UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-21295
JPMorgan Trust I
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, New York 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, New York 10017
(Name and Address of Agent for Service)
Registrants telephone number, including area code: (800) 480-4111
Date of fiscal year end: October 31
Date of reporting period: July 31, 2017
ITEM 1. | SCHEDULE OF INVESTMENTS. |
JPMorgan Trust I
Schedule of Portfolio Investments as of July 31, 2017
(Unaudited)
THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST (the List) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the funds fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.
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 Distribution Services, Inc.
© JPMorgan Chase & Co., 2017.
JPMorgan China Region Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan China Region Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan China Region Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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.
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan China Region Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
China |
$ | 4,354 | $ | 9,599 | $ | | $ | 13,953 | ||||||||
Hong Kong |
| 2,309 | | 2,309 | ||||||||||||
Macau |
| 243 | | 243 | ||||||||||||
Singapore |
29 | 177 | | 206 | ||||||||||||
Taiwan |
1,885 | 1,670 | | 3,555 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
6,268 | 13,998 | | 20,266 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Structured Instruments |
| |||||||||||||||
China |
| 916 | | 916 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 6,268 | $ | 14,914 | $ | | $ | 21,182 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 2 to level 1 in the amount of approximately $590,000 are due to the non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
Futures Contracts |
||||||||||||||||
NUMBER OF CONTRACTS |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
Long Futures Outstanding | ||||||||||||||||
101 |
Lean Hogs Futures |
08/14/17 | USD | $ | 3,244,120 | $ | 149,712 | |||||||||
207 |
WTI Crude Oil Futures |
08/21/17 | USD | 10,385,190 | 181,200 | |||||||||||
215 |
Natural Gas Futures |
08/29/17 | USD | 6,007,100 | (1,383,011 | ) | ||||||||||
3 |
Gasoline RBOB Futures |
08/31/17 | USD | 211,252 | 26,175 | |||||||||||
3 |
LME Nickel Futures |
09/18/17 | USD | 183,465 | 22,680 | |||||||||||
9 |
LME Primary Aluminum Futures |
09/18/17 | USD | 429,413 | 1,298 | |||||||||||
3 |
LME Zinc Futures |
09/18/17 | USD | 209,231 | 8,929 | |||||||||||
1,330 |
Crude Oil Futures |
09/19/17 | USD | 66,845,800 | 5,263,328 | |||||||||||
364 |
Globex Gasoline RBOB Futures |
09/28/17 | USD | 23,844,694 | 2,119,496 | |||||||||||
109 |
Brent Crude Oil Futures |
09/29/17 | USD | 5,762,830 | 615,605 | |||||||||||
220 |
Natural Gas Futures |
10/27/17 | USD | 6,424,000 | (1,012,574 | ) | ||||||||||
2 |
NY Harbor ULSD Futures |
10/31/17 | USD | 140,414 | 5,413 | |||||||||||
587 |
WTI Crude Oil Futures |
11/17/17 | USD | 29,620,020 | 855,488 | |||||||||||
6 |
Copper Futures |
12/27/17 | USD | 436,875 | 19,522 | |||||||||||
4 |
Gold 100 OZ Futures |
12/27/17 | USD | 509,360 | 780 | |||||||||||
115 |
Brent Crude Oil Futures |
01/31/18 | USD | 6,129,500 | 491,453 | |||||||||||
Short Futures Outstanding | ||||||||||||||||
(27) |
Natural Gas Futures |
08/29/17 | USD | (754,380 | ) | 112,969 | ||||||||||
(9) |
Live Cattle Futures |
08/31/17 | USD | (403,200 | ) | 14,063 | ||||||||||
(3) |
LME Nickel Futures |
09/18/17 | USD | (183,465 | ) | 594 | ||||||||||
(9) |
LME Primary Aluminum Futures |
09/18/17 | USD | (429,413 | ) | 5,766 | ||||||||||
(3) |
LME Zinc Futures |
09/18/17 | USD | (209,231 | ) | (12,422 | ) | |||||||||
(15) |
Sugar No. 11 (World) Futures |
09/29/17 | USD | (250,488 | ) | (22,221 | ) | |||||||||
(1,330) |
Crude Oil Futures |
10/19/17 | USD | (66,992,100 | ) | (5,150,571 | ) | |||||||||
(364) |
Globex Gasoline RBOB Futures |
10/30/17 | USD | (23,338,661 | ) | (1,953,228 | ) | |||||||||
(587) |
Brent Crude Oil Futures |
10/31/17 | USD | (31,122,740 | ) | (981,446 | ) | |||||||||
(8) |
Wheat Futures |
03/14/18 | USD | (208,300 | ) | 3,176 | ||||||||||
|
|
|||||||||||||||
$ | (617,826 | ) | ||||||||||||||
|
|
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Return Swaps on Commodities
|
||||||||||||||
SWAP COUNTERPARTY |
UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
NOTIONAL VALUE |
VALUE | ||||||||||
Macquarie Bank Ltd. |
||||||||||||||
Long Positions |
||||||||||||||
CME Live Cattle June 2017 Futures |
08/03/2017 | $ | 5,400,000 | $ | (415,030 | ) | ||||||||
COMEX Gold June 2017 Futures |
11/28/2017 | 14,600 | 153,933 | |||||||||||
CBOT Corn July 2017 Futures |
11/28/2017 | 3,225,000 | (116,447 | ) | ||||||||||
CBOT Soybean Oil December 2017 Futures |
02/26/2018 | 13,080,000 | 311,708 | |||||||||||
CBOT Soybean July 2017 Futures |
10/27/2017 | 920,000 | 624,896 | |||||||||||
CBOT Wheat July 2017 Futures |
02/26/2018 | 1,300,000 | (33,885 | ) | ||||||||||
CBOT Wheat July 2017 Futures |
08/29/2017 | 420,000 | (75,000 | ) | ||||||||||
CBOT Soybean Meal July 2017 Futures |
11/28/2017 | 14,600 | 277,036 | |||||||||||
COMEX Silver July 2017 Futures |
11/28/2017 | 390,000 | (7,575 | ) | ||||||||||
CBOT Wheat July 2017 Futures |
10/31/2017 | 3,570,000 | 729,816 | |||||||||||
|
|
|||||||||||||
$ | 1,449,452 | |||||||||||||
|
|
|||||||||||||
Return Swaps on Commodities Indices
|
||||||||||||||
SWAP COUNTERPARTY |
UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
NOTIONAL VALUE |
VALUE | ||||||||||
Macquarie Bank Ltd. |
||||||||||||||
Long Positions |
||||||||||||||
BBG Industrial Metals Index |
12/04/2017 | $ | 5,211,000 | $ | 625,163 | |||||||||
BBG Softs Index |
09/21/2017 | 8,633,000 | 1,158,192 | |||||||||||
BBG Industrial Metals Index |
09/21/2017 | 28,023,000 | 2,152,419 | |||||||||||
|
|
|||||||||||||
$ | 3,935,774 | |||||||||||||
|
|
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS:
Brent | | Broom, Rannoch, Etieve, Ness, Tarbat | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
LME | | London Metal Exchange | ||
RBOB | | Reformulated Blendstock for Oxygenate Blending | ||
ULSD | | Ultra Low Sulfur Diesel | ||
USD | | United States Dollar | ||
VAR | | Variable Rate Security. The interest rate shown is the rate in effect as of July 31, 2017. | ||
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. | ||
(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 July 31, 2017. | ||
(n) | | The rate shown is the effective yield as of July 31, 2017. | ||
| | The value of investments restricted as collateral for swaps to the broker is $3,051,029. |
As of July 31, 2017, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
|
| |||
Aggregate gross unrealized appreciation |
$ | 4,469 | ||
Aggregate gross unrealized depreciation |
(364,845 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | (360,376 | ) | |
|
|
|||
Federal income tax cost of investments |
$ | 149,046,234 | ||
|
|
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 Funds investment objective and policies as described in the Funds prospectus. All significant intercompany balances and transactions have been eliminated in consolidation.
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds net asset values or NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
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 instruments 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) |
$ | 25,446,819 | $ | 123,239,039 | $ | | $ | 148,685,858 | ||||||||
|
|
|
|
|
|
|
|
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Appreciation in Other Financial Instruments |
|
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Futures Contracts |
$ | 9,897,647 | $ | | $ | | $ | 9,897,647 | ||||||||
Swaps |
| 6,033,163 | | 6,033,163 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 9,897,647 | $ | 6,033,163 | $ | | $ | 15,930,810 | ||||||||
|
|
|
|
|
|
|
|
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Depreciation in Other Financial Instruments |
|
|||||||||||||||
Futures Contracts |
$ | (10,515,473 | ) | $ | | $ | | $ | (10,515,473 | ) | ||||||
Swaps |
| (647,937 | ) | | (647,937 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (10,515,473 | ) | $ | (647,937 | ) | $ | | $ | (11,163,410 | ) | |||||
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(a) | Portfolio holdings designated as level 1 and level 2 are disclosed individually on the CSOI. Level 1 consists of money market mutual funds that are held for daily investments of cash. Please refer to the CSOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the period ended January 31, 2017.
B. Derivatives The Fund used derivative instruments including futures and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) (2) below describe the various derivatives used by the Fund.
(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 Funds exposure to positive and negative price fluctuations in the underlying instrument.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the 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 days 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).
(2). Swaps The Fund engaged in various swap transactions, including physical commodities, commodities futures and commodity futures indices to obtain long and short exposure to commodities markets. 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 are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded 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 Schedule of Investments. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). 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 Funds 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 Funds custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A. (JPMCB), an affiliate of the Fund, which provides collateral management service to the Fund.
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.
The Fund may be required to post or receive collateral for Over the Counter Swaps.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
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 days settlement price, which could effectively prevent liquidation of unfavorable positions. 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/quarterly 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.
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Futures Contracts
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
Long Futures Outstanding | ||||||||||||||||
27 | Lean Hogs Futures |
08/14/17 | USD | $ | 867,240 | $ | (4,989 | ) | ||||||||
36 | LME Primary Aluminum Futures |
08/14/17 | USD | 1,709,775 | (20,215 | ) | ||||||||||
27 | LME Zinc Futures |
08/14/17 | USD | 1,880,550 | (1,378 | ) | ||||||||||
28 | CAC 40 Index |
08/18/17 | EUR | 1,685,697 | (30,215 | ) | ||||||||||
13 | IBEX 35 Index |
08/18/17 | EUR | 1,612,772 | (4,852 | ) | ||||||||||
23 | Natural Gas Futures |
08/29/17 | USD | 642,620 | (49,971 | ) | ||||||||||
14 | Hang Seng Index |
08/30/17 | HKD | 2,436,834 | 27,478 | |||||||||||
6 | Feeder Cattle Futures |
08/31/17 | USD | 438,525 | 9,458 | |||||||||||
4 | Euro Bobl |
09/07/17 | EUR | 625,331 | (4,485 | ) | ||||||||||
14 | TOPIX Index |
09/07/17 | JPY | 2,053,445 | 19,884 | |||||||||||
10 | CBOT Wheat Futures |
09/14/17 | USD | 237,250 | (17,604 | ) | ||||||||||
521 | 10 Year Australian Government Bond |
09/15/17 | AUD | 53,748,258 | (735,787 | ) | ||||||||||
54 | 3 Year Australian Government Bond |
09/15/17 | AUD | 4,827,424 | (15,312 | ) | ||||||||||
5 | DAX Index |
09/15/17 | EUR | 1,789,438 | (97,435 | ) | ||||||||||
31 | E-mini S&P 500 |
09/15/17 | USD | 3,825,400 | 60,642 | |||||||||||
43 | Euro STOXX 50 Index |
09/15/17 | EUR | 1,752,387 | (52,316 | ) | ||||||||||
31 | FTSE 100 Index |
09/15/17 | GBP | 2,990,537 | (47,249 | ) | ||||||||||
13 | FTSE MIB Index |
09/15/17 | EUR | 1,651,292 | 29,657 | |||||||||||
21 | LME Primary Aluminum Futures |
09/18/17 | USD | 1,001,962 | 5,755 | |||||||||||
16 | LME Zinc Futures |
09/18/17 | USD | 1,115,900 | 147 | |||||||||||
95 | 10 Year Canadian Government Bond |
09/20/17 | CAD | 10,461,240 | (173,391 | ) | ||||||||||
405 | 10 Year U.S. Treeasury Note |
09/20/17 | USD | 50,992,031 | 21,703 | |||||||||||
10 | U.S. Long Bond |
09/20/17 | USD | 1,531,250 | (16,429 | ) | ||||||||||
3 | SPI 200 Index |
09/21/17 | AUD | 339,937 | (3,478 | ) | ||||||||||
25 | Copper Futures |
09/27/17 | USD | 1,807,188 | 181,161 | |||||||||||
8 | Long Gilt |
09/27/17 | GBP | 1,330,166 | (14,366 | ) | ||||||||||
12 | Feeder Cattle Futures |
09/28/17 | USD | 879,900 | (62,273 | ) | ||||||||||
20 | 5 Year U.S. Treeasury Note |
09/29/17 | USD | 2,363,125 | (2,675 | ) | ||||||||||
64 | Lean Hogs Futures |
10/13/17 | USD | 1,690,240 | (83,949 | ) | ||||||||||
15 | Feeder Cattle Futures |
10/26/17 | USD | 1,096,688 | (64,007 | ) | ||||||||||
96 | Live Cattle Futures |
10/31/17 | USD | 4,298,880 | (161,453 | ) | ||||||||||
108 | Cotton No. 2 Futures |
12/06/17 | USD | 3,718,440 | (247,889 | ) | ||||||||||
30 | Live Cattle Futures |
12/29/17 | USD | 1,357,800 | (27,389 | ) | ||||||||||
Short Futures Outstanding | ||||||||||||||||
(33) | WTI Crude Oil |
08/22/17 | USD | (1,655,610 | ) | (111,008 | ) | |||||||||
(21) | Natural Gas Futures |
08/29/17 | USD | (586,740 | ) | 55,274 | ||||||||||
(207) | Euro Bund |
09/07/17 | EUR | (39,685,297 | ) | 527,443 | ||||||||||
(6) | Euro-Buxl 30-Year Bond |
09/07/17 | EUR | (1,151,506 | ) | 17,205 | ||||||||||
(350) | 10 Year Japanese Government Bond |
09/11/17 | JPY | (47,665,654 | ) | (86,251 | ) | |||||||||
(67) | CBOT Wheat Futures |
09/14/17 | USD | (1,589,575 | ) | (26,223 | ) | |||||||||
(154) | Cocoa Futures |
09/14/17 | USD | (3,172,400 | ) | (118,333 | ) | |||||||||
(123) | Corn Futures |
09/14/17 | USD | (2,280,112 | ) | 62,024 | ||||||||||
(391) | E-mini S&P 500 |
09/15/17 | USD | (48,249,400 | ) | (814,074 | ) | |||||||||
(16) | LME Nickel Futures |
09/18/17 | USD | (978,480 | ) | (99,440 | ) | |||||||||
(8) | LME Primary Aluminum Futures |
09/18/17 | USD | (381,700 | ) | 3,694 | ||||||||||
(5) | LME Zinc Futures |
09/18/17 | USD | (348,719 | ) | (34,121 | ) | |||||||||
(50) | Coffee C Futures |
09/19/17 | USD | (2,610,937 | ) | (199,107 | ) | |||||||||
(9) | 10 Year Canadian Government Bond |
09/20/17 | CAD | (991,065 | ) | 16,437 | ||||||||||
(107) | Long Gilt |
09/27/17 | GBP | (17,790,974 | ) | 84,323 | ||||||||||
(17) | Natural Gas Futures |
09/27/17 | USD | (481,780 | ) | 29,405 | ||||||||||
(15) | Silver Futures |
09/27/17 | USD | (1,258,950 | ) | (19,565 | ) | |||||||||
(53) | Sugar No. 11 (World Markets) Futures |
09/29/17 | USD | (885,058 | ) | (72,310 | ) |
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
(87) | Soybean Futures |
11/14/17 | USD | $ | (4,381,538 | ) | $ | (68,219 | ) | |||||||
(43) | CBOT Wheat Futures |
12/14/17 | USD | (1,074,463 | ) | (89 | ) | |||||||||
(73) | Corn Futures |
12/14/17 | USD | (1,404,338 | ) | 19,585 | ||||||||||
(15) | Coffee C Futures |
12/18/17 | USD | (802,969 | ) | (52,714 | ) | |||||||||
(4) | Gold 100 OZ Futures |
12/27/17 | USD | (509,360 | ) | (1,371 | ) | |||||||||
(9) | Silver Futures |
12/27/17 | USD | (759,780 | ) | (31,479 | ) | |||||||||
(62) | Sugar No. 11 (World Markets) Futures |
02/28/18 | USD | (1,083,264 | ) | (70,792 | ) | |||||||||
(31) | Sugar No. 11 (World Markets) Futures |
04/30/18 | USD | (545,798 | ) | (39,125 | ) | |||||||||
|
|
|||||||||||||||
$ | (2,612,053 | ) | ||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts
CONTRACTS TO BUY |
CURRENCY |
COUNTERPARTY |
SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
713,848 | AUD |
Standard Chartered Bank |
08/23/17 | $ | 541,537 | $ | 570,919 | $ | 29,382 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
10,960,346 | BRL |
Goldman Sachs International |
08/23/17 | 3,326,256 | 3,499,069 | 172,813 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
1,085,841 | CAD |
Citibank, NA |
08/23/17 | 866,486 | 871,228 | 4,742 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
6,910,262 | CHF |
National Australia Bank Ltd. |
08/23/17 | 7,147,709 | 7,156,638 | 8,929 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
5,436,656 | EUR |
State Street Corp. |
08/23/17 | 6,207,944 | 6,443,712 | 235,768 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
616,850,966 | JPY |
State Street Corp. |
08/23/17 | 5,410,866 | 5,600,798 | 189,932 | ||||||||||||||||
276,746,011 | JPY |
Union Bank of Switzerland AG |
08/23/17 | 2,448,018 | 2,512,760 | 64,742 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
64,952,563 | MXN |
Union Bank of Switzerland AG |
08/23/17 | 3,579,875 | 3,634,797 | 54,922 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
5,963,085 | NOK |
National Australia Bank Ltd. |
08/23/17 | 744,764 | 758,779 | 14,015 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
18,052,971 | NZD |
Australia & New Zealand Banking Group Ltd. | 08/23/17 | 13,019,875 | 13,552,109 | 532,234 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
196,826,228 | RUB |
Merrill Lynch International |
08/23/17 | 3,208,592 | 3,277,279 | 68,687 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
5,944,310 | SEK |
Barclays Bank plc |
08/23/17 | 719,260 | 737,201 | 17,941 | ||||||||||||||||
82,329,179 | SEK |
State Street Corp. |
08/23/17 | 9,755,713 | 10,210,291 | 454,578 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
12,268,137 | TRY |
Citibank, NA |
08/23/17 | 3,335,968 | 3,461,390 | 125,422 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
250,274 | TWD |
Merrill Lynch International |
08/23/17 | 8,188 | 8,292 | 104 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
46,138,868 | ZAR |
Citibank, NA |
08/23/17 | 3,378,456 | 3,487,386 | 108,930 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
$ | 63,699,507 | $ | 65,782,648 | $ | 2,083,141 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
CONTRACTS TO SELL |
CURRENCY |
COUNTERPARTY |
SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
10,568,970 | AUD |
State Street Corp. |
08/23/17 | $ | 8,037,808 | $ | 8,452,815 | $ | (415,007 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
14,492,276 | CAD |
State Street Corp. |
08/23/17 | 11,226,333 | 11,627,921 | (401,588 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
2,479,804 | GBP |
Australia & New Zealand Banking Group Ltd. | 08/23/17 | 3,205,149 | 3,274,351 | (69,202 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
876,469,064 | HUF |
Royal Bank of Canada |
08/23/17 | 3,245,753 | 3,415,917 | (170,164 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
12,485,523 | ILS |
Deutsche Bank AG |
08/23/17 | 3,504,757 | 3,509,069 | (4,312 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
119,701,846 | JPY |
Australia & New Zealand Banking Group Ltd. | 08/23/17 | 1,059,817 | 1,086,853 | (27,036 | ) | |||||||||||||||
1,988,334,716 | JPY |
Standard Chartered Bank |
08/23/17 | 17,438,351 | 18,053,407 | (615,056 | ) | |||||||||||||||
898,387,265 | JPY |
State Street Corp. |
08/23/17 | 7,879,947 | 8,157,052 | (277,105 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
3,895,602,740 | KRW |
Merrill Lynch International |
08/23/17 | 3,386,214 | 3,478,317 | (92,103 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
6,729,794 | MXN |
HSBC Bank, NA |
08/23/17 | 372,845 | 376,605 | (3,760 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
138,686,962 | NOK |
Standard Chartered Bank |
08/23/17 | 16,605,592 | 17,647,371 | (1,041,779 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
12,089,941 | PLN |
Citibank, NA |
08/23/17 | 3,246,974 | 3,362,190 | (115,216 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
12,898,601 | RON |
Deutsche Bank AG |
08/23/17 | 3,220,900 | 3,350,142 | (129,242 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
9,839,604 | SEK |
State Street Corp. |
08/23/17 | 1,165,958 | 1,220,287 | (54,329 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
$ | 83,596,398 | $ | 87,012,297 | $ | (3,415,899 | ) | ||||||||||||||||
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Total Return Basket Swaps* Outstanding at July 31, 2017
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
VALUE** | |||||
Bank of America NA | 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. | 05/07/18 | $ | 48,426 | ||||
Bank of America NA | 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. | 01/26/18 | 2,838 | |||||
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. | 12/03/19 | 69,481 | |||||
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. | 03/20/18 | (29,821 | ) | ||||
|
|
|||||||
$ | 90,924 | |||||||
|
|
* | See the accompanying Additional Information Total Return Basket Swap for further details |
** | This represents the value of the swap subsequent to reset. |
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 1.5% |
||||||||||||||||
Auto Components - 0.2% |
||||||||||||||||
TS Tech Co. Ltd. (Japan) |
21,300 | 632,750 | 631,281 | (1,469 | ) | |||||||||||
Automobiles - 0.1% |
||||||||||||||||
Peugeot SA (France) |
12,121 | 260,934 | 260,732 | (202 | ) | |||||||||||
Hotels, Restaurants & Leisure - 0.0% (g) |
||||||||||||||||
William Hill plc (United Kingdom) |
40,526 | 133,942 | 133,942 | | ||||||||||||
Household Durables - 1.0% |
||||||||||||||||
Barratt Developments plc (United Kingdom) |
75,975 | 616,986 | 617,047 | 61 | ||||||||||||
Bellway plc (United Kingdom) |
15,628 | 657,765 | 658,074 | 309 | ||||||||||||
Crest Nicholson Holdings plc (United Kingdom) |
73,108 | 518,948 | 518,948 | | ||||||||||||
Persimmon plc (United Kingdom) |
18,115 | 598,479 | 598,537 | 58 | ||||||||||||
Redrow plc (United Kingdom) |
79,215 | 618,736 | 618,736 | | ||||||||||||
Taylor Wimpey plc (United Kingdom) |
226,766 | 569,667 | 569,546 | (121 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
488,807 | 3,580,581 | 3,580,888 | 307 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media - 0.1% |
||||||||||||||||
Mediaset Espana Comunicacion SA (Spain) |
46,403 | 585,025 | 584,854 | (171 | ) | |||||||||||
Textiles, Apparel & Luxury Goods - 0.1% |
||||||||||||||||
Burberry Group plc (United Kingdom) |
24,619 | 555,772 | 555,342 | (430 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
633,776 | 5,749,004 | 5,747,039 | (1,965 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy - 0.4% |
||||||||||||||||
Energy Equipment & Services - 0.1% |
||||||||||||||||
Petrofac Ltd. (United Kingdom) |
50,642 | 298,672 | 299,232 | 560 | ||||||||||||
Oil, Gas & Consumable Fuels - 0.3% |
||||||||||||||||
Caltex Australia Ltd. (Australia) |
25,308 | 630,473 | 630,695 | 222 | ||||||||||||
Woodside Petroleum Ltd. (Australia) |
23,487 | 548,093 | 548,905 | 812 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
48,795 | 1,178,566 | 1,179,600 | 1,034 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
99,437 | 1,477,238 | 1,478,832 | 1,594 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 0.5% |
||||||||||||||||
Capital Markets - 0.3% |
||||||||||||||||
Close Brothers Group plc (United Kingdom) |
27,720 | 563,236 | 563,630 | 394 | ||||||||||||
Investec plc (South Africa) |
79,339 | 602,956 | 602,420 | (536 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
107,059 | 1,166,192 | 1,166,050 | (142 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance - 0.2% |
||||||||||||||||
Baloise Holding AG (Registered) (Switzerland) |
3,625 | 582,579 | 582,414 | (165 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
110,684 | 1,748,771 | 1,748,464 | (307 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 0.5% |
||||||||||||||||
Pharmaceuticals - 0.5% |
||||||||||||||||
Astellas Pharma, Inc. (Japan) |
39,600 | 505,753 | 504,327 | (1,426 | ) | |||||||||||
Kaken Pharmaceutical Co. Ltd. (Japan) |
10,300 | 549,358 | 548,231 | (1,127 | ) | |||||||||||
Novartis AG (Registered) (Switzerland) |
6,792 | 578,790 | 578,528 | (262 | ) | |||||||||||
Roche Holding AG (Switzerland) |
488 | 125,918 | 125,818 | (100 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
57,180 | 1,759,819 | 1,756,904 | (2,915 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
57,180 | 1,759,819 | 1,756,904 | (2,915 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials - 1.0% |
||||||||||||||||
Aerospace & Defense - 0.1% |
||||||||||||||||
QinetiQ Group plc (United Kingdom) (a) |
150,285 | 478,266 | 478,009 | (257 | ) | |||||||||||
Commercial Services & Supplies - 0.0% (g) |
||||||||||||||||
Downer EDI Ltd. (Australia) |
29,181 | 148,473 | 148,534 | 61 | ||||||||||||
Construction & Engineering - 0.0% (g) |
||||||||||||||||
Tokyu Construction Co. Ltd. (Japan) |
14,300 | 114,405 | 114,356 | (49 | ) | |||||||||||
Electrical Equipment - 0.3% |
||||||||||||||||
ABB Ltd. (Registered) (Switzerland) |
21,937 | 514,990 | 513,904 | (1,086 | ) | |||||||||||
Schneider Electric SE (France) (a) |
7,462 | 586,104 | 585,641 | (463 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
29,399 | 1,101,094 | 1,099,545 | (1,549 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery - 0.2% |
||||||||||||||||
VAT Group AG (Switzerland) (a) |
4,495 | 591,307 | 591,307 | | ||||||||||||
Professional Services - 0.2% |
||||||||||||||||
Pagegroup plc (United Kingdom) |
92,440 | 597,264 | 597,534 | 270 | ||||||||||||
Trading Companies & Distributors - 0.2% |
||||||||||||||||
Sumitomo Corp. (Japan) |
42,800 | 579,040 | 578,519 | (521 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
362,900 | 3,609,849 | 3,607,804 | (2,045 | ) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Information Technology - 0.3% |
||||||||||||||||
Electronic Equipment, Instruments & Components - 0.1% |
||||||||||||||||
Spectris plc (United Kingdom) |
17,632 | 572,286 | 572,290 | 4 | ||||||||||||
Internet Software & Services - 0.2% |
||||||||||||||||
Moneysupermarket.com Group plc (United Kingdom) |
139,074 | 609,384 | 608,911 | (473 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
156,706 | 1,181,670 | 1,181,201 | (469 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials - 1.1% |
||||||||||||||||
Chemicals - 0.3% |
||||||||||||||||
Covestro AG (Germany) |
7,169 | 556,895 | 555,944 | (951 | ) | |||||||||||
Mitsui Chemicals, Inc. (Japan) |
121,000 | 691,460 | 687,416 | (4,044 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
128,169 | 1,248,355 | 1,243,360 | (4,995 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining - 0.8% |
||||||||||||||||
Fortescue Metals Group Ltd. (Australia) |
41,613 | 191,087 | 191,262 | 175 | ||||||||||||
Mitsui Mining & Smelting Co. Ltd. (Japan) |
141,000 | 617,742 | 615,948 | (1,794 | ) | |||||||||||
OZ Minerals Ltd. (Australia) |
21,925 | 146,284 | 146,526 | 242 | ||||||||||||
Rio Tinto plc (United Kingdom) |
12,484 | 579,793 | 585,088 | 5,295 | ||||||||||||
South32 Ltd. (Australia) |
270,484 | 629,687 | 630,864 | 1,177 | ||||||||||||
Vedanta Resources plc (India) |
71,352 | 724,421 | 724,699 | 278 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
558,858 | 2,889,014 | 2,894,387 | 5,373 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
687,027 | 4,137,369 | 4,137,747 | 378 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate - 0.1% |
||||||||||||||||
Real Estate Management & Development - 0.1% |
||||||||||||||||
Swiss Prime Site AG (Registered) (Switzerland) (a) |
5,989 | 540,400 | 540,400 | | ||||||||||||
Telecommunication Services - 0.2% |
||||||||||||||||
Diversified Telecommunication Services - 0.2% |
||||||||||||||||
BT Group plc (United Kingdom) |
141,977 | 587,262 | 587,543 | 281 | ||||||||||||
Utilities - 0.5% |
||||||||||||||||
Electric Utilities - 0.3% |
||||||||||||||||
Enel SpA (Italy) |
117,863 | 673,074 | 672,326 | (748 | ) | |||||||||||
Kansai Electric Power Co., Inc. (The) (Japan) |
42,400 | 569,590 | 569,310 | (280 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
160,263 | 1,242,664 | 1,241,636 | (1,028 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities - 0.2% |
||||||||||||||||
Centrica plc (United Kingdom) |
222,464 | 582,635 | 582,782 | 147 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
382,727 | 1,825,299 | 1,824,418 | (881 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
2,638,403 | 22,616,681 | 22,610,352 | (6,329 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 5.8% |
||||||||||||||||
Auto Components - 0.2% |
||||||||||||||||
Visteon Corp. (a) |
5,378 | 599,862 | 599,862 | | ||||||||||||
Distributors - 0.5% |
||||||||||||||||
Bapcor Ltd. (Australia) |
139,610 | 631,037 | 630,726 | 311 | ||||||||||||
Core-Mark Holding Co., Inc. |
16,918 | 620,383 | 620,383 | | ||||||||||||
LKQ Corp. (a) |
17,463 | 603,521 | 603,521 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
173,991 | 1,854,941 | 1,854,630 | 311 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Diversified Consumer Services - 0.2% |
||||||||||||||||
Houghton Mifflin Harcourt Co. (a) |
47,744 | 570,541 | 570,541 | | ||||||||||||
Hotels, Restaurants & Leisure - 1.4% |
||||||||||||||||
Chipotle Mexican Grill, Inc. (a) |
530 | 182,198 | 182,198 | | ||||||||||||
Dominos Pizza Enterprises Ltd. (Australia) |
2,544 | 108,496 | 108,455 | 41 | ||||||||||||
Dominos Pizza Group plc (United Kingdom) |
166,356 | 584,722 | 584,631 | 91 | ||||||||||||
Fiesta Restaurant Group, Inc. (a) |
9,511 | 159,785 | 159,785 | | ||||||||||||
Greene King plc (United Kingdom) |
59,551 | 538,215 | 537,966 | 249 | ||||||||||||
Melia Hotels International SA (Spain) |
36,149 | 561,233 | 560,313 | 920 | ||||||||||||
Merlin Entertainments plc (United Kingdom) |
22,032 | 136,421 | 136,422 | (1 | ) | |||||||||||
MGM Resorts International |
18,714 | 616,252 | 616,252 | | ||||||||||||
NH Hotel Group SA (Spain) |
22,734 | 151,517 | 151,460 | 57 | ||||||||||||
Planet Fitness, Inc., Class A |
26,251 | 594,848 | 594,848 | | ||||||||||||
Red Robin Gourmet Burgers, Inc. (a) |
8,879 | 530,964 | 530,964 | | ||||||||||||
Resorttrust, Inc. (Japan) |
12,300 | 226,933 | 226,733 | 200 | ||||||||||||
Star Entertainment Grp Ltd. (The) (Australia) |
139,164 | 561,109 | 561,399 | (290 | ) |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Hotels, Restaurants & Leisure - continued |
||||||||||||||||
Whitbread plc (United Kingdom) |
3,392 | 172,214 | 172,246 | (32 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
528,107 | 5,124,907 | 5,123,672 | 1,235 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables - 0.3% |
||||||||||||||||
Meritage Homes Corp. (a) |
11,910 | 485,332 | 485,332 | | ||||||||||||
Universal Electronics, Inc. (a) |
8,195 | 560,948 | 560,948 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
20,105 | 1,046,280 | 1,046,280 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail - 0.6% |
||||||||||||||||
Etsy, Inc. (a) |
41,294 | 593,395 | 593,395 | | ||||||||||||
Groupon, Inc. (a) |
151,242 | 568,670 | 568,670 | | ||||||||||||
Netflix, Inc. (a) |
3,534 | 641,986 | 641,986 | | ||||||||||||
Rakuten, Inc. (Japan) |
11,000 | 134,500 | 134,367 | 133 | ||||||||||||
TripAdvisor, Inc. (a) |
9,095 | 354,887 | 354,887 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
216,165 | 2,293,438 | 2,293,305 | 133 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Leisure Products - 0.5% |
||||||||||||||||
Amer Sports OYJ (Finland) (a) |
25,428 | 683,308 | 683,025 | 283 | ||||||||||||
Mattel, Inc. |
25,860 | 517,717 | 517,717 | | ||||||||||||
Sankyo Co. Ltd. (Japan) |
16,200 | 531,943 | 531,723 | 220 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
67,488 | 1,732,968 | 1,732,465 | 503 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media - 0.6% |
||||||||||||||||
Axel Springer SE (Germany) |
9,651 | 613,972 | 612,828 | 1,144 | ||||||||||||
JCDecaux SA (France) |
17,085 | 607,869 | 608,428 | (559 | ) | |||||||||||
Lions Gate Entertainment Corp., Class A (a) |
19,640 | 577,416 | 577,416 | | ||||||||||||
Telenet Group Holding NV (Belgium) (a) |
8,224 | 574,301 | 574,153 | 148 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
54,600 | 2,373,558 | 2,372,825 | 733 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multiline Retail - 0.3% |
||||||||||||||||
B&M European Value Retail SA (Luxembourg) |
40,082 | 190,383 | 190,493 | (110 | ) | |||||||||||
Don Quijote Holdings Co. Ltd. (Japan) |
14,200 | 517,148 | 515,727 | 1,421 | ||||||||||||
Marui Group Co. Ltd. (Japan) |
41,500 | 565,405 | 564,391 | 1,014 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
95,782 | 1,272,936 | 1,270,611 | 2,325 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail - 0.7% |
||||||||||||||||
Advance Auto Parts, Inc. |
5,477 | 613,479 | 613,479 | | ||||||||||||
CarMax, Inc. (a) |
9,607 | 636,464 | 636,464 | | ||||||||||||
Fast Retailing Co. Ltd. (Japan) |
1,500 | 450,632 | 450,073 | 559 | ||||||||||||
L Brands, Inc. |
11,144 | 516,970 | 516,970 | | ||||||||||||
Murphy USA, Inc. (a) |
7,434 | 562,977 | 562,977 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
35,162 | 2,780,522 | 2,779,963 | 559 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods - 0.5% |
||||||||||||||||
G-III Apparel Group Ltd. (a) |
14,527 | 378,138 | 378,138 | | ||||||||||||
Hanesbrands, Inc. |
10,944 | 250,837 | 250,837 | | ||||||||||||
Lululemon Athletica, Inc. (a) |
10,702 | 659,671 | 659,671 | | ||||||||||||
NIKE, Inc., Class B |
9,345 | 551,822 | 551,822 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
45,518 | 1,840,468 | 1,840,468 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
1,290,040 | 21,490,421 | 21,484,622 | 5,799 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 3.7% |
||||||||||||||||
Beverages - 1.0% |
||||||||||||||||
Anheuser-Busch InBev SA/NV (Belgium) |
1,344 | 161,966 | 162,130 | (164 | ) | |||||||||||
Britvic plc (United Kingdom) |
69,183 | 651,739 | 651,484 | 255 | ||||||||||||
Brown-Forman Corp., Class B |
2,314 | 114,312 | 114,312 | | ||||||||||||
Coca-Cola Bottling Co. Consolidated |
2,794 | 670,811 | 670,811 | | ||||||||||||
Davide Campari-Milano SpA (Italy) |
78,127 | 578,505 | 577,543 | 962 | ||||||||||||
Monster Beverage Corp. (a) |
12,482 | 658,426 | 658,426 | | ||||||||||||
Remy Cointreau SA (France) |
5,514 | 634,927 | 634,283 | 644 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
171,758 | 3,470,686 | 3,468,989 | 1,697 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing - 0.6% |
||||||||||||||||
Aeon Co. Ltd. (Japan) |
34,000 | 512,722 | 512,312 | 410 | ||||||||||||
Carrefour SA (France) |
20,756 | 498,913 | 498,562 | 351 | ||||||||||||
Caseys General Stores, Inc. |
5,088 | 543,144 | 543,144 | | ||||||||||||
Costco Wholesale Corp. |
592 | 93,838 | 93,838 | | ||||||||||||
Sugi Holdings Co. Ltd. (Japan) |
11,900 | 607,710 | 607,171 | 539 | ||||||||||||
Woolworths Ltd. (Australia) |
151 | 3,225 | 3,223 | 2 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
72,487 | 2,259,552 | 2,258,250 | 1,302 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products - 1.5% |
||||||||||||||||
Associated British Foods plc (United Kingdom) |
15,078 | 589,656 | 589,847 | (191 | ) |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Food Products - continued |
||||||||||||||||
Blue Buffalo Pet Products, Inc. (a) |
23,124 | 517,284 | 517,284 | | ||||||||||||
Calbee, Inc. (Japan) |
3,300 | 136,945 | 136,811 | 134 | ||||||||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) (Switzerland) |
8 | 545,302 | 545,223 | 79 | ||||||||||||
Ezaki Glico Co. Ltd. (Japan) |
10,300 | 541,884 | 541,580 | 304 | ||||||||||||
Kewpie Corp. (Japan) |
10,100 | 254,138 | 254,051 | 87 | ||||||||||||
Kikkoman Corp. (Japan) |
18,800 | 576,389 | 575,795 | 594 | ||||||||||||
Lancaster Colony Corp. |
4,731 | 580,115 | 580,115 | | ||||||||||||
Nissin Foods Holdings Co. Ltd. (Japan) |
8,400 | 528,024 | 527,728 | 296 | ||||||||||||
Viscofan SA (Spain) |
10,122 | 603,794 | 602,196 | 1,598 | ||||||||||||
Yamazaki Baking Co. Ltd. (Japan) |
28,700 | 576,369 | 575,740 | 629 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
132,663 | 5,449,900 | 5,446,370 | 3,530 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products - 0.6% |
||||||||||||||||
Avon Products, Inc. (United Kingdom) (a) |
156,477 | 569,576 | 569,576 | | ||||||||||||
Coty, Inc., Class A |
29,339 | 600,863 | 600,863 | | ||||||||||||
Edgewell Personal Care Co. (a) |
1,349 | 97,398 | 97,398 | | ||||||||||||
elf Beauty, Inc. (a) |
20,985 | 532,389 | 532,389 | | ||||||||||||
Shiseido Co. Ltd. (Japan) |
15,600 | 551,862 | 551,046 | 816 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
223,750 | 2,352,088 | 2,351,272 | 816 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Tobacco - 0.0% (g) |
||||||||||||||||
Vector Group Ltd. |
5,237 | 105,421 | 105,421 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
605,895 | 13,637,647 | 13,630,302 | 7,345 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy - 2.7% |
||||||||||||||||
Energy Equipment & Services - 0.5% |
||||||||||||||||
Halliburton Co. |
12,110 | 513,948 | 513,948 | | ||||||||||||
Precision Drilling Corp. (Canada) (a) |
183,110 | 531,669 | 531,669 | | ||||||||||||
Vallourec SA (France) (a) |
70,796 | 418,372 | 418,802 | (430 | ) | |||||||||||
Weatherford International plc (a) |
64,203 | 286,345 | 286,345 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
330,219 | 1,750,334 | 1,750,764 | (430 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels - 2.2% |
||||||||||||||||
Antero Resources Corp. (a) |
26,593 | 548,348 | 548,348 | | ||||||||||||
Carrizo Oil & Gas, Inc. (a) |
34,828 | 548,889 | 548,889 | | ||||||||||||
Chesapeake Energy Corp. (a) |
101,478 | 503,331 | 503,331 | | ||||||||||||
EQT Corp. |
2,062 | 131,349 | 131,349 | | ||||||||||||
Extraction Oil & Gas, Inc. (a) |
37,542 | 457,262 | 457,262 | | ||||||||||||
Hess Corp. |
11,086 | 493,770 | 493,770 | | ||||||||||||
Laredo Petroleum, Inc. (a) |
45,848 | 594,190 | 594,190 | | ||||||||||||
Matador Resources Co. (a) |
22,312 | 541,289 | 541,289 | | ||||||||||||
MEG Energy Corp. (Canada) (a) |
42,691 | 175,318 | 175,318 | | ||||||||||||
Oasis Petroleum, Inc. (a) |
71,760 | 558,293 | 558,293 | | ||||||||||||
Occidental Petroleum Corp. |
8,204 | 508,074 | 508,074 | | ||||||||||||
Parsley Energy, Inc., Class A (a) |
20,870 | 611,074 | 611,074 | | ||||||||||||
PDC Energy, Inc. (a) |
4,909 | 231,508 | 231,508 | | ||||||||||||
QEP Resources, Inc. (a) |
54,667 | 468,496 | 468,496 | | ||||||||||||
Range Resources Corp. |
24,725 | 521,945 | 521,945 | | ||||||||||||
RSP Permian, Inc. (a) |
7,179 | 246,670 | 246,670 | | ||||||||||||
Seven Generations Energy Ltd. (Canada), Class A (a) |
12,312 | 213,997 | 213,997 | | ||||||||||||
SM Energy Co. |
17,660 | 307,107 | 307,107 | | ||||||||||||
Tullow Oil plc (Ghana) (a) |
105,200 | 233,325 | 233,982 | (657 | ) | |||||||||||
WPX Energy, Inc. (a) |
26,969 | 290,726 | 290,726 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
678,895 | 8,184,961 | 8,185,618 | (657 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
1,009,114 | 9,935,295 | 9,936,382 | (1,087 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 2.8% |
||||||||||||||||
Banks - 0.6% |
||||||||||||||||
Banco BPM SpA (Italy) (a) |
177,624 | 649,738 | 646,943 | 2,795 | ||||||||||||
Banco de Sabadell SA (Spain) |
295,041 | 661,167 | 658,863 | 2,304 | ||||||||||||
Seven Bank Ltd. (Japan) |
30,600 | 121,296 | 121,095 | 201 | ||||||||||||
UniCredit SpA (Italy) (a) |
34,394 | 677,508 | 675,978 | 1,530 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
537,659 | 2,109,709 | 2,102,879 | 6,830 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets - 1.2% |
||||||||||||||||
Ashmore Group plc (United Kingdom) |
131,785 | 625,958 | 625,627 | 331 | ||||||||||||
Deutsche Bank AG (Registered) (Germany) |
30,899 | 551,966 | 550,239 | 1,727 | ||||||||||||
Financial Engines, Inc. |
3,679 | 141,458 | 141,458 | | ||||||||||||
Hargreaves Lansdown plc (United Kingdom) |
31,737 | 577,858 | 577,473 | 385 |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Capital Markets - continued |
||||||||||||||||
Interactive Brokers Group, Inc., Class A |
15,634 | 626,142 | 626,142 | | ||||||||||||
Japan Exchange Group, Inc. (Japan) (a) |
31,900 | 573,213 | 572,519 | 694 | ||||||||||||
London Stock Exchange Group plc (United Kingdom) |
12,963 | 641,035 | 641,757 | (722 | ) | |||||||||||
NEX Group plc (United Kingdom) |
66,872 | 588,941 | 588,056 | 885 | ||||||||||||
TD Ameritrade Holding Corp. |
3,269 | 149,491 | 149,491 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
328,738 | 4,476,062 | 4,472,762 | 3,300 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Finance - 0.1% |
||||||||||||||||
Aiful Corp. (Japan) (a) |
29,400 | 101,871 | 101,794 | 77 | ||||||||||||
LendingClub Corp. (a) |
44,112 | 223,648 | 223,648 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
73,512 | 325,519 | 325,442 | 77 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Diversified Financial Services - 0.4% |
||||||||||||||||
Element Fleet Management Corp. (Canada) |
36,357 | 275,284 | 275,284 | | ||||||||||||
Groupe Bruxelles Lambert SA (Belgium) |
6,004 | 616,010 | 615,785 | 225 | ||||||||||||
Pargesa Holding SA (Switzerland) |
7,217 | 576,195 | 575,949 | 246 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
49,578 | 1,467,489 | 1,467,018 | 471 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance - 0.5% |
||||||||||||||||
Admiral Group plc (United Kingdom) |
21,133 | 576,618 | 576,507 | 111 | ||||||||||||
Markel Corp. (a) |
525 | 562,543 | 562,543 | | ||||||||||||
Sony Financial Holdings, Inc. (Japan) |
35,100 | 608,427 | 606,811 | 1,616 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
56,758 | 1,747,588 | 1,745,861 | 1,727 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Thrifts & Mortgage Finance - 0.0% (g) |
||||||||||||||||
PHH Corp. (a) |
9,038 | 124,544 | 124,544 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
1,055,283 | 10,250,911 | 10,238,506 | 12,405 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 2.2% |
||||||||||||||||
Health Care Equipment & Supplies - 0.6% |
||||||||||||||||
DexCom, Inc. (a) |
5,319 | 354,299 | 354,299 | | ||||||||||||
Glaukos Corp. (a) |
14,276 | 573,610 | 573,610 | | ||||||||||||
Insulet Corp. (a) |
818 | 41,154 | 41,154 | | ||||||||||||
Penumbra, Inc. (a) |
6,865 | 560,527 | 560,527 | | ||||||||||||
Sysmex Corp. (Japan) |
10,100 | 579,001 | 578,176 | 825 | ||||||||||||
Wright Medical Group NV (a) |
3,782 | 99,353 | 99,353 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
41,160 | 2,207,944 | 2,207,119 | 825 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Providers & Services - 0.5% |
||||||||||||||||
Acadia Healthcare Co., Inc. (a) |
12,297 | 650,880 | 650,880 | | ||||||||||||
Diplomat Pharmacy, Inc. (a) |
32,453 | 515,029 | 515,029 | | ||||||||||||
Healthscope Ltd. (Australia) |
66,279 | 110,288 | 110,323 | (35 | ) | |||||||||||
Tenet Healthcare Corp. (a) |
29,702 | 515,330 | 515,330 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
140,731 | 1,791,527 | 1,791,562 | (35 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Technology - 0.2% |
||||||||||||||||
athenahealth, Inc. (a) |
4,042 | 559,089 | 559,089 | | ||||||||||||
Life Sciences Tools & Services - 0.1% |
||||||||||||||||
Eurofins Scientific SE (Luxembourg) |
1,140 | 634,820 | 635,036 | (216 | ) | |||||||||||
Pharmaceuticals - 0.8% |
||||||||||||||||
Chugai Pharmaceutical Co. Ltd. (Japan) |
14,500 | 583,315 | 581,509 | 1,806 | ||||||||||||
Dermira, Inc. (a) |
20,685 | 569,458 | 569,458 | | ||||||||||||
Medicines Co. (The) (a) |
6,777 | 260,576 | 260,576 | | ||||||||||||
Nektar Therapeutics (a) |
19,493 | 425,532 | 425,532 | | ||||||||||||
Pacira Pharmaceuticals, Inc. (a) |
2,240 | 88,480 | 88,480 | | ||||||||||||
Santen Pharmaceutical Co. Ltd. (Japan) |
41,800 | 590,345 | 588,894 | 1,451 | ||||||||||||
Vifor Pharma AG (Switzerland) |
4,993 | 533,406 | 532,972 | 434 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
110,488 | 3,051,112 | 3,047,421 | 3,691 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
297,561 | 8,244,492 | 8,240,227 | 4,265 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials - 6.8% |
||||||||||||||||
Aerospace & Defense - 0.7% |
||||||||||||||||
Bombardier, Inc. (Canada), Class B (a) |
67,162 | 135,213 | 135,213 | | ||||||||||||
Cobham plc (United Kingdom) |
312,363 | 546,899 | 546,899 | | ||||||||||||
Cubic Corp. |
12,058 | 574,564 | 574,564 | | ||||||||||||
Mercury Systems, Inc. (a) |
14,591 | 640,691 | 640,691 | | ||||||||||||
TransDigm Group, Inc. |
1,968 | 555,251 | 555,251 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
408,142 | 2,452,618 | 2,452,618 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Air Freight & Logistics - 0.4% |
||||||||||||||||
Bollore SA (France) |
126,325 | 586,211 | 586,102 | 109 | ||||||||||||
Hub Group, Inc., Class A (a) |
15,692 | 534,313 | 534,313 | |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Air Freight & Logistics - continued |
||||||||||||||||
Yamato Holdings Co. Ltd. (Japan) |
10,300 | 206,943 | 206,745 | 198 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
152,317 | 1,327,467 | 1,327,160 | 307 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Building Products - 0.0% (g) |
||||||||||||||||
Armstrong World Industries, Inc. (a) |
2,543 | 123,463 | 123,463 | | ||||||||||||
Commercial Services & Supplies - 0.9% |
||||||||||||||||
Aggreko plc (United Kingdom) |
52,204 | 584,430 | 583,597 | 833 | ||||||||||||
Brambles Ltd. (Australia) |
19,648 | 145,238 | 145,273 | (35 | ) | |||||||||||
Clean Harbors, Inc. (a) |
9,361 | 531,705 | 531,705 | | ||||||||||||
Covanta Holding Corp. |
10,872 | 164,167 | 164,167 | | ||||||||||||
Healthcare Services Group, Inc. |
12,176 | 636,196 | 636,196 | | ||||||||||||
Societe BIC SA (France) |
4,856 | 569,507 | 569,589 | (82 | ) | |||||||||||
Sohgo Security Services Co. Ltd. (Japan) |
12,600 | 534,310 | 534,100 | 210 | ||||||||||||
Team, Inc. (a) |
12,321 | 176,806 | 176,806 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
134,038 | 3,342,359 | 3,341,433 | 926 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering - 0.8% |
||||||||||||||||
Dycom Industries, Inc. (a) |
6,371 | 577,213 | 577,213 | | ||||||||||||
Ferrovial SA (Spain) |
26,562 | 573,697 | 572,804 | 893 | ||||||||||||
Granite Construction, Inc. |
10,599 | 519,563 | 519,563 | | ||||||||||||
Primoris Services Corp. |
21,589 | 537,998 | 537,998 | | ||||||||||||
SNC-Lavalin Group, Inc. (Canada) |
13,259 | 583,960 | 583,960 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
78,380 | 2,792,431 | 2,791,538 | 893 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment - 0.5% |
||||||||||||||||
Acuity Brands, Inc. |
3,171 | 642,603 | 642,603 | | ||||||||||||
Melrose Industries plc (United Kingdom) |
184,959 | 567,137 | 567,137 | | ||||||||||||
OSRAM Licht AG (Germany) |
8,207 | 685,036 | 683,925 | 1,111 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
196,337 | 1,894,776 | 1,893,665 | 1,111 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrial Conglomerates - 0.1% |
||||||||||||||||
DCC plc (United Kingdom) |
6,036 | 530,794 | 530,639 | 155 | ||||||||||||
Machinery - 1.1% |
||||||||||||||||
CIRCOR International, Inc. |
9,675 | 484,331 | 484,331 | | ||||||||||||
EnPro Industries, Inc. |
7,334 | 564,865 | 564,865 | | ||||||||||||
FANUC Corp. (Japan) |
2,700 | 552,637 | 552,028 | 609 | ||||||||||||
Flowserve Corp. |
2,406 | 98,959 | 98,959 | | ||||||||||||
GEA Group AG (Germany) |
11,666 | 474,311 | 474,119 | 192 | ||||||||||||
Kone OYJ (Finland), Class B |
11,702 | 609,663 | 609,526 | 137 | ||||||||||||
Proto Labs, Inc. (a) |
4,716 | 348,512 | 348,512 | | ||||||||||||
REV Group, Inc. |
20,705 | 553,859 | 553,859 | | ||||||||||||
Welbilt, Inc. (a) |
27,029 | 526,795 | 526,795 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
97,933 | 4,213,932 | 4,212,994 | 938 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Marine - 0.1% |
||||||||||||||||
Matson, Inc. |
16,177 | 456,191 | 456,191 | | ||||||||||||
Professional Services - 0.5% |
||||||||||||||||
Advisory Board Co. (The) (a) |
10,377 | 583,187 | 583,187 | | ||||||||||||
Bureau Veritas SA (France) |
24,548 | 559,258 | 559,317 | (59 | ) | |||||||||||
SGS SA (Registered) (Switzerland) |
243 | 537,292 | 537,075 | 217 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
35,168 | 1,679,737 | 1,679,579 | 158 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail - 0.9% |
||||||||||||||||
AMERCO |
1,373 | 533,493 | 533,493 | | ||||||||||||
Avis Budget Group, Inc. (a) |
20,698 | 637,084 | 637,084 | | ||||||||||||
Genesee & Wyoming, Inc., Class A (a) |
1,667 | 108,622 | 108,622 | | ||||||||||||
Hertz Global Holdings, Inc. (a) |
46,227 | 631,923 | 631,923 | | ||||||||||||
Keio Corp. (Japan) |
14,000 | 117,338 | 117,240 | 98 | ||||||||||||
Kintetsu Group Holdings Co. Ltd. (Japan) |
128,000 | 491,124 | 490,846 | 278 | ||||||||||||
Odakyu Electric Railway Co. Ltd. (Japan) |
6,400 | 126,845 | 126,774 | 71 | ||||||||||||
Werner Enterprises, Inc. |
20,707 | 613,963 | 613,963 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
239,072 | 3,260,392 | 3,259,945 | 447 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors - 0.6% |
||||||||||||||||
Beacon Roofing Supply, Inc. (a) |
10,591 | 486,445 | 486,445 | | ||||||||||||
Herc Holdings, Inc. (a) |
14,951 | 678,476 | 678,476 | | ||||||||||||
MISUMI Group, Inc. (Japan) |
5,800 | 143,941 | 143,839 | 102 | ||||||||||||
MonotaRO Co. Ltd. (Japan) |
16,000 | 528,278 | 527,761 | 517 |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Trading Companies & Distributors - continued |
||||||||||||||||
SiteOne Landscape Supply, Inc. (a) |
10,742 | 563,955 | 563,955 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
58,084 | 2,401,095 | 2,400,476 | 619 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure - 0.2% |
||||||||||||||||
Aeroports de Paris (France) |
3,526 | 597,102 | 596,722 | 380 | ||||||||||||
Groupe Eurotunnel SE (Registered) (France) |
12,351 | 136,883 | 136,955 | (72 | ) | |||||||||||
Mitsubishi Logistics Corp. (Japan) |
9,000 | 115,679 | 115,539 | 140 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
24,877 | 849,664 | 849,216 | 448 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
1,449,104 | 25,324,919 | 25,318,917 | 6,002 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology - 5.4% |
||||||||||||||||
Communications Equipment - 0.3% |
||||||||||||||||
Infinera Corp. (a) |
51,166 | 600,177 | 600,177 | | ||||||||||||
Nokia OYJ (Finland) |
47,570 | 302,966 | 303,553 | (587 | ) | |||||||||||
ViaSat, Inc. (a) |
3,525 | 232,967 | 232,967 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
102,261 | 1,136,110 | 1,136,697 | (587 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electronic Equipment, Instruments & Components - 0.2% |
||||||||||||||||
Ai Holdings Corp. (Japan) |
22,200 | 612,164 | 611,655 | 509 | ||||||||||||
Internet Software & Services - 1.5% |
||||||||||||||||
2U, Inc. (a) |
4,775 | 247,106 | 247,106 | | ||||||||||||
Benefitfocus, Inc. (a) |
9,038 | 323,109 | 323,109 | | ||||||||||||
Box, Inc., Class A (a) |
31,534 | 594,416 | 594,416 | | ||||||||||||
Cornerstone OnDemand, Inc. (a) |
16,573 | 668,058 | 668,058 | | ||||||||||||
GMO internet, Inc. (Japan) |
12,600 | 162,636 | 162,494 | 142 | ||||||||||||
GrubHub, Inc. (a) |
12,730 | 587,235 | 587,235 | | ||||||||||||
New Relic, Inc. (a) |
4,121 | 193,522 | 193,522 | | ||||||||||||
Pandora Media, Inc. (a) |
38,173 | 341,648 | 341,648 | | ||||||||||||
Q2 Holdings, Inc. (a) |
14,697 | 571,713 | 571,713 | | ||||||||||||
Quotient Technology, Inc. (a) |
55,095 | 639,102 | 639,102 | | ||||||||||||
Yahoo Japan Corp. (Japan) |
132,300 | 600,027 | 598,781 | 1,246 | ||||||||||||
Zillow Group, Inc., Class C (a) |
12,322 | 556,462 | 556,462 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
343,958 | 5,485,034 | 5,483,646 | 1,388 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services - 0.5% |
||||||||||||||||
Digital Garage, Inc. (Japan) (a) |
25,600 | 487,409 | 486,375 | 1,034 | ||||||||||||
InterXion Holding NV (Netherlands) (a) |
3,524 | 168,694 | 168,694 | | ||||||||||||
Syntel, Inc. |
30,929 | 602,806 | 602,806 | | ||||||||||||
Wirecard AG (Germany) |
9,014 | 690,292 | 689,829 | 463 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
69,067 | 1,949,201 | 1,947,704 | 1,497 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment - 0.7% |
||||||||||||||||
ams AG (Austria) (a) |
9,467 | 682,893 | 682,254 | 639 | ||||||||||||
ASML Holding NV (Netherlands) |
4,226 | 641,102 | 637,286 | 3,816 | ||||||||||||
Cavium, Inc. (a) |
9,263 | 573,750 | 573,750 | | ||||||||||||
First Solar, Inc. (a) |
14,879 | 733,683 | 733,683 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
37,835 | 2,631,428 | 2,626,973 | 4,455 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software - 2.0% |
||||||||||||||||
Capcom Co. Ltd. (Japan) (a) |
25,400 | 630,593 | 629,162 | 1,431 | ||||||||||||
FireEye, Inc. (a) |
24,873 | 363,892 | 363,892 | | ||||||||||||
Globant SA (a) |
6,269 | 288,186 | 288,186 | | ||||||||||||
Guidewire Software, Inc. (a) |
8,978 | 647,852 | 647,852 | | ||||||||||||
HubSpot, Inc. (a) |
2,262 | 163,656 | 163,656 | | ||||||||||||
Imperva, Inc. (a) |
6,404 | 288,500 | 288,500 | | ||||||||||||
Nintendo Co. Ltd. (Japan) |
1,200 | 407,964 | 407,538 | 426 | ||||||||||||
Paycom Software, Inc. (a) |
8,901 | 623,871 | 623,871 | | ||||||||||||
Paylocity Holding Corp. (a) |
13,381 | 608,434 | 608,434 | | ||||||||||||
Pegasystems, Inc. |
9,192 | 555,656 | 555,656 | | ||||||||||||
RingCentral, Inc., Class A (a) |
5,937 | 206,608 | 206,608 | | ||||||||||||
Sage Group plc (The) (United Kingdom) |
61,268 | 544,841 | 544,854 | (13 | ) | |||||||||||
salesforce.com, Inc. (a) |
5,578 | 506,482 | 506,482 | | ||||||||||||
ServiceNow, Inc. (a) |
5,970 | 659,387 | 659,387 | | ||||||||||||
Splunk, Inc. (a) |
4,682 | 280,967 | 280,967 | | ||||||||||||
Tableau Software, Inc., Class A (a) |
4,624 | 298,017 | 298,017 | | ||||||||||||
Workday, Inc., Class A (a) |
1,569 | 160,211 | 160,211 | | ||||||||||||
Zendesk, Inc. (a) |
9,211 | 270,067 | 270,067 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
205,699 | 7,505,184 | 7,503,340 | 1,844 | |||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 0.2% |
||||||||||||||||
Pure Storage, Inc., Class A (a) |
13,055 | 157,574 | 157,574 | | ||||||||||||
Ricoh Co. Ltd. (Japan) |
62,800 | 590,717 | 590,478 | 239 | ||||||||||||
Stratasys Ltd. (a) |
5,226 | 125,372 | 125,372 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
81,081 | 873,663 | 873,424 | 239 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
862,101 | 20,192,784 | 20,183,439 | 9,345 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials - 5.4% |
||||||||||||||||
Chemicals - 2.4% |
||||||||||||||||
Air Liquide SA (France) |
4,071 | 499,756 | 499,160 | 596 | ||||||||||||
CF Industries Holdings, Inc. |
18,114 | 531,646 | 531,646 | | ||||||||||||
Clariant AG (Registered) (Switzerland) (a) |
27,417 | 637,967 | 637,103 | 864 | ||||||||||||
Croda International plc (United Kingdom) |
11,434 | 558,333 | 557,932 | 401 | ||||||||||||
DuluxGroup Ltd. (Australia) |
103,236 | 544,260 | 544,346 | (86 | ) | |||||||||||
Essentra plc (United Kingdom) |
74,948 | 529,537 | 529,537 | | ||||||||||||
Ferro Corp. (a) |
31,951 | 614,737 | 614,737 | | ||||||||||||
GCP Applied Technologies, Inc. (a) |
18,770 | 568,731 | 568,731 | | ||||||||||||
Givaudan SA (Registered) (Switzerland) |
294 | 585,294 | 584,945 | 349 | ||||||||||||
Johnson Matthey plc (United Kingdom) |
15,832 | 586,974 | 586,772 | 202 | ||||||||||||
Kansai Paint Co. Ltd. (Japan) |
25,400 | 583,132 | 580,991 | 2,141 | ||||||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) |
8,564 | 153,180 | 153,180 | | ||||||||||||
Symrise AG (Germany) |
7,839 | 549,643 | 548,853 | 790 | ||||||||||||
Taiyo Nippon Sanso Corp. (Japan) |
51,900 | 601,644 | 599,806 | 1,838 | ||||||||||||
Toray Industries, Inc. (Japan) |
66,000 | 596,871 | 595,975 | 896 | ||||||||||||
Umicore SA (Belgium) |
9,034 | 725,939 | 725,269 | 670 | ||||||||||||
WR Grace & Co. |
1,777 | 122,542 | 122,542 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
476,581 | 8,990,186 | 8,981,525 | 8,661 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction Materials - 0.3% |
||||||||||||||||
Boral Ltd. (Australia) |
125,000 | 692,000 | 692,710 | (710 | ) | |||||||||||
Vulcan Materials Co. |
4,378 | 539,019 | 539,019 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
129,378 | 1,231,019 | 1,231,729 | (710 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging - 0.5% |
||||||||||||||||
Amcor Ltd. (Australia) |
45,039 | 552,719 | 552,875 | (156 | ) | |||||||||||
Ball Corp. |
14,046 | 588,527 | 588,527 | | ||||||||||||
Huhtamaki OYJ (Finland) |
13,324 | 516,406 | 516,315 | 91 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
72,409 | 1,657,652 | 1,657,717 | (65 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining - 2.2% |
||||||||||||||||
Alamos Gold, Inc. (Canada), Class A |
84,438 | 598,025 | 598,025 | | ||||||||||||
Alcoa Corp. |
16,911 | 615,560 | 615,560 | | ||||||||||||
Coeur Mining, Inc. (a) |
68,845 | 570,037 | 570,037 | | ||||||||||||
Compass Minerals International, Inc. |
8,938 | 617,169 | 617,169 | | ||||||||||||
Eldorado Gold Corp. (Canada) |
222,465 | 471,071 | 471,071 | | ||||||||||||
First Quantum Minerals Ltd. (Zambia) |
23,440 | 259,076 | 259,076 | | ||||||||||||
Franco-Nevada Corp. (Canada) |
1,827 | 132,370 | 132,370 | | ||||||||||||
Fresnillo plc (Mexico) |
9,420 | 190,906 | 191,171 | (265 | ) | |||||||||||
Goldcorp, Inc. (Canada) |
44,787 | 588,060 | 588,060 | | ||||||||||||
Hecla Mining Co. |
21,517 | 116,407 | 116,407 | | ||||||||||||
Iluka Resources Ltd. (Australia) |
90,197 | 650,861 | 651,156 | (295 | ) | |||||||||||
Independence Group NL (Australia) |
50,117 | 120,682 | 121,071 | (389 | ) | |||||||||||
New Gold, Inc. (Canada) (a) |
172,872 | 578,204 | 578,204 | | ||||||||||||
Pan American Silver Corp. (Canada) |
35,761 | 602,351 | 602,351 | | ||||||||||||
Randgold Resources Ltd. (Jersey) |
6,214 | 578,832 | 578,425 | 407 | ||||||||||||
Royal Gold, Inc. |
7,354 | 637,298 | 637,298 | | ||||||||||||
Sumitomo Metal Mining Co. Ltd. (Japan) |
43,000 | 650,782 | 649,415 | 1,367 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
908,103 | 7,977,691 | 7,976,866 | 825 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
1,586,471 | 19,856,548 | 19,847,837 | 8,711 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate - 0.2% |
||||||||||||||||
Real Estate Management & Development - 0.2% |
||||||||||||||||
Capital & Counties Properties plc (United Kingdom) |
53,952 | 204,726 | 205,090 | (364 | ) | |||||||||||
Ichigo, Inc. (Japan) (a) |
175,900 | 537,696 | 537,250 | 446 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
229,852 | 742,422 | 742,340 | 82 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Real Estate |
229,852 | 742,422 | 742,340 | 82 | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Telecommunication Services - 0.3% |
||||||||||||||||
Diversified Telecommunication Services - 0.3% |
||||||||||||||||
Iliad SA (France) |
607 | 150,647 | 150,581 | 66 | ||||||||||||
SFR Group SA (France) (a) |
4,249 | 158,444 | 158,158 | 286 | ||||||||||||
Vivendi SA (France) |
27,138 | 628,705 | 627,264 | 1,441 | ||||||||||||
Zayo Group Holdings, Inc. (a) |
4,240 | 139,030 | 139,030 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
36,234 | 1,076,826 | 1,075,033 | 1,793 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
36,234 | 1,076,826 | 1,075,033 | 1,793 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities - 1.3% |
||||||||||||||||
Electric Utilities - 0.3% |
||||||||||||||||
Chugoku Electric Power Co., Inc. (The) (Japan) |
8,500 | 93,215 | 93,185 | 30 | ||||||||||||
Hokkaido Electric Power Co., Inc. (Japan) |
14,700 | 110,805 | 110,706 | 99 | ||||||||||||
Hokuriku Electric Power Co. (Japan) |
18,400 | 170,406 | 170,355 | 51 | ||||||||||||
Hydro One Ltd. (Canada) |
33,378 | 598,622 | 598,622 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
74,978 | 973,048 | 972,868 | 180 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Gas Utilities - 0.2% |
||||||||||||||||
New Jersey Resources Corp. |
13,970 | 588,836 | 588,836 | | ||||||||||||
Independent Power and Renewable Electricity Producers - 0.2% |
||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) |
58,147 | 621,696 | 621,696 | | ||||||||||||
Calpine Corp. (a) |
18,672 | 268,503 | 268,503 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
76,819 | 890,199 | 890,199 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities - 0.2% |
||||||||||||||||
Dominion Energy, Inc. |
1,473 | 113,686 | 113,686 | | ||||||||||||
NiSource, Inc. |
21,886 | 570,349 | 570,349 | | ||||||||||||
Sempra Energy |
969 | 109,507 | 109,507 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
24,328 | 793,542 | 793,542 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Water Utilities - 0.4% |
||||||||||||||||
American Water Works Co., Inc. |
6,650 | 539,315 | 539,315 | | ||||||||||||
Aqua America, Inc. |
16,091 | 537,118 | 537,118 | | ||||||||||||
California Water Service Group (a) |
11,600 | 451,240 | 451,240 | | ||||||||||||
Pennon Group plc (United Kingdom) |
10,890 | 115,664 | 115,749 | (85 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
45,231 | 1,643,337 | 1,643,422 | (85 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
235,326 | 4,888,962 | 4,888,867 | 95 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
8,656,981 | 135,641,227 | 135,586,472 | 54,755 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swap |
6,018,578 | (113,024,546 | ) | (112,976,120 | ) | 48,426 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Outstanding swap contract, at value |
$ | 48,426 | ||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET SWAP POSITIONS |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 3.1% |
||||||||||||||||
Hotels, Restaurants & Leisure - 0.2% |
||||||||||||||||
Tatts Group Ltd. (Australia) |
187,621 | 600,387 | 600,420 | 33 | ||||||||||||
Internet & Direct Marketing Retail - 0.6% |
||||||||||||||||
HSN, Inc. |
59,382 | 2,354,496 | 2,354,496 | | ||||||||||||
Media - 2.3% |
||||||||||||||||
Sky plc (United Kingdom) |
281,985 | 3,590,293 | 3,593,657 | 3,364 | ||||||||||||
Time Warner, Inc. |
46,015 | 4,712,856 | 4,712,856 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
328,000 | 8,303,149 | 8,306,513 | 3,364 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
575,003 | 11,258,032 | 11,261,429 | 3,397 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 0.9% |
||||||||||||||||
Food & Staples Retailing - 0.3% |
||||||||||||||||
Booker Group plc (United Kingdom) |
443,284 | 1,125,873 | 1,125,873 | | ||||||||||||
Tobacco - 0.6% |
||||||||||||||||
British American Tobacco plc (United Kingdom) (a) |
37,944 | 2,372,259 | 2,372,259 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
481,228 | 3,498,132 | 3,498,132 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy - 2.3% |
||||||||||||||||
Energy Equipment & Services - 0.9% |
||||||||||||||||
Amec Foster Wheeler plc (United Kingdom) |
346,242 | 2,027,418 | 2,031,027 | 3,609 | ||||||||||||
Atwood Oceanics, Inc. (a) |
152,394 | 1,197,817 | 1,197,817 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
498,636 | 3,225,235 | 3,228,844 | 3,609 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels - 1.4% |
||||||||||||||||
Rice Energy, Inc. (a) |
188,271 | 5,265,940 | 5,265,940 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
686,907 | 8,491,175 | 8,494,784 | 3,609 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 0.6% |
||||||||||||||||
Banks - 0.1% |
||||||||||||||||
MainSource Financial Group, Inc. |
8,467 | 295,837 | 295,837 | | ||||||||||||
Capital Markets - 0.0% (g) |
||||||||||||||||
Sole Realisation Co. plc (United Kingdom) (a) |
5,123 | 4,732 | 4,732 | | ||||||||||||
Thrifts & Mortgage Finance - 0.5% |
||||||||||||||||
Astoria Financial Corp. |
104,124 | 2,101,222 | 2,101,222 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
117,714 | 2,401,791 | 2,401,791 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 1.3% |
||||||||||||||||
Health Care Equipment & Supplies - 1.3% |
||||||||||||||||
CR Bard, Inc. |
14,820 | 4,751,292 | 4,751,292 | | ||||||||||||
Industrials - 1.3% |
||||||||||||||||
Aerospace & Defense - 0.1% |
||||||||||||||||
DigitalGlobe, Inc. (a) |
11,823 | 412,623 | 412,623 | | ||||||||||||
Commercial Services & Supplies - 0.1% |
||||||||||||||||
Berendsen plc (United Kingdom) |
30,471 | 512,593 | 512,567 | (26 | ) | |||||||||||
Road & Rail - 1.1% |
||||||||||||||||
Swift Transportation Co. (a) |
155,161 | 3,956,606 | 3,956,605 | (1 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
197,455 | 4,881,822 | 4,881,795 | (27 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
2,073,127 | 35,282,244 | 35,289,223 | 6,979 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 0.8% |
||||||||||||||||
Hotels, Restaurants & Leisure - 0.2% |
||||||||||||||||
Tabcorp Holdings Ltd. (Australia) |
148,596 | 496,905 | 496,522 | 383 | ||||||||||||
Internet & Direct Marketing Retail - 0.6% |
||||||||||||||||
Liberty Interactive Corp. QVC Group (a) |
97,000 | 2,322,180 | 2,322,180 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
245,596 | 2,819,085 | 2,818,702 | 383 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 0.9% |
||||||||||||||||
Food & Staples Retailing - 0.3% |
||||||||||||||||
Tesco plc (United Kingdom) (a) |
377,850 | 868,448 | 868,494 | (46 | ) | |||||||||||
Tobacco - 0.6% |
||||||||||||||||
British American Tobacco plc (United Kingdom) |
37,564 | 2,336,102 | 2,336,696 | (594 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
415,414 | 3,204,550 | 3,205,190 | (640 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy - 1.9% |
||||||||||||||||
Energy Equipment & Services - 0.9% |
||||||||||||||||
Ensco plc, Class A |
241,392 | 1,276,964 | 1,276,964 | | ||||||||||||
John Wood Group plc (United Kingdom) |
257,084 | 2,070,795 | 2,074,811 | (4,016 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
498,476 | 3,347,759 | 3,351,775 | (4,016 | ) | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 1.0% |
||||||||||||||||
EQT Corp. |
60,346 | 3,844,040 | 3,844,040 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
558,822 | 7,191,799 | 7,195,815 | (4,016 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 0.6% |
||||||||||||||||
Banks - 0.6% |
||||||||||||||||
First Financial Bancorp (a) |
11,630 | 297,728 | 297,728 | | ||||||||||||
Sterling Bancorp |
90,197 | 2,083,551 | 2,083,551 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
101,827 | 2,381,279 | 2,381,279 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
101,827 | 2,381,279 | 2,381,279 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 0.4% |
||||||||||||||||
Health Care Equipment & Supplies - 0.4% |
||||||||||||||||
Becton Dickinson and Co. |
7,449 | 1,500,229 | 1,500,229 | | ||||||||||||
Industrials - 1.2% |
||||||||||||||||
Aerospace & Defense - 0.1% |
||||||||||||||||
MacDonald Dettwiler & Associates Ltd. (Canada) |
3,666 | 207,919 | 207,919 | | ||||||||||||
Commercial Services & Supplies - 0.0% (g) |
||||||||||||||||
Elis SA (France) |
10,636 | 257,295 | 257,163 | 132 | ||||||||||||
Road & Rail - 1.1% |
||||||||||||||||
Knight Transportation, Inc. |
110,598 | 3,942,819 | 3,942,819 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
124,900 | 4,408,033 | 4,407,901 | 132 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services - 0.7% |
||||||||||||||||
Diversified Telecommunication Services - 0.7% |
||||||||||||||||
AT&T, Inc. |
65,462 | 2,553,018 | 2,553,018 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
1,519,470 | 24,057,993 | 24,062,134 | (4,141 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swap |
553,657 | 11,224,251 | 11,227,089 | 2,838 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Outstanding Swap contract, at value |
$ | 2,838 | ||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 0.9% |
||||||||||||||||
Hotels, Restaurants & Leisure - 0.5% |
||||||||||||||||
Tatts Group Ltd. (Australia) |
577,881 | 1,849,219 | 1,849,321 | 102 | ||||||||||||
Media - 0.4% |
||||||||||||||||
Havas SA (France) |
23,465 | 256,806 | 257,002 | 196 | ||||||||||||
Sky plc (United Kingdom) |
81,975 | 1,043,723 | 1,044,701 | 978 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
105,440 | 1,300,529 | 1,301,703 | 1,174 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
683,321 | 3,149,748 | 3,151,024 | 1,276 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 0.1% |
||||||||||||||||
Food & Staples Retailing - 0.1% |
||||||||||||||||
Metro Wholesale & Food Specialist AG (Germany) (a) |
21,833 | 441,060 | 441,060 | | ||||||||||||
Health Care - 1.0% |
||||||||||||||||
Pharmaceuticals - 1.0% |
||||||||||||||||
STADA Arzneimittel AG (Germany) |
47,175 | 3,674,651 | 3,674,651 | | ||||||||||||
Industrials - 3.0% |
||||||||||||||||
Aerospace & Defense - 1.2% |
||||||||||||||||
DigitalGlobe, Inc. (a) |
28,119 | 981,353 | 981,353 | | ||||||||||||
Zodiac Aerospace (France) |
125,724 | 3,594,295 | 3,595,414 | 1,119 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
153,843 | 4,575,648 | 4,576,767 | 1,119 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies - 0.3% |
||||||||||||||||
Berendsen plc (United Kingdom) |
66,835 | 1,124,322 | 1,124,264 | (58 | ) | |||||||||||
Machinery - 0.1% |
||||||||||||||||
Pfeiffer Vacuum Technology AG (Germany) |
3,373 | 571,991 | 571,998 | 7 | ||||||||||||
Transportation Infrastructure - 1.4% |
||||||||||||||||
Abertis Infraestructuras SA (Spain) |
254,503 | 5,028,374 | 5,018,102 | (10,272 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
478,554 | 11,300,335 | 11,291,131 | (9,204 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology - 0.3% |
||||||||||||||||
IT Services - 0.3% |
||||||||||||||||
Paysafe Group plc (Isle of Man) (a) |
153,261 | 1,193,054 | 1,192,866 | (188 | ) | |||||||||||
Materials - 0.0% (g) |
||||||||||||||||
Metals & Mining - 0.0% (g) |
||||||||||||||||
Kirkland Lake Gold Ltd. (Canada) |
314 | 3,254 | 3,254 | | ||||||||||||
Telecommunication Services - 2.1% |
||||||||||||||||
Diversified Telecommunication Services - 2.1% |
||||||||||||||||
Level 3 Communications, Inc. (a) |
79,052 | 4,638,771 | 4,638,771 | | ||||||||||||
Vocus Group Ltd. (Australia) |
1,085,728 | 3,031,353 | 3,028,782 | (2,571 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
1,164,780 | 7,670,124 | 7,667,553 | (2,571 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
1,164,780 | 7,670,124 | 7,667,553 | (2,571 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Right |
|
|||||||||||||||
Consumer Discretionary - 0.0% (g) |
||||||||||||||||
Media - 0.0% (g) |
||||||||||||||||
Media General, Inc., CVR (a) |
48,548 | | 78,648 | 78,648 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
2,597,786 | 27,432,226 | 27,500,187 | 67,961 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 0.4% |
||||||||||||||||
Hotels, Restaurants & Leisure - 0.4% |
||||||||||||||||
Tabcorp Holdings Ltd. (Australia) |
457,681 | 1,530,485 | 1,529,307 | 1,178 | ||||||||||||
Energy - 0.0% (g) |
||||||||||||||||
Oil, Gas & Consumable Fuels - 0.0% (g) |
||||||||||||||||
Royal Dutch Shell plc (Netherlands), Class A |
33 | 929 | 933 | (4 | ) | |||||||||||
Industrials - 0.4% |
||||||||||||||||
Aerospace & Defense - 0.2% |
||||||||||||||||
MacDonald Dettwiler & Associates Ltd. (Canada) |
14,599 | 827,989 | 827,989 | | ||||||||||||
Commercial Services & Supplies - 0.2% |
||||||||||||||||
Elis SA (France) |
28,186 | 681,846 | 681,500 | 346 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
42,785 | 1,509,835 | 1,509,489 | 346 | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Telecommunication Services - 0.7% |
||||||||||||||||
Diversified Telecommunication Services - 0.7% |
||||||||||||||||
CenturyLink, Inc. |
111,804 | 2,601,679 | 2,601,679 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
612,303 | 5,642,928 | 5,641,408 | 1,520 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swap |
1,985,483 | 21,789,298 | 21,858,779 | 69,481 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Outstanding swap contract, at value |
$ | 69,481 | ||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 3.8% |
||||||||||||||||
Auto Components - 1.8% |
||||||||||||||||
Bridgestone Corp. (Japan) |
13,100 | 553,374 | 551,137 | (2,237 | ) | |||||||||||
Cie Generale des Etablissements Michelin (France) |
4,831 | 653,961 | 654,292 | 331 | ||||||||||||
Cooper-Standard Holdings, Inc. (a) |
5,373 | 549,443 | 549,443 | | ||||||||||||
Faurecia (France) |
10,860 | 603,335 | 603,035 | (300 | ) | |||||||||||
GKN plc (United Kingdom) |
126,986 | 538,658 | 538,720 | 62 | ||||||||||||
Lear Corp. |
4,108 | 608,765 | 608,765 | | ||||||||||||
Linamar Corp. (Canada) |
8,479 | 464,704 | 464,704 | | ||||||||||||
Magna International, Inc. (Canada) |
12,090 | 576,596 | 576,596 | | ||||||||||||
NHK Spring Co. Ltd. (Japan) |
52,200 | 564,875 | 563,790 | (1,085 | ) | |||||||||||
Sumitomo Rubber Industries Ltd. (Japan) |
31,100 | 540,502 | 539,280 | (1,222 | ) | |||||||||||
Unipres Corp. (Japan) (a) |
24,800 | 578,355 | 576,782 | (1,573 | ) | |||||||||||
Valeo SA (France) |
8,017 | 555,575 | 555,086 | (489 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
301,944 | 6,788,143 | 6,781,630 | (6,513 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Automobiles - 0.2% |
||||||||||||||||
Peugeot SA (France) |
17,280 | 371,994 | 371,706 | (288 | ) | |||||||||||
Thor Industries, Inc. |
5,144 | 541,920 | 541,920 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
22,424 | 913,914 | 913,626 | (288 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure - 0.5% |
||||||||||||||||
Aristocrat Leisure Ltd. (Australia) |
32,965 | 534,033 | 534,575 | 542 | ||||||||||||
Carnival plc |
9,120 | 616,086 | 615,567 | (519 | ) | |||||||||||
William Hill plc (United Kingdom) |
110,440 | 365,015 | 365,015 | | ||||||||||||
Wyndham Worldwide Corp. |
3,617 | 377,506 | 377,506 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
156,142 | 1,892,640 | 1,892,663 | 23 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables - 0.5% |
||||||||||||||||
KB Home |
23,381 | 535,893 | 535,893 | | ||||||||||||
MDC Holdings, Inc. |
15,775 | 540,925 | 540,925 | | ||||||||||||
Sekisui Chemical Co. Ltd. (Japan) |
31,900 | 587,970 | 587,608 | (362 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
71,056 | 1,664,788 | 1,664,426 | (362 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multiline Retail - 0.4% |
||||||||||||||||
Big Lots, Inc. |
10,626 | 527,793 | 527,793 | | ||||||||||||
Dillards, Inc., Class A |
6,785 | 500,869 | 500,869 | | ||||||||||||
Target Corp. |
7,067 | 400,487 | 400,487 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
24,478 | 1,429,149 | 1,429,149 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail - 0.4% |
||||||||||||||||
American Eagle Outfitters, Inc. |
28,514 | 337,606 | 337,606 | | ||||||||||||
Best Buy Co., Inc. |
9,517 | 555,222 | 555,222 | | ||||||||||||
Childrens Place, Inc. (The) |
4,841 | 511,451 | 511,451 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
42,872 | 1,404,279 | 1,404,279 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
618,916 | 14,092,913 | 14,085,773 | (7,140 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 1.6% |
||||||||||||||||
Beverages - 0.3% |
||||||||||||||||
Kirin Holdings Co. Ltd. (Japan) |
25,000 | 551,158 | 550,594 | (564 | ) | |||||||||||
Suntory Beverage & Food Ltd. (Japan) |
12,300 | 603,592 | 602,939 | (653 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
37,300 | 1,154,750 | 1,153,533 | (1,217 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing - 0.6% |
||||||||||||||||
J Sainsbury plc (United Kingdom) |
174,647 | 564,091 | 564,277 | 186 | ||||||||||||
Loblaw Cos. Ltd. (Canada) |
10,245 | 557,959 | 557,959 | | ||||||||||||
SpartanNash Co. |
14,221 | 394,491 | 394,491 | | ||||||||||||
Wm Morrison Supermarkets plc (United Kingdom) |
176,035 | 558,354 | 558,313 | (41 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
375,148 | 2,074,895 | 2,075,040 | 145 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products - 0.5% |
||||||||||||||||
Fresh Del Monte Produce, Inc. |
11,032 | 567,817 | 567,817 | | ||||||||||||
Pinnacle Foods, Inc. |
9,055 | 537,686 | 537,686 | | ||||||||||||
Saputo, Inc. (Canada) |
17,322 | 587,149 | 587,149 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
37,409 | 1,692,652 | 1,692,652 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products - 0.1% |
||||||||||||||||
USANA Health Sciences, Inc. (a) |
9,641 | 550,501 | 550,501 | | ||||||||||||
Tobacco - 0.1% |
||||||||||||||||
Universal Corp. |
7,662 | 489,985 | 489,985 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
467,160 | 5,962,783 | 5,961,711 | (1,072 | ) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Energy - 2.7% |
||||||||||||||||
Energy Equipment & Services - 0.5% |
||||||||||||||||
Nabors Industries Ltd. |
12,126 | 93,491 | 93,491 | | ||||||||||||
Noble Corp. plc (a) |
41,907 | 167,628 | 167,628 | | ||||||||||||
Patterson-UTI Energy, Inc. |
6,868 | 132,827 | 132,827 | | ||||||||||||
Petrofac Ltd. (United Kingdom) |
43,489 | 256,486 | 256,966 | 480 | ||||||||||||
SBM Offshore NV (European Union) |
35,127 | 607,533 | 607,459 | (74 | ) | |||||||||||
Tecnicas Reunidas SA (Spain) |
14,404 | 510,947 | 510,781 | (166 | ) | |||||||||||
Unit Corp. (a) |
5,012 | 90,116 | 90,116 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
158,933 | 1,859,028 | 1,859,268 | 240 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels - 2.2% |
||||||||||||||||
ARC Resources Ltd. (Canada) |
11,021 | 151,956 | 151,956 | | ||||||||||||
Enbridge Income Fund Holdings, Inc. (Canada) |
22,781 | 585,445 | 585,445 | | ||||||||||||
Enerplus Corp. (Canada) |
73,140 | 659,976 | 659,976 | | ||||||||||||
Idemitsu Kosan Co. Ltd. (Japan) |
5,200 | 126,268 | 126,212 | (56 | ) | |||||||||||
Imperial Oil Ltd. (Canada) |
18,999 | 545,245 | 545,245 | | ||||||||||||
Inter Pipeline Ltd. (Canada) |
27,837 | 549,707 | 549,707 | | ||||||||||||
Neste OYJ (Finland) |
14,454 | 626,763 | 626,639 | (124 | ) | |||||||||||
OMV AG (Austria) |
10,127 | 573,282 | 573,666 | 384 | ||||||||||||
Repsol SA (Spain) |
38,510 | 645,528 | 644,961 | (567 | ) | |||||||||||
Royal Dutch Shell plc (Netherlands), Class B |
21,561 | 612,192 | 614,223 | 2,031 | ||||||||||||
Saras SpA (Italy) |
227,510 | 523,301 | 523,477 | 176 | ||||||||||||
TOTAL SA (France) |
11,339 | 576,656 | 576,630 | (26 | ) | |||||||||||
Valero Energy Corp. |
8,006 | 552,174 | 552,174 | | ||||||||||||
Veresen, Inc. (Canada) |
42,686 | 623,471 | 623,471 | | ||||||||||||
Vermilion Energy, Inc. (Canada) |
17,472 | 575,416 | 575,416 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
550,643 | 7,927,380 | 7,929,198 | 1,818 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
709,576 | 9,786,408 | 9,788,466 | 2,058 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 2.7% |
||||||||||||||||
Banks - 0.9% |
||||||||||||||||
Credit Agricole SA (France) |
35,385 | 622,048 | 621,090 | (958 | ) | |||||||||||
ING Groep NV (Netherlands) |
38,709 | 724,702 | 723,232 | (1,470 | ) | |||||||||||
Laurentian Bank of Canada (Canada) |
13,294 | 577,611 | 577,611 | | ||||||||||||
National Australia Bank Ltd. (Australia) |
24,440 | 585,582 | 585,895 | 313 | ||||||||||||
National Bank of Canada (Canada) |
13,550 | 610,253 | 610,253 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
125,378 | 3,120,196 | 3,118,081 | (2,115 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets - 0.3% |
||||||||||||||||
3i Group plc (United Kingdom) |
45,595 | 563,079 | 562,876 | (203 | ) | |||||||||||
SBI Holdings, Inc. (Japan) |
41,200 | 590,093 | 589,431 | (662 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
86,795 | 1,153,172 | 1,152,307 | (865 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance - 1.5% |
||||||||||||||||
Allianz SE (Registered) (Germany) |
2,883 | 614,321 | 614,534 | 213 | ||||||||||||
ASR Nederland NV (Netherlands) |
16,281 | 615,787 | 615,787 | | ||||||||||||
CNP Assurances (France) |
25,465 | 614,967 | 614,768 | (199 | ) | |||||||||||
Manulife Financial Corp. (Canada) |
32,991 | 679,534 | 679,534 | | ||||||||||||
Mapfre SA (Spain) |
170,529 | 636,099 | 635,190 | (909 | ) | |||||||||||
SCOR SE (France) |
15,169 | 639,541 | 639,765 | 224 | ||||||||||||
Swiss Life Holding AG (Registered) (Switzerland) (a) |
1,679 | 612,945 | 612,755 | (190 | ) | |||||||||||
Validus Holdings Ltd. |
9,786 | 526,389 | 526,389 | | ||||||||||||
Zurich Insurance Group AG (Switzerland) |
2,078 | 633,533 | 633,332 | (201 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
276,861 | 5,573,116 | 5,572,054 | (1,062 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
489,034 | 9,846,484 | 9,842,442 | (4,042 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 2.5% |
||||||||||||||||
Health Care Equipment & Supplies - 0.2% |
||||||||||||||||
Natus Medical, Inc. (a) |
16,484 | 580,237 | 580,237 | | ||||||||||||
Health Care Providers & Services - 1.0% |
||||||||||||||||
Aetna, Inc. |
3,764 | 580,823 | 580,823 | | ||||||||||||
Chemed Corp. |
2,690 | 531,275 | 531,275 | | ||||||||||||
Express Scripts Holding Co. (a) |
5,765 | 361,120 | 361,120 | | ||||||||||||
Humana, Inc. |
2,558 | 591,409 | 591,409 | | ||||||||||||
Owens & Minor, Inc. |
12,823 | 413,285 | 413,285 | | ||||||||||||
Quest Diagnostics, Inc. |
5,104 | 552,814 | 552,814 | | ||||||||||||
UnitedHealth Group, Inc. |
3,081 | 590,967 | 590,967 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
35,785 | 3,621,693 | 3,621,693 | | |||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Life Sciences Tools & Services - 0.1% |
||||||||||||||||
Evotec AG (Germany) (a) |
39,048 | 563,945 | 562,675 | (1,270 | ) | |||||||||||
Pharmaceuticals - 1.2% |
||||||||||||||||
Bayer AG (Registered) (Germany) |
4,212 | 534,268 | 533,497 | (771 | ) | |||||||||||
Ipsen SA (France) |
4,165 | 533,730 | 533,098 | (632 | ) | |||||||||||
Johnson & Johnson |
4,790 | 635,729 | 635,729 | | ||||||||||||
Mallinckrodt plc (a) |
12,793 | 585,919 | 585,919 | | ||||||||||||
Merck KGaA (Germany) |
5,085 | 558,922 | 557,985 | (937 | ) | |||||||||||
Roche Holding AG (Switzerland) |
1,878 | 484,576 | 484,193 | (383 | ) | |||||||||||
Sanofi (France) |
6,369 | 608,598 | 606,896 | (1,702 | ) | |||||||||||
Tsumura & Co. (Japan) (a) |
14,700 | 572,693 | 571,338 | (1,355 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
53,992 | 4,514,435 | 4,508,655 | (5,780 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
145,309 | 9,280,310 | 9,273,260 | (7,050 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials - 4.9% |
||||||||||||||||
Aerospace & Defense - 0.1% |
||||||||||||||||
Dassault Aviation SA (France) |
404 | 605,638 | 606,565 | 927 | ||||||||||||
Airlines - 0.4% |
||||||||||||||||
Alaska Air Group, Inc. |
5,694 | 485,300 | 485,300 | | ||||||||||||
Deutsche Lufthansa AG (Registered) (Germany) |
27,586 | 593,528 | 592,410 | (1,118 | ) | |||||||||||
International Consolidated Airlines Group SA (United Kingdom) |
71,187 | 542,881 | 542,905 | 24 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
104,467 | 1,621,709 | 1,620,615 | (1,094 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Building Products - 0.5% |
||||||||||||||||
Asahi Glass Co. Ltd. (Japan) |
13,000 | 548,324 | 547,163 | (1,161 | ) | |||||||||||
Nichias Corp. (Japan) (a) |
54,000 | 655,866 | 655,800 | (66 | ) | |||||||||||
Owens Corning |
8,774 | 588,297 | 588,297 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
75,774 | 1,792,487 | 1,791,260 | (1,227 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies - 0.2% |
||||||||||||||||
Deluxe Corp. |
7,781 | 561,788 | 561,788 | | ||||||||||||
Construction & Engineering - 1.1% |
||||||||||||||||
ACS Actividades de Construccion y Servicios SA (Spain) |
14,583 | 559,764 | 558,478 | (1,286 | ) | |||||||||||
Argan, Inc. |
8,424 | 542,927 | 542,927 | | ||||||||||||
Bouygues SA (France) |
12,955 | 555,858 | 555,434 | (424 | ) | |||||||||||
HOCHTIEF AG (Germany) |
3,464 | 619,203 | 618,302 | (901 | ) | |||||||||||
Kinden Corp. (Japan) (a) |
34,500 | 537,630 | 537,009 | (621 | ) | |||||||||||
Maeda Corp. (Japan) (a) |
49,000 | 593,360 | 592,450 | (910 | ) | |||||||||||
Nishimatsu Construction Co. Ltd. (Japan) (a) |
103,000 | 593,270 | 592,758 | (512 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
225,926 | 4,002,012 | 3,997,358 | (4,654 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment - 0.3% |
||||||||||||||||
Philips Lighting NV (Netherlands) |
16,663 | 633,194 | 633,272 | 78 | ||||||||||||
Prysmian SpA (Italy) |
21,564 | 690,518 | 689,744 | (774 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
38,227 | 1,323,712 | 1,323,016 | (696 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery - 1.3% |
||||||||||||||||
Barnes Group, Inc. |
10,574 | 636,343 | 636,343 | | ||||||||||||
Cargotec OYJ (Finland), Class B |
10,033 | 612,857 | 612,541 | (316 | ) | |||||||||||
Georg Fischer AG (Registered) (Switzerland) |
621 | 706,448 | 706,289 | (159 | ) | |||||||||||
Hillenbrand, Inc. |
15,757 | 567,252 | 567,252 | | ||||||||||||
Metso OYJ (Finland) |
15,763 | 501,588 | 501,480 | (108 | ) | |||||||||||
Valmet OYJ (Finland) |
31,182 | 568,464 | 568,401 | (63 | ) | |||||||||||
Wabash National Corp. |
25,127 | 479,423 | 479,423 | | ||||||||||||
Wartsila OYJ Abp (Finland) |
9,280 | 616,845 | 616,732 | (113 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
118,337 | 4,689,220 | 4,688,461 | (759 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail - 0.3% |
||||||||||||||||
Canadian National Railway Co. (Canada) |
7,772 | 614,155 | 614,155 | | ||||||||||||
Sankyu, Inc. (Japan) (a) |
85,000 | 641,480 | 640,206 | (1,274 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
92,772 | 1,255,635 | 1,254,361 | (1,274 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors - 0.5% |
||||||||||||||||
Finning International, Inc. (Canada) |
27,337 | 550,139 | 550,139 | | ||||||||||||
Howden Joinery Group plc (United Kingdom) |
104,585 | 586,317 | 586,602 | 285 | ||||||||||||
Kanamoto Co. Ltd. (Japan) (a) |
17,000 | 610,640 | 609,438 | (1,202 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
148,922 | 1,747,096 | 1,746,179 | (917 | ) | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Transportation Infrastructure - 0.2% |
||||||||||||||||
Fraport AG Frankfurt Airport Services Worldwide (Germany) |
6,584 | 659,540 | 659,316 | (224 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
819,194 | 18,258,837 | 18,248,919 | (9,918 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology - 3.5% |
||||||||||||||||
Communications Equipment - 0.1% |
||||||||||||||||
Cisco Systems, Inc. |
12,504 | 393,251 | 393,251 | | ||||||||||||
Electronic Equipment, Instruments & Components - 0.6% |
||||||||||||||||
Corning, Inc. |
13,043 | 380,073 | 380,073 | | ||||||||||||
Methode Electronics, Inc. |
13,416 | 533,286 | 533,286 | | ||||||||||||
Oki Electric Industry Co. Ltd. (Japan) (a) |
39,500 | 541,739 | 540,840 | (899 | ) | |||||||||||
Omron Corp. (Japan) |
14,100 | 704,712 | 703,478 | (1,234 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
80,059 | 2,159,810 | 2,157,677 | (2,133 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services - 0.0% (g) |
||||||||||||||||
Mixi, Inc. (Japan) |
1,900 | 104,612 | 104,423 | (189 | ) | |||||||||||
IT Services - 1.0% |
||||||||||||||||
Amdocs Ltd. |
7,071 | 474,959 | 474,959 | | ||||||||||||
Atos SE (France) |
4,464 | 678,791 | 678,687 | (104 | ) | |||||||||||
CGI Group, Inc. (Canada), Class A (a) |
11,193 | 591,005 | 591,005 | | ||||||||||||
Convergys Corp. |
10,901 | 261,297 | 261,297 | | ||||||||||||
NeuStar, Inc., Class A (a) |
17,379 | 580,459 | 580,459 | | ||||||||||||
Science Applications International Corp. |
7,893 | 555,746 | 555,746 | | ||||||||||||
Western Union Co. (The) |
20,236 | 399,661 | 399,661 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
79,137 | 3,541,918 | 3,541,814 | (104 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment - 1.3% |
||||||||||||||||
Advanced Energy Industries, Inc. (a) |
7,825 | 567,704 | 567,704 | | ||||||||||||
ASM International NV (Netherlands) |
8,928 | 537,537 | 537,267 | (270 | ) | |||||||||||
BE Semiconductor Industries NV (Netherlands) |
11,258 | 731,531 | 732,317 | 786 | ||||||||||||
Dialog Semiconductor plc (United Kingdom) (a) |
12,574 | 549,335 | 547,938 | (1,397 | ) | |||||||||||
Disco Corp. (Japan) |
3,000 | 532,541 | 531,702 | (839 | ) | |||||||||||
Intel Corp. |
11,466 | 406,699 | 406,699 | | ||||||||||||
MKS Instruments, Inc. |
7,144 | 597,596 | 597,596 | | ||||||||||||
SCREEN Holdings Co. Ltd. (Japan) (a) |
8,300 | 557,123 | 554,792 | (2,331 | ) | |||||||||||
Teradyne, Inc. |
9,766 | 337,806 | 337,806 | | ||||||||||||
Ulvac, Inc. (Japan) |
2,200 | 118,137 | 117,954 | (183 | ) | |||||||||||
Xperi Corp. |
708 | 20,709 | 20,709 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
83,169 | 4,956,718 | 4,952,484 | (4,234 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software - 0.2% |
||||||||||||||||
Nexon Co. Ltd. (Japan) |
10,200 | 212,336 | 212,001 | (335 | ) | |||||||||||
Oracle Corp. |
8,047 | 401,787 | 401,787 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
18,247 | 614,123 | 613,788 | (335 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals - 0.3% |
||||||||||||||||
Apple, Inc. |
4,214 | 626,748 | 626,748 | | ||||||||||||
Brother Industries Ltd. (Japan) |
23,900 | 611,348 | 609,796 | (1,552 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
28,114 | 1,238,096 | 1,236,544 | (1,552 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
303,130 | 13,008,528 | 12,999,981 | (8,547 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials - 2.1% |
||||||||||||||||
Chemicals - 1.0% |
||||||||||||||||
Innophos Holdings, Inc. |
2,881 | 120,339 | 120,339 | | ||||||||||||
LyondellBasell Industries NV, Class A |
7,006 | 631,171 | 631,171 | | ||||||||||||
Mitsubishi Chemical Holdings Corp. (Japan) |
69,600 | 586,497 | 582,709 | (3,788 | ) | |||||||||||
Stepan Co. |
6,735 | 553,415 | 553,415 | | ||||||||||||
Sumitomo Bakelite Co. Ltd. (Japan) (a) |
79,000 | 575,418 | 573,907 | (1,511 | ) | |||||||||||
Tokai Carbon Co. Ltd. (Japan) (a) |
100,800 | 653,744 | 650,504 | (3,240 | ) | |||||||||||
Trinseo SA |
7,762 | 545,669 | 545,669 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
273,784 | 3,666,253 | 3,657,714 | (8,539 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining - 0.6% |
||||||||||||||||
Aperam SA (Luxembourg) |
10,738 | 522,004 | 521,901 | (103 | ) | |||||||||||
Centamin plc (Jersey) |
296,424 | 649,229 | 650,168 | 939 | ||||||||||||
Nisshin Steel Co. Ltd. (Japan) |
21,500 | 263,667 | 263,427 | (240 | ) | |||||||||||
OZ Minerals Ltd. (Australia) |
91,845 | 612,790 | 613,806 | 1,016 | ||||||||||||
Yamato Kogyo Co. Ltd. (Japan) |
4,900 | 137,562 | 137,349 | (213 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
425,407 | 2,185,252 | 2,186,651 | 1,399 | |||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Paper & Forest Products - 0.5% |
||||||||||||||||
Schweitzer-Mauduit International, Inc. |
12,251 | 470,683 | 470,683 | | ||||||||||||
UPM-Kymmene OYJ (Finland) |
19,318 | 526,208 | 525,896 | (312 | ) | |||||||||||
West Fraser Timber Co. Ltd. (Canada) |
13,215 | 702,221 | 702,221 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
44,784 | 1,699,112 | 1,698,800 | (312 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
743,975 | 7,550,617 | 7,543,165 | (7,452 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate - 0.5% |
||||||||||||||||
Real Estate Management & Development - 0.5% |
||||||||||||||||
BUWOG AG (Austria) (a) |
20,465 | 601,664 | 601,664 | | ||||||||||||
Deutsche EuroShop AG (Germany) |
14,070 | 585,877 | 585,943 | 66 | ||||||||||||
Tokyo Tatemono Co. Ltd. (Japan) (a) |
38,500 | 524,532 | 523,856 | (676 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
73,035 | 1,712,073 | 1,711,463 | (610 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Real Estate |
73,035 | 1,712,073 | 1,711,463 | (610 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services - 0.5% |
||||||||||||||||
Diversified Telecommunication Services - 0.3% |
||||||||||||||||
Deutsche Telekom AG (Registered) (Germany) |
32,766 | 599,087 | 598,593 | (494 | ) | |||||||||||
Telefonica SA (Spain) |
52,897 | 598,642 | 598,951 | 309 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
85,663 | 1,197,729 | 1,197,544 | (185 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Wireless Telecommunication Services - 0.2% |
||||||||||||||||
NTT DOCOMO, Inc. (Japan) |
4,600 | 106,941 | 106,821 | (120 | ) | |||||||||||
Rogers Communications, Inc. (Canada), Class B |
11,833 | 615,307 | 615,307 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
16,433 | 722,248 | 722,128 | (120 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
102,096 | 1,919,977 | 1,919,672 | (305 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities - 1.2% |
||||||||||||||||
Electric Utilities - 0.5% |
||||||||||||||||
EDP - Energias de Portugal SA (Portugal) |
159,960 | 568,082 | 567,929 | (153 | ) | |||||||||||
Endesa SA (Spain) |
24,051 | 569,716 | 569,367 | (349 | ) | |||||||||||
Tokyo Electric Power Co. Holdings, Inc. (Japan) (a) |
136,900 | 581,153 | 580,688 | (465 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
320,911 | 1,718,951 | 1,717,984 | (967 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Gas Utilities - 0.1% |
||||||||||||||||
Gas Natural SDG SA (Spain) |
22,370 | 524,071 | 523,549 | (522 | ) | |||||||||||
Multi-Utilities - 0.6% |
||||||||||||||||
A2A SpA (Italy) |
359,557 | 612,075 | 611,650 | (425 | ) | |||||||||||
Ameren Corp. |
10,571 | 593,033 | 593,033 | | ||||||||||||
CenterPoint Energy, Inc. |
20,509 | 578,149 | 578,149 | | ||||||||||||
Hera SpA (Italy) |
169,928 | 549,169 | 549,477 | 308 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
560,565 | 2,332,426 | 2,332,309 | (117 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
903,846 | 4,575,448 | 4,573,842 | (1,606 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
5,375,271 | 95,994,378 | 95,948,694 | (45,684 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary - 2.6% |
||||||||||||||||
Hotels, Restaurants & Leisure - 1.1% |
||||||||||||||||
Accor SA (France) |
10,741 | 499,199 | 498,960 | 239 | ||||||||||||
Chipotle Mexican Grill, Inc. (a) |
769 | 264,359 | 264,359 | | ||||||||||||
Dominos Pizza Enterprises Ltd. (Australia) |
12,084 | 515,358 | 515,162 | 196 | ||||||||||||
Fiesta Restaurant Group, Inc. (a) |
16,015 | 269,052 | 269,052 | | ||||||||||||
Merlin Entertainments plc (United Kingdom) |
66,575 | 412,229 | 412,232 | (3 | ) | |||||||||||
NH Hotel Group SA (Spain) |
70,152 | 467,549 | 467,372 | 177 | ||||||||||||
Resorttrust, Inc. (Japan) |
17,000 | 313,647 | 313,371 | 276 | ||||||||||||
Shake Shack, Inc., Class A (a) |
15,474 | 510,797 | 510,797 | | ||||||||||||
Whitbread plc (United Kingdom) |
7,190 | 365,040 | 365,108 | (68 | ) | |||||||||||
Wynn Resorts Ltd. |
4,719 | 610,355 | 610,355 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
220,719 | 4,227,585 | 4,226,768 | 817 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail - 0.7% |
||||||||||||||||
Ocado Group plc (United Kingdom) (a) |
141,930 | 563,847 | 563,837 | 10 | ||||||||||||
Rakuten, Inc. (Japan) |
38,000 | 464,638 | 464,177 | 461 | ||||||||||||
TripAdvisor, Inc. (a) |
6,157 | 240,246 | 240,246 | | ||||||||||||
Yoox Net-A-Porter Group SpA (Italy) (a) |
21,541 | 712,732 | 713,490 | (758 | ) | |||||||||||
Zalando SE (Germany) (a) |
11,509 | 515,205 | 515,112 | 93 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
219,137 | 2,496,668 | 2,496,862 | (194 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media - 0.2% |
||||||||||||||||
Altice NV (Netherlands), Class A (a) |
24,977 | 616,636 | 615,370 | 1,266 |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Multiline Retail - 0.2% |
||||||||||||||||
B&M European Value Retail SA (Luxembourg) |
86,622 | 411,440 | 411,677 | (237 | ) | |||||||||||
Isetan Mitsukoshi Holdings Ltd. (Japan) |
47,800 | 466,532 | 465,818 | 714 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
134,422 | 877,972 | 877,495 | 477 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail - 0.3% |
||||||||||||||||
Bic Camera, Inc. (Japan) (a) |
50,000 | 580,979 | 580,315 | 664 | ||||||||||||
Dufry AG (Registered) (Switzerland) (a) |
3,320 | 529,098 | 528,895 | 203 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
53,320 | 1,110,077 | 1,109,210 | 867 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods - 0.1% |
||||||||||||||||
G-III Apparel Group Ltd. (a) |
9,777 | 254,495 | 254,495 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
662,352 | 9,583,433 | 9,580,200 | 3,233 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples - 0.8% |
||||||||||||||||
Beverages - 0.2% |
||||||||||||||||
Anheuser-Busch InBev SA/NV (Belgium) |
3,243 | 390,818 | 391,212 | (394 | ) | |||||||||||
Brown-Forman Corp., Class B |
8,956 | 442,426 | 442,426 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
12,199 | 833,244 | 833,638 | (394 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing - 0.1% |
||||||||||||||||
Costco Wholesale Corp. |
2,534 | 401,664 | 401,664 | | ||||||||||||
Food Products - 0.3% |
||||||||||||||||
Calbee, Inc. (Japan) |
12,200 | 506,282 | 505,787 | 495 | ||||||||||||
Kewpie Corp. (Japan) |
13,300 | 334,656 | 334,543 | 113 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
25,500 | 840,938 | 840,330 | 608 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products - 0.1% |
||||||||||||||||
Edgewell Personal Care Co. (a) |
5,096 | 367,931 | 367,931 | | ||||||||||||
Tobacco - 0.1% |
||||||||||||||||
Vector Group Ltd. |
22,216 | 447,208 | 447,208 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
67,545 | 2,890,985 | 2,890,771 | 214 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy - 1.3% |
||||||||||||||||
Energy Equipment & Services - 0.1% |
||||||||||||||||
Weatherford International plc (a) |
81,679 | 364,288 | 364,288 | | ||||||||||||
Oil, Gas & Consumable Fuels - 1.2% |
||||||||||||||||
Cheniere Energy, Inc. (a) |
10,159 | 459,187 | 459,187 | | ||||||||||||
Concho Resources, Inc. (a) |
3,919 | 510,489 | 510,489 | | ||||||||||||
EQT Corp. |
6,555 | 417,554 | 417,554 | | ||||||||||||
Kosmos Energy Ltd. (Ghana) (a) |
81,313 | 536,666 | 536,666 | | ||||||||||||
MEG Energy Corp. (Canada) (a) |
167,834 | 689,240 | 689,240 | | ||||||||||||
PDC Energy, Inc. (a) |
6,742 | 317,953 | 317,953 | | ||||||||||||
PrairieSky Royalty Ltd. (Canada) |
602 | 14,949 | 14,949 | | ||||||||||||
RSP Permian, Inc. (a) |
10,783 | 370,504 | 370,504 | | ||||||||||||
Seven Generations Energy Ltd. (Canada), Class A (a) |
22,400 | 389,339 | 389,339 | | ||||||||||||
SM Energy Co. |
11,566 | 201,133 | 201,133 | | ||||||||||||
Tullow Oil plc (Ghana) (a) |
136,574 | 302,908 | 303,761 | (853 | ) | |||||||||||
WPX Energy, Inc. (a) |
32,498 | 350,328 | 350,328 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
490,945 | 4,560,250 | 4,561,103 | (853 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
572,624 | 4,924,538 | 4,925,391 | (853 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials - 2.5% |
||||||||||||||||
Banks - 0.8% |
||||||||||||||||
Banco Comercial Portugues SA (Portugal), Class R (a) |
2,298,537 | 656,851 | 655,178 | 1,673 | ||||||||||||
Banco Espirito Santo SA (Registered) (Portugal) (a) |
35,937 | | | | ||||||||||||
Bank of Ireland Group plc (Ireland) (a) |
68,483 | 571,545 | 571,545 | | ||||||||||||
Bank of Kyoto Ltd. (The) (Japan) |
65,000 | 623,793 | 623,032 | 761 | ||||||||||||
Seven Bank Ltd. (Japan) |
136,400 | 540,676 | 539,784 | 892 | ||||||||||||
Standard Chartered plc (United Kingdom) (a) |
51,531 | 575,671 | 576,027 | (356 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
2,655,888 | 2,968,536 | 2,965,566 | 2,970 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets - 0.6% |
||||||||||||||||
Charles Schwab Corp. (The) |
14,132 | 606,263 | 606,263 | | ||||||||||||
Financial Engines, Inc. |
12,372 | 475,704 | 475,704 | | ||||||||||||
Moodys Corp. |
4,908 | 646,040 | 646,040 | | ||||||||||||
TD Ameritrade Holding Corp. |
10,906 | 498,731 | 498,731 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
42,318 | 2,226,738 | 2,226,738 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Finance - 0.4% |
||||||||||||||||
Acom Co. Ltd. (Japan) (a) |
123,900 | 528,214 | 527,648 | 566 | ||||||||||||
Aiful Corp. (Japan) (a) |
135,200 | 468,469 | 468,116 | 353 |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Consumer Finance - continued |
||||||||||||||||
LendingClub Corp. (a) |
53,253 | 269,993 | 269,993 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
312,353 | 1,266,676 | 1,265,757 | 919 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Diversified Financial Services - 0.4% |
||||||||||||||||
AMP Ltd. (Australia) |
147,723 | 636,982 | 636,828 | 154 | ||||||||||||
Element Fleet Management Corp. (Canada) |
40,395 | 305,858 | 305,858 | | ||||||||||||
Wendel SA (France) |
3,938 | 592,981 | 592,520 | 461 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
192,056 | 1,535,821 | 1,535,206 | 615 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance - 0.2% |
||||||||||||||||
St Jamess Place plc (United Kingdom) |
40,765 | 654,568 | 654,782 | (214 | ) | |||||||||||
Thrifts & Mortgage Finance - 0.1% |
||||||||||||||||
PHH Corp. (a) |
31,891 | 439,458 | 439,458 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
3,275,271 | 9,091,797 | 9,087,507 | 4,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care - 1.1% |
||||||||||||||||
Health Care Equipment & Supplies - 0.5% |
||||||||||||||||
DexCom, Inc. (a) |
2,669 | 177,782 | 177,782 | | ||||||||||||
Insulet Corp. (a) |
10,249 | 515,627 | 515,627 | | ||||||||||||
Neogen Corp. (a) |
8,534 | 562,134 | 562,134 | | ||||||||||||
Wright Medical Group NV (a) |
16,743 | 439,839 | 439,839 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
38,195 | 1,695,382 | 1,695,382 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Providers & Services - 0.1% |
||||||||||||||||
Diplomat Pharmacy, Inc. (a) |
6,455 | 102,441 | 102,441 | | ||||||||||||
Healthscope Ltd. (Australia) |
221,778 | 369,039 | 369,153 | (114 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
228,233 | 471,480 | 471,594 | (114 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Life Sciences Tools & Services - 0.1% |
||||||||||||||||
MorphoSys AG (Germany) (a) |
8,841 | 646,065 | 645,899 | 166 | ||||||||||||
Pharmaceuticals - 0.4% |
||||||||||||||||
Mayne Pharma Group Ltd. (Australia) (a) |
641,865 | 492,952 | 493,142 | (190 | ) | |||||||||||
Medicines Co. (The) (a) |
7,434 | 285,837 | 285,837 | | ||||||||||||
Nektar Therapeutics (a) |
11,077 | 241,811 | 241,811 | | ||||||||||||
Pacira Pharmaceuticals, Inc. (a) |
9,247 | 365,257 | 365,257 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
669,623 | 1,385,857 | 1,386,047 | (190 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
944,892 | 4,198,784 | 4,198,922 | (138 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials - 3.1% |
||||||||||||||||
Aerospace & Defense - 0.1% |
||||||||||||||||
Bombardier, Inc. (Canada), Class B (a) |
273,641 | 550,903 | 550,903 | | ||||||||||||
Air Freight & Logistics - 0.1% |
||||||||||||||||
Yamato Holdings Co. Ltd. (Japan) |
18,500 | 371,695 | 371,338 | 357 | ||||||||||||
Airlines - 0.1% |
||||||||||||||||
Spirit Airlines, Inc. (a) |
9,599 | 372,921 | 372,921 | | ||||||||||||
Building Products - 0.3% |
||||||||||||||||
Armstrong World Industries, Inc. (a) |
9,971 | 484,092 | 484,092 | | ||||||||||||
Kingspan Group plc (Ireland) |
15,861 | 527,988 | 527,988 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
25,832 | 1,012,080 | 1,012,080 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies - 0.4% |
||||||||||||||||
Bilfinger SE (Germany) |
12,095 | 494,761 | 494,211 | 550 | ||||||||||||
Brambles Ltd. (Australia) |
52,653 | 389,211 | 389,305 | (94 | ) | |||||||||||
Covanta Holding Corp. |
28,580 | 431,558 | 431,558 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
93,328 | 1,315,530 | 1,315,074 | 456 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering - 0.1% |
||||||||||||||||
OCI NV (Netherlands) (a) |
24,209 | 519,151 | 518,644 | 507 | ||||||||||||
Machinery - 0.5% |
||||||||||||||||
Alstom SA (France) |
17,378 | 623,025 | 622,586 | 439 | ||||||||||||
Flowserve Corp. |
9,928 | 408,339 | 408,339 | | ||||||||||||
Konecranes OYJ (Finland) |
12,826 | 572,718 | 572,244 | 474 | ||||||||||||
Proto Labs, Inc. (a) |
3,821 | 282,372 | 282,372 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
43,953 | 1,886,454 | 1,885,541 | 913 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services - 0.2% |
||||||||||||||||
ALS Ltd. (Australia) |
108,723 | 645,380 | 645,521 | (141 | ) | |||||||||||
Road & Rail - 0.5% |
||||||||||||||||
Aurizon Holdings Ltd. (Australia) |
140,176 | 562,946 | 562,632 | 314 | ||||||||||||
Genesee & Wyoming, Inc., Class A (a) |
7,032 | 458,205 | 458,205 | | ||||||||||||
Hertz Global Holdings, Inc. (a) |
10,213 | 139,604 | 139,604 | | ||||||||||||
Keio Corp. (Japan) |
45,000 | 377,160 | 376,844 | 316 |
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES |
NOTIONAL |
CURRENT |
VALUE($)(3) |
||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Road & Rail - continued |
||||||||||||||||
Odakyu Electric Railway Co. Ltd. (Japan) |
18,000 | 356,751 | 356,554 | 197 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
220,421 | 1,894,666 | 1,893,839 | 827 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors - 0.4% |
||||||||||||||||
Ashtead Group plc (United Kingdom) |
26,823 | 576,507 | 576,274 | 233 | ||||||||||||
Brenntag AG (Germany) |
8,564 | 486,069 | 485,298 | 771 | ||||||||||||
Herc Holdings, Inc. (a) |
| 7 | 7 | | ||||||||||||
MISUMI Group, Inc. (Japan) |
18,600 | 461,605 | 461,277 | 328 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
53,987 | 1,524,188 | 1,522,856 | 1,332 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure - 0.4% |
||||||||||||||||
Groupe Eurotunnel SE (Registered) (France) |
37,649 | 417,254 | 417,474 | (220 | ) | |||||||||||
Mitsubishi Logistics Corp. (Japan) |
29,000 | 372,743 | 372,294 | 449 | ||||||||||||
Qube Holdings Ltd. (Australia) |
255,407 | 543,506 | 542,958 | 548 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
322,056 | 1,333,503 | 1,332,726 | 777 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
1,194,249 | 11,426,471 | 11,421,443 | 5,028 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology - 2.5% |
||||||||||||||||
Communications Equipment - 0.2% |
||||||||||||||||
Nokia OYJ (Finland) |
37,702 | 240,118 | 240,583 | (465 | ) | |||||||||||
ViaSat, Inc. (a) |
4,652 | 307,451 | 307,451 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
42,354 | 547,569 | 548,034 | (465 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electronic Equipment, Instruments & Components - 0.2% |
||||||||||||||||
Fitbit, Inc., Class A (a) |
104,318 | 538,281 | 538,281 | | ||||||||||||
Japan Display, Inc. (Japan) (a) |
146,700 | 263,473 | 262,550 | 923 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
251,018 | 801,754 | 800,831 | 923 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services - 0.6% |
||||||||||||||||
2U, Inc. (a) |
7,693 | 398,113 | 398,113 | | ||||||||||||
Benefitfocus, Inc. (a) |
6,816 | 243,672 | 243,672 | | ||||||||||||
Cimpress NV (Netherlands) (a) |
6,674 | 588,914 | 588,914 | | ||||||||||||
GMO internet, Inc. (Japan) |
31,400 | 405,298 | 404,944 | 354 | ||||||||||||
New Relic, Inc. (a) |
10,155 | 476,879 | 476,879 | | ||||||||||||
Pandora Media, Inc. (a) |
26,645 | 238,473 | 238,473 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
89,383 | 2,351,349 | 2,350,995 | 354 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services - 0.1% |
||||||||||||||||
InterXion Holding NV (Netherlands) (a) |
8,440 | 404,023 | 404,023 | | ||||||||||||
Software - 1.2% |
||||||||||||||||
Autodesk, Inc. (a) |
5,863 | 649,562 | 649,562 | | ||||||||||||
Blackline, Inc. (a) |
17,563 | 680,917 | 680,917 | | ||||||||||||
FireEye, Inc. (a) |
10,406 | 152,240 | 152,240 | | ||||||||||||
Globant SA (a) |
8,103 | 372,495 | 372,495 | | ||||||||||||
HubSpot, Inc. (a) |
5,593 | 404,654 | 404,654 | | ||||||||||||
Imperva, Inc. (a) |
6,397 | 288,185 | 288,185 | | ||||||||||||
Nintendo Co. Ltd. (Japan) |
600 | 203,981 | 203,768 | 213 | ||||||||||||
RingCentral, Inc., Class A (a) |
9,242 | 321,622 | 321,622 | | ||||||||||||
Splunk, Inc. (a) |
5,520 | 331,255 | 331,255 | | ||||||||||||
Tableau Software, Inc., Class A (a) |
5,265 | 339,329 | 339,329 | | ||||||||||||
Workday, Inc., Class A (a) |
3,690 | 376,786 | 376,786 | | ||||||||||||
Zendesk, Inc. (a) |
11,256 | 330,026 | 330,026 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
89,498 | 4,451,052 | 4,450,839 | 213 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals - 0.2% |
||||||||||||||||
Pure Storage, Inc., Class A (a) |
29,371 | 354,508 | 354,508 | | ||||||||||||
Stratasys Ltd. (a) |
14,921 | 357,955 | 357,955 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
44,292 | 712,463 | 712,463 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
524,985 | 9,268,210 | 9,267,185 | 1,025 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials - 2.0% |
||||||||||||||||
Chemicals - 0.6% |
||||||||||||||||
Axalta Coating Systems Ltd. (a) |
15,100 | 475,650 | 475,650 | | ||||||||||||
K+S AG (Registered) (Germany) |
19,824 | 516,171 | 515,487 | 684 | ||||||||||||
Potash Corp. of Saskatchewan, Inc. (Canada) |
25,969 | 464,495 | 464,495 | | ||||||||||||
Tokyo Ohka Kogyo Co. Ltd. (Japan) (a) |
15,400 | 502,181 | 501,297 | 884 | ||||||||||||
WR Grace & Co. |
5,376 | 370,729 | 370,729 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
81,669 | 2,329,226 | 2,327,658 | 1,568 | |||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Short Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Construction Materials - 0.2% |
||||||||||||||||
Summit Materials, Inc., Class A (a) |
22,163 | 630,316 | 630,316 | | ||||||||||||
Metals & Mining - 1.2% |
||||||||||||||||
Endeavour Mining Corp. (Monaco) (a) |
32,952 | 627,456 | 627,456 | | ||||||||||||
First Quantum Minerals Ltd. (Zambia) |
40,717 | 450,034 | 450,034 | | ||||||||||||
Franco-Nevada Corp. (Canada) |
5,646 | 409,066 | 409,066 | | ||||||||||||
Fresnillo plc (Mexico) |
19,643 | 398,085 | 398,638 | (553 | ) | |||||||||||
Hecla Mining Co. |
85,160 | 460,716 | 460,716 | | ||||||||||||
Independence Group NL (Australia) |
156,945 | 377,923 | 379,145 | (1,222 | ) | |||||||||||
Kobe Steel Ltd. (Japan) (a) |
50,300 | 630,546 | 629,153 | 1,393 | ||||||||||||
thyssenkrupp AG (Germany) |
20,024 | 594,625 | 594,742 | (117 | ) | |||||||||||
UACJ Corp. (Japan) (a) |
212,000 | 626,895 | 625,730 | 1,165 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
623,387 | 4,575,346 | 4,574,680 | 666 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
727,219 | 7,534,888 | 7,532,654 | 2,234 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate - 0.1% |
||||||||||||||||
Real Estate Management & Development - 0.1% |
||||||||||||||||
Capital & Counties Properties plc (United Kingdom) |
91,500 | 347,205 | 347,823 | (618 | ) | |||||||||||
Telecommunication Services - 0.7% |
||||||||||||||||
Diversified Telecommunication Services - 0.6% |
||||||||||||||||
Iliad SA (France) |
1,728 | 428,862 | 428,673 | 189 | ||||||||||||
SFR Group SA (France) (a) |
14,157 | 527,910 | 526,958 | 952 | ||||||||||||
TalkTalk Telecom Group plc (United Kingdom) |
229,335 | 544,652 | 544,652 | | ||||||||||||
Zayo Group Holdings, Inc. (a) |
14,493 | 475,225 | 475,225 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
259,713 | 1,976,649 | 1,975,508 | 1,141 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Wireless Telecommunication Services - 0.1% |
||||||||||||||||
Sprint Corp. (a) |
58,023 | 463,024 | 463,024 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
317,736 | 2,439,673 | 2,438,532 | 1,141 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities - 1.1% |
||||||||||||||||
Electric Utilities - 0.3% |
||||||||||||||||
Chugoku Electric Power Co., Inc. (The) (Japan) |
37,500 | 411,243 | 411,110 | 133 | ||||||||||||
Hokkaido Electric Power Co., Inc. (Japan) |
52,400 | 394,979 | 394,626 | 353 | ||||||||||||
Hokuriku Electric Power Co. (Japan) |
46,500 | 430,645 | 430,516 | 129 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
136,400 | 1,236,867 | 1,236,252 | 615 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Independent Power and Renewable Electricity Producers - 0.3% |
||||||||||||||||
Calpine Corp. (a) |
29,065 | 417,954 | 417,954 | | ||||||||||||
Northland Power, Inc. (Canada) |
27,332 | 509,043 | 509,043 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
56,397 | 926,997 | 926,997 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities - 0.3% |
||||||||||||||||
Dominion Energy, Inc. |
5,869 | 452,970 | 452,970 | | ||||||||||||
Sempra Energy |
4,216 | 476,450 | 476,450 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
10,085 | 929,420 | 929,420 | | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Water Utilities - 0.2% |
||||||||||||||||
American States Water Co. |
11,202 | 553,939 | 553,939 | | ||||||||||||
Pennon Group plc (United Kingdom) |
39,236 | 416,732 | 417,040 | (308 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
50,438 | 970,671 | 970,979 | (308 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
253,320 | 4,063,955 | 4,063,648 | 307 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stock |
|
|||||||||||||||
Industrials - 0.0% (g) |
||||||||||||||||
Aerospace & Defense - 0.0% (g) |
||||||||||||||||
Rolls-Royce Holdings plc (Preference) (United Kingdom), Class C (a) |
28,556 | 38 | 38 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
8,660,249 | 65,769,977 | 65,754,114 | 15,863 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swap |
3,284,978 | 30,224,401 | 30,194,580 | (29,821 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Outstanding swap contract, at value |
$ | (29,821 | ) | |||||||||||||
|
|
Percentages indicated are based on net assets.
JPMorgan Systematic Alpha Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited) (continued)
NOTES TO ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS:
CVR |
| Contingent Value Rights |
(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 July 31, 2017 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%. |
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
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 Funds investment objectives and policies as described in the Funds prospectus. As of July 31, 2017, net assets of the Fund were $370,024,275 of which $49,425,766 or approximately 13.4%, represented the Subsidiarys net assets. 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.
A. Valuation of Investments - The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as Pricing Services). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (NAV) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
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 |
$ | 29,499,367 | $ | 1,088,464 | $ | | $ | 30,587,831 | ||||||||
Consumer Staples |
13,566,496 | 2,363,664 | | 15,930,160 | ||||||||||||
Energy |
7,821,750 | 1,080,590 | 76,070 | 8,978,410 | ||||||||||||
Financials |
15,885,153 | | | 15,885,153 | ||||||||||||
Health Care |
35,028,054 | 1,586,954 | | 36,615,008 | ||||||||||||
Industrials |
17,609,481 | 2,016,167 | | 19,625,648 | ||||||||||||
Information Technology |
41,907,098 | 1,354,239 | | 43,261,337 | ||||||||||||
Materials |
11,646,927 | 5,165,783 | | 16,812,710 | ||||||||||||
Real Estate |
1,933,639 | | | 1,933,639 | ||||||||||||
Telecommunication Services |
2,369,336 | 457,473 | | 2,826,809 | ||||||||||||
Utilities |
8,324,854 | | | 8,324,854 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
185,592,155 | 15,113,334 | 76,070 | 200,781,559 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Preferred Stocks |
|
|||||||||||||||
Energy |
1,099,254 | | | 1,099,254 | ||||||||||||
Financials |
943,882 | | | 943,882 | ||||||||||||
Health Care |
1,243,777 | | | 1,243,777 | ||||||||||||
Real Estate |
310,650 | | | 310,650 | ||||||||||||
Telecommunication Services |
1,054,716 | | | 1,054,716 | ||||||||||||
Utilities |
456,987 | | | 456,987 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
5,109,266 | | | 5,109,266 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Debt Securities |
|
|||||||||||||||
Convertible Bonds |
|
|||||||||||||||
Consumer Discretionary |
| 1,919,445 | | 1,919,445 | ||||||||||||
Financials |
| 2,477,723 | | 2,477,723 | ||||||||||||
Health Care |
| 7,058,038 | | 7,058,038 | ||||||||||||
Industrials |
| 568,172 | | 568,172 | ||||||||||||
Information Technology |
| 11,410,891 | | 11,410,891 | ||||||||||||
Materials |
| 485,085 | | 485,085 | ||||||||||||
Real Estate |
| 580,709 | | 580,709 | ||||||||||||
Utilities |
| 768,423 | | 768,423 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 25,268,486 | | 25,268,486 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
|
|||||||||||||||
Health Care |
| | | (a) | | (a) | ||||||||||
Short-Term Investments |
|
|||||||||||||||
Investment Companies |
127,909,569 | | | 127,909,569 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 318,610,990 | $ | 40,381,820 | $ | 76,070 | $ | 359,068,880 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 2,083,141 | $ | | $ | 2,083,141 | ||||||||
Futures Contracts |
1,094,256 | 77,019 | | 1,171,275 | ||||||||||||
Swaps |
| 120,745 | | 120,745 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 1,094,256 | $ | 2,280,905 | $ | | $ | 3,375,161 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (3,415,899 | ) | $ | | $ | (3,415,899 | ) | ||||||
Futures Contracts |
(3,547,783 | ) | (235,545 | ) | | (3,783,328 | ) | |||||||||
Swaps |
| (29,821 | ) | | (29,821 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (3,547,783 | ) | $ | (3,681,265 | ) | $ | | $ | (7,229,048 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no significant transfers among any levels during the period ended July 31, 2017.
NQ Tickmark to the Leveling Table
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
B. 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 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 a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) (3) 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 Funds 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 market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the 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 days 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).
(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 cash without the delivery of foreign currency.
The values of the forward foreign currency 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 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 or due across transactions. The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Total Return Basket Swaps The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Funds investment strategy.
Under the terms of the agreement, 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 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 the 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 may either be reset monthly or at least annually.
The Fund may be required to post or receive collateral based on the net value of the Funds 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 Funds custodian bank. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank NA (JPMCB), an affiliate of the Fund.
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
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 counterpartys 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 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.
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
||||||||||||||||
Argentina |
$ | 5,541 | $ | | $ | | $ | 5,541 | ||||||||
Brazil |
159,811 | | | 159,811 | ||||||||||||
China |
86,924 | 342,310 | | 429,234 | ||||||||||||
Hong Kong |
| 70,443 | | 70,443 | ||||||||||||
Hungary |
| 34,188 | | 34,188 | ||||||||||||
India |
| 65,265 | | 65,265 | ||||||||||||
Indonesia |
| 26,271 | | 26,271 | ||||||||||||
Luxembourg |
6,882 | | | 6,882 | ||||||||||||
Malaysia |
| 50,478 | | 50,478 | ||||||||||||
Panama |
27,370 | | | 27,370 | ||||||||||||
Poland |
| 37,333 | | 37,333 | ||||||||||||
Qatar |
8,276 | | | 8,276 | ||||||||||||
Russia |
53,885 | 76,878 | | 130,763 | ||||||||||||
Singapore |
| 16,042 | | 16,042 | ||||||||||||
South Africa |
| 48,505 | | 48,505 | ||||||||||||
South Korea |
| 375,625 | | 375,625 | ||||||||||||
Taiwan |
20,448 | 250,045 | | 270,493 | ||||||||||||
Thailand |
| 69,288 | | 69,288 | ||||||||||||
Turkey |
| 100,185 | | 100,185 | ||||||||||||
Vietnam |
| 6,999 | | 6,999 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
369,137 | 1,569,855 | | 1,938,992 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Brazil |
35,356 | | | 35,356 | ||||||||||||
Russia |
10,393 | | | 10,393 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
45,749 | | | 45,749 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
1,687 | | | 1,687 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 416,573 | $ | 1,569,855 | $ | | $ | 1,986,428 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $14,600,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
||||||||||||||||
Argentina |
$ | 74,196 | $ | | $ | | $ | 74,196 | ||||||||
Australia |
| 21,915 | | 21,915 | ||||||||||||
Brazil |
410,403 | | | 410,403 | ||||||||||||
China |
409,462 | 523,330 | | 932,792 | ||||||||||||
Cyprus |
7,206 | | | 7,206 | ||||||||||||
Egypt |
29,795 | | | 29,795 | ||||||||||||
Hong Kong |
| 256,738 | | 256,738 | ||||||||||||
India |
155,823 | 577,734 | | 733,557 | ||||||||||||
Indonesia |
| 112,543 | | 112,543 | ||||||||||||
Mexico |
102,406 | | | 102,406 | ||||||||||||
Panama |
50,949 | | | 50,949 | ||||||||||||
Peru |
57,520 | | | 57,520 | ||||||||||||
Russia |
| 178,847 | | 178,847 | ||||||||||||
South Africa |
| 361,910 | | 361,910 | ||||||||||||
South Korea |
16,245 | 169,536 | | 185,781 | ||||||||||||
Spain |
| 18,966 | | 18,966 | ||||||||||||
Taiwan |
154,422 | 146,063 | | 300,485 | ||||||||||||
Thailand |
| 29,272 | | 29,272 | ||||||||||||
Turkey |
| 13,080 | | 13,080 |
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
United States |
$ | 91,912 | $ | | $ | | $ | 91,912 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
1,560,339 | 2,409,934 | | 3,970,273 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
||||||||||||||||
Brazil |
21,118 | | | 21,118 | ||||||||||||
Structured Instruments |
||||||||||||||||
China |
| 33,511 | | 33,511 | ||||||||||||
Warrants |
||||||||||||||||
United States |
| 28,189 | | 28,189 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
13,251 | | | 13,251 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,594,708 | $ | 2,471,634 | $ | | $ | 4,066,342 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $31,497,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Emerging Markets Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ADR | | American Depositary Receipt | ||
GDR | | Global Depositary Receipt | ||
(a) | | Non-income producing security. |
JPMorgan Emerging Markets Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Brazil |
$ | 1,278 | $ | | $ | | $ | 1,278 | ||||||||
Chile |
522 | | | 522 | ||||||||||||
China |
92 | 2,354 | | 2,446 |
JPMorgan Emerging Markets Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Czech Republic |
529 | | | 529 | ||||||||||||
Hong Kong |
328 | 629 | | 957 | ||||||||||||
Hungary |
| 389 | | 389 | ||||||||||||
India |
592 | | | 592 | ||||||||||||
Indonesia |
| 411 | | 411 | ||||||||||||
Mexico |
1,135 | | | 1,135 | ||||||||||||
Russia |
625 | 805 | | 1,430 | ||||||||||||
South Africa |
469 | 1,580 | | 2,049 | ||||||||||||
South Korea |
253 | 896 | | 1,149 | ||||||||||||
Taiwan |
890 | 2,293 | | 3,183 | ||||||||||||
Thailand |
421 | 313 | | 734 | ||||||||||||
Turkey |
| 588 | | 588 | ||||||||||||
United Arab Emirates |
257 | | | 257 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
7,391 | 10,258 | | 17,649 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Structured Instruments |
||||||||||||||||
France |
| 177 | | 177 | ||||||||||||
Warrant |
| |||||||||||||||
United States |
| 363 | | 363 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 7,391 | $ | 10,798 | $ | | $ | 18,189 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 2 to level 1 in the amount of approximately $577,000 are due to the non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Options contracts)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (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 JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
67,992 | CZK |
|||||||||||||||||||
2,611 | for EUR | HSBC Bank, NA | 09/21/17 | 3,099 | # | 3,098 | # | (1 | ) | |||||||||||
3,997 | EUR |
|||||||||||||||||||
16,966 | for PLN | HSBC Bank, NA | 09/21/17 | 4,718 | # | 4,744 | # | 26 | ||||||||||||
1,040 | EUR |
|||||||||||||||||||
4,754 | for RON | HSBC Bank, NA | 09/21/17 | 1,236 | # | 1,235 | # | (1 | ) | |||||||||||
4,310 | PLN |
|||||||||||||||||||
1,017 | for EUR | BNP Paribas | 09/21/17 | 1,207 | # | 1,199 | # | (8 | ) | |||||||||||
15,774 | ARS | Goldman Sachs International | 09/21/17 | 938 | 867 | (71 | ) | |||||||||||||
2,151 | AUD |
Goldman Sachs International |
09/21/17 | 1,605 | 1,719 | 114 | ||||||||||||||
1,130 | AUD | Merrill Lynch International | 09/21/17 | 859 | 904 | 45 | ||||||||||||||
9,737 | BRL |
Citibank, NA |
09/21/17 | 2,916 | 3,094 | 178 | ||||||||||||||
15,521 | BRL |
Deutsche Bank AG |
09/21/17 | 4,852 | 4,931 | 79 | ||||||||||||||
5,075 | BRL | Goldman Sachs International | 09/21/17 | 1,531 | 1,613 | 82 | ||||||||||||||
1,097 | CAD |
HSBC Bank, NA |
09/21/17 | 817 | 880 | 63 | ||||||||||||||
1,086 | CAD | Union Bank of Switzerland AG | 09/21/17 | 819 | 872 | 53 | ||||||||||||||
546,536 | CLP |
Goldman Sachs International |
09/21/17 | 825 | 840 | 15 | ||||||||||||||
535,402 | CLP | Merrill Lynch International | 09/21/17 | 798 | 823 | 25 | ||||||||||||||
10,368 | CNH |
Goldman Sachs International |
09/21/17 | 1,535 | 1,537 | 2 | ||||||||||||||
28,528 | CNH |
HSBC Bank, NA |
09/21/17 | 4,201 | 4,229 | 28 | ||||||||||||||
25,013 | CNH |
Societe Generale |
09/21/17 | 3,696 | 3,708 | 12 | ||||||||||||||
5,630 | CNH | Standard Chartered Bank | 09/21/17 | 824 | 835 | 11 | ||||||||||||||
11,097,037 | COP | Goldman Sachs International | 09/21/17 | 3,669 | 3,694 | 25 | ||||||||||||||
128,104 | CZK |
Deutsche Bank AG |
09/21/17 | 5,666 | 5,837 | 171 | ||||||||||||||
17,037 | CZK |
Royal Bank of Canada |
09/21/17 | 746 | 776 | 30 | ||||||||||||||
136,758 | CZK | State Street Bank & Trust | 09/21/17 | 6,095 | 6,231 | 136 | ||||||||||||||
1,031 | EUR |
BNP Paribas |
09/21/17 | 1,158 | 1,224 | 66 | ||||||||||||||
754 | EUR |
HSBC Bank, NA |
09/21/17 | 867 | 895 | 28 | ||||||||||||||
5,077 | EUR |
Royal Bank of Canada |
09/21/17 | 5,968 | 6,026 | 58 | ||||||||||||||
954 | EUR |
State Street Corp. |
09/21/17 | 1,113 | 1,132 | 19 | ||||||||||||||
1,862 | EUR |
Union Bank of Switzerland AG |
09/21/17 | 2,176 | 2,210 | 34 |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
CONTRACTS TO BUY |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
111 | EUR | Australia & New Zealand Banking Group Ltd. | 10/18/17 | 128 | 133 | 5 | ||||||||||||||
671,468 | HUF | Deutsche Bank AG | 09/21/17 | 2,484 | 2,620 | 136 | ||||||||||||||
57,231,621 | IDR |
Citibank, NA |
09/22/17 | 4,279 | 4,275 | (4 | ) | |||||||||||||
10,704,181 | IDR | Merrill Lynch International | 09/22/17 | 796 | 799 | 3 | ||||||||||||||
2,362 | ILS | TD Bank Financial Group | 09/25/17 | 668 | 665 | (3 | ) | |||||||||||||
75,871 | INR |
Citibank, NA |
09/21/17 | 1,171 | 1,177 | 6 | ||||||||||||||
247,537 | INR |
Deutsche Bank AG |
09/21/17 | 3,838 | 3,840 | 2 | ||||||||||||||
161,073 | INR | Merrill Lynch International | 09/21/17 | 2,474 | 2,498 | 24 | ||||||||||||||
93,189 | JPY | Goldman Sachs International | 09/21/17 | 823 | 847 | 24 | ||||||||||||||
1,318,788 | KRW |
Deutsche Bank AG |
09/21/17 | 1,152 | 1,178 | 26 | ||||||||||||||
7,477,420 | KRW | Goldman Sachs International | 09/21/17 | 6,701 | 6,678 | (23 | ) | |||||||||||||
29,130 | MXN |
Citibank, NA |
09/21/17 | 1,620 | 1,623 | 3 | ||||||||||||||
35,692 | MXN |
Deutsche Bank AG |
09/21/17 | 1,957 | 1,988 | 31 | ||||||||||||||
70,730 | MXN |
Goldman Sachs International |
09/21/17 | 3,911 | 3,940 | 29 | ||||||||||||||
10,232 | MXN |
HSBC Bank, NA |
09/21/17 | 569 | 570 | 1 | ||||||||||||||
25,949 | MXN |
State Street Corp. |
09/21/17 | 1,464 | 1,446 | (18 | ) | |||||||||||||
52,672 | MXN | TD Bank Financial Group | 09/21/17 | 2,977 | 2,934 | (43 | ) | |||||||||||||
16,739 | MYR | Goldman Sachs International | 09/21/17 | 3,932 | 3,904 | (28 | ) | |||||||||||||
40,087 | PHP | Merrill Lynch International | 09/21/17 | 786 | 792 | 6 | ||||||||||||||
1,315 | PLN |
Barclays Bank plc |
09/21/17 | 359 | 365 | 6 | ||||||||||||||
4,828 | PLN |
Citibank, NA |
09/21/17 | 1,304 | 1,343 | 39 | ||||||||||||||
4,724 | PLN |
Goldman Sachs International |
09/21/17 | 1,303 | 1,314 | 11 | ||||||||||||||
21,387 | PLN |
HSBC Bank, NA |
09/21/17 | 5,874 | 5,948 | 74 | ||||||||||||||
8,688 | PLN |
Merrill Lynch International |
09/21/17 | 2,329 | 2,416 | 87 | ||||||||||||||
6,125 | PLN | Societe Generale | 09/21/17 | 1,644 | 1,703 | 59 | ||||||||||||||
3,380 | RON |
Barclays Bank plc |
09/21/17 | 839 | 879 | 40 | ||||||||||||||
1,375 | RON | Standard Chartered Bank | 09/21/17 | 339 | 357 | 18 | ||||||||||||||
339,480 | RUB |
Goldman Sachs International |
09/21/17 | 5,677 | 5,614 | (63 | ) | |||||||||||||
188,161 | RUB | Merrill Lynch International | 09/21/17 | 3,143 | 3,112 | (31 | ) | |||||||||||||
1,771 | SGD | Australia & New Zealand Banking Group Limited | 09/21/17 | 1,284 | 1,308 | 24 | ||||||||||||||
18,026 | TRY |
Barclays Bank plc |
09/21/17 | 5,024 | 5,043 | 19 | ||||||||||||||
8,758 | TRY |
Citibank, NA |
09/21/17 | 2,397 | 2,450 | 53 | ||||||||||||||
17,223 | TRY |
Goldman Sachs International |
09/21/17 | 4,784 | 4,819 | 35 | ||||||||||||||
5,584 | TRY | TD Bank Financial Group | 09/21/17 | 1,537 | 1,562 | 25 | ||||||||||||||
62,774 | ZAR |
Barclays Bank plc |
09/21/17 | 4,806 | 4,723 | (83 | ) | |||||||||||||
82,885 | ZAR |
Goldman Sachs International |
09/21/17 | 6,330 | 6,237 | (93 | ) | |||||||||||||
15,444 | ZAR | HSBC Bank, NA | 09/21/17 | 1,159 | 1,162 | 3 | ||||||||||||||
155,796 | 157,415 | 1,619 |
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
15,774 | ARS | Goldman Sachs International | 09/21/17 | 934 | 867 | 67 | ||||||||||||||
3,870 | AUD |
Australia & New Zealand Banking Group Limited | 09/21/17 | 2,957 | 3,094 | (137 | ) | |||||||||||||
2,205 | AUD |
Goldman Sachs International |
09/21/17 | 1,688 | 1,763 | (75 | ) | |||||||||||||
883 | AUD | Royal Bank of Canada | 09/21/17 | 698 | 706 | (8 | ) | |||||||||||||
30,333 | BRL | Goldman Sachs International | 09/21/17 | 9,034 | 9,638 | (604 | ) | |||||||||||||
1,097 | CAD |
State Street Corp. |
09/21/17 | 850 | 880 | (30 | ) |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
1,086 | CAD | Union Bank of Switzerland AG | 09/21/17 | 805 | 872 | (67 | ) | |||||||||||||||
1,081,938 | CLP | Goldman Sachs International | 09/21/17 | 1,617 | 1,663 | (46 | ) | |||||||||||||||
5,438,451 | COP | Citibank, NA | 09/21/17 | 1,791 | 1,810 | (19 | ) | |||||||||||||||
956,731 | COP | Goldman Sachs International | 09/21/17 | 326 | 319 | 7 | ||||||||||||||||
4,725,738 | COP | Merrill Lynch International | 09/21/17 | 1,513 | 1,573 | (60 | ) | |||||||||||||||
24,533 | CZK | State Street Corp. | 09/21/17 | 1,099 | 1,118 | (19 | ) | |||||||||||||||
914 | EUR | Goldman Sachs International | 09/21/17 | 1,061 | 1,085 | (24 | ) | |||||||||||||||
1,679 | EUR | Royal Bank of Canada | 09/21/17 | 1,933 | 1,992 | (59 | ) | |||||||||||||||
2,164 | EUR | TD Bank Financial Group | 09/21/17 | 2,473 | 2,569 | (96 | ) | |||||||||||||||
116 | EUR | National Australia Bank Ltd. | 10/18/17 | 133 | 138 | (5 | ) | |||||||||||||||
28 | EUR | Royal Bank of Canada | 10/18/17 | 32 | 33 | (1 | ) | |||||||||||||||
670,322 | HUF | Citibank, NA | 09/21/17 | 2,498 | 2,616 | (118 | ) | |||||||||||||||
10,704,181 | IDR | Goldman Sachs International | 09/22/17 | 791 | 799 | (8 | ) | |||||||||||||||
57,231,621 | IDR | Merrill Lynch International | 09/22/17 | 4,264 | 4,275 | (11 | ) | |||||||||||||||
2,362 | ILS | Goldman Sachs International | 09/25/17 | 668 | 664 | 4 | ||||||||||||||||
103,136 | INR | Goldman Sachs International | 09/21/17 | 1,585 | 1,600 | (15 | ) | |||||||||||||||
93,189 | JPY | Citibank, NA | 09/21/17 | 827 | 847 | (20 | ) | |||||||||||||||
6,585,549 | KRW | Citibank, NA | 09/21/17 | 5,859 | 5,882 | (23 | ) | |||||||||||||||
1,318,788 | KRW | Deutsche Bank AG | 09/21/17 | 1,152 | 1,177 | (25 | ) | |||||||||||||||
2,585,686 | KRW | Goldman Sachs International | 09/21/17 | 2,263 | 2,310 | (47 | ) | |||||||||||||||
20,673 | MXN | Credit Suisse International | 09/21/17 | 1,163 | 1,152 | 11 | ||||||||||||||||
24,028 | MXN | Deutsche Bank AG | 09/21/17 | 1,310 | 1,338 | (28 | ) | |||||||||||||||
50,492 | MXN | Goldman Sachs International | 09/21/17 | 2,701 | 2,813 | (112 | ) | |||||||||||||||
57,336 | MXN | HSBC Bank, NA | 09/21/17 | 3,237 | 3,194 | 43 | ||||||||||||||||
2,628 | MXN | TD Bank Financial Group | 09/21/17 | 142 | 146 | (4 | ) | |||||||||||||||
16,739 | MYR | Goldman Sachs International | 09/21/17 | 3,874 | 3,904 | (30 | ) | |||||||||||||||
40,087 | PHP | Merrill Lynch International | 09/21/17 | 808 | 792 | 16 | ||||||||||||||||
11,994 | PLN | Barclays Bank plc | 09/21/17 | 3,223 | 3,335 | (112 | ) | |||||||||||||||
3,051 | PLN | HSBC Bank, NA | 09/21/17 | 830 | 848 | (18 | ) | |||||||||||||||
12,015 | PLN | TD Bank Financial Group | 09/21/17 | 3,203 | 3,342 | (139 | ) | |||||||||||||||
44,353 | RUB | Citibank, NA | 09/21/17 | 763 | 734 | 29 | ||||||||||||||||
622,942 | RUB | Goldman Sachs International | 09/21/17 | 10,585 | 10,302 | 283 | ||||||||||||||||
33,422 | RUB | Merrill Lynch International | 09/21/17 | 558 | 553 | 5 | ||||||||||||||||
1,771 | SGD | HSBC Bank, NA | 09/21/17 | 1,278 | 1,308 | (30 | ) | |||||||||||||||
22,968 | TRY | Citibank, NA | 09/21/17 | 6,374 | 6,426 | (52 | ) | |||||||||||||||
15,551 | TRY | Deutsche Bank AG | 09/21/17 | 4,328 | 4,351 | (23 | ) | |||||||||||||||
11,192 | TRY | HSBC Bank, NA | 09/21/17 | 3,099 | 3,131 | (32 | ) | |||||||||||||||
4,234 | TRY | Societe Generale | 09/21/17 | 1,182 | 1,184 | (2 | ) | |||||||||||||||
46,874 | TWD | Goldman Sachs International | 09/21/17 | 1,556 | 1,555 | 1 | ||||||||||||||||
39,363 | ZAR | Citibank, NA | 09/21/17 | 2,948 | 2,961 | (13 | ) | |||||||||||||||
33,375 | ZAR | Goldman Sachs International | 09/21/17 | 2,560 | 2,512 | 48 | ||||||||||||||||
131,032 | ZAR | HSBC Bank, NA | 09/21/17 | 9,944 | 9,858 | 86 | ||||||||||||||||
6,278 | ZAR | Merrill Lynch International | 09/21/17 | 481 | 473 | 8 | ||||||||||||||||
108,775 | ZAR | National Australia Bank Ltd. | 09/21/17 | 8,316 | 8,184 | 132 | ||||||||||||||||
39,452 | ZAR | Royal Bank of Canada | 09/21/17 | 3,000 | 2,969 | 31 | ||||||||||||||||
97,313 | ZAR | State Street Corp. | 09/21/17 | 7,424 | 7,322 | 102 | ||||||||||||||||
133,738 | 134,977 | (1,239 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at July 31, 2017 of the currency being sold, and the value at July 31, 2017 is the U.S. dollar market value of the currency being purchased. |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Options contracts)
Credit Default Swaps - Sell Protection [1]
Sovereign Issuer: |
||||||||||||||||||||||||
SWAP COUNTERPARTY/ |
FUND RECEIVES FIXED RATE (r) |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AS OF JULY 31, 2017 [2] |
NOTIONAL AMOUNT [3] |
VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [4] |
||||||||||||||||||
Citibank NA: |
||||||||||||||||||||||||
State of Qatar, 9.750%, 06/15/30 |
1.000% quarterly | 06/20/22 | 93.355 | % | 3,500 | 15 | (3 | ) | ||||||||||||||||
|
|
|
|
[1] | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make 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. |
[2] | Implied credit spreads are an indication of the sellers 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 indexes 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). |
Interest Rate Swaps |
||||||||||||||||||||
RATE TYPE (r) | ||||||||||||||||||||
SWAP COUNTERPARTY |
PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
TERMINATION DATE |
NOTIONAL AMOUNT |
VALUE | |||||||||||||||
Bank of America NA |
0.573 annually | 6 months PRIBOR semi-annually | 06/29/19 | CZK200,000 | 38 | |||||||||||||||
Bank of America NA |
Brazilian CDI at maturity | 9.690% at maturity | 01/04/21 | BRL7,264 | 40 | |||||||||||||||
Bank of America NA |
1.158 annually | 6 months PRIBOR semi-annually | 06/22/27 | CZK 40,000 | 45 | |||||||||||||||
Bank of America NA |
1.185 annually | 6 months PRIBOR semi-annually | 06/30/27 | CZK 40,000 | 40 | |||||||||||||||
Goldman Sachs International |
Brazilian CDI at maturity | 9.340% at maturity | 01/04/21 | BRL20,616 | 36 | |||||||||||||||
|
|
|||||||||||||||||||
199 | ||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps |
||||||||||||||||
RATE TYPE (r) | ||||||||||||||||
PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
TERMINATION DATE |
NOTIONAL AMOUNT |
VALUE | ||||||||||||
1 month TIIE monthly | 7.1000% monthly | 06/17/27 | MXN 40,000 | (6 | ) | |||||||||||
|
|
FOREIGN EXCHANGE CURRENCY OPTIONS WRITTEN
Call Options Written |
||||||||||||||||
DESCRIPTION |
EXERCISE PRICE |
EXPIRATION DATE |
NUMBER OF CONTRACTS |
VALUE | ||||||||||||
KRW Put/USD Call, Vanilla, European Style |
KRW1,173.050 | 09/14/17 | 2,856,173 | (6 | ) | |||||||||||
|
|
|||||||||||||||
(Premiums received of $28) |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as Pricing Services). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds NAV per share as of the report date.
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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Debt Securities |
||||||||||||||||
Corporate Bonds |
||||||||||||||||
Argentina |
$ | | $ | 7,483 | $ | | $ | 7,483 | ||||||||
Brazil |
| 16,509 | | 16,509 | ||||||||||||
Chile |
| 3,837 | | 3,837 | ||||||||||||
China |
| 10,628 | | 10,628 | ||||||||||||
Colombia |
| 4,409 | | 4,409 | ||||||||||||
Congo, Democratic Republic of the |
| 1,424 | | 1,424 | ||||||||||||
Costa Rica |
| 517 | | 517 | ||||||||||||
Ecuador |
| 1,403 | | 1,403 | ||||||||||||
El Salvador |
| 325 | | 325 | ||||||||||||
Guatemala |
| 1,424 | | 1,424 | ||||||||||||
Hong Kong |
| 3,618 | | 3,618 | ||||||||||||
Hungary |
| 662 | | 662 | ||||||||||||
India |
| 6,286 | | 6,286 | ||||||||||||
Indonesia |
| 11,224 | | 11,224 | ||||||||||||
Israel |
| 623 | | 623 | ||||||||||||
Jamaica |
| 706 | | 706 | ||||||||||||
Kazakhstan |
| 7,918 | | 7,918 | ||||||||||||
Kuwait |
| 1,603 | | 1,603 | ||||||||||||
Mauritius |
| 2,428 | | 2,428 | ||||||||||||
Mexico |
| 29,848 | | 29,848 | ||||||||||||
Morocco |
| 1,001 | | 1,001 | ||||||||||||
Netherlands |
| 1,822 | | 1,822 | ||||||||||||
Nigeria |
| 3,682 | | 3,682 | ||||||||||||
Panama |
| 1,615 | | 1,615 | ||||||||||||
Peru |
| 3,614 | | 3,614 | ||||||||||||
Qatar |
| 4,998 | | 4,998 | ||||||||||||
Russia |
| 4,812 | | 4,812 | ||||||||||||
South Africa |
| 4,226 | | 4,226 | ||||||||||||
South Korea |
| 1,148 | | 1,148 | ||||||||||||
Spain |
| 750 | | 750 | ||||||||||||
Sri Lanka |
| 423 | | 423 | ||||||||||||
Trinidad and Tobago |
| 1,770 | | 1,770 | ||||||||||||
Tunisia |
| 481 | | 481 | ||||||||||||
Turkey |
| 5,491 | | 5,491 | ||||||||||||
Ukraine |
| 2,401 | | 2,401 | ||||||||||||
United Arab Emirates |
| 2,423 | | 2,423 | ||||||||||||
Venezuela, Bolivarian Republic of |
| 2,159 | | 2,159 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 155,691 | | 155,691 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 412,301 | | 412,301 | ||||||||||||
Options Purchased |
||||||||||||||||
Foreign Exchange Currency Options |
| 29 | | 29 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
56,830 | | | 56,830 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 56,830 | $ | 568,021 | $ | | $ | 624,851 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 2,962 | $ | | $ | 2,962 | ||||||||
Swaps |
| 211 | | 211 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | | $ | 3,173 | $ | | $ | 3,173 | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (2,582 | ) | $ | | $ | (2,582 | ) | ||||||
Swaps |
| (6 | ) | | (6 | ) | ||||||||||
Options Written |
||||||||||||||||
Foreign Exchange Currency Options |
| (6 | ) | | (6 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | | $ | (2,594 | ) | $ | | $ | (2,594 | ) | ||||||
|
|
|
|
|
|
|
|
There were no transfers among the other levels during the period ended July 31, 2017.
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of October 31, 2016 |
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 July 31, 2017 |
||||||||||||||||||||||||||||
Debt Securities Foreign Government Securities |
$ | 446 | $ | (197 | ) | $ | 155 | $ | | $ | | $ | (404 | ) | $ | | $ | | $ | |
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. |
B. Derivatives The Fund used derivative instruments including forward foreign currency exchange contracts, options and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterpartys 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 (1) (3) 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 as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as unrealized appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written Premiums received by the Fund for options written are adjusted daily to reflect the current market value of the option written and the change is recorded as unrealized appreciation or depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subjects the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The Funds 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 Funds over the counter (OTC) options are subject to master netting agreements.
The Fund may be required to post or receive collateral for over the counter options.
(2). Forward Foreign Currency Exchange Contracts The Fund may be exposed to foreign currency risks associated with some or all of a portfolio investments, 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. The fund used forward foreign currency exchange contracts, including non-deliverable forwards, mainly as a substitute for securities in which the Fund can invest to increase income or gain to the Fund and to hedge or manage the Funds exposure to foreign currency risks associated with portfolio investments. 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 cash without the delivery of foreign currency.
The values of the forward foreign currency 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 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 or due across transactions. The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Swaps The Fund engaged in various swap transactions, including interest rate and credit default swaps, to manage credit, interest rate (e.g., duration, yield curve), currency, and inflation 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 are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded 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 Schedule of Investments. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). 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 Funds 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 Funds custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A. (JPMCB), an affiliate of the Fund, which provides collateral management service to the Fund.
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.
The Fund may be required to post or receive collateral for Over the Counter Swaps.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/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.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
If a credit event occurs, the Fund, as a 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 Funds portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. 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.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts )
Futures Contracts | ||||||||||||||||||||
NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
288 | TOPIX Index | 09/07/17 | JPY | 42,242 | 301 | |||||||||||||||
74 | 10 Year Australian Government Bond | 09/15/17 | AUD | 7,634 | (112 | ) | ||||||||||||||
199 | Euro STOXX 50 Index | 09/15/17 | EUR | 8,110 | (174 | ) | ||||||||||||||
55 | FTSE 100 Index | 09/15/17 | GBP | 5,305 | (46 | ) | ||||||||||||||
133 | Mini MSCI Emerging Markets Index | 09/15/17 | USD | 7,079 | 463 | |||||||||||||||
219 | Mini Russell 2000 | 09/15/17 | USD | 15,597 | 51 | |||||||||||||||
725 | Euro FX | 09/18/17 | USD | 107,486 | 5,504 | |||||||||||||||
Short Futures Outstanding | ||||||||||||||||||||
(63) | Euro-Buxl 30-Year Bond | 09/07/17 | EUR | (12,091 | ) | 338 | ||||||||||||||
(234) | 10 Year Japanese Government Bond | 09/11/17 | JPY | (31,868 | ) | 86 | ||||||||||||||
(174) | E-mini S&P 500 | 09/15/17 | USD | (21,471 | ) | (52 | ) | |||||||||||||
(447) | Euro STOXX 50 Index | 09/15/17 | EUR | (18,217 | ) | 368 | ||||||||||||||
(137) | FTSE 100 Index | 09/15/17 | GBP | (13,216 | ) | 232 | ||||||||||||||
(3,822) | MSCI Europe Index | 09/15/17 | EUR | (94,324 | ) | 2,365 | ||||||||||||||
(259) | 10 Year U.S. Treasury Note | 09/20/17 | USD | (32,610 | ) | 10 | ||||||||||||||
(48) | US Treasury Long Bond | 09/20/17 | USD | (7,350 | ) | (10 | ) | |||||||||||||
(43) | Long Gilt | 09/27/17 | GBP | (7,149 | ) | 89 | ||||||||||||||
|
|
|||||||||||||||||||
9,413 | ||||||||||||||||||||
|
|
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (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 JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
934 |
CHF | |||||||||||||||||||
854 |
for EUR | Royal Bank of Canada | 09/27/17 | 1,014 | # | 969 | # | (45 | ) | |||||||||||
1,695 |
EUR | Australia & New Zealand Banking | ||||||||||||||||||
1,841 |
for CHF | Group Ltd. | 09/27/17 | 1,911 | # | 2,012 | # | 101 | ||||||||||||
2,990 |
EUR | |||||||||||||||||||
2,631 |
for GBP | Royal Bank of Canada | 09/27/17 | 3,478 | # | 3,551 | # | 73 | ||||||||||||
640 |
EUR | |||||||||||||||||||
6,245 |
for SEK | Barclays Bank plc | 09/27/17 | 776 | # | 760 | # | (16 | ) | |||||||||||
1,183 |
GBP | |||||||||||||||||||
1,346 |
for EUR | Royal Bank of Canada | 09/27/17 | 1,599 | # | 1,564 | # | (35 | ) | |||||||||||
13,258 |
CAD | National Australia Bank Ltd. | 09/27/17 | 10,043 | 10,642 | 599 | ||||||||||||||
3,523 |
CHF | Goldman Sachs International | 09/27/17 | 3,668 | 3,657 | (11 | ) | |||||||||||||
1,255 |
CHF | State Street Corp. | 09/27/17 | 1,312 | 1,303 | (9 | ) | |||||||||||||
8,610 |
EUR | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 9,904 | 10,223 | 319 | ||||||||||||||
124 |
EUR | Citibank, NA | 09/27/17 | 141 | 147 | 6 | ||||||||||||||
1,238 |
EUR | Deutsche Bank AG | 09/27/17 | 1,419 | 1,470 | 51 | ||||||||||||||
1,892 |
EUR | Goldman Sachs International | 09/27/17 | 2,181 | 2,247 | 66 | ||||||||||||||
1,288 |
EUR | Merrill Lynch International | 09/27/17 | 1,501 | 1,529 | 28 | ||||||||||||||
3,284 |
EUR | National Australia Bank Ltd. | 09/27/17 | 3,769 | 3,901 | 132 | ||||||||||||||
864 |
EUR | Royal Bank of Canada | 09/27/17 | 989 | 1,025 | 36 | ||||||||||||||
2,382 |
EUR | State Street Corp. | 09/27/17 | 2,745 | 2,829 | 84 | ||||||||||||||
1,550 |
EUR | Union Bank of Switzerland AG | 09/27/17 | 1,821 | 1,841 | 20 | ||||||||||||||
19,336 |
GBP | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 24,732 | 25,561 | 829 | ||||||||||||||
7,499 |
NOK | Goldman Sachs International | 09/27/17 | 887 | 955 | 68 | ||||||||||||||
2,586 |
SEK | Merrill Lynch International | 09/27/17 | 299 | 321 | 22 | ||||||||||||||
10,794 |
SEK | State Street Corp. | 09/27/17 | 1,303 | 1,341 | 38 | ||||||||||||||
3,907 |
SEK | TD Bank Financial Group | 09/27/17 | 475 | 486 | 11 | ||||||||||||||
7,257 |
SEK | Union Bank of Switzerland AG | 09/27/17 | 882 | 902 | 20 | ||||||||||||||
76,849 | 79,236 | 2,387 | ||||||||||||||||||
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
49,583 |
AUD | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 37,769 | 39,638 | (1,869 | ) | |||||||||||||
2,279 |
AUD | National Australia Bank Ltd. | 09/27/17 | 1,732 | 1,822 | (90 | ) | |||||||||||||
34,336 |
CAD | State Street Corp. | 08/29/17 | 27,446 | 27,552 | (106 | ) | |||||||||||||
1,586 |
CAD | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 1,241 | 1,272 | (31 | ) | |||||||||||||
30,528 |
CAD | National Australia Bank Ltd. | 09/27/17 | 23,108 | 24,506 | (1,398 | ) | |||||||||||||
5,793 |
CHF | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 6,084 | 6,013 | 71 | ||||||||||||||
368 |
CHF | State Street Corp. | 09/27/17 | 385 | 381 | 4 | ||||||||||||||
563 |
CHF | TD Bank Financial Group | 09/27/17 | 590 | 585 | 5 | ||||||||||||||
2,211 |
DKK | Barclays Bank plc | 09/27/17 | 339 | 353 | (14 | ) | |||||||||||||
5,464 |
DKK | Goldman Sachs International | 09/27/17 | 837 | 872 | (35 | ) | |||||||||||||
1,799 |
DKK | Merrill Lynch International | 09/27/17 | 283 | 288 | (5 | ) | |||||||||||||
6,818 |
DKK | State Street Corp. | 09/27/17 | 1,055 | 1,089 | (34 | ) |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
17,183 |
DKK | TD Bank Financial Group | 09/27/17 | 2,607 | 2,744 | (137 | ) | |||||||||||||
2,832 |
EUR | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 3,257 | 3,364 | (107 | ) | |||||||||||||
99 |
EUR | Citibank, NA | 09/27/17 | 112 | 117 | (5 | ) | |||||||||||||
209 |
EUR | Deutsche Bank AG | 09/27/17 | 240 | 248 | (8 | ) | |||||||||||||
197,938 |
EUR | Goldman Sachs International | 09/27/17 | 223,909 | 235,043 | (11,134 | ) | |||||||||||||
965 |
EUR | HSBC Bank, NA | 09/27/17 | 1,100 | 1,146 | (46 | ) | |||||||||||||
2,163 |
EUR | Merrill Lynch International | 09/27/17 | 2,503 | 2,569 | (66 | ) | |||||||||||||
722 |
EUR | National Australia Bank Ltd. | 09/27/17 | 816 | 858 | (42 | ) | |||||||||||||
4,579 |
EUR | Royal Bank of Canada | 09/27/17 | 5,238 | 5,438 | (200 | ) | |||||||||||||
186 |
EUR | Societe Generale | 09/27/17 | 219 | 221 | (2 | ) | |||||||||||||
550 |
EUR | State Street Corp. | 09/27/17 | 646 | 652 | (6 | ) | |||||||||||||
455 |
EUR | TD Bank Financial Group | 09/27/17 | 527 | 541 | (14 | ) | |||||||||||||
577 |
EUR | Union Bank of Switzerland AG | 09/27/17 | 669 | 685 | (16 | ) | |||||||||||||
17,286 |
GBP | Australia & New Zealand Banking Group Ltd. | 09/27/17 | 22,128 | 22,851 | (723 | ) | |||||||||||||
542 |
GBP | State Street Corp. | 09/27/17 | 703 | 717 | (14 | ) | |||||||||||||
5,667,420 |
JPY | HSBC Bank, NA | 09/27/17 | 50,961 | 51,543 | (582 | ) | |||||||||||||
259,963 |
JPY | State Street Corp. | 09/27/17 | 2,326 | 2,364 | (38 | ) | |||||||||||||
2,563 |
SEK | Royal Bank of Canada | 09/27/17 | 302 | 319 | (17 | ) | |||||||||||||
12,543 |
SEK | State Street Corp. | 09/27/17 | 1,485 | 1,558 | (73 | ) | |||||||||||||
420,617 | 437,349 | (16,732 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at July 31, 2017 of the currency being sold, and the value at July 31, 2017 is the U.S. dollar market value of the currency being purchased. |
Total Return Basket Swaps* Outstanding at July 31, 2017
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
VALUE | |||||
Bank of America, NA | 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. | 10/31/2018 | (48 | ) | ||||
|
|
* | See the accompanying Additional Information Total Return Basket Swap for further details |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ADR |
| American Depositary Receipt | ||
ARM |
| Adjustable Rate Mortgage | ||
AUD |
| Australian Dollar | ||
CAD |
| Canadian Dollar | ||
CHF |
| Swiss Franc | ||
CVA |
| Dutch Certification | ||
CVR |
| Contingent Value Rights | ||
DIP |
|
Debtor-in-possession | ||
DKK |
| Danish Krone | ||
EUR |
| Euro | ||
FTSE |
| Financial Times and the London Stock Exchange | ||
GBP |
| British Pound | ||
GDR |
| Global Depositary Receipt | ||
GMAC |
| General Motors Acceptance Corp. | ||
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 July 31, 2017. The rate may be subject to a cap and floor. | ||
JPY |
| Japanese Yen | ||
MSCI |
| Morgan Stanley Capital International | ||
NOK |
| Norwegian Krone | ||
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. | ||
SEK |
| Swedish Krona | ||
SUB |
| Step-Up Bond. The interest rate shown is the rate in effect as of July 31, 2017. | ||
TOPIX |
| Tokyo Price Index | ||
USD |
| United States Dollar | ||
VAR |
| Variable Rate Security. The interest rate shown is the rate in effect as of July 31, 2017. | ||
(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. | ||
(d) |
| Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | ||
(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. | ||
(j) |
| All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is approximately $35,075,000. | ||
(k) |
| All or a portion of this security is deposited with the broker as initial margin for future contracts. | ||
(l) |
| The rate shown is the current yield as of July 31, 2017. | ||
(n) |
| The rate shown is the effective yield as of July 31, 2017. | ||
(v) |
| Security has the ability to pay in kind (PIK) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Allocation Fund
ADDITIONAL INFORMATION TOTAL RETURN BASKET SWAPS
AS OF JULY 31, 2017 (Unaudited)
TOTAL RETURN BASKET |
SHARES | NOTIONAL VALUE($)(1) |
CURRENT VALUE($)(2) |
VALUE($)(3) | ||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Ireland - 0.2% |
|
|||||||||||||||
Allied Irish Banks plc |
178 | 1,057 | 1,047 | (10 | ) | |||||||||||
Smurfit Kappa Group plc |
54 | 1,723 | 1,612 | (111 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
232 | 2,780 | 2,659 | (121 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Switzerland - 0.1% |
|
|||||||||||||||
Glencore plc (a) |
270 | 1,154 | 1,192 | 38 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
United kingdom - 0.9% |
|
|||||||||||||||
Ashtead Group plc |
44 | 903 | 949 | 46 | ||||||||||||
Aviva plc |
186 | 1,311 | 1,320 | 9 | ||||||||||||
Barratt Developments plc |
130 | 1,015 | 1,057 | 42 | ||||||||||||
British American Tobacco plc |
23 | 1,586 | 1,438 | (148 | ) | |||||||||||
easyJet plc |
27 | 511 | 448 | (63 | ) | |||||||||||
GKN plc |
197 | 849 | 834 | (15 | ) | |||||||||||
HSBC Holdings plc |
61 | 584 | 607 | 23 | ||||||||||||
InterContinental Hotels Group plc |
25 | 1,413 | 1,421 | 8 | ||||||||||||
Lloyds Banking Group plc |
2,426 | 2,128 | 2,097 | (31 | ) | |||||||||||
Melrose Industries plc |
209 | 655 | 642 | (13 | ) | |||||||||||
Persimmon plc |
45 | 1,394 | 1,471 | 77 | ||||||||||||
Rio Tinto plc |
36 | 1,613 | 1,700 | 87 | ||||||||||||
Taylor Wimpey plc |
407 | 961 | 1,022 | 61 | ||||||||||||
Weir Group plc (The) |
32 | 828 | 773 | (55 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
3,848 | 15,751 | 15,779 | 28 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
4,350 | 19,685 | 19,630 | (55 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Cash and Other Receivables/(Payables) (4) |
(86 | ) | ||||||||||||||
|
|
|||||||||||||||
Financing Costs |
(6 | ) | ||||||||||||||
|
|
|||||||||||||||
Net Dividends Receivable/(Payable) |
44 | |||||||||||||||
|
|
|||||||||||||||
Outstanding Swap contract, at value |
(48 | ) | ||||||||||||||
|
|
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 July 31, 2017 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. |
(4) | Cash and other receivables/(payables) includes the gains (or losses) realized from purchases and sales within the swap. |
(a) | Non-income producing security. |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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.
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 an international fair value factor 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 Funds NAV per share as of the report date.
Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued utilizing market quotations from approved Pricing Services.
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at July 31, 2017.
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 25,272 | $ | | $ | 25,272 | ||||||||
Austria |
| 3,135 | | 3,135 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Belgium |
$ | | $ | 5,949 | $ | | $ | 5,949 | ||||||||
Brazil |
5,004 | | | 5,004 | ||||||||||||
Canada |
10,332 | | | 10,332 | ||||||||||||
Chile |
686 | | | 686 | ||||||||||||
China |
5,361 | 6,992 | | 12,353 | ||||||||||||
Denmark |
| 12,758 | | 12,758 | ||||||||||||
Finland |
| 9,166 | | 9,166 | ||||||||||||
France |
| 55,439 | | 55,439 | ||||||||||||
Germany |
1,384 | 49,790 | | 51,174 | ||||||||||||
Hong Kong |
| 15,194 | | 15,194 | ||||||||||||
India |
7,954 | 1,195 | | 9,149 | ||||||||||||
Indonesia |
383 | 2,152 | | 2,535 | ||||||||||||
Ireland |
2,079 | | | 2,079 | ||||||||||||
Israel |
2,299 | | | 2,299 | ||||||||||||
Italy |
| 18,968 | | 18,968 | ||||||||||||
Japan |
| 83,192 | | 83,192 | ||||||||||||
Luxembourg |
| 2,192 | | 2,192 | ||||||||||||
Malaysia |
| 388 | | 388 | ||||||||||||
Mexico |
1,178 | | | 1,178 | ||||||||||||
Netherlands |
| 24,481 | | 24,481 | ||||||||||||
New Zealand |
| 1,396 | | 1,396 | ||||||||||||
Norway |
| 1,473 | | 1,473 | ||||||||||||
Peru |
768 | | | 768 | ||||||||||||
Portugal |
| 1,230 | | 1,230 | ||||||||||||
Russia |
| 2,720 | | 2,720 | ||||||||||||
Singapore |
| 3,875 | | 3,875 | ||||||||||||
South Africa |
579 | 6,543 | | 7,122 | ||||||||||||
South Korea |
| 3,803 | | 3,803 | ||||||||||||
Spain |
| 13,194 | | 13,194 | ||||||||||||
Sweden |
| 6,457 | | 6,457 | ||||||||||||
Switzerland |
1,402 | 51,028 | | 52,430 | ||||||||||||
Taiwan |
3,437 | 1,716 | | 5,153 | ||||||||||||
Thailand |
776 | 711 | | 1,487 | ||||||||||||
Turkey |
| 303 | | 303 | ||||||||||||
United Kingdom |
| 63,339 | | 63,339 | ||||||||||||
United States |
397,794 | 5,015 | | (a) | 402,809 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
441,416 | 479,066 | | (a) | 920,482 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Bermuda |
| 79 | | 79 | ||||||||||||
Brazil |
1,248 | | | 1,248 | ||||||||||||
Germany |
| 3,874 | | 3,874 | ||||||||||||
United States |
17 | | 10 | 27 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
1,265 | 3,953 | 10 | 5,228 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investment Companies |
| |||||||||||||||
United States |
50,991 | | | 50,991 | ||||||||||||
Debt Securities |
| |||||||||||||||
Asset-Backed Securities |
| |||||||||||||||
United States |
| 6,937 | 35,999 | 42,936 | ||||||||||||
Collateralized Mortgage Obligations |
| |||||||||||||||
United States |
| 30,514 | 1,481 | 31,995 | ||||||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
United States |
| 5,045 | | 5,045 | ||||||||||||
Convertible Bonds |
| |||||||||||||||
United States |
| 106 | | 106 | ||||||||||||
Corporate Bonds |
| |||||||||||||||
Australia |
| 339 | | 339 | ||||||||||||
Belgium |
| 2,207 | | 2,207 | ||||||||||||
Brazil |
| 1,958 | | 1,958 | ||||||||||||
Canada |
| 11,989 | | 11,989 | ||||||||||||
China |
| 434 | | 434 | ||||||||||||
Finland |
| 322 | | 322 | ||||||||||||
France |
| 15,611 | | 15,611 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Germany |
$ | | $ | 10,215 | $ | | $ | 10,215 | ||||||||
Greece |
| 490 | | 490 | ||||||||||||
Ireland |
| 5,009 | | 5,009 | ||||||||||||
Israel |
| 617 | | 617 | ||||||||||||
Italy |
| 10,274 | | 10,274 | ||||||||||||
Japan |
| 1,663 | | 1,663 | ||||||||||||
Luxembourg |
| 14,981 | | 14,981 | ||||||||||||
Mexico |
| 2,510 | | 2,510 | ||||||||||||
Netherlands |
| 4,393 | | 4,393 | ||||||||||||
New Zealand |
| 498 | | 498 | ||||||||||||
Portugal |
| 393 | | 393 | ||||||||||||
Spain |
| 8,560 | | 8,560 | ||||||||||||
Sweden |
| 2,422 | | 2,422 | ||||||||||||
Switzerland |
| 1,011 | | 1,011 | ||||||||||||
United Arab Emirates |
| 1,031 | | 1,031 | ||||||||||||
United Kingdom |
| 17,253 | | 17,253 | ||||||||||||
United States |
| 211,063 | 695 | 211,758 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 325,243 | 695 | 325,938 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Assignments |
| |||||||||||||||
Canada |
| 965 | | 965 | ||||||||||||
United States |
| 7,462 | | 7,462 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Loan Assignments |
| 8,427 | | 8,427 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 167,771 | | 167,771 | ||||||||||||
U.S. Treasury Obligations |
| 51,621 | | 51,621 | ||||||||||||
Options Purchased |
| |||||||||||||||
Call Options Purchased |
9,045 | 700 | | 9,745 | ||||||||||||
Rights |
| |||||||||||||||
United States |
| | 90 | 90 | ||||||||||||
Short-Term Investment |
| |||||||||||||||
Foreign Government Treasury Bills |
| 27,551 | | 27,551 | ||||||||||||
Investment Company |
190,932 | | | 190,932 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investment |
$ | 190,932 | $ | 27,551 | $ | | $ | 218,483 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 693,649 | $ | 1,106,934 | $ | 38,275 | $ | 1,838,858 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Sweden |
$ | (126 | ) | $ | | $ | | $ | (126 | ) | ||||||
United States |
(17,348 | ) | | | (17,348 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities in Securities Sold Short |
$ | (17,474 | ) | $ | | $ | | $ | (17,474 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 2,583 | $ | | $ | 2,583 | ||||||||
Futures Contracts |
6,541 | 3,266 | | 9,807 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 6,541 | $ | 5,849 | $ | | $ | 12,390 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (16,928 | ) | $ | | $ | (16,928 | ) | ||||||
Futures Contracts |
(174 | ) | (220 | ) | | (394 | ) | |||||||||
Swaps |
| (48 | ) | | (48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (174 | ) | $ | (17,196 | ) | $ | | $ | (17,370 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Value is zero |
Transfers between fair value levels are valued utilizing values as of beginning of the period
There were no significant transfers among any levels during the period ended July 31, 2017.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Balance as of October 31, 2016 |
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 July 31, 2017 |
||||||||||||||||||||||||||||
Asset-Backed Securities United States |
$ | 30,046 | $ | 158 | $ | 704 | $ | 90 | $ | 9,020 | $ | (11,103 | ) | $ | 7,176 | $ | (92 | ) | $ | 35,999 | ||||||||||||||||
Collateralized Mortgage Obligations United States |
| | (10 | ) | 5 | 1,098 | (189 | ) | 577 | | 1,481 | |||||||||||||||||||||||||
Common Stocks United States |
42 | | | | | | | (42 | ) | | (a) | |||||||||||||||||||||||||
Corporate Bonds Bahamas |
50 | (142 | ) | 166 | | | (74 | ) | | | | (a) | ||||||||||||||||||||||||
Corporate Bonds United States |
278 | | 32 | 5 | 233 | | 268 | (121 | ) | 695 | ||||||||||||||||||||||||||
Preferred Stocks Ireland |
67 | | | | | | | (67 | ) | | (a) | |||||||||||||||||||||||||
Preferred Stocks United States |
| (a) | | | | 10 | | | | 10 | ||||||||||||||||||||||||||
Rights United States |
| (a) | | 90 | | | (b) | | | | 90 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 30,483 | $ | 16 | $ | 982 | $ | 100 | $ | 10,361 | $ | (11,366 | ) | $ | 8,021 | $ | (322 | ) | $ | 38,275 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at July 31, 2017, which were valued using significant unobservable inputs (level 3), amounted to approximately $912,000.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at July 31, 2017 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
$ | 35,999 | Discounted Cash Flow | Constant Prepayment Rate | 1.00% 20.00% (7.09%) | ||||||
Constant Default Rate | 0.00% 10.00% (3.63%) | |||||||||
Yield (Discount Rate of Cash Flows) | 2.56% 7.77% (4.14%) | |||||||||
|
|
|||||||||
Asset-Backed Securities |
35,999 | |||||||||
|
| |||||||||
1,481 | Discounted Cash Flow | Constant Prepayment Rate | 5.77% 15.54% (11.28%) | |||||||
Constant Default Rate | 3.00% 4.08% (3.45%) | |||||||||
Yield (Discount Rate of Cash Flows) | 5.08% 6.60% (5.72%) | |||||||||
|
|
|||||||||
Collateralized Mortgage Backed Securities |
1,481 | |||||||||
|
| |||||||||
692 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.70% 12.72% (9.87%) | |||||||
| Pending Distribution | Discount for Potential Outcome | 100.00% (100.00%) | |||||||
|
|
|||||||||
Corporate Bonds |
692 | |||||||||
|
| |||||||||
10 | Market Comparable Companies | EBITDA Multiple (a) | 6.4x (6.4x) | |||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Preferred Stocks |
10 | |||||||||
|
| |||||||||
71 | Pending Distribution | Expected Distribution Amount | $1.62 ($1.62) | |||||||
Rights |
71 | |||||||||
|
| |||||||||
Total |
$ | 38,253 | ||||||||
|
|
(a) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At July 31, 2017, the value of these investments was $22. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
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. Derivatives The Fund used derivative instruments including futures, forward foreign currency exchange contracts, options and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) (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 as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as unrealized appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
The Funds 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 Funds over the counter (OTC) options are subject to master netting agreements.
(2). Futures Contracts The Fund used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the 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 days settlement price, which could effectively prevent liquidation of positions.
The Funds futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3). Forward Foreign Currency Exchange Contracts 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 stategy. 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 cash without the delivery of foreign currency.
The values of the forward foreign currency 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 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 or due across transactions. The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4). Total Return Basket Swaps The Portfolio entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Portfolios investment strategy.
Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Portfolio 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 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 the swap. These interest charges and credits are based on defined market rates 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 or annual periodic reset.
The total return basket swap contracts are subject to master netting arrangements. The fund may be required to post or receive collateral for total return basket swap swaps.
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 3,818 | $ | | $ | 3,818 | ||||||||
Belgium |
| 5,537 | | 5,537 | ||||||||||||
Canada |
2,174 | | | 2,174 | ||||||||||||
China |
| 2,623 | | 2,623 | ||||||||||||
Czech Republic |
3,466 | | | 3,466 | ||||||||||||
Denmark |
| 5,289 | | 5,289 | ||||||||||||
Finland |
1,478 | 5,687 | | 7,165 | ||||||||||||
France |
| 15,574 | | 15,574 | ||||||||||||
Germany |
| 21,066 | | 21,066 | ||||||||||||
Hong Kong |
| 1,882 | | 1,882 | ||||||||||||
Ireland |
1,839 | | | 1,839 | ||||||||||||
Israel |
1,060 | | | 1,060 | ||||||||||||
Japan |
2,766 | 18,210 | | 20,976 | ||||||||||||
Netherlands |
| 11,197 | | 11,197 |
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
New Zealand |
$ | | $ | 2,477 | $ | | $ | 2,477 | ||||||||
Norway |
| 3,388 | | 3,388 | ||||||||||||
Russia |
| 8,042 | | 8,042 | ||||||||||||
South Korea |
| 3,766 | | 3,766 | ||||||||||||
Spain |
| 3,716 | | 3,716 | ||||||||||||
Sweden |
| 785 | | 785 | ||||||||||||
Switzerland |
| 16,098 | | 16,098 | ||||||||||||
Taiwan |
2,271 | | | 2,271 | ||||||||||||
United Kingdom |
5,912 | 38,670 | | 44,582 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
20,966 | 167,825 | | 188,791 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
5,034 | | | 5,034 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 26,000 | $ | 167,825 | $ | | $ | 193,825 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $4,725,000 and from level 2 to level 1 in the amount of approximately $3,378,000 are due to the application and non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
Long Futures Outstanding |
||||||||||||||||
1,450 | Euro STOXX 50 Index |
09/15/17 | EUR | $ | 59,092 | $ | (976 | ) | ||||||||
|
|
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds NAV per share as of the report date.
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.
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. |
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
| 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 206,816 | $ | | $ | 206,816 | ||||||||
Austria |
| 13,117 | | 13,117 | ||||||||||||
Belgium |
| 45,495 | | 45,495 | ||||||||||||
Bermuda |
3,054 | | | 3,054 | ||||||||||||
Canada |
280,726 | | | 280,726 | ||||||||||||
China |
| 4,975 | | 4,975 | ||||||||||||
Denmark |
| 55,972 | | 55,972 | ||||||||||||
Finland |
| 18,877 | | 18,877 | ||||||||||||
France |
| 314,348 | | 314,348 | ||||||||||||
Germany |
| 273,080 | | 273,080 | ||||||||||||
Hong Kong |
422 | 94,089 | | 94,511 | ||||||||||||
Ireland |
11,818 | 11,339 | | 23,157 | ||||||||||||
Israel |
4,979 | | | 4,979 | ||||||||||||
Italy |
| 65,344 | | 65,344 | ||||||||||||
Japan |
5,982 | 706,310 | | 712,292 | ||||||||||||
Jersey |
| 4,558 | | 4,558 | ||||||||||||
Luxembourg |
| 9,676 | | 9,676 | ||||||||||||
Netherlands |
5,289 | 171,381 | | 176,670 | ||||||||||||
New Zealand |
677 | 5,499 | | 6,176 | ||||||||||||
Norway |
| 6,076 | | 6,076 | ||||||||||||
Singapore |
| 32,772 | | 32,772 | ||||||||||||
Spain |
| 111,219 | | 111,219 | ||||||||||||
Sweden |
| 54,036 | | 54,036 | ||||||||||||
Switzerland |
| 250,512 | | 250,512 | ||||||||||||
United Kingdom |
2,874 | 437,772 | | 440,646 | ||||||||||||
United States |
4,802,557 | 18,456 | | 4,821,013 | ||||||||||||
Total Common Stocks |
5,118,378 | 2,911,719 | | 8,030,097 | ||||||||||||
Preferred Stocks |
| |||||||||||||||
Germany |
| 35,598 | | 35,598 | ||||||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
105,874 | | | 105,874 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 5,224,252 | $ | 2,947,317 | $ | | $ | 8,171,569 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts |
$ | | $ | (976 | ) | $ | | $ | (976 | ) | ||||||
|
|
|
|
|
|
|
|
There were no significant transfers between level 1 and level 2 during the period ended July 31, 2017.
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments 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 Schedules of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Canada |
$ | 43 | $ | | $ | | $ | 43 | ||||||||
China |
139 | 102 | | 241 | ||||||||||||
Denmark |
| 69 | | 69 | ||||||||||||
France |
| 176 | | 176 | ||||||||||||
Hong Kong |
| 52 | | 52 | ||||||||||||
India |
31 | | | 31 | ||||||||||||
Italy |
| 35 | | 35 | ||||||||||||
Japan |
| 241 | | 241 | ||||||||||||
Luxembourg |
| 47 | | 47 | ||||||||||||
Netherlands |
| 43 | | 43 |
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
South Africa |
$ | | $ | 34 | $ | | $ | 34 | ||||||||
Switzerland |
| 114 | | 114 | ||||||||||||
United Kingdom |
35 | 201 | | 236 | ||||||||||||
United States |
1,450 | | | 1,450 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
1,698 | 1,114 | | 2,812 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
49 | | | 49 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,747 | $ | 1,114 | $ | | $ | 2,861 | ||||||||
|
|
|
|
|
|
|
|
There were no transfers among any levels during the period ended July 31, 2017.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
Long Futures Outstanding | ||||||||||||||||
42 | Euro STOXX 50 Index |
09/15/17 | EUR | $ | 1,712 | $ | (53 | ) | ||||||||
17 | FTSE 100 Index |
09/15/17 | GBP | 1,640 | (18 | ) | ||||||||||
Short Futures Outstanding | ||||||||||||||||
(2,657) | Euro FX |
09/18/17 | USD | (393,917 | ) | (19,762 | ) | |||||||||
(3,336) | GBP FX |
09/18/17 | USD | (275,574 | ) | (9,179 | ) | |||||||||
(8,024) | 5 Year U.S. Treasury Note |
09/29/17 | USD | (948,086 | ) | (518 | ) | |||||||||
|
|
|||||||||||||||
$ | (29,530 | ) | ||||||||||||||
|
|
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 multiple 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.
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 an international fair value factor 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.
Futures are generally valued on the basis of available market quotations.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at July 31, 2017.
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments :
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 61,910 | $ | | $ | 61,910 | ||||||||
Belgium |
4,132 | 63,159 | | 67,291 | ||||||||||||
Brazil |
61,571 | | | 61,571 | ||||||||||||
Canada |
44,861 | | | 44,861 | ||||||||||||
Chile |
23,474 | | | 23,474 | ||||||||||||
China |
4,094 | 134,375 | | 138,469 | ||||||||||||
Czech Republic |
42,313 | | | 42,313 | ||||||||||||
Denmark |
| 54,111 | | 54,111 | ||||||||||||
Finland |
| 89,165 | | 89,165 | ||||||||||||
France |
3,562 | 298,694 | | 302,256 | ||||||||||||
Germany |
6,624 | 263,068 | | 269,692 | ||||||||||||
Hong Kong |
11,857 | 53,137 | | 64,994 | ||||||||||||
Hungary |
| 19,268 | | 19,268 | ||||||||||||
India |
17,001 | 27,405 | | 44,406 | ||||||||||||
Indonesia |
| 18,313 | | 18,313 | ||||||||||||
Ireland |
5,486 | | | 5,486 | ||||||||||||
Italy |
| 39,858 | | 39,858 | ||||||||||||
Japan |
10,320 | 122,087 | | 132,407 | ||||||||||||
Mexico |
44,081 | | | 44,081 | ||||||||||||
Netherlands |
9,967 | 136,129 | | 146,096 | ||||||||||||
New Zealand |
| | 971 | 971 | ||||||||||||
Norway |
| 33,104 | | 33,104 | ||||||||||||
Portugal |
| 4,259 | | 4,259 | ||||||||||||
Russia |
27,182 | 38,272 | | 65,454 | ||||||||||||
Singapore |
| 15,049 | | 15,049 | ||||||||||||
South Africa |
18,124 | 80,548 | | 98,672 | ||||||||||||
South Korea |
13,439 | 41,029 | | 54,468 | ||||||||||||
Spain |
| 147,983 | | 147,983 | ||||||||||||
Sweden |
| 67,837 | | 67,837 | ||||||||||||
Switzerland |
| 172,958 | | 172,958 | ||||||||||||
Taiwan |
40,305 | 102,209 | | 142,514 | ||||||||||||
Thailand |
16,662 | 13,190 | | 29,852 | ||||||||||||
Turkey |
| 24,385 | | 24,385 | ||||||||||||
United Arab Emirates |
11,081 | | | 11,081 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
United Kingdom |
$ | 22,699 | $ | 693,210 | $ | | $ | 715,909 | ||||||||
United States |
2,245,721 | 19 | 1,831 | 2,247,571 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
2,684,556 | 2,814,731 | 2,802 | 5,502,089 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Preferred Stocks |
| |||||||||||||||
China |
| 7,601 | | 7,601 | ||||||||||||
Israel |
2,763 | | | 2,763 | ||||||||||||
United States |
73,380 | | | 73,380 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
76,143 | 7,601 | | 83,744 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Bermuda |
| 3,130 | | (b) | 3,130 | |||||||||||
Germany |
| 3,083 | | 3,083 | ||||||||||||
United States |
103,945 | | 218 | 104,163 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
103,945 | 6,213 | 218 | 110,376 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Debt Securities |
| |||||||||||||||
Asset-Backed Securities |
| |||||||||||||||
United States |
| 108,386 | 469,191 | 577,577 | ||||||||||||
Collateralized Mortgage Obligations |
| |||||||||||||||
United States |
| 375,615 | 2,542 | 378,157 | ||||||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
United States |
| 57,299 | 48,453 | 105,752 | ||||||||||||
Convertible Bonds |
| |||||||||||||||
Bermuda |
| 1,038 | | 1,038 | ||||||||||||
China |
| 857 | | 857 | ||||||||||||
Cyprus |
| 4,345 | | 4,345 | ||||||||||||
France |
| 713 | | 713 | ||||||||||||
Germany |
| 8,534 | | 8,534 | ||||||||||||
Hong Kong |
| 7,791 | | 7,791 | ||||||||||||
Japan |
| 1,277 | | 1,277 | ||||||||||||
Malaysia |
| 2,499 | | 2,499 | ||||||||||||
Mexico |
| 3,853 | | 3,853 | ||||||||||||
Monaco |
| 2,478 | | 2,478 | ||||||||||||
Netherlands |
| 1,320 | | 1,320 | ||||||||||||
Russia |
| 1,338 | | 1,338 | ||||||||||||
Singapore |
| 9,269 | | 9,269 | ||||||||||||
South Africa |
| 8,419 | | 8,419 | ||||||||||||
Spain |
| 4,073 | | 4,073 | ||||||||||||
Sweden |
| 1,371 | | 1,371 | ||||||||||||
Taiwan |
| 3,246 | | 3,246 | ||||||||||||
United Arab Emirates |
| 12,785 | | 12,785 | ||||||||||||
United Kingdom |
| 8,010 | | 8,010 | ||||||||||||
United States |
| 83,999 | 7 | 84,006 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 167,215 | 7 | 167,222 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Corporate Bonds |
| |||||||||||||||
Argentina |
| 7,517 | | 7,517 | ||||||||||||
Australia |
| 18,757 | | 18,757 | ||||||||||||
Azerbaijan |
| 3,675 | | 3,675 | ||||||||||||
Barbados |
| 1,826 | | 1,826 | ||||||||||||
Belgium |
| 15,082 | | 15,082 | ||||||||||||
Brazil |
| 37,824 | | 37,824 | ||||||||||||
Canada |
| 193,903 | | (b) | 193,903 | |||||||||||
Chile |
| 4,734 | | 4,734 | ||||||||||||
Colombia |
| 5,655 | | 5,655 | ||||||||||||
Croatia |
| 1,464 | | 1,464 | ||||||||||||
Finland |
| 2,660 | | 2,660 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
France |
$ | | $ | 65,605 | $ | | $ | 65,605 | ||||||||
Germany |
| 17,328 | | 17,328 | ||||||||||||
Guatemala |
| 5,480 | | 5,480 | ||||||||||||
Hungary |
| 5,100 | | 5,100 | ||||||||||||
India |
| 7,620 | | 7,620 | ||||||||||||
Indonesia |
| 21,879 | | 21,879 | ||||||||||||
Ireland |
| 20,631 | | 20,631 | ||||||||||||
Israel |
| 9,267 | | 9,267 | ||||||||||||
Italy |
| 23,750 | | 23,750 | ||||||||||||
Jamaica |
| 1,865 | | 1,865 | ||||||||||||
Japan |
| 2,935 | | 2,935 | ||||||||||||
Kazakhstan |
| 13,646 | | 13,646 | ||||||||||||
Luxembourg |
| 95,283 | | 95,283 | ||||||||||||
Malaysia |
| 1,301 | | 1,301 | ||||||||||||
Mexico |
| 69,941 | | 69,941 | ||||||||||||
Morocco |
| 3,484 | | 3,484 | ||||||||||||
Netherlands |
| 35,599 | | 35,599 | ||||||||||||
New Zealand |
| 16,036 | | 16,036 | ||||||||||||
Nigeria |
| 789 | | 789 | ||||||||||||
Peru |
| 12,990 | | 12,990 | ||||||||||||
Qatar |
| 4,089 | | 4,089 | ||||||||||||
Russia |
| 12,789 | | 12,789 | ||||||||||||
South Korea |
| 3,624 | | 3,624 | ||||||||||||
Spain |
| 22,558 | | 22,558 | ||||||||||||
Sweden |
| 15,459 | | 15,459 | ||||||||||||
Switzerland |
| 27,516 | | 27,516 | ||||||||||||
Trinidad and Tobago |
| 391 | | 391 | ||||||||||||
Turkey |
| 10,828 | | 10,828 | ||||||||||||
United Arab Emirates |
| 8,804 | | 8,804 | ||||||||||||
United Kingdom |
| 110,771 | | 110,771 | ||||||||||||
United States |
| 3,872,008 | 25,623 | 3,897,631 | ||||||||||||
Venezuela, Bolivarian Republic of |
| 2,337 | | 2,337 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 4,814,800 | 25,623 | 4,840,423 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Assignments |
| |||||||||||||||
Canada |
| 8,174 | | 8,174 | ||||||||||||
Luxembourg |
| 960 | | 960 | ||||||||||||
United States |
| 63,003 | | (a) | 63,003 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Loan Assignments |
| 72,137 | | 72,137 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 396,366 | | 396,366 | ||||||||||||
U.S. Treasury Obligations |
| 35,301 | | 35,301 | ||||||||||||
Rights |
| |||||||||||||||
United States |
| | 531 | 531 | ||||||||||||
Warrants |
| |||||||||||||||
United States |
10 | 1 | | (b) | 11 | |||||||||||
Short-Term Investments |
| |||||||||||||||
Investment Company |
228,670 | | | 228,670 | ||||||||||||
Time Deposit |
| 11,100 | | 11,100 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
228,670 | 11,100 | | 239,770 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 3,093,324 | $ | 8,866,765 | $ | 549,367 | $ | 12,509,456 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts |
$ | (29,459 | ) | $ | (71 | ) | $ | | $ | (29,530 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 500. |
(b) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
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 or increase of available market inputs to determine the price for the period ended July 31, 2017.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
There were no significant transfers among any other levels during the period ended July 31, 2017.
JPMorgan Income Builder Fund |
Balance as of October 31, 2016 |
Realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Net accretion (amortization) |
Purchases1 | Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of July 31, 2017 |
|||||||||||||||||||||||||||
Investments in Securities |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 382,859 | $ | (40 | ) | $ | 8,823 | $ | 1,322 | $ | 116,755 | $ | (122,010 | ) | $ | 85,518 | $ | (4,036 | ) | $ | 469,191 | |||||||||||||||
Collateralized Mortgage Obligations |
3,134 | (5 | ) | 106 | 13 | | (706 | ) | | | 2,542 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
59,561 | | (1,080 | ) | (1 | ) | | (12,364 | ) | 5,498 | (3,161 | ) | 48,453 | |||||||||||||||||||||||
Common Stocks New Zealand |
| | 194 | | 777 | | | | 971 | |||||||||||||||||||||||||||
Common Stocks United States |
963 | (92 | ) | (647 | ) | | | (1 | ) | 2,498 | (890 | ) | 1,831 | |||||||||||||||||||||||
Convertible Bond United States |
10 | | (4 | ) | | 1 | | | | 7 | ||||||||||||||||||||||||||
Corporate Bonds Bahamas |
969 | (3,363 | ) | 3,825 | | | (1,431 | ) | | | | (a) | ||||||||||||||||||||||||
Corporate Bonds Canada |
| (a) | | | | | | | | | (a) | |||||||||||||||||||||||||
Corporate Bonds United States |
30,254 | (1,928 | ) | 4,591 | 30 | 7,188 | (1,534 | ) | 2,813 | (15,791 | ) | 25,623 | ||||||||||||||||||||||||
Foreign Government Security |
558 | (246 | ) | 193 | | | (505 | ) | | | | (a) | ||||||||||||||||||||||||
Loan Assignment United States |
| (b) | | | | | | | | | (b) | |||||||||||||||||||||||||
Preferred Stocks Bermuda |
2,655 | | | | | | | (2,655 | ) | | (a) | |||||||||||||||||||||||||
Preferred Stocks United States |
| (a) | (12 | ) | 12 | | 218 | | | | 218 | |||||||||||||||||||||||||
Right United States |
| | 531 | | | | | | 531 | |||||||||||||||||||||||||||
Warrants United States |
| (a) | | | | | | | | | (a) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 480,963 | $ | (5,686 | ) | $ | 16,544 | $ | 1,364 | $ | 124,939 | $ | (138,551 | ) | $ | 96,327 | $ | (26,533 | ) | $ | 549,367 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at July 31, 2017, which were valued using significant unobservable inputs (level 3) amounted to approximately $10,847,000.
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 or increase of available market inputs to determine the price for the period ended July 31, 2017.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at July 31, 2017, which were valued using significant unobservable inputs (level 3) amounted to approximately $ 10,847,000.
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at July 31, 2017 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
Common Stock |
$ | 0 | (a) | Market Comparable Companies | EBITDA Multiple (b) | 6.4x (6.4x) | ||||
218 | Market Comparable Companies | EBITDA Multiple (b) | 6.4x (6.4x) | |||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Preferred Stock |
218 | |||||||||
7 | Comparable Transaction | Transaction Price | $10.00 ($10.00) | |||||||
|
|
|||||||||
Convertible Bond |
7 | |||||||||
11,368 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.26%12.72% (8.20%) | |||||||
| (c) | Pending Distribution | Discount for potential outcome (d) | 100.00% (100.00%) | ||||||
|
|
|||||||||
Corporate Bond |
11,368 | |||||||||
469,191 | Discounted Cash Flow | Constant Prepayment Rate | 0.00%20.00% (7.96%) | |||||||
Constant Default Rate | 0.00%11.25% (3.58%) | |||||||||
Yield (Discount Rate of Cash Flows) | 1.69%11.75% (3.69%) | |||||||||
|
|
|||||||||
Asset-Backed Securities |
469,191 | |||||||||
2,541 | Discounted Cash Flow | Constant Prepayment Rate | 4.00%21.26% (12.39%) | |||||||
Constant Default Rate | 0.00%7.82% (2.12%) | |||||||||
Yield (Discount Rate of Cash Flows) | (0.75)%9.68% (4.65%) | |||||||||
|
|
|||||||||
Collateralized Mortgage Obligations |
2,541 | |||||||||
48,453 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | (36.41)%199.00% (19.73%) | |||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities |
48,453 | |||||||||
Warrants |
0 | (e) | Intrinsic Value | Expected Recovery | 0.00% (0.00%) | |||||
Loan Assignments |
| (c) | Pending Distribution | Projected Losses | 100.00% (100.00%) | |||||
Total |
$ | 531,778 | ||||||||
|
|
# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At July 31, 2017, the value of these investments was approximately $17,589,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Senior-ranking securities in the issuing entity capital structure result in this security being valued at zero. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(c) | Amount rounds to less than 500. |
(d) | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
(e) | Value is zero. |
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.
JPMorgan International Discovery Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Discovery Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Discovery Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Discovery Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor 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 Funds 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 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 instruments 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:
JPMorgan International Discovery Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 525 | $ | | $ | 525 | ||||||||
Austria |
| 66 | | 66 | ||||||||||||
Belgium |
| 41 | | 41 | ||||||||||||
China |
| 155 | | 155 | ||||||||||||
Denmark |
128 | 166 | | 294 | ||||||||||||
Faroe Islands |
31 | | | 31 | ||||||||||||
Finland |
| 162 | | 162 | ||||||||||||
France |
115 | 440 | | 555 | ||||||||||||
Georgia |
| 73 | | 73 | ||||||||||||
Germany |
65 | 266 | | 331 | ||||||||||||
Hong Kong |
| 139 | | 139 | ||||||||||||
Israel |
59 | | | 59 | ||||||||||||
Italy |
127 | 258 | | 385 | ||||||||||||
Japan |
| 2,070 | | 2,070 | ||||||||||||
Netherlands |
| 129 | | 129 | ||||||||||||
New Zealand |
| 51 | | 51 | ||||||||||||
Norway |
| 115 | | 115 | ||||||||||||
Singapore |
| 24 | | 24 | ||||||||||||
South Africa |
| 28 | | 28 | ||||||||||||
Sweden |
| 219 | | 219 | ||||||||||||
Switzerland |
| 432 | | 432 | ||||||||||||
United Arab Emirates |
| 16 | | 16 | ||||||||||||
United Kingdom |
230 | 878 | | 1,108 | ||||||||||||
United States |
| 46 | | 46 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
755 | 6,299 | | 7,054 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Germany |
| 43 | | 43 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 755 | $ | 6,342 | $ | | $ | 7,097 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 2 to level 1 in the amount of approximately $356,000 are due to the non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 46,800 | $ | | $ | 46,800 | ||||||||
Belgium |
| 61,690 | | 61,690 | ||||||||||||
China |
40,864 | 92,194 | | 133,058 | ||||||||||||
Denmark |
| 41,416 | | 41,416 | ||||||||||||
France |
| 514,620 | | 514,620 | ||||||||||||
Germany |
| 326,030 | | 326,030 | ||||||||||||
Hong Kong |
| 186,339 | | 186,339 | ||||||||||||
India |
48,111 | | | 48,111 | ||||||||||||
Indonesia |
| 24,426 | | 24,426 | ||||||||||||
Israel |
22,485 | | | 22,485 | ||||||||||||
Japan |
| 774,277 | | 774,277 | ||||||||||||
Macau |
| 21,626 | | 21,626 | ||||||||||||
Netherlands |
| 225,266 | | 225,266 | ||||||||||||
Singapore |
| 40,841 | | 40,841 | ||||||||||||
South Africa |
| 40,516 | | 40,516 | ||||||||||||
South Korea |
| 98,148 | | 98,148 | ||||||||||||
Spain |
| 56,795 | | 56,795 | ||||||||||||
Switzerland |
| 412,647 | | 412,647 | ||||||||||||
Taiwan |
36,695 | | | 36,695 | ||||||||||||
United Kingdom |
| 679,573 | | 679,573 | ||||||||||||
United States |
| 33,558 | | 33,558 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
148,155 | 3,676,762 | | 3,824,917 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Germany |
| 41,451 | | 41,451 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
$ | 9,508 | $ | | $ | | $ | 9,508 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 157,663 | $ | 3,718,213 | $ | | $ | 3,875,876 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $60,798,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2015 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Forward Foreign Currency Exchange Contracts
CONTRACTS TO BUY |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
11,973 |
AUD | Australia & New Zealand Banking Group Limited | 08/16/17 | $ | 8,824 | $ | 9,576 | $ | 752 | |||||||||||
141,926 |
AUD | HSBC Bank, NA | 08/16/17 | 105,001 | 113,521 | 8,520 | ||||||||||||||
140,561 |
CHF | TD Bank Financial Group | 08/16/17 | 143,101 | 145,501 | 2,400 | ||||||||||||||
7,292 |
EUR | Australia & New Zealand Banking Group Limited | 08/16/17 | 8,200 | 8,639 | 439 | ||||||||||||||
13,588 |
EUR | Citibank, NA | 08/16/17 | 15,551 | 16,098 | 547 | ||||||||||||||
7,899 |
EUR | Goldman Sachs International | 08/16/17 | 9,010 | 9,358 | 348 | ||||||||||||||
10,595 |
EUR | National Australia Bank | 08/16/17 | 11,596 | 12,552 | 956 | ||||||||||||||
17,024 |
EUR | Standard Chartered Bank | 08/16/17 | 19,218 | 20,168 | 950 | ||||||||||||||
21,447 |
EUR | State Street Bank Corp. | 08/16/17 | 24,964 | 25,408 | 444 | ||||||||||||||
7,710 |
EUR | Union Bank of Switzerland AG | 08/16/17 | 9,029 | 9,134 | 105 | ||||||||||||||
7,279 |
GBP | Barclays Bank plc | 08/16/17 | 9,348 | 9,609 | 261 | ||||||||||||||
7,997 |
GBP | BNP Paribas | 08/16/17 | 10,463 | 10,557 | 94 | ||||||||||||||
13,747 |
GBP | Citibank, NA | 08/16/17 | 17,822 | 18,147 | 325 | ||||||||||||||
5,344 |
GBP | National Australia Bank | 08/16/17 | 6,794 | 7,054 | 260 | ||||||||||||||
4,649 |
GBP | State Street Corp. | 08/16/17 | 6,005 | 6,137 | 132 | ||||||||||||||
75,407 |
HKD | TD Bank Financial Group | 08/16/17 | 9,709 | 9,658 | (51 | ) | |||||||||||||
1,789,988 |
JPY | HSBC Bank, NA | 08/16/17 | 16,204 | 16,247 | 43 | ||||||||||||||
2,946,585 |
JPY | National Australia Bank | 08/16/17 | 26,703 | 26,745 | 42 | ||||||||||||||
831,452 |
JPY | Societe Generale | 08/16/17 | 7,398 | 7,547 | 149 | ||||||||||||||
1,639,001 |
JPY | TD Bank Financial Group | 08/16/17 | 14,702 | 14,876 | 174 | ||||||||||||||
1,339,046 |
JPY | Union Bank of Switzerland AG | 08/16/17 | 11,989 | 12,154 | 165 | ||||||||||||||
484,766 |
SEK | Standard Chartered Bank | 08/16/17 | 55,133 | 60,092 | 4,959 | ||||||||||||||
48,233 |
SGD | Barclays Bank plc | 08/16/17 | 34,359 | 35,599 | 1,240 | ||||||||||||||
$ | 581,123 | $ | 604,377 | $ | 23,254 | |||||||||||||||
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
14,498 |
CHF | Societe Generale | 08/16/17 | $ | 15,161 | $ | 15,007 | $ | 154 | |||||||||||
14,456 |
CHF | State Street Corp. | 08/16/17 | 14,541 | 14,964 | (423 | ) | |||||||||||||
185,329 |
DKK | TD Bank Financial Group | 08/16/17 | 27,453 | 29,525 | (2,072 | ) | |||||||||||||
214,434 |
EUR | Barclays Bank plc | 08/16/17 | 236,182 | 254,047 | (17,865 | ) | |||||||||||||
31,526 |
EUR | Citibank, NA | 08/16/17 | 35,608 | 37,350 | (1,742 | ) | |||||||||||||
6,848 |
EUR | Goldman Sachs International | 08/16/17 | 7,657 | 8,113 | (456 | ) | |||||||||||||
8,184 |
EUR | HSBC Bank, NA | 08/16/17 | 9,192 | 9,696 | (504 | ) | |||||||||||||
17,918 |
EUR | National Australia Bank | 08/16/17 | 20,387 | 21,229 | (842 | ) | |||||||||||||
26,152 |
EUR | Societe Generale | 08/16/17 | 29,762 | 30,983 | (1,221 | ) | |||||||||||||
8,488 |
EUR | Union Bank of Switzerland AG | 08/16/17 | 9,778 | 10,056 | (278 | ) | |||||||||||||
4,780 |
GBP | Australia & New Zealand Banking Group Limited | 08/16/17 | 6,197 | 6,309 | (112 | ) | |||||||||||||
7,830 |
GBP | National Australia Bank | 08/16/17 | 10,141 | 10,337 | (196 | ) | |||||||||||||
1,711,295 |
JPY | Goldman Sachs International | 08/16/17 | 15,446 | 15,533 | (87 | ) | |||||||||||||
1,667,895 |
JPY | National Australia Bank | 08/16/17 | 15,290 | 15,138 | 152 | ||||||||||||||
2,036,539 |
JPY | Standard Chartered Bank | 08/16/17 | 18,341 | 18,485 | (144 | ) | |||||||||||||
3,168,334 |
JPY | TD Bank Financial Group | 08/16/17 | 28,351 | 28,757 | (406 | ) | |||||||||||||
190,241 |
NOK | Goldman Sachs International | 08/16/17 | 21,983 | 24,203 | (2,220 | ) |
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
CONTRACTS TO SELL |
CURRENCY | COUNTERPARTY | SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
9,336 |
SGD | HSBC Bank, NA | 08/16/17 | $ | 6,753 | $ | 6,891 | $ | (138 | ) | ||||||||||
9,296 |
SGD | Royal Bank of Canada | 08/16/17 | 6,723 | 6,861 | (138 | ) | |||||||||||||
9,697 |
SGD | TD Bank Financial Group | 08/16/17 | 7,048 | 7,157 | (109 | ) | |||||||||||||
$ | 541,994 | $ | 570,641 | $ | (28,647 | ) |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENT:
ADR | | American Depositary Receipt | ||
AUD | | Australian Dollar | ||
CHF | | Swiss Franc | ||
CVA | | Dutch Certification | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
JPY | | Japanese Yen | ||
NOK | | Norwegian Krone | ||
SEK | | Swedish Krona | ||
SGD | | Singapore Dollar | ||
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%. | ||
(l) | | The rate shown is the current yield as of July 31, 2017. |
As of July 31, 2017, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ | 583,297 | ||
Aggregate gross unrealized depreciation |
(34,437 | ) | ||
|
|
|||
Net unrealized appreciation/depreciation |
$ | 548,860 | ||
|
|
|||
Federal income tax cost of investments |
$ | 2,570,855 | ||
|
|
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor 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 Funds NAV per share as of the report date.
Forward Foreign Currency Contracts are valued utilizing market quotations from approved Pricing Services.
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | | $ | 104,157 | $ | | $ | 104,157 | ||||||||
Belgium |
| 58,604 | | 58,604 | ||||||||||||
Chile |
| 43,949 | | 43,949 | ||||||||||||
China |
| 94,564 | | 94,564 | ||||||||||||
Denmark |
| 66,708 | | 66,708 | ||||||||||||
Finland |
| 60,177 | | 60,177 | ||||||||||||
France |
| 395,503 | | 395,503 | ||||||||||||
Germany |
| 256,287 | | 256,287 | ||||||||||||
India |
53,623 | | | 53,623 | ||||||||||||
Italy |
| 100,158 | | 100,158 | ||||||||||||
Japan |
| 706,295 | | 706,295 | ||||||||||||
Netherlands |
| 211,052 | | 211,052 | ||||||||||||
Norway |
| 45,534 | | 45,534 | ||||||||||||
Singapore |
| 26,118 | | 26,118 | ||||||||||||
Spain |
| 59,926 | | 59,926 | ||||||||||||
Sweden |
| 40,092 | | 40,092 | ||||||||||||
Switzerland |
| 189,943 | | 189,943 | ||||||||||||
United Kingdom |
| 448,129 | | 448,129 | ||||||||||||
United States |
| 38,213 | | 38,213 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
53,623 | 2,945,409 | | 2,999,032 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
||||||||||||||||
Germany |
| 64,715 | | 64,715 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
55,968 | | | 55,968 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 109,591 | $ | 3,010,124 | $ | | $ | 3,119,715 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 23,611 | $ | | $ | 23,611 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (29,004 | ) | $ | | $ | (29,004 | ) | ||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $56,617,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2017.
B. Derivatives The Fund used derivative instruments including forward foreign currency exchange contracts in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
JPMorgan International Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) below describe the various derivatives used by the Fund.
(1). 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 cash without the delivery of foreign currency.
The values of the forward foreign currency 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 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 or due across transactions. The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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.
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Belgium |
$ | | $ | 4,965 | $ | | $ | 4,965 | ||||||||
Canada |
8,107 | | | 8,107 | ||||||||||||
China |
9,307 | 9,533 | | 18,840 | ||||||||||||
Denmark |
| 4,141 | | 4,141 | ||||||||||||
Finland |
| 4,279 | | 4,279 | ||||||||||||
France |
| 5,019 | | 5,019 | ||||||||||||
Germany |
3,251 | 23,322 | | 26,573 | ||||||||||||
Hong Kong |
| 17,165 | | 17,165 | ||||||||||||
India |
7,666 | | | 7,666 | ||||||||||||
Israel |
4,668 | | | 4,668 | ||||||||||||
Italy |
| 4,493 | | 4,493 | ||||||||||||
Japan |
| 22,405 | | 22,405 | ||||||||||||
Netherlands |
| 25,421 | | 25,421 | ||||||||||||
South Africa |
| 5,144 | | 5,144 | ||||||||||||
South Korea |
| 15,586 | | 15,586 | ||||||||||||
Spain |
| 4,851 | | 4,851 | ||||||||||||
Switzerland |
| 16,673 | | 16,673 | ||||||||||||
United Kingdom |
| 45,693 | | 45,693 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
32,999 | 208,690 | | 241,689 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
17,671 | | | 17,671 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 50,670 | $ | 208,690 | $ | | $ | 259,360 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $2,901,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Forward Foreign Currency Exchange Contracts
CONTRACTS |
CURRENCY |
COUNTERPARTY |
SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
16,502 | CHF | |||||||||||||||||||
15,167 | for EUR | Royal Bank of Canada |
08/24/17 | $ | 17,977 | # | $ | 17,092 | # | $ | (885 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||||||
3,877 | GBP | |||||||||||||||||||
4,453 | for EUR | Royal Bank of Canada |
08/24/17 | 5,278 | # | 5,120 | # | (158 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
370,328 | JPY | |||||||||||||||||||
25,553 | for HKD | Royal Bank of Canada |
08/24/17 | 3,273 | # | 3,362 | # | 89 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
39,260 | AUD | Goldman Sachs International |
08/24/17 | 29,404 | 31,398 | 1,994 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
3,492 | CAD | National Australia Bank |
08/24/17 | 2,570 | 2,802 | 232 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
10,542 | CHF | HSBC Bank, NA |
08/24/17 | 10,890 | 10,919 | 29 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
40,063 | DKK | HSBC Bank, NA |
08/24/17 | 6,048 | 6,386 | 338 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
2,144 | EUR | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 2,425 | 2,541 | 116 | ||||||||||||||
6,516 | EUR | Citibank, NA |
08/24/17 | 7,288 | 7,723 | 435 | ||||||||||||||
8,515 | EUR | National Australia Bank |
08/24/17 | 9,550 | 10,093 | 543 | ||||||||||||||
8,405 | EUR | State Street Corp. |
08/24/17 | 9,471 | 9,962 | 491 | ||||||||||||||
|
|
|
|
|
|
|
|
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
CONTRACTS |
CURRENCY |
COUNTERPARTY |
SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
2,895 | GBP | Australia & New Zealand Banking Group Ltd. |
08/24/17 | $ | 3,762 | $ | 3,823 | $ | 61 | |||||||||||
2,142 | GBP | National Australia Bank |
08/24/17 | 2,718 | 2,828 | 110 | ||||||||||||||
19,864 | GBP | State Street Corp. |
08/24/17 | 25,847 | 26,230 | 383 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
36,743 | HKD | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 4,725 | 4,707 | (18 | ) | |||||||||||||
95,664 | HKD | HSBC Bank, NA |
08/24/17 | 12,311 | 12,256 | (55 | ) | |||||||||||||
52,286 | HKD | Societe Generale |
08/24/17 | 6,724 | 6,699 | (25 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
396,414 | JPY | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 3,572 | 3,600 | 28 | ||||||||||||||
948,715 | JPY | National Australia Bank |
08/24/17 | 8,580 | 8,614 | 34 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
70,814 | SEK | HSBC Bank, NA |
08/24/17 | 8,152 | 8,783 | 631 | ||||||||||||||
102,351 | SEK | National Australia Bank |
08/24/17 | 11,780 | 12,694 | 914 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
$ | 192,345 | $ | 197,632 | $ | 5,287 | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
CONTRACTS |
CURRENCY |
COUNTERPARTY |
SETTLEMENT DATE |
SETTLEMENT VALUE |
VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
3,780 | AUD | Royal Bank of Canada |
08/24/17 | $ | 2,849 | $ | 3,023 | $ | (174 | ) | ||||||||||
5,288 | AUD | State Street Corp. |
08/24/17 | 3,951 | 4,229 | (278 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
11,660 | CAD | Deutsche Bank AG |
08/24/17 | 8,677 | 9,355 | (678 | ) | |||||||||||||
2,356 | CAD | Merrill Lynch International |
08/24/17 | 1,881 | 1,890 | (9 | ) | |||||||||||||
4,762 | CAD | National Australia Bank |
08/24/17 | 3,532 | 3,821 | (289 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
2,353 | CHF | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 2,454 | 2,437 | 17 | ||||||||||||||
8,737 | CHF | National Australia Bank |
08/24/17 | 8,989 | 9,049 | (60 | ) | |||||||||||||
4,138 | CHF | State Street Corp. |
08/24/17 | 4,285 | 4,286 | (1 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
2,182 | EUR | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 2,462 | 2,586 | (124 | ) | |||||||||||||
2,385 | EUR | Credit Suisse International |
08/24/17 | 2,781 | 2,827 | (46 | ) | |||||||||||||
3,862 | EUR | HSBC Bank, NA |
08/24/17 | 4,343 | 4,577 | (234 | ) | |||||||||||||
3,740 | EUR | Merrill Lynch International |
08/24/17 | 4,228 | 4,433 | (205 | ) | |||||||||||||
4,409 | EUR | National Australia Bank |
08/24/17 | 4,970 | 5,227 | (257 | ) | |||||||||||||
11,455 | EUR | Royal Bank of Canada |
08/24/17 | 12,999 | 13,577 | (578 | ) | |||||||||||||
46,680 | EUR | Union Bank of Switzerland AG |
08/24/17 | 52,748 | 55,329 | (2,581 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
1,004 | GBP | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 1,286 | 1,325 | (39 | ) | |||||||||||||
4,581 | GBP | National Australia Bank |
08/24/17 | 5,913 | 6,049 | (136 | ) | |||||||||||||
3,214 | GBP | Societe Generale |
08/24/17 | 4,198 | 4,245 | (47 | ) | |||||||||||||
6,366 | GBP | State Street Corp. |
08/24/17 | 8,227 | 8,406 | (179 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
1,132,159 | JPY | Australia & New Zealand Banking Group Ltd. |
08/24/17 | 10,264 | 10,280 | (16 | ) | |||||||||||||
370,814 | JPY | Goldman Sachs International |
08/24/17 | 3,349 | 3,367 | (18 | ) | |||||||||||||
105,184 | JPY | State Street Corp. |
08/24/17 | 949 | 955 | (6 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
27,478 | NOK | Merrill Lynch International |
08/24/17 | 3,284 | 3,496 | (212 | ) | |||||||||||||
27,485 | NOK | Royal Bank of Canada |
08/24/17 | 3,253 | 3,498 | (245 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
31,342 | SEK | Citibank, NA |
08/24/17 | 3,756 | 3,888 | (132 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
$ | 165,628 | $ | 172,155 | $ | (6,527 | ) | ||||||||||||||
|
|
|
|
|
|
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at July 31, 2017 of the currency being sold, and the value at July 31, 2017 is the U.S. Dollar market value of the currency being purchased. |
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds NAV per share as of the report date.
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.
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 30,637 | $ | | $ | 30,637 | ||||||||
Austria |
| 14,527 | | 14,527 | ||||||||||||
Belgium |
| 21,044 | | 21,044 | ||||||||||||
Canada |
12,827 | | | 12,827 | ||||||||||||
Chile |
5,649 | | | 5,649 | ||||||||||||
China |
| 6,223 | | 6,223 | ||||||||||||
Finland |
| 9,520 | | 9,520 | ||||||||||||
France |
| 122,475 | | 122,475 | ||||||||||||
Germany |
| 62,525 | | 62,525 | ||||||||||||
Ireland |
7,649 | | | 7,649 | ||||||||||||
Israel |
14,118 | | | 14,118 | ||||||||||||
Italy |
| 31,013 | | 31,013 | ||||||||||||
Japan |
| 180,840 | | 180,840 | ||||||||||||
Luxembourg |
| 11,067 | | 11,067 | ||||||||||||
Netherlands |
8,814 | 59,251 | | 68,065 | ||||||||||||
Norway |
| 9,272 | | 9,272 | ||||||||||||
Singapore |
| 11,354 | | 11,354 | ||||||||||||
South Korea |
| 8,675 | | 8,675 | ||||||||||||
Spain |
| 25,371 | | 25,371 | ||||||||||||
Sweden |
| 6,419 | | 6,419 | ||||||||||||
Switzerland |
| 56,632 | | 56,632 | ||||||||||||
United Kingdom |
| 95,181 | | 95,181 | ||||||||||||
United States |
| 13,658 | | 13,658 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
49,057 | 775,684 | | 824,741 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
1,302 | | | 1,302 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 50,359 | $ | 775,684 | $ | | $ | 826,043 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 6,445 | $ | | $ | 6,445 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (7,685 | ) | $ | | $ | (7,685 | ) | ||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $13,046,000 and from level 2 to level 1 in the amount of approximately $10,062,000 are due to the application and non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
B. Derivatives The Fund used derivative instruments including forward foreign currency exchange contracts, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) below describe the various derivatives used by the Fund.
(1). 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 cash without the delivery of foreign currency.
The values of the forward foreign currency 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 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 or due across transactions. The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
JPMorgan International Value SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan International Value SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts |
||||||||||||||||||
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
Long Futures Outstanding | ||||||||||||||||||
4 | Euro STOXX 50 Index |
09/15/17 | EUR | $ | 163 | $ | (5 | ) | ||||||||||
2 | FTSE 100 Index |
09/15/17 | GBP | 193 | (3 | ) | ||||||||||||
|
|
|||||||||||||||||
$ | (8 | ) | ||||||||||||||||
|
|
JPMorgan International Value SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments - The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments 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 | |||||||||||||
Total Investments in Securities (a) |
$ | 2,521 | $ | 58,816 | $ | | $ | 61,337 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | | $ | (8 | ) | $ | | $ | (8 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 2 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
Transfers from level 2 to level 1 in the amount of approximately $1,814,000 are due to the non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts |
||||||||||||||||||
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
Long Futures Outstanding | ||||||||||||||||||
826 | Euro STOXX 50 Index |
09/15/17 | EUR | $ | 33,662 | $ | (665 | ) | ||||||||||
169 | FTSE 100 Index |
09/15/17 | GBP | 16,303 | (241 | ) | ||||||||||||
|
|
|||||||||||||||||
$ | (906 | ) | ||||||||||||||||
|
|
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds NAV per share as of the report date.
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.
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Austria |
$ | | $ | 11,054 | $ | | $ | 11,054 | ||||||||
Belgium |
| 12,009 | | 12,009 | ||||||||||||
Denmark |
| 65,007 | | 65,007 | ||||||||||||
Finland |
| 11,897 | | 11,897 | ||||||||||||
France |
| 157,849 | | 157,849 | ||||||||||||
Germany |
4,057 | 108,082 | | 112,139 | ||||||||||||
Ireland |
24,033 | | | 24,033 | ||||||||||||
Italy |
| 51,011 | | 51,011 | ||||||||||||
Netherlands |
| 26,337 | | 26,337 | ||||||||||||
Spain |
| 32,207 | | 32,207 | ||||||||||||
Sweden |
| 31,410 | | 31,410 | ||||||||||||
Switzerland |
| 135,415 | | 135,415 | ||||||||||||
United Kingdom |
7,382 | 175,746 | | 183,128 | ||||||||||||
United States |
| 11,006 | | 11,006 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
35,472 | 829,030 | | 864,502 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
74,464 | | | 74,464 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 109,936 | $ | 829,030 | $ | | $ | 938,966 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | | $ | (906 | ) | $ | | $ | (906 | ) | ||||||
|
|
|
|
|
|
|
|
There were no significant transfers between level 1 and level 2 during the period ended July 31, 2017.
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Futures Contracts | ||||||||||||||||||||
NUMBER OF |
DESCRIPTION |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
33 | TOPIX Index |
09/07/17 | JPY | $ | 4,840 | $ | (9 | ) | ||||||||||||
162 | Euro STOXX 50 Index |
09/15/17 | EUR | 6,602 | (19 | ) | ||||||||||||||
50 | FTSE 100 Index |
09/15/17 | GBP | 4,824 | (12 | ) | ||||||||||||||
|
|
|||||||||||||||||||
$ | (40 | ) | ||||||||||||||||||
|
|
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor 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 Funds 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.
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
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 instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
||||||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | | $ | 125,100 | $ | | $ | 125,100 | ||||||||
Austria |
4,174 | 36,436 | | 40,610 | ||||||||||||
Belgium |
| 29,370 | | 29,370 | ||||||||||||
China |
| 28,759 | | 28,759 | ||||||||||||
Denmark |
| 110,500 | | 110,500 | ||||||||||||
Finland |
| 11,674 | | 11,674 | ||||||||||||
France |
| 329,626 | | 329,626 | ||||||||||||
Germany |
| 261,401 | | 261,401 | ||||||||||||
Hong Kong |
14,308 | 50,916 | | 65,224 | ||||||||||||
Israel |
21,430 | | | 21,430 | ||||||||||||
Japan |
| 698,542 | | 698,542 | ||||||||||||
Luxembourg |
| 15,530 | | 15,530 | ||||||||||||
Netherlands |
20,697 | 103,765 | | 124,462 | ||||||||||||
Norway |
| 23,953 | | 23,953 | ||||||||||||
Singapore |
| 72,864 | | 72,864 | ||||||||||||
South Africa |
| 23,873 | | 23,873 | ||||||||||||
Spain |
| 94,946 | | 94,946 | ||||||||||||
Sweden |
8,211 | 120,524 | | 128,735 | ||||||||||||
Switzerland |
| 284,220 | | 284,220 | ||||||||||||
United Kingdom |
45,731 | 424,730 | | 470,461 | ||||||||||||
United States |
| 25,610 | | 25,610 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
114,551 | 2,872,339 | | 2,986,890 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
||||||||||||||||
Germany |
| 14,672 | | 14,672 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
30,151 | | | 30,151 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 144,702 | $ | 2,887,011 | $ | | $ | 3,031,713 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | | $ | (40 | ) | $ | | $ | (40 | ) | ||||||
|
|
|
|
|
|
|
|
Transfers from level 2 to level 1 in the amount of approximately $6,164,000 are due to the non-application of the fair value factors to certain securities during the period ended July 31, 2017.
JPMorgan Latin America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Latin America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Latin America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
JPMorgan Latin America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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 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 Funds 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 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 instruments 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 | |||||||||||||
Total Investments in Securities (a) |
$ | 49,079 | $ | | $ | | $ | 49,079 |
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for country specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Options contracts)
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds NAV per share as of the report date.
Options are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments 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 | |||||||||||||
Total Investments in Securities (a) |
$ | 213,164 | $ | | $ | | $ | 213,164 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities for Securities Sold Short (a) |
$ | (40,542 | ) | $ | | $ | | $ | (40,542 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures Contracts | ||||||||||||||||||||
NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL VALUE AT JULY 31, 2017 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
Short Futures Outstanding | ||||||||||||||||||||
(21 | ) | E-mini S&P 500 | 09/15/17 | USD | $ | (2,591 | ) | $ | (10 | ) | ||||||||||
|
|
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds 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 inputs are not available (including the Funds assumptions in determining the fair value of investments). |
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A financial instruments 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 | |||||||||||||
Total Investments in Securities (a) |
$ | 221,773 | $ | 316 | $ | | $ | 222,089 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities for Securities Sold Short (b) |
(193,615 | ) | | | (193,615 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | (10 | ) | $ | | $ | | $ | (10 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 2 consists of a U.S. Treasury Bill that is held as initial margin for futures contracts. Please refer to the SOI for industry specifics of portfolio holdings. |
(b) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 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.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds 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 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 instruments 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 | |||||||||||||
Total Investments in Securities (a) |
$ | 1,225,616 | $ | | $ | | $ | 1,225,616 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Inflation-Linked Swaps |
||||||||||||||||
RATE TYPE (r) |
||||||||||||||||
SWAP COUNTERPARTY |
PAYMENTS MADE |
PAYMENTS RECEIVED |
TERMINATION DATE |
NOTIONAL AMOUNT |
VALUE | |||||||||||
Barclays Bank plc | 2.812% at termination |
CPI-U at termination | 10/12/19 | 25,000 | $ | (4,165 | ) | |||||||||
Barclays Bank plc | 2.590% at termination |
CPI-U at termination | 12/31/19 | 35,000 | (3,159 | ) | ||||||||||
Barclays Bank plc | 1.823% at termination |
CPI-U at termination | 11/08/21 | 25,000 | 139 | |||||||||||
Barclays Bank plc | 2.439% at termination |
CPI-U at termination | 05/15/24 | 18,000 | (1,405 | ) | ||||||||||
Barclays Bank plc | 2.700% at termination |
CPI-U at termination | 09/03/44 | 5,000 | (1,063 | ) | ||||||||||
BNP Paribas | 2.100% at termination |
CPI-U at termination | 08/26/18 | 25,000 | (1,035 | ) | ||||||||||
BNP Paribas | 2.105% at termination |
CPI-U at termination | 08/26/18 | 12,000 | (501 | ) | ||||||||||
BNP Paribas | 2.190% at termination |
CPI-U at termination | 09/03/19 | 13,000 | (602 | ) | ||||||||||
BNP Paribas | 2.350% at termination |
CPI-U at termination | 07/06/20 | 25,000 | (1,825 | ) | ||||||||||
BNP Paribas | 2.265% at termination |
CPI-U at termination | 02/06/24 | 25,000 | (541 | ) | ||||||||||
BNP Paribas | 2.165% at termination |
CPI-U at termination | 04/04/24 | 24,000 | (424 | ) | ||||||||||
BNP Paribas | 1.997% at termination |
CPI-U at termination | 11/07/26 | 25,000 | 187 | |||||||||||
Citibank NA | 2.190% at termination |
CPI-U at termination | 09/02/19 | 9,000 | (418 | ) | ||||||||||
Citibank NA | 2.420% at termination |
CPI-U at termination | 05/24/20 | 25,000 | (2,078 | ) | ||||||||||
Citibank NA | 2.420% at termination |
CPI-U at termination | 06/30/20 | 50,000 | (4,082 | ) | ||||||||||
Citibank NA | 2.410% at termination |
CPI-U at termination | 07/01/20 | 50,000 | (4,019 | ) | ||||||||||
Citibank NA | 2.330% at termination |
CPI-U at termination | 07/06/20 | 50,000 | (3,533 | ) | ||||||||||
Citibank NA | 2.492% at termination |
CPI-U at termination | 08/27/24 | 22,000 | (1,884 | ) | ||||||||||
Citibank NA | 2.477% at termination |
CPI-U at termination | 09/02/24 | 15,000 | (1,260 | ) | ||||||||||
Citibank NA | 2.623% at termination |
CPI-U at termination | 10/07/24 | 14,000 | (369 | ) | ||||||||||
Credit Suisse International | 2.178% at termination |
CPI-U at termination | 05/28/18 | 65,000 | (3,218 | ) | ||||||||||
Deutsche Bank AG, New York | 2.500% at termination |
CPI-U at termination | 02/25/18 | 50,000 | (3,187 | ) | ||||||||||
Deutsche Bank AG, New York | 2.140% at termination |
CPI-U at termination | 09/10/19 | 55,000 | (2,386 | ) | ||||||||||
Deutsche Bank AG, New York | 2.410% at termination |
CPI-U at termination | 06/30/20 | 20,000 | (1,610 | ) | ||||||||||
Deutsche Bank AG, New York | 1.823% at termination |
CPI-U at termination | 11/08/21 | 25,000 | 139 | |||||||||||
Deutsche Bank AG, New York | 2.477% at termination |
CPI-U at termination | 02/21/24 | 40,000 | (3,251 | ) | ||||||||||
Deutsche Bank AG, New York | 2.415% at termination |
CPI-U at termination | 12/15/24 | 54,000 | (851 | ) | ||||||||||
Deutsche Bank AG, New York | 2.003% at termination |
CPI-U at termination | 11/07/26 | 25,000 | 172 | |||||||||||
Deutsche Bank AG, New York | 2.708% at termination |
CPI-U at termination | 02/25/44 | 5,000 | (1,073 | ) | ||||||||||
Deutsche Bank AG, New York | 2.498% at termination |
CPI-U at termination | 10/10/44 | 8,000 | (1,122 | ) | ||||||||||
Deutsche Bank AG, New York | 2.000% at termination |
CPI-U at termination | 10/13/45 | 5,000 | 174 | |||||||||||
Goldman Sachs International | 2.211% at termination |
CPI-U at termination | 08/29/19 | 20,000 | (951 | ) | ||||||||||
Goldman Sachs International | 2.185% at termination |
CPI-U at termination | 09/02/19 | 12,000 | (554 | ) | ||||||||||
Goldman Sachs International | 2.194% at termination |
CPI-U at termination | 09/02/19 | 19,000 | (886 | ) | ||||||||||
Morgan Stanley Capital Services | 2.175% at termination |
CPI-U at termination | 10/01/18 | 20,000 | (901 | ) | ||||||||||
Morgan Stanley Capital Services | 2.323% at termination |
CPI-U at termination | 06/23/19 | 20,000 | (1,037 | ) | ||||||||||
Morgan Stanley Capital Services | 2.525% at termination |
CPI-U at termination | 01/27/24 | 30,000 | (2,603 | ) | ||||||||||
Morgan Stanley Capital Services | 2.500% at termination |
CPI-U at termination | 02/04/24 | 34,000 | (2,846 | ) | ||||||||||
Morgan Stanley Capital Services | 2.673% at termination |
CPI-U at termination | 09/12/44 | 3,000 | (607 | ) | ||||||||||
Royal Bank of Scotland | 2.430% at termination |
CPI-U at termination | 06/28/20 | 25,000 | (2,070 | ) | ||||||||||
Royal Bank of Scotland | 2.423% at termination |
CPI-U at termination | 06/30/20 | 75,000 | (6,152 | ) | ||||||||||
Royal Bank of Scotland | 2.475% at termination |
CPI-U at termination | 03/17/24 | 7,000 | (569 | ) | ||||||||||
Royal Bank of Scotland | 3.556% at termination |
CPI-U at termination | 07/31/29 | 49,000 | (20,275 | ) | ||||||||||
Royal Bank of Scotland | 2.733% at termination |
CPI-U at termination | 02/10/44 | 9,000 | (2,012 | ) | ||||||||||
Union Bank of Switzerland AG | 2.170% at termination |
CPI-U at termination | 04/22/18 | 50,000 | (2,441 | ) | ||||||||||
Union Bank of Switzerland AG | 2.200% at termination |
CPI-U at termination | 03/09/22 | 10,000 | (166 | ) | ||||||||||
|
|
|||||||||||||||
$ | (92,320 | ) | ||||||||||||||
|
|
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Investment 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 Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as Pricing Services). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds net asset values 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 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 instruments 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 (SOI):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Total Investments in Securities (a) |
$ | 78,055 | $ | 1,417,397 | $ | | $ | 1,495,452 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Swaps |
$ | | $ | 811 | $ | | $ | 811 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Swaps |
$ | | $ | (93,131 | ) | $ | | $ | (93,131 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. 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 SOI for state specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
B. Derivatives The Fund used derivative instruments including swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
The Fund is 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterpartys 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 (1) below describe the various derivatives used by the Fund.
(1). Swaps The Fund engaged in various swap transactions, including inflation-linked swaps to manage inflation 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 are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded 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 Schedule of Investments. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). 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 Funds 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 Funds custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund and/or held as Restricted cash. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A. (JPMCB), an affiliate of the Fund, which provides collateral management service to the Fund.
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.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Inflation-Linked Swaps
The Fund used inflation-linked swaps to provide inflation protection within its portfolio.
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.
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
Inflation-Linked Swaps |
||||||||||||||||
RATE TYPE (r) |
||||||||||||||||
SWAP COUNTERPARTY |
PAYMENTS MADE |
PAYMENTS RECEIVED |
TERMINATION DATE |
NOTIONAL AMOUNT |
VALUE | |||||||||||
BNP Paribas | 1.695% at termination |
CPI-U at termination | 06/02/19 | $ | 1,250 | $ | 10 | |||||||||
BNP Paribas | 2.720% at termination |
CPI-U at termination | 04/01/21 | 5,400 | (636 | ) | ||||||||||
BNP Paribas | 2.165% at termination |
CPI-U at termination | 04/04/24 | 600 | (10 | ) | ||||||||||
Royal Bank of Scotland | 2.620% at termination |
CPI-U at termination | 06/28/25 | 1,000 | (137 | ) | ||||||||||
Union Bank of Switzerland AG | 2.275% at termination |
CPI-U at termination | 03/16/27 | 700 | (16 | ) | ||||||||||
|
|
|||||||||||||||
$ | (789 | ) | ||||||||||||||
|
|
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
(Amounts in thousands)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (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.
JPMorgan Investment Management, Inc. (the Administrator) has established the J.P. Morgan Asset Management Americas Valuation Committee (AVC) to assist the Board with the oversight and monitoring of the valuation of the 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 Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as Pricing Services). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying Funds net asset values 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.
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 instruments 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 Schedules of Portfolio Investments (SOI):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Total Investments in Securities (a) |
$ | 422 | $ | 8,911 | $ | | $ | 9,333 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Inflation-Linked Swaps |
$ | | $ | 10 | $ | | $ | 10 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Inflation-Linked Swaps |
$ | | $ | (799 | ) | $ | | $ | (799 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOI for state specifics of portfolio holdings. |
There were no transfers among any levels during the period ended July 31, 2017.
B. Derivatives The Fund used derivative instruments including swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and, documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JULY 31, 2017 (Unaudited) (continued)
The Fund is 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 Fund 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 Fund to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterpartys 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 (1) below describe the various derivatives used by the Fund.
(1). Swaps The Fund engaged in various swap transactions, including inflation-linked swaps to manage inflation 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 are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded 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 Schedule of Investments. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). 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 Funds 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 Funds custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A. (JPMCB), an affiliate of the Fund, which provides collateral management service to the Fund.
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.
The Fund may be required to post or receive collateral for Over the Counter Swaps.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Inflation-Linked Swaps
The Fund used inflation-linked swaps to provide inflation protection within its portfolio.
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.
ITEM 2. | CONTROLS AND PROCEDURES. |
(a) | The Registrants principal executive and principal financial officers have concluded, based on their evaluation of the Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrants disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q 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-Q is accumulated and communicated to the Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There were no changes in the Registrants internal control over financial reporting that occurred during the Registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal controls over financial reporting. |
ITEM 3. | EXHIBITS. |
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.
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 | ||
September 28, 2017 |
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 | ||
September 28, 2017 | ||
By: | /s/ Laura M. Del Prato | |
Laura M. Del Prato | ||
Treasurer and Principal Financial Officer | ||
September 28, 2017 |
EXHIBIT 99.302CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Brian S. Shlissel, certify that:
1. | I have reviewed this report on Form N-Q of JPMorgan China Region Fund, JPMorgan Commodities Strategy Fund, JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity Fund, JPMorgan Emerging Markets Equity Income Fund, JPMorgan Emerging Markets Strategic Debt Fund, JPMorgan Global Allocation Fund, JPMorgan Global Research Enhanced Index Fund, JPMorgan Global Unconstrained Equity Fund, JPMorgan Income Builder Fund, JPMorgan International Discovery Fund, JPMorgan International Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Opportunities Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund, JPMorgan International Value SMA Fund, JPMorgan Intrepid European Fund, JPMorgan Intrepid International Fund, JPMorgan Latin America Fund, JPMorgan Opportunistic Equity Long/Short Fund, JPMorgan Research Market Neutral Fund, JPMorgan Systematic Alpha Fund, JPMorgan Tax Aware Equity Fund, JPMorgan Tax Aware Real Return Fund and JPMorgan Tax Aware Real Return SMA Fund (the Funds), each a series of JPMorgan Trust I (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Funds as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Funds internal control over financial reporting that occurred during the Funds most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: September 28, 2017 | By: | /s/ Brian S. Shlissel | ||||
Brian S. Shlissel | ||||||
President and Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
I, Laura M. Del Prato, certify that:
1. | I have reviewed this report on Form N-Q of JPMorgan China Region Fund, JPMorgan Commodities Strategy Fund, JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity Fund, JPMorgan Emerging Markets Equity Income Fund, JPMorgan Emerging Markets Strategic Debt Fund, JPMorgan Global Allocation Fund, JPMorgan Global Research Enhanced Index Fund, JPMorgan Global Unconstrained Equity Fund, JPMorgan Income Builder Fund, JPMorgan International Discovery Fund, JPMorgan International Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Opportunities Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund, JPMorgan International Value SMA Fund, JPMorgan Intrepid European Fund, JPMorgan Intrepid International Fund, JPMorgan Latin America Fund, JPMorgan Opportunistic Equity Long/Short Fund, JPMorgan Research Market Neutral Fund, JPMorgan Systematic Alpha Fund, JPMorgan Tax Aware Equity Fund, JPMorgan Tax Aware Real Return Fund and JPMorgan Tax Aware Real Return SMA Fund (the Funds), each a series of JPMorgan Trust I (the Registrant); |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the Funds as of the end of the fiscal quarter for which the report is filed; |
4. | The Registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the Funds disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the Funds internal control over financial reporting that occurred during the Funds most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and |
5. | The Registrants other certifying officer and I have disclosed to the Funds auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds internal control over financial reporting. |
Date: September 28, 2017 | By: | /s/ Laura M. Del Prato | ||||
Laura M. Del Prato | ||||||
Treasurer and Principal Financial Officer |