, 12/18/24 (e)

    6,161   
  2,646      

VAR, 7.500%, 12/11/23 (e)

    2,739   
  

UBS Group AG,

 
  5,000      

Reg. S, VAR, 6.875%, 08/07/25

    4,948   
  5,000      

Reg. S, VAR, 7.000%, 02/19/25

    5,337   
  2,000      

Reg. S, VAR, 7.125%, 02/19/20

    2,048   
    

 

 

 
       21,233   
    

 

 

 
  

United Kingdom — 0.3%

 
  

HSBC Holdings plc,

 
  4,840      

VAR, 6.375%, 09/17/24

    4,823   
  6,000      

VAR, 6.375%, 03/30/25

    6,022   
  6,852      

VAR, 6.875%, 06/01/21

    7,212   
  

Lloyds Banking Group plc,

 
  12,498      

VAR, 7.500%, 06/27/24

    12,873   
  GBP   3,809      

Nationwide Building Society, Reg. S, VAR, 6.875%, 06/20/19

    4,583   
    

 

 

 
       35,513   
    

 

 

 
  

United States — 5.4%

 
  

American Express Co.,

 
  18,070      

Series C, VAR, 4.900%, 03/15/20

    17,736   
  5,575      

VAR, 5.200%, 11/15/19

    5,589   
  

Bank of America Corp.,

 
  15,338      

Series AA, VAR, 6.100%, 03/17/25

    16,024   
  3,595      

Series DD, VAR, 6.300%, 03/10/26

    3,923   
  19,619      

Series K, VAR, 8.000%, 01/30/18

    19,987   
  14,315      

Series M, VAR, 8.125%, 05/15/18

    14,727   
  7,015      

Series U, VAR, 5.200%, 06/01/23

    6,848   
  23,045      

Series V, VAR, 5.125%, 06/17/19

    22,718   
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 
  11,220      

Series X, VAR, 6.250%, 09/05/24

    11,753   
  13,130      

Series Z, VAR, 6.500%, 10/23/24

    14,246   
  

Bank of New York Mellon Corp. (The),

 
  9,636      

Series D, VAR, 4.500%, 06/20/23

    9,383   
  20,375      

Series E, VAR, 4.950%, 06/20/20

    20,859   
  15,551      

Series F, VAR, 4.625%, 09/20/26

    15,182   
  21,570      

Capital One Financial Corp., Series E, VAR, 5.550%, 06/01/20

    21,810   
  

Citigroup, Inc.,

 
  14,725      

Series D, VAR, 5.350%, 05/15/23

    14,523   
  10,670      

Series M, VAR, 6.300%, 05/15/24

    10,923   
  21,330      

Series N, VAR, 5.800%, 11/15/19

    21,623   
  10,010      

Series O, VAR, 5.875%, 03/27/20

    10,165   
  20,570      

Series P, VAR, 5.950%, 05/15/25

    21,033   
  7,020      

Series R, VAR, 6.125%, 11/15/20

    7,339   
  5,475      

Series T, VAR, 6.250%, 08/15/26

    5,895   
  18,431      

VAR, 5.950%, 01/30/23

    19,168   
  

Fifth Third Bancorp,

 
  5,385      

Series J, VAR, 4.900%, 09/30/19

    5,213   
  17,625      

VAR, 5.100%, 06/30/23

    17,011   
  48,057      

General Electric Co., Series D, VAR, 5.000%, 01/21/21

    50,912   
  

Goldman Sachs Group, Inc. (The),

 
  25,078      

Series L, VAR, 5.700%, 05/10/19

    25,391   
  21,703      

Series M, VAR, 5.375%, 05/10/20

    21,812   
  16,295      

Series O, VAR, 5.300%, 11/10/26

    16,601   
  17,944      

MetLife, Inc., Series C, VAR, 5.250%, 06/15/20

    18,280   
  

Morgan Stanley,

 
  29,170      

Series H, VAR, 5.450%, 07/15/19

    29,246   
  13,055      

Series J, VAR, 5.550%, 07/15/20

    13,365   
  12,360      

Northern Trust Corp., Series D, VAR, 4.600%, 10/01/26

    12,746   
  

PNC Financial Services Group, Inc. (The),

 
  12,415      

Series R, VAR, 4.850%, 06/01/23

    12,260   
  10,675      

Series S, VAR, 5.000%, 11/01/26

    10,621   
  9,588      

VAR, 6.750%, 08/01/21

    10,643   
  11,905      

State Street Corp., Series F, VAR, 5.250%, 09/15/20

    12,506   
  12,540      

SunTrust Banks, Inc., VAR, 5.625%, 12/15/19

    12,916   
  9,885      

U.S. Bancorp, Series I, VAR, 5.125%, 01/15/21

    10,429   
  

Wachovia Capital Trust III,

 
  11,565      

VAR, 5.570%, 12/02/16

    11,579   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
86       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   VALUE  

 

Preferred Securities — continued

  

 

United States — continued

 
 

Wells Fargo & Co.,

 
  12,480     

Series K, VAR, 7.980%, 03/15/18

    13,011   
  25,305     

Series S, VAR, 5.900%, 06/15/24

    26,475   
  15,275     

Series U, VAR, 5.875%, 06/15/25

    16,387   
   

 

 

 
      658,858   
   

 

 

 
 

Total Preferred Securities
(Cost $784,541)

    798,330   
   

 

 

 
SHARES              

 

Preferred Stocks — 1.2%

  

 

Bermuda — 0.0% (g)

 
  9     

Bunge Ltd., 4.875% ($100 par value)

    913   
   

 

 

 
 

Brazil — 0.1%

 
  639     

Banco Bradesco S.A. (Preference Shares)

    6,696   
   

 

 

 
 

Cayman Islands — 0.0% (g)

 
  3     

XLIT Ltd., Series D, VAR, 4.000%, 11/28/16 ($1,000 par value) @

    2,655   
   

 

 

 
 

Ireland — 0.0% (g)

 
  5     

Allergan plc, Series A, 5.500%, 03/01/18 ($1,000 par value)

    3,566   
   

 

 

 
 

Israel — 0.0% (g)

 
  3     

Teva Pharmaceutical Industries Ltd., 7.000%, 12/15/18 ($1,000 par value)

    2,457   
   

 

 

 
 

United States — 1.1%

 
  16     

American Tower Corp., 5.500%, 02/15/18 ($100 par value)

    1,771   
  7     

American Tower Corp., Series A, 5.250%, 05/15/17 ($100 par value)

    760   
  28     

Anthem, Inc., 5.250%, 05/01/18 ($50 par value)

    1,164   
  28     

Arconic, Inc., Series 1, 5.375%, 10/01/17 ($50 par value)

    864   
  3     

Bank of America Corp., Series L, 7.250% ($1,000 par value)

    3,848   
  508     

BB&T Corp., Series F, 5.200%, 11/01/17 ($25 par value) @

    12,894   
  52     

BB&T Corp., Series G, 5.200%, 06/01/18 ($25 par value) @

    1,345   
  178     

Capital One Financial Corp., Series D, 6.700%, 12/01/19 ($25 par value) @

    4,986   
  (h)   

Constar International, Inc., Class A

      
  71     

Discover Financial Services, Series B, 6.500%, 12/01/17 ($25 par value) @

    1,851   
  51     

Dominion Resources, Inc., 6.375%, 07/01/17 ($50 par value)

    2,563   
    
SHARES
     SECURITY DESCRIPTION   VALUE  

 

Preferred Stocks — continued

  

  

United States — continued

 
  213      

Dominion Resources, Inc., Series A, 5.250%, 07/30/76 ($25 par value)

    5,310   
  17      

DTE Energy Co., 6.500%, 10/01/19 ($50 par value)

    927   
  23      

Exelon Corp., 6.500%, 06/01/17 ($50 par value)

    1,121   
  20      

Frontier Communications Corp., Series A, 11.125%, 06/29/18 ($100 par value)

    1,648   
  12      

GMAC Capital Trust I, Series 2, VAR, 6.602%, 02/15/40 ($25 par value)

    306   
  575      

Goldman Sachs Group, Inc. (The), Series J, VAR, 5.500%, 05/10/23 ($25 par value) @

    14,977   
  65      

Hartford Financial Services Group, Inc. (The), VAR, 7.875%, 04/15/42 ($25 par value)

    2,040   
  12      

Hess Corp., 8.000%, 02/01/19 ($50 par value)

    709   
  35      

Kinder Morgan, Inc., Series A, 9.750%, 10/26/18 ($49 par value)

    1,611   
  35      

Mandatory Exchangeable Trust, 5.750%, 06/01/19 ($100 par value) (e)

    4,413   
  500      

Morgan Stanley, Series I, VAR, 6.375%, 10/15/24 ($25 par value) @

    13,800   
  51      

NextEra Energy, Inc., 6.123%, 09/01/19 ($25 par value)

    2,568   
  1      

Pitney Bowes International Holdings, Inc., Series F, 6.125%, 11/01/16 ($1,000 par value) (e) @

    1,003   
  239      

SCE Trust II, 5.100%, 03/15/18 ($25 par value) @

    6,133   
  281      

Southern Co. (The), 5.250%, 10/01/76 ($25 par value)

    6,991   
  35      

Southwestern Energy Co., Series B, 6.250%, 01/15/18 ($50 par value)

    868   
  301      

State Street Corp., Series D, VAR, 5.900%, 03/15/24 ($25 par value) @

    8,449   
  315      

State Street Corp., Series E, 6.000%, 12/15/19 ($25 par value) @

    8,379   
  128      

State Street Corp., Series G, VAR, 5.350%, 03/15/26 ($25 par value) @

    3,427   
  5      

Stericycle, Inc., 5.250%, 09/15/18 ($100 par value)

    305   
  21      

T-Mobile U.S., Inc., 5.500%, 12/15/17 ($50 par value)

    1,734   
  6      

Tyson Foods, Inc., 4.750%, 07/15/17 ($50 par value)

    488   
  42      

Vornado Realty Trust, Series G, 6.625%, 11/30/16 ($25 par value) @

    1,084   
  3      

Wells Fargo & Co., Series L, 7.500% ($1,000 par value)

    4,304   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         87   


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

    
SHARES
    SECURITY DESCRIPTION   VALUE  

 

Preferred Stocks — continued

  

 

United States — continued

 
  15     

Welltower, Inc., Series I, 6.500% ($50 par value)

    898   
   

 

 

 
      125,539   
   

 

 

 
 

Total Preferred Stocks
(Cost $135,887)

    141,826   
   

 

 

 
NUMBER OF
RIGHTS
             

 

Rights — 0.0% (g)

 

 

Spain — 0.0% (g)

 
  2,209     

Banco Santander S.A., expiring 12/02/16 (a) (Cost $114)

    124   
   

 

 

 
NUMBER OF
WARRANTS
             

 

Warrants — 0.0% (g)

 

 

United States — 0.0% (g)

 
  1     

Nebraska Book Co., Inc., expiring 06/29/19 (Strike Price $1.00) (a)

      
  (h)   

Nebraska Book Holdings, Inc., expiring 06/29/19 (Strike Price $1.00) (a)

      
   

 

 

 
 

Total Warrants
(Cost $ — (h))

      
   

 

 

 
PRINCIPAL
AMOUNT
             

 

U.S. Treasury Obligation — 0.6%

  

  66,135     

U.S. Treasury Note, 0.500%, 01/31/17 (k) (Cost $66,111)

    66,169   
   

 

 

 
SHARES              

 

Short-Term Investments — 2.3%

  

 

Investment Company — 2.2%

  

  267,810     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l)

    267,810   
   

 

 

 
 

Time Deposit — 0.1%

  

  7,100     

Credit Agricole Corporate & Investment Bank, 0.360%, 11/01/16 (n)

    7,100   
   

 

 

 
 

Total Short-Term Investments (Cost $274,910)

    274,910   
   

 

 

 
 

Total Investments — 99.1% (Cost $11,590,439)

    12,043,930   
 

Other Assets in Excess of
Liabilities — 0.9%

    114,664   
   

 

 

 
 

NET ASSETS — 100.0%

  $ 12,158,594   
   

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Banks

     8.1

Equity Real Estate Investment Trusts (REITs)

     7.1  

Oil, Gas & Consumable Fuels

     6.8  

Diversified Telecommunication Services

     5.1  

Media

     4.9  

Asset-Backed Securities

     4.6  

Pharmaceuticals

     3.5  

Insurance

     3.5  

Foreign Government Securities

     3.4  

Non-Agency CMO

     3.3  

Capital Markets

     3.3  

Health Care Providers & Services

     2.9  

Wireless Telecommunication Services

     2.4  

Semiconductors & Semiconductor Equipment

     2.2  

Hotels, Restaurants & Leisure

     2.0  

Chemicals

     1.7  

Electric Utilities

     1.7  

Software

     1.5  

Metals & Mining

     1.4  

Auto Components

     1.4  

Specialty Retail

     1.4  

Commercial Mortgage-Backed Securities

     1.3  

IT Services

     1.2  

Automobiles

     1.2  

Food Products

     1.2  

Industrial Conglomerates

     1.1  

Tobacco

     1.1  

Consumer Finance

     1.1  

Technology Hardware, Storage & Peripherals

     1.1  

Independent Power & Renewable Electricity Producers

     1.0  

Food & Staples Retailing

     1.0  

Others (each less than 1.0%)

     14.2   

Short-Term Investments

     2.3   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
Futures Contracts                                        
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  74        

Euro STOXX 50 Index

       12/16/16           EUR           2,481           (14
  29        

FTSE 100 Index

       12/16/16           GBP           2,455           (1
    

Short Futures Outstanding

                   
  (3,336     

GBP FX

       12/19/16           USD           (255,496        22,949   
  (2,657     

Euro FX

       12/19/16           USD           (364,906        9,927   
  (9,416     

5 Year U.S. Treasury Note

       12/30/16           USD           (1,137,423        6,454   
                        

 

 

 
                           39,315   
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         89   


Table of Contents

J.P. Morgan Multi-Asset Solutions Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

ADR  

—  American Depositary Receipt

ARM  

—  Adjustable Rate Mortgage

AUD  

—  Australian Dollar

CAD  

—  Canadian Dollar

CLN  

—  Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of October 31, 2016. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate.

CMO  

—  Collateralized Mortgage Obligation

CSMC  

—  Credit Suisse Mortgage Trust

CVA  

—  Dutch Certification

ETF  

—  Exchange Traded Fund

EUR  

—  Euro

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

GDR  

—  Global Depositary Receipt

GMAC  

—  General Motors Acceptance Corp.

HKD  

—  Hong Kong Dollar

IF  

—  Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of October 31, 2016. The rate may be subject to a cap and floor.

JPY  

—  Japanese Yen

MSCI  

—  Morgan Stanley Capital International

NVDR  

—  Non Voting Depositary Receipt

PIK  

—  Payment-in-Kind

Reg. S  

—  Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.

REIT  

—  Real Estate Investment Trust

SUB  

—  Step-Up Bond. The interest rate shown is the rate in effect as of October 31, 2016.

TOPIX  

—  Tokyo Price Index

USD  

—  United States Dollar

VAR  

—  Variable Rate Security. The interest rate shown is the rate in effect as of October 31, 2016.

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(d)  

—  Defaulted Security.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(k)  

—  All or a portion of this security is deposited with the broker as initial margin for future contracts.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

(n)  

—  The rate shown is the effective yield at the date of purchase.

(v)  

—  Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.

(x)  

—  Securities are perpetual and thus, do not have a predetermined maturity date. The coupon rates for these securities are fixed for a period of time and may be structured to adjust thereafter. The dates shown, if applicable, reflect the next call date. The coupon rates shown are the rates in effect as of October 31, 2016.

^  

—  All or a portion of the security is unsettled as of October 31, 2016. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.

@  

—  The date shown reflects the next call date on which the issuer may redeem the security. The coupon rate for this security is currently in effect as of October 31, 2016.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
90       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         91   


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands)

 

        Global
Allocation
Fund
       Income
Builder Fund
 

ASSETS:

  

Investments in non-affiliates, at value

     $ 1,279,560         $ 11,776,120   

Investments in affiliates, at value

       143,931           267,810   
    

 

 

      

 

 

 

Total investment securities, at value

       1,423,491           12,043,930   

Cash

       140           79,288   

Foreign currency, at value

       628           3,079   

Deposits at broker for futures contracts

       580           369   

Receivables:

         

Investment securities sold

       3,990           44,107   

Fund shares sold

       4,271           29,468   

Interest and dividends from non-affiliates

       7,867           107,115   

Dividends from affiliates

       15           74   

Tax reclaims

       201           3,806   

Variation margin on futures contracts

       728             

Unrealized appreciation on forward foreign currency exchange contracts

       5,611             
    

 

 

      

 

 

 

Total Assets

       1,447,522           12,311,236   
    

 

 

      

 

 

 

LIABILITIES:

  

Payables:

         

Due to broker

       2             

Investment securities purchased

       6,181           116,589   

Fund shares redeemed

       8,595           24,003   

Variation margin on futures contracts

                 1,211   

Unrealized depreciation on forward foreign currency exchange contracts

       625             

Accrued liabilities:

         

Investment advisory fees

       442           3,015   

Distribution fees

       291           4,047   

Shareholder servicing fees

       260           1,678   

Custodian and accounting fees

       44           171   

Trustees’ and Chief Compliance Officer’s fees

                 34   

Deferred India capital gains tax

                 124   

Other

       300           1,770   
    

 

 

      

 

 

 

Total Liabilities

       16,740           152,642   
    

 

 

      

 

 

 

Net Assets

     $ 1,430,782         $ 12,158,594   
    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
        Global
Allocation
Fund
       Income
Builder Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 1,421,625         $ 12,189,139   

Accumulated undistributed (distributions in excess of) net investment income

       5,383           (8,740

Accumulated net realized gains (losses)

       (29,604        (514,055

Net unrealized appreciation (depreciation)

       33,378           492,250   
    

 

 

      

 

 

 

Total Net Assets

     $ 1,430,782         $ 12,158,594   
    

 

 

      

 

 

 

Net Assets:

  

Class A

     $ 289,961         $ 3,991,877   

Class C

       357,682           4,968,359   

Class R2

       758             

Select Class

       782,381           3,198,358   
    

 

 

      

 

 

 

Total

     $ 1,430,782         $ 12,158,594   
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

($0.0001 par value; unlimited number of shares authorized):

         

Class A

       17,701           401,241   

Class C

       22,079           500,689   

Class R2

       46             

Select Class

       47,569           321,061   

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 16.38         $ 9.95   

Class C — Offering price per share (b)

       16.20           9.92   

Class R2 — Offering and redemption price per share

       16.36             

Select Class — Offering and redemption price per share

       16.45           9.96   

Class A maximum sales charge

       4.50        4.50

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 17.15         $ 10.42   
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 1,246,539         $ 11,322,629   

Cost of investments in affiliates

       144,345           267,810   

Cost of foreign currency

       626           3,051   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         93   


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

        Global
Allocation
Fund
     Income
Builder Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $ 25,112       $ 432,522   

Interest income from affiliates

       10         3   

Dividend income from non-affiliates

       14,444         176,349   

Dividend income from affiliates

       739         735   

Foreign taxes withheld

       (771      (9,390
    

 

 

    

 

 

 

Total investment income

       39,534         600,219   
    

 

 

    

 

 

 

EXPENSES:

  

Investment advisory fees

       7,537         54,047   

Administration fees

       1,030         9,849   

Distribution fees:

       

Class A

       691         10,068   

Class C

       2,330         37,447   

Class R2

       3           

Shareholder servicing fees:

       

Class A

       691         10,068   

Class C

       777         12,482   

Class R2

       1           

Select Class

       1,671         7,476   

Custodian and accounting fees

       382         1,041   

Interest expense to affiliates

       2         8   

Professional fees

       94         254   

Interest expense to non-affiliates

       10         56   

Trustees’ and Chief Compliance Officer’s fees

       19         110   

Printing and mailing costs

       101         1,051   

Registration and filing fees

       181         379   

Transfer agency fees (See Note 2.H.)

       73         399   

Sub-transfer agency fees (See Note 2.H.)

       641         5,899   

Other

       14         107   
    

 

 

    

 

 

 

Total expenses

       16,248         150,741   
    

 

 

    

 

 

 

Less fees waived

       (3,609      (40,639

Less earnings credits

               (a) 

Less expense reimbursements

       (a)         
    

 

 

    

 

 

 

Net expenses

       12,639         110,102   
    

 

 

    

 

 

 

Net investment income (loss)

       26,895         490,117   
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

  

Investments in non-affiliates

       (11,630      (276,984 )(b) 

Futures

       (11,516      (7,110

Foreign currency transactions

       3,344         (3,459
    

 

 

    

 

 

 

Net realized gain (loss)

       (19,802      (287,553
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

  

Investments in non-affiliates

       30,841         210,199 (c) 

Investments in affiliates

       (414        

Futures

       (5,275      45,992   

Foreign currency translations

       3,739         (123
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       28,891         256,068   
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       9,089         (31,485
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 35,984       $ 458,632   
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Net of India capital gains tax of $(61) for Income Builder Fund.
(c) Net of change in India capital gains tax of approximately $(124,000) for Income Builder Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
94       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Global Allocation Fund        Income Builder Fund  
        Year Ended
October 31, 2016
     Year Ended
October 31, 2015
       Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                 

Net investment income (loss)

     $ 26,895       $ 3,853         $ 490,117         $ 469,773   

Net realized gain (loss)

       (19,802      (6,855        (287,553        (223,856

Change in net unrealized appreciation/depreciation

       28,891         3,133           256,068           (294,145
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       35,984         131           458,632           (48,228
    

 

 

    

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                 

Class A

                 

From net investment income

       (5,458      (853        (170,221        (172,786

From net realized gains

       (294      (1,130                  (7,433

Return of capital

                                   (6,423

Class C

                 

From net investment income

       (4,931      (395        (186,131        (178,523

From net realized gains

       (305      (557                  (8,655

Return of capital

                                   (7,578

Class R2

                 

From net investment income

       (9      (1                    

From net realized gains

       (a)        (2                    

Select Class

                 

From net investment income

       (14,844      (1,166        (130,456        (130,741

From net realized gains

       (602      (1,443                  (5,361

Return of capital

                                   (4,687
    

 

 

    

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (26,443      (5,547        (486,808        (522,187
    

 

 

    

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

  

Change in net assets resulting from capital transactions

       646,824         692,385           (334,580        1,538,383   
    

 

 

    

 

 

      

 

 

      

 

 

 

NET ASSETS:

  

Change in net assets

       656,365         686,969           (362,756        967,968   

Beginning of period

       774,417         87,448           12,521,350           11,553,382   
    

 

 

    

 

 

      

 

 

      

 

 

 

End of period

     $ 1,430,782       $ 774,417         $ 12,158,594         $ 12,521,350   
    

 

 

    

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 5,383       $ 1,013         $ (8,740      $ (10,720
    

 

 

    

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         95   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       Global Allocation Fund      Income Builder Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
     Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

                 

Class A

                 

Proceeds from shares issued

     $ 181,480         $ 204,328       $ 915,563         $ 1,287,287   

Distributions reinvested

       5,561           1,966         163,299           177,297   

Cost of shares redeemed

       (108,810        (20,198      (1,338,823        (1,032,043
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 78,231         $ 186,096       $ (259,961      $ 432,541   
    

 

 

      

 

 

    

 

 

      

 

 

 

Class C

                 

Proceeds from shares issued

     $ 224,926         $ 195,816       $ 779,657         $ 1,305,512   

Distributions reinvested

       4,306           942         159,414           165,251   

Cost of shares redeemed

       (72,706        (10,240      (1,085,374        (796,456
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 156,526         $ 186,518       $ (146,303      $ 674,307   
    

 

 

      

 

 

    

 

 

      

 

 

 

Class R2

                 

Proceeds from shares issued

     $ 613         $ 184       $         $   

Distributions reinvested

       9           3                     

Cost of shares redeemed

       (84        (43                  
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ 538         $ 144       $         $   
    

 

 

      

 

 

    

 

 

      

 

 

 

Select Class

                 

Proceeds from shares issued

     $ 649,914         $ 380,000       $ 1,099,505         $ 1,328,026   

Distributions reinvested

       11,914           2,440         101,768           106,503   

Cost of shares redeemed

       (250,299        (62,813      (1,129,589        (1,002,994
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ 411,529         $ 319,627       $ 71,684         $ 431,535   
    

 

 

      

 

 

    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 646,824         $ 692,385       $ (334,580      $ 1,538,383   
    

 

 

      

 

 

    

 

 

      

 

 

 

SHARE TRANSACTIONS:

                 

Class A

  

Issued

       11,294           12,280         93,520           125,545   

Reinvested

       344           120         16,679           17,371   

Redeemed

       (6,755        (1,221      (137,075        (101,371
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in Class A Shares

       4,883           11,179         (26,876        41,545   
    

 

 

      

 

 

    

 

 

      

 

 

 

Class C

  

Issued

       14,164           11,928         79,830           127,706   

Reinvested

       269           58         16,325           16,237   

Redeemed

       (4,554        (626      (111,214        (78,507
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in Class C Shares

       9,879           11,360         (15,059        65,436   
    

 

 

      

 

 

    

 

 

      

 

 

 

Class R2

  

Issued

       38           11                     

Reinvested

       1           (a)                   

Redeemed

       (5        (3                  
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in Class R2 Shares

       34           8                     
    

 

 

      

 

 

    

 

 

      

 

 

 

Select Class

  

Issued

       40,365           23,045         111,834           129,365   

Reinvested

       734           149         10,378           10,424   

Redeemed

       (15,562        (3,778      (116,050        (98,588
    

 

 

      

 

 

    

 

 

      

 

 

 

Change in Select Class Shares

       25,537           19,416         6,162           41,201   
    

 

 

      

 

 

    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
96       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         97   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (a)
     Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
       Net
investment
income
       Net
realized
gain
       Total
distributions
 

Global Allocation Fund

                              

Class A

                              

Year Ended October 31, 2016

     $ 16.47         $ 0.34 (f)     $ (0.10 )(g)     $ 0.24         $ (0.31      $ (0.02      $ (0.33

Year Ended October 31, 2015

       17.15           0.23 (f)       (0.01      0.22           (0.34        (0.56        (0.90

Year Ended October 31, 2014

       16.45           0.26 (f)       0.97         1.23           (0.16        (0.37        (0.53

Year Ended October 31, 2013

       14.52           0.19 (f)       2.15         2.34           (0.41                  (0.41

Year Ended October 31, 2012

       13.53           0.38         0.98         1.36           (0.37                  (0.37

Class C

                              

Year Ended October 31, 2016

       16.30           0.26 (f)       (0.10 )(g)       0.16           (0.24        (0.02        (0.26

Year Ended October 31, 2015

       17.04           0.15 (f)       (0.02      0.13           (0.31        (0.56        (0.87

Year Ended October 31, 2014

       16.39           0.16 (f)       0.98         1.14           (0.12        (0.37        (0.49

Year Ended October 31, 2013

       14.49           0.16 (f)       2.09         2.25           (0.35                  (0.35

Year Ended October 31, 2012

       13.52           0.31         0.99         1.30           (0.33                  (0.33

Class R2

                              

Year Ended October 31, 2016

       16.44           0.31 (f)       (0.10 )(g)       0.21           (0.27        (0.02        (0.29

Year Ended October 31, 2015

       17.13           0.19 (f)       (0.01      0.18           (0.31        (0.56        (0.87

Year Ended October 31, 2014

       16.44           0.22 (f)       0.96         1.18           (0.12        (0.37        (0.49

Year Ended October 31, 2013

       14.51           0.25 (f)       2.04         2.29           (0.36                  (0.36

Year Ended October 31, 2012

       13.53           0.34         0.99         1.33           (0.35                  (0.35

Select Class

                              

Year Ended October 31, 2016

       16.53           0.39 (f)       (0.10 )(g)       0.29           (0.35        (0.02        (0.37

Year Ended October 31, 2015

       17.19           0.27 (f)       (0.01      0.26           (0.36        (0.56        (0.92

Year Ended October 31, 2014

       16.47           0.30 (f)       0.97         1.27           (0.18        (0.37        (0.55

Year Ended October 31, 2013

       14.53           0.33 (f)       2.04         2.37           (0.43                  (0.43

Year Ended October 31, 2012

       13.53           0.41         1.00         1.41           (0.41                  (0.41

 

(a) Net investment income (loss) is affected by timing of distributions from Underlying Funds.
(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(c) Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(d) Does not include expenses of Underlying Funds.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
98       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
    
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)
    Net assets,
end of
period
(000’s)
    Net
expenses (c)(d)
    Net
investment
income
(loss) (a)
    Expenses
without waivers
and reimbursements (d)
    Portfolio
turnover
rate (e)
 
           
           
$ 16.38        1.50   $ 289,961        1.02     2.12     1.32     64
  16.47        1.38        211,120        1.02        1.40        1.43        44   
  17.15        7.58        28,114        1.03        1.56        1.74        87   
  16.45        16.36        2,253        1.05        1.18        3.30        120   
  14.52        10.26        50        1.05        2.70        2.54        67   
           
  16.20        1.03        357,682        1.52        1.63        1.82        64   
  16.30        0.84        198,888        1.51        0.90        1.92        44   
  17.04        7.07        14,308        1.53        0.97        2.22        87   
  16.39        15.74        380        1.55        1.00        3.41        120   
  14.49        9.75        49        1.55        2.19        3.04        67   
           
  16.36        1.30        758        1.27        1.93        1.75        64   
  16.44        1.14        203        1.27        1.17        1.77        44   
  17.13        7.29        62        1.28        1.31        2.07        87   
  16.44        16.06        58        1.30        1.61        2.79        120   
  14.51        9.99        50        1.30        2.44        2.79        67   
           
  16.45        1.79        782,381        0.77        2.39        1.04        64   
  16.53        1.62        364,206        0.77        1.61        1.19        44   
  17.19        7.88        44,964        0.78        1.79        1.55        87   
  16.47        16.61        27,636        0.80        2.10        2.31        120   
  14.53        10.58        19,856        0.80        2.95        2.29        67   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         99   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
    Net
investment
income
     Net
realized
gain
     Return
of
capital
     Total
distributions
 

Income Builder Fund

                     

Class A

                     

Year Ended October 31, 2016

   $ 9.96       $ 0.42 (d)    $ (0.01    $ 0.41      $ (0.42    $       $       $ (0.42

Year Ended October 31, 2015

     10.41         0.41 (d)      (0.41      (e)      (0.41      (0.02      (0.02      (0.45

Year Ended October 31, 2014

     10.32         0.47        0.09         0.56        (0.47                      (0.47

Year Ended October 31, 2013

     9.70         0.45        0.64         1.09        (0.47                      (0.47

Year Ended October 31, 2012

     9.01         0.50        0.67         1.17        (0.48                      (0.48

Class C

                     

Year Ended October 31, 2016

     9.93         0.37 (d)      (0.01      0.36        (0.37                      (0.37

Year Ended October 31, 2015

     10.38         0.35 (d)      (0.40      (0.05     (0.36      (0.02      (0.02      (0.40

Year Ended October 31, 2014

     10.29         0.42        0.10         0.52        (0.43                      (0.43

Year Ended October 31, 2013

     9.68         0.40        0.63         1.03        (0.42                      (0.42

Year Ended October 31, 2012

     9.00         0.45        0.67         1.12        (0.44                      (0.44

Select Class

                     

Year Ended October 31, 2016

     9.97         0.43 (d)      (0.01      0.42        (0.43                      (0.43

Year Ended October 31, 2015

     10.42         0.42 (d)      (0.40      0.02        (0.43      (0.02      (0.02      (0.47

Year Ended October 31, 2014

     10.33         0.49        0.09         0.58        (0.49                      (0.49

Year Ended October 31, 2013

     9.71         0.46        0.64         1.10        (0.48                      (0.48

Year Ended October 31, 2012

     9.02         0.51        0.67         1.18        (0.49                      (0.49

 

(a) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(b) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(c) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(d) Calculated based upon average shares outstanding.
(e) Amount rounds to less than 0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
100       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets        
    
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (a)
    Net assets,
end of
period
(000’s)
    Net
expenses (b)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (c)
 
           
           
$ 9.95        4.23   $ 3,991,877        0.75     4.25     1.10     52
  9.96        (0.03     4,262,148        0.75        3.97        1.11        48   
  10.41        5.54        4,024,646        0.74        4.60        1.12        41   
  10.32        11.45        3,223,725        0.75        4.55        1.13        41   
  9.70        13.36        1,502,366        0.74        5.48        1.15        40   
           
  9.92        3.70        4,968,359        1.25        3.76        1.61        52   
  9.93        (0.53     5,120,797        1.25        3.47        1.63        48   
  10.38        5.06        4,676,332        1.24        4.08        1.62        41   
  10.29        10.84        3,476,814        1.25        4.05        1.63        41   
  9.68        12.72        1,665,862        1.24        4.98        1.65        40   
           
  9.96        4.36        3,198,358        0.60        4.39        0.86        52   
  9.97        0.12        3,138,405        0.60        4.12        0.87        48   
  10.42        5.70        2,852,404        0.59        4.68        0.87        41   
  10.33        11.58        1,585,506        0.60        4.70        0.88        41   
  9.71        13.51        817,404        0.59        5.63        0.90        40   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         101   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Global Allocation Fund    Class A, Class C, Class R2 and Select Class    Diversified
Income Builder Fund    Class A, Class C and Select Class    Diversified

The investment objective of Global Allocation Fund is to seek to maximize long-term total return.

The investment objective of Income Builder Fund is to seek to maximize income while maintaining prospects for capital appreciation.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to the Class R2 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 —Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

 

 
102       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures and options are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

See the 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 Funds at October 31, 2016.

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

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

 

 

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

 

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

JPMorgan Global Allocation Fund

 

       

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 18,131         $         $ 18,131   

Belgium

       3,008                               3,008   

Bermuda

       894                               894   

Brazil

       4,684                               4,684   

Canada

       4,133                               4,133   

Chile

       555                               555   

China

       2,396           4,607                     7,003   

Denmark

                 2,519                     2,519   

Finland

                 5,950                     5,950   

France

                 30,381                     30,381   

Germany

                 25,661                     25,661   

Hong Kong

       1,206           11,049                     12,255   

India

       6,966           1,081                     8,047   

Indonesia

                 2,326                     2,326   

Ireland

       1,134                               1,134   

Israel

       2,820                               2,820   

Italy

                 6,807                     6,807   

Japan

       203           66,366                     66,569   

Luxembourg

                 1,491                     1,491   

Malaysia

       388                               388   

Mexico

       1,064                               1,064   

Netherlands

       1,650           17,351                     19,001   

New Zealand

                 1,006                     1,006   

Peru

       617                               617   

Portugal

                 908                     908   

Russia

       132           2,920                     3,052   

Singapore

       2,284           2,207                     4,491   

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         103   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

JPMorgan Global Allocation Fund (continued)                    
       

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

South Africa

     $         $ 6,502         $         $ 6,502   

South Korea

                 3,014                     3,014   

Spain

                 6,286                     6,286   

Sweden

                 3,275                     3,275   

Switzerland

       2,842           26,768                     29,610   

Taiwan

       3,179           1,596                     4,775   

Thailand

       720           673                     1,393   

Turkey

                 591                     591   

United Kingdom

                 43,475                     43,475   

United States

       312,233           2,454           42           314,729   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       353,108           295,395           42           648,545   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Brazil

       1,256                               1,256   

Cayman Islands

                           67           67   

Germany

                 2,688                     2,688   

United States

       16                               16   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Preferred Stocks

       1,272           2,688           67           4,027   
    

 

 

      

 

 

      

 

 

      

 

 

 

Investment Company

                   

United States

       85,580                               85,580   

Debt Securities

                   

Asset-Backed Securities

                   

United States

                 34,376           30,046           64,422   

Collateralized Mortgage Obligations

                   

Non-Agency CMO

                   

United States

                 38,108                     38,108   

Commercial Mortgage-Backed Securities

                   

United States

                 8,900                     8,900   

Convertible Bonds

                   

United States

                 156                     156   

Corporate Bonds

                   

Australia

                 219                     219   

Bahamas

                           50           50   

Bermuda

                 2,196                     2,196   

Canada

                 11,179                     11,179   

Cayman Islands

                 1,868                     1,868   

Finland

                 541                     541   

France

                 19,239                     19,239   

Germany

                 14,981                     14,981   

Ireland

                 6,369                     6,369   

Italy

                 9,552                     9,552   

Japan

                 2,341                     2,341   

Liberia

                 18                     18   

Luxembourg

                 35,993                     35,993   

Mexico

                 2,010                     2,010   

Netherlands

                 17,916                     17,916   

Norway

                 685                     685   

Portugal

                 806                     806   

Singapore

                 227                     227   

Spain

                 1,307                     1,307   

Sweden

                 4,228                     4,228   

United Kingdom

                 28,642                     28,642   

United States

                 232,145           278           232,423   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Corporate Bonds

                 392,462           328           392,790   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
104       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
JPMorgan Global Allocation Fund (continued)                    
       

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

Preferred Securities

                   

Cayman Islands

     $         $ 598         $         $ 598   

France

                 1,844                     1,844   

Luxembourg

                 1,015                     1,015   

Netherlands

                 4,847                     4,847   

United Kingdom

                 788                     788   

United States

                 1,812                     1,812   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Preferred Securities

                 10,904                     10,904   
    

 

 

      

 

 

      

 

 

      

 

 

 

Loan Assignments

                   

Australia

                 184                     184   

Canada

                 213                     213   

Singapore

                 368                     368   

United Kingdom

                 261                     261   

United States

                 13,615                     13,615   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Loan Assignments

                 14,641                     14,641   
    

 

 

      

 

 

      

 

 

      

 

 

 

Foreign Government Securities

                 55,391                     55,391   

U.S. Treasury Obligations

                 32,416                     32,416   

Options Purchased

                   

Call Options Purchased

       3,516           821                     4,337   

Rights

                   

Spain

       17                               17   

Short-Term Investments

                   

Foreign Government Treasury Bill

                 4,906                     4,906   

Investment Company

       58,351                               58,351   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short-Term Investments

       58,351           4,906                     63,257   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 501,844         $ 891,164         $ 30,483         $ 1,423,491   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ 5,611         $         $ 5,611   

Futures Contracts

       204           140                     344   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Appreciation in Other Financial Instruments

     $ 204         $ 5,751         $         $ 5,955   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ (625      $         $ (625

Futures Contracts

       (538        (3,969                  (4,507
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Depreciation in Other Financial Instruments

     $ (538      $ (4,594      $         $ (5,132
    

 

 

      

 

 

      

 

 

      

 

 

 

JPMorgan Income Builder Fund

 

       

Level 1

Quoted prices

       Level 2
Other significant
observable inputs
      

Level 3

Significant
unobservable inputs

       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 61,690         $         $ 61,690   

Belgium

       31,556           7,314                     38,870   

Bermuda

       1,648                               1,648   

Brazil

       40,058                               40,058   

Canada

       34,459                               34,459   

Chile

       14,247                               14,247   

China

                 10,881                     10,881   

Czech Republic

                 38,851                     38,851   

Denmark

                 43,059                     43,059   

Finland

                 74,414                     74,414   

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         105   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

JPMorgan Income Builder Fund (continued)                  
       

Level 1

Quoted prices

       Level 2
Other significant
observable inputs
      

Level 3

Significant
unobservable inputs

     Total  

France

     $         $ 191,117         $       $ 191,117   

Germany

                 129,873                   129,873   

Hong Kong

       7,505           66,694                   74,199   

Hungary

                 7,756                   7,756   

India

                 15,634                   15,634   

Indonesia

                 5,779                   5,779   

Ireland

       38,687           3,735                   42,422   

Italy

                 48,748                   48,748   

Japan

                 105,894                   105,894   

Luxembourg

                 3,283                   3,283   

Mexico

       18,861                             18,861   

Netherlands

       6,308           114,696                   121,004   

Norway

                 25,256                   25,256   

Portugal

                 8,277                   8,277   

Russia

       18,629           18,305                   36,934   

Singapore

                 3,484                   3,484   

South Africa

       8,575           65,042                   73,617   

South Korea

       7,423           22,434                   29,857   

Spain

                 77,042                   77,042   

Sweden

                 23,935                   23,935   

Switzerland

       9,763           55,385                   65,148   

Taiwan

       22,340           86,545                   108,885   

Thailand

       567           9,273                   9,840   

Turkey

                 12,779                   12,779   

United Arab Emirates

                 6,720                   6,720   

United Kingdom

       3,741           439,169                   442,910   

United States

       1,843,717                     963         1,844,680   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Common Stocks

       2,108,084           1,783,064           963         3,892,111   
    

 

 

      

 

 

      

 

 

    

 

 

 

Preferred Stocks

                 

Bermuda

       913                             913   

Brazil

       6,696                             6,696   

Cayman Islands

                           2,655         2,655   

Ireland

       3,566                             3,566   

Israel

       2,457                             2,457   

United States

       120,123           5,416           (a)       125,539   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Preferred Stocks

       133,755           5,416           2,655         141,826   
    

 

 

      

 

 

      

 

 

    

 

 

 

Debt Securities

                 

Asset-Backed Securities

                 

United States

                 165,914           382,859         548,773   

Collateralized Mortgage Obligations

                 

Non-Agency CMO

                 

United States

                 398,114           3,134         401,248   

Commercial Mortgage-Backed Securities

                 

United States

                 102,909           59,561         162,470   

Convertible Bonds

                 

Austria

                 2,407                   2,407   

Bermuda

                 2,214                   2,214   

Cayman Islands

                 7,176                   7,176   

France

                 2,384                   2,384   

Germany

                 777                   777   

Hong Kong

                 601                   601   

Japan

                 820                   820   

Luxembourg

                 2,570                   2,570   

Netherlands

       1,764           5,797                   7,561   

 

 
106       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
JPMorgan Income Builder Fund (continued)                    
       

Level 1

Quoted prices

       Level 2
Other significant
observable inputs
      

Level 3

Significant
unobservable inputs

       Total  

Singapore

     $         $ 3,510         $         $ 3,510   

Spain

                 6,938                     6,938   

United Arab Emirates

                 4,749                     4,749   

United Kingdom

                 7,715                     7,715   

United States

                 37,036           10           37,046   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Convertible Bonds

       1,764           84,694           10           86,468   
    

 

 

      

 

 

      

 

 

      

 

 

 

Corporate Bonds

                   

Argentina

                 3,338                     3,338   

Australia

                 13,599                     13,599   

Bahamas

                           969           969   

Bermuda

                 24,336                     24,336   

Brazil

                 6,555                     6,555   

Canada

                 206,133                     206,133   

Cayman Islands

                 23,537                     23,537   

Chile

                 5,717                     5,717   

Colombia

                 7,419                     7,419   

Croatia

                 2,759                     2,759   

Finland

                 2,535                     2,535   

France

                 28,705                     28,705   

Georgia

                 6,222                     6,222   

Germany

                 11,451                     11,451   

Hungary

                 4,302                     4,302   

Indonesia

                 17,828                     17,828   

Ireland

                 49,350                     49,350   

Israel

                 6,062                     6,062   

Italy

                 12,069                     12,069   

Japan

                 4,417                     4,417   

Kazakhstan

                 14,393                     14,393   

Liberia

                 1,573                     1,573   

Luxembourg

                 202,391                     202,391   

Malaysia

                 1,304                     1,304   

Mexico

                 53,194                     53,194   

Morocco

                 12,332                     12,332   

Netherlands

                 135,616                     135,616   

Peru

                 8,208                     8,208   

Singapore

                 521                     521   

Turkey

                 3,013                     3,013   

United Arab Emirates

                 3,530                     3,530   

United Kingdom

                 83,631                     83,631   

United States

                 4,136,008           30,254           4,166,262   

Venezuela

                 8,147                     8,147   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Corporate Bonds

                 5,100,195           31,223           5,131,418   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Securities

                   

Australia

                 1,894                     1,894   

Belgium

                 11,829                     11,829   

Cayman Islands

                 3,009                     3,009   

France

                 37,382                     37,382   

Netherlands

                 8,492                     8,492   

Spain

                 5,045                     5,045   

Sweden

                 15,075                     15,075   

Switzerland

                 21,233                     21,233   

United Kingdom

                 35,513                     35,513   

United States

                 658,858                     658,858   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Preferred Securities

                 798,330                     798,330   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         107   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

JPMorgan Income Builder Fund (continued)                  
       

Level 1

Quoted prices

       Level 2
Other significant
observable inputs
      

Level 3

Significant
unobservable inputs

     Total  

Loan Assignments

                 

Australia

     $         $ 1,281         $       $ 1,281   

Bermuda

                 650                   650   

Canada

                 2,392                   2,392   

Cayman Islands

                 452                   452   

Luxembourg

                 2,702                   2,702   

Singapore

                 2,678                   2,678   

United Kingdom

                 2,143                   2,143   

United States

                 122,179           (a)       122,179   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Loan Assignments

                 134,477                   134,477   
    

 

 

      

 

 

      

 

 

    

 

 

 

Foreign Government Securities

                 405,048           558         405,606   

U.S. Treasury Obligations

                 66,169                   66,169   

Rights

                 

Spain

       124                             124   

Warrants

                 

United States

                           (a)       (a) 

Short-Term Investments

                 

Investment Company

       267,810                             267,810   

Time Deposit

                 7,100                   7,100   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Short-Term Investments

       267,810           7,100                   274,910   
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Investments in Securities

     $ 2,511,537         $ 9,051,430         $ 480,963       $ 12,043,930   
    

 

 

      

 

 

      

 

 

    

 

 

 

Appreciation in Other Financial Instruments

                 

Futures Contracts

     $ 39,330         $         $       $ 39,330   
    

 

 

      

 

 

      

 

 

    

 

 

 

Depreciation in Other Financial Instruments

                 

Futures Contracts

     $         $ (15      $       $ (15
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Value is zero.

Transfers between fair value levels are valued utilizing values as of beginning of the year.

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price for the year ended October 31, 2016.

There were no significant transfers among any other levels during the year ended October 31, 2016.

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):

 

Global Allocation Fund   Balance as of
October 31, 2015
    Realized
gain (loss)
    Change in net
unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into Level 3
    Transfers
out
of Level 3
    Balance as of
October 31, 2016
 

Asset-Backed Securities — United States

  $ 31,322      $ 32      $ 285      $ 104      $ 15,608      $ (8,837   $      $ (8,468   $ 30,046   

Collateralized Mortgage Obligation — Non-Agency CMO — United States

    423                                                  (423 )         

Common Stocks — United States

                  23               19                             42   

Corporate Bonds — Bahamas

    166               (117     1                                    50   

Corporate Bonds — United States

           (110     47        2        38        (135     436               278   

Preferred Stock — Cayman Islands

                  (3                          70               67   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 31,911      $ (78   $ 235      $ 107      $ 15,665      $ (8,972   $ 506      $ (8,891   $ 30,483   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 
108       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
Income Builder Fund   Balance as of
October 31, 2015
    Realized
gain (loss)
    Change in net
unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into Level 3
    Transfers
out
of Level 3
    Balance as of
October 31, 2016
 

Asset-Backed Securities — United States

  $ 471,259      $ 1,955      $ (2,158   $ 1,673      $ 97,925      $ (93,030   $ 8,532      $ (103,297   $ 382,859   

Collateralized Mortgage Obligations — Non-Agency CMO — United States

    3,628               (85     21               (430 )                     3,134   

Commercial Mortgage-Backed Securities — United States

    62,029               (1,756     (2     7,045        (5,635 )       3,565        (5,685 )       59,561   

Common Stocks — United States

    180        19        430               613        (279 )                     963   

Convertible Bonds — United States

    277        56        (76            25        (272 )                     10   

Corporate Bonds — Bahamas

    3,239               (2,277     7                                    969   

Corporate Bonds — Canada

    (b)                                                       (a) 

Corporate Bonds — United States

    105        (821 )       5,713        31        731        (804 )       25,299               30,254   

Foreign Government Securities

    5,053        (6,119     6,250        60               (4,686 )                     558   

Loan Assignments — United States

    1,556               9        (1            (1,564                   (b) 

Preferred Stocks — Cayman Islands

                  (109                          2,764               2,655   

Preferred Stocks — United States

    (a)                                                       (a) 

Warrants — United States

    (b)      (b)      (b)                    (b)                    (a) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 547,326      $ (4,910   $ 5,941      $ 1,789      $ 106,339      $ (106,700   $ 40,160      $ (108,982   $ 480,963   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(1) Purchases include all purchases of securities and securities received in corporate actions.
(2) Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
(a) Value is zero.
(b) Amount rounds to less than 500.

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price for the year ended October 31, 2016.

There were no significant transfers among other levels during the year ended October 31, 2016.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at October 31, 2016, which were valued using significant unobservable inputs (level 3) were as follows (amounts in thousands):

 

      Value  

Global Allocation Fund

   $ 240   

Income Builder Fund

     1,582   

These amounts are included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statements of Operations.

JPM Global Allocation

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
October 31, 2016
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 30,046      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 11.00% (4.37%)   
      Constant Default Rate     2.72% - 20.00% (5.57%)   
      Yield (Discount Rate of Cash Flows)     1.93% - 10.09% (4.25%)   
 

 

 

       
Asset-Backed Securities     30,046         

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         109   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

     Fair Value at
October 31, 2016
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 240      Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     7.88% - 8.80% (8.34%)   
 

 

 

       
Corporate Bonds     240         

 

 
    67      Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     4.73% (4.73%)   
 

 

 

       
Preferred Stock     67         

 

 
Total   $ 30,353         

 

 

 

# The table above does not include level 3 investments that are valued by brokers and pricing services. At October 31, 2016, the value of these investments was approximately $130,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A.

Income Builder Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
October 30, 2016
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ (a)    Pending Sale Amount (b)   Discount for lack of marketability (c)     100.00% (100.00%)   
 

 

 

       
Common Stock     (a)       

 

 
    2,655      Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     4.73% (4.73%)   
    (a)    Pending Sale Amount (b)   Discount for lack of marketability (c)     100.00% (100.00%)   
 

 

 

       
Preferred Stock     2,655         

 

 
    10      Market Comparable Companies   EBITDA Multiple (d)     1.0x (1.0x)   
 

 

 

       
Convertible Bond     10         

 

 
    29,136      Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     0.00% - 23.34% (1.60%)   
    3      Pending Sale Amount   Discount for lack of marketability (c)     15.00% - 50.00% (25.86%)   
    (a)    Pending Distribution   Discount for potential outcome (c)     100% (100%)   
 

 

 

       
Corporate Bond     29,139         

 

 
    382,858      Discounted Cash Flow   Constant Prepayment Rate     0.00% - 18.00% (4.63%)   
      Constant Default Rate     0.00% - 30.00% (6.37%)   
      Yield (Discount Rate of Cash Flows)     1.26% - 11.19% (3.80%)   
 

 

 

       
Asset-Backed Securities     382,858         

 

 
    3,135      Discounted Cash Flow   Constant Prepayment Rate     4.00% - 21.26% (11.71%)   
      Constant Default Rate     0.00% - 7.82% (2.61%)   
      Yield (Discount Rate of Cash Flows)     3.66% - 10.41% (5.96%)   
 

 

 

       
Collateralized Mortgage Obligations     3,135         

 

 
    53,670      Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     2.96% - 199.00% (62.06%)   
 

 

 

       
Commercial Mortgage-Backed Securities     53,670         

 

 
    (a)    Pending Distribution   Projected Losses     100% (100%)   
 

 

 

       
Loan Assignments     (a)       

 

 
Warrants     (a)    Intrinsic Value   Issue Price vs. Stock Price     (N/A)   

 

 
Total   $ 471,467         

 

 

 

# The table above does not include level 3 investments that are valued by brokers and pricing services. At October 31, 2016, the value of these investments was approximately $9,496,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A.
(a) Value is zero
(b) Senior-ranking securities in the issuing entity capital structure result in this security being valued at zero.

 

 
110       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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(c) Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.
(d) Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments.

The significant unobservable inputs used in the fair value measurement of the Funds’ 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. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.

As of October 31, 2016, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. Investment Transactions with Affiliates — The Funds invest in certain Underlying Funds which are advised by JPMIM or their affiliates. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed 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. Included in the purchases and sales amounts in the table below are exchanges between certain share classes of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or portfolio turnover. Included in the Realized Gain (Loss) amounts in the table below are distributions of realized capital gains, if any, received from the affiliated Underlying Funds (amounts in thousands):

 

Affiliate   Value at
October 31,
2015
    Purchase
Cost
    Sales
Proceeds
    Realized
Gain (Loss)
    Dividend
Income
    Shares at
October 31,
2016
    Value at
October 31,
2016
 

Global Allocation Fund

             

JPMorgan Emerging Markets Debt Fund, Class R6 Shares

  $      $ 85,994      $      $      $ 448        10,311      $ 85,580   

JPMorgan Prime Money Market Fund, Institutional Class Shares

    88,032        894,252        982,284               266                 

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares

           151,697        93,346               25        58,351        58,351   
 

 

 

       

 

 

   

 

 

     

 

 

 
  $ 88,032          $      $ 739        $ 143,931   
 

 

 

       

 

 

   

 

 

     

 

 

 

Income Builder Fund

             

JPMorgan Prime Money Market Fund, Institutional Class Shares

  $ 302,495      $ 2,516,999      $ 2,819,494      $      $ 636             $   

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares

           484,257        216,447               99        267,810        267,810   
 

 

 

       

 

 

   

 

 

     

 

 

 
  $ 302,495          $      $ 735        $ 267,810   
 

 

 

       

 

 

   

 

 

     

 

 

 

D. Loan Assignments — The Funds invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental, or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Funds invest in loan assignments of all or a portion of the loans. When a fund purchases a loan assignment, the fund has direct rights against the Borrower on a loan, provided, however, the fund’s rights may be more limited than the Lender from which they acquired the assignment and the fund may be able to enforce its rights only through the Agent. As a result, the fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the fund and the Borrower (“Intermediate Participants”). A fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a fund could experience delays or limitations in realizing the value on such collateral or have their interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a fund may not receive the proceeds from a sale of such investments for a period after the sale.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.

E. Derivatives — The Funds used derivative instruments including futures, forward foreign currency exchange contracts and options in connection with their investment strategy. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Funds to close out their position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against the counterparties (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and counterparty the right, upon an event of default, to close out all transactions traded under such agreement and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Funds.

Notes D(1) — D(3) below describe the various derivatives used by the Funds.

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

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

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.

(2). Futures Contracts — The Funds 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 particular countries or regions. The Funds also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

 

 
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The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(3). Forward Foreign Currency Exchange Contracts — The Funds may be exposed to foreign currency risks associated with some or all of their portfolio investments and use forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds 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 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 Funds record 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 Funds also record a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Funds’ 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). As of October 31, 2016, the Funds did not receive or post collateral for forward foreign currency exchange contracts.

(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Global Allocation Fund

 

Derivative Contract    Statements of Assets and Liabilities                 
Gross Assets:          Options (a)      Futures Contracts (b)     Forward Foreign
Currency Exchange
Contracts
     Total  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation    $ 4,337       $ 198      $       $ 4,535   

Interest rate contracts

   Receivables, Net Assets — Unrealized Appreciation         146                146   

Foreign exchange contracts

   Receivables                     5,611         5,611   
     

 

 

    

 

 

   

 

 

    

 

 

 

Total

      $ 4,337       $ 344      $ 5,611       $ 10,292   
     

 

 

    

 

 

   

 

 

    

 

 

 

Gross Liabilities:

                               

Equity contracts

   Payables, Net Assets — Unrealized Depreciation    $       $ (4,167   $       $ (4,167

Interest rate contracts

   Payables, Net Assets — Unrealized Depreciation              (340             (340

Foreign exchange contracts

   Payables                     (625      (625
     

 

 

    

 

 

   

 

 

    

 

 

 

Total

      $       $ (4,507   $ (625    $ (5,132
     

 

 

    

 

 

   

 

 

    

 

 

 

 

(a) The market value of options purchased is reported as an investment in non-affiliates, at value on the Statements of Assets and Liabilities.
(b) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

Income Builder Fund

 

Derivative Contract    Statements of Assets and Liabilities          
Gross Assets:            Futures Contracts (a)  

Foreign exchange contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 32,876   

Interest rate contracts

   Receivables, Net Assets — Unrealized Appreciation        6,454   
       

 

 

 
        $ 39,330   
       

 

 

 

Gross Liabilities:

             

Equity contracts

   Payables, Net Assets — Unrealized Depreciation      $ (15
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following tables present the effect of derivatives on the Statements of Operations for the year ended October 31, 2016, by primary underlying risk exposure (amounts in thousands):

Global Allocation Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations          
Derivative Contracts    Options     Futures Contracts     Forward Foreign
Currency Exchange
Contracts
     Total  

Equity contracts

   $ 1,853      $ (21,613   $       $ (19,760

Foreign exchange contracts

            4,818        4,937         9,755   

Interest rate contracts

            5,279                5,279   
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ 1,853      $ (11,516   $ 4,937       $ (4,726
  

 

 

   

 

 

   

 

 

    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations          
Derivative Contracts    Options     Futures Contracts     Forward Foreign
Currency Exchange
Contracts
     Total  

Equity contracts

   $ (8,172   $ (4,446   $       $ (12,618

Foreign exchange contracts

                   3,758         3,758   

Interest rate contracts

            (829             (829
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ (8,172   $ (5,275   $ 3,758       $ (9,689
  

 

 

   

 

 

   

 

 

    

 

 

 

Income Builder Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of the Operations  
Derivative Contracts    Futures Contracts     Forward Foreign
Currency Exchange
Contracts
     Total  

Equity contracts

   $ (28,992   $       $ (28,992

Foreign exchange contracts

     54,862        338         55,200   

Interest rate contracts

     (32,980             (32,980
  

 

 

   

 

 

    

 

 

 

Total

   $ (7,110   $ 338       $ (6,772
  

 

 

   

 

 

    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of the Operations  
Derivative Contracts    Futures Contracts  

Equity contracts

   $ 12,219   

Foreign exchange contracts

     30,731   

Interest rate contracts

     3,042   
  

 

 

 

Total

   $ 45,992   
  

 

 

 

Derivatives Volume

The table below discloses the volume of the Funds’ futures contracts, forward foreign currency exchange contracts and options activity during the year ended October 31, 2016. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity (amounts in thousands).

 

      Global
Allocation
Fund
    Income
Builder Fund
 

Futures Contracts:

    

Equity

    

Average Notional Balance Long

   $ 67,365      $ 16,779   

Average Notional Balance Short

     112,090        46,344   

Ending Notional Balance Long

     85,178        4,936   

Ending Notional Balance Short

     109,682          

Foreign Exchange

    

Average Notional Balance Short

     117,608 (a)      863,993   

Ending Notional Balance Short

            620,402   

 

 
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      Global
Allocation
Fund
     Income
Builder Fund
 

Interest Rate

     

Average Notional Balance Long

   $ 98,674       $ 138,917 (b) 

Average Notional Balance Short

     26,901         1,426,166   

Ending Notional Balance Long

     45,873           

Ending Notional Balance Short

     9,554         1,137,423   

Forward Foreign Currency Exchange Contracts:

     

Average Settlement Value Purchased

     27,708           

Average Settlement Value Sold

     216,508           

Ending Settlement Value Purchased

     40,402           

Ending Settlement Value Sold

     236,824           

Exchange-Traded Options:

     

Average Number of Contracts Purchased

     13,608           

Ending Number of Contracts Purchased

     25,116           

 

(a) For the period June 1, 2016 through June 30, 2016.
(b) For the period November 1, 2015 through November 30, 2015.

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a fund first learns of the dividend.

H. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended October 31, 2016 are as follows (amounts in thousands):

 

        Class A        Class C        Class R2        Select Class        Total  

Global Allocation Fund

                        

Transfer agency fees

     $ 20         $ 24         $ 1         $ 28         $ 73   

Sub-transfer agency fees

       180           205           (a)         256           641   

Income Builder Fund

                        

Transfer agency fees

     $ 146         $ 190           n/a         $ 63         $ 399   

Sub-transfer agency fees

       1,696           2,659           n/a           1,544           5,899   

 

(a) Amount rounds to less than 500.

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

J. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. Income Builder Fund is subject to a tax imposed on short-term capital gains on securities of issuers domiciled in India. The Fund records an estimated deferred tax liability for these securities that have been held for less than one year at the end of the reporting period, assuming those positions were disposed of at the end of the period. This amount, if any, is reported as Deferred India capital gains tax on the accompanying Statements of Assets and Liabilities. Short-term realized capital losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short-term realized capital gains.

India has recently enacted rules imposing a tax on the indirect transfers of Indian shares. Based upon current guidance from Indian tax authorities, management does not believe that such tax will be applicable to the Funds. However, management’s conclusion, regarding this and other foreign tax matters, may be subject to future review based on changes in, or the interpretation of, the accounting standards and the tax laws and regulations.

K. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

 

      Paid-in-Capital    

Accumulated
undistributed
(distributions in
excess of)

net investment
income

    Accumulated
net realized
gains (losses)
 

Global Allocation Fund

   $      $ 2,719      $ (2,719

Income Builder Fund

     (478     (1,332     1,810   

The reclassifications for the Funds relate primarily to foreign currency gains or losses and investments in passive foreign investment companies (“PFICs”).

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

 

Global Allocation Fund

     0.60

Income Builder Fund

     0.45   

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective annual rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

 

 

 
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The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2  

Global Allocation Fund

       0.25        0.75        0.50

Income Builder Fund

       0.25           0.75           n/a   

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Global Allocation Fund

     $ 246         $ 5   

Income Builder Fund

       1,452           23   

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Select Class  

Global Allocation Fund

       0.25        0.25        0.25        0.25

Income Builder Fund

       0.25           0.25           n/a           0.25   

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Select Class  

Global Allocation Fund

       1.03        1.53        1.28        0.78

Income Builder Fund

       0.75           1.25           n/a           0.60   

The expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until at least February 28, 2017.

For the year ended October 31, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total        Contractual
Reimbursements
 

Global Allocation Fund

     $ 2,165         $ 1,030         $ 227         $ 3,422         $ (a) 

Income Builder Fund

       21,469           9,849           8,851           40,169             

 

(a) Amount rounds to less than 500.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 was as follows (amounts in thousands):

 

Global Allocation Fund

     $ 187   

Income Builder Fund

       470   

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended October 31, 2016, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended October 31, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Global Allocation Fund

     $ 1   

Income Builder Fund

       87   

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding
U.S. Government)
       Sales
(excluding
U.S. Government)
       Purchases
of U.S.
Government
       Sales
of U.S.
Government
 

Global Allocation Fund

     $ 1,332,892         $ 670,632         $ 65,453         $ 48,309   

Income Builder Fund

       6,018,875           6,269,040           38,510           28,790   

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

      Aggregate
Cost
     Gross
Unrealized
Appreciation
     Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

Global Allocation Fund

   $ 1,400,966       $ 82,553       $ (60,027   $ 22,526   

Income Builder Fund

     11,630,353         715,899         302,322        413,577   

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of option contracts and mark to market of PFICs.

The tax character of distributions paid during the year ended October 31, 2016 was as follows (amounts in thousands):

 

      Ordinary
Income*
     Net
Long-Term
Capital Gains
     Total
Distributions
Paid
 

Global Allocation Fund

   $ 25,242       $ 1,201       $ 26,443   

Income Builder Fund

     486,808                 486,808   

 

* Short-term gains are treated as ordinary income for income tax purposes.

 

 

 
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The tax character of distributions paid during the year ended October 31, 2015 was as follows (amounts in thousands):

 

      Ordinary
Income*
     Net
Long-Term
Capital Gains
     Return
of Capital
     Total
Distributions
Paid
 

Global Allocation Fund

   $ 4,169       $ 1,378       $       $ 5,547   

Income Builder Fund

     483,632         19,867         18,688         522,187   

 

* Short-term gains are treated as ordinary income for income tax purposes.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

      Current
Distributable
Ordinary
Income
     Current
Distributable
Long-Term
Capital Gain or
(Tax Basis
Loss Carryover)
    Unrealized
Appreciation
(Depreciation)
 

Global Allocation Fund

   $ 11,244       $ (19,938   $ 17,856   

Income Builder Fund

     4,392         (447,894     413,047   

For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts, mark to market of options, straddle loss deferral and mark to market of PFICs.

 

     Capital Loss
Carryforward Character
 
      Short-Term      Long-Term  

Global Allocation Fund

   $ 7,562       $ 12,376   

Income Builder Fund

     328,141         119,753   

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other affiliated trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Funds did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of October 31, 2016, the Funds had omnibus accounts which collectively represented the following percentage of each Fund’s net assets as follows:

 

      Number of Affiliated
Omnibus Accounts
     % of the Fund     Number of Non-Affiliated
Omnibus Accounts
     % of the Fund  

Global Allocation Fund

     2         12.9     4         26.7

Income Builder Fund

     2         15.3     7         36.9

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject each Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates.

The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes, exchange-traded notes, forward foreign currency exchange contracts and To-Be-Announced securities.

The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Income Builder Fund and JPMorgan Global Allocation Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Income Builder Fund and JPMorgan Global Allocation Fund (each a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
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TRUSTEES

(Unaudited)

 

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
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Name (Year of Birth);

Positions With

the Funds (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Global Allocation Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,027.80         $ 5.20           1.02

Hypothetical

       1,000.00           1,020.01           5.18           1.02   

Class C

                   

Actual

       1,000.00           1,025.10           7.74           1.52   

Hypothetical

       1,000.00           1,017.50           7.71           1.52   

Class R2

                   

Actual

       1,000.00           1,026.70           6.47           1.27   

Hypothetical

       1,000.00           1,018.75           6.44           1.27   

Select Class

                   

Actual

       1,000.00           1,029.00           3.93           0.77   

Hypothetical

       1,000.00           1,021.27           3.91           0.77   

Income Builder Fund

                   

Class A

                   

Actual

       1,000.00           1,035.40           3.84           0.75   

Hypothetical

       1,000.00           1,021.37           3.81           0.75   

Class C

                   

Actual

       1,000.00           1,032.70           6.39           1.25   

Hypothetical

       1,000.00           1,018.85           6.34           1.25   

Select Class

                   

Actual

       1,000.00           1,036.10           3.07           0.60   

Hypothetical

       1,000.00           1,022.12           3.05           0.60   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         125   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreement for both of the Funds whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for each Fund and the other J.P. Morgan Funds in which the JPMorgan Global Allocation Fund invests (“Underlying Funds”). Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds and Underlying Funds received from the Adviser. This information includes the Funds’ and Underlying Funds’ performance as compared to the performance of the Funds’ and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Funds’ and Underlying Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ and Underlying Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Funds and/or Underlying Funds, performance and expense analyses compiled by Broadridge, using data from Lipper Inc. independent providers of investment company data (together, “Broadridge/Lipper”). The independent consultant also provided additional analyses of the performance of certain J.P. Morgan Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal

counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds and Underlying Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to each Fund and Underlying Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to each Fund and Underlying

 

 

 
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Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund and Underlying Funds.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to each Fund by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund and Underlying Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to each Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the J.P. Morgan Funds including the benefits received by the Adviser and its affiliates in connection with the JPMorgan Global Allocation Fund’s investments in the Underlying Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser and JPMIM, earn fees from each Fund and/or Underlying Funds for providing shareholder and administrative services, respectively. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial

intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services for each Fund and/or Underlying Funds.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         127   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for each Fund in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of each Fund within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for the applicable one-, three- and five- year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for each Fund at regular Board meetings by the Adviser and the independent consultant and also considered the special analysis prepared by the independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the JPMorgan Global Allocation Fund’s performance for both Class A and Select Class shares was in the second and first quintiles based upon the Peer Group, and the first and second quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the performance was reasonable.

The Trustees noted that the JPMorgan Income Builder Fund’s performance for Class A shares was in the first, fourth and third quintiles based upon the Peer Group, and in the first, third and second quintiles based upon the Universe, for the one-, and three-year periods ended December 31, 2015, respectively. The Trustees noted that performance for the Select Class shares

was in the first and second quintiles, based upon the Peer Group, and in the first, third and second quintiles, based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively, as applicable. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that they were satisfied with the Adviser’s analysis of the Fund’s performance.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Fund. The Trustees recognized that Broadridge/Lipper reported the Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the JPMorgan Global Allocation Fund’s net advisory fee for both Class A and Select Class shares was in the first quintile based upon the Peer Group and Universe. The Trustees noted that the actual total expenses for Class A shares were in the first quintile based upon the Peer Group, and in the second quintile, based upon the Universe, and Select Class Shares were in the second quintile based upon the Peer Group, and first quintile based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contracts of the Underlying Funds in which the Fund invests.

The Trustees noted that the JPMorgan Income Builder Fund’s net advisory fee and actual total expenses for both Class A and Select Class shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contracts of the Underlying Funds in which the Fund may invest.

 

 

 
128       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended October 31, 2016:

 

      Dividend Received Deduction  

Global Allocation Fund

     13.40

Income Builder Fund

     15.21   

Long Term Capital Gain

The Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

      Long Term Capital Gain  

Global Allocation Fund

   $  1,201   

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016 (amounts in thousands):

 

      Qualified Dividend Income  

Global Allocation Fund

   $  14,895   

Income Builder Fund

     182,934   

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         129   


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

  Social Security number and account balances

 

  transaction history and account transactions

 

  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

  open an account or provide contact information

 

  give us your account information or pay us by check

 

  make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

  sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

  affiliates from using your information to market to you

 

  sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

  J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-IB-GAL-1016


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Annual Report

J.P. Morgan Funds

October 31, 2016

JPMorgan Emerging Markets Strategic Debt Fund

(formerly known as JPMorgan Emerging Markets Local Currency Debt Fund)

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   

Fund Commentary

       2   
Schedule of Portfolio Investments        5   
Financial Statements        14   
Financial Highlights        20   
Notes to Financial Statements        22   
Report of Independent Registered Public Accounting Firm        35   
Trustees        36   
Officers        38   
Schedule of Shareholder Expenses        39   
Board Approval of Investment Advisory Agreement        40   

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.

Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         1   


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JPMorgan Emerging Markets Strategic Debt Fund1

(formerly known as JPMorgan Emerging Markets Local Currency Debt Fund)

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      8.41%   

J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified2

     11.70%   
J.P. Morgan GBI — EM Global Diversified      11.04%   
Emerging Markets Strategic Debt Composite Benchmark      10.74%   
Net Assets as of 10/31/2016 (In Thousands)      $81,126   
Duration as of 10/31/2016      6.1 years   

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Markets Strategic Debt Fund (the “Fund”) seeks to provide total return.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund (Select Class Shares) underperformed the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified (the “Benchmark”), the J.P. Morgan GBI — EM Global Diversified and the Emerging Markets Strategic Debt Composite Benchmark for the twelve months ended October 31, 2016.

Relative to the Benchmark, the Fund’s underweight position in Russia in the first half of 2016 detracted from performance as the value of Russian bonds increased. The Fund’s short position in Brazil’s currency, which was accomplished through currency derivatives and was a hedge against the Fund’s positions in Brazilian bonds of longer maturity, also detracted from relative performance.

The Fund’s short position in the Turkish lira, accomplished through currency derivatives, also detracted from relative performance as the currency’s value strengthened in the first quarter of 2016 and the cost of holding the short position was high.

Relative to the Benchmark, the Fund’s longer duration in Brazilian bonds helped performance amid expectations for low interest rates due to lower inflation data, an improved political backdrop and overall weakness in Brazil’s economy.

Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or

decrease in price as interest rates fall or rise, respectively, versus bonds with shorter duration. The Fund’s longer duration in Indonesian bonds helped relative performance as inflationary pressure remained low and the government enacted reforms to extend economic growth, while keeping the country’s current-account balance stable. The Fund’s longer duration in Mexican government bonds also helped relative performance amid general market conditions that supported fixed income securities.

HOW WAS THE FUND POSITIONED?

The Fund invested primarily in debt securities from emerging market countries that the Fund’s portfolio managers believed had the potential to provide total return, using these investments to establish overweight and underweight currency positions versus the Benchmark. The Fund also used currency derivatives to establish overweight and underweight currency positions versus the Benchmark and held U.S. cash and/or cash equivalents as support for these positions. At the end of the reporting period, the Fund’s foreign exchange positions were overweight in the currencies of Russia, Peru and India and underweight in the currencies of the U.S., Canada and China. In terms of sovereign and corporate debt, the Fund was overweight at the end of the reporting period in Brazil, the United Arab Emirates and Argentina and was underweight in Russia, the Philippines and Uruguay.

 

1   

Effective September 30, 2016, some of the Fund’s investment strategies changed. Under the revised investment strategy, the Fund may invest in a broader array of emerging market debt investments.

2   

Effective September 30, 2016, the Fund’s broad-based securities market index changed from the J.P. Morgan GBI-EM Global Diversified to the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified to reflect the change in the Fund’s investment strategies.

 

 

 
2       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

PORTFOLIO COMPOSITION BY SECURITY TYPE***

 
Foreign Government Securities      68.6
Corporate Bonds      27.0  
Others (each less than 1.0%)      0.6  
Short-Term Investments      3.8   

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Argentina      7.1
Mexico      5.1  
Turkey      3.9  
Netherlands      3.9  
Peru      3.9  
Indonesia      3.8  
Brazil      3.5  
Ukraine      3.4  
Ecuador      3.0  
Russia      3.0  
Lebanon      2.9  
Hungary      2.6  
Colombia      2.4  
Sri Lanka      2.2  
Chile      2.2  
Panama      2.1  
South Africa      2.1  
Kazakhstan      1.9  
United Kingdom      1.9  
Croatia      1.7  
Dominican Republic      1.7  
Cayman Islands      1.7  
Philippines      1.6  
Ghana      1.5  
Uruguay      1.3  
Morocco      1.3  
Bermuda      1.2  
Venezuela      1.2  
Oman      1.1  
Poland      1.1  
Angola      1.0  
Costa Rica      1.0  
Others (each less than 1.0%)      17.9   
Short-Term Investments      3.8   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         3   


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   June 29, 2012               

With Sales Charge*

          4.20        (6.68 )%         (4.92 )% 

Without Sales Charge

          8.20          (5.48 )        (4.08 )

CLASS C SHARES

   June 29, 2012               

With CDSC**

          6.76          (5.93 )        (4.54 )

Without CDSC

          7.76          (5.93 )        (4.54 )

CLASS R2 SHARES

   June 29, 2012        7.98          (5.69 )        (4.31 )

CLASS R5 SHARES

   June 29, 2012        8.77          (5.02 )        (3.63 )

CLASS R6 SHARES

   June 29, 2012        8.76          (5.02 )        (3.59 )

SELECT CLASS SHARES

   June 29, 2012        8.41          (5.23 )        (3.84 )

 

*   Sales Charge for Class A Shares is 3.75%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (6/29/12 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on June 29, 2012.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Emerging Markets Strategic Debt Fund, the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified, J.P. Morgan GBI-EM Global Diversified and the Emerging Markets Strategic Debt Composite Benchmark from June 29, 2012 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified and the J.P. Morgan GBI-EM Global Diversified does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. The Emerging Markets Strategic Debt Composite Benchmark does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of fund expenses, including sales charges if applicable. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. The diversified index limits the exposure of some of the larger countries. The J.P. Morgan GBI-EM Global Diversified consists of regularly traded, fixed rate, domestic currency government bonds which international investors can readily access. The maximum weight to any country in the index is capped at 10%. The Emerging Markets Strategic Debt Composite Benchmark is comprised of

unmanaged indices that include an equally weighted average of the J.P. Morgan EMBI Global Diversified, J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified and the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified. Investors cannot invest directly in an index.

Effective September 30, 2016, the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

On September 30, 2016, the Fund’s broad based securities market index changed from the J.P. Morgan GBI-EM Global Diversified to the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified to reflect the change in the Fund’s investment strategies.

 

 

 
4       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — 26.7%

 
  

Argentina — 1.4%

 
  100      

Petrobras Argentina S.A., Reg. S, 7.375%, 07/21/23

    103   
  

YPF S.A.,

 
  100      

Reg. S, 8.500%, 03/23/21

    110   
  450      

Reg. S, 8.750%, 04/04/24

    493   
  370      

Reg. S, 8.875%, 12/19/18

    401   
    

 

 

 
       1,107   
    

 

 

 
  

Austria — 0.2%

  

  200      

Suzano Austria GmbH, Reg. S, 5.750%, 07/14/26

    197   
    

 

 

 
  

Bermuda — 1.2%

  

  200      

Digicel Group Ltd., Reg. S, 8.250%, 09/30/20

    177   
  400      

Ooredoo International Finance Ltd., Reg. S, 3.250%, 02/21/23

    406   
  410      

Tengizchevroil Finance Co. International Ltd., Reg. S, 4.000%, 08/15/26

    397   
    

 

 

 
       980   
    

 

 

 
  

Brazil — 1.1%

  

  450      

Caixa Economica Federal, Reg. S, 4.500%, 10/03/18

    457   
  200      

Itau Unibanco Holding S.A., Reg. S, 5.500%, 08/06/22

    202   
  200      

Votorantim Cimentos S.A., Reg. S, 7.250%, 04/05/41

    194   
    

 

 

 
       853   
    

 

 

 
  

Cayman Islands — 1.7%

  

  200      

ABQ Finance Ltd., Reg. S, 3.625%, 04/13/21

    206   
  580      

Kuwait Projects Co., Reg. S, 5.000%, 03/15/23

    613   
  300      

Three Gorges Finance I Cayman Islands Ltd., Reg. S, 3.700%, 06/10/25

    316   
  200      

Vale Overseas Ltd., 6.250%, 08/10/26

    214   
    

 

 

 
       1,349   
    

 

 

 
  

Chile — 2.2%

  

  600      

Corp. Nacional del Cobre de Chile, Reg. S, 4.500%, 09/16/25

    624   
  490      

Empresa Electrica Angamos S.A., Reg. S, 4.875%, 05/25/29

    480   
  400      

Empresa Nacional del Petroleo, Reg. S, 3.750%, 08/05/26

    399   
  245      

Enersis Americas S.A., 4.000%, 10/25/26

    244   
    

 

 

 
       1,747   
    

 

 

 
  

China — 0.2%

  

  200      

Tianjin Infrastructure Construction & Investment Group Co., Ltd., Reg. S, 2.750%, 06/15/19

    201   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Colombia — 1.1%

  

  200      

Banco de Bogota S.A., Reg. S, 6.250%, 05/12/26

    206   
  

Ecopetrol S.A.,

 
  540      

5.375%, 06/26/26

    542   
  200      

5.875%, 05/28/45

    176   
    

 

 

 
       924   
    

 

 

 
  

Hungary — 0.7%

  

  500      

MFB Magyar Fejlesztesi Bank Zrt, Reg. S, 6.250%, 10/21/20

    563   
    

 

 

 
  

India — 0.2%

  

  200      

Axis Bank Ltd., Reg. S, 2.875%, 06/01/21

    201   
    

 

 

 
  

Indonesia — 1.3%

  

  

Pertamina Persero PT,

 
  300      

Reg. S, 4.300%, 05/20/23

    311   
  400      

Reg. S, 5.625%, 05/20/43

    401   
  300      

Reg. S, 6.450%, 05/30/44

    330   
    

 

 

 
       1,042   
    

 

 

 
  

Israel — 0.3%

  

  200      

Israel Electric Corp., Ltd., Reg. S, Series 6, 5.000%, 11/12/24 (e)

    216   
    

 

 

 
  

Kazakhstan — 1.0%

  

  750      

KazMunayGas National Co. JSC, Reg. S, 6.375%, 04/09/21

    825   
    

 

 

 
  

Luxembourg — 0.7%

  

  180      

Gazprom OAO Via Gaz Capital S.A., Reg. S, 7.288%, 08/16/37

    205   
  200      

Klabin Finance S.A., Reg. S, 5.250%, 07/16/24

    195   
  200      

Millicom International Cellular S.A., Reg. S, 4.750%, 05/22/20

    200   
    

 

 

 
       600   
    

 

 

 
  

Malaysia — 0.7%

  

  180      

Petroliam Nasional Bhd, Reg. S, 7.625%, 10/15/26

    253   
  300      

Petronas Capital Ltd., Reg. S, 3.500%, 03/18/25

    317   
    

 

 

 
       570   
    

 

 

 
  

Mauritius — 0.5%

  

  200      

MTN Mauritius Investment Ltd., 5.373%, 02/13/22 (e)

    202   
  200      

UPL Corp. Ltd., 3.250%, 10/13/21 (e)

    200   
    

 

 

 
       402   
    

 

 

 
  

Mexico — 2.7%

  

  200      

Banco Mercantil del Norte S.A., 5.750%, 10/04/31 (e)

    193   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         5   


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Corporate Bonds — continued

 
  

Mexico — continued

  

  200      

Cemex S.A.B. de C.V., Reg. S, 6.125%, 05/05/25

    206   
  200      

Comision Federal de Electricidad, 4.750%, 02/23/27 (e)

    203   
  300      

Mexico City Airport Trust, 5.500%, 10/31/46 (e)

    293   
  

Petroleos Mexicanos,

 
  30      

5.500%, 06/27/44

    26   
  410      

6.500%, 06/02/41

    398   
  250      

6.625%, 06/15/35

    250   
  31      

6.750%, 09/21/47 (e)

    31   
  EUR          190      

Reg. S, 1.875%, 04/21/22

    201   
  180      

Reg. S, 6.875%, 08/04/26

    201   
  200      

Trust F/1401, Reg. S, 5.250%, 01/30/26

    207   
    

 

 

 
       2,209   
    

 

 

 
  

Morocco — 1.0%

  

  

OCP S.A.,

 
  600      

Reg. S, 4.500%, 10/22/25

    603   
  200      

Reg. S, 6.875%, 04/25/44

    219   
    

 

 

 
       822   
    

 

 

 
  

Netherlands — 3.3%

  

  200      

Listrindo Capital B.V., 4.950%, 09/14/26 (e)

    201   
  

Petrobras Global Finance B.V.,

 
  1,050      

5.375%, 01/27/21

    1,029   
  190      

8.375%, 05/23/21

    210   
  900      

8.750%, 05/23/26

    1,010   
  200      

VimpelCom Holdings B.V., Reg. S, 5.950%, 02/13/23

    206   
    

 

 

 
       2,656   
    

 

 

 
  

Panama — 0.2%

  

  200      

Global Bank Corp., 4.500%, 10/20/21 (e)

    199   
    

 

 

 
  

Peru — 0.5%

  

  200      

Banco de Credito del Peru, Reg. S, VAR, 6.125%, 04/24/27

    222   
  150      

Union Andina de Cementos SAA, Reg. S, 5.875%, 10/30/21

    155   
    

 

 

 
       377   
    

 

 

 
  

Philippines — 0.3%

  

  150      

Power Sector Assets & Liabilities Management Corp., Reg. S, 7.390%, 12/02/24

    201   
    

 

 

 
  

South Africa — 0.4%

  

  300      

Eskom Holdings SOC Ltd., Reg. S, 6.750%, 08/06/23

    310   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Trinidad and Tobago — 0.2%

  

  150      

Petroleum Co. of Trinidad & Tobago Ltd., Reg. S, 9.750%, 08/14/19

    166   
    

 

 

 
  

Turkey — 0.4%

  

  360      

Turkiye Is Bankasi, 5.500%, 04/21/22 (e)

    360   
    

 

 

 
  

United Arab Emirates — 0.9%

  

  630      

DP World Ltd., Reg. S, 6.850%, 07/02/37

    717   
    

 

 

 
  

United Kingdom — 1.6%

  

  200      

Bluestar Finance Holdings Ltd., Reg. S, 4.375%, 06/11/20

    210   
  200      

HKT Capital No. 4 Ltd., Reg. S, 3.000%, 07/14/26

    195   
  200      

Huarong Finance II Co., Ltd., Reg. S, 2.750%, 06/03/19

    201   
  150      

Sinochem Overseas Capital Co., Ltd., Reg. S, 4.500%, 11/12/20

    161   
  300      

Sinopec Group Overseas Development 2012 Ltd., Reg. S, 4.875%, 05/17/42

    335   
  200      

Vedanta Resources plc, Reg. S, 6.000%, 01/31/19

    198   
    

 

 

 
       1,300   
    

 

 

 
  

United States — 0.2%

  

  160      

Southern Copper Corp., 5.875%, 04/23/45

    159   
    

 

 

 
  

Venezuela — 0.5%

  

  

Petroleos de Venezuela S.A.,

 
  250      

Reg. S, 5.375%, 04/12/27

    91   
  520      

Reg. S, 6.000%, 11/15/26

    191   
  180      

Reg. S, 9.000%, 11/17/21

    89   
  100      

Reg. S, 12.750%, 02/17/22

    59   
    

 

 

 
       430   
    

 

 

 
  

Total Corporate Bonds
(Cost $22,003)

    21,683   
    

 

 

 

 

Foreign Government Securities — 67.8%

 
  

Angola — 1.0%

  

  810      

Republic of Angola, Reg. S, 9.500%, 11/12/25

    793   
    

 

 

 
  

Argentina — 5.6%

  

  450      

Provincia de Buenos Aires, Reg. S, 9.950%, 06/09/21

    512   
  

Republic of Argentina,

 
  ARS       4,500      

VAR, 25.416%, 03/01/18

    300   
  450      

Reg. S, 6.250%, 04/22/19

    477   
  1,570      

Reg. S, 6.875%, 04/22/21

    1,696   
  300      

Reg. S, 7.125%, 07/06/36

    309   
  660      

Reg. S, 7.500%, 04/22/26

    721   
  294      

Series NY, 8.280%, 12/31/33

    321   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Foreign Government Securities — continued

 
  

Argentina — continued

  

  300      

Series NY, SUB, 2.500%, 12/31/38

    204   
    

 

 

 
       4,540   
    

 

 

 
  

Azerbaijan — 0.6%

  

  300      

Republic of Azerbaijan, Reg. S, 4.750%, 03/18/24

    310   
  200      

State Oil Co. of the Azerbaijan Republic, Reg. S, 6.950%, 03/18/30

    216   
    

 

 

 
       526   
    

 

 

 
  

Belarus — 0.1%

  

  100      

Republic of Belarus, Reg. S, 8.950%, 01/26/18

    105   
    

 

 

 
  

Brazil — 2.4%

  

  

Brazil Notas do Tesouro Nacional,

 
  BRL       1,470      

Series F, 10.000%, 01/01/21

    442   
  BRL          859      

Series F, 10.000%, 01/01/25

    251   
  

Federative Republic of Brazil,

 
  450      

6.000%, 04/07/26

    496   
  600      

8.250%, 01/20/34

    753   
    

 

 

 
       1,942   
    

 

 

 
  

Cameroon — 0.4%

  

  300      

Republic of Cameroon, Reg. S, 9.500%, 11/19/25

    333   
    

 

 

 
  

Colombia — 1.3%

  

  

Republic of Colombia,

 
  600      

4.500%, 01/28/26

    641   
  300      

7.375%, 09/18/37

    384   
    

 

 

 
       1,025   
    

 

 

 
  

Costa Rica — 1.0%

  

  300      

Instituto Costarricense de Electricidad, Reg. S, 6.375%, 05/15/43

    259   
  500      

Republic of Costa Rica, Reg. S, 7.000%, 04/04/44

    522   
    

 

 

 
       781   
    

 

 

 
  

Croatia — 1.7%

  

  

Republic of Croatia,

 
  EUR          340      

Reg. S, 3.875%, 05/30/22

    402   
  900      

Reg. S, 6.625%, 07/14/20

    997   
    

 

 

 
       1,399   
    

 

 

 
  

Dominican Republic — 1.7%

  

  

Government of Dominican Republic,

 
  780      

Reg. S, 6.875%, 01/29/26

    860   
  450      

Reg. S, 7.450%, 04/30/44

    502   
    

 

 

 
       1,362   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Ecuador — 3.0%

  

  

Republic of Ecuador,

 
  600      

Reg. S, 7.950%, 06/20/24

    564   
  300      

Reg. S, 10.500%, 03/24/20

    317   
  1,430      

Reg. S, 10.750%, 03/28/22

    1,512   
    

 

 

 
       2,393   
    

 

 

 
  

Egypt — 0.3%

  

  300      

Egypt Government Bond, Reg. S, 5.875%, 06/11/25

    276   
    

 

 

 
  

El Salvador — 0.7%

 
  

Republic of El Salvador,

 
  150      

Reg. S, 6.375%, 01/18/27

    150   
  150      

Reg. S, 7.750%, 01/24/23

    164   
  225      

Reg. S, 8.250%, 04/10/32

    245   
    

 

 

 
       559   
    

 

 

 
  

Gabon — 0.5%

  

  400      

Republic of Gabonese, Reg. S, 6.375%, 12/12/24

    365   
    

 

 

 
  

Ghana — 1.5%

  

  

Republic of Ghana,

 
  800      

9.250%, 09/15/22 (e)

    828   
  340      

Reg. S, 10.750%, 10/14/30

    400   
    

 

 

 
       1,228   
    

 

 

 
  

Hungary — 1.8%

  

  

Republic of Hungary,

 
  580      

5.375%, 03/25/24

    667   
  HUF     77,480      

5.500%, 06/24/25

    332   
  424      

5.750%, 11/22/23

    494   
    

 

 

 
       1,493   
    

 

 

 
  

India — 0.6%

  

  500      

Export-Import Bank of India, Reg. S, 3.375%, 08/05/26

    495   
    

 

 

 
  

Indonesia — 2.5%

  

  

Republic of Indonesia,

 
  300      

Reg. S, 5.875%, 01/15/24

    348   
  300      

Reg. S, 5.950%, 01/08/46

    363   
  300      

Reg. S, 6.625%, 02/17/37

    377   
  IDR 5,230,000      

Series FR70, 8.375%, 03/15/24

    426   
  IDR 5,916,000      

Series FR71, 9.000%, 03/15/29

    502   
    

 

 

 
       2,016   
    

 

 

 
  

Iraq — 0.2%

  

  250      

Republic of Iraq, Reg. S, 5.800%, 01/15/28

    201   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         7   


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Foreign Government Securities — continued

 
  

Ivory Coast — 0.7%

  

  600      

Republic of Ivory Coast, Reg. S, 5.375%, 07/23/24

    605   
    

 

 

 
  

Jamaica — 0.7%

  

  

Government of Jamaica,

 
  300      

6.750%, 04/28/28

    338   
  200      

8.000%, 03/15/39

    234   
    

 

 

 
       572   
    

 

 

 
  

Jordan — 0.4%

  

  300      

Kingdom of Jordan, 5.750%, 01/31/27 (e)

    299   
    

 

 

 
  

Kazakhstan — 0.9%

  

  

Republic of Kazakhstan,

 
  300      

Reg. S, 5.125%, 07/21/25

    333   
  300      

Reg. S, 6.500%, 07/21/45

    358   
    

 

 

 
       691   
    

 

 

 
  

Kenya — 0.9%

  

  600      

Citigroup, Inc., CLN, 12.000%, 11/15/32 (linked to Republic of Kenya 20-Year Bond, 12.000%, 11/15/32; credit rating B)

    446   
  300      

Republic of Kenya, Reg. S, 6.875%, 06/24/24

    299   
    

 

 

 
       745   
    

 

 

 
  

Lebanon — 2.8%

  

  

Republic of Lebanon,

 
  1,000      

6.375%, 03/09/20

    1,005   
  275      

6.600%, 11/27/26

    267   
  190      

9.000%, 03/20/17

    191   
  362      

Reg. S, 5.450%, 11/28/19

    356   
  490      

Reg. S, 6.650%, 02/26/30

    473   
    

 

 

 
       2,292   
    

 

 

 
  

Lithuania — 0.9%

  

  

Republic of Lithuania,

 
  280      

Reg. S, 6.125%, 03/09/21

    326   
  300      

Reg. S, 6.625%, 02/01/22

    365   
    

 

 

 
       691   
    

 

 

 
  

Mexico — 2.3%

  

  569      

Petroleos Mexicanos, 6.750%, 09/21/47 (e)

    564   
  

United Mexican States,

 
  300      

3.600%, 01/30/25

    305   
  450      

5.550%, 01/21/45

    504   
  100      

5.750%, 10/12/10

    102   
  MXN       6,160      

Series M, 6.500%, 06/10/21

    333   
  MXN          800      

Series M, 7.750%, 05/29/31

    47   
    

 

 

 
       1,855   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Mongolia — 0.3%

  

  300      

Mongolia Government Bond, Reg. S, 5.125%, 12/05/22

    264   
    

 

 

 
  

Morocco — 0.3%

  

  200      

Kingdom of Morocco, Reg. S, 5.500%, 12/11/42

    225   
    

 

 

 
  

Namibia — 0.5%

  

  380      

Republic of Namibia, Reg. S, 5.250%, 10/29/25

    395   
    

 

 

 
  

Netherlands — 0.6%

  

  495      

Republic of Angola Via Northern Lights III B.V., Reg. S, 7.000%, 08/16/19

    493   
    

 

 

 
  

Oman — 1.1%

  

  910      

Oman Government Bond, Reg. S, 4.750%, 06/15/26

    916   
    

 

 

 
  

Pakistan — 0.8%

  

  

Republic of Pakistan,

 
  320      

Reg. S, 6.875%, 06/01/17

    327   
  300      

Reg. S, 8.250%, 04/15/24

    337   
    

 

 

 
       664   
    

 

 

 
  

Panama — 1.9%

  

  

Republic of Panama,

 
  400      

3.875%, 03/17/28

    424   
  300      

4.000%, 09/22/24

    322   
  250      

6.700%, 01/26/36

    331   
  300      

8.875%, 09/30/27

    441   
    

 

 

 
       1,518   
    

 

 

 
  

Paraguay — 0.8%

  

  

Republic of Paraguay,

 
  300      

Reg. S, 5.000%, 04/15/26

    323   
  300      

Reg. S, 6.100%, 08/11/44

    330   
    

 

 

 
       653   
    

 

 

 
  

Peru — 3.4%

  

  300      

Fondo MIVIVIENDA S.A., Reg. S, 3.500%, 01/31/23

    309   
  

Republic of Peru,

 
  300      

4.125%, 08/25/27

    333   
  600      

5.625%, 11/18/50

    759   
  300      

8.750%, 11/21/33

    472   
  PEN       1,291      

Reg. S, 6.900%, 08/12/37

    413   
  PEN       1,481      

Reg. S, 6.950%, 08/12/31

    479   
    

 

 

 
       2,765   
    

 

 

 
  

Philippines — 1.3%

  

  

Republic of Philippines,

 
  300      

3.950%, 01/20/40

    322   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  

 

Foreign Government Securities — continued

 
  

Philippines — continued

  

  150      

7.750%, 01/14/31

    226   
  340      

10.625%, 03/16/25

    542   
    

 

 

 
       1,090   
    

 

 

 
  

Poland — 1.1%

  

  

Republic of Poland,

 
  540      

3.250%, 04/06/26

    560   
  PLN       1,300      

Series 0721, 1.750%, 07/25/21

    320   
    

 

 

 
       880   
    

 

 

 
  

Romania — 0.6%

  

  450      

Republic of Romania, Reg. S, 4.875%, 01/22/24

    503   
    

 

 

 
  

Russia — 2.9%

  

  

Russian Federation,

 
  RUB     30,000      

7.000%, 01/25/23

    438   
  800      

Reg. S, 4.875%, 09/16/23

    859   
  600      

Reg. S, 5.000%, 04/29/20

    640   
  400      

Reg. S, 5.625%, 04/04/42

    441   
    

 

 

 
       2,378   
    

 

 

 
  

Serbia — 0.8%

  

  600      

Republic of Serbia, Reg. S, 7.250%, 09/28/21

    689   
    

 

 

 
  

Slovenia — 0.5%

  

  320      

Republic of Slovenia, Reg. S, 5.500%, 10/26/22

    369   
    

 

 

 
  

South Africa — 1.7%

  

  

Republic of South Africa,

 
  200      

5.500%, 03/09/20

    217   
  300      

5.875%, 09/16/25

    336   
  200      

6.250%, 03/08/41

    233   
  ZAR       8,409      

Series 2035, 8.875%, 02/28/35

    600   
    

 

 

 
       1,386   
    

 

 

 
  

Sri Lanka — 2.2%

  

  

Republic of Sri Lanka,

 
  900      

Reg. S, 6.250%, 07/27/21

    939   
  800      

Reg. S, 6.825%, 07/18/26

    844   
    

 

 

 
       1,783   
    

 

 

 
  

Thailand — 0.5%

  

  THB     16,354      

Thailand Government Bond, Reg. S, 1.250%, 03/12/28

    436   
    

 

 

 
    
  

Trinidad and Tobago — 0.4%

  

  300      

Republic of Trinidad & Tobago, Reg. S, 4.500%, 08/04/26

    305   
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Turkey — 3.5%

  

  

Republic of Turkey,

 
  300      

5.625%, 03/30/21

    317   
  900      

6.625%, 02/17/45

    1,008   
  600      

7.375%, 02/05/25

    702   
  TRY       2,340      

10.700%, 02/17/21

    783   
    

 

 

 
       2,810   
    

 

 

 
  

Ukraine — 3.4%

  

  

Republic of Ukraine,

 
  1,030      

Reg. S, 7.750%, 09/01/21

    1,016   
  220      

Reg. S, 7.750%, 09/01/23

    214   
  930      

Reg. S, 7.750%, 09/01/24

    895   
  650      

Reg. S, 7.750%, 09/01/27

    618   
    

 

 

 
       2,743   
    

 

 

 
  

Uruguay — 1.3%

  

  

Republic of Uruguay,

 
  300      

4.375%, 10/27/27

    318   
  350      

5.100%, 06/18/50

    348   
  300      

7.875%, 01/15/33

    416   
    

 

 

 
       1,082   
    

 

 

 
  

Venezuela — 0.7%

  

  

Republic of Venezuela,

 
  140      

9.250%, 09/15/27

    70   
  140      

9.375%, 01/13/34

    65   
  150      

Reg. S, 7.650%, 04/21/25

    64   
  160      

Reg. S, 7.750%, 10/13/19

    82   
  140      

Reg. S, 9.000%, 05/07/23

    63   
  170      

Reg. S, 11.750%, 10/21/26

    95   
  180      

Reg. S, 11.950%, 08/05/31

    100   
    

 

 

 
       539   
    

 

 

 
  

Zambia — 0.7%

  

  600      

Republic of Zambia, Reg. S, 8.970%, 07/30/27

    587   
    

 

 

 
  

Total Foreign Government Securities
(Cost $56,133)

    55,055   
    

 

 

 

 

Preferred Securities — 0.5% (x)

 
  

South Korea — 0.2%

  

  200      

Woori Bank, 4.500%, 09/27/21 (e)

    200   
    

 

 

 
  

United Kingdom — 0.3%

  

  200      

CCCI Treasure Ltd., Reg. S, VAR, 3.500%, 04/21/20

    204   
    

 

 

 
  

Total Preferred Securities
(Cost $405)

    404   
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         9   


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures and Options contracts)

 

NUMBER OF
CONTRACTS
     SECURITY DESCRIPTION   VALUE  

 

Options Purchased — 0.1%

 
  

Foreign Exchange Currency Options — 0.1%

  

  2,487,358      

CAD Put/USD Call, Expiring 11/15/16 @ 1.32 CAD to 1 USD, Vanilla, European Style

    47   
  510,686      

MXN Put/USD Call, Expiring 12/19/16 @ 20.14 MXN to 1 USD, Vanilla, European Style

    6   
    

 

 

 
  

Total Options Purchased
(Cost $26)

    53   
    

 

 

 
PRINCIPAL
AMOUNT
              

 

Short-Term Investments— 3.8%

 
  

Foreign Government Security — 0.3%

  

  

Argentina — 0.3%

  

  ARS       4,000      

Letras Del Banco Central De La Republica Argentina, 23.861%, 12/21/16 (n)

    255   
    

 

 

 

SHARES

     SECURITY DESCRIPTION   VALUE  
    
  

Investment Company — 3.5%

  

  2,803      

JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.660% (b) (l)

    2,803   
    

 

 

 
  

Total Short-Term Investments
(Cost $3,060)

    3,058   
    

 

 

 
  

Total Investments — 98.9%
(Cost $81,627)

    80,253   
  

Other Assets in Excess of
Liabilities — 1.1%

    873   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 81,126   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Short Futures Outstanding

                   
  (3     

Euro Bund

       12/08/16           EUR           (534        9   
  (35     

10 Year U.S. Treasury Note

       12/20/16           USD           (4,537        4   
  (33     

90-Day EuroDollar

       12/18/17           USD           (8,156        (2
                        

 

 

 
                           11   
                        

 

 

 

 

Forward Foreign Currency Exchange Contracts                                        
CONTRACTS
TO BUY
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  269      AUD   

Standard Chartered Bank

       12/20/16           202           205           3   
  140      AUD   

Westpac Banking Corp.

       12/20/16           107           106           (1
  509      BRL   

Citibank, N.A.†

       12/20/16           155           157           2   
  1,383      BRL   

Credit Suisse International†

       12/20/16           425           427           2   
  591      BRL   

HSBC Bank, N.A.†

       12/20/16           180           182           2   
  678      BRL   

TD Bank Financial Group†

       12/20/16           207           209           2   
  630      BRL   

Goldman Sachs International†

       01/20/17           194           193           (1
  670      BRL   

HSBC Bank, N.A.†

       01/20/17           203           205           2   
  538      CAD   

Royal Bank of Canada

       12/20/16           409           401           (8
  141,085      CLP   

Goldman Sachs International†

       01/20/17           214           215           1   
  2,739      CNH   

Goldman Sachs International

       12/20/16           406           403           (3
  10,635      CNY   

HSBC Bank, N.A.†

       12/20/16           1,585           1,563           (22
  622,352      COP   

Credit Suisse International†

       12/20/16           211           206           (5
  2,672,246      COP   

Goldman Sachs International†

       12/20/16           907           882           (25
  597,265      COP   

HSBC Bank, N.A.†

       12/20/16           199           197           (2
  597,050      COP   

Credit Suisse International†

       01/20/17           201           196           (5

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
CONTRACTS
TO BUY
    CURRENCY      COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  362        EUR      

HSBC Bank, N.A.

       12/20/16           408           398           (10
  564        EUR      

Societe Generale

       12/20/16           631           621           (10
  187        EUR      

Goldman Sachs International

       01/20/17           206           206           (h) 
  144,647        HUF      

Credit Suisse International

       12/20/16           524           515           (9
  849,252        HUF      

State Street Corp.

       12/20/16           3,094           3,021           (73
  5,608,561        IDR      

HSBC Bank, N.A.†

       12/20/16           425           427           2   
  22,746,750        IDR      

HSBC Bank, N.A.†

       05/15/17           1,703           1,696           (7
  13,882        INR      

Goldman Sachs International†

       12/20/16           205           206           1   
  27,323        INR      

HSBC Bank, N.A.†

       12/20/16           406           407           1   
  13,748        INR      

Standard Chartered Bank†

       01/20/17           204           204           (h) 
  20,984        JPY      

Goldman Sachs International

       12/20/16           210           201           (9
  52,356        JPY      

HSBC Bank, N.A.

       12/20/16           515           500           (15
  229,964        KRW      

HSBC Bank, N.A.†

       01/20/17           202           201           (1
  50,884        MXN      

Citibank, N.A.

       12/20/16           2,614           2,678           64   
  10,549        MXN      

Societe Generale

       12/20/16           553           555           2   
  2,268        MYR      

Merrill Lynch International†

       12/20/16           539           539           (h) 
  283        NZD      

Westpac Banking Corp.

       12/20/16           205           202           (3
  13,486        PHP      

Citibank, N.A.†

       12/20/16           279           278           (1
  4,408        PLN      

Societe Generale

       12/20/16           1,145           1,122           (23
  21,757        PLN      

State Street Corp.

       12/20/16           5,662           5,541           (121
  786        PLN      

HSBC Bank, N.A.

       01/20/17           204           200           (4
  13,340        RUB      

Credit Suisse International†

       12/20/16           201           208           7   
  13,522        RUB      

Goldman Sachs International†

       12/20/16           205           210           5   
  54,441        RUB      

HSBC Bank, N.A.†

       12/20/16           850           847           (3
  13,070        RUB      

Credit Suisse International†

       01/20/17           205           202           (3
  12,872        RUB      

Standard Chartered Bank†

       01/20/17           200           199           (1
  280        SGD      

HSBC Bank, N.A.

       12/20/16           205           201           (4
  542        SGD      

Royal Bank of Canada

       12/20/16           400           390           (10
  2,448        TRY      

Barclays Bank plc

       12/20/16           783           783           (h) 
  21,225        TRY      

Citibank, N.A.

       12/20/16           6,915           6,788           (127
  611        TRY      

HSBC Bank, N.A.

       12/20/16           200           195           (5
  59,639        ZAR      

BNP Paribas

       12/20/16           4,309           4,379           70   
  17,122        ZAR      

Goldman Sachs International

       12/20/16           1,232           1,257           25   
  9,379        ZAR      

State Street Corp.

       12/20/16           648           689           41   
                 42,092           41,813           (279

 

 

 

 

CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  269      AUD   

Westpac Banking Corp.

       12/20/16           206           205           1   
  2,855      BRL   

HSBC Bank, N.A.†

       12/20/16           881           881           (h) 
  678      BRL   

TD Bank Financial Group†

       12/20/16           205           209           (4
  665      BRL   

Credit Suisse International†

       01/20/17           205           204           1   
  538      CAD   

Goldman Sachs International

       12/20/16           409           401           8   
  540      CAD   

Royal Bank of Canada

       12/20/16           411           403           8   
  269      CAD   

State Street Corp.

       12/20/16           205           201           4   
  269      CAD   

TD Bank Financial Group

       12/20/16           209           200           9   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         11   


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

CONTRACTS
TO SELL
    CURRENCY      COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  138,107        CLP      

Credit Suisse International†

       01/20/17           205           210           (5
  136,981        CLP      

Goldman Sachs International†

       01/20/17           202           208           (6
  2,739        CNH      

HSBC Bank, N.A.

       12/20/16           408           403           5   
  10,635        CNY      

HSBC Bank, N.A.†

       12/20/16           1,584           1,562           22   
  5,251        CNY      

Standard Chartered Bank†

       01/20/17           774           770           4   
  597,265        COP      

Goldman Sachs International†

       12/20/16           204           197           7   
  1,509,100        COP      

HSBC Bank, N.A.†

       12/20/16           516           498           18   
  622,352        COP      

TD Bank Financial Group†

       12/20/16           209           206           3   
  186        EUR      

Credit Suisse International

       12/20/16           211           205           6   
  738        EUR      

Royal Bank of Canada

       12/20/16           830           812           18   
  559        EUR      

Royal Bank of Canada

       01/20/17           617           616           1   
  1,074,446        HUF      

Barclays Bank plc

       12/20/16           3,909           3,822           87   
  22,090,579        IDR      

HSBC Bank, N.A.†

       12/20/16           1,688           1,683           5   
  22,746,750        IDR      

Deutsche Bank AG†

       05/15/17           1,612           1,696           (84
  41,732        JPY      

HSBC Bank, N.A.

       12/20/16           412           399           13   
  21,139        JPY      

Goldman Sachs International

       01/20/17           205           202           3   
  229,964        KRW      

HSBC Bank, N.A.†

       01/20/17           205           201           4   
  60,044        MXN      

Barclays Bank plc

       12/20/16           3,077           3,159           (82
  543        MYR      

HSBC Bank, N.A.†

       12/20/16           131           129           2   
  283        NZD      

Goldman Sachs International

       12/20/16           206           203           3   
  282        NZD      

Westpac Banking Corp.

       12/20/16           204           201           3   
  13,533        PHP      

HSBC Bank, N.A.†

       12/20/16           279           278           1   
  27,550        PLN      

Barclays Bank plc

       12/20/16           7,170           7,016           154   
  789        PLN      

Royal Bank of Canada

       12/20/16           203           200           3   
  13,396        RUB      

Citibank, N.A.†

       12/20/16           211           208           3   
  13,467        RUB      

Goldman Sachs International†

       12/20/16           209           209           (h) 
  36,638        RUB      

HSBC Bank, N.A.†

       12/20/16           582           571           11   
  542        SGD      

HSBC Bank, N.A.

       12/20/16           397           390           7   
  15,584        THB      

Societe Generale

       12/20/16           442           445           (3
  25,412        TRY      

HSBC Bank, N.A.

       12/20/16           8,275           8,127           148   
  637        TRY      

Goldman Sachs International

       01/20/17           205           203           2   
  90,179        ZAR      

HSBC Bank, N.A.

       12/20/16           6,515           6,622           (107
            44,628           44,355           273   

 

 

 

Credit Default Swap — Buy Protection [1]

Corporate and Sovereign Issuers:

 

SWAP COUNTERPARTY/

REFERENCE OBLIGATION

  FUND RECEIVES
FIXED RATE
(r)
 

TERMINATION

DATE

   

IMPLIED CREDIT

SPREAD

AS OF
OCTOBER 31, 2016 
[2]

    NOTIONAL
AMOUNT 
[3]
    VALUE     UPFRONT
PREMIUMS (PAID)/
RECEIVED 
[4]
 

Citibank, N.A.:

           

Russian Federation, 2.250%, 03/31/30

  1.000% quarterly     12/20/21        2.207     3,000        169        (169
         

 

 

   

 

 

 

 

[1] 

The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
[2] 

Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index.

[3] 

The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event.

[4] 

Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:

 

ARS  

—  Argentina Peso

AUD  

—  Australian Dollar

BRL  

—  Brazilian Real

CAD  

—  Canadian Dollar

CLN  

—  Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of October 31, 2016. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate.

CLP  

—  Chilean Peso

CNH  

—  China Renminbi

CNY  

—  China Yuan

COP  

—  Colombian Peso

EUR  

—  Euro

HUF  

—  Hungarian Forint

IDR  

—  Indonesian Rupiah

INR  

—  Indian Rupee

JPY  

—  Japanese Yen

KRW  

—  Korean Republic Won

MXN  

—  Mexican Peso

MYR  

—  Malaysian Ringgit

NZD  

—  New Zealand Dollar

PEN  

—  Peruvian Nuevo Sol

PHP  

—  Philippine Peso

PLN  

—  Polish Zloty

Reg. S  

—  Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration.

RUB  

—  Russian Ruble

SGD  

—  Singapore Dollar

SUB  

—  Step-Up Bond. The interest rate shown is the rate in effect as of October 31, 2016.

THB  

—  Thai Baht

TRY  

—  Turkish Lira

USD  

—  United States Dollar

VAR  

—  Variable Rate Security. The interest rate shown is the rate in effect as of October 31, 2016.

ZAR  

—  South African Rand

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(h)  

—  Amount rounds to less than 500.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

(n)  

—  The rate shown is the effective yield at the date of purchase.

(r)  

—  Rates shown are per annum and payments are as described.

(x)  

—  Securities are perpetual and thus, do not have a predetermined maturity date. The coupon rates for these securities are fixed for a period of time and may be structured to adjust thereafter. The dates shown, if applicable, reflects the next call date. The coupon rates shown are the rates in effect as of October 31, 2016.

 

—  Non-deliverable forward. See Note 2.C. in the Notes to Financial Statements.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         13   


Table of Contents

STATEMENT OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

(Amounts in thousands, except per share amounts)

 

       

Emerging Markets
Strategic
Debt Fund

 

ASSETS:

  

Investments in non-affiliates, at value

     $ 77,450   

Investments in affiliates, at value

       2,803   
    

 

 

 

Total investment securities, at value

       80,253   

Cash

       390   

Foreign currency, at value

       95   

Deposits at broker for futures contracts

       113   

Receivables:

    

Due from custodian

       1,324   

Investment securities sold

       335   

Fund shares sold

       3   

Interest and dividends from non-affiliates

       1,170   

Dividends from affiliates

       3   

Tax reclaims

       16   

Unrealized appreciation on forward foreign currency exchange contracts

       796   

Outstanding swap contracts, at value

       169   

Due from Broker

       65   
    

 

 

 

Total Assets

       84,732   
    

 

 

 

LIABILITIES:

    

Payables:

    

Investment securities purchased

       2,548   

Fund shares redeemed

       1   

Variation margin on futures contracts

       4   

Unrealized depreciation on forward foreign currency exchange contracts

       802   

Accrued liabilities:

    

Investment advisory fees

       25   

Distribution fees

       (a) 

Shareholder servicing fees

       1   

Custodian and accounting fees

       30   

Collateral management fees

       8   

Trustees’ and Chief Compliance Officer’s fees

       (a) 

Other

       187   
    

 

 

 

Total Liabilities

       3,606   
    

 

 

 

Net Assets

     $ 81,126   
    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
            
Emerging Markets
Strategic
Debt Fund
 

NET ASSETS:

  

Paid-in-Capital

     $ 97,749   

Accumulated undistributed (distributions in excess of) net investment income

       (409

Accumulated net realized gains (losses)

       (14,843

Net unrealized appreciation (depreciation)

       (1,371
    

 

 

 

Total Net Assets

     $ 81,126   
    

 

 

 

Net Assets:

    

Class A

     $ 1,036   

Class C

       52   

Class R2

       20   

Class R5

       20   

Class R6

       76,275   

Select Class

       3,723   
    

 

 

 

Total

     $ 81,126   
    

 

 

 

Outstanding units of beneficial interest (shares)

    

($0.0001 par value; unlimited number of shares authorized):

    

Class A

       127   

Class C

       7   

Class R2

       2   

Class R5

       2   

Class R6

       9,169   

Select Class

       451   

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 8.18   

Class C — Offering price per share (b)

       8.05   

Class R2 — Offering and redemption price per share

       8.12   

Class R5 — Offering and redemption price per share

       8.31   

Class R6 — Offering and redemption price per share

       8.32   

Select Class — Offering and redemption price per share

       8.25   

Class A maximum sales charge

       3.75

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 8.50   
    

 

 

 

Cost of investments in non-affiliates

     $ 78,824   

Cost of investments in affiliates

       2,803   

Cost of foreign currency

       95   

Premiums paid on swaps

       169   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         15   


Table of Contents

STATEMENT OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

(Amounts in thousands)

 

       

Emerging Markets
Strategic
Debt Fund

 

INVESTMENT INCOME:

  

Interest income from non-affiliates

     $ 4,474   

Interest income from affiliates

       1   

Dividend income from affiliates

       79   

Foreign taxes withheld

       (112
    

 

 

 

Total investment income

       4,442   
    

 

 

 

EXPENSES:

    

Investment advisory fees

       654   

Administration fees

       77   

Distribution fees:

    

Class A

       14   

Class C

       (a) 

Class R2

       (a) 

Shareholder servicing fees:

    

Class A

       14   

Class C

       (a) 

Class R2

       (a) 

Class R5

       (a) 

Select Class

       10   

Custodian and accounting fees

       155   

Interest expense to affiliates

       (a) 

Professional fees

       114   

Collateral management fees

       25   

Trustees’ and Chief Compliance Officer’s fees

       15   

Printing and mailing costs

       47   

Registration and filing fees

       57   

Transfer agency fees (See Note 2.F.)

       7   

Sub-transfer agency fees (See Note 2.F.)

       42   

Other

       8   
    

 

 

 

Total expenses

       1,239   
    

 

 

 

Less fees waived

       (581

Less expense reimbursements

       (32
    

 

 

 

Net expenses

       626   
    

 

 

 

Net investment income (loss)

       3,816   
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       (27,923

Futures

       (83

Foreign currency transactions

       (2,263

Options written

       66   

Swaps

       71   
    

 

 

 

Net realized gain (loss)

       (30,132
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       26,866   

Investments in affiliates

       (a) 

Futures

       (7

Foreign currency translations

       1,551   

Swaps

       403   
    

 

 

 

Change in net unrealized appreciation/depreciation

       28,813   
    

 

 

 

Net realized/unrealized gains (losses)

       (1,319
    

 

 

 

Change in net assets resulting from operations

     $ 2,497   
    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

     Emerging Markets Strategic
Debt Fund
 
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

    

Net investment income (loss)

   $ 3,816      $ 11,647   

Net realized gain (loss)

     (30,132     (51,896

Change in net unrealized appreciation/depreciation

     28,813        (19,971
  

 

 

   

 

 

 

Change in net assets resulting from operations

     2,497        (60,220
  

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

    

Class A

    

Return of capital

            (12

Class R5

    

From net investment income

            (a) 

Return of capital

            (a) 

Class R6

    

From net investment income

            (62

Return of capital

            (104

Select Class

    

From net investment income

            (1

Return of capital

            (86
  

 

 

   

 

 

 

Total distributions to shareholders

            (265
  

 

 

   

 

 

 

CAPITAL TRANSACTIONS:

    

Change in net assets resulting from capital transactions

     (113,392     (61,596
  

 

 

   

 

 

 

NET ASSETS:

    

Change in net assets

     (110,895     (122,081

Beginning of period

     192,021        314,102   
  

 

 

   

 

 

 

End of period

   $ 81,126      $ 192,021   
  

 

 

   

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

   $ (409   $ 986   
  

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         17   


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     Emerging Markets Strategic
Debt Fund
 
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

    

Class A

    

Proceeds from shares issued

   $ 4,105      $ 18,885   

Distributions reinvested

            5   

Cost of shares redeemed

     (29,577     (11,352
  

 

 

   

 

 

 

Change in net assets resulting from Class A capital transactions

   $ (25,472   $ 7,538   
  

 

 

   

 

 

 

Class C

    

Proceeds from shares issued

   $ 31      $ (a) 

Cost of shares redeemed

            (27
  

 

 

   

 

 

 

Change in net assets resulting from Class C capital transactions

   $ 31      $ (27
  

 

 

   

 

 

 

Class R2

    

Proceeds from shares issued

   $ (a)    $ (a) 

Cost of shares redeemed

     (a)      (21
  

 

 

   

 

 

 

Change in net assets resulting from Class R2 capital transactions

   $ (a)    $ (21
  

 

 

   

 

 

 

Class R5

    

Proceeds from shares issued

   $ (a)    $ (a) 

Distributions reinvested

            (a) 

Cost of shares redeemed

     (a)      (22
  

 

 

   

 

 

 

Change in net assets resulting from Class R5 capital transactions

   $ (a)    $ (22
  

 

 

   

 

 

 

Class R6

    

Proceeds from shares issued

   $ 21,768      $ 15,613   

Distributions reinvested

            160   

Cost of shares redeemed

     (83,800     (4,667
  

 

 

   

 

 

 

Change in net assets resulting from Class R6 capital transactions

   $ (62,032   $ 11,106   
  

 

 

   

 

 

 

Select Class

    

Proceeds from shares issued

   $ 4,088      $ 1,904   

Distributions reinvested

            87   

Cost of shares redeemed

     (30,007     (82,161
  

 

 

   

 

 

 

Change in net assets resulting from Select Class capital transactions

   $ (25,919   $ (80,170
  

 

 

   

 

 

 

Total change in net assets resulting from capital transactions

   $ (113,392   $ (61,596
  

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
     Emerging Markets Strategic
Debt Fund
 
      Year Ended
October 31, 2016
    Year Ended
October 31, 2015
 

SHARE TRANSACTIONS:

    

Class A

    

Issued

     544        2,288   

Reinvested

            1   

Redeemed

     (4,056     (1,374
  

 

 

   

 

 

 

Change in Class A Shares

     (3,512     915   
  

 

 

   

 

 

 

Class C

    

Issued

     4          

Redeemed

            (3
  

 

 

   

 

 

 

Change in Class C Shares

     4        (3
  

 

 

   

 

 

 

Class R2

    

Redeemed

            (3
  

 

 

   

 

 

 

Change in Class R2 Shares

            (3
  

 

 

   

 

 

 

Class R5

    

Reinvested

            (a) 

Redeemed

            (3
  

 

 

   

 

 

 

Change in Class R5 Shares

            (3
  

 

 

   

 

 

 

Class R6

    

Issued

     2,815        1,836   

Reinvested

            18   

Redeemed

     (11,296     (556
  

 

 

   

 

 

 

Change in Class R6 Shares

     (8,481     1,298   
  

 

 

   

 

 

 

Select Class

    

Issued

     518        233   

Reinvested

            10   

Redeemed

     (3,933     (10,889
  

 

 

   

 

 

 

Change in Select Class Shares

     (3,415     (10,646
  

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         19   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Return of
capital
    Total
distributions
 

Emerging Markets Strategic Debt Fund

  

              

Class A

                 

Year Ended October 31, 2016

   $ 7.56       $ 0.28 (f)    $ 0.34 (g)    $ 0.62      $      $      $      $   

Year Ended October 31, 2015

     9.30         0.31 (f)(h)      (2.05     (1.74                   (i)      (i) 

Year Ended October 31, 2014

     9.69         0.39 (f)      (0.78     (0.39                            

Year Ended October 31, 2013

     10.27         0.33 (f)      (0.76     (0.43     (0.03     (0.01     (0.11     (0.15

June 29, 2012 (k) through October 31, 2012

     10.00         0.11        0.21        0.32        (0.05                   (0.05

Class C

                 

Year Ended October 31, 2016

     7.47         0.24 (f)      0.34 (g)      0.58                               

Year Ended October 31, 2015

     9.23         0.28 (f)(h)      (2.04     (1.76                            

Year Ended October 31, 2014

     9.67         0.33 (f)      (0.77     (0.44                            

Year Ended October 31, 2013

     10.27         0.27 (f)      (0.75     (0.48     (0.03     (0.01     (0.08     (0.12

June 29, 2012 (k) through October 31, 2012

     10.00         0.09        0.22        0.31        (0.04                   (0.04

Class R2

                 

Year Ended October 31, 2016

     7.52         0.26 (f)      0.34 (g)      0.60                               

Year Ended October 31, 2015

     9.27         0.30 (f)(h)      (2.05     (1.75                            

Year Ended October 31, 2014

     9.68         0.35 (f)      (0.76     (0.41                            

Year Ended October 31, 2013

     10.27         0.30 (f)      (0.75     (0.45     (0.04     (0.01     (0.09     (0.14

June 29, 2012 (k) through October 31, 2012

     10.00         0.10        0.21        0.31        (0.04                   (0.04

Class R5

                 

Year Ended October 31, 2016

     7.64         0.32 (f)      0.35 (g)      0.67                               

Year Ended October 31, 2015

     9.36         0.37 (f)(h)      (2.08     (1.71     (i)             (0.01     (0.01

Year Ended October 31, 2014

     9.71         0.42 (f)      (0.77     (0.35                            

Year Ended October 31, 2013

     10.27         0.37 (f)      (0.75     (0.38     (0.04     (0.01     (0.13     (0.18

June 29, 2012 (k) through October 31, 2012

     10.00         0.12        0.22        0.34        (0.07                   (0.07

Class R6

                 

Year Ended October 31, 2016

     7.65         0.32 (f)      0.35 (g)      0.67                               

Year Ended October 31, 2015

     9.37         0.36 (f)(h)      (2.07     (1.71     (i)             (0.01     (0.01

Year Ended October 31, 2014

     9.72         0.43 (f)      (0.78     (0.35                            

Year Ended October 31, 2013

     10.27         0.38 (f)      (0.75     (0.37     (0.04     (0.01     (0.13     (0.18

June 29, 2012 (k) through October 31, 2012

     10.00         0.13        0.21        0.34        (0.07                   (0.07

Select Class

                 

Year Ended October 31, 2016

     7.61         0.31 (f)      0.33 (g)      0.64                               

Year Ended October 31, 2015

     9.33         0.34 (f)(h)      (2.05     (1.71     (i)             (0.01     (0.01

Year Ended October 31, 2014

     9.70         0.40 (f)      (0.77     (0.37                            

Year Ended October 31, 2013

     10.27         0.36 (f)      (0.76     (0.40     (0.04     (0.01     (0.12     (0.17

June 29, 2012 (k) through October 31, 2012

     10.00         0.12        0.21        0.33        (0.06                   (0.06

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statement of Changes in Net Assets due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.
(h) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(i) Amount rounds to less than $0.005.
(j) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2012 and for the year ended October 31, 2013.
(k) Commencement of operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
        
Net assets,
end of
period
(000’s)
    Net
expenses (d)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)(e)
 
           
           
$ 8.18        8.20   $ 1,036        1.13     3.70     2.43     189
  7.56        (18.67     27,511        1.16        3.75 (h)      1.91        134   
  9.30        (4.02     25,334        1.21        4.06        1.41        145   
  9.69        (4.26     170        1.21 (j)      3.33 (i)      1.59 (j)      221   
  10.27        3.22        52        1.25 (j)      3.23 (i)      5.26 (j)      65   
           
  8.05        7.76        52        1.63        3.14        3.65        189   
  7.47        (19.07     18        1.67        3.37 (h)      2.24        134   
  9.23        (4.55     54        1.71        3.48        2.04        145   
  9.67        (4.75     49        1.72 (j)      2.72 (i)      2.31 (j)      221   
  10.27        3.06        51        1.75 (j)      2.73 (i)      5.75 (j)      65   
           
  8.12        7.98        20        1.38        3.37        4.61        189   
  7.52        (18.88     18        1.41        3.61 (h)      2.00        134   
  9.27        (4.24     47        1.46        3.71        1.80        145   
  9.68        (4.53     49        1.47 (j)      2.97 (i)      2.06 (j)      221   
  10.27        3.14        51        1.50 (j)      2.98 (i)      5.50 (j)      65   
           
  8.31        8.77        20        0.68        4.07        3.86        189   
  7.64        (18.29     19        0.71        4.31 (h)      1.29        134   
  9.36        (3.60     48        0.76        4.41        1.10        145   
  9.71        (3.82     50        0.77 (j)      3.67 (i)      1.36 (j)      221   
  10.27        3.36        52        0.80 (j)      3.68 (i)      4.80 (j)      65   
           
  8.32        8.76        76,275        0.63        4.12        1.25        189   
  7.65        (18.26     135,050        0.66        4.29 (h)      0.97        134   
  9.37        (3.60     153,222        0.71        4.51        0.93        145   
  9.72        (3.70     9,086        0.71 (j)      3.75 (i)      1.11 (j)      221   
  10.27        3.38        52        0.75 (j)      3.73 (i)      4.75 (j)      65   
           
  8.25        8.41        3,723        0.89        3.99        1.51        189   
  7.61        (18.38     29,405        0.92        4.04 (h)      1.21        134   
  9.33        (3.81     135,397        0.96        4.21        1.30        145   
  9.70        (4.03     141,078        0.97 (j)      3.63 (i)      1.46 (j)      221   
  10.27        3.29        10,069        1.00 (j)      3.48 (i)      5.00 (j)      65   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         21   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Emerging Markets Strategic Debt Fund    Class A, Class C, Class R2, Class R5, Class R6 and Select Class    Non-Diversified

Effective September 30, 2016, Emerging Markets Local Currency Debt Fund changed its name to Emerging Markets Strategic Debt Fund.

The investment objective of the Fund is to seek to provide total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Fund’s administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Fund’s administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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.

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 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

 

 
22       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.

Futures and options are generally valued on the basis of available market quotations. Swaps and 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 tables represent each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):

 

      Level 1
Quoted prices
     Level 2
Other significant
observable inputs
     Level 3
Significant
unobservable inputs
     Total  

Investments in Securities

  

Debt Securities

           

Corporate Bonds

           

Argentina

   $       $ 1,107       $       $ 1,107   

Austria

             197                 197   

Bermuda

             980                 980   

Brazil

             853                 853   

Cayman Islands

             1,349                 1,349   

Chile

             1,747                 1,747   

China

             201                 201   

Colombia

             924                 924   

Hungary

             563                 563   

India

             201                 201   

Indonesia

             1,042                 1,042   

Israel

             216                 216   

Kazakhstan

             825                 825   

Luxembourg

             600                 600   

Malaysia

             570                 570   

Mauritius

             402                 402   

Mexico

             2,209                 2,209   

Morocco

             822                 822   

Netherlands

             2,656                 2,656   

Panama

             199                 199   

Peru

             377                 377   

Philippines

             201                 201   

South Africa

             310                 310   

Trinidad and Tobago

             166                 166   

Turkey

             360                 360   

United Arab Emirates

             717                 717   

United Kingdom

             1,300                 1,300   

United States

             159                 159   

Venezuela

             430                 430   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Corporate Bonds

             21,683                 21,683   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         23   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

      Level 1
Quoted prices
    Level 2
Other significant
observable inputs
    Level 3
Significant
unobservable inputs
    Total  

Preferred Securities

        

South Korea

   $      $ 200      $      $ 200   

United Kingdom

            204               204   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Preferred Securities

            404               404   
  

 

 

   

 

 

   

 

 

   

 

 

 

Foreign Government Securities

            54,609        446        55,055   

Options Purchased

        

Call Options Purchased

            53               53   

Short-Term Investment

        

Foreign Government Security

            255               255   

Investment Company

     2,803                      2,803   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

   $ 2,803      $ 77,004      $ 446   $ 80,253   
  

 

 

   

 

 

   

 

 

   

 

 

 

Appreciation in Other Financial Instruments

        

Forward Foreign Currency Exchange Contracts

   $      $ 796      $      $ 796   

Futures Contracts

     13                      13   

Swap

            (a)             (a) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Appreciation in Other Financial Instruments

   $ 13      $ 796      $      $ 809   
  

 

 

   

 

 

   

 

 

   

 

 

 

Depreciation in Other Financial Instruments

        

Forward Foreign Currency Exchange Contracts

   $      $ (802   $      $ (802

Futures Contracts

     (2                   (2
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Depreciation in Other Financial Instruments

   $ (2   $ (802   $  —      $ (804
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.
* Level 3 investment that is valued by brokers and pricing services. At October 31, 2016, the value of this investment was approximately $446,000. The inputs for this investment are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A.

There were no transfers among any levels during the year ended October 31, 2016.

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 October 31, 2015
    Realized
gain (loss)
    Change in
net unrealized
appreciation
(depreciation)
    Net
accretion
(amortization)
    Purchases1     Sales2     Transfers
into Level 3
    Transfers
out of
Level 3
    Balance as
of October 31, 2016
 

Debt Securities — Foreign Government Securities

  $ 439      $      $ 7      $      $      $      $      $      $ 446   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 439      $      $ 7      $      $      $      $      $      $ 446   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(1) 

Purchases include all purchases of securities and securities received in corporate actions.

(2) 

Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

The change in unrealized appreciation (depreciation) attributable to securities owned at October 31, 2016, which were valued using significant unobservable inputs (level 3), amounted to approximately $7,000. These amounts are included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Fund.

As of October 31, 2016, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A or Regulation S under the Securities Act.

C. Derivatives — The Fund used instruments including futures, forward foreign currency exchange contracts, options, swaps and other derivatives in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge

 

 
24       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

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 lack of a liquid market for these contracts allowing the 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 its value, as recorded on the Statement of Assets and Liabilities.

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 the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and 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 with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes C(1) — C(4) below describe the various derivatives used by the Fund.

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

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

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

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

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

Transactions in options written during the year ended October 31, 2016 were as follows (amounts in thousands):

 

     Foreign Exchange Currency Options  
      Notional
Amount
    Premiums
Received
 

Options outstanding at October 31, 2015

   $      $   

Options written

     8,238        66   

Options expired

     (4,753     (49

Options closed

     (3,485     (17
  

 

 

   

 

 

 

Options outstanding at October 31, 2016

   $      $   
  

 

 

   

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         25   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Fund’s exchange traded options contracts are not subject to master netting agreements (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.

(2). Futures Contracts — The Fund used treasury, index or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.

The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(3). Forward Foreign Currency Exchange Contracts — The Fund may be 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. Dollar without the delivery of 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 when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

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). As of October 31, 2016, the Fund did not receive or post collateral for forward foreign currency exchange contracts.

(4). Swaps — The Fund engaged in various swap transactions, including credit default and interest rate swaps to manage credit and interest rate (e.g., duration, yield curve) risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively on the Statement of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statement of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statement of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statement of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/ depreciation on the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money

 

 
26       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

market fund, otherwise the cash collateral is included on the Statement of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.G.).

As of October 31, 2016, the Fund did not post or receive collateral for outstanding swap contracts.

Credit Default Swaps

The Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statement of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

Interest Rate Swaps

The Fund entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.

(5). Summary of Derivatives Information — The following table presents the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities (amounts in thousands):

 

Derivative Contracts   Statement of Assets and Liabilities  
Gross Assets:        Options (a)     Futures
Contracts 
(b)
    Forward Foreign
Currency Exchange
Contracts
    OTC Swaps     Total  

Interest rate contracts

  Receivables, Net Assets — Unrealized Appreciation   $      $ 13      $      $      $ 13   

Foreign exchange contracts

  Receivables     53               796               849   

Credit contracts

  Receivables                          169        169   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

    $ 53      $ 13      $ 796      $ 169      $ 1,031   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross Liabilities:

                                 

Interest rate contracts

  Payables, Net Assets — Unrealized Depreciation   $      $ (2   $      $      $ (2

Foreign exchange contracts

  Payables                   (802            (802

Credit contracts

  Payables                                   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

    $      $ (2   $ (802   $      $ (804
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) The market value of options purchased is reported as Investments in non-affiliates, at value on the Statement of Assets and Liabilities.
(b) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         27   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of October 31, 2016 (amounts in thousands):

 

Counterparty    Gross Amount of
Derivative Assets
Subject to  Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities
(a)
     Derivatives
Available
for Offset
   

Collateral

Received

     Net Amount Due
From Counterparty
(Not less than zero)
 

Barclays Bank plc

   $ 241       $ (82   $       $ 159   

BNP Paribas

     70                        70   

Citibank, N.A.

     238         (128             110   

Credit Suisse International

     16         (16               

Goldman Sachs International

     55         (44             11   

HSBC Bank, N.A.

     243         (180             63   

Royal Bank of Canada

     30         (18             12   

Societe Generale

     2         (2               

Standard Chartered Bank

     7         (1             6   

State Street Corp.

     45         (45               

TD Bank Financial Group

     14         (4             10   

Westpac Banking Corp.

     4         (4               
  

 

 

    

 

 

   

 

 

    

 

 

 
   $ 965       $ (524   $       $ 441   
  

 

 

    

 

 

   

 

 

    

 

 

 
Counterparty    Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities
(a)
     Derivatives
Available
for Offset
   

Collateral

Posted

     Net Amount Due
To Counterparty
(Not less than zero)
 

Barclays Bank plc

   $ 82       $ (82   $       $   

Citibank, N.A.

     128         (128               

Credit Suisse International

     27         (16             11   

Deutsche Bank AG

     84                        84   

Goldman Sachs International

     44         (44               

HSBC Bank, N.A.

     180         (180               

Royal Bank of Canada

     18         (18               

Societe Generale

     36         (2             34   

Standard Chartered Bank

     1         (1               

State Street Corp.

     194         (45             149   

TD Bank Financial Group

     4         (4               

Westpac Banking Corp.

     4         (4               
  

 

 

    

 

 

   

 

 

    

 

 

 
   $ 802       $ (524   $       $ 278   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities.

 

 
28       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

The following table presents the effect of derivatives on the Statement of Operations for the year ended October 31, 2016, by primary underlying risk exposure (amounts in thousands):

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations  
Derivative Contracts    Options      Futures Contracts     Forward Foreign
Currency Exchange
Contracts
    OTC Swaps     Total  

Interest rate contracts

   $       $ (83   $      $ 72      $ (11

Foreign exchange contracts

     3                (1,997            (1,994

Credit contracts

                           (1     (1
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ 3       $ (83   $ (1,997   $ 71      $ (2,006
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations  
Derivative Contracts    Options      Futures Contracts     Forward Foreign
Currency Exchange
Contracts
    OTC Swaps     Total  

Interest rate contracts

   $       $ (7   $      $ 403      $ 396   

Foreign exchange contracts

     27                1,524               1,551   

Credit contracts

                           (a)        
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ 27       $ (7   $ 1,524      $ 403      $ 1,947   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Amount rounds to less than 500.

The Fund’s derivatives contracts held at October 31, 2016 are not accounted for as hedging instruments under GAAP.

Derivatives Volume

The tables below disclose the volume of the Fund’s forward foreign currency exchange contracts, options and swaps activity during the year ended October 31, 2016 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

 

Futures Contracts:

        

Average Notional Balance Long

   $ 11,662   

Average Notional Balance Short

     23,588   

Ending Notional Balance Long

       

Ending Notional Balance Short

     13,227   

Forward Foreign Currency Exchange Contracts:

  

Average Settlement Value Purchased

   $ 95,068   

Average Settlement Value Sold

     68,087   

Ending Settlement Value Purchased

     42,092   

Ending Settlement Value Sold

     44,628   

OTC Options:

  

Average Notional Balance Purchased

   $ 1,571   

Average Notional Balance Written

     747   

Ending Notional Balance Purchased

     2,998   

Ending Notional Balance Written

       

Credit Default Swaps

  

Average Notional Balance — Buy Protection

   $ 3,000   

Average Notional Balance — Sell Protection

       

Ending Notional Balance — Buy Protection

     3,000   

Ending Notional Balance — Sell Protection

       

Interest Rate-Related Swaps

  

Average Notional Balance — Pays Fixed Rate

   $ 11,637   

Average Notional Balance — Receives Fixed Rate

     29,788   

Ending Notional Balance — Pays Fixed Rate

       

Ending Notional Balance — Receives Fixed Rate

       

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         29   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.

E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.

F. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Fund for the year ended October 31, 2016 are as follows (amounts in thousands):

 

      Class A      Class C     R2      R5     R6      Select Class      Total  

Transfer agency fees

   $ 2       $ 1      $ 1       $ (a)    $ 2       $ 1       $ 7   

Sub-transfer agency fees

     41         (a)                             1         42   

 

(a) Amount rounds to less than 500.

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

I. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly for the Fund and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by the Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

 

        Paid-in-Capital       

Accumulated

undistributed

(distributions in

excess of)

net investment

income

      

Accumulated

net realized

gains (losses)

 
     $ (23,745      $ (5,211      $ 28,956   

 

 
30       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

The reclassifications for the Fund relate primarily to foreign currency gains or losses, investments in swap contracts and net operating losses.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.70% of the Fund’s average daily net assets.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Fund’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Fund, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A      Class C        Class R2  
     0.25%        0.75        0.50

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following (amounts in thousands):

 

        Front-End Sales Charge      CDSC  
     $—(a)      $   

 

(a) Amount rounds to less than 500.

D. Shareholder Servicing Fees —The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R5        Select Class  
       0.25        0.25        0.25        0.05        0.25

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Fund under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset based-fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. The Fund earns interest on uninvested cash balances held by the custodian. Such interest amounts are presented separately on the Statement of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Fund to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         31   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s respective average daily net assets as shown in the table below:

 

        Class A      Class C      Class R2      Class R5      Class R6      Select Class  
       1.20      1.70      1.45      0.75      0.70      0.95

The expense limitation agreements were in effect for the year ended October 31, 2016 and are in place until at least September 29, 2017.

For the year ended October 31, 2016, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows (amounts in thousands). None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.

 

      Contractual Waivers         
      Investment
Advisory
     Administration      Shareholder
Servicing
     Total      Reimbursements  
   $ 424       $ 77       $ 15       $ 516       $ 32   

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amount of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 was approximately $65.

G. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral management fees on the Statement of Operations.

H. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

The Fund may use related party broker-dealers. For the year ended October 31, 2016, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding
U.S. Government)
       Sales
(excluding
U.S. Government)
       Purchases
of U.S.
Government
      

Sales of

U.S.
Government

 
       $123,764         $ 165,495         $         $ 1,827   

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows (amounts in thousands):

 

       

Aggregate

Cost

      

Gross

Unrealized

Appreciation

      

Gross

Unrealized

Depreciation

      

Net Unrealized

Appreciation

(Depreciation)

 
     $ 81,740         $ 429         $ 1,916         $ (1,487

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

 

 
32       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

       

Current

Distributable

Long-Term

Capital Gain or

(Tax Basis Loss
Carryover)

      

Unrealized
Appreciation

(Depreciation)

 
     $ (14,735      $ (1,884

The cumulative timing differences primarily consist of mark to market of forward foreign currency contracts, straddle loss deferrals and wash sale loss deferrals.

At October 31, 2016, the Fund had net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  
     $ 5,710         $ 9,024   

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended. The Fund did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

As of October 31, 2016 the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:

 

             

JPMorgan
SmartRetirement

Funds

 
        86.2

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         33   


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NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on the Fund. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of October 31, 2016, a significant portion of the Fund’s net assets consisted of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund, such as swap and option contracts and credit linked notes.

The Fund is subject to the risk that should the Fund decide to sell an illiquid investment when a ready buyer is not available at a price the Fund deems to be representative of its value, the value of the Fund’s net assets could be adversely affected.

The Fund’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.

8. Subsequent Event

During the period October 31, 2016 through December 13, 2016, the Fund had net redemptions of approximately $24,728,000. This amount represented 30% of the Fund’s net assets as of October 31, 2016.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Emerging Markets Strategic Debt Fund (formerly JPMorgan Emerging Markets Local Currency Debt Fund):

In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Emerging Markets Strategic Debt Fund (formerly JPMorgan Emerging Markets Local Currency Debt Fund) (a separate fund of JPMorgan Trust I) (the “Fund”) as of October 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         35   


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TRUSTEES

(Unaudited)

 

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
36       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         37   


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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
38       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period*
       Annualized
Expense
Ratio
 

Emerging Markets Strategic Debt Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,002.50         $ 5.74           1.14

Hypothetical

       1,000.00           1,019.41           5.79           1.14   

Class C

                   

Actual

       1,000.00           1,001.20           8.25           1.64   

Hypothetical

       1,000.00           1,016.89           8.31           1.64   

Class R2

                   

Actual

       1,000.00           1,002.50           7.00           1.39   

Hypothetical

       1,000.00           1,018.15           7.05           1.39   

Class R5

                   

Actual

       1,000.00           1,006.10           3.48           0.69   

Hypothetical

       1,000.00           1,021.67           3.51           0.69   

Class R6

                   

Actual

       1,000.00           1,006.00           3.23           0.64   

Hypothetical

       1,000.00           1,021.92           3.25           0.64   

Select Class

                   

Actual

       1,000.00           1,004.90           4.49           0.89   

Hypothetical

       1,000.00           1,020.66           4.52           0.89   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreement for the Fund whose annual report is contained herein (the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Fund received from the Adviser. This information includes the Fund’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Fund’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Fund’s expense ratios and those of its peer group. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense analyses, compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Fund in connection with the Trustees’ review of the Advisory Agreement. At the June meeting, the Board also approved changing the name and strategies of the Fund. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory

Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.

The Trustees considered information provided with respect to the Fund over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Fund under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund including the portfolio management team responsible for implementing the Fund’s new strategy and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Fund gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Fund, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and

 

 

 
40       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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implement organizational and operational changes designed to improve investment results and the services provided to the Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Fund. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Fund for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Fund’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Fund, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

 

Economies of Scale

The Trustees considered the extent to which the Fund may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Fund and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for the Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allows the Fund’s shareholders to share potential economies of scale from the Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Fund over time, noting the Adviser’s substantial investments in its business in support of the Fund, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Fund at competitive levels. The Trustees concluded that the Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Fund and its shareholders.

Independent Written Evaluation of the Fund’s Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         41   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (continued)

 

that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Fund in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Fund within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for the applicable one-year period. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Fund’s performance against its benchmark and considered the performance information provided for the Fund at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Fund’s performance for Class A shares was in the fourth quintile based upon the Universe, and in the third quintile based upon the Universe for the Select Class shares, for the one- and three-year period ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and

various other factors, the Trustees concluded that the Fund’s performance was reasonable. The Trustees also noted the changes that would be made to the Fund’s investment strategies effective September 30, 2016. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the fixed income committee at each of their regular meetings over the course of the next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as the Fund. The Trustees recognized that Lipper reported the Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Fund’s net advisory fee for both Class A and Select Class shares was in the second quintile, based upon both the Peer Group and Universe, and that the actual total expenses for Class A and Select Class shares were in the first quintile, based upon the Peer Group and in the first and second quintile, based upon the Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

 

 

 
42       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

  Social Security number and account balances

 

  transaction history and account transactions

 

  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

  open an account or provide contact information

 

  give us your account information or pay us by check

 

  make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

  sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

  affiliates from using your information to market to you

 

  sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

  J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

  J.P. Morgan Funds doesn’t jointly market.


Table of Contents

 

 

 

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


Table of Contents

 

 

LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-CUR-1016


Table of Contents
 

Annual Report

J.P. Morgan Funds

October 31, 2016

JPMorgan Commodities Strategy Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Fund Commentary        2   
Consolidated Schedule of Portfolio Investments        5   
Consolidated Financial Statements        8   
Consolidated Financial Highlights        14   
Notes to Consolidated Financial Statements        16   
Report of Independent Registered Public Accounting Firm        25   
Trustees        26   
Officers        28   
Schedule of Shareholder Expenses        29   
Board Approval of Investment Advisory Agreement        30   
Privacy Notice — Located at the back of this Annual Report     

Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.

Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.


Table of Contents

CEO’s LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         1   


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JPMorgan Commodities Strategy Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      (2.31)%   
Bloomberg Commodity Index Total Return      (2.62)%   
Net Assets as of 10/31/2016    $ 84,469,027   

 

INVESTMENT OBJECTIVE**

The JPMorgan Commodities Strategy Fund (the “Fund”) seeks total return.

HOW DID THE COMMODITIES MARKET PERFORM DURING THE REPORTING PERIOD?

Overall, commodities prices ended the twelve month reporting period lower. Prices for natural gas ended lower but had strengthened from April through October 2016 amid a warmer than expected summer in the U.S. and forecasts for a colder than normal 2016-17 winter in the U.S.

While petroleum products also ended the period lower, prices for crude oil rebounded from March 2016 lows as global gasoline demand increased (particularly in the U.S.) and the Organization of Petroleum Exporting Countries signaled that a production cut may be necessary. Geopolitical events reduced crude output in Nigeria and Libya, which also helped to support prices.

Prices for precious metals, including gold, were higher during the reporting period as negative or accommodative interest rate policy in developed market nations helped support prices. Base metal prices were also higher during the reporting period amid improved emerging market growth and economic stability in China.

Agricultural commodity prices were mixed with grains ending the reporting period lower on positive crop production in the Northern Hemisphere. Soft commodity prices were positive on adverse weather in South America and Southeast Asia. Livestock prices were lower on increased production of both cattle and hogs.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the Bloomberg Commodity Index Total Return Index (the “Benchmark”) for the twelve months ended October 31, 2016. During the twelve

month period, the Fund used swaps contracts to obtain exposure to different parts of the futures curve, which measures the price of contracts of different maturities for a specific commodity.

Relative to the Benchmark, the Fund’s holdings in deferred oil futures and time spread short positions contributed to performance as both U.S. and global oil inventories remained elevated. The Fund’s overweight position in lean hog futures late in the second quarter of 2016 also contributed to relative performance as China was increasing its imports of U.S. pork. The Fund’s short positions in natural gas time spreads contributed to relative performance as the 2015-16 winter proved to be warmer than forecast, leaving inventories elevated.

The Fund’s underweight position in copper detracted from relative performance as the Chinese economy improved, increasing demand for copper. The Fund’s short positions in corn time spreads also detracted from relative performance as market forecasts of inventory in the second quarter of 2016 were tighter than those of the Fund’s managers.

HOW WAS THE FUND POSITIONED?

During the twelve month reporting period, the Fund invested in a wholly owned subsidiary that invested in commodity-linked derivative instruments and provided exposure to the investment returns of the commodities markets without investing directly in physical commodities. The Fund also invested in a portfolio of high-quality, fixed income securities, such as commercial paper or other short-term instruments that generally had a weighted average maturity of 90-days or less.

The Fund’s portfolio managers combined top-down research with fundamental and quantitative analysis to establish overweight and underweight positions in commodities. In addition, the Fund’s portfolio managers had the ability to adjust the Fund’s overall exposure to commodities relative to the Benchmark, based on their views of macroeconomic conditions.

 

 

 
2       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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CASH INVESTMENTS***

 

U.S. Treasury Obligations

     63.1

U.S. Government Agency Securities

     15.8   
Investment Company      21.0   

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States      100

COMMODITY MATURITY***

 

0 - 3 Months

     67.9

3 - 6 Months

     19.2   

> 6 Months

     12.9   

COMMODITY-LINKED INVESTMENTS****

 

Energy

     35.3 % 

Brent Crude

     8.5   

Unleaded Gas

     3.8   

Heating Oil

     4.3   

Natural Gas

     9.7   

WTI Crude Oil

     9.0   

Agricultural

     29.2   

Coffee

     2.8   

Corn

     6.0   

Cotton

     1.5   

Kansas Wheat

     1.0   

Soybean Meal

     2.5   

Soybean Oil

     2.9   

Soybeans

     5.5   

Sugar

     4.6   

Wheat

     2.4   

Industrial Metals

     16.8   

Aluminum

     4.5   

Copper

     6.5   

Nickel

     2.4   

Zinc

     3.4   

Precious Metals

     15.7   

Gold

     11.3   

Silver

     4.4   

Livestock

     3.6   

Lean Hogs

     1.3   

Live Cattle

     2.3   

FIXED INCOME MATURITY***

 

< One Month

     88.3
1 - 3 Months      11.7   

 

COMMODITY ALLOCATION

   Index     Fund****  
Energy      35.0     35.3
Agricultural      29.1        29.2   
Industrial Metals      16.9        16.8   
Precious Metals      15.4        15.7   
Livestock      3.6        3.6   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of October 31, 2016. The Fund’s portfolio composition is subject to change.
****   Exposures are calculated as the notional value, adjusted for net unrealized appreciation/depreciation, of the Fund’s derivative positions as a percentage of net assets.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         3   


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JPMorgan Commodities Strategy Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
       1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     December 17, 2012                  

With Sales Charge*

          (7.68 )%         (14.22 )%         (14.12 )% 

Without Sales Charge

          (2.55        (12.66        (12.92

CLASS C SHARES

     December 17, 2012                  

With CDSC**

          (3.93        (13.07        (13.33

Without CDSC

          (2.93        (13.07        (13.33

CLASS R6 SHARES

     December 17, 2012           (2.19        (12.29        (12.56

SELECT CLASS SHARES

     December 17, 2012           (2.31        (12.43        (12.69

 

*   Sales Charge for Class A Shares is 5.25%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (12/17/12 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on December 17, 2012.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Commodities Strategy Fund, the Bloomberg Commodity Index Total Return and the Lipper Commodities General Funds Average from December 17, 2012 to October 31, 2016. The performance of the Lipper Commodities General Funds Average reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Commodity Index Total Return does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the

benchmark, if applicable. The performance of the Lipper Commodities General Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Commodity Index Total Return is composed of futures contracts on 22 physical commodities. Investors cannot invest directly in an index. The Lipper Commodities General Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper Inc.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
4       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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JPMorgan Commodities Strategy Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

U.S. Government Agency Securities — 16.0%

  

  1,900,000      

Federal Home Loan Bank,
DN, 0.290%, 11/18/16 (n)

    1,899,822   
  1,580,000      

Federal Home Loan Mortgage Corp.,
DN, 0.200%, 11/01/16 (n)

    1,580,000   
  10,000,000      

Federal National Mortgage Association,
DN, 0.315%, 12/01/16 (n)

    9,998,250   
    

 

 

 
  

Total U.S. Government Agency Securities
(Cost $13,477,115)

    13,478,072   
    

 

 

 

 

U.S. Treasury Obligations — 63.7%

  

  

U.S. Treasury Bills,

 
  43,108,000      

0.070%, 11/03/16 (n)

    43,107,784   
  10,700,000      

0.265%, 11/17/16 (n)

    10,699,155   
    

 

 

 
  

Total U.S. Treasury Obligations
(Cost $53,806,572)

    53,806,939   
    

 

 

 
NUMBER OF
CONTRACTS
              

 

Options Purchased — 0.1%

  

  

Call Options Purchased — 0.1%

  

  71      

Crude Oil Futures, expiring 11/15/17 at $70.00, American Style

    75,970   
  14      

Gold Futures, expiring 11/22/16 at $1,350.00, American Style

    3,640   
    

 

 

 
  

Total Call Options Purchased
(Cost $120,462)

    79,610   
    

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 21.2%

  

  

Investment Company — 21.2%

  

  17,916,618      

JPMorgan Prime Money Market Fund, Institutional Class Shares,
0.660% (b) (l) ^ †
(Cost $17,916,618)

    17,918,766   
    

 

 

 
  

Total Investments — 101.0%
(Cost $85,320,767)

    85,283,387   
  

Liabilities in Excess of
Other Assets — (1.0)%

    (814,360
    

 

 

 
  

NET ASSETS — 100.0%

  $ 84,469,027   
    

 

 

 

 

Percentages indicated are based on net assets.

 
Futures Contracts ^  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  147        

Brent Crude Oil Futures

       11/30/16           USD         $ 7,145,670         $ 158,510   
  56        

Lean Hogs Futures

       12/14/16           USD           1,074,080           115,805   
  159        

WTI Crude Oil Futures

       12/19/16           USD           7,546,140           (374,065
  102        

Natural Gas Futures

       12/28/16           USD           3,258,900           (127,189
  10        

Natural Gas Futures

       12/28/16           USD           319,500           (12,226
  1        

Silver Futures

       12/28/16           USD           88,980           (5,747
  274        

Natural Gas Futures

       05/26/17           USD           8,480,300           77,516   
    

Short Futures Outstanding

                   
  (7     

Corn Futures

       12/14/16           USD           (124,162        11,454   
  (4     

Soybean Meal Futures

       12/14/16           USD           (126,440        (4,042
  (4     

Wheat Futures

       12/14/16           USD           (83,250        413   
  (1     

Gold 100 OZ Futures

       12/28/16           USD           (127,310        (1,363
  (6     

Gasoline RBOB Futures

       12/30/16           USD           (357,134        12,055   
  (1     

Live Cattle Futures

       02/28/17           USD           (41,650        (1,303
  (5     

Sugar No. 11 Futures

       02/28/17           USD           (120,792        6,605   
  (3     

Copper Futures

       03/29/17           USD           (166,163        (6,295
  (274     

Natural Gas Futures

       04/26/17           USD           (8,389,880        (64,904
                        

 

 

 
     $ (214,776
                        

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         5   


Table of Contents

JPMorgan Commodities Strategy Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

 

Return Swaps on Commodities ^  
SWAP COUNTERPARTY    UNDERLYING REFERENCE INSTRUMENT      TERMINATION
DATE
       NOTIONAL
VALUE
       VALUE  

Macquarie Bank Ltd.

                 
  

Long Positions

              
  

CBOT Corn December 2016 Futures

       11/28/16         $ 6,602,138         $ (1,386,863
  

CBOT Soybean Meal December 2016 Futures

       11/28/16           2,385,360           (109,405
  

CBOT Wheat December 2016 Futures

       11/28/16           2,618,213           (495,177
  

CBOT Wheat December 2016 Futures

       11/28/16           981,094           (172,275
  

COMEX Gold December 2016 Futures

       11/28/16           9,889,500           (213,871
  

COMEX Silver December 2016 Futures

       11/28/16           3,575,610           72,546   
  

CME Live Cattle February 2017 Futures

       02/02/17           2,044,320           (45,061
  

CBOT Soybean March 2017 Futures

       02/24/17           4,745,475           (60,274
  

CBOT Soybean Oil July 2017 Futures

       06/28/17           2,423,511           7,767   
  

CBOT Soybean November 2017 Futures

       10/27/17           2,026,375           111,104   
  

Short Positions

              
  

CBOT Soybean July 2017 Futures

       06/28/17           2,107,538           (103,338
                 

 

 

 
                  $ (2,394,847
                 

 

 

 

 

Return Swaps on Commodities Indices ^  
SWAP COUNTERPARTY    UNDERLYING REFERENCE INSTRUMENT      TERMINATION
DATE
       NOTIONAL
VALUE
       VALUE  

Macquarie Bank Ltd.

                 
  

Long Positions

              
  

BBG Heat Oil Index

       12/02/16         $ 3,815,000         $ (158,634
  

BBG Unleaded Gasoline Index

       12/02/16           3,550,000           (12,999
  

BBG Natural Gas Index

       12/08/16           4,565,000           (1,170
  

BBG Industrial Metals Index

       12/22/16           13,530,000           796,634   
  

BBG Softs Index

       12/22/16           7,680,000           (96,000
                 

 

 

 
                  $ 527,831   
                 

 

 

 

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS:

 

Brent  

—  Broom, Rannoch, Etieve, Ness, Tarbat

CBOT  

—  Chicago Board of Trade

CME  

—  Chicago Mercantile Exchange

COMEX  

—  Commodity Exchange, Inc.

DN  

—  Discount Notes

RBOB  

—  Reformulated gasoline blendstock for oxygen blending

USD  

—  United States Dollar

WTI  

—  West Texas Intermediate

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

(n)  

—  The rate shown is the effective yield at the date of purchase.

^  

—  All or a portion of the position is held by the Subsidiary.

 

—  The value of investments restricted as collateral for swaps to the broker is $7,175,573.

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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OCTOBER 31, 2016   J.P. MORGAN FUNDS         7   


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CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

 

        Commodities
Strategy Fund
 

ASSETS:

    

Investments in non-affiliates, at value

     $ 67,364,621   

Investments in affiliates, at value

       10,743,193   

Investments in affiliates — restricted, at value

       7,175,573   
    

 

 

 

Total investment securities, at value

       85,283,387   

Deposits at broker for futures contracts

       1,770,000   

Receivables:

    

Fund shares sold

       1,900   

Dividends from affiliates

       6,477   

Outstanding swap contracts, at value

       988,051   
    

 

 

 

Total Assets

       88,049,815   
    

 

 

 

LIABILITIES:

    

Payables:

    

Variation margin on futures contracts

       389,011   

Outstanding swap contracts, at value

       2,855,067   

Accrued liabilities:

    

Investment advisory fees

       56,720   

Administration fees

       1,605   

Distribution fees

       437   

Shareholder servicing fees

       307   

Custodian and accounting fees

       49,806   

Collateral management fees

       3,985   

Trustees’ and Chief Compliance Officer’s fees

       12,654   

Other

       211,196   
    

 

 

 

Total Liabilities

       3,580,788   
    

 

 

 

Net Assets

     $ 84,469,027   
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
      Commodities
Strategy Fund
 

NET ASSETS:

  

Paid-in-Capital

   $ 86,550,973   

Accumulated undistributed (distributions in excess of) net investment income

     39,386   

Accumulated net realized gains (losses)

     (2,160

Net unrealized appreciation (depreciation)

     (2,119,172
  

 

 

 

Total Net Assets

   $ 84,469,027   
  

 

 

 

Net Assets:

  

Class A

   $ 1,170,180   

Class C

     301,866   

Class R6

     82,060,358   

Select Class

     936,623   
  

 

 

 

Total

   $ 84,469,027   
  

 

 

 

Outstanding units of beneficial interest (shares)

($0.0001 par value; unlimited number of shares authorized):

  

Class A

     133,240   

Class C

     35,028   

Class R6

     9,200,658   

Select Class

     105,571   

Net Asset Value (a):

  

Class A — Redemption price per share

   $ 8.78   

Class C — Offering price per share (b)

     8.62   

Class R6 — Offering and redemption price per share

     8.92   

Select Class — Offering and redemption price per share

     8.87   

Class A maximum sales charge

     5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

   $ 9.27   
  

 

 

 

Cost of investments in non-affiliates

   $ 67,404,149   

Cost of investments in affiliates

     10,741,618   

Cost of investments in affiliates — restricted

     7,175,000   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         9   


Table of Contents

CONSOLIDATED STATEMENT OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

 

        Commodities
Strategy Fund
 

INVESTMENT INCOME:

    

Interest income from non-affiliates

     $ 109,081   

Dividend income from affiliates

       24,347   
    

 

 

 

Total investment income

       133,428   
    

 

 

 

EXPENSES:

    

Investment advisory fees

       643,055   

Administration fees

       64,463   

Distribution fees:

    

Class A

       2,579   

Class C

       1,241   

Shareholder servicing fees:

    

Class A

       2,579   

Class C

       414   

Select Class

       5,462   

Custodian and accounting fees

       161,070   

Collateral management fees

       12,061   

Professional fees

       151,136   

Trustees’ and Chief Compliance Officer’s fees

       44,143   

Printing and mailing costs

       24,418   

Registration and filing fees

       37,540   

Transfer agency fees (See Note 2.D)

       4,741   

Sub-transfer agency fees (See Note 2.D)

       5   

Other

       8,506   
    

 

 

 

Total expenses

       1,163,413   
    

 

 

 

Less fees waived

       (545,977

Less expense reimbursements

       (95,875
    

 

 

 

Net expenses

       521,561   
    

 

 

 

Net investment income (loss)

       (388,133
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       (38,550

Futures

       (1,326,076

Options written

       33,247   

Swaps

       (412,828
    

 

 

 

Net realized gain (loss)

       (1,744,207
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       (40,944

Investments in affiliates

       2,148   

Futures

       (299,875

Swaps

       (374,580
    

 

 

 

Change in net unrealized appreciation/depreciation

       (713,251
    

 

 

 

Net realized/unrealized gains (losses)

       (2,457,458
    

 

 

 

Change in net assets resulting from operations

     $ (2,845,591
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

 

       Commodities Strategy Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

         

Net investment income (loss)

     $ (388,133      $ (745,996

Net realized gain (loss)

       (1,744,207        (29,420,693

Change in net unrealized appreciation/depreciation

       (713,251        1,581,377   
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (2,845,591        (28,585,312
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

         

Change in net assets resulting from capital transactions

       36,984,504           (44,324,046
    

 

 

      

 

 

 

NET ASSETS:

         

Change in net assets

       34,138,913           (72,909,358

Beginning of period

       50,330,114           123,239,472   
    

 

 

      

 

 

 

End of period

     $ 84,469,027         $ 50,330,114   
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 39,386         $ (407,352
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         11   


Table of Contents

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

 

       Commodities Strategy Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 757,403         $ 1,028,164   

Cost of shares redeemed

       (393,348        (234,223
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 364,055         $ 793,941   
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 346,153         $ 61,515   

Cost of shares redeemed

       (104,040        (43,377
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 242,113         $ 18,138   
    

 

 

      

 

 

 

Class R6

         

Proceeds from shares issued

     $ 75,257,628         $ 1,716,562   

Cost of shares redeemed

       (7,790,152        (24,505,761
    

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 67,467,476         $ (22,789,199
    

 

 

      

 

 

 

Select Class

         

Proceeds from shares issued

     $ 357,196         $ 2,781,036   

Cost of shares redeemed

       (31,446,336        (25,127,962
    

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ (31,089,140      $ (22,346,926
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 36,984,504         $ (44,324,046
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

         

Class A

         

Issued

       87,935           100,553   

Redeemed

       (46,134        (22,149
    

 

 

      

 

 

 

Change in Class A Shares

       41,801           78,404   
    

 

 

      

 

 

 

Class C

         

Issued

       39,759           5,926   

Redeemed

       (12,329        (4,456
    

 

 

      

 

 

 

Change in Class C Shares

       27,430           1,470   
    

 

 

      

 

 

 

Class R6

         

Issued

       8,184,048           160,113   

Redeemed

       (869,295        (2,154,434
    

 

 

      

 

 

 

Change in Class R6 Shares

       7,314,753           (1,994,321
    

 

 

      

 

 

 

Select Class

         

Issued

       43,536           259,188   

Redeemed

       (3,490,837        (2,763,591
    

 

 

      

 

 

 

Change in Select Class Shares

       (3,447,301        (2,504,403
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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OCTOBER 31, 2016   J.P. MORGAN FUNDS         13   


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CONSOLIDATED FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions         
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
       Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
     Net asset
value,
end of
period
 

Commodities Strategy Fund

                           

Class A

                           

Year Ended October 31, 2016

     $ 9.01         $ (0.08      $ (0.15      $ (0.23      $       $ 8.78   

Year Ended October 31, 2015

       12.30           (0.11        (3.18        (3.29                9.01   

Year Ended October 31, 2014

       13.18           (0.16        (0.72        (0.88                12.30   

December 17, 2012(g) through October 31, 2013

       15.00           (0.14        (1.68        (1.82                13.18   

Class C

                           

Year Ended October 31, 2016

       8.88           (0.13        (0.13        (0.26                8.62   

Year Ended October 31, 2015

       12.19           (0.17        (3.14        (3.31                8.88   

Year Ended October 31, 2014

       13.12           (0.22        (0.71        (0.93                12.19   

December 17, 2012(g) through October 31, 2013

       15.00           (0.20        (1.68        (1.88                13.12   

Class R6

                           

Year Ended October 31, 2016

       9.12           (0.05        (0.15        (0.20                8.92   

Year Ended October 31, 2015

       12.40           (0.08        (3.20        (3.28                9.12   

Year Ended October 31, 2014

       13.22           (0.10        (0.72        (0.82        (i)       12.40   

December 17, 2012(g) through October 31, 2013

       15.00           (0.09        (1.69        (1.78                13.22   

Select Class

                           

Year Ended October 31, 2016

       9.08           (0.06        (0.15        (0.21                8.87   

Year Ended October 31, 2015

       12.36           (0.10        (3.18        (3.28                9.08   

Year Ended October 31, 2014

       13.21           (0.13        (0.72        (0.85                12.36   

December 17, 2012(g) through October 31, 2013

       15.00           (0.11        (1.68        (1.79                13.21   

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Commencement of operations.
(h) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.
(i) Amount rounds to less than $0.005.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

   

 

    Ratios/Supplemental data  
            Ratios to average net assets (a)        
Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
    Net
expenses (e)
    Net
investment
income
(loss) (e)
        
Expenses
without waivers,
reimbursements and
earnings  credits
    Portfolio
turnover
rate (c)(f)
 
         
         
  (2.55 )%    $ 1,170,180        1.21     (0.99 )%      2.53     0
  (26.75     823,931        1.21        (1.14     2.30        0   
  (6.68     160,388        1.20        (1.16     2.03        0   
  (12.13     43,924        1.22 (h)      (1.16 )(h)      2.74 (h)      0   
         
  (2.93     301,866        1.73        (1.51     3.25        0   
  (27.15     67,492        1.73        (1.68     2.84        0   
  (7.09     74,710        1.71        (1.67     2.53        0   
  (12.53     43,733        1.72 (h)      (1.66 )(h)      3.24 (h)      0   
         
  (2.19     82,060,358        0.83        (0.61     1.85        0   
  (26.45     17,191,700        0.82        (0.77     1.64        0   
  (6.19     48,113,945        0.82        (0.78     1.53        0   
  (11.87     38,913,194        0.82 (h)      (0.76 )(h)      1.86 (h)      0   
         
  (2.31     936,623        0.92        (0.72     2.14        0   
  (26.54     32,246,991        0.98        (0.92     1.90        0   
  (6.43     74,890,429        0.97        (0.93     1.79        0   
  (11.93     92,256,260        0.97 (h)      (0.91 )(h)      2.10 (h)      0   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         15   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Commodities Strategy Fund    Class A, Class C, Class R6 and Select Class    Non-diversified

The investment objective of the Fund is to seek total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Fund’s administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Fund’s administrator under the Administration Agreement.

Basis for Consolidation for the Fund

Commodities Strategy Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on September 5, 2012 and is a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objective and policies as described in the Fund’s prospectus. As of October 31, 2016, net assets of the Fund were $84,469,027 of which $17,392,698, or approximately 20.6%, represented the Subsidiary’s net assets. Net realized losses in the Subsidiary amounted to $(1,744,273). The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. The consolidated financial statements include the accounts of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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 fair value. 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 or is limited, 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.

 

 
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Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.

Futures and options are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.

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

The various inputs that are used in determining the valuation of the 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 CSOI:

 

      Level 1
Quoted prices
    Level 2
Other significant
observable inputs
    Level 3
Significant
unobservable inputs
     Total  

Total Investments in Securities (a)

   $ 17,998,376      $ 67,285,011      $       $ 85,283,387   
  

 

 

   

 

 

   

 

 

    

 

 

 

Appreciation in Other Financial Instruments

         

Futures Contracts

   $ 382,358      $      $       $ 382,358   

Return Swaps

            988,051                988,051   
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Appreciation in Other Financial Instruments

   $ 382,358      $ 988,051      $       $ 1,370,409   
  

 

 

   

 

 

   

 

 

    

 

 

 

Depreciation in Other Financial Instruments

         

Futures Contracts

   $ (597,134   $      $       $ (597,134

Return Swaps

            (2,855,067             (2,855,067
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Depreciation in Other Financial Instruments

   $ (597,134   $ (2,855,067   $       $ (3,452,201
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(a) Portfolio holdings designated as level 1 and level 2 are disclosed individually on the CSOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash and options purchased. Please refer to the CSOI for industry specifics of portfolio holdings.

There were no transfers among any levels during the year ended October 31, 2016.

B. Derivatives — The Fund used instruments including futures, swaps and other derivatives in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest for hedging and risk management purposes and to seek to enhance portfolio performance. Derivatives may also be used for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining that return or spread through purchases and/or sales of instruments in cash markets; to protect against currency fluctuations; to protect against any increase in the price of securities the Fund anticipates purchasing at a later date; and/or to gain exposure to certain markets in the most economical way possible.

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 lack of a liquid market for these contracts allowing the 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, as recorded on the Consolidated Statement of Assets and Liabilities (“CSAL”).

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 also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

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 with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes B(1) — B(3) below describe the various derivatives used by the Fund. These derivatives expose the Fund to commodity risk.

(1). Futures Contracts — The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts 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 the Consolidated Statement of Operations (“CSOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the derivatives value at the time it was closed, are reported on the CSOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the CSOI and cash deposited is recorded on the CSAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the CSAL.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the CSAL, 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 (e.g., NYMEX), boards of trade or other platforms (e.g., Clearport). The exchange or board of trade acts as the counterparty to futures transactions; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. For trades executed on other platforms, these futures contracts must be offset on the same platform in which they were executed; therefore liquidity risk exists to the extent there is a lack of a liquid market for these contracts allowing the Fund to close out its position. 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). Options — The Fund purchased and sold (“wrote”) put and call options on various instruments including futures, securities, currencies and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Swaptions and Eurodollar options are settled for cash.

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

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

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

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

 

 
18       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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Transactions in options written during the year ended October 31, 2016 were as follows:

 

     Options  
      Number of
Contracts
    Premiums
Received
 

Options outstanding at October 31, 2015

          $   

Options written

     58        45,379   

Options expired

     (23     (13,740

Options closed

     (35     (31,639
  

 

 

   

 

 

 

Options outstanding at October 31, 2016

          $   
  

 

 

   

 

 

 

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).

(3). Return Swaps on Commodities and Commodity Indices — The Fund used return swaps on physical commodities, commodities futures and commodity futures indices to obtain long and short exposure to commodities markets. The value of a swap agreement is recorded at the beginning of the measurement period. Swaps on commodity futures and commodity indices values are based on the values of underlying commodity spot prices or futures contracts, using the last sale or closing price from the principal exchange on which the contract is traded. Under some circumstances, commodity futures exchanges may establish daily limits on the amount that the price of a commodity futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions. Change in swap values is recorded as Change in net unrealized appreciation/ depreciation — swaps on the CSOP. Realized gain or loss is recorded upon termination of a swap and is based on the difference between the contract price and market price of the underlying instrument or when an offsetting position is entered into. Return swaps on commodity indices are subject to monthly resets. Realized gain or loss is recorded on reset date of the swap and is based on the difference between contract and market price of underlying instrument.

Upon entering into a swap, the Fund may be required to post an initial collateral amount (referred to as “Independent Amount”), as defined in the swap agreement. Independent Amounts are posted to segregated accounts at the Fund’s custodian. The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. Cash collateral posted by the Fund is invested in an affiliated money market fund (See Note 3.G.) and is reported on the CSAL as Investments in affiliates — restricted. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.F.).

The Fund’s swap contracts at net value and collateral posted or received by counterparty as of October 31, 2016 is as follows:

 

Counterparty            Value of
swap
contracts
       Collateral
amount
 

Macquarie Bank Ltd.

   Collateral Posted      $ (1,867,016      $ 7,175,573   

The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over the counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and, (iv) documentation risk relating to disagreement over contract terms. Investing in certain derivatives, including return swaps, also results in a form of leverage and, as such, the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the CSAL.

The Fund’s activities in return swaps are concentrated with one counterparty. Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

The Fund’s swap contracts are subject to master netting arrangements.

(4). Summary of Derivatives Information — The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of October 31, 2016:

 

Counterparty     

Gross Amount of

Derivative Assets

Presented on the

CSAL (a)

      

Derivatives

Available

for Offset

      

Collateral

Received

       Net Amount Due
From Counterparty
(not less than zero)
 

Macquarie Bank Ltd.

     $ 988,051         $ (988,051      $         $   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
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Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

 

Counterparty     

Gross Amount of

Derivative Liabilities

Presented on the

CSAL (a)

      

Derivatives

Available

for Offset

      

Collateral

Posted

     Net Amount Due
To Counterparty
(not less than zero)
 

Macquarie Bank Ltd.

     $ 2,855,067         $ (988,051      $ (1,867,016 )(b)     $   
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the CSAL.
(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.B.(3) for actual swap collateral received or posted.

Derivatives Volume — The table below discloses the volume of the Fund’s futures contracts, options and swap activity during the year ended October 31, 2016.

 

Futures Contracts:

        

Average Notional Balance Long

   $ 24,770,122   

Average Notional Balance Short

     10,669,181   

Ending Notional Balance Long

     27,913,570   

Ending Notional Balance Short

     9,536,781   

Exchange-Traded Options:

  

Average Number of Contracts Purchased

     20   

Average Number of Contracts Written

     3   

Ending Number of Contracts Purchased

     85   

Return Swaps on Commodities:

  

Average Notional Balance Long

   $ 31,150,581   

Average Notional Balance Short

     2,034,310   

Ending Notional Balance Long

     37,291,596   

Ending Notional Balance Short

     2,107,538   

Return Swaps on Commodity Indices:

  

Average Notional Balance Long

     18,519,320   

Ending Notional Balance Long

     33,140,000   

The Fund’s derivatives contracts held at October 31, 2016 are not accounted for as hedging instruments under GAAP.

C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.

D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Fund for the year ended October 31, 2016 are as follows:

 

      Class A        Class C        Class R6        Select Class        Total  

Transfer agent fees

   $ 1,812         $ 667         $ 868         $ 1,394         $ 4,741   

Sub-transfer agent fees

                                   5           5   

E. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Fund’s consolidated financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

 

 

 
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For Federal income tax purposes, taxable income of the Fund and the Subsidiary are separately calculated. The Subsidiary is classified as a controlled foreign corporation under the Code and its taxable income, including net gains, is included as ordinary income in the calculation of the Fund’s taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.

F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

 

        Paid-in-Capital        Accumulated
undistributed
(distributions
in excess of)
net investment
income
       Accumulated
net realized
gains (losses)
 
     $ (2,579,143      $ 834,871         $ 1,744,272   

The reclassifications for the Fund relate primarily to investments in the Subsidiary and net operating loss.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and the Subsidiary and for such services is paid a fee. The fee for services to the Fund is accrued daily and paid monthly at an annual rate of 0.85% of the Fund’s average daily net assets. The fee for services to the Subsidiary is accrued daily and paid monthly at an annual rate of 0.85% of the Subsidiary’s average daily net assets.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.G.

B. Administration Fees — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund and the Subsidiary. In consideration of these services for the Fund, the Administrator receives a fee accrued daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.10% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements. In consideration for services rendered to the Subsidiary, the Administrator receives a fee accrued daily and paid monthly at an annualized rate of 0.10% of the average daily net assets of the Subsidiary.

The Administrator waived Administration fees as outlined in Note 3.G.

JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Fund’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to the Distributor, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following amounts:

 

        Front-End Sales Charge        CDSC  
     $ 820         $   

D. Shareholder Servicing Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly at an annual rate of 0.25% for Class A, Class C and Select Class Shares.

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Fund under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         21   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Distributor waived shareholder servicing fees as outlined in Note 3.G.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund and Subsidiary. For performing these services, the Fund and Subsidiary pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund and the Subsidiary for custody and accounting services are included in Custodian and accounting fees on the CSOP. Payments to the custodian may be reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the CSOP.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the CSOP.

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Fund. The amounts paid directly to JPMCB, if any, by the Fund for these services are included in Collateral management fees on the CSOP.

G. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse expenses to the extent total annual operating expenses of the Fund, inclusive of the Subsidiary (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s average daily net assets as shown in the table below:

 

        Class A        Class C        Class R6        Select Class  
       1.25        1.75        0.85        1.00

The expense limitation agreement was in effect for the year ended October 31, 2016 and is in place until at least February 28, 2017.

For the year ended October 31, 2016, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total        Contractual
Reimbursements
 
     $ 473,472         $ 50,811         $ 5,952         $ 530,235         $ 95,875   

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016 the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

Waivers resulting from investments in these money market funds for the year ended October 31, 2016 were $15,742.

H. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the CSOP.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

The Fund may use related party broker-dealers. For the year ended October 31, 2016, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases of long-term investments were $98,165. Additionally, during the year ended October 31, 2016, there were no purchases or sales of long-term U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities, including the Subsidiary, held at October 31, 2016 were as follows:

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 
     $ 132,592,408         $         $ 47,908,226         $ (47,908,226

 

 
22       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in the Subsidiary.

The Federal income tax net unrealized appreciation (depreciation) in value of investment securities includes unrealized depreciation of the Fund’s investment in the Subsidiary of approximately $47.9 million, which, if realized, is not deductible for income tax purposes.

During the years ended October 31, 2016 and October 31, 2015, the Fund did not make any distributions.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Long-Term
Capital Gain or
(Tax Basis
Loss  Carryover)
       Unrealized
Appreciation
(Depreciation)
 
     $         $ (2,161      $ (1,974,648

The cumulative timing differences primarily consist of investments in the Subsidiary.

During the year ended October 31, 2016 the Subsidiary had approximately $2.0 million of losses for tax purposes. The Subsidiary’s loss for the current year is not available to offset its future taxable income.

As of October 31, 2016, the Fund had net capital loss carryforwards as follows:

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  
     $ 2,161         $   

During the year ended October 31, 2016, the Fund utilized capital loss carryforwards in the amount of $65.

Late year ordinary losses incurred after December 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended October 31, 2016, the Fund deferred to November 1, 2016 late year ordinary losses of $100,567.

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Fund did not utilize the Credit Facility during the year ended October 31, 2016.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         23   


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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

As of October 31, 2016, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:

 

        J.P. Morgan
Investor Funds
       JPMorgan
SmartRetirement
Funds
 
       32.9        62.7

Significant shareholder transactions by these shareholders may impact the Fund’s performance.

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as swap contracts.

By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund.

Since the Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.

Derivatives, including commodity-linked notes, swap agreements, commodity options, futures and options on futures, may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would be if it had not used derivatives. Derivatives also expose the Fund to counterparty risk and to the credit risk of the derivative counterparty. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets.

The Fund’s investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

 

 
24       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Commodities Strategy Fund:

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of portfolio investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of JPMorgan Commodities Strategy Fund (a separate fund of JPMorgan Trust I) and its subsidiary (the “Fund”) as of October 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         25   


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TRUSTEES

(Unaudited)

 

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
26       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         27   


Table of Contents

OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
28       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
      

Ending

Account Value
October 31, 2016

       Expenses
Paid During the
Period
*
       Annualized
Expense
Ratio
 

Commodities Strategy Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 995.50         $ 5.97           1.19

Hypothetical

       1,000.00           1,019.15           6.04           1.19   

Class C

                   

Actual

       1,000.00           993.10           8.67           1.73   

Hypothetical

       1,000.00           1,016.44           8.77           1.73   

Class R6

                   

Actual

       1,000.00           997.80           4.17           0.83   

Hypothetical

       1,000.00           1,020.96           4.22           0.83   

Select Class

                   

Actual

       1,000.00           996.60           3.51           0.70   

Hypothetical

       1,000.00           1,021.62           3.56           0.70   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         29   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreement for the Fund whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Fund received from the Adviser. This information includes the Fund’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Fund’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Fund’s expense ratios and those of its peer group. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Fund in connection with the Trustees’ review of the Advisory Agreement. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of

the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.

The Trustees considered information provided with respect to the Fund over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Fund under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Fund gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Fund, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Fund.

 

 

 
30       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Fund. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Fund for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Fund’s distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Fund, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Fund may benefit from economies of scale. The Trustees considered that

there may not be a direct relationship between economies of scale realized by the Fund and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for the Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allows the Fund’s shareholders to share potential economies of scale from the Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Fund over time, noting the Adviser’s substantial investments in its business in support of the Fund, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Fund at competitive levels. The Trustees concluded that the Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Fund and its shareholders.

Independent Written Evaluation of the Fund’s Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         31   


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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (continued)

 

that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Fund in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Fund within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one- and three-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Fund’s performance against its benchmark and considered the performance information provided for the Fund at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Fund’s performance for Class A shares was in the second quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2015, and in the fourth quintile based upon the Universe, for both the one- and three-year periods ended December 31, 2015. The Trustees noted that the Fund’s performance for Select Class shares was in the fourth and third quintiles based upon the Universe for the one- and three-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the

Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the fixed income committee at each of their regular meetings over the course of the next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Fund. The Trustees recognized that Broadridge/Lipper reported the Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s advisory fees and expense ratios for certain representative share classes are summarized below:

The Trustees noted that, the Fund’s net advisory fee for both Class A and Select Class shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A and Select Class shares were in the first quintile based upon the Peer Groups and in the second and third quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

 

 

 
32       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

  Social Security number and account balances

 

  transaction history and account transactions

 

  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

 open an account or provide contact information

 

 give us your account information or pay us by check

 

 make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

 sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

 affiliates from using your information to market to you

 

 sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

 J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of the Fund’s policies and procedures with respect to the disclosure of the Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-CSTRAT-1016


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Annual Report

J.P. Morgan Funds

October 31, 2016

JPMorgan Systematic Alpha Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1   
Fund Commentary        2   
Consolidated Schedule of Portfolio Investments        5   
Consolidated Financial Statements        41   
Consolidated Financial Highlights        46   
Notes to Consolidated Financial Statements        48   
Report of Independent Registered Public Accounting Firm        60   
Trustees        61   
Officers        63   
Schedule of Shareholder Expenses        64   
Board Approval of Investment Advisory Agreement        65   
Tax Letter        68   

Privacy Policy — Located at the back of this Annual Report

    

Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.

Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         1   


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JPMorgan Systematic Alpha Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .      (0.46)%   
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index . . . . . . . . . . . . . . . . . . . . . . . .      0.31%   
Net Assets as of 10/31/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .      $335,862,483   

 

INVESTMENT OBJECTIVE**

The JPMorgan Systematic Alpha Fund (the “Fund”) seeks to provide total return.

HOW DID THE MARKET PERFORM?

Global financial markets generally weathered two distinct sell-offs and rebounded to provide positive returns over the twelve month reporting period amid continued economic stimulus from leading central banks. Markets appeared to absorb the Federal Reserve’s December 2015 interest rate increase – the first in a decade – with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets and led to the worst start of any year on record for U.S. equity prices.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular experienced a brief but significant rise in prices. However, British voters confounded the expectations of some at the end of June 2016 and voted to exit the European Union. The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided and the Standard & Poor’s 500 Index reached three new closing highs in August 2016. Notably, crude oil prices reached 15-month highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund (Select Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the twelve months ended October 31, 2016. References to the Benchmark and to other indexes mentioned herein are for informational purposes and are not an indication of how the Fund is managed. The use of the Benchmark does not imply the Fund is being managed like the Benchmark and does not imply low risk or low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

The Fund’s event-driven strategy generated a slightly negative overall return. The merger arbitrage sub-strategy was flat, despite a high proportion of “friendly” mergers that were considered more likely to be completed. The performance of the sub-strategies that were added during the previous reporting period was mixed, with the share repurchase and equity index arbitrage sub-strategies contributing to performance, while shareholder activism, parents and spinoffs, and post-reorganization equity detracted from performance.

During the reporting period, the Fund’s alternative investment strategies experienced strong performance with gains from global macro, equity market neutral, and convertible bond arbitrage strategies outpacing minor losses from event driven strategies.

The equity market neutral strategy partially rebounded from the first half of the reporting period, despite an increase in factor volatility. From a return perspective, quality and momentum factors led the way, offsetting underperformance from value and size factors. The value factor suffered a large drawdown in June, but largely recovered by the end of the period.

The Fund’s macro investment strategies generated positive returns, with gains across fixed income and foreign exchange-based return factors offsetting losses from commodity-based return factors. Momentum factors generally outperformed carry (or yield) factors over the period, led by multi-asset time series, fixed income real yield, and foreign exchange momentum factors.

The convertible bond arbitrage strategy contributed to Fund performance, driven primarily by a tightening of U.S. convertible bond valuations over the period.

HOW WAS THE FUND POSITIONED?

During the twelve month reporting period, the Fund’s risk was diversified across its investment strategies. The Fund’s event-driven strategy entered the period below the long-term targeted risk level, but rose to target as sub-strategies were added and merger activity picked up towards period-end (albeit from muted levels). Macro risk similarly increased as underlying factors offset less risk.

 

 

 
2       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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RISK ALLOCATION AS OF OCTOBER 31, 2016

 
Asset Class / Strategy    % of Risk
Allocation
***
 
Convertible Arbitrage (1)      6.3
Equity Market Neutral (2)      44.7   
Event Driven (3)      20.7   
Macro Based (4)      28.3   

 

TOP TEN HOLDINGS OF THE PORTFOLIO (a)  
  1.       KLA-Tencor Corp.      1.2
  2.       Rackspace Hosting, Inc.      1.1   
  3.       Linear Technology Corp.      1.1   
  4.       Syngenta AG (Switzerland)      1.1   
  5.       Cepheid      1.1   
  6.       Joy Global, Inc.      1.1   
  7.       Time Warner, Inc.      1.1   
  8.       B/E Aerospace, Inc.      1.1   
  9.       NXP Semiconductors N.V.      1.1   
  10.       Westar Energy, Inc.      1.1   

 

TOP TEN SHORT HOLDINGS OF THE PORTFOLIO (a)  
  1.       New York Community Bancorp, Inc.      1.0
  2.       Deutsche Boerse AG (Germany)      0.9   
  3.       Lam Research Corp.      0.8   
  4.       AT&T, Inc.      0.7   
  5.       Marriott International, Inc., Class A      0.6   
  6.       Tabcorp Holdings Ltd. (Australia)      0.5   
  7.       Canadian Imperial Bank of Commerce (Canada)      0.4   
  8.       Abbott Laboratories      0.4   
  9.       British American Tobacco plc (United Kingdom)      0.3   
  10.       Analog Devices, Inc.      0.3   

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Risk allocations are calculated as the standard deviation (volatility of an asset class) divided by the overall volatility of the Fund. Risk, as measured by standard deviation, shows how widely a set of values varies from the mean. It is a historical measure of the volatility of returns earned by the Fund. The percentages above represent the current risk allocation based on the Fund’s holdings as of October 31, 2016 and are not representative of the targeted equal risk allocation across asset classes over the long-term. Holdings and allocations may vary over time.
(1)   Convertible Arbitrage strategies seek to profit from the complexity of the pricing of convertible bonds (which contain elements of both a fixed income security and an equity option).
(2)   Equity Market Neutral strategies involve simultaneous investing in equities (i.e. investing long) that the Adviser expects to increase in value and selling equities (i.e. selling short) that the Adviser expects to decrease in value.
(3)   Event Driven strategies (e.g. merger arbitrage) seek to profit from investing in securities of companies on the basis that a specific event or catalyst will affect future pricing.
(4)   Macro Based Strategies aim to exploit macro economic imbalances across the globe through a broad range of asset classes including, but not limited to fixed income, currency and commodities.
(a)   Percentages indicated are based upon total investments plus the current value of the total net long and short positions within each Total Return Basket Swap as of October 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         3   


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JPMorgan Systematic Alpha Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2016

     INCEPTION DATE OF
CLASS
     1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 12, 2013               

With Sales Charge*

          (5.14 )%         0.27        1.37

Without Sales Charge

          (0.67 )        1.83          2.64  

CLASS C SHARES

   February 12, 2013               

With CDSC**

          (2.23 )        1.29          2.11  

Without CDSC

          (1.23 )        1.29          2.11  

CLASS R6 SHARES

   February 12, 2013        (0.25 )        2.29          3.09  

SELECT CLASS SHARES

   February 12, 2013        (0.46 )        2.06          2.88  

 

*   Sales Charge for Class A Shares is 4.50%.
**   Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/12/13 TO 10/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on February 12, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Systematic Alpha Fund and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index from February 12, 2013 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

From the inception of the Fund through July 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
4       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

SHARES

     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 55.5%

  

  

Consumer Discretionary — 8.0%

  

  

Auto Components — 0.5%

  

  56,000      

Calsonic Kansei Corp., (Japan)

    701,826   
  18,426      

Goodyear Tire & Rubber Co. (The)

    534,907   
  3,708      

Linamar Corp., (Canada)

    150,802   
  4,700      

Visteon Corp.

    331,867   
    

 

 

 
       1,719,402   
    

 

 

 
  

Automobiles — 0.2%

  

  14,300      

Fuji Heavy Industries Ltd., (Japan)

    558,794   
    

 

 

 
  

Diversified Consumer Services — 0.1%

  

  8,200      

Sotheby’s

    294,216   
    

 

 

 
  

Hotels, Restaurants & Leisure — 1.8%

  

  17,200      

Bloomin’ Brands, Inc.

    297,560   
  30,300      

Hilton Worldwide Holdings, Inc.

    684,780   
  5,300      

Hyatt Hotels Corp., Class A (a)

    269,187   
  13,333      

ILG, Inc.

    218,395   
  2,900      

Jack in the Box, Inc.

    271,817   
  30,300      

La Quinta Holdings, Inc. (a)

    303,303   
  24,752      

Marriott International, Inc., Class A

    1,700,462   
  4,100      

Marriott Vacations Worldwide Corp.

    260,678   
  7,539      

McDonald’s Corp.

    848,665   
  12,000      

SeaWorld Entertainment, Inc.

    168,120   
  1,972      

Wyndham Worldwide Corp.

    129,837   
  8,700      

Yum! Brands, Inc.

    750,636   
    

 

 

 
       5,903,440   
    

 

 

 
  

Household Durables — 0.7%

  

  17,146      

D.R. Horton, Inc.

    494,319   
  46,500      

Haseko Corp., (Japan)

    452,529   
  26,800      

Iida Group Holdings Co., Ltd., (Japan)

    518,031   
  8,500      

iRobot Corp. (a)

    430,950   
  39,300      

Sumitomo Forestry Co., Ltd., (Japan)

    547,459   
    

 

 

 
       2,443,288   
    

 

 

 
  

Leisure Products — 0.2%

  

  25,300      

Heiwa Corp., (Japan)

    594,330   
  9,733      

Smith & Wesson Holding Corp. (a)

    257,243   
    

 

 

 
       851,573   
    

 

 

 
  

Media — 1.2%

  

  12,291      

Carmike Cinemas, Inc. (a)

    401,301   
  13,500      

Discovery Communications, Inc., Class C (a)

    338,985   
  29,255      

Gannett Co., Inc.

    227,311   
  22,316      

Interpublic Group of Cos., Inc. (The)

    499,655   
  9,766      

Meredith Corp.

    442,888   

SHARES

     SECURITY DESCRIPTION   VALUE($)  
    
  

Media — continued

  

  6,247      

Omnicom Group, Inc.

    498,636   
  7,976      

Scripps Networks Interactive, Inc., Class A

    513,336   
  17,130      

Sinclair Broadcast Group, Inc., Class A

    429,963   
  6,800      

Starz, Class A (a)

    213,928   
  31,100      

TEGNA, Inc.

    610,182   
    

 

 

 
       4,176,185   
    

 

 

 
  

Multiline Retail — 0.1%

  

  6,800      

Big Lots, Inc.

    295,120   
    

 

 

 
  

Specialty Retail — 2.7%

  

  29,044      

Abercrombie & Fitch Co., Class A

    424,333   
  17,900      

Adastria Co., Ltd., (Japan)

    468,588   
  15,800      

American Eagle Outfitters, Inc.

    269,232   
  6,100      

Asbury Automotive Group, Inc. (a)

    310,795   
  19,600      

Ascena Retail Group, Inc. (a)

    95,844   
  50,067      

Cabela’s, Inc. (a)

    3,084,628   
  3,400      

Children’s Place, Inc. (The)

    258,230   
  34,105      

CST Brands, Inc.

    1,637,722   
  11,800      

DSW, Inc., Class A

    245,086   
  8,824      

Express, Inc. (a)

    106,064   
  6,900      

Genesco, Inc. (a)

    371,220   
  16,300      

GNC Holdings, Inc., Class A

    218,909   
  5,600      

Group 1 Automotive, Inc.

    337,512   
  28,563      

JB Hi-Fi Ltd., (Australia)

    615,731   
  4,600      

Murphy USA, Inc. (a)

    316,388   
  12,200      

Vitamin Shoppe, Inc. (a)

    305,610   
    

 

 

 
       9,065,892   
    

 

 

 
  

Textiles, Apparel & Luxury Goods — 0.5%

  

  10,225      

Michael Kors Holdings Ltd., (United Kingdom) (a)

    519,225   
  4,992      

PVH Corp.

    534,044   
  22,877      

Wolverine World Wide, Inc.

    488,424   
    

 

 

 
       1,541,693   
    

 

 

 
  

Total Consumer Discretionary

    26,849,603   
    

 

 

 
  

Consumer Staples — 5.1%

  

  

Beverages — 0.5%

  

  21,100      

Coca-Cola West Co., Ltd., (Japan)

    623,605   
  4,844      

PepsiCo, Inc.

    519,277   
  21,600      

Sapporo Holdings Ltd., (Japan)

    610,215   
    

 

 

 
       1,753,097   
    

 

 

 
  

Food & Staples Retailing — 1.6%

  

  7,733      

Andersons, Inc. (The)

    294,241   
  10,600      

Matsumotokiyoshi Holdings Co., Ltd., (Japan)

    546,094   
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         5   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Food & Staples Retailing — continued

  

  335,246      

Metcash Ltd., (Australia) (a)

    505,942   
  409,463      

Rite Aid Corp. (a)

    2,747,497   
  123,300      

SUPERVALU, Inc. (a)

    528,957   
  8,266      

Wal-Mart Stores, Inc.

    578,785   
    

 

 

 
       5,201,516   
    

 

 

 
  

Food Products — 2.2%

  

  9,692      

Campbell Soup Co.

    526,663   
  15,000      

ConAgra Foods, Inc.

    722,700   
  34,806      

Darling Ingredients, Inc. (a)

    473,362   
  7,482      

General Mills, Inc.

    463,734   
  3,520      

JM Smucker Co. (The)

    462,211   
  23,600      

Nichirei Corp., (Japan)

    516,053   
  6,560      

Sanderson Farms, Inc.

    590,269   
  7,776      

Tyson Foods, Inc., Class A

    550,930   
  56,768      

WhiteWave Foods Co. (The) (a)

    3,093,288   
    

 

 

 
       7,399,210   
    

 

 

 
  

Household Products — 0.5%

  

  11,473      

Energizer Holdings, Inc.

    533,609   
  6,342      

Procter & Gamble Co. (The)

    550,486   
  21,708      

Svenska Cellulosa AB S.C.A., (Sweden), Class B

    614,832   
    

 

 

 
       1,698,927   
    

 

 

 
  

Tobacco — 0.3%

  

  8,078      

Altria Group, Inc.

    534,117   
  5,389      

Philip Morris International, Inc.

    519,715   
    

 

 

 
       1,053,832   
    

 

 

 
  

Total Consumer Staples

    17,106,582   
    

 

 

 
  

Energy — 2.3%

  

  

Energy Equipment & Services — 1.3%

  

  41,925      

Archrock, Inc.

    486,330   
  10,242      

Forum Energy Technologies, Inc. (a)

    184,356   
  8,304      

Helmerich & Payne, Inc.

    524,066   
  84,728      

Noble Corp. plc, (United Kingdom)

    418,556   
  22,489      

Patterson-UTI Energy, Inc.

    505,553   
  34,068      

RPC, Inc. (a)

    588,354   
  6,617      

Schlumberger Ltd.

    517,648   
  30,733      

Superior Energy Services, Inc.

    435,179   
  95,697      

WorleyParsons Ltd., (Australia) (a)

    611,597   
    

 

 

 
       4,271,639   
    

 

 

 
  

Oil, Gas & Consumable Fuels — 1.0%

  

  29,867      

ARC Resources Ltd., (Canada)

    507,024   
  13,547      

CVR Energy, Inc.

    179,633   
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Oil, Gas & Consumable Fuels — continued

  

  174,866      

Denbury Resources, Inc. (a)

    417,930   
  6,751      

Exxon Mobil Corp.

    562,494   
  11,596      

Halcon Resources Corp. (a)

    103,784   
  40,111      

Husky Energy, Inc., (Canada)

    431,523   
  23,100      

Idemitsu Kosan Co., Ltd., (Japan)

    530,836   
  602      

PrairieSky Royalty Ltd., (Canada)

    13,092   
  3,800      

SandRidge Energy, Inc. (a)

    87,514   
  61,100      

Showa Shell Sekiyu KK, (Japan)

    569,287   
  916      

Southwestern Energy Co. (a)

    9,515   
    

 

 

 
       3,412,632   
    

 

 

 
  

Total Energy

    7,684,271   
    

 

 

 
  

Financials — 5.9%

  

  

Banks — 1.5%

  

  50,510      

Banc of California, Inc.

    671,783   
  7,880      

Bank of Montreal, (Canada)

    501,481   
  10,240      

Bank of Nova Scotia (The), (Canada)

    550,286   
  4,600      

Canadian Western Bank, (Canada)

    87,281   
  18,700      

CIT Group, Inc.

    679,371   
  27,800      

Investors Bancorp, Inc.

    340,828   
  16,538      

Popular, Inc., (Puerto Rico)

    600,329   
  8,460      

Royal Bank of Canada, (Canada)

    528,553   
  13,350      

Toronto-Dominion Bank (The), (Canada)

    605,742   
  21,129      

Trustmark Corp.

    584,851   
    

 

 

 
       5,150,505   
    

 

 

 
  

Capital Markets — 0.4%

  

  58,481      

BGC Partners, Inc., Class A

    502,352   
  26,470      

KCG Holdings, Inc., Class A (a)

    337,757   
  46,400      

SBI Holdings, Inc., (Japan)

    551,198   
    

 

 

 
       1,391,307   
    

 

 

 
  

Consumer Finance — 0.2%

  

  56,847      

Navient Corp.

    726,505   
    

 

 

 
  

Insurance — 3.2%

  

  8,637      

Aflac, Inc.

    594,830   
  5,700      

American International Group, Inc.

    351,690   
  4,517      

American National Insurance Co.

    529,212   
  3,800      

Assurant, Inc.

    305,976   
  17,489      

Assured Guaranty Ltd., (Bermuda)

    522,746   
  8,637      

Axis Capital Holdings Ltd., (Bermuda)

    492,050   
  269,207      

Delta Lloyd N.V., (Netherlands)

    1,626,370   
  25,802      

Endurance Specialty Holdings Ltd., (Bermuda)

    2,372,494   
  2,947      

Everest Re Group Ltd., (Bermuda)

    599,773   
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Insurance — continued

  

  6,309      

First American Financial Corp.

    246,430   
  14,397      

Industrial Alliance Insurance & Financial Services, Inc., (Canada)

    557,504   
  14,400      

MetLife, Inc.

    676,224   
  28,077      

Old Republic International Corp.

    473,378   
  16,435      

Unum Group

    581,799   
  400      

White Mountains Insurance Group Ltd.

    331,888   
  9,800      

XL Group Ltd., (Bermuda)

    340,060   
    

 

 

 
       10,602,424   
    

 

 

 
  

Thrifts & Mortgage Finance — 0.6%

  

  33,499      

EverBank Financial Corp.

    646,866   
  22,629      

Home Capital Group, Inc., (Canada)

    447,923   
  19,100      

Nationstar Mortgage Holdings, Inc. (a)

    288,601   
  35,580      

Northwest Bancshares, Inc.

    560,029   
    

 

 

 
       1,943,419   
    

 

 

 
  

Total Financials

    19,814,160   
    

 

 

 
  

Health Care — 4.4%

 
  

Biotechnology — 1.0%

 
  61,102      

Cepheid (a)

    3,232,296   
    

 

 

 
  

Health Care Equipment & Supplies — 1.4%

 
  45,803      

Alere, Inc. (a)

    2,046,478   
  31,092      

Ansell Ltd., (Australia)

    512,242   
  6,092      

Medtronic plc, (Ireland)

    499,666   
  9,165      

ResMed, Inc.

    547,792   
  3,480      

Teleflex, Inc.

    498,092   
  8,100      

Varian Medical Systems, Inc. (a)

    734,913   
    

 

 

 
       4,839,183   
    

 

 

 
  

Health Care Providers & Services — 0.8%

 
  24,800      

Alfresa Holdings Corp., (Japan)

    524,123   
  4,700      

Express Scripts Holding Co. (a)

    316,780   
  13,041      

HealthSouth Corp.

    523,596   
  3,865      

Laboratory Corp. of America Holdings (a)

    484,439   
  10,400      

Team Health Holdings, Inc. (a)

    445,640   
  4,796      

WellCare Health Plans, Inc. (a)

    544,394   
    

 

 

 
       2,838,972   
    

 

 

 
  

Life Sciences Tools & Services — 0.6%

 
  11,282      

Agilent Technologies, Inc.

    491,557   
  6,344      

Charles River Laboratories International, Inc. (a)

    481,383   
  9,915      

PerkinElmer, Inc.

    504,574   
  3,759      

Thermo Fisher Scientific, Inc.

    552,686   
    

 

 

 
       2,030,200   
    

 

 

 
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Pharmaceuticals — 0.6%

 
  9,000      

Hisamitsu Pharmaceutical Co., Inc., (Japan)

    480,079   
  8,431      

Merck & Co., Inc.

    495,068   
  24,500      

Mitsubishi Tanabe Pharma Corp., (Japan)

    476,880   
  14,853      

Pfizer, Inc.

    470,988   
    

 

 

 
       1,923,015   
    

 

 

 
  

Total Health Care

    14,863,666   
    

 

 

 
  

Industrials — 7.7%

 
  

Aerospace & Defense — 0.3%

 
  2,600      

Boeing Co. (The)

    370,318   
  39,463      

CAE, Inc., (Canada)

    554,300   
    

 

 

 
       924,618   
    

 

 

 
  

Airlines — 1.4%

 
  14,332      

Delta Air Lines, Inc.

    598,648   
  10,984      

Hawaiian Holdings, Inc. (a)

    494,554   
  5,500      

United Continental Holdings, Inc. (a)

    309,265   
  58,357      

Virgin America, Inc. (a)

    3,171,703   
    

 

 

 
       4,574,170   
    

 

 

 
  

Building Products — 0.2%

 
  6,003      

Universal Forest Products, Inc.

    516,198   
    

 

 

 
  

Commercial Services & Supplies — 1.1%

 
  48,306      

ACCO Brands Corp. (a)

    536,196   
  16,146      

Brady Corp., Class A

    534,433   
  142,496      

Downer EDI Ltd., (Australia)

    629,817   
  6,614      

G&K Services, Inc., Class A

    626,346   
  8,452      

Gategroup Holding AG, (Switzerland) (a)

    444,572   
  16,780      

Herman Miller, Inc.

    466,484   
  2,693      

Quad/Graphics, Inc.

    63,986   
  24,932      

West Corp.

    491,659   
    

 

 

 
       3,793,493   
    

 

 

 
  

Construction & Engineering — 0.8%

 
  30,600      

COMSYS Holdings Corp., (Japan)

    538,698   
  10,170      

EMCOR Group, Inc.

    614,878   
  92,700      

Penta-Ocean Construction Co., Ltd., (Japan)

    552,412   
  10,400      

Quanta Services, Inc. (a)

    299,000   
  54,300      

Tokyu Construction Co., Ltd., (Japan)

    548,691   
    

 

 

 
       2,553,679   
    

 

 

 
  

Electrical Equipment — 0.8%

 
  8,378      

Eaton Corp. plc

    534,265   
  8,838      

EnerSys

    575,619   
  114,000      

Fuji Electric Co., Ltd., (Japan)

    569,269   
  21,600      

Furukawa Electric Co., Ltd., (Japan)

    635,482   
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         7   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Electrical Equipment — continued

 
  34,000      

Nissin Electric Co., Ltd., (Japan)

    453,387   
    

 

 

 
       2,768,022   
    

 

 

 
  

Machinery — 2.2%

 
  46,800      

Amada Holdings Co., Ltd., (Japan)

    533,103   
  27,312      

Briggs & Stratton Corp.

    508,549   
  27,900      

Energy Recovery, Inc. (a)

    340,659   
  115,931      

Joy Global, Inc.

    3,226,360   
  6,468      

KUKA AG, (Germany) (a)

    733,994   
  74,000      

OKUMA Corp., (Japan)

    619,266   
  4,412      

Parker-Hannifin Corp.

    541,573   
  9,991      

SPX FLOW, Inc. (a)

    250,674   
  6,900      

Terex Corp.

    164,772   
  14,573      

Timken Co. (The)

    481,638   
  7,200      

Trinity Industries, Inc.

    153,720   
    

 

 

 
       7,554,308   
    

 

 

 
  

Professional Services — 0.2%

 
  7,244      

ManpowerGroup, Inc.

    556,339   
  56,702      

SAI Global Ltd., (Australia)

    201,628   
    

 

 

 
       757,967   
    

 

 

 
  

Trading Companies & Distributors — 0.7%

  

  11,522      

Applied Industrial Technologies, Inc.

    585,318   
  40,100      

ITOCHU Corp., (Japan)

    506,411   
  24,000      

MRC Global, Inc. (a)

    353,760   
  4,100      

United Rentals, Inc. (a)

    310,206   
  9,980      

WESCO International, Inc. (a)

    540,916   
    

 

 

 
       2,296,611   
    

 

 

 
  

Total Industrials

    25,739,066   
    

 

 

 
  

Information Technology — 13.4%

 
  

Communications Equipment — 0.7%

 
  4,292      

Cisco Systems, Inc.

    131,679   
  4,005      

F5 Networks, Inc. (a)

    553,531   
  7,140      

Motorola Solutions, Inc.

    518,221   
  7,696      

NETGEAR, Inc. (a)

    388,648   
  11,300      

NetScout Systems, Inc. (a)

    310,185   
  10,392      

Plantronics, Inc.

    537,370   
    

 

 

 
       2,439,634   
    

 

 

 
  

Electronic Equipment, Instruments & Components — 2.1%

  

  4,968      

Coherent, Inc. (a)

    517,268   
  17,796      

Corning, Inc.

    404,147   
  8,606      

Dolby Laboratories, Inc., Class A

    409,560   
  3,700      

ePlus, Inc. (a)

    338,735   
  88,873      

Ingram Micro, Inc., Class A

    3,306,076   
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Electronic Equipment, Instruments & Components — continued

   

  18,288      

Orbotech Ltd., (Israel) (a)

    501,091   
  7,377      

Rofin-Sinar Technologies, Inc. (a)

    240,121   
  16,609      

Sanmina Corp. (a)

    459,239   
  3,994      

SYNNEX Corp.

    409,545   
  31,974      

Vishay Intertechnology, Inc.

    450,833   
    

 

 

 
       7,036,615   
    

 

 

 
  

Internet Software & Services — 2.5%

 
  566      

Alphabet, Inc., Class A (a)

    458,403   
  12,351      

Cvent, Inc. (a)

    385,598   
  6,800      

GrubHub, Inc. (a)

    259,148   
  33,102      

inContact, Inc. (a)

    460,449   
  16,223      

LinkedIn Corp., Class A (a)

    3,075,881   
  15,500      

Mixi, Inc., (Japan)

    569,442   
  101,875      

Rackspace Hosting, Inc. (a)

    3,253,887   
    

 

 

 
       8,462,808   
    

 

 

 
  

IT Services — 1.0%

 
  800      

Alliance Data Systems Corp. (a)

    163,576   
  4,800      

Blackhawk Network Holdings, Inc. (a)

    165,360   
  3,071      

CSG Systems International, Inc.

    116,790   
  3,421      

International Business Machines Corp.

    525,773   
  17,100      

NeuStar, Inc., Class A (a)

    383,895   
  2,227      

Science Applications International Corp.

    153,463   
  18,206      

Sykes Enterprises, Inc. (a)

    486,828   
  22,100      

TIS, Inc., (Japan)

    500,089   
  3,004      

Total System Services, Inc.

    149,840   
  6,130      

Western Union Co. (The)

    123,029   
  65,600      

Xerox Corp.

    640,912   
    

 

 

 
       3,409,555   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 2.9%

  

  53,129      

AIXTRON SE, (Germany) (a)

    252,711   
  9,868      

Cabot Microelectronics Corp.

    545,306   
  14,900      

Cypress Semiconductor Corp.

    148,553   
  3,606      

Intel Corp.

    125,741   
  38,294      

Kulicke & Soffa Industries, Inc., (Singapore) (a)

    507,012   
  43,260      

Marvell Technology Group Ltd., (Bermuda)

    563,678   
  10,039      

MaxLinear, Inc., Class A (a)

    187,830   
  12,038      

Mellanox Technologies Ltd., (Israel) (a)

    522,449   
  8,535      

Microchip Technology, Inc.

    516,794   
  31,725      

NXP Semiconductors N.V., (Netherlands) (a)

    3,172,500   
  3,828      

Power Integrations, Inc.

    246,715   
  15,093      

Qorvo, Inc. (a)

    839,925   
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Semiconductors & Semiconductor Equipment — continued

  

  18,416      

Semtech Corp. (a)

    445,667   
  5,800      

Synaptics, Inc. (a)

    302,296   
  6,430      

Teradyne, Inc.

    149,755   
  7,601      

Texas Instruments, Inc.

    538,531   
  20,200      

Ulvac, Inc., (Japan)

    637,795   
    

 

 

 
       9,703,258   
    

 

 

 
  

Software — 3.3%

 
  15,502      

CA, Inc.

    476,531   
  4,973      

Citrix Systems, Inc. (a)

    421,710   
  35,000      

COLOPL, Inc., (Japan)

    503,285   
  3,100      

Ebix, Inc.

    173,600   
  35,715      

Fleetmatics Group plc, (Ireland) (a)

    2,139,329   
  24,003      

Infoblox, Inc. (a)

    636,080   
  9,645      

Interactive Intelligence Group, Inc. (a)

    583,040   
  14,900      

Konami Holdings Corp., (Japan)

    588,437   
  18,000      

Mentor Graphics Corp.

    520,200   
  29,788      

NetSuite, Inc. (a)

    2,773,859   
  17,400      

Nexon Co., Ltd., (Japan)

    296,200   
  28,679      

Nuance Communications, Inc. (a)

    402,080   
  7,463      

Open Text Corp., (Canada)

    463,370   
  3,228      

Oracle Corp.

    124,020   
  14,400      

Symantec Corp.

    360,432   
  6,349      

VMware, Inc., Class A (a)

    499,031   
    

 

 

 
       10,961,204   
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.9%

  

  41,500      

Hewlett Packard Enterprise Co.

    932,505   
  45,774      

Lexmark International, Inc., Class A

    1,816,770   
  8,100      

NCR Corp. (a)

    283,905   
    

 

 

 
       3,033,180   
    

 

 

 
  

Total Information Technology

    45,046,254   
    

 

 

 
  

Materials — 6.7%

  

  

Chemicals — 4.3%

  

  11,791      

Cabot Corp.

    614,783   
  31,681      

Chemtura Corp. (a)

    1,039,137   
  58,000      

Huntsman Corp.

    983,100   
  12,588      

Innophos Holdings, Inc.

    577,034   
  39,200      

Kuraray Co., Ltd., (Japan)

    594,292   
  40,500      

Mitsubishi Gas Chemical Co., Inc., (Japan)

    623,325   
  14,715      

Monsanto Co.

    1,482,830   
  8,972      

Stepan Co.

    637,281   
  8,133      

Syngenta AG, (Switzerland) (a)

    3,237,414   
  27,800      

Teijin Ltd., (Japan)

    537,135   
  91,000      

Tosoh Corp., (Japan)

    594,276   
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Chemicals — continued

  

  240,000      

Ube Industries Ltd., (Japan)

    495,261   
  30,548      

Valspar Corp. (The)

    3,042,581   
    

 

 

 
       14,458,449   
    

 

 

 
  

Construction Materials — 0.3%

  

  191,441      

CSR Ltd., (Australia)

    531,576   
  131,000      

Sumitomo Osaka Cement Co., Ltd., (Japan)

    542,565   
    

 

 

 
       1,074,141   
    

 

 

 
    
  

Containers & Packaging — 0.5%

  

  6,673      

Avery Dennison Corp.

    465,709   
  7,803      

Packaging Corp. of America

    643,748   
  86,000      

Rengo Co., Ltd., (Japan)

    539,332   
    

 

 

 
       1,648,789   
    

 

 

 
    
  

Metals & Mining — 1.6%

  

  86,765      

BlueScope Steel Ltd., (Australia)

    514,745   
  34,203      

Commercial Metals Co.

    537,329   
  138,569      

Fortescue Metals Group Ltd., (Australia)

    581,523   
  39,100      

Nisshin Steel Co., Ltd., (Japan)

    520,114   
  166,572      

Northern Star Resources Ltd., (Australia)

    538,767   
  10,293      

Nucor Corp.

    502,813   
  171,161      

Regis Resources Ltd., (Australia)

    431,659   
  22,646      

Steel Dynamics, Inc.

    621,859   
  12,258      

Worthington Industries, Inc.

    576,126   
  17,400      

Yamato Kogyo Co., Ltd., (Japan)

    489,892   
    

 

 

 
       5,314,827   
    

 

 

 
  

Total Materials

    22,496,206   
    

 

 

 
  

Real Estate — 0.1%

  

  

Real Estate Management & Development — 0.1%

  

  79,300      

Leopalace21 Corp., (Japan)

    515,592   
    

 

 

 
  

Telecommunication Services — 0.3%

  

  

Wireless Telecommunication Services — 0.3%

  

  17,000      

KDDI Corp., (Japan)

    516,684   
  19,700      

NTT DOCOMO, Inc., (Japan)

    494,746   
    

 

 

 
  

Total Telecommunication Services

    1,011,430   
    

 

 

 
  

Utilities — 1.6%

  

  

Electric Utilities — 0.7%

  

  3,093      

ALLETE, Inc.

    189,570   
  8,050      

American Electric Power Co., Inc.

    521,962   
  24,190      

Empire District Electric Co. (The)

    828,024   
  14,422      

Exelon Corp.

    491,358   
  15,862      

OGE Energy Corp.

    492,356   
    

 

 

 
       2,523,270   
    

 

 

 
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         9   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Gas Utilities — 0.2%

  

  114,405      

Snam S.p.A., (Italy)

    602,779   
    

 

 

 
  

Independent Power & Renewable Electricity Producers — 0.5%

   

  113,731      

Talen Energy Corp. (a)

    1,584,273   
    

 

 

 
  

Multi-Utilities — 0.2%

  

  38,641      

AGL Energy Ltd., (Australia)

    562,904   
    

 

 

 
  

Total Utilities

    5,273,226   
    

 

 

 
  

Total Common Stocks
(Cost $183,431,641)

    186,400,056   
    

 

 

 

 

Preferred Stocks — 2.0%

  

  

Consumer Staples — 0.1%

  

  

Food Products — 0.1%

  

  6,279      

Tyson Foods, Inc., 4.750%, 07/15/17 ($50 par value)

    483,923   
    

 

 

 
  

Energy — 0.4%

  

  

Oil, Gas & Consumable Fuels — 0.4%

  

  7,617      

Hess Corp., 8.000%, 02/01/19 ($50 par value)

    450,546   
  10,323      

Kinder Morgan, Inc., Series A, 9.750%, 10/26/18 ($49 par value)

    475,374   
  15,459      

Southwestern Energy Co., Series B, 6.250%, 01/15/18 ($50 par value)

    387,557   
    

 

 

 
  

Total Energy

    1,313,477   
    

 

 

 
  

Financials — 0.3%

  

  

Banks — 0.3%

  

  359      

Bank of America Corp., Series L, 7.250% ($1,000 par value)

    441,929   
  360      

Wells Fargo & Co., Series L, 7.500% ($1,000 par value)

    469,800   
    

 

 

 
  

Total Financials

    911,729   
    

 

 

 
  

Health Care — 0.3%

  

  

Health Care Providers & Services — 0.1%

  

  8,965      

Anthem, Inc., 5.250%, 05/01/18 ($50 par value)

    378,771   
    

 

 

 
  

Pharmaceuticals — 0.2%

  

  875      

Allergan plc, (Ireland), Series A, 5.500%, 03/01/18 ($1,000 par value)

    672,875   
    

 

 

 
  

Total Health Care

    1,051,646   
    

 

 

 
  

Materials — 0.1%

  

  

Metals & Mining — 0.1%

  

  6,716      

Arconic, Inc., Series 1, 5.375%, 10/01/17 ($50 par value)

    207,524   
    

 

 

 
    
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Real Estate — 0.1%

  

  

Equity Real Estate Investment Trusts (REITs) — 0.1%

  

  4,750      

Welltower, Inc., Series I, 6.500% ($50 par value)

    293,503   
    

 

 

 
  

Telecommunication Services — 0.4%

  

  

Diversified Telecommunication Services — 0.2%

  

  6,800      

Frontier Communications Corp., Series A, 11.125%, 06/29/18 ($100 par value)

    567,868   
    

 

 

 
  

Wireless Telecommunication Services — 0.2%

  

  8,800      

T-Mobile U.S., Inc., 5.500%, 12/15/17 ($50 par value)

    727,320   
    

 

 

 
  

Total Telecommunication Services

    1,295,188   
    

 

 

 
  

Utilities — 0.3%

  

  

Electric Utilities — 0.3%

  

  10,125      

Exelon Corp., 6.500%, 06/01/17 ($50 par value)

    482,963   
  6,900      

NextEra Energy, Inc., 6.371%, 09/01/18 ($50 par value)

    421,107   
    

 

 

 
       904,070   
    

 

 

 
  

Multi-Utilities — 0.0% (g)

  

  3,750      

Dominion Resources, Inc., 6.375%, 07/01/17 ($50 par value)

    188,362   
    

 

 

 
  

Total Utilities

    1,092,432   
    

 

 

 
  

Total Preferred Stocks
(Cost $6,732,314)

    6,649,422   
    

 

 

 
PRINCIPAL
AMOUNT($)/
UNITS
              

 

Convertible Bonds — 7.6%

  

  

Consumer Discretionary — 0.9%

  

  

Automobiles — 0.1%

  

 

 

650,000

Units

  

  

  

Fiat Chrysler Automobiles N.V., (Netherlands), 7.875%, 12/15/16

    426,257   
    

 

 

 
  

Internet & Direct Marketing Retail — 0.5%

  

  

Priceline Group, Inc. (The),

 
  148,000      

0.350%, 06/15/20

    189,625   
  150,000      

1.000%, 03/15/18

    237,750   
  639,000      

Shutterfly, Inc., 0.250%, 05/15/18

    639,399   
  538,000      

Vipshop Holdings Ltd., (Cayman Islands), 1.500%, 03/15/19

    571,625   
    

 

 

 
       1,638,399   
    

 

 

 
  

Media — 0.2%

  

  678,000      

Liberty Media Corp., 1.375%, 10/15/23

    693,679   
    

 

 

 
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
PRINCIPAL
AMOUNT($)/
UNITS
     SECURITY DESCRIPTION   VALUE($)  

 

Convertible Bonds — continued

  

  

Textiles, Apparel & Luxury Goods — 0.1%

  

  194,000      

Iconix Brand Group, Inc., 1.500%, 03/15/18

    165,385   
    

 

 

 
  

Total Consumer Discretionary

    2,923,720   
    

 

 

 
  

Energy — 0.1%

  

  

Energy Equipment & Services — 0.1%

  

  816,000      

Hornbeck Offshore Services, Inc., 1.500%, 09/01/19

    508,470   
    

 

 

 
  

Financials — 0.6%

  

  

Capital Markets — 0.4%

  

  478,000      

Jefferies Group LLC, 3.875%, 11/01/29

    484,572   
  706,000      

Prospect Capital Corp., 4.750%, 04/15/20

    693,204   
    

 

 

 
       1,177,776   
    

 

 

 
  

Mortgage Real Estate Investment Trusts (REITs) — 0.2%

  

  

Starwood Property Trust, Inc.,

 
  387,000      

4.000%, 01/15/19

    432,715   
  266,000      

4.550%, 03/01/18

    290,106   
    

 

 

 
       722,821   
    

 

 

 
  

Total Financials

    1,900,597   
    

 

 

 
  

Health Care — 1.9%

  

  

Biotechnology — 0.6%

  

  779,000      

Acorda Therapeutics, Inc., 1.750%, 06/15/21

    603,238   
  

BioMarin Pharmaceutical, Inc.,

 
  412,000      

0.750%, 10/15/18

    460,925   
  373,000      

1.500%, 10/15/20

    434,545   
  661,000      

Ionis Pharmaceuticals, Inc., 1.000%, 11/15/21

    541,194   
    

 

 

 
       2,039,902   
    

 

 

 
  

Health Care Equipment & Supplies — 0.1%

  

  

Hologic, Inc.,

 
  168,000      

SUB, 0.000%, 12/15/43

    202,755   
  174,000      

Series 2012, SUB, 2.000%, 03/01/42

    222,067   
    

 

 

 
       424,822   
    

 

 

 
  

Health Care Providers & Services — 0.6%

  

  133,000      

Anthem, Inc., 2.750%, 10/15/42

    228,344   
  652,000      

Brookdale Senior Living, Inc., 2.750%, 06/15/18

    634,478   
  408,000      

HealthSouth Corp., 2.000%, 12/01/43

    474,300   
  

Molina Healthcare, Inc.,

 
  274,000      

1.125%, 01/15/20

    393,533   
  369,000      

1.625%, 08/15/44

    427,117   
    

 

 

 
       2,157,772   
    

 

 

 
    
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Health Care Technology — 0.2%

  

  593,000      

Allscripts Healthcare Solutions, Inc., 1.250%, 07/01/20

    585,958   
    

 

 

 
  

Life Sciences Tools & Services — 0.1%

  

  187,000      

Illumina, Inc., 0.500%, 06/15/21

    186,883   
    

 

 

 
  

Pharmaceuticals — 0.3%

  

  142,000      

Impax Laboratories, Inc., 2.000%, 06/15/22

    123,185   
  800,000      

Jazz Investments I Ltd., (Bermuda), 1.875%, 08/15/21

    793,000   
    

 

 

 
       916,185   
    

 

 

 
  

Total Health Care

    6,311,522   
    

 

 

 
    
  

Industrials — 0.1%

  

  

Machinery — 0.1%

  

  465,000      

Trinity Industries, Inc., 3.875%, 06/01/36

    517,603   
    

 

 

 
  

Information Technology — 3.3%

 
  

Communications Equipment — 0.2%

 
  520,000      

Brocade Communications Systems, Inc., 1.375%, 01/01/20

    515,450   
  201,000      

Ciena Corp., 3.750%, 10/15/18 (e)

    238,687   
    

 

 

 
       754,137   
    

 

 

 
  

Internet Software & Services — 0.7%

  

  643,000      

Akamai Technologies, Inc., Zero Coupon, 02/15/19

    675,954   
  573,000      

j2 Global, Inc., 3.250%, 06/15/29

    693,330   
  597,000      

SINA Corp., (Cayman Islands), 1.000%, 12/01/18

    592,523   
  535,000      

Yandex N.V., (Netherlands), 1.125%, 12/15/18

    512,262   
    

 

 

 
       2,474,069   
    

 

 

 
  

IT Services — 0.2%

  

  414,000      

Euronet Worldwide, Inc., 1.500%, 10/01/44

    511,549   
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 1.4%

  

  

Intel Corp.,

 
  221,000      

2.950%, 12/15/35

    287,438   
  210,000      

3.250%, 08/01/39

    360,019   
  273,000      

Lam Research Corp., 1.250%, 05/15/18

    442,772   
  429,000      

Microchip Technology, Inc., 1.625%, 02/15/25

    532,496   
  932,000      

Micron Technology, Inc., Series G, 3.000%, 11/15/43

    821,908   
  101,000      

Novellus Systems, Inc., 2.625%, 05/15/41

    287,534   
  183,000      

NVIDIA Corp., 1.000%, 12/01/18

    644,274   
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         11   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

    
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  

 

Convertible Bonds — continued

  

  

Semiconductors & Semiconductor Equipment — continued

  

  600,000      

NXP Semiconductors N.V., (Netherlands), 1.000%, 12/01/19

    688,500   
  221,000      

ON Semiconductor Corp., Series B, 2.625%, 12/15/26

    253,736   
  286,000      

Xilinx, Inc., 2.625%, 06/15/17

    503,360   
    

 

 

 
       4,822,037   
    

 

 

 
  

Software — 0.8%

  

  440,000      

Citrix Systems, Inc., 0.500%, 04/15/19

    493,625   
  236,000      

Nuance Communications, Inc., 2.750%, 11/01/31

    236,590   
  478,000      

Red Hat, Inc., 0.250%, 10/01/19

    591,824   
  780,000      

Rovi Corp., 0.500%, 03/01/20

    783,412   
  541,000      

Verint Systems, Inc., 1.500%, 06/01/21

    509,893   
    

 

 

 
       2,615,344   
    

 

 

 
  

Total Information Technology

    11,177,136   
    

 

 

 
  

Materials — 0.3%

  

  

Metals & Mining — 0.3%

  

  435,000      

Newmont Mining Corp., Series B, 1.625%, 07/15/17

    466,266   
  438,000      

Royal Gold, Inc., 2.875%, 06/15/19

    469,207   
    

 

 

 
  

Total Materials

    935,473   
    

 

 

 
  

Real Estate — 0.2%

  

  

Equity Real Estate Investment Trusts (REITs) — 0.2%

  

  

Spirit Realty Capital, Inc.,

 
  276,000      

2.875%, 05/15/19

    291,180   
  305,000      

3.750%, 05/15/21

    331,878   
    

 

 

 
  

Total Real Estate

    623,058   
    

 

 

 
    
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Utilities — 0.2%

  

  

Independent Power & Renewable Electricity Producers — 0.2%

   

  758,000      

NRG Yield, Inc., 3.500%, 02/01/19 (e)

    750,420   
    

 

 

 
  

Total Convertible Bonds
(Cost $25,721,968)

    25,647,999   
    

 

 

 
NUMBER OF
RIGHTS
              

 

Rights — 0.0% (g)

  

  

Health Care — 0.0%

  

  

Biotechnology — 0.0%

  

  2,982      

Chelsea Therapeutics International Ltd. (a)

      
    

 

 

 
  

Telecommunication Services — 0.0% (g)

  

  

Wireless Telecommunication Services — 0.0% (g)

  

  3,314      

Leap Wireless International, Inc. (a)

    8,351   
    

 

 

 
  

Total Rights
(Cost $—)

    8,351   
    

 

 

 
SHARES               

 

Short-Term Investment — 31.5%

  

  

Investment Company — 31.5%

  

  105,894,211      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.290% (b) (l) ^^
(Cost $105,894,211)

    105,894,211   
    

 

 

 
  

Total Investments — 96.6%
(Cost 321,780,134)

    324,600,039   
  

Other Assets in Excess of
Liabilities — 3.4%

    11,262,444   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 335,862,483   
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
    

Long Futures Outstanding

                   
  21        

LME Zinc Futures^

       11/14/16           USD         $ 1,287,825         $ 61,599   
  9        

CAC 40 Index

       11/18/16           EUR           445,169           (6,316
  1        

WTI Crude Oil Futures^

       11/21/16           USD           46,860           (3,502
  6        

Cotton No.2 Futures^

       12/07/16           USD           206,580           18,143   
  59        

Euro Bobl

       12/08/16           EUR           8,491,634           (29,558
  14        

Euro Bund

       12/08/16           EUR           2,492,310           (31,712
  292        

Euro Schatz

       12/08/16           EUR           35,894,405           (18,516
  3        

Euro-Buxl 30-Year Bond

       12/08/16           EUR           592,390           (27,997

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
     NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  298        

10 Year Australian Government Bond

       12/15/16         AUD      $ 30,063,987         $ (629,061
  5        

SPI 200 Index

       12/15/16         AUD        501,827           6,887   
  2        

DAX Index

       12/16/16         EUR        586,744           17,366   
  5        

E-mini S&P 500

       12/16/16         USD        530,025           (11,120
  10        

Euro STOXX 50 Index

       12/16/16         EUR        335,284           6,197   
  9        

FTSE 100 Index

       12/16/16         GBP        761,770           33,793   
  12        

10 Year Canadian Government Bond

       12/19/16         CAD        1,293,849           (18,451
  8        

Coffee ‘C’ Futures^

       12/19/16         USD        492,450           72,558   
  6        

LME Nickel Futures^

       12/19/16         USD        376,398           14,256   
  70        

LME Primary Aluminum Futures^

       12/19/16         USD        3,033,625           43,303   
  34        

LME Zinc Futures^

       12/19/16         USD        2,089,300           49,622   
  285        

10 Year U.S. Treasury Note

       12/20/16         USD        36,943,125           (456,721
  3        

U.S. Treasury Long Bond

       12/20/16         USD        488,156           (21,757
  3        

Gold 100 OZ Futures^

       12/28/16         USD        381,930           (11,438
  13        

Long Gilt

       12/28/16         GBP        1,994,410           (74,396
  6        

Natural Gas Futures^

       12/28/16         USD        191,700           (17,426
  2        

Silver Futures^

       12/28/16         USD        177,960           (8,245
  15        

5 Year U.S. Treasury Note

       12/30/16         USD        1,811,953           (7,891
  32        

Soybean Futures^

       01/13/17         USD        1,618,800           (8,657
  33        

LME Primary Aluminum Futures^

       01/16/17         USD        1,431,581           (2,575
  4        

Feeder Cattle Futures^

       01/26/17         USD        232,000           188   
  16        

Sugar No. 11 (World Markets) Futures^

       02/28/17         USD        386,534           28,625   
  70        

Cocoa Futures^

       03/16/17         USD        1,850,100           (139,184
  20        

Coffee ‘C’ Futures^

       03/21/17         USD        1,256,625           (7,577
  20        

Feeder Cattle Futures^

       03/30/17         USD        1,122,750           (14,196
  55        

Sugar No. 11 (World Markets) Futures^

       04/28/17         USD        1,300,376           10,592   
  49        

Cocoa Futures^

       05/15/17         USD        1,285,760           (51,553
  43        

Sugar No. 11 (World Markets) Futures^

       06/30/17         USD        990,170           (22,984
    

Short Futures Outstanding

                   
  (21     

LME Zinc Futures^

       11/14/16         USD        (1,287,825        7,812   
  (157     

Euro Bund

       12/08/16         EUR        (27,949,472        424,631   
  (4     

10 Year Japanese Government Bond

       12/13/16         JPY        (5,786,593        1,988   
  (22     

CBOT Wheat Futures^

       12/14/16         USD        (457,875        84,635   
  (18     

Corn Futures^

       12/14/16         USD        (319,275        6,347   
  (29     

Lean Hogs Futures^

       12/14/16         USD        (556,220        69,534   
  (2     

3 Year Australian Government Bond

       12/15/16         AUD        (171,243        45   
  (475     

E-mini S&P 500

       12/16/16         USD        (50,352,375        1,256,190   
  (3     

FTSE/MIB Index

       12/16/16         EUR        (281,743        (8,466
  (234     

10 Year Canadian Government Bond

       12/19/16         CAD        (25,230,060        362,847   
  (2     

LME Nickel Futures^

       12/19/16         USD        (125,466        264   
  (13     

LME Primary Aluminum Futures^

       12/19/16         USD        (563,388        (32,839
  (3     

LME Zinc Futures^

       12/19/16         USD        (184,350        (12,065
  (32     

WTI Crude Oil Futures^

       12/20/16         USD        (1,518,720        42,746   
  (4     

Copper Futures^

       12/28/16         USD        (220,500        (7,135
  (47     

Natural Gas Futures^

       12/28/16         USD        (1,501,650        32,437   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         13   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Futures Contracts  
NUMBER OF
CONTRACTS
       DESCRIPTION      EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  (1     

2 Year U.S. Treasury Note

       12/30/16           USD         $ (218,141      $ (158
  (51     

Live Cattle Futures^

       12/30/16           USD           (2,107,830        21,280   
  (2     

Soybean Futures^

       01/13/17           USD           (101,175        (2,706
  (21     

WTI Crude Oil Futures^

       01/20/17           USD           (1,009,050        11,705   
  (11     

Feeder Cattle Futures^

       01/26/17           USD           (638,000        11,693   
  (15     

Natural Gas Futures^

       01/27/17           USD           (483,450        7,951   
  (130     

Lean Hogs Futures^

       02/14/17           USD           (2,840,500        168,477   
  (167     

CBOT Wheat Futures^

       03/14/17           USD           (3,621,813        (31,930
  (20     

Cocoa Futures^

       03/16/17           USD           (528,600        (4,128
  (46     

Lean Hogs Futures^

       04/17/17           USD           (1,141,720        (3,276
  (65     

CBOT Wheat Futures^

       05/12/17           USD           (1,456,812        (64,954
  (38     

Corn Futures^

       05/12/17           USD           (702,050        363   
                        

 

 

 
                         $ 1,085,584   
                        

 

 

 

 

Forward Foreign Currency Exchange Contracts  
CONTRACTS
TO BUY
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  13,419,592      AUD   

State Street Corp.

       11/22/16         $ 10,111,482         $ 10,202,894         $ 91,412   
  8,007,698      BRL   

Merrill Lynch International†

       11/22/16           2,471,054           2,493,020           21,966   
  84,731      CAD   

Royal Bank of Canada

       11/22/16           63,964           63,179           (785
  7,343,032,900      COP   

Merrill Lynch International†

       11/22/16           2,492,543           2,434,046           (58,497
  2,955,485      EUR   

Citibank, N.A.

       11/22/16           3,261,921           3,246,960           (14,961
  103,111,360      JPY   

Royal Bank of Scotland

       11/22/16           983,022           983,871           849   
  51,334,289      NOK   

Citibank, N.A.

       11/22/16           6,245,801           6,213,194           (32,607
  29,064,934      NZD   

Standard Chartered Bank

       11/22/16           20,507,950           20,767,222           259,272   
  161,900,546      RUB   

Merrill Lynch International†

       11/22/16           2,536,116           2,540,734           4,618   
  7,334,815      TRY   

Standard Chartered Bank

       11/22/16           2,348,041           2,360,455           12,414   
  33,432,079      ZAR   

Goldman Sachs International

       11/22/16           2,314,549           2,469,643           155,094   
               $ 53,336,443         $ 53,775,218         $ 438,775   

 

 

 

 

CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  7,993,608      AUD   

State Street Corp.

       11/22/16         $ 6,023,077         $ 6,077,528         $ (54,451
  7,382,137      CAD   

Standard Chartered Bank

       11/22/16           5,572,433           5,504,426           68,007   
  27,064,931      CHF   

Citibank, N.A.

       11/22/16           27,438,339           27,378,121           60,218   
  59,586,601      CZK   

Standard Chartered Bank

       11/22/16           2,433,633           2,422,053           11,580   
  2,731,029      EUR   

Citibank, N.A.

       11/22/16           3,014,192           3,000,367           13,825   
  5,313,602      GBP   

Citibank, N.A.

       11/22/16           6,479,725           6,506,335           (26,610
  688,319,946      HUF   

Standard Chartered Bank

       11/22/16           2,474,403           2,447,379           27,024   
  9,394,746      ILS   

Citibank, N.A.

       11/22/16           2,478,862           2,449,996           28,866   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
CONTRACTS
TO SELL
    CURRENCY    COUNTERPARTY      SETTLEMENT
DATE
       SETTLEMENT
VALUE
       VALUE AT
OCTOBER 31, 2016
       NET UNREALIZED
APPRECIATION
(DEPRECIATION)
 
  638,863,107      JPY   

Citibank, N.A.

       11/22/16         $ 6,164,095         $ 6,095,923         $ 68,172   
  2,547,535,397      JPY   

HSBC Bank, N.A.

       11/22/16           24,573,122           24,308,151           264,971   
  9,886,349      RON   

Goldman Sachs International

       11/22/16           2,419,706           2,409,244           10,462   
  83,240,860      SEK   

Citibank, N.A.

       11/22/16           9,438,593           9,224,264           214,329   
  78,595,161      TWD   

Standard Chartered Bank†

       11/22/16           2,471,857           2,491,251           (19,394
               $ 100,982,037         $ 100,315,038         $ 666,999   

 

 

 

 

Total Return Basket Swaps* Outstanding at October 31, 2016            
COUNTERPARTY    DESCRIPTION      TERMINATION
DATE
       VALUE**  

Bank of America N.A.

   The Fund receives the total return on a portfolio of long and short positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swap.        08/29/17         $ 18,615   

Bank of America N.A.

   The Fund receives the total return on a portfolio of long and short positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swap.        10/02/17           1,681   

Union Bank of Switzerland AG

   The Fund receives the total return on a portfolio of long and short positions and pays one month LIBOR plus a spread for long positions, with the exception of long positions denominated in HKD which pays one day LIBOR plus a spread, or one day Federal Funds floating rate for short positions, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.        02/05/18           (9,541

Union Bank of Switzerland AG

   The Fund receives the total return on a portfolio of long and short positions and pays one month LIBOR plus a spread for long positions, with the exception of long positions denominated in ZAR which pays one day LIBOR plus a spread, or one day Federal Funds floating rate for short positions, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio.        02/05/18           37,516   
            

 

 

 
             $ 48,271   
            

 

 

 

 

*   See the accompanying “Additional Information — Total Return Basket Swaps” for further details.
**   This represents the value of the swap subsequent to reset.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         15   


Table of Contents

JPMorgan Systematic Alpha Fund

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

AUD  

—  Australian Dollar

BRL  

—  Brazilian Real

CAC  

—  Continuous Assisted Quotation

CAD  

—  Canadian Dollar

CBOT  

—  Chicago Board of Trade

CHF  

—  Swiss Franc

COP  

—  Colombian Peso

CZK  

—  Czech Republic Koruna

DAX  

—  German Stock Index

EUR  

—  Euro

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

HKD  

—  Hong Kong Dollar

HUF  

—  Hungarian Forint

ILS  

—  Israeli Shekel

JPY  

—  Japanese Yen

LIBOR  

—  London Interbank Offered Rate

LME  

—  London Metal Exchange

MIB  

—  Milan, Italian Stock Exchange

NOK  

—  Norwegian Krone

NZD  

—  New Zealand Dollar

RON  

—  Romanian Leu

RUB  

—  Russian Ruble

SEK  

—  Swedish Krona

SPI  

—  Australian Securities Exchange

SUB  

—  Step-Up Bond. The interest rate shown is the rate in effect as of October 31, 2016.

TRY  

—  New Turkish Lira

TWD  

—  Taiwan Dollar

USD  

—  United States Dollar

WTI  

—  West Texas Intermediate

ZAR  

—  South African Rand

(a)  

—  Non-income producing security.

(b)  

—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of October 31, 2016.

 

—  Non-deliverable forward. See Note 2.C.(2) in the notes to consolidated financial statements.

^  

—  Represents positions held in the Subsidiary.

^^  

—  A portion of the position is held by the Subsidiary.

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions  
Common Stocks                    

Consumer Discretionary — 0.9%

                   

Automobiles — 0.1%

                   

Peugeot S.A. (France) (a)

       12,121           181,558           181,512           (46

Renault S.A. (France)

       1,680           145,896           146,096           200   
    

 

 

      

 

 

      

 

 

      

 

 

 
       13,801           327,454           327,608           154   
    

 

 

      

 

 

      

 

 

      

 

 

 

Distributors — 0.0% (g)

                   

Inchcape plc (United Kingdom)

       14,625           116,446           116,279           (167
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure — 0.1%

                   

William Hill plc (United Kingdom)

       40,526           146,728           146,601           (127
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables — 0.2%

                   

Barratt Developments plc (United Kingdom)

       98,276           545,755           544,983           (772

Bovis Homes Group plc (United Kingdom)

       17,604           163,221           162,991           (230
    

 

 

      

 

 

      

 

 

      

 

 

 
       115,880           708,976           707,974           (1,002
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.3%

                   

Mediaset Espana Comunicacion S.A. (Spain)

       46,403           518,303           517,821           (482

Pearson plc (United Kingdom)

       58,053           538,256           537,069           (1,187
    

 

 

      

 

 

      

 

 

      

 

 

 
       104,456           1,056,559           1,054,890           (1,669
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail — 0.2%

                   

Kingfisher plc (United Kingdom)

       108,884           481,519           480,987           (532
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       398,172           2,837,682           2,834,339           (3,343
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 0.1%

                   

Personal Products — 0.1%

                   

Unilever plc (United Kingdom)

       11,463           479,570           478,571           (999
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 0.8%

                   

Capital Markets — 0.1%

                   

Investec plc (South Africa)

       87,347           543,117           542,092           (1,025
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance — 0.5%

                   

NN Group N.V. (Netherlands)

       20,313           612,096           611,881           (215

Phoenix Group Holdings (United Kingdom)

       50,975           455,784           455,377           (407

Poste Italiane S.p.A (Italy)

       78,253           520,997           520,908           (89
    

 

 

      

 

 

      

 

 

      

 

 

 
       149,541           1,588,877           1,588,166           (711
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance — 0.2%

                   

Aareal Bank AG (Germany)

       16,604           599,032           600,569           1,537   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       253,492           2,731,026           2,730,827           (199
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 0.2%

                   

Pharmaceuticals — 0.2%

                   

Recordati S.p.A. (Italy)

       17,366           491,457           491,091           (366
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials — 0.8%

                   

Commercial Services & Supplies — 0.2%

                   

Babcock International Group plc (United Kingdom)

       43,082           521,523           520,768           (755
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment — 0.2%

                   

Schneider Electric SE (France)

       8,773           588,812           589,985           1,173   
    

 

 

      

 

 

      

 

 

      

 

 

 

Professional Services — 0.1%

                   

RELX plc (United Kingdom)

       28,462           508,976           508,051           (925
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors — 0.3%

                   

Kloeckner & Co. SE (Germany) (a)

       37,905           473,108           473,353           245   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         17   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued  
Common Stocks — continued                    

Trading Companies & Distributors — continued

                   

Rexel S.A. (France)

       41,171           571,045           571,010           (35
    

 

 

      

 

 

      

 

 

      

 

 

 
       79,076           1,044,153           1,044,363           210   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       159,393           2,663,464           2,663,167           (297
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 0.3%

                   

Electronic Equipment, Instruments & Components — 0.1%

                   

Spectris plc (United Kingdom)

       20,834           522,512           521,653           (859
    

 

 

      

 

 

      

 

 

      

 

 

 

Software — 0.2%

                   

Playtech plc (United Kingdom)

       47,218           536,336           535,599           (737
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       68,052           1,058,848           1,057,252           (1,596
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 0.3%

                   

Chemicals — 0.1%

                   

Covestro AG (Germany)

       9,136           539,964           541,010           1,046   
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining — 0.2%

                   

Glencore plc (Switzerland) (a)

       187,769           574,573           574,781           208   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       196,905           1,114,537           1,115,791           1,254   
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate — 0.2%

                   

Real Estate Management & Development — 0.2%

                   

Swiss Prime Site AG (Switzerland) (a)

       5,989           496,587           496,723           136   
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 0.1%

                   

Diversified Telecommunication Services — 0.1%

                   

Sunrise Communications Group AG (Switzerland) (a)

       6,914           472,322           472,401           79   
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities — 0.4%

                   

Electric Utilities — 0.3%

                   

Enel S.p.A. (Italy)

       117,863           507,186           506,733           (453

SSE plc (United Kingdom)

       25,277           492,240           491,462           (778
    

 

 

      

 

 

      

 

 

      

 

 

 
       143,140           999,426           998,195           (1,231
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities — 0.1%

                   

Centrica plc (United Kingdom)

       173,041           453,680           453,238           (442
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       316,181           1,453,106           1,451,433           (1,673
    

 

 

      

 

 

      

 

 

      

 

 

 

Right

                   

Financials — 0.0% (g)

                   

Insurance — 0.0% (g)

                   

Phoenix Group Holdings (United Kingdom) (a)

       29,735           80,798           80,798             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,463,662           13,879,397           13,872,393           (7,004
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary — 2.7%

                   

Diversified Consumer Services — 0.1%

                   

Bright Horizons Family Solutions, Inc. (a)

       6,461           432,306           432,306             
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure — 0.6%

                   

Chipotle Mexican Grill, Inc. (a)

       276           99,570           99,570             

ClubCorp Holdings, Inc.

       9,617           111,076           111,076             

Norwegian Cruise Line Holdings Ltd. (a)

       11,995           466,246           466,246             

Red Robin Gourmet Burgers, Inc. (a)

       8,879           408,434           408,434             

Resorttrust, Inc. (Japan)

       5,200           104,178           103,939           239   

Starbucks Corp.

       8,319           441,489           441,489             

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Hotels, Restaurants & Leisure — continued

                   

Whitbread plc (United Kingdom)

       3,392           149,535           149,843           (308
    

 

 

      

 

 

      

 

 

      

 

 

 
       47,678           1,780,528           1,780,597           (69
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail — 0.0% (g)

                   

HSN, Inc.

       2,760           104,052           104,052             
    

 

 

      

 

 

      

 

 

      

 

 

 

Leisure Products — 0.3%

                   

Polaris Industries, Inc.

       5,986           458,587           458,587             

Shimano, Inc. (Japan)

       2,900           496,653           495,841           812   
    

 

 

      

 

 

      

 

 

      

 

 

 
       8,886           955,240           954,428           812   
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.3%

                   

Dentsu, Inc. (Japan)

       9,100           454,696           453,628           1,068   

IMAX Corp. (Canada) (a)

       15,275           462,069           462,069             

REA Group Ltd. (Australia)

       4,739           184,358           183,790           568   
    

 

 

      

 

 

      

 

 

      

 

 

 
       29,114           1,101,123           1,099,487           1,636   
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail — 0.2%

                   

B&M European Value Retail S.A. (Luxembourg)

       40,082           115,210           115,074           136   

Hudson’s Bay Co. (Canada)

       33,483           411,392           411,392             

Next plc (United Kingdom)

       2,036           119,625           119,786           (161
    

 

 

      

 

 

      

 

 

      

 

 

 
       75,601           646,227           646,252           (25
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail — 0.7%

                   

Advance Auto Parts, Inc.

       2,926           409,874           409,874             

CarMax, Inc. (a)

       8,785           438,723           438,723             

L Brands, Inc.

       6,336           457,396           457,396             

Lithia Motors, Inc., Class A

       5,976           512,621           512,621             

Tractor Supply Co.

       6,532           409,099           409,099             
    

 

 

      

 

 

      

 

 

      

 

 

 
       30,555           2,227,713           2,227,713             
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods — 0.5%

                   

Crocs, Inc. (a)

       12,870           98,970           98,970             

G-III Apparel Group Ltd. (a)

       5,887           153,768           153,768             

Hanesbrands, Inc.

       17,549           451,009           451,009             

Kate Spade & Co. (a)

       6,334           106,095           106,095             

Kering (France)

       2,054           455,578           455,719           (141

NIKE, Inc., Class B

       7,533           378,006           378,006             

Under Armour, Inc., Class A (a)

       4,125           128,288           128,288             
    

 

 

      

 

 

      

 

 

      

 

 

 
       56,352           1,771,714           1,771,855           (141
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       257,407           9,018,903           9,016,690           2,213   
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 0.9%

                   

Food & Staples Retailing — 0.4%

                   

Aeon Co., Ltd. (Japan)

       27,300           378,248           377,277           971   

Casey’s General Stores, Inc.

       3,866           436,819           436,819             

Distribuidora Internacional de Alimentacion S.A. (Spain)

       84,593           452,888           451,819           1,069   
    

 

 

      

 

 

      

 

 

      

 

 

 
       115,759           1,267,955           1,265,915           2,040   
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products — 0.3%

                   

Associated British Foods plc (United Kingdom)

       11,776           354,869           354,211           658   

Calavo Growers, Inc.

       7,420           438,893           438,893             

Chocoladefabriken Lindt & Spruengli AG (Switzerland)

       6           372,290           372,290             
    

 

 

      

 

 

      

 

 

      

 

 

 
       19,202           1,166,052           1,165,394           658   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         19   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Personal Products — 0.2%

                   

Avon Products, Inc. (a)

       79,624           521,537           521,537             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       214,585           2,955,544           2,952,846           2,698   
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy — 0.8%

                   

Oil, Gas & Consumable Fuels — 0.8%

                   

Chesapeake Energy Corp. (a)

       74,752           411,883           411,883             

Cobalt International Energy, Inc. (a)

       87,858           82,947           82,947             

Enbridge, Inc. (Canada)

       11,260           486,229           486,229             

Golar LNG Ltd. (Bermuda)

       20,265           443,601           443,601             

Keyera Corp. (Canada)

       10,000           300,157           300,157             

Marathon Oil Corp.

       30,962           408,079           408,079             

MEG Energy Corp. (Canada) (a)

       18,346           74,817           74,817             

Oasis Petroleum, Inc. (a)

       44,604           467,896           467,896             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       298,047           2,675,609           2,675,609             
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 1.2%

                   

Banks — 0.1%

                   

Banco Popular Espanol S.A. (Spain)

       344,421           377,710           376,842           868   

Royal Bank of Scotland Group plc (United Kingdom) (a)

       57,533           133,165           132,954           211   
    

 

 

      

 

 

      

 

 

      

 

 

 
       401,954           510,875           509,796           1,079   
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets — 0.8%

                   

Azimut Holding S.p.A. (Italy)

       24,604           394,872           394,932           (60

Banca Generali S.p.A. (Italy)

       23,280           516,990           517,668           (678

Deutsche Bank AG (Germany) (a)

       30,977           447,336           447,978           (642

Hargreaves Lansdown plc (United Kingdom)

       25,822           366,631           366,070           561   

ICAP plc (United Kingdom)

       71,414           423,505           423,446           59   

Interactive Brokers Group, Inc., Class A

       12,548           416,468           416,468             
    

 

 

      

 

 

      

 

 

      

 

 

 
       188,645           2,565,802           2,566,562           (760
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Finance — 0.2%

                   

LendingClub Corp. (a)

       23,715           116,915           116,915             

Provident Financial plc (United Kingdom)

       14,048           507,245           506,435           810   
    

 

 

      

 

 

      

 

 

      

 

 

 
       37,763           624,160           623,350           810   
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance — 0.1%

                   

Sony Financial Holdings, Inc. (Japan)

       32,600           458,831           457,849           982   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       660,962           4,159,668           4,157,557           2,111   
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 0.6%

                   

Health Care Equipment & Supplies — 0.0% (g)

                   

Endologix, Inc. (a)

       9,337           97,665           97,665             
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services — 0.2%

                   

Acadia Healthcare Co., Inc. (a)

       12,297           442,200           442,200             

Diplomat Pharmacy, Inc. (a)

       3,861           89,459           89,459             
    

 

 

      

 

 

      

 

 

      

 

 

 
       16,158           531,659           531,659             
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Technology — 0.1%

                   

athenahealth, Inc. (a)

       4,468           461,634           461,634             
    

 

 

      

 

 

      

 

 

      

 

 

 

Life Sciences Tools & Services — 0.2%

                   

Eurofins Scientific SE (Luxembourg)

       1,140           517,970           518,069           (99
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals — 0.1%

                   

Dermira, Inc. (a)

       1,500           47,025           47,025             

Nektar Therapeutics (a)

       11,687           144,919           144,919             

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Pharmaceuticals — continued

                   

TherapeuticsMD, Inc. (a)

       15,875           91,122           91,122             
    

 

 

      

 

 

      

 

 

      

 

 

 
       29,062           283,066           283,066             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       60,165           1,891,994           1,892,093           (99
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials — 3.3%

                   

Aerospace & Defense — 0.2%

                   

Cobham plc (United Kingdom)

       257,682           450,711           449,590           1,121   
    

 

 

      

 

 

      

 

 

      

 

 

 

Air Freight & Logistics — 0.1%

                   

Bollore S.A. (France)

       124,926           411,412           411,287           125   

Bollore S.A. (France) (a)

       841           3,047           3,047             
    

 

 

      

 

 

      

 

 

      

 

 

 
       125,767           414,459           414,334           125   
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines — 0.1%

                   

American Airlines Group, Inc.

       12,067           489,920           489,920             
    

 

 

      

 

 

      

 

 

      

 

 

 

Building Products — 0.0% (g)

                   

Advanced Drainage Systems, Inc.

       5,100           97,410           97,410             
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies — 0.6%

                   

Rollins, Inc.

       15,340           472,779           472,779             

Societe BIC S.A. (France)

       3,015           418,018           417,917           101   

Sohgo Security Services Co., Ltd. (Japan)

       8,600           392,810           391,673           1,137   

Stericycle, Inc. (a)

       1,482           118,693           118,693             

Team, Inc. (a)

       14,091           433,298           433,298             
    

 

 

      

 

 

      

 

 

      

 

 

 
       42,528           1,835,598           1,834,360           1,238   
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering — 0.1%

                   

Ferrovial S.A. (Spain)

       20,629           401,391           400,777           614   
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment — 0.3%

                   

AMETEK, Inc.

       8,985           396,239           396,239             

Melrose Industries plc (United Kingdom)

       223,401           461,434           461,031           403   
    

 

 

      

 

 

      

 

 

      

 

 

 
       232,386           857,673           857,270           403   
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates — 0.1%

                   

Roper Technologies, Inc.

       2,456           425,649           425,649             
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery — 0.4%

                   

FANUC Corp. (Japan)

       2,700           506,685           494,336           12,349   

Middleby Corp. (The) (a)

       3,603           403,932           403,932             

Proto Labs, Inc. (a)

       1,849           82,650           82,650             

Wartsila OYJ Abp (Finland)

       9,903           428,318           427,952           366   
    

 

 

      

 

 

      

 

 

      

 

 

 
       18,055           1,421,585           1,408,870           12,715   
    

 

 

      

 

 

      

 

 

      

 

 

 

Professional Services — 0.3%

                   

Advisory Board Co. (The) (a)

       10,344           411,691           411,691             

Capita plc (United Kingdom)

       32,567           233,592           233,112           480   

Verisk Analytics, Inc. (a)

       5,159           420,716           420,716             
    

 

 

      

 

 

      

 

 

      

 

 

 
       48,070           1,065,999           1,065,519           480   
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail — 0.7%

                   

AMERCO

       1,373           442,641           442,641             

Aurizon Holdings Ltd. (Australia)

       134,204           498,195           497,216           979   

Avis Budget Group, Inc. (a)

       13,683           442,782           442,782             

Canadian Pacific Railway Ltd. (Canada)

       2,967           424,135           424,135             

Hertz Global Holdings, Inc. (a)

       3,286           108,931           108,931             

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         21   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Road & Rail — continued

                   

Kintetsu Group Holdings Co., Ltd. (Japan)

       105,000           424,526           423,835           691   
    

 

 

      

 

 

      

 

 

      

 

 

 
       260,513           2,341,210           2,339,540           1,670   
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors — 0.2%

                   

Herc Holdings, Inc. (a)

       10,213           307,309           307,309             

Univar, Inc. (a)

       22,563           502,027           502,027             
    

 

 

      

 

 

      

 

 

      

 

 

 
       32,776           809,336           809,336             
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure — 0.2%

                   

Aeroports de Paris (France)

       4,544           458,962           458,976           (14
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       1,062,573           11,069,903           11,051,551           18,352   
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 2.7%

                   

Communications Equipment — 0.2%

                   

EchoStar Corp., Class A (a)

       11,438           534,612           534,612             

Nokia OYJ (Finland)

       21,436           95,725           95,702           23   

ViaSat, Inc. (a)

       1,772           125,210           125,210             
    

 

 

      

 

 

      

 

 

      

 

 

 
       34,646           755,547           755,524           23   
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components — 0.1%

                   

OSI Systems, Inc. (a)

       6,509           456,476           456,476             
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services — 0.5%

                   

Benefitfocus, Inc. (a)

       4,143           134,648           134,648             

comScore, Inc. (a)

       14,500           417,455           417,455             

Cornerstone OnDemand, Inc. (a)

       10,126           418,204           418,204             

CoStar Group, Inc. (a)

       791           148,012           148,012             

Envestnet, Inc. (a)

       3,089           109,196           109,196             

Pandora Media, Inc. (a)

       13,434           152,207           152,207             

Yelp, Inc. (a)

       4,243           138,576           138,576             
    

 

 

      

 

 

      

 

 

      

 

 

 
       50,326           1,518,298           1,518,298             
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services — 0.3%

                   

CSRA, Inc.

       16,333           409,795           409,795             

EPAM Systems, Inc. (a)

       2,394           154,102           154,102             

InterXion Holding N.V. (Netherlands) (a)

       3,524           131,199           131,199             

Wirecard AG (Germany)

       9,014           427,617           427,884           (267

Worldpay Group plc (United Kingdom)

       41,614           142,440           144,626           (2,186
    

 

 

      

 

 

      

 

 

      

 

 

 
       72,879           1,265,153           1,267,606           (2,453
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment — 0.3%

                   

Advanced Micro Devices, Inc. (a)

       17,366           125,556           125,556             

ams AG (Austria)

       13,795           386,855           386,275           580   

Cree, Inc. (a)

       20,048           447,070           447,070             
    

 

 

      

 

 

      

 

 

      

 

 

 
       51,209           959,481           958,901           580   
    

 

 

      

 

 

      

 

 

      

 

 

 

Software — 1.1%

                   

Barracuda Networks, Inc. (a)

       5,219           121,707           121,707             

FireEye, Inc. (a)

       11,848           137,674           137,674             

Fortinet, Inc. (a)

       12,331           395,332           395,332             

Globant S.A. (Luxembourg) (a)

       3,356           145,986           145,986             

Guidewire Software, Inc. (a)

       7,143           410,365           410,365             

HubSpot, Inc. (a)

       2,262           118,642           118,642             

Imperva, Inc. (a)

       3,275           120,848           120,848             

Mobileye N.V. (Israel) (a)

       3,091           114,923           114,923             

Nintendo Co., Ltd. (Japan)

       700           169,810           168,742           1,068   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Software — continued

                   

Pegasystems, Inc.

       15,429           476,756           476,756             

RingCentral, Inc., Class A (a)

       5,937           122,896           122,896             

salesforce.com, Inc. (a)

       5,578           419,242           419,242             

Splunk, Inc. (a)

       1,983           119,357           119,357             

Tableau Software, Inc., Class A (a)

       2,285           109,794           109,794             

Tyler Technologies, Inc. (a)

       2,642           423,777           423,777             

Workday, Inc., Class A (a)

       1,569           136,001           136,001             

Zendesk, Inc. (a)

       3,235           85,048           85,048             
    

 

 

      

 

 

      

 

 

      

 

 

 
       87,883           3,628,158           3,627,090           1,068   
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals — 0.2%

                   

Nimble Storage, Inc. (a)

       16,835           128,451           128,451             

Ricoh Co., Ltd. (Japan)

       47,600           388,535           387,951           584   

Stratasys Ltd. (a)

       5,226           99,921           99,921             
    

 

 

      

 

 

      

 

 

      

 

 

 
       69,661           616,907           616,323           584   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       373,113           9,200,020           9,200,218           (198
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 1.2%

                   

Chemicals — 0.8%

                   

Air Liquide S.A. (France)

       4,071           414,181           413,665           516   

Air Water, Inc. (Japan)

       26,000           487,671           486,460           1,211   

CF Industries Holdings, Inc.

       16,843           404,400           404,400             

Essentra plc (United Kingdom)

       62,043           387,297           386,700           597   

Ferro Corp. (a)

       31,951           414,085           414,085             

Sensient Technologies Corp.

       6,056           451,233           451,233             
    

 

 

      

 

 

      

 

 

      

 

 

 
       146,964           2,558,867           2,556,543           2,324   
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining — 0.4%

                   

Alumina Ltd. (Australia)

       387,526           465,770           465,759           11   

Anglo American plc (United Kingdom) (a)

       41,591           575,763           577,250           (1,487

Compass Minerals International, Inc.

       6,278           451,074           451,074             
    

 

 

      

 

 

      

 

 

      

 

 

 
       435,395           1,492,607           1,494,083           (1,476
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       582,359           4,051,474           4,050,626           848   
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate — 0.0% (g)

                   

Real Estate Management & Development — 0.0% (g)

                   

Capital & Counties Properties plc (United Kingdom)

       26,205           92,472           92,407           65   

Realogy Holdings Corp.

       5,203           119,097           119,097             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Real Estate

       31,408           211,569           211,504           65   
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 0.2%

                   

Diversified Telecommunication Services — 0.2%

                   

Inmarsat plc (United Kingdom)

       16,867           144,826           144,686           140   

SFR Group S.A. (France)

       4,249           114,463           114,517           (54

Vivendi S.A. (France)

       22,856           462,161           462,618           (457
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       43,972           721,450           721,821           (371
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities — 0.3%

                   

Independent Power & Renewable Electricity Producers — 0.3%

                   

Calpine Corp. (a)

       9,032           107,481           107,481             

Dynegy, Inc. (a)

       34,806           370,684           370,684             

TransAlta Corp. (Canada)

       99,397           437,960           437,960             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       143,235           916,125           916,125             
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         23   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued  
Common Stocks — continued                    

Right

                   

Industrials — 0.0% (g)

                   

Construction & Engineering — 0.0% (g)

                   

Ferrovial S.A. (Spain) (a)

       20,629           8,832           8,832             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       3,748,455           46,881,091           46,855,472           25,619   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swap

       2,284,793           (33,001,694        (32,983,079        18,615   
    

 

 

      

 

 

      

 

 

      

 

 

 

Outstanding swap contract, at value

                    $ 18,615   
                   

 

 

 

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  

Long Positions

                   

Common Stocks

                   

Consumer Discretionary — 1.0%

                   

Media — 1.0%

                   

Time Warner, Inc.

       36,254           3,226,243           3,226,243             
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 0.5%

                   

Tobacco — 0.5%

                   

Reynolds American, Inc.

       28,969           1,595,613           1,595,613             
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 0.7%

                   

Banks — 0.7%

                   

PrivateBancorp, Inc.

       45,748           2,069,640           2,069,640             

Yadkin Financial Corp.

       16,003           443,923           443,923             
    

 

 

      

 

 

      

 

 

      

 

 

 
       61,751           2,513,563           2,513,563             
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets — 0.0% (g)

                   

SVG Capital plc (United Kingdom) (a)

       15,500           133,278           133,207           (71
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       77,251           2,646,841           2,646,770           (71
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials — 1.0%

                   

Aerospace & Defense — 1.0%

                   

B/E Aerospace, Inc.

       54,050           3,217,056           3,217,056             
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 1.0%

                   

Semiconductors & Semiconductor Equipment — 1.0%

                   

Linear Technology Corp.

       54,012           3,243,961           3,243,961             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       250,536           13,929,714           13,929,643           (71
    

 

 

      

 

 

      

 

 

      

 

 

 
Short Positions                                    
Common Stocks                                    

Consumer Staples — 0.3%

                   

Tobacco — 0.3%

                   

British American Tobacco plc (United Kingdom)

       15,779           906,094           904,342           1,752   
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 0.5%

                   

Banks — 0.5%

                   

Canadian Imperial Bank of Commerce (Canada)

       16,563           1,241,021           1,241,021             

FNB Corp.

       34,220           447,255           447,255             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       50,783           1,688,276           1,688,276             
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Information Technology — 0.2%

                   

Semiconductors & Semiconductor Equipment — 0.2%

                   

Analog Devices, Inc.

       12,411           795,545           795,545             
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 0.6%

                   

Diversified Telecommunication Services — 0.6%

                   

AT&T, Inc.

       51,575           1,897,444           1,897,444             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       130,548           5,287,359           5,285,607           1,752   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swap

       119,988           8,642,355           8,644,036           1,681   
    

 

 

      

 

 

      

 

 

      

 

 

 

Outstanding swap contract, at value

                    $ 1,681   
                   

 

 

 
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions                                    
Common Stocks                                    

Consumer Discretionary — 1.0%

                   

Hotels, Restaurants & Leisure — 0.4%

                   

Tatts Group Ltd. (Australia)

       502,505           1,551,957           1,549,000           (2,957
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.6%

                   

Media General, Inc. (a)

       48,548           818,034           818,034             

Starz, Class A (a)

       35,880           1,128,785           1,128,785             
    

 

 

      

 

 

      

 

 

      

 

 

 
       84,428           1,946,819           1,946,819             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       586,933           3,498,776           3,495,819           (2,957
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 0.2%

                   

Food & Staples Retailing — 0.2%

                   

METRO AG (Germany)

       21,833           654,064           653,990           (74
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 1.7%

                   

Capital Markets — 0.8%

                   

London Stock Exchange Group plc (United Kingdom)

       77,396           2,661,989           2,658,436           (3,553
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance — 0.0% (g)

                   

esure Group plc (United Kingdom)

       25,587           85,155           85,155             
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance — 0.9%

                   

Astoria Financial Corp.

       197,781           2,893,536           2,893,536             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       300,764           5,640,680           5,637,127           (3,553
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 0.9%

                   

Health Care Equipment & Supplies — 0.7%

                   

St. Jude Medical, Inc.

       29,948           2,331,152           2,331,152             
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services — 0.2%

                   

Cigna Corp.

       4,842           575,375           575,375             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       34,790           2,906,527           2,906,527             
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 1.0%

                   

Semiconductors & Semiconductor Equipment — 1.0%

                   

KLA-Tencor Corp.

       45,503           3,417,730           3,417,730             
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 0.1%

                   

Metals & Mining — 0.1%

                   

Newmarket Gold, Inc. (Canada) (a)

       66,276           195,671           195,671             
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         25   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Telecommunication Services — 0.2%

                   

Diversified Telecommunication Services — 0.2%

                   

Manitoba Telecom Services, Inc. (Canada)

       21,539           602,026           602,026             
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities — 0.9%

                   

Electric Utilities — 0.9%

                   

Fortis, Inc. (Canada)

       607           19,980           19,980             

Westar Energy, Inc.

       54,894           3,146,524           3,146,524             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       55,501           3,166,504           3,166,504             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,133,139           20,081,978           20,075,394           (6,584
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary — 1.1%

                   

Hotels, Restaurants & Leisure — 1.0%

                   

Marriott International, Inc., Class A

       24,504           1,683,425           1,683,425             

Tabcorp Holdings Ltd. (Australia)

       397,984           1,465,292           1,462,188           3,104   
    

 

 

      

 

 

      

 

 

      

 

 

 
       422,488           3,148,717           3,145,613           3,104   
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.1%

                   

Lions Gate Entertainment Corp.

       8,518           173,426           173,426             

Nexstar Broadcasting Group, Inc., Class A

       6,002           292,898           292,898             
    

 

 

      

 

 

      

 

 

      

 

 

 
       14,520           466,324           466,324             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       437,008           3,615,041           3,611,937           3,104   
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy — 0.0% (g)

                   

Oil, Gas & Consumable Fuels — 0.0% (g)

                   

Royal Dutch Shell plc (Netherlands), Class A

       32           798           797           1   
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 1.6%

                   

Capital Markets — 0.8%

                   

Deutsche Boerse AG (Germany) (a)

       18,983           1,477,039           1,482,353           (5,314

Deutsche Boerse AG (Germany)

       14,891           1,112,713           1,113,461           (748
    

 

 

      

 

 

      

 

 

      

 

 

 
       33,874           2,589,752           2,595,814           (6,062
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance — 0.8%

                   

New York Community Bancorp, Inc.

       195,803           2,811,731           2,811,731             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       229,677           5,401,483           5,407,545           (6,062
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 0.3%

                   

Health Care Equipment & Supplies — 0.3%

                   

Abbott Laboratories

       25,817           1,013,059           1,013,059             
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 0.6%

                   

Semiconductors & Semiconductor Equipment — 0.6%

                   

Lam Research Corp.

       22,523           2,181,578           2,181,578             
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 0.1%

                   

Metals & Mining — 0.1%

                   

Kirkland Lake Gold, Inc. (Canada) (a)

       31,166           216,092           216,092             
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 0.1%

                   

Diversified Telecommunication Services — 0.1%

                   

BCE, Inc. (Canada)

       7,923           359,970           359,970             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       754,146           12,788,021           12,790,978           (2,957
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swap

       378,993           7,293,957           7,284,416           (9,541
    

 

 

      

 

 

      

 

 

      

 

 

 

Outstanding swap contract, at value

                    $ (9,541
                   

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions                                    
Common Stocks                                    

Consumer Discretionary — 3.9%

                   

Auto Components — 1.2%

                   

Cie Generale des Etablissements Michelin (France)

       4,831           523,058           523,237           179   

Cooper Tire & Rubber Co.

       9,000           330,750           330,750             

Cooper-Standard Holding, Inc. (a)

       5,373           490,394           490,394             

GKN plc (United Kingdom)

       126,986           496,135           495,223           (912

Lear Corp.

       4,108           504,380           504,380             

Linamar Corp. (Canada)

       10,802           439,312           439,312             

Magna International, Inc. (Canada)

       12,090           496,381           496,381             

Valeo S.A. (France)

       10,158           585,425           586,166           741   
    

 

 

      

 

 

      

 

 

      

 

 

 
       183,348           3,865,835           3,865,843           8   
    

 

 

      

 

 

      

 

 

      

 

 

 

Automobiles — 0.4%

                   

Peugeot S.A. (France) (a)

       22,253           333,323           333,239           (84

Renault S.A. (France)

       5,134           445,852           446,462           610   

Thor Industries, Inc.

       6,512           516,467           516,467             
    

 

 

      

 

 

      

 

 

      

 

 

 
       33,899           1,295,642           1,296,168           526   
    

 

 

      

 

 

      

 

 

      

 

 

 

Distributors — 0.1%

                   

Inchcape plc (United Kingdom)

       46,863           373,129           372,594           (535
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure — 0.5%

                   

Carnival plc

       9,120           439,371           439,884           513   

Ladbrokes Coral Group plc (United Kingdom)

       255,321           417,517           416,851           (666

William Hill plc (United Kingdom)

       110,440           399,858           399,512           (346

Wyndham Worldwide Corp.

       6,202           408,340           408,340             
    

 

 

      

 

 

      

 

 

      

 

 

 
       381,083           1,665,086           1,664,587           (499
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables — 0.3%

                   

Bovis Homes Group plc (United Kingdom)

       36,089           334,610           334,139           (471

KB Home

       36,297           527,758           527,758             
    

 

 

      

 

 

      

 

 

      

 

 

 
       72,386           862,368           861,897           (471
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.4%

                   

Informa plc (United Kingdom)

       52,567           432,700           432,474           (226

UBM plc (United Kingdom)

       54,005           474,943           474,158           (785

WPP plc (United Kingdom)

       21,962           477,953           476,862           (1,091
    

 

 

      

 

 

      

 

 

      

 

 

 
       128,534           1,385,596           1,383,494           (2,102
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail — 0.4%

                   

Big Lots, Inc.

       10,626           461,168           461,168             

Dillard’s, Inc., Class A

       8,672           531,594           531,594             

Target Corp.

       7,067           485,715           485,715             
    

 

 

      

 

 

      

 

 

      

 

 

 
       26,365           1,478,477           1,478,477             
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail — 0.6%

                   

American Eagle Outfitters, Inc.

       28,514           485,879           485,879             

Best Buy Co., Inc.

       14,742           573,611           573,611             

Children’s Place, Inc. (The)

       6,210           471,649           471,649             

GameStop Corp., Class A

       19,659           472,799           472,799             
    

 

 

      

 

 

      

 

 

      

 

 

 
       69,125           2,003,938           2,003,938             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       941,603           12,930,071           12,926,998           (3,073
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 1.7%

                   

Beverages — 0.2%

                   

Dr. Pepper Snapple Group, Inc.

       6,433           564,753           564,753             
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         27   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Food & Staples Retailing — 0.4%

                   

Metro, Inc. (Canada)

       17,481           540,343           540,343             

SpartanNash Co.

       17,101           478,828           478,828             

Wm Morrison Supermarkets plc (United Kingdom)

       216,111           599,138           598,252           (886
    

 

 

      

 

 

      

 

 

      

 

 

 
       250,693           1,618,309           1,617,423           (886
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products — 0.8%

                   

Dean Foods Co.

       29,926           546,449           546,449             

Ebro Foods S.A. (Spain)

       21,996           474,713           474,308           (405

Fresh Del Monte Produce, Inc.

       8,788           530,356           530,356             

Ingredion, Inc.

       3,897           511,169           511,169             

Pinnacle Foods, Inc.

       11,039           567,625           567,625             
    

 

 

      

 

 

      

 

 

      

 

 

 
       75,646           2,630,312           2,629,907           (405
    

 

 

      

 

 

      

 

 

      

 

 

 

Tobacco — 0.3%

                   

Imperial Brands plc (United Kingdom)

       9,976           482,991           482,558           (433

Universal Corp.

       9,262           502,000           502,000             
    

 

 

      

 

 

      

 

 

      

 

 

 
       19,238           984,991           984,558           (433
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       352,010           5,798,365           5,796,641           (1,724
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy — 2.6%

                   

Energy Equipment & Services — 0.3%

                   

John Wood Group plc (United Kingdom)

       56,791           534,549           533,788           (761

Petrofac Ltd. (United Kingdom)

       43,489           429,304           428,303           (1,001
    

 

 

      

 

 

      

 

 

      

 

 

 
       100,280           963,853           962,091           (1,762
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels — 2.3%

                   

BP plc (United Kingdom)

       105,472           624,446           623,519           (927

Chevron Corp.

       5,650           591,838           591,838             

CVR Energy, Inc.

       20,566           272,705           272,705             

Enbridge Income Fund Holdings, Inc. (Canada)

       22,781           578,145           578,145             

Galp Energia SGPS S.A. (Portugal)

       40,307           546,451           546,494           43   

Koninklijke Vopak N.V. (Netherlands)

       10,506           530,574           530,264           (310

Neste OYJ (Finland)

       14,454           624,044           623,576           (468

OMV AG (Austria)

       16,769           524,173           523,354           (819

Repsol S.A. (Spain)

       38,510           539,632           537,696           (1,936

Royal Dutch Shell plc (Netherlands), Class B

       21,561           558,162           556,112           (2,050

TOTAL S.A. (France)

       11,339           544,200           543,194           (1,006

Valero Energy Corp.

       8,006           474,275           474,275             

Veresen, Inc. (Canada)

       53,107           481,063           481,063             

Western Refining, Inc.

       20,277           584,991           584,991             

World Fuel Services Corp.

       11,588           466,417           466,417             
    

 

 

      

 

 

      

 

 

      

 

 

 
       400,893           7,941,116           7,933,643           (7,473
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       501,173           8,904,969           8,895,734           (9,235
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials — 2.0%

                   

Banks — 0.5%

                   

BNP Paribas S.A (France)

       10,220           592,812           592,589           (223

National Bank of Canada (Canada)

       17,644           629,833           629,833             

Societe Generale S.A. (France)

       15,066           588,116           587,687           (429
    

 

 

      

 

 

      

 

 

      

 

 

 
       42,930           1,810,761           1,810,109           (652
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets — 0.3%

                   

3i Group plc (United Kingdom)

       74,223           609,595           608,420           (1,175

Bats Global Markets, Inc.

       13,094           385,095           385,095             

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Capital Markets — continued

                   

Donnelley Financial Solutions, Inc. (a)

       3,950           84,728           84,728             
    

 

 

      

 

 

      

 

 

      

 

 

 
       91,267           1,079,418           1,078,243           (1,175
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance — 1.2%

                   

ASR Nederland N.V. (Netherlands) (a)

       24,315           538,907           538,704           (203

CNP Assurances (France)

       31,160           539,940           539,636           (304

Hanover Insurance Group, Inc. (The)

       4,120           313,903           313,903             

Mapfre S.A. (Spain)

       200,159           594,795           593,757           (1,038

Power Corp. of Canada (Canada)

       12,222           262,154           262,154             

Reinsurance Group of America, Inc.

       5,400           582,444           582,444             

Swiss Life Holding AG (Switzerland) (a)

       2,024           535,888           535,617           (271

Validus Holdings Ltd. (Bermuda)

       12,394           633,333           633,333             
    

 

 

      

 

 

      

 

 

      

 

 

 
       291,794           4,001,364           3,999,548           (1,816
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       425,991           6,891,543           6,887,900           (3,643
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 2.1%

                   

Health Care Equipment & Supplies — 0.2%

                   

CR Bard, Inc.

       2,557           554,051           554,051             
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services — 1.1%

                   

Aetna, Inc.

       4,594           493,166           493,166             

Chemed Corp.

       3,857           545,457           545,457             

Express Scripts Holding Co. (a)

       5,765           388,561           388,561             

Magellan Health, Inc. (a)

       7,630           392,563           392,563             

Owens & Minor, Inc.

       12,823           416,106           416,106             

Quest Diagnostics, Inc.

       6,281           511,525           511,525             

UnitedHealth Group, Inc.

       3,787           535,217           535,217             

Universal Health Services, Inc., Class B

       4,511           544,523           544,523             
    

 

 

      

 

 

      

 

 

      

 

 

 
       49,248           3,827,118           3,827,118             
    

 

 

      

 

 

      

 

 

      

 

 

 

Life Sciences Tools & Services — 0.2%

                   

Lonza Group AG (Switzerland) (a)

       3,254           614,266           614,035           (231
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals — 0.6%

                   

Johnson & Johnson

       4,790           555,592           555,592             

Merck KGaA (Germany)

       5,085           522,816           523,399           583   

Roche Holding AG (Switzerland)

       1,878           436,691           436,476           (215

STADA Arzneimittel AG (Germany)

       10,892           545,285           546,218           933   
    

 

 

      

 

 

      

 

 

      

 

 

 
       22,645           2,060,384           2,061,685           1,301   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       77,704           7,055,819           7,056,889           1,070   
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials — 3.5%

                   

Aerospace & Defense — 0.3%

                   

Huntington Ingalls Industries, Inc.

       3,848           620,913           620,913             

Meggitt plc (United Kingdom)

       85,625           456,217           455,522           (695
    

 

 

      

 

 

      

 

 

      

 

 

 
       89,473           1,077,130           1,076,435           (695
    

 

 

      

 

 

      

 

 

      

 

 

 

Air Freight & Logistics — 0.1%

                   

Royal Mail plc (United Kingdom)

       81,752           491,316           490,471           (845
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines — 0.2%

                   

Alaska Air Group, Inc.

       7,477           539,989           539,989             
    

 

 

      

 

 

      

 

 

      

 

 

 

Building Products — 0.2%

                   

Owens Corning

       10,963           534,775           534,775             
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         29   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Commercial Services & Supplies — 0.6%

                   

ABM Industries, Inc.

       16,042           626,921           626,921             

Deluxe Corp.

       7,781           476,197           476,197             

LSC Communications, Inc. (a)

       3,950           95,748           95,748             

RR Donnelley & Sons Co.

       10,535           186,996           186,996             

Tetra Tech, Inc.

       16,330           627,889           627,889             
    

 

 

      

 

 

      

 

 

      

 

 

 
       54,638           2,013,751           2,013,751             
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering — 0.8%

                   

ACS Actividades de Construccion y Servicios S.A. (Spain)

       17,618           540,171           538,911           (1,260

Comfort Systems USA, Inc.

       16,315           470,688           470,688             

Eiffage S.A. (France)

       6,940           513,784           513,800           16   

MasTec, Inc. (a)

       17,467           498,683           498,683             

Vinci S.A. (France)

       7,118           515,553           515,482           (71
    

 

 

      

 

 

      

 

 

      

 

 

 
       65,458           2,538,879           2,537,564           (1,315
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment — 0.5%

                   

Nexans S.A. (France) (a)

       10,810           614,457           614,466           9   

OSRAM Licht AG (Germany)

       9,235           523,613           524,518           905   

Prysmian S.p.A. (Italy)

       21,564           536,641           536,245           (396
    

 

 

      

 

 

      

 

 

      

 

 

 
       41,609           1,674,711           1,675,229           518   
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery — 0.4%

                   

Barnes Group, Inc.

       13,111           522,342           522,342             

Georg Fischer AG (Switzerland)

       621           550,682           550,576           (106

Wabash National Corp. (a)

       36,559           411,289           411,289             
    

 

 

      

 

 

      

 

 

      

 

 

 
       50,291           1,484,313           1,484,207           (106
    

 

 

      

 

 

      

 

 

      

 

 

 

Professional Services — 0.1%

                   

ManpowerGroup, Inc.

       5,596           429,773           429,773             
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure — 0.3%

                   

Aena S.A. (Spain)

       3,583           526,071           525,037           (1,034

Flughafen Zuerich AG (Switzerland)

       2,843           522,890           522,612           (278
    

 

 

      

 

 

      

 

 

      

 

 

 
       6,426           1,048,961           1,047,649           (1,312
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       413,683           11,833,598           11,829,843           (3,755
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 3.2%

                   

Communications Equipment — 0.1%

                   

Cisco Systems, Inc.

       12,504           383,623           383,623             
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components — 0.2%

                   

Corning, Inc.

       17,475           396,857           396,857             

Methode Electronics, Inc.

       13,416           418,579           418,579             
    

 

 

      

 

 

      

 

 

      

 

 

 
       30,891           815,436           815,436             
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services — 1.1%

                   

Amdocs Ltd.

       7,071           413,300           413,300             

Atos SE (France)

       4,464           463,671           463,244           (427

CGI Group, Inc. (Canada), Class A (a)

       8,940           424,638           424,638             

Convergys Corp.

       15,234           444,833           444,833             

CSG Systems International, Inc.

       9,064           344,704           344,704             

NeuStar, Inc., Class A (a)

       17,379           390,159           390,159             

Science Applications International Corp.

       6,083           419,180           419,180             

Total System Services, Inc.

       7,847           391,408           391,408             

Western Union Co. (The)

       20,236           406,137           406,137             
    

 

 

      

 

 

      

 

 

      

 

 

 
       96,318           3,698,030           3,697,603           (427
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Semiconductors & Semiconductor Equipment — 1.1%

                   

Advanced Energy Industries, Inc. (a)

       9,224           439,985           439,985             

ASM International N.V. (Netherlands)

       13,750           586,555           586,513           (42

BE Semiconductor Industries N.V. (Netherlands)

       13,995           455,744           455,913           169   

Intel Corp.

       11,466           399,819           399,819             

MaxLinear, Inc., Class A (a)

       17,589           329,090           329,090             

MKS Instruments, Inc.

       8,646           436,191           436,191             

Teradyne, Inc.

       18,310           426,440           426,440             

Tessera Technologies, Inc.

       12,944           480,222           480,222             
    

 

 

      

 

 

      

 

 

      

 

 

 
       105,924           3,554,046           3,554,173           127   
    

 

 

      

 

 

      

 

 

      

 

 

 

Software — 0.6%

                   

Mentor Graphics Corp.

       20,054           579,561           579,561             

Nexon Co., Ltd. (Japan)

       21,800           372,099           371,102           (997

Oracle Corp.

       10,113           388,541           388,541             

Software AG (Germany)

       14,611           530,898           531,025           127   
    

 

 

      

 

 

      

 

 

      

 

 

 
       66,578           1,871,099           1,870,229           (870
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals — 0.1%

                   

Apple, Inc.

       4,214           478,458           478,458             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       316,429           10,800,692           10,799,522           (1,170
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 1.8%

                   

Chemicals — 0.5%

                   

Dow Chemical Co. (The)

       9,979           536,970           536,970             

LyondellBasell Industries N.V., Class A

       5,521           439,195           439,195             

Trinseo S.A.

       10,788           565,831           565,831             
    

 

 

      

 

 

      

 

 

      

 

 

 
       26,288           1,541,996           1,541,996             
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining — 1.0%

                   

APERAM S.A. (Luxembourg)

       13,212           600,372           600,866           494   

Aurubis AG (Germany)

       9,199           478,554           479,603           1,049   

Centamin plc (United Kingdom)

       296,424           572,535           574,141           1,606   

Kaiser Aluminum Corp.

       6,558           475,389           475,389             

OZ Minerals Ltd. (Australia)

       133,450           680,153           681,843           1,690   

Reliance Steel & Aluminum Co.

       7,491           515,231           515,231             
    

 

 

      

 

 

      

 

 

      

 

 

 
       466,334           3,322,234           3,327,073           4,839   
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products — 0.3%

                   

Schweitzer-Mauduit International, Inc.

       12,251           452,184           452,184             

UPM-Kymmene OYJ (Finland)

       27,153           631,913           631,621           (292
    

 

 

      

 

 

      

 

 

      

 

 

 
       39,404           1,084,097           1,083,805           (292
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       532,026           5,948,327           5,952,874           4,547   
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate — 0.4%

                   

Real Estate Management & Development — 0.4%

                   

BUWOG AG (Austria) (a)

       19,447           469,975           470,030           55   

Deutsche EuroShop AG (Germany)

       11,283           487,386           487,654           268   

Nexity S.A. (France)

       9,812           492,725           492,646           (79
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Real Estate

       40,542           1,450,086           1,450,330           244   
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 0.5%

                   

Diversified Telecommunication Services — 0.3%

                   

Telefonica S.A. (Spain)

       52,897           537,707           537,466           (241

Verizon Communications, Inc.

       9,584           460,990           460,990             
    

 

 

      

 

 

      

 

 

      

 

 

 
       62,481           998,697           998,456           (241
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         31   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Long Positions — continued                                    
Common Stocks — continued                                    

Wireless Telecommunication Services — 0.2%

                   

Freenet AG (Germany)

       18,323           525,078           525,304           226   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       80,804           1,523,775           1,523,760           (15
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities — 1.4%

                   

Electric Utilities — 0.6%

                   

EDP — Energias de Portugal S.A. (Portugal)

       159,960           528,720           528,710           (10

Endesa S.A. (Spain)

       24,051           511,274           510,498           (776

Entergy Corp.

       6,538           481,720           481,720             

Iberdrola S.A. (Spain)

       76,798           523,450           522,645           (805
    

 

 

      

 

 

      

 

 

      

 

 

 
       267,347           2,045,164           2,043,573           (1,591
    

 

 

      

 

 

      

 

 

      

 

 

 

Gas Utilities — 0.2%

                   

ONE Gas, Inc.

       8,483           519,838           519,838             
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities — 0.6%

                   

A2A S.p.A. (Italy)

       359,557           489,827           489,672           (155

CenterPoint Energy, Inc.

       24,777           564,916           564,916             

E.ON SE (Germany)

       72,311           529,619           529,957           338   

National Grid plc (United Kingdom)

       36,232           472,306           471,298           (1,008
    

 

 

      

 

 

      

 

 

      

 

 

 
       492,877           2,056,668           2,055,843           (825
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       768,707           4,621,670           4,619,254           (2,416
    

 

 

      

 

 

      

 

 

      

 

 

 

Right

                   

Consumer Discretionary — 0.0% (g)

                   

Media — 0.0% (g)

                   

Informa plc (United Kingdom) (a)

       13,142           36,515           37,182           667   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       4,463,814           77,795,430           77,776,927           (18,503
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary — 5.2%

                   

Auto Components — 0.1%

                   

NGK Spark Plug Co., Ltd. (Japan)

       21,300           421,654           422,706           (1,052
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure — 1.7%

                   

Accor S.A. (France)

       10,446           396,590           396,388           202   

Belmond Ltd. (United Kingdom), Class A (a)

       37,119           480,691           480,691             

Buffalo Wild Wings, Inc. (a)

       3,257           474,382           474,382             

Chipotle Mexican Grill, Inc. (a)

       769           277,424           277,424             

ClubCorp Holdings, Inc.

       28,672           331,162           331,162             

Domino’s Pizza Enterprises Ltd. (Australia)

       9,130           446,229           444,777           1,452   

Fiesta Restaurant Group, Inc. (a)

       17,915           472,956           472,956             

Merlin Entertainments plc (United Kingdom)

       66,575           375,496           375,204           292   

NH Hotel Group S.A. (Spain) (a)

       95,810           423,331           422,746           585   

Penn National Gaming, Inc. (a)

       28,816           372,591           372,591             

Resorttrust, Inc. (Japan)

       17,000           340,584           339,801           783   

Scientific Games Corp., Class A (a)

       41,886           519,386           519,386             

Whitbread plc (United Kingdom)

       7,190           318,140           317,620           520   

Wynn Resorts Ltd.

       4,719           446,181           446,181             
    

 

 

      

 

 

      

 

 

      

 

 

 
       369,304           5,675,143           5,671,309           3,834   
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail — 0.6%

                   

HSN, Inc.

       8,682           327,311           327,311             

Rakuten, Inc. (Japan)

       38,000           439,354           438,089           1,265   

TripAdvisor, Inc. (a)

       6,157           397,003           397,003             

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Internet & Direct Marketing Retail — continued

                   

Yoox Net-A-Porter Group S.p.A. (Italy) (a)

       15,510           446,084           446,160           (76

Zalando SE (Germany) (a)

       11,509           505,234           506,105           (871
    

 

 

      

 

 

      

 

 

      

 

 

 
       79,858           2,114,986           2,114,668           318   
    

 

 

      

 

 

      

 

 

      

 

 

 

Media — 0.8%

                   

Altice N.V. (Netherlands), Class A (a)

       24,977           460,631           460,677           (46

Atresmedia Corp. de Medios de Comunicacion S.A. (Spain)

       40,503           417,055           416,151           904   

EW Scripps Co. (The), Class A (a)

       28,282           375,019           375,019             

Lions Gate Entertainment Corp.

       20,146           410,173           410,173             

Live Nation Entertainment, Inc. (a)

       16,330           451,851           451,851             

Telenet Group Holding N.V. (Belgium) (a)

       9,217           493,402           493,492           (90
    

 

 

      

 

 

      

 

 

      

 

 

 
       139,455           2,608,131           2,607,363           768   
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail — 0.6%

                   

B&M European Value Retail S.A. (Luxembourg)

       115,471           331,575           331,515           60   

Isetan Mitsukoshi Holdings Ltd. (Japan)

       47,800           484,062           483,090           972   

Izumi Co., Ltd. (Japan)

       11,400           528,311           526,863           1,448   

Next plc (United Kingdom)

       5,738           338,243           337,588           655   

Ollie’s Bargain Outlet Holdings, Inc. (a)

       16,839           460,547           460,547             
    

 

 

      

 

 

      

 

 

      

 

 

 
       197,248           2,142,738           2,139,603           3,135   
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail — 0.4%

                   

Dufry AG (Switzerland) (a)

       3,912           475,979           475,924           55   

Fast Retailing Co., Ltd. (Japan)

       1,500           507,199           505,345           1,854   

Restoration Hardware Holdings, Inc. (a)

       13,468           390,168           390,168             
    

 

 

      

 

 

      

 

 

      

 

 

 
       18,880           1,373,346           1,371,437           1,909   
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods — 1.0%

                   

Asics Corp. (Japan)

       19,700           421,163           420,384           779   

Cie Financiere Richemont S.A. (Switzerland)

       6,420           412,948           412,741           207   

Crocs, Inc. (a)

       36,638           281,746           281,746             

G-III Apparel Group Ltd. (a)

       9,777           255,375           255,375             

Gildan Activewear, Inc. (Canada)

       14,500           372,419           372,419             

HUGO BOSS AG (Germany)

       6,781           425,862           426,392           (530

Kate Spade & Co. (a)

       17,277           289,390           289,390             

Luxottica Group S.p.A. (Italy)

       8,019           399,210           399,286           (76

Under Armour, Inc., Class A (a)

       10,349           321,854           321,854             
    

 

 

      

 

 

      

 

 

      

 

 

 
       129,461           3,179,967           3,179,587           380   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       955,506           17,515,965           17,506,673           9,292   
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples — 2.1%

                   

Beverages — 0.2%

                   

Anheuser-Busch InBev S.A./N.V. (Belgium)

       3,243           372,198           372,198             

Brown-Forman Corp., Class B

       8,956           413,499           413,499             
    

 

 

      

 

 

      

 

 

      

 

 

 
       12,199           785,697           785,697             
    

 

 

      

 

 

      

 

 

      

 

 

 

Food & Staples Retailing — 0.5%

                   

Cosmos Pharmaceutical Corp. (Japan)

       2,100           457,967           456,986           981   

Costco Wholesale Corp.

       2,534           374,703           374,703             

PriceSmart, Inc.

       5,136           467,119           467,119             

Tesco plc (United Kingdom) (a)

       161,924           417,696           417,065           631   
    

 

 

      

 

 

      

 

 

      

 

 

 
       171,694           1,717,485           1,715,873           1,612   
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products — 0.6%

                   

Barry Callebaut AG (Switzerland) (a)

       331           412,098           412,202           (104

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         33   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Food Products — continued

                   

Calbee, Inc. (Japan)

       12,200           443,235           442,636           599   

Kerry Group plc (Ireland), Class A

       4,777           346,835           346,835             

Kewpie Corp. (Japan)

       13,300           378,569           377,730           839   

Yakult Honsha Co., Ltd. (Japan)

       10,200           476,590           475,558           1,032   
    

 

 

      

 

 

      

 

 

      

 

 

 
       40,808           2,057,327           2,054,961           2,366   
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Products — 0.3%

                   

Pigeon Corp. (Japan)

       17,300           488,300           486,711           1,589   

Unicharm Corp. (Japan)

       19,000           452,670           451,805           865   
    

 

 

      

 

 

      

 

 

      

 

 

 
       36,300           940,970           938,516           2,454   
    

 

 

      

 

 

      

 

 

      

 

 

 

Personal Products — 0.4%

                   

Beiersdorf AG (Germany)

       4,469           393,449           393,986           (537

Edgewell Personal Care Co. (a)

       5,096           384,238           384,238             

Kose Corp. (Japan)

       5,100           466,377           465,279           1,098   
    

 

 

      

 

 

      

 

 

      

 

 

 
       14,665           1,244,064           1,243,503           561   
    

 

 

      

 

 

      

 

 

      

 

 

 

Tobacco — 0.1%

                   

Vector Group Ltd.

       22,216           465,203           465,203             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       297,882           7,210,746           7,203,753           6,993   
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy — 2.8%

                   

Energy Equipment & Services — 0.2%

                   

Saipem S.p.A. (Italy) (a)

       885,879           364,677           364,285           392   

Weatherford International plc (Switzerland) (a)

       81,679           393,693           393,693             
    

 

 

      

 

 

      

 

 

      

 

 

 
       967,558           758,370           757,978           392   
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels — 2.6%

                   

Anadarko Petroleum Corp.

       7,330           435,695           435,695             

Cheniere Energy, Inc. (a)

       11,621           438,112           438,112             

Cobalt International Energy, Inc. (a)

       178,947           168,944           168,944             

Concho Resources, Inc. (a)

       3,919           497,478           497,478             

Continental Resources, Inc. (a)

       10,751           525,831           525,831             

EQT Corp.

       6,555           432,630           432,630             

Gulfport Energy Corp. (a)

       15,702           378,575           378,575             

Kosmos Energy Ltd. (a)

       81,313           423,641           423,641             

Matador Resources Co. (a)

       18,419           401,718           401,718             

MEG Energy Corp. (Canada) (a)

       87,661           357,493           357,493             

Noble Energy, Inc.

       12,559           432,909           432,909             

PDC Energy, Inc. (a)

       7,594           465,740           465,740             

PrairieSky Royalty Ltd. (Canada)

       22,640           492,365           492,365             

Rice Energy, Inc. (a)

       16,610           366,915           366,915             

RSP Permian, Inc. (a)

       13,704           494,714           494,714             

Seven Generations Energy Ltd. (Canada), Class A (a)

       22,400           477,626           477,626             

SM Energy Co.

       11,566           388,965           388,965             

Synergy Resources Corp. (a)

       65,935           450,995           450,995             

Tourmaline Oil Corp. (Canada) (a)

       5,320           139,415           139,415             

Tullow Oil plc (United Kingdom) (a)

       136,574           442,491           440,961           1,530   

WPX Energy, Inc. (a)

       43,793           475,592           475,592             
    

 

 

      

 

 

      

 

 

      

 

 

 
       780,913           8,687,844           8,686,314           1,530   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       1,748,471           9,446,214           9,444,292           1,922   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Financials — 2.8%

                   

Banks — 0.6%

                   

Banco Espirito Santo S.A. (Portugal) (a)

       35,937           (19                  (19

Bank of Ireland (Ireland) (a)

       2,054,485           439,786           439,770           16   

Bank of Kyoto Ltd. (The) (Japan)

       65,000           477,877           476,665           1,212   

Royal Bank of Scotland Group plc (United Kingdom) (a)

       137,970           319,343           318,836           507   

Seven Bank Ltd. (Japan)

       136,400           420,113           419,319           794   

Standard Chartered plc (United Kingdom) (a)

       51,531           449,023           448,109           914   
    

 

 

      

 

 

      

 

 

      

 

 

 
       2,481,323           2,106,123           2,102,699           3,424   
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets — 1.0%

                   

CBOE Holdings, Inc.

       4,149           262,258           262,258             

Charles Schwab Corp. (The)

       14,132           447,984           447,984             

Financial Engines, Inc.

       14,028           387,874           387,874             

Julius Baer Group Ltd. (Switzerland) (a)

       10,842           439,466           438,902           564   

Moody’s Corp.

       4,908           493,352           493,352             

Schroders plc (United Kingdom)

       12,436           429,099           428,045           1,054   

Stifel Financial Corp. (a)

       11,216           438,994           438,994             

TD Ameritrade Holding Corp.

       13,984           478,393           478,393             
    

 

 

      

 

 

      

 

 

      

 

 

 
       85,695           3,377,420           3,375,802           1,618   
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Finance — 0.2%

                   

Aiful Corp. (Japan) (a)

       135,200           412,549           411,211           1,338   

LendingClub Corp. (a)

       71,968           354,802           354,802             
    

 

 

      

 

 

      

 

 

      

 

 

 
       207,168           767,351           766,013           1,338   
    

 

 

      

 

 

      

 

 

      

 

 

 

Diversified Financial Services — 0.6%

                   

Ackermans & van Haaren N.V. (Belgium)

       3,472           482,331           481,914           417   

ECN Capital Corp. (Canada) (a)

       40,395           88,241           88,241             

Element Fleet Management Corp. (Canada)

       40,395           393,620           393,620             

Onex Corp. (Canada)

       6,942           449,033           449,033             

Wendel S.A. (France)

       3,938           453,044           453,050           (6
    

 

 

      

 

 

      

 

 

      

 

 

 
       95,142           1,866,269           1,865,858           411   
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance — 0.3%

                   

Japan Post Holdings Co., Ltd. (Japan)

       38,600           492,484           491,347           1,137   

St. James’s Place plc (United Kingdom)

       40,765           471,521           470,787           734   
    

 

 

      

 

 

      

 

 

      

 

 

 
       79,365           964,005           962,134           1,871   
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance — 0.1%

                   

PHH Corp. (a)

       31,891           463,057           463,057             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       2,980,584           9,544,225           9,535,563           8,662   
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care — 2.1%

                   

Health Care Equipment & Supplies — 1.1%

                   

Asahi Intecc Co., Ltd. (Japan)

       9,400           407,839           407,100           739   

DexCom, Inc. (a)

       4,808           376,178           376,178             

Endologix, Inc. (a)

       30,116           315,013           315,013             

Insulet Corp. (a)

       10,249           380,443           380,443             

Neogen Corp. (a)

       8,534           449,656           449,656             

NxStage Medical, Inc. (a)

       19,775           449,684           449,684             

Olympus Corp. (Japan)

       12,400           443,406           442,005           1,401   

Wright Medical Group N.V. (Netherlands) (a)

       21,517           471,437           471,437             

Zeltiq Aesthetics, Inc. (a)

       12,737           421,595           421,595             
    

 

 

      

 

 

      

 

 

      

 

 

 
       129,536           3,715,251           3,713,111           2,140   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         35   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Health Care Providers & Services — 0.2%

                   

Diplomat Pharmacy, Inc. (a)

       12,075           279,778           279,778             

Healthscope Ltd. (Australia)

       221,778           372,842           372,029           813   
    

 

 

      

 

 

      

 

 

      

 

 

 
       233,853           652,620           651,807           813   
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Technology — 0.1%

                   

Medidata Solutions, Inc. (a)

       4,153           199,302           199,302             
    

 

 

      

 

 

      

 

 

      

 

 

 

Life Sciences Tools & Services — 0.1%

                   

MorphoSys AG (Germany) (a)

       8,841           391,411           392,601           (1,190
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals — 0.6%

                   

Cempra, Inc. (a)

       17,127           310,427           310,427             

Medicines Co. (The) (a)

       11,096           365,613           365,613             

Nektar Therapeutics (a)

       25,415           315,146           315,146             

Pacira Pharmaceuticals, Inc. (a)

       11,255           357,909           357,909             

Takeda Pharmaceutical Co., Ltd. (Japan)

       10,600           475,064           474,084           980   

TherapeuticsMD, Inc. (a)

       50,459           289,635           289,635             
    

 

 

      

 

 

      

 

 

      

 

 

 
       125,952           2,113,794           2,112,814           980   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       502,335           7,072,378           7,069,635           2,743   
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials — 5.5%

                   

Aerospace & Defense — 0.9%

                   

Airbus Group SE (France)

       6,848           407,067           406,634           433   

Bombardier, Inc. (Canada), Class B (a)

       360,944           478,998           478,998             

Hexcel Corp.

       10,087           458,858           458,858             

Leonardo-Finmeccanica S.p.A. (Italy) (a)

       38,524           469,416           469,085           331   

Rolls-Royce Holdings plc (United Kingdom) (a)

       2,108,778           2,581           2,581             

Rolls-Royce Holdings plc (United Kingdom), Class C (a)

       136,814           167           167             

Rolls-Royce Holdings plc (United Kingdom) (a)

       45,843           407,653           406,931           722   

TASER International, Inc. (a)

       13,003           291,007           291,007             

Zodiac Aerospace (France)

       22,790           554,643           553,847           796   
    

 

 

      

 

 

      

 

 

      

 

 

 
       2,743,631           3,070,390           3,068,108           2,282   
    

 

 

      

 

 

      

 

 

      

 

 

 

Air Freight & Logistics — 0.1%

                   

Yamato Holdings Co., Ltd. (Japan)

       18,500           422,499           421,487           1,012   
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines — 0.1%

                   

Spirit Airlines, Inc. (a)

       9,599           460,080           460,080             
    

 

 

      

 

 

      

 

 

      

 

 

 

Building Products — 0.4%

                   

Advanced Drainage Systems, Inc.

       16,006           305,715           305,715             

Armstrong World Industries, Inc. (a)

       9,971           373,913           373,913             

Nippon Sheet Glass Co., Ltd. (Japan) (a)

       56,900           463,902           462,159           1,743   
    

 

 

      

 

 

      

 

 

      

 

 

 
       82,877           1,143,530           1,141,787           1,743   
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies — 0.6%

                   

Bilfinger SE (Germany) (a)

       14,428           508,331           508,067           264   

Brambles Ltd. (Australia)

       52,653           461,813           460,993           820   

Covanta Holding Corp.

       28,580           428,700           428,700             

G4S plc (United Kingdom)

       153,347           412,933           411,909           1,024   

Stericycle, Inc. (a)

       3,755           300,738           300,738             
    

 

 

      

 

 

      

 

 

      

 

 

 
       252,763           2,112,515           2,110,407           2,108   
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering — 0.1%

                   

Balfour Beatty plc (United Kingdom)

       31,422           104,228           104,180           48   

OCI N.V. (Netherlands) (a)

       24,209           336,179           336,032           147   
    

 

 

      

 

 

      

 

 

      

 

 

 
       55,631           440,407           440,212           195   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Electrical Equipment — 0.4%

                   

Mabuchi Motor Co., Ltd. (Japan)

       9,600           559,321           558,054           1,267   

Nidec Corp. (Japan)

       4,900           475,188           474,124           1,064   

Sensata Technologies Holding N.V. (a)

       11,098           396,532           396,532             
    

 

 

      

 

 

      

 

 

      

 

 

 
       25,598           1,431,041           1,428,710           2,331   
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery — 0.8%

                   

Alstom S.A. (France) (a)

       17,378           466,807           466,976           (169

Deere & Co.

       5,507           486,268           486,268             

Flowserve Corp.

       9,928           420,451           420,451             

Konecranes OYJ (Finland)

       12,826           437,176           436,884           292   

OC Oerlikon Corp. AG (Switzerland) (a)

       43,048           405,009           404,693           316   

Proto Labs, Inc. (a)

       5,719           255,639           255,639             
    

 

 

      

 

 

      

 

 

      

 

 

 
       94,406           2,471,350           2,470,911           439   
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail — 1.0%

                   

Genesee & Wyoming, Inc., Class A (a)

       7,032           477,754           477,754             

Heartland Express, Inc.

       26,450           486,680           486,680             

Hertz Global Holdings, Inc. (a)

       10,213           338,541           338,541             

Kansas City Southern

       4,725           414,666           414,666             

Keio Corp. (Japan)

       45,000           373,320           372,452           868   

Knight Transportation, Inc.

       14,653           428,600           428,600             

Odakyu Electric Railway Co., Ltd. (Japan)

       18,000           368,170           367,268           902   

Old Dominion Freight Line, Inc. (a)

       5,928           442,703           442,703             
    

 

 

      

 

 

      

 

 

      

 

 

 
       132,001           3,330,434           3,328,664           1,770   
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors — 0.4%

                   

Ashtead Group plc (United Kingdom)

       26,823           419,584           417,943           1,641   

Brenntag AG (Germany)

       8,564           457,788           457,833           (45

Herc Holdings, Inc. (a)

       3,404           102,431           102,431             

MISUMI Group, Inc. (Japan)

       23,600           431,403           430,415           988   
    

 

 

      

 

 

      

 

 

      

 

 

 
       62,391           1,411,206           1,408,622           2,584   
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure — 0.7%

                   

Abertis Infraestructuras S.A. (Spain)

       34,127           506,686           505,851           835   

Groupe Eurotunnel SE (France)

       37,649           352,579           352,370           209   

Macquarie Infrastructure Corp.

       6,352           519,657           519,657             

Mitsubishi Logistics Corp. (Japan)

       29,000           393,783           392,557           1,226   

Qube Holdings Ltd. (Australia)

       238,453           404,503           403,676           827   
    

 

 

      

 

 

      

 

 

      

 

 

 
       345,581           2,177,208           2,174,111           3,097   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       3,822,978           18,470,660           18,453,099           17,561   
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology — 3.8%

                   

Communications Equipment — 0.3%

                   

Nokia OYJ (Finland)

       56,159           250,786           250,725           61   

Palo Alto Networks, Inc. (a)

       2,396           368,577           368,577             

ViaSat, Inc. (a)

       4,652           328,710           328,710             
    

 

 

      

 

 

      

 

 

      

 

 

 
       63,207           948,073           948,012           61   
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components — 0.5%

                   

Hamamatsu Photonics KK (Japan)

       12,700           385,105           384,283           822   

Japan Display, Inc. (Japan)

       233,300           460,504           459,304           1,200   

Topcon Corp. (Japan)

       32,400           485,367           488,854           (3,487

Zebra Technologies Corp., Class A (a)

       5,565           366,400           366,400             
    

 

 

      

 

 

      

 

 

      

 

 

 
       283,965           1,697,376           1,698,841           (1,465
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         37   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Internet Software & Services — 0.7%

                   

2U, Inc. (a)

       10,054           350,482           350,482             

Benefitfocus, Inc. (a)

       6,816           221,520           221,520             

CoStar Group, Inc. (a)

       1,376           257,477           257,477             

Envestnet, Inc. (a)

       8,993           317,903           317,903             

GMO internet, Inc. (Japan)

       31,400           420,682           419,169           1,513   

New Relic, Inc. (a)

       10,155           370,150           370,150             

Pandora Media, Inc. (a)

       26,645           301,888           301,888             

Yelp, Inc. (a)

       9,639           314,810           314,810             
    

 

 

      

 

 

      

 

 

      

 

 

 
       105,078           2,554,912           2,553,399           1,513   
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services — 0.3%

                   

EPAM Systems, Inc. (a)

       4,243           273,122           273,122             

InterXion Holding N.V. (Netherlands) (a)

       8,440           314,221           314,221             

Worldpay Group plc (United Kingdom)

       91,306           318,289           317,328           961   
    

 

 

      

 

 

      

 

 

      

 

 

 
       103,989           905,632           904,671           961   
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment — 0.2%

                   

Advanced Micro Devices, Inc. (a)

       42,342           306,133           306,133             

Veeco Instruments, Inc. (a)

       17,853           387,410           387,410             
    

 

 

      

 

 

      

 

 

      

 

 

 
       60,195           693,543           693,543             
    

 

 

      

 

 

      

 

 

      

 

 

 

Software — 1.5%

                   

Autodesk, Inc. (a)

       5,863           423,778           423,778             

Barracuda Networks, Inc. (a)

       13,734           320,277           320,277             

FireEye, Inc. (a)

       19,000           220,780           220,780             

Globant S.A. (Luxembourg) (a)

       8,103           352,481           352,481             

HubSpot, Inc. (a)

       5,593           293,353           293,353             

Imperva, Inc. (a)

       6,397           236,049           236,049             

Mobileye N.V. (Israel) (a)

       6,225           231,446           231,446             

Nintendo Co., Ltd. (Japan)

       1,000           242,586           241,060           1,526   

Proofpoint, Inc. (a)

       4,782           374,813           374,813             

PTC, Inc. (a)

       8,892           421,836           421,836             

RingCentral, Inc., Class A (a)

       16,072           332,690           332,690             

ServiceNow, Inc. (a)

       5,065           445,264           445,264             

Splunk, Inc. (a)

       5,520           332,249           332,249             

Tableau Software, Inc., Class A (a)

       5,265           252,983           252,983             

Workday, Inc., Class A (a)

       3,690           319,849           319,849             

Zendesk, Inc. (a)

       11,256           295,920           295,920             
    

 

 

      

 

 

      

 

 

      

 

 

 
       126,457           5,096,354           5,094,828           1,526   
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals — 0.3%

                   

Nimble Storage, Inc. (a)

       34,829           265,745           265,745             

Pure Storage, Inc., Class A (a)

       37,729           465,576           465,576             

Stratasys Ltd. (a)

       14,131           270,185           270,185             
    

 

 

      

 

 

      

 

 

      

 

 

 
       86,689           1,001,506           1,001,506             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       829,580           12,897,396           12,894,800           2,596   
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials — 3.0%

                   

Chemicals — 1.2%

                   

Axalta Coating Systems Ltd. (Bermuda) (a)

       15,100           379,312           379,312             

FMC Corp.

       8,702           408,037           408,037             

K+S AG (Germany)

       19,824           401,070           401,431           (361

Methanex Corp. (Canada)

       13,756           499,966           499,966             

Nippon Kayaku Co., Ltd. (Japan)

       43,000           496,548           495,489           1,059   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Chemicals — continued

                   

Potash Corp of Saskatchewan, Inc. (Canada)

       25,969           422,265           422,265             

Tokyo Ohka Kogyo Co., Ltd. (Japan)

       14,300           508,620           506,765           1,855   

Victrex plc (United Kingdom)

       23,414           501,815           501,388           427   

WR Grace & Co.

       5,376           359,977           359,977             
    

 

 

      

 

 

      

 

 

      

 

 

 
       169,441           3,977,610           3,974,630           2,980   
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction Materials — 0.1%

                   

Summit Materials, Inc., Class A (a)

       21,900           410,406           410,406             
    

 

 

      

 

 

      

 

 

      

 

 

 

Containers & Packaging — 0.2%

                   

Amcor Ltd. (Australia)

       37,919           424,021           423,239           782   
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining — 1.4%

                   

Acerinox S.A. (Spain)

       38,305           471,793           471,374           419   

Antofagasta plc (Chile)

       57,832           384,370           384,644           (274

First Quantum Minerals Ltd. (Canada)

       55,823           530,221           530,221             

Franco-Nevada Corp. (Canada)

       5,646           369,539           369,539             

Fresnillo plc (Mexico)

       19,643           394,306           395,201           (895

Hecla Mining Co.

       85,160           510,108           510,108             

Independence Group NL (Australia)

       58,330           188,579           188,579             

Kobe Steel Ltd. (Japan) (a)

       50,300           416,329           415,092           1,237   

Outokumpu OYJ (Finland) (a)

       76,636           534,207           534,273           (66

Stillwater Mining Co. (a)

       31,595           420,845           420,845             

thyssenkrupp AG (Germany)

       20,024           463,587           464,619           (1,032
    

 

 

      

 

 

      

 

 

      

 

 

 
       499,294           4,683,884           4,684,495           (611
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products — 0.1%

                   

West Fraser Timber Co., Ltd. (Canada)

       13,224           452,730           452,730             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       741,778           9,948,651           9,945,500           3,151   
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate — 0.3%

                   

Real Estate Management & Development — 0.3%

                   

Capital & Counties Properties plc (United Kingdom)

       91,190           321,790           321,566           224   

Mitsui Fudosan Co., Ltd. (Japan)

       18,000           410,308           409,930           378   

Realogy Holdings Corp.

       12,210           279,487           279,487             
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Real Estate

       121,400           1,011,585           1,010,983           602   
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services — 1.0%

                   

Diversified Telecommunication Services — 0.7%

                   

Euskaltel S.A. (Spain) (a)

       46,853           472,154           471,459           695   

Iliad S.A. (France)

       1,728           362,500           362,249           251   

Inmarsat plc (United Kingdom)

       32,895           282,448           282,175           273   

SFR Group S.A. (France)

       14,157           381,372           381,551           (179

Telecom Italia S.p.A (Italy) (a)

       458,657           398,010           398,708           (698

Zayo Group Holdings, Inc. (a)

       14,493           466,385           466,385             
    

 

 

      

 

 

      

 

 

      

 

 

 
       568,783           2,362,869           2,362,527           342   
    

 

 

      

 

 

      

 

 

      

 

 

 

Wireless Telecommunication Services — 0.3%

                   

SoftBank Group Corp. (Japan)

       6,900           434,383           434,569           (186

Sprint Corp. (a)

       67,942           418,523           418,523             
    

 

 

      

 

 

      

 

 

      

 

 

 
       74,842           852,906           853,092           (186
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       643,625           3,215,775           3,215,619           156   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         39   


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

ADDITIONAL INFORMATION — TOTAL RETURN BASKET SWAPS

AS OF OCTOBER 31, 2016 (continued)

 

TOTAL RETURN BASKET
SWAP POSITIONS
     SHARES        NOTIONAL
VALUE($) 
(1)
       CURRENT
VALUE($) 
(2)
       VALUE($) (3)  
Short Positions — continued                                    
Common Stocks — continued                                    

Utilities — 1.4%

                   

Electric Utilities — 0.4%

                   

Chugoku Electric Power Co., Inc. (The) (Japan)

       37,500           439,115           438,803           312   

Hokkaido Electric Power Co., Inc. (Japan)

       52,400           399,233           398,508           725   

Hokuriku Electric Power Co. (Japan)

       34,700           394,747           394,140           607   
    

 

 

      

 

 

      

 

 

      

 

 

 
       124,600           1,233,095           1,231,451           1,644   
    

 

 

      

 

 

      

 

 

      

 

 

 

Independent Power & Renewable Electricity Producers — 0.2%

                   

Calpine Corp. (a)

       29,065           345,874           345,874             

Pattern Energy Group, Inc.

       17,255           385,649           385,649             
    

 

 

      

 

 

      

 

 

      

 

 

 
       46,320           731,523           731,523             
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities — 0.4%

                   

Canadian Utilities Ltd. (Canada), Class A

       15,796           451,398           451,398             

Dominion Resources, Inc.

       5,869           441,349           441,349             

Sempra Energy

       4,216           451,534           451,534             
    

 

 

      

 

 

      

 

 

      

 

 

 
       25,881           1,344,281           1,344,281             
    

 

 

      

 

 

      

 

 

      

 

 

 

Water Utilities — 0.4%

                   

American States Water Co.

       11,202           447,856           447,856             

Pennon Group plc (United Kingdom)

       38,695           395,241           394,911           330   

United Utilities Group plc (United Kingdom)

       34,137           392,767           392,400           367   
    

 

 

      

 

 

      

 

 

      

 

 

 
       84,034           1,235,864           1,235,167           697   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       280,835           4,544,763           4,542,422           2,341   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       12,924,974           100,878,358           100,822,339           56,019   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swap

       8,461,160           (23,082,928        (23,045,412        37,516   
    

 

 

      

 

 

      

 

 

      

 

 

 

Outstanding swap contract, at value

                    $ 37,516   
                   

 

 

 

 

Percentages indicated are based on net assets.

NOTES TO ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS:

 

(1) Notional value represents the market value (including any fees or commissions) of the long and short positions as of the reset date.
(2) Current value represents market value as of October 31, 2016 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded.
(3) Value represents the unrealized gain(loss) of the positions subsequent to the swap reset.
(a) Non-income producing security.
(g) Amount rounds to less than 0.05%.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

 

            
Systematic
Alpha Fund
 

ASSETS:

    

Investments in non-affiliates, at value

     $ 218,705,828   

Investments in affiliates, at value

       105,894,211   
    

 

 

 

Total investment securities, at value

       324,600,039   

Restricted cash

       900,000   

Cash

       5,561,954   

Foreign currency, at value

       1,150,854   

Deposits at broker for futures contracts

       6,975,000   

Receivables:

    

Investment securities sold

       2,312,797   

Fund shares sold

       621,231   

Interest and dividends from non-affiliates

       400,112   

Dividends from affiliates

       26,317   

Tax reclaims

       39,855   

Unrealized appreciation on forward foreign currency exchange contracts

       1,313,079   

Outstanding swap contracts, at value

       57,812   

Due from counterparty for swap contracts

       1,959,049   
    

 

 

 

Total Assets

       345,918,099   
    

 

 

 

LIABILITIES:

    

Payables:

    

Investment securities purchased

       8,181,075   

Due to broker

       900,000   

Fund shares redeemed

       220,832   

Variation margin on futures contracts

       96,766   

Unrealized depreciation on forward foreign currency exchange contracts

       207,305   

Outstanding swap contracts, at value

       9,541   

Accrued liabilities:

    

Investment advisory fees

       140,945   

Administration fees

       3,454   

Distribution fees

       9,511   

Shareholder servicing fees

       11,496   

Custodian and accounting fees

       29,884   

Trustees’ and Chief Compliance Officer’s fees

       11,543   

Other

       233,264   
    

 

 

 

Total Liabilities

       10,055,616   
    

 

 

 

Net Assets

     $ 335,862,483   
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         41   


Table of Contents

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016 (continued)

 

            
Systematic
Alpha Fund
 

NET ASSETS:

    

Paid-in-Capital

     $ 337,733,242   

Accumulated undistributed (distributions in excess of) net investment income

       (6,080,342

Accumulated net realized gains (losses)

       (842,989

Net unrealized appreciation (depreciation)

       5,052,572   
    

 

 

 

Total Net Assets

     $ 335,862,483   
    

 

 

 

Net Assets:

    

Class A

     $ 43,075,837   

Class C

       764,511   

Class R6

       259,015,933   

Select Class

       33,006,202   
    

 

 

 

Total

     $ 335,862,483   
    

 

 

 

Outstanding units of beneficial interest (shares)

($0.0001 par value; unlimited number of shares authorized):

    

Class A

       2,900,143   

Class C

       52,260   

Class R6

       17,122,693   

Select Class

       2,162,970   

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 14.85   

Class C — Offering price per share (b)

       14.63   

Class R6 — Offering and redemption price per share

       15.13   

Select Class — Offering and redemption price per share

       15.26   

Class A maximum sales charge

       4.50

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 15.55   
    

 

 

 

Cost of investments in non-affiliates

     $ 215,885,923   

Cost of investments in affiliates

       105,894,211   

Cost of foreign currency

       1,140,214   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

CONSOLIDATED STATEMENT OF OPERATIONS

FOR THE YEAR ENDED OCTOBER 31, 2016

 

            
Systematic
Alpha Fund
 

INVESTMENT INCOME:

    

Dividend income from non-affiliates

     $ 3,624,133   

Dividend income from affiliates

       293,583   

Interest income from non-affiliates

       716,857   

Interest income from affiliates

       2,730   

Foreign taxes withheld

       (88,397
    

 

 

 

Total investment income

       4,548,906   
    

 

 

 

EXPENSES:

    

Investment advisory fees

       2,782,053   

Administration fees

       311,717   

Distribution fees:

    

Class A

       110,689   

Class C

       5,374   

Shareholder servicing fees:

    

Class A

       110,689   

Class C

       1,792   

Select Class

       81,574   

Custodian and accounting fees

       222,081   

Interest expense to affiliates

       2,470   

Professional fees

       189,526   

Trustees’ and Chief Compliance Officer’s fees

       37,015   

Printing and mailing costs

       36,494   

Registration and filing fees

       73,535   

Transfer agency fees (See Note 2.F.)

       6,471   

Sub-transfer agency fees (See Note 2.F.)

       26,222   

Other

       17,219   
    

 

 

 

Total expenses

       4,014,921   
    

 

 

 

Less fees waived

       (1,448,028

Less earnings credits

       (271

Less expense reimbursements

       (357
    

 

 

 

Net expenses

       2,566,265   
    

 

 

 

Net investment income (loss)

       1,982,641   
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       3,863,221   

Futures

       (5,237,392

Foreign currency transactions

       796,660   

Swaps

       (7,346,593
    

 

 

 

Net realized gain (loss)

       (7,924,104
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       2,316,067   

Futures

       2,247,096   

Foreign currency translations

       345,078   

Swaps

       48,271   
    

 

 

 

Change in net unrealized appreciation/depreciation

       4,956,512   
    

 

 

 

Net realized/unrealized gains (losses)

       (2,967,592
    

 

 

 

Change in net assets resulting from operations

     $ (984,951
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         43   


Table of Contents

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

 

       Systematic Alpha Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

         

Net investment income (loss)

     $ 1,982,641         $ 581,513   

Net realized gain (loss)

       (7,924,104        7,058,593   

Change in net unrealized appreciation/depreciation

       4,956,512           (802,491
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (984,951        6,837,615   
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

         

Class A

         

From net investment income

       (988,643        (602,143

From net realized gains

                 (84,343

Class C

         

From net investment income

       (13,623        (501

From net realized gains

                 (75

Class R6

         

From net investment income

       (6,365,412          

From net realized gains

                 (75

Select Class

         

From net investment income

                 (2,421,131

From net realized gains

                 (275,840
    

 

 

      

 

 

 

Total distributions to shareholders

       (7,367,678        (3,384,108
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

         

Change in net assets resulting from capital transactions

       23,949,299           123,857,479   
    

 

 

      

 

 

 

NET ASSETS:

         

Change in net assets

       15,596,670           127,310,986   

Beginning of period

       320,265,813           192,954,827   
    

 

 

      

 

 

 

End of period

     $ 335,862,483         $ 320,265,813   
    

 

 

      

 

 

 

Accumulated undistributed (distributed in excess of) net investment income

     $ (6,080,342      $ 5,189,660   
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents
       Systematic Alpha Fund  
        Year Ended
October 31, 2016
       Year Ended
October 31, 2015
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 34,490,135         $ 19,065,321   

Distributions reinvested

       988,643           301,494   

Cost of shares redeemed

       (39,177,739        (33,011,158
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (3,698,961      $ (13,644,343
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 587,296         $ 427,538   

Distributions reinvested

       13,623           576   

Cost of shares redeemed

       (269,858        (33,402
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 331,061         $ 394,712   
    

 

 

      

 

 

 

Class R6

         

Proceeds from shares issued

     $ 271,927,080         $ 13,391,975   

Distributions reinvested

       6,365,412           75   

Cost of shares redeemed

       (22,368,464        (3,998,172
    

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 255,924,028         $ 9,393,878   
    

 

 

      

 

 

 

Select Class

         

Proceeds from shares issued

     $ 39,913,331         $ 141,739,914   

Distributions reinvested

                 2,658,018   

Cost of shares redeemed

       (268,520,160        (16,684,700
    

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ (228,606,829      $ 127,713,232   
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 23,949,299         $ 123,857,479   
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

         

Class A

         

Issued

       2,319,369           1,268,908   

Reinvested

       66,219           20,021   

Redeemed

       (2,633,244        (2,202,664
    

 

 

      

 

 

 

Change in Class A Shares

       (247,656        (913,735
    

 

 

      

 

 

 

Class C

         

Issued

       39,656           28,857   

Reinvested

       922           38   

Redeemed

       (18,540        (2,248
    

 

 

      

 

 

 

Change in Class C Shares

       22,038           26,647   
    

 

 

      

 

 

 

Class R6

         

Issued

       17,544,824           886,788   

Reinvested

       420,437           5   

Redeemed

       (1,470,170        (262,792
    

 

 

      

 

 

 

Change in Class R6 Shares

       16,495,091           624,001   
    

 

 

      

 

 

 

Select Class

         

Issued

       2,616,027           9,381,975   

Reinvested

                 176,444   

Redeemed

       (17,537,819        (1,114,350
    

 

 

      

 

 

 

Change in Select Class Shares

       (14,921,792        8,444,069   
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         45   


Table of Contents

CONSOLIDATED FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
     Net
investment
income
    Net
realized
gain
     Total
distributions
 

Systematic Alpha Fund

                  

Class A

                  

Year Ended October 31, 2016

   $ 15.27       $ 0.03 (f)    $ (0.14    $ (0.11    $ (0.31 )(g)    $       $ (0.31

Year Ended October 31, 2015

     15.16         (0.01 )(f)      0.29         0.28         (0.15     (0.02      (0.17

Year Ended October 31, 2014

     15.60         (0.11 )(f)(h)      0.79         0.68         (1.12             (1.12

February 12, 2013 (j) through October 31, 2013

     15.00         0.03        0.57         0.60                          

Class C

                  

Year Ended October 31, 2016

     15.14         (0.04 )(f)      (0.14      (0.18      (0.33 )(g)              (0.33

Year Ended October 31, 2015

     15.10         (0.07 )(f)      0.27         0.20         (0.14     (0.02      (0.16

Year Ended October 31, 2014

     15.55         (0.12 )(f)(h)      0.72         0.60         (1.05             (1.05

February 12, 2013 (j) through October 31, 2013

     15.00         (0.02     0.57         0.55                          

Class R6

                  

Year Ended October 31, 2016

     15.56         0.11 (f)      (0.15      (0.04      (0.39 )(g)              (0.39

Year Ended October 31, 2015

     15.21         0.09 (f)      0.28         0.37                (0.02      (0.02

Year Ended October 31, 2014

     15.64         0.01 (f)(h)      0.73         0.74         (1.17             (1.17

February 12, 2013 (j) through October 31, 2013

     15.00         0.07        0.57         0.64                          

Select Class

                  

Year Ended October 31, 2016

     15.33         0.06 (f)      (0.13      (0.07      (g)                

Year Ended October 31, 2015

     15.19         0.04 (f)      0.28         0.32         (0.16     (0.02      (0.18

Year Ended October 31, 2014

     15.63         (0.05 )(f)(h)      0.76         0.71         (1.15             (1.15

February 12, 2013 (j) through October 31, 2013

     15.00         0.06        0.57         0.63                          

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(f) Calculated based upon average shares outstanding.
(g) Distributions of Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.
(i) Expenses without waivers, reimbursements and earnings credits may appear disproportionate among classes due to changes in the relative size of the classes.
(j) Commencement of operations.
(k) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
    
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
    Net
expenses (d)
    Net
investment
income
(loss) (d)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)(e)
 
           
           
$ 14.85        (0.74 )%    $ 43,075,837        1.18     0.18     1.66     151
  15.27        1.87        48,072,671        1.16        (0.05     1.69        164   
  15.16        4.68        61,579,047        1.24        (0.71 )(h)      1.66 (i)      113   
  15.60        4.00        52,013        1.30 (k)      0.28 (k)      6.93 (k)      112   
           
  14.63        (1.23     764,511        1.69        (0.29     2.26        151   
  15.14        1.34        457,517        1.62        (0.50     2.26        164   
  15.10        4.16        53,974        1.77        (0.80 )(h)      5.85 (i)      113   
  15.55        3.67        51,827        1.80 (k)      (0.22 )(k)      7.43 (k)      112   
           
  15.13        (0.25     259,015,933        0.69        0.70        1.12        151   
  15.56        2.44        9,762,583        0.64        0.59        1.10        164   
  15.21        5.08        54,788        0.88        0.09 (h)      4.84 (i)      113   
  15.64        4.27        52,144        0.95 (k)      0.63 (k)      6.44 (k)      112   
           
  15.26        (0.46     33,006,202        0.94        0.42        1.40        151   
  15.33        2.11        261,973,042        0.90        0.24        1.35        164   
  15.19        4.91        131,267,018        1.00        (0.31 )(h)      2.97 (i)      113   
  15.63        4.20        10,264,916        1.05 (k)      0.54 (k)      6.68 (k)      112   

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         47   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
Systematic Alpha Fund    Class A, Class C, Class R6 and Select Class    Diversified

The investment objective of the Fund is to seek to provide total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Fund’s administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Fund’s administrator under the Administration Agreement.

Basis for Consolidation for the Fund

Systematic Alpha Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on October 11, 2012 and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectus. As of October 31, 2016, net assets of the Fund were $335,862,483 of which $40,749,649, or approximately 12.1% represented the Subsidiary’s net assets. The net realized loss in the Subsidiary amounted to $(376,829). The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. The consolidated financial statements include the accounts of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its consolidated financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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.

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 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

 

 
48       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

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 fixed income 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, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations. Swaps and 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 CSOI:

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Investments in Securities

  

    

Common Stocks

                   

Consumer Discretionary

     $ 22,392,315         $ 4,457,288         $         $ 26,849,603   

Consumer Staples

       13,689,841           3,416,741                     17,106,582   

Energy

       5,972,551           1,711,720                     7,684,271   

Financials

       17,636,592           2,177,568                     19,814,160   

Health Care

       12,870,342           1,993,324                     14,863,666   

Industrials

       19,216,908           6,522,158                     25,739,066   

Information Technology

       41,951,006           3,095,248                     45,046,254   

Materials

       11,724,330           10,771,876                     22,496,206   

Real Estate

                 515,592                     515,592   

Telecommunication Services

                 1,011,430                     1,011,430   

Utilities

       4,107,543           1,165,683                     5,273,226   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       149,561,428           36,838,628                     186,400,056   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Consumer Staples

       483,923                               483,923   

Energy

       1,313,477                               1,313,477   

Financials

       911,729                               911,729   

Health Care

       1,051,646                               1,051,646   

Materials

       207,524                               207,524   

Real Estate

       293,503                               293,503   

Telecommunication Services

       1,295,188                               1,295,188   

Utilities

       1,092,432                               1,092,432   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Preferred Stocks

       6,649,422                               6,649,422   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         49   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Debt Securities

                   

Convertible Bonds

                   

Consumer Discretionary

     $ 426,257         $ 2,497,463         $         $ 2,923,720   

Energy

                 508,470                     508,470   

Financials

                 1,900,597                     1,900,597   

Health Care

                 6,311,522                     6,311,522   

Industrials

                 517,603                     517,603   

Information Technology

                 11,177,136                     11,177,136   

Materials

                 935,473                     935,473   

Real Estate

                 623,058                     623,058   

Utilities

                 750,420                     750,420   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Convertible Bonds

       426,257           25,221,742                     25,647,999   
    

 

 

      

 

 

      

 

 

      

 

 

 

Rights

                   

Health Care

                                       

Telecommunication Services

                           8,351           8,351   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Rights

     $         $         $ 8,351         $ 8,351   
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       105,894,211                               105,894,211   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 262,531,318         $ 62,060,370         $ 8,351         $ 324,600,039   
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

  

    

Forward Foreign Currency Exchange Contracts

     $         $ 1,313,079         $         $ 1,313,079   

Futures Contracts

       2,809,831           64,243                     2,874,074   

Swaps

                 57,812                     57,812   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Appreciation in Other Financial Instruments

     $ 2,809,831         $ 1,435,134         $         $ 4,244,965   
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $         $ (207,305      $         $ (207,305

Futures Contracts

       (1,773,708        (14,782                  (1,788,490

Swaps

                 (9,541                  (9,541
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Depreciation in Other Financial Instruments

     $ (1,773,708      $ (231,628      $         $ (2,005,336
    

 

 

      

 

 

      

 

 

      

 

 

 

Transfers between fair value levels are valued utilizing values as of the beginning of the year.

There were no significant transfers among any levels during the year ended October 31, 2016.

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Fund.

As of October 31, 2016, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.

C. Derivatives — The Fund used derivative instruments including futures, 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 gains to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets.

The 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 lack of a liquid market for these contracts allowing the 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 its value, as recorded in the Consolidated Statement of Assets and Liabilities (“CSAL”).

 

 
50       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

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 also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and 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 with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Fund.

Notes C(1) — C(4) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used index, treasury and commodity futures to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sale of futures contracts will tend to offset both positive and negative market price changes. The Fund also used index, equity or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to seek to enhance portfolio performance.

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 in the Consolidated Statement of Operations (“CSOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the CSOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the CSOI and cash deposited is recorded on the CSAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the CSAL.

The use of futures contracts exposes the Fund to interest rate risk, commodities risk and equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the CSAL, 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 may be 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. Dollar without the delivery of 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 when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

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). As of October 31, 2016, the Fund did not receive or post collateral for forward foreign currency exchange contracts.

(3). Total Return Basket Swaps — The Fund entered into total return basket swap agreements to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.

Under the terms of the agreements, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         51   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within each swap. These interest charges and credits are based on defined market rates based on the

local currencies of the positions in the portfolio plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly reset. During a reset, any unrealized gains (losses) on positions, accrued financing costs, and net dividends become available for cash settlement between the Fund and the swap counterparty are recorded as Due from/to counterparty for swap contract on the CSAL and as net realized gain (loss) on transactions from swaps on the CSOP.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted or received by the Fund is reported on the CSAL as Restricted cash.

Each swap involves additional risks than if the Fund had invested in the underlying positions directly including: the risk that changes in the value of each swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for each swap contract, which may limit the ability of the Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swaps consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Fund’s activities in each total return basket swap are concentrated with a single counterparty. Investing in swaps results in a form of leverage (i.e., the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the CSAL).

The value of each swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap; and (v) other factors, as applicable. The value of each swap is reflected on the CSAL as Outstanding swap contracts, at value. Changes in the value of each swap are recognized as Change in net unrealized appreciation/depreciation of swaps on the CSOP.

The total return basket swaps contracts are subject to master netting arrangements.

(4). Summary of Derivatives Information — The following tables present the value of derivatives held as of October 31, 2016, by their primary underlying risk exposure and respective location on the CSAL:

 

Derivative Contracts    CSAL Location        
Gross Assets:          Futures
Contracts 
(a)
     Forward Foreign
Currency Exchange
Contracts
     Swaps      Total  

Interest rate contracts

   Receivables, Net Assets — Unrealized
Appreciation
   $ 789,511       $       $       $ 789,511   

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      1,320,433                 57,812         1,378,245   

Foreign exchange contracts

   Receivables         1,313,079                 1,313,079   

Commodity contracts

   Receivables, Net Assets — Unrealized Appreciation      764,130                         764,130   
     

 

 

    

 

 

    

 

 

    

 

 

 

Total

      $ 2,874,074       $ 1,313,079       $ 57,812       $ 4,244,965   
     

 

 

    

 

 

    

 

 

    

 

 

 
Gross Liabilities:                                      

Interest rate contracts

   Payables, Net Assets — Unrealized
Depreciation
   $ (1,316,218    $       $       $ (1,316,218

Equity contracts

   Payables, Net Assets — Unrealized Depreciation      (25,902              (9,541      (35,443

Foreign exchange contracts

   Payables         (207,305              (207,305

Commodity contracts

   Payables, Net Assets — Unrealized
Depreciation
     (446,370                      (446,370
     

 

 

    

 

 

    

 

 

    

 

 

 

Total

      $ (1,788,490    $ (207,305    $ (9,541    $ (2,005,336
     

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported on the CSOI. The CSAL only reflects the current day variation margin receivable/payable from/to brokers.

 

 
52       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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The following tables present the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of October 31, 2016:

 

Counterparty      Gross Amount of
Derivative Assets
Subject to  Netting
Arrangements
Presented on the
CSAL 
(a)
       Derivatives
Available
for offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Bank of America N.A.

     $ 20,296         $         $         $ 20,296   

Citibank, N.A.

       385,410           (74,178                  311,232   

Goldman Sachs International

       165,556                               165,556   

HSBC Bank, N.A.

       264,971                               264,971   

Merrill Lynch International

       26,584           (26,584                    

Royal Bank of Scotland

       849                               849   

Standard Chartered Bank

       378,297           (19,394                  358,903   

State Street Corp.

       91,412           (54,451                  36,961   

Union Bank of Switzerland AG

       37,516           (9,541                  27,975   
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 1,370,891         $ (184,148      $         $ 1,186,743   
    

 

 

      

 

 

      

 

 

      

 

 

 
Counterparty      Gross Amount of
Derivative Liabilities
Subject to  Netting
Arrangements
Presented on the
CSAL 
(a)
       Derivatives
Available
for offset
      

Collateral

Posted

       Net Amount Due
To Counterparty
(Not less than zero)
 

Citibank, N.A.

     $ 74,178         $ (74,178      $         $   

Merrill Lynch International

       58,497           (26,584                  31,913   

Royal Bank of Canada

       785                               785   

Standard Chartered Bank

       19,394           (19,394                    

State Street Corp.

       54,451           (54,451                    

Union Bank of Switzerland AG

       9,541           (9,541                    
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 216,846         $ (184,148      $         $ 32,698   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements in the CSAL.

The following tables present the effect of derivatives on the CSOP for the year ended October 31, 2016, by primary underlying risk exposure:

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the CSOP  
Derivative Contracts      Futures Contracts        Forward Foreign
Currency Exchange
Contracts
       Swaps        Total  

Interest rate contracts

     $ 2,363,439         $         $         $ 2,363,439   

Equity contracts

       (7,156,049                  (7,346,593        (14,502,642

Foreign exchange contracts

                 530,856                     530,856   

Commodity contracts

       (444,782                            (444,782
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ (5,237,392      $ 530,856         $ (7,346,593      $ (12,053,129
    

 

 

      

 

 

      

 

 

      

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the CSOP  
Derivative Contracts      Futures Contracts        Forward Foreign
Currency Exchange
Contracts
       Swaps        Total  

Interest rate contracts

     $ (243,821      $         $         $ (243,821

Equity contracts

       2,888,666                     48,271           2,936,937   

Foreign exchange contracts

                 358,363                     358,363   

Commodity contracts

       (397,749                            (397,749
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 2,247,096         $ 358,363         $ 48,271         $ 2,653,730   
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         53   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

The Fund’s derivatives contracts held at October 31, 2016 are not accounted for as hedging instruments under GAAP.

Derivatives Volume

The table discloses the volume of the Fund’s futures contracts, forward foreign currency exchange contracts and swaps activity during the year ended October 31, 2016. Please refer to the table in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

 

Futures Contracts:

        

Commodity

  

Average Notional Balance Long

   $ 16,875,329   

Average Notional Balance Short

     19,229,034   

Ending Notional Balance Long

     19,759,324   

Ending Notional Balance Short

     21,366,269   

Equity

  

Average Notional Balance Long

   $ 971,910   

Average Notional Balance Short

     49,263,486   

Ending Notional Balance Long

     3,160,819   

Ending Notional Balance Short

     50,634,118   

Interest

  

Average Notional Balance Long

   $ 124,610,896   

Average Notional Balance Short

     59,328,608   

Ending Notional Balance Long

     120,066,219   

Ending Notional Balance Short

     59,355,509   

Forward Foreign Currency Exchange Contracts:

  

Average Settlement Value Purchased

   $ 41,193,740   

Average Settlement Value Sold

     82,948,569   

Ending Settlement Value Purchased

     53,336,443   

Ending Settlement Value Sold

     100,982,037   

Total Return Basket Swaps:

  

Average Notional Balance Long

   $ 159,183,716   

Average Notional Balance Short

     177,094,544   

Ending Notional Balance Long

     125,686,519   

Ending Notional Balance Short

     165,834,829   

D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the CSOP.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the CSOP. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the CSOP.

E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.

F. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

 

 
54       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Fund for the year ended October 31, 2016 are as follows:

 

        Class A        Class C        Class R6        Select Class        Total  

Transfer agency fees

     $ 2,343         $ 503         $ 1,552         $ 2,073         $ 6,471   

Sub-transfer agency fees

       15,647           506                     10,069           26,222   

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions and has determined that as of October 31, 2016, no liability for income tax is required in the Fund’s consolidated financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

For Federal income tax purposes, taxable income of the Fund and the Subsidiary are separately calculated. The Subsidiary is classified as a controlled foreign corporation under the Code and its taxable income, including net gains, is included as ordinary income in the calculation of the Fund’s taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.

H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

I. Distributions to Shareholders — Distributions from net investment income or net realized capital gains, if any, are generally declared and paid annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

 

        Paid-in-Capital       

Accumulated

undistributed

(distributions in

excess of)

net investment

income

      

Accumulated

net realized

gains (losses)

 
     $ (1,409,966      $ (5,884,965      $ 7,294,931   

The reclassifications for the Fund relate primarily to foreign currency gains or losses, investments in contingent payment debt instruments, investments in swap contracts and investment in the Subsidiary.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and the Subsidiary and for such services is paid a fee. The fee for services to the Fund is accrued daily and paid monthly at an annual rate of 0.75% of the Fund’s average daily net assets.

The Subsidiary has entered into separate contracts with the Adviser and its affiliates to provide investment advisory and other services to the Subsidiary. The fee for services to the Subsidiary is accrued daily and paid monthly at an annual rate of 0.75% of the Subsidiary’s average daily net assets. The Adviser has agreed to waive the advisory fee that it receives from the Fund in an amount equal to the advisory fee paid to the Adviser by the Subsidiary. This waiver will continue in effect so long as the Fund invests in the Subsidiary and may not be terminated without approval by the Fund’s Board.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fees — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund and the Subsidiary. In consideration of these services for the Fund, the Administrator receives a fee accrued daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended October 31, 2016, the effective rate was 0.09% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements. In consideration for services rendered to the Subsidiary, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.10% of the average daily net assets of the Subsidiary.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Fund’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         55   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Fund’s shares.

The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to the Distributor, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2016, the Distributor retained the following:

 

        Front-End Sales Charge        CDSC  
     $ 117         $   

D. Shareholder Servicing Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets for Class A, Class C and Select Class Shares.

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Fund under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the CSOP. Payments to the custodian may be reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the CSOP.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the CSOP.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the CSOP.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Fund to the extent total annual operating expenses of the Fund, inclusive of the Subsidiary (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s average daily net assets as shown in the table below:

 

        Class A        Class C        Class R6        Select Class  
       1.25        1.75        0.75        1.00

The expense limitation agreement was in effect for the year ended October 31, 2016, and is in place until at least February 28, 2017.

For the year ended October 31, 2016, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total        Contractual
Reimbursements
 
     $ 938,491         $ 269,928         $ 30,723         $ 1,239,142         $ 357   

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective March 1, 2016 the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amount of these waivers resulting from investments in these money market funds for the year ended October 31, 2016 was $208,886.

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the CSOP.

 

 
56       J.P. MORGAN FUNDS   OCTOBER 31, 2016


Table of Contents

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

The Fund may use related party broker-dealers. For the year ended October 31, 2016, the Fund incurred $465 of brokerage commissions with broker-dealers affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows:

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 
     $ 361,827,269         $ 319,057,539   

During the year ended October 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities, including the Subsidiary, held at October 31, 2016 were as follows:

 

       

Aggregate

Cost

      

Gross

Unrealized

Appreciation

      

Gross

Unrealized

Depreciation

      

Net Unrealized

Appreciation

(Depreciation)

 
     $ 327,306,941         $ 13,635,787         $ 11,365,780         $ 2,270,007   

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in contingent payment debt instruments and investment in the Subsidiary.

The Federal income tax net unrealized appreciation (depreciation) in value of investment securities includes unrealized depreciation of the Fund’s investment in its Subsidiary of $(2,135,638), which, if realized, is not deductible for income tax purposes.

The tax character of distributions paid during the year ended October 31, 2016 was as follows:

 

       

Ordinary
Income
*

      

Net

Long-Term

Capital Gains

      

Total

Distributions

Paid

 
     $ 7,367,678         $         $ 7,367,678   

 

* Short-term gains are treated as ordinary income for income tax purposes.

The tax character of distributions paid during the year ended October 31, 2015 was as follows:

 

       

Ordinary
Income
*

      

Net

Long-Term

Capital Gains

      

Total

Distributions

Paid

 
     $ 3,087,930         $ 296,178         $ 3,384,108   

 

* Short-term gains are treated as ordinary income for income tax purposes.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

 

       

Current

Distributable

Ordinary

Income

    

Current

Distributable

Long-Term

Capital Gain or

(Tax Basis Loss
Carryover)

      

Unrealized

Appreciation

(Depreciation)

 
     $1,192,922      $ 88,367         $ 2,092,966   

The cumulative timing differences primarily consist of late year ordinary loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts and investments in convertible securities.

During the year ended October 31, 2016 the Subsidiary had $1,409,967 of net losses for tax purposes. The Subsidiary’s net losses for the current year is not available to offset its future losses.

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         57   


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

During the year ended October 31, 2016 the Fund utilized capital loss carryforwards of $1,807,945.

Late year ordinary losses incurred after December 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended October 31, 2016, the Fund deferred to November 1, 2016 late year ordinary losses of $5,240,144.

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended. The Fund did not utilize the Credit Facility during the year ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

As of October 31, 2016, the J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate, 72.0% of the net assets of the Fund.

Significant shareholder transactions by these shareholders may impact the Fund’s performance.

By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund.

The Fund will employ various alternative investment strategies that involve the use of complicated investment techniques. There is no guarantee that these strategies will succeed and their use may subject the Fund to greater volatility and loss.

Derivatives, including swap agreements, commodity options, futures and options on futures, may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would be if it had not used derivatives. Derivatives also expose the Fund to counterparty risk and to the credit risk of the derivative counterparty.

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as swap and option contracts, credit linked notes, exchange-traded notes and forward foreign currency exchange contracts.

The Fund’s investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

 

 

 
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The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Fund’s investment in convertible bonds subjects the Fund to equity price risk. Due to their conversion feature, the value of convertible bonds tends to vary with fluctuations in the market value of the underlying security.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan Systematic Alpha Fund:

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of portfolio investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of JPMorgan Systematic Alpha Fund (a separate fund of JPMorgan Trust I) and its subsidiary (the “Fund”) as of October 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
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TRUSTEES

(Unaudited)

 

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
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TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1) The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016 and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Systematic Alpha Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,010.90         $ 6.07           1.20

Hypothetical

       1,000.00           1,019.10           6.09           1.20   

Class C

                   

Actual

       1,000.00           1,009.00           8.58           1.70   

Hypothetical

       1,000.00           1,016.59           8.62           1.70   

Class R6

                   

Actual

       1,000.00           1,014.10           3.54           0.70   

Hypothetical

       1,000.00           1,021.62           3.56           0.70   

Select Class

                   

Actual

       1,000.00           1,012.60           4.81           0.95   

Hypothetical

       1,000.00           1,020.36           4.82           0.95   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreement for the Fund whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Fund received from the Adviser. This information includes the Fund’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Fund’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Fund’s expense ratios and those of its peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Fund in connection with the Trustees’ review of the Advisory Agreement. Before voting on the proposed Advisory Agreement, the Trustees reviewed the proposed Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreement. The Trustees also discussed the proposed Advisory Agreement in executive sessions with independent legal counsel at which no representatives of

the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement.

The Trustees considered information provided with respect to the Fund over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from the Fund under the Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to the Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Fund gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Fund, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Fund.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (continued)

 

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Fund. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Fund. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Fund for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Fund’s distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Fund, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Fund may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of

scale realized by the Fund and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for the Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allows the Fund’s shareholders to share potential economies of scale from the Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Fund over time, noting the Adviser’s substantial investments in its business in support of the Fund, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Fund at competitive levels. The Trustees concluded that the Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Fund and its shareholders.

Independent Written Evaluation of the Fund’s Chief Compliance Officer

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of the Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to the Adviser’s other clients were reasonable.

 

 

 
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Investment Performance

The Trustees received and considered absolute and/or relative performance for the Fund in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Fund within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one-year period. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Fund’s performance against its benchmark and considered the performance information provided for the Fund at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Fund’s performance for Class A shares was in the first quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2015. The Trustees noted that the performance for Select Class shares was in the first quintile based upon the Universe for the one-year period ended December 31, 2015. The Trustees discussed the performance and investment strategy of the Fund

with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Fund. The Trustees recognized that Broadridge/Lipper reported the Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for the Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe, and in the first quintile based upon the Universe for Select Class shares. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN FUNDS         67   


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TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

The Fund had 14.91% or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividend received deduction for corporate rate shareholders for the fiscal year ended October 31, 2016.

Qualified Dividend Income (QDI)

The Fund had $2,761,386, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016.

 

 

 
68       J.P. MORGAN FUNDS   OCTOBER 31, 2016


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LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

 Social Security number and account balances

 

 transaction history and account transactions

 

 checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


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LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

 open an account or provide contact information

 

 give us your account information or pay us by check

 

 make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

 sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

 affiliates from using your information to market to you

 

 sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

 J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

 J.P. Morgan Funds doesn’t jointly market.


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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of the Fund’s policies and procedures with respect to the disclosure of the Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO


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LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-SA-1016


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Annual Report

J.P. Morgan International Equity Funds

October 31, 2016

JPMorgan International Discovery Fund

LOGO


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CONTENTS

 

CEO’s Letter        1   
Fund Commentary        2   
Schedule of Portfolio Investments        5   
Financial Statements        8   
Financial Highlights        14   
Notes to Financial Statements        16   
Report of Independent Registered Public Accounting Firm        22   
Trustees        23   
Officers        25   
Schedule of Shareholder Expenses        26   
Tax Letter        27   
Privacy Policy — Located at the back of this Annual Report     

Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.

Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.


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CEO’S LETTER

November 30, 2016 (Unaudited)

 

Dear Shareholder,

Slow but positive growth in the global economy continued over the past twelve months even as financial markets absorbed two sharp downturns and central bank efforts to stimulate growth appeared to have decreasing effectiveness.

 

LOGO   

 

“Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets.”

The U.S. economy continued to lead the rest of the world in growth and by the end of 2015, it had strengthened sufficiently that in December the U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in a decade. Financial markets appeared to digest the Fed’s action with little disruption, but weak economic data coming out of China sent markets into a tailspin in the first week of 2016.

Fears about weakness in China’s economy receded and by March global financial markets were rebounding and oil prices had bounced back from mid-February lows. These events, along with further stimulus from the European Central Bank supported asset prices even as economic growth in Europe remained slow.

At the end of June, financial markets were shocked when British voters chose in favor of the U.K.’s exit from the European Union (E.U.). Leading up to the June 23rd referendum in the U.K., many economists, political pundits and investors expected the U.K.-wide referendum would end up in favor of remaining in the E.U. and when the results showed the opposite, the shock sent financial market volatility upward and equity prices downward. While global financial markets rebounded rather quickly, lingering uncertainty about the impact of the so-called Brexit on companies in both the U.K. and the E.U. proved a drag on select equities.

Meanwhile, growth in emerging market economies, particularly in Asia and Latin America, continued to outpace growth in developed market economies. The general recovery in commodities prices, steady economic growth in China, political changes and favorable currency exchange rates relative to the U.S. dollar all contributed to a favorable investment environment and asset valuations proved attractive to investors during the latter half of the reporting period.

By the end of the third quarter of 2016, gross domestic product growth in the E.U. held steady at 0.4%, while in the U.K. growth was 0.5% for the third quarter. In early October 2016, the International Monetary Fund trimmed its forecast for global growth by 0.1% to 3.1% for the full year 2016. The organization cited the drag from the U.K.’s Brexit vote and weaker-than-expected economic growth in the U.S. Meanwhile, the British pound fell to a 31-year low against the U.S. dollar in October after Prime Minister Theresa May said she would give official notice of separation from the E.U. in March 2017 and target 2019 for implementation. Elsewhere, the Turkish government in October extended the state of emergency that was imposed following a failed military coup in July 2016.

While the results of the U.S. election on November 8th initially surprised financial markets, President-elect Donald Trump’s conciliatory tone in his acceptance speech provided support for U.S. equities.

While President-elect Trump will not be inaugurated into office until January 20, 2017, voters, investors and economists have been left to wonder the extent to which he will carry out pledges made during the campaign, including labeling China a currency manipulator and renegotiating or withdrawing from the North American Free Trade Agreement.

Investors who endured two financial market downturns during the past year were rewarded with generally positive returns in global equity and bond markets. We believe the results clearly illustrate the prudence of holding a well-diversified portfolio and a long-term vision.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         1   


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JPMorgan International Discovery Fund

FUND COMMENTARY

FOR THE PERIOD DECEMBER 21, 2015 (FUND INCEPTION DATE) THROUGH OCTOBER 31, 2016 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Select Class Shares)*      -0.47%   
MSCI Europe, Australasia and Far East Small and Mid Cap Index (“MSCI EAFE SMID Cap Index”)      3.08%   
Net Assets as of 10/31/2016    $ 5,894,412   

 

INVESTMENT OBJECTIVE**

The JPMorgan International Discovery Fund (the “Fund”) seeks to provide long-term capital appreciation.

HOW DID THE MARKET PERFORM?

Global financial markets weathered two distinct sell-offs during the period and rebounded to provide positive returns over the reporting period amid continued economic stimulus from leading central banks. Markets appeared to absorb the Federal Reserve’s December interest rate increase — the first in a decade — with little disruption. But investor concerns about the health of China’s economy sparked a sell-off in global financial markets.

By the end of March 2016, global prices for both equities and crude oil had rebounded from mid-February lows and emerging market equities in particular generally experienced a brief but significant rise in prices. However, British voters confounded the expectations of some at the end of June 2016 and voted to exit the European Union (EU). The unexpected result of the so-called Brexit referendum led to a sell-off in financial markets. Within days, financial markets recovered and volatility subsided. Notably, crude oil prices reached 15-month highs in October 2016 amid expectations that the Organization of Petroleum Exporting Countries would agree to production caps that would reduce global inventories.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the MSCI EAFE SMID Cap Index (the “Benchmark”) for the period from Fund inception to October 31, 2016.

Relative to the Benchmark, the Fund’s security selection in the software & services sector and its security selection and underweight position in the automobiles & components sector were leading detractors from performance. The Fund’s security selection and underweight position in the banks sector and its security selection in the energy sector were leading contributors to relative performance. By Region, the Fund’s security

selection in the U.K. was a leading detractor from relative performance, while its overweight position in Australia was a leading contributor to relative performance.

The Fund’s overweight positions in Provident Financial PLC, ITV PLC and Flow Traders NV were leading detractors from relative performance. Shares of Provident Financial, a U.K. lending company, fell amid investor expectations that the U.K.’s exit from the EU would lead to an increase in impaired loans. Shares of ITV, a U.K. broadcasting company, fell due to reduced prospects for the U.K. economy and advertising spending in the wake of the Brexit vote. Shares of Flow Traders, a Dutch high-speed exchange-traded securities trading company, fell amid declines in its market share.

The Fund’s overweight positions in Whitehaven Coal Ltd., Aristocrat Leisure Ltd. and South32 Ltd. were leading individual contributors to relative performance. Shares of Whitehaven Coal and South32, both Australian coal and metals mining companies, benefitted from a rebound in global coal prices. Shares of Aristocrat Leisure, an Australian maker of gambling machines, rose after the company reported profit growth and raised its earnings forecast.

HOW WAS THE FUND POSITIONED?

The Fund’s assets were primarily invested in equity and equity-like securities of foreign companies, including foreign subsidiaries of U.S. companies. At October 31, 2016, the Fund’s largest sector holdings were in the industrials, consumer discretionary and materials sectors, while the Fund’s smallest sector holdings were in utilities, telecommunications services and energy sectors. By region, the Fund’s largest positions were in Europe and Japan.

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
2       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.       Ashtead Group plc (United Kingdom)      1.6
  2.       Micro Focus International plc (United Kingdom)      1.5   
  3.       Aristocrat Leisure Ltd. (Australia)      1.4   
  4.       JD Sports Fashion plc (United Kingdom)      1.4   
  5.       NSK Ltd. (Japan)      1.3   
  6.       Plus500 Ltd. (Israel)      1.3   
  7.       Nitori Holdings Co., Ltd. (Japan)      1.3   
  8.       Fortescue Metals Group Ltd. (Australia)      1.2   
  9.       Treasury Wine Estates Ltd. (Australia)      1.2   
  10.       Challenger Ltd. (Australia)      1.2   

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      30.4
United Kingdom      14.8   
Australia      11.1   
France      9.4   
Sweden      4.6   
Switzerland      4.0   
Italy      3.4   
Denmark      3.2   
Finland      2.9   
Germany      2.8   
Spain      2.5   
Hong Kong      2.4   
Ireland      1.8   
China      1.4   
Israel      1.3   
Belgium      1.2   
Others (each less than 1.0%)      2.8   

 

***   Percentages indicated are based upon total investments as of October 31, 2016. The Fund’s composition is subject to change.
 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         3   


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JPMorgan International Discovery Fund

FUND COMMENTARY

FOR THE PERIOD DECEMBER 21, 2015 (FUND INCEPTION DATE) THROUGH OCTOBER 31, 2016 (Unaudited) (continued)

 

TOTAL RETURNS AS OF OCTOBER 31, 2016

 
     INCEPTION DATE OF
CLASS
     SINCE
INCEPTION
*
 

CLASS A SHARES

   December 21, 2015     

With Sales Charge**

          (5.95 )% 

Without Sales Charge

          (0.75

CLASS C SHARES

   December 21, 2015     

With CDSC***

          (2.16

Without CDSC

          (1.16

CLASS R5 SHARES

   December 21, 2015        (0.33

CLASS R6 SHARES

   December 21, 2015        (0.26

SELECT CLASS SHARES

   December 21, 2015        (0.47

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the period.

LIFE OF FUND PERFORMANCE (12/21/15 TO 10/31/16)

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on December 21, 2015.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan International Discovery Fund and the MSCI EAFE SMID Cap Index (net of foreign withholding taxes) from December 21, 2015 to October 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE SMID Cap Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE SMID Cap Index captures mid and small cap representation across Developed Markets countries around the world, excluding the U.S. and Canada. With 2,749 constituents, the index covers approximately 28% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to

make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, noninfringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
4       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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JPMorgan International Discovery Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.8%

  

  

Australia — 10.8%

 
  10,507      

ALS Ltd.

    49,646   
  7,054      

Aristocrat Leisure Ltd.

    82,129   
  7,180      

BlueScope Steel Ltd.

    42,596   
  8,189      

Challenger Ltd.

    66,851   
  1,334      

Domino’s Pizza Enterprises Ltd.

    64,987   
  28,767      

Evolution Mining Ltd.

    50,730   
  16,538      

Fortescue Metals Group Ltd.

    69,404   
  490      

Ramsay Health Care Ltd.

    27,286   
  5,181      

Regis Resources Ltd.

    13,066   
  22,999      

South32 Ltd.

    44,883   
  2,422      

TPG Telecom Ltd.

    13,888   
  8,497      

Treasury Wine Estates Ltd.

    69,271   
  17,680      

Whitehaven Coal Ltd. (a)

    40,659   
    

 

 

 
       635,396   
    

 

 

 
  

Belgium — 1.1%

 
  438      

D’ieteren S.A.

    19,309   
  796      

Umicore S.A.

    48,383   
    

 

 

 
       67,692   
    

 

 

 
  

China — 1.4%

 
  4,000      

AAC Technologies Holdings, Inc.

    38,112   
  270,000      

Lonking Holdings Ltd.

    44,137   
    

 

 

 
       82,249   
    

 

 

 
  

Denmark — 3.1%

 
  818      

Bakkafrost P/F

    34,296   
  692      

Royal Unibrew A/S

    32,373   
  598      

SimCorp A/S

    33,023   
  5,881      

TDC A/S (a)

    32,425   
  605      

Vestas Wind Systems A/S

    48,470   
    

 

 

 
       180,587   
    

 

 

 
  

Finland — 2.8%

 
  1,269      

Cramo OYJ

    33,259   
  805      

Huhtamaki OYJ

    32,488   
  6,945      

Sponda OYJ

    32,881   
  1,414      

UPM-Kymmene OYJ

    32,892   
  3,864      

YIT OYJ

    32,225   
    

 

 

 
       163,745   
    

 

 

 
  

France — 9.1%

 
  721      

Ipsen S.A.

    49,843   
  1,521      

IPSOS

    49,677   
  1,464      

Korian S.A.

    44,841   
  604      

Remy Cointreau S.A.

    48,974   
  331      

SEB S.A.

    48,715   
  436      

Sopra Steria Group

    44,356   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

France — continued

 
  1,423      

Tarkett S.A.

    50,676   
  764      

Technip S.A.

    50,707   
  560      

Thales S.A.

    52,688   
  732      

Trigano S.A.

    51,777   
  1,278      

Ubisoft Entertainment S.A. (a)

    43,485   
    

 

 

 
       535,739   
    

 

 

 
  

Germany — 1.7%

 
  299      

Bechtle AG

    31,446   
  576      

Covestro AG (e)

    34,109   
  311      

MTU Aero Engines AG

    32,476   
    

 

 

 
       98,031   
    

 

 

 
  

Hong Kong — 2.3%

 
  24,000      

Lee & Man Paper Manufacturing Ltd.

    18,033   
  4,000      

Link REIT

    28,456   
  33,000      

New World Development Co., Ltd.

    41,027   
  13,500      

Techtronic Industries Co., Ltd.

    50,722   
    

 

 

 
       138,238   
    

 

 

 
  

Ireland — 1.7%

 
  640      

DCC plc

    52,070   
  1,143      

James Hardie Industries plc, CDI

    17,012   
  335      

Paddy Power Betfair plc

    34,703   
    

 

 

 
       103,785   
    

 

 

 
  

Israel — 1.3%

 
  10,000      

Plus500 Ltd.

    75,704   
    

 

 

 
  

Italy — 3.3%

 
  4,751      

Amplifon S.p.A.

    50,200   
  788      

Industria Macchine Automatiche S.p.A.

    48,736   
  1,652      

Recordati S.p.A.

    46,717   
  1,996      

Salvatore Ferragamo S.p.A

    48,791   
    

 

 

 
       194,444   
    

 

 

 
  

Japan — 29.5%

 
  1,800      

Alps Electric Co., Ltd.

    43,178   
  3,000      

Aozora Bank Ltd.

    9,912   
  1,700      

Cawachi Ltd.

    43,751   
  800      

Don Quijote Holdings Co., Ltd.

    30,408   
  1,800      

Ebara Corp.

    53,436   
  4,700      

EDION Corp.

    41,639   
  2,000      

Electric Power Development Co., Ltd.

    46,574   
  2,000      

Fujitsu General Ltd.

    45,893   
  15,000      

Fukuoka Financial Group, Inc.

    64,912   
  1,900      

Goldcrest Co., Ltd.

    34,521   
  2,500      

Iida Group Holdings Co., Ltd.

    48,324   
  1,400      

Japan Exchange Group, Inc.

    20,787   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         5   


Table of Contents

JPMorgan International Discovery Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2016 (continued)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Japan — continued

 
  700      

Kansai Paint Co., Ltd.

    15,043   
  3,100      

Kyowa Exeo Corp.

    46,548   
  2,600      

LIXIL Group Corp.

    59,718   
  2,000      

M3, Inc.

    60,862   
  2,500      

Minebea Co., Ltd.

    25,511   
  7,400      

Mitsubishi Chemical Holdings Corp.

    48,588   
  6,100      

Next Co., Ltd.

    51,198   
  1,400      

Nihon M&A Center, Inc.

    45,435   
  18,500      

Nippon Light Metal Holdings Co., Ltd.

    42,125   
  600      

Nitori Holdings Co., Ltd.

    71,671   
  6,900      

NSK Ltd.

    76,704   
  13,000      

NTN Corp.

    49,208   
  5,200      

Obayashi Corp.

    50,093   
  1,500      

Open House Co., Ltd.

    31,685   
  1,600      

Park24 Co., Ltd.

    49,438   
  2,700      

Raito Kogyo Co. Ltd.

    32,504   
  6,400      

Rengo Co., Ltd.

    40,136   
  7,000      

Ryobi Ltd.

    28,218   
  500      

SCREEN Holdings Co., Ltd.

    34,205   
  31,000      

Shinsei Bank Ltd.

    50,120   
  200      

Sosei Group Corp. (a)

    29,986   
  1,400      

Sumitomo Seika Chemicals Co. Ltd.

    52,344   
  1,800      

Suruga Bank Ltd.

    43,943   
  8,000      

Taisei Corp.

    59,960   
  5,600      

Takara Leben Co., Ltd.

    37,987   
  2,100      

Toridoll Holdings Corp.

    48,654   
  300      

Trend Micro, Inc.

    10,564   
  19,000      

UACJ Corp.

    61,749   
    

 

 

 
       1,737,532   
    

 

 

 
  

Luxembourg — 0.5%

 
  599      

Stabilus S.A. (a)

    31,245   
    

 

 

 
  

Netherlands — 0.8%

 
  2,219      

Intertrust N.V. (a) (e)

    46,778   
    

 

 

 
  

Norway — 0.6%

 
  4,554      

Skandiabanken ASA (a) (e)

    33,871   
    

 

 

 
  

South Africa — 0.4%

 
  1,310      

Mondi plc

    25,565   
    

 

 

 
  

Spain — 2.4%

 
  234      

Aena S.A. (e)

    34,289   
  1,774      

CIE Automotive S.A.

    36,521   
  1,498      

Gamesa Corp., Tecnologica S.A.

    34,587   
  11,529      

Mapfre S.A.

    34,200   
    

 

 

 
       139,597   
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Sweden — 4.5%

 
  9,115      

Cloetta AB, Class B

    32,293   
  3,320      

Granges AB

    32,262   
  293      

Indutrade AB

    5,450   
  2,157      

Inwido AB

    23,572   
  6,441      

KappAhl AB

    33,586   
  1,262      

NCC AB, Class B (a)

    32,070   
  5,063      

Nobina AB (e)

    33,913   
  981      

Nordax Group AB (e)

    6,164   
  2,907      

Sandvik AB

    33,028   
  2,036      

Thule Group AB (e)

    31,429   
    

 

 

 
       263,767   
    

 

 

 
  

Switzerland — 3.8%

 
  67      

dorma+kaba Holding AG, Class B (a)

    46,557   
  4,965      

OC Oerlikon Corp. AG (a)

    46,676   
  916      

Oriflame Holding AG (a)

    33,653   
  11      

Sika AG

    52,871   
  467      

Sulzer AG

    45,991   
    

 

 

 
       225,748   
    

 

 

 
  

United Kingdom — 14.3%

 
  3,600      

3i Group plc

    29,510   
  6,800      

888 Holdings plc

    18,103   
  1,280      

Admiral Group plc

    29,989   
  1,900      

Anglo American plc (a)

    26,370   
  6,000      

Ashtead Group plc

    93,489   
  2,500      

Beazley plc

    11,131   
  1,410      

BGEO Group plc

    51,016   
  4,400      

Electrocomponents plc

    20,067   
  2,887      

Informa plc

    23,752   
  1,442      

Intermediate Capital Group plc

    10,681   
  8,200      

ITV plc

    17,095   
  4,200      

JD Sports Fashion plc

    78,088   
  670      

Johnson Matthey plc

    27,928   
  4,200      

Just Eat plc (a)

    28,851   
  13,800      

Melrose Industries plc

    28,479   
  3,260      

Micro Focus International plc

    85,365   
  2,850      

Old Mutual plc

    7,011   
  3,000      

Paysafe Group plc (a)

    15,857   
  850      

Provident Financial plc

    30,643   
  260      

Randgold Resources Ltd.

    23,090   
  1,660      

RPC Group plc

    19,250   
  5,650      

Sage Group plc (The)

    49,850   
  2,160      

Smiths Group plc

    37,429   
  2,982      

Subsea 7 S.A. (a)

    33,381   
  2,620      

Tate & Lyle plc

    24,987   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

United Kingdom — continued

 
  1,030      

Weir Group plc (The)

    21,396   
    

 

 

 
       842,808   
    

 

 

 
  

United States — 0.4%

 
  470      

Carnival plc

    22,669   
    

 

 

 
  

Total Common Stocks
(Cost $5,224,795)

    5,645,190   
    

 

 

 

 

Preferred Stocks — 1.1%

  

  

Germany — 1.1%

 
  1,035      

Jungheinrich AG

    32,677   
  396      

Sartorius AG

    31,172   
    

 

 

 
  

Total Preferred Stocks
(Cost $55,015)

    63,849   
    

 

 

 
  

Total Investments — 96.9%
(Cost $5,279,810)

    5,709,039   
  

Other Assets in Excess of
Liabilities — 3.1%

    185,373   
    

 

 

 
  

NET ASSETS — 100.0%

  $ 5,894,412   
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, October 31, 2016

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY    PERCENTAGE  

Machinery

     9.4

Metals & Mining

     7.1  

Chemicals

     4.9   

Hotels, Restaurants & Leisure

     4.8  

Banks

     4.6  

Construction & Engineering

     4.4  

Specialty Retail

     3.9  

Software

     3.9  

Household Durables

     3.4  

Real Estate Management & Development

     3.1  

Capital Markets

     2.7  

Beverages

     2.6  

Diversified Financial Services

     2.5  

Media

     2.5  

Building Products

     2.3  

Trading Companies & Distributors

     2.3  

Pharmaceuticals

     2.2  

Health Care Providers & Services

     2.1  

Electrical Equipment

     2.0  

Electronic Equipment, Instruments & Components

     1.8  

Commercial Services & Supplies

     1.7  

Containers & Packaging

     1.6  

IT Services

     1.6  

Food Products

     1.6  

Industrial Conglomerates

     1.6  

Aerospace & Defense

     1.5  

Energy Equipment & Services

     1.5  

Leisure Products

     1.5  

Insurance

     1.4  

Paper & Forest Products

     1.3  

Health Care Technology

     1.1  

Others (each less than 1.0%)

     11.1   

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENT:

 

CDI  

—  CHESS Depository Interest

REIT  

—  Real Estate Investment Trust

(a)  

—  Non-income producing security.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         7   


Table of Contents

STATEMENT OF ASSETS AND LIABILITIES

AS OF OCTOBER 31, 2016

 

        International
Discovery Fund
 

ASSETS:

    

Investments in non-affiliates, at value

     $ 5,709,039   

Cash

       254,908   

Foreign currency, at value

       2,794   

Receivables:

    

Investment securities sold

       30,940   

Interest from non-affiliates

       15,010   

Tax reclaims

       1,637   

Due from Adviser

       10,649   

Deferred offering cost

       3,196   
    

 

 

 

Total Assets

       6,028,173   
    

 

 

 

LIABILITIES:

    

Payables:

    

Investment securities purchased

       40,063   

Accrued liabilities:

    

Administration fees

       3,080   

Distribution fees

       17   

Shareholder servicing fees

       1,005   

Custodian and accounting fees

       16,000   

Trustees’ and Chief Compliance Officer’s fees

       1   

Audit fees

       69,500   

Other

       4,095   
    

 

 

 

Total Liabilities

       133,761   
    

 

 

 

Net Assets

     $ 5,894,412   
    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents
        International
Discovery Fund
 

NET ASSETS:

    

Paid-in-Capital

     $ 5,835,748   

Accumulated undistributed (distributions in excess of) net investment income

       55,678   

Accumulated net realized gains (losses)

       (425,808

Net unrealized appreciation (depreciation)

       428,794   
    

 

 

 

Total Net Assets

     $ 5,894,412   
    

 

 

 

Net Assets:

    

Class A

     $ 19,853   

Class C

       19,769   

Class R5

       19,930   

Class R6

       19,939   

Select Class

       5,814,921   
    

 

 

 

Total

     $ 5,894,412   
    

 

 

 

Outstanding units of beneficial interest (shares)

($0.0001 par value; unlimited number of shares authorized):

    

Class A

       1,334   

Class C

       1,334   

Class R5

       1,334   

Class R6

       1,334   

Select Class

       389,745   

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 14.88   

Class C — Offering price per share (b)

       14.82   

Class R5 — Offering and redemption price per share

       14.94   

Class R6 — Offering and redemption price per share

       14.94   

Select Class — Offering and redemption price per share

       14.92   

Class A maximum sales charge

       5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 15.70   
    

 

 

 

Cost of investments in non-affiliates

     $ 5,279,810   

Cost of foreign currency

       2,792   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         9   


Table of Contents

STATEMENT OF OPERATIONS

FOR THE PERIOD ENDED OCTOBER 31, 2016

 

        International
Discovery Fund 
(a)
 

INVESTMENT INCOME:

    

Dividend income from non-affiliates

     $ 112,969   

Interest income from non-affiliates

       61   

Foreign taxes withheld

       (10,333
    

 

 

 

Total investment income

       102,697   
    

 

 

 

EXPENSES:

    

Investment advisory fees

       31,417   

Administration fees

       3,680   

Distribution fees:

    

Class A

       42   

Class C

       125   

Shareholder servicing fees:

    

Class A

       42   

Class C

       42   

Class R5

       9   

Select Class

       11,053   

Custodian and accounting fees

       93,425   

Interest expense to affiliates

       13   

Professional fees

       71,568   

Trustees’ and Chief Compliance Officer’s fees

       14,596   

Printing and mailing costs

       1,934   

Registration and filing fees

       250   

Transfer agency fees (See Note 2.F.)

       2,981   

Offering costs

       19,547   

Other

       2,766   
    

 

 

 

Total expenses

       253,490   
    

 

 

 

Less fees waived

       (34,921

Less expense reimbursements

       (175,794
    

 

 

 

Net expenses

       42,775   
    

 

 

 

Net investment income (loss)

       59,922   
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       (431,892

Payment by affiliate (See Note 3.G.)

       10,214   

Foreign currency transactions

       (5,194
    

 

 

 

Net realized gain (loss)

       (426,872
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       429,229   

Foreign currency translations

       (435
    

 

 

 

Change in net unrealized appreciation/depreciation

       428,794   
    

 

 

 

Net realized/unrealized gains (losses)

       1,922   
    

 

 

 

Change in net assets resulting from operations

     $ 61,844   
    

 

 

 

 

(a) Commencement of operations was December 21, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIOD INDICATED

 

       International
Discovery Fund
 
        Period Ended
October 31, 2016 
(a)
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

    

Net investment income (loss)

     $ 59,922   

Net realized gain (loss)

       (426,872

Change in net unrealized appreciation/depreciation

       428,794   
    

 

 

 

Change in net assets resulting from operations

       61,844   
    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

    

Class A

    

From net investment income

       (11

Class C

    

From net investment income

       (9

Class R5

    

From net investment income

       (14

Class R6

    

From net investment income

       (14

Select Class

    

From net investment income

       (3,155
    

 

 

 

Total distributions to shareholders

       (3,203
    

 

 

 

CAPITAL TRANSACTIONS:

    

Change in net assets resulting from capital transactions

       5,835,771   
    

 

 

 

NET ASSETS:

    

Change in net assets

       5,894,412   

Beginning of period

         
    

 

 

 

End of period

     $ 5,894,412   
    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 55,678   
    

 

 

 

 

(a) Commencement of operations was December 21, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         11   


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIOD INDICATED (continued)

 

       International
Discovery Fund
 
        Period Ended
October 31, 2016 
(a)
 

CAPITAL TRANSACTIONS:

    

Class A

    

Proceeds from shares issued

     $ 20,000   

Distributions reinvested

       11   
    

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 20,011   
    

 

 

 

Class C

    

Proceeds from shares issued

     $ 20,000   

Distributions reinvested

       9   
    

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 20,009   
    

 

 

 

Class R5

    

Proceeds from shares issued

     $ 20,000   

Distributions reinvested

       14   
    

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ 20,014   
    

 

 

 

Class R6

    

Proceeds from shares issued

     $ 20,000   

Distributions reinvested

       14   
    

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 20,014   
    

 

 

 

Select Class

    

Proceeds from shares issued

     $ 5,752,568   

Distributions reinvested

       3,155   
    

 

 

 

Change in net assets resulting from Select Class capital transactions

     $ 5,755,723   
    

 

 

 

Total change in net assets resulting from capital transactions

     $ 5,835,771   
    

 

 

 

SHARE TRANSACTIONS:

    

Class A

    

Issued

       1,333   

Reinvested

       1   
    

 

 

 

Change in Class A Shares

       1,334   
    

 

 

 

Class C

    

Issued

       1,333   

Reinvested

       1   
    

 

 

 

Change in Class C Shares

       1,334   
    

 

 

 

Class R5

    

Issued

       1,333   

Reinvested

       1   
    

 

 

 

Change in Class R5 Shares

       1,334   
    

 

 

 

Class R6

    

Issued

       1,333   

Reinvested

       1   
    

 

 

 

Change in Class R6 Shares

       1,334   
    

 

 

 

Select Class

    

Issued

       389,536   

Reinvested

       209   
    

 

 

 

Change in Select Class Shares

       389,745   
    

 

 

 

 

(a) Commencement of operations was December 21, 2015.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         13   


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIOD INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
       Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
       Net
investment
income
 

International Discovery Fund

                     

Class A

                     

December 21, 2015 (h) through October 31, 2016

     $ 15.00         $ 0.13         $ (0.24 )(i)(j)    $ (0.11      $ (0.01

Class C

                     

December 21, 2015 (h) through October 31, 2016

       15.00           0.07           (0.24 )(i)(j)      (0.17        (0.01

Class R5

                     

December 21, 2015 (h) through October 31, 2016

       15.00           0.19           (0.24 )(i)(j)      (0.05        (0.01

Class R6

                     

December 21, 2015 (h) through October 31, 2016

       15.00           0.20           (0.25 )(i)(j)      (0.05        (0.01

Select Class

                     

December 21, 2015 (h) through October 31, 2016

       15.00           0.17           (0.24 )(i)(j)      (0.07        (0.01

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2016.
(g) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(h) Commencement of operations.
(i) An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. Without the reimbursement, the net realized and unrealized gains (losses) on investments per share would have been $(0.26), $(0.27), $(0.27), $(0.28) and $(0.27), and the total return would have been (0.88)%, (1.36)%, (0.53)%, (0.53)% and (0.67)% for Class A, Class C, Class R5, Class R6 and Select Class, respectively (See Note 3.G.).
(j) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
    Net
expenses (e)(f)
   

Net
investment
income
(loss) (b)(f)

    Expenses
without waivers and
reimbursements (f)
    Portfolio
turnover
rate (c)(g)
 
           
           
$ 14.88        (0.75 )%(i)    $ 19,853        1.25     1.07     9.33     200
           
  14.82        (1.16 )(i)      19,769        1.75        0.57        9.78        200   
           
  14.94        (0.33 )(i)      19,930        0.80        1.52        8.83        200   
           
  14.94        (0.33 )(i)      19,939        0.75        1.57        8.77        200   
           
  14.92        (0.47 )(i)      5,814,921        0.95        1.34        5.54        200   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         15   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016

 

1. Organization

JPMorgan Trust I (the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
International Discovery Fund    Class A, Class C, Class R5, Class R6 and Select Class    Diversified

The investment objective of the Fund is to seek to provide long-term capital appreciation.

The Fund commenced operations on December 21, 2015. Prior to November 14, 2016 the Fund was not publicly offered for investment.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R5, Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Fund’s administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Fund’s Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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.

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.

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 approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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).

 

 
16       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):

 

       

Level 1

Quoted prices

      

Level 2

Other significant

observable inputs

      

Level 3

Significant

unobservable inputs

       Total  

Investments in Securities

                   

Common Stocks

                   

Australia

     $         $ 635,396         $         $ 635,396   

Belgium

                 67,692                     67,692   

China

                 82,249                     82,249   

Denmark

                 180,587                     180,587   

Finland

                 163,745                     163,745   

France

                 535,739                     535,739   

Germany

                 98,031                     98,031   

Hong Kong

                 138,238                     138,238   

Ireland

                 103,785                     103,785   

Israel

       75,704                               75,704   

Italy

                 194,444                     194,444   

Japan

                 1,737,532                     1,737,532   

Luxembourg

                 31,245                     31,245   

Netherlands

                 46,778                     46,778   

Norway

                 33,871                     33,871   

South Africa

                 25,565                     25,565   

Spain

                 139,597                     139,597   

Sweden

       72,370           191,397                     263,767   

Switzerland

                 225,748                     225,748   

United Kingdom

       89,186           753,622                     842,808   

United States

                 22,669                     22,669   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       237,260           5,407,930                     5,645,190   
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

Germany

                 63,849                     63,849   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 237,260         $ 5,471,779         $         $ 5,709,039   
    

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers among any levels for the period ended October 31, 2016.

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Fund.

As of October 31, 2016, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.

C. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         17   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

D. Offering and Organizational Costs — Total offering costs of approximately $22,743 incurred in connection with the offering of shares of the Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund, if any, were recorded as an expense at the time the Fund commenced operations and are included as part of Professional fees on the Statement of Operations. For the period ended October 31, 2016, total offering costs amortized were $19,547.

E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.

F. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees are class-specific expenses. The amounts of the transfer agency fees charged to each class of the Fund for the period ended October 31, 2016 are as follows:

 

        Class A        Class C        Class R5        Class R6        Select Class        Total  

Transfer agency fees

     $ 586         $ 586         $ 586         $ 586         $ 637         $ 2,981   

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of October 31, 2016, no liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

I. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

 

        Paid-in-Capital        Accumulated
undistributed
distributions in
excess of)
net investment
income
       Accumulated
net realized
gains (losses)
 
     $ (23      $ (1,041      $ 1,064   

The reclassifications for the Fund relate primarily to foreign currency gains or losses and investments in passive foreign investment companies (“PFICs”).

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at the annual rate of 0.70% of the Fund’s average daily net assets.

The Adviser, on behalf of the Fund, has entered into investment sub-advisory agreement with JF International Management, Inc. (“JFIMI”), a wholly-owned subsidiary of JPMorgan Asset Management (Asia) Inc., which is wholly-owned by J.P. Morgan Asset Management Holdings Inc. For its services as sub-adviser, JFIMI receives a portion of the fees payable to the Adviser. The fee is accrued daily and paid monthly at an annual rate of 0.60% of the Fund’s average daily net assets managed by JFIMI.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

 

 
18       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the period ended October 31, 2016, the effective annualized rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Fund’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of the Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to the Distributor, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the period ended October 31, 2016, the Distributor did not retain any front-end sales charges or CDSC.

D. Shareholder Servicing Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R5        Select Class  
       0.25        0.25        0.05        0.25

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Fund under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees in the Statement of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Fund to the extent that total annual operating expenses of the Fund (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Fund’s average daily net assets as shown in the table below:

 

        Class A        Class C        Class R5        Class R6        Select Class  
       1.25        1.75        0.80        0.75        0.95

The expense limitation agreement was in effect for the period ended October 31, 2016 and is in place until at least February 28, 2017.

For the period ended October 31, 2016, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
       Administration        Shareholder
Servicing
       Total        Contractual
Reimbursement
 
     $ 31,417         $ 600         $ 2,904         $ 34,921         $ 175,794   

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         19   


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF OCTOBER 31, 2016 (continued)

 

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund. A portion of the waiver is voluntary.

There were no waivers/reimbursements resulting from investments in these money market funds for the period ended October 31, 2016.

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statement of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

The Fund may use related party broker-dealers. For the period ended October 31, 2016, the Fund incurred $149 of brokerage commissions with broker-dealers affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

An affiliate of JPMCB made a payment to the Fund in the amount of $10,214 relating to an operational error.

4. Investment Transactions

During the period ended October 31, 2016, purchases and sales of investments (excluding short-term investments) were as follows:

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 
     $ 15,994,351         $ 10,282,586   

During the period ended October 31, 2016, there were no purchases or sales of U.S. Government Securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at October 31, 2016 were as follows:

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 
     $ 5,313,691         $ 556,178         $ 160,830         $ 395,348   

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

The tax character of distributions paid during the period ended October 31, 2016 was as follows:

 

        Ordinary
Income*
       Net
Long-Term
Capital Gains
       Total
Distributions
Paid
 
     $ 3,203         $         $ 3,203   

 

* Short-term gains are treated as ordinary income for income tax purposes.

As of October 31, 2016, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

 

        Current
Distributable
Ordinary
Income
       Current
Distributable
Long-Term
Capital Gain or
(Tax Basis
Loss Carryover)
       Unrealized
Appreciation
(Depreciation)
 
     $ 59,609         $ (391,979      $ 394,914   

For the Fund the cumulative timing differences primarily consist of wash sale loss deferrals and trustee deferred compensation.

 

 
20       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

As of October 31, 2016, the Fund had post-enactment net capital loss carryforwards as follows:

 

       Post-enactment net capital loss  
        Short-Term        Long-Term  
     $ 391,979         $   

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the period ended October 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which and any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended. The Fund did not utilize the Credit Facility during the period ended October 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

As of October 31, 2016, all of the Fund’s shares were held by the Adviser.

The Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of October 31, 2016, the Fund had the following non-U.S. country allocations representing greater than 10% of the Fund’s total investments:

 

        Australia        Japan        United Kingdom  
       11.1        30.4        14.8

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         21   


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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust I and the Shareholders of JPMorgan International Discovery Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan International Discovery Fund (a separate fund of JPMorgan Trust I) (the “Fund”) as of October 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the period December 21, 2015 (commencement of operations) through October 31, 2016, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities as of October 31, 2016 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

December 21, 2016

 

 
22       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


Table of Contents

TRUSTEES

(Unaudited)

 

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees

    
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    152    Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.    Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).    152    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.    Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).    152    None
Frankie D. Hughes (1952); Trustee of Trust since 2008.    President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).    152    Trustee, The Victory Portfolios
(2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).
   152    None
Mary E. Martinez (1960); Trustee of Trust since 2013.    Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).    152    None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.    Vice President of Administration and Planning, Northwestern University (1985-present).    152    None
Mitchell M. Merin (1953); Trustee of Trust since 2013.    Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).    152    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College
(2002-2010); President, Kenyon College
(1995-2002).
   152    Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         23   


Table of Contents

TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Fund (1)

  

Principal Occupations

During Past 5 Years

   Number of
Portfolios in Fund
Complex Overseen
by Trustee 
(2)
  

Other Directorships Held

Outside Fund Complex

During Past 5 Years

Independent Trustees (continued)

    
Marian U. Pardo** (1946); Trustee of Trust since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    152    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.    Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer)
(2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).
   152    None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    152    None

 

(1)

The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

 

(2)

A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

 

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

 

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

 

 
24       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trust (Since)

   Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)
   Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964),
Treasurer and Principal Financial Officer (2014)*
   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964),
Secretary (2008)
   Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)
   Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)*

   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)*
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975),
Assistant Secretary (2008)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980),
Assistant Secretary (2011)
   Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980),
Assistant Secretary (2010)
   Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971),
Assistant Secretary (2012)**
   Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

   Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973),
Assistant Treasurer (2014)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963),
Assistant Treasurer (2011)**
   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970),
Assistant Treasurer (2011)**
   Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.

Julie A. Roach (1971),

Assistant Treasurer (2012)*

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969),

Assistant Treasurer (2012)**

   Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

 

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

 

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

 

  ** The contact address for the officer is 4 New York Plaza, New York, NY 10004.

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         25   


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2016, and continued to hold your shares at the end of the reporting period, October 31, 2016.

Actual Expenses

For each Class of the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
May 1, 2016
       Ending
Account Value
October 31, 2016
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

International Discovery Fund

                   

Class A

                   

Actual

     $ 1,000.00         $ 1,033.30         $ 6.39           1.25

Hypothetical

       1,000.00           1,018.85           6.34           1.25   

Class C

                   

Actual

       1,000.00           1,031.30           8.94           1.75   

Hypothetical

       1,000.00           1,016.34           8.87           1.75   

Class R5

                   

Actual

       1,000.00           1,036.10           4.09           0.80   

Hypothetical

       1,000.00           1,021.11           4.06           0.80   

Class R6

                   

Actual

       1,000.00           1,036.80           3.84           0.75   

Hypothetical

       1,000.00           1,021.37           3.81           0.75   

Select Class

                   

Actual

       1,000.00           1,035.40           4.86           0.95   

Hypothetical

       1,000.00           1,020.36           4.82           0.95   

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
26       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   OCTOBER 31, 2016


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Tax Letter

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Qualified Dividend Income (QDI)

The Fund had $13,280, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2016.

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended October 31, 2016, the Fund intends to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are $112,342 and $10,077, respectively.

 

 

 
OCTOBER 31, 2016   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         27   


Table of Contents

LOGO

Rev. January 2011

 

 

FACTS   WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?   Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

Social Security number and account balances

 

transaction history and account transactions

 

checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How?   All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?
  Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

  Yes   No

For marketing purposes —

to offer our products and services to you

  Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

  No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

  No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

   
Questions?   Call 1-800-480-4111 or go to www.jpmorganfunds.com

 

LOGO


Table of Contents

LOGO

 

Page 2

   

 

 

Who we are
Who is providing this notice?   J.P. Morgan Funds

 

What we do
How does J.P. Morgan Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.

How does J.P. Morgan

Funds collect my personal

information?

 

We collect your personal information, for example, when you:

 

open an account or provide contact information

 

give us your account information or pay us by check

 

make a wire transfer

 

We also collect your personal information from others, such as credit bureaus, affiliates and other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

sharing for affiliates’ everyday business purposes – information about your creditworthiness

 

affiliates from using your information to market to you

 

sharing for nonaffiliates to market to you

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

J.P. Morgan Funds does not share with our affiliates.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

J.P. Morgan Funds does not share with nonaffiliates so they can market to you.

Joint Marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

J.P. Morgan Funds doesn’t jointly market.


Table of Contents

 

 

 

LOGO

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 

  © JPMorgan Chase & Co., 2016.  All rights reserved. October 2016.   AN-ID-1016


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ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

Effective January 1, 2016, James Schonbachler replaced Mitchell Merin as the audit committee financial expert. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable.


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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

AUDIT FEES

2016 – $1,524,080

2015 – $1,570,410

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

AUDIT-RELATED FEES

2016 – $298,597

2015 – $318,007

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

TAX FEES

2016 – $329,655

2015 – $339,550

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended October 31, 2016 and 2015, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

ALL OTHER FEES

2016 – Not applicable

2015 – Not applicable

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the


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services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

2016 – 0.0%

2015 – 0.0%

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Not applicable - Less than 50%.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

2015 - $29.8 million

2014 - $31.3 million

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable.


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ITEM 6. SCHEDULE OF INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Included in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

No material changes to report.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.


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(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

JPMorgan Trust I

 

By:  

/s/ Brian S. Shlissel

  Brian S. Shlissel
  President and Principal Executive Officer
  December 30, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Brian S. Shlissel

  Brian S. Shlissel
  President and Principal Executive Officer
  December 30, 2016

 

By:  

/s/ Laura M. Del Prato

  Laura M. Del Prato
  Treasurer and Principal Financial Officer
  December 30, 2016