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: January 31, 2018
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. | SCHEDULE OF INVESTMENTS. |
JPMorgan Trust I
Schedule of Portfolio Investments as of January 31, 2018
(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 Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
Long Contracts |
| |||||||||||||||||||
Natural Gas |
10 | 02/2018 | USD | 299,500 | (6,526 | ) | ||||||||||||||
Natural Gas |
376 | 02/2018 | USD | 11,261,200 | 316,318 | |||||||||||||||
RBOB Gasoline |
3 | 02/2018 | USD | 238,606 | 5,120 | |||||||||||||||
Sugar No. 11 |
40 | 02/2018 | USD | 592,704 | (20,751 | ) | ||||||||||||||
Bloomberg Commodity Index |
108 | 03/2018 | USD | 968,760 | (10,020 | ) | ||||||||||||||
Brent Crude Oil |
214 | 03/2018 | USD | 14,673,980 | (103,802 | ) | ||||||||||||||
KC HRW Wheat |
9 | 03/2018 | USD | 210,262 | 12,374 | |||||||||||||||
Soybean |
30 | 03/2018 | USD | 1,493,625 | 56,849 | |||||||||||||||
Soybean Meal |
5 | 03/2018 | USD | 168,900 | 11,315 | |||||||||||||||
Wheat |
25 | 03/2018 | USD | 564,688 | 23,901 | |||||||||||||||
Lean Hogs |
135 | 04/2018 | USD | 3,901,500 | (14,128 | ) | ||||||||||||||
Live Cattle |
6 | 04/2018 | USD | 295,020 | (1,938 | ) | ||||||||||||||
Natural Gas |
225 | 04/2018 | USD | 6,421,500 | 263,563 | |||||||||||||||
RBOB Gasoline |
610 | 04/2018 | USD | 52,994,970 | 600,478 | |||||||||||||||
Copper |
4 | 05/2018 | USD | 321,500 | (310 | ) | ||||||||||||||
Corn |
55 | 05/2018 | USD | 1,016,125 | 34,073 | |||||||||||||||
Soybean Oil |
33 | 05/2018 | USD | 658,944 | (6,829 | ) | ||||||||||||||
WTI Crude Oil |
253 | 05/2018 | USD | 16,181,880 | 1,808,230 | |||||||||||||||
100 oz Gold |
4 | 06/2018 | USD | 539,360 | (3,290 | ) | ||||||||||||||
Silver |
5 | 07/2018 | USD | 435,550 | 6,287 | |||||||||||||||
|
|
|||||||||||||||||||
2,970,914 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Short Contracts |
||||||||||||||||||||
NY Harbor ULSD |
(4 | ) | 02/2018 | USD | (347,155 | ) | 174 | |||||||||||||
RBOB Gasoline |
(610 | ) | 06/2018 | USD | (52,205,874 | ) | (526,802 | ) | ||||||||||||
|
|
|||||||||||||||||||
(526,628 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
2,444,286 | ||||||||||||||||||||
|
|
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Over the Counter (OTC) Return swap contracts on Commodities and Commodities Indices outstanding as of January 31, 2018:
Reference Entity |
Payments Made by Fund |
Payments Received by Fund |
Frequency of Payments Made/Received |
Counterparty |
Maturity Date |
Notional Amount |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
BBG Heating Oil Index |
0.14% and decreases in total return of the reference entity | Increases in total return of the reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 07/12/2018 | USD 6,390,000 | 1,130,342 | |||||||||||||
BBG Industrial Metals Index |
0.18% and decreases in total return of the reference entity | Increases in total return of the reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 06/20/2018 | USD 31,350,000 | 2,021,142 | |||||||||||||
CBOT HRW Wheat March 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 02/26/2018 | USD 2,032,313 | 70,235 | |||||||||||||
CBOT Soybean July 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 06/27/2018 | USD 5,863,125 | 131,880 | |||||||||||||
CBOT Soybean Meal March 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 02/26/2018 | USD 5,128,800 | 275,695 | |||||||||||||
COMEX Gold June 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 05/29/2018 | USD 2,779,455 | 51,916 | |||||||||||||
COMEX Gold June 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 05/29/2018 | USD 18,181,895 | 557,972 | |||||||||||||
COMEX Silver July 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 06/27/2018 | USD 6,653,985 | 139,674 | |||||||||||||
Macquarie Commodity Product Index |
0.22% and decreases in total return of the reference entity | Increases in total return of the reference entity | |
At Termination |
|
Macquarie Bank Ltd. | 06/05/2018 | USD 6,130,000 | 579,031 | |||||||||||||
|
|
|||||||||||||||||||||
4,957,887 | ||||||||||||||||||||||
|
|
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Reference Entity |
Payments Made by Fund |
Payments Received by Fund |
Frequency of Payments Made/Received |
Counterparty |
Maturity Date |
Notional Amount |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
BBG Softs Index |
0.14% and decreases in total return of the reference entity | Increases in total return of the reference entity | At Termination |
Macquarie Bank Ltd. | 06/20/2018 | USD 3,900,000 | (197,517 | ) | ||||||||||||
BBG Softs Index |
0.14% and decreases in total return of the reference entity | Increases in total return of the reference entity | At Termination |
Macquarie Bank Ltd. | 06/20/2018 | USD 8,900,000 | (109,109 | ) | ||||||||||||
CBOT Corn May 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 04/26/2018 | USD 11,582,375 | (127,396 | ) | ||||||||||||
CBOT Soybean March 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 02/26/2018 | USD 9,622,256 | (13,254 | ) | ||||||||||||
CBOT Soybean November 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 10/29/2018 | USD 5,857,225 | (107,736 | ) | ||||||||||||
CBOT Soybean Oil May 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 04/26/2018 | USD 4,708,800 | (215,191 | ) | ||||||||||||
CBOT Wheat March 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 02/26/2018 | USD 6,803,875 | (930,095 | ) | ||||||||||||
CME Live Cattle April 2018 Futures |
Increases in total return of reference entity | Decreases in total return of reference entity | At Termination |
Macquarie Bank Ltd. | 04/05/2018 | USD 8,092,665 | (175,804 | ) | ||||||||||||
|
|
|||||||||||||||||||
(1,876,102 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
3,081,785 | ||||||||||||||||||||
|
|
Summary of total swap contracts outstanding as of January 31, 2018:
Value ($) | ||||
Assets |
||||
OTC Return swap contracts on Commodities and Commodities Indices outstanding |
4,957,887 | |||
|
|
|||
Total OTC swap contracts outstanding |
4,957,887 | |||
|
|
|||
Liabilities |
||||
OTC Return swap contracts on Commodities and Commodities Indices outstanding |
(1,876,102 | ) | ||
|
|
|||
Total OTC swap contracts outstanding |
(1,876,102 | ) | ||
|
|
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS:
BBG | | Bloomberg | ||||
Brent | | Broom, Rannoch, Etieve, Ness, Tarbat | ||||
CBOT | | Chicago Board of Trade | ||||
CME | | Chicago Mercantile Exchange | ||||
COMEX | | Commodity Exchange, Inc. | ||||
ICE | | Intercontinental Exchange | ||||
LIBOR | | London Interbank Offered Rate | ||||
RBOB | | Reformulated Blendstock for Oxygenate Blending | ||||
ULSD | | Ultra Low Sulfur Diesel | ||||
USD | | United States Dollar | ||||
WTI | | West Texas Intermediate |
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(a) | | Non-income producing security. | ||
(b) | | Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | ||
(e) | | Security is exempt from registration under Rule 144A of the Securities Act. 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 January 31, 2018. | ||
(n) | | The rate shown is the effective yield as of January 31, 2018. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of January 31, 2018. | ||
| | The value of investments restricted as collateral for swaps to the broker is $6,602,496. |
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 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 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 and Options are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the 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 Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
||||||||||||||||
Options Purchased |
||||||||||||||||
Put Options Purchased |
$ | 227,550 | $ | | $ | | $ | 227,550 | ||||||||
Short-Term Investments |
||||||||||||||||
Certificates of Deposit |
| 18,382,510 | | 18,382,510 | ||||||||||||
Commercial Paper |
| 130,443,072 | | 130,443,072 | ||||||||||||
Investment Company |
33,420,728 | | | 33,420,728 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
33,420,728 | 148,825,582 | | 182,246,310 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 33,648,278 | $ | 148,825,582 | $ | | $ | 182,473,860 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | 3,138,682 | $ | | $ | | $ | 3,138,682 | ||||||||
Swaps |
| 4,957,887 | | 4,957,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 3,138,682 | $ | 4,957,887 | $ | | $ | 8,096,569 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | (694,396 | ) | $ | | $ | | $ | (694,396 | ) | ||||||
Swaps |
| (1,876,102 | ) | | (1,876,102 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (694,396 | ) | $ | (1,876,102 | ) | $ | | $ | (2,570,498 | ) | |||||
|
|
|
|
|
|
|
|
There were no transfers among any levels during the period ended January 31, 2018.
B. Derivatives The Fund used derivative instruments including futures, 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) (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 will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
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 OTC options.
(2). 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.
JPMorgan Commodities Strategy Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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). 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, Non-deliverable Forward Foreign Currency Exchange Contracts and/or OTC options 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 Fund may be required to post or receive collateral for OTC 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 JANUARY 31, 2018 (Unaudited)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
Long Contracts |
| |||||||||||||||||
CAC 40 10 Euro Index |
40 | 02/2018 | EUR | 2,721,347 | (10,194 | ) | ||||||||||||
Hang Seng Index |
16 | 02/2018 | HKD | 3,351,613 | 536 | |||||||||||||
IBEX 35 Index |
4 | 02/2018 | EUR | 518,238 | (5,010 | ) | ||||||||||||
WTI Crude Oil |
19 | 02/2018 | USD | 1,229,870 | 15,609 | |||||||||||||
Australia 10 Year Bond |
1,690 | 03/2018 | AUD | 173,755,017 | (3,134,941 | ) | ||||||||||||
Canada 10 Year Bond |
129 | 03/2018 | CAD | 13,868,024 | (411,270 | ) | ||||||||||||
Copper |
17 | 03/2018 | USD | 1,358,088 | 83,130 | |||||||||||||
Cotton No. 2 |
40 | 03/2018 | USD | 1,545,600 | 51,010 | |||||||||||||
DAX Index |
6 | 03/2018 | EUR | 2,457,254 | (4,369 | ) | ||||||||||||
EURO STOXX 50 Index |
41 | 03/2018 | EUR | 1,832,970 | (17,906 | ) | ||||||||||||
Euro-Bund |
33 | 03/2018 | EUR | 6,507,038 | (118,029 | ) | ||||||||||||
Euro-Buxl |
8 | 03/2018 | EUR | 1,606,466 | (21,310 | ) | ||||||||||||
Euro-Schatz |
213 | 03/2018 | EUR | 29,568,171 | (77,183 | ) | ||||||||||||
Feeder Cattle |
2 | 03/2018 | USD | 145,050 | 794 | |||||||||||||
FTSE 100 Index |
34 | 03/2018 | GBP | 3,605,265 | (20,104 | ) | ||||||||||||
FTSE/MIB Index |
11 | 03/2018 | EUR | 1,605,784 | 6,983 | |||||||||||||
Japan 10 Year Bond |
23 | 03/2018 | JPY | 31,669,507 | (96,200 | ) | ||||||||||||
LME Aluminum Base Metal |
204 | 03/2018 | USD | 11,290,125 | 95,531 | |||||||||||||
LME Nickel Base Metal |
31 | 03/2018 | USD | 2,525,787 | 136,706 | |||||||||||||
LME Zinc Base Metal |
121 | 03/2018 | USD | 10,737,238 | 403,046 | |||||||||||||
Long Gilt |
7 | 03/2018 | GBP | 1,213,943 | (24,389 | ) | ||||||||||||
Natural Gas |
40 | 03/2018 | USD | 1,144,000 | 35,344 | |||||||||||||
S&P 500 E-Mini Index |
46 | 03/2018 | USD | 6,499,340 | 337,340 | |||||||||||||
SPI 200 Index |
41 | 03/2018 | AUD | 4,934,485 | (44,809 | ) | ||||||||||||
TOPIX Index |
23 | 03/2018 | JPY | 3,894,196 | 117,625 | |||||||||||||
U.S. Treasury 10 Year Note |
1,062 | 03/2018 | USD | 129,132,563 | (2,930,407 | ) | ||||||||||||
U.S. Treasury Long Bond |
11 | 03/2018 | USD | 1,625,594 | (48,681 | ) | ||||||||||||
WTI Crude Oil |
84 | 03/2018 | USD | 5,423,040 | 212,307 | |||||||||||||
100 oz Gold |
13 | 04/2018 | USD | 1,746,030 | (5,365 | ) | ||||||||||||
Feeder Cattle |
40 | 04/2018 | USD | 2,917,000 | (7,830 | ) | ||||||||||||
Lean Hogs |
26 | 04/2018 | USD | 751,400 | (22,366 | ) | ||||||||||||
Live Cattle |
99 | 04/2018 | USD | 4,867,830 | (42,792 | ) | ||||||||||||
LME Zinc Base Metal |
23 | 04/2018 | USD | 2,037,800 | 14,881 | |||||||||||||
WTI Crude Oil |
55 | 04/2018 | USD | 3,537,050 | (12,046 | ) | ||||||||||||
Feeder Cattle |
53 | 05/2018 | USD | 3,867,013 | (28,269 | ) | ||||||||||||
Live Cattle |
95 | 06/2018 | USD | 4,372,850 | (4,090 | ) | ||||||||||||
|
|
|||||||||||||||||
(5,576,718 | ) | |||||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Description |
Number of Contracts |
Expiration Date |
Trading |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
Short Contracts |
| |||||||||||||||||
Natural Gas |
(39 | ) | 02/2018 | USD | (1,168,050 | ) | 2,231 | |||||||||||
Sugar No. 11 |
(10 | ) | 02/2018 | USD | (148,176 | ) | (1,307 | ) | ||||||||||
Australia 3 Year Bond |
(53 | ) | 03/2018 | AUD | (4,740,053 | ) | (7,963 | ) | ||||||||||
Canada 10 Year Bond |
(8 | ) | 03/2018 | CAD | (860,032 | ) | 5,644 | |||||||||||
Cocoa |
(16 | ) | 03/2018 | USD | (319,360 | ) | (18,158 | ) | ||||||||||
Coffee C |
(35 | ) | 03/2018 | USD | (1,599,281 | ) | 207,307 | |||||||||||
Corn |
(133 | ) | 03/2018 | USD | (2,403,975 | ) | (21,155 | ) | ||||||||||
Euro-Bobl |
(4 | ) | 03/2018 | EUR | (647,841 | ) | 4,559 | |||||||||||
Euro-Bund |
(107 | ) | 03/2018 | EUR | (21,098,578 | ) | 552,326 | |||||||||||
Japan 10 Year Bond |
(86 | ) | 03/2018 | JPY | (118,416,415 | ) | 314,636 | |||||||||||
LME Zinc Base Metal |
(1 | ) | 03/2018 | USD | (88,738 | ) | (4,997 | ) | ||||||||||
Long Gilt |
(870 | ) | 03/2018 | GBP | (150,875,812 | ) | 2,822,014 | |||||||||||
S&P 500 E-Mini Index |
(491 | ) | 03/2018 | USD | (69,373,390 | ) | (3,881,124 | ) | ||||||||||
Silver |
(13 | ) | 03/2018 | USD | (1,120,665 | ) | (3,950 | ) | ||||||||||
Soybean |
(24 | ) | 03/2018 | USD | (1,194,900 | ) | (27,658 | ) | ||||||||||
U.S. Treasury 10 Year Note |
(40 | ) | 03/2018 | USD | (4,863,750 | ) | 88,756 | |||||||||||
U.S. Treasury 2 Year Note |
(268 | ) | 03/2018 | USD | (57,142,625 | ) | 234,794 | |||||||||||
U.S. Treasury 5 Year Note |
(100 | ) | 03/2018 | USD | (11,471,875 | ) | 131,532 | |||||||||||
Wheat |
(85 | ) | 03/2018 | USD | (1,919,938 | ) | (61,763 | ) | ||||||||||
Lean Hogs |
(265 | ) | 04/2018 | USD | (7,658,500 | ) | 185,828 | |||||||||||
Sugar No. 11 |
(159 | ) | 04/2018 | USD | (2,380,930 | ) | 81,225 | |||||||||||
Coffee C |
(153 | ) | 05/2018 | USD | (7,125,975 | ) | 324,871 | |||||||||||
Corn |
(423 | ) | 05/2018 | USD | (7,814,925 | ) | (52,573 | ) | ||||||||||
Lean Hogs |
(62 | ) | 05/2018 | USD | (1,930,060 | ) | 51,167 | |||||||||||
Wheat |
(398 | ) | 05/2018 | USD | (9,263,450 | ) | (108,212 | ) | ||||||||||
Sugar No. 11 |
(156 | ) | 06/2018 | USD | (2,388,422 | ) | 51,913 | |||||||||||
Corn |
(275 | ) | 07/2018 | USD | (5,187,188 | ) | (53,323 | ) | ||||||||||
Wheat |
(155 | ) | 07/2018 | USD | (3,712,250 | ) | (147,645 | ) | ||||||||||
|
|
|||||||||||||||||
668,975 | ||||||||||||||||||
|
|
|||||||||||||||||
(4,907,743 | ) | |||||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
AUD |
28,407,633 | USD | 22,355,131 | Deutsche Bank AG | 02/23/2018 | 533,651 | ||||||||||||||||
AUD |
2,607,060 | USD | 2,086,930 | State Street Corp. | 02/23/2018 | 13,647 | ||||||||||||||||
BRL |
19,495,360 | USD | 6,044,323 | Goldman Sachs International** | 02/23/2018 | 60,944 | ||||||||||||||||
CHF |
1,242,949 | USD | 1,326,532 | Citibank, NA | 02/23/2018 | 10,883 | ||||||||||||||||
GBP |
2,130,852 | USD | 2,908,676 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | 119,020 | ||||||||||||||||
GBP |
533,774 | USD | 722,435 | Barclays Bank plc | 02/23/2018 | 35,996 | ||||||||||||||||
JPY |
2,133,586,343 | USD | 19,233,593 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | 330,764 | ||||||||||||||||
JPY |
72,076,302 | USD | 647,549 | Barclays Bank plc | 02/23/2018 | 13,370 | ||||||||||||||||
JPY |
5,829,381 | USD | 52,424 | Royal Bank of Canada | 02/23/2018 | 1,030 | ||||||||||||||||
MXN |
116,576,584 | USD | 6,040,098 | Citibank, NA | 02/23/2018 | 203,267 | ||||||||||||||||
NOK |
58,228,445 | USD | 7,306,445 | Deutsche Bank AG | 02/23/2018 | 251,410 | ||||||||||||||||
SEK |
6,319,797 | AUD | 993,733 | HSBC Bank, NA | 02/23/2018 | 2,373 | ||||||||||||||||
TRY |
22,507,379 | USD | 5,912,057 | HSBC Bank, NA | 02/23/2018 | 44,260 | ||||||||||||||||
USD |
5,990,360 | KRW | 6,368,411,915 | Merrill Lynch International** | 02/23/2018 | 33,386 | ||||||||||||||||
USD |
5,901,146 | PHP | 297,889,864 | Merrill Lynch International** | 02/23/2018 | 103,217 | ||||||||||||||||
ZAR |
74,375,273 | USD | 5,963,814 | HSBC Bank, NA | 02/23/2018 | 295,819 | ||||||||||||||||
RUB |
344,086,759 | USD | 6,050,952 | Goldman Sachs International** | 02/26/2018 | 52,549 | ||||||||||||||||
|
|
|||||||||||||||||||||
Total unrealized appreciation |
2,105,586 | |||||||||||||||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
EUR |
522,996 | USD | 650,695 | State Street Corp. | 02/23/2018 | (560 | ) | |||||||||||||||
USD |
2,210,250 | AUD | 2,807,701 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (51,989 | ) | |||||||||||||||
USD |
2,051,602 | AUD | 2,607,060 | Deutsche Bank AG | 02/23/2018 | (48,975 | ) | |||||||||||||||
USD |
3,006,783 | CAD | 3,762,478 | Barclays Bank plc | 02/23/2018 | (52,845 | ) | |||||||||||||||
USD |
631,291 | CAD | 786,599 | Goldman Sachs International | 02/23/2018 | (8,368 | ) | |||||||||||||||
USD |
1,705,090 | CAD | 2,134,163 | HSBC Bank, NA | 02/23/2018 | (30,400 | ) | |||||||||||||||
USD |
44,322,524 | CHF | 42,929,866 | Credit Suisse International | 02/23/2018 | (1,870,070 | ) | |||||||||||||||
USD |
12,504,850 | EUR | 10,289,790 | Citibank, NA | 02/23/2018 | (286,369 | ) | |||||||||||||||
USD |
728,618 | GBP | 533,774 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (29,814 | ) | |||||||||||||||
USD |
6,030,799 | HUF | 1,533,207,670 | HSBC Bank, NA | 02/23/2018 | (109,494 | ) | |||||||||||||||
USD |
8,656,313 | JPY | 960,047,738 | Barclays Bank plc | 02/23/2018 | (147,041 | ) | |||||||||||||||
USD |
705,036 | JPY | 77,905,683 | Citibank, NA | 02/23/2018 | (9,336 | ) | |||||||||||||||
USD |
19,636,708 | NZD | 27,089,075 | Australia & New Zealand Banking Group Ltd. | 02/23/2018 | (321,637 | ) | |||||||||||||||
USD |
22,393,914 | SEK | 181,378,787 | Barclays Bank plc | 02/23/2018 | (653,697 | ) | |||||||||||||||
USD |
6,094,073 | THB | 194,428,587 | Societe Generale | 02/23/2018 | (116,440 | ) | |||||||||||||||
USD |
5,983,276 | TWD | 176,868,617 | Merrill Lynch International** | 02/23/2018 | (91,940 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
Total unrealized depreciation |
(3,828,975 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||
Net unrealized depreciation |
(1,723,389 | ) | ||||||||||||||||||||
|
|
Over the Counter (OTC) Total return swap contracts outstanding as of January 31, 2018:
Reference Entity |
Payments Made by |
Payments Received |
Frequency of Made/Received |
Counterparty |
Maturity Date |
Notional |
Upfront Payments (Receipts) ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
Media Gen, Inc., CVR |
Total appreciation of the position at maturity | Total depreciation of the position at maturity | At Termination | Union Bank of Switzerland AG | 10/18/2018 | USD 48,548 | | 2,379 | ||||||||||||||
|
|
|
|
|||||||||||||||||||
| 2,379 | |||||||||||||||||||||
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Total Return Basket Swaps Outstanding at January 31, 2018
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in GBP based on the local currencies of the positions within the swaps. | 10/31/2018 | $ | (1,484,293 | ) | $ | (6,291 | ) | $ | | $ | (6,291 | ) | |||||||
|
|
|||||||||||||||||||
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Carnival plc |
1,053 | 74,294 | (12 | ) | 0.0 | (g) | ||||||||||
William Hill plc |
40,526 | 178,377 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
41,579 | 252,671 | (12 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Barratt Developments plc |
85,475 | 710,025 | (184 | ) | 0.0 | (g) | ||||||||||
Bellway plc |
12,416 | 585,313 | (142 | ) | 0.0 | (g) | ||||||||||
Berkeley Group Holdings plc |
2,198 | 123,760 | (12 | ) | 0.0 | (g) | ||||||||||
Crest Nicholson Holdings plc |
98,014 | 703,480 | | 0.0 | (g) | |||||||||||
Persimmon plc |
19,096 | 678,379 | | 0.0 | (g) | |||||||||||
Redrow plc |
74,633 | 634,746 | | 0.0 | (g) | |||||||||||
Taylor Wimpey plc |
222,522 | 602,197 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
514,354 | 4,037,900 | (338 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail |
||||||||||||||||
WH Smith plc |
20,399 | 618,718 | (522 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Burberry Group plc |
29,753 | 667,258 | 213 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
606,085 | 5,576,547 | (659 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Wm Morrison Supermarkets plc |
33,794 | 106,521 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
Petrofac Ltd. |
76,167 | 573,910 | 1,170 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Capital Markets |
||||||||||||||||
3i Group plc |
12,865 | 170,114 | (19 | ) | 0.0 | (g) | ||||||||||
Investec plc |
79,978 | 621,369 | 213 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
92,843 | 791,483 | 194 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Airlines |
||||||||||||||||
International Consolidated Airlines Group SA |
11,353 | 103,158 | (40 | ) | 0.0 | (g) | ||||||||||
Wizz Air Holdings plc (a) |
15,736 | 773,407 | (323 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
27,089 | 876,565 | (363 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
||||||||||||||||
Spirax-Sarco Engineering plc |
9,674 | 779,169 | (328 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services |
||||||||||||||||
RELX plc |
6,322 | 139,905 | 54 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Howden Joinery Group plc |
12,169 | 80,244 | 22 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
55,254 | 1,875,883 | (615 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
Electrocomponents plc |
25,938 | 225,678 | 70 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Internet Software & Services |
||||||||||||||||
Moneysupermarket.com Group plc |
117,860 | 566,750 | 125 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
143,798 | 792,428 | 195 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Containers & Packaging |
||||||||||||||||
DS Smith plc |
111,008 | 793,401 | (31 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Anglo American plc |
32,996 | 799,854 | (614 | ) | 0.0 | (g) | ||||||||||
BHP Billiton plc |
3,543 | 78,903 | 226 | 0.0 | (g) | |||||||||||
Centamin plc |
38,993 | 90,220 | 198 | 0.0 | (g) | |||||||||||
Rio Tinto plc |
11,514 | 640,904 | (270 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
87,046 | 1,609,881 | (460 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Paper & Forest Products |
||||||||||||||||
Mondi plc |
21,023 | 560,329 | 54 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
219,077 | 2,963,611 | (437 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
BT Group plc |
169,974 | 621,009 | 4,512 | 0.0 | (g) | |||||||||||
Inmarsat plc |
105,449 | 695,049 | (409 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
275,423 | 1,316,058 | 4,103 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Wireless Telecommunication Services |
||||||||||||||||
Vodafone Group plc |
238,609 | 760,646 | (274 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
514,032 | 2,076,704 | 3,829 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Multi-Utilities |
||||||||||||||||
Centrica plc |
409,035 | 775,035 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
2,150,085 | 15,532,122 | 3,677 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Compass Group plc |
(38,547 | ) | (811,604 | ) | (217 | ) | 0.0 | (g) | ||||||||
Dominos Pizza Group plc |
(149,924 | ) | (718,861 | ) | | 0.0 | (g) | |||||||||
Merlin Entertainments plc |
(107,185 | ) | (500,085 | ) | | 0.0 | (g) | |||||||||
Whitbread plc |
(7,485 | ) | (412,535 | ) | (78 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(303,141 | ) | (2,443,085 | ) | (295 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Ocado Group plc (a) |
(43,936 | ) | (314,381 | ) | (223 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
ITV plc |
(323,600 | ) | (767,304 | ) | | 0.0 | (g) | |||||||||
WPP plc |
(41,307 | ) | (748,070 | ) | 1,474 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(364,907 | ) | (1,515,374 | ) | 1,474 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multiline Retail |
||||||||||||||||
B&M European Value Retail SA |
(45,622 | ) | (269,284 | ) | 121 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(757,606 | ) | (4,542,124 | ) | 1,077 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Tullow Oil plc (a) |
(172,939 | ) | (492,110 | ) | (1,629 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Barclays plc |
(254,235 | ) | (723,022 | ) | (1,288 | ) | 0.0 | (g) | ||||||||
Standard Chartered plc (a) |
(32,071 | ) | (373,154 | ) | 59 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(286,306 | ) | (1,096,176 | ) | (1,229 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets |
||||||||||||||||
Hargreaves Lansdown plc |
(28,100 | ) | (741,498 | ) | (396 | ) | 0.0 | (g) | ||||||||
NEX Group plc |
(89,280 | ) | (751,712 | ) | | 0.0 | (g) | |||||||||
St Jamess Place plc |
(15,596 | ) | (263,313 | ) | (131 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(132,976 | ) | (1,756,523 | ) | (527 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
| |||||||||||||||
Common Stocks continued |
| |||||||||||||||
Total Financials |
(419,282 | ) | (2,852,699 | ) | (1,756 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Pharmaceuticals |
||||||||||||||||
Hikma Pharmaceuticals plc |
(54,457 | ) | (748,895 | ) | (1,203 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Aerospace & Defense |
||||||||||||||||
Cobham plc (a) |
(400,521 | ) | (743,549 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies |
||||||||||||||||
Aggreko plc |
(66,027 | ) | (756,304 | ) | (130 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
||||||||||||||||
Balfour Beatty plc |
(201,398 | ) | (808,151 | ) | (328 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment |
||||||||||||||||
Melrose Industries plc |
(228,355 | ) | (733,871 | ) | 185 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrial Conglomerates |
||||||||||||||||
DCC plc |
(7,517 | ) | (790,088 | ) | 248 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Ashtead Group plc |
(3,246 | ) | (97,033 | ) | (17 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(907,064 | ) | (3,928,996 | ) | (42 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Croda International plc |
(12,597 | ) | (801,708 | ) | 293 | 0.0 | (g) | |||||||||
Johnson Matthey plc |
(16,208 | ) | (796,622 | ) | (375 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(28,805 | ) | (1,598,330 | ) | (82 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging |
||||||||||||||||
RPC Group plc |
(69,897 | ) | (844,435 | ) | 125 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Fresnillo plc |
(20,779 | ) | (397,827 | ) | (1,305 | ) | 0.0 | (g) | ||||||||
Randgold Resources Ltd. |
(7,984 | ) | (806,620 | ) | (3,345 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(28,763 | ) | (1,204,447 | ) | (4,650 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(127,465 | ) | (3,647,212 | ) | (4,607 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
Capital & Counties Properties plc |
(93,832 | ) | (394,056 | ) | (1,035 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Water Utilities |
||||||||||||||||
Pennon Group plc |
(40,140 | ) | (410,323 | ) | (773 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(2,572,785 | ) | (17,016,415 | ) | (9,968 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(422,700 | ) | (1,484,293 | ) | (6,291 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on short positions respectively, which is denominated in USD based on the local currencies of the positions within the swaps. | 10/29/2018 02/28/2019 |
$ | (60,754,579 | ) | $ | | $ | | $ | | |||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Household Durables |
||||||||||||||||
Toll Brothers, Inc. |
2,201 | 102,523 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Deckers Outdoor Corp. (a) |
9,046 | 775,333 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
11,247 | 877,856 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
National Oilwell Varco, Inc. |
2,493 | 91,443 | | 0.0 | (g) | |||||||||||
Noble Corp. plc (a) |
22,505 | 105,548 | | 0.0 | (g) | |||||||||||
RPC, Inc. |
11,023 | 222,665 | | 0.0 | (g) | |||||||||||
Transocean Ltd. (a) |
8,225 | 88,748 | | 0.0 | (g) | |||||||||||
Unit Corp. (a) |
4,912 | 119,018 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
49,158 | 627,422 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
CNX Resources Corp. (a) |
6,010 | 84,200 | | 0.0 | (g) | |||||||||||
CVR Energy, Inc. |
3,208 | 114,814 | | 0.0 | (g) | |||||||||||
Delek US Holdings, Inc. |
16,800 | 586,152 | | 0.0 | (g) | |||||||||||
Marathon Petroleum Corp. |
1,397 | 96,770 | | 0.0 | (g) | |||||||||||
Valero Energy Corp. |
941 | 90,308 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
28,356 | 972,244 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
77,514 | 1,599,666 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Capital Markets |
||||||||||||||||
BGC Partners, Inc. |
7,339 | 105,021 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
||||||||||||||||
CNO Financial Group, Inc. |
8,826 | 217,031 | | 0.0 | (g) | |||||||||||
First American Financial Corp. |
1,611 | 95,162 | | 0.0 | (g) | |||||||||||
Reinsurance Group of America, Inc. |
5,106 | 799,855 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
15,543 | 1,112,048 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
22,882 | 1,217,069 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Equipment & Supplies |
||||||||||||||||
Natus Medical, Inc. (a) |
3,531 | 109,638 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Life Sciences Tools & Services |
||||||||||||||||
ICON plc (a) |
899 | 98,458 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Mallinckrodt plc (a) |
7,422 | 134,041 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
11,852 | 342,137 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Air Freight & Logistics |
||||||||||||||||
Forward Air Corp. |
2,220 | 134,776 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
CDW Corp. |
4,836 | 361,684 | | 0.0 | (g) | |||||||||||
Dolby Laboratories, Inc. |
1,533 | 98,633 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
6,369 | 460,317 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
Lam Research Corp. |
504 | 96,526 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
||||||||||||||||
Fair Isaac Corp. |
2,600 | 448,916 | | 0.0 | (g) | |||||||||||
VMware, Inc. (a) |
1,800 | 222,822 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
4,400 | 671,738 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
||||||||||||||||
Apple, Inc. |
617 | 103,304 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
11,890 | 1,331,885 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Multi-Utilities |
||||||||||||||||
WEC Energy Group, Inc. |
1,759 | 113,104 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
139,364 | 5,616,493 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Visteon Corp. (a) |
(3,666 | ) | (476,873 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Chipotle Mexican Grill, Inc. (a) |
(868 | ) | (281,892 | ) | | 0.0 | (g) | |||||||||
MGM Resorts International |
(14,629 | ) | (533,227 | ) | | 0.0 | (g) | |||||||||
Planet Fitness, Inc. (a) |
(19,758 | ) | (667,030 | ) | | 0.0 | (g) | |||||||||
Red Robin Gourmet Burgers, Inc. (a) |
(7,056 | ) | (371,498 | ) | | 0.0 | (g) | |||||||||
Shake Shack, Inc. (a) |
(3,134 | ) | (136,987 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(45,445 | ) | (1,990,634 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Tempur Sealy International, Inc. (a) |
(9,665 | ) | (576,421 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Groupon, Inc. (a) |
(142,407 | ) | (753,333 | ) | | 0.0 | (g) | |||||||||
Netflix, Inc. (a) |
(2,337 | ) | (631,691 | ) | | 0.0 | (g) | |||||||||
Wayfair, Inc. (a) |
(8,217 | ) | (756,046 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(152,961 | ) | (2,141,070 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Leisure Products |
||||||||||||||||
Mattel, Inc. |
(45,460 | ) | (720,086 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Liberty Broadband Corp. (a) |
(4,778 | ) | (456,538 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail |
||||||||||||||||
Advance Auto Parts, Inc. |
(5,477 | ) | (640,754 | ) | | 0.0 | (g) | |||||||||
CarMax, Inc. (a) |
(7,159 | ) | (510,938 | ) | | 0.0 | (g) | |||||||||
L Brands, Inc. |
(11,144 | ) | (558,203 | ) | | 0.0 | (g) | |||||||||
Lumber Liquidators Holdings, Inc. (a) |
(2,797 | ) | (78,148 | ) | | 0.0 | (g) | |||||||||
Monro, Inc. |
(8,295 | ) | (468,668 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(34,872 | ) | (2,256,711 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
NIKE, Inc. |
(9,345 | ) | (637,516 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(306,192 | ) | (9,255,849 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Beverages |
||||||||||||||||
Coca-Cola Bottling Co. Consolidated |
(2,343 | ) | (474,504 | ) | | 0.0 | (g) | |||||||||
Molson Coors Brewing Co. |
(5,531 | ) | (464,715 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(7,874 | ) | (939,219 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing |
||||||||||||||||
Caseys General Stores, Inc. |
(4,177 | ) | (505,876 | ) | | 0.0 | (g) | |||||||||
Rite Aid Corp. (a) |
(345,509 | ) | (753,210 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(349,686 | ) | (1,259,086 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products |
||||||||||||||||
Blue Buffalo Pet Products, Inc. (a) |
(16,059 | ) | (545,685 | ) | | 0.0 | (g) | |||||||||
Lancaster Colony Corp. |
(3,823 | ) | (490,873 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(19,882 | ) | (1,036,558 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products |
||||||||||||||||
Avon Products, Inc. (a) |
(195,232 | ) | (476,366 | ) | | 0.0 | (g) | |||||||||
Coty, Inc. |
(29,339 | ) | (575,338 | ) | | 0.0 | (g) | |||||||||
elf Beauty, Inc. (a) |
(36,838 | ) | (757,389 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(261,409 | ) | (1,809,093 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
(638,851 | ) | (5,043,956 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
Weatherford International plc (a) |
(111,034 | ) | (437,474 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Anadarko Petroleum Corp. |
(9,538 | ) | (572,757 | ) | | 0.0 | (g) | |||||||||
Antero Resources Corp. (a) |
(26,593 | ) | (516,702 | ) | | 0.0 | (g) | |||||||||
Carrizo Oil & Gas, Inc. (a) |
(27,300 | ) | (549,003 | ) | | 0.0 | (g) | |||||||||
Chesapeake Energy Corp. (a) |
(159,048 | ) | (556,668 | ) | | 0.0 | (g) | |||||||||
Extraction Oil & Gas, Inc. (a) |
(30,653 | ) | (432,207 | ) | | 0.0 | (g) | |||||||||
Hess Corp. |
(11,086 | ) | (559,954 | ) | | 0.0 | (g) | |||||||||
Laredo Petroleum, Inc. (a) |
(36,950 | ) | (359,524 | ) | | 0.0 | (g) |
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Oil, Gas & Consumable Fuels continued |
||||||||||||||||
Matador Resources Co. (a) |
(17,599 | ) | (570,384 | ) | | 0.0 | (g) | |||||||||
Oasis Petroleum, Inc. (a) |
(55,118 | ) | (477,322 | ) | | 0.0 | (g) | |||||||||
Parsley Energy, Inc. (a) |
(17,437 | ) | (411,513 | ) | | 0.0 | (g) | |||||||||
PDC Energy, Inc. (a) |
(2,929 | ) | (151,869 | ) | | 0.0 | (g) | |||||||||
QEP Resources, Inc. (a) |
(53,964 | ) | (505,103 | ) | | 0.0 | (g) | |||||||||
Range Resources Corp. |
(23,009 | ) | (327,878 | ) | | 0.0 | (g) | |||||||||
RSP Permian, Inc. (a) |
(2,787 | ) | (110,588 | ) | | 0.0 | (g) | |||||||||
SM Energy Co. |
(14,984 | ) | (349,876 | ) | | 0.0 | (g) | |||||||||
WPX Energy, Inc. (a) |
(14,740 | ) | (217,120 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(503,735 | ) | (6,668,468 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
(614,769 | ) | (7,105,942 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Capital Markets |
||||||||||||||||
Financial Engines, Inc. |
(334 | ) | (9,502 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Finance |
||||||||||||||||
LendingClub Corp. (a) |
(25,464 | ) | (93,198 | ) | | 0.0 | (g) | |||||||||
PRA Group, Inc. (a) |
(16,045 | ) | (573,609 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(41,509 | ) | (666,807 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
||||||||||||||||
Markel Corp. (a) |
(432 | ) | (495,802 | ) | | 0.0 | (g) | |||||||||
RLI Corp. |
(7,988 | ) | (513,309 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(8,420 | ) | (1,009,111 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(50,263 | ) | (1,685,420 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Equipment & Supplies |
||||||||||||||||
DexCom, Inc. (a) |
(7,005 | ) | (407,691 | ) | | 0.0 | (g) | |||||||||
Glaukos Corp. (a) |
(24,671 | ) | (740,377 | ) | | 0.0 | (g) | |||||||||
Nevro Corp. (a) |
(5,764 | ) | (462,619 | ) | | 0.0 | (g) | |||||||||
Penumbra, Inc. (a) |
(6,778 | ) | (675,089 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(44,218 | ) | (2,285,776 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Providers & Services |
||||||||||||||||
Tenet Healthcare Corp. (a) |
(40,433 | ) | (763,375 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Technology |
||||||||||||||||
Teladoc, Inc. (a) |
(22,564 | ) | (843,894 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Aerie Pharmaceuticals, Inc. (a) |
(8,519 | ) | (467,267 | ) | | 0.0 | (g) | |||||||||
Dermira, Inc. (a) |
(17,285 | ) | (492,968 | ) | | 0.0 | (g) | |||||||||
Intra-Cellular Therapies, Inc. (a) |
(27,871 | ) | (474,364 | ) | | 0.0 | (g) | |||||||||
Medicines Co. (The) (a) |
(11,298 | ) | (374,303 | ) | | 0.0 | (g) | |||||||||
Nektar Therapeutics (a) |
(7,827 | ) | (654,415 | ) | | 0.0 | (g) | |||||||||
Pacira Pharmaceuticals, Inc. (a) |
(3,591 | ) | (130,712 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(76,391 | ) | (2,594,029 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(183,606 | ) | (6,487,074 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Aerospace & Defense |
||||||||||||||||
Axon Enterprise, Inc. (a) |
(27,756 | ) | (734,424 | ) | | 0.0 | (g) | |||||||||
Cubic Corp. |
(8,815 | ) | (511,711 | ) | | 0.0 | (g) | |||||||||
Mercury Systems, Inc. (a) |
(8,756 | ) | (420,463 | ) | | 0.0 | (g) | |||||||||
TransDigm Group, Inc. |
(1,968 | ) | (623,679 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(47,295 | ) | (2,290,277 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Air Freight & Logistics |
||||||||||||||||
Hub Group, Inc. (a) |
(12,647 | ) | (607,688 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Airlines |
||||||||||||||||
Spirit Airlines, Inc. (a) |
(4,554 | ) | (191,814 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Building Products |
||||||||||||||||
Armstrong World Industries, Inc. (a) |
(204 | ) | (12,791 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies |
||||||||||||||||
Clean Harbors, Inc. (a) |
(9,361 | ) | (518,038 | ) | | 0.0 | (g) | |||||||||
Covanta Holding Corp. |
(2,360 | ) | (38,586 | ) | | 0.0 | (g) | |||||||||
Healthcare Services Group, Inc. |
(9,639 | ) | (531,880 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(21,360 | ) | (1,088,504 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Construction & Engineering |
||||||||||||||||
Dycom Industries, Inc. (a) |
(6,371 | ) | (743,559 | ) | | 0.0 | (g) | |||||||||
Granite Construction, Inc. |
(8,885 | ) | (592,541 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(15,256 | ) | (1,336,100 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment |
||||||||||||||||
Acuity Brands, Inc. |
(2,669 | ) | (412,200 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
||||||||||||||||
CIRCOR International, Inc. |
(9,675 | ) | (512,969 | ) | | 0.0 | (g) | |||||||||
EnPro Industries, Inc. |
(5,677 | ) | (499,519 | ) | | 0.0 | (g) | |||||||||
Flowserve Corp. |
(2,406 | ) | (109,040 | ) | | 0.0 | (g) | |||||||||
REV Group, Inc. |
(16,221 | ) | (474,626 | ) | | 0.0 | (g) | |||||||||
Welbilt, Inc. (a) |
(20,526 | ) | (457,730 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(54,505 | ) | (2,053,884 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Marine |
||||||||||||||||
Matson, Inc. |
(16,177 | ) | (553,415 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail |
||||||||||||||||
AMERCO |
(1,373 | ) | (501,255 | ) | | 0.0 | (g) | |||||||||
Avis Budget Group, Inc. (a) |
(15,338 | ) | (689,596 | ) | | 0.0 | (g) | |||||||||
Hertz Global Holdings, Inc. (a) |
(31,821 | ) | (729,656 | ) | | 0.0 | (g) | |||||||||
Werner Enterprises, Inc. |
(14,752 | ) | (600,406 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(63,284 | ) | (2,520,913 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Herc Holdings, Inc. (a) |
(9,252 | ) | (608,041 | ) | | 0.0 | (g) | |||||||||
SiteOne Landscape Supply, Inc. (a) |
(7,458 | ) | (568,001 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(16,710 | ) | (1,176,042 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
||||||||||||||||
Macquarie Infrastructure Corp. |
(6,669 | ) | (442,488 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(261,330 | ) | (12,686,116 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Communications Equipment |
||||||||||||||||
Infinera Corp. (a) |
(51,166 | ) | (331,044 | ) | | 0.0 | (g) | |||||||||
ViaSat, Inc. (a) |
(6,255 | ) | (473,003 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(57,421 | ) | (804,047 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
Fitbit, Inc. (a) |
(74,928 | ) | (385,879 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
||||||||||||||||
2U, Inc. (a) |
(173 | ) | (12,849 | ) | | 0.0 | (g) | |||||||||
Benefitfocus, Inc. (a) |
(25,146 | ) | (633,679 | ) | | 0.0 | (g) | |||||||||
Box, Inc. (a) |
(24,336 | ) | (541,233 | ) | | 0.0 | (g) | |||||||||
Cloudera, Inc. (a) |
(40,476 | ) | (757,711 | ) | | 0.0 | (g) | |||||||||
Cornerstone OnDemand, Inc. (a) |
(11,459 | ) | (471,309 | ) | | 0.0 | (g) | |||||||||
Coupa Software, Inc. (a) |
(19,871 | ) | (759,668 | ) | | 0.0 | (g) | |||||||||
Etsy, Inc. (a) |
(30,220 | ) | (566,927 | ) | | 0.0 | (g) | |||||||||
GrubHub, Inc. (a) |
(10,279 | ) | (742,658 | ) | | 0.0 | (g) | |||||||||
GTT Communications, Inc. (a) |
(13,782 | ) | (636,039 | ) | | 0.0 | (g) | |||||||||
MINDBODY, Inc. (a) |
(21,734 | ) | (763,950 | ) | | 0.0 | (g) | |||||||||
MuleSoft, Inc. (a) |
(2,668 | ) | (65,579 | ) | | 0.0 | (g) | |||||||||
New Relic, Inc. (a) |
(14 | ) | (836 | ) | | 0.0 | (g) | |||||||||
Nutanix, Inc. (a) |
(24,499 | ) | (786,418 | ) | | 0.0 | (g) | |||||||||
Pandora Media, Inc. (a) |
(138,015 | ) | (659,712 | ) | | 0.0 | (g) | |||||||||
Q2 Holdings, Inc. (a) |
(12,118 | ) | (513,197 | ) | | 0.0 | (g) | |||||||||
SPS Commerce, Inc. (a) |
(8,020 | ) | (421,852 | ) | | 0.0 | (g) | |||||||||
Twilio, Inc. (a) |
(28,370 | ) | (744,429 | ) | | 0.0 | (g) | |||||||||
Zillow Group, Inc. (a) |
(12,322 | ) | (547,836 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(423,502 | ) | (9,625,882 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services |
||||||||||||||||
InterXion Holding NV (a) |
(1,247 | ) | (78,249 | ) | | 0.0 | (g) | |||||||||
Syntel, Inc. (a) |
(27,697 | ) | (624,567 | ) | | 0.0 | (g) | |||||||||
WEX, Inc. (a) |
(4,016 | ) | (621,717 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(32,960 | ) | (1,324,533 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
Advanced Micro Devices, Inc. (a) |
(5,589 | ) | (76,793 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
|
|||||||||||||||
Blackline, Inc. (a) |
(5,357 | ) | (178,013 | ) | | 0.0 | (g) | |||||||||
FireEye, Inc. (a) |
(15,557 | ) | (234,600 | ) | | 0.0 | (g) | |||||||||
Globant SA (a) |
(10,966 | ) | (498,295 | ) | | 0.0 | (g) | |||||||||
Imperva, Inc. (a) |
(4,056 | ) | (177,450 | ) | | 0.0 | (g) | |||||||||
Pegasystems, Inc. |
(9,192 | ) | (467,413 | ) | | 0.0 | (g) | |||||||||
RingCentral, Inc. (a) |
(2,307 | ) | (125,270 | ) | | 0.0 | (g) | |||||||||
ServiceNow, Inc. (a) |
(4,254 | ) | (633,293 | ) | | 0.0 | (g) | |||||||||
Snap, Inc. (a) |
(61,577 | ) | (832,521 | ) | | 0.0 | (g) | |||||||||
Splunk, Inc. (a) |
(1,749 | ) | (161,555 | ) | | 0.0 | (g) | |||||||||
Tableau Software, Inc. (a) |
(1,567 | ) | (120,361 | ) | | 0.0 | (g) | |||||||||
Workday, Inc. (a) |
(551 | ) | (66,059 | ) | | 0.0 | (g) | |||||||||
Zendesk, Inc. (a) |
(3,940 | ) | (151,769 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(121,073 | ) | (3,646,599 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
Cray, Inc. (a) |
(23,922 | ) | (580,109 | ) | | 0.0 | (g) | |||||||||
Pure Storage, Inc. (a) |
(3,670 | ) | (73,914 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(27,592 | ) | (654,023 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
(743,065 | ) | (16,517,756 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
|
|||||||||||||||
Chemicals |
|
|||||||||||||||
CF Industries Holdings, Inc. |
(13,550 | ) | (575,062 | ) | | 0.0 | (g) | |||||||||
GCP Applied Technologies, Inc. (a) |
(14,698 | ) | (490,913 | ) | | 0.0 | (g) | |||||||||
RPM International, Inc. |
(10,059 | ) | (525,080 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(38,307 | ) | (1,591,055 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction Materials |
|
|||||||||||||||
Martin Marietta Materials, Inc. |
(2,247 | ) | (512,698 | ) | | 0.0 | (g) | |||||||||
Vulcan Materials Co. |
(4,378 | ) | (592,781 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(6,625 | ) | (1,105,479 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging |
|
|||||||||||||||
Ball Corp. |
(11,079 | ) | (424,104 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
|
|||||||||||||||
Carpenter Technology Corp. |
(9,376 | ) | (481,926 | ) | | 0.0 | (g) | |||||||||
Coeur Mining, Inc. (a) |
(52,478 | ) | (421,923 | ) | | 0.0 | (g) | |||||||||
Compass Minerals International, Inc. |
(9,974 | ) | (727,105 | ) | | 0.0 | (g) | |||||||||
Hecla Mining Co. |
(6,117 | ) | (23,489 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(77,945 | ) | (1,654,443 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(133,956 | ) | (4,775,081 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
|
|||||||||||||||
Electric Utilities |
|
|||||||||||||||
Southern Co. (The) |
(9,997 | ) | (450,965 | ) | | 0.0 | (g) | |||||||||
Westar Energy, Inc. |
(9,210 | ) | (475,789 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(19,207 | ) | (926,754 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities |
|
|||||||||||||||
Dominion Energy, Inc. |
(179 | ) | (13,683 | ) | | 0.0 | (g) | |||||||||
NiSource, Inc. |
(18,351 | ) | (452,903 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(18,530 | ) | (466,586 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Water Utilities |
|
|||||||||||||||
American Water Works Co., Inc. |
(5,602 | ) | (465,918 | ) | | 0.0 | (g) | |||||||||
Aqua America, Inc. |
(13,515 | ) | (489,378 | ) | | 0.0 | (g) | |||||||||
California Water Service Group |
(11,431 | ) | (465,242 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(30,548 | ) | (1,420,538 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(68,285 | ) | (2,813,878 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(3,000,317 | ) | (66,371,072 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(2,860,953 | ) | (60,754,579 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, which is denominated in CAD based on the local currencies of the positions within the swaps. | 10/29/2018 | $ | (8,218,656 | ) | $ | | $ | | $ | | |||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Parkland Fuel Corp. |
22,099 | 518,338 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Thrifts & Mortgage Finance |
||||||||||||||||
Genworth MI Canada, Inc. |
16,538 | 567,939 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
38,637 | 1,086,277 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Media |
||||||||||||||||
Cineplex, Inc. |
(8,214 | ) | (209,824 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
MEG Energy Corp. (a) |
(111,184 | ) | (502,588 | ) | | 0.0 | (g) | |||||||||
Raging River Exploration, Inc. (a) |
(118,402 | ) | (717,150 | ) | | 0.0 | (g) | |||||||||
Seven Generations Energy Ltd. (a) |
(32,764 | ) | (456,831 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
(262,350 | ) | (1,676,569 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Aerospace & Defense |
||||||||||||||||
Bombardier, Inc. (a) |
(85,841 | ) | (242,867 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
||||||||||||||||
SNC-Lavalin Group, Inc. |
(18,589 | ) | (822,299 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(104,430 | ) | (1,065,166 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Containers & Packaging |
||||||||||||||||
CCL Industries, Inc. |
(15,749 | ) | (753,263 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Eldorado Gold Corp. |
(586,662 | ) | (758,368 | ) | | 0.0 | (g) | |||||||||
Endeavour Mining Corp. (a) |
(16,734 | ) | (308,967 | ) | | 0.0 | (g) | |||||||||
First Quantum Minerals Ltd. |
(20,445 | ) | (304,847 | ) | | 0.0 | (g) | |||||||||
Franco-Nevada Corp. |
(4,951 | ) | (378,570 | ) | | 0.0 | (g) | |||||||||
Goldcorp, Inc. |
(53,626 | ) | (767,767 | ) | | 0.0 | (g) | |||||||||
Ivanhoe Mines Ltd. (a) |
(244,692 | ) | (700,257 | ) | | 0.0 | (g) | |||||||||
New Gold, Inc. (a) |
(9,816 | ) | (29,687 | ) | | 0.0 | (g) | |||||||||
Wheaton Precious Metals Corp. |
(37,463 | ) | (809,262 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(974,389 | ) | (4,057,725 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(990,138 | ) | (4,810,988 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Hydro One Ltd. |
(40,281 | ) | (727,350 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Independent Power and Renewable Electricity Producers |
||||||||||||||||
Algonquin Power & Utilities Corp. |
(75,037 | ) | (815,036 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(115,318 | ) | (1,542,386 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(1,480,450 | ) | (9,304,933 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(1,441,813 | ) | (8,218,656 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, which is denominated in EUR based on the local currencies of the positions within the swaps. | 10/31/2018 | $ | (28,726,411 | ) | $ | (3,895 | ) | $ | | $ | (3,895 | ) | |||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Automobiles |
||||||||||||||||
Peugeot SA |
4,758 | 106,871 | 8 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Mediaset Espana Comunicacion SA |
46,403 | 524,760 | 33 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
51,161 | 631,631 | 41 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Covestro AG |
5,699 | 656,242 | 1,183 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Enel SpA |
79,276 | 503,989 | 1,037 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
136,136 | 1,791,862 | 2,261 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Accor SA |
(4,999 | ) | (284,518 | ) | 50 | 0.0 | (g) | |||||||||
Melia Hotels International SA |
(52,110 | ) | (736,406 | ) | 1,142 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(57,109 | ) | (1,020,924 | ) | 1,192 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Zalando SE (a) |
(5,323 | ) | (311,992 | ) | (190 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Leisure Products |
||||||||||||||||
Amer Sports OYJ (a) |
(28,788 | ) | (812,728 | ) | (318 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Altice NV (a) |
(12,776 | ) | (137,013 | ) | 289 | 0.0 | (g) | |||||||||
JCDecaux SA |
(16,767 | ) | (725,382 | ) | 301 | 0.0 | (g) | |||||||||
Telenet Group Holding NV (a) |
(10,215 | ) | (785,832 | ) | (155 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(39,758 | ) | (1,648,227 | ) | 435 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Salvatore Ferragamo SpA |
(24,654 | ) | (694,492 | ) | (888 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(155,632 | ) | (4,488,363 | ) | 231 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Beverages |
||||||||||||||||
Anheuser-Busch InBev SA/NV |
(4,023 | ) | (455,643 | ) | (421 | ) | 0.0 | (g) | ||||||||
Davide Campari-Milano SpA |
(94,783 | ) | (754,960 | ) | (645 | ) | 0.0 | (g) | ||||||||
Remy Cointreau SA |
(6,127 | ) | (806,387 | ) | (47 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(104,933 | ) | (2,016,990 | ) | (1,113 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing |
||||||||||||||||
Carrefour SA |
(31,391 | ) | (748,594 | ) | 2,620 | 0.0 | (g) | |||||||||
Kesko OYJ |
(13,966 | ) | (814,567 | ) | (478 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(45,357 | ) | (1,563,161 | ) | 2,142 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
(150,290 | ) | (3,580,151 | ) | 1,029 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
Vallourec SA (a) |
(70,796 | ) | (484,847 | ) | 167 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Financials |
|
|||||||||||||||
Capital Markets |
|
|||||||||||||||
Deutsche Bank AG (Registered) |
(38,838 | ) | (714,645 | ) | (1,288 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Diversified Financial Services |
|
|||||||||||||||
Wendel SA |
(1,685 | ) | (314,180 | ) | (169 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(40,523 | ) | (1,028,825 | ) | (1,457 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
|
|||||||||||||||
Life Sciences Tools & Services |
|
|||||||||||||||
Eurofins Scientific SE |
(1,144 | ) | (744,701 | ) | 974 | 0.0 | (g) | |||||||||
MorphoSys AG (a) |
(2,622 | ) | (258,654 | ) | (180 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(3,766 | ) | (1,003,355 | ) | 794 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
|
|||||||||||||||
Commercial Services & Supplies |
|
|||||||||||||||
Societe BIC SA |
(6,770 | ) | (775,264 | ) | 545 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
|
|||||||||||||||
Ferrovial SA |
(32,954 | ) | (756,520 | ) | (633 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment |
|
|||||||||||||||
Nexans SA |
(13,191 | ) | (800,093 | ) | 1,084 | 0.0 | (g) | |||||||||
OSRAM Licht AG |
(8,554 | ) | (747,603 | ) | (364 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(21,745 | ) | (1,547,696 | ) | 720 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrial Conglomerates |
|
|||||||||||||||
Siemens AG (Registered) |
(5,026 | ) | (762,968 | ) | (686 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
|
|||||||||||||||
Alstom SA |
(6,406 | ) | (280,996 | ) | 155 | 0.0 | (g) | |||||||||
GEA Group AG |
(15,033 | ) | (747,699 | ) | (570 | ) | 0.0 | (g) | ||||||||
KION Group AG |
(8,259 | ) | (759,124 | ) | (1,152 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(29,698 | ) | (1,787,819 | ) | (1,567 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services |
|
|||||||||||||||
Bureau Veritas SA |
(26,746 | ) | (783,742 | ) | 264 | 0.0 | (g) | |||||||||
Teleperformance |
(4,967 | ) | (752,768 | ) | 196 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(31,713 | ) | (1,536,510 | ) | 460 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
|
|||||||||||||||
Brenntag AG |
(2,795 | ) | (181,446 | ) | (236 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
|
|||||||||||||||
Aeroports de Paris |
(3,887 | ) | (807,295 | ) | 79 | 0.0 | (g) | |||||||||
Getlink SE |
(19,218 | ) | (269,619 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(23,105 | ) | (1,076,914 | ) | 79 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(153,806 | ) | (8,425,137 | ) | (1,318 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
|
|||||||||||||||
Communications Equipment |
|
|||||||||||||||
Nokia OYJ |
(164,986 | ) | (795,817 | ) | (1,659 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
|
|||||||||||||||
Delivery Hero AG (a) |
(17,520 | ) | (751,748 | ) | | 0.0 | (g) | |||||||||
United Internet AG (Registered) |
(11,181 | ) | (815,776 | ) | (916 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(28,701 | ) | (1,567,524 | ) | (916 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
ASML Holding NV |
(3,673 | ) | (744,659 | ) | (432 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
|
|||||||||||||||
Dassault Systemes SE |
(6,540 | ) | (753,951 | ) | 210 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
(203,900 | ) | (3,861,951 | ) | (2,797 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
|
|||||||||||||||
Chemicals |
|
|||||||||||||||
Air Liquide SA |
(5,595 | ) | (754,463 | ) | (424 | ) | 0.0 | (g) | ||||||||
Symrise AG |
(9,726 | ) | (815,058 | ) | (1,665 | ) | 0.0 | (g) | ||||||||
Umicore SA |
(13,886 | ) | (731,016 | ) | (722 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(29,207 | ) | (2,300,537 | ) | (2,811 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction Materials |
|
|||||||||||||||
Buzzi Unicem SpA |
(25,631 | ) | (752,557 | ) | 37 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging |
|
|||||||||||||||
Huhtamaki OYJ |
(19,494 | ) | (832,182 | ) | (333 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Metals & Mining |
||||||||||||||||
Acerinox SA |
(53,800 | ) | (791,146 | ) | 46 | 0.0 | (g) | |||||||||
thyssenkrupp AG |
(9,598 | ) | (302,194 | ) | (232 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(63,398 | ) | (1,093,340 | ) | (186 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(137,730 | ) | (4,978,616 | ) | (3,293 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
Iliad SA |
(1,623 | ) | (419,915 | ) | 19 | 0.0 | (g) | |||||||||
Orange SA |
(41,023 | ) | (741,273 | ) | (465 | ) | 0.0 | (g) | ||||||||
Vivendi SA |
(26,193 | ) | (767,443 | ) | 1,002 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
(68,839 | ) | (1,928,631 | ) | 556 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Fortum OYJ |
(34,050 | ) | (738,397 | ) | (68 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(1,019,332 | ) | (30,518,273 | ) | (6,156 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(883,196 | ) | (28,726,411 | ) | (3,895 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in CHF based on the local currencies of the positions within the swaps. |
10/31/2018 | $ | 28,214 | $ | (776 | ) | $ | | $ | (776 | ) | ||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Staples |
||||||||||||||||
Food Products |
||||||||||||||||
Nestle SA (Registered) |
8,425 | 727,768 | (181 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Insurance |
||||||||||||||||
Baloise Holding AG (Registered) |
3,488 | 570,645 | (102 | ) | 0.0 | (g) | ||||||||||
Swiss Life Holding AG (Registered) (a) |
241 | 90,495 | (1 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
3,729 | 661,140 | (103 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Pharmaceuticals |
||||||||||||||||
Novartis AG (Registered) |
6,690 | 603,820 | (1,389 | ) | 0.0 | (g) | ||||||||||
Roche Holding AG |
431 | 107,699 | (103 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
7,121 | 711,519 | (1,492 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Machinery |
||||||||||||||||
Georg Fischer AG (Registered) |
57 | 82,516 | (37 | ) | 0.0 | (g) | ||||||||||
Schindler Holding AG |
2,477 | 620,645 | (501 | ) | 0.0 | (g) | ||||||||||
VAT Group AG (a) |
4,328 | 691,427 | (495 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
6,862 | 1,394,588 | (1,033 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions - continued |
|
|||||||||||||||
Common Stocks - continued |
|
|||||||||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
Swiss Prime Site AG (Registered) (a) |
6,984 | 676,138 | 812 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
Sunrise Communications Group AG (a) |
6,736 | 633,343 | 90 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
39,857 | 4,804,496 | (1,907 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Specialty Retail |
||||||||||||||||
Dufry AG (Registered) (a) |
(1,537 | ) | (238,431 | ) | 520 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food Products |
||||||||||||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) |
(10 | ) | (747,416 | ) | 368 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Pharmaceuticals |
||||||||||||||||
Vifor Pharma AG |
(5,037 | ) | (740,790 | ) | 622 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Machinery |
||||||||||||||||
Sulzer AG (Registered) |
(5,199 | ) | (738,863 | ) | 699 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services |
||||||||||||||||
DKSH Holding AG |
(8,429 | ) | (788,337 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(13,628 | ) | (1,527,200 | ) | 699 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
ams AG (a) |
(7,816 | ) | (722,239 | ) | (1,059 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Clariant AG (Registered) (a) |
(27,957 | ) | (800,206 | ) | (19 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(55,985 | ) | (4,776,282 | ) | 1,131 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(16,128 | ) | 28,214 | (776 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/29/2018 | $ | (1,539,084 | ) | $ | 10,271 | $ | $ | 10,271 | ||||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary |
|
|||||||||||||||
Hotels, Restaurants & Leisure |
|
|||||||||||||||
Aristocrat Leisure Ltd. |
3,800 | 73,013 | (170 | ) | 0.0 | (g) | ||||||||||
Flight Centre Travel Group Ltd. |
19,515 | 801,813 | (643 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
23,315 | 874,826 | (813 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Metcash Ltd. |
31,770 | 81,933 | 12 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Caltex Australia Ltd. |
21,398 | 598,930 | (592 | ) | 0.0 | (g) | ||||||||||
Whitehaven Coal Ltd. |
192,030 | 761,829 | (2,576 | ) | 0.0 | (g) | ||||||||||
Woodside Petroleum Ltd. |
23,487 | 627,078 | 255 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
236,915 | 1,987,837 | (2,913 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Airlines |
||||||||||||||||
Qantas Airways Ltd. |
64,934 | 275,184 | (562 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Internet Software & Services |
||||||||||||||||
carsales.com Ltd. (a) |
51,997 | 628,082 | (406 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services |
||||||||||||||||
Computershare Ltd. |
59,672 | 800,962 | (2,036 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
111,669 | 1,429,044 | (2,442 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
BHP Billiton Ltd. |
32,550 | 796,015 | 3,906 | 0.0 | (g) | |||||||||||
BlueScope Steel Ltd. |
8,282 | 96,179 | (589 | ) | 0.0 | (g) | ||||||||||
Fortescue Metals Group Ltd. |
33,637 | 133,580 | (859 | ) | 0.0 | (g) | ||||||||||
OZ Minerals Ltd. |
42,121 | 316,648 | (701 | ) | 0.0 | (g) | ||||||||||
Regis Resources Ltd. |
59,791 | 198,589 | 89 | 0.0 | (g) | |||||||||||
Rio Tinto Ltd. |
1,481 | 91,183 | (529 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
177,862 | 1,632,194 | 1,317 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
646,465 | 6,281,018 | (5,401 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Distributors |
||||||||||||||||
Bapcor Ltd. |
(168,639 | ) | (792,947 | ) | 647 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Crown Resorts Ltd. |
(74,296 | ) | (791,948 | ) | 1,300 | 0.0 | (g) | |||||||||
Dominos Pizza Enterprises Ltd. |
(2,544 | ) | (98,097 | ) | 280 | 0.0 | (g) | |||||||||
Star Entertainment Grp Ltd. (The) |
(155,692 | ) | (759,381 | ) | 886 | 0.0 | (g) | |||||||||
Tabcorp Holdings Ltd. |
(194,012 | ) | (807,623 | ) | 628 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(426,544 | ) | (2,457,049 | ) | 3,094 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(595,183 | ) | (3,249,996 | ) | 3,741 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Diversified Financial Services |
||||||||||||||||
AMP Ltd. |
(60,667 | ) | (256,250 | ) | 399 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Providers & Services |
||||||||||||||||
Healthscope Ltd. |
(259,545 | ) | (403,780 | ) | (137 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Mayne Pharma Group Ltd. (a) |
(145,565 | ) | (77,725 | ) | 277 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(405,110 | ) | (481,505 | ) | 140 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Commercial Services & Supplies |
||||||||||||||||
Brambles Ltd. |
(45,555 | ) | (362,285 | ) | 1,127 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Nufarm Ltd. |
(120,761 | ) | (774,210 | ) | 1,344 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging |
||||||||||||||||
Amcor Ltd. |
(68,630 | ) | (802,501 | ) | 2,697 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Iluka Resources Ltd. |
(99,691 | ) | (809,076 | ) | 3,873 | 0.0 | (g) | |||||||||
Independence Group NL |
(64,671 | ) | (260,367 | ) | 1,756 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(164,362 | ) | (1,069,443 | ) | 5,629 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(353,753 | ) | (2,646,154 | ) | 9,670 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
AusNet Services |
(603,667 | ) | (823,912 | ) | 595 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(2,063,935 | ) | (7,820,102 | ) | 15,672 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(1,417,470 | ) | (1,539,084 | ) | 10,271 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in JPY based on the local currencies of the positions within the swaps. | 10/29/2018 | $ | (35,582,210 | ) | $ | (127,877 | ) | $ | | $ | (127,877 | ) | |||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
TS Tech Co. Ltd. |
14,100 | 604,279 | 1,764 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Pharmaceuticals |
||||||||||||||||
Astellas Pharma, Inc. |
39,600 | 520,788 | (1,553 | ) | 0.0 | (g) | ||||||||||
Kaken Pharmaceutical Co. Ltd. |
10,300 | 539,727 | 55 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
49,900 | 1,060,515 | (1,498 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Trading Companies & Distributors |
||||||||||||||||
Sumitomo Corp. |
34,100 | 589,610 | 2,691 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Mitsui Chemicals, Inc. |
16,100 | 507,631 | 2,525 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Kansai Electric Power Co., Inc. (The) |
34,800 | 433,633 | 2,179 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
149,000 | 3,195,668 | 7,661 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
HIS Co. Ltd. |
(22,100 | ) | (800,585 | ) | (2,985 | ) | 0.0 | (g) | ||||||||
Kyoritsu Maintenance Co. Ltd. |
(17,300 | ) | (713,634 | ) | 267 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(39,400 | ) | (1,514,219 | ) | (2,718 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Rakuten, Inc. |
(89,800 | ) | (812,679 | ) | (1,789 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Leisure Products |
||||||||||||||||
Sankyo Co. Ltd. |
(23,700 | ) | (770,026 | ) | (1,518 | ) | 0.0 | (g) | ||||||||
Shimano, Inc. |
(5,200 | ) | (745,360 | ) | (2,298 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(28,900 | ) | (1,515,386 | ) | (3,816 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Multiline Retail |
||||||||||||||||
Don Quijote Holdings Co. Ltd. |
(13,500 | ) | (747,982 | ) | 163 | 0.0 | (g) | |||||||||
Isetan Mitsukoshi Holdings Ltd. |
(17,700 | ) | (212,638 | ) | (1,055 | ) | 0.0 | (g) | ||||||||
Marui Group Co. Ltd. |
(40,200 | ) | (734,790 | ) | (3,479 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(71,400 | ) | (1,695,410 | ) | (4,371 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail |
||||||||||||||||
United Arrows Ltd. (a) |
(17,800 | ) | (782,888 | ) | (1,071 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(247,300 | ) | (6,320,582 | ) | (13,765 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Aeon Co. Ltd. |
(46,300 | ) | (790,444 | ) | (2,661 | ) | 0.0 | (g) | ||||||||
FamilyMart UNY Holdings Co. Ltd. |
(8,900 | ) | (598,566 | ) | (3,440 | ) | 0.0 | (g) | ||||||||
Sugi Holdings Co. Ltd. |
(14,100 | ) | (751,841 | ) | (1,442 | ) | 0.0 | (g) | ||||||||
Tsuruha Holdings, Inc. |
(5,300 | ) | (740,195 | ) | (2,263 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(74,600 | ) | (2,881,046 | ) | (9,806 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products |
||||||||||||||||
Ezaki Glico Co. Ltd. |
(15,900 | ) | (811,371 | ) | (1,588 | ) | 0.0 | (g) | ||||||||
Kewpie Corp. |
(15,200 | ) | (434,876 | ) | (1,167 | ) | 0.0 | (g) | ||||||||
Kikkoman Corp. |
(18,000 | ) | (747,359 | ) | (3,749 | ) | 0.0 | (g) | ||||||||
Nissin Foods Holdings Co. Ltd. |
(10,100 | ) | (749,382 | ) | (1,850 | ) | 0.0 | (g) | ||||||||
Yamazaki Baking Co. Ltd. |
(39,600 | ) | (781,277 | ) | (2,118 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(98,800 | ) | (3,524,265 | ) | (10,472 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products |
||||||||||||||||
Shiseido Co. Ltd. |
(15,500 | ) | (796,036 | ) | (804 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
(188,900 | ) | (7,201,347 | ) | (21,082 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Shinsei Bank Ltd. |
(44,000 | ) | (769,320 | ) | (3,139 | ) | 0.0 | (g) | ||||||||
Suruga Bank Ltd. |
(38,100 | ) | (772,446 | ) | (3,955 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(82,100 | ) | (1,541,766 | ) | (7,094 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Finance |
||||||||||||||||
Acom Co. Ltd. (a) |
(70,000 | ) | (306,269 | ) | (1,056 | ) | 0.0 | (g) | ||||||||
Aiful Corp. (a) |
(85,500 | ) | (310,765 | ) | (1,408 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(155,500 | ) | (617,034 | ) | (2,464 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
||||||||||||||||
Dai-ichi Life Holdings, Inc. |
(37,300 | ) | (786,567 | ) | (5,683 | ) | 0.0 | (g) | ||||||||
Sony Financial Holdings, Inc. |
(43,100 | ) | (792,729 | ) | (5,504 | ) | 0.0 | (g) | ||||||||
T&D Holdings, Inc. |
(41,800 | ) | (749,483 | ) | (5,529 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(122,200 | ) | (2,328,779 | ) | (16,716 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(359,800 | ) | (4,487,579 | ) | (26,274 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Equipment & Supplies |
||||||||||||||||
Sysmex Corp. |
(9,600 | ) | (755,689 | ) | (2,955 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Chugai Pharmaceutical Co. Ltd. |
(13,800 | ) | (729,360 | ) | 16 | 0.0 | (g) | |||||||||
Santen Pharmaceutical Co. Ltd. |
(44,900 | ) | (729,064 | ) | 3,435 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(58,700 | ) | (1,458,424 | ) | 3,451 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(68,300 | ) | (2,214,113 | ) | 496 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Air Freight & Logistics |
||||||||||||||||
Yamato Holdings Co. Ltd. |
(17,000 | ) | (439,023 | ) | (1,137 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
||||||||||||||||
JGC Corp. |
(36,900 | ) | (801,963 | ) | (5,623 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrial Conglomerates |
||||||||||||||||
Keihan Holdings Co. Ltd. |
(23,900 | ) | (757,671 | ) | (2,381 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
||||||||||||||||
FANUC Corp. |
(2,700 | ) | (732,830 | ) | (3,852 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail |
||||||||||||||||
Keio Corp. |
(9,600 | ) | (457,115 | ) | (1,605 | ) | 0.0 | (g) | ||||||||
Kintetsu Group Holdings Co. Ltd. |
(18,600 | ) | (736,448 | ) | (2,125 | ) | 0.0 | (g) | ||||||||
Odakyu Electric Railway Co. Ltd. |
(15,300 | ) | (337,941 | ) | (1,585 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(43,500 | ) | (1,531,504 | ) | (5,315 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Trading Companies & Distributors |
|
|||||||||||||||
MonotaRO Co. Ltd. |
(16,000 | ) | (506,058 | ) | (1,158 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
|
|||||||||||||||
Mitsubishi Logistics Corp. |
(17,000 | ) | (446,805 | ) | (2,690 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(157,000 | ) | (5,215,854 | ) | (22,156 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
|
|||||||||||||||
Electronic Equipment, Instruments & Components |
|
|||||||||||||||
Alps Electric Co. Ltd. |
(26,200 | ) | (757,117 | ) | (3,540 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
|
|||||||||||||||
GMO internet, Inc. |
(14,100 | ) | (258,326 | ) | (1,822 | ) | 0.0 | (g) | ||||||||
Kakaku.com, Inc. |
(43,600 | ) | (766,034 | ) | (2,824 | ) | 0.0 | (g) | ||||||||
Yahoo Japan Corp. (a) |
(159,500 | ) | (769,328 | ) | (2,291 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(217,200 | ) | (1,793,688 | ) | (6,937 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
Advantest Corp. |
(37,500 | ) | (801,426 | ) | (3,816 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
|
|||||||||||||||
Capcom Co. Ltd. |
(21,300 | ) | (814,814 | ) | (4,138 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
Ricoh Co. Ltd. |
(79,600 | ) | (784,609 | ) | (2,973 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
(381,800 | ) | (4,951,654 | ) | (21,404 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
|
|||||||||||||||
Chemicals |
|
|||||||||||||||
Kansai Paint Co. Ltd. |
(31,500 | ) | (779,149 | ) | (1,532 | ) | 0.0 | (g) | ||||||||
Nippon Shokubai Co. Ltd. |
(11,300 | ) | (804,690 | ) | (2,501 | ) | 0.0 | (g) | ||||||||
Taiyo Nippon Sanso Corp. |
(47,500 | ) | (738,364 | ) | (4,348 | ) | 0.0 | (g) | ||||||||
Tokuyama Corp. |
(24,800 | ) | (789,582 | ) | (3,579 | ) | 0.0 | (g) | ||||||||
Tokyo Ohka Kogyo Co. Ltd. |
(1,800 | ) | (82,637 | ) | (362 | ) | 0.0 | (g) | ||||||||
Toray Industries, Inc. |
(73,100 | ) | (729,238 | ) | (2,725 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(190,000 | ) | (3,923,660 | ) | (15,047 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
|
|||||||||||||||
Kobe Steel Ltd. |
(13,400 | ) | (139,527 | ) | (580 | ) | 0.0 | (g) | ||||||||
Sumitomo Metal Mining Co. Ltd. |
(15,700 | ) | (737,170 | ) | (2,577 | ) | 0.0 | (g) | ||||||||
UACJ Corp. |
(15,300 | ) | (412,790 | ) | (1,735 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(44,400 | ) | (1,289,487 | ) | (4,892 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(234,400 | ) | (5,213,147 | ) | (19,939 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
|
|||||||||||||||
Real Estate Management & Development |
|
|||||||||||||||
Mitsubishi Estate Co. Ltd. |
(38,000 | ) | (730,921 | ) | (3,954 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
|
|||||||||||||||
Electric Utilities |
|
|||||||||||||||
Chubu Electric Power Co., Inc. |
(58,300 | ) | (734,695 | ) | (3,342 | ) | 0.0 | (g) | ||||||||
Chugoku Electric Power Co., Inc. (The) |
(38,500 | ) | (426,496 | ) | (834 | ) | 0.0 | (g) | ||||||||
Hokkaido Electric Power Co., Inc. |
(71,700 | ) | (467,665 | ) | (699 | ) | 0.0 | (g) | ||||||||
Hokuriku Electric Power Co. |
(5,800 | ) | (47,463 | ) | (73 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(174,300 | ) | (1,676,319 | ) | (4,948 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Gas Utilities |
|
|||||||||||||||
Toho Gas Co. Ltd. |
(26,100 | ) | (766,362 | ) | (2,512 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(200,400 | ) | (2,442,681 | ) | (7,460 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(1,875,900 | ) | (38,777,878 | ) | (135,538 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(1,726,900 | ) | (35,582,210 | ) | (127,877 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in USD based on the local currencies of the positions within the swaps. | 10/29/2018 | $ | 9,328,429 | $ | | $ | | $ | | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Media |
||||||||||||||||
Time Warner, Inc. |
46,015 | 4,387,530 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
MainSource Financial Group, Inc. |
8,467 | 333,176 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Software |
||||||||||||||||
Callidus Software, Inc. (a) |
59,133 | 2,125,831 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Paper & Forest Products |
||||||||||||||||
KapStone Paper and Packaging Corp. |
151,989 | 5,264,899 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
265,604 | 12,111,436 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
First Financial Bancorp |
(11,630 | ) | (331,455 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
AT&T, Inc. |
(65,462 | ) | (2,451,552 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(77,092 | ) | (2,783,007 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
188,512 | 9,328,429 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION |
NOTIONAL |
NET UNREALIZED |
NET CASH AND |
VALUE | ||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in GBP based on the local currencies of the positions within the swaps. | 10/31/2018 | $6,439,585 | $ (604) | $ | $ (604) | ||||||
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Media |
||||||||||||||||
Sky plc |
344,420 | 5,180,031 | 1,259 | 0.0 | (g) | |||||||||||
UBM plc |
220,852 | 2,847,317 | 40 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
565,272 | 8,027,348 | 1,299 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Booker Group plc |
443,284 | 1,426,213 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Aldermore Group plc (a) |
100,594 | 444,768 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets |
||||||||||||||||
Sole Realisation Co. plc (a) |
5,123 | 5,092 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
105,717 | 449,860 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
1,114,273 | 9,903,421 | 1,299 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Media |
||||||||||||||||
Informa plc |
(236,790 | ) | (2,340,454 | ) | 214 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Tesco plc |
(377,850 | ) | (1,123,382 | ) | (2,117 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(614,640 | ) | (3,463,836 | ) | (1,903 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
499,633 | 6,439,585 | (604 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, which is denominated in CAD based on the local currencies of the positions within the swaps. |
10/29/2018 | $ | 535,188 | $ | | $ | | $ | | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Jean Coutu Group PJC, Inc. (The) |
36,518 | 719,672 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Metro, Inc. |
(5,513 | ) | (184,484 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
31,005 | 535,188 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month EURIBOR on short positions respectively, which is denominated in EUR based on the local currencies of the positions within the swaps. | 10/31/2018 | $ | (1,239,134 | ) | $ | (1,350 | ) | $ | | $ | (1,350 | ) | |||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Industrials |
||||||||||||||||
Construction & Engineering |
||||||||||||||||
HOCHTIEF AG |
(6,852 | ) | (1,239,134 | ) | (1,350 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread of 0.35%, which is denominated in SEK based on the local currencies of the positions within the swaps. | 07/31/2019 | $ | 193,223 | $ | (1,780 | ) | $ | (354 | ) | $ | (2,134 | ) | |||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
Com Hem Holding AB (a) |
42,540 | 739,601 | 8,920 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Telecommunication Services |
||||||||||||||||
Wireless Telecommunication Services |
||||||||||||||||
Tele2 AB |
(43,689 | ) | (546,378 | ) | (10,700 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(1,149 | ) | 193,223 | (1,780 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Bank of America N.A. |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/29/2018 | $ | 591,067 | $ | (529 | ) | $ | | $ | (529 | ) | ||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Information Technology |
||||||||||||||||
Internet Software & Services |
||||||||||||||||
Aconex Ltd. (a) |
95,471 | 591,067 | (529 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 03/16/2018 03/19/2018 |
$ | 8,363,471 | $ | | $ | | $ | | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Diversified Consumer Services |
||||||||||||||||
Capella Education Co. |
11,598 | 922,621 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Pinnacle Entertainment, Inc. (a) |
78,337 | 2,529,502 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
CalAtlantic Group, Inc. |
118,985 | 6,678,628 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Time Warner, Inc. |
9,567 | 912,213 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
218,487 | 11,042,964 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Insurance |
||||||||||||||||
AmTrust Financial Services, Inc. |
84,954 | 1,140,083 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Providers & Services |
||||||||||||||||
Aetna, Inc. |
26,038 | 4,864,419 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Construction & Engineering |
||||||||||||||||
Chicago Bridge & Iron Co. NV |
199,117 | 4,155,572 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
Cavium, Inc. (a) |
81,710 | 7,254,214 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Independent Power and Renewable Electricity Producers |
||||||||||||||||
Dynegy, Inc. (a) |
296,115 | 3,707,360 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities |
||||||||||||||||
SCANA Corp. |
136,528 | 5,548,498 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
432,643 | 9,255,858 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
1,042,949 | 37,713,110 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Diversified Consumer Services |
||||||||||||||||
Strayer Education, Inc. |
(10,047 | ) | (929,147 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Penn National Gaming, Inc. (a) |
(32,572 | ) | (1,039,373 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Lennar Corp. |
(80,689 | ) | (5,055,973 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(123,308 | ) | (7,024,493 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
CVS Health Corp. |
(29,352 | ) | (2,309,709 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
McDermott International, Inc. (a) |
(612,473 | ) | (5,377,513 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
Marvell Technology Group Ltd. |
(175,998 | ) | (4,106,033 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
AT&T, Inc. |
(13,610 | ) | (509,695 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Independent Power and Renewable Electricity Producers |
||||||||||||||||
Vistra Energy Corp. (a) |
(191,135 | ) | (3,727,133 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities |
||||||||||||||||
Dominion Energy, Inc. |
(82,353 | ) | (6,295,063 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(273,488 | ) | (10,022,196 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(1,228,229 | ) | (29,349,639 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(185,280 | ) | 8,363,471 | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 3,190,596 | $ | 646 | $ | | $ | 646 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Media |
||||||||||||||||
Sky plc |
176,594 | 2,655,950 | 646 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Aldermore Group plc (a) |
120,922 | 534,646 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
297,516 | 3,190,596 | 646 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION)(2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long positions and pays or receives the net of one month CDOR on long positions, plus or minus a specified spread (rates range from (0.10)% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 1,353,977 | $ | | $ | | $ | | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Industrials |
||||||||||||||||
Construction & Engineering |
||||||||||||||||
Aecon Group, Inc. |
83,646 | 1,353,977 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 03/19/2018 03/12/2019 |
$ | 28,160,781 | $ | 5,391 | $ | | $ | 5,391 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary |
|
|||||||||||||||
Internet & Direct Marketing Retail |
|
|||||||||||||||
Yoox Net-A-Porter Group SpA (a) |
126,244 | 5,929,661 | (2,882 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
|
|||||||||||||||
Kering |
2,993 | 1,516,093 | 725 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
129,237 | 7,445,754 | (2,157 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
|
|||||||||||||||
Beverages |
|
|||||||||||||||
Refresco Group NV |
26,176 | 646,401 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
|
|||||||||||||||
Biotechnology |
|
|||||||||||||||
Ablynx NV (a) |
12,338 | 672,637 | 1,085 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
|
|||||||||||||||
STADA Arzneimittel AG |
7,111 | 771,802 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
19,449 | 1,444,439 | 1,085 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
|
|||||||||||||||
Aerospace & Defense |
|
|||||||||||||||
Zodiac Aerospace (a) |
125,724 | 3,906,999 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
|
|||||||||||||||
Abertis Infraestructuras SA |
254,503 | 6,174,358 | 6,463 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
380,227 | 10,081,357 | 6,463 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Information Technology |
||||||||||||||||
Software |
||||||||||||||||
Gemalto NV |
111,536 | 6,892,026 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
BUWOG AG (a) |
46,008 | 1,650,804 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
712,633 | 28,160,781 | 5,391 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month CIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.20%), which is denominated in DKK based on the local currencies of the positions within the swaps. | 09/25/2020 | $ | 2,428,303 | $ | | $ | | $ | | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Information Technology |
||||||||||||||||
IT Services |
||||||||||||||||
Nets A/S (a) |
88,221 | 2,428,303 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBSW on long positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 794,568 | $ | 10 | $ | | $ | 10 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Mantra Group Ltd. |
252,833 | 794,568 | 10 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month STIBOR on long positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swaps. | 07/10/2018 | $ | 1,480,985 | $ | 199 | $ | | $ | 199 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Industrials |
||||||||||||||||
Machinery |
||||||||||||||||
Atlas Copco AB |
31,579 | 1,480,985 | 199 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 13,705,280 | $ | 518 | $ | | $ | 518 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Linamar Corp. |
9,983 | 589,484 | | 0.0 | (g) | |||||||||||
Magna International, Inc. |
12,517 | 714,995 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
22,500 | 1,304,479 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Gildan Activewear, Inc. (a) |
5,500 | 187,045 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
28,000 | 1,491,524 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Empire Co. Ltd. |
40,649 | 786,542 | | 0.0 | (g) | |||||||||||
Loblaw Cos. Ltd. |
13,979 | 757,253 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
54,628 | 1,543,795 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Enerplus Corp. |
62,995 | 715,480 | | 0.0 | (g) | |||||||||||
Imperial Oil Ltd. |
23,080 | 725,613 | | 0.0 | (g) | |||||||||||
Inter Pipeline Ltd. |
40,416 | 774,804 | | 0.0 | (g) | |||||||||||
Parkland Fuel Corp. |
11,443 | 268,399 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
137,934 | 2,484,296 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions - continued |
||||||||||||||||
Common Stocks - continued |
||||||||||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Bank of Nova Scotia (The) |
3,503 | 232,736 | | 0.0 | (g) | |||||||||||
Laurentian Bank of Canada |
18,624 | 805,526 | | 0.0 | (g) | |||||||||||
National Bank of Canada |
14,907 | 773,710 | | 0.0 | (g) | |||||||||||
Royal Bank of Canada |
1,975 | 169,111 | | 0.0 | (g) | |||||||||||
Toronto-Dominion Bank (The) |
4,197 | 255,300 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
43,206 | 2,236,383 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets |
||||||||||||||||
IGM Financial, Inc. |
6,818 | 243,508 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
||||||||||||||||
Manulife Financial Corp. |
33,569 | 712,318 | | 0.0 | (g) | |||||||||||
Power Corp. of Canada |
28,330 | 722,991 | | 0.0 | (g) | |||||||||||
Power Financial Corp. |
25,980 | 716,668 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
87,879 | 2,151,977 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Thrifts & Mortgage Finance |
||||||||||||||||
Genworth MI Canada, Inc. |
4,306 | 147,874 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
142,209 | 4,779,742 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Machinery |
||||||||||||||||
New Flyer Industries, Inc. |
15,257 | 720,304 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Finning International, Inc. |
26,530 | 730,546 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
41,787 | 1,450,850 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
IT Services |
||||||||||||||||
CGI Group, Inc. (a) |
13,738 | 786,305 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
||||||||||||||||
Constellation Software, Inc. (a) |
300 | 193,929 | 518 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
14,038 | 980,234 | 518 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
Kirkland Lake Gold Ltd. |
49,550 | 746,876 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Paper & Forest Products |
||||||||||||||||
Norbord, Inc. |
18,970 | 724,561 | | 0.0 | (g) | |||||||||||
West Fraser Timber Co. Ltd. |
10,616 | 742,775 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
29,586 | 1,467,336 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
79,136 | 2,214,212 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
First Capital Realty, Inc. |
16,259 | 271,909 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Wireless Telecommunication Services |
||||||||||||||||
Rogers Communications, Inc. |
16,615 | 810,893 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
530,606 | 16,027,455 | 518 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
MEG Energy Corp. (a) |
(68,001 | ) | (307,387 | ) | | 0.0 | (g) | |||||||||
Seven Generations Energy Ltd. (a) |
(22,400 | ) | (312,325 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
(90,401 | ) | (619,712 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Aerospace & Defense |
||||||||||||||||
Bombardier, Inc. (a) |
(196,763 | ) | (556,695 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions - continued |
||||||||||||||||
Common Stocks - continued |
||||||||||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
Endeavour Mining Corp. (a) |
(19,381 | ) | (357,839 | ) | | 0.0 | (g) | |||||||||
First Quantum Minerals Ltd. |
(28,685 | ) | (427,710 | ) | | 0.0 | (g) | |||||||||
Franco-Nevada Corp. |
(4,711 | ) | (360,219 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(52,777 | ) | (1,145,768 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(339,941 | ) | (2,322,175 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
190,665 | 13,705,280 | 518 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 33,822,648 | $ | (206 | ) | $ | | $ | (206 | ) | ||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Faurecia |
8,027 | 720,265 | (1,068 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Automobiles |
||||||||||||||||
Peugeot SA |
27,339 | 614,070 | 46 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Eutelsat Communications SA |
35,551 | 782,473 | 341 | 0.0 | (g) | |||||||||||
Mediaset Espana Comunicacion SA |
21,019 | 237,699 | 15 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
56,570 | 1,020,172 | 356 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
91,936 | 2,354,507 | (666 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
SBM Offshore NV |
42,471 | 793,220 | 690 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Enagas SA |
29,603 | 806,424 | (318 | ) | 0.0 | (g) | ||||||||||
Galp Energia SGPS SA |
40,955 | 782,334 | 805 | 0.0 | (g) | |||||||||||
Neste OYJ |
10,599 | 733,549 | 845 | 0.0 | (g) | |||||||||||
OMV AG |
11,940 | 768,773 | (5 | ) | 0.0 | (g) | ||||||||||
Repsol SA |
38,024 | 715,647 | 199 | 0.0 | (g) | |||||||||||
Saras SpA |
337,805 | 737,959 | 232 | 0.0 | (g) | |||||||||||
Snam SpA |
163,579 | 795,691 | (225 | ) | 0.0 | (g) | ||||||||||
TOTAL SA |
12,415 | 719,821 | 996 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
644,920 | 6,060,198 | 2,529 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
687,391 | 6,853,418 | 3,219 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions - continued |
||||||||||||||||
Common Stocks - continued |
||||||||||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Credit Agricole SA |
38,259 | 721,323 | 504 | 0.0 | (g) | |||||||||||
ING Groep NV |
38,709 | 760,062 | (715 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
76,968 | 1,481,385 | (211 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
||||||||||||||||
Allianz SE (Registered) |
3,084 | 780,025 | 836 | 0.0 | (g) | |||||||||||
ASR Nederland NV |
17,578 | 767,821 | (383 | ) | 0.0 | (g) | ||||||||||
AXA SA |
21,915 | 720,729 | (162 | ) | 0.0 | (g) | ||||||||||
CNP Assurances |
31,050 | 795,807 | 133 | 0.0 | (g) | |||||||||||
NN Group NV |
15,272 | 720,301 | (215 | ) | 0.0 | (g) | ||||||||||
SCOR SE |
16,562 | 741,284 | 4 | 0.0 | (g) | |||||||||||
Societa Cattolica di Assicurazioni SC |
65,415 | 814,596 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
170,876 | 5,340,563 | 213 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
247,844 | 6,821,948 | 2 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Equipment & Supplies |
||||||||||||||||
Koninklijke Philips NV |
17,545 | 715,130 | (659 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Providers & Services |
||||||||||||||||
Fresenius Medical Care AG & Co. KGaA |
6,411 | 738,944 | (1,296 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Bayer AG (Registered) |
5,511 | 722,147 | 844 | 0.0 | (g) | |||||||||||
Merck KGaA |
6,744 | 738,191 | 1,199 | 0.0 | (g) | |||||||||||
Sanofi |
8,029 | 708,572 | (381 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
20,284 | 2,168,910 | 1,662 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
44,240 | 3,622,984 | (293 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Airlines |
||||||||||||||||
Deutsche Lufthansa AG (Registered) |
21,456 | 766,468 | 872 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
||||||||||||||||
ACS Actividades de Construccion y Servicios SA |
18,188 | 727,747 | (726 | ) | 0.0 | (g) | ||||||||||
Eiffage SA |
6,650 | 806,214 | (97 | ) | 0.0 | (g) | ||||||||||
Maire Tecnimont SpA |
154,417 | 804,723 | (486 | ) | 0.0 | (g) | ||||||||||
Vinci SA |
7,114 | 768,873 | 455 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
186,369 | 3,107,557 | (854 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment |
||||||||||||||||
Philips Lighting NV |
19,522 | 767,605 | (726 | ) | 0.0 | (g) | ||||||||||
Prysmian SpA |
22,568 | 793,908 | (159 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
42,090 | 1,561,513 | (885 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
||||||||||||||||
Aalberts Industries NV |
13,546 | 739,595 | (398 | ) | 0.0 | (g) | ||||||||||
Cargotec OYJ |
12,448 | 725,738 | 289 | 0.0 | (g) | |||||||||||
Fincantieri SpA (a) |
393,300 | 703,272 | 606 | 0.0 | (g) | |||||||||||
Valmet OYJ |
32,238 | 723,345 | 92 | 0.0 | (g) | |||||||||||
Wartsila OYJ Abp |
11,192 | 765,082 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
462,724 | 3,657,032 | 589 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services |
||||||||||||||||
RELX NV |
33,265 | 736,604 | (3,288 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
||||||||||||||||
Aena SME SA |
3,671 | 799,377 | (277 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
749,575 | 10,628,551 | (3,843 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
IT Services |
||||||||||||||||
Cap Gemini SA |
6,079 | 806,929 | (263 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
BE Semiconductor Industries NV |
7,477 | 719,565 | 127 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
13,556 | 1,526,494 | (136 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Covestro AG |
556 | 64,024 | 115 | 0.0 | (g) | |||||||||||
Lenzing AG |
6,298 | 800,694 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
6,854 | 864,718 | 115 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions - continued |
||||||||||||||||
Common Stocks - continued |
||||||||||||||||
Metals & Mining |
||||||||||||||||
Aurubis AG |
6,932 | 728,437 | 850 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Paper & Forest Products |
||||||||||||||||
Stora Enso OYJ |
46,173 | 792,918 | 672 | 0.0 | (g) | |||||||||||
UPM-Kymmene OYJ |
22,696 | 765,276 | 519 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
68,869 | 1,558,194 | 1,191 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
82,655 | 3,151,349 | 2,156 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
LEG Immobilien AG |
6,842 | 772,159 | 672 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
Deutsche Telekom AG (Registered) |
40,964 | 718,510 | 129 | 0.0 | (g) | |||||||||||
Proximus SADP |
21,781 | 734,539 | 73 | 0.0 | (g) | |||||||||||
Telefonica Deutschland Holding AG |
153,617 | 776,514 | 271 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
216,362 | 2,229,563 | 473 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
EDP - Energias de Portugal SA |
225,237 | 791,110 | | 0.0 | (g) | |||||||||||
Endesa SA |
35,608 | 799,309 | (876 | ) | 0.0 | (g) | ||||||||||
Enel SpA |
37,220 | 236,622 | 487 | 0.0 | (g) | |||||||||||
Iberdrola SA |
97,834 | 796,348 | (225 | ) | 0.0 | (g) | ||||||||||
Terna Rete Elettrica Nazionale SpA |
132,860 | 799,689 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
528,759 | 3,423,078 | (614 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Independent Power and Renewable Electricity Producers |
||||||||||||||||
Uniper SE |
24,751 | 738,893 | 461 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities |
||||||||||||||||
A2A SpA |
386,678 | 743,111 | 907 | 0.0 | (g) | |||||||||||
Engie SA |
43,209 | 750,285 | 312 | 0.0 | (g) | |||||||||||
Innogy SE |
18,711 | 713,318 | 138 | 0.0 | (g) | |||||||||||
Veolia Environnement SA |
31,801 | 801,659 | 559 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
480,399 | 3,008,373 | 1,916 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
1,033,909 | 7,170,344 | 1,763 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
3,174,310 | 45,131,317 | 3,347 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Right |
||||||||||||||||
Industrials |
||||||||||||||||
Construction & Engineering |
||||||||||||||||
ACS Actividades de Construccion y Servicios SA (a) |
18,188 | 9,529 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
3,192,498 | 45,140,846 | 3,347 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Gestamp Automocion SA (a) |
(105,263 | ) | (805,942 | ) | 411 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Accor SA |
(8,356 | ) | (475,582 | ) | 84 | 0.0 | (g) | |||||||||
Paddy Power Betfair plc |
(7,060 | ) | (818,683 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(15,416 | ) | (1,294,265 | ) | 84 | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Neinor Homes SA (a) |
(33,408 | ) | (766,904 | ) | 434 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Zalando SE (a) |
(7,571 | ) | (443,752 | ) | (270 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Altice NV (a) |
(57,501 | ) | (616,655 | ) | 1,300 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Salvatore Ferragamo SpA |
(2,227 | ) | (62,733 | ) | (80 | ) | 0.0 | (g) | ||||||||
Tods SpA |
(10,526 | ) | (793,915 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(12,753 | ) | (856,648 | ) | (80 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(231,912 | ) | (4,784,166 | ) | 1,879 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Consumer Staples |
||||||||||||||||
Beverages |
||||||||||||||||
Anheuser-Busch InBev SA/NV |
(2,557 | ) | (289,605 | ) | (268 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Banco Espirito Santo SA (Registered) (a) |
(35,937 | ) | | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Diversified Financial Services |
||||||||||||||||
Wendel SA |
(2,364 | ) | (440,785 | ) | (238 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(38,301 | ) | (440,785 | ) | (238 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Life Sciences Tools & Services |
||||||||||||||||
MorphoSys AG (a) |
(5,347 | ) | (527,469 | ) | (367 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Commercial Services & Supplies |
||||||||||||||||
Bilfinger SE |
(14,933 | ) | (700,934 | ) | (1,232 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
||||||||||||||||
Alstom SA |
(11,024 | ) | (483,563 | ) | 267 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Brenntag AG |
(8,564 | ) | (555,959 | ) | (722 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
||||||||||||||||
Getlink SE |
(37,649 | ) | (528,197 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(72,170 | ) | (2,268,653 | ) | (1,687 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Internet Software & Services |
||||||||||||||||
Rocket Internet SE (a) |
(24,635 | ) | (715,075 | ) | (596 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
K+S AG (Registered) |
(28,694 | ) | (806,432 | ) | (594 | ) | 0.0 | (g) | ||||||||
OCI NV (a) |
(29,029 | ) | (736,963 | ) | (1,367 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(57,723 | ) | (1,543,395 | ) | (1,961 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
thyssenkrupp AG |
(13,601 | ) | (428,228 | ) | (329 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(71,324 | ) | (1,971,623 | ) | (2,290 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
Iliad SA |
(1,240 | ) | (320,822 | ) | 14 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(447,486 | ) | (11,318,198 | ) | (3,553 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
2,745,012 | 33,822,648 | (206 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.20)% to 0.40%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 24,925,069 | $ | 52,146 | $ | | $ | 52,146 | ||||||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Bridgestone Corp. |
15,200 | 741,852 | 3,085 | 0.0 | (g) | |||||||||||
NHK Spring Co. Ltd. |
64,900 | 723,348 | 3,426 | 0.0 | (g) | |||||||||||
Sumitomo Rubber Industries Ltd. |
36,800 | 716,787 | 3,169 | 0.0 | (g) | |||||||||||
TS Tech Co. Ltd. |
4,300 | 184,284 | 849 | 0.0 | (g) | |||||||||||
Unipres Corp. |
27,300 | 727,473 | 4,524 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
148,500 | 3,093,744 | 15,053 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Automobiles |
||||||||||||||||
Yamaha Motor Co. Ltd. |
23,600 | 788,477 | 5,917 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Sekisui Chemical Co. Ltd. |
40,900 | 782,025 | 2,763 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Leisure Products |
||||||||||||||||
Bandai Namco Holdings, Inc. |
9,300 | 304,347 | 1,077 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
222,300 | 4,968,593 | 24,810 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Beverages |
||||||||||||||||
Kirin Holdings Co. Ltd. |
28,300 | 708,919 | 3,557 | 0.0 | (g) | |||||||||||
Suntory Beverage & Food Ltd. |
15,900 | 762,606 | 3,799 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
44,200 | 1,471,525 | 7,356 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing |
||||||||||||||||
Matsumotokiyoshi Holdings Co. Ltd. |
4,600 | 189,000 | 440 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products |
||||||||||||||||
Nichirei Corp. |
11,200 | 300,659 | (14,409 | ) | 0.0 | (g) | ||||||||||
Nippon Suisan Kaisha Ltd. (a) |
61,500 | 328,331 | 1,593 | 0.0 | (g) | |||||||||||
Prima Meat Packers Ltd. (a) |
110,000 | 752,769 | 2,105 | |
0.0 |
(g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
182,700 | 1,381,759 | (10,711 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products |
||||||||||||||||
Pola Orbis Holdings, Inc. |
19,900 | 779,026 | 671 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
251,400 | 3,821,310 | (2,244 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Showa Shell Sekiyu KK |
8,800 | 125,102 | 401 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Aozora Bank Ltd. |
17,800 | 722,989 | 2,315 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Pharmaceuticals |
||||||||||||||||
Astellas Pharma, Inc. |
15,900 | 209,104 | (624 | ) | 0.0 | (g) | ||||||||||
Kaken Pharmaceutical Co. Ltd. |
4,000 | 209,603 | 21 | 0.0 | (g) | |||||||||||
Mitsubishi Tanabe Pharma Corp. |
13,800 | 280,655 | (1,362 | ) | 0.0 | (g) | ||||||||||
Tsumura & Co. |
23,200 | 781,978 | (2,193 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
56,900 | 1,481,340 | (4,158 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Building Products |
||||||||||||||||
Asahi Glass Co. Ltd. |
17,200 | 757,410 | 2,733 | 0.0 | (g) | |||||||||||
Nichias Corp. |
53,000 | 722,180 | 3,182 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
70,200 | 1,479,590 | 5,915 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
||||||||||||||||
Kajima Corp. |
79,000 | 784,319 | 3,509 | 0.0 | (g) | |||||||||||
Kinden Corp. |
42,300 | 707,950 | 3,144 | 0.0 | (g) | |||||||||||
Maeda Corp. (a) |
54,900 | 754,580 | 3,773 | 0.0 | (g) | |||||||||||
Nishimatsu Construction Co. Ltd. (a) |
27,900 | 793,185 | 934 | 0.0 | (g) | |||||||||||
Penta-Ocean Construction Co. Ltd. |
25,200 | 194,698 | 1,030 | 0.0 | (g) | |||||||||||
Toda Corp. (a) |
100,000 | 787,879 | 1,949 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
329,300 | 4,022,611 | 14,339 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail |
||||||||||||||||
Sankyu, Inc. |
18,200 | 849,487 | 4,255 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Trading Companies & Distributors |
||||||||||||||||
Kanamoto Co. Ltd. |
25,400 | 785,512 | (26,612 | ) | 0.0 | (g) | ||||||||||
Sumitomo Corp. |
7,200 | 124,492 | 568 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
32,600 | 910,004 | (26,044 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
450,300 | 7,261,692 | (1,535 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
Oki Electric Industry Co. Ltd. |
49,300 | 717,542 | 1,773 | 0.0 | (g) | |||||||||||
Omron Corp. |
11,000 | 689,461 | 3,284 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
60,300 | 1,407,003 | 5,057 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
||||||||||||||||
Mixi, Inc. |
7,800 | 344,418 | 395 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
Disco Corp. |
3,100 | 731,095 | 5,859 | 0.0 | (g) | |||||||||||
SCREEN Holdings Co. Ltd. (a) |
8,800 | 767,028 | 2,862 | 0.0 | (g) | |||||||||||
Ulvac, Inc. |
2,400 | 160,879 | 615 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
14,300 | 1,659,002 | 9,336 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
||||||||||||||||
Nexon Co. Ltd. |
4,400 | 147,010 | 908 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
||||||||||||||||
Brother Industries Ltd. |
30,200 | 775,804 | 3,722 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
117,000 | 4,333,237 | 19,418 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Denka Co. Ltd. (a) |
17,900 | 715,437 | 3,011 | 0.0 | (g) | |||||||||||
Kuraray Co. Ltd. |
12,600 | 236,670 | 1,220 | 0.0 | (g) | |||||||||||
Mitsubishi Chemical Holdings Corp. |
65,900 | 718,726 | 3,707 | 0.0 | (g) | |||||||||||
Mitsubishi Gas Chemical Co., Inc. |
3,200 | 90,707 | 425 | 0.0 | (g) | |||||||||||
Mitsui Chemicals, Inc. |
8,500 | 268,004 | 1,333 | 0.0 | (g) | |||||||||||
NOF Corp. (a) |
29,300 | 788,622 | 2,779 | 0.0 | (g) | |||||||||||
Sumitomo Bakelite Co. Ltd. |
84,000 | 721,562 | 2,134 | 0.0 | (g) | |||||||||||
Tokai Carbon Co. Ltd. |
54,900 | 800,126 | 5,064 | 0.0 | (g) | |||||||||||
Tosoh Corp. |
12,700 | 292,383 | 1,552 | 0.0 | (g) | |||||||||||
Zeon Corp. (a) |
51,900 | 783,277 | 3,136 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
340,900 | 5,415,514 | 24,361 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Nippon Denko Co. Ltd. |
154,500 | 726,611 | 2,017 | 0.0 | (g) | |||||||||||
Nippon Light Metal Holdings Co. Ltd. |
248,600 | 733,350 | 2,375 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
403,100 | 1,459,961 | 4,392 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Paper & Forest Products |
||||||||||||||||
Oji Holdings Corp. |
104,000 | 714,550 | 2,925 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
848,000 | 7,590,025 | 31,678 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
Nomura Real Estate Holdings, Inc. (a) |
6,800 | 162,912 | 2,825 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Wireless Telecommunication Services |
||||||||||||||||
NTT DOCOMO, Inc. |
10,500 | 260,898 | 778 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Kansai Electric Power Co., Inc. (The) |
22,200 | 276,628 | 1,390 | 0.0 | (g) | |||||||||||
Tokyo Electric Power Co. Holdings, Inc. (a) |
177,800 | 721,982 | 2,117 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
200,000 | 998,610 | 3,507 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
2,189,800 | 31,726,708 | 77,795 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Kyoritsu Maintenance Co. Ltd. |
(2,000 | ) | (82,501 | ) | 31 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Multiline Retail |
||||||||||||||||
Isetan Mitsukoshi Holdings Ltd. |
(47,800 | ) | (574,242 | ) | (2,849 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(49,800 | ) | (656,743 | ) | (2,818 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food Products |
||||||||||||||||
Kewpie Corp. |
(13,300 | ) | (380,517 | ) | (1,021 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Consumer Finance |
||||||||||||||||
Acom Co. Ltd. (a) |
(100,400 | ) | (439,277 | ) | (1,515 | ) | 0.0 | (g) | ||||||||
Aiful Corp. (a) |
(115,800 | ) | (420,896 | ) | (1,907 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(216,200 | ) | (860,173 | ) | (3,422 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Air Freight & Logistics |
||||||||||||||||
Yamato Holdings Co. Ltd. |
(14,400 | ) | (371,878 | ) | (963 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail |
||||||||||||||||
Keio Corp. |
(5,800 | ) | (276,174 | ) | (970 | ) | 0.0 | (g) | ||||||||
Odakyu Electric Railway Co. Ltd. |
(18,000 | ) | (397,578 | ) | (1,865 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(23,800 | ) | (673,752 | ) | (2,835 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
MonotaRO Co. Ltd. |
(6,800 | ) | (215,075 | ) | (492 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
||||||||||||||||
Mitsubishi Logistics Corp. |
(11,300 | ) | (296,994 | ) | (1,788 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(56,300 | ) | (1,557,699 | ) | (6,078 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Internet Software & Services |
||||||||||||||||
GMO internet, Inc. |
(26,600 | ) | (487,339 | ) | (3,437 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Tokyo Ohka Kogyo Co. Ltd. |
(14,300 | ) | (656,507 | ) | (2,875 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Kobe Steel Ltd. |
(58,300 | ) | (607,047 | ) | (2,525 | ) | 0.0 | (g) | ||||||||
UACJ Corp. |
(12,600 | ) | (339,944 | ) | (1,428 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(70,900 | ) | (946,991 | ) | (3,953 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(85,200 | ) | (1,603,498 | ) | (6,828 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Electric Utilities |
||||||||||||||||
Chugoku Electric Power Co., Inc. (The) |
(27,600 | ) | (305,748 | ) | (598 | ) | 0.0 | (g) | ||||||||
Hokkaido Electric Power Co., Inc. |
(40,500 | ) | (264,162 | ) | (395 | ) | 0.0 | (g) | ||||||||
Hokuriku Electric Power Co. |
(83,800 | ) | (685,760 | ) | (1,052 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(151,900 | ) | (1,255,670 | ) | (2,045 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(599,300 | ) | (6,801,639 | ) | (25,649 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
1,590,500 | 24,925,069 | 52,146 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 03/16/2018 03/19/2018 |
$ | (52,125,553 | ) | $ | (3,262 | ) | $ | | $ | (3,262 | ) | |||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary |
|
|||||||||||||||
Auto Components |
|
|||||||||||||||
Cooper-Standard Holdings, Inc. (a) |
3,299 | 411,022 | | 0.0 | (g) | |||||||||||
Lear Corp. |
3,217 | 621,331 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
6,516 | 1,032,353 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
|
|||||||||||||||
Wyndham Worldwide Corp. |
1,611 | 199,973 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
|
|||||||||||||||
KB Home |
3,116 | 98,216 | | 0.0 | (g) | |||||||||||
MDC Holdings, Inc. |
14,339 | 483,368 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
17,455 | 581,584 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multiline Retail |
|
|||||||||||||||
Big Lots, Inc. |
8,163 | 496,147 | | 0.0 | (g) | |||||||||||
Dillards, Inc. |
1,485 | 100,327 | | 0.0 | (g) | |||||||||||
Target Corp. |
2,104 | 158,263 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
11,752 | 754,737 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail |
|
|||||||||||||||
Best Buy Co., Inc. |
6,024 | 440,113 | | 0.0 | (g) | |||||||||||
Childrens Place, Inc. (The) |
3,200 | 479,360 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
9,224 | 919,473 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
46,558 | 3,488,120 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
|
|||||||||||||||
Food Products |
|
|||||||||||||||
Fresh Del Monte Produce, Inc. |
9,689 | 458,387 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products |
|
|||||||||||||||
USANA Health Sciences, Inc. (a) |
8,486 | 633,480 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
18,175 | 1,091,867 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
|
|||||||||||||||
Energy Equipment & Services |
|
|||||||||||||||
Noble Corp. plc (a) |
6,896 | 32,342 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels |
|
|||||||||||||||
Valero Energy Corp. |
4,635 | 444,821 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
11,531 | 477,163 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
|
|||||||||||||||
Health Care Equipment & Supplies |
|
|||||||||||||||
Natus Medical, Inc. (a) |
11,882 | 368,936 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care Providers & Services |
|
|||||||||||||||
Aetna, Inc. |
3,090 | 577,274 | | 0.0 | (g) | |||||||||||
Chemed Corp. |
2,280 | 594,100 | | 0.0 | (g) | |||||||||||
Express Scripts Holding Co. (a) |
3,630 | 287,423 | | 0.0 | (g) | |||||||||||
Humana, Inc. |
1,201 | 338,478 | | 0.0 | (g) | |||||||||||
Owens & Minor, Inc. |
2,959 | 62,317 | | 0.0 | (g) | |||||||||||
Quest Diagnostics, Inc. |
4,273 | 452,169 | | 0.0 | (g) | |||||||||||
UnitedHealth Group, Inc. |
2,461 | 582,716 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
19,894 | 2,894,477 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
|
|||||||||||||||
Johnson & Johnson |
3,749 | 518,074 | | 0.0 | (g) | |||||||||||
Mallinckrodt plc (a) |
12,793 | 231,042 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
16,542 | 749,116 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
48,318 | 4,012,529 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
|
|||||||||||||||
Building Products |
|
|||||||||||||||
Owens Corning |
6,448 | 599,471 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies |
|
|||||||||||||||
Deluxe Corp. |
6,506 | 483,201 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
|
|||||||||||||||
Barnes Group, Inc. |
7,852 | 516,583 | | 0.0 | (g) | |||||||||||
Hillenbrand, Inc. |
9,965 | 441,450 | | 0.0 | (g) | |||||||||||
Wabash National Corp. |
14,299 | 369,343 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
32,116 | 1,327,376 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
45,070 | 2,410,048 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Information Technology |
||||||||||||||||
Communications Equipment |
||||||||||||||||
Cisco Systems, Inc. |
8,828 | 366,715 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
Corning, Inc. |
10,130 | 316,259 | | 0.0 | (g) | |||||||||||
Methode Electronics, Inc. |
7,803 | 318,753 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
17,933 | 635,012 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services |
||||||||||||||||
Amdocs Ltd. |
5,631 | 385,160 | | 0.0 | (g) | |||||||||||
Convergys Corp. |
3,186 | 74,138 | | 0.0 | (g) | |||||||||||
Western Union Co. (The) |
12,314 | 256,008 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
21,131 | 715,306 | | | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
||||||||||||||||
Advanced Energy Industries, Inc. (a) |
3,901 | 277,478 | | 0.0 | (g) | |||||||||||
Intel Corp. |
8,491 | 408,757 | | 0.0 | (g) | |||||||||||
Teradyne, Inc. |
6,226 | 285,400 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
18,618 | 971,635 | | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
||||||||||||||||
Oracle Corp. |
4,954 | 255,577 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
||||||||||||||||
Apple, Inc. |
3,539 | 592,535 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
75,003 | 3,536,780 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Chemicals |
||||||||||||||||
Innophos Holdings, Inc. |
838 | 38,774 | | 0.0 | (g) | |||||||||||
LyondellBasell Industries NV |
4,849 | 581,104 | | 0.0 | (g) | |||||||||||
Trinseo SA |
6,176 | 509,211 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
11,863 | 1,129,089 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Multi-Utilities |
||||||||||||||||
Ameren Corp. |
7,063 | 399,978 | | 0.0 | (g) | |||||||||||
CenterPoint Energy, Inc. |
13,243 | 373,188 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
20,306 | 773,166 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
276,824 | 16,918,762 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Auto Components |
||||||||||||||||
Visteon Corp. (a) |
(2,044 | ) | (265,884 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Chipotle Mexican Grill, Inc. (a) |
(1,445 | ) | (469,278 | ) | | 0.0 | (g) | |||||||||
MGM Resorts International |
(6,543 | ) | (238,492 | ) | | 0.0 | (g) | |||||||||
Planet Fitness, Inc. (a) |
(2,067 | ) | (69,782 | ) | | 0.0 | (g) | |||||||||
Red Robin Gourmet Burgers, Inc. (a) |
(8,460 | ) | (445,419 | ) | | 0.0 | (g) | |||||||||
Shake Shack, Inc. (a) |
(14,060 | ) | (614,563 | ) | | 0.0 | (g) | |||||||||
Wendys Co. (The) |
(11,400 | ) | (184,452 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(43,975 | ) | (2,021,986 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Tempur Sealy International, Inc. (a) |
(3,258 | ) | (194,307 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Liberty Expedia Holdings, Inc. (a) |
(15,597 | ) | (731,343 | ) | | 0.0 | (g) | |||||||||
Netflix, Inc. (a) |
(444 | ) | (120,013 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(16,041 | ) | (851,356 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Media |
||||||||||||||||
Cinemark Holdings, Inc. |
(20,967 | ) | (771,586 | ) | | 0.0 | (g) | |||||||||
DISH Network Corp. (a) |
(16,529 | ) | (775,210 | ) | | 0.0 | (g) | |||||||||
Interpublic Group of Cos., Inc. (The) |
(17,900 | ) | (391,831 | ) | | 0.0 | (g) | |||||||||
Liberty Broadband Corp. (a) |
(3,255 | ) | (311,015 | ) | | 0.0 | (g) | |||||||||
World Wrestling Entertainment, Inc. |
(22,093 | ) | (780,988 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(80,744 | ) | (3,030,630 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Specialty Retail |
|
|||||||||||||||
Advance Auto Parts, Inc. |
(694 | ) | (81,191 | ) | | 0.0 | (g) | |||||||||
CarMax, Inc. (a) |
(3,396 | ) | (242,373 | ) | | 0.0 | (g) | |||||||||
L Brands, Inc. |
(4,662 | ) | (233,520 | ) | | 0.0 | (g) | |||||||||
Monro, Inc. |
(3,738 | ) | (211,197 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(12,490 | ) | (768,281 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
|
|||||||||||||||
NIKE, Inc. |
(1,763 | ) | (120,272 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(160,315 | ) | (7,252,716 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
|
|||||||||||||||
Beverages |
|
|||||||||||||||
Coca-Cola Bottling Co. Consolidated |
(1,531 | ) | (310,058 | ) | | 0.0 | (g) | |||||||||
Molson Coors Brewing Co. |
(3,106 | ) | (260,966 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(4,637 | ) | (571,024 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food & Staples Retailing |
|
|||||||||||||||
Caseys General Stores, Inc. |
(1,950 | ) | (236,165 | ) | | 0.0 | (g) | |||||||||
Kroger Co. (The) |
(26,855 | ) | (815,318 | ) | | 0.0 | (g) | |||||||||
PriceSmart, Inc. |
(8,664 | ) | (738,173 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(37,469 | ) | (1,789,656 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Food Products |
|
|||||||||||||||
Blue Buffalo Pet Products, Inc. (a) |
(7,062 | ) | (239,967 | ) | | 0.0 | (g) | |||||||||
Kraft Heinz Co. (The) |
(10,262 | ) | (804,438 | ) | | 0.0 | (g) | |||||||||
Lancaster Colony Corp. |
(2,539 | ) | (326,008 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(19,863 | ) | (1,370,413 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Personal Products |
|
|||||||||||||||
Avon Products, Inc. (a) |
(122,127 | ) | (297,990 | ) | | 0.0 | (g) | |||||||||
Coty, Inc. |
(8,337 | ) | (163,489 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(130,464 | ) | (461,479 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Staples |
(192,433 | ) | (4,192,572 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
|
|||||||||||||||
Energy Equipment & Services |
|
|||||||||||||||
Weatherford International plc (a) |
(141,550 | ) | (557,707 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Oil, Gas & Consumable Fuels |
|
|||||||||||||||
Anadarko Petroleum Corp. |
(3,721 | ) | (223,446 | ) | | 0.0 | (g) | |||||||||
Antero Resources Corp. (a) |
(14,448 | ) | (280,725 | ) | | 0.0 | (g) | |||||||||
Carrizo Oil & Gas, Inc. (a) |
(7,728 | ) | (155,410 | ) | | 0.0 | (g) | |||||||||
Cheniere Energy, Inc. (a) |
(12,647 | ) | (715,314 | ) | | 0.0 | (g) | |||||||||
Chesapeake Energy Corp. (a) |
(43,673 | ) | (152,856 | ) | | 0.0 | (g) | |||||||||
Concho Resources, Inc. (a) |
(4,879 | ) | (768,150 | ) | | 0.0 | (g) | |||||||||
Extraction Oil & Gas, Inc. (a) |
(20,351 | ) | (286,949 | ) | | 0.0 | (g) | |||||||||
Hess Corp. |
(3,062 | ) | (154,662 | ) | | 0.0 | (g) | |||||||||
Kosmos Energy Ltd. (a) |
(102,284 | ) | (706,782 | ) | | 0.0 | (g) | |||||||||
Laredo Petroleum, Inc. (a) |
(36,948 | ) | (359,504 | ) | | 0.0 | (g) | |||||||||
Matador Resources Co. (a) |
(7,374 | ) | (238,991 | ) | | 0.0 | (g) | |||||||||
Oasis Petroleum, Inc. (a) |
(28,058 | ) | (242,982 | ) | | 0.0 | (g) | |||||||||
Parsley Energy, Inc. (a) |
(14,676 | ) | (346,354 | ) | | 0.0 | (g) | |||||||||
PDC Energy, Inc. (a) |
(10,726 | ) | (556,143 | ) | | 0.0 | (g) | |||||||||
QEP Resources, Inc. (a) |
(22,859 | ) | (213,960 | ) | | 0.0 | (g) | |||||||||
Range Resources Corp. |
(31,166 | ) | (444,116 | ) | | 0.0 | (g) | |||||||||
RSP Permian, Inc. (a) |
(16,407 | ) | (651,030 | ) | | 0.0 | (g) | |||||||||
SM Energy Co. |
(14,735 | ) | (344,062 | ) | | 0.0 | (g) | |||||||||
WPX Energy, Inc. (a) |
(32,984 | ) | (485,854 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(428,726 | ) | (7,327,290 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
(570,276 | ) | (7,884,997 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
|
|||||||||||||||
Banks |
|
|||||||||||||||
Bank of the Ozarks, Inc. |
(14,715 | ) | (735,014 | ) | | 0.0 | (g) | |||||||||
First Republic Bank |
(8,962 | ) | (802,547 | ) | | 0.0 | (g) | |||||||||
Home BancShares, Inc. |
(31,212 | ) | (749,400 | ) | | 0.0 | (g) | |||||||||
Signature Bank (a) |
(4,870 | ) | (749,980 | ) | | 0.0 | (g) | |||||||||
UMB Financial Corp. |
(10,076 | ) | (767,590 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(69,835 | ) | (3,804,531 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Capital Markets |
|
|||||||||||||||
Charles Schwab Corp. (The) |
(14,914 | ) | (795,513 | ) | | 0.0 | (g) | |||||||||
Financial Engines, Inc. |
(27,764 | ) | (789,886 | ) | | 0.0 | (g) | |||||||||
TD Ameritrade Holding Corp. |
(13,835 | ) | (771,855 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(56,513 | ) | (2,357,254 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Finance |
|
|||||||||||||||
LendingClub Corp. (a) |
(169,312 | ) | (619,682 | ) | | 0.0 | (g) | |||||||||
PRA Group, Inc. (a) |
(5,009 | ) | (179,072 | ) | | 0.0 | (g) | |||||||||
SLM Corp. (a) |
(65,875 | ) | (753,610 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(240,196 | ) | (1,552,364 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Insurance |
|
|||||||||||||||
Markel Corp. (a) |
(245 | ) | (281,184 | ) | | 0.0 | (g) | |||||||||
RLI Corp. |
(4,137 | ) | (265,844 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(4,382 | ) | (547,028 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(370,926 | ) | (8,261,177 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
|
|||||||||||||||
Health Care Equipment & Supplies |
|
|||||||||||||||
DexCom, Inc. (a) |
(5,986 | ) | (348,385 | ) | | 0.0 | (g) | |||||||||
Insulet Corp. (a) |
(9,850 | ) | (753,821 | ) | | 0.0 | (g) | |||||||||
Nevro Corp. (a) |
(3,500 | ) | (280,910 | ) | | 0.0 | (g) | |||||||||
Penumbra, Inc. (a) |
(757 | ) | (75,397 | ) | | 0.0 | (g) | |||||||||
Wright Medical Group NV (a) |
(32,773 | ) | (745,585 | ) | (3,258 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(52,866 | ) | (2,204,098 | ) | (3,258 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
|
|||||||||||||||
Aerie Pharmaceuticals, Inc. (a) |
(5,012 | ) | (274,908 | ) | | 0.0 | (g) | |||||||||
Dermira, Inc. (a) |
(9,089 | ) | (259,218 | ) | | 0.0 | (g) | |||||||||
Intra-Cellular Therapies, Inc. (a) |
(14,675 | ) | (249,769 | ) | | 0.0 | (g) | |||||||||
Medicines Co. (The) (a) |
(11,856 | ) | (392,789 | ) | | 0.0 | (g) | |||||||||
Nektar Therapeutics (a) |
(1,810 | ) | (151,334 | ) | | 0.0 | (g) | |||||||||
Pacira Pharmaceuticals, Inc. (a) |
(18,129 | ) | (659,896 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(60,571 | ) | (1,987,914 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(113,437 | ) | (4,192,012 | ) | (3,258 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
|
|||||||||||||||
Aerospace & Defense |
|
|||||||||||||||
Cubic Corp. |
(3,430 | ) | (199,112 | ) | | 0.0 | (g) | |||||||||
Mercury Systems, Inc. (a) |
(8,016 | ) | (384,928 | ) | | 0.0 | (g) | |||||||||
TransDigm Group, Inc. |
(479 | ) | (151,800 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(11,925 | ) | (735,840 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Air Freight & Logistics |
|
|||||||||||||||
Hub Group, Inc. (a) |
(2,408 | ) | (115,704 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Airlines |
|
|||||||||||||||
Spirit Airlines, Inc. (a) |
(14,606 | ) | (615,205 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Building Products |
|
|||||||||||||||
Armstrong World Industries, Inc. (a) |
(11,650 | ) | (730,455 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Services & Supplies |
|
|||||||||||||||
Clean Harbors, Inc. (a) |
(3,905 | ) | (216,103 | ) | | 0.0 | (g) | |||||||||
Covanta Holding Corp. |
(45,857 | ) | (749,762 | ) | | 0.0 | (g) | |||||||||
Healthcare Services Group, Inc. |
(4,066 | ) | (224,362 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(53,828 | ) | (1,190,227 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction & Engineering |
|
|||||||||||||||
Dycom Industries, Inc. (a) |
(9 | ) | (1,050 | ) | | 0.0 | (g) | |||||||||
Granite Construction, Inc. |
(2,305 | ) | (153,720 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(2,314 | ) | (154,770 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electrical Equipment |
|
|||||||||||||||
Acuity Brands, Inc. |
(2,322 | ) | (358,610 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Machinery |
|
|||||||||||||||
CIRCOR International, Inc. |
(4,590 | ) | (243,362 | ) | | 0.0 | (g) | |||||||||
EnPro Industries, Inc. |
(2,541 | ) | (223,583 | ) | | 0.0 | (g) | |||||||||
Flowserve Corp. |
(14,314 | ) | (648,710 | ) | | 0.0 | (g) | |||||||||
REV Group, Inc. |
(8,531 | ) | (249,617 | ) | | 0.0 | (g) |
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Machinery continued |
|
|||||||||||||||
SPX FLOW, Inc. (a) |
(17,676 | ) | (819,636 | ) | | 0.0 | (g) | |||||||||
Wabtec Corp. |
(9,031 | ) | (731,872 | ) | | 0.0 | (g) | |||||||||
Welbilt, Inc. (a) |
(14,850 | ) | (331,155 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(71,533 | ) | (3,247,935 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Marine |
|
|||||||||||||||
Matson, Inc. |
(5,687 | ) | (194,552 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Road & Rail |
|
|||||||||||||||
AMERCO |
(618 | ) | (225,619 | ) | | 0.0 | (g) | |||||||||
Avis Budget Group, Inc. (a) |
(1,776 | ) | (79,849 | ) | | 0.0 | (g) | |||||||||
Genesee & Wyoming, Inc. (a) |
(9,750 | ) | (778,538 | ) | | 0.0 | (g) | |||||||||
Hertz Global Holdings, Inc. (a) |
(1 | ) | (9 | ) | (4 | ) | 0.0 | (g) | ||||||||
Werner Enterprises, Inc. |
(3,163 | ) | (128,734 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(15,308 | ) | (1,212,749 | ) | (4 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
|
|||||||||||||||
Herc Holdings, Inc. (a) |
(2,483 | ) | (163,193 | ) | | 0.0 | (g) | |||||||||
SiteOne Landscape Supply, Inc. (a) |
(2,986 | ) | (227,414 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(5,469 | ) | (390,607 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
|
|||||||||||||||
Macquarie Infrastructure Corp. |
(4,649 | ) | (308,461 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(201,699 | ) | (9,255,115 | ) | (4 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
|
|||||||||||||||
Communications Equipment |
|
|||||||||||||||
Infinera Corp. (a) |
(68,368 | ) | (442,341 | ) | | 0.0 | (g) | |||||||||
ViaSat, Inc. (a) |
(3,514 | ) | (265,729 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(71,882 | ) | (708,070 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Electronic Equipment, Instruments & Components |
|
|||||||||||||||
Fitbit, Inc. (a) |
(82,409 | ) | (424,406 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
|
|||||||||||||||
2U, Inc. (a) |
(9,880 | ) | (733,788 | ) | | 0.0 | (g) | |||||||||
Benefitfocus, Inc. (a) |
(6,816 | ) | (171,763 | ) | | 0.0 | (g) | |||||||||
Box, Inc. (a) |
(9,515 | ) | (211,614 | ) | | 0.0 | (g) | |||||||||
Cornerstone OnDemand, Inc. (a) |
(6,705 | ) | (275,777 | ) | | 0.0 | (g) | |||||||||
Etsy, Inc. (a) |
(9,639 | ) | (180,828 | ) | | 0.0 | (g) | |||||||||
Gogo, Inc. (a) |
(62,131 | ) | (598,943 | ) | | 0.0 | (g) | |||||||||
GTT Communications, Inc. (a) |
(2,672 | ) | (123,313 | ) | | 0.0 | (g) | |||||||||
MuleSoft, Inc. (a) |
(27,678 | ) | (680,325 | ) | | 0.0 | (g) | |||||||||
New Relic, Inc. (a) |
(12,368 | ) | (738,741 | ) | | 0.0 | (g) | |||||||||
Pandora Media, Inc. (a) |
(26,645 | ) | (127,363 | ) | | 0.0 | (g) | |||||||||
Q2 Holdings, Inc. (a) |
(6,525 | ) | (276,334 | ) | | 0.0 | (g) | |||||||||
SPS Commerce, Inc. (a) |
(6,718 | ) | (353,367 | ) | | 0.0 | (g) | |||||||||
Wix.com Ltd. (a) |
(12,650 | ) | (772,283 | ) | | 0.0 | (g) | |||||||||
Zillow Group, Inc. (a) |
(5,215 | ) | (231,859 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(205,157 | ) | (5,476,298 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
IT Services |
|
|||||||||||||||
InterXion Holding NV (a) |
(11,360 | ) | (712,840 | ) | | 0.0 | (g) | |||||||||
Syntel, Inc. (a) |
(8,200 | ) | (184,910 | ) | | 0.0 | (g) | |||||||||
WEX, Inc. (a) |
(856 | ) | (132,517 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(20,416 | ) | (1,030,267 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Semiconductors & Semiconductor Equipment |
|
|||||||||||||||
Advanced Micro Devices, Inc. (a) |
(53,107 | ) | (729,690 | ) | | 0.0 | (g) | |||||||||
MACOM Technology Solutions Holdings, Inc. (a) |
(24,809 | ) | (771,560 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(77,916 | ) | (1,501,250 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Software |
|
|||||||||||||||
Autodesk, Inc. (a) |
(6,421 | ) | (742,396 | ) | | 0.0 | (g) | |||||||||
Blackline, Inc. (a) |
(17,103 | ) | (568,333 | ) | | 0.0 | (g) | |||||||||
FireEye, Inc. (a) |
(32,823 | ) | (494,971 | ) | | 0.0 | (g) | |||||||||
Globant SA (a) |
(5,250 | ) | (238,560 | ) | | 0.0 | (g) | |||||||||
HubSpot, Inc. (a) |
(7,490 | ) | (726,905 | ) | | 0.0 | (g) | |||||||||
Imperva, Inc. (a) |
(13,485 | ) | (589,969 | ) | | 0.0 | (g) | |||||||||
Pegasystems, Inc. |
(5,519 | ) | (280,641 | ) | | 0.0 | (g) | |||||||||
RingCentral, Inc. (a) |
(11,710 | ) | (635,853 | ) | | 0.0 | (g) |
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Short Positions continued |
|
|||||||||||||||
Common Stocks continued |
|
|||||||||||||||
Software continued |
|
|||||||||||||||
ServiceNow, Inc. (a) |
(818 | ) | (121,776 | ) | | 0.0 | (g) | |||||||||
Splunk, Inc. (a) |
(6,438 | ) | (594,678 | ) | | 0.0 | (g) | |||||||||
Tableau Software, Inc. (a) |
(8,300 | ) | (637,523 | ) | | 0.0 | (g) | |||||||||
Workday, Inc. (a) |
(5,927 | ) | (710,588 | ) | | 0.0 | (g) | |||||||||
Zendesk, Inc. (a) |
(17,315 | ) | (666,974 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(138,599 | ) | (7,009,167 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Technology Hardware, Storage & Peripherals |
|
|||||||||||||||
Cray, Inc. (a) |
(6,332 | ) | (153,551 | ) | | 0.0 | (g) | |||||||||
Pure Storage, Inc. (a) |
(35,467 | ) | (714,305 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(41,799 | ) | (867,856 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
(638,178 | ) | (17,017,314 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
|
|||||||||||||||
Chemicals |
|
|||||||||||||||
CF Industries Holdings, Inc. |
(4,213 | ) | (178,800 | ) | | 0.0 | (g) | |||||||||
GCP Applied Technologies, Inc. (a) |
(7,531 | ) | (251,535 | ) | | 0.0 | (g) | |||||||||
RPM International, Inc. |
(4,187 | ) | (218,561 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(15,931 | ) | (648,896 | ) | | | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Construction Materials |
|
|||||||||||||||
Martin Marietta Materials, Inc. |
(910 | ) | (207,635 | ) | | 0.0 | (g) | |||||||||
Summit Materials, Inc. (a) |
(23,292 | ) | (744,179 | ) | | 0.0 | (g) | |||||||||
Vulcan Materials Co. |
(998 | ) | (135,129 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(25,200 | ) | (1,086,943 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Containers & Packaging |
|
|||||||||||||||
Ball Corp. |
(8,525 | ) | (326,337 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
|
|||||||||||||||
Carpenter Technology Corp. |
(4,937 | ) | (253,762 | ) | | 0.0 | (g) | |||||||||
Coeur Mining, Inc. (a) |
(39,684 | ) | (319,059 | ) | | 0.0 | (g) | |||||||||
Commercial Metals Co. |
(30,143 | ) | (724,638 | ) | | 0.0 | (g) | |||||||||
Constellium NV (a) |
(64,815 | ) | (832,873 | ) | | 0.0 | (g) | |||||||||
Hecla Mining Co. |
(196,211 | ) | (753,450 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(335,790 | ) | (2,883,782 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(385,446 | ) | (4,945,958 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
|
|||||||||||||||
Diversified Telecommunication Services |
|
|||||||||||||||
Zayo Group Holdings, Inc. (a) |
(22,439 | ) | (823,511 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Wireless Telecommunication Services |
|
|||||||||||||||
Sprint Corp. (a) |
(156,279 | ) | (832,967 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
(178,718 | ) | (1,656,478 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
|
|||||||||||||||
Electric Utilities |
|
|||||||||||||||
Southern Co. (The) |
(7,400 | ) | (333,814 | ) | | 0.0 | (g) | |||||||||
Westar Energy, Inc. |
(6,904 | ) | (356,661 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(14,304 | ) | (690,475 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Multi-Utilities |
|
|||||||||||||||
Dominion Energy, Inc. |
(10,602 | ) | (810,417 | ) | | 0.0 | (g) | |||||||||
NiSource, Inc. |
(14,027 | ) | (346,186 | ) | | 0.0 | (g) | |||||||||
Sempra Energy |
(7,607 | ) | (814,101 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(32,236 | ) | (1,970,704 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Water Utilities |
|
|||||||||||||||
American States Water Co. |
(13,248 | ) | (731,555 | ) | | 0.0 | (g) | |||||||||
American Water Works Co., Inc. |
(4,116 | ) | (342,328 | ) | | 0.0 | (g) | |||||||||
Aqua America, Inc. |
(8,820 | ) | (319,372 | ) | | 0.0 | (g) | |||||||||
California Water Service Group |
(8,146 | ) | (331,542 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
(34,330 | ) | (1,724,797 | ) | | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Utilities |
(80,870 | ) | (4,385,976 | ) | | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(2,892,298 | ) | (69,044,315 | ) | (3,262 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(2,615,474 | ) | (52,125,553 | ) | (3,262 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | 4,054,875 | $ | 344 | $ | | $ | 344 | ||||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Carnival plc |
9,992 | 704,983 | (118 | ) | 0.0 | (g) | ||||||||||
William Hill plc |
128,442 | 565,342 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
138,434 | 1,270,325 | (118 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Household Durables |
||||||||||||||||
Barratt Developments plc |
8,471 | 70,367 | (18 | ) | 0.0 | (g) | ||||||||||
Bellway plc |
2,548 | 120,117 | (29 | ) | 0.0 | (g) | ||||||||||
Berkeley Group Holdings plc |
10,374 | 584,118 | (55 | ) | 0.0 | (g) | ||||||||||
Crest Nicholson Holdings plc |
10,956 | 78,635 | | 0.0 | (g) | |||||||||||
Persimmon plc |
2,850 | 101,245 | | 0.0 | (g) | |||||||||||
Redrow plc |
17,327 | 147,364 | | 0.0 | (g) | |||||||||||
Taylor Wimpey plc |
49,895 | 135,028 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
102,421 | 1,236,874 | (102 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Specialty Retail |
||||||||||||||||
WH Smith plc |
3,502 | 106,219 | (90 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Textiles, Apparel & Luxury Goods |
||||||||||||||||
Burberry Group plc |
5,738 | 128,684 | 41 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
250,095 | 2,742,102 | (269 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Wm Morrison Supermarkets plc |
211,503 | 666,672 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Energy Equipment & Services |
||||||||||||||||
Petrofac Ltd. |
30,905 | 232,866 | 475 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Capital Markets |
||||||||||||||||
3i Group plc |
42,737 | 565,113 | (62 | ) | 0.0 | (g) | ||||||||||
Investec plc |
12,019 | 93,379 | 32 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
54,756 | 658,492 | (30 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Airlines |
||||||||||||||||
International Consolidated Airlines Group SA |
75,041 | 681,851 | (262 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Professional Services |
||||||||||||||||
RELX plc |
26,801 | 593,103 | 231 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Trading Companies & Distributors |
||||||||||||||||
Howden Joinery Group plc |
111,612 | 735,988 | 201 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
213,454 | 2,010,942 | 170 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Information Technology |
||||||||||||||||
Electronic Equipment, Instruments & Components |
||||||||||||||||
Electrocomponents plc |
57,402 | 499,437 | 154 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet Software & Services |
||||||||||||||||
Moneysupermarket.com Group plc |
39,327 | 189,111 | 42 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Information Technology |
96,729 | 688,548 | 196 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions continued |
||||||||||||||||
Common Stocks continued |
||||||||||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
BHP Billiton plc |
29,142 | 648,999 | 1,859 | 0.0 | (g) | |||||||||||
Centamin plc |
283,658 | 656,316 | 1,441 | 0.0 | (g) | |||||||||||
Rio Tinto plc |
1,605 | 89,339 | (38 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
314,405 | 1,394,654 | 3,262 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Paper & Forest Products |
||||||||||||||||
Mondi plc |
6,270 | 167,115 | 16 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
320,675 | 1,561,769 | 3,278 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Telecommunication Services |
||||||||||||||||
Diversified Telecommunication Services |
||||||||||||||||
BT Group plc |
40,589 | 148,294 | 1,078 | 0.0 | (g) | |||||||||||
Inmarsat plc |
2,505 | 16,511 | (10 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
43,094 | 164,805 | 1,068 | 0.0 | (g) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Telecommunication Services |
43,094 | 164,805 | 1,068 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Multi-Utilities |
||||||||||||||||
Centrica plc |
16,836 | 31,901 | | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
1,238,047 | 8,758,097 | 4,888 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Merlin Entertainments plc |
(52,711 | ) | (245,930 | ) | | 0.0 | (g) | |||||||||
Whitbread plc |
(7,190 | ) | (396,276 | ) | (75 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(59,901 | ) | (642,206 | ) | (75 | ) | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Internet & Direct Marketing Retail |
||||||||||||||||
Ocado Group plc (a) |
(63,965 | ) | (457,697 | ) | (324 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Multiline Retail |
||||||||||||||||
B&M European Value Retail SA |
(86,622 | ) | (511,286 | ) | 230 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Consumer Discretionary |
(210,488 | ) | (1,611,189 | ) | (169 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Tullow Oil plc (a) |
(113,285 | ) | (322,360 | ) | (1,067 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Banks |
||||||||||||||||
Standard Chartered plc (a) |
(38,141 | ) | (443,780 | ) | 70 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Markets |
||||||||||||||||
St Jamess Place plc |
(28,023 | ) | (473,122 | ) | (236 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Financials |
(66,164 | ) | (916,902 | ) | (166 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Trading Companies & Distributors |
||||||||||||||||
Ashtead Group plc |
(22,709 | ) | (678,842 | ) | (119 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
Fresnillo plc |
(19,643 | ) | (376,077 | ) | (1,234 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Real Estate |
||||||||||||||||
Real Estate Management & Development |
||||||||||||||||
Capital & Counties Properties plc |
(91,516 | ) | (384,330 | ) | (1,010 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Utilities |
||||||||||||||||
Water Utilities |
||||||||||||||||
Pennon Group plc |
(40,453 | ) | (413,522 | ) | (779 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(564,258 | ) | (4,703,222 | ) | (4,544 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
673,789 | 4,054,875 | 344 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.25%), which is denominated in CHF based on the local currencies of the positions within the swaps. | 03/20/2018 | $ | 2,009,720 | $ | (120 | ) | $ | | $ | (120 | ) | ||||||||
|
|
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE | ||||||||||||
Long Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Financials |
|
|||||||||||||||
Insurance |
|
|||||||||||||||
Baloise Holding AG (Registered) |
1,097 | 179,472 | (32 | ) | 0.0 (g) | |||||||||||
Swiss Life Holding AG (Registered) (a) |
1,682 | 631,587 | (10 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Total Financials |
2,779 | 811,059 | (42 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Health Care |
|
|||||||||||||||
Pharmaceuticals |
|
|||||||||||||||
Novartis AG (Registered) |
1,134 | 102,352 | (235 | ) | 0.0 (g) | |||||||||||
Roche Holding AG |
2,683 | 670,433 | (642 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Total Health Care |
3,817 | 772,785 | (877 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Industrials |
|
|||||||||||||||
Machinery |
|
|||||||||||||||
Georg Fischer AG (Registered) |
442 | 639,862 | (284 | ) | 0.0 (g) | |||||||||||
Schindler Holding AG |
429 | 107,492 | (87 | ) | 0.0 (g) | |||||||||||
VAT Group AG (a) |
307 | 49,045 | (35 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Total Industrials |
1,178 | 796,399 | (406 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Real Estate |
|
|||||||||||||||
Real Estate Management & Development |
|
|||||||||||||||
Swiss Prime Site AG (Registered) (a) |
602 | 58,281 | 70 | 0.0 (g) | ||||||||||||
|
|
|
|
|
|
| ||||||||||
Telecommunication Services |
|
|||||||||||||||
Diversified Telecommunication Services |
|
|||||||||||||||
Sunrise Communications Group AG (a) |
917 | 86,220 | 12 | 0.0 (g) | ||||||||||||
|
|
|
|
|
|
| ||||||||||
Total Long Positions of Total Return Basket Swap |
9,293 | 2,524,744 | (1,243 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
| ||||||||||
Short Positions |
|
|||||||||||||||
Common Stocks |
|
|||||||||||||||
Consumer Discretionary |
|
|||||||||||||||
Specialty Retail |
|
|||||||||||||||
Dufry AG (Registered) (a) |
(3,320 | ) | (515,024 | ) | 1,123 | 0.0 (g) | ||||||||||
|
|
|
|
|
|
| ||||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
5,973 | 2,009,720 | (120 | ) | 0.0 (g) | |||||||||||
|
|
|
|
|
|
|
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND |
VALUE | ||||||||||||
Union Bank of Switzerland AG |
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBSW on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.10)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 03/19/2018 | $ | (1,870,010 | ) | $ | (903 | ) | $ | $ | (903 | ) | ||||||
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
REFERENCE ENTITY |
SHARES | NOTIONAL VALUE($)(1) |
UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Aristocrat Leisure Ltd. |
36,403 | 699,443 | (1,628 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Consumer Staples |
||||||||||||||||
Food & Staples Retailing |
||||||||||||||||
Metcash Ltd. |
33,079 | 85,308 | 12 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Energy |
||||||||||||||||
Oil, Gas & Consumable Fuels |
||||||||||||||||
Caltex Australia Ltd. |
5,952 | 166,596 | (165 | ) | 0.0 | (g) | ||||||||||
Woodside Petroleum Ltd. |
4,906 | 130,985 | 53 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Energy |
10,858 | 297,581 | (112 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Materials |
||||||||||||||||
Metals & Mining |
||||||||||||||||
BlueScope Steel Ltd. |
70 | 813 | (5 | ) | 0.0 | (g) | ||||||||||
Fortescue Metals Group Ltd. |
41,194 | 163,591 | (1,052 | ) | 0.0 | (g) | ||||||||||
OZ Minerals Ltd. |
55,659 | 418,421 | (926 | ) | 0.0 | (g) | ||||||||||
Regis Resources Ltd. |
40,365 | 134,068 | 60 | 0.0 | (g) | |||||||||||
Rio Tinto Ltd. |
9,996 | 615,436 | (3,573 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
147,284 | 1,332,329 | (5,496 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swap |
227,624 | 2,414,661 | (7,224 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
||||||||||||||||
Hotels, Restaurants & Leisure |
||||||||||||||||
Dominos Pizza Enterprises Ltd. |
(17,888 | ) | (689,766 | ) | 1,969 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Financials |
||||||||||||||||
Diversified Financial Services |
||||||||||||||||
AMP Ltd. |
(124,161 | ) | (524,441 | ) | 816 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Health Care |
||||||||||||||||
Health Care Providers & Services |
||||||||||||||||
Healthscope Ltd. |
(221,778 | ) | (345,025 | ) | (117 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Pharmaceuticals |
||||||||||||||||
Mayne Pharma Group Ltd. (a) |
(641,865 | ) | (342,725 | ) | 1,223 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Health Care |
(863,643 | ) | (687,750 | ) | 1,106 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Industrials |
||||||||||||||||
Commercial Services & Supplies |
||||||||||||||||
Brambles Ltd. |
(52,653 | ) | (418,733 | ) | 1,302 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Transportation Infrastructure |
||||||||||||||||
Qube Holdings Ltd. |
(359,587 | ) | (742,817 | ) | 1,854 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Industrials |
(412,240 | ) | (1,161,550 | ) | 3,156 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Metals & Mining |
||||||||||||||||
Independence Group NL |
(117,325 | ) | (472,353 | ) | 3,185 | 0.0 | (g) | |||||||||
Saracen Mineral Holdings Ltd. (a) |
(620,418 | ) | (748,811 | ) | (3,911 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Materials |
(737,743 | ) | (1,221,164 | ) | (726 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Positions of Total Return Basket Swap |
(2,155,675 | ) | (4,284,671 | ) | 6,321 | 0.0 | (g) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total of Long and Short Positions of Total Return Basket Swaps |
(1,928,051 | ) | (1,870,010 | ) | (903 | ) | 0.0 | (g) | ||||||||
|
|
|
|
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following reference rates, and their values as of period-end, are used for security descriptions:
VALUE | ||||
BA |
1.58 | % | ||
BBR |
1.68 | % | ||
BBSW |
1.68 | % | ||
CDOR |
1.58 | % | ||
CHF LIBOR |
(0.80 | )% | ||
CIBOR |
(0.37 | )% | ||
EURIBOR |
(0.37 | )% | ||
EUR LIBOR |
(0.41 | )% | ||
GBP LIBOR |
0.50 | % | ||
JPY LIBOR |
(0.04 | )% | ||
STIBOR |
(0.50 | )% | ||
USD LIBOR |
1.58 | % |
Summary of total swap contracts outstanding as of January 31, 2018:
Net Upfront Payments (Receipts)($) |
Value($) | |||||||
Assets |
||||||||
OTC Total Return Basket Swaps Outstanding |
| 69,525 | ||||||
OTC Total return swap contracts outstanding |
| 2,379 | ||||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| 71,904 | ||||||
|
|
|
|
|||||
Liabilities |
||||||||
|
|
|
|
|||||
Total OTC Total Return Basket Swaps Outstanding |
| (147,947 | ) | |||||
|
|
|
|
JPMorgan Systematic Alpha Fund
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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. 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 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.
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 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 JANUARY 31, 2018 (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 |
$ | 56,381,084 | $ | 500,699 | $ | | $ | 56,881,783 | ||||||||
Consumer Staples |
19,057,714 | 2,134,536 | | 21,192,250 | ||||||||||||
Energy |
12,839,503 | 595,656 | | 13,435,159 | ||||||||||||
Financials |
25,364,795 | | | 25,364,795 | ||||||||||||
Health Care |
46,809,202 | 901,256 | | 47,710,458 | ||||||||||||
Industrials |
38,768,865 | 1,045,349 | | 39,814,214 | ||||||||||||
Information Technology |
66,045,946 | 1,566,683 | | 67,612,629 | ||||||||||||
Materials |
20,613,108 | 3,168,814 | | 23,781,922 | ||||||||||||
Real Estate |
736,690 | 589,358 | | 1,326,048 | ||||||||||||
Telecommunication Services |
2,410,278 | 489,494 | | 2,899,772 | ||||||||||||
Utilities |
16,349,251 | | | 16,349,251 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
305,376,436 | 10,991,845 | | 316,368,281 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Preferred Stocks |
||||||||||||||||
Energy |
637,135 | | | 637,135 | ||||||||||||
Financials |
668,546 | | | 668,546 | ||||||||||||
Health Care |
1,417,413 | | | 1,417,413 | ||||||||||||
Industrials |
705,524 | | | 705,524 | ||||||||||||
Real Estate |
202,545 | | | 202,545 | ||||||||||||
Utilities |
974,060 | | | 974,060 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
4,605,223 | | | 4,605,223 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Debt Securities |
||||||||||||||||
Convertible Bonds |
||||||||||||||||
Consumer Discretionary |
| 1,315,685 | | 1,315,685 | ||||||||||||
Energy |
| 738,425 | | 738,425 | ||||||||||||
Financials |
| 1,498,233 | | 1,498,233 | ||||||||||||
Health Care |
| 5,214,716 | | (a) | 5,214,716 | |||||||||||
Industrials |
| 495,027 | | 495,027 | ||||||||||||
Information Technology |
| 8,439,772 | | 8,439,772 | ||||||||||||
Materials |
| 344,580 | | 344,580 | ||||||||||||
Real Estate |
| 432,295 | | 432,295 | ||||||||||||
Utilities |
| 564,713 | | 564,713 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 19,043,446 | | (a) | 19,043,446 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
||||||||||||||||
Health Care |
| | | (a) | | (a) | ||||||||||
Short-Term Investments |
||||||||||||||||
Investment Companies |
99,064,217 | | | 99,064,217 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 409,045,876 | $ | 30,035,291 | $ | | (a) | $ | 439,081,167 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 2,105,586 | $ | | $ | 2,105,586 | ||||||||
Futures Contracts |
6,444,501 | 125,144 | | 6,569,645 | ||||||||||||
Swaps |
| 69,525 | 2,379 | 71,904 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 6,444,501 | $ | 2,300,255 | $ | 2,379 | $ | 8,747,135 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (3,828,975 | ) | $ | | $ | (3,828,975 | ) | ||||||
Futures Contracts |
(11,374,996 | ) | (102,392 | ) | | (11,477,388 | ) | |||||||||
Swaps |
| (147,593 | ) | | (147,593 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (11,374,996 | ) | $ | (4,078,960 | ) | $ | | $ | (15,453,956 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of beginning of the period.
There were no significant transfers between level 1 and level 2 during the period ended January 31, 2018.
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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). Swaps The Fund engaged in various swap transactions, including total return swaps and total return basket swaps, to manage credit and total return 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, Non-deliverable Forward Foreign Currency Exchange Contracts and/or OTC options with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum
JPMorgan Systematic Alpha Fund
NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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 Fund may be required to post or receive collateral for OTC Swaps.
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 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 Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) | Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
Long Contracts |
| |||||||||||||||||
MSCI Emerging Markets E-Mini Index |
152 | 03/2018 | USD | 9,559 | 75 | |||||||||||||
|
|
|||||||||||||||||
75 | ||||||||||||||||||
|
|
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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.
JPMorgan Emerging Economies Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
$ | 13,546 | $ | | $ | | $ | 13,546 | ||||||||
Brazil |
211,602 | | | 211,602 | ||||||||||||
China |
104,384 | 506,637 | | 611,021 | ||||||||||||
Hong Kong |
| 66,295 | | 66,295 | ||||||||||||
Hungary |
| 31,113 | | 31,113 | ||||||||||||
India |
4,700 | 48,541 | | 53,241 | ||||||||||||
Indonesia |
| 33,885 | | 33,885 | ||||||||||||
Luxembourg |
7,214 | | | 7,214 | ||||||||||||
Malaysia |
| 56,120 | | 56,120 | ||||||||||||
Mexico |
3,372 | | | 3,372 | ||||||||||||
Panama |
28,380 | | | 28,380 | ||||||||||||
Poland |
| 32,136 | | 32,136 | ||||||||||||
Qatar |
| 7,478 | | 7,478 | ||||||||||||
Russia |
37,190 | 128,571 | | 165,761 | ||||||||||||
Singapore |
| 11,963 | | 11,963 | ||||||||||||
South Africa |
| 30,782 | | 30,782 | ||||||||||||
South Korea |
| 375,427 | | 375,427 | ||||||||||||
Taiwan |
35,531 | 226,526 | | 262,057 | ||||||||||||
Thailand |
| 88,659 | | 88,659 | ||||||||||||
Turkey |
| 106,317 | | 106,317 | ||||||||||||
United States |
21,634 | | | 21,634 | ||||||||||||
Vietnam |
| 9,073 | | 9,073 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
467,553 | 1,759,523 | | 2,227,076 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
67,413 | | | 67,413 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 534,966 | $ | 1,759,523 | $ | | $ | 2,294,489 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts |
$ | 75 | $ | | $ | | $ | 75 | ||||||||
|
|
|
|
|
|
|
|
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 $158,904,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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.
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
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 (SOIs) (amount in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Argentina |
$ | 112,495 | $ | | $ | | $ | 112,495 | ||||||||
Australia |
| 25,051 | | 25,051 | ||||||||||||
Brazil |
482,551 | | | 482,551 | ||||||||||||
China |
435,645 | 1,023,842 | | 1,459,487 | ||||||||||||
Egypt |
| 29,696 | | 29,696 | ||||||||||||
Hong Kong |
| 337,126 | | 337,126 | ||||||||||||
India |
137,743 | 795,887 | | 933,630 | ||||||||||||
Indonesia |
| 133,034 | | 133,034 | ||||||||||||
Mexico |
158,015 | | | 158,015 | ||||||||||||
Panama |
56,020 | | | 56,020 | ||||||||||||
Peru |
71,762 | | | 71,762 | ||||||||||||
Russia |
| 244,718 | | 244,718 | ||||||||||||
South Africa |
| 312,653 | | 312,653 | ||||||||||||
South Korea |
| 315,067 | | 315,067 | ||||||||||||
Spain |
| 28,234 | | 28,234 | ||||||||||||
Taiwan |
201,534 | 133,853 | | 335,387 | ||||||||||||
Thailand |
| 37,646 | | 37,646 | ||||||||||||
Turkey |
| 16,560 | | 16,560 | ||||||||||||
United States |
96,323 | | | 96,323 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
1,752,088 | 3,433,367 | | 5,185,455 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Warrants |
| |||||||||||||||
United States |
| 23,688 | | 23,688 | ||||||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
143,881 | | | 143,881 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,895,969 | $ | 3,457,055 | $ | | $ | 5,353,024 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $240,999,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (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 JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency | Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||
Long Contracts |
| |||||||||||||||
U.S. Treasury Long Bond |
81 | 03/2018 | USD | 11,970 | (170 | ) | ||||||||||
3 Month Eurodollar |
486 | 12/2018 | USD | 118,602 | (62 | ) | ||||||||||
|
|
|||||||||||||||
(232 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Contracts |
| |||||||||||||||
Euro-Schatz |
(303 | ) | 03/2018 | EUR | (42,062 | ) | 109 | |||||||||
3 Month Eurodollar |
(486 | ) | 12/2019 | USD | (118,225 | ) | 103 | |||||||||
|
|
|||||||||||||||
212 | ||||||||||||||||
|
|
|||||||||||||||
(20 | ) | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
EGP |
59,221 | USD |
3,241 | Citibank, NA** |
03/15/2018 | 96 | ||||||||||||||
AUD |
8,758 | USD |
6,754 | Credit Suisse International |
03/19/2018 | 302 | ||||||||||||||
AUD |
2,158 | USD |
1,691 | Goldman Sachs International |
03/19/2018 | 48 | ||||||||||||||
BRL |
5,535 | USD |
1,696 | Citibank, NA** |
03/19/2018 | 33 | ||||||||||||||
BRL |
2,030 | USD |
622 | Deutsche Bank AG** |
03/19/2018 | 12 | ||||||||||||||
BRL |
29,063 | USD |
8,756 | Goldman Sachs International** |
03/19/2018 | 325 | ||||||||||||||
CAD |
2,105 | USD |
1,640 | Citibank, NA |
03/19/2018 | 73 | ||||||||||||||
CAD |
2,055 | USD |
1,606 | Union Bank of Switzerland AG |
03/19/2018 | 66 | ||||||||||||||
CLP |
2,055,010 | USD |
3,392 | Credit Suisse International** |
03/19/2018 | 14 | ||||||||||||||
CLP |
392,889 | USD |
645 | Goldman Sachs International** |
03/19/2018 | 6 | ||||||||||||||
CNH |
50,497 | USD |
7,573 | Deutsche Bank AG** |
03/19/2018 | 425 | ||||||||||||||
CNH |
26,353 | USD |
4,053 | Goldman Sachs International** |
03/19/2018 | 121 | ||||||||||||||
CNH |
13,207 | USD |
2,018 | Societe Generale** |
03/19/2018 | 73 | ||||||||||||||
CZK |
54,929 | USD |
2,581 | Goldman Sachs International |
03/19/2018 | 124 | ||||||||||||||
CZK |
7,654 | USD |
357 | National Australia Bank Ltd. |
03/19/2018 | 20 | ||||||||||||||
CZK |
212,919 | USD |
9,900 | Royal Bank of Canada |
03/19/2018 | 584 | ||||||||||||||
CZK |
7,025 | USD |
346 | Standard Chartered Bank |
03/19/2018 | | (h) | |||||||||||||
EUR |
3,410 | USD |
4,220 | State Street Corp. |
03/19/2018 | 26 | ||||||||||||||
HUF |
87,051 | USD |
348 | Goldman Sachs International |
03/19/2018 | 1 | ||||||||||||||
IDR |
8,708,144 | USD |
645 | Deutsche Bank AG** |
03/19/2018 | 5 | ||||||||||||||
IDR |
121,724,024 | USD |
9,007 | Goldman Sachs International** |
03/19/2018 | 84 | ||||||||||||||
INR |
129,598 | USD |
2,018 | Deutsche Bank AG** |
03/19/2018 | 7 | ||||||||||||||
INR |
643,797 | USD |
9,872 | Merrill Lynch International** |
03/19/2018 | 188 | ||||||||||||||
JPY |
1,487,171 | USD |
13,267 | Royal Bank of Canada |
03/19/2018 | 389 | ||||||||||||||
KRW |
1,811,634 | USD |
1,656 | Goldman Sachs International** |
03/19/2018 | 39 | ||||||||||||||
PLN |
11,711 | USD |
3,380 | Citibank, NA |
03/19/2018 | 122 | ||||||||||||||
PLN |
4,309 | USD |
1,235 | Credit Suisse International |
03/19/2018 | 54 | ||||||||||||||
PLN |
39,553 | USD |
11,564 | Goldman Sachs International |
03/19/2018 | 265 | ||||||||||||||
RUB |
97,885 | USD |
1,696 | Citibank, NA** |
03/19/2018 | 36 | ||||||||||||||
RUB |
451,031 | USD |
7,599 | Goldman Sachs International** |
03/19/2018 | 381 | ||||||||||||||
RUB |
573,287 | USD |
9,824 | Merrill Lynch International** |
03/19/2018 | 318 | ||||||||||||||
SGD |
6,793 | USD |
5,122 | Citibank, NA |
03/19/2018 | 60 | ||||||||||||||
THB |
128,399 | USD |
4,022 | Citibank, NA |
03/19/2018 | 82 | ||||||||||||||
THB |
277,461 | USD |
8,684 | Goldman Sachs International |
03/19/2018 | 184 | ||||||||||||||
THB |
109,715 | USD |
3,425 | HSBC Bank, N.A. |
03/19/2018 | 82 | ||||||||||||||
THB |
53,986 | USD |
1,660 | Merrill Lynch International |
03/19/2018 | 66 | ||||||||||||||
TRY |
52,337 | USD |
13,005 | Citibank, NA |
03/19/2018 | 747 |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
TRY | 15,646 | USD | 4,018 | Goldman Sachs International | 03/19/2018 | 93 | ||||||||||||||
TRY | 31,163 | USD | 8,084 | HSBC Bank, N.A. | 03/19/2018 | 105 | ||||||||||||||
TRY | 14,787 | USD | 3,881 | State Street Corp. | 03/19/2018 | 5 | ||||||||||||||
TWD | 119,299 | USD | 4,092 | Goldman Sachs International** | 03/19/2018 | 14 | ||||||||||||||
TWD | 118,896 | USD | 4,041 | Merrill Lynch International** | 03/19/2018 | 51 | ||||||||||||||
USD | 5,566 | ARS | 104,243 | Deutsche Bank AG** | 03/19/2018 | 370 | ||||||||||||||
USD | 7,684 | BRL | 24,565 | Citibank, NA** | 03/19/2018 | 9 | ||||||||||||||
USD | 114 | HUF | 28,241 | Standard Chartered Bank | 03/19/2018 | | (h) | |||||||||||||
USD | 3,963 | IDR | 53,060,607 | Citibank, NA** | 03/19/2018 | | (h) | |||||||||||||
USD | 8,061 | IDR | 107,787,096 | Goldman Sachs International** | 03/19/2018 | 11 | ||||||||||||||
USD | 1,703 | KRW | 1,811,634 | Citibank, NA** | 03/19/2018 | 7 | ||||||||||||||
USD | 4,047 | KRW | 4,304,881 | Goldman Sachs International** | 03/19/2018 | 19 | ||||||||||||||
USD | 4,022 | PHP | 203,389 | Citibank, NA** | 03/19/2018 | 69 | ||||||||||||||
USD | 5,646 | PHP | 285,876 | Goldman Sachs International** | 03/19/2018 | 91 | ||||||||||||||
USD | 4,068 | PLN | 13,558 | HSBC Bank, N.A. | 03/19/2018 | 13 | ||||||||||||||
ZAR | 49,910 | USD | 4,105 | Citibank, NA | 03/19/2018 | 80 | ||||||||||||||
ZAR | 19,939 | USD | 1,437 | State Street Corp. | 03/19/2018 | 235 | ||||||||||||||
COP | 23,062,458 | USD | 8,071 | Citibank, NA** | 03/20/2018 | 32 | ||||||||||||||
MXN | 61,541 | USD | 3,220 | Goldman Sachs International | 03/20/2018 | 63 | ||||||||||||||
MXN | 3,864 | USD | 205 | Standard Chartered Bank | 03/20/2018 | 1 | ||||||||||||||
EUR | 1,795 | USD | 2,240 | Australia & New Zealand Banking Group Ltd. | 04/19/2018 | | (h) | |||||||||||||
EGP | 62,397 | USD | 3,346 | Citibank, NA** | 06/19/2018 | 118 | ||||||||||||||
|
|
|||||||||||||||||||
Total unrealized appreciation |
6,844 | |||||||||||||||||||
|
|
|||||||||||||||||||
ARS | 104,243 | USD | 5,693 | Citibank, NA** | 03/19/2018 | (498 | ) | |||||||||||||
BRL | 12,573 | USD | 3,972 | Barclays Bank plc** | 03/19/2018 | (43 | ) | |||||||||||||
CAD | 8,457 | AUD | 8,758 | Credit Suisse International # | 03/19/2018 | (177 | ) | |||||||||||||
HUF | 1,054,715 | USD | 4,243 | HSBC Bank, N.A. | 03/19/2018 | (13 | ) | |||||||||||||
KRW | 4,284,251 | USD | 4,041 | Citibank, NA** | 03/19/2018 | (32 | ) | |||||||||||||
KRW | 4,304,881 | USD | 4,043 | Goldman Sachs International** | 03/19/2018 | (15 | ) | |||||||||||||
PHP | 489,265 | USD | 9,599 | Citibank, NA** | 03/19/2018 | (92 | ) | |||||||||||||
PLN | 363 | USD | 109 | BNP Paribas | 03/19/2018 | (1 | ) | |||||||||||||
RUB | 1,355,798 | USD | 24,103 | Citibank, NA** | 03/19/2018 | (117 | ) | |||||||||||||
SGD | 5,325 | USD | 4,071 | Goldman Sachs International | 03/19/2018 | (8 | ) | |||||||||||||
USD | 1,697 | AUD | 2,165 | Goldman Sachs International | 03/19/2018 | (48 | ) | |||||||||||||
USD | 3,270 | AUD | 4,352 | National Australia Bank Ltd. | 03/19/2018 | (236 | ) | |||||||||||||
USD | 624 | AUD | 797 | State Street Corp. | 03/19/2018 | (18 | ) | |||||||||||||
USD | 9,244 | BRL | 30,854 | Goldman Sachs International** | 03/19/2018 | (396 | ) | |||||||||||||
USD | 9,830 | CAD | 12,597 | State Street Corp. | 03/19/2018 | (417 | ) | |||||||||||||
USD | 1,697 | CNH | 11,063 | Goldman Sachs International** | 03/19/2018 | (56 | ) | |||||||||||||
USD | 3,431 | CNH | 22,517 | HSBC Bank, N.A.** | 03/19/2018 | (135 | ) | |||||||||||||
USD | 8,055 | CNH | 52,641 | Standard Chartered Bank** | 03/19/2018 | (283 | ) | |||||||||||||
USD | 586 | CNH | 3,836 | TD Bank Financial Group** | 03/19/2018 | (21 | ) | |||||||||||||
USD | 3,324 | EUR | 2,801 | National Australia Bank Ltd. | 03/19/2018 | (165 | ) | |||||||||||||
USD | 731 | EUR | 609 | Standard Chartered Bank | 03/19/2018 | (27 | ) | |||||||||||||
USD | 3,380 | HUF | 867,629 | Citibank, NA | 03/19/2018 | (100 | ) | |||||||||||||
USD | 726 | HUF | 187,086 | Merrill Lynch International | 03/19/2018 | (24 | ) | |||||||||||||
USD | 1,651 | IDR | 22,645,072 | Goldman Sachs International** | 03/19/2018 | (40 | ) | |||||||||||||
USD | 13,240 | JPY | 1,487,171 | State Street Corp. | 03/19/2018 | (416 | ) | |||||||||||||
USD | 4,277 | PLN | 14,620 | Goldman Sachs International | 03/19/2018 | (96 | ) | |||||||||||||
USD | 3,339 | RON | 13,129 | Citibank, NA | 03/19/2018 | (168 | ) | |||||||||||||
USD | 662 | RON | 2,569 | HSBC Bank, N.A. | 03/19/2018 | (24 | ) | |||||||||||||
USD | 13,497 | RUB | 808,910 | Citibank, NA** | 03/19/2018 | (814 | ) | |||||||||||||
USD | 15,026 | RUB | 851,381 | Credit Suisse International** | 03/19/2018 | (36 | ) | |||||||||||||
USD | 8,428 | RUB | 506,519 | Goldman Sachs International** | 03/19/2018 | (533 | ) | |||||||||||||
USD | 3,263 | RUB | 196,051 | Merrill Lynch International** | 03/19/2018 | (205 | ) | |||||||||||||
USD | 5,035 | SGD | 6,793 | Barclays Bank plc | 03/19/2018 | (147 | ) |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
USD |
8,063 | SGD | 10,684 | Credit Suisse International | 03/19/2018 | (89 | ) | |||||||||||||
USD |
4,132 | THB | 129,819 | Credit Suisse International | 03/19/2018 | (18 | ) | |||||||||||||
USD |
5,715 | THB | 182,528 | HSBC Bank, N.A. | 03/19/2018 | (118 | ) | |||||||||||||
USD |
15,178 | TRY | 60,581 | Barclays Bank plc | 03/19/2018 | (740 | ) | |||||||||||||
USD |
3,424 | TRY | 13,282 | Goldman Sachs International | 03/19/2018 | (66 | ) | |||||||||||||
USD |
8,011 | TRY | 30,547 | HSBC Bank, N.A. | 03/19/2018 | (16 | ) | |||||||||||||
USD |
4,749 | TRY | 18,253 | State Street Corp. | 03/19/2018 | (47 | ) | |||||||||||||
USD |
5,017 | ZAR | 69,202 | Citibank, NA | 03/19/2018 | (787 | ) | |||||||||||||
USD |
4,789 | ZAR | 58,494 | Goldman Sachs International | 03/19/2018 | (116 | ) | |||||||||||||
USD |
2,694 | ZAR | 34,797 | Societe Generale | 03/19/2018 | (224 | ) | |||||||||||||
USD |
4,035 | ZAR | 49,910 | State Street Corp. | 03/19/2018 | (151 | ) | |||||||||||||
USD |
3,180 | MXN | 61,541 | Goldman Sachs International | 03/20/2018 | (102 | ) | |||||||||||||
USD |
4,666 | EUR | 3,824 | Australia & New Zealand Banking Group Ltd. | 04/19/2018 | (106 | ) | |||||||||||||
USD |
2,126 | EUR | 1,766 | TD Bank Financial Group | 04/19/2018 | (77 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total unrealized depreciation |
(8,058 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized depreciation |
(1,214 | ) | ||||||||||||||||||
|
|
Over the Counter (OTC) Credit default swap contracts outstanding - buy protection(1) as of January 31, 2018:
Reference Obligation/Index |
Financing Rate Paid by the Fund (%) |
Payment Frequency |
Counterparty |
Maturity Date |
Implied Credit Spread (%)(2) |
Notional Amount(3) |
Upfront Payments (Receipts) ($)(4) |
Unrealized Appreciation (Depreciation) ($) |
Value ($) | |||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/2030 |
1.00 | Quarterly | Goldman Sachs International | 12/20/2022 | 1.64 | USD | 18,500 | 763 | (253 | ) | 510 | |||||||||||||||||||
Russian Federation, 2.25%, 03/31/2030 |
1.00 | Quarterly | Citigroup Global Markets Holdings, Inc. | 12/20/2022 | 1.07 | USD | 11,265 | 97 | (74 | ) | 23 | |||||||||||||||||||
Russian Federation, 2.25%, 03/31/2030 |
1.00 | Quarterly | Citigroup Global Markets Holdings, Inc. | 12/20/2022 | 1.07 | USD | 11,735 | 101 | (77 | ) | 24 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
961 | (404 | ) | 557 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
United Mexican States, 4.15%, 03/28/2027 |
1.00 | Quarterly | Goldman Sachs International | 12/20/2022 | 0.97 | USD | 17,500 | (16 | ) | (28 | ) | (44 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
(16 | ) | (28 | ) | (44 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
945 | (432 | ) | 513 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||
(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 indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||
(3) | | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||
(4) | | Upfront payments and receipts generally represent premiums paid 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). |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
OTC Interest rate swap contracts outstanding as of January 31, 2018:
Floating Rate Index (a) |
Fixed Rate |
Pay/ Receive Floating Rate |
Counterparty | Maturity Date |
Notional Amount |
Upfront Payments(Receipts) ($) |
Value And Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||||
6 Month PRIBOR semi-annually |
1.16% annually | Receive | |
Bank of America NA |
|
06/22/2027 | CZK | 40,000 | | 142 | ||||||||||||||
6 Month PRIBOR semi-annually |
1.19% annually | Receive | |
Bank of America NA |
|
06/30/2027 | CZK | 40,000 | | 137 | ||||||||||||||
|
|
|
|
|||||||||||||||||||||
| 279 | |||||||||||||||||||||||
|
|
|
|
Centrally Cleared Interest rate swap contracts outstanding as of January 31, 2018:
Floating Rate Index (a) |
Fixed Rate |
Pay/ Receive Floating Rate |
Maturity Date |
Notional Amount | Upfront Payments(Receipts) ($) |
Value And Unrealized Appreciation (Depreciation) ($) |
||||||||||||
6 Month PRIBOR semi-annually |
1.67% annually | Receive | 09/05/2027 | CZK | 300,000 | | 394 | |||||||||||
6 Month PRIBOR semi-annually |
1.82% annually | Receive | 11/13/2027 | CZK | 170,000 | | 150 | |||||||||||
6 Month PRIBOR semi-annually |
1.93% annually | Receive | 01/24/2028 | CZK | 90,000 | | 43 | |||||||||||
Brazillian CDI at maturity |
9.21% at maturity | Pay | 01/04/2021 | BRL | 67,000 | | 283 | |||||||||||
|
|
|
|
|||||||||||||||
| 870 | |||||||||||||||||
|
|
|
|
|||||||||||||||
3 Month BUBOR quarterly |
0.41% annually | Pay | 01/16/2020 | HUF | 25,000,000 | | (114 | ) | ||||||||||
6 Month BUBOR semi-annually |
0.47% annually | Pay | 01/21/2020 | HUF | 14,000,000 | | (35 | ) | ||||||||||
6 Month BUBOR semi-annually |
1.02% annually | Pay | 01/24/2023 | HUF | 2,100,000 | | (14 | ) | ||||||||||
|
|
|
|
|||||||||||||||
| (163 | ) | ||||||||||||||||
|
|
|
|
|||||||||||||||
| 707 | |||||||||||||||||
|
|
|
|
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Summary of total swap contracts outstanding as of January 31, 2018:
Net Upfront Payments (Receipts) ($) |
Value ($) | |||||||
Assets |
| |||||||
OTC Credit default swap contracts outstanding - buy protection |
961 | 557 | ||||||
OTC Interest rate swap contracts outstanding |
| 279 | ||||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
961 | 836 | ||||||
|
|
|
|
|||||
Liabilities |
| |||||||
OTC Credit default swap contracts outstanding - buy protection |
(16 | ) | (44 | ) | ||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
(16 | ) | (44 | ) | ||||
|
|
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ARS |
| Argentine Peso | ||||
AUD |
| Australian Dollar | ||||
BRL |
| Brazilian Real | ||||
BUBOR |
| Budapest Interbank Offered Rate | ||||
CAD |
| Canadian Dollar | ||||
CDI |
| Interbank Certificate of Deposit | ||||
CLP |
| Chilean Peso | ||||
CNH |
| China Renminbi | ||||
COP |
| Colombian Peso | ||||
CZK |
| Czech Republic Koruna | ||||
EGP |
| Egyptian Pound | ||||
EUR |
| Euro | ||||
HUF |
| Hungarian Forint | ||||
ICE |
| Intercontinental Exchange | ||||
IDR |
| Indonesian Rupiah | ||||
INR |
| Indian Rupee | ||||
JPY |
| Japanese Yen | ||||
KRW |
| Korean Republic Won | ||||
LIBOR |
| London Interbank Offered Rate | ||||
MXN |
| Mexican Peso | ||||
MYR |
| Malaysian Ringgit | ||||
NGN |
| Nigerian Naira | ||||
PHP |
| Philippine Peso | ||||
PLN |
| Polish Zloty | ||||
PRIBOR |
| Prague Interbank Offered Rate | ||||
Reg. S |
| Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), 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, or pursuant to an exemption from registration. | ||||
RON |
| Romanian Leu | ||||
RUB |
| Russian Ruble | ||||
SGD |
| Singapore Dollar | ||||
SUB |
| Step-Up Bond. The interest rate shown is the rate in effect as of January 31, 2018. | ||||
THB |
| Thai Bhat | ||||
TRY |
| Turkish Lira |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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 or NAV per share as of the report date.
Futures and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
| |||||||||||||||
Debt Securities |
| |||||||||||||||
Corporate Bonds |
| |||||||||||||||
Argentina |
$ | | $ | 14,852 | $ | | $ | 14,852 | ||||||||
Azerbaijan |
| 4,258 | | 4,258 | ||||||||||||
Bahrain |
| 1,629 | | 1,629 | ||||||||||||
Brazil |
| 33,493 | | 33,493 | ||||||||||||
Chile |
| 4,787 | | 4,787 | ||||||||||||
China |
| 15,199 | | 15,199 | ||||||||||||
Colombia |
| 4,880 | | 4,880 | ||||||||||||
Congo, Democratic Republic of the |
| 1,479 | | 1,479 | ||||||||||||
Costa Rica |
| 1,031 | | 1,031 | ||||||||||||
Ecuador |
| 2,230 | | 2,230 | ||||||||||||
Guatemala |
| 704 | | 704 | ||||||||||||
Hong Kong |
| 4,716 | | 4,716 | ||||||||||||
Hungary |
| 647 | | 647 | ||||||||||||
India |
| 5,425 | | 5,425 | ||||||||||||
Indonesia |
| 11,839 | | 11,839 | ||||||||||||
Israel |
| 1,190 | | 1,190 | ||||||||||||
Jamaica |
| 2,121 | | 2,121 | ||||||||||||
Jordan |
| 2,363 | | 2,363 | ||||||||||||
Kazakhstan |
| 14,427 | | 14,427 | ||||||||||||
Kuwait |
| 438 | | 438 | ||||||||||||
Mauritius |
| 2,652 | | 2,652 | ||||||||||||
Mexico |
| 36,172 | | 36,172 | ||||||||||||
Morocco |
| 1,058 | | 1,058 | ||||||||||||
Nigeria |
| 3,567 | | 3,567 | ||||||||||||
Norway |
| 511 | | 511 | ||||||||||||
Panama |
| 867 | | 867 | ||||||||||||
Peru |
| 5,018 | | 5,018 | ||||||||||||
Qatar |
| 8,697 | | 8,697 | ||||||||||||
Russia |
| 7,926 | | 7,926 | ||||||||||||
Singapore |
| 1,343 | | 1,343 | ||||||||||||
South Africa |
| 9,433 | | 9,433 | ||||||||||||
South Korea |
| 5,086 | | 5,086 | ||||||||||||
Sri Lanka |
| 412 | | 412 | ||||||||||||
Trinidad and Tobago |
| 2,889 | | 2,889 | ||||||||||||
Tunisia |
| 6,174 | | 6,174 | ||||||||||||
Turkey |
| 11,086 | | 11,086 | ||||||||||||
Ukraine |
| 3,876 | | 3,876 | ||||||||||||
United Arab Emirates |
| 11,725 | | 11,725 |
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Venezuela, Bolivarian Republic of |
$ | | $ | 2,001 | $ | | $ | 2,001 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 248,201 | | 248,201 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 506,716 | | 506,716 | ||||||||||||
Options Purchased |
| |||||||||||||||
Call Options |
| 312 | | 312 | ||||||||||||
Put Option |
| 29 | | 29 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Options Purchased |
| 341 | | 341 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Foreign Government Treasury Bill |
| 3,509 | | 3,509 | ||||||||||||
Investment Company |
38,726 | | | 38,726 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investment |
38,726 | 3,509 | | 42,235 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 38,726 | $ | 758,767 | $ | | $ | 797,493 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 6,844 | $ | | $ | 6,844 | ||||||||
Futures Contracts |
212 | | | 212 | ||||||||||||
Swaps |
| 1,706 | | 1,706 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 212 | $ | 8,550 | $ | | $ | 8,762 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (8,058 | ) | $ | | $ | (8,058 | ) | ||||||
Futures Contracts |
(232 | ) | | | (232 | ) | ||||||||||
Swaps |
| (207 | ) | | (207 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (232 | ) | $ | (8,265 | ) | $ | | $ | (8,497 | ) | |||||
|
|
|
|
|
|
|
|
There were no transfers among any levels during the period ended January 31, 2018.
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, 2017 |
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 January 31, 2018 |
||||||||||||||||||||||||||||
Debt Securities Foreign Government Securities |
$ | 4,485 | $ | 441 | $ | (133 | ) | $ | (1 | ) | $ | | $ | (4,792 | ) | $ | | $ | | $ | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 4,485 | $ | 441 | $ | (133 | ) | $ | (1 | ) | $ | | $ | (4,792 | ) | $ | | $ | | $ | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at January 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $0.
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 a counterparty (e.g., decline in a counterpartys credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable 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.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
(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.
JPMorgan Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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 will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written Premiums received by the Fund for options written are adjusted daily to reflect the current market value of the option written and the change is recorded as unrealized appreciation or depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subjects the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The 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 OTC options.
(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. 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. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in 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 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 Emerging Markets Strategic Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
(4). Swaps The Fund engaged in various swap transactions, including interest rate and credit default 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, Non-deliverable Forward Foreign Currency Exchange Contracts and/or OTC options 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 Fund may be required to post or receive collateral for OTC 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.
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 JANUARY 31, 2018 (Unaudited)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands, except number of Options contracts)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
Percentages indicated are based on net assets.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description | Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
Australia 10 Year Bond |
102 | 03/2018 | AUD | 10,487 | (206 | ) | ||||||||||||||
EURO STOXX 50 Index |
208 | 03/2018 | EUR | 9,299 | 113 | |||||||||||||||
Euro-Bobl |
73 | 03/2018 | EUR | 11,823 | 1 | |||||||||||||||
Euro-BTP |
10 | 03/2018 | EUR | 1,688 | 1 | |||||||||||||||
Euro-Bund |
10 | 03/2018 | EUR | 1,972 | | (h) | ||||||||||||||
Euro-Buxl |
18 | 03/2018 | EUR | 3,615 | 5 | |||||||||||||||
Euro-Schatz |
31 | 03/2018 | EUR | 4,303 | | (h) | ||||||||||||||
Foreign Exchange EUR/USD |
725 | 03/2018 | USD | 112,806 | 5,645 | |||||||||||||||
Foreign Exchange JPY/USD |
537 | 03/2018 | USD | 61,681 | 2,113 | |||||||||||||||
FTSE 100 Index |
59 | 03/2018 | GBP | 6,256 | (64 | ) | ||||||||||||||
Russell 2000 E-Mini Index |
251 | 03/2018 | USD | 19,779 | 591 | |||||||||||||||
S&P 500 E-Mini Index |
876 | 03/2018 | USD | 123,770 | 8,040 | |||||||||||||||
TOPIX Index |
21 | 03/2018 | JPY | 3,555 | 131 | |||||||||||||||
U.S. Treasury Long Bond |
15 | 03/2018 | USD | 2,217 | (33 | ) | ||||||||||||||
3 Month Eurodollar |
93 | 12/2018 | USD | 22,695 | (12 | ) | ||||||||||||||
|
|
|||||||||||||||||||
16,325 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Short Contracts |
||||||||||||||||||||
EURO STOXX 50 Index |
(1,347 | ) | 03/2018 | EUR | (60,220 | ) | (293 | ) | ||||||||||||
FTSE 100 Index |
(288 | ) | 03/2018 | GBP | (30,538 | ) | (485 | ) | ||||||||||||
MSCI Europe Equity Index |
(6,262 | ) | 03/2018 | EUR | (170,769 | ) | (1,351 | ) | ||||||||||||
Short-Term Euro-BTP |
(47 | ) | 03/2018 | EUR | (6,608 | ) | | (h) | ||||||||||||
TOPIX Index |
(1,065 | ) | 03/2018 | JPY | (180,318 | ) | 276 | |||||||||||||
U.S. Treasury 10 Year Note |
(11 | ) | 03/2018 | USD | (1,338 | ) | (2 | ) | ||||||||||||
U.S. Treasury 2 Year Note |
(100 | ) | 03/2018 | USD | (21,322 | ) | (3 | ) | ||||||||||||
3 Month Eurodollar |
(93 | ) | 12/2019 | USD | (22,623 | ) | 20 | |||||||||||||
|
|
|||||||||||||||||||
(1,838 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
14,487 | ||||||||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
EGP | 9,230 | USD | 505 | Citibank, NA** | 03/15/2018 | 15 | ||||||||||||||
AUD | 1,636 | USD | 1,262 | Credit Suisse International | 03/19/2018 | 56 | ||||||||||||||
AUD | 432 | USD | 339 | Goldman Sachs International | 03/19/2018 | 10 | ||||||||||||||
BRL | 2,117 | USD | 642 | Citibank, NA** | 03/19/2018 | 20 | ||||||||||||||
BRL | 279 | USD | 87 | Goldman Sachs International** | 03/19/2018 | | (h) | |||||||||||||
CAD | 399 | USD | 310 | Citibank, NA | 03/19/2018 | 14 | ||||||||||||||
CAD | 367 | USD | 287 | Royal Bank of Canada | 03/19/2018 | 12 | ||||||||||||||
CLP | 56,311 | USD | 94 | Citibank, NA** | 03/19/2018 | | (h) | |||||||||||||
CLP | 393,238 | USD | 649 | Credit Suisse International** | 03/19/2018 | 3 | ||||||||||||||
CNY | 9,952 | USD | 1,493 | Citibank, NA** | 03/19/2018 | 83 | ||||||||||||||
CNY | 4,279 | USD | 658 | Goldman Sachs International** | 03/19/2018 | 19 | ||||||||||||||
CZK | 41,430 | USD | 1,926 | National Australia Bank Ltd. | 03/19/2018 | 114 | ||||||||||||||
CZK | 5,122 | USD | 243 | Royal Bank of Canada | 03/19/2018 | 9 | ||||||||||||||
EGP | 4,675 | USD | 263 | Goldman Sachs International** | 03/19/2018 | | (h) | |||||||||||||
EUR | 612 | USD | 757 | State Street Corp. | 03/19/2018 | 5 | ||||||||||||||
IDR | 10,208,470 | USD | 750 | Citibank, NA** | 03/19/2018 | 13 | ||||||||||||||
IDR | 4,215,721 | USD | 314 | Goldman Sachs International** | 03/19/2018 | 1 | ||||||||||||||
IDR | 9,788,629 | USD | 730 | Goldman Sachs International** | 03/19/2018 | 1 | ||||||||||||||
INR | 120,102 | USD | 1,841 | Goldman Sachs International** | 03/19/2018 | 36 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
JPY | 277,850 | USD | 2,479 | National Australia Bank Ltd. | 03/19/2018 | 73 | ||||||||||||||
KRW | 338,199 | USD | 309 | Goldman Sachs International** | 03/19/2018 | 7 | ||||||||||||||
PLN | 2,578 | USD | 746 | Citibank, NA | 03/19/2018 | 25 | ||||||||||||||
PLN | 7,611 | USD | 2,224 | Goldman Sachs International | 03/19/2018 | 52 | ||||||||||||||
RUB | 95,717 | USD | 1,663 | Citibank, NA** | 03/19/2018 | 30 | ||||||||||||||
RUB | 119,119 | USD | 2,000 | Goldman Sachs International** | 03/19/2018 | 108 | ||||||||||||||
SGD | 1,261 | USD | 951 | Citibank, NA | 03/19/2018 | 11 | ||||||||||||||
THB | 20,877 | USD | 651 | Australia & New Zealand Banking Group Ltd. | 03/19/2018 | 16 | ||||||||||||||
THB | 65,609 | USD | 2,055 | Citibank, NA | 03/19/2018 | 41 | ||||||||||||||
THB | 14,346 | USD | 444 | Goldman Sachs International | 03/19/2018 | 14 | ||||||||||||||
TRY | 9,763 | USD | 2,426 | Citibank, NA | 03/19/2018 | 139 | ||||||||||||||
TRY | 2,631 | USD | 676 | Goldman Sachs International | 03/19/2018 | 16 | ||||||||||||||
TRY | 5,763 | USD | 1,493 | Royal Bank of Canada | 03/19/2018 | 21 | ||||||||||||||
TRY | 3,066 | USD | 805 | State Street Corp. | 03/19/2018 | 1 | ||||||||||||||
TWD | 21,984 | USD | 747 | Citibank, NA** | 03/19/2018 | 10 | ||||||||||||||
TWD | 22,049 | USD | 756 | Goldman Sachs International** | 03/19/2018 | 3 | ||||||||||||||
USD | 1,159 | ARS | 21,643 | Goldman Sachs International** | 03/19/2018 | 81 | ||||||||||||||
USD | 1,392 | BRL | 4,451 | Citibank, NA** | 03/19/2018 | 2 | ||||||||||||||
USD | 789 | IDR | 10,563,921 | Citibank, NA** | 03/19/2018 | | (h) | |||||||||||||
USD | 1,496 | IDR | 20,000,959 | Goldman Sachs International** | 03/19/2018 | 2 | ||||||||||||||
USD | 413 | KRW | 439,613 | Citibank, NA** | 03/19/2018 | 2 | ||||||||||||||
USD | 651 | KRW | 691,998 | Goldman Sachs International** | 03/19/2018 | 3 | ||||||||||||||
USD | 864 | PHP | 43,680 | Citibank, NA** | 03/19/2018 | 16 | ||||||||||||||
USD | 935 | PHP | 47,324 | Goldman Sachs International** | 03/19/2018 | 15 | ||||||||||||||
USD | 758 | PLN | 2,527 | Royal Bank of Canada | 03/19/2018 | 2 | ||||||||||||||
ZAR | 9,227 | USD | 759 | Citibank, NA | 03/19/2018 | 15 | ||||||||||||||
ZAR | 3,790 | USD | 273 | State Street Corp. | 03/19/2018 | 45 | ||||||||||||||
COP | 3,397,899 | USD | 1,192 | Citibank, NA** | 03/20/2018 | 2 | ||||||||||||||
COP | 863,616 | USD | 300 | Goldman Sachs International** | 03/20/2018 | 4 | ||||||||||||||
MXN | 11,593 | USD | 606 | Goldman Sachs International | 03/20/2018 | 12 | ||||||||||||||
CHF | 2,026 | EUR | 1,728 | Deutsche Bank AG | 03/28/2018 | 33 | ||||||||||||||
CHF | 1,468 | EUR | 1,266 | Merrill Lynch International | 03/28/2018 | 6 | ||||||||||||||
CHF | 817 | EUR | 696 | Royal Bank of Canada | 03/28/2018 | 15 | ||||||||||||||
CHF | 1,953 | USD | 2,021 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | 85 | ||||||||||||||
CHF | 1,954 | USD | 1,996 | Credit Suisse International | 03/28/2018 | 112 | ||||||||||||||
CHF | 436 | USD | 446 | Deutsche Bank AG | 03/28/2018 | 24 | ||||||||||||||
DKK | 9,636 | USD | 1,576 | State Street Corp. | 03/28/2018 | 38 | ||||||||||||||
EUR | 30 | USD | 36 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | 1 | ||||||||||||||
EUR | 2 | USD | 2 | Credit Suisse International | 03/28/2018 | | (h) | |||||||||||||
EUR | 2,092 | USD | 2,486 | Standard Chartered Bank | 03/28/2018 | 121 | ||||||||||||||
EUR | 2,227 | USD | 2,738 | State Street Corp. | 03/28/2018 | 37 | ||||||||||||||
GBP | 1,405 | EUR | 1,580 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | 30 | ||||||||||||||
GBP | 1,935 | EUR | 2,199 | Deutsche Bank AG | 03/28/2018 | 14 | ||||||||||||||
GBP | 30 | USD | 41 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | 2 | ||||||||||||||
GBP | 30,316 | USD | 40,753 | TD Bank Financial Group | 03/28/2018 | 2,382 | ||||||||||||||
NOK | 7,499 | USD | 897 | Goldman Sachs International | 03/28/2018 | 77 | ||||||||||||||
SEK | 5,984 | EUR | 609 | State Street Corp. | 03/28/2018 | 4 | ||||||||||||||
SEK | 7,333 | USD | 917 | State Street Corp. | 03/28/2018 | 17 | ||||||||||||||
SEK | 4,466 | USD | 535 | TD Bank Financial Group | 03/28/2018 | 34 | ||||||||||||||
USD | 878 | EUR | 705 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | | (h) | |||||||||||||
USD | 1,389 | EUR | 1,115 | State Street Corp. | 03/28/2018 | | (h) |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
EGP | 13,461 | USD | 722 | Citibank, NA** | 06/19/2018 | 25 | ||||||||||||||
|
|
|||||||||||||||||||
Total unrealized appreciation |
4,236 | |||||||||||||||||||
|
|
|||||||||||||||||||
USD | 10,273 | CAD | 12,658 | Royal Bank of Canada | 02/27/2018 | (21 | ) | |||||||||||||
ARS | 21,643 | USD | 1,182 | Citibank, NA** | 03/19/2018 | (103 | ) | |||||||||||||
BRL | 2,505 | USD | 791 | Citibank, NA** | 03/19/2018 | (9 | ) | |||||||||||||
CAD | 1,580 | AUD | 1,636 | Credit Suisse International | 03/19/2018 | (33 | ) | |||||||||||||
HUF | 190,989 | USD | 768 | Royal Bank of Canada | 03/19/2018 | (2 | ) | |||||||||||||
INR | 21,901 | USD | 343 | Citibank, NA** | 03/19/2018 | (1 | ) | |||||||||||||
KRW | 820,189 | USD | 774 | Citibank, NA** | 03/19/2018 | (6 | ) | |||||||||||||
KRW | 793,413 | USD | 745 | Goldman Sachs International** | 03/19/2018 | (3 | ) | |||||||||||||
PHP | 91,004 | USD | 1,785 | Citibank, NA** | 03/19/2018 | (17 | ) | |||||||||||||
RUB | 249,761 | USD | 4,440 | Citibank, NA** | 03/19/2018 | (22 | ) | |||||||||||||
SGD | 1,020 | USD | 780 | Goldman Sachs International | 03/19/2018 | (2 | ) | |||||||||||||
USD | 338 | AUD | 431 | Goldman Sachs International | 03/19/2018 | (10 | ) | |||||||||||||
USD | 621 | AUD | 827 | National Australia Bank Ltd. | 03/19/2018 | (45 | ) | |||||||||||||
USD | 95 | AUD | 119 | Royal Bank of Canada | 03/19/2018 | (1 | ) | |||||||||||||
USD | 1,742 | BRL | 5,805 | Citibank, NA** | 03/19/2018 | (72 | ) | |||||||||||||
USD | 1,827 | CAD | 2,341 | State Street Corp. | 03/19/2018 | (77 | ) | |||||||||||||
USD | 1,244 | CNY | 8,128 | Citibank, NA** | 03/19/2018 | (43 | ) | |||||||||||||
USD | 280 | CNY | 1,824 | Goldman Sachs International** | 03/19/2018 | (9 | ) | |||||||||||||
USD | 652 | CNY | 4,279 | Royal Bank of Canada** | 03/19/2018 | (25 | ) | |||||||||||||
USD | 31 | CZK | 665 | Citibank, NA | 03/19/2018 | (1 | ) | |||||||||||||
USD | 624 | EUR | 526 | National Australia Bank Ltd. | 03/19/2018 | (31 | ) | |||||||||||||
USD | 106 | EUR | 86 | Royal Bank of Canada | 03/19/2018 | (1 | ) | |||||||||||||
USD | 746 | HUF | 190,989 | Citibank, NA | 03/19/2018 | (20 | ) | |||||||||||||
USD | 307 | IDR | 4,211,861 | Goldman Sachs International** | 03/19/2018 | (7 | ) | |||||||||||||
USD | 2,474 | JPY | 277,850 | State Street Corp. | 03/19/2018 | (78 | ) | |||||||||||||
USD | 761 | PLN | 2,601 | Goldman Sachs International | 03/19/2018 | (17 | ) | |||||||||||||
USD | 727 | RON | 2,841 | Citibank, NA | 03/19/2018 | (32 | ) | |||||||||||||
USD | 2,521 | RUB | 151,103 | Citibank, NA** | 03/19/2018 | (152 | ) | |||||||||||||
USD | 741 | RUB | 42,199 | Credit Suisse International** | 03/19/2018 | (5 | ) | |||||||||||||
USD | 2,085 | RUB | 117,915 | Credit Suisse International** | 03/19/2018 | (1 | ) | |||||||||||||
USD | 2,023 | RUB | 121,596 | Goldman Sachs International** | 03/19/2018 | (128 | ) | |||||||||||||
USD | 1,542 | SGD | 2,042 | Credit Suisse International | 03/19/2018 | (17 | ) | |||||||||||||
USD | 935 | SGD | 1,261 | Goldman Sachs International | 03/19/2018 | (27 | ) | |||||||||||||
USD | 747 | THB | 23,760 | Australia & New Zealand Banking Group Ltd. | 03/19/2018 | (12 | ) | |||||||||||||
USD | 758 | THB | 23,830 | Credit Suisse International | 03/19/2018 | (3 | ) | |||||||||||||
USD | 313 | THB | 10,076 | Goldman Sachs International | 03/19/2018 | (9 | ) | |||||||||||||
USD | 678 | TRY | 2,631 | Goldman Sachs International | 03/19/2018 | (13 | ) | |||||||||||||
USD | 4,303 | TRY | 16,900 | Royal Bank of Canada | 03/19/2018 | (139 | ) | |||||||||||||
USD | 792 | TRY | 3,039 | State Street Corp. | 03/19/2018 | (7 | ) | |||||||||||||
USD | 935 | ZAR | 12,901 | Citibank, NA | 03/19/2018 | (147 | ) | |||||||||||||
USD | 935 | ZAR | 11,413 | Goldman Sachs International | 03/19/2018 | (23 | ) | |||||||||||||
USD | 503 | ZAR | 6,486 | National Australia Bank Ltd. | 03/19/2018 | (41 | ) | |||||||||||||
USD | 746 | ZAR | 9,227 | State Street Corp. | 03/19/2018 | (28 | ) | |||||||||||||
USD | 631 | MXN | 12,212 | Goldman Sachs International | 03/20/2018 | (20 | ) | |||||||||||||
EUR | 897 | CHF | 1,053 | Goldman Sachs International | 03/28/2018 | (19 | ) | |||||||||||||
EUR | 742 | CHF | 873 | State Street Corp. | 03/28/2018 | (17 | ) | |||||||||||||
EUR | 1,760 | GBP | 1,559 | Merrill Lynch International | 03/28/2018 | (26 | ) | |||||||||||||
EUR | 1,656 | GBP | 1,478 | TD Bank Financial Group | 03/28/2018 | (40 | ) | |||||||||||||
EUR | 3,379 | USD | 4,224 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | (14 | ) | |||||||||||||
GBP | 3,240 | EUR | 3,709 | Deutsche Bank AG | 03/28/2018 | (12 | ) | |||||||||||||
USD | 36,045 | AUD | 47,061 | HSBC Bank, N.A. | 03/28/2018 | (1,871 | ) | |||||||||||||
USD | 24,483 | CAD | 31,363 | HSBC Bank, N.A. | 03/28/2018 | (1,031 | ) | |||||||||||||
USD | 794 | CHF | 739 | Goldman Sachs International | 03/28/2018 | (4 | ) |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Currency Purchased |
Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
USD | 1,739 | CHF | 1,663 | State Street Corp. | 03/28/2018 | (55 | ) | |||||||||||||
USD | 1,374 | DKK | 8,370 | Royal Bank of Canada | 03/28/2018 | (27 | ) | |||||||||||||
USD | 3,606 | DKK | 22,433 | State Street Corp. | 03/28/2018 | (151 | ) | |||||||||||||
USD | 11,940 | EUR | 9,863 | Australia & New Zealand Banking Group Ltd. | 03/28/2018 | (348 | ) | |||||||||||||
USD | 200,221 | EUR | 167,378 | Credit Suisse International | 03/28/2018 | (8,333 | ) | |||||||||||||
USD | 1,159 | EUR | 940 | Goldman Sachs International | 03/28/2018 | (12 | ) | |||||||||||||
USD | 1,998 | EUR | 1,624 | State Street Corp. | 03/28/2018 | (25 | ) | |||||||||||||
USD | 875 | GBP | 653 | State Street Corp. | 03/28/2018 | (54 | ) | |||||||||||||
USD | 27,836 | GBP | 20,714 | TD Bank Financial Group | 03/28/2018 | (1,636 | ) | |||||||||||||
USD | 69,929 | JPY | 7,892,262 | Barclays Bank plc | 03/28/2018 | (2,586 | ) | |||||||||||||
USD | 954 | NOK | 7,499 | Goldman Sachs International | 03/28/2018 | (21 | ) | |||||||||||||
USD | 1,132 | EUR | 933 | Australia & New Zealand Banking Group Ltd. | 04/19/2018 | (31 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total unrealized depreciation |
(17,773 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized depreciation |
(13,537 | ) | ||||||||||||||||||
|
|
Over the Counter (OTC) Credit default swap contracts outstanding - buy protection(1) as of January 31, 2018:
Reference Obligation/Index |
Financing Rate Paid |
Payment Frequency |
Counterparty | Maturity Date |
Implied Credit Spread (%)(2) |
Notional Amount(3) |
Upfront Payments (Receipts) ($)(4) |
Unrealized Appreciation (Depreciation) ($) |
Value ($) | |||||||||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/2030 |
1.00 | Quarterly | |
Goldman Sachs International |
|
12/20/2022 | 1.64 | USD 3,300 | 136 | (45 | ) | 91 | ||||||||||||||||||||||||
Russian Federation, 2.25%, 03/31/2030 |
1.00 | Quarterly | |
Citigroup Global Markets Inc. |
|
12/20/2022 | 1.07 | USD 1,960 | 16 | (12 | ) | 4 | ||||||||||||||||||||||||
Russian Federation, 2.25%, 03/31/2030 |
1.00 | Quarterly | |
Citigroup Global Markets Inc. |
|
12/20/2022 | 1.07 | USD 2,040 | 16 | (12 | ) | 4 | ||||||||||||||||||||||||
United Mexican States, 4.15%, 03/28/2027 |
1.00 | Quarterly | |
Goldman Sachs International |
|
12/20/2022 | 0.97 | USD 3,000 | (4 | ) | (3 | ) | (7 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
164 | (72 | ) | 92 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) |
| The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||||||||||||
(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 indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||||||||||||
(3) |
| The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||||||||||||
(4) |
| Upfront payments and receipts generally represent premiums paid 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). |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollar, unless otherwise noted)
(Amounts in thousands)
Centrally Cleared Interest rate swap contracts outstanding as of January 31, 2018:
|
| |||||||||||||
Floating Rate Index (a) |
Fixed Rate |
Pay/ Receive Floating Rate |
Maturity Date |
Notional Amount | Value And Unrealized Appreciation (Depreciation) ($) |
|||||||||
6 Month PRIBOR semi-annually |
1.67% annually | Receive | 09/05/2027 | CZK | 50,000 | 66 | ||||||||
6 Month PRIBOR semi-annually |
1.84% annually | Receive | 11/21/2027 | CZK | 43,000 | 34 | ||||||||
6 Month PRIBOR semi-annually |
1.93% annually | Receive | 01/24/2028 | CZK | 20,000 | 10 | ||||||||
Brazillian CDI at maturity |
9.21% at maturity | Pay | 01/04/2021 | BRL | 12,000 | 50 | ||||||||
|
|
|||||||||||||
160 | ||||||||||||||
|
|
|||||||||||||
3 Month BUBOR quarterly |
0.41% annually | Pay | 01/16/2020 | HUF | 4,000,000 | (18 | ) | |||||||
6 Month BUBOR semi-annually |
0.47% annually | Pay | 01/21/2020 | HUF | 3,000,000 | (8 | ) | |||||||
6 Month BUBOR semi-annually |
1.02% annually | Pay | 01/24/2023 | HUF | 400,000 | (3 | ) | |||||||
|
|
|||||||||||||
(29 | ) | |||||||||||||
|
|
|||||||||||||
131 | ||||||||||||||
|
|
(a) | Value of floating rate index at January 31, 2018 was as follows: |
Floating Rate Index |
Value | |||
1 Day CDI |
6.89 | % | ||
3 Month BUBOR |
0.02 | % | ||
6 Month BUBOR |
0.04 | % | ||
6 Month PRIBOR |
0.90 | % |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Total Return Basket Swaps Outstanding at January 31, 2018:
COUNTERPARTY |
DESCRIPTION |
TERMINATION DATE |
NOTIONAL VALUE(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) (2) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE | ||||||||||||||||
Bank of America, NA | The Fund receives the total return on a portfolio of long equity positions and pays net of one month LIBOR on long positions, plus or minus a specified spread (rates range from 0.35% to 1.50%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 03/29/2019 | $ | 28,845 | $ | (294 | ) | $ | (40 | ) | $ | (334 | ) | |||||||||
|
|
SHARES | NOTIONAL VALUE($)(1) |
NET UNREALIZED APPRECIATION (DEPRECIATION) ($)(2) |
PERCENTAGE OF NET ASSETS (%) |
|||||||||||||
Long Positions |
||||||||||||||||
Common Stocks |
||||||||||||||||
Switzerland |
||||||||||||||||
Glencore plc |
733 | 4,202 | 85 | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
United Kingdom |
||||||||||||||||
Anglo American plc |
92 | 2,237 | 98 | 0.0 | (g) | |||||||||||
Ashtead Group plc |
56 | 1,675 | 64 | 0.0 | (g) | |||||||||||
Barratt Developments plc |
165 | 1,370 | (142 | ) | 0.0 | (g) | ||||||||||
Bellway plc |
37 | 1,732 | (135 | ) | 0.0 | (g) | ||||||||||
Fevertree Drinks plc |
44 | 1,532 | 181 | 0.0 | (g) | |||||||||||
Lloyds Banking Group plc |
3,075 | 3,038 | 60 | 0.0 | (g) | |||||||||||
Man Group plc |
605 | 1,866 | 40 | 0.0 | (g) | |||||||||||
Pearson plc |
103 | 1,014 | (49 | ) | 0.0 | (g) | ||||||||||
Persimmon plc |
56 | 2,005 | (193 | ) | 0.0 | (g) | ||||||||||
Rio Tinto plc |
60 | 3,317 | (100 | ) | 0.0 | (g) | ||||||||||
Taylor Wimpey plc |
516 | 1,396 | (128 | ) | 0.0 | (g) | ||||||||||
Tesco plc |
1,164 | 3,461 | (75 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
5,973 | 24,643 | (379 | ) | 0.0 | (g) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long Positions of Total Return Basket Swaps |
6,706 | 28,845 | (294 | ) | 0.0 | (g) | ||||||||||
|
|
|
|
|
|
|
|
The following reference rates, and their values as of period-end, are used for security descriptions: | Value | |||
GBP LIBOR |
0.50 | % |
Summary of total swap contracts outstanding as of January 31, 2018: | ||||||||
Net Upfront Payments (Receipts)($) |
Value($) | |||||||
Assets |
| |||||||
OTC Credit default swap contracts outstanding buy protection |
164 | 92 | ||||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
164 | 92 | ||||||
|
|
|
|
|||||
OTC Total return basket swaps contracts outstanding |
| (334 | ) | |||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| (334 | ) | |||||
|
|
|
|
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
ADR |
| American Depositary Receipt | ||
ARM |
| Adjustable Rate Mortgage | ||
ARS |
| Argentine Peso | ||
AUD |
| Australian Dollar | ||
BRL |
| Brazilian Real | ||
BUBOR |
| Budapest Interbank Offered Rate | ||
CAD |
| Canadian Dollar | ||
CDI |
| Interbank Certificate of Deposit | ||
CHF |
| Swiss Franc | ||
CLP |
| Chilean Peso | ||
CNY |
| China Yuan | ||
COP |
| Colombian Peso | ||
CVA |
| Dutch Certification | ||
CZK |
| Czech Republic Koruna | ||
DKK |
| Danish Krone | ||
EGP |
| Egyptian Pound | ||
EUR |
| Euro | ||
FHLMC |
| Federal Home Loan Mortgage Corp. | ||
FNMA |
| Federal National Mortgage Association | ||
FTSE |
| Financial Times and the London Stock Exchange | ||
GBP |
| British Pound | ||
GDR |
| Global Depositary Receipt | ||
GMAC |
| General Motors Acceptance Corp. | ||
GNMA |
| Government National Mortgage Association | ||
HUF |
| Hungarian Forint | ||
ICE |
| Intercontinental Exchange | ||
IDR |
| Indonesian Rupiah | ||
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 January 31, 2018. The rate may be subject to a cap and floor. | ||
IGDCUKR |
| IMF Ukraine GDP Constant Annual Percentage Change | ||
INR |
| Indian Rupee | ||
JPY |
| Japanese Yen | ||
KRW |
| Korean Republic Won | ||
LIBOR |
| London Interbank Offered Rate | ||
MSCI |
| Morgan Stanley Capital International | ||
MXN |
| Mexican Peso | ||
MYR |
| Malaysian Ringgit | ||
NOK |
| Norwegian Krone | ||
PHP |
| Philippine Peso | ||
PJSC |
| Public Joint Stock Company | ||
PLN |
| Polish Zloty | ||
PRIBOR |
| Prague Interbank Offered Rate | ||
Reg. S |
| Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), 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, or pursuant to an exemption from registration. | ||
REMIC |
| Real Estate Mortgage Investment Conduit | ||
RON |
| Romanian Leu | ||
RUB |
| Russian Ruble |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
SEK |
| Swedish Krona | ||
SGD |
| Singapore Dollar | ||
STRIPS |
| Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | ||
SUB |
| Step-Up Bond. The interest rate shown is the rate in effect as of January 31, 2018. | ||
THB |
| Thai Baht | ||
TOPIX |
| Tokyo Stock Price Index | ||
TRY |
| Turkish Lira | ||
TWD |
| Taiwan Dollar | ||
USD |
| United States Dollar | ||
ZAR |
| South African Rand | ||
(a) |
| Non-income producing security. | ||
(b) |
| Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | ||
(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. 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 and cash segregated as collateral is approximately $34,303,000 and $4,000 respectively. | ||
(k) |
| All or a portion of this security is deposited with the broker as initial margin for futures contracts. | ||
(l) |
| The rate shown is the current yield as of January 31, 2018. | ||
(n) |
| The rate shown is the effective yield as of January 31, 2018. | ||
(v) |
| Security has the ability to pay in kind (PIK) or pay income in cash. When applicable, separate rates of such payments are disclosed. | ||
(w) |
| All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(x) |
| Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of January 31, 2018. | ||
(y) |
| Security is an interest bearing note with preferred security characteristics. | ||
(z) |
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of January 31, 2018. | ||
(aa) |
| Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of January 31, 2018. | ||
(bb) |
| Security has been valued using significant unobservable inputs. |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
$ | | $ | 37,406 | $ | | $ | 37,406 | ||||||||
Austria |
| 3,734 | | 3,734 | ||||||||||||
Belgium |
| 9,771 | | 9,771 | ||||||||||||
Brazil |
15,147 | | | 15,147 | ||||||||||||
Canada |
5,967 | | | 5,967 | ||||||||||||
Chile |
1,809 | | | 1,809 | ||||||||||||
China |
12,827 | 25,139 | | 37,966 | ||||||||||||
Denmark |
| 13,808 | | 13,808 | ||||||||||||
Finland |
| 14,482 | | 14,482 | ||||||||||||
France |
| 117,081 | | 117,081 | ||||||||||||
Germany |
| 98,197 | | 98,197 | ||||||||||||
Hong Kong |
| 28,509 | | 28,509 | ||||||||||||
India |
18,809 | 1,967 | | 20,776 | ||||||||||||
Indonesia |
| 6,447 | | 6,447 | ||||||||||||
Ireland |
4,662 | | | 4,662 | ||||||||||||
Israel |
1,459 | | | 1,459 | ||||||||||||
Italy |
| 23,477 | | 23,477 | ||||||||||||
Japan |
| 164,460 | | 164,460 | ||||||||||||
Luxembourg |
| 4,366 | | 4,366 | ||||||||||||
Malaysia |
| 1,013 | | 1,013 | ||||||||||||
Mexico |
4,119 | | | 4,119 | ||||||||||||
Netherlands |
| 50,434 | | 50,434 | ||||||||||||
Norway |
| 3,005 | | 3,005 | ||||||||||||
Peru |
2,103 | | | 2,103 | ||||||||||||
Russia |
2,391 | 3,538 | | 5,929 | ||||||||||||
Singapore |
| 5,784 | | 5,784 | ||||||||||||
South Africa |
| 13,898 | | 13,898 | ||||||||||||
South Korea |
| 8,214 | | 8,214 | ||||||||||||
Spain |
139 | 31,777 | | 31,916 | ||||||||||||
Sweden |
| 9,799 | | 9,799 | ||||||||||||
Switzerland |
| 83,277 | | 83,277 | ||||||||||||
Taiwan |
9,482 | 4,858 | | 14,340 | ||||||||||||
Thailand |
| 3,014 | | 3,014 | ||||||||||||
Turkey |
| 661 | | 661 | ||||||||||||
United Kingdom |
| 106,779 | | 106,779 | ||||||||||||
United States |
693,377 | 5,861 | | (a) | 699,238 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
772,291 | 880,756 | | (a) | 1,653,047 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Bermuda |
| 79 | | 79 | ||||||||||||
United States |
16 | | 10 | 26 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
16 | 79 | 10 | 105 | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Debt Securities |
| |||||||||||||||
Asset-Backed Securities |
| |||||||||||||||
United States |
| 5,414 | 31,562 | 36,976 | ||||||||||||
Collateralized Mortgage Obligations |
| |||||||||||||||
United States |
| 254,668 | 1,436 | 256,104 | ||||||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
United States |
| 3,629 | 1,023 | 4,652 | ||||||||||||
Convertible Bonds |
| |||||||||||||||
United States |
| 108 | | 108 | ||||||||||||
Corporate Bonds |
| |||||||||||||||
Argentina |
| 2,882 | | 2,882 | ||||||||||||
Australia |
| 740 | | 740 | ||||||||||||
Azerbaijan |
| 806 | | 806 | ||||||||||||
Bahrain |
| 296 | | 296 | ||||||||||||
Belgium |
| 1,538 | | 1,538 | ||||||||||||
Brazil |
| 7,009 | | 7,009 | ||||||||||||
Canada |
| 11,377 | | 11,377 | ||||||||||||
Chile |
| 933 | | 933 | ||||||||||||
China |
| 3,468 | | 3,468 | ||||||||||||
Colombia |
| 879 | | 879 | ||||||||||||
Congo, Democratic Republic of the |
| 256 | | 256 | ||||||||||||
Costa Rica |
| 206 | | 206 | ||||||||||||
Ecuador |
| 634 | | 634 | ||||||||||||
Finland |
| 304 | | 304 | ||||||||||||
France |
| 1,582 | | 1,582 | ||||||||||||
Germany |
| 268 | | 268 | ||||||||||||
Guatemala |
| 210 | | 210 | ||||||||||||
Hong Kong |
| 634 | | 634 | ||||||||||||
Hungary |
| 216 | | 216 | ||||||||||||
India |
| 843 | | 843 | ||||||||||||
Indonesia |
| 2,160 | | 2,160 | ||||||||||||
Ireland |
| 1,376 | | 1,376 | ||||||||||||
Israel |
| 1,278 | | 1,278 | ||||||||||||
Italy |
| 907 | | 907 | ||||||||||||
Jamaica |
| 405 | | 405 | ||||||||||||
Japan |
| 203 | | 203 | ||||||||||||
Jordan |
| 370 | | 370 | ||||||||||||
Kazakhstan |
| 2,896 | | 2,896 | ||||||||||||
Luxembourg |
| 4,137 | | 4,137 | ||||||||||||
Mauritius |
| 492 | | 492 | ||||||||||||
Mexico |
| 9,105 | | 9,105 | ||||||||||||
Morocco |
| 235 | | 235 | ||||||||||||
Netherlands |
| 1,256 | | 1,256 | ||||||||||||
Nigeria |
| 601 | | 601 | ||||||||||||
Norway |
| 204 | | 204 | ||||||||||||
Panama |
| 198 | | 198 | ||||||||||||
Peru |
| 1,216 | | 1,216 | ||||||||||||
Qatar |
| 1,386 | | 1,386 | ||||||||||||
Russia |
| 1,736 | | 1,736 | ||||||||||||
Singapore |
| 489 | | 489 | ||||||||||||
South Africa |
| 1,771 | | 1,771 | ||||||||||||
South Korea |
| 698 | | 698 | ||||||||||||
Spain |
| 914 | | 914 | ||||||||||||
Trinidad and Tobago |
| 696 | | 696 | ||||||||||||
Tunisia |
| 985 | | 985 | ||||||||||||
Turkey |
| 2,561 | | 2,561 | ||||||||||||
Ukraine |
| 817 | | 817 | ||||||||||||
United Arab Emirates |
| 3,244 | | 3,244 | ||||||||||||
United Kingdom |
| 6,991 | | 6,991 | ||||||||||||
United States |
| 199,080 | 852 | 199,932 |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Venezuela, Bolivarian Republic of |
| 364 | | 364 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 283,852 | 852 | 284,704 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Assignments |
| |||||||||||||||
Canada |
| 131 | | 131 | ||||||||||||
United States |
| 6,438 | | 6,438 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Loan Assignments |
| 6,569 | | 6,569 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 288,560 | | 288,560 | ||||||||||||
Supranational |
| 272 | | 272 | ||||||||||||
U.S. Treasury Obligations |
| 145,507 | | 145,507 | ||||||||||||
Options Purchased |
| |||||||||||||||
Call Options Purchased |
24,840 | 9,885 | | 34,725 | ||||||||||||
Put Options Purchased |
7 | 6 | | 13 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Options Purchased |
24,847 | 9,891 | 34,738 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
| |||||||||||||||
Italy |
| 1 | | 1 | ||||||||||||
United States |
| | 14 | 14 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Rights |
| 1 | 14 | 15 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
| |||||||||||||||
Foreign Government Treasury Bills |
| 10,284 | | 10,284 | ||||||||||||
Investment Company |
209,702 | | | 209,702 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investment |
209,702 | 10,284 | 219,986 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,006,856 | $ | 1,889,590 | $ | 34,897 | $ | 2,931,343 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Canada |
$ | (5,524 | ) | $ | | $ | | $ | (5,524 | ) | ||||||
Israel |
(1,743 | ) | | | (1,743 | ) | ||||||||||
United States |
(25,651 | ) | | | (25,651 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities in Securities Sold Short |
$ | (32,918 | ) | $ | | $ | | $ | (32,918 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 4,236 | $ | | $ | 4,236 | ||||||||
Futures Contracts |
16,416 | 520 | | 16,936 | ||||||||||||
Swaps |
| 160 | | 160 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Appreciation in Other Financial Instruments |
$ | 16,416 | $ | 4,916 | $ | | $ | 21,332 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (17,773 | ) | $ | | $ | (17,773 | ) | ||||||
Futures Contracts |
(257 | ) | (2,192 | ) | | (2,449 | ) | |||||||||
Swaps |
| (395 | ) | | (395 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Depreciation in Other Financial Instruments |
$ | (257 | ) | $ | (20,360 | ) | $ | | $ | (20,617 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Value is zero |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $20,663,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
There were no significant transfers among any other levels during the period ended January 31, 2018.
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
JPMorgan Global Allocation Fund |
Balance as of October 31, 2017 |
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 January 31, 2018 |
|||||||||||||||||||||||||||
Asset-Backed Securities United States |
$ | 34,178 | $ | 12 | $ | (11 | ) | $ | 25 | $ | | $ | (2,642 | ) | $ | | $ | | $ | 31,562 | ||||||||||||||||
Collateralized Mortgage Obligations United States |
1,489 | | 9 | 2 | | (64 | ) | | | 1,436 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Security United States |
1,024 | | (1 | ) | | | | | | 1,023 | ||||||||||||||||||||||||||
Common Stock United States |
| (a) | | | | | | | | | (a) | |||||||||||||||||||||||||
Corporate Bonds United States |
596 | | 5 | 2 | | (2 | ) | 251 | | 852 | ||||||||||||||||||||||||||
Foreign Government Securities |
698 | 65 | (17 | ) | | | (746 | ) | | | | |||||||||||||||||||||||||
Preferred Stock United States |
10 | | | | | | | | 10 | |||||||||||||||||||||||||||
Rights United States |
18 | | (4 | ) | | | | | | 14 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 38,013 | $ | 77 | $ | (19 | ) | $ | 29 | $ | | $ | (3,454 | ) | $ | 251 | $ | | $ | 34,897 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at January 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $24,000.
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at January 31, 2018 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
$ | 31,562 | Discounted Cash Flow | Constant Prepayment Rate | 1.00% 20.00% (8.37%) | ||||||
Constant Default Rate | 0.00% 7.29% (3.26%) | |||||||||
Yield (Discount Rate of Cash Flows) | 2.94% 13.42% (4.31%) | |||||||||
|
|
|||||||||
Asset-Backed Securities |
31,562 | |||||||||
|
| |||||||||
1,023 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | (1.91%) ((1.91%)) | |||||||
|
|
|||||||||
Commercial Mortgage Backed Securities |
1,023 | |||||||||
|
| |||||||||
1,436 | Discounted Cash Flow | Constant Prepayment Rate | 1.00% 14.90% (10.18%) | |||||||
Constant Default Rate | 2.46% 2.80% (2.65%) | |||||||||
Yield (Discount Rate of Cash Flows) | 5.08% 5.86% (5.57%) | |||||||||
|
|
|||||||||
Collateralized Mortgage Obligation |
1,436 | |||||||||
|
| |||||||||
843 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 4.87% 19.10% (7.70%) | |||||||
| (a) | Pending Distribution | Discount for Potential Outcome | 99.99% 100.00% (99.99%) | ||||||
|
|
|||||||||
Corporate Bonds |
843 | |||||||||
|
| |||||||||
10 | Market Comparable Companies | EBITDA Multiple (b) | 6.5x (6.5x) | |||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Preferred Stock |
10 | |||||||||
|
| |||||||||
| (c) | Market Comparable Companies | EBITDA Multiple (b) | 6.5x (6.5x) | ||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Common Stock |
| |||||||||
|
| |||||||||
2 | Pending Distribution | Expected Distribution Amount | $0.05 ($0.05) | |||||||
Rights |
2 | |||||||||
|
| |||||||||
Total |
$ | 34,876 | ||||||||
|
|
# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At January 31, 2018, the value of these investments was approximately $21,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(a) | Amount rounds to less than 500. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(c) | Senior-ranking securities in the issuing entity capital structure result in this security being valued at 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.
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 a counterparty (e.g., decline in a counterpartys credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable 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 will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
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 OTC options.
(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.
JPMorgan Global Allocation Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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 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.
(4). Swaps The Fund engaged in various swap transactions, including interest rate, credit default, and total return 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, Non-deliverable Forward Foreign Currency Exchange Contracts and/or OTC options 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 Fund may be required to post or receive collateral for OTC 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.
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 JANUARY 31, 2018 (Unaudited) (continued)
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 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 swaps.
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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:
JPMorgan International Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
$ | | $ | 4,231 | $ | | $ | 4,231 | ||||||||
Austria |
| 1,667 | | 1,667 | ||||||||||||
Canada |
1,959 | | | 1,959 | ||||||||||||
China |
| 3,683 | | 3,683 | ||||||||||||
Czech Republic |
| 857 | | 857 | ||||||||||||
Denmark |
| 1,550 | | 1,550 | ||||||||||||
Finland |
| 4,684 | | 4,684 | ||||||||||||
France |
| 23,756 | | 23,756 | ||||||||||||
Germany |
| 20,483 | | 20,483 | ||||||||||||
Hong Kong |
| 2,415 | | 2,415 | ||||||||||||
Italy |
| 3,903 | | 3,903 | ||||||||||||
Japan |
5,106 | 23,052 | | 28,158 | ||||||||||||
Netherlands |
| 12,627 | | 12,627 | ||||||||||||
New Zealand |
| 2,326 | | 2,326 | ||||||||||||
Norway |
| 5,759 | | 5,759 | ||||||||||||
Russia |
| 7,072 | | 7,072 | ||||||||||||
Singapore |
| 2,423 | | 2,423 | ||||||||||||
South Korea |
| 4,093 | | 4,093 | ||||||||||||
Spain |
90 | 6,244 | | 6,334 | ||||||||||||
Sweden |
| 4,707 | | 4,707 | ||||||||||||
Switzerland |
| 16,975 | | 16,975 | ||||||||||||
Taiwan |
2,861 | | | 2,861 | ||||||||||||
United Kingdom |
5,319 | 38,572 | | 43,891 | ||||||||||||
United States |
| 2,177 | | 2,177 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
15,335 | 193,256 | | 208,591 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
7,203 | | | 7,203 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 22,538 | $ | 193,256 | $ | | $ | 215,794 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $9,870,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index |
478 | 03/2018 | EUR | 21,370 | 125 | |||||||||||||||
S&P 500 E-Mini Index |
489 | 03/2018 | USD | 69,091 | 1,902 | |||||||||||||||
TOPIX Index |
98 | 03/2018 | JPY | 16,592 | (231 | ) | ||||||||||||||
|
|
|||||||||||||||||||
1,796 | ||||||||||||||||||||
|
|
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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.
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, including J.P. Morgan Funds (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.
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
| 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 |
$ | 1,305 | $ | | $ | | $ | 1,305 | ||||||||
Australia |
| 219,838 | | 219,838 | ||||||||||||
Austria |
| 12,331 | | 12,331 | ||||||||||||
Belgium |
| 39,114 | | 39,114 | ||||||||||||
Bermuda |
1,962 | | | 1,962 | ||||||||||||
Canada |
280,245 | | | 280,245 | ||||||||||||
China |
| 5,264 | | 5,264 | ||||||||||||
Denmark |
| 46,412 | | 46,412 | ||||||||||||
Finland |
| 22,376 | | 22,376 | ||||||||||||
France |
| 393,832 | | 393,832 | ||||||||||||
Germany |
| 283,822 | | 283,822 | ||||||||||||
Hong Kong |
| 107,928 | | 107,928 | ||||||||||||
Ireland |
14,780 | 11,416 | | 26,196 | ||||||||||||
Israel |
3,159 | | | 3,159 | ||||||||||||
Italy |
| 67,758 | | 67,758 | ||||||||||||
Japan |
| 750,432 | | 750,432 | ||||||||||||
Luxembourg |
| 11,995 | | 11,995 | ||||||||||||
Macau |
| 1,118 | | 1,118 | ||||||||||||
Netherlands |
| 195,203 | | 195,203 | ||||||||||||
New Zealand |
| 6,019 | | 6,019 | ||||||||||||
Norway |
| 16,301 | | 16,301 | ||||||||||||
Singapore |
| 38,723 | | 38,723 | ||||||||||||
Spain |
511 | 98,740 | | 99,251 | ||||||||||||
Sweden |
1,123 | 50,153 | | 51,276 | ||||||||||||
Switzerland |
| 251,907 | | 251,907 | ||||||||||||
United Kingdom |
3,457 | 466,345 | | 469,802 | ||||||||||||
United States |
5,019,702 | 8,097 | | 5,027,799 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
5,326,244 | 3,105,124 | | 8,431,368 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
||||||||||||||||
Italy |
| 3 | | 3 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
117,580 | | | 117,580 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 5,443,824 | $ | 3,105,127 | $ | | $ | 8,548,951 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | 1,902 | $ | 125 | $ | | $ | 2,027 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | | $ | (231 | ) | $ | | $ | (231 | ) | ||||||
|
|
|
|
|
|
|
|
JPMorgan Global Research Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of $50,902,000 and are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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.
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 Global Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
$ | | $ | 100 | $ | | $ | 100 | ||||||||
Brazil |
77 | | | 77 | ||||||||||||
China |
139 | 190 | | 329 | ||||||||||||
France |
| 350 | | 350 | ||||||||||||
Germany |
| 177 | | 177 | ||||||||||||
Hong Kong |
| 106 | | 106 | ||||||||||||
India |
134 | | | 134 | ||||||||||||
Italy |
| 45 | | 45 | ||||||||||||
Japan |
| 170 | | 170 | ||||||||||||
Luxembourg |
| 54 | | 54 | ||||||||||||
Singapore |
| 102 | | 102 | ||||||||||||
South Africa |
| 80 | | 80 | ||||||||||||
Switzerland |
| 198 | | 198 | ||||||||||||
Thailand |
| 94 | | 94 | ||||||||||||
United Kingdom |
| 230 | | 230 | ||||||||||||
United States |
2,100 | | | 2,100 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
2,450 | 1,896 | | 4,346 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
||||||||||||||||
Italy |
| | (a) | | | (a) | ||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
8 | | | 8 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 2,458 | $ | 1,896 | $ | | $ | 4,354 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 500. |
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 $79,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation)($) |
|||||||||||||
Short Contracts |
| |||||||||||||||||
Foreign Exchange GBP/USD |
(4,847 | ) | 03/2018 | USD | (430,171 | ) | (24,941 | ) | ||||||||||
U.S. Treasury 5 Year Note |
(11,126 | ) | 03/2018 | USD | (1,276,361 | ) | 15,217 | |||||||||||
|
|
|||||||||||||||||
(9,724 | ) | |||||||||||||||||
|
|
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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.
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.
Futures are generally valued on the basis of available market quotations.
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 January 31, 2018.
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 Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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 (SOIs) (amount in thousands): |
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia |
$ | | $ | 82,043 | $ | | $ | 82,043 | ||||||||
Belgium |
| 20,827 | | 20,827 | ||||||||||||
Brazil |
110,866 | | | 110,866 | ||||||||||||
Canada |
45,798 | | | 45,798 | ||||||||||||
Chile |
23,232 | | | 23,232 | ||||||||||||
China |
| 187,339 | | 187,339 | ||||||||||||
Czech Republic |
| 34,538 | | 34,538 | ||||||||||||
Denmark |
| 33,673 | | 33,673 | ||||||||||||
Finland |
| 104,984 | | 104,984 | ||||||||||||
France |
| 365,385 | | 365,385 | ||||||||||||
Germany |
| 248,783 | | 248,783 | ||||||||||||
Hong Kong |
| 82,588 | | 82,588 | ||||||||||||
Hungary |
| 26,386 | | 26,386 | ||||||||||||
India |
21,288 | 38,484 | | 59,772 | ||||||||||||
Indonesia |
| 21,372 | | 21,372 | ||||||||||||
Ireland |
1,039 | 8,827 | | 9,866 | ||||||||||||
Italy |
| 100,547 | | 100,547 | ||||||||||||
Japan |
| 131,747 | | 131,747 | ||||||||||||
Mexico |
47,425 | | | 47,425 | ||||||||||||
Netherlands |
| 162,021 | | 162,021 | ||||||||||||
New Zealand |
| | 1,181 | 1,181 | ||||||||||||
Norway |
| 43,461 | | 43,461 | ||||||||||||
Portugal |
| 8,991 | | 8,991 | ||||||||||||
Russia |
16,072 | 83,608 | | 99,680 | ||||||||||||
Singapore |
| 37,214 | | 37,214 | ||||||||||||
South Africa |
| 84,891 | | 84,891 | ||||||||||||
South Korea |
13,002 | 54,862 | | 67,864 | ||||||||||||
Spain |
332 | 144,525 | | 144,857 | ||||||||||||
Sweden |
| 99,395 | | 99,395 | ||||||||||||
Switzerland |
| 236,369 | | 236,369 | ||||||||||||
Taiwan |
55,824 | 118,349 | | 174,173 | ||||||||||||
Thailand |
| 45,589 | | 45,589 | ||||||||||||
Turkey |
| 19,119 | | 19,119 | ||||||||||||
United Arab Emirates |
| 19,326 | | 19,326 | ||||||||||||
United Kingdom |
| 606,995 | | 606,995 | ||||||||||||
United States |
2,233,144 | 21 | 3,567 | 2,236,732 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
2,568,022 | 3,252,259 | 4,748 | 5,825,029 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Preferred Stocks |
| |||||||||||||||
China |
| 6,226 | | 6,226 | ||||||||||||
Israel |
1,000 | | | 1,000 | ||||||||||||
United States |
77,034 | | | 77,034 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
78,034 | 6,226 | | 84,260 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
| |||||||||||||||
Bermuda |
| 3,124 | | 3,124 | ||||||||||||
United States |
87,970 | | 212 | 88,182 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
87,970 | 3,124 | 212 | 91,306 | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Debt Securities |
| |||||||||||||||
Asset-Backed Securities |
| |||||||||||||||
United States |
$ | | $ | 82,273 | $ | 473,062 | $ | 555,335 | ||||||||
Collateralized Mortgage Obligations |
| |||||||||||||||
Cayman Islands |
| 1,339 | | 1,339 | ||||||||||||
United States |
| 441,525 | 3,048 | 444,573 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Collateralized Mortgage Obligations |
| 442,864 | 3,048 | 445,912 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commercial Mortgage-Backed Securities |
| |||||||||||||||
United States |
| 42,088 | 44,528 | 86,616 | ||||||||||||
Convertible Bonds |
| |||||||||||||||
Cyprus |
| 2,965 | | 2,965 | ||||||||||||
Germany |
| 7,480 | | 7,480 | ||||||||||||
Hong Kong |
| 7,929 | | 7,929 | ||||||||||||
Japan |
| 1,287 | | 1,287 | ||||||||||||
Malaysia |
| 2,625 | | 2,625 | ||||||||||||
Mexico |
| 5,866 | | 5,866 | ||||||||||||
Monaco |
| 3,907 | | 3,907 | ||||||||||||
Netherlands |
| 1,371 | | 1,371 | ||||||||||||
Russia |
| 1,377 | | 1,377 | ||||||||||||
Singapore |
| 9,501 | | 9,501 | ||||||||||||
South Africa |
| 8,086 | | 8,086 | ||||||||||||
Spain |
| 2,283 | | 2,283 | ||||||||||||
Taiwan |
| 2,594 | | 2,594 | ||||||||||||
United Arab Emirates |
| 13,899 | | 13,899 | ||||||||||||
United Kingdom |
| 7,483 | | 7,483 | ||||||||||||
United States |
| 96,936 | | 96,936 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 175,589 | | 175,589 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Corporate Bonds |
| |||||||||||||||
Argentina |
| 8,013 | | 8,013 | ||||||||||||
Australia |
| 28,885 | | 28,885 | ||||||||||||
Azerbaijan |
| 6,023 | | 6,023 | ||||||||||||
Belgium |
| 9,030 | | 9,030 | ||||||||||||
Brazil |
| 41,030 | | 41,030 | ||||||||||||
Canada |
| 208,821 | | 208,821 | ||||||||||||
Chile |
| 5,085 | | 5,085 | ||||||||||||
China |
| 5,683 | | 5,683 | ||||||||||||
Colombia |
| 8,574 | | 8,574 | ||||||||||||
Croatia |
| 1,477 | | 1,477 | ||||||||||||
Finland |
| 2,526 | | 2,526 | ||||||||||||
France |
| 63,389 | | 63,389 | ||||||||||||
Germany |
| 11,301 | | 11,301 | ||||||||||||
Guatemala |
| 5,497 | | 5,497 | ||||||||||||
Hungary |
| 4,981 | | 4,981 | ||||||||||||
India |
| 4,784 | | 4,784 | ||||||||||||
Indonesia |
| 26,624 | | 26,624 | ||||||||||||
Ireland |
| 29,605 | | 29,605 | ||||||||||||
Israel |
| 9,369 | | 9,369 | ||||||||||||
Italy |
| 27,162 | | 27,162 | ||||||||||||
Jamaica |
| 2,964 | | 2,964 | ||||||||||||
Japan |
| 2,082 | | 2,082 | ||||||||||||
Kazakhstan |
| 19,815 | | 19,815 | ||||||||||||
Luxembourg |
| 94,492 | | 94,492 | ||||||||||||
Mexico |
| 76,311 | | 76,311 | ||||||||||||
Morocco |
| 6,533 | | 6,533 | ||||||||||||
Netherlands |
| 36,746 | | 36,746 | ||||||||||||
Nigeria |
| 816 | | 816 | ||||||||||||
Peru |
| 13,920 | | 13,920 | ||||||||||||
Qatar |
| 5,207 | | 5,207 | ||||||||||||
Russia |
| 20,186 | | 20,186 | ||||||||||||
South Korea |
| 3,692 | | 3,692 |
JPMorgan Income Builder Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Spain |
$ | | $ | 29,677 | $ | | $ | 29,677 | ||||||||
Sweden |
| 15,369 | | 15,369 | ||||||||||||
Switzerland |
| 33,212 | | 33,212 | ||||||||||||
Trinidad and Tobago |
| 391 | | 391 | ||||||||||||
Tunisia |
| 1,730 | | 1,730 | ||||||||||||
Turkey |
| 12,540 | | 12,540 | ||||||||||||
United Arab Emirates |
| 13,286 | | 13,286 | ||||||||||||
United Kingdom |
| 123,722 | | 123,722 | ||||||||||||
United States |
| 3,921,639 | 10,753 | 3,932,392 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Corporate Bonds |
| 4,942,189 | 10,753 | 4,952,942 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Assignments |
| |||||||||||||||
Canada |
| 3,885 | | 3,885 | ||||||||||||
United States |
| 61,196 | | (a) | 61,196 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Loan Assignments |
| 65,081 | | 65,081 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Government Securities |
| 483,211 | | 483,211 | ||||||||||||
U.S. Treasury Obligations |
| 17,791 | | 17,791 | ||||||||||||
Rights |
| |||||||||||||||
Spain |
| 67 | | 67 | ||||||||||||
United States |
| | 343 | 343 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Rights |
| 67 | 343 | 410 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Warrants |
| |||||||||||||||
United States |
10 | 1 | | (b) | 11 | |||||||||||
Short-Term Investment |
| |||||||||||||||
Investment Company |
262,895 | | | 262,895 | ||||||||||||
Time Deposit |
| 6,000 | | 6,000 | ||||||||||||
Total Short-Term Investment |
262,895 | 6,000 | | 268,895 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 2,996,931 | $ | 9,518,763 | $ | 536,694 | $ | 13,052,388 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts |
$ | 15,217 | $ | | $ | | $ | 15,217 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts |
$ | (24,941 | ) | $ | | $ | | $ | (24,941 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 500. |
(b) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $299,702,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
There were no significant transfers among any other levels during the period ended January 31, 2018.
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
JPMorgan Income Builder Fund |
Balance as of October 31, 2017 |
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 January 31, 2018 |
|||||||||||||||||||||||||||
Investments in Securities |
||||||||||||||||||||||||||||||||||||
Asset-Backed Securities |
$ | 504,465 | $ | 1,389 | $ | (3,718 | ) | $ | 372 | $ | 11,960 | $ | (63,808 | ) | $ | 23,233 | $ | (831 | ) | $ | 473,062 | |||||||||||||||
Collateralized Mortgage Obligations |
3,346 | | (15 | ) | (218 | ) | | (65 | ) | | | 3,048 | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
43,653 | | 116 | | (a) | 5,883 | (6,446 | ) | 1,322 | | 44,528 | |||||||||||||||||||||||||
Common Stocks New Zealand |
1,230 | | (49 | ) | | | | | | 1,181 | ||||||||||||||||||||||||||
Common Stocks United States |
| (a) | | 3,567 | | | | | | 3,567 | ||||||||||||||||||||||||||
Convertible Bond United States |
| | | | | | | | | |||||||||||||||||||||||||||
Corporate Bonds Canada |
| (b) | 1 | | | | (1 | ) | | | | |||||||||||||||||||||||||
Corporate Bonds United States |
6,749 | | (a) | 141 | 17 | 5 | (346 | ) | 4,187 | | 10,753 | |||||||||||||||||||||||||
Loan Assignment United States |
| (a) | | | (a) | | | | (a) | | | | (a) | |||||||||||||||||||||||
Preferred Stocks United States |
3,235 | | (3,023 | ) | | | | | | 212 | ||||||||||||||||||||||||||
Rights United States |
447 | | (104 | ) | | | | | | 343 | ||||||||||||||||||||||||||
Warrants United States |
| (b) | | | | | | | | | (b) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 563,125 | $ | 1,390 | $ | (3,085 | ) | $ | 171 | $ | 17,848 | $ | (70,666 | ) | $ | 28,742 | $ | (831 | ) | $ | 536,694 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) | Amount rounds to less than 500. |
(b) | Value is zero. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at January 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $939,000.
Income Builder Fund
Quantitative Information about Level 3 Fair Value Measurements #
(Amounts in thousands)
Fair Value at January 31, 2018 |
Valuation Technique(s) |
Unobservable Input |
Range (Weighted Average) | |||||||
$ | 1,181 | Comparable Transcations | Transaction Price | $18.25 ($18.25) | ||||||
| (a) | Market Comparable Companies | EBITDA Multiple (b) | 6.5x (6.5x) | ||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Common Stock |
1,181 | |||||||||
212 | Market Comparable Companies | EBITDA Multiple (b) | 6.5x (6.5x) | |||||||
Liquidity Discount | 30.00% (30.00%) | |||||||||
|
|
|||||||||
Preferred Stock |
212 | |||||||||
| (c) | Enterprise Value | Expected Recovery | 0.00% (0.00%) | ||||||
|
|
|||||||||
Convertible Bond |
| (c) | ||||||||
10,086 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 4.87% 19.10% (7.82%) | |||||||
1 | Pending Distribution | Discount for potential outcome (d) | 100.00% (100.00%) | |||||||
|
|
|||||||||
Corporate Bond |
10,087 | |||||||||
470,318 | Discounted Cash Flow | Constant Prepayment Rate | 1.00% 30.00% (10.11%) | |||||||
Constant Default Rate | 0.00% 11.25% (2.90%) | |||||||||
Yield (Discount Rate of Cash Flows) | 1.96% 11.34% (3.95%) | |||||||||
|
|
|||||||||
Asset-Backed Securities |
470,318 | |||||||||
1,467 | Discounted Cash Flow | Constant Prepayment Rate | 15.00% 19.43% (16.38%) | |||||||
Constant Default Rate | 2.09% 5.60% (3.65%) | |||||||||
Yield (Discount Rate of Cash Flows) | 5.30% 22.88% (9.37%) | |||||||||
|
|
|||||||||
Collateralized Mortgage Obligations |
1,467 | |||||||||
40,010 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | (49.19%) 199.00% (16.10%) | |||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities |
40,010 | |||||||||
| (c) | Terms of Exchange Offer | Expected Recovery | 0.00% (0.00%) | ||||||
| (c) | Intrinsic Value | Strike Price | $14.88 $33.61 ($24.25) | ||||||
|
|
|||||||||
Warrants |
| (c) | ||||||||
| (c) | Pending Distribution | Projected Losses | 100.00% (100.00%) | ||||||
|
|
|||||||||
Loan Assignments |
| (c) | ||||||||
Total |
$ | 523,274 | ||||||||
|
|
# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At January 31, 2018, the value of these investments was approximately $13,420,000. 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) | Value is zero. |
(d) | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
The significant unobservable inputs used in the fair value measurement of the Funds investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the constant prepayment rate may decrease or increase the fair value measurement.
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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 |
$ | | $ | 61,895 | $ | | $ | 61,895 | ||||||||
Austria |
| 21,413 | | 21,413 | ||||||||||||
Belgium |
| 28,286 | | 28,286 | ||||||||||||
Brazil |
43,212 | | | 43,212 | ||||||||||||
China |
32,702 | 130,973 | | 163,675 | ||||||||||||
Denmark |
| 57,075 | | 57,075 | ||||||||||||
France |
| 627,432 | | 627,432 |
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Germany |
| 414,981 | | 414,981 | ||||||||||||
Hong Kong |
| 233,486 | | 233,486 | ||||||||||||
India |
59,144 | | | 59,144 | ||||||||||||
Indonesia |
| 28,814 | | 28,814 | ||||||||||||
Italy |
| 60,550 | | 60,550 | ||||||||||||
Japan |
| 912,164 | | 912,164 | ||||||||||||
Macau |
| 18,055 | | 18,055 | ||||||||||||
Netherlands |
| 279,391 | | 279,391 | ||||||||||||
Singapore |
| 65,249 | | 65,249 | ||||||||||||
South Africa |
| 38,047 | | 38,047 | ||||||||||||
South Korea |
| 108,555 | | 108,555 | ||||||||||||
Spain |
| 82,853 | | 82,853 | ||||||||||||
Sweden |
| 70,392 | | 70,392 | ||||||||||||
Switzerland |
| 536,672 | | 536,672 | ||||||||||||
Taiwan |
43,392 | | | 43,392 | ||||||||||||
United Kingdom |
| 758,312 | | 758,312 | ||||||||||||
United States |
| 31,214 | | 31,214 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
178,450 | 4,565,809 | | 4,744,259 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
||||||||||||||||
Italy |
| 13 | | 13 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
61,557 | | | 61,557 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 240,007 | $ | 4,565,822 | $ | | $ | 4,805,829 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $112,043 and are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018: | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||
Long Contracts |
||||||||||||||||||
EURO STOXX 50 Index |
88 | 03/2018 | EUR | 3,934 | (33 | ) | ||||||||||||
FTSE 100 Index |
21 | 03/2018 | GBP | 2,227 | (35 | ) | ||||||||||||
MSCI Emerging Markets E-Mini Index |
68 | 03/2018 | USD | 4,277 | (10 | ) | ||||||||||||
S&P/TSX 60 Index |
9 | 03/2018 | CAD | 1,380 | (16 | ) | ||||||||||||
TOPIX Index |
13 | 03/2018 | JPY | 2,201 | (52 | ) | ||||||||||||
|
|
|||||||||||||||||
(146 | ) | |||||||||||||||||
|
|
JPMorgan International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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.
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 International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amount 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 |
||||||||||||||||
Austria |
$ | | $ | 9,891 | $ | | $ | 9,891 | ||||||||
Brazil |
14,974 | | | 14,974 | ||||||||||||
Canada |
14,113 | | | 14,113 | ||||||||||||
China |
15,857 | 37,434 | | 53,291 | ||||||||||||
Denmark |
| 5,886 | | 5,886 | ||||||||||||
Finland |
| 8,205 | | 8,205 | ||||||||||||
France |
| 9,598 | | 9,598 | ||||||||||||
Germany |
| 53,031 | | 53,031 | ||||||||||||
Hong Kong |
| 36,945 | | 36,945 | ||||||||||||
India |
16,809 | | | 16,809 | ||||||||||||
Indonesia |
| 11,729 | | 11,729 | ||||||||||||
Italy |
| 8,235 | | 8,235 | ||||||||||||
Japan |
| 48,827 | | 48,827 | ||||||||||||
Netherlands |
| 35,026 | | 35,026 | ||||||||||||
South Africa |
| 10,734 | | 10,734 | ||||||||||||
South Korea |
3,469 | 17,996 | | 21,465 | ||||||||||||
Spain |
| 9,693 | | 9,693 | ||||||||||||
Switzerland |
| 35,836 | | 35,836 | ||||||||||||
United Kingdom |
| 84,459 | | 84,459 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
65,222 | 423,525 | | 488,747 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights |
||||||||||||||||
Italy |
| 2 | | 2 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
19,556 | | | 19,556 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 84,778 | $ | 423,527 | $ | | $ | 508,305 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | (26 | ) | $ | (120 | ) | $ | | $ | (146 | ) | |||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $18,397,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Forward foreign currency exchange contracts outstanding as of January 31, 2018:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
||||||||||||||||
AUD |
32,320 | USD | 24,398 | HSBC Bank, N.A. | 02/26/2018 | 1,643 | ||||||||||||||
CAD |
3,732 | USD | 3,029 | Deutsche Bank AG | 02/26/2018 | 6 | ||||||||||||||
CHF |
3,178 | USD | 3,409 | BNP Paribas | 02/26/2018 | 11 | ||||||||||||||
DKK |
40,063 | USD | 6,391 | HSBC Bank, N.A. | 02/26/2018 | 303 | ||||||||||||||
EUR |
3,781 | HKD | 34,761 | TD Bank Financial Group | 02/26/2018 | 255 | ||||||||||||||
EUR |
9,295 | USD | 11,110 | Deutsche Bank AG | 02/26/2018 | 446 | ||||||||||||||
GBP |
11,838 | USD | 15,737 | State Street Corp. | 02/26/2018 | 1,085 | ||||||||||||||
JPY |
236,751 | USD | 2,115 | State Street Corp. | 02/26/2018 | 56 | ||||||||||||||
NOK |
10,444 | EUR | 1,078 | Royal Bank of Canada | 02/26/2018 | 15 | ||||||||||||||
SEK |
102,114 | USD | 12,245 | Standard Chartered Bank | 02/26/2018 | 733 | ||||||||||||||
USD |
5,910 | JPY | 641,995 | Australia & New Zealand Banking Group Ltd. | 02/26/2018 | 22 | ||||||||||||||
|
|
|||||||||||||||||||
Total unrealized appreciation |
4,575 | |||||||||||||||||||
|
|
|||||||||||||||||||
EUR |
4,986 | USD | 6,224 | Citibank, NA | 02/26/2018 | (25 | ) | |||||||||||||
GBP |
2,255 | USD | 3,219 | State Street Corp. | 02/26/2018 | (15 | ) | |||||||||||||
HKD |
19,621 | USD | 2,511 | Citibank, NA | 02/26/2018 | (2 | ) | |||||||||||||
HKD |
159,139 | USD | 20,412 | Credit Suisse International | 02/26/2018 | (58 | ) | |||||||||||||
NOK |
16,261 | USD | 2,118 | Merrill Lynch International | 02/26/2018 | (8 | ) | |||||||||||||
USD |
10,926 | CAD | 13,918 | HSBC Bank, N.A. | 02/26/2018 | (393 | ) | |||||||||||||
USD |
68,892 | EUR | 58,061 | HSBC Bank, N.A. | 02/26/2018 | (3,295 | ) | |||||||||||||
USD |
5,440 | GBP | 4,050 | TD Bank Financial Group | 02/26/2018 | (315 | ) | |||||||||||||
USD |
1,279 | NOK | 10,444 | Royal Bank of Canada | 02/26/2018 | (76 | ) | |||||||||||||
USD |
2,413 | SEK | 20,082 | Citibank, NA | 02/26/2018 | (139 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total unrealized depreciation |
(4,326 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized appreciation |
249 | |||||||||||||||||||
|
|
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 International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
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.
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.
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 |
$ | | $ | 26,574 | $ | | $ | 26,574 | ||||||||
Austria |
| 11,965 | | 11,965 | ||||||||||||
Belgium |
| 18,155 | | 18,155 | ||||||||||||
Canada |
10,746 | | | 10,746 | ||||||||||||
China |
| 5,679 | | 5,679 | ||||||||||||
Finland |
| 9,036 | | 9,036 | ||||||||||||
France |
| 125,790 | | 125,790 | ||||||||||||
Germany |
| 63,203 | | 63,203 | ||||||||||||
Ireland |
7,701 | | | 7,701 | ||||||||||||
Israel |
2,001 | | | 2,001 | ||||||||||||
Italy |
| 30,087 | | 30,087 | ||||||||||||
Japan |
| 203,419 | | 203,419 | ||||||||||||
Luxembourg |
| 7,374 | | 7,374 | ||||||||||||
Netherlands |
| 62,394 | | 62,394 | ||||||||||||
Norway |
| 4,026 | | 4,026 | ||||||||||||
Singapore |
| 11,531 | | 11,531 | ||||||||||||
South Korea |
| 4,978 | | 4,978 | ||||||||||||
Spain |
339 | 27,662 | | 28,001 | ||||||||||||
Sweden |
| 10,079 | | 10,079 | ||||||||||||
Switzerland |
| 68,263 | | 68,263 | ||||||||||||
United Kingdom |
| 102,147 | | 102,147 | ||||||||||||
United States |
| 6,577 | | 6,577 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
20,787 | 798,939 | | 819,726 | ||||||||||||
|
|
|
|
|
|
|
|
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 |
$ | 22,781 | $ | | $ | | $ | 22,781 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 43,568 | $ | 798,939 | $ | | $ | 842,507 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 4,575 | $ | | $ | 4,575 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (4,326 | ) | $ | | $ | (4,326 | ) | ||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $11,170,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
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 a counterparty (e.g., decline in a counterpartys credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable 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 JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan International Value SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan International Value SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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) |
$ | | $ | 53,141 | $ | | $ | 53,141 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 2 are disclosed individually on the SOI. Please refer to the SOI for country specifics of portfolio holdings. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of approximately $3,503,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (NAV) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (the Underlying Funds) are valued at each Underlying 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 Intrepid European Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Investments in Securities |
|
|||||||||||||||
Common Stocks |
| |||||||||||||||
Belgium |
$ | | $ | 13,011 | $ | | $ | 13,011 | ||||||||
Denmark |
| 50,924 | | 50,924 | ||||||||||||
Finland |
| 15,927 | | 15,927 | ||||||||||||
France |
| 226,180 | | 226,180 | ||||||||||||
Germany |
| 166,948 | | 166,948 | ||||||||||||
Italy |
| 35,828 | | 35,828 | ||||||||||||
Netherlands |
| 78,359 | | 78,359 | ||||||||||||
Norway |
| 12,334 | | 12,334 | ||||||||||||
Spain |
| 41,128 | | 41,128 | ||||||||||||
Sweden |
| 29,797 | | 29,797 | ||||||||||||
Switzerland |
| 144,564 | | 144,564 | ||||||||||||
United Kingdom |
| 189,902 | | 189,902 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
| 1,004,902 | | 1,004,902 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
26,765 | | | 26,765 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 26,765 | $ | 1,004,902 | $ | | $ | 1,031,667 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 1 to level 2 in the amount of approximately $57,451,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Intrepid International Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation) ($) |
|||||||||||||
Long Contracts |
| |||||||||||||||||
EURO STOXX 50 Index |
793 | 03/2018 | EUR | 35,452 | (96 | ) | ||||||||||||
FTSE 100 Index |
274 | 03/2018 | GBP | 29,054 | (776 | ) | ||||||||||||
TOPIX Index |
92 | 03/2018 | JPY | 15,577 | (315 | ) | ||||||||||||
|
|
|||||||||||||||||
(1,187 | ) | |||||||||||||||||
|
|
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.
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 net asset values or 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 JANUARY 31, 2018 (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 |
$ | | $ | 246,081 | $ | | $ | 246,081 | ||||||||
Austria |
| 45,179 | | 45,179 | ||||||||||||
Belgium |
| 67,248 | | 67,248 | ||||||||||||
China |
| 29,840 | | 29,840 | ||||||||||||
Denmark |
| 133,060 | | 133,060 | ||||||||||||
Finland |
| 64,933 | | 64,933 | ||||||||||||
France |
| 319,317 | | 319,317 | ||||||||||||
Germany |
| 280,924 | | 280,924 | ||||||||||||
Hong Kong |
| 67,528 | | 67,528 | ||||||||||||
Italy |
| 35,303 | | 35,303 | ||||||||||||
Japan |
| 883,394 | | 883,394 | ||||||||||||
Luxembourg |
| 35,440 | | 35,440 | ||||||||||||
Netherlands |
| 232,069 | | 232,069 | ||||||||||||
Norway |
| 63,890 | | 63,890 | ||||||||||||
Portugal |
| 11,079 | | 11,079 | ||||||||||||
Singapore |
| 87,546 | | 87,546 | ||||||||||||
South Africa |
| 5,447 | | 5,447 | ||||||||||||
Spain |
| 68,791 | | 68,791 | ||||||||||||
Sweden |
| 133,752 | | 133,752 | ||||||||||||
Switzerland |
| 386,039 | | 386,039 | ||||||||||||
United Kingdom |
| 508,784 | | 508,784 | ||||||||||||
United States |
| 26,279 | | 26,279 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
| 3,731,923 | | 3,731,923 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Right |
||||||||||||||||
Spain |
| 162 | | 162 | ||||||||||||
Short-Term Investment |
||||||||||||||||
Investment Company |
102,701 | | | 102,701 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 102,701 | $ | 3,732,085 | $ | | $ | 3,834,786 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts |
$ | | $ | (1,187 | ) | $ | | $ | (1,187 | ) | ||||||
|
|
|
|
|
|
|
|
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 $103,825,000 are due to the application of the fair value factors to certain securities during the period ended January 31, 2018.
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Options contracts)
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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) |
$ | 170,404 | $ | | $ | | $ | 170,404 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities for Securities Sold Short (a) |
$ | (45,304 | ) | $ | | $ | | $ | (45,304 | ) | ||||||
|
|
|
|
|
|
|
|
(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 January 31, 2018.
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of January 31, 2018:
Description |
Number of Contracts |
Expiration Date |
Trading Currency |
Notional Amount ($) |
Value and Unrealized Appreciation (Depreciation)($) |
|||||||||||||||
Short Contracts |
| |||||||||||||||||||
S&P 500 E-Mini Index |
(17 | ) | 03/2018 | USD | (2,402 | ) | (43 | ) | ||||||||||||
|
|
|||||||||||||||||||
(43 | ) | |||||||||||||||||||
|
|
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.
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.
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 (SOI):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Total Investments in Securities (a) |
$ | 210,650 | $ | 318 | $ | | $ | 210,968 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities for Securities Sold Short (b) |
(186,534 | ) | | | (186,534 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Futures Contracts (b) |
$ | (43 | ) | $ | | $ | | $ | (43 | ) | ||||||
|
|
|
|
|
|
|
|
(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 January 31, 2018.
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 Tax Aware Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
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.
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 net asset values or 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 (SOI) (amounts in thousands):
Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
Total Investments in Securities (a) |
$ | 1,277,352 | $ | | $ | | $ | 1,277,352 | ||||||||
|
|
|
|
|
|
|
|
(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. |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Over the Counter (OTC) Inflation-linked swap contracts outstanding as of January 31, 2018:
Floating Rate Index (a) |
Fixed Rate |
Pay/ Receive Floating Rate |
Counterparty |
Maturity Date |
Notional Amount |
Value And Unrealized Appreciation (Depreciation) ($) |
||||||||||||
CPI-U at termination | 1.82% at termination |
Receive | Barclays Bank plc | 11/08/2021 | USD 25,000 | 475 | ||||||||||||
CPI-U at termination | 1.82% at termination |
Receive | Deutsche Bank AG | 11/08/2021 | USD 25,000 | 475 | ||||||||||||
CPI-U at termination | 2.00% at termination |
Receive | BNP Paribas | 11/07/2026 | USD 25,000 | 722 | ||||||||||||
CPI-U at termination | 2.00% at termination |
Receive | Deutsche Bank AG | 11/07/2026 | USD 25,000 | 708 | ||||||||||||
CPI-U at termination | 2.00% at termination |
Receive | Deutsche Bank AG | 10/13/2045 | USD 5,000 | 482 | ||||||||||||
CPI-U at termination | 2.04% at termination |
Receive | BNP Paribas | 11/16/2022 | USD 5,000 | 50 | ||||||||||||
CPI-U at termination | 2.05% at termination |
Receive | Barclays Bank plc | 11/17/2023 | USD 25,000 | 301 | ||||||||||||
CPI-U at termination | 2.06% at termination |
Receive | BNP Paribas | 11/15/2023 | USD 17,000 | 201 | ||||||||||||
CPI-U at termination | 2.06% at termination |
Receive | Deutsche Bank AG | 11/14/2022 | USD 22,000 | 208 | ||||||||||||
CPI-U at termination | 2.06% at termination |
Receive | Morgan Stanley | 11/13/2022 | USD 9,000 | 83 | ||||||||||||
CPI-U at termination | 2.07% at termination |
Receive | Barclays Bank plc | 10/16/2022 | USD 50,000 | 554 | ||||||||||||
CPI-U at termination | 2.08% at termination |
Receive | BNP Paribas | 11/13/2022 | USD 7,000 | 60 | ||||||||||||
CPI-U at termination | 2.17% at termination |
Receive | BNP Paribas | 04/04/2024 | USD 24,000 | 30 | ||||||||||||
CPI-U at termination | 2.18% at termination |
Receive | Barclays Bank plc | 10/02/2027 | USD 66,000 | 1,162 | ||||||||||||
CPI-U at termination | 2.18% at termination |
Receive | Barclays Bank plc | 10/16/2027 | USD 45,000 | 758 | ||||||||||||
|
|
|||||||||||||||||
6,269 | ||||||||||||||||||
|
|
|||||||||||||||||
CPI-U at termination | 2.18% at termination |
Receive | Credit Suisse International | 05/28/2018 | USD 65,000 | (2,811 | ) | |||||||||||
CPI-U at termination | 2.19% at termination |
Receive | Citibank, NA | 09/02/2019 | USD 9,000 | (338 | ) | |||||||||||
CPI-U at termination | 2.20% at termination |
Receive | Union Bank of Switzerland AG | 03/09/2022 | USD 10,000 | (23 | ) | |||||||||||
CPI-U at termination | 2.27% at termination |
Receive | BNP Paribas | 02/06/2024 | USD 25,000 | (68 | ) | |||||||||||
CPI-U at termination | 2.33% at termination |
Receive | Citibank, NA | 07/06/2020 | USD 50,000 | (2,935 | ) | |||||||||||
CPI-U at termination | 2.35% at termination |
Receive | BNP Paribas | 07/06/2020 | USD 25,000 | (1,526 | ) | |||||||||||
CPI-U at termination | 2.41% at termination |
Receive | Citibank, NA | 07/01/2020 | USD 50,000 | (3,420 | ) | |||||||||||
CPI-U at termination | 2.41% at termination |
Receive | Deutsche Bank AG | 06/30/2020 | USD 20,000 | (1,369 | ) | |||||||||||
CPI-U at termination | 2.42% at termination |
Receive | Citibank, NA | 05/24/2020 | USD 25,000 | (1,788 | ) | |||||||||||
CPI-U at termination | 2.42% at termination |
Receive | Citibank, NA | 06/30/2020 | USD 50,000 | (3,483 | ) | |||||||||||
CPI-U at termination | 2.42% at termination |
Receive | Deutsche Bank AG | 12/15/2024 | USD 54,000 | (272 | ) | |||||||||||
CPI-U at termination | 2.42% at termination |
Receive | Royal Bank of Scotland | 06/30/2020 | USD 75,000 | (5,254 | ) | |||||||||||
CPI-U at termination | 2.43% at termination |
Receive | Royal Bank of Scotland | 06/28/2020 | USD 25,000 | (1,771 | ) | |||||||||||
CPI-U at termination | 2.44% at termination |
Receive | Barclays Bank plc | 05/15/2024 | USD 18,000 | (1,022 | ) | |||||||||||
CPI-U at termination | 2.48% at termination |
Receive | Citibank, NA | 09/02/2024 | USD 15,000 | (930 | ) | |||||||||||
CPI-U at termination | 2.48% at termination |
Receive | Deutsche Bank AG | 02/21/2024 | USD 40,000 | (2,409 | ) | |||||||||||
CPI-U at termination | 2.48% at termination |
Receive | Royal Bank of Scotland | 03/17/2024 | USD 7,000 | (421 | ) | |||||||||||
CPI-U at termination | 2.49% at termination |
Receive | Citibank, NA | 08/27/2024 | USD 22,000 | (1,399 | ) | |||||||||||
CPI-U at termination | 2.50% at termination |
Receive | Deutsche Bank AG | 10/10/2044 | USD 8,000 | (581 | ) | |||||||||||
CPI-U at termination | 2.50% at termination |
Receive | Morgan Stanley | 02/04/2024 | USD 34,000 | (2,128 | ) | |||||||||||
CPI-U at termination | 2.53% at termination |
Receive | Morgan Stanley | 01/27/2024 | USD 30,000 | (1,968 | ) | |||||||||||
CPI-U at termination | 2.62% at termination |
Receive | Citibank, NA | 10/07/2024 | USD 14,000 | (213 | ) | |||||||||||
CPI-U at termination | 2.67% at termination |
Receive | Morgan Stanley | 09/12/2044 | USD 3,000 | (396 | ) | |||||||||||
CPI-U at termination | 2.70% at termination |
Receive | Barclays Bank plc | 09/03/2044 | USD 5,000 | (710 | ) | |||||||||||
CPI-U at termination | 2.71% at termination |
Receive | Deutsche Bank AG | 02/25/2044 | USD 5,000 | (720 | ) | |||||||||||
CPI-U at termination | 2.73% at termination |
Receive | Royal Bank of Scotland | 02/10/2044 | USD 9,000 | (1,373 | ) | |||||||||||
|
|
|||||||||||||||||
(39,328 | ) | |||||||||||||||||
|
|
|||||||||||||||||
(33,059 | ) | |||||||||||||||||
|
|
(a) | Value of floating rate index at January 31, 2018 was 2.48%. |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Summary of total swap contracts outstanding as of January 31, 2018:
Net Upfront Payments (Receipts) ($) |
Value ($) | |||||||
Assets |
| |||||||
OTC Inflation linked swaps outstanding |
| 6,269 | ||||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| 6,269 | ||||||
|
|
|
|
|||||
Liabilities |
| |||||||
OTC Inflation linked swaps outstanding |
| (39,328 | ) | |||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| (39,328 | ) | |||||
|
|
|
|
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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.
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) |
$ | 213,362 | $ | 1,237,387 | $ | | $ | 1,450,749 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
||||||||||||||||
Swaps (b) |
$ | | $ | 6,269 | $ | | $ | 6,269 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Depreciation in Other Financial Instruments |
||||||||||||||||
Swaps (b) |
$ | | $ | (39,328 | ) | $ | | $ | (39,328 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and as an investment of cash collateral for swaps. Please refer to the SOIs for state specifics of portfolio holdings. |
(b) | All portfolio holdings designated as level 2 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 January 31, 2018.
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 JANUARY 31, 2018 (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, Non-deliverable Forward Foreign Currency Exchange Contracts and/or OTC options 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 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. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
Over the Counter (OTC) Inflation-linked swap contracts outstanding as of January 31, 2018:
Floating Rate Index (a) |
Fixed Rate |
Pay/Receive Floating Rate |
Counterparty |
Maturity Date |
Notional Amount |
Value And Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
CPI-U at termination | 2.04% at termination |
Receive | BNP Paribas | 11/16/2022 | USD 1,000 | 10 | ||||||||||||||
CPI-U at termination | 2.08% at termination |
Receive | BNP Paribas | 12/19/2024 | USD 1,000 | 12 | ||||||||||||||
CPI-U at termination | 2.17% at termination |
Receive | BNP Paribas | 04/04/2024 | USD 600 | 1 | ||||||||||||||
|
|
|||||||||||||||||||
23 | ||||||||||||||||||||
|
|
|||||||||||||||||||
CPI-U at termination | 2.28% at termination |
Receive | Union Bank of Switzerland AG | 03/16/2027 | USD 700 | (1 | ) | |||||||||||||
CPI-U at termination | 2.62% at termination |
Receive | Royal Bank of Scotland | 06/28/2025 | USD 1,000 | (110 | ) | |||||||||||||
CPI-U at termination | 2.72% at termination |
Receive | BNP Paribas | 04/01/2021 | USD 4,400 | (453 | ) | |||||||||||||
|
|
|||||||||||||||||||
(564 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
(541 | ) | |||||||||||||||||||
|
|
(a) | Value of floating rate index at January 31, 2018 was 2.48%. |
Summary of total swap contracts outstanding as of January 31, 2018:
Net Upfront Payments (Receipts) ($) |
Value ($) | |||||||
Assets |
| |||||||
OTC Inflation linked swaps outstanding |
| 23 | ||||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| 23 | ||||||
|
|
|
|
|||||
Liabilities |
| |||||||
OTC Inflation linked swaps outstanding |
| (564 | ) | |||||
|
|
|
|
|||||
Total OTC swap contracts outstanding |
| (564 | ) | |||||
|
|
|
|
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (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 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) |
$ | 333 | $ | 9,458 | $ | | $ | 9,791 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Inflation-Linked Swaps (a) |
$ | | $ | 23 | $ | | $ | 23 | ||||||||
|
|
|
|
|
|
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Depreciation in Other Financial Instruments |
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Inflation-Linked Swaps (a) |
$ | | $ | (564 | ) | $ | | $ | (564 | ) | ||||||
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(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. |
JPMorgan Tax Aware Real Return SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JANUARY 31, 2018 (Unaudited) (continued)
(Amounts in thousands)
There were no transfers among any levels during the period ended January 31, 2018.
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.
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 Portfolio to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterpartys credit rating below a specified level). Such rights for both a counterparty and the Portfolio often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Portfolio and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable 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 OTC 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. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.
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 | ||
March 29, 2018 |
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 | ||
March 29, 2018 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
March 29, 2018 |
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 Commodities Strategy Fund, JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity 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 Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund, JPMorgan International Value SMA Fund, JPMorgan Intrepid European Fund, JPMorgan Intrepid International 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: March 29, 2018 | 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, Timothy J. Clemens, certify that:
1. | I have reviewed this report on Form N-Q of JPMorgan Commodities Strategy Fund, JPMorgan Emerging Economies Fund, JPMorgan Emerging Markets Equity 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 Equity Fund, JPMorgan International Equity Income Fund, JPMorgan International Unconstrained Equity Fund, JPMorgan International Value Fund, JPMorgan International Value SMA Fund, JPMorgan Intrepid European Fund, JPMorgan Intrepid International 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: March 29, 2018 | By: | /s/ Timothy J. Clemens | ||||
Timothy J. Clemens | ||||||
Treasurer and Principal Financial Officer |