N-CSRS 1 d595541dncsrs.htm JPMORGAN TRUST I JPMorgan Trust I
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21295

 

 

JPMorgan Trust I

(Exact name of registrant as specified in charter)

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

 

 

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

Date of fiscal year end: October 31

Date of reporting period: November 1, 2017 through April 30, 2018

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

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

 

 

 


Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.

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


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Semi-Annual Report

J.P. Morgan Specialty Funds

April 30, 2018 (Unaudited)

JPMorgan Opportunistic Equity Long/Short Fund

JPMorgan Research Market Neutral Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Opportunistic Equity Long/Short Fund

       3  

JPMorgan Research Market Neutral Fund

       6  
Schedules of Portfolio Investments        9  
Financial Statements        19  
Financial Highlights        26  
Notes to Financial Statements        30  
Schedule of Shareholder Expenses        38  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         1  


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J.P. Morgan Specialty Funds

MARKET OVERVIEW

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

For the six months ended April 30, 2018, the S&P 500 returned 3.82%, while the ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch U.S. 3-Month Treasury Bill Index) returned 0.68%.

 

 
2       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


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JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

       

Fund (Class I Shares)*

     0.56%  

Standard & Poor’s 500 Index

     3.82%  

ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch U.S. 3-Month Treasury Bill Index)

     0.68%  

Net Assets as of 4/30/2018 (In Thousands)

   $ 194,606  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the six months ended April 30, 2018.

The Fund’s long position in the financials sector was the leading detractor from performance relative to the Benchmark, while the Fund’s long position consumer staples sector was a contributor to relative performance. The Fund’s long position in the consumer discretionary sector also detracted from relative performance but the impact was more than offset by the Fund’s short position in the sector, which was the leading contributor to relative performance.

Leading individual detractors from absolute performance included the Fund’s long positions in Illinois Tool Works Inc., Deere & Co. and Kraft Heinz Co. Shares of Illinois Tool Works and Deere & Co., both manufacturers of industrial products and equipment, fell amid investor concerns that recent growth in earnings and revenue at both companies represented a peak in their business cycles. Shares of Kraft Heinz, a maker of processed food and beverages, fell after the company reported lower-than-expected earnings and sales for the fourth quarter of 2017.

Leading individual contributors to absolute performance included the Fund’s long positions in Northrup Grumman Corp., UnitedHealth Group Inc. and its short position in Alliance Data Systems Corp. Shares of Northrup Grumman, an aerospace and defense manufacturer, rose after the company reported better-than-expected earnings for the first quarter of 2018, and raised its profit forecast. Shares of UnitedHealth Group, a health insurer, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018, and raised its profit forecast. Shares of Alliance Data Systems, a provider of private-label credit cards and customer loyalty services, fell amid investor concerns that rising U.S. interest rates could reduce the company’s cash flow.

HOW WAS THE FUND POSITIONED?

During the six months ended April 30, 2018, the Fund invested an average of 110% of its assets in long and short positions in equity securities, selecting from a universe of equity securities with market capitalizations similar to those included in the Russell 1000 Index and/or S&P 500 Index. The Fund’s manager sought to achieve lower volatility than the Benchmark through a disciplined research process, security selection and risk management. For the six month reporting period, the Fund’s average gross exposure was 110% and its average net exposure was 57%.

 

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

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         3  


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***

 

  1.      UnitedHealth Group, Inc.      9.6
  2.      Berkshire Hathaway, Inc., Class A      9.1  
  3.      Time Warner, Inc.      5.3  
  4.      Fiserv, Inc.      4.3  
  5.      NextEra Energy, Inc.      4.3  
  6.      Becton Dickinson and Co.      3.8  
  7.      PayPal Holdings, Inc.      3.8  
  8.      Alphabet, Inc., Class A      3.7  
  9.      Walt Disney Co. (The)      3.5  
  10.      salesforce.com, Inc.      3.5  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.      Johnson & Johnson      18.4
  2.      Citigroup, Inc.      13.7  
  3.      Molson Coors Brewing Co., Class B      11.4  
  4.      Cardinal Health, Inc.      10.5  
  5.      Harley-Davidson, Inc.      10.2  
  6.      Take-Two Interactive Software, Inc.      6.9  
  7.      DENTSPLY SIRONA, Inc.      6.6  
  8.      Rockwell Automation, Inc.      6.6  
  9.      Newell Brands, Inc.      6.1  
  10.      Procter & Gamble Co. (The)      5.0  

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

 
Information Technology      21.9
Health Care      16.0  
Consumer Discretionary      9.6  
Financials      9.1  
Industrials      8.5  
Consumer Staples      5.6  
Utilities      4.2
Short-Term Investment      25.1  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

 
Health Care      35.5
Consumer Staples      19.6  
Consumer Discretionary      17.7  
Financials      13.7  
Information Technology      6.9  
Industrials      6.6  

 

***   Percentages indicated are based on total long investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
    INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        3 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

  August 29, 2014                    

With Sales Charge**

         (4.89 )%         1.74        4.49        6.28

Without Sales Charge

         0.40          7.39          6.39          7.86  

CLASS C SHARES

  August 29, 2014                    

With CDSC***

         (0.82        5.90          5.90          7.34  

Without CDSC

         0.18          6.90          5.90          7.34  

CLASS I SHARES

  August 29, 2014        0.56          7.68          6.68        8.13  

CLASS R2 SHARES

  August 29, 2014        0.29          7.14          6.15          7.60  

CLASS R5 SHARES

  August 29, 2014        0.67          7.92          6.89          8.35  

CLASS R6 SHARES

  August 29, 2014        0.67          7.97          6.94          8.40  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (8/29/14 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on August 29, 2014.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Opportunistic Equity Long/Short Fund, the S&P 500 Index, the ICE BofAML 3-Month US Treasury Bill Index and Lipper Alternative Long/Short Equity Funds Index from August 29, 2014 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The performance of the Lipper Alternative Long/Short Equity Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance

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

From the inception of the Fund through January 23, 2015, the Fund did not experience any shareholder activity. If such activity had occurred, the Fund’s performance may have been impacted.

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         5  


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JPMorgan Research Market Neutral Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

       

Fund (Class L Shares)*

     (0.27)%  

ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch U.S. 3-Month Treasury Bill Index)

     0.68%  

Net Assets as of 4/30/2018 (In Thousands)

   $ 204,856  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares underperformed the ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch U.S. 3-Month Treasury Bill Index) (the “Benchmark”) for the six months ended April 30, 2018.

The Fund’s long positions in the retail and telecommunications sectors were leading detractors from performance relative to the Benchmark, while the Fund’s long positions in the energy and utilities sectors were leading contributors to relative performance.

Leading individual detractors from absolute performance included the Fund’s long position Alphabet Inc. and its short positions in Seagate Technology PLC and Boeing Co. Shares of Alphabet, parent company of Google, fell after the company reported narrowing profit margins and higher spending on acquisitions and one-time costs. Shares of Seagate Technology, a data storage company, rose after the company reported better-than-expected earnings for the fourth quarter of 2017. Shares of Boeing, an aircraft maker and aerospace company, rose after the company reported better-than-expected results for the first quarter of 2018.

Leading individual contributors to absolute performance included the Fund’s short positions in Exxon Mobil Corp. and Heartland Express Inc., and its long position in Union Pacific Corp. Shares of Exxon Mobil, an oil and gas exploration and production company, fell after the company reported lower-than-expected earnings. Shares of Heartland Express, a trucking company, fell along with shares of other transport companies amid investor concerns about potential changes to trade, tariffs and the North American Free Trade Agreement. Shares of Union Pacific, a freight railroad operator, rose after the company reported increased profit and revenue for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

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

 

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

 

 
6       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.      Union Pacific Corp., (United States)      3.0
  2.      Norfolk Southern Corp., (United States)      2.6  
  3.      Alphabet, Inc., Class C, (United States)      2.4  
  4.      UnitedHealth Group, Inc., (United States)      2.1  
  5.      EOG Resources, Inc., (United States)      2.0  
  6.      Pioneer Natural Resources Co., (United States)      1.7  
  7.      NextEra Energy, Inc., (United States)      1.7  
  8.      Northrop Grumman Corp., (United States)      1.6  
  9.      Bank of America Corp., (United States)      1.6  
  10.      Amazon.com, Inc., (United States)      1.5  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.      Southern Co. (The), (United States)      3.5
  2.      Exxon Mobil Corp., (United States)      2.5  
  3.      Schlumberger Ltd., (United States)      2.2  
  4.      Procter & Gamble Co. (The), (United States)      1.8  
  5.      Taiwan Semiconductor Manufacturing Co. Ltd., ADR, (Taiwan)      1.7  
  6.      United Parcel Service, Inc., Class B, (United States)      1.6  
  7.      Chipotle Mexican Grill, Inc., (United States)      1.5  
  8.      AT&T, Inc., (United States)      1.5  
  9.      Verizon Communications, Inc., (United States)      1.5  
  10.      Heartland Express, Inc., (United States)      1.4  

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

 
Consumer Discretionary      15.3
Information Technology      14.6  
Industrials      12.2  
Financials      10.1  
Energy      6.9  
Consumer Staples      6.8  
Utilities      6.5  
Health Care      6.1  
Materials      4.7  
Real Estate      1.5  
Others (each less than 1.0%)      0.6  
Short-Term Investments      14.7  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

 
Consumer Discretionary      16.5
Industrials      14.3  
Information Technology      13.3  
Financials      12.3  
Utilities      7.9  
Health Care      7.8  
Consumer Staples      7.7  
Energy      7.7  
Materials      5.8  
Telecommunication Services      3.5  
Real Estate      3.2  

 

***   Percentages indicated are based on total long investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         7  


Table of Contents

JPMorgan Research Market Neutral Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2002                    

With Sales Charge**

          (5.63 )%         (3.77 )%         (0.51 )%         0.13

Without Sales Charge

          (0.43        1.58          0.57          0.68  

CLASS C SHARES

   November 2, 2009                    

With CDSC***

          (1.68        0.08          0.07          0.17  

Without CDSC

          (0.68        1.08          0.07          0.17  

CLASS I SHARES

   November 2, 2009        (0.34        1.85          0.82          0.96  

CLASS L SHARES

   December 31, 1998        (0.27        1.95          1.01          1.15  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR FUND PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Research Market Neutral Fund, ICE BofAML 3-Month US Treasury Bill Index and Lipper Alternative Equity Market Neutral Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a

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

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

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

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

 

 

 
8       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — 91.8%

 
 

Common Stocks — 68.8%

 
 

Consumer Discretionary — 8.8%

 

 

Hotels, Restaurants & Leisure — 0.7%

 

  72    

Extended Stay America, Inc. (j)

    1,410  
   

 

 

 
 

Media — 8.1%

 

  99    

Time Warner, Inc.

    9,417  
  62    

Walt Disney Co. (The)

    6,256  
   

 

 

 
      15,673  
   

 

 

 
 

Total Consumer Discretionary

    17,083  
   

 

 

 
 

Consumer Staples — 5.1%

 

 

Beverages — 4.9%

 

  131    

Coca-Cola Co. (The) (j)

    5,649  
  17    

Constellation Brands, Inc., Class A (j)

    3,905  
   

 

 

 
      9,554  
   

 

 

 
 

Food Products — 0.2%

 

  8    

Kraft Heinz Co. (The)

    470  
   

 

 

 
 

Total Consumer Staples

    10,024  
   

 

 

 
 

Financials — 8.4%

 

 

Diversified Financial Services — 8.4%

 

  (h)   

Berkshire Hathaway, Inc., Class A (a)

    16,276  
   

 

 

 
 

Health Care — 14.7%

 

 

Health Care Equipment & Supplies — 3.5%

 

  29    

Becton Dickinson and Co.

    6,759  
   

 

 

 
 

Health Care Providers & Services — 8.8%

 

  72    

UnitedHealth Group, Inc. (j)

    17,079  
   

 

 

 
 

Life Sciences Tools & Services — 2.4%

 

  23    

Thermo Fisher Scientific, Inc. (j)

    4,766  
   

 

 

 
 

Total Health Care

    28,604  
   

 

 

 
 

Industrials — 7.8%

 

 

Aerospace & Defense — 1.4%

 

  8    

Northrop Grumman Corp. (j)

    2,639  
   

 

 

 
 

Machinery — 2.2%

 

  10    

Deere & Co.

    1,419  
  10    

Illinois Tool Works, Inc. (j)

    1,436  
  9    

Parker-Hannifin Corp.

    1,444  
   

 

 

 
      4,299  
   

 

 

 
 

Road & Rail — 4.2%

 

  25    

Canadian Pacific Railway Ltd., (Canada)

    4,506  
  28    

Union Pacific Corp. (j)

    3,758  
   

 

 

 
      8,264  
   

 

 

 
 

Total Industrials

    15,202  
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Information Technology — 20.1%

 

  

Internet Software & Services — 3.4%

 

  6     

Alphabet, Inc., Class A (a)

    6,545  
    

 

 

 
  

IT Services — 11.5%

 

  108     

Fiserv, Inc. (a) (j)

    7,625  
  27     

Mastercard, Inc., Class A (j)

    4,792  
  90     

PayPal Holdings, Inc. (a) (j)

    6,750  
  25     

Visa, Inc., Class A (j)

    3,195  
    

 

 

 
       22,362  
    

 

 

 
  

Software — 5.2%

 

  42     

Microsoft Corp. (j)

    3,960  
  51     

salesforce.com, Inc. (a)

    6,187  
    

 

 

 
       10,147  
    

 

 

 
  

Total Information Technology

    39,054  
    

 

 

 
  

Utilities — 3.9%

 

  

Electric Utilities — 3.9%

 

  46     

NextEra Energy, Inc.

    7,602  
    

 

 

 
  

Total Common Stocks
(Cost $123,657)

    133,845  
    

 

 

 
 

Short-Term Investment — 23.0%

 
  

Investment Company — 23.0%

 

  44,833     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $44,833)

    44,833  
    

 

 

 
  

Total Investments — 91.8%
(Cost $168,490)

    178,678  
  

Other Assets in Excess of
Liabilities — 8.2%

    15,928  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 194,606  
    

 

 

 
 

Short Positions — 29.7%

 
 

Common Stocks — 29.7%

 
  

Consumer Discretionary — 5.3%

 

  

Automobiles — 3.0%

 

  143     

Harley-Davidson, Inc.

    5,885  
    

 

 

 
  

Household Durables — 1.8%

 

  127     

Newell Brands, Inc.

    3,501  
    

 

 

 
  

Media — 0.5%

 

  3     

Charter Communications, Inc., Class A (a)

    864  
    

 

 

 
  

Total Consumer Discretionary

    10,250  
    

 

 

 
  

Consumer Staples — 5.8%

 

  

Beverages — 3.4%

 

  92     

Molson Coors Brewing Co., Class B

    6,589  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         9  


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

 
  

Food & Staples Retailing — 1.0%

 

  75     

Kroger Co. (The)

    1,898  
    

 

 

 
  

Household Products — 1.4%

 

  40     

Procter & Gamble Co. (The)

    2,865  
    

 

 

 
  

Total Consumer Staples

    11,352  
    

 

 

 
  

Financials — 4.1%

 

  

Banks — 4.1%

 

  116     

Citigroup, Inc.

    7,915  
    

 

 

 
  

Health Care — 10.6%

 

  

Health Care Equipment & Supplies — 2.0%

 

  76     

DENTSPLY SIRONA, Inc.

    3,844  
    

 

 

 
  

Health Care Providers & Services — 3.1%

 

  95     

Cardinal Health, Inc.

    6,065  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Pharmaceuticals — 5.5%

 

  84     

Johnson & Johnson

    10,632  
    

 

 

 
  

Total Health Care

    20,541  
    

 

 

 
  

Industrials — 1.9%

 

  

Electrical Equipment — 1.9%

 

  23     

Rockwell Automation, Inc.

    3,805  
    

 

 

 
  

Information Technology — 2.0%

 

  

Software — 2.0%

 

  40     

Take-Two Interactive Software, Inc. (a)

    3,965  
    

 

 

 
  

Total Securities Sold Short
(Proceeds $59,877)

  $ 57,828  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — 99.2%

 
 

Common Stocks — 84.6%

 
 

Consumer Discretionary — 15.2%

 

 

Auto Components — 0.7%

 

  12    

Aptiv plc

    1,055  
  10    

Delphi Technologies plc

    476  
   

 

 

 
      1,531  
   

 

 

 
 

Hotels, Restaurants & Leisure — 1.3%

 

  7    

Hilton Worldwide Holdings, Inc.

    589  
  5    

Royal Caribbean Cruises Ltd.

    493  
  17    

Yum Brands, Inc.

    1,498  
   

 

 

 
      2,580  
   

 

 

 
 

Household Durables — 0.7%

 

  23    

DR Horton, Inc.

    1,028  
  17    

MDC Holdings, Inc.

    484  
   

 

 

 
      1,512  
   

 

 

 
 

Internet & Direct Marketing Retail — 1.8%

 

  2    

Amazon.com, Inc. (a)

    3,081  
  (h)   

Booking Holdings, Inc. (a)

    638  
   

 

 

 
      3,719  
   

 

 

 
 

Media — 4.8%

 

  11    

Charter Communications, Inc., Class A (a)

    2,937  
  34    

Comcast Corp., Class A

    1,071  
  15    

DISH Network Corp., Class A (a)

    508  
  49    

Sirius XM Holdings, Inc.

    310  
  12    

Time Warner, Inc.

    1,111  
  29    

Twenty-First Century Fox, Inc., Class B

    1,063  
  28    

Walt Disney Co. (The) (j)

    2,794  
   

 

 

 
      9,794  
   

 

 

 
 

Multiline Retail — 0.9%

 

  20    

Dollar Tree, Inc. (a)

    1,882  
   

 

 

 
 

Specialty Retail — 4.4%

 

  3    

AutoZone, Inc. (a)

    2,125  
  5    

Best Buy Co., Inc.

    416  
  12    

Home Depot, Inc. (The)

    2,286  
  7    

Lowe’s Cos., Inc.

    551  
  9    

O’Reilly Automotive, Inc. (a)

    2,347  
  15    

Ross Stores, Inc.

    1,250  
   

 

 

 
      8,975  
   

 

 

 
 

Textiles, Apparel & Luxury Goods — 0.6%

 

  7    

PVH Corp.

    1,151  
   

 

 

 
 

Total Consumer Discretionary

    31,144  
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Consumer Staples — 6.8%

 

  

Beverages — 1.6%

 

  19     

Coca-Cola Co. (The)

    817  
  6     

Constellation Brands, Inc., Class A

    1,320  
  8     

Molson Coors Brewing Co., Class B

    591  
  5     

PepsiCo, Inc.

    456  
    

 

 

 
       3,184  
    

 

 

 
  

Food & Staples Retailing — 1.0%

 

  4     

Costco Wholesale Corp.

    867  
  19     

Walgreens Boots Alliance, Inc.

    1,254  
    

 

 

 
       2,121  
    

 

 

 
  

Food Products — 2.4%

 

  5     

Kellogg Co.

    285  
  65     

Mondelez International, Inc., Class A

    2,551  
  22     

Post Holdings, Inc. (a)

    1,759  
  6     

Tyson Foods, Inc., Class A

    395  
    

 

 

 
       4,990  
    

 

 

 
  

Household Products — 0.4%

 

  14     

Energizer Holdings, Inc.

    818  
    

 

 

 
  

Personal Products — 0.6%

 

  8     

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

    1,244  
    

 

 

 
  

Tobacco — 0.8%

 

  19     

Philip Morris International, Inc. (j)

    1,518  
    

 

 

 
  

Total Consumer Staples

    13,875  
    

 

 

 
  

Energy — 6.8%

 

  

Oil, Gas & Consumable Fuels — 6.8%

 

  7     

Concho Resources, Inc. (a)

    1,155  
  17     

Diamondback Energy, Inc. (a)

    2,186  
  34     

EOG Resources, Inc.

    3,973  
  11     

Marathon Petroleum Corp.

    843  
  10     

Occidental Petroleum Corp.

    735  
  14     

ONEOK, Inc.

    867  
  21     

Parsley Energy, Inc., Class A (a)

    638  
  18     

Pioneer Natural Resources Co. (j)

    3,539  
    

 

 

 
  

Total Energy

    13,936  
    

 

 

 
  

Financials — 10.0%

 

  

Banks — 4.4%

 
  110     

Bank of America Corp. (j)

    3,290  
  27     

BB&T Corp.

    1,430  
  14     

Citigroup, Inc.

    939  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         11  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

Banks — continued

 
  4     

Comerica, Inc.

    413  
  50     

Huntington Bancshares, Inc.

    739  
  9     

Prosperity Bancshares, Inc.

    613  
  13     

SunTrust Banks, Inc.

    853  
  2     

SVB Financial Group (a)

    606  
  4     

Zions Bancorp

    210  
    

 

 

 
       9,093  
    

 

 

 
  

Capital Markets — 2.6%

 

  12     

Charles Schwab Corp. (The)

    665  
  6     

CME Group, Inc.

    890  
  54     

Morgan Stanley (j)

    2,795  
  3     

S&P Global, Inc.

    624  
  3     

T. Rowe Price Group, Inc.

    323  
    

 

 

 
       5,297  
    

 

 

 
  

Consumer Finance — 0.8%

 

  17     

Capital One Financial Corp.

    1,544  
    

 

 

 
  

Diversified Financial Services — 0.4%

 

  16     

Voya Financial, Inc.

    820  
    

 

 

 
  

Insurance — 1.8%

 

  11     

American International Group, Inc.

    613  
  7     

Arthur J Gallagher & Co.

    461  
  1     

Everest Re Group Ltd.

    214  
  19     

Hartford Financial Services Group, Inc. (The)

    1,005  
  12     

Lincoln National Corp.

    868  
  11     

Principal Financial Group, Inc.

    625  
    

 

 

 
       3,786  
    

 

 

 
  

Total Financials

    20,540  
    

 

 

 
  

Health Care — 6.0%

 

  

Biotechnology — 0.7%

 

  9     

Vertex Pharmaceuticals, Inc. (a)

    1,382  
    

 

 

 
  

Health Care Equipment & Supplies — 1.2%

 

  46     

Boston Scientific Corp. (a)

    1,332  
  12     

Medtronic plc

    930  
  2     

Zimmer Biomet Holdings, Inc.

    216  
    

 

 

 
       2,478  
    

 

 

 
  

Health Care Providers & Services — 3.3%

 

  20     

AmerisourceBergen Corp.

    1,827  
  4     

Cigna Corp.

    603  
  18     

UnitedHealth Group, Inc. (j)

    4,292  
    

 

 

 
       6,722  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Pharmaceuticals — 0.8%

 

  1     

Eli Lilly & Co.

    42  
  7     

Merck & Co., Inc.

    405  
  34     

Pfizer, Inc.

    1,263  
    

 

 

 
       1,710  
    

 

 

 
  

Total Health Care

    12,292  
    

 

 

 
  

Industrials — 12.1%

 

  

Aerospace & Defense — 2.4%

 

  3     

General Dynamics Corp.

    563  
  4     

Harris Corp.

    640  
  10     

Northrop Grumman Corp.

    3,323  
  4     

United Technologies Corp.

    461  
       4,987  
    

 

 

 
  

Airlines — 0.3%

 

  13     

Delta Air Lines, Inc. (j)

    667  
    

 

 

 
  

Building Products — 0.5%

 

  10     

Allegion plc

    735  
  2     

Lennox International, Inc.

    293  
    

 

 

 
       1,028  
    

 

 

 
  

Electrical Equipment — 0.2%

 

  5     

Eaton Corp. plc (j)

    390  
    

 

 

 
  

Industrial Conglomerates — 0.1%

 

  1     

Honeywell International, Inc.

    188  
    

 

 

 
  

Machinery — 2.1%

 

  3     

Cummins, Inc.

    419  
  3     

Deere & Co.

    344  
  9     

Ingersoll-Rand plc

    783  
  19     

PACCAR, Inc.

    1,208  
  10     

Stanley Black & Decker, Inc. (j)

    1,452  
    

 

 

 
       4,206  
    

 

 

 
  

Road & Rail — 6.5%

 

  5     

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

    876  
  11     

Kansas City Southern

    1,148  
  37     

Norfolk Southern Corp. (j)

    5,322  
  45     

Union Pacific Corp. (j)

    6,016  
    

 

 

 
       13,362  
    

 

 

 
  

Total Industrials

    24,828  
    

 

 

 
  

Information Technology — 14.5%

 

  

Internet Software & Services — 3.1%

 

  5     

Alphabet, Inc., Class C (a) (j)

    4,875  
  8     

Facebook, Inc., Class A (a)

    1,459  
    

 

 

 
       6,334  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

IT Services — 2.5%

 

  4     

Accenture plc, Class A

    617  
  5     

DXC Technology Co.

    511  
  4     

Fidelity National Information Services, Inc.

    338  
  9     

PayPal Holdings, Inc. (a)

    642  
  6     

Square, Inc., Class A (a)

    295  
  6     

WEX, Inc. (a) (j)

    921  
  22     

Worldpay, Inc. (a)

    1,824  
    

 

 

 
       5,148  
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 5.2%

 

  18     

Analog Devices, Inc.

    1,586  
  12     

Broadcom, Inc.

    2,700  
  3     

Microchip Technology, Inc.

    292  
  14     

Micron Technology, Inc. (a)

    659  
  13     

NVIDIA Corp.

    2,827  
  11     

ON Semiconductor Corp. (a)

    252  
  24     

Texas Instruments, Inc. (j)

    2,453  
    

 

 

 
       10,769  
    

 

 

 
  

Software — 3.1%

 

  8     

Intuit, Inc.

    1,421  
  24     

Microsoft Corp.

    2,215  
  19     

Oracle Corp.

    856  
  10     

salesforce.com, Inc. (a)

    1,243  
  4     

Workday, Inc., Class A (a)

    529  
    

 

 

 
       6,264  
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.6%

 

  68     

Hewlett Packard Enterprise Co. (j)

    1,157  
    

 

 

 
  

Total Information Technology

    29,672  
    

 

 

 
  

Materials — 4.6%

 

  

Chemicals — 2.9%

 

  14     

Celanese Corp., Series A

    1,573  
  27     

DowDuPont, Inc.

    1,679  
  23     

Eastman Chemical Co.

    2,318  
  5     

Westlake Chemical Corp.

    498  
    

 

 

 
       6,068  
    

 

 

 
  

Containers & Packaging — 1.7%

 

  5     

Avery Dennison Corp.

    534  
  51     

Ball Corp.

    2,051  
  14     

WestRock Co.

    838  
    

 

 

 
       3,423  
    

 

 

 
  

Total Materials

    9,491  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Real Estate — 1.5%

 

  

Equity Real Estate Investment Trusts (REITs) — 1.5%

 

  8     

AvalonBay Communities, Inc.

    1,250  
  32     

Brixmor Property Group, Inc.

    477  
  7     

Equity Residential

    458  
  13     

Vornado Realty Trust (j)

    882  
    

 

 

 
  

Total Real Estate

    3,067  
    

 

 

 
  

Telecommunication Services — 0.6%

 

  

Wireless Telecommunication Services — 0.6%

 

  19     

T-Mobile US, Inc. (a) (j)

    1,150  
    

 

 

 
  

Utilities — 6.5%

 

  

Electric Utilities — 5.0%

 

  9     

American Electric Power Co., Inc.

    654  
  50     

Exelon Corp.

    2,004  
  23     

Great Plains Energy, Inc.

    758  
  21     

NextEra Energy, Inc. (j)

    3,517  
  30     

PG&E Corp.

    1,364  
  40     

Xcel Energy, Inc. (j)

    1,875  
    

 

 

 
       10,172  
    

 

 

 
  

Multi-Utilities — 1.5%

 

  14     

CMS Energy Corp. (j)

    675  
  47     

Public Service Enterprise Group, Inc.

    2,426  
    

 

 

 
       3,101  
    

 

 

 
  

Total Utilities

    13,273  
    

 

 

 
  

Total Common Stocks
(Cost $140,752)

    173,268  
    

 

 

 
 

Short-Term Investments — 14.6%

 
  

Investment Company — 14.5%

 

  29,703     

JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.84% (b) (l)
(Cost $29,704)

    29,706  
    

 

 

 
PRINCIPAL
AMOUNT($)
              
  

U.S. Treasury Obligation — 0.1%

 

  233     

U.S. Treasury Bills, 1.99%, 01/31/2019 (k) (n)

(Cost $230)

    229  
    

 

 

 
  

Total Short-Term Investments
(Cost $29,934)

    29,935  
    

 

 

 
  

Total Investments — 99.2%
(Cost $170,686)

    203,203  
  

Other Assets in Excess of
Liabilities — 0.8%

    1,653  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 204,856  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         13  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — 83.9%

 
 

Common Stocks — 83.9%

 
  

Consumer Discretionary — 13.9%

 

  

Auto Components — 0.2%

 

  4     

Autoliv, Inc., (Sweden)

    469  
    

 

 

 
  

Automobiles — 1.3%

 

  43     

General Motors Co.

    1,588  
  12     

Harley-Davidson, Inc.

    485  
  2     

Tesla, Inc. (a)

    617  
    

 

 

 
       2,690  
    

 

 

 
  

Hotels, Restaurants & Leisure — 2.7%

 

  14     

Aramark

    507  
  5     

Bloomin’ Brands, Inc.

    129  
  8     

Brinker International, Inc.

    349  
  6     

Chipotle Mexican Grill, Inc. (a)

    2,658  
  7     

McDonald’s Corp.

    1,124  
  13     

Starbucks Corp.

    738  
    

 

 

 
       5,505  
    

 

 

 
  

Household Durables — 0.4%

 

  6     

Whirlpool Corp.

    866  
    

 

 

 
              
  

Internet & Direct Marketing Retail — 0.6%

 

  4     

Netflix, Inc. (a)

    1,159  
    

 

 

 
  

Leisure Products — 0.9%

 

  7     

Hasbro, Inc.

    611  
  89     

Mattel, Inc.

    1,322  
    

 

 

 
       1,933  
    

 

 

 
  

Media — 3.7%

 

  21     

AMC Networks, Inc., Class A (a)

    1,068  
  13     

Cinemark Holdings, Inc.

    515  
  33     

Discovery, Inc., Class A (a)

    778  
  35     

Entercom Communications Corp., Class A

    352  
  33     

Interpublic Group of Cos., Inc. (The)

    775  
  136     

News Corp., Class A

    2,168  
  28     

Omnicom Group, Inc.

    2,038  
    

 

 

 
       7,694  
    

 

 

 
  

Multiline Retail — 1.0%

 

  13     

Nordstrom, Inc.

    665  
  18     

Target Corp.

    1,301  
    

 

 

 
       1,966  
    

 

 

 
  

Specialty Retail — 2.1%

 

  20     

Abercrombie & Fitch Co., Class A

    519  
  3     

Advance Auto Parts, Inc.

    308  
  18     

American Eagle Outfitters, Inc.

    363  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Specialty Retail — continued

 
  104     

Ascena Retail Group, Inc. (a)

    232  
  65     

Bed Bath & Beyond, Inc.

    1,141  
  6     

Buckle, Inc. (The)

    127  
  30     

DSW, Inc., Class A

    660  
  46     

Express, Inc. (a)

    360  
  5     

L Brands, Inc.

    190  
  7     

Williams-Sonoma, Inc.

    313  
    

 

 

 
       4,213  
    

 

 

 
  

Textiles, Apparel & Luxury Goods — 1.0%

 

  51     

Hanesbrands, Inc.

    941  
  43     

Under Armour, Inc., Class A (a)

    765  
  19     

Under Armour, Inc., Class C (a)

    285  
    

 

 

 
       1,991  
    

 

 

 
  

Total Consumer Discretionary

    28,486  
    

 

 

 
  

Consumer Staples — 6.5%

 

  

Beverages — 0.4%

 

  14     

Brown-Forman Corp., Class B

    771  
    

 

 

 
  

Food & Staples Retailing — 0.8%

 

  17     

Kroger Co. (The)

    419  
  14     

Walmart, Inc.

    1,253  
    

 

 

 
       1,672  
    

 

 

 
  

Food Products — 2.1%

 

  56     

General Mills, Inc.

    2,433  
  20     

Hershey Co. (The)

    1,865  
    

 

 

 
       4,298  
    

 

 

 
  

Household Products — 3.2%

 

  9     

Church & Dwight Co., Inc.

    429  
  15     

Clorox Co. (The)

    1,793  
  12     

Kimberly-Clark Corp.

    1,207  
  43     

Procter & Gamble Co. (The)

    3,077  
    

 

 

 
       6,506  
    

 

 

 
  

Total Consumer Staples

    13,247  
    

 

 

 
  

Energy — 6.4%

 

  

Energy Equipment & Services — 2.7%

 

  9     

Halliburton Co.

    498  
  20     

Helmerich & Payne, Inc.

    1,389  
  54     

Schlumberger Ltd.

    3,735  
    

 

 

 
       5,622  
    

 

 

 
  

Oil, Gas & Consumable Fuels — 3.7%

 

  13     

Apache Corp.

    521  
  8     

ConocoPhillips

    523  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

 
  

Oil, Gas & Consumable Fuels — continued

 

  26     

Enbridge, Inc., (Canada)

    776  
  56     

Exxon Mobil Corp.

    4,334  
  5     

Hess Corp.

    297  
  10     

Murphy Oil Corp.

    302  
  57     

Range Resources Corp.

    789  
    

 

 

 
       7,542  
    

 

 

 
  

Total Energy

    13,164  
    

 

 

 
  

Financials — 10.3%

 

  

Banks — 5.8%

 

  27     

BancorpSouth Bank

    900  
  16     

Bank of Hawaii Corp.

    1,386  
  12     

Commerce Bancshares, Inc.

    786  
  11     

Cullen/Frost Bankers, Inc.

    1,238  
  10     

East West Bancorp, Inc.

    658  
  38     

First Hawaiian, Inc.

    1,044  
  5     

M&T Bank Corp.

    906  
  62     

People’s United Financial, Inc.

    1,135  
  9     

PNC Financial Services Group, Inc. (The)

    1,281  
  34     

Umpqua Holdings Corp.

    805  
  26     

US Bancorp

    1,337  
  6     

Webster Financial Corp.

    390  
    

 

 

 
       11,866  
    

 

 

 
  

Capital Markets — 2.4%

 

  3     

FactSet Research Systems, Inc.

    564  
  1     

Goldman Sachs Group, Inc. (The)

    226  
  45     

Invesco Ltd.

    1,296  
  1     

Moody’s Corp.

    208  
  6     

Nasdaq, Inc.

    535  
  10     

Northern Trust Corp.

    1,025  
  51     

Waddell & Reed Financial, Inc., Class A

    1,031  
    

 

 

 
       4,885  
    

 

 

 
  

Insurance — 2.1%

 

  10     

Aflac, Inc.

    462  
  2     

Allstate Corp. (The)

    223  
  5     

Arch Capital Group Ltd. (a)

    366  
  16     

Torchmark Corp.

    1,386  
  4     

Travelers Cos., Inc. (The)

    479  
  4     

Unum Group

    200  
  16     

WR Berkley Corp.

    1,207  
    

 

 

 
       4,323  
    

 

 

 
  

Total Financials

    21,074  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Health Care — 6.5%

 

  

Biotechnology — 1.1%

 

  9     

AbbVie, Inc.

    897  
  6     

Amgen, Inc.

    1,108  
  2     

Celgene Corp. (a)

    197  
    

 

 

 
       2,202  
    

 

 

 
  

Health Care Equipment & Supplies — 1.7%

 

  11     

Abbott Laboratories

    613  
  15     

Baxter International, Inc.

    1,066  
  6     

Stryker Corp.

    1,082  
  6     

Varian Medical Systems, Inc. (a)

    688  
    

 

 

 
       3,449  
    

 

 

 
  

Health Care Providers & Services — 2.4%

 

  20     

Cardinal Health, Inc.

    1,289  
  30     

Henry Schein, Inc. (a)

    2,314  
  2     

Humana, Inc.

    727  
  26     

Patterson Cos., Inc.

    597  
    

 

 

 
       4,927  
    

 

 

 
  

Health Care Technology — 0.4%

 

  14     

Cerner Corp. (a)

    799  
    

 

 

 
  

Pharmaceuticals — 0.9%

 

  16     

Johnson & Johnson

    1,982  
    

 

 

 
  

Total Health Care

    13,359  
    

 

 

 
  

Industrials — 12.0%

 

  

Aerospace & Defense — 0.8%

 

  3     

Boeing Co. (The)

    835  
  2     

Lockheed Martin Corp.

    762  
    

 

 

 
       1,597  
    

 

 

 
  

Air Freight & Logistics — 1.9%

 

  7     

CH Robinson Worldwide, Inc.

    674  
  7     

Expeditors International of Washington, Inc.

    418  
  24     

United Parcel Service, Inc., Class B

    2,775  
    

 

 

 
       3,867  
    

 

 

 
  

Building Products — 0.5%

 

  32     

Johnson Controls International plc

    1,090  
    

 

 

 
  

Commercial Services & Supplies — 0.3%

 

  10     

Republic Services, Inc.

    615  
    

 

 

 
  

Electrical Equipment — 1.1%

 

  21     

Emerson Electric Co.

    1,390  
  2     

Hubbell, Inc.

    242  
  4     

Rockwell Automation, Inc.

    594  
    

 

 

 
       2,226  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         15  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

 
  

Industrial Conglomerates — 1.8%

 

  8     

3M Co.

    1,496  
  155     

General Electric Co.

    2,184  
    

 

 

 
       3,680  
    

 

 

 
  

Machinery — 0.2%

 

  9     

Donaldson Co., Inc.

    411  
    

 

 

 
  

Professional Services — 0.3%

 

  21     

Nielsen Holdings plc

    658  
    

 

 

 
  

Road & Rail — 3.9%

 

  29     

Canadian National Railway Co., (Canada)

    2,264  
  140     

Heartland Express, Inc.

    2,489  
  9     

Ryder System, Inc.

    600  
  38     

Schneider National, Inc., Class B

    1,024  
  43     

Werner Enterprises, Inc.

    1,478  
    

 

 

 
       7,855  
    

 

 

 
  

Trading Companies & Distributors — 1.2%

 

  19     

Air Lease Corp.

    776  
  5     

GATX Corp.

    306  
  5     

WW Grainger, Inc.

    1,418  
    

 

 

 
       2,500  
    

 

 

 
  

Total Industrials

    24,499  
    

 

 

 
  

Information Technology — 11.2%

 

  

Communications Equipment — 1.1%

 

  35     

Cisco Systems, Inc.

    1,562  
  28     

Juniper Networks, Inc.

    700  
    

 

 

 
       2,262  
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.3%

 

  6     

Amphenol Corp., Class A

    523  
    

 

 

 
  

Internet Software & Services — 1.2%

 

  64     

eBay, Inc. (a)

    2,411  
    

 

 

 
  

IT Services — 1.3%

 

  5     

Automatic Data Processing, Inc.

    536  
  4     

International Business Machines Corp.

    567  
  4     

Jack Henry & Associates, Inc.

    470  
  20     

Paychex, Inc.

    1,187  
    

 

 

 
       2,760  
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 5.2%

 

  9     

Applied Materials, Inc.

    428  
  43     

Intel Corp.

    2,245  
  5     

Lam Research Corp.

    1,014  
  25     

Qorvo, Inc. (a)

    1,682  
  13     

QUALCOMM, Inc.

    665  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Semiconductors & Semiconductor Equipment — continued

 

  4     

Skyworks Solutions, Inc.

    379  
  77     

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

    2,968  
  18     

Xilinx, Inc.

    1,185  
    

 

 

 
       10,566  
    

 

 

 
  

Software — 0.7%

 

  4     

Citrix Systems, Inc. (a)

    450  
  51     

Snap, Inc., Class A (a)

    725  
  3     

Splunk, Inc. (a)

    310  
    

 

 

 
       1,485  
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 1.4%

 

  9     

Apple, Inc.

    1,419  
  5     

NetApp, Inc.

    314  
  16     

Seagate Technology plc

    954  
  2     

Western Digital Corp.

    128  
    

 

 

 
       2,815  
    

 

 

 
  

Total Information Technology

    22,822  
    

 

 

 
  

Materials — 4.8%

 

  

Chemicals — 2.8%

 

  19     

Albemarle Corp.

    1,841  
  4     

Ecolab, Inc.

    630  
  15     

LyondellBasell Industries NV, Class A

    1,588  
  11     

PPG Industries, Inc.

    1,214  
  3     

Praxair, Inc.

    465  
    

 

 

 
       5,738  
    

 

 

 
  

Containers & Packaging — 0.9%

 

  10     

AptarGroup, Inc.

    947  
  4     

Sealed Air Corp.

    173  
  12     

Sonoco Products Co.

    632  
    

 

 

 
       1,752  
    

 

 

 
  

Metals & Mining — 0.6%

 

  19     

Compass Minerals International, Inc.

    1,280  
    

 

 

 
  

Paper & Forest Products — 0.5%

 

  26     

Domtar Corp.

    1,131  
    

 

 

 
  

Total Materials

    9,901  
    

 

 

 
  

Real Estate — 2.7%

 

  

Equity Real Estate Investment Trusts (REITs) — 2.7%

 

  28     

Apple Hospitality REIT, Inc.

    506  
  5     

Boston Properties, Inc.

    588  
  32     

CBL & Associates Properties, Inc.

    136  
  5     

Crown Castle International Corp.

    533  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short Positions — continued

 
 

Common Stocks — continued

 
  

Equity Real Estate Investment Trusts (REITs) — continued

 

  2     

Extra Space Storage, Inc.

    222  
  10     

GGP, Inc.

    191  
  26     

HCP, Inc.

    601  
  25     

Host Hotels & Resorts, Inc.

    485  
  16     

Pennsylvania REIT

    154  
  9     

Regency Centers Corp.

    556  
  4     

Simon Property Group, Inc.

    638  
  6     

SL Green Realty Corp.

    537  
  4     

Taubman Centers, Inc.

    206  
  33     

Washington Prime Group, Inc.

    217  
    

 

 

 
  

Total Real Estate

    5,570  
    

 

 

 
  

Telecommunication Services — 3.0%

 

  

Diversified Telecommunication Services — 2.5%

 

  80     

AT&T, Inc.

    2,620  
  51     

Verizon Communications, Inc.

    2,537  
    

 

 

 
       5,157  
    

 

 

 
  

Wireless Telecommunication Services — 0.5%

 

  174     

Sprint Corp. (a)

    977  
    

 

 

 
  

Total Telecommunication Services

    6,134  
    

 

 

 
SHARES      SECURITY DESCRIPTION    VALUE($)  
     
     
  

Utilities — 6.6%

 

  

Electric Utilities — 3.5%

 

  7     

Duke Energy Corp.

     574  
  8     

Pinnacle West Capital Corp.

     616  
  130     

Southern Co. (The)

     5,993  
     

 

 

 
        7,183  
     

 

 

 
  

Gas Utilities — 0.4%

 

  6     

National Fuel Gas Co.

     309  
  10     

UGI Corp.

     484  
     

 

 

 
        793  
     

 

 

 
  

Multi-Utilities — 2.7%

 

  12     

CenterPoint Energy, Inc.

     304  
  16     

Consolidated Edison, Inc.

     1,264  
  32     

Dominion Energy, Inc.

     2,127  
  15     

DTE Energy Co.

     1,577  
  13     

NiSource, Inc.

     312  
     

 

 

 
        5,584  
     

 

 

 
  

Total Utilities

     13,560  
     

 

 

 
  

Total Securities Sold Short
(Proceeds $176,852)

   $ 171,816  
     

 

 

 

 

Percentages indicated are based on net assets.

 

 
Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION    NUMBER OF
CONTRACTS
    EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT ($)
    VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Short Contracts

 

S&P 500 E-Mini Index

     (10     06/2018        USD        (1,324     67  
            

 

 

 
               67  
            

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         17  


Table of Contents

J.P. Morgan Specialty Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2017 (Unaudited)

 

ADR  

—  American Depositary Receipt

REIT  

—  Real Estate Investment Trust

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

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

(h)  

—  Amount rounds to less than 500.

(j)  

—  All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral for JPMorgan Opportunistic Equity Long/Short Fund and JPMorgan Research Market Neutral Fund were approximately $41,138,000 and $31,400,000, 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 April 30, 2018.

(n)  

—  The rate shown is the effective yield as of April 30, 2018.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan

Opportunistic

Equity

Long/Short Fund

      

JPMorgan

Research

Market

Neutral Fund

 

ASSETS:

         

Investments in non-affiliates, at value

     $ 133,845        $ 173,497  

Investments in affiliates, at value

       44,833          29,706  

Deposits at broker for securities sold short

       57,456          173,809  

Receivables:

         

Investment securities sold

       16,032          5,280  

Fund shares sold

       2,841          19  

Dividends from non-affiliates

       127          252  

Dividends from affiliates

       38          50  

Variation margin on futures contracts

                12  
    

 

 

      

 

 

 

Total Assets

       255,172          382,625  
    

 

 

      

 

 

 

LIABILITIES:

         

Payables:

         

Due to custodian

                (a) 

Securities sold short, at value

       57,828          171,816  

Dividend expense to non-affiliates on securities sold short

       27          222  

Investment securities purchased

       2,330          5,387  

Fund shares redeemed

       35          111  

Accrued liabilities:

         

Investment advisory fees

       177          105  

Administration fees

       11           

Distribution fees

       14          8  

Service fees

       37          24  

Custodian and accounting fees

       15          13  

Trustees’ and Chief Compliance Officer’s fees

       1           

Other

       91          83  
    

 

 

      

 

 

 

Total Liabilities

       60,566          177,769  
    

 

 

      

 

 

 

Net Assets

     $ 194,606        $ 204,856  
    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         19  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan

Opportunistic

Equity

Long/Short Fund

      

JPMorgan

Research

Market

Neutral Fund

 

NET ASSETS:

 

Paid-in-Capital

     $ 180,711        $ 211,196  

Accumulated undistributed (distributions in excess of) net investment income

       (772        (2,987

Accumulated net realized gains (losses)

       2,430          (40,973

Net unrealized appreciation (depreciation)

       12,237          37,620  
    

 

 

      

 

 

 

Total Net Assets

     $ 194,606        $ 204,856  
    

 

 

      

 

 

 

Net Assets:

 

Class A

     $ 61,908        $ 16,338  

Class C

       2,631          7,372  

Class I

       116,834          43,387  

Class L

                137,759  

Class R2

       24           

Class R5

       24           

Class R6

       13,185           
    

 

 

      

 

 

 

Total

     $ 194,606        $ 204,856  
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

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

 

 

Class A

       3,442          1,148  

Class C

       149          554  

Class I

       6,432          2,923  

Class L

                9,100  

Class R2

       2           

Class R5

       1           

Class R6

       719           

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 17.99        $ 14.23  

Class C — Offering price per share (b)

       17.64          13.30  

Class I — Offering and redemption price per share

       18.16          14.85  

Class L — Offering and redemption price per share

                15.14  

Class R2 — Offering and redemption price per share

       17.81           

Class R5 — Offering and redemption price per share

       18.31           

Class R6 — Offering and redemption price per share

       18.34           

Class A maximum sales charge

       5.25        5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 18.99        $ 15.02  
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 123,657        $ 140,982  

Cost of investments in affiliates

       44,833          29,704  

Proceeds from securities sold short

       59,877          176,852  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

       

JPMorgan

Opportunistic

Equity

Long/Short Fund

    

JPMorgan

Research

Market

Neutral Fund

 

INVESTMENT INCOME:

       

Interest income from non-affiliates

     $ (a)     $ 2  

Interest income from non-affiliates on securities sold short

       267        1,005  

Dividend income from non-affiliates

       753        1,361  

Dividend income from affiliates

       175        233  
    

 

 

    

 

 

 

Total investment income

       1,195        2,601  
    

 

 

    

 

 

 

EXPENSES:

       

Investment advisory fees

       1,033        839  

Administration fees

       70        85  

Distribution fees:

       

Class A

       68        22  

Class C

       10        32  

Class R2

       (a)        

Service fees:

       

Class A

       68        22  

Class C

       3        10  

Class I

       135        53  

Class L

              71  

Class R2

       (a)        

Class R5

       (a)        

Custodian and accounting fees

       17        21  

Interest expense to affiliates

       1        3  

Professional fees

       39        32  

Trustees’ and Chief Compliance Officer’s fees

       13        12  

Printing and mailing costs

       17        28  

Registration and filing fees

       30        30  

Transfer agency fees (See Note 2.F.)

       2        7  

Other

       6        7  

Dividend expense to non-affiliates on securities sold short

       538        2,259  
    

 

 

    

 

 

 

Total expenses

       2,050        3,533  
    

 

 

    

 

 

 

Less fees waived

       (92      (310

Less expense reimbursements

       (a)        
    

 

 

    

 

 

 

Net expenses

       1,958        3,223  
    

 

 

    

 

 

 

Net investment income (loss)

       (763      (622
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

       

Investments in non-affiliates

       3,750        22,461  

Investments in affiliates

              (6

Options purchased

       (945       

Futures contracts

              (256

Securities sold short

       1,424        (12,094

Foreign currency transactions

              (a) 

Options written

       123         
    

 

 

    

 

 

 

Net realized gain (loss)

       4,352        10,105  
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

       

Investments in non-affiliates

       (3,546      (15,607

Investments in affiliates

              2  

Options purchased

       234         

Futures contracts

              95  

Securities sold short

       413        5,319  

Foreign currency translations

              (a) 

Options written

       (23       
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (2,922      (10,191
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       1,430        (86
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 667      $ (708
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         21  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Opportunistic Equity Long/Short Fund      JPMorgan Research Market Neutral Fund  
       

Six Months Ended

April 30, 2018

(Unaudited)

    

Year Ended

October 31, 2017

    

Six Months Ended

April 30, 2018

(Unaudited)

    

Year Ended

October 31, 2017

 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

     $ (763    $ (1,656    $ (622    $ (3,157

Net realized gain (loss)

       4,352        19,475        10,105        45,237  

Change in net unrealized appreciation/depreciation

       (2,922      5,857        (10,191      (25,539
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

       667        23,676        (708      16,541  
    

 

 

    

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

             

Class A

             

From net realized gains

       (640      (3,097      (490       

Class C

             

From net realized gains

       (37      (187      (253       

Class I

             

From net realized gains

       (1,327      (9,417      (1,120       

Class L

             

From net realized gains

                     (3,654       

Class R2

             

From net realized gains

       (a)       (2              

Class R5

             

From net realized gains

       (a)       (1              

Class R6

             

From net realized gains

       (80      (544              
    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to shareholders

       (2,084      (13,248      (5,517       
    

 

 

    

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

             

Change in net assets resulting from capital transactions

       34,602        (62,641      (8,450      (144,361
    

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS:

             

Change in net assets

       33,185        (52,213      (14,675      (127,820

Beginning of period

       161,421        213,634        219,531        347,351  
    

 

 

    

 

 

    

 

 

    

 

 

 

End of period

     $ 194,606      $ 161,421      $ 204,856      $ 219,531  
    

 

 

    

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ (772    $ (9    $ (2,987    $ (2,365
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


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

Six Months Ended

April 30, 2018

(Unaudited)

    

Year Ended

October 31, 2017

      

Six Months Ended

April 30, 2018

(Unaudited)

      

Year Ended

October 31, 2017

 

CAPITAL TRANSACTIONS:

                 

Class A

                 

Proceeds from shares issued

     $ 19,676      $ 21,397        $ 3,024        $ 2,593  

Distributions reinvested

       638        3,087          465           

Cost of shares redeemed

       (7,063      (21,283        (4,501        (11,262
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 13,251      $ 3,201        $ (1,012      $ (8,669
    

 

 

    

 

 

      

 

 

      

 

 

 

Class C

                 

Proceeds from shares issued

     $ 694      $ 407        $ 663        $ 409  

Distributions reinvested

       37        187          226           

Cost of shares redeemed

       (665      (1,426        (4,112        (5,187
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 66      $ (832      $ (3,223      $ (4,778
    

 

 

    

 

 

      

 

 

      

 

 

 

Class I

                 

Proceeds from shares issued

     $ 54,284      $ 34,015        $ 12,191        $ 7,361  

Distributions reinvested

       1,327        9,182          1,064           

Cost of shares redeemed

       (41,252      (105,645        (12,821        (19,265
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 14,359      $ (62,448      $ 434        $ (11,904
    

 

 

    

 

 

      

 

 

      

 

 

 

Class L

                 

Proceeds from shares issued

     $      $        $ 3,444        $ 11,368  

Distributions reinvested

                       3,589           

Cost of shares redeemed

                       (11,682        (130,378
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class L capital transactions

     $      $        $ (4,649      $ (119,010
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R2

                 

Distributions reinvested

       (a)       2                    
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ (a)     $ 2        $        $  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R5

                 

Distributions reinvested

       (a)       1                    
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ (a)     $ 1        $        $  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R6

                 

Proceeds from shares issued

     $ 7,252      $ 605        $        $  

Distributions reinvested

       80        544                    

Cost of shares redeemed

       (406      (3,714                  
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 6,926      $ (2,565      $        $  
    

 

 

    

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 34,602      $ (62,641      $ (8,450      $ (144,361
    

 

 

    

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         23  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Opportunistic Equity Long/Short Fund      JPMorgan Research Market Neutral Fund  
       

Six Months Ended

April 30, 2018

(Unaudited)

    

Year Ended

October 31, 2017

    

Six Months Ended

April 30, 2018

(Unaudited)

      

Year Ended

October 31, 2017

 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       1,070        1,199        210          180  

Reinvested

       36        178        33           

Redeemed

       (386      (1,184      (315        (795
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class A Shares

       720        193        (72        (615
    

 

 

    

 

 

    

 

 

      

 

 

 

Class C

 

Issued

       38        24        49          30  

Reinvested

       2        11        17           

Redeemed

       (37      (82      (304        (387
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class C Shares

       3        (47      (238        (357
    

 

 

    

 

 

    

 

 

      

 

 

 

Class I

 

Issued

       2,943        1,859        822          494  

Reinvested

       73        524        72           

Redeemed

       (2,223      (5,957      (862        (1,306
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class I Shares

       793        (3,574      32          (812
    

 

 

    

 

 

    

 

 

      

 

 

 

Class L

 

Issued

                     226          761  

Reinvested

                     240           

Redeemed

                     (768        (8,719
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class L Shares

                     (302        (7,958
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R2

 

Issued

       1                         

Reinvested

       (a)       (a)                 
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R2 Shares

       1        (a)                 
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R5

 

Reinvested

       (a)       (a)                 
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R5 Shares

       (a)       (a)                 
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R6

 

Issued

       393        33                  

Reinvested

       4        31                  

Redeemed

       (22      (207                
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R6 Shares

       375        (143                
    

 

 

    

 

 

    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         25  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

 

                                    Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
           
    
    
Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
      

Net

realized

gain

 

JPMorgan Opportunistic Equity Long/Short Fund

 

Class A

 

Six Months Ended April 30, 2018 (Unaudited)

     $ 18.13        $ (0.10      $ 0.19        $ 0.09        $ (0.23

Year Ended October 31, 2017

       17.12          (0.19        2.46          2.27          (1.26

Year Ended October 31, 2016

       17.37          (0.16        0.07          (0.09        (0.16

Year Ended October 31, 2015

       15.75          (0.25        1.93          1.68          (0.06

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

       15.00          (0.06        0.81          0.75           

Class C

 

Six Months Ended April 30, 2018 (Unaudited)

       17.83          (0.14        0.18          0.04          (0.23

Year Ended October 31, 2017

       16.94          (0.27        2.42          2.15          (1.26

Year Ended October 31, 2016

       17.27          (0.24        0.07          (0.17        (0.16

Year Ended October 31, 2015

       15.73          (0.37        1.97          1.60          (0.06

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

       15.00          (0.07        0.80          0.73           

Class I

 

Six Months Ended April 30, 2018 (Unaudited)

       18.28          (0.07        0.18          0.11          (0.23

Year Ended October 31, 2017

       17.21          (0.14        2.47          2.33          (1.26

Year Ended October 31, 2016

       17.42          (0.12        0.07          (0.05        (0.16

Year Ended October 31, 2015

       15.75          (0.26        1.99          1.73          (0.06

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

       15.00          (0.05        0.80          0.75           

Class R2

 

Six Months Ended April 30, 2018 (Unaudited)

       17.98          (0.12        0.18          0.06          (0.23

Year Ended October 31, 2017

       17.03          (0.23        2.44          2.21          (1.26

Year Ended October 31, 2016

       17.32          (0.20        0.07          (0.13        (0.16

Year Ended October 31, 2015

       15.74          (0.35        1.99          1.64          (0.06

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

       15.00          (0.06        0.80          0.74           

Class R5

 

Six Months Ended April 30, 2018 (Unaudited)

       18.41          (0.06        0.19          0.13          (0.23

Year Ended October 31, 2017

       17.29          (0.11        2.49          2.38          (1.26

Year Ended October 31, 2016

       17.47          (0.08        0.06          (0.02        (0.16

Year Ended October 31, 2015

       15.76          (0.23        2.00          1.77          (0.06

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

       15.00          (0.04        0.80          0.76           

Class R6

 

Six Months Ended April 30, 2018 (Unaudited)

       18.44          (0.05        0.18          0.13          (0.23

Year Ended October 31, 2017

       17.31          (0.10        2.49          2.39          (1.26

Year Ended October 31, 2016

       17.48          (0.08        0.07          (0.01        (0.16

Year Ended October 31, 2015

       15.76          (0.23        2.01          1.78          (0.06

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

       15.00          (0.04        0.80          0.76           

 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.83% and 1.93% for the period ended April 30, 2018, 1.83% and 2.02% for the year ended October 31, 2017, 1.80% and 2.07% for the year ended October 31, 2016, 1.81% and 2.20% for the year ended October 31, 2015 and 2.00% and 11.67% for the period ended October 31, 2014; for Class C are 2.32% and 2.43% for the period ended April 30, 2018, 2.31% and 2.52% for the year ended October 31, 2017, 2.29% and 2.52% for the year ended October 31, 2016, 2.39% and 3.18% for the year ended October 31. 2015 and 2.50% and 12.17% for the period ended October 31, 2014; for Class I are 1.57% and 1.68% for the period ended April 30, 2018, 1.56% and 1.73% for the year ended October 31, 2017, 1.54% and 1.71% for the year ended October 31, 2016, 1.66% and 2.20% for the year ended October 31, 2015 and 1.75% and 11.42% for the period ended October 31, 2014; for Class R2 are 2.07% and 2.42% for the period ended April 30, 2018, 2.07% and 3.55% for the year ended October 31, 2017, 2.05% and 4.35% for the year ended October 31, 2016, 2.21% and 4.13% for the year ended October 31, 2015 and 2.25% and 11.92% for the period ended October 31, 2014; for Class R5 are 1.38% and 1.78% for the period ended April 30, 2018, 1.37% and 2.84% for the year ended October 31, 2017, 1.35% and 3.70% for the year ended October 31, 2016, 1.52% and 3.43% for the year ended October 31, 2015 and 1.55% and 11.22% for the period ended October 31, 2014; for Class R6 are 1.31% and 1.42% for the period ended April 30, 2018, 1.31% and 1.47% for the year ended October 31, 2017, 1.29% and 1.60% for the year ended October 31, 2016, 1.47% and 3.39% for the year ended October 31, 2015 and 1.50% and 11.17% for the period ended October 31, 2014, respectively.
(f) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(g) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2015 and period ended October 31, 2014.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)              
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000's)
    Net expenses
(including
dividend and
interest
expense for
securities  sold
short) (e)(f)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
including dividend
and interest expense
for securities sold
short) (e)
    Portfolio
turnover
rate (c)
    Portfolio
turnover rate
(including
securities sold
short) (c)
 
             
             
$ 17.99       0.51   $ 61,908       2.46     (1.07 )%      2.56     311     529
  18.13       13.58       49,338       2.42       (1.05     2.61       493       795  
  17.12       (0.53     43,298       2.26       (0.96     2.53       463       749  
  17.37       10.74       30,480       2.38 (g)      (1.70 )(g)      2.77 (g)      347       734  
  15.75       5.00       52       2.65 (g)      (2.24 )(g)      12.33 (g)      94       178  
  17.64       0.24       2,631       2.95       (1.54     3.06       311       529  
  17.83       13.00       2,594       2.90       (1.53     3.11       493       795  
  16.94       (1.00     3,273       2.75       (1.46     2.98       463       749  
  17.27       10.25       823       2.96 (g)      (2.17 )(g)      3.75 (g)      347       734  
  15.73       4.87       52       3.15 (g)      (2.74 )(g)      12.82 (g)      94       178  
  18.16       0.62       116,834       2.20       (0.81     2.31       311       529  
  18.28       13.86       103,091       2.15       (0.81     2.32       493       795  
  17.21       (0.29     158,589       2.00       (0.69     2.17       463       749  
  17.42       11.06       116,091       2.23 (g)      (1.53 )(g)      2.77 (g)      347       734  
  15.75       5.00       4,989       2.40 (g)      (1.99 )(g)      12.07 (g)      94       178  
  17.81       0.35       24       2.70       (1.30     3.05       311       529  
  17.98       13.29       24       2.66       (1.30     4.14       493       795  
  17.03       (0.76     21       2.51       (1.18     4.81       463       749  
  17.32       10.49       21       2.78 (g)      (2.01 )(g)      4.70 (g)      347       734  
  15.74       4.93       52       2.90 (g)      (2.49 )(g)      12.57 (g)      94       178  
  18.31       0.72       24       2.01       (0.61     2.41       311       529  
  18.41       14.08       24       1.96       (0.60     3.43       493       795  
  17.29       (0.12     21       1.81       (0.48     4.16       463       749  
  17.47       11.31       21       2.09 (g)      (1.32 )(g)      4.00 (g)      347       734  
  15.76       5.07       53       2.20 (g)      (1.79 )(g)      11.88 (g)      94       178  
  18.34       0.72       13,185       1.94       (0.57     2.05       311       529  
  18.44       14.13       6,350       1.90       (0.56     2.06       493       795  
  17.31       (0.06     8,432       1.75       (0.45     2.06       463       749  
  17.48       11.37       21       2.04 (g)      (1.27 )(g)      3.96 (g)      347       734  
  15.76       5.07       53       2.15 (g)      (1.74 )(g)      11.82 (g)      94       178  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         27  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

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

Net realized
and unrealized
gains
(losses) on
investments

       Total from
investment
operations
      

Net

realized

gain

 

JPMorgan Research Market Neutral Fund

                        

Class A

                        

Six Months Ended April 30, 2018 (Unaudited)

     $ 14.69        $ (0.06      $ (0.01      $ (0.07      $ (0.39

Year Ended October 31, 2017

       13.84          (0.22        1.07          0.85           

Year Ended October 31, 2016

       14.25          (0.28        (0.13        (0.41         

Year Ended October 31, 2015

       15.17          (0.31        (0.22        (0.53        (0.39

Year Ended October 31, 2014

       14.58          (0.34        0.93          0.59           

Year Ended October 31, 2013

       14.44          (0.35        0.49          0.14           

Class C

                        

Six Months Ended April 30, 2018 (Unaudited)

       13.79          (0.09        (0.01        (0.10        (0.39

Year Ended October 31, 2017

       13.06          (0.27        1.00          0.73           

Year Ended October 31, 2016

       13.51          (0.32        (0.13        (0.45         

Year Ended October 31, 2015

       14.48          (0.35        (0.23        (0.58        (0.39

Year Ended October 31, 2014

       13.99          (0.39        0.88          0.49           

Year Ended October 31, 2013

       13.91          (0.41        0.49          0.08           

Class I

                        

Six Months Ended April 30, 2018 (Unaudited)

       15.30          (0.05        (0.01        (0.06        (0.39

Year Ended October 31, 2017

       14.37          (0.18        1.11          0.93           

Year Ended October 31, 2016

       14.76          (0.25        (0.14        (0.39         

Year Ended October 31, 2015

       15.66          (0.26        (0.25        (0.51        (0.39

Year Ended October 31, 2014

       15.02          (0.31        0.95          0.64           

Year Ended October 31, 2013

       14.83          (0.32        0.51          0.19           

Class L

 

Six Months Ended April 30, 2018 (Unaudited)

       15.58          (0.04        (0.01        (0.05        (0.39

Year Ended October 31, 2017

       14.62          (0.17        1.13          0.96           

Year Ended October 31, 2016

       14.99          (0.23        (0.14        (0.37         

Year Ended October 31, 2015

       15.87          (0.23        (0.26        (0.49        (0.39

Year Ended October 31, 2014

       15.17          (0.27        0.97          0.70           

Year Ended October 31, 2013

       14.95          (0.29        0.51          0.22           

 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.22% and 1.56% for the period ended April 30, 2018, 1.24% and 1.53% for the year ended October 31, 2017, 1.22% and 1.53% for the year ended October 31, 2016, 1.43% and 1.89% for the year ended October 31, 2015, 1.49% and 1.91% for the year ended October 31, 2014 and 1.49% and 1.93% for the year ended October 31, 2013; for Class C are 1.73% and 2.03% for the period ended April 30, 2018, 1.72% and 2.07% for the year ended October 31, 2017, 1.72% and 2.02% for the year ended October 31, 2016, 1.90% and 2.32% for the year ended October 31, 2015, 1.99% and 2.41% for the year ended October 31, 2014 and 1.99% and 2.43% for the year ended October 31, 2013; for Class I are 0.96% and 1.26% for the period ended April 30, 2018, 0.95% and 1.26% for the year ended October 31, 2017, 0.96% and 1.27% for the year ended October 31, 2016, 1.18% and 1.57% for the year ended October 31, 2015, 1.25% and 1.66% for the year ended October 31, 2014 and 1.24% and 1.66% for the year ended October 31, 2013; for Class L are 0.82% and 1.11% for the period ended April 30, 2018, 0.84% and 1.10% for the year ended October 31, 2017, 0.81% and 1.06% for the year ended October 31, 2016, 0.95% and 1.44% for the year ended October 31, 2015, 0.99% and 1.51% for the year ended October 31, 2014 and 0.99% and 1.53% for the year ended October 31, 2013, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)              
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000's)
    Net expenses
(including
dividend and
interest
expense for
securities  sold
short) (e)(f)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
(including dividend
and interest expense
for securities sold
short) (f)
    Portfolio
turnover rate
(excluding
securities sold
short) (c)
    Portfolio
turnover rate
(including short
sales) (c)
 
             
             
$ 14.23       (0.43 )%    $ 16,338       3.37     (0.88 )%      3.71     68     133
  14.69       6.14       17,932       3.66       (1.51     3.95       109       278  
  13.84       (2.88     25,393       3.33       (2.07     3.64       133       298  
  14.25       (3.59     62,910       3.57       (1.94     4.03       163       370  
  15.17       4.05       82,477       3.82       (2.26     4.24       90       192  
  14.58       0.97       88,944       4.24       (2.42     4.68       75       149  
             
  13.30       (0.68     7,372       3.88       (1.39     4.18       68       133  
  13.79       5.59       10,920       4.14       (2.01     4.49       109       278  
  13.06       (3.33     15,003       3.83       (2.53     4.13       133       298  
  13.51       (4.12     23,790       4.04       (2.63     4.46       163       370  
  14.48       3.50       10,933       4.32       (2.76     4.74       90       192  
  13.99       0.58       14,209       4.74       (2.92     5.18       75       149  
  14.85       (0.34     43,387       3.11       (0.63     3.41       68       133  
  15.30       6.47       44,219       3.37       (1.24     3.68       109       278  
  14.37       (2.64     53,221       3.07       (1.82     3.38       133       298  
  14.76       (3.34     337,990       3.32       (1.74     3.71       163       370  
  15.66       4.26       348,525       3.57       (2.01     3.99       90       192  
  15.02       1.28       292,993       3.99       (2.15     4.43       75       149  
  15.14       (0.27     137,759       2.97       (0.49     3.26       68       133  
  15.58       6.57       146,460       3.26       (1.13     3.52       109       278  
  14.62       (2.47     253,734       2.92       (1.61     3.17       133       298  
  14.99       (3.17     232,339       3.09       (1.48     3.58       163       370  
  15.87       4.61       271,595       3.32       (1.76     3.84       90       192  
  15.17       1.47       316,843       3.74       (1.91     4.28       75       149  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SPECIALTY FUNDS         29  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

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

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Opportunistic Equity Long/Short Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    Non-Diversified
JPMorgan Research Market Neutral Fund    Class A, Class C, Class I and Class L    Diversified

 

The investment objective of JPMorgan Opportunistic Equity Long/Short Fund (“Opportunistic Equity Long/Short Fund”) is to seek capital appreciation.

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

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

Class L Shares of the Research Market Neutral Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectus.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

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

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

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

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

 

 
30       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


Table of Contents

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

 

 

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

 

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

 

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

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

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

Opportunistic Equity Long/Short Fund

 

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

Total Investments in Securities (a)

   $ 178,678     $      $      $ 178,678  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities for Securities Sold Short (a)

   $ (57,828   $      $      $ (57,828
  

 

 

   

 

 

    

 

 

    

 

 

 

Research Market Neutral Fund

 

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

Total Investments in Securities (b)

   $ 202,974     $ 229      $      $ 203,203  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities for Securities Sold Short (a)

   $ (171,816   $      $      $ (171,816
  

 

 

   

 

 

    

 

 

    

 

 

 

Appreciation in Other Financial Instruments

 

Futures Contracts (a)

   $ 67     $      $      $ 67  
  

 

 

   

 

 

    

 

 

    

 

 

 

 

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

There were no transfers among any levels during the six months ended April 30, 2018.

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

Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/ depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or 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 included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

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

The table below discloses the volume of the Fund’s options contracts activity during the six months ended April 30, 2018:

 

      Opportunistic
Equity
Long/Short
Fund
 

Exchange-Traded Options:

  

Average Number of Contracts Purchased

   $ 1,722 (a) 

Average Number of Contracts Written

     117 (b) 

 

(a) For the period November 1, 2017 through January 31, 2018.
(b) For the period November 1, 2017 through December 31, 2017.

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

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

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

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

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

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

As of April 30, 2018, the Funds had outstanding short sales as listed on their SOIs.

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

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of

 

 
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trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the six months ended April 30, 2018 (amounts in thousands):

 

      Research Market
Neutral Fund
 

Futures Contracts:

  

Average Notional Balance Short

   $ 2,507  

Ending Notional Balance Short

     1,324  

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

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

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

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

Transfer agency fees are class-specific expenses.

The amount of the transfer agency and sub-transfer agency fees charged to each class of the Funds for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

      Class A     Class C     Class I      Class L      R2     R5     R6     Total  

Opportunistic Equity Long/Short Fund

                  

Transfer agency fees

   $  — (a)    $  — (a)    $ 2        n/a      $  — (a)    $  — (a)    $  — (a)    $ 2  

Research Market Neutral Fund

                  

Transfer agency fees

     4       1       1      $ 1        n/a       n/a       n/a       7  

 

(a) Amount rounds to less than 500.

G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

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

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

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

3. Fees and Other Transactions with Affiliates

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

 

Opportunistic Equity Long/Short Fund

     1.20

Research Market Neutral Fund

     0.80  

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018 the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class I, Class L, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2  

Opportunistic Equity Long/Short Fund

       0.25        0.75        0.50

Research Market Neutral Fund

       0.25          0.75          n/a  

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Opportunistic Equity Long/Short Fund

   $ 2        $  —  

Research Market Neutral Fund

     (a)          

 

(a) Amount rounds to less than 500.

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

 

      Class A      Class C      Class I      Class L      Class R2        Class R5  

Opportunistic Equity Long/Short Fund

     0.25      0.25      0.25      n/a        0.25        0.10

Research Market Neutral Fund

     0.25        0.25        0.25        0.10      n/a          n/a  

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

JPMDS waived service fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expense. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

 

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

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

 

      Class A      Class C      Class I      Class L      Class R2      Class R5      Class R6  

Opportunistic Equity Long/Short Fund

     1.85      2.35      1.60      n/a        2.10      1.40      1.35

Research Market Neutral Fund

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

The expense limitation agreements were in effect for the six months ended April 30, 2018 and are in place until at least February 28, 2019.

For the six months ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

     Contractual Waivers         
      Investment
Advisory
Fees
     Administration
Fees
     Service
Fees
     Total      Contractual
Reimbursements
 

Opportunistic Equity Long/Short Fund

   $ 39      $ 26      $ 1      $ 66      $  — (a) 

Research Market Neutral Fund

     185        85        7        277         

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund.

The amounts of these waivers/reimbursements resulting from investments in these money market funds for the six months ended April 30, 2018 were as follows (amounts in thousands):

 

Opportunistic Equity Long/Short Fund

   $ 26  

Research Market Neutral Fund

     33  

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

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

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

The Funds may use related party broker-dealers. For the six months ended April 30, 2018, the Funds did not incur any brokerage commissions with broker dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

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

Opportunistic Equity Long/Short Fund

     $ 430,797        $ 437,671        $ 320,839        $ 301,419  

Research Market Neutral Fund

       122,022          136,201          104,643          115,308  

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost*
     Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Opportunistic Equity Long/Short Fund

     $ 108,613      $ 13,183        $ 946        $ 12,237  

Research Market Neutral Fund

       (6,166      49,767          12,147          37,620  

 

* The tax cost includes the proceeds from short sales which may result in a net negative cost.

As of October 31, 2017, the following Fund had net capital loss carryforwards as follows (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term      Long-Term  

Research Market Neutral Fund

     38,285    $  

 

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

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

 

 
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As of April 30, 2018, the Funds had individual shareholder accounts and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of Individual
Non-affiliated
Shareholder
Accounts and/or
Non-affiliated
Omnibus Accounts
     % of
the
Fund
 

JPMorgan Opportunistic Equity Long/Short Fund

     3        45.1

JPMorgan Research Market Neutral Fund

     1        11.0  

The J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate 52.4% of the net assets of the Research Market Neutral Fund.

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

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

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

As of April 30, 2018, the Research Market Neutral Fund pledged substantially all of its assets to Citibank for securities sold short. For the Research Market Neutral Fund, deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citibank. The Opportunistic Equity Long/Short Fund pledged substantially all of its assets to Citigroup Global Markets, Inc. for securities sold short. For the Opportunistic Equity Long/Short Fund, deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citigroup Global Markets, Inc.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

       

Beginning
Account Value
November 1, 2017

      

Ending
Account Value
April 30, 2018

      

Expenses
Paid During
the Period
*

      

Annualized
Expense
Ratio

 

Opportunistic Equity Long/Short Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 1,005.10        $ 12.23          2.46

Hypothetical

       1,000.00          1,012.60          12.28          2.46  

Class C

                   

Actual

       1,000.00          1,002.40          14.65          2.95  

Hypothetical

       1,000.00          1,010.17          14.70          2.95  

Class I

                   

Actual

       1,000.00          1,006.20          10.94          2.20  

Hypothetical

       1,000.00          1,013.88          10.99          2.20  

Class R2

                   

Actual

       1,000.00          1,003.50          13.41          2.70  

Hypothetical

       1,000.00          1,011.41          13.47          2.70  

Class R5

                   

Actual

       1,000.00          1,007.20          10.00          2.01  

Hypothetical

       1,000.00          1,014.83          10.04          2.01  

Class R6

                   

Actual

       1,000.00          1,007.20          9.65          1.94  

Hypothetical

       1,000.00          1,015.17          9.69          1.94  

Research Market Neutral Fund

                   

Class A

                   

Actual

       1,000.00          995.70          16.68          3.37  

Hypothetical

       1,000.00          1,008.08          16.78          3.37  

Class C

                   

Actual

       1,000.00          993.20          19.18          3.88  

Hypothetical

       1,000.00          1,005.55          19.29          3.88  

Class I

                   

Actual

       1,000.00          996.60          15.40          3.11  

Hypothetical

       1,000.00          1,009.37          15.49          3.11  

Class L

                   

Actual

       1,000.00          997.30          14.67          2.97  

Hypothetical

       1,000.00          1,010.04          14.76          2.97  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
38       J.P. MORGAN SPECIALTY FUNDS   APRIL 30, 2018


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. April 2018.   SAN-SPEC-418


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Semi-Annual Report

J.P. Morgan International Equity Funds

April 30, 2018 (Unaudited)

JPMorgan Emerging Economies Fund

JPMorgan Emerging Markets Equity Fund

JPMorgan Global Research Enhanced Index Fund

JPMorgan Global Unconstrained Equity Fund

JPMorgan International Equity Fund

JPMorgan International Equity Income Fund

JPMorgan International Research Enhanced Equity Fund

JPMorgan International Unconstrained Equity Fund

JPMorgan International Value Fund

JPMorgan Intrepid International Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Emerging Economies Fund

       3  

JPMorgan Emerging Markets Equity Fund

       6  

JPMorgan Global Research Enhanced Index Fund

       10  

JPMorgan Global Unconstrained Equity Fund

       12  

JPMorgan International Equity Fund

       14  

JPMorgan International Equity Income Fund

       16  

JPMorgan International Research Enhanced Equity Fund

       20  

JPMorgan International Unconstrained Equity Fund

       22  

JPMorgan International Value Fund

       25  

JPMorgan Intrepid International Fund

       28  
Schedules of Portfolio Investments        30  
Financial Statements        64  
Financial Highlights        88  
Notes to Financial Statements        108  
Schedule of Shareholder Expenses        132  

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

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

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


Table of Contents

CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         1  


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J.P. Morgan International Equity Funds

MARKET OVERVIEW

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by an upward spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

For the six months ended April 30, 2018, the MSCI Europe Australasia and Far East Index (net of foreign withholding taxes) returned 3.41% and the MSCI Emerging Markets Index (net of foreign withholding taxes) returned 4.80%.

 

 
2       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


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JPMorgan Emerging Economies Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      1.60%  
Morgan Stanley Capital International (“MSCI”) Emerging Markets Index (net of foreign withholding taxes)      4.80%  
Net Assets as of 4/30/2018 (In Thousands)      $2,084,791  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

The Fund’s security selection in the information technology and energy sectors was a leading detractor from performance relative to the Benchmark. The Fund’s overweight position in the materials sector and its underweight position in the consumer discretionary sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Merry Electronics Co., General Interface Solution Holding Ltd. and Guangzhou Automobile Group Co. Shares of Merry Electronics, a Taiwan maker of headsets, headphones, earphones and audio speakers, fell after the company forecast a drop in revenue amid soft demand for consumer electronics. Shares of General Interface Solution Holding, the Taiwan touch-screen manufacturing unit of Hon Hai Precision Industry Co., fell after the company reported declining revenue. Shares of Guangzhou Automobile Group, a China auto manufacturer, fell amid investor concerns about potential U.S. trade tariffs.

Leading individual contributors to relative performance included the Fund’s overweight positions in Yageo Corp., Standard Bank Group Ltd. and PTT Public Co. Shares of Yageo, a Taiwan manufacturer of electronics components, rose amid a reduction in output from its competitors in China and Japan. Shares of Standard Bank Group, a South African bank, rose after the company reported growth in earnings for the year ended December 31, 2017. Shares of PTT Public, a Thailand petroleum company, rose as global energy prices rebounded during the period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers used a combination of top-down and bottom-up research, seeking what they believed to be attractively priced countries, sectors and securities with positive catalysts. As a result of this process, the Fund’s largest overweight positions relative to the Benchmark during the six months ended April 30, 2018, were in Russia and Turkey and its largest underweight positions were in South African and India. From a sector perspective, the Fund’s largest overweight allocations relative to the Benchmark were in the materials and financials sectors, while its largest underweight positions were in the consumer staples and consumer discretionary sectors.

 

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

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         3  


Table of Contents

JPMorgan Emerging Economies Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Tencent Holdings Ltd. (China)

     4.7
  2.     

Samsung Electronics Co. Ltd. (South Korea)

     3.7  
  3.     

Alibaba Group Holding Ltd., ADR (China)

     2.5  
  4.     

Industrial & Commercial Bank of China Ltd., Class H (China)

     2.4  
  5.     

China Construction Bank Corp., Class H (China)

     2.0  
  6.     

Itau Unibanco Holding SA, ADR (Brazil)

     1.8  
  7.     

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

     1.4  
  8.     

LG Electronics, Inc. (South Korea)

     1.4  
  9.     

Vale SA, ADR (Brazil)

     1.4  
  10.     

China Merchants Bank Co. Ltd., Class H (China)

     1.3  

PORTFOLIO COMPOSITION BY COUNTRY***

 

China

     25.5

South Korea

     16.9  

Taiwan

     10.6  

Brazil

     9.8  

Russia

     7.5  

Thailand

     4.0  

Turkey

     3.7  

Malaysia

     2.5  

Hong Kong

     2.4  

India

     2.4  

South Africa

     1.7  

Hungary

     1.7  

Indonesia

     1.2  

Panama

     1.2  

Singapore

     1.1  

United States

     1.1  

Others (each less than 1.0%)

     3.3  

Short-Term Investment

     3.4  

 

***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


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AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2008                    

With Sales Charge**

          (3.89 )%         12.11        1.53        0.72

Without Sales Charge

          1.46        18.33        2.63        1.26

CLASS C SHARES

   February 28, 2008                    

With CDSC***

          0.23        16.68        2.13        0.75

Without CDSC

          1.23        17.68        2.13        0.75

CLASS I SHARES

   February 28, 2008        1.60        18.60        2.88        1.51

CLASS R5 SHARES

   February 28, 2008        1.59        18.77        3.07        1.71

CLASS R6 SHARES

   September 1, 2015        1.68        18.87        3.11        1.73

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Emerging Economies Fund, the MSCI Emerging Markets Index and the Lipper Emerging Markets Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper Emerging Markets Funds Index includes expenses associated with a mutual fund, such as investment management fees. These

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

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         5  


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JPMorgan Emerging Markets Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      3.06%  
Morgan Stanley Capital International (“MSCI”) Emerging Markets Index (net of foreign withholding taxes)      4.80%  
Net Assets as of 4/30/2018 (In Thousands)      $5,088,421  

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return.

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

The Fund’s Class L Shares underperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

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

By country, the Fund’s security selection in Brazil and Russia was a leading detractor from relative performance, while the Fund’s security selection South Africa and India was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Largan Precision Co., Kroton Educacional SA and Magnit PJSC. Shares of Largan Precision, a Taiwan maker of optical lenses for mobile devices and computers, fell as demand for new smartphones receded during the reporting period. Shares of Kroton Educacional, a Brazilian educational services provider, fell amid investor concerns about the company’s debt load following several corporate acquisitions. Shares of Magnit, a Russian operator of retail stores, fell on weak sales growth.

Leading individual contributors to relative performance included the Fund’s overweight positions in AIA Group Ltd.,

Bidvest Group Ltd. and MercadoLibre Inc. Shares of AIA Group, a Hong Kong life insurer, rose after the company reported better-than-expected earnings for its latest fiscal year. Shares of Bidvest Group, a South African conglomerate, rose after the company reported earnings and revenue growth for the first half of its fiscal year. Shares of MercadoLibre, an online commerce platform provider based in Argentina, rose after the company reported earnings growth for the fourth quarter and full year 2017.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed an active strategy in which portfolio construction was focused on the highest-conviction ideas found at the security level. The Fund’s portfolio managers used bottom-up fundamental research to determine the Fund’s security weightings, researching companies in an attempt to determine their underlying value and potential for future earnings growth. As a result of this process, the Fund’s largest sector positions during the reporting period were in the financials, information technology and consumer discretionary sectors, while the Fund’s smallest sector positions were in the utilities, materials and energy sectors. The Fund’s largest country positions were in China, India and Brazil and its smallest positions were in Saudi Arabia, Turkey and Papua New Guinea.

 

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

 

 
6       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Tencent Holdings Ltd. (China)      6.3
  2.      Samsung Electronics Co. Ltd. (South Korea)      5.2  
  3.      AIA Group Ltd. (Hong Kong)      5.0  
  4.      Alibaba Group Holding Ltd., ADR (China)      4.5  
  5.      Housing Development Finance Corp. Ltd. (India)      4.1  
  6.      Ping An Insurance Group Co. of China Ltd., Class H (China)      4.0  
  7.      Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)      3.6  
  8.      Sberbank of Russia PJSC (Russia)      3.0  
  9.      MercadoLibre, Inc. (Argentina)      2.9  
  10.      Tata Consultancy Services Ltd. (India)      2.6  

PORTFOLIO COMPOSITION BY COUNTRY***

 
China      25.8
India      18.4
Brazil      7.9
South Korea      6.9
Hong Kong      6.9
Taiwan      6.0
South Africa      5.9
Russia      3.7
Mexico      3.6
Argentina      2.9
Indonesia      2.3
United States      1.7
Peru      1.4
Others (each less than 1.0%)      4.4  
Short-Term Investment      2.2  

 

***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         7  


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JPMorgan Emerging Markets Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   September 28, 2001                    

With Sales Charge**

          (2.54 )%         12.81 %        3.18        1.57

Without Sales Charge

          2.87        19.06        4.30        2.12

CLASS C SHARES

   February 28, 2006                    

With CDSC***

          1.58        17.45        3.77        1.61

Without CDSC

          2.58        18.45        3.77        1.61

CLASS I SHARES

   September 10, 2001        2.99        19.37        4.55        2.37

CLASS L SHARES

   November 15, 1993        3.06        19.55        4.70        2.53

CLASS R2 SHARES

   July 31, 2017        2.67        18.71        4.18        2.06

CLASS R3 SHARES

   July 31, 2017        2.85        19.03        4.29        2.12

CLASS R4 SHARES

   July 31, 2017        2.95        19.32        4.54        2.37

CLASS R5 SHARES

   September 9, 2016        3.03        19.53        4.71        2.53

CLASS R6 SHARES

   December 23, 2013        3.11        19.63        4.79        2.58

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 to 4/30/18)

 

 

LOGO

 

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

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

Returns shown for Class R2 Shares and Class R3 Shares prior to their inception are based on the performance of Class A Shares. The actual returns of Class R2 Shares and Class R3 Shares would have been lower than those shown because Class R2 Shares and Class R3 Shares have higher expenses than Class A Shares.

Returns for Class R4 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower than those shown because Class R4 Shares have higher expenses than Class I Shares.

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Emerging Markets Equity Fund, the MSCI Emerging Markets Index and the Lipper Emerging Markets Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper Emerging Markets Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. The Lipper Emerging Markets Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

 

 

 
8       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

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

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation

policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         9  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class I Shares)*

     2.68%  

Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)

     3.40%  

Net Assets as of 4/30/2018 (In Thousands)

     $8,317,057  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the telecommunications and basic industries sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and technology-software sectors was a leading contributor to relative performance. By region, the Fund’s security selection in North America was a leading detractor from relative performance, while the Fund’s security selection in Japan was a modest contributor to relative performance.

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

HOW WAS THE FUND POSITIONED?

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

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Apple, Inc. (United States)      2.1
  2.      Microsoft Corp. (United States)      2.0  
  3.      Amazon.com, Inc. (United States)      1.9  
  4.      Bank of America Corp. (United States)      1.0  
  5.      Alphabet, Inc., Class C (United States)      1.0  
  6.      Facebook, Inc., Class A (United States)      1.0  
  7.      Visa, Inc., Class A (United States)      0.9  
  8.      UnitedHealth Group, Inc. (United States)      0.9  
  9.      Alphabet, Inc., Class A (United States)      0.8  
  10.      Johnson & Johnson (United States)      0.8  

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States      58.5
Japan      8.6  
United Kingdom      5.8  
France      4.5  
Germany      3.2  
Canada      3.2  
Switzerland      2.9  
Australia      2.5  
Netherlands      2.2  
Hong Kong      1.2  
Spain      1.1  
Others (each less than 1.0%)      4.2  
Short-Term Investment      2.1  

 

1   

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

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
10       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
   

INCEPTION DATE OF

CLASS

     6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS I SHARES

  February 28, 2013        2.68        12.26        9.45        10.22

CLASS R6 SHARES

  November 1, 2017        2.74        12.32        9.46        10.23

 

*   Not annualized.

LIFE OF FUND PERFORMANCE (2/28/13 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on February 28, 2013.

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Global Research Enhanced Index Fund, the MSCI World Index and the Lipper Global Large-Cap Core Funds Index from February 28, 2013 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI World Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Global Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Lipper Global Large-Cap Core Funds Index is an index based on the total returns of certain mutuals funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these

waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         11  


Table of Contents

JPMorgan Global Unconstrained Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class I Shares)*

     2.79%  

Morgan Stanley Capital International (“MSCI”) All Country World Index (net of foreign withholding taxes)

     3.56%  

Net Assets as of 4/30/2018 (In Thousands)

     $5,164  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the MSCI All Country World Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the information technology and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and industrials sectors was a leading positive contributor to performance.

By region, the Fund’s security selection in the U.K. and select emerging market nations was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the Pacific, excluding Japan, and Continental Europe was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Altice NV, Comcast Corp. and Renesas Electronics Corp. Shares of Altice, a Netherlands telecommunications and media company, fell amid investor concerns about the company’s high debt level and weak results for the third quarter of 2017. Shares of Comcast, a cable TV operator, fell amid the company’s bid to acquire 21st Century Fox. Shares of Renesas Electronics, a Japanese semiconductor manufacturer, fell amid investor concerns about rising inventory, particularly in the automotive sector.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Pioneer Natural Resources Co., DBS Group Holdings Ltd. and Amazon.com Inc. Shares of Pioneer Natural Resources, an oil producer, rose after the company reported better-than-expected earnings and raised its dividend. Shares of DBS Group Holdings, a Singapore financial services company, rose after the company forecast earnings growth and reported growth in loans. Shares of Amazon.com, a provider of online retail shopping and services, rose amid continued growth in earnings and revenue.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers and analyst team conducted bottom-up fundamental research to construct a global portfolio

of what they believed were undervalued companies, characterized by sustainability of earnings, strong free cash flow and the ability to increase earnings faster than their sector peers.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Alphabet, Inc., Class C (United States)     
4.1

  2.      Pioneer Natural Resources Co. (United States)     
3.7
 
  3.      HDFC Bank Ltd., ADR (India)     
3.5
 
  4.      Citigroup, Inc. (United States)     
3.3
 
  5.      Amazon.com, Inc. (United States)     
3.2
 
  6.      Comcast Corp., Class A (United States)     
2.5
 
  7.      Linde AG (Germany)     
2.4
 
  8.      Safran SA (France)     
2.4
 
  9.      Erste Group Bank AG (Austria)     
2.4
 
  10.      GlaxoSmithKline plc (United Kingdom)     
2.3
 

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States     
47.6

France     
6.4

United Kingdom     
6.3

China     
5.5

Germany     
4.2

Japan     
4.2

India     
3.5

Switzerland     
3.4

Austria     
3.4

Singapore     
2.2

Hong Kong     
2.2

Canada     
2.1

Thailand     
2.0

South Africa     
1.8

Spain     
1.6

Luxembourg     
1.3

Brazil      1.2
Short-Term Investment     
1.1
 

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
12       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     November 30, 2011                      

With Sales Charge**

          (2.78 )%         3.46        7.59        9.49

Without Sales Charge

          2.61        9.17        8.76        10.42

CLASS C SHARES

     November 30, 2011                      

With CDSC***

          1.37        7.59        8.21        9.87

Without CDSC

          2.37        8.59        8.21        9.87

CLASS I SHARES

     November 30, 2011          2.79        9.57        9.10        10.75

CLASS R2 SHARES

     November 30, 2011          2.47        8.85        8.48        10.14

CLASS R5 SHARES

     November 30, 2011          2.86        9.66        9.24        10.91

CLASS R6 SHARES

     November 30, 2011          2.91        9.72        9.31        10.97

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (11/30/11 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on November 30, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Global Unconstrained Equity Fund, the MSCI All Country World Index and the Lipper Global Large-Cap Core Funds Index from November 30, 2011 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The Lipper Global Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds

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

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

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         13  


Table of Contents

JPMorgan International Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

       

Fund (Class I Shares)*

     2.44%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)

     3.41%  

Net Assets as of 4/30/2018 (In Thousands)

     $4,538,352  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the health care and consumer staples sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the financials and energy sectors was a leading contributor to relative performance.

By region, the Fund’s security selection in the U.K. and Japan were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the Pacific, excluding Japan, was the leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included its overweight positions in AMS AG, Kubota Corp. and KDDI Corp. Shares of AMS, an Austrian maker of analog semiconductors and sensors, fell after the company forecast weak sales for the second quarter of 2018. Shares of Kubota, a Japanese maker of agricultural and construction machinery, fell amid investor concerns that potential U.S. trade tariffs could hurt export sales. Shares of KDDI, a Japanese telecommunications company, fell after news reports that Japanese Internet services provider Rakuten Inc. would be entering the Japanese telecommunications industry.

Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in DBS Group Holdings, AIA Group Ltd. and CNOOC Ltd. Shares of DBS Group Holdings, a Singapore financial services company, rose after the company forecast earnings growth and reported growth in loans. Shares of AIA Group, a Hong Kong life insurer, rose after the company reported better-than-expected earnings for its latest fiscal year. Shares of CNOOC, China’s largest state-owned petroleum company, rose amid profit growth and an increase in global oil prices.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They

used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Royal Dutch Shell plc, Class A (Netherlands)      2.8
  2.      Unilever plc (United Kingdom)      2.1  
  3.      AIA Group Ltd. (Hong Kong)      2.1  
  4.      Samsung Electronics Co. Ltd., Reg. S, GDR (South Korea)      1.9  
  5.      Novartis AG (Registered) (Switzerland)      1.8  
  6.      Prudential plc (United Kingdom)      1.8  
  7.      SAP SE (Germany)      1.8  
  8.      ASML Holding NV (Netherlands)      1.8  
  9.      BNP Paribas SA (France)      1.8  
  10.      Roche Holding AG (Switzerland)      1.7  

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan      17.8
United Kingdom      17.7
France      12.5
Switzerland      11.5
Germany      8.6
Netherlands      6.1
Hong Kong      4.3
China      3.4
South Korea      2.5
Spain      2.3
Singapore      1.6
Australia      1.3
Sweden      1.3
Denmark      1.2
India      1.2
Italy      1.1
Others (each less than 1.0%)      4.4  
Short-Term Investment      1.2  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
14       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2002                    

With Sales Charge**

          (3.09 )%         9.56        4.30        1.90

Without Sales Charge

          2.30        15.60        5.43        2.45

CLASS C SHARES

   January 31, 2003                    

With CDSC***

          1.04        14.02        4.90        1.92

Without CDSC

          2.04        15.02        4.90        1.92

CLASS I SHARES

   January 1, 1997        2.44        15.96        5.70        2.71

CLASS R2 SHARES

   November 3, 2008        2.11        15.26        5.15        2.19

CLASS R5 SHARES

   May 15, 2006        2.46        16.10        5.89        2.89

CLASS R6 SHARES

   November 30, 2010        2.53        16.18        5.95        2.93

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 to 4/30/18)

 

 

LOGO

 

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

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Equity Fund, the MSCI EAFE Index and the Lipper International Large-Cap Core Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the

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

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         15  


Table of Contents

JPMorgan International Equity Income Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

       

Fund (Class I Shares)*

     3.73%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)

     3.41%  

Net Assets as of 4/30/2018 (In Thousands) . . . . . . . . . . . . . . . . . . . . . . . . . . .

   $ 200,074  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the industrial cyclical and basic industries sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the automobiles & auto parts sector and in the consumer staples sector was a leading detractor from relative performance.

By region, the Fund’s security selection in Europe, excluding the U.K., and in emerging markets was a leading contributor to performance relative to the Benchmark. The Fund’s security selection and underweight position in Japan and its security selection in the North America were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in UPM-Kymmene Oyj, Royal Ahold Delhaize NV and DBS Group Holdings Ltd. Shares of UPM-Kymmene, a Finnish paper, pulp and lumber company, rose after the company unveiled plans to reduce operations in the U.S. and Germany. Shares of Royal Ahold Delhaize, a Netherlands supermarkets operator, rose after the company

reported strong profit growth for the fourth quarter of 2017. Shares of DBS Group Holdings, a Singapore financial services company, rose after the company forecast earnings growth and reported growth in loans.

Leading individual detractors from relative performance included the Fund’s overweight positions in Bridgestone Corp., Norsk Hydro ASA and Sanofi SA. Shares of Bridgestone, a Japanese auto tire manufacturer, fell amid weak demand and higher raw materials costs. Shares of Norsk Hydro, a Norwegian aluminum producer, fell amid investor concerns about potential U.S. trade tariffs. Shares of Sanofi, a French pharmaceuticals company, fell after the company reported a drop in sales and earnings for the first quarter of 2018.

HOW THE FUND WAS MANAGED?

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

 

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

 

 

 

 
16       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Royal Dutch Shell plc, Class A (Netherlands)     3.2
  2.     

Novartis AG (Registered) (Switzerland)

    2.3  
  3.      Rio Tinto plc (United Kingdom)     2.3  
  4.      Vinci SA (France)     2.2  
  5.      Unibail-Rodamco SE (France)     2.1  
  6.      Iberdrola SA (Spain)     2.1  
  7.      Allianz SE (Registered) (Germany)     2.1  
  8.      TOTAL SA (France)     2.0  
  9.      Unilever NV, CVA (United Kingdom)     1.9  
  10.      Mitsubishi Corp. (Japan)     1.9  

PORTFOLIO COMPOSITION BY COUNTRY***

 

France

     18.3

United Kingdom

     17.5  

Japan

     15.9  

Switzerland

     9.8  

Netherlands

     7.4  

Germany

     6.0  

Spain

     3.7  

Australia

     3.7  

Sweden

     2.3  

China

     2.1  

Finland

     1.8  

Norway

     1.8  

Italy

     1.7  

Singapore

     1.4  

Taiwan

     1.2  

Macau

     1.2  

Canada

     1.2  

South Korea

     1.1  

Short-Term Investment

     1.9  

 

***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         17  


Table of Contents

JPMorgan International Equity Income Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   February 28, 2011                    

With Sales Charge**

          (1.83 )%         6.77        4.26        4.79

Without Sales Charge

          3.58        12.68        5.39        5.58

CLASS C SHARES

   February 28, 2011                    

With CDSC***

          2.33        11.12        4.86        5.05

Without CDSC

          3.33        12.12        4.86        5.05

CLASS I SHARES

   February 28, 2011        3.73        13.05        5.71          5.88  

CLASS R2 SHARES

   February 28, 2011        3.40        12.38        5.11          5.31  

CLASS R5 SHARES

   February 28, 2011        3.77        13.14        5.84          6.04  

CLASS R6 SHARES

   January 30, 2015        3.84        13.24        5.87          6.07  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/28/11 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on February 28, 2011.

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Equity Income Fund, the MSCI EAFE Index and the Lipper International Equity Income Funds Index from February 28, 2011 to April 30, 2018. Return information prior to July 31, 2013 for the Lipper International Equity Income Funds Index is not provided by Lipper, Inc. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Equity Income Funds Index includes expenses associated with a mutual

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

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

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

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

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

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the

 

 

 
18       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively,

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         19  


Table of Contents

JPMorgan International Research Enhanced Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class I Shares)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

     2.94%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes) . . . . . . . . . . . . . . . .

     3.41%  

Net Assets as of 4/30/2018 (In Thousands) . . . . . . . . . . . . . . . . . . . . . . . . . . .

     $5,836,565  

 

INVESTMENT OBJECTIVE

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

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

The Fund’s Class I Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the consumer non-durable and property sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the banks and finance sector and in the industrial cyclical sector was a leading contributor to relative performance.

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

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

HOW WAS THE FUND POSITIONED?

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

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Nestle SA (Registered) (Switzerland)

     1.9
  2.     

Toyota Motor Corp. (Japan)

     1.6  
  3.     

Royal Dutch Shell plc, Class B (Netherlands)

     1.6  
  4.     

Roche Holding AG (Switzerland)

     1.5  
  5.     

TOTAL SA (France)

     1.5  
  6.     

British American Tobacco plc (United Kingdom)

     1.5  
  7.     

SAP SE (Germany)

     1.4  
  8.     

Vodafone Group plc (United Kingdom)

     1.3  
  9.     

BNP Paribas SA (France)

     1.3  
  10.     

Air Liquide SA (France)

     1.2  

 

PORTFOLIO COMPOSITION BY COUNTRY***

 

Japan

     24.1

United Kingdom

     14.1

France

     12.3

Germany

     9.7

Switzerland

     8.6

Netherlands

     6.2

Australia

     4.7

Spain

     3.5

Italy

     2.7

Hong Kong

     2.1

Finland

     1.5

Singapore

     1.3

Belgium

     1.0

Others (each less than 1.0%)

     4.6  

Short-Term Investment

     3.6  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
20       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   April 23, 1993                    

With Sales Charge**

          (2.59 )%         6.86        4.84        1.04

Without Sales Charge

          2.81        12.79        5.97        1.59

CLASS I SHARES

   October 28, 1992        2.94        13.03        6.24        1.84

CLASS R6 SHARES

   November 1, 2017        2.98        13.09        6.25        1.85

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.

TEN YEAR PERFORMANCE (4/30/08 to 4/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Research Enhanced Equity Fund, the MSCI EAFE Index and the Lipper International Large-Cap Core Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper International Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

 

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         21  


Table of Contents

JPMorgan International Unconstrained Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class I Shares)*

     0.65%  

Morgan Stanley Capital International (“MSCI”) All Country World Index, Ex-U.S. (net of foreign withholding taxes)

     3.47%  

Net Assets as of 4/30/2018 (In Thousands)

   $ 565,416  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the MSCI All Country World Index, Ex-U.S. (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the consumer discretionary and consumer staples sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the financials and energy sectors was a leading contributor to relative performance.

By region, the Fund’s security selection and overweight position in Europe and its security selection in Japan were leading detractors from performance relative to the Benchmark. The Fund’s security selection in emerging markets and the Pacific, excluding Japan, was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included the its overweight positions in Altice NV, AMS AG and British American Tobacco PLC. Shares of Altice, a Netherlands telecommunications and media company, fell amid investor concerns about the company’s high debt level and weak results for the third quarter of 2017. Shares of AMS, an Austrian maker of analog semiconductors and sensors, fell after the company forecast weak sales for the second quarter of 2018. Shares of British American Tobacco, a U.K. tobacco

producer, fell after the company reported lower-than-expected sales in 2017, amid a broader decline in demand for tobacco products.

Leading individual contributors to the Fund’s relative performance included the its overweight positions in Ping An Insurance Co., AIA Group Ltd. and CNOOC Ltd. Shares of Ping An Insurance, a Chinese financial services company, rose after the company announced plans to spin off its health care and technology business via an estimated $1 billion initial public offering in Hong Kong. Shares of AIA Group, a Hong Kong life insurer, rose after the company reported better-than-expected earnings for its latest fiscal year. Shares of CNOOC, China’s largest state-owned petroleum company, rose amid profit growth and an increase in global oil prices.

HOW WAS THE FUND POSITIONED?

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

 

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

 

 
22       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Royal Dutch Shell plc, Class A (Netherlands)

     3.3
  2.     

HDFC Bank Ltd., ADR (India)

     3.2  
  3.     

AIA Group Ltd. (Hong Kong)

     3.1  
  4.     

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

     3.1  
  5.     

CK Asset Holdings Ltd. (Hong Kong)

     2.9  
  6.     

Linde AG (Germany)

     2.8  
  7.     

Unilever NV, CVA (United Kingdom)

     2.8  
  8.     

Aviva plc (United Kingdom)

     2.6  
  9.     

BHP Billiton plc (Australia)

     2.6  
  10.     

Itau Unibanco Holding SA (Preference) (Brazil)

     2.5  

PORTFOLIO COMPOSITION BY COUNTRY***

 

United Kingdom

     13.3

Germany

     9.9

Switzerland

     9.6

Netherlands

     9.0

China

     8.9

Japan

     8.6

Hong Kong

     6.0

South Korea

     4.8

France

     3.9

India

     3.2

Austria

     2.9

Canada

     2.7

Australia

     2.6

Brazil

     2.5

Indonesia

     2.2

South Africa

     2.2

wSpain

     2.0
Finland      1.5
Denmark      1.0

Short-Term Investment

     3.2  

 

***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         23  


Table of Contents

JPMorgan International Unconstrained Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     November 30, 2011                      

With Sales Charge**

          (4.72 )%         6.93        5.39        8.18

Without Sales Charge

          0.56        12.83        6.53        9.09

CLASS C SHARES

     November 30, 2011                      

With CDSC***

          (0.72 )        11.20        5.98        8.54

Without CDSC

          0.28        12.20        5.98        8.54

CLASS I SHARES

     November 30, 2011          0.65        13.11        6.84        9.40

CLASS R2 SHARES

     November 30, 2011          0.37        12.47        6.24        8.81

CLASS R5 SHARES

     November 30, 2011          0.73        13.23        6.99        9.57

CLASS R6 SHARES

     November 30, 2011          0.77        13.32        7.04        9.62

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (11/30/11 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on November 30, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Unconstrained Equity Fund, the MSCI All Country World Index, ex-U.S. and the Lipper International Large-Cap Growth Funds Index from November 30, 2011 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index, ex-U.S. does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Large-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI All Country World Index, ex-U.S. is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and

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

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

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

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

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

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

 

 

 
24       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan International Value Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class L Shares)*

     3.16%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Value Index (net of foreign withholding taxes)

     3.41%  

Net Assets as of 4/30/2018 (In Thousands)

   $ 757,429  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares underperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the basic industries and consumer staples sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the banks and technology-software sectors was a leading contributor to relative performance.

By region, the Fund’s security selection in Europe and North America was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the Pacific and Japan was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Outokumpu Oyj, TransCanada Corp. and Norsk Hydro ASA. Shares of Outokumpu, a Finnish stainless steel producer, fell amid weak earnings and investor concerns about potential U.S. trade tariffs. Shares of TransCanada, a Canadian operator of oil and natural gas pipelines, fell amid legal challenges to the company’s Keystone XL pipeline permit. Shares of Norsk Hydro, a Norwegian aluminum producer, fell amid investor concerns about potential U.S. trade tariffs.

Leading individual contributors to relative performance included the Fund’s overweight positions in Otsuka Corp., DBS Group Holdings Ltd. and Deutsche Boerse AG. Shares of Otsuka, a Japanese pharmaceuticals and supplements maker, rose after the U.S. Food and Drug Administration approved the use of the company’s drug for kidney disease. Shares of DBS Group Holdings, a Singapore financial services company, rose after the company forecast earnings growth and reported growth in loans. Shares of Deutsche Boerse, a German operator financial products exchanges, rose after the company reported growth in revenue and earnings for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

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

 

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

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         25  


Table of Contents

JPMorgan International Value Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Royal Dutch Shell plc, Class A (Netherlands)

     5.1
  2.     

TOTAL SA (France)

     3.3  
  3.     

Mitsubishi UFJ Financial Group, Inc (Japan)

     2.5  
  4.     

BNP Paribas SA (France)

     2.3  
  5.     

Honda Motor Co. Ltd (Japan)

     2.3  
  6.     

AXA SA (France)

     2.2  
  7.     

Australia & New Zealand Banking Group Ltd. (Australia)

     2.2  
  8.     

Enel SpA (Italy)

     2.1  
  9.     

Vodafone Group plc (United Kingdom)

     2.1  
  10.     

Iberdrola SA (Spain)

     2.0  

PORTFOLIO COMPOSITION BY COUNTRY***

 

Japan

     24.7

France

     15.5

United Kingdom

     12.6

Netherlands

     8.6

Switzerland

     8.1

Germany

     7.2

Italy

     3.9

Spain

     3.3

Australia

     3.2

Belgium

     2.1

Singapore

     1.5

Austria

     1.3

Canada

     1.3

Sweden

     1.0

United States

     1.0

Others (each less than 1.0%)

     4.7  

 

***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
26       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

     September 28, 2001                      

With Sales Charge**

          (2.39 )%        6.84 %        2.57 %        0.43 %

Without Sales Charge

          3.02        12.75        3.69        0.97

CLASS C SHARES

     July 11, 2006                      

With CDSC***

          1.71        11.15        3.16        0.46

Without CDSC

          2.71        12.15        3.16        0.46

CLASS I SHARES

     September 10, 2001          3.11        13.09        3.99        1.24

CLASS L SHARES

     November 4, 1993          3.16        13.20        4.12        1.38

CLASS R2 SHARES

     November 3, 2008          2.79        12.42        3.42        0.72

CLASS R5 SHARES

     September 9, 2016          3.13        13.19        4.11        1.38

CLASS R6 SHARES

     November 30, 2010          3.22        13.36        4.25        1.47

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan International Value Fund, the MSCI EAFE Value Index and the Lipper International Large-Cap Value Funds Average from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from

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

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         27  


Table of Contents

JPMorgan Intrepid International Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

 

Fund (Class A Shares, without a sales charge)*

     1.41%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (net of foreign withholding taxes)

     3.41%  

Net Assets as of 4/30/2018 (In Thousands)

     $3,646,268  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018. The Fund’s portfolio managers attempted to construct the Fund so that security selection and style factors (i.e., growth, value and quality characteristics) would be the primary drivers of returns.

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

The Fund targeted investments in companies that exhibited specific growth, value and quality characteristics during the period. Due to the relatively large number of securities held in the Fund during the reporting period, the impact of individual holdings on the Fund’s relative performance tended to be small.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed were attractive based on their proprietary multifactor model.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Royal Dutch Shell plc, Class B (Netherlands)     
1.9

  2.      Novartis AG (Registered) (Switzerland)     
1.9
 
  3.      Roche Holding AG (Switzerland)     
1.6
 
  4.      Toyota Motor Corp. (Japan)     
1.6
 
  5.      Allianz SE (Registered) (Germany)     
1.6
 
  6.      Rio Tinto plc (United Kingdom)     
1.4
 
  7.      Novo Nordisk A/S, Class B (Denmark)     
1.3
 
  8.      DBS Group Holdings Ltd. (Singapore)     
1.2
 
  9.      Oversea-Chinese Banking Corp. Ltd. (Singapore)     
1.1
 
  10.      Macquarie Group Ltd. (Australia)     
1.0
 

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Japan     
23.5

United Kingdom     
13.4

Switzerland     
9.1

Netherlands     
8.3

Germany     
7.6

Australia     
6.9

France     
6.6

Sweden     
3.6

Denmark     
3.3

Singapore     
2.7

Finland     
2.3

Spain     
1.8

Hong Kong     
1.7

Norway     
1.6

Belgium     
1.5

Austria     
1.2

Italy     
1.2

Others (each less than 1.0%)     
2.0
 
Short-Term Investment     
1.7
 

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018 . The Fund’s portfolio composition is subject to change.
 

 

 
28       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   April 30, 2001                    

With Sales Charge**

          (3.91 )%         6.39        4.63        1.20

Without Sales Charge

          1.41        12.27        5.76        1.74

CLASS C SHARES

   February 28, 2006                    

With CDSC***

          0.15        10.66        5.23        1.23

Without CDSC

          1.15        11.66        5.23        1.23

CLASS I SHARES

   February 28, 2006        1.52        12.52        6.08        2.02

CLASS R2 SHARES

   November 3, 2008        1.26        11.94        5.49        1.50

CLASS R6 SHARES

   May 29, 2015        1.67        12.82        6.30        2.25

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Intrepid International Fund, the MSCI EAFE Index and the Lipper International Multi-Cap Core Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The

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

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

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         29  


Table of Contents

JPMorgan Emerging Economies Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 96.6%

 
  

Argentina — 0.3%

 
  60     

Banco Macro SA, ADR

    5,819  
    

 

 

 
  

Brazil — 9.8%

 
  1,789     

Banco Bradesco SA, ADR (a)

    17,529  
  2,188     

Banco do Brasil SA (a)

    22,935  
  1,117     

Banco Santander Brasil SA

    12,166  
  2,317     

Cia de Saneamento do Parana (Preference)

    7,011  
  1,144     

Estacio Participacoes SA

    10,352  
  170     

Fibria Celulose SA

    3,345  
  2,559     

Itau Unibanco Holding SA, ADR

    37,177  
  3,379     

Kroton Educacional SA

    13,570  
  247     

Magazine Luiza SA

    7,473  
  2,982     

Metalurgica Gerdau SA (Preference)

    6,682  
  2,046     

MRV Engenharia e Participacoes SA

    8,727  
  2,414     

Petroleo Brasileiro SA (Preference) (a)

    15,834  
  621     

Qualicorp SA

    4,302  
  663     

Suzano Papel e Celulose SA

    7,740  
  2,076     

Vale SA, ADR (a)

    28,727  
    

 

 

 
       203,570  
    

 

 

 
  

Chile — 0.4%

 
  552     

Antofagasta plc

    7,369  
    

 

 

 
  

China — 25.5%

 
  1,214     

AAC Technologies Holdings, Inc.

    17,424  
  289     

Alibaba Group Holding Ltd., ADR (a)

    51,585  
  3,373     

Anhui Conch Cement Co. Ltd., Class H

    21,053  
  38,231     

Bank of China Ltd., Class H

    20,753  
  40,167     

China Construction Bank Corp., Class H

    42,081  
  6,383     

China Merchants Bank Co. Ltd., Class H

    27,833  
  2,446     

China Shenhua Energy Co. Ltd., Class H

    6,000  
  12,042     

Country Garden Holdings Co. Ltd.

    24,554  
  7,777     

Dali Foods Group Co. Ltd., Reg. S (e)

    5,384  
  132     

Daqo New Energy Corp., ADR (a)

    7,034  
  10,928     

Fosun International Ltd.

    23,222  
  9,804     

Guangzhou Automobile Group Co. Ltd., Class H

    17,958  
  56,870     

Industrial & Commercial Bank of China Ltd., Class H

    49,948  
  65     

NetEase, Inc., ADR

    16,593  
  2,367     

Nexteer Automotive Group Ltd. (a)

    3,642  
  9,482     

PICC Property & Casualty Co. Ltd., Class H

    16,974  
  2,274     

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

    22,220  
  5,310     

Shenzhen Expressway Co. Ltd., Class H

    5,388  
  843     

Sunny Optical Technology Group Co. Ltd.

    13,756  
  1,998     

Tencent Holdings Ltd.

    98,213  
  5,746     

Weichai Power Co. Ltd., Class H

    6,652  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

China — continued

 
  936     

Yangtze Optical Fibre and Cable Joint Stock Ltd. Co., Class H, Reg. S (e)

    3,961  
  5,832     

Yanzhou Coal Mining Co. Ltd., Class H

    7,298  
  123     

Yirendai Ltd., ADR

    4,335  
  137     

YY, Inc., ADR (a)

    13,207  
  1,805     

Zhongsheng Group Holdings Ltd.

    5,173  
    

 

 

 
       532,241  
    

 

 

 
  

Hong Kong — 2.4%

 
  2,989     

Haier Electronics Group Co. Ltd. (a)

    10,341  
  1,982     

Kingboard Chemical Holdings Ltd.

    8,062  
  3,715     

Kingboard Laminates Holdings Ltd.

    4,951  
  18,788     

WH Group Ltd., Reg. S (e)

    19,451  
  5,556     

Xinyi Glass Holdings Ltd. (a)

    7,987  
    

 

 

 
       50,792  
    

 

 

 
  

Hungary — 1.7%

 
  916     

MOL Hungarian Oil & Gas plc

    10,579  
  569     

OTP Bank Nyrt

    24,802  
    

 

 

 
       35,381  
    

 

 

 
  

India — 2.4%

 
  1,430     

HCL Technologies Ltd.

    22,506  
  421     

NIIT Technologies Ltd.

    7,291  
  3,325     

Vedanta Ltd.

    14,761  
  106     

WNS Holdings Ltd., ADR (a)

    5,172  
    

 

 

 
       49,730  
    

 

 

 
  

Indonesia — 1.2%

 
  17,822     

Bank Negara Indonesia Persero Tbk. PT

    10,261  
  60,292     

Bank Rakyat Indonesia Persero Tbk. PT

    13,901  
    

 

 

 
       24,162  
    

 

 

 
  

Kazakhstan — 0.3%

 
  553     

KAZ Minerals plc (a)

    6,990  
    

 

 

 
  

Luxembourg — 0.4%

 
  212     

Ternium SA, ADR

    8,390  
    

 

 

 
  

Malaysia — 2.5%

 
  12,351     

AirAsia Bhd.

    12,066  
  8,158     

CIMB Group Holdings Bhd.

    14,867  
  3,864     

Malayan Banking Bhd.

    10,592  
  3,633     

Tenaga Nasional Bhd.

    14,629  
    

 

 

 
       52,154  
    

 

 

 
  

Panama — 1.1%

 
  205     

Copa Holdings SA, Class A

    24,039  
    

 

 

 
  

Poland — 0.8%

 

  145     

Jastrzebska Spolka Weglowa SA (a)

    3,398  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Poland — continued

 

  547     

Polski Koncern Naftowy ORLEN SA

    13,932  
    

 

 

 
       17,330  
    

 

 

 
  

Qatar — 0.4%

 

  201     

Qatar National Bank QPSC

    8,336  
    

 

 

 
  

Russia — 7.5%

 
  1,580     

Aeroflot PJSC

    3,611  
  11,402     

Alrosa PJSC

    16,208  
  935     

Evraz plc

    5,881  
  339     

LUKOIL PJSC, ADR

    22,580  
  11,101     

Magnitogorsk Iron & Steel Works PJSC

    8,552  
  874     

MMC Norilsk Nickel PJSC, ADR

    15,021  
  1,833     

Mobile TeleSystems PJSC, ADR

    19,247  
  60     

Novatek PJSC, Reg. S, GDR

    7,563  
  16     

Novolipetsk Steel PJSC, Reg. S, GDR

    416  
  141     

Ros Agro plc, Reg. S, GDR

    1,537  
  321,660     

RusHydro PJSC

    3,800  
  9     

Sberbank of Russia PJSC, ADR

    130  
  1,354     

Sberbank of Russia PJSC, ADR

    20,029  
  714     

Severstal PJSC, Reg. S, GDR

    11,370  
  174     

Tatneft PJSC, ADR

    11,230  
  158     

Tatneft PJSC, ADR

    10,113  
    

 

 

 
       157,288  
    

 

 

 
  

Singapore — 1.1%

 

  15,230     

IGG, Inc.

    22,904  
    

 

 

 
  

South Africa — 1.7%

 
  268     

Astral Foods Ltd.

    6,602  
  239     

Kumba Iron Ore Ltd.

    5,111  
  1,391     

Standard Bank Group Ltd.

    23,858  
    

 

 

 
       35,571  
    

 

 

 
  

South Korea — 16.9%

 

  529     

Hana Financial Group, Inc.

    23,486  
  237     

Hyundai Marine & Fire Insurance Co. Ltd.

    8,449  
  1,095     

Industrial Bank of Korea

    17,176  
  218     

KT&G Corp.

    19,924  
  64     

LG Chem Ltd.

    21,493  
  78     

LG Corp.

    5,903  
  309     

LG Electronics, Inc.

    29,326  
  16     

Lotte Chemical Corp.

    6,269  
  52     

NCSoft Corp.

    17,479  
  144     

PSK, Inc.

    3,093  
  31     

Samsung Electronics Co. Ltd. (bb)

    77,119  
  21     

Samsung SDI Co. Ltd.

    3,562  
  169     

Seoul Semiconductor Co. Ltd.

    2,985  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

South Korea — continued

 

  145     

SFA Engineering Corp.

    4,381  
  459     

Shinhan Financial Group Co. Ltd.

    20,457  
  70     

Silicon Works Co. Ltd.

    2,443  
  349     

SK Hynix, Inc.

    27,458  
  134     

SK Innovation Co. Ltd.

    24,480  
  131     

S-Oil Corp.

    13,449  
  137     

TES Co. Ltd.

    3,820  
  1,346     

Woori Bank

    20,102  
    

 

 

 
       352,854  
    

 

 

 
  

Taiwan — 10.6%

 

  1,030     

Accton Technology Corp.

    2,354  
  1,638     

Catcher Technology Co. Ltd.

    18,166  
  3,469     

Chipbond Technology Corp.

    6,874  
  2,649     

Compeq Manufacturing Co. Ltd.

    2,639  
  34,064     

CTBC Financial Holding Co. Ltd.

    24,293  
  2,572     

E Ink Holdings, Inc.

    2,846  
  1,735     

FLEXium Interconnect, Inc. (a)

    4,535  
  12,306     

Fubon Financial Holding Co. Ltd.

    21,054  
  1,659     

General Interface Solution Holding Ltd.

    9,931  
  11,447     

Macronix International (a)

    18,185  
  1,821     

MediaTek, Inc. (a)

    20,711  
  2,014     

Nanya Technology Corp.

    6,269  
  275     

Phison Electronics Corp.

    2,490  
  3,202     

Powertech Technology, Inc.

    9,166  
  1,545     

Sino-American Silicon Products, Inc. (a)

    6,631  
  784     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    30,152  
  6,627     

Winbond Electronics Corp.

    4,056  
  974     

Yageo Corp. (a)

    20,416  
  20,336     

Yuanta Financial Holding Co. Ltd.

    9,705  
    

 

 

 
       220,473  
    

 

 

 
  

Thailand — 4.0%

 

  3,165     

Kiatnakin Bank PCL

    7,377  
  16,985     

Krung Thai Bank PCL

    9,757  
  5,606     

PTT Global Chemical PCL

    17,326  
  13,338     

PTT PCL

    23,667  
  17,317     

Star Petroleum Refining PCL

    8,589  
  3,143     

Thai Oil PCL

    9,356  
  2,708     

Tisco Financial Group PCL

    7,597  
    

 

 

 
       83,669  
    

 

 

 
  

Turkey — 3.7%

 

  3,268     

Akbank Turk A/S

    6,800  
  2,320     

Eregli Demir ve Celik Fabrikalari TAS (a)

    5,791  
  8,966     

Petkim Petrokimya Holding A/S (a)

    15,845  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         31  


Table of Contents

JPMorgan Emerging Economies Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Turkey — continued

 

  2,049     

Tekfen Holding A/S

    7,755  
  1,638     

Turk Hava Yollari AO (a)

    6,766  
  5,017     

Turkcell Iletisim Hizmetleri A/S

    17,274  
  2,412     

Turkiye Garanti Bankasi A/S

    5,463  
  5,123     

Turkiye Halk Bankasi A/S

    10,481  
    

 

 

 
       76,175  
    

 

 

 
  

United Kingdom — 0.5%

 

  456     

Anglo American plc

    10,720  
    

 

 

 
  

United States — 1.1%

 
  277     

Cognizant Technology Solutions Corp., Class A

    22,699  
    

 

 

 
  

Vietnam — 0.3%

 
  2,424     

Hoa Phat Group JSC (a)

    5,713  
    

 

 

 
  

Total Common Stocks
(Cost $1,671,547)

    2,014,369  
    

 

 

 
 

Short-Term Investment — 3.4%

 
  

Investment Company — 3.4%

 

  69,885     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $69,885)

    69,885  
    

 

 

 
  

Total Investments — 100.0%
(Cost $1,741,432)

    2,084,254  
  

Other Assets in Excess of
Liabilities — 0.0% 
(g)

    537  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 2,084,791  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     24.8

Oil, Gas & Consumable Fuels

     8.9

Internet Software & Services

     8.6

Metals & Mining

     7.7

Semiconductors & Semiconductor Equipment

     7.3

Technology Hardware, Storage & Peripherals

     4.6

Electronic Equipment, Instruments & Components

     4.4

Chemicals

     2.9

IT Services

     2.4

Household Durables

     2.3

Software

     2.3

Insurance

     2.3

Airlines

     2.2

Wireless Telecommunication Services

     1.7

Food Products

     1.6

Industrial Conglomerates

     1.4

Real Estate Management & Development

     1.2

Diversified Consumer Services

     1.1

Diversified Financial Services

     1.0

Construction Materials

     1.0

Tobacco

     1.0

Others (each less than 1.0%)

     5.9  

Short-Term Investment

     3.4  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Emerging Markets Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 97.4%

 
  

Argentina — 2.9%

 
  440     

MercadoLibre, Inc.

    149,272  
    

 

 

 
  

Australia — 0.5%

 
  4,107     

Oil Search Ltd.

    24,164  
    

 

 

 
  

Brazil — 7.9%

 
  8,231     

Ambev SA, ADR

    54,489  
  3,264     

Cielo SA

    17,918  
  1,076     

Itau Unibanco Holding SA (Preference)

    15,626  
  4,864     

Itau Unibanco Holding SA, ADR

    70,671  
  16,900     

Kroton Educacional SA

    67,876  
  6,545     

Lojas Renner SA

    60,724  
  846     

Marcopolo SA

    780  
  6,582     

Marcopolo SA (Preference)

    7,685  
  5,347     

Petrobras Distribuidora SA

    34,726  
  1,331     

Raia Drogasil SA (a)

    26,113  
  2,252     

Ultrapar Participacoes SA

    39,035  
  1,671     

WEG SA

    8,477  
    

 

 

 
       404,120  
    

 

 

 
  

China — 25.9%

 
  2,320     

AAC Technologies Holdings, Inc.

    33,291  
  1,279     

Alibaba Group Holding Ltd., ADR (a)

    228,340  
  15,417     

Fuyao Glass Industry Group Co. Ltd., Class A

    54,372  
  10,482     

Hangzhou Robam Appliances Co. Ltd., Class A

    55,060  
  12,813     

Inner Mongolia Yili Industrial Group Co. Ltd., Class A

    52,954  
  2,725     

JD.com, Inc., ADR (a)

    99,483  
  457     

Kweichow Moutai Co. Ltd., Class A

    47,451  
  8,555     

Midea Group Co. Ltd., Class A

    69,428  
  643     

New Oriental Education & Technology Group, Inc., ADR

    57,745  
  20,695     

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

    202,214  
  4,105     

Shenzhou International Group Holdings Ltd.

    44,811  
  6,561     

Tencent Holdings Ltd.

    322,563  
  1,121     

Yum China Holdings, Inc.

    47,913  
    

 

 

 
       1,315,625  
    

 

 

 
  

Egypt — 0.9%

 
  9,193     

Commercial International Bank Egypt SAE (Registered), Reg. S, GDR

    47,160  
    

 

 

 
  

Hong Kong — 6.9%

 
  28,321     

AIA Group Ltd.

    253,114  
  516     

Jardine Matheson Holdings Ltd.

    31,227  
  11,194     

Techtronic Industries Co. Ltd.

    65,574  
    

 

 

 
       349,915  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

India — 18.4%

 
  1,781     

Asian Paints Ltd.

    31,991  
  3,584     

HDFC Bank Ltd.

    107,492  
  945     

HDFC Bank Ltd., ADR

    90,519  
  9,865     

HDFC Standard Life Insurance Co. Ltd., Reg. S (e)

    76,276  
  7,440     

Housing Development Finance Corp. Ltd.

    209,522  
  2,824     

IndusInd Bank Ltd.

    79,965  
  14,965     

ITC Ltd.

    62,947  
  3,303     

Kotak Mahindra Bank Ltd.

    59,775  
  2,518     

Tata Consultancy Services Ltd.

    132,927  
  1,135     

Tata Motors Ltd., ADR (a)

    28,519  
  915     

UltraTech Cement Ltd.

    56,175  
    

 

 

 
       936,108  
    

 

 

 
  

Indonesia — 2.3%

 
  71,409     

Astra International Tbk. PT

    36,549  
  35,605     

Bank Central Asia Tbk. PT

    56,302  
  98,768     

Bank Rakyat Indonesia Persero Tbk. PT

    22,773  
    

 

 

 
       115,624  
    

 

 

 
  

Macau — 0.7%

 
  6,128     

Sands China Ltd.

    35,414  
    

 

 

 
  

Mexico — 3.6%

 
  9,980     

Becle SAB de CV (a)

    16,975  
  589     

Fomento Economico Mexicano SAB de CV, ADR

    56,980  
  11,169     

Grupo Financiero Banorte SAB de CV, Class O

    69,848  
  8,646     

Infraestructura Energetica Nova SAB de CV

    38,100  
    

 

 

 
       181,903  
    

 

 

 
  

Panama — 0.9%

 
  405     

Copa Holdings SA, Class A

    47,450  
    

 

 

 
  

Peru — 1.4%

 
  310     

Credicorp Ltd.

    72,029  
    

 

 

 
  

Russia — 3.7%

 
  446     

Magnit PJSC

    34,608  
  146     

Magnit PJSC, Reg. S, GDR

    2,754  
  42,387     

Sberbank of Russia PJSC

    151,089  
    

 

 

 
       188,451  
    

 

 

 
  

South Africa — 5.9%

 
  4,435     

Bid Corp. Ltd.

    101,954  
  3,233     

Bidvest Group Ltd. (The)

    63,341  
  336     

Capitec Bank Holdings Ltd.

    23,898  
  5,049     

FirstRand Ltd.

    27,038  
  1,734     

Mr Price Group Ltd.

    38,041  
  7,045     

Sanlam Ltd.

    44,503  
    

 

 

 
       298,775  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         33  


Table of Contents

JPMorgan Emerging Markets Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

South Korea — 6.9%

 

  53     

NAVER Corp.

    35,039  
  91     

NCSoft Corp.

    30,618  
  182     

Netmarble Games Corp., Reg. S (e)

    24,877  
  106     

Samsung Electronics Co. Ltd. (bb)

    262,745  
    

 

 

 
       353,279  
    

 

 

 
  

Spain — 0.5%

 

  3,396     

Prosegur Cia de Seguridad SA

    25,672  
    

 

 

 
  

Taiwan — 6.0%

 

  553     

Largan Precision Co. Ltd.

    64,318  
  5,867     

President Chain Store Corp.

    57,670  
  4,744     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    182,393  
    

 

 

 
       304,381  
    

 

 

 
  

Thailand — 0.6%

 
  5,132     

Kasikornbank PCL, NVDR

    31,644  
    

 

 

 
  

Turkey — 0.3%

 

  1,037     

Ford Otomotiv Sanayi A/S

    14,274  
    

 

 

 
  

United States — 1.2%

 

  517     

EPAM Systems, Inc. (a)

    59,128  
    

 

 

 
  

Total Common Stocks
(Cost $3,586,197)

    4,954,388  
    

 

 

 

 

NUMBER OF
WARRANTS
              
 

Warrants — 0.5%

 
  

United States — 0.5%

 
  

Almarai Co.

 
  1,597     

expiring 07/11/2019
(Strike Price $1.00) (a)

    25,288  
  90     

expiring 07/20/2020
(Strike Price $1.00) (a)

    1,429  
    

 

 

 
  

Total Warrants
(Cost $30,284)

    26,717  
    

 

 

 
SHARES               
 

Short-Term Investment — 2.2%

 
  

Investment Company — 2.2%

 
  112,528     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $112,528)

    112,528  
    

 

 

 
  

Total Investments — 100.1%
(Cost $3,729,009)

    5,093,633  
  

Liabilities in Excess of
Other Assets — (0.1)%

    (5,212
    

 

 

 
  

NET ASSETS — 100.0%

  $ 5,088,421  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     17.6

Internet Software & Services

     14.4

Insurance

     11.3

Technology Hardware, Storage & Peripherals

     5.2

Food & Staples Retailing

     4.4

IT Services

     4.1

Thrifts & Mortgage Finance

     4.1

Household Durables

     3.7

Semiconductors & Semiconductor Equipment

     3.6

Beverages

     3.4

Diversified Consumer Services

     2.5

Internet & Direct Marketing Retail

     2.0

Electronic Equipment, Instruments & Components

     1.9

Industrial Conglomerates

     1.9

Hotels, Restaurants & Leisure

     1.6

Food Products

     1.6

Automobiles

     1.6

Specialty Retail

     1.4

Oil, Gas & Consumable Fuels

     1.2

Tobacco

     1.2

Multiline Retail

     1.2

Construction Materials

     1.1

Software

     1.1

Auto Components

     1.1

Others (each less than 1.0%)

     4.6  

Short-Term Investment

     2.2  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — 98.0%

 
  

Argentina — 0.0% (g)

 

  3     

MercadoLibre, Inc.

    1,185  
    

 

 

 
  

Australia — 2.5%

 

  109     

AGL Energy Ltd.

    1,773  
  1,126     

Alumina Ltd.

    2,217  
  316     

Amcor Ltd.

    3,258  
  505     

AMP Ltd.

    1,530  
  306     

APA Group

    1,916  
  74     

Aristocrat Leisure Ltd.

    1,481  
  24     

ASX Ltd.

    1,058  
  675     

Aurizon Holdings Ltd.

    2,271  
  659     

Australia & New Zealand Banking Group Ltd.

    13,253  
  86     

Bendigo & Adelaide Bank Ltd.

    682  
  669     

BHP Billiton Ltd.

    15,607  
  228     

BHP Billiton plc

    4,858  
  237     

Boral Ltd.

    1,221  
  321     

Brambles Ltd.

    2,375  
  78     

Caltex Australia Ltd.

    1,807  
  96     

Challenger Ltd.

    780  
  240     

Coca-Cola Amatil Ltd.

    1,675  
  18     

Cochlear Ltd.

    2,688  
  352     

Commonwealth Bank of Australia

    18,928  
  178     

Computershare Ltd.

    2,258  
  10     

Crown Resorts Ltd.

    99  
  94     

CSL Ltd.

    12,062  
  228     

Dexus

    1,622  
  165     

Fortescue Metals Group Ltd.

    560  
  427     

Goodman Group

    2,907  
  152     

GPT Group (The)

    552  
  274     

Incitec Pivot Ltd.

    781  
  385     

Insurance Australia Group Ltd.

    2,281  
  121     

LendLease Group

    1,623  
  72     

Macquarie Group Ltd.

    5,849  
  487     

Medibank Pvt Ltd.

    1,069  
  1,378     

Mirvac Group

    2,313  
  581     

National Australia Bank Ltd.

    12,630  
  149     

Newcrest Mining Ltd.

    2,364  
  340     

Oil Search Ltd.

    2,000  
  130     

Orica Ltd.

    1,935  
  317     

Origin Energy Ltd. (a)

    2,317  
  372     

QBE Insurance Group Ltd.

    2,779  
  38     

Ramsay Health Care Ltd.

    1,870  
  25     

REA Group Ltd.

    1,491  
  317     

Santos Ltd. (a)

    1,459  
  1,430     

Scentre Group

    4,322  
  6     

SEEK Ltd.

    90  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Australia — continued

 
  54     

Sonic Healthcare Ltd.

    950  
  1,368     

South32 Ltd.

    3,797  
  544     

Stockland

    1,690  
  358     

Suncorp Group Ltd.

    3,770  
  362     

Sydney Airport

    1,936  
  513     

Tabcorp Holdings Ltd.

    1,686  
  908     

Telstra Corp. Ltd.

    2,158  
  175     

TPG Telecom Ltd.

    734  
  519     

Transurban Group

    4,518  
  110     

Treasury Wine Estates Ltd.

    1,567  
  634     

Vicinity Centres

    1,161  
  226     

Wesfarmers Ltd.

    7,420  
  278     

Westfield Corp.

    1,921  
  676     

Westpac Banking Corp.

    14,530  
  149     

Woodside Petroleum Ltd.

    3,605  
  312     

Woolworths Group Ltd.

    6,535  
    

 

 

 
       204,589  
    

 

 

 
  

Austria — 0.1%

 

  256     

Erste Group Bank AG (a)

    12,524  
    

 

 

 
  

Belgium — 0.4%

 

  161     

Anheuser-Busch InBev SA/NV

    16,042  
  126     

KBC Group NV

    10,992  
  80     

UCB SA

    6,045  
    

 

 

 
       33,079  
    

 

 

 
  

Bermuda — 0.0% (g)

 

  87     

Marvell Technology Group Ltd.

    1,747  
    

 

 

 
  

Canada — 3.2%

 

  50     

Agnico Eagle Mines Ltd.

    2,084  
  99     

Alimentation Couche-Tard, Inc., Class B

    4,285  
  85     

ARC Resources Ltd.

    943  
  147     

Bank of Montreal

    11,192  
  267     

Bank of Nova Scotia (The)

    16,389  
  262     

Barrick Gold Corp.

    3,526  
  36     

BCE, Inc.

    1,542  
  210     

Brookfield Asset Management, Inc., Class A

    8,324  
  93     

Canadian Imperial Bank of Commerce

    8,117  
  179     

Canadian National Railway Co.

    13,791  
  257     

Canadian Natural Resources Ltd.

    9,273  
  34     

Canadian Pacific Railway Ltd.

    6,236  
  16     

Canadian Tire Corp. Ltd., Class A

    2,227  
  199     

Cenovus Energy, Inc.

    1,990  
  52     

CGI Group, Inc., Class A (a)

    3,019  
  4     

Constellation Software, Inc.

    3,200  
  126     

Crescent Point Energy Corp.

    1,100  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         35  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Canada — continued

 
  27     

Dollarama, Inc.

    3,144  
  185     

Enbridge, Inc.

    5,589  
  201     

Encana Corp.

    2,502  
  5     

Fairfax Financial Holdings Ltd.

    2,909  
  66     

Fortis, Inc.

    2,204  
  41     

Franco-Nevada Corp.

    2,873  
  57     

Gildan Activewear, Inc.

    1,656  
  188     

Goldcorp, Inc.

    2,497  
  73     

Great-West Lifeco, Inc.

    1,952  
  70     

Imperial Oil Ltd.

    2,168  
  31     

Intact Financial Corp.

    2,349  
  84     

Inter Pipeline Ltd.

    1,509  
  294     

Kinross Gold Corp. (a)

    1,138  
  53     

Loblaw Cos. Ltd.

    2,707  
  93     

Magna International, Inc.

    5,521  
  462     

Manulife Financial Corp.

    8,721  
  59     

Metro, Inc.

    1,883  
  78     

National Bank of Canada

    3,712  
  155     

Nutrien Ltd.

    7,069  
  60     

Open Text Corp.

    2,110  
  89     

Pembina Pipeline Corp.

    2,825  
  88     

Power Corp. of Canada

    2,089  
  62     

Power Financial Corp.

    1,600  
  51     

Restaurant Brands International, Inc.

    2,802  
  85     

Rogers Communications, Inc., Class B

    4,012  
  319     

Royal Bank of Canada

    24,285  
  60     

Saputo, Inc.

    1,948  
  96     

Shaw Communications, Inc., Class B

    1,967  
  37     

SNC-Lavalin Group, Inc.

    1,613  
  144     

Sun Life Financial, Inc.

    5,964  
  364     

Suncor Energy, Inc.

    13,921  
  126     

Teck Resources Ltd., Class B

    3,170  
  81     

Thomson Reuters Corp.

    3,246  
  403     

Toronto-Dominion Bank (The)

    22,611  
  166     

TransCanada Corp.

    7,050  
  98     

Wheaton Precious Metals Corp.

    2,036  
    

 

 

 
       262,590  
    

 

 

 
  

China — 0.1%

 
  934     

BOC Hong Kong Holdings Ltd.

    4,828  
  412     

Yangzijiang Shipbuilding Holdings Ltd.

    360  
    

 

 

 
       5,188  
    

 

 

 
  

Denmark — 0.6%

 
  41     

Chr Hansen Holding A/S

    3,678  
  120     

Danske Bank A/S

    4,177  
  43     

Genmab A/S (a)

    8,637  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Denmark — continued

 
  675     

Novo Nordisk A/S, Class B

    31,728  
    

 

 

 
       48,220  
    

 

 

 
  

Finland — 0.3%

 
  60     

Cargotec OYJ, Class B

    3,069  
  119     

Konecranes OYJ

    4,859  
  734     

Nokia OYJ

    4,404  
  474     

Outokumpu OYJ

    3,070  
  376     

UPM-Kymmene OYJ

    13,408  
    

 

 

 
       28,810  
    

 

 

 
  

France — 4.5%

 
  235     

Accor SA

    13,271  
  156     

Air Liquide SA

    20,245  
  204     

Airbus SE

    23,997  
  107     

Alstom SA

    4,854  
  50     

Arkema SA

    6,591  
  120     

AXA SA

    3,424  
  371     

BNP Paribas SA

    28,624  
  129     

Capgemini SE

    17,787  
  88     

Cie Generale des Etablissements Michelin SCA

    12,324  
  467     

Engie SA

    8,187  
  28     

Kering SA

    16,078  
  87     

Legrand SA

    6,764  
  89     

LVMH Moet Hennessy Louis Vuitton SE

    30,927  
  355     

Natixis SA

    2,915  
  76     

Pernod Ricard SA

    12,583  
  221     

Publicis Groupe SA

    16,517  
  102     

Renault SA

    11,039  
  163     

Sanofi

    12,896  
  254     

Schneider Electric SE (a)

    22,986  
  69     

Sodexo SA

    6,810  
  121     

Thales SA

    15,360  
  657     

TOTAL SA

    41,264  
  35     

Unibail-Rodamco SE

    8,403  
  216     

Vinci SA

    21,581  
  246     

Vivendi SA

    6,479  
    

 

 

 
       371,906  
    

 

 

 
  

Germany — 3.2%

 
  90     

adidas AG

    22,070  
  107     

Allianz SE (Registered)

    25,375  
  222     

BASF SE

    23,060  
  129     

Bayer AG (Registered)

    15,466  
  72     

Bayerische Motoren Werke AG

    8,005  
  51     

Brenntag AG

    2,912  
  55     

Continental AG

    14,773  
  108     

Daimler AG (Registered)

    8,523  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Germany — continued

 
  106     

Deutsche Post AG (Registered)

    4,580  
  1,199     

Deutsche Telekom AG (Registered)

    20,994  
  84     

Henkel AG & Co. KGaA (Preference)

    10,620  
  662     

Infineon Technologies AG

    16,945  
  30     

Linde AG (a)

    6,683  
  82     

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)

    18,722  
  82     

RWE AG

    1,950  
  294     

SAP SE

    32,612  
  103     

Siemens AG (Registered)

    13,089  
  98     

Volkswagen AG (Preference)

    20,191  
    

 

 

 
       266,570  
    

 

 

 
  

Hong Kong — 1.2%

 
  2,508     

AIA Group Ltd.

    22,413  
  67     

ASM Pacific Technology Ltd.

    922  
  41     

Bank of East Asia Ltd. (The)

    180  
  442     

CK Asset Holdings Ltd.

    3,814  
  669     

CK Hutchison Holdings Ltd.

    7,909  
  220     

CK Infrastructure Holdings Ltd.

    1,732  
  460     

CLP Holdings Ltd.

    4,777  
  558     

Galaxy Entertainment Group Ltd.

    4,884  
  59     

Hang Lung Properties Ltd.

    140  
  209     

Hang Seng Bank Ltd.

    5,294  
  367     

Henderson Land Development Co. Ltd.

    2,329  
  556     

HKT Trust & HKT Ltd.

    732  
  2,019     

Hong Kong & China Gas Co. Ltd.

    4,219  
  229     

Hong Kong Exchanges & Clearing Ltd.

    7,402  
  243     

Hongkong Land Holdings Ltd.

    1,756  
  2,431     

Hutchison Port Holdings Trust

    810  
  21     

Jardine Matheson Holdings Ltd.

    1,241  
  342     

Kerry Properties Ltd.

    1,635  
  1,756     

Li & Fung Ltd.

    883  
  375     

Link REIT

    3,314  
  220     

MTR Corp. Ltd.

    1,236  
  673     

New World Development Co. Ltd.

    987  
  410     

NWS Holdings Ltd.

    808  
  279     

Power Assets Holdings Ltd.

    2,074  
  1,172     

Sino Land Co. Ltd.

    2,023  
  363     

Sun Hung Kai Properties Ltd.

    5,846  
  204     

Swire Pacific Ltd., Class A

    2,011  
  99     

Techtronic Industries Co. Ltd.

    577  
  1,040     

WH Group Ltd., Reg. S (e)

    1,076  
  381     

Wharf Holdings Ltd. (The)

    1,268  
  363     

Wharf Real Estate Investment Co. Ltd.

    2,722  
  335     

Wheelock & Co. Ltd.

    2,485  
SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Hong Kong — continued

 
  249    

Yue Yuen Industrial Holdings Ltd.

    706  
   

 

 

 
      100,205  
   

 

 

 
 

Ireland — 0.4%

 
  487    

CRH plc

    17,293  
  134    

James Hardie Industries plc, CDI

    2,369  
  96    

Ryanair Holdings plc, ADR (a)

    10,540  
   

 

 

 
      30,202  
   

 

 

 
 

Israel — 0.0% (g)

 
  155    

Teva Pharmaceutical Industries Ltd., ADR

    2,783  
   

 

 

 
 

Italy — 0.7%

 
  209    

Assicurazioni Generali SpA

    4,221  
  4,071    

Enel SpA

    25,823  
  160    

Eni SpA

    3,132  
  644    

Intesa Sanpaolo SpA

    2,450  
  1,105    

Italgas SpA

    7,153  
  395    

Snam SpA

    1,895  
  697    

UniCredit SpA

    15,119  
   

 

 

 
      59,793  
   

 

 

 
 

Japan — 8.6%

 
  57    

AEON Financial Service Co. Ltd.

    1,340  
  59    

Aeon Mall Co. Ltd.

    1,183  
  168    

Ajinomoto Co., Inc.

    3,069  
  47    

Alfresa Holdings Corp.

    1,033  
  199    

Amada Holdings Co. Ltd.

    2,384  
  147    

Asahi Group Holdings Ltd.

    7,446  
  330    

Asahi Kasei Corp.

    4,542  
  269    

Astellas Pharma, Inc.

    3,929  
  132    

Bandai Namco Holdings, Inc.

    4,480  
  199    

Bridgestone Corp.

    8,302  
  170    

Canon, Inc.

    5,848  
  11    

Central Japan Railway Co.

    2,144  
  29    

Chugai Pharmaceutical Co. Ltd.

    1,508  
  25    

Coca-Cola Bottlers Japan Holdings, Inc.

    1,054  
  596    

Concordia Financial Group Ltd.

    3,463  
  34    

Dai Nippon Printing Co. Ltd.

    721  
  374    

Daicel Corp.

    4,313  
  205    

Dai-ichi Life Holdings, Inc.

    4,060  
  213    

Daiichi Sankyo Co. Ltd.

    7,293  
  78    

Daikin Industries Ltd.

    9,100  
  18    

Daito Trust Construction Co. Ltd.

    2,937  
  198    

Daiwa House Industry Co. Ltd.

    7,232  
  (h)   

Daiwa House REIT Investment Corp.

    770  
  49    

Denso Corp.

    2,561  
  95    

East Japan Railway Co.

    9,136  
  165    

Electric Power Development Co. Ltd.

    4,485  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         37  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
 

Japan — continued

 

  29    

FANUC Corp.

    6,148  
  8    

Fast Retailing Co. Ltd.

    3,424  
  160    

Fuji Electric Co. Ltd.

    1,141  
  142    

FUJIFILM Holdings Corp.

    5,715  
  572    

Fujitsu Ltd.

    3,468  
  54    

Hakuhodo DY Holdings, Inc.

    760  
  25    

Hankyu Hanshin Holdings, Inc.

    999  
  68    

Hisamitsu Pharmaceutical Co., Inc.

    5,293  
  16    

Hitachi High-Technologies Corp.

    728  
  1,371    

Hitachi Ltd.

    10,006  
  436    

Honda Motor Co. Ltd.

    14,999  
  63    

Hoya Corp.

    3,350  
  302    

Hulic Co. Ltd.

    3,254  
  399    

ITOCHU Corp.

    7,981  
  248    

J Front Retailing Co. Ltd.

    4,020  
  117    

Japan Airlines Co. Ltd.

    4,609  
  40    

Japan Exchange Group, Inc.

    741  
  77    

Japan Post Bank Co. Ltd.

    1,049  
  (h)   

Japan Prime Realty Investment Corp.

    704  
  (h)   

Japan Real Estate Investment Corp.

    1,316  
  1    

Japan Retail Fund Investment Corp.

    1,250  
  246    

Japan Tobacco, Inc.

    6,618  
  87    

JFE Holdings, Inc.

    1,790  
  54    

JTEKT Corp.

    870  
  1,176    

JXTG Holdings, Inc.

    7,665  
  254    

Kansai Electric Power Co., Inc. (The)

    3,548  
  114    

Kao Corp.

    8,181  
  128    

Kawasaki Heavy Industries Ltd.

    4,276  
  287    

KDDI Corp.

    7,691  
  34    

Keikyu Corp.

    614  
  26    

Keyence Corp.

    15,549  
  21    

Kintetsu Group Holdings Co. Ltd.

    870  
  152    

Kirin Holdings Co. Ltd.

    4,264  
  170    

Komatsu Ltd.

    5,795  
  23    

Kose Corp.

    4,324  
  43    

Kubota Corp.

    722  
  35    

Kyocera Corp.

    2,236  
  185    

Kyowa Hakko Kirin Co. Ltd.

    4,003  
  80    

Kyushu Electric Power Co., Inc.

    992  
  137    

M3, Inc.

    5,167  
  76    

Mabuchi Motor Co. Ltd.

    3,813  
  234    

Marui Group Co. Ltd.

    4,850  
  230    

Mazda Motor Corp.

    3,195  
  770    

Mebuki Financial Group, Inc.

    2,988  
  20    

MEIJI Holdings Co. Ltd.

    1,604  
SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Japan — continued

 

  335    

Mitsubishi Chemical Holdings Corp.

    3,166  
  436    

Mitsubishi Corp.

    12,026  
  555    

Mitsubishi Electric Corp.

    8,505  
  64    

Mitsubishi Estate Co. Ltd.

    1,175  
  25    

Mitsubishi Tanabe Pharma Corp.

    482  
  2,794    

Mitsubishi UFJ Financial Group, Inc.

    18,726  
  117    

Mitsubishi UFJ Lease & Finance Co. Ltd.

    746  
  389    

Mitsui & Co. Ltd.

    7,016  
  147    

Mitsui Chemicals, Inc.

    4,220  
  146    

Mitsui Fudosan Co. Ltd.

    3,740  
  2,809    

Mizuho Financial Group, Inc.

    5,082  
  38    

MS&AD Insurance Group Holdings, Inc.

    1,274  
  33    

Murata Manufacturing Co. Ltd.

    4,179  
  188    

NGK Spark Plug Co. Ltd.

    4,814  
  43    

NH Foods Ltd.

    1,879  
  60    

Nidec Corp.

    9,387  
  23    

Nintendo Co. Ltd.

    9,664  
  (h)   

Nippon Building Fund, Inc.

    1,427  
  (h)   

Nippon Prologis REIT, Inc.

    542  
  271    

Nippon Steel & Sumitomo Metal Corp.

    5,883  
  208    

Nippon Telegraph & Telephone Corp.

    9,885  
  133    

Nippon Yusen KK

    2,837  
  568    

Nissan Motor Co. Ltd.

    5,977  
  25    

Nitori Holdings Co. Ltd.

    4,148  
  48    

Nitto Denko Corp.

    3,583  
  471    

Nomura Holdings, Inc.

    2,712  
  1    

Nomura Real Estate Master Fund, Inc.

    735  
  77    

Nomura Research Institute Ltd.

    3,940  
  118    

NSK Ltd.

    1,572  
  318    

NTT DOCOMO, Inc.

    8,213  
  134    

Obayashi Corp.

    1,548  
  6    

Obic Co. Ltd.

    486  
  122    

Olympus Corp.

    4,549  
  211    

Ono Pharmaceutical Co. Ltd.

    4,877  
  59    

Oriental Land Co. Ltd.

    5,830  
  449    

ORIX Corp.

    7,871  
  95    

Otsuka Corp.

    4,411  
  164    

Otsuka Holdings Co. Ltd.

    8,548  
  660    

Panasonic Corp.

    9,771  
  141    

Persol Holdings Co. Ltd.

    3,342  
  145    

Recruit Holdings Co. Ltd.

    3,339  
  261    

Resona Holdings, Inc.

    1,482  
  47    

Rohm Co. Ltd.

    4,337  
  6    

Ryohin Keikaku Co. Ltd.

    1,950  
  61    

Santen Pharmaceutical Co. Ltd.

    1,016  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Japan — continued

 

  191     

Seibu Holdings, Inc.

    3,214  
  95     

Seiko Epson Corp.

    1,788  
  250     

Sekisui House Ltd.

    4,589  
  226     

Seven & i Holdings Co. Ltd.

    9,949  
  11     

Shimano, Inc.

    1,423  
  389     

Shimizu Corp.

    3,847  
  69     

Shin-Etsu Chemical Co. Ltd.

    6,884  
  12     

Shionogi & Co. Ltd.

    601  
  43     

Shiseido Co. Ltd.

    2,777  
  156     

Shizuoka Bank Ltd. (The)

    1,582  
  14     

SMC Corp.

    5,168  
  191     

SoftBank Group Corp.

    14,579  
  74     

Sompo Holdings, Inc.

    3,098  
  290     

Sony Corp.

    13,526  
  27     

Stanley Electric Co. Ltd.

    972  
  33     

Start Today Co. Ltd.

    956  
  14     

Subaru Corp.

    460  
  508     

Sumitomo Chemical Co. Ltd.

    2,907  
  16     

Sumitomo Corp.

    280  
  340     

Sumitomo Electric Industries Ltd.

    5,202  
  99     

Sumitomo Metal Mining Co. Ltd.

    4,236  
  342     

Sumitomo Mitsui Financial Group, Inc.

    14,271  
  127     

Sumitomo Mitsui Trust Holdings, Inc.

    5,377  
  78     

Sumitomo Realty & Development Co. Ltd.

    3,098  
  20     

Sundrug Co. Ltd.

    1,029  
  48     

Suntory Beverage & Food Ltd.

    2,342  
  11     

Suzuken Co. Ltd.

    460  
  128     

Suzuki Motor Corp.

    6,880  
  247     

T&D Holdings, Inc.

    4,198  
  76     

Takeda Pharmaceutical Co. Ltd.

    3,200  
  78     

THK Co. Ltd.

    2,715  
  61     

Tohoku Electric Power Co., Inc.

    781  
  208     

Tokio Marine Holdings, Inc.

    9,831  
  216     

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

    1,027  
  41     

Tokyo Electron Ltd.

    7,817  
  69     

Tokyo Gas Co. Ltd.

    1,841  
  228     

Tokyo Tatemono Co. Ltd.

    3,466  
  325     

Tokyu Corp.

    5,457  
  134     

Toppan Printing Co. Ltd.

    1,121  
  464     

Toray Industries, Inc.

    4,331  
  1,051     

Toshiba Corp. (a)

    2,817  
  46     

Toyota Industries Corp.

    2,736  
  567     

Toyota Motor Corp.

    37,147  
  27     

Toyota Tsusho Corp.

    965  
  27     

Unicharm Corp.

    768  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Japan — continued

 

  1     

United Urban Investment Corp.

    826  
  192     

Yahoo Japan Corp.

    790  
  173     

Yamato Holdings Co. Ltd.

    4,456  
  25     

Yaskawa Electric Corp.

    1,007  
    

 

 

 
       716,597  
    

 

 

 
  

Luxembourg — 0.1%

 

  346     

ArcelorMittal

    11,744  
    

 

 

 
  

Macau — 0.1%

 

  658     

Sands China Ltd.

    3,801  
  316     

Wynn Macau Ltd.

    1,169  
    

 

 

 
       4,970  
    

 

 

 
  

Netherlands — 2.2%

 
  49     

Akzo Nobel NV

    4,411  
  136     

ASML Holding NV

    25,967  
  71     

ASR Nederland NV

    3,347  
  113     

Heineken Holding NV

    11,491  
  39     

Heineken NV

    4,088  
  1,449     

ING Groep NV

    24,414  
  753     

Koninklijke Ahold Delhaize NV

    18,155  
  906     

Koninklijke KPN NV

    2,819  
  210     

Koninklijke Philips NV

    8,897  
  1,314     

Royal Dutch Shell plc, Class A

    45,708  
  866     

Royal Dutch Shell plc, Class B

    30,902  
  127     

Wolters Kluwer NV

    6,882  
    

 

 

 
       187,081  
    

 

 

 
  

New Zealand — 0.1%

 
  346     

Auckland International Airport Ltd.

    1,548  
  262     

Fletcher Building Ltd.

    1,162  
  130     

Ryman Healthcare Ltd.

    968  
  662     

Spark New Zealand Ltd.

    1,608  
    

 

 

 
       5,286  
    

 

 

 
  

Norway — 0.2%

 
  732     

Telenor ASA

    16,193  
    

 

 

 
  

Singapore — 0.5%

 
  556     

Ascendas REIT

    1,116  
  867     

CapitaLand Ltd.

    2,444  
  379     

CapitaLand Mall Trust

    598  
  390     

ComfortDelGro Corp. Ltd.

    658  
  467     

DBS Group Holdings Ltd.

    10,784  
  771     

Genting Singapore plc

    676  
  17     

Jardine Cycle & Carriage Ltd.

    430  
  428     

Keppel Corp. Ltd.

    2,622  
  811     

Oversea-Chinese Banking Corp. Ltd.

    8,374  
  79     

Singapore Exchange Ltd.

    460  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         39  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Singapore — continued

 

  153     

Singapore Press Holdings Ltd.

    313  
  1,671     

Singapore Telecommunications Ltd.

    4,421  
  259     

United Overseas Bank Ltd.

    5,869  
  659     

Wilmar International Ltd.

    1,612  
    

 

 

 
       40,377  
    

 

 

 
  

Spain 1.1%

 

  52     

Amadeus IT Group SA

    3,761  
  317     

Banco Bilbao Vizcaya Argentaria SA

    2,565  
  4,611     

Banco Santander SA

    29,790  
  2,949     

Iberdrola SA

    22,788  
  382     

Industria de Diseno Textil SA

    11,845  
  337     

Red Electrica Corp. SA

    7,021  
  666     

Repsol SA

    12,718  
  386     

Telefonica SA

    3,938  
    

 

 

 
       94,426  
    

 

 

 
  

Sweden — 0.6%

 
  318     

Assa Abloy AB, Class B

    6,660  
  94     

Atlas Copco AB, Class B

    3,320  
  8     

Autoliv, Inc.

    1,025  
  967     

Nordea Bank AB

    9,833  
  809     

Sandvik AB

    13,801  
  1,057     

Svenska Handelsbanken AB, Class A

    11,789  
    

 

 

 
       46,428  
    

 

 

 
  

Switzerland — 2.9%

 
  468     

ABB Ltd. (Registered)

    10,910  
  1,059     

Credit Suisse Group AG (Registered) (a)

    17,855  
  162     

Ferguson plc

    12,436  
  3,621     

Glencore plc (a)

    17,444  
  197     

Julius Baer Group Ltd. (a)

    11,677  
  255     

LafargeHolcim Ltd. (Registered) (a)

    14,138  
  35     

Lonza Group AG (Registered) (a)

    8,655  
  653     

Nestle SA (Registered)

    50,601  
  627     

Novartis AG (Registered)

    48,253  
  197     

Roche Holding AG

    43,824  
  316     

UBS Group AG (Registered) (a)

    5,301  
    

 

 

 
       241,094  
    

 

 

 
  

United Kingdom — 5.8%

 
  804     

3i Group plc

    10,380  
  247     

AstraZeneca plc

    17,321  
  2,671     

Aviva plc

    19,410  
  2,948     

BP plc

    21,900  
  594     

British American Tobacco plc

    32,563  
  1,329     

BT Group plc

    4,562  
  276     

Bunzl plc

    7,998  
  730     

Compass Group plc

    15,665  
  76     

DCC plc

    7,300  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

United Kingdom — continued

 

  852     

Diageo plc

    30,388  
  857     

GlaxoSmithKline plc

    17,199  
  3,207     

HSBC Holdings plc

    31,927  
  488     

Imperial Brands plc

    17,476  
  212     

InterContinental Hotels Group plc

    13,399  
  104     

Johnson Matthey plc

    4,696  
  1,159     

Legal & General Group plc

    4,292  
  16     

Liberty Global plc, Class A (a)

    480  
  84     

Liberty Global plc, Class C (a)

    2,430  
  8,135     

Lloyds Banking Group plc

    7,215  
  224     

London Stock Exchange Group plc

    13,212  
  355     

National Grid plc

    4,112  
  1,204     

Prudential plc

    30,961  
  45     

Reckitt Benckiser Group plc

    3,545  
  279     

RELX plc

    5,960  
  105     

Rio Tinto Ltd.

    6,226  
  458     

Rio Tinto plc

    24,976  
  446     

RSA Insurance Group plc

    4,022  
  1,725     

Standard Chartered plc

    18,119  
  3,682     

Taylor Wimpey plc

    9,696  
  2,356     

Tesco plc

    7,632  
  643     

Unilever NV, CVA

    36,885  
  212     

Unilever plc

    11,871  
  9,539     

Vodafone Group plc

    27,837  
  112     

Whitbread plc

    6,583  
  344     

WPP plc

    5,906  
    

 

 

 
       484,144  
    

 

 

 
  

United States — 58.6%

 
  18     

3M Co.

    3,505  
  369     

Abbott Laboratories

    21,457  
  231     

AbbVie, Inc.

    22,259  
  232     

Accenture plc, Class A

    35,114  
  18     

Activision Blizzard, Inc.

    1,196  
  129     

Adobe Systems, Inc. (a)

    28,482  
  27     

Agilent Technologies, Inc.

    1,762  
  91     

Alcoa Corp. (a)

    4,656  
  49     

Alexion Pharmaceuticals, Inc. (a)

    5,776  
  2     

Alleghany Corp.

    948  
  236     

Allegion plc

    18,235  
  128     

Allergan plc

    19,626  
  31     

Alliance Data Systems Corp.

    6,384  
  7     

Alnylam Pharmaceuticals, Inc. (a)

    704  
  67     

Alphabet, Inc., Class A (a)

    68,101  
  82     

Alphabet, Inc., Class C (a)

    83,570  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

United States — continued

 
  232     

Altria Group, Inc.

    13,026  
  99     

Amazon.com, Inc. (a)

    154,970  
  41     

Ameren Corp.

    2,424  
  288     

American Electric Power Co., Inc.

    20,122  
  165     

American Express Co.

    16,246  
  9     

American Financial Group, Inc.

    1,052  
  490     

American International Group, Inc.

    27,459  
  74     

American Tower Corp.

    10,147  
  140     

AmerisourceBergen Corp.

    12,678  
  82     

Amgen, Inc.

    14,250  
  345     

Analog Devices, Inc.

    30,134  
  129     

Andeavor

    17,792  
  31     

Antero Resources Corp. (a)

    587  
  1,037     

Apple, Inc.

    171,312  
  121     

Aptiv plc

    10,192  
  37     

Aramark

    1,384  
  11     

Arch Capital Group Ltd. (a)

    849  
  10     

Arista Networks, Inc. (a)

    2,725  
  19     

Arrow Electronics, Inc. (a)

    1,445  
  59     

Arthur J Gallagher & Co.

    4,130  
  668     

AT&T, Inc.

    21,828  
  19     

Athene Holding Ltd., Class A (a)

    929  
  11     

Atmos Energy Corp.

    927  
  22     

AutoZone, Inc. (a)

    14,002  
  99     

AvalonBay Communities, Inc.

    16,080  
  19     

Axis Capital Holdings Ltd.

    1,140  
  399     

Ball Corp.

    15,977  
  2,827     

Bank of America Corp.

    84,571  
  438     

BB&T Corp.

    23,128  
  101     

Becton Dickinson and Co.

    23,479  
  203     

Berkshire Hathaway, Inc., Class B (a)

    39,387  
  195     

Best Buy Co., Inc.

    14,947  
  51     

Biogen, Inc. (a)

    14,086  
  33     

BioMarin Pharmaceutical, Inc. (a)

    2,760  
  49     

BlackRock, Inc.

    25,397  
  71     

Boeing Co. (The)

    23,810  
  6     

Booking Holdings, Inc. (a)

    12,785  
  957     

Boston Scientific Corp. (a)

    27,474  
  390     

Bristol-Myers Squibb Co.

    20,323  
  310     

Brixmor Property Group, Inc.

    4,620  
  170     

Broadcom, Inc.

    39,105  
  25     

Broadridge Financial Solutions, Inc.

    2,715  
  69     

CA, Inc.

    2,385  
  16     

Camden Property Trust

    1,348  
  333     

Capital One Financial Corp.

    30,191  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

United States — continued

 
  140     

Caterpillar, Inc.

    20,272  
  31     

CBRE Group, Inc., Class A (a)

    1,410  
  28     

CDK Global, Inc.

    1,840  
  31     

CDW Corp.

    2,216  
  170     

Celanese Corp., Series A

    18,442  
  159     

Celgene Corp. (a)

    13,861  
  34     

Centene Corp. (a)

    3,681  
  396     

Charles Schwab Corp. (The)

    22,040  
  106     

Charter Communications, Inc., Class A (a)

    28,665  
  436     

Chevron Corp.

    54,577  
  98     

Chubb Ltd.

    13,290  
  170     

Cigna Corp.

    29,130  
  486     

Cisco Systems, Inc.

    21,520  
  872     

Citigroup, Inc.

    59,546  
  30     

CME Group, Inc.

    4,756  
  355     

CMS Energy Corp.

    16,745  
  521     

Coca-Cola Co. (The)

    22,520  
  15     

Cognex Corp.

    702  
  203     

Colgate-Palmolive Co.

    13,218  
  1,597     

Comcast Corp., Class A

    50,122  
  39     

CommScope Holding Co., Inc. (a)

    1,478  
  152     

Concho Resources, Inc. (a)

    23,819  
  80     

Constellation Brands, Inc., Class A

    18,604  
  10     

Cooper Cos., Inc. (The)

    2,271  
  48     

Corning, Inc.

    1,283  
  3     

CoStar Group, Inc. (a)

    1,214  
  29     

Crown Holdings, Inc. (a)

    1,452  
  125     

Cummins, Inc.

    20,061  
  377     

CVS Health Corp.

    26,341  
  130     

Danaher Corp.

    13,019  
  141     

Deere & Co.

    19,111  
  32     

Dell Technologies, Inc., Class V (a)

    2,272  
  34     

Delphi Technologies plc

    1,634  
  305     

Delta Air Lines, Inc.

    15,915  
  185     

Diamondback Energy, Inc. (a)

    23,763  
  62     

Digital Realty Trust, Inc.

    6,518  
  146     

Discover Financial Services

    10,430  
  271     

DISH Network Corp., Class A (a)

    9,080  
  84     

Dollar General Corp.

    8,070  
  211     

Dollar Tree, Inc. (a)

    20,210  
  811     

DowDuPont, Inc.

    51,260  
  302     

DR Horton, Inc.

    13,327  
  38     

Dr Pepper Snapple Group, Inc.

    4,573  
  83     

Duke Realty Corp.

    2,236  
  61     

DXC Technology Co.

    6,326  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         41  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
 

United States — continued

 
  29    

E*TRADE Financial Corp. (a)

    1,746  
  32    

East West Bancorp, Inc.

    2,159  
  253    

Eastman Chemical Co.

    25,835  
  347    

Eaton Corp. plc

    26,034  
  347    

Eli Lilly & Co.

    28,164  
  340    

EOG Resources, Inc.

    40,134  
  146    

EQT Corp.

    7,330  
  22    

Equinix, Inc.

    9,429  
  171    

Equity Residential

    10,538  
  27    

Essex Property Trust, Inc.

    6,505  
  87    

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

    12,835  
  547    

Exxon Mobil Corp.

    42,531  
  467    

Facebook, Inc., Class A (a)

    80,291  
  206    

Fastenal Co.

    10,291  
  68    

Federal Realty Investment Trust

    7,908  
  (h)   

FedEx Corp.

    (h) 
  197    

Fidelity National Information Services, Inc.

    18,682  
  10    

FleetCor Technologies, Inc. (a)

    2,174  
  55    

Flex Ltd. (a)

    712  
  24    

FNF Group

    898  
  1,517    

Ford Motor Co.

    17,050  
  191    

Franklin Resources, Inc.

    6,432  
  294    

Freeport-McMoRan, Inc.

    4,468  
  139    

General Dynamics Corp.

    27,908  
  367    

Gilead Sciences, Inc.

    26,484  
  156    

Global Payments, Inc.

    17,652  
  34    

Goldman Sachs Group, Inc. (The)

    8,109  
  (h)   

Halliburton Co.

    (h) 
  26    

Harris Corp.

    4,070  
  397    

Hartford Financial Services Group, Inc. (The)

    21,357  
  186    

HCP, Inc.

    4,346  
  25    

HD Supply Holdings, Inc. (a)

    955  
  1,009    

Hewlett Packard Enterprise Co.

    17,199  
  233    

Hilton Worldwide Holdings, Inc.

    18,379  
  39    

Hologic, Inc. (a)

    1,506  
  333    

Home Depot, Inc. (The)

    61,453  
  306    

Honeywell International, Inc.

    44,307  
  887    

HP, Inc.

    19,054  
  1,002    

Huntington Bancshares, Inc.

    14,933  
  8    

IAC/InterActiveCorp (a)

    1,281  
  7    

IDEX Corp.

    982  
  20    

Illumina, Inc. (a)

    4,703  
  309    

Ingersoll-Rand plc

    25,915  
  14    

Ingredion, Inc.

    1,642  
  473    

Intel Corp.

    24,420  
SHARES     SECURITY DESCRIPTION   VALUE($)  
 

United States — continued

 
  307    

Intercontinental Exchange, Inc.

    22,237  
  136    

International Business Machines Corp.

    19,716  
  103    

Intuit, Inc.

    19,035  
  18    

Intuitive Surgical, Inc. (a)

    7,991  
  41    

Invitation Homes, Inc.

    956  
  502    

Johnson & Johnson

    63,444  
  8    

Jones Lang LaSalle, Inc.

    1,376  
  633    

KeyCorp

    12,601  
  205    

Kraft Heinz Co. (The)

    11,540  
  70    

Las Vegas Sands Corp.

    5,109  
  10    

Lear Corp.

    1,832  
  15    

Leidos Holdings, Inc.

    981  
  259    

Lennar Corp., Class A

    13,703  
  7    

Lennox International, Inc.

    1,402  
  23    

Liberty Broadband Corp., Class C (a)

    1,640  
  (h)   

Liberty Interactive Corp. QVC Group, Class A (a)

    8  
  14    

Liberty Media Corp.-Liberty Formula One, Class C (a)

    416  
  24    

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

    990  
  29    

Liberty Property Trust

    1,201  
  181    

Lincoln National Corp.

    12,775  
  11    

Live Nation Entertainment, Inc. (a)

    448  
  290    

Lowe’s Cos., Inc.

    23,873  
  15    

ManpowerGroup, Inc.

    1,464  
  194    

Marathon Petroleum Corp.

    14,556  
  1    

Markel Corp. (a)

    1,458  
  397    

Masco Corp.

    15,044  
  104    

Mastercard, Inc., Class A

    18,604  
  56    

Maxim Integrated Products, Inc.

    3,060  
  70    

McDonald’s Corp.

    11,649  
  446    

Medtronic plc

    35,737  
  434    

Merck & Co., Inc.

    25,570  
  331    

MetLife, Inc.

    15,779  
  180    

Microchip Technology, Inc.

    15,100  
  200    

Micron Technology, Inc. (a)

    9,218  
  1,741    

Microsoft Corp.

    162,839  
  61    

Mid-America Apartment Communities, Inc.

    5,597  
  46    

Mohawk Industries, Inc. (a)

    9,625  
  280    

Molson Coors Brewing Co., Class B

    19,945  
  764    

Mondelez International, Inc., Class A

    30,196  
  734    

Morgan Stanley

    37,894  
  12    

MSCI, Inc.

    1,725  
  109    

Mylan NV (a)

    4,237  
  29    

National Retail Properties, Inc.

    1,100  
  42    

Netflix, Inc. (a)

    13,039  
  66    

Newmont Mining Corp.

    2,575  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
 

United States — continued

 
  223    

NextEra Energy, Inc.

    36,567  
  459    

NIKE, Inc., Class B

    31,385  
  225    

Norfolk Southern Corp.

    32,235  
  97    

Northrop Grumman Corp.

    31,257  
  68    

Nucor Corp.

    4,175  
  191    

NVIDIA Corp.

    42,900  
  (h)   

NVR, Inc. (a)

    837  
  350    

Occidental Petroleum Corp.

    27,042  
  243    

ONEOK, Inc.

    14,634  
  856    

Oracle Corp.

    39,103  
  100    

O’Reilly Automotive, Inc. (a)

    25,602  
  22    

Owens Corning

    1,436  
  281    

PACCAR, Inc.

    17,900  
  16    

Palo Alto Networks, Inc. (a)

    3,117  
  29    

Parker-Hannifin Corp.

    4,708  
  242    

Parsley Energy, Inc., Class A (a)

    7,258  
  53    

PayPal Holdings, Inc. (a)

    3,960  
  438    

PepsiCo, Inc.

    44,241  
  1,578    

Pfizer, Inc.

    57,775  
  116    

PG&E Corp.

    5,360  
  541    

Philip Morris International, Inc.

    44,340  
  165    

Pioneer Natural Resources Co.

    33,294  
  24    

Plains GP Holdings LP, Class A

    591  
  178    

Principal Financial Group, Inc.

    10,512  
  302    

Procter & Gamble Co. (The)

    21,863  
  54    

Prologis, Inc.

    3,490  
  157    

Prudential Financial, Inc.

    16,736  
  393    

Public Service Enterprise Group, Inc.

    20,507  
  42    

Public Storage

    8,517  
  83    

PVH Corp.

    13,248  
  39    

Qurate Retail Group, Inc. QVC Group, Class A (a)

    916  
  17    

Raymond James Financial, Inc.

    1,532  
  13    

Reinsurance Group of America, Inc.

    1,999  
  26    

Robert Half International, Inc.

    1,601  
  144    

Ross Stores, Inc.

    11,608  
  32    

Sabre Corp.

    668  
  246    

salesforce.com, Inc. (a)

    29,785  
  14    

SEI Investments Co.

    868  
  36    

ServiceNow, Inc. (a)

    5,993  
  167    

Shire plc

    8,907  
  379    

Sirius XM Holdings, Inc.

    2,398  
  122    

Snap-on, Inc.

    17,703  
  7    

Spectrum Brands Holdings, Inc.

    507  
  12    

Spirit AeroSystems Holdings, Inc., Class A

    925  
  12    

Splunk, Inc. (a)

    1,246  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

United States — continued

 
  53     

Square, Inc., Class A (a)

    2,512  
  176     

Stanley Black & Decker, Inc.

    24,937  
  126     

Starbucks Corp.

    7,252  
  254     

State Street Corp.

    25,359  
  22     

Steel Dynamics, Inc.

    1,003  
  281     

SunTrust Banks, Inc.

    18,793  
  12     

SVB Financial Group (a)

    3,523  
  226     

Synchrony Financial

    7,492  
  9     

Take-Two Interactive Software, Inc. (a)

    909  
  50     

TD Ameritrade Holding Corp.

    2,879  
  4     

Teleflex, Inc.

    1,117  
  23     

Tesla, Inc. (a)

    6,613  
  411     

Texas Instruments, Inc.

    41,712  
  106     

Thermo Fisher Scientific, Inc.

    22,238  
  167     

Time Warner, Inc.

    15,876  
  303     

T-Mobile US, Inc. (a)

    18,304  
  36     

Toll Brothers, Inc.

    1,527  
  24     

Trimble, Inc. (a)

    821  
  644     

Twenty-First Century Fox, Inc., Class A

    23,559  
  88     

Twenty-First Century Fox, Inc., Class B

    3,156  
  46     

Twitter, Inc. (a)

    1,403  
  64     

Tyson Foods, Inc., Class A

    4,510  
  20     

UGI Corp.

    953  
  350     

Union Pacific Corp.

    46,827  
  16     

United Rentals, Inc. (a)

    2,461  
  253     

United Technologies Corp.

    30,456  
  307     

UnitedHealth Group, Inc.

    72,557  
  22     

Unum Group

    1,085  
  4     

Vail Resorts, Inc.

    991  
  82     

Ventas, Inc.

    4,214  
  252     

VEREIT, Inc.

    1,714  
  346     

Verizon Communications, Inc.

    17,084  
  113     

Vertex Pharmaceuticals, Inc. (a)

    17,316  
  577     

Visa, Inc., Class A

    73,198  
  8     

VMware, Inc., Class A (a)

    1,091  
  162     

Vornado Realty Trust

    11,034  
  199     

Voya Financial, Inc.

    10,410  
  276     

Walgreens Boots Alliance, Inc.

    18,323  
  107     

Walmart, Inc.

    9,485  
  437     

Walt Disney Co. (The)

    43,818  
  58     

Waste Connections, Inc.

    4,170  
  262     

WEC Energy Group, Inc.

    16,832  
  1,099     

Wells Fargo & Co.

    57,115  
  239     

WestRock Co.

    14,116  
  95     

Weyerhaeuser Co.

    3,485  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         43  


Table of Contents

JPMorgan Global Research Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

United States — continued

 
  85     

Workday, Inc., Class A (a)

    10,588  
  193     

Worldpay, Inc. (a)

    15,654  
  43     

Wyndham Worldwide Corp.

    4,855  
  499     

Xcel Energy, Inc.

    23,370  
  231     

Yum Brands, Inc.

    20,102  
  170     

Zimmer Biomet Holdings, Inc.

    19,526  
  41     

Zoetis, Inc.

    3,390  
    

 

 

 
       4,871,960  
    

 

 

 
  

Total Common Stocks
(Cost $6,466,044)

    8,149,691  
    

 

 

 
NUMBER OF
RIGHTS
              
 

Rights — 0.0% (g)

 
  

New Zealand — 0.0% (g)

 
  59     

Fletcher Building Ltd.,
expiring 05/11/2018 (a)
(Cost $—)

    62  
    

 

 

 
SHARES               
 

Short-Term Investment — 2.1%

 
  

Investment Company — 2.1%

 
  173,270     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $173,270)

    173,270  
    

 

 

 
  

Total Investments — 100.1%
(Cost $6,639,314)

    8,323,023  
  

Liabilities in Excess of
Other Assets — (0.1)%

    (5,966
    

 

 

 
  

NET ASSETS — 100.0%

  $ 8,317,057  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     8.7

Oil, Gas & Consumable Fuels

     6.4

Pharmaceuticals

     5.5

Software

     4.2

Insurance

     3.9

IT Services

     3.2

Semiconductors & Semiconductor Equipment

     3.2

Capital Markets

     3.0

Internet Software & Services

     2.8

Technology Hardware, Storage & Peripherals

     2.6

Media

     2.6

Machinery

     2.5

Chemicals

     2.5

Beverages

     2.4

Internet & Direct Marketing Retail

     2.2

Health Care Equipment & Supplies

     2.1

Specialty Retail

     2.0

Equity Real Estate Investment Trusts (REITs)

     1.9

Electric Utilities

     1.9

Aerospace & Defense

     1.9

Hotels, Restaurants & Leisure

     1.8

Biotechnology

     1.8

Automobiles

     1.7

Metals & Mining

     1.7

Health Care Providers & Services

     1.5

Road & Rail

     1.5

Textiles, Apparel & Luxury Goods

     1.4

Tobacco

     1.4

Food & Staples Retailing

     1.4

Food Products

     1.3

Diversified Telecommunication Services

     1.3

Electrical Equipment

     1.1

Industrial Conglomerates

     1.0

Wireless Telecommunication Services

     1.0

Others (each less than 1.0%)

     12.5  

Short-Term Investment

     2.1  
 

 

Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION     

NUMBER OF

CONTRACTS

      

EXPIRATION

DATE

       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

                        

EURO STOXX 50 Index

       878          06/2018          EUR          36,729          993  

S&P 500 E-Mini Index

       489          06/2018          USD          64,719          (3,470

TOPIX Index

       98          06/2018          JPY          15,892          620  
                        

 

 

 
                           (1,857
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Global Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 97.9%

 
 

Austria — 3.4%

 
  1    

ams AG (a)

    51  
  2    

Erste Group Bank AG (a)

    122  
   

 

 

 
      173  
   

 

 

 
 

Brazil — 1.2%

 
  11    

Cielo SA

    60  
   

 

 

 
 

Canada — 2.1%

 
  2    

Toronto-Dominion Bank (The)

    108  
   

 

 

 
 

China — 5.4%

 
  1    

CNOOC Ltd., ADR

    92  
  2    

JD.com, Inc., ADR (a)

    75  
  12    

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

    112  
   

 

 

 
      279  
   

 

 

 
 

France — 6.3%

 
  1    

Airbus SE

    96  
  1    

Safran SA

    123  
  1    

Schneider Electric SE (a)

    108  
   

 

 

 
      327  
   

 

 

 
 

Germany — 4.2%

 
  2    

Delivery Hero AG, Reg. S (a) (e)

    93  
  1    

Linde AG (a)

    123  
   

 

 

 
      216  
   

 

 

 
 

Hong Kong — 2.1%

 
  12    

AIA Group Ltd.

    111  
   

 

 

 
 

India — 3.5%

 
  2    

HDFC Bank Ltd., ADR

    180  
   

 

 

 
 

Japan — 4.2%

 
  3    

Komatsu Ltd.

    99  
  11    

Renesas Electronics Corp. (a)

    117  
   

 

 

 
      216  
   

 

 

 
 

Luxembourg — 1.3%

 
  2    

ArcelorMittal

    66  
   

 

 

 
 

Singapore — 2.2%

 

  5    

DBS Group Holdings Ltd.

    113  
   

 

 

 
 

South Africa — 1.7%

 
  (h)   

Naspers Ltd., Class N

    89  
   

 

 

 
 

Spain — 1.6%

 
  3    

Industria de Diseno Textil SA

    83  
   

 

 

 
 

Switzerland — 3.4%

 
  1    

LafargeHolcim Ltd. (Registered) (a)

    78  
  1    

Novartis AG (Registered)

    98  
   

 

 

 
      176  
   

 

 

 
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
 

Thailand — 2.0%

 
  16    

Kasikornbank PCL

    103  
   

 

 

 
 

United Kingdom — 6.2%

 
  2    

British American Tobacco plc

    89  
  6    

GlaxoSmithKline plc

    118  
  39    

Vodafone Group plc

    113  
   

 

 

 
      320  
   

 

 

 
 

United States — 47.1%

 
  1    

Activision Blizzard, Inc.

    83  
  (h)   

Alphabet, Inc., Class C (a)

    208  
  (h)   

Amazon.com, Inc. (a)

    163  
  1    

BioMarin Pharmaceutical, Inc. (a)

    79  
  (h)   

Broadcom, Inc.

    97  
  2    

Citigroup, Inc.

    170  
  4    

Comcast Corp., Class A

    128  
  2    

DowDuPont, Inc.

    113  
  1    

EQT Corp.

    75  
  (h)   

Facebook, Inc., Class A (a)

    81  
  (h)   

First Republic Bank

    42  
  1    

Microsoft Corp.

    104  
  1    

Molson Coors Brewing Co., Class B

    58  
  2    

NIKE, Inc., Class B

    115  
  1    

Occidental Petroleum Corp.

    96  
  2    

Oracle Corp.

    104  
  1    

Pioneer Natural Resources Co.

    190  
  1    

Stanley Black & Decker, Inc.

    112  
  3    

Synchrony Financial

    99  
  2    

Twenty-First Century Fox, Inc., Class A

    88  
  1    

Union Pacific Corp.

    117  
  (h)   

UnitedHealth Group, Inc.

    113  
   

 

 

 
      2,435  
   

 

 

 
 

Total Common Stocks
(Cost $4,902)

    5,055  
   

 

 

 
 

Short-Term Investment — 1.1%

 
 

Investment Company — 1.1%

 
  56    

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $56)

    56  
   

 

 

 
 

Total Investments — 99.0%
(Cost $4,958)

    5,111  
 

Other Assets in Excess of
Liabilities — 1.0%

    53  
   

 

 

 
 

NET ASSETS — 100.0%

  $ 5,164  
   

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         45  


Table of Contents

JPMorgan Global Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     16.4

Oil, Gas & Consumable Fuels

     8.9

Internet Software & Services

     7.5

Media

     6.0

Software

     5.7

Semiconductors & Semiconductor Equipment

     5.2

Internet & Direct Marketing Retail

     4.7

Chemicals

     4.6

Insurance

     4.4

Aerospace & Defense

     4.3

Pharmaceuticals

     4.2

Machinery

     4.1

Road & Rail

     2.3

Textiles, Apparel & Luxury Goods

     2.2

Health Care Providers & Services

     2.2

Wireless Telecommunication Services

     2.2

Electrical Equipment

     2.1

Consumer Finance

     1.9

Tobacco

     1.7

Specialty Retail

     1.6

Biotechnology

     1.6

Construction Materials

     1.5

Metals & Mining

     1.3

IT Services

     1.2

Beverages

     1.1

Short-Term Investment

     1.1  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan International Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — 98.1%

 
  

Australia — 1.3%

 
  1,710     

BHP Billiton Ltd.

    39,898  
  926     

BHP Billiton plc

    19,736  
    

 

 

 
       59,634  
    

 

 

 
  

Austria — 0.9%

 
  237     

ams AG (a)

    19,587  
  432     

Erste Group Bank AG (a)

    21,129  
    

 

 

 
       40,716  
    

 

 

 
  

Brazil — 0.8%

 
  2,375     

Itau Unibanco Holding SA, ADR

    34,513  
    

 

 

 
  

China — 3.4%

 
  132     

Baidu, Inc., ADR (a)

    33,172  
  8,928     

China Overseas Land & Investment Ltd.

    29,914  
  28,780     

CNOOC Ltd.

    48,688  
  4,329     

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

    42,300  
    

 

 

 
       154,074  
    

 

 

 
  

Denmark — 1.2%

 
  1,197     

Novo Nordisk A/S, Class B

    56,303  
    

 

 

 
  

France — 12.4%

 
  935     

Accor SA

    52,856  
  1,432     

AXA SA

    40,955  
  1,024     

BNP Paribas SA

    79,052  
  251     

Essilor International Cie Generale d’Optique SA

    34,331  
  338     

Imerys SA

    30,883  
  159     

LVMH Moet Hennessy Louis Vuitton SE

    55,473  
  3,486     

Orange SA

    63,379  
  287     

Pernod Ricard SA

    47,685  
  571     

Safran SA

    66,926  
  395     

Sanofi

    31,218  
  668     

Schneider Electric SE (a)

    60,578  
    

 

 

 
       563,336  
    

 

 

 
  

Germany — 8.6%

 
  304     

Allianz SE (Registered)

    71,838  
  496     

Bayer AG (Registered)

    59,234  
  263     

Continental AG

    70,073  
  416     

Fresenius Medical Care AG & Co. KGaA

    42,176  
  299     

Linde AG (a)

    66,272  
  717     

SAP SE

    79,670  
    

 

 

 
       389,263  
    

 

 

 
  

Hong Kong — 4.3%

 
  10,679     

AIA Group Ltd.

    95,437  
  5,557     

CK Asset Holdings Ltd.

    47,969  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Hong Kong — continued

 
  4,313     

CK Hutchison Holdings Ltd.

    51,001  
    

 

 

 
       194,407  
    

 

 

 
  

India — 1.2%

 
  544     

HDFC Bank Ltd., ADR

    52,093  
    

 

 

 
  

Indonesia — 0.5%

 
  46,465     

Astra International Tbk. PT

    23,782  
    

 

 

 
  

Italy — 1.1%

 
  2,328     

UniCredit SpA

    50,476  
    

 

 

 
  

Japan — 17.7%

 
  955     

Asahi Group Holdings Ltd.

    48,309  
  488     

Daikin Industries Ltd.

    57,018  
  215     

FANUC Corp.

    45,969  
  2,042     

Honda Motor Co. Ltd.

    70,213  
  2,208     

Inpex Corp.

    28,224  
  74     

Keyence Corp.

    45,368  
  1,657     

Komatsu Ltd.

    56,495  
  3,535     

Kubota Corp.

    59,604  
  840     

Makita Corp.

    37,645  
  1,513     

Mitsui Fudosan Co. Ltd.

    38,761  
  324     

Nidec Corp.

    50,734  
  355     

Nitto Denko Corp.

    26,363  
  2,138     

Renesas Electronics Corp. (a)

    22,300  
  541     

Shin-Etsu Chemical Co. Ltd.

    54,279  
  113     

SMC Corp.

    43,053  
  1,851     

Sumitomo Mitsui Financial Group, Inc.

    77,130  
  218     

Tokyo Electron Ltd.

    41,925  
    

 

 

 
       803,390  
    

 

 

 
  

Macau — 0.7%

 
  5,503     

Sands China Ltd.

    31,805  
    

 

 

 
  

Netherlands — 6.0%

 
  418     

ASML Holding NV

    79,554  
  3,961     

ING Groep NV

    66,739  
  3,674     

Royal Dutch Shell plc, Class A

    127,832  
    

 

 

 
       274,125  
    

 

 

 
  

Singapore — 1.6%

 
  3,087     

DBS Group Holdings Ltd.

    71,219  
    

 

 

 
  

South Africa — 0.7%

 
  133     

Naspers Ltd., Class N

    32,490  
    

 

 

 
  

South Korea — 2.4%

 
  105     

Hyundai Mobis Co. Ltd.

    24,348  
  71     

Samsung Electronics Co. Ltd., Reg. S, GDR

    86,614  
    

 

 

 
       110,962  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         47  


Table of Contents

JPMorgan International Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Spain — 2.3%

 
  8,813     

Banco Bilbao Vizcaya Argentaria SA

    71,318  
  1,043     

Industria de Diseno Textil SA

    32,346  
    

 

 

 
       103,664  
    

 

 

 
  

Sweden — 1.3%

 
  1,498     

Atlas Copco AB, Class A

    58,595  
    

 

 

 
  

Switzerland — 11.4%

 
  2,228     

ABB Ltd. (Registered)

    51,946  
  661     

Cie Financiere Richemont SA (Registered)

    62,871  
  713     

Ferguson plc

    54,547  
  13,010     

Glencore plc (a)

    62,669  
  386     

LafargeHolcim Ltd. (Registered) (a)

    21,552  
  537     

LafargeHolcim Ltd. (Registered) (a)

    29,837  
  1,044     

Novartis AG (Registered)

    80,392  
  350     

Roche Holding AG

    77,837  
  4,486     

UBS Group AG (Registered) (a)

    75,296  
    

 

 

 
       516,947  
    

 

 

 
  

Taiwan — 0.8%

 
  956     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    36,758  
    

 

 

 
  

United Kingdom — 17.5%

 
  7,582     

Aviva plc

    55,089  
  1,418     

British American Tobacco plc

    77,751  
  1,908     

Burberry Group plc

    47,920  
  2,263     

GlaxoSmithKline plc

    45,396  
  5,201     

Meggitt plc

    33,691  
  717     

Persimmon plc

    26,793  
  3,119     

Prudential plc

    80,200  
  2,354     

RELX NV

    50,086  
  744     

Rio Tinto Ltd.

    44,296  
  603     

Rio Tinto plc

    32,871  
  5,187     

Standard Chartered plc

    54,488  
  1,084     

TechnipFMC plc

    35,557  
  1,723     

Unilever plc

    96,667  
  21,930     

Vodafone Group plc

    63,997  
  2,995     

WPP plc

    51,388  
    

 

 

 
       796,190  
    

 

 

 
  

Total Common Stocks
(Cost $3,557,730)

    4,454,742  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 1.2%

 
  

Investment Company — 1.2%

 

  52,920     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.58% (b) (l)
(Cost $52,920)

    52,920  
    

 

 

 
  

Total Investments — 99.3%
(Cost $3,610,650)

    4,507,662  
  

Other Assets in Excess of
Liabilities — 0.7%

    30,690  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 4,538,352  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     12.8

Insurance

     8.6

Pharmaceuticals

     7.8

Machinery

     6.7

Oil, Gas & Consumable Fuels

     4.5

Semiconductors & Semiconductor Equipment

     4.4

Metals & Mining

     4.4

Textiles, Apparel & Luxury Goods

     3.7

Electrical Equipment

     3.6

Chemicals

     3.3

Real Estate Management & Development

     2.6

Aerospace & Defense

     2.2

Personal Products

     2.2

Beverages

     2.1

Auto Components

     2.1

Automobiles

     2.1

Technology Hardware, Storage & Peripherals

     1.9

Hotels, Restaurants & Leisure

     1.9

Media

     1.9

Construction Materials

     1.8

Software

     1.8

Tobacco

     1.7

Capital Markets

     1.7

Wireless Telecommunication Services

     1.4

Diversified Telecommunication Services

     1.4

Building Products

     1.3

Trading Companies & Distributors

     1.2

Industrial Conglomerates

     1.1

Professional Services

     1.1

Electronic Equipment, Instruments & Components

     1.0

Others (each less than 1.0%)

     4.5  

Short-Term Investment

     1.2  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan International Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — 98.1%

 
  

Australia — 3.7%

 

  137     

Australia & New Zealand Banking Group Ltd.

    2,749  
  126     

BHP Billiton plc

    2,687  
  215     

Transurban Group

    1,875  
    

 

 

 
       7,311  
    

 

 

 
  

Canada — 1.2%

 

  55     

TransCanada Corp.

    2,326  
    

 

 

 
  

China — 2.1%

 

  1,522     

China Construction Bank Corp., Class H

    1,595  
  1,511     

CNOOC Ltd.

    2,556  
    

 

 

 
       4,151  
    

 

 

 
  

Finland — 1.8%

 

  39     

Konecranes OYJ

    1,588  
  56     

UPM-Kymmene OYJ

    1,999  
    

 

 

 
       3,587  
    

 

 

 
  

France — 18.3%

 

  27     

Airbus SE

    3,211  
  44     

BNP Paribas SA

    3,428  
  17     

Capgemini SE

    2,324  
  26     

Cie Generale des Etablissements Michelin SCA

    3,636  
  8     

LVMH Moet Hennessy Louis Vuitton SE

    2,945  
  137     

Orange SA

    2,488  
  26     

Publicis Groupe SA

    1,907  
  24     

Sanofi

    1,905  
  24     

Schneider Electric SE (a)

    2,153  
  65     

TOTAL SA

    4,081  
  18     

Unibail-Rodamco SE

    4,299  
  43     

Vinci SA

    4,324  
    

 

 

 
       36,701  
    

 

 

 
  

Germany — 6.0%

 

  18     

Allianz SE (Registered)

    4,213  
  41     

Daimler AG (Registered)

    3,202  
  14     

Deutsche Boerse AG

    1,942  
  103     

Deutsche Telekom AG (Registered)

    1,811  
  2     

Puma SE

    934  
    

 

 

 
       12,102  
    

 

 

 
  

Italy — 1.7%

 

  534     

Enel SpA

    3,390  
    

 

 

 
  

Japan — 15.9%

 

  294     

Amada Holdings Co. Ltd.

    3,526  
  17     

Bandai Namco Holdings, Inc.

    565  
  72     

Bridgestone Corp.

    3,018  
  56     

Japan Airlines Co. Ltd.

    2,210  
  96     

JFE Holdings, Inc.

    1,966  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Japan — continued

 

  138     

Mitsubishi Corp.

    3,814  
  56     

Mitsui & Co. Ltd.

    1,013  
  61     

NTT DOCOMO, Inc.

    1,576  
  80     

Sumitomo Mitsui Financial Group, Inc.

    3,317  
  39     

Sumitomo Mitsui Trust Holdings, Inc.

    1,645  
  69     

Tokio Marine Holdings, Inc.

    3,252  
  55     

Toyota Motor Corp.

    3,633  
  37     

Trend Micro, Inc.

    2,218  
    

 

 

 
       31,753  
    

 

 

 
  

Macau — 1.2%

 

  411     

Sands China Ltd.

    2,374  
    

 

 

 
  

Netherlands — 7.4%

 

  10     

ASML Holding NV

    1,831  
  212     

ING Groep NV

    3,574  
  129     

Koninklijke Ahold Delhaize NV

    3,102  
  183     

Royal Dutch Shell plc, Class A

    6,379  
    

 

 

 
       14,886  
    

 

 

 
  

Norway — 1.8%

 

  324     

Norsk Hydro ASA

    2,025  
  68     

Telenor ASA

    1,501  
    

 

 

 
       3,526  
    

 

 

 
  

Singapore — 1.4%

 

  122     

DBS Group Holdings Ltd.

    2,815  
    

 

 

 
  

South Korea — 1.1%

 

  1     

Samsung Electronics Co. Ltd. (bb)

    2,139  
    

 

 

 
  

Spain — 3.7%

 

  508     

Banco Santander SA

    3,284  
  546     

Iberdrola SA

    4,216  
    

 

 

 
       7,500  
    

 

 

 
  

Sweden — 2.3%

 

  276     

Nordea Bank AB

    2,803  
  169     

Svenska Handelsbanken AB, Class A

    1,882  
    

 

 

 
       4,685  
    

 

 

 
  

Switzerland — 9.8%

 

  37     

Ferguson plc

    2,808  
  43     

LafargeHolcim Ltd. (Registered) (a)

    2,390  
  31     

Nestle SA (Registered)

    2,431  
  61     

Novartis AG (Registered)

    4,665  
  9     

Roche Holding AG

    2,056  
  34     

Swiss Re AG

    3,251  
  6     

Zurich Insurance Group AG (a)

    2,057  
    

 

 

 
       19,658  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         49  


Table of Contents

JPMorgan International Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Taiwan — 1.2%

 

  64     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    2,453  
    

 

 

 
  

United Kingdom — 17.5%

 

  44     

AstraZeneca plc

    3,101  
  336     

Aviva plc

    2,438  
  67     

British American Tobacco plc

    3,681  
  87     

Diageo plc

    3,096  
  147     

GlaxoSmithKline plc

    2,939  
  370     

HSBC Holdings plc

    3,682  
  31     

Persimmon plc

    1,150  
  73     

Prudential plc

    1,877  
  84     

Rio Tinto plc

    4,602  
  433     

Taylor Wimpey plc

    1,140  
  67     

Unilever NV, CVA

    3,846  
  1,166     

Vodafone Group plc

    3,402  
    

 

 

 
       34,954  
    

 

 

 
  

Total Common Stocks
(Cost $182,093)

    196,311  
    

 

 

 
 

Short-Term Investment — 1.9%

 
  

Investment Company — 1.9%

 
  3,844     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $3,844)

    3,844  
    

 

 

 
  

Total Investments — 100.0%
(Cost $185,937)

    200,155  
  

Liabilities in Excess of
Other Assets — 0.0% 
(g)

    (81
    

 

 

 
  

NET ASSETS — 100.0%

  $ 200,074  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     15.4

Insurance

     8.5

Oil, Gas & Consumable Fuels

     7.7

Pharmaceuticals

     7.3

Metals & Mining

     5.6

Trading Companies & Distributors

     3.8

Electric Utilities

     3.8

Automobiles

     3.4

Auto Components

     3.3

Diversified Telecommunication Services

     2.9

Machinery

     2.6

Wireless Telecommunication Services

     2.5

Construction & Engineering

     2.2

Equity Real Estate Investment Trusts (REITs)

     2.2

Semiconductors & Semiconductor Equipment

     2.1

Textiles, Apparel & Luxury Goods

     1.9

Personal Products

     1.9

Tobacco

     1.8

Aerospace & Defense

     1.6

Food & Staples Retailing

     1.6

Beverages

     1.5

Food Products

     1.2

Construction Materials

     1.2

Hotels, Restaurants & Leisure

     1.2

IT Services

     1.2

Household Durables

     1.1

Software

     1.1

Airlines

     1.1

Electrical Equipment

     1.1

Technology Hardware, Storage & Peripherals

     1.1

Paper & Forest Products

     1.0

Capital Markets

     1.0

Media

     1.0

Others (each less than 1.0%)

     1.2  

Short-Term Investment

     1.9  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan International Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — 95.8%

 
  

Australia — 4.7%

 

  2,719     

Australia & New Zealand Banking Group Ltd.

    54,658  
  2,889     

BHP Billiton Ltd.

    67,393  
  286     

Commonwealth Bank of Australia

    15,421  
  141     

CSL Ltd.

    18,043  
  3,550     

Dexus

    25,244  
  5,364     

Goodman Group

    36,497  
  182     

Macquarie Group Ltd.

    14,803  
  265     

National Australia Bank Ltd.

    5,768  
  812     

Wesfarmers Ltd.

    26,701  
  464     

Westpac Banking Corp.

    9,977  
    

 

 

 
       274,505  
    

 

 

 
  

Austria — 0.4%

 

  478     

Erste Group Bank AG (a)

    23,394  
  14     

Immofinanz AG (a)

    37  
    

 

 

 
       23,431  
    

 

 

 
  

Belgium — 1.0%

 

  601     

Anheuser-Busch InBev SA/NV

    59,734  
    

 

 

 
  

China — 0.5%

 

  6,108     

BOC Hong Kong Holdings Ltd.

    31,576  
    

 

 

 
  

Denmark — 0.8%

 

  228     

Chr Hansen Holding A/S

    20,675  
  579     

Novo Nordisk A/S, Class B

    27,235  
    

 

 

 
       47,910  
    

 

 

 
  

Finland — 1.5%

 

  369     

Cargotec OYJ, Class B

    18,798  
  5,230     

Nokia OYJ

    31,380  
  3,538     

Outokumpu OYJ

    22,897  
  643     

Wartsila OYJ Abp

    13,647  
    

 

 

 
       86,722  
    

 

 

 
  

France — 12.2%

 

  558     

Air Liquide SA

    72,529  
  487     

Airbus SE

    57,172  
  736     

Alstom SA

    33,527  
  2,103     

AXA SA

    60,147  
  972     

BNP Paribas SA

    75,072  
  236     

Capgemini SE

    32,426  
  335     

Pernod Ricard SA

    55,714  
  456     

Renault SA

    49,427  
  717     

Sanofi

    56,663  
  667     

Schneider Electric SE (a)

    60,500  
  388     

Sodexo SA

    38,439  
  1,390     

TOTAL SA

    87,380  
  114     

Vinci SA

    11,366  
  819     

Vivendi SA

    21,605  
    

 

 

 
       711,967  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Germany — 9.6%

 

  117     

adidas AG

    28,757  
  40     

Allianz SE (Registered)

    9,468  
  202     

BASF SE

    21,015  
  552     

Bayer AG (Registered)

    65,945  
  593     

Brenntag AG

    33,946  
  827     

Daimler AG (Registered)

    65,046  
  705     

Deutsche Bank AG (Registered)

    9,644  
  266     

Deutsche Boerse AG

    35,724  
  1,096     

Deutsche Post AG (Registered)

    47,555  
  2,175     

Deutsche Telekom AG (Registered)

    38,068  
  118     

HeidelbergCement AG

    11,567  
  339     

Henkel AG & Co. KGaA (Preference)

    43,142  
  1,086     

Infineon Technologies AG

    27,802  
  64     

Linde AG (a)

    14,133  
  709     

SAP SE

    78,754  
  255     

Siemens AG (Registered)

    32,439  
    

 

 

 
       563,005  
    

 

 

 
  

Hong Kong — 2.1%

 

  6,284     

AIA Group Ltd.

    56,165  
  2,900     

CK Asset Holdings Ltd.

    25,037  
  3,399     

CK Hutchison Holdings Ltd.

    40,195  
  254     

I-CABLE Communications Ltd. (a)

    5  
    

 

 

 
       121,402  
    

 

 

 
  

Ireland — 0.6%

 

  329     

Ryanair Holdings plc, ADR (a)

    36,147  
    

 

 

 
  

Israel — 0.2%

 

  657     

Teva Pharmaceutical Industries Ltd., ADR

    11,816  
    

 

 

 
  

Italy — 2.7%

 

  1,953     

Assicurazioni Generali SpA

    39,405  
  10,495     

Enel SpA

    66,575  
  24,023     

Telecom Italia SpA (a)

    23,698  
  1,339     

UniCredit SpA

    29,024  
    

 

 

 
       158,702  
    

 

 

 
  

Japan — 23.9%

 

  419     

Asahi Group Holdings Ltd.

    21,201  
  1,127     

Bridgestone Corp.

    47,120  
  136     

Central Japan Railway Co.

    27,312  
  2,257     

Daicel Corp.

    26,036  
  442     

Daikin Industries Ltd.

    51,667  
  1,335     

DMG Mori Co. Ltd.

    24,938  
  316     

Electric Power Development Co. Ltd.

    8,591  
  2,150     

Hitachi Ltd.

    15,692  
  1,611     

Honda Motor Co. Ltd.

    55,382  
  846     

Japan Airlines Co. Ltd.

    33,379  
  1,100     

Japan Tobacco, Inc.

    29,564  
  579     

Kao Corp.

    41,586  
  602     

KDDI Corp.

    16,157  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         51  


Table of Contents

JPMorgan International Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

Japan — continued

 

  26     

Keyence Corp.

    15,793  
  691     

Kyowa Hakko Kirin Co. Ltd.

    14,956  
  897     

Kyushu Electric Power Co., Inc.

    11,109  
  869     

Mabuchi Motor Co. Ltd.

    43,639  
  2,087     

Marui Group Co. Ltd.

    43,317  
  1,996     

Mitsubishi Corp.

    55,035  
  10,130     

Mitsubishi UFJ Financial Group, Inc.

    67,881  
  1,335     

NGK Spark Plug Co. Ltd.

    34,235  
  43     

Nintendo Co. Ltd.

    17,858  
  715     

Nippon Telegraph & Telephone Corp.

    33,916  
  544     

Nomura Research Institute Ltd.

    28,024  
  586     

Olympus Corp.

    21,863  
  492     

Otsuka Corp.

    22,775  
  831     

Otsuka Holdings Co. Ltd.

    43,421  
  2,578     

Panasonic Corp.

    38,168  
  4,454     

Renesas Electronics Corp. (a)

    46,463  
  1,137     

Seven & i Holdings Co. Ltd.

    50,097  
  382     

Sony Corp.

    17,827  
  1,779     

Sumitomo Electric Industries Ltd.

    27,235  
  1,226     

Sumitomo Mitsui Financial Group, Inc.

    51,085  
  2,115     

T&D Holdings, Inc.

    35,918  
  769     

Tokio Marine Holdings, Inc.

    36,309  
  544     

Tokyo Gas Co. Ltd.

    14,590  
  2,226     

Tokyu Corp.

    37,358  
  3,863     

Toray Industries, Inc.

    36,057  
  1,379     

Toyota Motor Corp.

    90,438  
  442     

West Japan Railway Co.

    31,227  
  1,208     

Yamato Holdings Co. Ltd.

    31,048  
    

 

 

 
       1,396,267  
    

 

 

 
  

Luxembourg — 0.5%

 

  903     

ArcelorMittal

    30,607  
    

 

 

 
  

Malta — 0.0% (g)

 

  449     

BGP Holdings Beneficial (a) (bb)

    (h) 
    

 

 

 
  

Netherlands — 6.2%

 

  377     

Akzo Nobel NV

    34,178  
  227     

ASML Holding NV

    43,127  
  286     

Heineken NV

    30,115  
  3,799     

ING Groep NV

    64,021  
  814     

Koninklijke Philips NV

    34,435  
  1,833     

Royal Dutch Shell plc, Class A

    63,773  
  2,530     

Royal Dutch Shell plc, Class B

    90,317  
    

 

 

 
       359,966  
    

 

 

 
  

Singapore — 1.3%

 

  1,585     

DBS Group Holdings Ltd.

    36,572  
  1,598     

United Overseas Bank Ltd.

    36,186  
    

 

 

 
       72,758  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Spain — 3.4%

 

  4,809     

Banco Santander SA

    31,069  
  6,897     

Bankia SA

    30,259  
  8,630     

Iberdrola SA

    66,675  
  1,584     

Industria de Diseno Textil SA

    49,089  
  2,317     

Telefonica SA

    23,615  
    

 

 

 
       200,707  
    

 

 

 
  

Sweden — 0.6%

 

  3,116     

Svenska Handelsbanken AB, Class A

    34,747  
    

 

 

 
  

Switzerland — 8.6%

 

  377     

Cie Financiere Richemont SA (Registered)

    35,843  
  1,702     

Credit Suisse Group AG (Registered) (a)

    28,704  
  633     

Ferguson plc

    48,458  
  100     

LafargeHolcim Ltd. (Registered) (a)

    5,557  
  728     

LafargeHolcim Ltd. (Registered) (a)

    40,468  
  1,419     

Nestle SA (Registered)

    109,943  
  751     

Novartis AG (Registered)

    57,817  
  396     

Roche Holding AG

    88,042  
  376     

Swiss Re AG

    35,831  
  1,947     

UBS Group AG (Registered) (a)

    32,684  
  50     

Zurich Insurance Group AG (a)

    15,918  
    

 

 

 
       499,265  
    

 

 

 
  

United Kingdom — 14.1%

 

  2,493     

3i Group plc

    32,186  
  234     

AstraZeneca plc

    16,383  
  4,812     

Aviva plc

    34,960  
  1,999     

Barratt Developments plc

    15,332  
  7,558     

BP plc

    56,142  
  1,564     

British American Tobacco plc

    85,801  
  1,155     

Burberry Group plc

    29,015  
  171     

Diageo plc

    6,084  
  3,668     

Dixons Carphone plc

    10,229  
  2,703     

GlaxoSmithKline plc

    54,211  
  6,518     

HSBC Holdings plc

    64,895  
  474     

InterContinental Hotels Group plc

    29,902  
  12,036     

ITV plc

    25,040  
  31,325     

Lloyds Banking Group plc

    27,784  
  2,485     

Prudential plc

    63,896  
  855     

Rio Tinto Ltd.

    50,899  
  204     

Rio Tinto plc

    11,134  
  4,561     

Standard Chartered plc

    47,905  
  7,812     

Taylor Wimpey plc

    20,573  
  371     

TechnipFMC plc

    12,159  
  604     

Unilever NV, CVA

    34,613  
  26,707     

Vodafone Group plc

    77,937  
  220     

Whitbread plc

    12,931  
    

 

 

 
       820,011  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stock — continued

 
  

United States — 0.9%

 

  938     

Shire plc

    49,974  
    

 

 

 
  

Total Common Stocks
(Cost $5,261,949)

    5,591,219  
    

 

 

 
PRINCIPAL
AMOUNT($)
              
 

Corporate Bond — 0.0% (g)

 
  

Materials — 0.0% (g)

 
  

Metals & Mining — 0.0% (g)

 
BRL  11     

Vale SA, Series A6, 0.00%, (d) (x) (y) (aa) (bb) (Cost $—)

    (h) 
    

 

 

 
SHARES               
 

Short-Term Investment — 3.6%

 
  

Investment Company — 3.6%

 

  211,220     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.58% (b) (l)
(Cost $211,220)

    211,220  
    

 

 

 
  

Total Investments — 99.4%
(Cost $5,473,169)

    5,802,439  
  

Other Assets in Excess of
Liabilities — 0.6%

    34,126  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 5,836,565  
    

 

 

 

 

Percentages indicated are based on net assets.

 

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     12.7

Pharmaceuticals

     7.5

Insurance

     6.7

Oil, Gas & Consumable Fuels

     5.1

Automobiles

     4.5

Chemicals

     3.9

Metals & Mining

     3.1

Beverages

     3.0

Capital Markets

     2.6

Electric Utilities

     2.5

Trading Companies & Distributors

     2.4

Diversified Telecommunication Services

     2.1

Semiconductors & Semiconductor Equipment

     2.0

Tobacco

     2.0

Food Products

     1.9

Auto Components

     1.9

Electrical Equipment

     1.8

Software

     1.7

Road & Rail

     1.6

Wireless Telecommunication Services

     1.6

Textiles, Apparel & Luxury Goods

     1.6

Household Durables

     1.6

Machinery

     1.6

IT Services

     1.4

Hotels, Restaurants & Leisure

     1.4

Air Freight & Logistics

     1.4

Food & Staples Retailing

     1.3

Personal Products

     1.3

Industrial Conglomerates

     1.2

Airlines

     1.2

Biotechnology

     1.2

Equity Real Estate Investment Trusts (REITs)

     1.1

Specialty Retail

     1.0

Construction Materials

     1.0

Aerospace & Defense

     1.0

Health Care Equipment & Supplies

     1.0

Others (each less than 1.0%)

     5.5  

Short-Term Investment

     3.6  
 

 

Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
    

TRADING

CURRENCY

       NOTIONAL
AMOUNT ($)
      

VALUE AND

UNREALIZED
APPRECIATION

(DEPRECIATION) ($)

 

Long Contracts

                        
EURO STOXX 50 Index        2,004        06/2018        EUR          83,831          3,885  
FTSE 100 Index        532        06/2018        GBP          54,541          3,028  
TOPIX Index        397        06/2018        JPY          64,379          2,439  
                        

 

 

 
                           9,352  
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         53  


Table of Contents

JPMorgan International Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 96.3%

 
  

Australia — 2.6%

 
  675     

BHP Billiton plc

    14,401  
    

 

 

 
  

Austria — 2.9%

 

  77     

ams AG (a)

    6,332  
  208     

Erste Group Bank AG (a)

    10,180  
    

 

 

 
       16,512  
    

 

 

 
  

Brazil — 2.5%

 

  968     

Itau Unibanco Holding SA (Preference)

    14,052  
    

 

 

 
  

Canada — 2.7%

 

  192     

Alimentation Couche-Tard, Inc., Class B

    8,291  
  90     

Canadian National Railway Co.

    6,945  
    

 

 

 
       15,236  
    

 

 

 
  

China — 8.9%

 

  3,094     

China Overseas Land & Investment Ltd.

    10,367  
  7,713     

CNOOC Ltd.

    13,048  
  614     

CNOOC Ltd.

    1,027  
  235     

JD.com, Inc., ADR (a)

    8,596  
  1,761     

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

    17,203  
    

 

 

 
       50,241  
    

 

 

 
  

Denmark — 1.0%

 

  124     

Novo Nordisk A/S, Class B

    5,823  
    

 

 

 
  

Finland — 1.4%

 

  382     

Wartsila OYJ Abp

    8,104  
    

 

 

 
  

France — 3.9%

 

  200     

Accor SA

    11,329  
  90     

Safran SA

    10,563  
    

 

 

 
       21,892  
    

 

 

 
  

Germany — 9.9%

 

  98     

Bayer AG (Registered)

    11,735  
  52     

Continental AG

    13,813  
  183     

Delivery Hero AG, Reg. S (a) (e)

    8,708  
  72     

Linde AG (a)

    15,957  
  109     

Zalando SE, Reg. S (a) (e)

    5,611  
    

 

 

 
       55,824  
    

 

 

 
  

Hong Kong — 5.9%

 

  1,935     

AIA Group Ltd.

    17,297  
  1,888     

CK Asset Holdings Ltd.

    16,295  
    

 

 

 
       33,592  
    

 

 

 
  

India — 3.2%

 

  186     

HDFC Bank Ltd., ADR

    17,801  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Indonesia — 2.2%

 

  7,945     

Bank Central Asia Tbk. PT

    12,563  
    

 

 

 
  

Japan — 8.6%

 

  36     

FANUC Corp.

    7,626  
  344     

Komatsu Ltd.

    11,737  
  395     

Kubota Corp.

    6,658  
  626     

ORIX Corp.

    10,971  
  115     

Shin-Etsu Chemical Co. Ltd.

    11,530  
    

 

 

 
       48,522  
    

 

 

 
  

Netherlands — 8.9%

 

  50     

ASML Holding NV

    9,593  
  800     

ING Groep NV

    13,478  
  189     

NN Group NV

    9,069  
  523     

Royal Dutch Shell plc, Class A

    18,310  
    

 

 

 
       50,450  
    

 

 

 
  

South Africa — 2.1%

 

  50     

Naspers Ltd., Class N

    12,119  
    

 

 

 
  

South Korea — 4.8%

 

  69     

Hyundai Motor Co.

    10,237  
  6     

Samsung Electronics Co. Ltd., Reg. S, GDR

    7,228  
  8     

Samsung Electronics Co. Ltd., Reg. S, GDR

    9,681  
    

 

 

 
       27,146  
    

 

 

 
  

Spain — 2.0%

 

  1,395     

Banco Bilbao Vizcaya Argentaria SA

    11,288  
    

 

 

 
  

Switzerland — 9.6%

 

  108     

Cie Financiere Richemont SA (Registered)

    10,264  
  149     

Ferguson plc

    11,404  
  2,578     

Glencore plc (a)

    12,416  
  195     

LafargeHolcim Ltd. (Registered) (a)

    10,816  
  555     

UBS Group AG (Registered) (a)

    9,311  
    

 

 

 
       54,211  
    

 

 

 
  

United Kingdom — 13.2%

 

  2,041     

Aviva plc

    14,826  
  238     

British American Tobacco plc

    13,052  
  414     

RELX NV

    8,810  
  496     

Smith & Nephew plc

    9,492  
  276     

Unilever NV, CVA

    15,821  
  730     

WPP plc

    12,525  
    

 

 

 
       74,526  
    

 

 

 
  

Total Common Stocks
(Cost $508,334)

    544,303  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 3.2%

 
  

Investment Company — 3.2%

 

  18,009     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.58% (b) (l)
(Cost $18,009)

    18,009  
    

 

 

 
  

Total Investments — 99.5%
(Cost $526,343)

    562,312  
  

Other Assets in Excess of
Liabilities — 0.5%

    3,104  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 565,416  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     14.1

Insurance

     10.4

Machinery

     6.1

Oil, Gas & Consumable Fuels

     5.8

Chemicals

     4.9

Metals & Mining

     4.8

Real Estate Management & Development

     4.7

Media

     4.4

Pharmaceuticals

     3.1

Technology Hardware, Storage & Peripherals

     3.0

Semiconductors & Semiconductor Equipment

     2.8

Personal Products

     2.8

Internet & Direct Marketing Retail

     2.5

Auto Components

     2.5

Tobacco

     2.3

Trading Companies & Distributors

     2.0

Hotels, Restaurants & Leisure

     2.0

Diversified Financial Services

     2.0

Construction Materials

     1.9

Aerospace & Defense

     1.9

Textiles, Apparel & Luxury Goods

     1.8

Automobiles

     1.8

Health Care Equipment & Supplies

     1.7

Capital Markets

     1.7

Professional Services

     1.6

Internet Software & Services

     1.5

Food & Staples Retailing

     1.5

Road & Rail

     1.2

Short-Term Investment

     3.2  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         55  


Table of Contents

JPMorgan International Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 98.9%

 
  

Australia — 3.1%

 
  815     

Australia & New Zealand Banking Group Ltd.

    16,392  
  1,109     

Goodman Group

    7,543  
    

 

 

 
       23,935  
    

 

 

 
  

Austria — 1.3%

 

  203     

Erste Group Bank AG (a)

    9,940  
    

 

 

 
  

Belgium — 2.1%

 

  103     

Anheuser-Busch InBev SA/NV

    10,278  
  63     

KBC Group NV

    5,443  
    

 

 

 
       15,721  
    

 

 

 
  

Canada — 1.3%

 

  228     

TransCanada Corp.

    9,669  
    

 

 

 
  

China — 0.6%

 

  2,536     

CNOOC Ltd.

    4,290  
    

 

 

 
  

Finland — 0.9%

 

  1,029     

Outokumpu OYJ

    6,661  
    

 

 

 
  

France — 15.3%

 

  105     

Air Liquide SA

    13,611  
  79     

Airbus SE

    9,250  
  582     

AXA SA

    16,633  
  223     

BNP Paribas SA

    17,197  
  110     

Renault SA

    11,927  
  127     

Sanofi

    10,019  
  139     

Schneider Electric SE (a)

    12,608  
  393     

TOTAL SA

    24,700  
    

 

 

 
       115,945  
    

 

 

 
  

Germany — 7.1%

 

  28     

BASF SE

    2,956  
  51     

Bayer AG (Registered)

    6,108  
  105     

Brenntag AG

    6,012  
  161     

Daimler AG (Registered)

    12,631  
  52     

Deutsche Boerse AG

    6,942  
  32     

HeidelbergCement AG

    3,098  
  175     

Infineon Technologies AG

    4,482  
  92     

Siemens AG (Registered)

    11,624  
    

 

 

 
       53,853  
    

 

 

 
  

Ireland — 0.9%

 

  61     

Ryanair Holdings plc, ADR (a)

    6,743  
    

 

 

 
  

Israel — 0.2%

 

  98     

Teva Pharmaceutical Industries Ltd., ADR

    1,763  
    

 

 

 
  

Italy — 3.9%

 

  2,467     

Enel SpA

    15,647  
  2,178     

Intesa Sanpaolo SpA

    8,285  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Italy — continued

 

  5,733     

Telecom Italia SpA (a)

    5,655  
    

 

 

 
       29,587  
    

 

 

 
  

Japan — 24.4%

 

  260     

Bridgestone Corp.

    10,877  
  76     

Daikin Industries Ltd.

    8,901  
  276     

DMG Mori Co. Ltd.

    5,157  
  496     

Honda Motor Co. Ltd.

    17,066  
  159     

Japan Airlines Co. Ltd.

    6,267  
  317     

Japan Tobacco, Inc.

    8,513  
  131     

Mabuchi Motor Co. Ltd.

    6,566  
  233     

Marui Group Co. Ltd.

    4,828  
  433     

Mitsubishi Corp.

    11,949  
  2,809     

Mitsubishi UFJ Financial Group, Inc.

    18,822  
  236     

Mitsui Fudosan Co. Ltd.

    6,038  
  310     

NGK Spark Plug Co. Ltd.

    7,953  
  284     

Nippon Telegraph & Telephone Corp.

    13,477  
  137     

Otsuka Corp.

    6,330  
  323     

Panasonic Corp.

    4,784  
  200     

Renesas Electronics Corp. (a)

    2,088  
  327     

Sumitomo Electric Industries Ltd.

    4,998  
  160     

Sumitomo Mitsui Financial Group, Inc.

    6,685  
  266     

Sumitomo Mitsui Trust Holdings, Inc.

    11,289  
  354     

T&D Holdings, Inc.

    6,006  
  338     

Tokyu Corp.

    5,669  
  68     

Toyota Motor Corp.

    4,479  
  238     

Yamato Holdings Co. Ltd.

    6,124  
    

 

 

 
       184,866  
    

 

 

 
  

Luxembourg — 0.9%

 

  199     

ArcelorMittal

    6,742  
    

 

 

 
  

Netherlands — 8.5%

 

  62     

Akzo Nobel NV

    5,634  
  795     

ING Groep NV

    13,398  
  153     

NN Group NV

    7,320  
  1,088     

Royal Dutch Shell plc, Class A

    37,855  
    

 

 

 
       64,207  
    

 

 

 
  

Norway — 0.4%

 

  553     

Norsk Hydro ASA

    3,453  
    

 

 

 
  

Singapore — 1.5%

 

  490     

DBS Group Holdings Ltd.

    11,305  
    

 

 

 
  

South Korea — 0.7%

 

  2     

Samsung Electronics Co. Ltd. (bb)

    5,161  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Spain — 3.3%

 

  367     

Banco Santander SA

    2,371  
  1,802     

Bankia SA

    7,909  
  1,913     

Iberdrola SA

    14,780  
    

 

 

 
       25,060  
    

 

 

 
  

Sweden — 1.0%

 

  677     

Svenska Handelsbanken AB, Class A

    7,546  
    

 

 

 
  

Switzerland — 8.1%

 

  515     

Credit Suisse Group AG (Registered) (a)

    8,685  
  78     

Ferguson plc

    6,003  
  148     

LafargeHolcim Ltd. (Registered) (a)

    8,201  
  129     

Novartis AG (Registered)

    9,917  
  31     

Roche Holding AG

    6,792  
  87     

Swiss Re AG

    8,333  
  124     

UBS Group AG (Registered) (a)

    2,075  
  35     

Zurich Insurance Group AG (a)

    11,059  
    

 

 

 
       61,065  
    

 

 

 
  

United Kingdom — 12.4%

 

  683     

Barratt Developments plc

    5,238  
  221     

GlaxoSmithKline plc

    4,431  
  1,355     

HSBC Holdings plc

    13,486  
  62     

InterContinental Hotels Group plc

    3,893  
  3,158     

ITV plc

    6,570  
  2,480     

Lloyds Banking Group plc

    2,199  
  529     

Prudential plc

    13,594  
  224     

Rio Tinto plc

    12,190  
  1,063     

Standard Chartered plc

    11,166  
  178     

TechnipFMC plc

    5,829  
  5,290     

Vodafone Group plc

    15,439  
    

 

 

 
       94,035  
    

 

 

 
  

United States — 1.0%

 

  138     

Shire plc

    7,324  
    

 

 

 
  

Total Common Stocks
(Cost $663,671)

    748,871  
    

 

 

 
  

Total Investments — 98.9%
(Cost $663,671)

    748,871  
  

Other Assets in Excess of
Liabilities — 1.1%

    8,558  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 757,429  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     21.8

Oil, Gas & Consumable Fuels

     10.2

Insurance

     8.4

Automobiles

     6.2

Pharmaceuticals

     5.2

Electric Utilities

     4.1

Metals & Mining

     3.9

Trading Companies & Distributors

     3.2

Auto Components

     3.2

Chemicals

     3.0

Electrical Equipment

     2.6

Diversified Telecommunication Services

     2.5

Capital Markets

     2.4

Wireless Telecommunication Services

     2.1

Airlines

     1.7

Industrial Conglomerates

     1.5

Construction Materials

     1.5

Beverages

     1.4

Household Durables

     1.3

Aerospace & Defense

     1.2

Building Products

     1.2

Tobacco

     1.1

Equity Real Estate Investment Trusts (REITs)

     1.0

Biotechnology

     1.0

Others (each less than 1.0%)

     8.3  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         57  


Table of Contents

JPMorgan International Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

 

Forward foreign currency exchange contracts outstanding as of April 30, 2018:            
CURRENCY
PURCHASED
         CURRENCY SOLD        COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
  JPY       412,671      USD        3,779        Australia & New Zealand Banking Group Ltd.        5/25/2018          1  
  USD       7,967      CAD        10,186        HSBC Bank, N.A.        5/25/2018          30  
  USD       4,763      CHF        4,642        Deutsche Bank AG        5/25/2018          69  
  USD       59,555      EUR        48,598        Citibank, NA        5/25/2018          766  
  USD       3,538      GBP        2,536        Merrill Lynch International        5/25/2018          44  
  USD       1,586      JPY        171,416        Barclays Bank plc        5/25/2018          16  
  USD       4,308      JPY        462,670        Deutsche Bank AG        5/25/2018          69  
  Total unrealized appreciation                            995  
  AUD       32,320      USD        24,911        Australia & New Zealand Banking Group Ltd.        5/25/2018          (578
  CHF       1,530      USD        1,562        Union Bank of Switzerland AG        5/25/2018          (15
  DKK       40,063      USD        6,593        Standard Chartered Bank        5/25/2018          (88
  EUR       5,681      USD        6,950        State Street Corp.        5/25/2018          (78
  GBP       10,043      USD        14,038        Barclays Bank plc        5/25/2018          (197
  GBP       2,229      USD        3,116        Morgan Stanley        5/25/2018          (44
  HKD       156,052      USD        19,902        Credit Suisse International        5/25/2018          (6
  NOK       16,261      USD        2,068        HSBC Bank, N.A.        5/25/2018          (40
  SEK       33,112      USD        3,913        Standard Chartered Bank        5/25/2018          (125
  SGD       1,976      USD        1,494        Credit Suisse International        5/25/2018          (3
  USD       2,807      SGD        3,721        HSBC Bank, N.A.        5/25/2018          (h) 
  Total unrealized depreciation                            (1,174
 

Net unrealized depreciation

                   (179

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 97.6%

 
  

Australia — 6.9%

 

  1,410     

Aristocrat Leisure Ltd.

    28,293  
  2,106     

BlueScope Steel Ltd.

    25,883  
  700     

carsales.com Ltd.

    7,518  
  352     

CIMIC Group Ltd.

    11,970  
  1,348     

Computershare Ltd.

    17,149  
  1,126     

CSR Ltd.

    4,752  
  2,190     

Fortescue Metals Group Ltd.

    7,431  
  456     

Macquarie Group Ltd.

    37,115  
  3,184     

Metcash Ltd.

    8,594  
  272     

Monadelphous Group Ltd.

    3,293  
  2,958     

Nine Entertainment Co. Holdings Ltd.

    5,238  
  1,402     

Northern Star Resources Ltd.

    6,693  
  5,455     

Qantas Airways Ltd.

    23,593  
  1,969     

Regis Resources Ltd.

    6,948  
  11,898     

South32 Ltd.

    33,018  
  1,789     

St Barbara Ltd.

    5,707  
  4,940     

Whitehaven Coal Ltd.

    17,035  
    

 

 

 
       250,230  
    

 

 

 
  

Austria — 1.2%

 

  258     

Erste Group Bank AG (a)

    12,606  
  511     

OMV AG

    31,679  
    

 

 

 
       44,285  
    

 

 

 
  

Belgium — 1.5%

 

  284     

bpost SA

    6,240  
  400     

KBC Group NV

    34,758  
  177     

UCB SA

    13,293  
    

 

 

 
       54,291  
    

 

 

 
  

China — 0.8%

 

  5,516     

BOC Hong Kong Holdings Ltd.

    28,513  
    

 

 

 
  

Denmark — 3.3%

 

  794     

Danske Bank A/S

    27,630  
  124     

Dfds A/S

    7,740  
  198     

Jyske Bank A/S (Registered)

    11,870  
  983     

Novo Nordisk A/S, Class B

    46,218  
  168     

Royal Unibrew A/S

    11,103  
  263     

Sydbank A/S

    9,712  
  140     

Topdanmark A/S

    6,580  
    

 

 

 
       120,853  
    

 

 

 
  

Finland — 2.3%

 

  398     

Neste OYJ

    33,507  
  269     

Sampo OYJ, Class A

    14,565  
  1,024     

UPM-Kymmene OYJ

    36,529  
    

 

 

 
       84,601  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

France — 6.6%

 

  107     

Arkema SA

    13,978  
  190     

BNP Paribas SA

    14,662  
  269     

Capgemini SE

    37,068  
  209     

Cie Generale des Etablissements Michelin SCA

    29,334  
  212     

Eiffage SA

    25,223  
  103     

Eurazeo SA

    9,008  
  379     

Faurecia SA

    30,932  
  1,572     

Natixis SA

    12,910  
  155     

Pernod Ricard SA

    25,725  
  76     

Sanofi

    5,996  
  40     

Sopra Steria Group

    8,550  
  76     

TOTAL SA

    4,784  
  225     

Vinci SA

    22,487  
    

 

 

 
       240,657  
    

 

 

 
  

Germany — 7.5%

 

  238     

Allianz SE (Registered)

    56,314  
  1,003     

Aroundtown SA

    8,026  
  202     

Aurubis AG

    18,047  
  78     

CANCOM SE

    9,176  
  334     

Covestro AG, Reg. S (e)

    30,334  
  750     

Deutsche Lufthansa AG (Registered)

    21,813  
  494     

Deutsche Post AG (Registered)

    21,420  
  191     

Jenoptik AG

    6,921  
  155     

Rheinmetall AG

    20,210  
  145     

Siltronic AG

    23,259  
  150     

Software AG

    7,381  
  1,355     

TUI AG

    30,651  
  637     

Uniper SE

    19,691  
    

 

 

 
       273,243  
    

 

 

 
  

Hong Kong — 1.7%

 

  2,756     

CK Asset Holdings Ltd.

    23,793  
  234     

Hang Seng Bank Ltd.

    5,922  
  883     

Kerry Properties Ltd.

    4,219  
  13,942     

WH Group Ltd., Reg. S (e)

    14,433  
  10,208     

Xinyi Glass Holdings Ltd. (a)

    14,675  
    

 

 

 
       63,042  
    

 

 

 
  

Italy — 1.1%

 

  5,644     

Enel SpA

    35,802  
  258     

ERG SpA

    6,190  
    

 

 

 
       41,992  
    

 

 

 
  

Japan — 23.3%

 

  133     

Aisin Seiki Co. Ltd.

    7,221  
  86     

Azbil Corp.

    4,021  
  426     

Bridgestone Corp.

    17,825  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         59  


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Japan — continued

 

  672     

Brother Industries Ltd.

    14,421  
  132     

Canon Marketing Japan, Inc.

    2,871  
  116     

Central Japan Railway Co.

    23,245  
  72     

FCC Co. Ltd.

    2,039  
  1,943     

Fuji Electric Co. Ltd.

    13,858  
  461     

FUJIFILM Holdings Corp.

    18,548  
  644     

Haseko Corp.

    10,122  
  3,407     

Hitachi Ltd.

    24,866  
  1,232     

ITOCHU Corp.

    24,634  
  1,838     

Kajima Corp.

    17,707  
  981     

Kansai Electric Power Co., Inc. (The)

    13,731  
  505     

KDDI Corp.

    13,559  
  162     

KH Neochem Co. Ltd.

    4,884  
  869     

Kirin Holdings Co. Ltd.

    24,378  
  195     

Koito Manufacturing Co. Ltd.

    13,017  
  811     

K’s Holdings Corp.

    11,691  
  194     

Kurita Water Industries Ltd.

    6,269  
  782     

Leopalace21 Corp.

    6,784  
  65     

Mandom Corp.

    2,336  
  2,411     

Marubeni Corp.

    18,109  
  93     

Meitec Corp.

    5,116  
  1,274     

Mitsubishi Chemical Holdings Corp.

    12,051  
  659     

Mitsubishi Corp.

    18,178  
  903     

Mitsubishi Electric Corp.

    13,848  
  346     

Mitsubishi Gas Chemical Co., Inc.

    8,104  
  4,201     

Mitsubishi UFJ Financial Group, Inc.

    28,150  
  880     

Mitsubishi UFJ Lease & Finance Co. Ltd.

    5,595  
  1,142     

Mitsui & Co. Ltd.

    20,579  
  514     

Mitsui Chemicals, Inc.

    14,732  
  258     

Nichias Corp.

    3,268  
  172     

Nihon Unisys Ltd.

    3,578  
  1,068     

Nippon Light Metal Holdings Co. Ltd.

    2,855  
  361     

Nippon Telegraph & Telephone Corp.

    17,122  
  384     

Nomura Real Estate Holdings, Inc.

    9,495  
  919     

NTT DOCOMO, Inc.

    23,741  
  1,520     

Obayashi Corp.

    17,500  
  1,752     

Oji Holdings Corp.

    12,325  
  181     

Open House Co. Ltd.

    10,054  
  1,048     

ORIX Corp.

    18,372  
  1,412     

Penta-Ocean Construction Co. Ltd.

    11,125  
  101     

Sankyu, Inc.

    4,918  
  187     

SCREEN Holdings Co. Ltd.

    15,312  
  1,462     

Shimizu Corp.

    14,463  
  819     

Showa Shell Sekiyu KK

    11,565  
  386     

Sompo Holdings, Inc.

    16,158  
  578     

Sony Corp.

    27,010  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Japan — continued

 

  520     

Sumitomo Bakelite Co. Ltd.

    4,690  
  1,150     

Sumitomo Corp.

    20,641  
  485     

Sumitomo Mitsui Financial Group, Inc.

    20,193  
  374     

Taisei Corp.

    20,192  
  176     

Takasago Thermal Engineering Co. Ltd.

    3,327  
  492     

Tokai Tokyo Financial Holdings, Inc.

    3,562  
  110     

Tokyo Electron Ltd.

    21,203  
  137     

Tokyo Seimitsu Co. Ltd.

    5,211  
  1,055     

Tokyu Fudosan Holdings Corp.

    8,305  
  255     

Toyota Boshoku Corp.

    5,362  
  860     

Toyota Motor Corp.

    56,359  
  201     

TS Tech Co. Ltd.

    8,149  
  247     

Ulvac, Inc.

    13,186  
  553     

Yamaha Motor Co. Ltd.

    17,695  
    

 

 

 
       849,425  
    

 

 

 
  

Luxembourg — 0.9%

 

  934     

ArcelorMittal

    31,640  
    

 

 

 
  

Netherlands — 8.2%

 

  1,029     

ABN AMRO Group NV, Reg. S, CVA (e)

    31,916  
  632     

ASR Nederland NV

    29,822  
  211     

BE Semiconductor Industries NV

    14,562  
  206     

Euronext NV, Reg. S (e)

    14,732  
  242     

EXOR NV

    17,961  
  2,138     

ING Groep NV

    36,023  
  1,481     

Koninklijke Ahold Delhaize NV

    35,717  
  689     

Philips Lighting NV, Reg. S (e)

    20,964  
  1,962     

Royal Dutch Shell plc, Class B

    70,024  
  503     

Wolters Kluwer NV

    27,206  
    

 

 

 
       298,927  
    

 

 

 
  

Norway — 1.6%

 

  752     

DNB ASA

    14,070  
  121     

Kongsberg Gruppen ASA (a)

    2,964  
  193     

Salmar ASA

    8,975  
  1,432     

Telenor ASA

    31,693  
    

 

 

 
       57,702  
    

 

 

 
  

Portugal — 0.3%

 

  589     

Galp Energia SGPS SA

    11,314  
    

 

 

 
  

Singapore — 2.7%

 

  1,942     

DBS Group Holdings Ltd.

    44,797  
  4,044     

Oversea-Chinese Banking Corp. Ltd.

    41,765  
  746     

Venture Corp. Ltd.

    11,673  
    

 

 

 
       98,235  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Spain — 1.8%

 

  315     

ACS Actividades de Construccion y Servicios SA

    13,270  
  113     

Aena SME SA, Reg. S (e)

    23,348  
  246     

Amadeus IT Group SA

    17,913  
  623     

Repsol SA

    11,897  
    

 

 

 
       66,428  
    

 

 

 
  

Sweden — 3.6%

 

  836     

Electrolux AB, Series B

    22,006  
  981     

Fabege AB

    11,290  
  257     

Hemfosa Fastigheter AB

    3,179  
  1,794     

Sandvik AB

    30,581  
  470     

Swedbank AB, Class A

    10,201  
  618     

Swedish Match AB

    27,738  
  1,477     

Volvo AB, Class B

    25,038  
    

 

 

 
       130,033  
    

 

 

 
  

Switzerland — 9.0%

 

  338     

Adecco Group AG (Registered)

    22,388  
  155     

Baloise Holding AG (Registered)

    24,640  
  8     

Barry Callebaut AG (Registered)

    15,071  
  16     

Bucher Industries AG (Registered)

    6,009  
  11     

Georg Fischer AG (Registered)

    13,700  
  157     

Julius Baer Group Ltd. (a)

    9,303  
  415     

Nestle SA (Registered)

    32,131  
  874     

Novartis AG (Registered)

    67,244  
  98     

Oriflame Holding AG

    4,659  
  39     

Partners Group Holding AG

    28,243  
  260     

Roche Holding AG

    57,784  
  4     

Sika AG

    26,921  
  607     

STMicroelectronics NV

    13,261  
  94     

Sunrise Communications Group AG, Reg. S (a) (e)

    7,343  
    

 

 

 
       328,697  
    

 

 

 
  

United Kingdom — 13.3%

 

  1,857     

3i Group plc

    23,969  
  3,224     

Barratt Developments plc

    24,724  
  200     

Bellway plc

    9,123  
  288     

Berkeley Group Holdings plc

    16,142  
  401     

Bovis Homes Group plc

    6,823  
  379     

BP plc

    2,812  
  83     

British American Tobacco plc

    4,573  
  180     

Computacenter plc

    3,130  
  186     

Diageo plc

    6,619  
  1,147     

Fiat Chrysler Automobiles NV (a)

    25,487  
  518     

GlaxoSmithKline plc

    10,389  
  1,897     

HSBC Holdings plc

    18,888  
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

United Kingdom — continued

 

  992     

Ibstock plc, Reg. S (e)

    4,054  
  1,307     

Indivior plc (a)

    8,092  
  3,214     

International Consolidated Airlines Group SA

    27,779  
  154     

J D Wetherspoon plc

    2,471  
  9,082     

Legal & General Group plc

    33,637  
  39,800     

Lloyds Banking Group plc

    35,301  
  247     

Next plc

    17,830  
  896     

Persimmon plc

    33,457  
  607     

Prudential plc

    15,606  
  3,059     

Redrow plc

    26,358  
  932     

Rio Tinto plc

    50,772  
  422     

Savills plc

    5,688  
  264     

Schroders plc

    11,948  
  11,342     

Tesco plc

    36,737  
  3,356     

Thomas Cook Group plc

    5,699  
  270     

Unilever NV, CVA

    15,463  
    

 

 

 
       483,571  
    

 

 

 
  

Total Common Stocks
(Cost $3,202,703)

    3,557,679  
    

 

 

 
 

Short-Term Investment — 1.7%

 
  

Investment Company — 1.7%

 

  62,726     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares,
1.58% (b) (l)
(Cost $62,726)

    62,726  
    

 

 

 
  

Total Investments — 99.3%
(Cost $3,265,429)

    3,620,405  
  

Other Assets in Excess of
Liabilities — 0.7%

    25,863  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 3,646,268  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         61  


Table of Contents

JPMorgan Intrepid International Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     11.8

Pharmaceuticals

     5.8  

Insurance

     5.4  

Oil, Gas & Consumable Fuels

     5.4  

Metals & Mining

     5.2  

Household Durables

     4.9  

Construction & Engineering

     4.3  

Capital Markets

     3.9  

Auto Components

     3.6  

Chemicals

     3.2  

Semiconductors & Semiconductor Equipment

     2.9  

Trading Companies & Distributors

     2.8  

Automobiles

     2.7  

IT Services

     2.7  

Real Estate Management & Development

     2.5  

Machinery

     2.3  
INDUSTRY    PERCENTAGE  

Food & Staples Retailing

     2.2

Airlines

     2.0  

Food Products

     2.0  

Beverages

     1.9  

Hotels, Restaurants & Leisure

     1.9  

Diversified Telecommunication Services

     1.6  

Professional Services

     1.5  

Diversified Financial Services

     1.4  

Electric Utilities

     1.4  

Paper & Forest Products

     1.3  

Electrical Equipment

     1.3  

Electronic Equipment, Instruments & Components

     1.3  

Wireless Telecommunication Services

     1.0  

Others (each less than 1.0%)

     8.1  

Short-Term Investment

     1.7  
 

 

Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

 

EURO STOXX 50 Index        343          06/2018          EUR          14,348          647  
FTSE 100 Index        109          06/2018          GBP          11,175          775  
TOPIX Index        64          06/2018          JPY          10,379          451  
                        

 

 

 
                           1,873  
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

J.P. Morgan International Equity Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

ADR  

—  American Depositary Receipt

AUD  

—  Australian Dollar

BRL  

—  Brazilian Real

CAD  

—  Canadian Dollar

CDI  

—  CHESS Depository Interest

CHF  

—  Swiss Franc

CVA  

—  Dutch Certification

DKK  

—  Danish Krone

EUR  

—  Euro

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

GDR  

—  Global Depositary Receipt

HKD  

—  Hong Kong Dollar

JPY  

—  Japanese Yen

MSCI  

—  Morgan Stanley Capital International

NOK  

—  Norwegian Krone

NVDR  

—  Non-Voting Depositary Receipt

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.

REIT  

—  Real Estate Investment Trust

SEK  

—  Swedish Krona

SGD  

—  Singapore Dollar

TOPIX  

—  Tokyo Stock Price Index

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

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

(d)  

—  Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued.

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(x)  

—  Securities are perpetual and thus, do not have a predetermined maturity date. The coupon rates for these securities are fixed for a period of time and may be structured to adjust thereafter. The dates shown, if applicable, reflects the next call date. The coupon rates shown are the rates in effect as of April 30, 2018.

(y)  

—  Security is an interest bearing note with preferred security characteristics.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2018.

(bb)  

—  Security has been valued using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         63  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Emerging
Economies
Fund
     JPMorgan
Emerging
Markets
Equity Fund
     JPMorgan
Global
Research
Enhanced
Index Fund
 

ASSETS:

          

Investments in non-affiliates, at value

     $ 2,014,369      $ 4,981,105      $ 8,149,753  

Investments in affiliates, at value

       69,885        112,528        173,270  

Cash

       4,422        927        479  

Foreign currency, at value

       22,379        2,967        5,403  

Deposits at broker for futures contracts

                     5,165  

Receivables:

          

Investment securities sold

       23,556               8,698  

Fund shares sold

       366        14,482        5,300  

Dividends from non-affiliates

       1,717        3,388        15,801  

Dividends from affiliates

       73        182        192  

Tax reclaims

       11        5        8,225  

Other assets

              84        29  
    

 

 

    

 

 

    

 

 

 

Total Assets

       2,136,778        5,115,668        8,372,315  
    

 

 

    

 

 

    

 

 

 

LIABILITIES:

          

Payables:

          

Investment securities purchased

       49,487        15,907        50,572  

Fund shares redeemed

       113        2,848        2,603  

Variation margin on futures contracts

                     326  

Accrued liabilities:

          

Investment advisory fees

       1,047        3,015        1,129  

Administration fees

                     410  

Distribution fees

       35        142         

Service fees

       36        277        33  

Custodian and accounting fees

       324        553        78  

Trustees’ and Chief Compliance Officer’s fees

       (a)       (a)       (a) 

Deferred foreign capital gains tax

       845        4,279         

Audit fees

       51        54        48  

Printing and mailing cost

       25        104        36  

Other

       24        68        23  
    

 

 

    

 

 

    

 

 

 

Total Liabilities

       51,987        27,247        55,258  
    

 

 

    

 

 

    

 

 

 

Net Assets

     $ 2,084,791      $ 5,088,421      $ 8,317,057  
    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan
Emerging
Economies
Fund
       JPMorgan
Emerging
Markets
Equity Fund
       JPMorgan
Global
Research
Enhanced
Index Fund
 

NET ASSETS:

 

Paid-in-Capital

     $ 1,736,750        $ 3,799,111        $ 6,410,341  

Accumulated undistributed (distributions in excess of) net investment income

       5,413          3,706          42,191  

Accumulated net realized gains (losses)

       902          (74,615        182,770  

Net unrealized appreciation (depreciation)

       341,726          1,360,219          1,681,755  
    

 

 

      

 

 

      

 

 

 

Total Net Assets

     $ 2,084,791        $ 5,088,421        $ 8,317,057  
    

 

 

      

 

 

      

 

 

 

Net Assets:

 

Class A

     $ 159,665        $ 507,374        $  

Class C

       2,857          58,183           

Class I

       64,309          888,178          470,695  

Class L

                541,498           

Class R2

                45           

Class R3

                389           

Class R4

                21           

Class R5

       353          2,343           

Class R6

       1,857,607          3,090,390          7,846,362  
    

 

 

      

 

 

      

 

 

 

Total

     $ 2,084,791        $ 5,088,421        $ 8,317,057  
    

 

 

      

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

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

              

Class A

       10,878          17,911           

Class C

       196          2,116           

Class I

       4,325          30,617          20,873  

Class L

                18,535           

Class R2

                1           

Class R3

                14           

Class R4

                1           

Class R5

       24          80           

Class R6

       125,584          105,955          351,600  

Net Asset Value (a):

              

Class A — Redemption price per share

     $ 14.68        $ 28.33        $  

Class C — Offering price per share (b)

       14.58          27.49           

Class I — Offering and redemption price per share

       14.87          29.01          22.55  

Class L — Offering and redemption price per share

                29.22           

Class R2 — Offering and redemption price per share

                28.23           

Class R3 — Offering and redemption price per share

                28.26           

Class R4 — Offering and redemption price per share

                28.98           

Class R5 — Offering and redemption price per share

       15.01          29.18           

Class R6 — Offering and redemption price per share

       14.79          29.17          22.32  

Class A maximum sales charge

       5.25        5.25        5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 15.49        $ 29.90        $  
    

 

 

      

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 1,671,547        $ 3,616,481        $ 6,466,044  

Cost of investments in affiliates

       69,885          112,528          173,270  

Cost of foreign currency

       22,311          2,924          5,449  

 

(a)

Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b)

Redemption price for Class C Shares varies based upon length of time the shares are held.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         65  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Global
Unconstrained
Equity Fund
     JPMorgan
International
Equity Fund
           
JPMorgan
International
Equity
Income Fund
 

ASSETS:

            

Investments in non-affiliates, at value

     $ 5,055      $ 4,454,742        $ 196,311  

Investments in affiliates, at value

       56        52,920          3,844  

Cash

       48        548          20  

Foreign currency, at value

       2        410          346  

Receivables:

            

Investment securities sold

       116        20,175          3,170  

Fund shares sold

       12        845          236  

Dividends from non-affiliates

       4        17,908          829  

Dividends from affiliates

       (a)       94          5  

Tax reclaims

       15        7,866          475  

Due from adviser

       7                  

Other assets

       28                  
    

 

 

    

 

 

      

 

 

 

Total Assets

       5,343        4,555,508          205,236  
    

 

 

    

 

 

      

 

 

 

LIABILITIES:

            

Payables:

            

Investment securities purchased

       108        14,221          4,788  

Fund shares redeemed

       1        782          175  

Accrued liabilities:

            

Investment advisory fees

              1,749          60  

Distribution fees

       1        73          27  

Service fees

       1        80          28  

Custodian and accounting fees

       16        122          23  

Trustees’ and Chief Compliance Officer’s fees

       (a)                (a) 

Audit fees

       43        49          48  

Printing and mailing cost

       6        70          (a) 

Other

       3        10          13  
    

 

 

    

 

 

      

 

 

 

Total Liabilities

       179        17,156          5,162  
    

 

 

    

 

 

      

 

 

 

Net Assets

     $ 5,164      $ 4,538,352        $ 200,074  
    

 

 

    

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan
Global
Unconstrained
Equity Fund
       JPMorgan
International
Equity Fund
           
JPMorgan
International
Equity
Income Fund
 

NET ASSETS:

              

Paid-in-Capital

     $ 4,927        $ 3,543,983        $ 178,933  

Accumulated undistributed (distributions in excess of) net investment income

       (6        24,538          (720

Accumulated net realized gains (losses)

       90          72,952          7,643  

Net unrealized appreciation (depreciation)

       153          896,879          14,218  
    

 

 

      

 

 

      

 

 

 

Total Net Assets

     $ 5,164        $ 4,538,352        $ 200,074  
    

 

 

      

 

 

      

 

 

 

Net Assets:

              

Class A

     $ 1,760        $ 271,112        $ 85,864  

Class C

       571          23,757          14,612  

Class I

       2,662          190,224          84,406  

Class R2

       21          2,158          291  

Class R5

       21          22,549          178  

Class R6

       129          4,028,552          14,723  
    

 

 

      

 

 

      

 

 

 

Total

     $ 5,164        $ 4,538,352        $ 200,074  
    

 

 

      

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

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

              

Class A

       105          15,088          5,108  

Class C

       34          1,398          876  

Class I

       157          10,426          5,007  

Class R2

       1          121          17  

Class R5

       1          1,234          11  

Class R6

       8          220,381          873  

Net Asset Value (a):

              

Class A — Redemption price per share

     $ 16.80        $ 17.97        $ 16.81  

Class C — Offering price per share (b)

       16.58          17.00          16.69  

Class I — Offering and redemption price per share

       16.95          18.25          16.86  

Class R2 — Offering and redemption price per share

       16.94          17.85          16.78  

Class R5 — Offering and redemption price per share

       16.90          18.28          16.87  

Class R6 — Offering and redemption price per share

       16.89          18.28          16.86  

Class A maximum sales charge

       5.25        5.25        5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 17.73        $ 18.97        $ 17.74  
    

 

 

      

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 4,902        $ 3,557,730        $ 182,093  

Cost of investments in affiliates

       56          52,920          3,844  

Cost of foreign currency

       2          413          347  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         67  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
International
Research
Enhanced
Equity Fund
       JPMorgan
International
Unconstrained
Equity Fund
       JPMorgan
International
Value Fund
     JPMorgan
Intrepid
International
Fund
 

ASSETS:

                 

Investments in non-affiliates, at value

     $ 5,591,219        $ 544,303        $ 748,871      $ 3,557,679  

Investments in affiliates, at value

       211,220          18,009                 62,726  

Cash

       50          186          69        48  

Foreign currency, at value

       8,926          179          410        2,619  

Deposits at broker for futures contracts

       11,079                          1,979  

Receivables:

                 

Investment securities sold

                         3,775         

Fund shares sold

       3,105          1,430          774        145  

Dividends from non-affiliates

       21,369          2,141          2,943        15,751  

Dividends from affiliates

       259          12          3        98  

Tax reclaims

       7,471          166          3,049        7,078  

Variation margin on futures contracts

       2,157                          398  

Unrealized appreciation on forward foreign currency exchange contracts

                         995         

Other assets

                75                  
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Assets

       5,856,855          566,501          760,889        3,648,521  
    

 

 

      

 

 

      

 

 

    

 

 

 

LIABILITIES:

                 

Payables:

                 

Investment securities purchased

                         1        5  

Fund shares redeemed

       19,125          689          1,192        344  

Unrealized depreciation on forward foreign currency exchange contracts

                         1,174         

Accrued liabilities:

                 

Investment advisory fees

       715          214          313        1,499  

Administration fees

       246                   8        57  

Distribution fees

       55          37          78        59  

Service fees

       33          60          92        43  

Custodian and accounting fees

       16          17          43        140  

Trustees’ and Chief Compliance Officer’s fees

       4          3          (a)       1  

Audit fees

       80          52          37        62  

Printing and mailing cost

       6                   303        27  

Other

       10          13          219        16  
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Liabilities

       20,290          1,085          3,460        2,253  
    

 

 

      

 

 

      

 

 

    

 

 

 

Net Assets

     $ 5,836,565        $ 565,416        $ 757,429      $ 3,646,268  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan
International
Research
Enhanced
Equity Fund
       JPMorgan
International
Unconstrained
Equity Fund
       JPMorgan
International
Value Fund
       JPMorgan
Intrepid
International
Fund
 

NET ASSETS:

 

Paid-in-Capital

     $ 5,416,589        $ 532,105        $ 735,503        $ 3,233,432  

Accumulated undistributed (distributions in excess of) net investment income

       48,930          2,110          4,850          29,277  

Accumulated net realized gains (losses)

       32,713          (4,751        (68,044        26,864  

Net unrealized appreciation (depreciation)

       338,333          35,952          85,120          356,695  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Net Assets

     $ 5,836,565        $ 565,416        $ 757,429        $ 3,646,268  
    

 

 

      

 

 

      

 

 

      

 

 

 

Net Assets:

 

Class A

     $ 254,716        $ 98,563        $ 319,588        $ 192,179  

Class C

                28,055          18,860          2,062  

Class I

       151,836          260,396          149,553          57,550  

Class L

                         145,751           

Class R2

                742          1,295          37,300  

Class R5

                4,203          70           

Class R6

       5,430,013          173,457          122,312          3,357,177  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 5,836,565        $ 565,416        $ 757,429        $ 3,646,268  
    

 

 

      

 

 

      

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

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

                   

Class A

       13,479          4,665          22,228          8,683  

Class C

                1,344          1,354          92  

Class I

       7,942          12,178          10,157          2,501  

Class L

                         9,948           

Class R2

                35          91          1,708  

Class R5

                197          5           

Class R6

       284,842          8,113          8,370          148,165  

Net Asset Value (a):

                   

Class A — Redemption price per share

     $ 18.90        $ 21.13        $ 14.38        $ 22.13  

Class C — Offering price per share (b)

                20.87          13.93          22.42  

Class I — Offering and redemption price per share

       19.12          21.38          14.72          23.02  

Class L — Offering and redemption price per share

                         14.65           

Class R2 — Offering and redemption price per share

                21.04          14.12          21.84  

Class R5 — Offering and redemption price per share

                21.37          14.59           

Class R6 — Offering and redemption price per share

       19.06          21.38          14.61          22.66  

Class A maximum sales charge

       5.25        5.25        5.25        5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 19.95        $ 22.30        $ 15.18        $ 23.36  
    

 

 

      

 

 

      

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 5,261,949        $ 508,334        $ 663,671        $ 3,202,703  

Cost of investments in affiliates

       211,220          18,009                   62,726  

Cost of foreign currency

       8,966          179          410          2,638  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         69  


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Emerging
Economies
Fund
     JPMorgan
Emerging
Markets
Equity Fund
     JPMorgan
Global
Research
Enhanced
Index Fund
 

INVESTMENT INCOME:

          

Interest income from non-affiliates

     $ 263      $      $ 18  

Interest income from affiliates

       3        2        1  

Dividend income from non-affiliates

       24,145        26,846        96,864  

Dividend income from affiliates

       229        843        761  

Foreign taxes withheld

       (2,039      (1,719      (4,724
    

 

 

    

 

 

    

 

 

 

Total investment income

       22,601        25,972        92,920  
    

 

 

    

 

 

    

 

 

 

EXPENSES:

          

Investment advisory fees

       9,043        20,982        8,485  

Administration fees

       864        2,004        3,444  

Distribution fees:

          

Class A

       224        681         

Class C

       11        208         

Class R2

              (a)        

Class R3

              (a)        

Service fees:

          

Class A

       224        681         

Class C

       4        69         

Class I

       86        982        3,201  

Class L

              253         

Class R2

              (a)        

Class R3

              (a)        

Class R4

              (a)        

Class R5

       (a)       (a)        

Custodian and accounting fees

       708        1,264        280  

Interest expense to affiliates

       1        (a)       16  

Professional fees

       55        63        81  

Trustees’ and Chief Compliance Officer’s fees

       16        21        27  

Printing and mailing costs

       27        143        101  

Registration and filing fees

       43        138        87  

Transfer agency fees (See Note 2.H.)

       15        66        15  

Other

       17        32        57  
    

 

 

    

 

 

    

 

 

 

Total expenses

       11,338        27,587        15,794  
    

 

 

    

 

 

    

 

 

 

Less fees waived

       (3,544      (5,677      (4,139

Less expense reimbursements

       (4      (9       
    

 

 

    

 

 

    

 

 

 

Net expenses

       7,790        21,901        11,655  
    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       14,811        4,071        81,265  
    

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

          

Net realized gain (loss) on transactions from:

          

Investments in non-affiliates

       83,669 (b)       49,223        353,793  

Investments in affiliates

                     36  

Futures contracts

       957               4,550  

Foreign currency transactions

       (28      (329      884  
    

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       84,598        48,894        359,263  
    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

          

Investments in non-affiliates

       (65,327 )(c)       60,363 (d)       (165,515

Futures contracts

       (564             (5,370

Foreign currency translations

       (10      (120      (9
    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (65,901      60,243        (170,894
    

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       18,697        109,137        188,369  
    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 33,508      $ 113,208      $ 269,634  
    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Net of foreign capital gains tax of approximately $(502,000) for JPMorgan Emerging Economies Fund.
(c) Net of change in foreign capital gains tax of approximately $394,000 for JPMorgan Emerging Economies Fund.
(d) Net of change in foreign capital gains tax of approximately $(4,279,000) for JPMorgan Emerging Markets Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan
Global
Unconstrained
Equity Fund
     JPMorgan
International
Equity Fund
         
JPMorgan
International
Equity
Income Fund
 

INVESTMENT INCOME:

          

Interest income from non-affiliates

     $ (a)     $ (a)     $ (a) 

Interest income from affiliates

       (a)       1        (a) 

Dividend income from non-affiliates

       29        53,411        4,306  

Dividend income from affiliates

              377        21  

Foreign taxes withheld

       (2      (4,376      (414
    

 

 

    

 

 

    

 

 

 

Total investment income

       27        49,413        3,913  
    

 

 

    

 

 

    

 

 

 

EXPENSES:

          

Investment advisory fees

       15        15,214        710  

Administration fees

       2        1,764        82  

Distribution fees:

          

Class A

       2        378        108  

Class C

       2        87        54  

Class R2

       (a)       6        1  

Service fees:

          

Class A

       2        378        108  

Class C

       (a)       29        18  

Class I

       3        208        108  

Class R2

       (a)       3        1  

Class R5

       (a)       11        (a) 

Custodian and accounting fees

       22        287        42  

Interest expense to affiliates

              11        1  

Professional fees

       36        64        32  

Trustees’ and Chief Compliance Officer’s fees

       12        19        13  

Printing and mailing costs

       3        56        8  

Registration and filing fees

       36        57        32  

Transfer agency fees (See Note 2.H.)

       1        36        10  

Other

       5        33        6  
    

 

 

    

 

 

    

 

 

 

Total expenses

       141        18,641        1,334  
    

 

 

    

 

 

    

 

 

 

Less fees waived

       (19      (6,837      (479

Less expense reimbursements

       (109      (7       
    

 

 

    

 

 

    

 

 

 

Net expenses

       13        11,797        855  
    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       14        37,616        3,058  
    

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

          

Net realized gain (loss) on transactions from:

          

Investments in non-affiliates

       100        128,298        18,635  

Investments in affiliates

                     1  

Foreign currency transactions

       (1      (44      (53

Forward foreign currency exchange contracts

                     (360
    

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       99        128,254        18,223  
    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

          

Investments in non-affiliates

       (58      (78,850      (14,592

Foreign currency translations

       (a)       (209      (5

Forward foreign currency exchange contracts

                     328  
    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (58      (79,059      (14,269
    

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       41        49,195        3,954  
    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 55      $ 86,811      $ 7,012  
    

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         71  


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

        JPMorgan
International
Research
Enhanced
Equity Fund
       JPMorgan
International
Unconstrained
Equity Fund
     JPMorgan
International
Value Fund
     JPMorgan
Intrepid
International
Fund
 

INVESTMENT INCOME:

               

Interest income from non-affiliates

     $ 53        $ (a) $       (a)     $ 16  

Interest income from affiliates

       47          (a)       (a)       (a) 

Dividend income from non-affiliates

       84,372          4,750        13,142        56,782  

Dividend income from affiliates

       1,133          83        47        453  

Foreign taxes withheld

       (7,467        (338      (1,160      (5,524
    

 

 

      

 

 

    

 

 

    

 

 

 

Total investment income

       78,138          4,495        12,029        51,727  
    

 

 

      

 

 

    

 

 

    

 

 

 

EXPENSES:

               

Investment advisory fees

       5,538          1,654        2,369        10,329  

Administration fees

       2,248          192        321        1,397  

Distribution fees:

               

Class A

       365          107        399        283  

Class C

                86        74        7  

Class R2

                1        4        38  

Service fees:

               

Class A

       365          107        399        283  

Class C

                29        25        2  

Class I

       1,358          253        203        71  

Class L

                       85         

Class R2

                (a)       2        19  

Class R5

                1        (a)        

Custodian and accounting fees

       292          57        66        262  

Interest expense to affiliates

       21          (a)       1        10  

Professional fees

       104          34        50        65  

Trustees’ and Chief Compliance Officer’s fees

       25          15        14        18  

Printing and mailing costs

       121          12        125        36  

Registration and filing fees

       87          64        53        51  

Transfer agency fees (See Note 2.H.)

       43          11        16        31  

Other

       38          7        18        31  
    

 

 

      

 

 

    

 

 

    

 

 

 

Total expenses

       10,605          2,630        4,224        12,933  
    

 

 

      

 

 

    

 

 

    

 

 

 

Less fees waived

       (2,782        (837      (991      (2,881

Less expense reimbursements

                (a)       (a)       (5
    

 

 

      

 

 

    

 

 

    

 

 

 

Net expenses

       7,823          1,793        3,233        10,047  
    

 

 

      

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       70,315          2,702        8,796        41,680  
    

 

 

      

 

 

    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

               

Net realized gain (loss) on transactions from:

               

Investments in non-affiliates

       38,798          (1,572      4,226        32,730  

Futures contracts

       18,438          76               (4,351

Foreign currency transactions

       1,138          17        42        247  

Forward foreign currency exchange contracts

                       (1,685       
    

 

 

      

 

 

    

 

 

    

 

 

 

Net realized gain (loss)

       58,374          (1,479      2,583        28,626  
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

               

Investments in non-affiliates

       10,733          (4,496      12,906        (32,775

Futures contracts

       727                        1,333  

Foreign currency translations

       (326        (18      164        (152

Forward foreign currency exchange contracts

                       (349       
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       11,134          (4,514      12,721        (31,594
    

 

 

      

 

 

    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       69,508          (5,993      15,304        (2,968
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 139,823        $ (3,291    $ 24,100      $ 38,712  
    

 

 

      

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan
Emerging Economies Fund
       JPMorgan
Emerging Markets Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                 

Net investment income (loss)

     $ 14,811        $ 41,242        $ 4,071      $ 27,237  

Net realized gain (loss)

       84,598          158,485          48,894        (16,512

Change in net unrealized appreciation/depreciation

       (65,901        303,356          60,243        907,407  
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from operations

       33,508          503,083          113,208        918,132  
    

 

 

      

 

 

      

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                 

Class A

                 

From net investment income

       (3,219        (1,900        (788      (1,930

Class C

                 

From net investment income

       (37        (14        (4      (12

Class I

                 

From net investment income

       (1,440        (709        (2,829      (1,895

Class L

                 

From net investment income

                         (2,054      (3,193

Class R2 (a)

                 

From net investment income

                         (b)        

Class R3 (a)

                 

From net investment income

                         (b)        

Class R4 (a)

                 

From net investment income

                         (b)        

Class R5

                 

From net investment income

       (8        (23        (1      (b) 

Class R6

                 

From net investment income

       (39,227        (24,949        (16,464      (16,962
    

 

 

      

 

 

      

 

 

    

 

 

 

Total distributions to shareholders

       (43,931        (27,595        (22,140      (23,992
    

 

 

      

 

 

      

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

                 

Change in net assets resulting from capital transactions

       57,519          (217,505        549,465        429,170  
    

 

 

      

 

 

      

 

 

    

 

 

 

NET ASSETS:

                 

Change in net assets

       47,096          257,983          640,533        1,323,310  

Beginning of period

       2,037,695          1,779,712          4,447,888        3,124,578  
    

 

 

      

 

 

      

 

 

    

 

 

 

End of period

     $ 2,084,791        $ 2,037,695        $ 5,088,421      $ 4,447,888  
    

 

 

      

 

 

      

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 5,413        $ 34,533        $ 3,706      $ 21,775  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Commencement of offering of class of shares effective July 31, 2017, for JPMorgan Emerging Markets Equity Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         73  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
Global Research Enhanced Index Fund
     JPMorgan
Global Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

               

Net investment income (loss)

     $ 81,265        $ 149,058      $ 14      $ 23  

Net realized gain (loss)

       359,263          148,203        99        185  

Change in net unrealized appreciation/depreciation

       (170,894        1,306,055        (58      212  
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

       269,634          1,603,316        55        420  
    

 

 

      

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

               

Class A (a)

               

From net investment income

                (1      (10       

From net realized gains

                       (46       

Class C (a)

               

From net investment income

                (b)       (3       

From net realized gains

                       (20       

Class I

               

From net investment income

       (14,541        (155,975      (20      (3

From net realized gains

                       (70       

Class R2 (a)

               

From net investment income

                (b)       (b)        

From net realized gains

                       (1       

Class R5

               

From net investment income

                       (b)       (b) 

From net realized gains

                       (1       

Class R6 (c)

               

From net investment income

       (144,723               (1      (b) 

From net realized gains

                       (5       
    

 

 

      

 

 

    

 

 

    

 

 

 

Total distributions to shareholders

       (159,264        (155,976      (177      (3
    

 

 

      

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

               

Change in net assets resulting from capital transactions

       (456,773        308,814        1,737        1,460  
    

 

 

      

 

 

    

 

 

    

 

 

 

NET ASSETS:

               

Change in net assets

       (346,403        1,756,154        1,615        1,877  

Beginning of period

       8,663,460          6,907,306        3,549        1,672  
    

 

 

      

 

 

    

 

 

    

 

 

 

End of period

     $ 8,317,057        $ 8,663,460      $ 5,164      $ 3,549  
    

 

 

      

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 42,191        $ 120,190      $ (6    $ 14  
    

 

 

      

 

 

    

 

 

    

 

 

 

 

(a) Liquidated on August 11, 2017 for JPMorgan Global Research Enhanced Index Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan Global Research Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
International Equity Fund
       JPMorgan
International Equity Income Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 37,616        $ 66,082        $ 3,058        $ 4,955  

Net realized gain (loss)

       128,254          (9,296        18,223          (181

Change in net unrealized appreciation/depreciation

       (79,059        803,981          (14,269        24,302  
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       86,811          860,767          7,012          29,076  
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                   

Class A

                   

From net investment income

       (4,237        (611        (1,440        (2,272

Class C

                   

From net investment income

       (224        (22        (200        (346

Class I

                   

From net investment income

       (2,341        (394        (1,527        (2,676

Class R2

                   

From net investment income

       (26        (2        (5        (11

Class R5

                   

From net investment income

       (355        (165        (7        (47

Class R6

                   

From net investment income

       (59,589        (16,643        (280        (30
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (66,772        (17,837        (3,459        (5,382
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

                   

Change in net assets resulting from capital transactions

       511,222          (260,305        (3,935        42,607  
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

                   

Change in net assets

       531,261          582,625          (382        66,301  

Beginning of period

       4,007,091          3,424,466          200,456          134,155  
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 4,538,352        $ 4,007,091        $ 200,074        $ 200,456  
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 24,538        $ 53,694        $ (720      $ (319
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         75  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
International Research Enhanced Equity Fund
       JPMorgan
International Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 70,315        $ 44,850        $ 2,702        $ 2,308  

Net realized gain (loss)

       58,374          35,372          (1,479        2,079  

Change in net unrealized appreciation/depreciation

       11,134          305,035          (4,514        40,014  
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       139,823          385,257          (3,291        44,401  
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                   

Class A

                   

From net investment income

       (3,017        (1,511        (451        (259

From net realized gains

       (3,062                           

Class C (a)

                   

From net investment income

                (227        (86        (67

Class I

                   

From net investment income

       (10,260        (32,213        (1,315        (257

From net realized gains

       (12,396                           

Class R2 (a)

                   

From net investment income

                (254        (2        (b) 

Class R5

                   

From net investment income

                         (1        (b) 

Class R6 (c)

                   

From net investment income

       (42,968                 (1,288        (1,980

From net realized gains

       (36,573                           
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (108,276        (34,205        (3,143        (2,563
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

                   

Change in net assets resulting from capital transactions

       766,316          3,352,439          214,221          206,016  
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

                   

Change in net assets

       797,863          3,703,491          207,787          247,854  

Beginning of period

       5,038,702          1,335,211          357,629          109,775  
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 5,836,565        $ 5,038,702        $ 565,416        $ 357,629  
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 48,930        $ 34,860        $ 2,110        $ 2,551  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Liquidated on October 9, 2017 for JPMorgan International Research Enhanced Equity Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan International Research Enhanced Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
International Value Fund
       JPMorgan
Intrepid International Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 8,796        $ 17,446        $ 41,680        $ 60,855  

Net realized gain (loss)

       2,583          71,880          28,626          160,672  

Change in net unrealized appreciation/depreciation

       12,721          107,859          (31,594        402,080  
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       24,100          197,185          38,712          623,607  
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                   

Class A

                   

From net investment income

       (6,784        (18,922        (4,177        (3,117

Class C

                   

From net investment income

       (316        (1,312        (19        (28

Class I

                   

From net investment income

       (3,872        (8,933        (1,091        (1,014

Class L (a)

                   

From net investment income

       (4,302        (30,468                  

Class R2

                   

From net investment income

       (27        (59        (172        (9

Class R5

                   

From net investment income

       (2        (1                  

Class R6

                   

From net investment income

       (2,922        (1,834        (61,869        (66,113
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (18,225        (61,529        (67,328        (70,281
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

                   

Change in net assets resulting from capital transactions

       (42,233        (650,089        519,275          (92,031
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

                   

Change in net assets

       (36,358        (514,433        490,659          461,295  

Beginning of period

       793,787          1,308,220          3,155,609          2,694,314  
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 757,429        $ 793,787        $ 3,646,268        $ 3,155,609  
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 4,850        $ 14,279        $ 29,277        $ 54,925  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Liquidated on December 8, 2016 for JPMorgan Intrepid International Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         77  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
Emerging Economies Fund
       JPMorgan
Emerging Markets Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

                 

Class A

                 

Proceeds from shares issued

     $ 25,917        $ 52,611        $ 109,978      $ 183,624  

Distributions reinvested

       3,219          1,900          781        1,872  

Cost of shares redeemed

       (50,480        (60,941        (144,381      (181,184
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (21,344      $ (6,430      $ (33,622    $ 4,312  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class C

                 

Proceeds from shares issued

     $ 472        $ 631        $ 14,565      $ 17,118  

Distributions reinvested

       37          14          4        12  

Cost of shares redeemed

       (426        (984        (5,712      (17,463
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 83        $ (339      $ 8,857      $ (333
    

 

 

      

 

 

      

 

 

    

 

 

 

Class I

                 

Proceeds from shares issued

     $ 19,745        $ 17,416        $ 337,156      $ 331,493  

Distributions reinvested

       785          360          2,460        1,623  

Cost of shares redeemed

       (20,315        (22,430        (87,627      (109,592
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 215        $ (4,654      $ 251,989      $ 223,524  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class L

                 

Proceeds from shares issued

     $        $        $ 159,286      $ 402,572  

Distributions reinvested

                         1,682        2,482  

Cost of shares redeemed

                         (56,286      (496,701
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class L capital transactions

     $        $        $ 104,682      $ (91,647
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R2 (a)

                 

Proceeds from shares issued

     $        $        $ 25      $ 20  

Distributions reinvested

                         (b)        

Cost of shares redeemed

                         (b)        
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $        $        $ 25      $ 20  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R3 (a)

                 

Proceeds from shares issued

     $        $        $ 419      $ 20  

Distributions reinvested

                         (b)        

Cost of shares redeemed

                         (16       
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class R3 capital transactions

     $        $        $ 403      $ 20  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R4 (a) 

                 

Proceeds from shares issued

     $        $        $ 33      $ 20  

Distributions reinvested

                         (b)        

Cost of shares redeemed

                         (30       
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class R4 capital transactions

     $        $        $ 3      $ 20  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R5

                 

Proceeds from shares issued

     $ 105        $ 324        $ 2,450      $ 185  

Distributions reinvested

       8          23          1        (b) 

Cost of shares redeemed

       (179        (1,787        (218      (b) 
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ (66      $ (1,440      $ 2,233      $ 185  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R6

                 

Proceeds from shares issued

     $ 133,294        $ 124,871        $ 394,993      $ 672,770  

Distributions reinvested

       39,227          24,949          16,155        16,658  

Cost of shares redeemed

       (93,890        (354,462        (196,253      (396,359
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 78,631        $ (204,642      $ 214,895      $ 293,069  
    

 

 

      

 

 

      

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

     $ 57,519        $ (217,505      $ 549,465      $ 429,170  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Commencement of offering of class of shares effective July 31, 2017, for JPMorgan Emerging Markets Equity Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
Emerging Economies Fund
       JPMorgan
Emerging Markets Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       1,708          4,043          3,735        7,615  

Reinvested

       220          173          28        93  

Redeemed

       (3,253        (4,857        (4,901      (7,550
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class A Shares

       (1,325        (641        (1,138      158  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class C

                 

Issued

       30          49          508        702  

Reinvested

       3          1          (a)       1  

Redeemed

       (28        (74        (201      (762
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class C Shares

       5          (24        307        (59
    

 

 

      

 

 

      

 

 

    

 

 

 

Class I

                 

Issued

       1,290          1,347          11,185        13,114  

Reinvested

       53          33          84        79  

Redeemed

       (1,301        (1,678        (2,905      (4,464
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class I Shares

       42          (298        8,364        8,729  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class L

                 

Issued

                         5,209        16,403  

Reinvested

                         57        119  

Redeemed

                         (1,856      (18,771
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class L Shares

                         3,410        (2,249
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R2 (b)

                 

Issued

                         (a)       1  

Reinvested

                         (a)        

Redeemed

                         (a)        
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R2 Shares

                         (a)       1  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R3 (b)

                 

Issued

                         14        1  

Reinvested

                         (a)        

Redeemed

                         (1       
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R3 Shares

                         13        1  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R4 (b)

                 

Issued

                         1        1  

Reinvested

                         (a)        

Redeemed

                         (1       
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R4 Shares

                         (a)       1  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R5

                 

Issued

       7          26          80        6  

Reinvested

       1          2          (a)       (a) 

Redeemed

       (12        (136        (7      (a) 
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R5 Shares

       (4        (108        73        6  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R6

                 

Issued

       8,635          9,667          13,003        25,331  

Reinvested

       2,667          2,258          550        804  

Redeemed

       (6,114        (26,789        (6,461      (15,462
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R6 Shares

       5,188          (14,864        7,092        10,673  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective July 31, 2017, for JPMorgan Emerging Markets Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         79  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
Global Research Enhanced Index Fund
     JPMorgan
Global Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

               

Class A (a)

               

Proceeds from shares issued

     $        $      $ 820      $ 1,003  

Distributions reinvested

                1        55         

Cost of shares redeemed

                (24      (244      (379
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

     $        $ (23    $ 631      $ 624  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class C (a)

               

Proceeds from shares issued

     $        $      $ 223      $ 230  

Distributions reinvested

                (b)       22         

Cost of shares redeemed

                (23      (44      (101
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

     $        $ (23    $ 201      $ 129  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class I

               

Proceeds from shares issued

     $ 363,717        $ 1,447,613      $ 996      $ 1,004  

Distributions reinvested

       14,320          19,299        86        3  

Cost of shares redeemed

       (8,706,704        (1,158,029      (187      (396
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class I capital transactions

     $ (8,328,667      $ 308,883      $ 895      $ 611  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R2 (a)

               

Proceeds from shares issued

     $        $      $      $ (b) 

Distributions reinvested

                (b)               

Cost of shares redeemed

                (23              
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $        $ (23    $      $ (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R5

               

Proceeds from shares issued

     $        $      $      $ (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $        $      $      $ (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R6 (c)

               

Proceeds from shares issued

     $ 8,906,627        $      $ 5      $ 96  

Distributions reinvested

       144,635                 5         

Cost of shares redeemed

       (1,179,368               (b)       (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 7,871,894        $      $ 10      $ 96  
    

 

 

      

 

 

    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

     $ (456,773      $ 308,814      $ 1,737      $ 1,460  
    

 

 

      

 

 

    

 

 

    

 

 

 

 

a) Liquidated on August 11, 2017 for JPMorgan Global Research Enhanced Index Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan Global Research Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
Global Research Enhanced Index Fund
     JPMorgan
Global Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A (a)

 

Issued

                       48        61  

Reinvested

                (b)       3         

Redeemed

                (1      (14      (23
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class A Shares

                (1      37        38  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class C (a)

 

Issued

                       12        15  

Reinvested

                (b)       2         

Redeemed

                (1      (3      (7
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class C Shares

                (1      11        8  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class I

 

Issued

       15,947          71,810        58        59  

Reinvested

       633          1,023        5        (b) 

Redeemed

       (386,726        (57,817      (11      (24
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class I Shares

       (370,146        15,016        52        35  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R2 (a)

 

Issued

                       (1      (b) 

Reinvested

                (b)               

Redeemed

                (1              
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R2 Shares

                (1      (1      (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R5

 

Issued

                              (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R5 Shares

                              (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R6 (c)

 

Issued

       396,436                 1        6  

Reinvested

       6,466                 (b)        

Redeemed

       (51,302               (b)       (b) 
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R6 Shares

       351,600                 1        6  
    

 

 

      

 

 

    

 

 

    

 

 

 

 

(a) Liquidated on August 11, 2017 for JPMorgan Global Research Enhanced Index Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan Global Research Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         81  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
International Equity Fund
       JPMorgan
International Equity Income Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

                   

Class A

                   

Proceeds from shares issued

     $ 46,872        $ 115,322        $ 14,034        $ 39,144  

Distributions reinvested

       4,198          605          1,439          2,269  

Cost of shares redeemed

       (84,752        (86,838        (15,440        (33,881
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (33,682      $ 29,089        $ 33        $ 7,532  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C

                   

Proceeds from shares issued

     $ 4,234        $ 6,163        $ 2,027        $ 5,012  

Distributions reinvested

       210          19          199          343  

Cost of shares redeemed

       (5,132        (9,245        (1,547        (5,201
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (688      $ (3,063      $ 679        $ 154  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class I

                   

Proceeds from shares issued

     $ 68,402        $ 56,730        $ 15,201        $ 59,870  

Distributions reinvested

       2,206          320          1,509          2,443  

Cost of shares redeemed

       (20,795        (37,900        (20,570        (41,426
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 49,813        $ 19,150        $ (3,860      $ 20,887  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R2

                   

Proceeds from shares issued

     $ 320        $ 672        $ 83        $ 295  

Distributions reinvested

       12          1          5          11  

Cost of shares redeemed

       (288        (396        (126        (356
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ 44        $ 277        $ (38      $ (50
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R5

                   

Proceeds from shares issued

     $ 327        $ 1,663        $ 21        $ 997  

Distributions reinvested

       354          165          7          47  

Cost of shares redeemed

       (203        (43,919        (1,188        (635
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ 478        $ (42,091      $ (1,160      $ 409  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R6

                   

Proceeds from shares issued

     $ 720,947        $ 393,780        $ 2,350        $ 14,231  

Distributions reinvested

       59,589          16,643          280          30  

Cost of shares redeemed

       (285,279        (674,090        (2,219        (586
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 495,257        $ (263,667      $ 411        $ 13,675  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 511,222        $ (260,305      $ (3,935      $ 42,607  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
International Equity Fund
     JPMorgan
International Equity Income Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       2,579          7,301        820        2,566  

Reinvested

       235          42        86        148  

Redeemed

       (4,692        (5,607      (921      (2,230
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class A Shares

       (1,878        1,736        (15      484  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class C

 

Issued

       245          405        122        329  

Reinvested

       12          1        12        22  

Redeemed

       (302        (610      (93      (338
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class C Shares

       (45        (204      41        13  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class I

 

Issued

       3,712          3,517        895        3,939  

Reinvested

       122          22        90        158  

Redeemed

       (1,132        (2,347      (1,207      (2,659
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class I Shares

       2,702          1,192        (222      1,438  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R2

 

Issued

       18          41        4        20  

Reinvested

       1          (a)       (a)       1  

Redeemed

       (16        (26      (7      (23
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R2 Shares

       3          15        (3      (2
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R5

 

Issued

       18          111        2        66  

Reinvested

       19          11        (a)       3  

Redeemed

       (11        (2,981      (69      (40
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R5 Shares

       26          (2,859      (67      29  
    

 

 

      

 

 

    

 

 

    

 

 

 

Class R6

 

Issued

       38,407          25,401        138        882  

Reinvested

       3,289          1,123        17        2  

Redeemed

       (15,289        (42,082      (131      (36
    

 

 

      

 

 

    

 

 

    

 

 

 

Change in Class R6 Shares

       26,407          (15,558      24        848  
    

 

 

      

 

 

    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         83  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
International Research Enhanced Equity Fund
       JPMorgan
International Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

                   

Class A

                   

Proceeds from shares issued

     $ 28,384        $ 291,313        $ 48,039        $ 56,512  

Distributions reinvested

       6,000          1,449          451          256  

Cost of shares redeemed

       (79,656        (80,384        (16,439        (9,624
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (45,272      $ 212,378        $ 32,051        $ 47,144  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C (a)

                   

Proceeds from shares issued

     $        $ 655        $ 15,897        $ 12,093  

Distributions reinvested

                221          86          66  

Cost of shares redeemed

                (16,621        (2,121        (3,674
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $        $ (15,745      $ 13,862        $ 8,485  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class I

                   

Proceeds from shares issued

     $ 255,195        $ 3,428,331        $ 165,167        $ 133,949  

Distributions reinvested

       22,644          31,067          1,280          199  

Cost of shares redeemed

       (4,823,760        (291,221        (33,514        (23,313
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ (4,545,921      $ 3,168,177        $ 132,933        $ 110,835  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R2 (a)

                   

Proceeds from shares issued

     $        $ 6,205        $ 698        $ 71  

Distributions reinvested

                189          2          (b) 

Cost of shares redeemed

                (18,765        (39        (b) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $        $ (12,371      $ 661        $ 71  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R5

                   

Proceeds from shares issued

     $        $        $ 4,806        $ 69  

Distributions reinvested

                         1          (b) 

Cost of shares redeemed

                         (361        (6
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $        $        $ 4,446        $ 63  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R6 (c)

                   

Proceeds from shares issued

     $ 5,597,036        $        $ 31,148        $ 38,555  

Distributions reinvested

       79,541                   1,288          1,980  

Cost of shares redeemed

       (319,068                 (2,168        (1,117
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 5,357,509        $        $ 30,268        $ 39,418  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 766,316        $ 3,352,439        $ 214,221        $ 206,016  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Liquidated on October 9, 2017 for JPMorgan International Research Enhanced Equity Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan International Research Enhanced Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
84       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
International Research Enhanced Equity Fund
       JPMorgan
International Unconstrained Equity Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       1,499          15,780          2,213        2,894  

Reinvested

       321          93          21        15  

Redeemed

       (4,235        (4,458        (771      (521
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class A Shares

       (2,415        11,415          1,463        2,388  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class C (a)

Issued

                40          745        610  

Reinvested

                15          4        4  

Redeemed

                (963        (100      (191
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class C Shares

                (908        649        423  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class I

 

Issued

       13,334          186,476          7,522        6,707  

Reinvested

       1,199          1,983          60        12  

Redeemed

       (257,184        (17,061        (1,540      (1,152
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class I Shares

       (242,651        171,398          6,042        5,567  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R2 (a)

Issued

                382          32        4  

Reinvested

                12          (b)       (b) 

Redeemed

                (1,067        (2      (b) 
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R2 Shares

                (673        30        4  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R5

 

Issued

                         210        3  

Reinvested

                         (b)       (b) 

Redeemed

                         (17      (b) 
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R5 Shares

                         193        3  
    

 

 

      

 

 

      

 

 

    

 

 

 

Class R6 (c)

 

Issued

       297,275                   1,428        2,008  

Reinvested

       4,222                   61        117  

Redeemed

       (16,655                 (99      (53
    

 

 

      

 

 

      

 

 

    

 

 

 

Change in Class R6 Shares

       284,842                   1,390        2,072  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Liquidated on October 9, 2017 for JPMorgan International Research Enhanced Equity Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective November 1, 2017, for JPMorgan International Research Enhanced Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         85  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan
International Value Fund
       JPMorgan
Intrepid International Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

                 

Class A

                 

Proceeds from shares issued

     $ 29,642      $ 82,228        $ 28,945        $ 90,711  

Distributions reinvested

       6,704        18,745          4,173          3,114  

Cost of shares redeemed

       (36,073      (406,516        (72,724        (62,079
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 273      $ (305,543      $ (39,606      $ 31,746  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class C

                 

Proceeds from shares issued

     $ 1,627      $ 2,914        $ 651        $ 455  

Distributions reinvested

       287        1,151          19          26  

Cost of shares redeemed

       (4,263      (10,863        (373        (1,359
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (2,349    $ (6,798      $ 297        $ (878
    

 

 

    

 

 

      

 

 

      

 

 

 

Class I

                 

Proceeds from shares issued

     $ 31,809      $ 29,799        $ 13,050        $ 39,085  

Distributions reinvested

       3,381        4,900          1,088          451  

Cost of shares redeemed

       (31,697      (69,741        (9,172        (11,981
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 3,493      $ (35,042      $ 4,966        $ 27,555  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class L (a)

                 

Proceeds from shares issued

     $ 5,707      $ 193,382        $        $ 39  

Distributions reinvested

       1,069        20,403                    

Cost of shares redeemed

       (63,724      (590,617                 (23,795
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class L capital transactions

     $ (56,948    $ (376,832      $        $ (23,756
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R2

                 

Proceeds from shares issued

     $ 97      $ 368        $ 32,182        $ 8,299  

Distributions reinvested

       9        24          165          4  

Cost of shares redeemed

       (189      (402        (3,818        (321
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ (83    $ (10      $ 28,529        $ 7,982  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R5

                 

Proceeds from shares issued

     $ 6      $ 36        $        $  

Distributions reinvested

       2        1                    

Cost of shares redeemed

       (b)       (1                  
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ 8      $ 36        $        $  
    

 

 

    

 

 

      

 

 

      

 

 

 

Class R6

                 

Proceeds from shares issued

     $ 23,117      $ 106,682        $ 652,886        $ 257,105  

Distributions reinvested

       2,922        1,834          61,869          66,113  

Cost of shares redeemed

       (12,666      (34,416        (189,666        (457,898
    

 

 

    

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 13,373      $ 74,100        $ 525,089        $ (134,680
    

 

 

    

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ (42,233    $ (650,089      $ 519,275        $ (92,031
    

 

 

    

 

 

      

 

 

      

 

 

 

 

(a) Liquidated on December 8, 2016 for JPMorgan Intrepid International Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
86       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
International Value Fund
     JPMorgan
Intrepid International Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       2,059        6,323        1,302          4,549  

Reinvested

       472        1,558        191          171  

Redeemed

       (2,496      (32,574      (3,277        (3,165
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class A Shares

       35        (24,693      (1,784        1,555  
    

 

 

    

 

 

    

 

 

      

 

 

 

Class C

 

Issued

       116        229        29          22  

Reinvested

       21        99        1          1  

Redeemed

       (307      (863      (17        (67
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class C Shares

       (170      (535      13          (44
    

 

 

    

 

 

    

 

 

      

 

 

 

Class I

 

Issued

       2,162        2,244        562          1,985  

Reinvested

       233        399        48          24  

Redeemed

       (2,146      (5,291      (396        (574
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class I Shares

       249        (2,648      214          1,435  
    

 

 

    

 

 

    

 

 

      

 

 

 

Class L (a)

Issued

       388        14,882                 2  

Reinvested

       74        1,668                  

Redeemed

       (4,375      (44,537               (1,238
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class L Shares

       (3,913      (27,987               (1,236
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R2

 

Issued

       6        30        1,476          386  

Reinvested

       1        2        7          (b) 

Redeemed

       (14      (32      (174        (15
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R2 Shares

       (7      (b)       1,309          371  
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R5

 

Issued

       1        2                  

Reinvested

       (b)       (b)                 

Redeemed

       (b)       (b)                 
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R5 Shares

       1        2                  
    

 

 

    

 

 

    

 

 

      

 

 

 

Class R6

 

Issued

       1,575        7,566        28,152          13,047  

Reinvested

       203        150        2,771          3,555  

Redeemed

       (861      (2,501      (8,284        (22,597
    

 

 

    

 

 

    

 

 

      

 

 

 

Change in Class R6 Shares

       917        5,215        22,639          (5,995
    

 

 

    

 

 

    

 

 

      

 

 

 

 

(a) Liquidated on December 8, 2016 for JPMorgan Intrepid International Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         87  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan Emerging Economies Fund

 

Class A

 

Six Months Ended April 30, 2018 (Unaudited)

     $ 14.73        $ 0.07      $ 0.14        $ 0.21        $ (0.26

Year Ended October 31, 2017

       11.55          0.22        3.11          3.33          (0.15

Year Ended October 31, 2016

       11.03          0.15        0.46          0.61          (0.09

Year Ended October 31, 2015

       13.13          0.13 (f)       (2.03        (1.90        (0.20

Year Ended October 31, 2014

       13.63          0.22        (0.57        (0.35        (0.15

Year Ended October 31, 2013

       12.88          0.19        0.67          0.86          (0.11

Class C

 

Six Months Ended April 30, 2018 (Unaudited)

       14.60          0.04        0.13          0.17          (0.19

Year Ended October 31, 2017

       11.41          0.16        3.09          3.25          (0.06

Year Ended October 31, 2016

       10.86          0.09        0.46          0.55          (g) 

Year Ended October 31, 2015

       12.92          0.10 (f)       (2.03        (1.93        (0.13

Year Ended October 31, 2014

       13.44          0.15        (0.57        (0.42        (0.10

Year Ended October 31, 2013

       12.72          0.13        0.66          0.79          (0.07

Class I

 

Six Months Ended April 30, 2018 (Unaudited)

       14.93          0.10        0.14          0.24          (0.30

Year Ended October 31, 2017

       11.68          0.26        3.15          3.41          (0.16

Year Ended October 31, 2016

       11.06          0.18        0.47          0.65          (0.03

Year Ended October 31, 2015

       13.17          0.18 (f)       (2.06        (1.88        (0.23

Year Ended October 31, 2014

       13.67          0.26        (0.58        (0.32        (0.18

Year Ended October 31, 2013

       12.91          0.21        0.70          0.91          (0.15

Class R5

 

Six Months Ended April 30, 2018 (Unaudited)

       15.07          0.11        0.13          0.24          (0.30

Year Ended October 31, 2017

       11.78          0.26        3.20          3.46          (0.17

Year Ended October 31, 2016

       11.11          0.05        0.62          0.67           

Year Ended October 31, 2015

       13.22          0.20 (f)       (2.06        (1.86        (0.25

Year Ended October 31, 2014

       13.71          0.29        (0.58        (0.29        (0.20

Year Ended October 31, 2013

       12.94          0.25        0.68          0.93          (0.16

Class R6

 

Six Months Ended April 30, 2018 (Unaudited)

       14.87          0.11        0.14          0.25          (0.33

Year Ended October 31, 2017

       11.64          0.29        3.12          3.41          (0.18

Year Ended October 31, 2016

       11.11          0.21        0.46          0.67          (0.14

September 1, 2015 (h) through October 31, 2015

       10.46          (0.02 )(f)       0.67          0.65           

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Amount rounds to less than $0.005.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 14.68       1.46   $ 159,665       1.14     0.99     1.52     26
  14.73       29.28       179,772       1.34       1.72       1.57       62  
  11.55       5.62       148,331       1.42       1.42       1.70       72  
  11.03       (14.60     43,220       1.58       1.06 (f)      1.99       118  
  13.13       (2.56     80,806       1.60       1.71       1.73       79  
  13.63       6.67       69,690       1.60       1.45       1.72       43  
           
  14.58       1.16       2,857       1.64       0.50       2.05       26  
  14.60       28.71       2,782       1.85       1.23       2.17       62  
  11.41       5.11       2,448       1.96       0.82       2.37       72  
  10.86       (15.02     3,614       2.09       0.80 (f)      2.36       118  
  12.92       (3.12     5,331       2.10       1.13       2.23       79  
  13.44       6.25       5,089       2.10       1.02       2.22       43  
           
  14.87       1.60       64,309       0.89       1.27       1.27       26  
  14.93       29.61       63,965       1.10       2.01       1.30       62  
  11.68       5.93       53,509       1.21       1.67       1.40       72  
  11.06       (14.45     239,866       1.34       1.51 (f)      1.46       118  
  13.17       (2.35     288,059       1.35       1.96       1.48       79  
  13.67       7.04       277,822       1.35       1.61       1.47       43  
           
  15.01       1.59       353       0.79       1.37       1.13       26  
  15.07       29.89       417       0.93       2.06       1.16       62  
  11.78       6.03       1,602       1.08       0.49       1.25       72  
  11.11       (14.20     81,516       1.14       1.65 (f)      1.25       118  
  13.22       (2.12     852,477       1.15       2.19       1.28       79  
  13.71       7.21       676,985       1.15       1.84       1.27       43  
           
  14.79       1.68       1,857,607       0.69       1.44       1.01       26  
  14.87       29.87       1,790,759       0.85       2.23       1.04       62  
  11.64       6.16       1,573,822       0.94       1.99       1.09       72  
  11.11       6.21       732,627       1.07       (0.92 )(f)      1.17       118  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         89  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan Emerging Markets Equity Fund

 

Class A

 

Six Months Ended April 30, 2018 (Unaudited)

     $ 27.58        $ (0.03    $ 0.82        $ 0.79        $ (0.04

Year Ended October 31, 2017

       21.79          0.09        5.80          5.89          (0.10

Year Ended October 31, 2016

       19.53          0.09        2.28          2.37          (0.11

Year Ended October 31, 2015

       23.72          0.12 (f)       (4.12        (4.00        (0.19

Year Ended October 31, 2014

       23.05          0.16 (f)       0.59          0.75          (0.08

Year Ended October 31, 2013

       22.01          0.10        1.02          1.12          (0.08

Class C

 

Six Months Ended April 30, 2018 (Unaudited)

       26.80          (0.10      0.79          0.69          (g) 

Year Ended October 31, 2017

       21.18          (0.04      5.67          5.63          (0.01

Year Ended October 31, 2016

       18.96          (0.01      2.23          2.22           

Year Ended October 31, 2015

       23.03          0.03 (f)       (4.02        (3.99        (0.08

Year Ended October 31, 2014

       22.41          0.05 (f)       0.57          0.62           

Year Ended October 31, 2013

       21.44          (0.01      0.99          0.98          (0.01

Class I

 

Six Months Ended April 30, 2018 (Unaudited)

       28.29          0.01        0.83          0.84          (0.12

Year Ended October 31, 2017

       22.33          0.16        5.94          6.10          (0.14

Year Ended October 31, 2016

       19.98          0.13        2.35          2.48          (0.13

Year Ended October 31, 2015

       24.24          0.19 (f)       (4.21        (4.02        (0.24

Year Ended October 31, 2014

       23.47          0.18 (f)       0.64          0.82          (0.05

Year Ended October 31, 2013

       22.40          0.17        1.03          1.20          (0.13

Class L

 

Six Months Ended April 30, 2018 (Unaudited)

       28.49          0.03        0.83          0.86          (0.13

Year Ended October 31, 2017

       22.49          0.21        5.96          6.17          (0.17

Year Ended October 31, 2016

       20.15          0.17        2.35          2.52          (0.18

Year Ended October 31, 2015

       24.42          0.23 (f)       (4.26        (4.03        (0.24

Year Ended October 31, 2014

       23.73          0.17 (f)       0.70          0.87          (0.18

Year Ended October 31, 2013

       22.65          0.20        1.04          1.24          (0.16

Class R2

 

Six Months Ended April 30, 2018 (Unaudited)

       27.57          (0.06      0.80          0.74          (0.08

July 31, 2017 (h) through October 31, 2017

       26.40          (0.01      1.18          1.17           

Class R3

 

Six Months Ended April 30, 2018 (Unaudited)

       27.59          0.01        0.77          0.78          (0.11

July 31, 2017 (h) through October 31, 2017

       26.40          0.01        1.18          1.19           

Class R4

 

Six Months Ended April 30, 2018 (Unaudited)

       28.28          0.02        0.81          0.83          (0.13

July 31, 2017 (h) through October 31, 2017

       27.05          0.02        1.21          1.23           

Class R5

 

Six Months Ended April 30, 2018 (Unaudited)

       28.47          0.07        0.79          0.86          (0.15

Year Ended October 31, 2017

       22.49          0.15        6.01          6.16          (0.18

September 9, 2016 (h) through October 31, 2016

       22.40          0.01        0.08          0.09           

Class R6

 

Six Months Ended April 30, 2018 (Unaudited)

       28.46          0.04        0.83          0.87          (0.16

Year Ended October 31, 2017

       22.46          0.21        5.98          6.19          (0.19

Year Ended October 31, 2016

       20.13          0.19        2.35          2.54          (0.21

Year Ended October 31, 2015

       24.44          0.22 (f)       (4.23        (4.01        (0.30

December 23, 2013 (h) through October 31, 2014

       22.47          0.38 (f)       1.59          1.97           

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Amount rounds to less than $0.005.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
90       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 28.33       2.87   $ 507,374       1.23     (0.20 )%      1.51     5
  27.58       27.22       525,451       1.35       0.36       1.58       22  
  21.79       12.25       411,713       1.44       0.44       1.76       23  
  19.53       (16.95     274,710       1.61       0.57 (f)      1.88       35  
  23.72       3.26       350,555       1.70       0.72 (f)      1.81       33  
  23.05       5.08       327,090       1.76       0.46       1.79       34  
           
  27.49       2.58       58,183       1.73       (0.68     2.01       5  
  26.80       26.58       48,497       1.85       (0.15     2.09       22  
  21.18       11.71       39,568       1.95       (0.06     2.26       23  
  18.96       (17.38     43,387       2.10       0.13 (f)      2.33       35  
  23.03       2.77       56,732       2.20       0.22 (f)      2.31       33  
  22.41       4.56       56,119       2.26       (0.06     2.29       34  
           
  29.01       2.95       888,178       0.98       0.09       1.25       5  
  28.29       27.54       629,451       1.10       0.62       1.30       22  
  22.33       12.51       301,959       1.20       0.66       1.43       23  
  19.98       (16.70     502,729       1.35       0.88 (f)      1.48       35  
  24.24       3.51       583,501       1.45       0.78 (f)      1.56       33  
  23.47       5.34       1,900,639       1.51       0.74       1.54       34  
           
  29.22       3.02       541,498       0.89       0.17       1.10       5  
  28.49       27.72       430,860       0.95       0.84       1.14       22  
  22.49       12.71       390,647       1.04       0.84       1.22       23  
  20.15       (16.60     316,635       1.21       1.05 (f)      1.31       35  
  24.42       3.72       411,449       1.30       0.72 (f)      1.40       33  
  23.73       5.47       1,123,600       1.36       0.88       1.39       34  
           
  28.23       2.67       45       1.53       (0.41     1.79       5  
  27.57       4.43       21       1.60       (0.17     1.80       22  
           
  28.26       2.81       389       1.28       0.06       1.50       5  
  27.59       4.51       21       1.35       0.08       1.55       22  
           
  28.98       2.95       21       1.04       0.17       1.27       5  
  28.28       4.55       21       1.10       0.33       1.30       22  
           
  29.18       3.03       2,343       0.88       0.44       1.11       5  
  28.47       27.72       217       0.95       0.58       3.36       22  
  22.49       0.40       20       0.90       0.28       1.08       23  
           
  29.17       3.07       3,090,390       0.78       0.26       1.00       5  
  28.46       27.87       2,813,349       0.85       0.85       1.01       22  
  22.46       12.83       1,980,671       0.94       0.96       1.08       23  
  20.13       (16.54     1,128,390       1.10       0.99 (f)      1.16       35  
  24.44       8.77       1,130,050       1.20       1.85 (f)      1.33       33  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         91  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
     Net
investment
income
    Net
realized
gain
    Total
distributions
 

JPMorgan Global Research Enhanced Index Fund

 

           

Class I

                 

Six Months Ended April 30, 2018 (Unaudited)

   $ 22.16      $ 0.21      $ 0.38     $ 0.59      $ (0.20   $     $ (0.20

Year Ended October 31, 2017

     18.37        0.39        3.82       4.21        (0.42           (0.42

Year Ended October 31, 2016

     18.56        0.39        (0.24     0.15        (0.34           (0.34

Year Ended October 31, 2015

     18.81        0.39        (0.12     0.27        (0.27     (0.25     (0.52

Year Ended October 31, 2014

     17.37        0.39        1.33       1.72        (0.18     (0.10     (0.28

February 28, 2013 (f) through October 31, 2013

     15.00        0.19        2.18       2.37                     

Class R6

                 

November 1, 2017(i) through April 30, 2018 (Unaudited)

     22.19        0.22        0.36       0.58        (0.45           (0.45

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Commencement of operations.
(g) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.
(h) Ratios are disproportionate among classes due to the size of net assets and fixed expenses,
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 22.55       2.68   $ 470,695       0.34     1.85     0.55     25
  22.16       23.29       8,663,460       0.34       1.93       0.55       33  
  18.37       0.91       6,907,246       0.34       2.19       0.55       35  
  18.56       1.51       7,415,218       0.33       2.06       0.56       44  
  18.81       10.09       3,577,523       0.33       2.16       0.56       40  
  17.37       15.80       1,895,025       0.33 (g)      1.73 (g)      0.60 (g)(h)      25  
           
  22.32       2.60       7,846,362       0.25       1.94       0.30       25  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         93  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Return
of
capital
    Total
distributions
 

JPMorgan Global Unconstrained Equity Fund

 

           

Class A

                 

Six Months Ended April 30, 2018 (Unaudited)

   $ 17.14      $ 0.04 (e)    $ 0.40     $ 0.44     $ (0.13   $ (0.65   $     $ (0.78

Year Ended October 31, 2017

     14.12        0.15 (e)      2.87       3.02                          

Year Ended October 31, 2016

     16.12        0.27 (e)      (0.88     (0.61     (0.30     (0.27     (0.82     (1.39

Year Ended October 31, 2015

     19.55        0.11 (e)      0.66       0.77       (0.31     (3.89           (4.20

Year Ended October 31, 2014

     20.11        0.23       1.17       1.40       (0.17     (1.79           (1.96

Year Ended October 31, 2013

     16.73        0.24       3.77       4.01       (0.22     (0.41           (0.63

Class C

                 

Six Months Ended April 30, 2018 (Unaudited)

     16.93        (e)(g)      0.40       0.40       (0.10     (0.65           (0.75

Year Ended October 31, 2017

     14.02        0.07 (e)      2.84       2.91                          

Year Ended October 31, 2016

     16.01        0.11 (e)      (0.79     (0.68     (0.22     (0.27     (0.82     (1.31

Year Ended October 31, 2015

     19.43        0.04 (e)      0.64       0.68       (0.21     (3.89           (4.10

Year Ended October 31, 2014

     20.01        0.14       1.16       1.30       (0.09     (1.79           (1.88

Year Ended October 31, 2013

     16.65        0.16       3.76       3.92       (0.15     (0.41           (0.56

Class I

                 

Six Months Ended April 30, 2018 (Unaudited)

     17.30        0.07 (e)      0.41       0.48       (0.18     (0.65           (0.83

Year Ended October 31, 2017

     14.23        0.20 (e)      2.91       3.11       (0.04                 (0.04

Year Ended October 31, 2016

     16.18        0.26 (e)      (0.83     (0.57     (0.29     (0.27     (0.82     (1.38

Year Ended October 31, 2015

     19.60        0.19 (e)      0.64       0.83       (0.36     (3.89           (4.25

Year Ended October 31, 2014

     20.15        0.27       1.19       1.46       (0.22     (1.79           (2.01

Year Ended October 31, 2013

     16.76        0.29       3.77       4.06       (0.26     (0.41           (0.67

Class R2

                 

Six Months Ended April 30, 2018 (Unaudited)

     17.24        0.02 (e)      0.40       0.42       (0.07     (0.65           (0.72

Year Ended October 31, 2017

     14.24        0.11 (e)      2.89       3.00                          

Year Ended October 31, 2016

     16.11        0.14 (e)      (0.79     (0.65     (0.13     (0.27     (0.82     (1.22

Year Ended October 31, 2015

     19.49        0.08 (e)      0.65       0.73       (0.22     (3.89           (4.11

Year Ended October 31, 2014

     20.06        0.18       1.17       1.35       (0.13     (1.79           (1.92

Year Ended October 31, 2013

     16.69        0.20       3.77       3.97       (0.19     (0.41           (0.60

Class R5

                 

Six Months Ended April 30, 2018 (Unaudited)

     17.25        0.08 (e)      0.41       0.49       (0.19     (0.65           (0.84

Year Ended October 31, 2017

     14.24        0.22 (e)      2.89       3.11       (0.10                 (0.10

Year Ended October 31, 2016

     16.21        0.24 (e)      (0.80     (0.56     (0.32     (0.27     (0.82     (1.41

Year Ended October 31, 2015

     19.65        0.21 (e)      0.64       0.85       (0.40     (3.89           (4.29

Year Ended October 31, 2014

     20.19        0.31       1.19       1.50       (0.25     (1.79           (2.04

Year Ended October 31, 2013

     16.79        0.32       3.79       4.11       (0.30     (0.41           (0.71

Class R6

                 

Six Months Ended April 30, 2018 (Unaudited)

     17.24        0.08 (e)      0.42       0.50       (0.20     (0.65           (0.85

Year Ended October 31, 2017

     14.23        0.23 (e)      2.88       3.11       (0.10                 (0.10

Year Ended October 31, 2016

     16.22        0.25 (e)      (0.80     (0.55     (0.35     (0.27     (0.82     (1.44

Year Ended October 31, 2015

     19.66        0.21 (e)      0.66       0.87       (0.42     (3.89           (4.31

Year Ended October 31, 2014

     20.20        0.32       1.19       1.51       (0.26     (1.79           (2.05

Year Ended October 31, 2013

     16.80        0.33       3.78       4.11       (0.30     (0.41           (0.71

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(e) Calculated based upon average shares outstanding.
(f) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2013.
(g) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
94       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (b)
 
           
           
$ 16.80       2.61   $ 1,760       0.75     0.52     6.46     37
  17.14       21.39       1,171       0.74       0.93       11.79       105  
  14.12       (3.53     417       0.74       1.95       1.90       1,256  
  16.12       4.76       244       1.00       0.67       7.57       132  
  19.55       7.83       75       1.35       1.27       4.32       97  
  20.11       24.74       70       1.35 (f)      1.37 (f)      5.36 (f)      71  
           
  16.58       2.37       571       1.25       (0.05     7.10       37  
  16.93       20.76       386       1.24       0.45       13.04       105  
  14.02       (4.02     210       1.17       0.78       11.83       1,256  
  16.01       4.26       317       1.48       0.21       9.92       132  
  19.43       7.28       74       1.85       0.77       4.82       97  
  20.01       24.16       69       1.85 (f)      0.87 (f)      5.85 (f)      71  
           
  16.95       2.79       2,662       0.40       0.86       6.26       37  
  17.30       21.88       1,827       0.40       1.25       11.90       105  
  14.23       (3.23     991       0.36       1.86       5.37       1,256  
  16.18       5.13       1,020       0.88       1.06       7.34       132  
  19.60       8.11       4,156       1.10       1.52       4.06       97  
  20.15       25.04       3,844       1.10 (f)      1.62 (f)      5.10 (f)      71  
           
  16.94       2.47       21       1.00       0.20       7.31       37  
  17.24       21.07       22       1.00       0.69       13.20       105  
  14.24       (3.79     18       0.92       1.00       13.46       1,256  
  16.11       4.55       20       1.46       0.45       8.67       132  
  19.49       7.55       75       1.60       1.02       4.56       97  
  20.06       24.45       69       1.60 (f)      1.12 (f)      5.60 (f)      71  
           
  16.90       2.86       21       0.30       0.90       6.67       37  
  17.25       21.91       21       0.30       1.39       12.47       105  
  14.24       (3.12     18       0.22       1.70       12.77       1,256  
  16.21       5.26       20       0.76       1.15       7.97       132  
  19.65       8.34       76       0.90       1.72       3.86       97  
  20.19       25.29       70       0.90 (f)      1.82 (f)      4.89 (f)      71  
           
  16.89       2.91       129       0.25       0.96       6.30       37  
  17.24       21.99       122       0.25       1.37       9.95       105  
  14.23       (3.10     18       0.17       1.75       12.75       1,256  
  16.22       5.34       20       0.71       1.20       7.91       132  
  19.66       8.39       76       0.85       1.77       3.81       97  
  20.20       25.33       70       0.85 (f)      1.87 (f)      4.85 (f)      71  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         95  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan International Equity Fund

 

Class A

 

Six Months Ended April 30, 2018 (Unaudited)

     $ 17.81        $ 0.11      $ 0.30        $ 0.41        $ (0.25

Year Ended October 31, 2017

       14.24          0.22        3.39          3.61          (0.04

Year Ended October 31, 2016

       14.75          0.22        (0.51        (0.29        (0.22

Year Ended October 31, 2015

       15.25          0.23        (0.50        (0.27        (0.23

Year Ended October 31, 2014

       15.92          0.37 (f)       (0.68        (0.31        (0.36

Year Ended October 31, 2013

       13.36          0.20        2.56          2.76          (0.20

Class C

 

Six Months Ended April 30, 2018 (Unaudited)

       16.83          0.07        0.27          0.34          (0.17

Year Ended October 31, 2017

       13.50          0.12        3.22          3.34          (0.01

Year Ended October 31, 2016

       14.02          0.13        (0.47        (0.34        (0.18

Year Ended October 31, 2015

       14.52          0.15        (0.48        (0.33        (0.17

Year Ended October 31, 2014

       15.20          0.26 (f)       (0.64        (0.38        (0.30

Year Ended October 31, 2013

       12.78          0.12        2.45          2.57          (0.15

Class I

 

Six Months Ended April 30, 2018 (Unaudited)

       18.09          0.15        0.29          0.44          (0.28

Year Ended October 31, 2017

       14.45          0.26        3.44          3.70          (0.06

Year Ended October 31, 2016

       14.95          0.24        (0.48        (0.24        (0.26

Year Ended October 31, 2015

       15.45          0.29        (0.53        (0.24        (0.26

Year Ended October 31, 2014

       16.13          0.39 (f)       (0.67        (0.28        (0.40

Year Ended October 31, 2013

       13.52          0.23        2.61          2.84          (0.23

Class R2

 

Six Months Ended April 30, 2018 (Unaudited)

       17.70          0.09        0.28          0.37          (0.22

Year Ended October 31, 2017

       14.17          0.17        3.38          3.55          (0.02

Year Ended October 31, 2016

       14.69          0.18        (0.50        (0.32        (0.20

Year Ended October 31, 2015

       15.19          0.20        (0.51        (0.31        (0.19

Year Ended October 31, 2014

       15.87          0.30 (f)       (0.65        (0.35        (0.33

Year Ended October 31, 2013

       13.31          0.11        2.61          2.72          (0.16

Class R5

 

Six Months Ended April 30, 2018 (Unaudited)

       18.13          0.15        0.29          0.44          (0.29

Year Ended October 31, 2017

       14.47          0.21        3.52          3.73          (0.07

Year Ended October 31, 2016

       14.97          0.27        (0.49        (0.22        (0.28

Year Ended October 31, 2015

       15.46          0.29        (0.49        (0.20        (0.29

Year Ended October 31, 2014

       16.13          0.44 (f)       (0.69        (0.25        (0.42

Year Ended October 31, 2013

       13.52          0.27        2.60          2.87          (0.26

Class R6

 

Six Months Ended April 30, 2018 (Unaudited)

       18.13          0.16        0.30          0.46          (0.31

Year Ended October 31, 2017

       14.46          0.29        3.46          3.75          (0.08

Year Ended October 31, 2016

       14.97          0.29        (0.51        (0.22        (0.29

Year Ended October 31, 2015

       15.46          0.32        (0.52        (0.20        (0.29

Year Ended October 31, 2014

       16.13          0.45 (f)       (0.69        (0.24        (0.43

Year Ended October 31, 2013

       13.52          0.28        2.59          2.87          (0.26

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.32, $0.21, $0.34, $0.25, $0.39 and $0.40 for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively, and the net investment income (loss) ratio would have been 2.01%, 1.40%, 2.08%, 1.59%, 2.40% and 2.48% for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
96       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 17.97       2.30   $ 271,112       0.94     1.23     1.31     17
  17.81       25.43       302,130       1.23       1.39       1.35       17  
  14.24       (1.83     216,932       1.31       1.62       1.49       11  
  14.75       (1.89     224,370       1.31       1.50       1.59       13  
  15.25       (2.06     186,242       1.31       2.34 (f)      1.45       6  
  15.92       20.85       188,590       1.30       1.33       1.47       8  
           
  17.00       2.04       23,757       1.45       0.80       1.83       17  
  16.83       24.79       24,281       1.74       0.83       1.88       17  
  13.50       (2.31     22,235       1.81       0.97       2.06       11  
  14.02       (2.36     28,313       1.81       1.02       2.05       13  
  14.52       (2.59     26,299       1.81       1.73 (f)      1.95       6  
  15.20       20.25       23,655       1.80       0.83       1.97       8  
           
  18.25       2.44       190,224       0.70       1.66       1.06       17  
  18.09       25.69       139,715       0.99       1.59       1.10       17  
  14.45       (1.50     94,362       1.06       1.69       1.24       11  
  14.95       (1.66     522,402       1.06       1.84       1.19       13  
  15.45       (1.88     494,344       1.06       2.41 (f)      1.20       6  
  16.13       21.23       434,316       1.05       1.51       1.22       8  
           
  17.85       2.11       2,158       1.25       0.97       1.57       17  
  17.70       25.12       2,096       1.49       1.07       1.71       17  
  14.17       (2.08     1,461       1.56       1.28       1.95       11  
  14.69       (2.14     1,203       1.56       1.28       1.92       13  
  15.19       (2.33     1,405       1.56       1.92 (f)      1.70       6  
  15.87       20.58       1,230       1.55       0.78       1.72       8  
           
  18.28       2.46       22,549       0.60       1.64       0.91       17  
  18.13       25.88       21,891       0.84       1.36       0.93       17  
  14.47       (1.34     58,836       0.86       1.93       1.02       11  
  14.97       (1.42     57,500       0.86       1.88       1.06       13  
  15.46       (1.65     95,749       0.86       2.73 (f)      1.00       6  
  16.13       21.42       106,963       0.85       1.79       1.02       8  
           
  18.28       2.53       4,028,552       0.50       1.78       0.81       17  
  18.13       26.04       3,516,978       0.74       1.84       0.81       17  
  14.46       (1.36     3,030,640       0.81       2.05       0.91       11  
  14.97       (1.37     2,088,835       0.80       2.03       0.91       13  
  15.46       (1.60     1,681,788       0.81       2.81 (f)      0.95       6  
  16.13       21.47       1,248,489       0.80       1.85       0.97       8  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         97  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (b)
    Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Total
distributions
 

JPMorgan International Equity Income Fund

 

         

Class A

               

Six Months Ended April 30, 2018 (Unaudited)

   $ 16.50      $ 0.25     $ 0.34     $ 0.59     $ (0.28   $     $ (0.28

Year Ended October 31, 2017

     14.38        0.42       2.16       2.58       (0.46           (0.46

Year Ended October 31, 2016

     15.66        0.45 (f)      (1.01     (0.56     (0.46     (0.26     (0.72

Year Ended October 31, 2015

     16.41        0.39 (f)      (0.33     0.06       (0.65     (0.16     (0.81

Year Ended October 31, 2014

     16.67        0.91 (g)      (0.38     0.53       (0.66     (0.13     (0.79

Year Ended October 31, 2013

     14.12        0.43       2.55       2.98       (0.41     (0.02     (0.43

Class C

               

Six Months Ended April 30, 2018 (Unaudited)

     16.38        0.21       0.33       0.54       (0.23           (0.23

Year Ended October 31, 2017

     14.30        0.34       2.15       2.49       (0.41           (0.41

Year Ended October 31, 2016

     15.59        0.38 (f)      (1.01     (0.63     (0.40     (0.26     (0.66

Year Ended October 31, 2015

     16.36        0.39 (f)      (0.42     (0.03     (0.58     (0.16     (0.74

Year Ended October 31, 2014

     16.63        0.84 (g)      (0.40     0.44       (0.58     (0.13     (0.71

Year Ended October 31, 2013

     14.11        0.34       2.55       2.89       (0.35     (0.02     (0.37

Class I

               

Six Months Ended April 30, 2018 (Unaudited)

     16.55        0.26       0.35       0.61       (0.30           (0.30

Year Ended October 31, 2017

     14.41        0.50       2.14       2.64       (0.50           (0.50

Year Ended October 31, 2016

     15.70        0.46 (f)      (0.98     (0.52     (0.51     (0.26     (0.77

Year Ended October 31, 2015

     16.45        0.49 (f)      (0.37     0.12       (0.71     (0.16     (0.87

Year Ended October 31, 2014

     16.71        0.96 (g)      (0.40     0.56       (0.69     (0.13     (0.82

Year Ended October 31, 2013

     14.14        0.47       2.55       3.02       (0.43     (0.02     (0.45

Class R2

               

Six Months Ended April 30, 2018 (Unaudited)

     16.47        0.22       0.34       0.56       (0.25           (0.25

Year Ended October 31, 2017

     14.36        0.41       2.13       2.54       (0.43           (0.43

Year Ended October 31, 2016

     15.65        0.39 (f)      (0.98     (0.59     (0.44     (0.26     (0.70

Year Ended October 31, 2015

     16.41        0.61 (f)      (0.60     0.01       (0.61     (0.16     (0.77

Year Ended October 31, 2014

     16.67        0.87 (g)      (0.39     0.48       (0.61     (0.13     (0.74

Year Ended October 31, 2013

     14.12        0.40       2.54       2.94       (0.37     (0.02     (0.39

Class R5

               

Six Months Ended April 30, 2018 (Unaudited)

     16.57        0.18       0.43       0.61       (0.31           (0.31

Year Ended October 31, 2017

     14.42        0.55       2.12       2.67       (0.52           (0.52

Year Ended October 31, 2016

     15.70        0.49 (f)      (0.98     (0.49     (0.53     (0.26     (0.79

Year Ended October 31, 2015

     16.46        0.76 (f)      (0.63     0.13       (0.73     (0.16     (0.89

Year Ended October 31, 2014

     16.72        0.99 (g)      (0.39     0.60       (0.73     (0.13     (0.86

Year Ended October 31, 2013

     14.15        0.51       2.54       3.05       (0.46     (0.02     (0.48

Class R6

               

Six Months Ended April 30, 2018 (Unaudited)

     16.55        0.29       0.34       0.63       (0.32           (0.32

Year Ended October 31, 2017

     14.41        0.16       2.50       2.66       (0.52           (0.52

Year Ended October 31, 2016

     15.69        0.51 (f)      (0.99     (0.48     (0.54     (0.26     (0.80

January 30, 2015 (h) through October 31, 2015

     15.82        0.69 (f)      (0.41     0.28       (0.41           (0.41

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.66, $0.59, $0.71, $0.62 and $0.74 for Class A, Class C, Class I, Class R2 and Class R5, respectively, and the net investment income (loss) ratio would have been 3.94%, 3.53%, 4.25%, 3.74% and 4.44% for Class A, Class C, Class I, Class R2 and Class R5, respectively.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
98       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 16.81       3.58   $ 85,864       0.95     2.95     1.42     56
  16.50       18.24       84,553       1.25       2.70       1.52       64  
  14.38       (3.60     66,722       1.24       3.06 (f)      1.57       162  
  15.66       0.29       66,499       1.25       2.42 (f)      1.67       238  
  16.41       3.18       74,652       1.25       5.44 (g)      1.67       138  
  16.67       21.40       49,118       1.24       2.77       1.82       63  
           
  16.69       3.33       14,612       1.45       2.47       1.94       56  
  16.38       17.64       13,679       1.74       2.24       2.04       64  
  14.30       (4.09     11,754       1.75       2.59 (f)      2.12       162  
  15.59       (0.23     8,649       1.75       2.45 (f)      2.20       238  
  16.36       2.67       3,530       1.75       5.03 (g)      2.17       138  
  16.63       20.74       1,957       1.74       2.16       2.32       63  
           
  16.86       3.73       84,406       0.70       3.11       1.18       56  
  16.55       18.65       86,550       0.90       3.21       1.27       64  
  14.41       (3.31     54,642       0.89       3.13 (f)      1.31       162  
  15.70       0.66       35,177       0.91       3.00 (f)      1.41       238  
  16.45       3.39       34,719       1.00       5.75 (g)      1.42       138  
  16.71       21.73       55,485       0.99       3.04       1.59       63  
           
  16.78       3.40       291       1.25       2.65       1.79       56  
  16.47       17.99       322       1.49       2.65       1.97       64  
  14.36       (3.84     316       1.49       2.66 (f)      2.39       162  
  15.65       (0.01     52       1.50       3.74 (f)      1.89       238  
  16.41       2.90       574       1.50       5.24 (g)      1.92       138  
  16.67       21.12       558       1.49       2.60       2.11       63  
           
  16.87       3.71       178       0.60       2.15       1.08       56  
  16.57       18.81       1,297       0.80       3.52       1.11       64  
  14.42       (3.14     700       0.79       3.33 (f)      1.29       162  
  15.70       0.71       19       0.80       4.59 (f)      1.16       238  
  16.46       3.60       587       0.80       5.94 (g)      1.22       138  
  16.72       21.94       566       0.79       3.31       1.41       63  
           
  16.86       3.84       14,723       0.50       3.41       0.91       56  
  16.55       18.81       14,055       0.74       0.99       1.22       64  
  14.41       (3.09     21       0.75       3.48 (f)      3.06       162  
  15.69       1.66       21       0.75       5.70 (f)      1.15       238  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         99  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

Net realized
and unrealized
gains

(losses) on
investments

    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Total
distributions
 

JPMorgan International Research Enhanced Equity Fund

 

         

Class A

               

Six Months Ended April 30, 2018 (Unaudited)

   $ 18.76      $ 0.20     $ 0.32     $ 0.52     $ (0.19   $ (0.19   $ (0.38

Year Ended October 31, 2017

     15.54        0.34       3.23       3.57       (0.35           (0.35

Year Ended October 31, 2016

     16.54        0.40 (f)      (0.89     (0.49     (0.36     (0.15     (0.51

Year Ended October 31, 2015

     20.38        0.43       (0.60     (0.17     (0.40     (3.27     (3.67

Year Ended October 31, 2014

     21.20        0.47       (0.56     (0.09     (0.39     (0.34     (0.73

Year Ended October 31, 2013

     17.24        0.38       4.00       4.38       (0.42           (0.42

Class I

               

Six Months Ended April 30, 2018 (Unaudited)

     18.92        0.16       0.39       0.55       (0.16     (0.19     (0.35

Year Ended October 31, 2017

     15.68        0.41       3.23       3.64       (0.40           (0.40

Year Ended October 31, 2016

     16.70        0.46 (f)      (0.92     (0.46     (0.41     (0.15     (0.56

Year Ended October 31, 2015

     20.54        0.48       (0.60     (0.12     (0.45     (3.27     (3.72

Year Ended October 31, 2014

     21.36        0.52       (0.56     (0.04     (0.44     (0.34     (0.78

Year Ended October 31, 2013

     17.36        0.40       4.06       4.46       (0.46           (0.46

Class R6

               

November 1, 2017 (h) through April 30, 2018 (Unaudited)

     18.98        0.26       0.23       0.49       (0.22     (0.19     (0.41

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Amount rounds to less than 0.005%.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
100       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 18.90       2.81   $ 254,716       0.59     2.08     0.83     19
  18.76       23.41       298,112       0.59       1.98       0.90       33  
  15.54       (2.94     69,626       0.60       2.60 (f)      1.02       24  
  16.54       (0.29     82,667       0.60       2.51       0.99       39  
  20.38       (0.40     96,325       0.59       2.23       1.10       63  
  21.20       25.84       108,193       0.75       2.04       1.35       51  
           
  19.12       2.94       151,836       0.35       1.69       0.56       19  
  18.92       23.71       4,740,590       0.34       2.37       0.58       33  
  15.68       (2.72     1,241,856       0.34       2.98 (f)      0.59       24  
  16.70       0.00 (g)      779,908       0.35       2.79       0.60       39  
  20.54       (0.16     562,180       0.34       2.45       0.84       63  
  21.36       26.18       464,273       0.53       2.10       1.09       51  
           
  19.06       2.66       5,430,013       0.25       2.81       0.31       19  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         101  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

Net realized
and unrealized
gains

(losses) on
investments

    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Total
distributions
 

JPMorgan International Unconstrained Equity Fund

 

         

Class A

               

Six Months Ended April 30, 2018 (Unaudited)

   $ 21.14      $ 0.09     $ 0.03     $ 0.12     $ (0.13   $     $ (0.13

Year Ended October 31, 2017

     17.24        0.16 (e)      4.09       4.25       (0.35           (0.35

Year Ended October 31, 2016

     17.61        0.22 (e)(f)      (0.55     (0.33     (0.04           (0.04

Year Ended October 31, 2015

     18.59        0.09 (e)(f)      0.39       0.48       (0.17     (1.29     (1.46

Year Ended October 31, 2014

     20.59        0.13 (g)      (0.65     (0.52     (0.17     (1.31     (1.48

Year Ended October 31, 2013

     17.28        0.15       3.62       3.77       (0.11     (0.35     (0.46

Class C

               

Six Months Ended April 30, 2018 (Unaudited)

     20.90        0.04       0.02       0.06       (0.09           (0.09

Year Ended October 31, 2017

     17.04        0.05 (e)      4.06       4.11       (0.25           (0.25

Year Ended October 31, 2016

     17.45        0.13 (e)(f)      (0.53     (0.40     (0.01           (0.01

Year Ended October 31, 2015

     18.44        (0.02 )(e)(f)      0.39       0.37       (0.07     (1.29     (1.36

Year Ended October 31, 2014

     20.47        0.09 (g)      (0.69     (0.60     (0.12     (1.31     (1.43

Year Ended October 31, 2013

     17.20        0.07       3.59       3.66       (0.04     (0.35     (0.39

Class I

               

Six Months Ended April 30, 2018 (Unaudited)

     21.41        0.14             0.14       (0.17           (0.17

Year Ended October 31, 2017

     17.45        0.23 (e)      4.13       4.36       (0.40           (0.40

Year Ended October 31, 2016

     17.71        0.24 (e)(f)      (0.50     (0.26                  

Year Ended October 31, 2015

     18.67        0.15 (e)(f)      0.38       0.53       (0.20     (1.29     (1.49

Year Ended October 31, 2014

     20.64        0.21 (g)      (0.67     (0.46     (0.20     (1.31     (1.51

Year Ended October 31, 2013

     17.32        0.21       3.60       3.81       (0.14     (0.35     (0.49

Class R2

               

Six Months Ended April 30, 2018 (Unaudited)

     21.11        0.10       (0.02     0.08       (0.15           (0.15

Year Ended October 31, 2017

     17.21        0.06 (e)      4.14       4.20       (0.30           (0.30

Year Ended October 31, 2016

     17.57        0.15 (e)(f)      (0.51     (0.36                  

Year Ended October 31, 2015

     18.55        0.03 (e)(f)      0.39       0.42       (0.11     (1.29     (1.40

Year Ended October 31, 2014

     20.53        0.12 (g)      (0.68     (0.56     (0.11     (1.31     (1.42

Year Ended October 31, 2013

     17.24        0.12       3.59       3.71       (0.07     (0.35     (0.42

Class R5

               

Six Months Ended April 30, 2018 (Unaudited)

     21.39        0.22       (0.06     0.16       (0.18           (0.18

Year Ended October 31, 2017

     17.44        0.20 (e)      4.17       4.37       (0.42           (0.42

Year Ended October 31, 2016

     17.75        0.27 (e)(f)      (0.52     (0.25     (0.06           (0.06

Year Ended October 31, 2015

     18.72        0.16 (e)(f)      0.39       0.55       (0.23     (1.29     (1.52

Year Ended October 31, 2014

     20.69        0.24 (g)      (0.67     (0.43     (0.23     (1.31     (1.54

Year Ended October 31, 2013

     17.35        0.25       3.61       3.86       (0.17     (0.35     (0.52

Class R6

               

Six Months Ended April 30, 2018 (Unaudited)

     21.40        0.13       0.03       0.16       (0.18           (0.18

Year Ended October 31, 2017

     17.45        0.26 (e)      4.12       4.38       (0.43           (0.43

Year Ended October 31, 2016

     17.76        0.29 (e)(f)      (0.52     (0.23     (0.08           (0.08

Year Ended October 31, 2015

     18.73        (0.01 )(e)(f)      0.57       0.56       (0.24     (1.29     (1.53

Year Ended October 31, 2014

     20.70        0.25 (g)      (0.67     (0.42     (0.24     (1.31     (1.55

Year Ended October 31, 2013

     17.36        0.26       3.61       3.87       (0.18     (0.35     (0.53

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(e) Calculated based upon average shares outstanding.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $0.10, $0.06, $0.17, $0.08, $0.20 and $0.22 for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively and the net investment income (loss) ratio would have been 0.80%, 0.37%, 0.99%, 0.48%, 1.18% and 1.23% for Class A, Class C, Class I, Class R2, Class R5 and Class R6, respectively.
(h) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2013.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
102       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (b)
 
           
           
$ 21.13       0.56   $ 98,563       0.99     0.88     1.37     19
  21.14       25.16       67,684       1.24       0.83       1.46       38  
  17.24       (1.86     14,034       1.24       1.28 (f)      1.61       51  
  17.61       3.04       5,824       1.24       0.49 (f)      2.31       42  
  18.59       (2.47     351       1.32       0.98 (g)      5.09       63  
  20.59       22.23       83       1.32 (h)      0.89 (h)      7.99 (h)      65  
           
  20.87       0.28       28,055       1.49       0.42       1.87       19  
  20.90       24.51       14,534       1.74       0.27       2.00       38  
  17.04       (2.28     4,626       1.74       0.75 (f)      2.14       51  
  17.45       2.39       3,439       1.74       (0.12 )(f)      2.79       42  
  18.44       (2.91     137       1.82       0.55 (g)      6.19       63  
  20.47       21.61       76       1.82 (h)      0.40 (h)      8.35 (h)      65  
           
  21.38       0.65       260,396       0.74       1.25       1.12       19  
  21.41       25.60       131,356       0.89       1.14       1.19       38  
  17.45       (1.47     9,929       0.89       1.41 (f)      1.35       51  
  17.71       3.29       59,858       0.89       0.83 (f)      1.84       42  
  18.67       (2.18     3,868       1.07       1.17 (g)      5.55       63  
  20.64       22.49       3,925       1.07 (h)      1.17 (h)      7.52 (h)      65  
           
  21.04       0.37       742       1.29       0.98       1.72       19  
  21.11       24.85       97       1.49       0.31       2.79       38  
  17.21       (2.05     20       1.49       0.87 (f)      4.37       51  
  17.57       2.67       20       1.51       0.19 (f)      5.11       42  
  18.55       (2.68     68       1.57       0.66 (g)      6.05       63  
  20.53       21.92       70       1.57 (h)      0.67 (h)      8.01 (h)      65  
           
  21.37       0.73       4,203       0.64       2.01       1.05       19  
  21.39       25.67       90       0.79       1.01       2.44       38  
  17.44       (1.38     20       0.80       1.57 (f)      3.59       51  
  17.75       3.43       20       0.81       0.89 (f)      4.43       42  
  18.72       (1.99     70       0.87       1.36 (g)      5.34       63  
  20.69       22.76       71       0.87 (h)      1.37 (h)      7.31 (h)      65  
           
  21.38       0.77       173,457       0.54       1.24       0.86       19  
  21.40       25.72       143,868       0.74       1.37       0.95       38  
  17.45       (1.29     81,146       0.74       1.70 (f)      1.02       51  
  17.76       3.48       5,335       0.74       (0.05 )(f)      2.87       42  
  18.73       (1.95     70       0.82       1.41 (g)      5.29       63  
  20.70       22.80       71       0.82 (h)      1.42 (h)      7.26 (h)      65  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         103  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
    Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan International Value Fund

 

Class A

 

Six Months Ended April 30, 2018 (Unaudited)

     $ 14.26        $ 0.15     $ 0.28        $ 0.43        $ (0.31

Year Ended October 31, 2017

       12.23          0.22       2.50          2.72          (0.69

Year Ended October 31, 2016

       13.02          0.23       (0.88        (0.65        (0.14

Year Ended October 31, 2015

       14.14          0.18 (f)      (0.83        (0.65        (0.47

Year Ended October 31, 2014

       15.02          0.47 (f)(g)      (1.07        (0.60        (0.28

Year Ended October 31, 2013

       12.18          0.22       2.91          3.13          (0.29

Class C

 

Six Months Ended April 30, 2018 (Unaudited)

       13.78          0.11       0.26          0.37          (0.22

Year Ended October 31, 2017

       11.88          0.15       2.42          2.57          (0.67

Year Ended October 31, 2016

       12.65          0.17       (0.87        (0.70        (0.07

Year Ended October 31, 2015

       13.72          0.10 (f)      (0.78        (0.68        (0.39

Year Ended October 31, 2014

       14.61          0.38 (f)(g)      (1.05        (0.67        (0.22

Year Ended October 31, 2013

       11.84          0.16       2.83          2.99          (0.22

Class I

 

Six Months Ended April 30, 2018 (Unaudited)

       14.62          0.17       0.28          0.45          (0.35

Year Ended October 31, 2017

       12.57          0.28       2.55          2.83          (0.78

Year Ended October 31, 2016

       13.37          0.28       (0.91        (0.63        (0.17

Year Ended October 31, 2015

       14.48          0.23 (f)      (0.84        (0.61        (0.50

Year Ended October 31, 2014

       15.19          0.45 (f)(g)      (1.04        (0.59        (0.12

Year Ended October 31, 2013

       12.31          0.27       2.93          3.20          (0.32

Class L

 

Six Months Ended April 30, 2018 (Unaudited)

       14.55          0.17       0.29          0.46          (0.36

Year Ended October 31, 2017

       12.50          0.27       2.57          2.84          (0.79

Year Ended October 31, 2016

       13.29          0.31       (0.93        (0.62        (0.17

Year Ended October 31, 2015

       14.41          0.23 (f)      (0.83        (0.60        (0.52

Year Ended October 31, 2014

       15.29          0.53 (f)(g)      (1.09        (0.56        (0.32

Year Ended October 31, 2013

       12.38          0.29       2.95          3.24          (0.33

Class R2

 

Six Months Ended April 30, 2018 (Unaudited)

       14.01          0.12       0.27          0.39          (0.28

Year Ended October 31, 2017

       12.04          0.19       2.46          2.65          (0.68

Year Ended October 31, 2016

       12.83          0.19       (0.87        (0.68        (0.11

Year Ended October 31, 2015

       13.93          0.14 (f)      (0.81        (0.67        (0.43

Year Ended October 31, 2014

       14.78          0.42 (f)(g)      (1.05        (0.63        (0.22

Year Ended October 31, 2013

       11.99          0.18       2.88          3.06          (0.27

Class R5

 

Six Months Ended April 30, 2018 (Unaudited)

       14.51          0.18       0.27          0.45          (0.37

Year Ended October 31, 2017

       12.51          0.23       2.59          2.82          (0.82

September 9, 2016 (h) through October 31, 2016

       12.55          0.03       (0.07        (0.04         

Class R6

 

Six Months Ended April 30, 2018 (Unaudited)

       14.53          0.19       0.27          0.46          (0.38

Year Ended October 31, 2017

       12.51          0.31       2.53          2.84          (0.82

Year Ended October 31, 2016

       13.31          0.37       (0.96        (0.59        (0.21

Year Ended October 31, 2015

       14.42          0.18 (f)      (0.76        (0.58        (0.53

Year Ended October 31, 2014

       15.29          0.54 (f)(g)      (1.09        (0.55        (0.32

Year Ended October 31, 2013

       12.38          0.30       2.96          3.26          (0.35

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.39, $0.30, $0.37, $0.45, $0.34 and $0.46 for Class A, Class C, Class I, Class L, Class R2 and Class R6, respectively and the net investment income (loss) ratio would have been 2.67%, 2.13%, 2.44%, 2.99%, 2.39% and 3.06% for Class A, Class C, Class I, Class L, Class R2 and Class R6, respectively.
(h) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
104       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 14.38       3.02   $ 319,588       1.00     2.07     1.27     7
  14.26       23.30       316,510       1.35       1.71       1.35       31  
  12.23       (5.01     573,449       1.35       1.91       1.43       61  
  13.02       (4.63     695,251       1.35       1.31 (f)      1.45       74  
  14.14       (4.09     491,010       1.33       3.19 (f)(g)      1.36       59  
  15.02       26.13       221,077       1.33       1.66       1.35       66  
           
  13.93       2.71       18,860       1.50       1.52       1.78       7  
  13.78       22.67       20,997       1.85       1.21       1.87       31  
  11.88       (5.54     24,453       1.85       1.43       1.91       61  
  12.65       (5.01     31,296       1.85       0.79 (f)      1.90       74  
  13.72       (4.64     31,176       1.83       2.65 (f)(g)      1.86       59  
  14.61       25.58       22,682       1.83       1.19       1.85       66  
           
  14.72       3.11       149,553       0.75       2.31       1.02       7  
  14.62       23.66       144,875       1.04       2.07       1.04       31  
  12.57       (4.74     157,867       1.01       2.28       1.02       61  
  13.37       (4.28     233,045       1.03       1.62 (f)      1.03       74  
  14.48       (3.90     300,712       1.08       2.96 (f)(g)      1.10       59  
  15.19       26.46       1,634,392       1.09       1.99       1.10       66  
           
  14.65       3.16       145,751       0.65       2.31       0.87       7  
  14.55       23.88       201,672       0.87       2.03       0.88       31  
  12.50       (4.63     523,251       0.90       2.53       0.91       61  
  13.29       (4.23     1,480,321       0.95       1.63 (f)      0.99       74  
  14.41       (3.75     2,932,420       0.93       3.51 (f)(g)      0.96       59  
  15.29       26.72       1,087,334       0.94       2.08       0.95       66  
           
  14.12       2.79       1,295       1.30       1.77       1.55       7  
  14.01       23.02       1,369       1.58       1.52       1.73       31  
  12.04       (5.28     1,182       1.59       1.65       1.91       61  
  12.83       (4.84     1,929       1.60       1.01 (f)      2.01       74  
  13.93       (4.33     1,768       1.58       2.91 (f)(g)      1.61       59  
  14.78       25.91       1,249       1.59       1.39       1.60       66  
           
  14.59       3.13       70       0.65       2.49       0.95       7  
  14.51       23.81       62       0.93       1.69       4.00       31  
  12.51       (0.32     20       0.79       1.52       0.79       61  
           
  14.61       3.22       122,312       0.55       2.56       0.76       7  
  14.53       23.99       108,302       0.80       2.28       0.82       31  
  12.51       (4.45     27,998       0.72       3.00       0.73       61  
  13.31       (4.04     2,354       0.73       1.32 (f)      0.73       74  
  14.42       (3.64     30,992       0.83       3.58 (f)(g)      0.84       59  
  15.29       26.84       107,313       0.84       2.12       0.85       66  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         105  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
       Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan Intrepid International Fund

                      

Class A

                      

Six Months Ended April 30, 2018 (Unaudited)

     $ 22.22        $ 0.20      $ 0.11        $ 0.31        $ (0.40

Year Ended October 31, 2017

       18.44          0.33        3.83          4.16          (0.38

Year Ended October 31, 2016

       19.36          0.40 (f)       (0.99        (0.59        (0.33

Year Ended October 31, 2015

       19.49          0.34 (f)       (0.26        0.08          (0.21

Year Ended October 31, 2014

       19.79          0.39 (f)       (0.45        (0.06        (0.24

Year Ended October 31, 2013

       15.90          0.25        3.88          4.13          (0.24

Class C

                      

Six Months Ended April 30, 2018 (Unaudited)

       22.40          0.18        0.08          0.26          (0.24

Year Ended October 31, 2017

       18.57          0.22        3.87          4.09          (0.26

Year Ended October 31, 2016

       19.52          0.28 (f)       (0.97        (0.69        (0.26

Year Ended October 31, 2015

       19.63          0.23 (f)       (0.24        (0.01        (0.10

Year Ended October 31, 2014

       19.92          0.36 (f)       (0.52        (0.16        (0.13

Year Ended October 31, 2013

       16.00          0.17        3.90          4.07          (0.15

Class I

                      

Six Months Ended April 30, 2018 (Unaudited)

       23.12          0.26        0.10          0.36          (0.46

Year Ended October 31, 2017

       19.20          0.42        3.97          4.39          (0.47

Year Ended October 31, 2016

       20.13          0.46 (f)       (1.01        (0.55        (0.38

Year Ended October 31, 2015

       20.22          0.42 (f)       (0.26        0.16          (0.25

Year Ended October 31, 2014

       20.51          0.51 (f)       (0.53        (0.02        (0.27

Year Ended October 31, 2013

       16.46          0.31        4.01          4.32          (0.27

Class R2

                      

Six Months Ended April 30, 2018 (Unaudited)

       22.01          0.38        (0.11        0.27          (0.44

Year Ended October 31, 2017

       18.29          0.01        4.07          4.08          (0.36

Year Ended October 31, 2016

       19.21          0.36 (f)       (1.01        (0.65        (0.27

Year Ended October 31, 2015

       19.31          0.38 (f)       (0.34        0.04          (0.14

Year Ended October 31, 2014

       19.61          0.40 (f)       (0.53        (0.13        (0.17

Year Ended October 31, 2013

       15.74          0.20        3.86          4.06          (0.19

Class R6

                      

Six Months Ended April 30, 2018 (Unaudited)

       22.78          0.28        0.09          0.37          (0.49

Year Ended October 31, 2017

       18.91          0.43        3.92          4.35          (0.48

Year Ended October 31, 2016

       19.84          0.49 (f)       (1.01        (0.52        (0.41

May 29, 2015 (g) through October 31, 2015

       21.08          0.12 (f)       (1.36        (1.24         

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
106       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
        
Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
  $22.13       1.41   $ 192,179       1.00     1.78     1.21     26
  22.22       22.98       232,530       1.21       1.66       1.22       82  
  18.44       (3.07     164,327       1.25       2.21 (f)      1.29       38  
  19.36       0.45       152,834       1.29       1.75 (f)      1.49       33  
  19.49       (0.33     101,114       1.39       1.96 (f)      1.46       48  
  19.79       26.25       60,135       1.47       1.42       1.54       49  
           
  22.42       1.19       2,062       1.50       1.57       1.74       26  
  22.40       22.30       1,773       1.75       1.07       1.81       82  
  18.57       (3.56     2,287       1.75       1.52 (f)      1.87       38  
  19.52       (0.05     2,789       1.78       1.17 (f)      1.91       33  
  19.63       (0.84     1,318       1.89       1.79 (f)      1.96       48  
  19.92       25.60       1,131       1.98       0.94       2.04       49  
           
  23.02       1.57       57,550       0.75       2.25       0.96       26  
  23.12       23.39       52,871       0.90       1.99       0.99       82  
  19.20       (2.73     16,363       0.90       2.44 (f)      1.08       38  
  20.13       0.80       19,292       0.97       2.04 (f)      1.12       33  
  20.22       (0.13     15,963       1.14       2.47 (f)      1.21       48  
  20.51       26.56       13,916       1.23       1.68       1.29       49  
           
  21.84       1.26       37,300       1.30       3.50       1.64       26  
  22.01       22.70       8,790       1.49       0.07       1.54       82  
  18.29       (3.36     503       1.50       2.02 (f)      1.75       38  
  19.21       0.24       227       1.52       1.91 (f)      1.69       33  
  19.31       (0.66     98       1.64       2.03 (f)      1.71       48  
  19.61       26.02       98       1.72       1.16       1.79       49  
           
  22.66       1.67       3,357,177       0.55       2.47       0.71       26  
  22.78       23.59       2,859,645       0.71       2.12       0.71       82  
  18.91       (2.59     2,487,086       0.71       2.65 (f)      0.72       38  
  19.84       (5.88     1,854,941       0.73       1.47 (f)      0.74       33  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 10 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversified/Non-Diversified
JPMorgan Emerging Economies Fund    Class A, Class C, Class I, Class R5 and Class R6    JPM I    Diversified
JPMorgan Emerging Markets Equity Fund    Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM I    Diversified
JPMorgan Global Research Enhanced Index Fund    Class I and Class R6*    JPM I    Diversified
JPMorgan Global Unconstrained Equity Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan International Equity Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan International Equity Income Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan International Research Enhanced Equity Fund    Class A, Class I and Class R6*    JPM II    Diversified
JPMorgan International Unconstrained Equity Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan International Value Fund    Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan Intrepid International Fund    Class A, Class C, Class I, Class R2 and Class R6    JPM I    Diversified

 

* Class R6 commenced operations on November 1, 2017.

As of October 9, 2017, Class A shares of the JPMorgan International Research Enhanced Equity Fund (“International Research Enhanced Equity Fund”) were publicly offered on a limited basis.

As of October 31, 2017, Class R2 shares of the JPMorgan Global Unconstrained Equity Fund (“Global Unconstrained Equity Fund”) were not publicly offered for investment.

The investment objective of JPMorgan Emerging Economies Fund (“Emerging Economies Fund’) is to seek long-term capital growth.

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

The investment objective of JPMorgan Global Research Enhanced Index Fund (“Global Research Enhanced Index Fund”), JPMorgan Global Unconstrained Equity Fund (“Global Unconstrained Equity Fund”), JPMorgan International Research Enhanced Equity Fund (“International Research Enhanced Equity Fund”) and JPMorgan International Unconstrained Equity Fund (“International Unconstrained Equity Fund”) is to seek to provide long-term capital appreciation.

The investment objective of JPMorgan International Equity Fund (“International Equity Fund”) is to seek total return from long-term capital growth and income. Total return consists of capital growth and current income.

The investment objective of JPMorgan International Equity Income Fund (“International Equity Income Fund”) is to seek to provide both current income and long-term capital appreciation.

The investment objective of JPMorgan International Value Fund (“International Value Fund”) is to seek to provide high total return from a portfolio of foreign company equity securities. Effective May 17, 2018, the investment objective changed to seeks to provide long-term capital appreciation.

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

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

 

 
108       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

See the tables 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 Emerging Economies Fund, Emerging Markets Equity Fund, International Equity Income Fund and International Value Fund at April 30, 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).

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

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

Emerging Economies Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Argentina

     $ 5,819        $        $        $ 5,819  

Brazil

       203,570                            203,570  

Chile

                7,369                   7,369  

China

       92,754          439,487                   532,241  

Hong Kong

                50,792                   50,792  

Hungary

                35,381                   35,381  

India

       5,172          44,558                   49,730  

Indonesia

                24,162                   24,162  

Kazakhstan

                6,990                   6,990  

Luxembourg

       8,390                            8,390  

Malaysia

                52,154                   52,154  

Panama

       24,039                            24,039  

Poland

                17,330                   17,330  

Qatar

                8,336                   8,336  

Russia

       52,955          104,333                   157,288  

Singapore

                22,904                   22,904  

South Africa

       6,602          28,969                   35,571  

South Korea

                275,735          77,119          352,854  

Taiwan

       30,152          190,321                   220,473  

Thailand

       83,669                            83,669  

Turkey

                76,175                   76,175  

United Kingdom

                10,720                   10,720  

United States

       22,699                            22,699  

Vietnam

                5,713                   5,713  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       535,821          1,401,429          77,119          2,014,369  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       69,885                            69,885  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 605,706        $ 1,401,429        $ 77,119        $ 2,084,254  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
110       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

Emerging Markets Equity Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Argentina

     $ 149,272        $        $        $ 149,272  

Australia

                24,164                   24,164  

Brazil

       404,120                            404,120  

China

       433,481          882,144                   1,315,625  

Egypt

       47,160                            47,160  

Hong Kong

                349,915                   349,915  

India

       119,038          817,070                   936,108  

Indonesia

                115,624                   115,624  

Macau

                35,414                   35,414  

Mexico

       181,903                            181,903  

Panama

       47,450                            47,450  

Peru

       72,029                            72,029  

Russia

                188,451                   188,451  

South Africa

                298,775                   298,775  

South Korea

                90,534          262,745          353,279  

Spain

                25,672                   25,672  

Taiwan

       182,393          121,988                   304,381  

Thailand

                31,644                   31,644  

Turkey

                14,274                   14,274  

United States

       59,128                            59,128  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       1,695,974          2,995,669          262,745          4,954,388  
    

 

 

      

 

 

      

 

 

      

 

 

 

Warrants

                   

United States

                26,717                   26,717  

Short-Term Investment

                   

Investment Company

       112,528                            112,528  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 1,808,502        $ 3,022,386        $ 262,745        $ 5,093,633  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         111  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Global Research Enhanced Index Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Argentina

     $ 1,185        $        $        $ 1,185  

Australia

                204,589                   204,589  

Austria

                12,524                   12,524  

Belgium

                33,079                   33,079  

Bermuda

       1,747                            1,747  

Canada

       262,590                            262,590  

China

                5,188                   5,188  

Denmark

                48,220                   48,220  

Finland

                28,810                   28,810  

France

                371,906                   371,906  

Germany

                266,570                   266,570  

Hong Kong

       2,074          98,131                   100,205  

Ireland

       10,540          19,662                   30,202  

Israel

       2,783                            2,783  

Italy

                59,793                   59,793  

Japan

                716,597                   716,597  

Luxembourg

                11,744                   11,744  

Macau

                4,970                   4,970  

Netherlands

                187,081                   187,081  

New Zealand

                5,286                   5,286  

Norway

                16,193                   16,193  

Singapore

                40,377                   40,377  

Spain

                94,426                   94,426  

Sweden

       1,025          45,403                   46,428  

Switzerland

                241,094                   241,094  

United Kingdom

       2,910          481,234                   484,144  

United States

       4,863,053          8,907                   4,871,960  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       5,147,907          3,001,784                   8,149,691  
    

 

 

      

 

 

      

 

 

      

 

 

 

Rights

                   

New Zealand

                62                   62  

Short-Term Investment

                   

Investment Company

       173,270                            173,270  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 5,321,177        $ 3,001,846        $        $ 8,323,023  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Futures Contracts

     $        $ 1,613        $        $ 1,613  
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Futures Contracts

     $ (3,470      $        $        $ (3,470
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
112       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

Global Unconstrained Equity Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Austria

     $        $ 173        $        $ 173  

Brazil

       60                            60  

Canada

       108                            108  

China

       167          112                   279  

France

                327                   327  

Germany

                216                   216  

Hong Kong

                111                   111  

India

       180                            180  

Japan

                216                   216  

Luxembourg

                66                   66  

Singapore

                113                   113  

South Africa

                89                   89  

Spain

                83                   83  

Switzerland

                176                   176  

Thailand

                103                   103  

United Kingdom

                320                   320  

United States

       2,435                            2,435  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       2,950          2,105                   5,055  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       56                            56  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 3,006        $ 2,105        $        $ 5,111  
    

 

 

      

 

 

      

 

 

      

 

 

 

International Equity Fund

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

Investments in Securities

                   

Common Stocks

                   

Australia

     $        $ 59,634        $        $ 59,634  

Austria

                40,716                   40,716  

Brazil

       34,513                            34,513  

China

       33,172          120,902                   154,074  

Denmark

                56,303                   56,303  

France

                563,336                   563,336  

Germany

                389,263                   389,263  

Hong Kong

                194,407                   194,407  

India

       52,093                            52,093  

Indonesia

                23,782                   23,782  

Italy

                50,476                   50,476  

Japan

                803,390                   803,390  

Macau

                31,805                   31,805  

Netherlands

                274,125                   274,125  

Singapore

                71,219                   71,219  

South Africa

                32,490                   32,490  

South Korea

                110,962                   110,962  

Spain

                103,664                   103,664  

Sweden

                58,595                   58,595  

Switzerland

                516,947                   516,947  

Taiwan

       36,758                            36,758  

United Kingdom

                796,190                   796,190  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       156,536          4,298,206                   4,454,742  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       52,920                            52,920  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 209,456        $ 4,298,206        $        $ 4,507,662  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         113  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

International Equity Income Fund

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

Investments in Securities

                   

Common Stocks

                   

Australia

     $        $ 7,311        $        $ 7,311  

Canada

       2,326                            2,326  

China

                4,151                   4,151  

Finland

                3,587                   3,587  

France

                36,701                   36,701  

Germany

                12,102                   12,102  

Italy

                3,390                   3,390  

Japan

                31,753                   31,753  

Macau

                2,374                   2,374  

Netherlands

                14,886                   14,886  

Norway

                3,526                   3,526  

Singapore

                2,815                   2,815  

South Korea

                         2,139          2,139  

Spain

                7,500                   7,500  

Sweden

                4,685                   4,685  

Switzerland

                19,658                   19,658  

Taiwan

       2,453                            2,453  

United Kingdom

                34,954                   34,954  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       4,779          189,393          2,139          196,311  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       3,844                            3,844  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 8,623        $ 189,393        $ 2,139        $ 200,155  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
114       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

International Research Enhanced Equity Fund

 

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

Investments in Securities

                 

Common Stocks

                 

Australia

     $        $ 274,505        $      $ 274,505  

Austria

                23,431                 23,431  

Belgium

                59,734                 59,734  

China

                31,576                 31,576  

Denmark

                47,910                 47,910  

Finland

                86,722                 86,722  

France

                711,967                 711,967  

Germany

                563,005                 563,005  

Hong Kong

                121,402                 121,402  

Ireland

       36,147                          36,147  

Israel

       11,816                          11,816  

Italy

                158,702                 158,702  

Japan

                1,396,267                 1,396,267  

Luxembourg

                30,607                 30,607  

Malta

                         (a)       (a) 

Netherlands

                359,966                 359,966  

Singapore

                72,758                 72,758  

Spain

                200,707                 200,707  

Sweden

                34,747                 34,747  

Switzerland

                499,265                 499,265  

United Kingdom

                820,011                 820,011  

United States

                49,974                 49,974  
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Common Stocks

       47,963          5,543,256          (a)       5,591,219  
    

 

 

      

 

 

      

 

 

    

 

 

 

Debt Securities

                 

Corporate Bonds

                 

Brazil

                         (a)       (a) 

Short-Term Investment

                 

Investment Company

       211,220                          211,220  
    

 

 

      

 

 

      

 

 

    

 

 

 

Total Investments in Securities

     $ 259,183        $ 5,543,256        $ (a)     $ 5,802,439  
    

 

 

      

 

 

      

 

 

    

 

 

 

Appreciation in Other Financial Instruments

                 

Futures Contracts

     $        $ 9,352        $      $ 9,352  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         115  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

International Unconstrained Equity Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Australia

     $        $ 14,401        $        $ 14,401  

Austria

                16,512                   16,512  

Brazil

       14,052                            14,052  

Canada

       15,236                            15,236  

China

       8,596          41,645                   50,241  

Denmark

                5,823                   5,823  

Finland

                8,104                   8,104  

France

                21,892                   21,892  

Germany

                55,824                   55,824  

Hong Kong

                33,592                   33,592  

India

       17,801                            17,801  

Indonesia

                12,563                   12,563  

Japan

                48,522                   48,522  

Netherlands

                50,450                   50,450  

South Africa

                12,119                   12,119  

South Korea

       7,228          19,918                   27,146  

Spain

                11,288                   11,288  

Switzerland

                54,211                   54,211  

United Kingdom

                74,526                   74,526  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       62,913          481,390                   544,303  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       18,009                            18,009  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 80,922        $ 481,390        $        $ 562,312  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
116       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

International Value Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Australia

     $        $ 23,935        $        $ 23,935  

Austria

                9,940                   9,940  

Belgium

                15,721                   15,721  

Canada

       9,669                            9,669  

China

                4,290                   4,290  

Finland

                6,661                   6,661  

France

                115,945                   115,945  

Germany

                53,853                   53,853  

Ireland

       6,743                            6,743  

Israel

       1,763                            1,763  

Italy

                29,587                   29,587  

Japan

                184,866                   184,866  

Luxembourg

                6,742                   6,742  

Netherlands

                64,207                   64,207  

Norway

                3,453                   3,453  

Singapore

                11,305                   11,305  

South Korea

                         5,161          5,161  

Spain

                25,060                   25,060  

Sweden

                7,546                   7,546  

Switzerland

                61,065                   61,065  

United Kingdom

                94,035                   94,035  

United States

                7,324                   7,324  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 18,175        $ 725,535        $ 5,161        $ 748,871  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $        $ 995        $        $ 995  
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Forward Foreign Currency Exchange Contracts

     $        $ (1,174      $        $ (1,174
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Intrepid International Fund

 

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

Investments in Securities

                   

Common Stocks

                   

Australia

     $        $ 250,230        $        $ 250,230  

Austria

                44,285                   44,285  

Belgium

       6,240          48,051                   54,291  

China

                28,513                   28,513  

Denmark

                120,853                   120,853  

Finland

                84,601                   84,601  

France

                240,657                   240,657  

Germany

                273,243                   273,243  

Hong Kong

                63,042                   63,042  

Italy

                41,992                   41,992  

Japan

                849,425                   849,425  

Luxembourg

                31,640                   31,640  

Netherlands

                298,927                   298,927  

Norway

                57,702                   57,702  

Portugal

                11,314                   11,314  

Singapore

                98,235                   98,235  

Spain

                66,428                   66,428  

Sweden

                130,033                   130,033  

Switzerland

                328,697                   328,697  

United Kingdom

       2,471          481,100                   483,571  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

       8,711          3,548,968                   3,557,679  
    

 

 

      

 

 

      

 

 

      

 

 

 

Short-Term Investment

                   

Investment Company

       62,726                            62,726  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 71,437        $ 3,548,968        $        $ 3,620,405  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Futures Contracts

     $        $ 1,873        $        $ 1,873  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) Amount rounds to less than 500.

Transfers between fair value levels are valued utilizing values as of the beginning of the period.

For the Emerging Economies Fund, transfers from level 1 to level 2 in the amount of $35,725,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the Emerging Markets Equity Fund, transfers from level 1 to level 2 in the amount of $211,139,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the Global Research Enhanced Index Fund, transfers from level 1 to level 2 in the amount of $50,902,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the Global Unconstrained Equity Fund, transfers from level 1 to level 2 in the amount of $79,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the International Equity Fund, transfers from level 1 to level 2 in the amount of $112,043,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the International Equity Income Fund, transfers from level 1 to level 2 in the amount of $4,796,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the International Research Enhanced Equity Fund, transfers from level 1 to level 2 in the amount of $86,600,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the International Unconstrained Equity Fund, transfers from level 1 to level 2 in the amount of $18,397,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

 

 
118       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

For the International Value Fund, transfers from level 1 to level 2 in the amount of $11,170,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

For the Intrepid International Fund, transfers from level 1 to level 2 in the amount of $82,321,000 are due to applying the fair value factors to certain securities during the year ended April 30, 2018.

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):

 

Emerging Economies 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
April 30,

2018

 

Investments in Securities

                 

Common Stocks — South Korea

  $     $ 441     $ 1,144     $     $ 27,500     $ (612   $ 48,646     $     $ 77,119  

 

Emerging Markets Equity 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
April 30,

2018

 

Investments in Securities

                 

Common Stocks — South Korea

  $     $     $ 2,499     $     $ 83,091     $     $ 177,155     $     $ 262,745  

 

International Equity Income 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
April 30,

2018

 

Investments in Securities

                 

Common Stocks — South Korea

  $     $ 775     $ (854   $     $ 446     $ (2,544   $ 4,316     $     $ 2,139  

 

International Value 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
April 30,

2018

 

Investments in Securities

                 

Common Stocks — South Korea

  $     $ 1,175     $ (1,273   $     $     $ (2,444   $ 7,703     $     $ 5,161  

 

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.

Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the year ended April 30, 2018 for Emerging Economies Fund, Emerging Markets Equity Fund, International Equity Income Fund and International Value Fund.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2018, which were valued using significant unobservable inputs (level 3) were as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 1,144  

Emerging Markets Equity Fund

     2,499  

International Equity Income Fund

     (854

International Value Fund

     (1,273

Emerging Economies Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)    Unobservable Input   Range (Weighted Average)  
  $ 77,119     Recent Market Information   

Transaction Price

    KRW 2,650 (KRW 2,650)  
 

 

 

        
Common Stock     77,119         

 

 
Total   $ 77,119         

 

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The significant unobservable inputs used in the fair value measurement of the Fund’s 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.

Emerging Markets Equity Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)    Unobservable Input   Range (Weighted Average)  
  $ 262,745     Recent Market Information    Transaction Price     KRW 2,650 (KRW 2,650)  
 

 

 

        
Common Stock     262,745         

 

 
Total   $ 262,745         

 

 

The significant unobservable inputs used in the fair value measurement of the Fund’s 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.

International Equity Income Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)    Unobservable Input   Range (Weighted Average)  
  $ 2,139     Recent Market Information    Transaction Price     KRW 2,650 (KRW 2,650)  
 

 

 

        
Common Stocks     2,139         

 

 
Total   $ 2,139         

 

 

The significant unobservable inputs used in the fair value measurement of the Fund’s 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.

International Value Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)    Unobservable Input   Range (Weighted Average)  
  $ 5,161     Recent Market Information    Transaction Price     KRW 2,650 (KRW 2,650)  
 

 

 

        
Common Stocks     5,161         

 

 
Total   $ 5,161         

 

 

The significant unobservable inputs used in the fair value measurement of the Fund’s 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.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.

As of April 30, 2018 the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A or Regulation S under the Securities Act.

C. Futures Contracts — Emerging Economies Fund, Global Research Enhanced Index Fund, International Research Enhanced Equity Fund, International Unconstrained Equity Fund and Intrepid International Fund used index futures contracts to gain or reduce exposure to the stock

 

 
120       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

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

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

The table below discloses the volume of the Funds’ futures contracts activity during the six months ended April 30, 2018 (amounts in thousands):

 

      Emerging
Economies
Fund
       Global Research
Enhanced Index
Fund
       International
Research Enhanced
Equity Fund
       International
Unconstrained
Equity Fund
    Intrepid
International
Fund
 

Futures Contracts:

                   

Average Notional Balance Long

   $ 10,006        $ 83,479        $ 190,570        $ 14,019 (a)    $ 58,327  

Ending Notional Balance Long

              117,340          202,751                35,902  

 

(a) For the period January 1, 2018 through January 31, 2018.

D. Forward Foreign Currency Exchange Contracts — International Equity Income Fund and International Value Fund may be exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Funds also record a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

The table below discloses the volume of the Funds’ forward foreign currency exchange contracts activity during the six months ended April 30, 2018 (amounts in thousands):

 

      International
Equity
Income Fund
    International
Value Fund
 

Forward Foreign Currency Exchange Contracts:

    

Average Settlement Value Purchased

   $ 15,331 (a)    $ 103,391  

Average Settlement Value Sold

     11,235 (a)      94,926  

Ending Settlement Value Purchased

           88,326  

Ending Settlement Value Sold

           84,524  

 

(a) For the period November 1, 2017 to December 31, 2017.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

E. Summary of Derivatives Information

The following tables present the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Global Research Enhanced Index Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 1,613  
       

 

 

 

Gross Liabilities:

             

Equity contracts

   Payables, Net Assets — Unrealized Depreciation      $ (3,470
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

International Research Enhanced Equity Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 9,352  
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

International Value Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

   Receivables      $ 995  
       

 

 

 

Gross Liabilities:

             

Foreign exchange contracts

   Payables      $ (1,174
       

 

 

 

Intrepid International Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 1,873  
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds 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 Funds. The ISDA agreements give the Funds 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.

 

 
122       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

The following tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2018, by primary underlying risk exposure (amounts in thousands):

Emerging Economies Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $  957  
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (564
    

 

 

 

Global Research Enhanced Index Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $  4,550  
    

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (5,370
    

 

 

 

International Equity Income Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ (360
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ 328  
    

 

 

 

International Research Enhanced Equity Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 18,438  
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 727  
    

 

 

 

International Unconstrained Equity Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 76  
    

 

 

 

International Value Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ (1,685
    

 

 

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Forward Foreign
Currency Exchange
Contracts
 

Foreign exchange contracts

     $ (349
    

 

 

 

Intrepid International Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ (4,351
    

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts      Futures Contracts  

Equity contracts

     $ 1,333  
    

 

 

 

The Funds’ derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend. Certain Funds may receive other income from investments in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income on the Statement of Operations.

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

      Class A     Class C     Class I      Class L      Class R2     Class R3     Class R4     Class R5     Class R6     Total  

Emerging Economies Fund

                      

Transfer agency fees

   $ 6     $ 1     $ 2        n/a        n/a       n/a       n/a     $ (a)    $ 6     $ 15  

Emerging Markets Equity Fund

                      

Transfer agency fees

     29       5       13      $ 10      $ (a)    $ (a)    $ (a)      (a)      9       66  

Global Research Enhanced Index Fund

                      

Transfer agency fees

     n/a       n/a       11        n/a        n/a       n/a       n/a       n/a       4       15  

Global Unconstrained Equity Fund

                      

Transfer agency fees

     (a)      (a)      1        n/a        (a)      n/a       n/a       (a)      (a)      1  

International Equity Fund

                      

Transfer agency fees

     17       3       3        n/a        (a)      n/a       n/a       (a)      13       36  

 

 
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      Class A      Class C     Class I      Class L      Class R2     Class R3      Class R4      Class R5     Class R6     Total  

International Equity Income Fund

                         

Transfer agency fees

   $ 2      $ 2     $ 6        n/a      $ (a)      n/a        n/a      $ (a)    $ (a)    $ 10  

International Research Enhanced Equity Fund

                         

Transfer agency fees

     34        n/a       5        n/a        n/a       n/a        n/a        n/a       4       43  

International Unconstrained Equity Fund

                         

Transfer agency fees

     2        2       6        n/a        (a)      n/a        n/a        1       (a)      11  

International Value Fund

                         

Transfer agency fees

     10        1       3      $ 2        (a)      n/a        n/a        (a)      (a)      16  

Intrepid International Fund

                         

Transfer agency fees

     6        (a)      1        n/a        14       n/a        n/a        n/a       10       31  

 

(a) Amount rounds to less than 500.

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

J. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. Certain Funds are subject to a tax imposed on short-term and long-term capital gains on securities of issuers domiciled in India. Prior to April 1, 2018, certain Funds were only subject to a tax imposed on short-term capital gains on securities of issuers domiciled in India. The Funds record an estimated deferred tax liability for these securities assuming those positions were disposed of at the end of the period. This amount, if any, is reported as Deferred India capital gains tax in the accompanying Statements of Assets and Liabilities. Short-term realized capital losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short-term realized capital gains.

India has enacted rules imposing a tax on the indirect transfers of Indian shares. Based upon current guidance from the Indian tax authorities, management does not believe that such tax will be applicable to the Funds. However, management’s conclusion, regarding this and other foreign tax matters, may be subject to future review based on changes in, or the interpretation of, the accounting standards and the tax laws and regulations.

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

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets.

The annual rate for each Fund is as follows:

 

Emerging Economies Fund

     0.85

Emerging Markets Equity Fund

     0.85  

Global Research Enhanced Index Fund

     0.20  

Global Unconstrained Equity Fund

     0.70  

International Equity Fund

     0.70  

International Equity Income Fund

     0.70  

International Research Enhanced Equity Fund

     0.20  

International Unconstrained Equity Fund

     0.70  

International Value Fund

     0.60  

Intrepid International Fund

     0.60  

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

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal underwriter and promotes and arranges for the sale of each Fund’s shares. The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class R4, Class R5, Class R6, Class I and Class L Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Emerging Economies Fund

       0.25        0.75        n/a          n/a  

Emerging Markets Equity Fund

       0.25          0.75          0.50        0.25

Global Unconstrained Equity Fund

       0.25          0.75          0.50          n/a  

International Equity Fund

       0.25          0.75          0.50          n/a  

International Equity Income Fund

       0.25          0.75          0.50          n/a  

International Research Enhanced Equity Fund

       0.25          n/a          n/a          n/a  

International Unconstrained Equity Fund

       0.25          0.75          0.50          n/a  

International Value Fund

       0.25          0.75          0.50          n/a  

Intrepid International Fund

       0.25          0.75          0.50          n/a  

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following amounts (in thousands):

 

        Front-End Sales Charge        CDSC  

Emerging Economies Fund

     $ 1        $  

Emerging Markets Equity Fund

       70           

Global Unconstrained Equity Fund

       (a)          

International Equity Fund

       27           

International Equity Income Fund

       10           

International Research Enhanced Equity Fund

       1           

International Unconstrained Equity Fund

       48           

International Value Fund

       40           

Intrepid International Fund

       1           

 

(a) Amount rounds to less than 500.

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

 

      Class A     Class C     Class I     Class L     Class R2     Class R3     Class R4     Class R5  

Emerging Economies Fund

     0.25     0.25     0.25     n/a       n/a       n/a       n/a       0.10

Emerging Markets Equity Fund

     0.25       0.25       0.25       0.10     0.25     0.25     0.25     0.10  

Global Research Enhanced Index Fund

     n/a       n/a       0.25       n/a       n/a       n/a       n/a       n/a  

Global Unconstrained Equity Fund

     0.25       0.25       0.25       n/a       0.25       n/a       n/a       0.10  

International Equity Fund

     0.25       0.25       0.25       n/a       0.25       n/a       n/a       0.10  

International Equity Income Fund

     0.25       0.25       0.25       n/a       0.25       n/a       n/a       0.10  

International Research Enhanced Equity Fund

     0.25       n/a       0.25       n/a       n/a       n/a       n/a       n/a  

International Unconstrained Equity Fund

     0.25       0.25       0.25       n/a       0.25       n/a       n/a       0.10  

International Value Fund

     0.25       0.25       0.25       0.10       0.25       n/a       n/a       0.10  

Intrepid International Fund

     0.25       0.25       0.25       n/a       0.25       n/a       n/a       n/a  

 

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

JPMDS waived service fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

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

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

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

 

      Class A     Class C     Class I     Class L     Class R2     Class R3     Class R4     Class R5     Class R6  

Emerging Economies Fund

     1.14 %*      1.64 %*      0.89 %*      n/a       n/a       n/a       n/a       0.79 %*      0.69 %* 

Emerging Markets Equity Fund

     1.24     1.74     0.99     0.95     1.54 %*      1.29 %*      1.04 %*      0.89     0.79

Global Research Enhanced Index Fund

     n/a       n/a       0.34       n/a       n/a       n/a       n/a       n/a       0.25  

Global Unconstrained Equity Fund

     1.00     1.50     0.75     n/a       1.30     n/a       n/a       0.65     0.55

International Equity Fund

     0.95     1.45     0.70     n/a       1.25     n/a       n/a       0.60     0.50

International Equity Income Fund

     0.95     1.45     0.70     n/a       1.25     n/a       n/a       0.60     0.50

International Research Enhanced Equity Fund

     0.60       n/a       0.35       n/a       n/a       n/a       n/a       n/a       0.25  

International Unconstrained Equity Fund

     1.00     1.50     0.75     n/a       1.30     n/a       n/a       0.65     0.55

International Value Fund

     1.00     1.50     0.75     0.95       1.30     n/a       n/a       0.65     0.55

Intrepid International Fund

     1.00     1.50     0.75     n/a       1.30     n/a       n/a       n/a       0.55

 

* The contractual expense percentages in the table above are in place until at least October 31, 2019.

Except as noted above, the expense limitation agreements were in effect for the six months ended April 30, 2018 and are in place until February 28, 2019.

For the six months ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
Fees
       Administration
Fees
       Service
Fees
       Total        Contractual
Reimbursements
 

Emerging Economies Fund

     $ 2,571        $ 864        $ 71        $ 3,506        $ 4  

Emerging Markets Equity Fund

       3,143          2,004          393          5,540          9  

Global Research Enhanced Index Fund

       1,179          787          2,052          4,018           

Global Unconstrained Equity Fund

       9          2          2          13          109  

International Equity Fund

       4,870          1,764          145          6,779          7  

International Equity Income Fund

       337          82          56          475           

International Research Enhanced Equity Fund

       916          608          1,071          2,595           

International Unconstrained Equity Fund

       543          192          88          823          (a) 

International Value Fund

       530          313          140          983          (a) 

Intrepid International Fund

       1,636          1,091          86          2,813          5  

 

(a) Amount rounds to less than 500.

 

     Voluntary
Waivers
 
      Investment
Advisory Fees
 

Global Unconstrained Equity Fund

   $ 6  

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund.

The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2018 were as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 38  

Emerging Markets Equity Fund

     137  

Global Research Enhanced Index Fund

     121  

Global Unconstrained Equity Fund

     (a) 

International Equity Fund

     58  

International Equity Income Fund

     4  

International Research Enhanced Equity Fund

     187  

International Unconstrained Equity Fund

     14  

International Value Fund

     8  

Intrepid International Fund

     68  

 

(a) Amount rounds to less than 500.

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

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

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

The Funds may use related party broker-dealers. For the six months ended April 30, 2018, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

       

Purchases
(excluding U.S.

Government)

       Sales
(excluding U.S.
Government)
 

Emerging Economies Fund

     $ 593,564        $ 550,077  

Emerging Markets Equity Fund

       780,274          244,599  

Global Research Enhanced Index Fund

       2,088,823          2,659,503  

Global Unconstrained Equity Fund

       3,121          1,600  

International Equity Fund

       1,158,053          734,718  

International Equity Income Fund

       112,501          118,169  

International Research Enhanced Equity Fund

       1,884,510          993,262  

International Unconstrained Equity Fund

       297,594          88,148  

International Value Fund

       58,547          108,419  

Intrepid International Fund

       1,334,405          862,856  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

 

 
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5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Emerging Economies Fund

     $ 1,741,432        $ 398,143        $ 55,321        $ 342,822  

Emerging Markets Equity Fund

       3,729,009          1,494,468          129,844          1,364,624  

Global Research Enhanced Index Fund

       6,639,314          1,846,746          164,894          1,681,852  

Global Unconstrained Equity Fund

       4,958          371          218          153  

International Equity Fund

       3,610,650          965,490          68,478          897,012  

International Equity Income Fund

       185,937          16,817          2,599          14,218  

International Research Enhanced Equity Fund

       5,473,169          480,972          142,350          338,622  

International Unconstrained Equity Fund

       526,343          44,880          8,911          35,969  

International Value Fund

       663,671          118,158          33,137          85,021  

Intrepid International Fund

       3,265,429          441,931          85,082          356,849  

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At October 31, 2017, the following Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains, as follows (amounts in thousands):

 

        2018        2019        Total  

Emerging Economies Fund

     $        $ 16,730        $ 16,730  

International Equity Fund

       4,532          3,312          7,844  

International Value Fund

       63,767                   63,767  

At October 31, 2017, the following Funds had post-enactment net capital loss carryforwards as follows (amounts in thousands):

 

       Capital Loss
Carryforward Character
 
        Short-Term        Long-Term  

Emerging Economies Fund

     $ 63,590           

Emerging Markets Equity Fund

                115,827  

Global Research Enhanced Index Fund

       52,602          45,221  

International Equity Fund

                43,808  

International Equity Income Fund

       9,533           

International Unconstrained Equity Fund

       1,615          1,307  

International Value Fund

       1,951           

During the year ended October 31, 2017, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 158,471  

Emerging Markets Equity Fund

     10,629  

Global Research Enhanced Index Fund

     138,657  

International Equity Income Fund

     718  

International Research Enhanced Equity Fund

     3,153  

International Unconstrained Equity Fund

     2,024  

International Value Fund

     69,190  

Intrepid International Fund

     152,894  

During the year ended October 31, 2017, the following Funds had expired capital loss carryforwards as follows (amounts in thousands):

 

Emerging Economies Fund

   $ 1,890  

Emerging Markets Equity Fund

     4,903  

International Value Fund

     241,545  

Intrepid International Fund

     144,376  

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         129  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at April 30, 2018. Average borrowings from the Facility for the six months ended April 30, 2018, were as follows (amounts in thousands, except number of days outstanding):

 

        Average
Borrowings
       Average
Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

Global Research Enhanced Index Fund

     $ 20,016          2.11        4        $ 5  

International Equity Fund

       22,564          2.04          7          8  

International Equity Income Fund

       2,563          2.14          3          (a) 

International Unconstrained Equity Fund

       1,646          2.46          1          (a) 

International Value Fund

       7,728          2.43          2          1  

 

(a) Amount rounds to less than 500.

The Trusts, along with certain other trusts (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately. Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

 

 
130       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents

As of April 30, 2018, the J.P. Morgan Investor Funds and the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of certain Funds as follows:

 

        J.P. Morgan
Investor
Funds
       JPMorgan
SmartRetirement
Funds
 

Emerging Economies Fund

       10.2        70.6

Emerging Markets Equity Fund

                35.5  

International Equity Fund

                73.4  

International Research Enhanced Equity Fund

       13.1          57.5  

International Unconstrained Equity Fund

       21.5           

Intrepid International Fund

                91.4  

As of April 30, 2018, the following Funds had individual shareholder accounts and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:

 

        Number of
Individual Affiliated
Shareholder
Accounts and/or
Affiliated Omnibus
Accounts
       % of
the
Fund
       Number of
Individual
Nonaffiliated
Shareholder
Accounts and/or
Non-affiliated
Omnibus Accounts
       % of
the
Fund
 

Emerging Markets Equity Fund

       1          11.2                  

Global Research Enhanced Index Fund

       1          92.7                    

Global Unconstrained Equity Fund

       1          17.1          3          39.3

International Equity Income Fund

       1          10.1          3          52.7  

International Research Enhanced Equity Fund

       1          16.5                    

International Unconstrained Equity Fund

                         2          23.4  

International Value Fund

                         3          65.8  

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

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period depending on the Fund. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of April 30, 2018, the following Funds had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

      China     France     India     Japan  

Emerging Economies Fund

     25.5            

Emerging Markets Equity Fund

     25.8             18.4        

International Equity Fund

           12.5             17.8  

International Equity Income Fund

           18.3             15.9  

International Research Enhanced Equity Fund

           12.3             24.1  

International Unconstrained Equity Fund

                        

International Value Fund

           15.5             24.7  

Intrepid International Fund

                   23.5  
      South
Korea
    Switzerland     Taiwan     United
Kingdom
 

Emerging Economies Fund

     16.9         10.6    

International Equity Fund

           11.5             17.7  

International Equity Income Fund

                       17.5  

International Research Enhanced Equity Fund

                       14.1  

International Unconstrained Equity Fund

                       13.3  

International Value Fund

                       12.6  

Intrepid International Fund

                       13.4  

As of April 30, 2018, a significant portion of each Fund’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         131  


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

Emerging Economies Fund

                   

Class A

                   

Actual*

     $ 1,000.00        $ 1,014.60        $ 5.69          1.14

Hypothetical*

       1,000.00          1,019.14          5.71          1.14  

Class C

                   

Actual*

       1,000.00          1,011.60          8.18          1.64  

Hypothetical*

       1,000.00          1,016.66          8.20          1.64  

Class I

                   

Actual*

       1,000.00          1,016.00          4.45          0.89  

Hypothetical*

       1,000.00          1,020.38          4.46          0.89  

Class R5

                   

Actual*

       1,000.00          1,015.90          3.95          0.79  

Hypothetical*

       1,000.00          1,020.88          3.96          0.79  

Class R6

                   

Actual*

       1,000.00          1,016.80          3.45          0.69  

Hypothetical*

       1,000.00          1,021.37          3.46          0.69  

Emerging Markets Equity Fund

                   

Class A

                   

Actual*

       1,000.00          1,028.70          6.19          1.23  

Hypothetical*

       1,000.00          1,018.70          6.16          1.23  

Class C

                   

Actual*

       1,000.00          1,025.80          8.69          1.73  

Hypothetical*

       1,000.00          1,016.22          8.65          1.73  

Class I

                   

Actual*

       1,000.00          1,029.50          4.93          0.98  

Hypothetical*

       1,000.00          1,019.93          4.91          0.98  

Class L

                   

Actual*

       1,000.00          1,030.20          4.48          0.89  

Hypothetical*

       1,000.00          1,020.38          4.46          0.89  

 

 
132       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

Emerging Markets Equity Fund (continued)

                   

Class R2

                   

Actual*

     $ 1,000.00        $ 1,026.70        $ 7.69          1.53 %  

Hypothetical*

       1,000.00          1,017.21          7.65          1.53  

Class R3

                   

Actual*

       1,000.00          1,028.10          6.44          1.28  

Hypothetical*

       1,000.00          1,018.45          6.41          1.28  

Class R4

                   

Actual*

       1,000.00          1,029.50          5.23          1.04  

Hypothetical*

       1,000.00          1,019.64          5.21          1.04  

Class R5

                   

Actual*

       1,000.00          1,030.30          4.43          0.88  

Hypothetical*

       1,000.00          1,020.43          4.41          0.88  

Class R6

                   

Actual*

       1,000.00          1,030.70          3.93          0.78  

Hypothetical*

       1,000.00          1,020.93          3.91          0.78  

Global Research Enhanced Index Fund

                   

Class I

                   

Actual*

       1,000.00          1,026.80          1.71          0.34  

Hypothetical*

       1,000.00          1,023.11          1.71          0.34  

Class R6

                   

Actual**

       1,000.00          1,026.00          1.25          0.25  

Hypothetical*

       1,000.00          1,023.55          1.25          0.25  

Global Unconstrained Equity Fund

                   

Class A

                   

Actual*

       1,000.00          1,026.10          3.77          0.75  

Hypothetical*

       1,000.00          1,021.08          3.76          0.75  

Class C

                   

Actual*

       1,000.00          1,023.70          6.27          1.25  

Hypothetical*

       1,000.00          1,018.60          6.26          1.25  

Class I

                   

Actual*

       1,000.00          1,027.90          2.01          0.40  

Hypothetical*

       1,000.00          1,022.81          2.01          0.40  

Class R2

                   

Actual*

       1,000.00          1,024.70          5.02          1.00  

Hypothetical*

       1,000.00          1,019.84          5.01          1.00  

Class R5

                   

Actual*

       1,000.00          1,028.60          1.51          0.30  

Hypothetical*

       1,000.00          1,023.31          1.51          0.30  

Class R6

                   

Actual*

       1,000.00          1,029.10          1.26          0.25  

Hypothetical*

       1,000.00          1,023.55          1.25          0.25  

International Equity Fund

                   

Class A

                   

Actual*

       1,000.00          1,023.00          4.71          0.94  

Hypothetical*

       1,000.00          1,020.13          4.71          0.94  

Class C

                   

Actual*

       1,000.00          1,020.40          7.26          1.45  

Hypothetical*

       1,000.00          1,017.60          7.25          1.45  

Class I

                   

Actual*

       1,000.00          1,024.40          3.51          0.70  

Hypothetical*

       1,000.00          1,021.32          3.51          0.70  

Class R2

                   

Actual*

       1,000.00          1,021.10          6.26          1.25  

Hypothetical*

       1,000.00          1,018.60          6.26          1.25  

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         133  


Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

International Equity Fund (continued)

                   

Class R5

                   

Actual*

     $ 1,000.00        $ 1,024.60        $ 3.01          0.60 %  

Hypothetical*

       1,000.00          1,021.82          3.01          0.60  

Class R6

                   

Actual*

       1,000.00          1,025.30          2.51          0.50  

Hypothetical*

       1,000.00          1,022.32          2.51          0.50  

International Equity Income Fund

                   

Class A

                   

Actual*

       1,000.00          1,035.80          4.80          0.95  

Hypothetical*

       1,000.00          1,020.08          4.76          0.95  

Class C

                   

Actual*

       1,000.00          1,033.30          7.31          1.45  

Hypothetical*

       1,000.00          1,017.60          7.25          1.45  

Class I

                   

Actual*

       1,000.00          1,037.30          3.54          0.70  

Hypothetical*

       1,000.00          1,021.32          3.51          0.70  

Class R2

                   

Actual*

       1,000.00          1,034.00          6.30          1.25  

Hypothetical*

       1,000.00          1,018.60          6.26          1.25  

Class R5

                   

Actual*

       1,000.00          1,037.10          3.03          0.60  

Hypothetical*

       1,000.00          1,021.82          3.01          0.60  

Class R6

                   

Actual*

       1,000.00          1,038.40          2.53          0.50  

Hypothetical*

       1,000.00          1,022.32          2.51          0.50  

International Research Enhanced Equity Fund

                   

Class A

                   

Actual*

       1,000.00          1,028.10          2.97          0.59  

Hypothetical*

       1,000.00          1,021.87          2.96          0.59  

Class I

                   

Actual*

       1,000.00          1,029.40          1.76          0.35  

Hypothetical*

       1,000.00          1,023.06          1.76          0.35  

Class R6

                   

Actual**

       1,000.00          1,026.60          1.25          0.25  

Hypothetical*

       1,000.00          1,023.55          1.25          0.25  

International Unconstrained Equity Fund

                   

Class A

                   

Actual*

       1,000.00          1,005.60          4.92          0.99  

Hypothetical*

       1,000.00          1,019.89          4.96          0.99  

Class C

                   

Actual*

       1,000.00          1,002.80          7.40          1.49  

Hypothetical*

       1,000.00          1,017.41          7.45          1.49  

Class I

                   

Actual*

       1,000.00          1,006.50          3.68          0.74  

Hypothetical*

       1,000.00          1,021.12          3.71          0.74  

Class R2

                   

Actual*

       1,000.00          1,003.70          6.41          1.29  

Hypothetical*

       1,000.00          1,018.40          6.46          1.29  

Class R5

                   

Actual*

       1,000.00          1,007.30          3.19          0.64  

Hypothetical*

       1,000.00          1,021.62          3.21          0.64  

Class R6

                   

Actual*

       1,000.00          1,007.70          2.69          0.54  

Hypothetical*

       1,000.00          1,022.12          2.71          0.54  

 

 
134       J.P. MORGAN INTERNATIONAL EQUITY FUNDS   APRIL 30, 2018


Table of Contents
        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
       Annualized
Expense
Ratio
 

International Value Fund

                   

Class A

                   

Actual*

     $ 1,000.00        $ 1,030.20        $ 5.03          1.00 %  

Hypothetical*

       1,000.00          1,019.84          5.01          1.00  

Class C

                   

Actual*

       1,000.00          1,027.10          7.54          1.50  

Hypothetical*

       1,000.00          1,017.36          7.50          1.50  

Class I

                   

Actual*

       1,000.00          1,031.10          3.78          0.75  

Hypothetical*

       1,000.00          1,021.08          3.76          0.75  

Class L

                   

Actual*

       1,000.00          1,031.60          3.27          0.65  

Hypothetical*

       1,000.00          1,021.57          3.26          0.65  

Class R2

                   

Actual*

       1,000.00          1,027.90          6.54          1.30  

Hypothetical*

       1,000.00          1,018.35          6.51          1.30  

Class R5

                   

Actual*

       1,000.00          1,031.30          3.27          0.65  

Hypothetical*

       1,000.00          1,021.57          3.26          0.65  

Class R6

                   

Actual*

       1,000.00          1,032.20          2.77          0.55  

Hypothetical*

       1,000.00          1,022.07          2.76          0.55  

Intrepid International Fund

                   

Class A

                   

Actual*

       1,000.00          1,014.10          4.99          1.00  

Hypothetical*

       1,000.00          1,019.84          5.01          1.00  

Class C

                   

Actual*

       1,000.00          1,011.90          7.48          1.50  

Hypothetical*

       1,000.00          1,017.36          7.50          1.50  

Class I

                   

Actual*

       1,000.00          1,015.70          3.75          0.75  

Hypothetical*

       1,000.00          1,021.08          3.76          0.75  

Class R2

                   

Actual*

       1,000.00          1,012.60          6.49          1.30  

Hypothetical*

       1,000.00          1,018.35          6.51          1.30  

Class R6

                   

Actual*

       1,000.00          1,016.70          2.75          0.55  

Hypothetical*

       1,000.00          1,022.07          2.76          0.55  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the actual period). Commencement of operations was November 1, 2017.

 

 
APRIL 30, 2018   J.P. MORGAN INTERNATIONAL EQUITY FUNDS         135  


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.   SAN-INTEQ-418


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Semi-Annual Report

J.P. Morgan Tax Aware Funds

April 30, 2018 (Unaudited)

JPMorgan Tax Aware Equity Fund

JPMorgan Tax Aware Real Return Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Tax Aware Equity Fund

       3  

JPMorgan Tax Aware Real Return Fund

       6  
Schedules of Portfolio Investments        10  
Financial Statements        26  
Financial Highlights        32  
Notes to Financial Statements        36  
Schedule of Shareholder Expenses        44  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         1  


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J.P. Morgan Tax Aware Funds

MARKET OVERVIEW

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

For the twelve months ended October 30, 2017, the S&P 500 returned 3.82%, while the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index returned -1.16%.

 

 
2       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


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JPMorgan Tax Aware Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      2.87%  
S&P 500 Index      3.82%  
Net Assets as of 4/30/2018 (In Thousands)    $ 1,454,087  

 

INVESTMENT OBJECTIVE**

The JPMorgan Tax Aware Equity Fund (the “Fund”) seeks to provide high after-tax total return from a portfolio of selected equity securities.

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

The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the six months ended April 30, 2018. The Fund’s security selection in the semiconductors & hardware sector and the insurance sector was a leading detractor from performance relative to the Benchmark. The Fund’s overweight allocation and security selection in the media sector and its security selection in the energy sector were leading contributors to relative performance.

Leading individual detractors from the Fund’s relative performance included its overweight positions in Broadcom Ltd. and its underweight positions in Boeing Co. and Cisco Systems Inc. Shares of Broadcom, a semiconductor manufacturer, fell after the U.S. blocked its attempted acquisition of Qualcomm Inc. Shares of Boeing, an aircraft maker and aerospace company, rose after the company reported better-than-expected results for the first quarter of 2018. Shares of Cisco Systems, a computer networking services provider, rose after the company reported better-than-expected revenue and earnings.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Amazon.com Inc. and Pioneer Natural Resources Co. and its underweight position in Exxon Mobil Corp. Shares of Amazon.com, a provider of online retail shopping and services, rose amid continued growth in earnings and revenue. Shares of Pioneer Natural Resources, an oil producer, rose after the company reported better-than-expected earnings and raised its dividend. Shares of Exxon Mobil, an oil and gas exploration and production company, fell after the company reported lower-than-expected earnings.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s portfolio managers employed a bottom-up fundamental approach to security

selection, researching companies to determine what they believed to be their underlying value and potential for future earnings growth.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Amazon.com, Inc.

    
4.2
%
  2.     

UnitedHealth Group, Inc.

    
4.1
 
  3.     

Microsoft Corp.

    
4.0
 
  4.     

Broadcom, Inc.

    
3.5
 
  5.     

Apple, Inc.

    
3.3
 
  6.     

Bank of America Corp.

    
3.0
 
  7.     

Honeywell International, Inc.

    
2.7
 
  8.     

Alphabet, Inc., Class C

    
2.3
 
  9.     

Citigroup, Inc.

    
2.1
 
  10.     

Alphabet, Inc., Class A

    
2.1
 

 

PORTFOLIO COMPOSITION BY SECTOR***

 
Information Technology     
28.7

Financials     
17.3

Health Care     
14.2

Consumer Discretionary     
12.7

Industrials     
11.4

Energy     
6.5

Consumer Staples     
4.0

Materials     
3.1

Utilities     
1.4

Short-Term Investment     
0.7
 

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         3  


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JPMorgan Tax Aware Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
        6 MONTHS*     1 YEAR     5 YEAR     10 YEAR  
    Inception Date
of Class
  Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
 

CLASS A SHARES

  March 22,
2011
                       

With Sales Charge**

      (2.75 )%     (4.35 )%     (0.48 )%     5.96 %     4.16 %     4.82 %     11.81 %     10.68 %     9.29 %     8.39 %     7.72 %     6.76 %

Without Sales Charge

      2.65     0.96     2.78     11.82     9.92     8.36     13.03     11.89     10.30     8.98     8.31     7.27

CLASS C SHARES

  March 22,
2011
                       

With CDSC***

      1.40     (0.25 )     2.02     10.29     8.49     7.39     12.47     11.43     9.86     8.60     7.99     6.96

Without CDSC

      2.40     0.75     2.62     11.29     9.49     7.99     12.47     11.43     9.86     8.60     7.99     6.96

CLASS I SHARES

  January 30,
1997
    2.87     1.14     2.94     12.30     10.30     8.71     13.53     12.28     10.69     9.32     8.58     7.55

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR FUND PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Tax Aware Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance

of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.

 

 

 
4       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         5  


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JPMorgan Tax Aware Real Return Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      0.15%  
Bloomberg Barclays U.S. 1–15 Year Blend (1–17) Municipal Bond Index      (1.16)%  
Composite Benchmark**      0.71%  
Net Assets as of 4/30/2018 (In Thousands)    $ 1,114,153  
  

 

 

 

 

INVESTMENT OBJECTIVE***

The JPMorgan Tax Aware Real Return Fund (the “Fund”) seeks to maximize after-tax inflation protected return.

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

The Fund’s Class I Shares had a positive absolute return, outperformed the Bloomberg Barclays U.S. 1–15 Year Blend (1–17) Municipal Bond Index (the “Benchmark”) and underperformed the Composite Benchmark for the six months ended April 30, 2018.

The Fund’s hedge against inflation, which was implemented through the use of swaps contracts, made a positive contribution to absolute performance and performance relative to the Benchmark. During the reporting period, the two, five, ten and thirty year Barclays inflation swap indexes returned 1.05%, 1.88%, 2.66% and 5.84%, respectively. Swaps contract returns were pulled higher by the recovery in oil prices during the reporting period.

Relative to the Benchmark, the Fund’s underweight position in the general obligation bond sector and its overweight position in pre-refunded bonds were leading contributors to performance. The Fund’s underweight positions in both industrial development revenue/pollution control revenue bonds and hospital sector bonds detracted from relative performance. During the reporting period, lower quality bonds generally outperformed higher quality bonds and the Fund’s overweight position in bonds rated AA and higher and its underweight position in bonds rated A and BBB detracted from relative performance.

HOW WAS THE FUND POSITIONED?

Among the Fund’s tax-exempt fixed income investments, the Fund employed a bottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk. The Fund maintained its bias to high quality debt securities, as the Fund’s portfolio managers preferred higher quality issuances. The Fund’s portfolio managers also

maintained an inflation-overlay hedging strategy, using zero coupon inflation-linked swaps to purchase protection against inflation along the yield curve.

During the reporting period, the Fund’s portfolio managers increased the hedge ratio to 98% from 94%.

INVESTMENT APPROACH

The Fund uses zero-coupon inflation-linked swaps (“inflation swaps”) in combination with tax-exempt municipal bonds to seek to replicate a portfolio of inflation protected securities. The Fund is designed to protect the total return generated by its tax-exempt fixed income holdings from inflation risk. The inflation swaps used by the Fund are based on cumulative percentage movements in the Consumer Price Index for All Urban Consumers (“CPI-U”). The inflation swaps are structured so that one counterparty agrees to pay the cumulative percentage change in the CPI-U over the duration of the swap. The other counterparty (the Fund) pays a compounded fixed rate (zero coupon inflation-swap rate), which is based on the “breakeven inflation rate,” calculated as the yield difference between a nominal U.S. Treasury security and a U.S. Treasury Inflation Protected Security of equal maturity.

The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying bonds is used as the general basis for the Fund’s inflation swap positioning. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that may result from macroeconomic or technical factors.

 

 

 
6       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


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PORTFOLIO COMPOSITION****

 
Municipal Bonds      95.9
Short-Term Investment      4.1  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The Fund’s Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
****   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         7  


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JPMorgan Tax Aware Real Return Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
        6 MONTHS*     1 YEAR     5 YEAR     10 YEAR  
    Inception Date
of Class
  Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
    Before
Taxes
    After Taxes
on
Distributions
    After Taxes
on
Distributions
and Sale of
Fund Shares
 

CLASS A SHARES

  August 31,
2005
                       

With Sales Charge**

      (3.74 )%      (3.84 )%      (1.81 )%      (2.98 )%      (3.17 )%      (0.97 )%      (0.45 )%      (0.49 )%      0.21     1.47     1.45     1.69

Without Sales Charge

      0.02     (0.08 )     0.44     0.80     0.60     1.30     0.32     0.28     0.80     1.86     1.84     2.00  

CLASS C SHARES

  August 31,
2005
                       

With CDSC***

      (1.12 )     (1.21 )     (0.32 )     (0.71 )     (0.80 )     0.30     (0.26 )     (0.28 )     0.24     1.23     1.21     1.38  

Without CDSC

      (0.12 )     (0.21 )     0.27     0.29     0.20     0.89     (0.26 )     (0.28 )     0.24     1.23     1.21     1.38  

CLASS I SHARES

  August 31,
2005
    0.15     0.03     0.55     1.03     0.82     1.51     0.60     0.55     1.06     2.12     2.10     2.26  

CLASS R6 SHARES

  August 16,
2013
    0.20     0.19     0.71     1.15     1.13     1.83     0.69     0.69     1.19     2.17     2.17     2.33  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 3.75%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR FUND PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Tax Aware Real Return Fund, the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index, the Tax Aware Real Return Composite Benchmark and the Lipper Intermediate Municipal Debt Funds Index April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and

does not include a sales charge. The performance of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund.

The Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Tax Aware Real Return Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. The Lipper Intermediate Municipal Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

 

 

 
8       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

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

For some investors, income from municipal bonds may be subject to the Alternative Minimum Tax. Capital gains, if any, are federally taxable. Income may be subject to state and local taxes.

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate such tax liability.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these

waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares, with the exception of returns noted above as after taxes.

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

 

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         9  


Table of Contents

JPMorgan Tax Aware Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 99.3%

 
  

Consumer Discretionary — 12.7%

 

  

Auto Components — 0.6%

 

  111     

Aptiv plc

    9,406  
    

 

 

 
  

Hotels, Restaurants & Leisure — 0.3%

 

  48     

Yum Brands, Inc.

    4,216  
    

 

 

 
  

Internet & Direct Marketing Retail — 4.3%

 

  39     

Amazon.com, Inc. (a)

    61,793  
    

 

 

 
  

Media — 3.2%

 

  52     

Charter Communications, Inc., Class A (a)

    14,225  
  350     

Comcast Corp., Class A

    11,002  
  300     

Twenty-First Century Fox, Inc., Class B

    10,820  
  99     

Walt Disney Co. (The)

    9,931  
    

 

 

 
       45,978  
    

 

 

 
  

Multiline Retail — 0.3%

 

  53     

Dollar Tree, Inc. (a)

    5,063  
    

 

 

 
  

Specialty Retail — 3.5%

 

  11     

AutoZone, Inc. (a)

    6,726  
  151     

Home Depot, Inc. (The)

    27,948  
  195     

Lowe’s Cos., Inc.

    16,058  
    

 

 

 
       50,732  
    

 

 

 
  

Textiles, Apparel & Luxury Goods — 0.5%

 

  50     

PVH Corp.

    7,985  
    

 

 

 
  

Total Consumer Discretionary

    185,173  
    

 

 

 
  

Consumer Staples — 4.0%

 

  

Beverages — 2.6%

 

  200     

Coca-Cola Co. (The)

    8,646  
  34     

Constellation Brands, Inc., Class A

    7,857  
  93     

Molson Coors Brewing Co., Class B

    6,658  
  145     

PepsiCo, Inc.

    14,626  
    

 

 

 
       37,787  
    

 

 

 
  

Food Products — 0.9%

 

  310     

Mondelez International, Inc., Class A

    12,243  
    

 

 

 
  

Tobacco — 0.5%

 

  89     

Philip Morris International, Inc.

    7,298  
    

 

 

 
  

Total Consumer Staples

    57,328  
    

 

 

 
  

Energy — 6.5%

 

  

Oil, Gas & Consumable Fuels — 6.5%

 

  420     

Cabot Oil & Gas Corp.

    10,052  
  52     

Diamondback Energy, Inc. (a)

    6,628  
  205     

EOG Resources, Inc.

    24,279  
  109     

Marathon Petroleum Corp.

    8,188  
  321     

Occidental Petroleum Corp.

    24,797  
  98     

Pioneer Natural Resources Co.

    19,812  
    

 

 

 
  

Total Energy

    93,756  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Financials — 17.3%

 

  

Banks — 7.4%

 

  1,464     

Bank of America Corp.

    43,804  
  457     

Citigroup, Inc.

    31,228  
  46     

First Republic Bank

    4,256  
  552     

Wells Fargo & Co.

    28,665  
    

 

 

 
       107,953  
    

 

 

 
  

Capital Markets — 4.9%

 

  24     

BlackRock, Inc.

    12,263  
  28     

Goldman Sachs Group, Inc. (The)

    6,600  
  234     

Intercontinental Exchange, Inc.

    16,978  
  527     

Morgan Stanley

    27,212  
  39     

S&P Global, Inc.

    7,362  
    

 

 

 
       70,415  
    

 

 

 
  

Consumer Finance — 0.8%

 

  53     

Capital One Financial Corp.

    4,759  
  88     

Discover Financial Services

    6,276  
    

 

 

 
       11,035  
    

 

 

 
  

Diversified Financial Services — 1.5%

 

  72     

Berkshire Hathaway, Inc., Class B (a)

    13,997  
  153     

Voya Financial, Inc.

    8,030  
    

 

 

 
       22,027  
    

 

 

 
  

Insurance — 2.7%

 

  190     

Chubb Ltd.

    25,841  
  136     

Hartford Financial Services Group, Inc. (The)

    7,338  
  138     

MetLife, Inc.

    6,583  
    

 

 

 
       39,762  
    

 

 

 
  

Total Financials

    251,192  
    

 

 

 
  

Health Care — 14.2%

 

  

Biotechnology — 1.8%

 

  39     

Biogen, Inc. (a)

    10,798  
  91     

Gilead Sciences, Inc.

    6,546  
  55     

Vertex Pharmaceuticals, Inc. (a)

    8,405  
    

 

 

 
       25,749  
    

 

 

 
  

Health Care Equipment & Supplies — 2.7%

 

  113     

Danaher Corp.

    11,366  
  162     

Medtronic plc

    12,990  
  136     

Zimmer Biomet Holdings, Inc.

    15,654  
    

 

 

 
       40,010  
    

 

 

 
  

Health Care Providers & Services — 4.0%

 

  249     

UnitedHealth Group, Inc.

    58,941  
    

 

 

 
  

Life Sciences Tools & Services — 0.6%

 

  124     

Agilent Technologies, Inc.

    8,119  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Pharmaceuticals — 5.1%

 

  46     

Allergan plc

    7,018  
  247     

Bristol-Myers Squibb Co.

    12,883  
  137     

Eli Lilly & Co.

    11,080  
  52     

Johnson & Johnson

    6,590  
  168     

Merck & Co., Inc.

    9,914  
  711     

Pfizer, Inc.

    26,049  
    

 

 

 
       73,534  
    

 

 

 
  

Total Health Care

    206,353  
    

 

 

 
  

Industrials — 11.4%

 

  

Aerospace & Defense — 2.5%

 

  34     

Boeing Co. (The)

    11,174  
  66     

General Dynamics Corp.

    13,313  
  37     

Northrop Grumman Corp.

    11,813  
    

 

 

 
       36,300  
    

 

 

 
  

Airlines — 0.8%

 

  102     

Southwest Airlines Co.

    5,367  
  98     

United Continental Holdings, Inc. (a)

    6,607  
    

 

 

 
       11,974  
    

 

 

 
  

Building Products — 1.1%

 

  77     

Allegion plc

    5,958  
  285     

Masco Corp.

    10,805  
    

 

 

 
       16,763  
    

 

 

 
  

Commercial Services & Supplies — 0.7%

 

  148     

Waste Connections, Inc.

    10,671  
    

 

 

 
  

Industrial Conglomerates — 2.7%

 

  268     

Honeywell International, Inc.

    38,824  
    

 

 

 
  

Machinery — 1.2%

 

  121     

Stanley Black & Decker, Inc.

    17,189  
    

 

 

 
  

Road & Rail — 2.4%

 

  62     

Norfolk Southern Corp.

    8,867  
  192     

Union Pacific Corp.

    25,590  
    

 

 

 
       34,457  
    

 

 

 
  

Total Industrials

    166,178  
    

 

 

 
  

Information Technology — 28.7%

 

  

Internet Software & Services — 6.3%

 

  30     

Alphabet, Inc., Class A (a)

    30,997  
  33     

Alphabet, Inc., Class C (a)

    33,822  
  159     

Facebook, Inc., Class A (a)

    27,410  
    

 

 

 
       92,229  
    

 

 

 
  

IT Services — 7.0%

 

  77     

Accenture plc, Class A

    11,679  
  192     

Fidelity National Information Services, Inc.

    18,251  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

IT Services — continued

 
  157     

Mastercard, Inc., Class A

    28,076  
  124     

PayPal Holdings, Inc. (a)

    9,232  
  119     

Visa, Inc., Class A

    15,149  
  68     

WEX, Inc. (a)

    11,011  
  103     

Worldpay, Inc. (a)

    8,375  
    

 

 

 
       101,773  
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 5.2%

 

  219     

Broadcom, Inc.

    50,301  
  56     

Microchip Technology, Inc.

    4,689  
  41     

NVIDIA Corp.

    9,272  
  111     

Texas Instruments, Inc.

    11,279  
    

 

 

 
       75,541  
    

 

 

 
  

Software — 6.9%

 

  122     

Adobe Systems, Inc. (a)

    27,111  
  630     

Microsoft Corp.

    58,881  
  197     

Oracle Corp.

    9,017  
  48     

salesforce.com, Inc. (a)

    5,820  
    

 

 

 
       100,829  
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 3.3%

 

  287     

Apple, Inc.

    47,462  
    

 

 

 
  

Total Information Technology

    417,834  
    

 

 

 
  

Materials — 3.1%

 

  

Chemicals — 1.6%

 

  376     

DowDuPont, Inc.

    23,767  
    

 

 

 
  

Construction Materials — 0.5%

 

  39     

Martin Marietta Materials, Inc.

    7,500  
    

 

 

 
  

Containers & Packaging — 1.0%

 

  187     

Ball Corp.

    7,500  
  112     

WestRock Co.

    6,616  
    

 

 

 
       14,116  
    

 

 

 
  

Total Materials

    45,383  
    

 

 

 
  

Utilities — 1.4%

 

  

Electric Utilities — 0.8%

 

  71     

NextEra Energy, Inc.

    11,559  
    

 

 

 
  

Multi-Utilities — 0.6%

 

  354     

NiSource, Inc.

    8,637  
    

 

 

 
  

Total Utilities

    20,196  
    

 

 

 
  

Total Common Stocks
(Cost $801,216)

    1,443,393  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         11  


Table of Contents

JPMorgan Tax Aware Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 0.7%

 
  

Investment Company — 0.7%

 

  10,378     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $10,378)

    10,378  
    

 

 

 
  

Total Investments — 100.0%
(Cost $811,594)

    1,453,771  
  

Other Assets in Excess of
Liabilities — 0.0% 
(g)

    316  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,454,087  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — 94.3% (t)

 
  

Alaska — 1.4%

 

  

Other Revenue — 1.4%

 

  13,490     

Borough of Matanuska-Susitna, Goose Creek Correctional Center Project, Rev., 5.25%, 09/01/2029

    15,610  
    

 

 

 
  

Arizona — 3.1%

 

  

Other Revenue — 0.2%

 

  

Phoenix Civic Improvement Corp., Senior Lien,

 
  1,085     

Series C, Rev., 5.00%, 07/01/2022

    1,181  
  1,000     

Series C, Rev., 5.00%, 07/01/2024

    1,087  
    

 

 

 
       2,268  
    

 

 

 
  

Prerefunded — 2.9%

 

  26,840     

Arizona State Transportation Board, Series A, Rev., GAN, 5.25%, 07/01/2020 (p)

    28,686  
  3,000     

Arizona State Transportation Board, Maricopa County Regional Area Road, Rev., 5.00%, 07/01/2020 (p)

    3,190  
    

 

 

 
       31,876  
    

 

 

 
  

Total Arizona

    34,144  
    

 

 

 
  

Arkansas — 0.2%

 

  

Prerefunded — 0.1%

 

  710     

City of Fort Smith, Water & Sewer, Rev., AGM, 5.00%, 10/01/2018 (p)

    719  
    

 

 

 
  

Water & Sewer — 0.1%

 

  1,105     

City of Fort Smith, Water & Sewer, Rev., AGM, 5.00%, 10/01/2022

    1,119  
    

 

 

 
  

Total Arkansas

    1,838  
    

 

 

 
  

California — 17.2%

 

  

Certificate of Participation/Lease — 0.0% (g)

 

  80     

Los Angeles Unified School District, Headquarters Building Projects, Series B, COP, 5.00%, 10/01/2031

    89  
    

 

 

 
  

Education — 0.6%

 

  3,000     

California State University, Systemwide, Series A, Rev., 5.00%, 11/01/2024

    3,500  
  2,475     

Golden West Schools Financing Authority, Placentia-Yorba Linda University, Rev., AMBAC, 5.50%, 08/01/2020

    2,681  
    

 

 

 
       6,181  
    

 

 

 
  

General Obligation — 5.6%

 

  750     

Center Unified School District, Election of 1991, Series D, GO, NATL-RE, Zero Coupon, 08/01/2026

    510  
  

Contra Costa Community College District,

 
  2,115     

GO, 5.00%, 08/01/2021

    2,322  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

General Obligation — continued

 

  1,000     

GO, 5.00%, 08/01/2022

    1,096  
  1,000     

GO, 5.00%, 08/01/2024

    1,095  
  145     

Los Angeles Community College District, Election of 2008, Series G, GO, 4.00%, 08/01/2039

    150  
  

Los Angeles Unified School District,

 
  10,010     

Series B, GO, 5.00%, 07/01/2026

    12,010  
  9,000     

Series C, GO, 5.00%, 07/01/2026

    10,372  
  5,000     

Series D, GO, 5.25%, 07/01/2024

    5,201  
  

Murrieta Valley Unified School District,

 
  550     

GO, AGM, 5.00%, 09/01/2022

    614  
  725     

GO, AGM, 5.00%, 09/01/2023

    823  
  1,000     

San Diego Unified School District, Election of 1998, Series F-1, GO, AGM, 5.25%, 07/01/2028

    1,253  
  1,000     

State Center Community College District, GO, 5.00%, 08/01/2024

    1,116  
  

State of California, Various Purpose,

 
  5,000     

GO, 5.00%, 04/01/2020

    5,146  
  10,370     

GO, 5.00%, 08/01/2030

    11,907  
  5,000     

GO, 5.63%, 04/01/2026

    5,171  
  3,010     

GO, 6.50%, 04/01/2033

    3,141  
    

 

 

 
       61,927  
    

 

 

 
  

Hospital — 0.3%

 

  1,000     

California Health Facilities Financing Authority, Kaiser Permanente, Subseries A-2, Rev., 4.00%, 11/01/2038

    1,025  
  1,750     

California Municipal Finance Authority, Community Medical Centers, Series A, Rev., 5.00%, 02/01/2031

    1,976  
    

 

 

 
       3,001  
    

 

 

 
  

Other Revenue — 0.6%

 

  4,950     

Golden State Tobacco Securitization Corp., Tobacco Settlement, Series A, Rev., 5.00%, 06/01/2034

    5,543  
  

San Francisco Bay Area Rapid Transit District, Sales Tax,

 
  175     

Series A, Rev., 5.00%, 07/01/2024

    204  
  395     

Series A, Rev., 5.00%, 07/01/2025

    467  
  225     

Series A, Rev., 5.00%, 07/01/2026

    265  
    

 

 

 
       6,479  
    

 

 

 
  

Prerefunded — 2.2%

 

  250     

California State Department of Water Resources, Central Valley Project Water System, Series AQ, Rev., 4.00%, 06/01/2023 (p)

    273  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         13  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Prerefunded — continued

 

  8,700     

California State Public Works Board, University of California, Series H, Rev., 5.00%, 09/01/2023 (p)

    9,965  
  15     

City of Los Angeles, Department of Water & Power, Power System, Series A, Rev., 5.00%, 01/01/2023 (p)

    17  
  3,590     

State of California, Various Purpose, GO, 6.50%, 04/01/2019 (p)

    3,745  
  10,285     

University of California, Series O, Rev., 5.75%, 05/15/2019 (p)

    10,710  
    

 

 

 
       24,710  
    

 

 

 
  

Transportation — 0.7%

 

  

California Infrastructure & Economic Development Bank, Bay Area Toll Bridges, First Lien,

 
  340     

Series A, Rev., AGM, 5.00%, 07/01/2022 (p)

    381  
  2,315     

Series A, Rev., FGIC, 5.00%, 07/01/2025 (p)

    2,747  
  

San Joaquin County Transportation Authority, Measure K,

 
  2,285     

Rev., 5.00%, 03/01/2029

    2,709  
  2,000     

Rev., 5.00%, 03/01/2030

    2,365  
    

 

 

 
       8,202  
    

 

 

 
  

Utility — 6.0%

 

  

City of Los Angeles, Department of Water & Power, Power System,

 
  2,500     

Series A, Rev., 5.00%, 07/01/2023

    2,830  
  2,550     

Series A, Rev., 5.00%, 07/01/2032

    3,014  
  5,000     

Series A, Rev., 5.00%, 07/01/2033

    5,880  
  710     

Series A, Rev., 5.00%, 07/01/2034

    830  
  25,385     

Series B, Rev., 5.00%, 07/01/2028

    28,855  
  8,580     

Series B, Rev., 5.00%, 07/01/2029

    10,239  
  2,100     

Series B, Rev., 5.00%, 07/01/2031

    2,389  
  1,925     

Series B, Rev., 5.00%, 07/01/2032

    2,185  
  3,300     

Series D, Rev., 5.00%, 07/01/2032

    3,783  
  5,000     

Long Beach Bond Finance Authority, Natural Gas, Series A, Rev., 5.25%, 11/15/2021

    5,448  
  1,290     

Sacramento Municipal Utility District Financing Authority, Cosumnes Project, Rev., 5.00%, 07/01/2028

    1,512  
    

 

 

 
       66,965  
    

 

 

 
  

Water & Sewer — 1.2%

 

  4,750     

City of Santa Rosa, Wastewater, Capital Appreciation, Series B, Rev., AGM-CR, AMBAC, Zero Coupon, 09/01/2023

    4,157  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Water & Sewer — continued

 

  2,545     

Metropolitan Water District Southern Water Works, Series A, Rev., 5.00%, 10/01/2025

    2,823  
  6,000     

San Diego County Water Authority, Series 2013A, Rev., 5.00%, 05/01/2030

    6,709  
    

 

 

 
       13,689  
    

 

 

 
  

Total California

    191,243  
    

 

 

 
  

Colorado — 2.3%

 

  

General Obligation — 2.3%

 

  4,250     

Dawson Ridge Metropolitan District No.1, Series A, GO, Zero Coupon, 10/01/2022 (p)

    3,833  
  

Douglas County School District No. Re-1, Douglas & Elbert Counties,

 
  6,950     

GO, 5.25%, 12/15/2023

    8,004  
  2,345     

GO, 5.25%, 12/15/2025

    2,783  
  10,000     

Jefferson County School District No. R-1, GO, 5.00%, 12/15/2022

    11,222  
    

 

 

 
  

Total Colorado

    25,842  
    

 

 

 
  

Connecticut — 1.0%

 

  

General Obligation — 0.8%

 

  200     

City of Greenwich, GO, 5.00%, 06/01/2020

    201  
  8,200     

State of Connecticut, Series E, GO, 5.00%, 08/15/2030

    8,839  
    

 

 

 
       9,040  
    

 

 

 
  

Water & Sewer — 0.2%

 

  

South Central Regional Water Authority, Water System Revenue,

 
  250     

Series A, Rev., NATL-RE, 5.25%, 08/01/2019

    260  
  1,290     

Series A, Rev., NATL-RE, 5.25%, 08/01/2020

    1,380  
    

 

 

 
       1,640  
    

 

 

 
  

Total Connecticut

    10,680  
    

 

 

 
  

Delaware — 0.9%

 

  

Education — 0.1%

 

  1,000     

University of Delaware, Series B, Rev., 5.00%, 11/01/2021

    1,045  
    

 

 

 
  

General Obligation — 0.8%

 

  20     

County of New Castle, Series B, GO, 5.00%, 07/15/2021

    22  
  

State of Delaware,

 
  975     

Series A, GO, 5.00%, 02/01/2025

    1,135  
  2,255     

Series A, GO, 5.00%, 02/01/2027

    2,700  
  2,355     

Series A, GO, 5.00%, 02/01/2028

    2,853  
  1,370     

Series A, GO, 5.00%, 02/01/2029

    1,654  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

General Obligation — continued

 

  1,000     

Series C, GO, 5.00%, 03/01/2021

    1,082  
    

 

 

 
       9,446  
    

 

 

 
  

Total Delaware

    10,491  
    

 

 

 
  

District of Columbia — 1.2%

 

  

General Obligation — 0.2%

 

  

District of Columbia,

 
  290     

Series A, GO, 5.00%, 06/01/2029

    342  
  400     

Series A, GO, 5.00%, 06/01/2030

    470  
  600     

Series A, GO, 5.00%, 06/01/2031

    704  
  620     

Series A, GO, 5.00%, 06/01/2032

    724  
    

 

 

 
       2,240  
    

 

 

 
  

Water & Sewer — 1.0%

 

  

District of Columbia Water & Sewer Authority, Sub Lien,

 
  5,000     

Series C, Rev., 5.00%, 10/01/2025

    5,570  
  5,000     

Series C, Rev., 5.00%, 10/01/2029

    5,545  
    

 

 

 
       11,115  
    

 

 

 
  

Total District of Columbia

    13,355  
    

 

 

 
  

Florida — 3.6%

 

  

General Obligation — 3.6%

 

  

Florida State Board of Education, Public Education Capital Outlay,

 
  5,090     

Series A, GO, 5.00%, 06/01/2024

    5,443  
  32,375     

Series D, GO, 5.00%, 06/01/2025

    35,088  
    

 

 

 
  

Total Florida

    40,531  
    

 

 

 
  

Georgia — 2.2%

 

  

General Obligation — 0.5%

 

  

Georgia Polk School District,

 
  175     

Series 2018, GO, 5.00%, 03/01/2024

    200  
  350     

Series 2018, GO, 5.00%, 03/01/2025

    406  
  

State of Georgia,

 
  130     

Series A, GO, 5.00%, 02/01/2025

    151  
  300     

Series B, GO, 5.00%, 07/01/2020

    319  
  3,960     

Series E, GO, 5.00%, 12/01/2025

    4,664  
    

 

 

 
       5,740  
    

 

 

 
  

Transportation — 0.6%

 

  6,000     

City of Atlanta, Airport, Series A, Rev., 5.00%, 01/01/2021

    6,453  
    

 

 

 
  

Water & Sewer — 1.1%

 

  6,895     

Cobb County, Water & Sewer, Rev., 5.00%, 07/01/2022

    7,148  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Water & Sewer — continued

 

  5,000     

Fulton County, Water & Sewerage, Rev., 5.00%, 01/01/2023

    5,375  
  125     

Henry County Water & Sewerage Authority, Rev., 5.00%, 02/01/2029

    137  
  
       12,660  
    

 

 

 
  

Total Georgia

    24,853  
    

 

 

 
  

Hawaii — 0.7%

 

  

General Obligation — 0.7%

 

  

State of Hawaii,

 
  2,500     

Series FG, GO, 5.00%, 10/01/2028

    2,938  
  4,000     

Series FT, GO, 5.00%, 01/01/2026

    4,691  
    

 

 

 
  

Total Hawaii

    7,629  
    

 

 

 
  

Idaho — 0.3%

 

  

General Obligation — 0.3%

 

  3,060     

Ada & Canyon Counties, Joint School District No. 2, GO, 5.00%, 08/15/2023

    3,467  
    

 

 

 
  

Illinois — 0.8%

 

  

General Obligation — 0.1%

 

  140     

Du Page & Will Counties Community School District No. 204 Indian Prairie, School Building, Series A, GO, AGM-CR, FGIC, 6.25%, 12/30/2021

    160  
  625     

Village of Schaumburg, Series A, GO, 4.00%, 12/01/2020

    653  
    

 

 

 
       813  
    

 

 

 
  

Other Revenue — 0.0% (g)

 

  

City of Chicago, Motor Fuel Tax,

 
  75     

Rev., 5.00%, 01/01/2020

    77  
  200     

Rev., 5.00%, 01/01/2021

    207  
  105     

Rev., 5.00%, 01/01/2022

    110  
    

 

 

 
       394  
    

 

 

 
  

Transportation — 0.4%

 

  3,000     

Illinois State Toll Highway Authority, Series A, Rev., 5.00%, 12/01/2022

    3,334  
  750     

Regional Transportation Authority, Series A, Rev., NATL-RE, 6.00%, 07/01/2024

    888  
    

 

 

 
       4,222  
    

 

 

 
  

Water & Sewer — 0.3%

 

  

City of Chicago, Water Revenue, Second Lien Project,

 
  1,000     

Rev., 5.00%, 11/01/2021

    1,081  
  400     

Rev., 5.00%, 11/01/2022

    437  
  1,000     

Rev., 5.00%, 11/01/2029

    1,097  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         15  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Water & Sewer — continued

 

  985     

Illinois Finance Authority, State Clean Water Initiative Revolving Fund, Rev., 5.00%, 01/01/2025

    1,133  
    

 

 

 
       3,748  
    

 

 

 
  

Total Illinois

    9,177  
    

 

 

 
  

Indiana — 1.7%

 

  

Other Revenue — 0.1%

 

  1,110     

Fort Wayne Redevelopment Authority, Lease Rental, Harrison Square Project, Rev., 5.00%, 02/01/2026

    1,244  
    

 

 

 
  

Prerefunded — 1.1%

 

  9,870     

Indiana Finance Authority, Revolving Fund, Series A, Rev., 5.00%, 02/01/2022 (p)

    10,879  
  1,750     

Indianapolis Local Public Improvement Bond Bank, Pilot Infrastructure Project, Series F, Rev., AGM, 5.00%, 01/01/2020 (p)

    1,836  
    

 

 

 
       12,715  
    

 

 

 
  

Utility — 0.4%

 

  4,050     

Indianapolis Local Public Improvement Bond Bank, Stormwater Project, Series D, Rev., 5.00%, 01/01/2026

    4,522  
    

 

 

 
  

Water & Sewer — 0.1%

 

  

City of Evansville, Waterworks District,

 
  325     

Series B, Rev., 5.00%, 01/01/2022

    356  
  375     

Series B, Rev., 5.00%, 01/01/2023

    409  
    

 

 

 
       765  
    

 

 

 
  

Total Indiana

    19,246  
    

 

 

 
  

Iowa — 0.5%

 

  

Prerefunded — 0.5%

 

  5,440     

Iowa Finance Authority, State Revolving Fund, Rev., 5.00%, 08/01/2021 (p)

    5,930  
    

 

 

 
  

Kentucky — 0.5%

 

  

Prerefunded — 0.5%

 

  5,185     

Kentucky Turnpike Authority, Revitalization Projects, Series A, Rev., 5.00%, 07/01/2021 (p)

    5,631  
    

 

 

 
  

Louisiana — 1.1%

 

  

Housing — 0.3%

 

  3,270     

Louisiana Public Facilities Authority, Multi-Family Housing, CR, Series A, Rev., Zero Coupon, 02/01/2020 (p)

    3,154  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Other Revenue — 0.7%

 

  3,000     

Louisiana Local Government Environmental Facilities & Community Development Authority, LCTCS Act 360 Project, Rev., 5.00%, 10/01/2032

    3,344  
  4,375     

Louisiana Public Facilities Authority, CR, Series B, Rev., Zero Coupon, 12/01/2019 (p)

    4,237  
    

 

 

 
       7,581  
    

 

 

 
  

Utility — 0.1%

 

  1,250     

City of Alexandria, Utilities, Series A, Rev., 5.00%, 05/01/2043

    1,341  
    

 

 

 
  

Total Louisiana

    12,076  
    

 

 

 
  

Maryland — 2.2%

 

  

General Obligation — 2.0%

 

  7,090     

Baltimore County, Consolidated Public Improvement, GO, 5.00%, 03/01/2032

    8,432  
  2,075     

County of Anne Arundel, Water & Sewer, GO, 5.00%, 10/01/2027

    2,452  
  10,000     

State of Maryland, State and Local Facilities Loan, Series A, GO, 5.00%, 03/15/2024

    11,459  
    

 

 

 
       22,343  
    

 

 

 
  

Prerefunded — 0.2%

 

  1,690     

State of Maryland, State and Local Facilities Loan, Series A, GO, 5.00%, 03/01/2023 (p)

    1,901  
    

 

 

 
  

Total Maryland

    24,244  
    

 

 

 
  

Massachusetts — 3.5%

 

  

General Obligation — 0.8%

 

  

Commonwealth of Massachusetts,

 
  3,000     

Series B, GO, 5.00%, 01/01/2027

    3,545  
  200     

Series C, GO, AGM, 5.50%, 12/01/2022

    229  
  5,000     

Commonwealth of Massachusetts, Consolidated Loan of 2014, Series C, GO, 4.00%, 07/01/2031

    5,230  
    

 

 

 
       9,004  
    

 

 

 
  

Other Revenue — 0.7%

 

  7,420     

Massachusetts School Building Authority, Dedicated Sales Tax, Series B, Rev., 5.00%, 08/15/2030

    8,184  
    

 

 

 
  

Transportation — 1.1%

 

  10,000     

Massachusetts Bay Transportation Authority, Series A, Rev., 5.25%, 07/01/2027

    12,168  
    

 

 

 
  

Water & Sewer — 0.9%

 

  8,280     

Massachusetts Clean Water Trust (The), Green Bond, Series 20, Rev., 5.00%, 02/01/2036

    9,406  
    

 

 

 
  

Total Massachusetts

    38,762  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Michigan — 1.3%

 

  

Education — 0.3%

 

  

Eastern Michigan University, Board of Regents,

 
  750     

Series A, Rev., 5.00%, 03/01/2026

    866  
  750     

Series A, Rev., 5.00%, 03/01/2027

    873  
  1,000     

Series A, Rev., 5.00%, 03/01/2033

    1,138  
    

 

 

 
       2,877  
    

 

 

 
  

General Obligation — 0.2%

 

  2,000     

Huron Valley School District, GO, Q-SBLF, 5.00%, 05/01/2024

    2,152  
    

 

 

 
  

Other Revenue — 0.1%

 

  1,240     

State of Michigan, Trunk Line Fund, Rev., 5.00%, 11/15/2028

    1,353  
    

 

 

 
  

Prerefunded — 0.0% (g)

 

  100     

State of Michigan, Environmental Program, Series A, GO, 6.00%, 05/01/2019 (p)

    104  
    

 

 

 
  

Water & Sewer — 0.7%

 

  7,000     

City of Grand Rapids, Sanitary Sewer System, Series A, Rev., BHAC-CR, AGM-CR FGIC, 5.50%, 01/01/2022

    7,512  
    

 

 

 
  

Total Michigan

    13,998  
    

 

 

 
  

Minnesota — 1.5%

 

  

General Obligation — 0.5%

 

  2,135     

County of Hennepin, Series B, GO, 5.00%, 12/01/2027

    2,545  
  775     

Olmsted County, Crossover, Series A, GO, 5.00%, 02/01/2021

    836  
  2,265     

Roseville Independent School District No 623, Minnesota School District, Credit Enhancement Program, Series A, GO, 5.00%, 02/01/2028

    2,646  
    

 

 

 
       6,027  
    

 

 

 
  

Other Revenue — 1.0%

 

  9,705     

State of Minnesota, General Fund Refunding Appropriation, Series B, Rev., 5.00%, 03/01/2025

    10,671  
    

 

 

 
  

Prerefunded — 0.0% (g)

 

  195     

St. Paul Minnesota, Housing & Redevelopment Authority Health Care, Rev., 5.25%, 11/15/2020 (p)

    211  
    

 

 

 
  

Total Minnesota

    16,909  
    

 

 

 
  

Missouri — 0.6%

 

  

Other Revenue — 0.6%

 

  6,620     

Kansas City Industrial Development Authority, Downtown Redevelopment District, Series A, Rev., 5.00%, 09/01/2021

    7,193  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Prerefunded — 0.0% (g)

 

  20     

Missouri Environmental Improvement & Energy Resources Authority, Water Pollution Control & Drinking Water, Series A, Rev., 5.00%, 01/01/2020 (p)

    21  
    

 

 

 
  

Water & Sewer — 0.0% (g)

 

  15     

Missouri Environmental Improvement & Energy Resources Authority, Water Pollution Control & Drinking Water, Series A, Rev., 5.00%, 01/01/2019 (p)

    15  
    

 

 

 
  

Total Missouri

    7,229  
    

 

 

 
  

Nebraska — 0.5%

 

  

Utility — 0.5%

 

  5,000     

Omaha Public Power District, Electric System, Series A, Rev., 4.00%, 02/01/2032

    5,178  
    

 

 

 
  

New Hampshire — 0.1%

 

  

Prerefunded — 0.1%

 

  1,195     

New Hampshire Municipal Bond Bank, Series E, Rev., 5.00%, 01/15/2020 (p)

    1,256  
    

 

 

 
  

New Jersey — 2.8%

 

  

Education — 1.3%

 

  

New Jersey Economic Development Authority, School Facilities Construction,

 
  5,000     

Series PP, Rev., 5.00%, 06/15/2029

    5,315  
  3,500     

Series XX, Rev., 5.00%, 06/15/2019

    3,611  
  5,145     

Series XX, Rev., 5.00%, 06/15/2021

    5,458  
    

 

 

 
       14,384  
    

 

 

 
  

General Obligation — 0.3%

 

  850     

North Brunswick Township Board of Education, GO, 5.00%, 07/15/2022

    900  
  

Township of Woodbridge,

 
  1,100     

GO, 5.00%, 07/15/2022

    1,169  
  1,200     

GO, 5.00%, 07/15/2023

    1,276  
    

 

 

 
       3,345  
    

 

 

 
  

Other Revenue — 0.3%

 

  2,800     

Tobacco Settlement Financing Corp., Series A, Rev., 5.00%, 06/01/2027

    3,201  
    

 

 

 
  

Transportation — 0.7%

 

  2,500     

New Jersey Transportation Trust Fund Authority, Transportation Program, Series AA, Rev., 5.00%, 06/15/2036

    2,599  
  5,000     

New Jersey Transportation Trust Fund Authority, Transportation System, Series B, Rev., AMBAC, 5.25%, 12/15/2022

    5,430  
    

 

 

 
       8,029  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         17  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Water & Sewer — 0.2%

 

  1,995     

Sussex County Municipal Utilities Authority, Wastewater Facilities, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 12/01/2020

    1,885  
    

 

 

 
  

Total New Jersey

    30,844  
    

 

 

 
  

New Mexico — 1.2%

 

  

Other Revenue — 1.1%

 

  

New Mexico Finance Authority, Senior Lien Public Project,

 
  1,625     

Series B, Rev., 5.00%, 06/01/2018

    1,629  
  1,690     

Series B, Rev., 5.00%, 06/01/2018

    1,695  
  1,820     

Series B, Rev., 5.00%, 06/01/2018

    1,825  
  1,965     

Series B, Rev., 5.00%, 06/01/2018

    1,970  
  4,200     

Series C, Rev., 5.00%, 06/01/2022

    4,560  
    

 

 

 
       11,679  
    

 

 

 
  

Transportation — 0.1%

 

  1,385     

New Mexico Finance Authority, State Transportation, Sub Lien, Series A-2, Rev., 5.00%, 12/15/2021

    1,486  
    

 

 

 
  

Total New Mexico

    13,165  
    

 

 

 
  

New York — 22.4%

 

  

Education — 0.2%

 

  2,100     

Monroe County IDA, School Facility, Modernization Project, Rev., 5.00%, 05/01/2030

    2,470  
    

 

 

 
  

General Obligation — 1.5%

 

  5,000     

City of New York, Fiscal Year 2010, Series E, GO, 5.00%, 08/01/2023

    5,188  
  

City of New York, Fiscal Year 2013,

 
  6,085     

Series D, GO, 5.00%, 08/01/2028

    6,756  
  4,050     

Series F, Sub Series F-1, GO, 5.00%, 03/01/2030

    4,494  
    

 

 

 
       16,438  
    

 

 

 
  

Industrial Development Revenue/Pollution Control Revenue — 0.9%

 

  9,475     

New York Liberty Development Corp., World Trade Center Projects, Class 1, Rev., 5.00%, 09/15/2030

    10,429  
    

 

 

 
  

Other Revenue — 6.9%

 

  1,500     

Hudson Yards Infrastructure Corp., Series A, Rev., 5.00%, 02/15/2033

    1,731  
  9,000     

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2012, Series D, Sub Series D-1, Rev., 5.00%, 11/01/2031

    9,766  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Other Revenue — continued

 

  10,000     

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013, Sub Series F-1, Rev., 5.00%, 02/01/2031

    11,085  
  10,000     

New York Convention Center Development Corp., Hotel Unit Fee Secured, Series B, Rev., AGM-CR, Zero Coupon, 11/15/2052

    2,341  
  8,500     

New York State Dormitory Authority, Consolidated Services Contract, Series A, Rev., 5.00%, 07/01/2023

    8,801  
  

New York State Dormitory Authority, State Sales Tax,

 
  3,000     

Series A, Rev., 5.00%, 03/15/2028

    3,411  
  5,000     

Series A, Rev., 5.00%, 03/15/2029

    5,682  
  1,000     

Series A, Rev., 5.00%, 03/15/2033

    1,123  
  4,225     

Series A, Rev., 5.00%, 03/15/2034

    4,760  
  15,000     

New York State Urban Development Corp., Service Contract, Series B, Rev., 5.25%, 01/01/2025

    15,080  
  

Sales Tax Asset Receivable Corp., Fiscal Year 2015,

 
  1,800     

Series A, Rev., 5.00%, 10/15/2028

    2,069  
  7,500     

Series A, Rev., 5.00%, 10/15/2029

    8,604  
  1,850     

Series A, Rev., 5.00%, 10/15/2031

    2,117  
    

 

 

 
       76,570  
    

 

 

 
  

Prerefunded — 2.7%

 

  

Metropolitan Transportation Authority,

 
  575     

Series A, Rev., 5.00%, 11/15/2021 (p)

    633  
  925     

Series A, Rev., 5.00%, 11/15/2021 (p)

    1,018  
  60     

Series C, Rev., 6.50%, 11/15/2018 (p)

    61  
  350     

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series CC, Rev., 5.00%, 06/15/2018 (p)

    351  
  5     

New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2010, Series B, Rev., 5.00%, 11/01/2019 (p)

    5  
  100     

New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series A, Rev., 5.00%, 02/15/2019 (p)

    103  
  25,000     

Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Series A, Rev., 5.00%, 01/01/2022 (p)

    27,581  
    

 

 

 
       29,752  
    

 

 

 
  

Special Tax — 3.9%

 

  7,250     

New York State Dormitory Authority, State Personal Income Tax, Series C, Rev., 5.00%, 03/15/2031

    8,152  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Special Tax — continued

 

  

New York State Dormitory Authority, State Personal Income Tax, General Purpose,

 
  12,500     

Series C, Rev., 5.00%, 03/15/2033

    13,979  
  3,500     

Series C, Rev., 5.00%, 03/15/2041

    3,728  
  10,000     

New York State Thruway Authority, State Personal Income Tax, Transportation, Series A, Rev., 5.00%, 03/15/2026

    10,669  
  5,475     

New York State Urban Development Corp., State Personal Income Tax, Series C, Rev., 5.00%, 03/15/2027

    6,482  
    

 

 

 
       43,010  
    

 

 

 
  

Transportation — 2.7%

 

  

Metropolitan Transportation Authority,

 
  195     

Series C, Rev., 6.50%, 11/15/2028

    200  
  5,000     

Subseries C-1, Rev., 5.25%, 11/15/2028

    5,826  
  

New York State Thruway Authority,

 
  2,760     

Series L, Rev., 5.00%, 01/01/2023

    3,088  
  3,145     

Series L, Rev., 5.00%, 01/01/2024

    3,575  
  

Port Authority of New York & New Jersey, Consolidated,

 
  2,965     

Rev., 5.00%, 05/01/2034

    3,117  
  2,000     

Rev., 5.00%, 05/01/2035

    2,101  
  6,500     

Rev., 5.00%, 10/15/2041

    7,299  
  3,105     

Triborough Bridge & Tunnel Authority, Series A-2, Rev., 5.00%, 11/15/2028

    3,156  
  1,250     

Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Series B, Rev., 5.00%, 11/15/2031

    1,384  
    

 

 

 
       29,746  
    

 

 

 
  

Utility — 0.8%

 

  

Utility Debt Securitization Authority,

 
  4,000     

Series TE, Rev., 5.00%, 12/15/2028

    4,541  
  4,250     

Series TE, Rev., 5.00%, 12/15/2041

    4,727  
    

 

 

 
       9,268  
    

 

 

 
  

Water & Sewer — 2.8%

 

  16,335     

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2010, Series FF, Rev., 5.00%, 06/15/2024

    17,359  
  3,000     

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2015, Series FF, Rev., 5.00%, 06/15/2031

    3,453  
  

New York State Environmental Facilities Corp., State Clean Water & Drinking Water Revolving Funds, New York City Municipal Water Finance Authority Projects — Second Resolution,

 
  2,750     

Series A, Rev., 5.00%, 06/15/2026

    3,263  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Water & Sewer — continued

 

  3,500     

Series A, Rev., 5.00%, 06/15/2027

    4,198  
  3,000     

Series A, Rev., 5.00%, 06/15/2028

    3,584  
    

 

 

 
       31,857  
    

 

 

 
  

Total New York

    249,540  
    

 

 

 
  

North Carolina — 0.6%

 

  

Prerefunded — 0.5%

 

  5,950     

Wake County, Hammond Road Detention Center, Limited Obligation, Rev., 5.00%, 06/01/2019 (p)

    6,150  
    

 

 

 
  

Transportation — 0.1%

 

  700     

North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 01/01/2029

    803  
    

 

 

 
  

Total North Carolina

    6,953  
    

 

 

 
  

Ohio — 1.1%

 

  

General Obligation — 0.1%

 

  1,000     

City of Columbus, Various Purpose, Series 2017-1, GO, 5.00%, 04/01/2028

    1,195  
    

 

 

 
  

Other Revenue — 0.2%

 

  2,235     

Ohio State Building Authority, State Facilities, Adult Correctional Building Fund Projects, Series B, Rev., 5.00%, 10/01/2022

    2,330  
    

 

 

 
  

Prerefunded — 0.5%

 

  4,750     

City of Columbus, Series 1, GO, 5.00%, 07/01/2023 (p)

    5,380  
    

 

 

 
  

Transportation — 0.1%

 

  1,020     

State of Ohio, Capital Facilities Lease Appropriation, Series A, Rev., 5.00%, 04/01/2028

    1,215  
    

 

 

 
  

Water & Sewer — 0.2%

 

  

Northeast Ohio Regional Sewer District, Wastewater Improvement,

 
  555     

Rev., 5.00%, 11/15/2025

    640  
  1,500     

Rev., 5.00%, 11/15/2027

    1,725  
    

 

 

 
       2,365  
    

 

 

 
  

Total Ohio

    12,485  
    

 

 

 
  

Oklahoma — 1.0%

 

  

Education — 0.2%

 

  

Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project,

 
  250     

Series 2018, Rev., 5.00%, 10/01/2022

    276  
  175     

Series 2018, Rev., 5.00%, 10/01/2023

    196  
  500     

Series 2018, Rev., 5.00%, 10/01/2025

    571  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         19  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Education — continued

 

  500     

Series 2018, Rev., 5.00%, 10/01/2026

    576  
    

 

 

 
       1,619  
    

 

 

 
  

Transportation — 0.7%

 

  

Oklahoma Turnpike Authority, Turnpike System, Second Senior,

 
  3,000     

Series A, Rev., 5.00%, 01/01/2022

    3,219  
  2,000     

Series A, Rev., 5.00%, 01/01/2024

    2,143  
  2,000     

Series A, Rev., 5.00%, 01/01/2038

    2,240  
    

 

 

 
       7,602  
    

 

 

 
  

Water & Sewer — 0.1%

 

  1,380     

Oklahoma City Water Utilities Trust, Water & Sewer System, Rev., 5.00%, 07/01/2027

    1,550  
    

 

 

 
  

Total Oklahoma

    10,771  
    

 

 

 
  

Oregon — 1.2%

 

  

General Obligation — 0.2%

 

  

Linn & Benton Counties, School District No. 8J, Greater Albany,

 
  500     

GO, 5.00%, 06/15/2030

    589  
  1,180     

GO, 5.00%, 06/15/2031

    1,385  
  100     

Marion County, GO, AMBAC, 5.50%, 06/01/2023

    115  
  570     

Washington County, Hillsboro School District No. 1J, GO, 5.00%, 06/15/2027

    677  
    

 

 

 
       2,766  
    

 

 

 
  

Other Revenue — 0.2%

 

  1,500     

Oregon State Department of Administrative Services, Lottery, Series A, Rev., 5.00%, 04/01/2027

    1,682  
    

 

 

 
  

Prerefunded — 0.6%

 

  6,965     

Oregon State Department of Administrative Services, Series A, COP, 5.00%, 05/01/2019 (p)

    7,183  
    

 

 

 
  

Water & Sewer — 0.2%

 

  2,180     

City of Portland, Sewer System, Second Lien, Series B, Rev., 4.00%, 10/01/2036

    2,239  
    

 

 

 
  

Total Oregon

    13,870  
    

 

 

 
  

Pennsylvania — 1.3%

 

  

General Obligation — 0.4%

 

  4,195     

Commonwealth of Pennsylvania, Third Series, GO, 5.38%, 07/01/2021

    4,583  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Hospital — 0.4%

 

  

Berks County Pennsylvania, IDA, Health System, Tower Health Project,

 
  350     

Rev., 5.00%, 11/01/2027

    403  
  450     

Rev., 5.00%, 11/01/2028

    516  
  150     

Rev., 5.00%, 11/01/2029

    171  
  150     

Rev., 5.00%, 11/01/2030

    171  
  3,000     

Sayre Health Care Facilities Authority, Guthrie Health Issue, Rev., (ICE LIBOR USD 3 Month + 0.78%), 2.12%, 12/01/2024 (aa)

    2,911  
    

 

 

 
       4,172  
    

 

 

 
  

Other Revenue — 0.3%

 

  

Commonwealth Financing Authority, Tobacco Master Settlement Payment,

 
  500     

Series 2018, Rev., 5.00%, 06/01/2024

    557  
  630     

Series 2018, Rev., 5.00%, 06/01/2025

    707  
  380     

Series 2018, Rev., 5.00%, 06/01/2026

    429  
  500     

Series 2018, Rev., 5.00%, 06/01/2027

    567  
  880     

Series 2018, Rev., 5.00%, 06/01/2028

    1,001  
  380     

Series 2018, Rev., 5.00%, 06/01/2029

    430  
    

 

 

 
       3,691  
    

 

 

 
  

Prerefunded — 0.2%

 

  2,000     

Pennsylvania State University, Series A, Rev., 5.00%, 03/01/2019 (p)

    2,052  
    

 

 

 
  

Total Pennsylvania

    14,498  
    

 

 

 
  

Rhode Island — 0.2%

 

  

Education — 0.1%

 

  655     

Rhode Island Health & Educational Building Corp., Brown University, Series A, Rev., 5.00%, 09/01/2025

    716  
    

 

 

 
  

General Obligation — 0.1%

 

  1,000     

State of Rhode Island & Providence Plantations, Consolidated Capital Development Loan of 2014, Series A, GO, 5.00%, 11/01/2024

    1,133  
    

 

 

 
  

Total Rhode Island

    1,849  
    

 

 

 
  

South Carolina — 0.2%

 

  

General Obligation — 0.0% (g)

 

  150     

State of South Carolina, Series B, GO, 5.00%, 04/01/2024

    172  
    

 

 

 
  

Water & Sewer — 0.2%

 

  1,500     

City of Columbia, Rev., 5.00%, 02/01/2026

    1,647  
    

 

 

 
  

Total South Carolina

    1,819  
    

 

 

 
  

Tennessee — 0.9%

 

  

General Obligation — 0.7%

 

  1,525     

City of Bartlett, GO, 5.00%, 09/01/2023

    1,734  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

General Obligation — continued

 

  

City of Maryville,

 
  2,160     

Series A, GO, 5.00%, 06/01/2024

    2,477  
  2,075     

Series A, GO, 5.00%, 06/01/2025

    2,411  
  1,240     

Series A, GO, 5.00%, 06/01/2026

    1,456  
    

 

 

 
       8,078  
    

 

 

 
  

Utility — 0.2%

 

  1,230     

City of Chattanooga, Electric Revenue, Series A, Rev., 5.00%, 09/01/2023

    1,400  
    

 

 

 
  

Total Tennessee

    9,478  
    

 

 

 
  

Texas — 7.9%

 

  

Education — 0.0% (g)

 

  500     

University of Texas, Financing System, Series C, Rev., 5.00%, 08/15/2018

    505  
    

 

 

 
  

General Obligation — 2.9%

 

  

Carroll Independent School District,

 
  945     

Series C, GO, 5.00%, 02/15/2022

    966  
  325     

Series C, GO, 5.00%, 02/15/2023

    333  
  1,490     

City of El Paso, Refunding & Improvement, GO, 5.00%, 02/15/2032

    1,731  
  4,000     

City of Houston, Public Improvement, Series A, GO, 5.00%, 03/01/2030

    4,485  
  3,150     

City of Lubbock, GO, 5.00%, 02/15/2025

    3,573  
  680     

City of Pflugerville, Limited Tax, GO, 5.00%, 08/01/2023

    753  
  

City of San Antonio, General Improvement,

 
  700     

GO, 5.00%, 08/01/2023

    762  
  1,500     

GO, 5.00%, 08/01/2024

    1,633  
  2,000     

GO, 5.00%, 08/01/2024

    2,177  
  4,735     

GO, 5.00%, 08/01/2026

    5,151  
  2,735     

GO, 5.00%, 08/01/2027

    2,973  
  

Crandall Independent School District,

 
  1,150     

Series A, GO, PSF-GTD, Zero Coupon, 08/15/2025

    934  
  2,140     

Series A, GO, PSF-GTD, Zero Coupon, 08/15/2026

    1,673  
  2,145     

Series A, GO, PSF-GTD, Zero Coupon, 08/15/2027

    1,611  
  

San Jacinto Community College District,

 
  390     

GO, AMBAC, 5.00%, 02/15/2020

    391  
  2,600     

GO, 5.00%, 02/15/2040

    2,735  
    

 

 

 
       31,881  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Other Revenue — 0.8%

 

  

Trinity River Authority, Walker-Calloway System,

 
  125     

Rev., 5.00%, 02/01/2024

    141  
  265     

Rev., 5.00%, 02/01/2025

    303  
  275     

Rev., 5.00%, 02/01/2026

    317  
  290     

Rev., 5.00%, 02/01/2027

    337  
  305     

Rev., 5.00%, 02/01/2028

    358  
  320     

Rev., 5.00%, 02/01/2029

    374  
  340     

Rev., 5.00%, 02/01/2030

    396  
  355     

Rev., 5.00%, 02/01/2031

    411  
  5,000     

University of Texas System, Board of Regents, Financing System, Series B, Rev., 5.00%, 08/15/2026

    5,910  
    

 

 

 
       8,547  
    

 

 

 
  

Prerefunded — 1.1%

 

  1,965     

Dallas County Community College District, GO, 5.00%, 02/15/2019 (p)

    2,013  
  1,830     

Harlandale Independent School District, GO, AGC, 5.00%, 08/01/2019 (p)

    1,898  
  

Hays County, Pass-Through Toll,

 
  3,285     

GO, 5.00%, 02/15/2020 (p)

    3,458  
  5,000     

San Jacinto Community College District, GO, 5.00%, 02/15/2019 (p)

    5,121  
    

 

 

 
       12,490  
    

 

 

 
  

Transportation — 1.3%

 

  3,000     

City of Houston, Airport System, Sub Lien, Series B, Rev., 5.00%, 07/01/2026

    3,237  
  7,660     

Grand Parkway Transportation Corp., Series B, Rev., 5.25%, 10/01/2051

    8,552  
  

North Texas Tollway Authority System, First Tier,

 
  200     

Series A, Rev., 5.00%, 01/01/2026

    222  
  550     

Series A, Rev., 5.00%, 01/01/2027

    635  
  360     

Series A, Rev., 5.00%, 01/01/2030

    411  
  600     

Series A, Rev., 5.00%, 01/01/2035

    680  
  

North Texas Tollway Authority System, Second Tier,

 
  150     

Series B, Rev., 5.00%, 01/01/2026

    166  
  300     

Series B, Rev., 5.00%, 01/01/2027

    344  
  400     

Series B, Rev., 5.00%, 01/01/2030

    455  
    

 

 

 
       14,702  
    

 

 

 
  

Utility — 0.3%

 

  3,000     

City of San Antonio, Electric and Gas System, Rev., 5.00%, 02/01/2026

    3,513  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         21  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Water & Sewer — 1.5%

 

  5,550     

City of Houston, Water & Sewer System, Junior Lien, Series A, Rev., AGM, 5.75%, 12/01/2032 (p)

    7,442  
  1,250     

City of San Antonio, Water System Junior Lien, Series E, Rev., 5.00%, 05/15/2024

    1,406  
  

Coastal Water Authority, City of Houston Projects,

 
  100     

Rev., 4.00%, 12/15/2018

    101  
  3,315     

Rev., 5.00%, 12/15/2023

    3,549  
  3,820     

Texas Water Development Board, State Revolving Fund, Series A, Sub Series A-1, Rev., 5.00%, 07/15/2020

    3,960  
    

 

 

 
       16,458  
    

 

 

 
  

Total Texas

    88,096  
    

 

 

 
  

Utah — 1.2%

 

  

Prerefunded — 0.7%

 

  7,455     

Metropolitan Water District of Salt Lake & Sandy, Series A, Rev., 5.00%, 07/01/2019 (p)

    7,722  
  250     

Utah Infrastructure Agency Telecommunications and Franchise Tax, Rev., 4.00%, 10/15/2025 (p)

    277  
    

 

 

 
       7,999  
    

 

 

 
  

Transportation — 0.4%

 

  3,645     

Utah Transit Authority Sales Tax, Subordinate Sales Tax, Series A, Rev., 5.00%, 06/15/2025

    4,257  
    

 

 

 
  

Water & Sewer — 0.1%

 

  

Weber Basin Water Conservancy District,

 
  250     

Series B, Rev., 5.00%, 10/01/2030

    296  
  470     

Series B, Rev., 5.00%, 10/01/2031

    554  
    

 

 

 
       850  
    

 

 

 
  

Total Utah

    13,106  
    

 

 

 
  

Virginia — 1.7%

 

  

General Obligation — 0.5%

 

  5,000     

Commonwealth of Virginia, Series D, GO, 5.00%, 06/01/2020

    5,169  
    

 

 

 
  

Other Revenue — 0.0% (g)

 

  25     

Virginia Public Building Authority, Public Facilities, Series B-1, Rev., 5.00%, 08/01/2018 (p)

    25  
  405     

Virginia Resources Authority, Pooled Financing Program, Infrastructure, Rev., 5.00%, 11/01/2023

    424  
    

 

 

 
       449  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Prerefunded — 0.1%

 

  205     

City of Richmond, Public Improvement, Series D, GO, 5.00%, 07/15/2020 (p)

    218  
  560     

Virginia Resources Authority, Pooled Financing Program, Infrastructure, Rev., 5.00%, 11/01/2019 (p)

    585  
    

 

 

 
       803  
    

 

 

 
  

Transportation — 0.7%

 

  2,985     

Hampton Roads Transportation Accountability Commission Fund, Series A, Rev., 5.00%, 07/01/2029

    3,558  
  3,955     

Virginia Commonwealth Transportation Board, Capital Projects, Series A, Rev., 5.00%, 05/15/2033

    4,624  
    

 

 

 
       8,182  
    

 

 

 
  

Utility — 0.4%

 

  4,090     

City of Richmond, Public Utility Revenue, Series A, Rev., 5.00%, 01/15/2028

    4,771  
    

 

 

 
  

Total Virginia

    19,374  
    

 

 

 
  

Washington — 2.2%

 

  

General Obligation — 0.1%

 

  1,100     

Snohomish County, Edmonds School District No. 15, GO, 5.00%, 12/01/2033

    1,238  
  275     

Yakima County School District No. 7, GO, 5.50%, 12/01/2023

    291  
    

 

 

 
       1,529  
    

 

 

 
  

Hospital — 0.6%

 

  

Washington Health Care Facilities Authority,

 
  1,250     

Rev., 5.00%, 10/01/2025

    1,439  
  1,500     

Rev., 5.00%, 10/01/2026

    1,741  
  2,500     

Rev., 5.00%, 10/01/2027

    2,924  
    

 

 

 
       6,104  
    

 

 

 
  

Prerefunded — 0.9%

 

  10,000     

State of Washington, Various Purpose, Series 2010C, GO, 5.00%, 08/01/2019 (p)

    10,379  
    

 

 

 
  

Transportation — 0.5%

 

  

Port of Seattle, Intermediate Lien,

 
  3,750     

Series B, Rev., 5.00%, 03/01/2033

    4,194  
  1,000     

Series B, Rev., 5.00%, 03/01/2034

    1,115  
    

 

 

 
       5,309  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Water & Sewer — 0.1%

 

  1,325     

City of Seattle, Drainage & Wastewater Improvement, Rev., 5.00%, 09/01/2026

    1,456  
    

 

 

 
  

Total Washington

    24,777  
    

 

 

 
  

Total Municipal Bonds
(Cost $1,017,746)

    1,049,944  
    

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investment — 4.0%

 
  

Investment Company — 4.0%

 

  44,785     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $44,785)

    44,785  
    

 

 

 
  

Total Investments — 98.3%
(Cost $1,062,531)

    1,094,729  
  

Other Assets in Excess of
Liabilities — 1.7%

    19,424  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 1,114,153  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Over the Counter (“OTC”) Inflation-linked swap contracts outstanding as of April 30, 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        569  

CPI-U at termination

  2.00% at termination   Receive   BNP Paribas    11/07/2026    USD 9,000        317  

CPI-U at termination

  2.00% at termination   Receive   Deutsche Bank AG    11/07/2026    USD 25,000        867  

CPI-U at termination

  2.14% at termination   Receive   Barclays Bank plc    03/02/2020    USD 56,000        98  

CPI-U at termination

  2.05% at termination   Receive   Barclays Bank plc    11/17/2023    USD 25,000        450  

CPI-U at termination

  2.11% at termination   Receive   Citibank, NA    03/06/2020    USD 36,000        70  

CPI-U at termination

  2.24% at termination   Receive   Barclays Bank plc    02/06/2023    USD 99,600        373  

CPI-U at termination

  2.06% at termination   Receive   BNP Paribas    11/15/2023    USD 9,000        160  

CPI-U at termination

  2.06% at termination   Receive   Deutsche Bank AG    11/14/2022    USD 22,000        316  

CPI-U at termination

  2.06% at termination   Receive   Morgan Stanley    11/13/2022    USD 9,000        128  

CPI-U at termination

  2.18% at termination   Receive   Barclays Bank plc    10/16/2027    USD 34,000        790  

CPI-U at termination

  2.18% at termination   Receive   Barclays Bank plc    10/02/2027    USD 66,000        1,584  

CPI-U at termination

  2.31% at termination   Receive   Deutsche Bank AG    03/09/2026    USD 9,000        27  
              

 

 

 
                 5,749  
              

 

 

 

CPI-U at termination

  2.71% at termination   Receive   Deutsche Bank AG    02/25/2044    USD 5,000        (666

CPI-U at termination

  2.48% at termination   Receive   Deutsche Bank AG    02/21/2024    USD 40,000        (2,133

CPI-U at termination

  2.42% at termination   Receive   Deutsche Bank AG    12/15/2024    USD 54,000        (55

CPI-U at termination

  2.50% at termination   Receive   Deutsche Bank AG    10/10/2044    USD 8,000        (508

CPI-U at termination

  2.62% at termination   Receive   Citibank, NA    10/07/2024    USD 14,000        (154

CPI-U at termination

  2.35% at termination   Receive   BNP Paribas    07/06/2020    USD 25,000        (1,447

CPI-U at termination

  2.16% at termination   Receive   Royal Bank of Scotland    03/27/2020    USD 68,000        (15

CPI-U at termination

  2.42% at termination   Receive   Citibank, NA    06/30/2020    USD 50,000        (3,325

CPI-U at termination

  2.67% at termination   Receive   Morgan Stanley    09/12/2044    USD 3,000        (365

CPI-U at termination

  2.42% at termination   Receive   Citibank, NA    05/24/2020    USD 25,000        (1,711

CPI-U at termination

  2.70% at termination   Receive   Barclays Bank plc    09/03/2044    USD 5,000        (657

CPI-U at termination

  2.33% at termination   Receive   Citibank, NA    07/06/2020    USD 50,000        (2,777

CPI-U at termination

  2.41% at termination   Receive   Citibank, NA    07/01/2020    USD 50,000        (3,263

CPI-U at termination

  2.42% at termination   Receive   Royal Bank of Scotland    06/30/2020    USD 75,000        (5,017

CPI-U at termination

  2.43% at termination   Receive   Royal Bank of Scotland    06/28/2020    USD 25,000        (1,692

CPI-U at termination

  2.73% at termination   Receive   Royal Bank of Scotland    02/10/2044    USD 9,000        (1,274

CPI-U at termination

  2.44% at termination   Receive   Barclays Bank plc    05/15/2024    USD 18,000        (895

CPI-U at termination

  2.49% at termination   Receive   Citibank, NA    08/27/2024    USD 6,000        (339

CPI-U at termination

  2.48% at termination   Receive   Royal Bank of Scotland    03/17/2024    USD 7,000        (372

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         23  


Table of Contents

JPMorgan Tax Aware Real Return Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

FLOATING RATE INDEX (a)   FIXED RATE   PAY/RECEIVE
FLOATING RATE
    COUNTERPARTY      MATURITY
DATE
     NOTIONAL
AMOUNT
    

VALUE AND

UNREALIZED
APPRECIATION

(DEPRECIATION)
($)

 

CPI-U at termination

  2.48% at termination     Receive       Citibank, NA        09/2/2024      USD 15,000        (823

CPI-U at termination

  2.50% at termination     Receive       Morgan Stanley        02/4/2024      USD 34,000        (1,895

CPI-U at termination

  2.53% at termination     Receive       Morgan Stanley        01/27/2024      USD 30,000        (1,763
              

 

 

 
                 (31,146
              

 

 

 
                 (25,397
              

 

 

 

 

(a) Value of floating rate index at April 30, 2018 was 2.51%.

 

Summary of total swap contracts outstanding as of April 30, 2018:                  
      NET UPFRONT
PAYMENTS
(RECEIPTS)
($)
       VALUE
($)
 

Assets

 

OTC Inflation linked swaps outstanding

             —          5,749  
  

 

 

      

 

 

 

Total OTC swap contracts outstanding

              5,749  
  

 

 

      

 

 

 

Liabilities

       

OTC Inflation linked swaps outstanding

              (31,146
  

 

 

      

 

 

 

Total OTC swap contracts outstanding

              (31,146
  

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

J.P. Morgan Tax Aware Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

AGC  

—  Insured by Assured Guaranty Corp.

AGM  

—  Insured by Assured Guaranty Municipal Corp.

AMBAC  

—  Insured by American Municipal Bond Assurance Corp.

BHAC  

—  Insured by Berkshire Hathaway Assurance Corp.

COP  

—  Certificate of Participation

CPI-U  

—  Consumer Price Index for All Urban Consumers

CR  

—  Custodial Receipts

FGIC  

—  Insured by Financial Guaranty Insurance Co.

GAN  

—  Grant Anticipation Notes

GO  

—  General Obligation

GTD  

—  Guaranteed

ICE  

—  Intercontinental Exchange

IDA  

—  Industrial Development Authority

LIBOR  

—  London Interbank Offered Rate

MTA  

—  Metropolitan Transportation Authority

NATL  

—  Insured by National Public Finance Guarantee Corp.

PSF  

—  Permanent School Fund

Q-SBLF  

—  Qualified School Bond Loan Fund

RE  

—  Reinsured

Rev.  

—  Revenue

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

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

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(p)  

—  Security is prerefunded or escrowed to maturity.

(t)  

—  The date shown represents the earliest of the prerefunded date, next put date or final maturity date.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2018.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         25  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

        JPMorgan Tax Aware
Equity Fund
         
JPMorgan Tax Aware
Real Return Fund
 

ASSETS:

 

Investments in non-affiliates, at value

     $ 1,443,393      $ 1,049,944  

Investments in affiliates, at value

       10,378        44,785  

Restricted cash for OTC derivatives

              27,950  

Cash

              90  

Receivables:

       

Fund shares sold

       911        4,921  

Interest and dividends from non-affiliates

       696        13,292  

Dividends from affiliates

       21        51  

Outstanding OTC swap contracts, at value (net upfront payments of $0 and $0, respectively)

              5,749  
    

 

 

    

 

 

 

Total Assets

       1,455,399        1,146,782  
    

 

 

    

 

 

 

LIABILITIES:

       

Payables:

       

Due to custodian

       (a)        

Fund shares redeemed

       592        983  

Outstanding OTC swap contracts, at value (net upfront receipts of $0 and $0, respectively)

              31,146  

Accrued liabilities:

       

Investment advisory fees

       417        270  

Administration fees

       97        52  

Distribution fees

       11        24  

Service fees

       126        35  

Custodian and accounting fees

       10        16  

Collateral management fees

              6  

Trustees’ and Chief Compliance Officer’s fees

       (a)        

Other

       59        97  
    

 

 

    

 

 

 

Total Liabilities

       1,312        32,629  
    

 

 

    

 

 

 

Net Assets

     $ 1,454,087      $ 1,114,153  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan Tax Aware
Equity Fund
           
JPMorgan Tax Aware
Real Return Fund
 

NET ASSETS:

         

Paid-in-Capital

     $ 797,481        $ 1,199,839  

Accumulated undistributed (distributions in excess of) net investment income

       1,097          (36

Accumulated net realized gains (losses)

       13,332          (92,451

Net unrealized appreciation (depreciation)

       642,177          6,801  
    

 

 

      

 

 

 

Total Net Assets

     $ 1,454,087        $ 1,114,153  
    

 

 

      

 

 

 

Net Assets:

         

Class A

     $ 24,324        $ 46,929  

Class C

       9,639          22,854  

Class I

       1,420,124          365,977  

Class R6

                678,393  
    

 

 

      

 

 

 

Total

     $ 1,454,087        $ 1,114,153  
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

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

         

Class A

       740          5,023  

Class C

       296          2,453  

Class I

       42,958          39,094  

Class R6

                72,466  

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 32.89        $ 9.34  

Class C — Offering price per share (b)

       32.58          9.32  

Class I — Offering and redemption price per share

       33.06          9.36  

Class R6 — Offering and redemption price per share

                9.36  

Class A maximum sales charge

       5.25        3.75

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 34.71        $ 9.70  
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 801,216        $ 1,017,746  

Cost of investments in affiliates

       10,378          44,785  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         27  


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

        JPMorgan Tax Aware
Equity Fund
         
JPMorgan Tax Aware
Real Return Fund
 

INVESTMENT INCOME:

       

Interest income from non-affiliates

     $ (a)     $ 20,339  

Dividend income from non-affiliates

       9,706         

Dividend income from affiliates

       99        552  
    

 

 

    

 

 

 

Total investment income

       9,805        20,891  
    

 

 

    

 

 

 

EXPENSES:

       

Investment advisory fees

       2,356        2,292  

Administration fees

       546        532  

Distribution fees:

       

Class A

       29        62  

Class C

       35        91  

Service fees:

       

Class A

       29        62  

Class C

       12        30  

Class I

       1,642        418  

Custodian and accounting fees

       18        87  

Interest expense to affiliates

       (a)        

Professional fees

       28        41  

Collateral management fees

              19  

Trustees’ and Chief Compliance Officer’s fees

       14        15  

Printing and mailing costs

       25        19  

Registration and filing fees

       33        52  

Transfer agency fees (See Note 2.E.)

       9        6  

Other

       13        16  
    

 

 

    

 

 

 

Total expenses

       4,789        3,742  
    

 

 

    

 

 

 

Less fees waived

       (1,013      (865
    

 

 

    

 

 

 

Net expenses

       3,776        2,877  
    

 

 

    

 

 

 

Net investment income (loss)

       6,029        18,014  
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

       

Investments in non-affiliates

       17,900        3,881  

Swaps

              (22,599
    

 

 

    

 

 

 

Net realized gain (loss)

       17,900        (18,718
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

       

Investments in non-affiliates

       5,883        (38,121

Swaps

              41,157  
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       5,883        3,036  
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       23,783        (15,682
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 29,812      $ 2,332  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Tax Aware Equity Fund        JPMorgan Tax Aware Real Return Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                   

Net investment income (loss)

     $ 6,029        $ 11,776        $ 18,014        $ 39,807  

Net realized gain (loss)

       17,900          111,296          (18,718        (39,823

Change in net unrealized appreciation/depreciation

       5,883          153,147          3,036          15,843  
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from operations

       29,812          276,219          2,332          15,827  
    

 

 

      

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

                   

Class A

                   

From net investment income

       (55        (106        (645        (1,281

From net realized gains

       (1,456        (616                  

Class C

                   

From net investment income

       (7        (14        (254        (568

From net realized gains

       (610        (255                  

Class I

                   

From net investment income

       (5,663        (11,635        (4,827        (26,332

From net realized gains

       (84,733        (44,856                  

Class R6

                   

From net investment income

                         (12,631        (10,092

Select Class (a)

                   

From net investment income

                (548                 (1,354

From net realized gains

                (3,890                  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions to shareholders

       (92,524        (61,920        (18,357        (39,627
    

 

 

      

 

 

      

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

                   

Change in net assets resulting from capital transactions

       242,802          (122,107        (389,264        7,487  
    

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS:

                   

Change in net assets

       180,090          92,192          (405,289        (16,313

Beginning of period

       1,273,997          1,181,805          1,519,442          1,535,755  
    

 

 

      

 

 

      

 

 

      

 

 

 

End of period

     $ 1,454,087        $ 1,273,997        $ 1,114,153        $ 1,519,442  
    

 

 

      

 

 

      

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 1,097        $ 793        $ (36      $ 307  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Select Class Shares exchanged into Institutional Class Shares and the Institutional Class Shares were then renamed to Class I Shares on April 3, 2017. Additionally, on April 3, 2017, Select Class Shares were no longer offered.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         29  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Tax Aware Equity Fund        JPMorgan Tax Aware Real Return Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

                   

Class A

                   

Proceeds from shares issued

     $ 5,674        $ 8,130        $ 4,841        $ 29,920  

Distributions reinvested

       1,508          640          635          1,206  

Cost of shares redeemed

       (1,926        (5,759        (14,678        (20,872
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 5,256        $ 3,011        $ (9,202      $ 10,254  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C

                   

Proceeds from shares issued

     $ 1,406        $ 3,150        $ 502        $ 2,832  

Distributions reinvested

       617          269          194          431  

Cost of shares redeemed

       (936        (1,481        (4,095        (9,272
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 1,087        $ 1,938        $ (3,399      $ (6,009
    

 

 

      

 

 

      

 

 

      

 

 

 

Class I

                   

Proceeds from shares issued

     $ 361,747        $ 238,226        $ 90,513        $ 489,275  

Distributions reinvested

       89,425          7,214          3,659          4,103  

Cost of shares redeemed

       (214,713        (271,435        (47,376        (1,298,948
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 236,459        $ (25,995      $ 46,796        $ (805,570
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R6

                   

Proceeds from shares issued

     $        $        $ 477,315        $ 1,030,708  

Distributions reinvested

                         12,582          2,900  

Cost of shares redeemed

                         (913,356        (112,873
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $        $        $ (423,459      $ 920,735  
    

 

 

      

 

 

      

 

 

      

 

 

 

Select Class (a)

                   

Proceeds from shares issued

     $        $ 5,685        $        $ 32,949  

Distributions reinvested

                1,453                   606  

Cost of shares redeemed

                (108,199                 (145,478
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in net assets resulting from Select Class capital transactions

     $        $ (101,061      $        $ (111,923
    

 

 

      

 

 

      

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 242,802        $ (122,107      $ (389,264      $ 7,487  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Select Class Shares exchanged into Institutional Class Shares and the Institutional Class Shares were then renamed to Class I Shares on April 3, 2017. Additionally, on April 3, 2017, Select Class Shares were no longer offered.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan Tax Aware Equity Fund        JPMorgan Tax Aware Real Return Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
       Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       166          254          515          3,148  

Reinvested

       46          22          67          127  

Redeemed

       (57        (176        (1,557        (2,205
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class A Shares

       155          100          (975        1,070  
    

 

 

      

 

 

      

 

 

      

 

 

 

Class C

                   

Issued

       41          102          53          299  

Reinvested

       19          9          21          46  

Redeemed

       (28        (47        (436        (981
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class C Shares

       32          64          (362        (636
    

 

 

      

 

 

      

 

 

      

 

 

 

Class I

                   

Issued

       10,572          7,540          9,601          51,422  

Reinvested

       2,687          239          389          432  

Redeemed

       (6,307        (8,695        (5,019        (136,860
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class I Shares

       6,952          (916        4,971          (85,006
    

 

 

      

 

 

      

 

 

      

 

 

 

Class R6

                   

Issued

                         50,542          108,487  

Reinvested

                         1,338          305  

Redeemed

                         (96,859        (11,943
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Class R6 Shares

                         (44,979        96,849  
    

 

 

      

 

 

      

 

 

      

 

 

 

Select Class (a)

                   

Issued

                189                   3,465  

Reinvested

                49                   64  

Redeemed

                (3,474                 (15,291
    

 

 

      

 

 

      

 

 

      

 

 

 

Change in Select Class Shares

                (3,236                 (11,762
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All remaining Select Class Shares exchanged into Institutional Class Shares and the Institutional Class Shares were then renamed to Class I Shares on April 3, 2017. Additionally, on April 3, 2017, Select Class Shares were no longer offered.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         31  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
     Net
realized
gain
     Total
distributions
 

JPMorgan Tax Aware Equity Fund

                            

Class A

                            

Six Months Ended April 30, 2018 (Unaudited)

     $ 34.41        $ 0.08      $ 0.84        $ 0.92        $ (0.08    $ (2.36    $ (2.44

Year Ended October 31, 2017

       28.82          0.17        6.87          7.04          (0.19      (1.26      (1.45

Year Ended October 31, 2016

       29.60          0.20        0.47          0.67          (0.22      (1.23      (1.45

Year Ended October 31, 2015

       29.01          0.20        1.41          1.61          (0.21      (0.81      (1.02

Year Ended October 31, 2014

       24.87          0.19        4.15          4.34          (0.20             (0.20

Year Ended October 31, 2013

       19.60          0.23 (f)       5.33          5.56          (0.29             (0.29

Class C

                            

Six Months Ended April 30, 2018 (Unaudited)

       34.13          (g)       0.83          0.83          (0.02      (2.36      (2.38

Year Ended October 31, 2017

       28.62          0.01        6.83          6.84          (0.07      (1.26      (1.33

Year Ended October 31, 2016

       29.43          0.06        0.46          0.52          (0.10      (1.23      (1.33

Year Ended October 31, 2015

       28.88          0.05        1.40          1.45          (0.09      (0.81      (0.90

Year Ended October 31, 2014

       24.78          0.06        4.12          4.18          (0.08             (0.08

Year Ended October 31, 2013

       19.54          0.12 (f)       5.32          5.44          (0.20             (0.20

Class I

                            

Six Months Ended April 30, 2018 (Unaudited)

       34.57          0.15        0.85          1.00          (0.15      (2.36      (2.51

Year Ended October 31, 2017

       28.94          0.31        6.91          7.22          (0.33      (1.26      (1.59

Year Ended October 31, 2016

       29.70          0.34        0.46          0.80          (0.33      (1.23      (1.56

Year Ended October 31, 2015

       29.10          0.34        1.39          1.73          (0.32      (0.81      (1.13

Year Ended October 31, 2014

       24.92          0.30        4.18          4.48          (0.30             (0.30

Year Ended October 31, 2013

       19.63          0.34 (f)       5.32          5.66          (0.37             (0.37

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.20, $0.09 and $0.31 for Class A, Class C and Class I Shares, respectively, and the net investment income (loss) ratio would have been 0.88%, 0.41% and 1.41% for Class A, Class C and Class I Shares, respectively.
(g) Amount rounds to less than $0.005.
(h) Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
    Net
investment
income
(loss)
        
Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (c)
 
           
           
$ 32.89       2.65   $ 24,324       0.96     0.49     0.96     17
  34.41       25.25       20,140       0.99       0.53       0.99       28  
  28.82       2.47       13,971       1.03       0.71       1.03       41  
  29.60       5.71       12,164       0.99       0.70       0.99       59  
  29.01       17.50       10,667       0.96       0.71       0.96       59  
  24.87       28.65       7,944       0.96       1.03 (f)      0.96       67  
           
  32.58       2.40       9,639       1.45       0.00 (h)      1.46       17  
  34.13       24.65       8,988       1.48       0.04       1.48       28  
  28.62       1.95       5,729       1.52       0.21       1.52       41  
  29.43       5.18       4,680       1.50       0.16       1.50       59  
  28.88       16.92       2,700       1.46       0.21       1.46       59  
  24.78       28.03       1,950       1.46       0.56 (f)      1.46       67  
           
  33.06       2.87       1,420,124       0.55       0.91       0.70       17  
  34.57       25.82       1,244,869       0.55       0.99       0.65       28  
  28.94       2.94       1,068,546       0.55       1.19       0.56       41  
  29.70       6.16       1,265,581       0.55       1.16       0.55       59  
  29.10       18.04       1,293,555       0.55       1.10       0.56       59  
  24.92       29.13       120,302       0.55       1.56 (f)      0.56       67  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         33  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

       Per share operating performance  
                Investment operations      Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
     Net
investment
income
 

JPMorgan Tax Aware Real Return Fund

                    

Class A

                    

Six Months Ended April 30, 2018 (Unaudited)

     $ 9.46        $ 0.11 (e)     $ (0.11      $ (f)     $ (0.12

Year Ended October 31, 2017

       9.59          0.23 (e)       (0.13        0.10        (0.23

Year Ended October 31, 2016

       9.49          0.24 (e)       0.10          0.34        (0.24

Year Ended October 31, 2015

       10.01          0.25 (e)       (0.51        (0.26      (0.26

Year Ended October 31, 2014

       10.06          0.26 (e)       (0.04        0.22        (0.27

Year Ended October 31, 2013

       10.51          0.25        (0.48        (0.23      (0.22

Class C

                    

Six Months Ended April 30, 2018 (Unaudited)

       9.43          0.09 (e)       (0.10        (0.01      (0.10

Year Ended October 31, 2017

       9.57          0.19 (e)       (0.14        0.05        (0.19

Year Ended October 31, 2016

       9.47          0.18 (e)       0.10          0.28        (0.18

Year Ended October 31, 2015

       9.98          0.19 (e)       (0.50        (0.31      (0.20

Year Ended October 31, 2014

       10.03          0.19 (e)       (0.04        0.15        (0.20

Year Ended October 31, 2013

       10.48          0.17        (0.47        (0.30      (0.15

Class I

                    

Six Months Ended April 30, 2018 (Unaudited)

       9.48          0.13 (e)       (0.12        0.01        (0.13

Year Ended October 31, 2017

       9.61          0.26 (e)       (0.13        0.13        (0.26

Year Ended October 31, 2016

       9.51          0.26 (e)       0.11          0.37        (0.27

Year Ended October 31, 2015

       10.03          0.27 (e)       (0.50        (0.23      (0.29

Year Ended October 31, 2014

       10.08          0.29 (e)       (0.05        0.24        (0.29

Year Ended October 31, 2013

       10.53          0.27        (0.48        (0.21      (0.24

Class R6

                    

Six Months Ended April 30, 2018 (Unaudited)

       9.48          0.13 (e)       (0.11        0.02        (0.14

Year Ended October 31, 2017

       9.61          0.26 (e)       (0.12        0.14        (0.27

Year Ended October 31, 2016

       9.51          0.27 (e)       0.11          0.38        (0.28

Year Ended October 31, 2015

       10.03          0.28 (e)       (0.50        (0.22      (0.30

Year Ended October 31, 2014

       10.08          0.30 (e)       (0.05        0.25        (0.30

August 16, 2013 (g) through October 31, 2013

       9.92          0.05        0.18          0.23        (0.07

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Calculated based upon average shares outstanding.
(f) Amount rounds to less than $0.005.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
    Net
investment
income
(loss)
        
Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)
 
           
           
$ 9.34       0.02   $ 46,929       0.73     2.46     0.97     25
  9.46       1.12       56,720       0.73       2.47       0.97       20  
  9.59       3.64       47,268       0.75       2.50       0.98       7  
  9.49       (2.59     56,660       0.75       2.58       0.97       18  
  10.01       2.15       95,153       0.75       2.58       0.97       11  
  10.06       (2.22     153,819       0.75       2.31       0.97       16  
           
  9.32       (0.12     22,854       1.23       1.96       1.47       25  
  9.43       0.50       26,545       1.23       1.98       1.49       20  
  9.57       2.98       33,016       1.40       1.85       1.50       7  
  9.47       (3.16     42,843       1.40       1.93       1.49       18  
  9.98       1.48       59,850       1.40       1.93       1.46       11  
  10.03       (2.85     83,639       1.40       1.67       1.47       16  
           
  9.36       0.15       365,977       0.48       2.71       0.72       25  
  9.48       1.35       323,320       0.48       2.74       0.65       20  
  9.61       3.89       1,144,534       0.50       2.75       0.57       7  
  9.51       (2.33     1,302,381       0.50       2.83       0.56       18  
  10.03       2.41       1,682,468       0.50       2.83       0.56       11  
  10.08       (1.97     960,451       0.50       2.57       0.57       16  
           
  9.36       0.20       678,393       0.39       2.80       0.47       25  
  9.48       1.47       1,112,857       0.38       2.75       0.47       20  
  9.61       3.99       197,981       0.40       2.84       0.46       7  
  9.51       (2.24     183,464       0.40       2.93       0.45       18  
  10.03       2.52       253,993       0.40       2.94       0.46       11  
  10.08       2.33       102,671       0.38       2.69       0.47       16  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         35  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

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

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Tax Aware Equity Fund    Class A, Class C and Class I    Diversified
JPMorgan Tax Aware Real Return Fund    Class A, Class C, Class I and Class R6    Diversified

The investment objective of JPMorgan Tax Aware Equity Fund (“Tax Aware Equity Fund) is to seek to provide high after-tax total return from a portfolio of selected equity securities.

The investment objective of JPMorgan Tax Aware Real Return Fund (“Tax Aware Real Return Fund”) is to seek to maximize after-tax inflation protected return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

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

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Swaps are valued utilizing market quotations from approved Pricing Services.

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

 

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

 

 

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

 

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

 

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

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

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

Tax Aware Equity Fund

 

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

Total Investments in Securities (a)

     $ 1,453,771        $        $        $ 1,453,771  
    

 

 

      

 

 

      

 

 

      

 

 

 
Tax Aware Real Return Fund  
        Level 1
Quoted prices
       Level 2
Other significant
observable inputs
       Level 3
Significant
unobservable inputs
       Total  

Total Investments in Securities (b)

     $ 44,785        $ 1,049,944        $        $ 1,094,729  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

 

Swaps (c)

     $        $ 5,749        $        $ 5,749  
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

 

Swaps (c)

     $        $ (31,146      $        $ (31,146
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.
(b) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and as an investment of cash collateral for swaps. Please refer to the SOIs for state specifics of portfolio holdings.
(c) 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 six months ended April 30, 2018.

B. Swaps — Tax Aware Real Return Fund engaged in inflation-linked swaps to provide inflation protection within its portfolio. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund (See Note 3.F.), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         37  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

provides collateral management services to the Fund (See Note 3.G). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below. Tax Aware Real Return Fund’s swap contracts at net value and collateral posted or received by the counterparty as of April 30, 2018 are as follows (amounts in thousands):

 

Fund Counterparty            Value of derivative contracts        Collateral
amount
 

BNP Paribas

   Collateral Posted      $ (970      $ 1,030  

Citibank, N.A.

          (12,322        12,090  

Deutsche Bank AG

          (2,152        2,540  

Morgan Stanley

          (3,895        3,920  

NatWest Markets

          (8,370        8,370  

Barclays Bank plc

   Collateral Received        2,312          (2,500

Inflation-Linked Swaps

Tax Aware Real Return 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.

The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.

Tax Aware Real Return Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

The Fund’s swap contracts are subject to master netting arrangements.

The table below discloses the volume of the Fund’s swap activity during the six months ended April 30, 2018 (amounts in thousands):

 

Interest Rate-Related Swaps (Inflation-Linked Swaps)    Tax Aware
Real Return Fund
 

Average Notional Balance — Pays Fixed Rate

   $ 1,160,936  

Ending Notional Balance — Pays Fixed Rate

     1,040,600  

C. Summary of Derivatives Information

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of April 30, 2018 (amounts in thousands):

Tax Aware Real Return Fund

 

Counterparty      Gross Amount of
Derivative Assets
Subject to  Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities
(a)
       Derivatives
Available
for offset
       Collateral
Received 
(b)
       Net Amount Due
From Counterparty
(Not less than zero)
 

Barclays Bank plc

     $ 3,864        $ (1,552      $ (2,312      $  

BNP Paribas

       477          (477                  

Citibank, N.A.

       70          (70                  

Deutsche Bank AG

       1,210          (1,210                  

Morgan Stanley

       128          (128                  
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 5,749        $ (3,437      $ (2,312      $  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
38       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


Table of Contents
Counterparty      Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities
(a)
       Derivatives
Available
for offset
       Collateral
Posted 
(b)
       Net Amount Due
From Counterparty
(Not less than zero)
 

Barclays Bank plc

     $ 1,552        $ (1,552      $        $  

BNP Paribas

       1,447          (477        (970         

Citibank, N.A.

       12,392          (70        (12,090        232  

Deutsche Bank AG

       3,362          (1,210        (2,152         

Morgan Stanley

       4,023          (128        (3,895         

NatWest Markets

       8,370                   (8,370         
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 31,146        $ (3,437      $ (27,477      $ 232  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.
(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.B. for actual swap collateral received or posted.

The Fund’s derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.

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

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency and sub-transfer agency fees charged to each class of the Funds for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

        Class A        Class C      Class I        Class R6      Total  

Tax Aware Equity Fund

                    

Transfer agency fees

     $ 1        $ (a)     $ 8          n/a      $ 9  

Tax Aware Real Return Fund

                    

Transfer agency fees

       1          (a)       5        $ (a)       6  

 

(a) Amount rounds to less than 500.

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

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

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         39  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

3. Fees and Other Transactions with Affiliates

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

 

Tax Aware Equity Fund

       0.35

Tax Aware Real Return Fund

       0.35  

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of each Fund’s shares. The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C  

Tax Aware Equity Fund

       0.25        0.75

Tax Aware Real Return Fund

       0.25          0.75  

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Tax Aware Equity Fund

     $ 14        $  

Tax Aware Real Return Fund

       (a)          

 

(a) Amount rounds to less than 500.

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

 

        Class A        Class C        Class I  

Tax Aware Equity Fund

       0.25        0.25        0.25

Tax Aware Real Return Fund

       0.25          0.25          0.25  

 

(a) 

Amount rounds to less than 500.

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

JPMDS waived service fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

 

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

 

        Class A        Class C        Class I        Class R6  

Tax Aware Equity Fund

       1.05        1.55        0.55        n/a  

Tax Aware Real Return Fund

       0.75          1.25          0.50          0.40

The expense limitation agreements were in effect for the six months ended April 30, 2018 and are in place until at least February 28, 2019.

For the six months ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers  
        Investment
Advisory Fees
       Administration
Fees
       Service
Fees
       Total  

Tax Aware Equity Fund

     $        $        $ 999        $ 999  

Tax Aware Real Return Fund

       272          182          312          766  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund.

The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2018 were as follows (amounts in thousands):

 

Tax Aware Equity Fund

   $ 14  

Tax Aware Real Return Fund

     99  

G. Collateral Management Fees — JPMCB provides derivatives collateral management services for Tax Aware Real Return Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statements of Operations.

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

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

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

During the six months ended April 30, 2018, the Tax Aware Real Return Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the six months ended April 30, 2018, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 

Tax Aware Equity Fund

     $ 388,389        $ 230,838  

Tax Aware Real Return Fund

       305,100          651,476  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         41  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Tax Aware Equity Fund

     $ 811,594        $ 651,233        $ 9,056        $ 642,177  

Tax Aware Real Return Fund

       1,062,531          39,596          32,795          6,801  

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At October 31, 2017, the following Fund had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

        2018        2019        Total  

Tax Aware Real Return Fund

     $ 2,850        $ 124        $ 2,974  

At October 31, 2017, the following Fund had post-enactment net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term        Long-Term  

Tax Aware Real Return Fund

   $ 68,730        $ 2,030  

During the year ended October 31, 2017, the following Fund had expired capital loss carryforwards as follows (amounts in thousands):

 

          

Tax Aware Real Return Fund

   $ 26,211  

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred

 

 
42       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


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on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, their agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, the Funds had omnibus accounts which owed more than 10% of the respective Fund’s outstanding shares as follows:

 

        Number of
Affiliated
Omnibus Accounts
       % of the Fund        Number of
Non-Affiliated
Omnibus Accounts
       % of the Fund  

Tax Aware Equity Fund

       1          69.9        1          18.8

Tax Aware Real Return Fund

       1          58.7                    

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

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

Tax Aware Real Return Fund invests primarily in a portfolio of municipal debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Funds may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

8. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

 

 
APRIL 30, 2018   J.P. MORGAN TAX AWARE FUNDS         43  


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Tax Aware Equity Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 1,026.50        $ 4.82          0.96

Hypothetical

       1,000.00          1,020.03          4.81          0.96  

Class C

                   

Actual

       1,000.00          1,024.00          7.28          1.45  

Hypothetical

       1,000.00          1,017.60          7.25          1.45  

Class I

                   

Actual

       1,000.00          1,028.70          2.77          0.55  

Hypothetical

       1,000.00          1,022.07          2.76          0.55  

Tax Aware Real Return Fund

                   

Class A

                   

Actual

       1,000.00          1,000.20          3.62          0.73  

Hypothetical

       1,000.00          1,021.17          3.66          0.73  

Class C

                   

Actual

       1,000.00          998.80          6.10          1.23  

Hypothetical

       1,000.00          1,018.70          6.16          1.23  

Class I

                   

Actual

       1,000.00          1,001.50          2.38          0.48  

Hypothetical

       1,000.00          1,022.41          2.41          0.48  

Class R6

                   

Actual

       1,000.00          1,002.00          1.94          0.39  

Hypothetical

       1,000.00          1,022.86          1.96          0.39  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
44       J.P. MORGAN TAX AWARE FUNDS   APRIL 30, 2018


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.   SAN-TA-418


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Semi-Annual Report

J.P. Morgan Region Fund

April 30, 2018 (Unaudited)

JPMorgan Intrepid European Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Fund Commentary        2  
Schedule of Portfolio Investments        5  
Financial Statements        8  
Financial Highlights        14  
Notes to Financial Statements        16  
Schedule of Shareholder Expenses        23  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         1  


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JPMorgan Intrepid European Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)* . . . . . . . . . . . . . . . . . . . . . . . . . . . . .      (1.01)%  
Morgan Stanley Capital International (“MSCI”) Europe Index (net of foreign withholding taxes)      2.47%  
Net Assets as of 4/30/2018 (In Thousands) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .    $ 924,392  

 

INVESTMENT OBJECTIVE**

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

HOW DID THE MARKET PERFORM?

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China led to investor uncertainty in the latter half of the reporting period.

In Europe, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

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

The Fund’s Class A Shares, without a sales charge, underperformed the MSCI Europe Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

The Fund’s security selection and overweight position in the semiconductors & semiconductor equipment sector and its security selection in the pharmaceuticals, biotechnology & life sciences sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection and underweight position in the food, beverage & tobacco sector

and its security selection in the software & services sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Evotec AG and RWE AG, and its underweight position in Royal Dutch Shell PLC. Shares of Evotec, a German drug development company that was not held in the Benchmark, fell late in the reporting period after rising strongly for most of 2017. Shares of RWE, a German electric and natural gas utility, fell amid Germany’s ongoing transition to less carbon-intensive electricity production. Shares of Royal Dutch Shell, a petroleum and natural gas producer, rose amid rising global oil prices during the reporting period.

Leading individual positive contributors to relative performance included the Fund’s overweight positions in Neste Corp., Fever-Tree Drinks PLC and UPM-Kymmene Oyj. Shares of Neste, a Finnish petroleum and renewable diesel producer, rose amid rising global oil prices. Shares of Fever-Tree Drinks, a U.K. provider of carbonated drink mixers, rose after the company reported strong growth in sales and earnings. Shares of UPM-Kymmene, a Finnish paper, pulp and lumber company, rose after the company unveiled plans to reduce operations in the U.S. and Germany.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed had these style characteristics. Portfolio positions were based on bottom-up security selection rather than top-down asset allocation decisions.

 

 

 
2       J.P. MORGAN REGION FUND  

APRIL 30, 2018


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TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Novartis AG (Registered) (Switzerland)      3.7
  2.      Neste OYJ (Finland)      2.6  
  3.      Allianz SE (Registered) (Germany)      2.6  
  4.      Repsol SA (Spain)      2.4  
  5.      BASF SE (Germany)      2.3  
  6.      Koninklijke DSM NV (Netherlands)      2.2  
  7.      Capgemini SE (France)      2.2  
  8.      Vinci SA (France)      2.2  
  9.      ING Groep NV (Netherlands)      2.2  
  10.      LVMH Moet Hennessy Louis Vuitton SE (France)      2.1  

PORTFOLIO COMPOSITION BY COUNTRY***

 
France      20.2
United Kingdom      19.6
Switzerland      15.1
Germany      10.5
Netherlands      7.6
Finland      5.9
Italy      4.5
Denmark      3.9
Sweden      3.1
Spain      2.4
Austria      1.9
Belgium      1.1
Norway      1.1
Others (each less than 1.0%)      1.1  
Short-Term Investment      2.0  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         3  


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JPMorgan Intrepid European Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   November 2, 1995                    

With Sales Charge**

          (6.21 )%        2.01 %        5.37 %        1.75

Without Sales Charge

          (1.01 )        7.67        6.52        2.30  

CLASS C SHARES

   November 1, 1998                    

With CDSC***

          (2.25        6.14          5.99          1.79  

Without CDSC

          (1.25 )        7.14        5.99        1.79  

CLASS I SHARES

   September 10, 2001        (0.89 )        7.95        6.82        2.58  

CLASS L SHARES

   September 10, 2001        (0.84 )        8.09        7.01        2.79  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Intrepid European Fund, the MSCI Europe Index (net of foreign withholding taxes) and the Lipper European Region Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI Europe Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident individual investors who do not benefit from double taxation treaties. The performance of the Lipper European Region Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI Europe Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure

the equity market performance of the developed markets in Europe. The Lipper European Region Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

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

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

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

 

 

 
4       J.P. MORGAN REGION FUND   APRIL 30, 2018


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JPMorgan Intrepid European Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 96.7%

 
  

Austria — 1.9%

 

  361     

Erste Group Bank AG (a)

    17,648  
    

 

 

 
  

Belgium — 1.1%

 

  120     

KBC Group NV

    10,390  
    

 

 

 
  

Denmark — 3.9%

 

  403     

Danske Bank A/S

    14,022  
  295     

Novo Nordisk A/S, Class B

    13,879  
  120     

Royal Unibrew A/S

    7,956  
    

 

 

 
       35,857  
    

 

 

 
  

Finland — 5.8%

 

  104     

Metso OYJ

    3,679  
  284     

Neste OYJ

    23,890  
  548     

Stora Enso OYJ, Class R

    10,816  
  428     

UPM-Kymmene OYJ

    15,264  
    

 

 

 
       53,649  
    

 

 

 
  

France — 20.0%

 

  140     

Airbus SE

    16,405  
  208     

BNP Paribas SA

    16,029  
  146     

Capgemini SE

    20,099  
  518     

Credit Agricole SA

    8,523  
  83     

Dassault Systemes SE

    10,694  
  400     

Engie SA

    7,024  
  141     

Faurecia SA

    11,517  
  34     

Kering SA

    19,440  
  56     

LVMH Moet Hennessy Louis Vuitton SE

    19,453  
  853     

Orange SA

    15,511  
  257     

Peugeot SA

    6,332  
  217     

TOTAL SA

    13,618  
  199     

Vinci SA

    19,914  
    

 

 

 
       184,559  
    

 

 

 
  

Germany — 10.4%

 

  91     

AIXTRON SE (a)

    1,292  
  100     

Allianz SE (Registered)

    23,709  
  201     

BASF SE

    20,943  
  78     

Covestro AG, Reg. S (e)

    7,050  
  292     

Evotec AG (a)

    4,706  
  54     

Hannover Rueck SE

    7,563  
  316     

Infineon Technologies AG

    8,089  
  219     

ProSiebenSat.1 Media SE

    7,945  
  108     

Wirecard AG

    14,563  
    

 

 

 
       95,860  
    

 

 

 
  

Israel — 0.5%

 

  255     

Plus500 Ltd.

    4,954  
    

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
  

Italy — 4.4%

 

  234     

Banca Generali SpA

    7,578  
  63     

Ferrari NV

    7,780  
  3,746     

Intesa Sanpaolo SpA

    14,249  
  503     

UniCredit SpA

    10,911  
    

 

 

 
       40,518  
    

 

 

 
  

Netherlands — 7.5%

 

  425     

ABN AMRO Group NV, Reg. S, CVA (e)

    13,178  
  84     

AMG Advanced Metallurgical Group NV

    3,932  
  63     

ASML Holding NV

    11,977  
  1,168     

ING Groep NV

    19,686  
  198     

Koninklijke DSM NV

    20,423  
    

 

 

 
       69,196  
    

 

 

 
  

Norway — 1.1%

 

  466     

Telenor ASA

    10,309  
    

 

 

 
  

Spain — 2.4%

 

  1,153     

Repsol SA

    22,007  
    

 

 

 
  

Sweden — 3.0%

 

  1,006     

Dometic Group AB (e)

    9,626  
  191     

Swedish Orphan Biovitrum AB (a)

    4,097  
  841     

Volvo AB, Class B

    14,260  
    

 

 

 
       27,983  
    

 

 

 
  

Switzerland — 14.9%

 

  8     

Georg Fischer AG (Registered)

    10,488  
  3,673     

Glencore plc (a)

    17,694  
  251     

Logitech International SA (Registered)

    9,263  
  433     

Novartis AG (Registered)

    33,364  
  20     

Partners Group Holding AG

    14,659  
  38     

Roche Holding AG

    8,394  
  33     

Swatch Group AG (The)

    15,958  
  162     

Swiss Re AG

    15,407  
  85     

VAT Group AG, Reg. S (a) (e)

    12,495  
    

 

 

 
       137,722  
    

 

 

 
  

United Kingdom — 19.3%

 

  533     

Anglo American plc

    12,547  
  363     

Ashtead Group plc

    10,087  
  971     

Barratt Developments plc

    7,449  
  220     

Bellway plc

    10,032  
  677     

Compass Group plc

    14,530  
  246     

Fevertree Drinks plc

    9,551  
  766     

Fiat Chrysler Automobiles NV (a)

    17,027  
  1,082     

International Consolidated Airlines Group SA

    9,334  
  12,381     

Lloyds Banking Group plc

    10,981  
  3,517     

Man Group plc

    8,735  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         5  


Table of Contents

JPMorgan Intrepid European Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

United Kingdom — continued

 

  394     

Persimmon plc

    14,710  
  338     

Rio Tinto plc

    18,400  
  724     

Rolls-Royce Holdings plc (a)

    8,362  
  3,253     

Taylor Wimpey plc

    8,568  
  5,555     

Tesco plc

    17,992  
    

 

 

 
       178,305  
    

 

 

 
  

United States — 0.5%

 

  85     

Shire plc

    4,502  
    

 

 

 
  

Total Common Stocks
(Cost $860,049)

    893,459  
    

 

 

 
 

Preferred Stock — 0.0% (g)

 
  

United Kingdom — 0.0% (g)

 

  51,406     

Rolls-Royce plc (Preference) (bb)
(Cost $71)

    70  
    

 

 

 
 

Short-Term Investment — 2.0%

 
  

Investment Company — 2.0%

 
  18,466     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l) (Cost $18,466)

    18,466  
    

 

 

 
  

Total Investments — 98.7%
(Cost $878,586)

    911,995  
  

Other Assets in Excess of
Liabilities — 1.3%

    12,397  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 924,392  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN REGION FUND   APRIL 30, 2018


Table of Contents

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     14.9

Oil, Gas & Consumable Fuels

     6.5

Pharmaceuticals

     6.1

Textiles, Apparel & Luxury Goods

     6.0

Metals & Mining

     5.8

Chemicals

     5.3

Insurance

     5.1

Machinery

     4.5

Household Durables

     4.5

IT Services

     3.8

Automobiles

     3.4

Capital Markets

     3.4

Paper & Forest Products

     2.9  

Diversified Telecommunication Services

     2.8

Aerospace & Defense

     2.7

Semiconductors & Semiconductor Equipment

     2.3

Auto Components

     2.3

Construction & Engineering

     2.2

Food & Staples Retailing

     2.0

Beverages

     1.9

Hotels, Restaurants & Leisure

     1.6

Software

     1.2

Trading Companies & Distributors

     1.1

Airlines

     1.0

Technology Hardware, Storage & Peripherals

     1.0

Others (each less than 1.0%)

     3.7  

Short-Term Investment

     2.0  

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:

 

CVA  

—  Dutch Certification

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.

(a)  

—  Non-income producing security.

(b)  

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

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(bb)  

—  Security has been valued using significant unobservable inputs.

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         7  


Table of Contents

STATEMENT OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

      JPMorgan
Intrepid
European
Fund
 

ASSETS:

 

Investments in non-affiliates, at value

   $ 893,529  

Investments in affiliates, at value

     18,466  

Cash

     100  

Foreign currency, at value

     620  

Receivables:

  

Due from custodian

     2,376  

Investment securities sold

     18,301  

Fund shares sold

     188  

Dividends from non-affiliates

     2,186  

Dividends from affiliates

     28  

Tax reclaims

     3,376  

Variation margin on futures contracts

     (a) 
  

 

 

 

Total Assets

     939,170  
  

 

 

 

LIABILITIES:

 

Payables:

  

Investment securities purchased

     13,586  

Fund shares redeemed

     196  

Accrued liabilities:

  

Investment advisory fees

     499  

Administration fees

     62  

Distribution fees

     61  

Service fees

     116  

Custodian and accounting fees

     56  

Trustees’ and Chief Compliance Officer’s fees

     (a) 

Other

     202  
  

 

 

 

Total Liabilities

     14,778  
  

 

 

 

Net Assets

   $ 924,392  
  

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN REGION FUND   APRIL 30, 2018


Table of Contents
        JPMorgan
Intrepid
European
Fund
 

NET ASSETS:

 

Paid-in-Capital

     $ 893,040  

Accumulated undistributed (distributions in excess of) net investment income

       7,142  

Accumulated net realized gains (losses)

       (9,268

Net unrealized appreciation (depreciation)

       33,478  
    

 

 

 

Total Net Assets

     $ 924,392  
    

 

 

 

Net Assets:

 

Class A

     $ 165,542  

Class C

       42,711  

Class I

       187,764  

Class L

       528,375  
    

 

 

 

Total

     $ 924,392  
    

 

 

 
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
 

Class A

       6,269  

Class C

       1,820  

Class I

       6,977  

Class L

       19,465  

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 26.40  

Class C — Offering price per share (b)

       23.46  

Class I — Offering and redemption price per share

       26.91  

Class L — Offering and redemption price per share

       27.14  

Class A maximum sales charge

       5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 27.86  
    

 

 

 

Cost of investments in non-affiliates

     $ 860,120  

Cost of investments in affiliates

       18,466  

Cost of foreign currency

       620  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         9  


Table of Contents

STATEMENT OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Intrepid
European
Fund
 

INVESTMENT INCOME:

 

Interest income from non-affiliates

     $ 4  

Interest income from affiliates

       (a) 

Dividend income from non-affiliates

       13,239  

Dividend income from affiliates

       159  

Foreign taxes withheld

       (1,432
    

 

 

 

Total investment income

       11,970  
    

 

 

 

EXPENSES:

 

Investment advisory fees

       3,120  

Administration fees

       390  

Distribution fees:

    

Class A

       209  

Class C

       164  

Service fees:

    

Class A

       209  

Class C

       55  

Class I

       236  

Class L

       280  

Custodian and accounting fees

       90  

Interest expense to affiliates

       3  

Professional fees

       60  

Trustees’ and Chief Compliance Officer’s fees

       14  

Printing and mailing costs

       37  

Registration and filing fees

       38  

Transfer agency fees (See Note 2.F)

       21  

Other

       11  
    

 

 

 

Total expenses

       4,937  
    

 

 

 

Less fees waived

       (132
    

 

 

 

Net expenses

       4,805  
    

 

 

 

Net investment income (loss)

       7,165  
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

 

Investments in non-affiliates

       51,235  

Futures contracts

       1,033  

Foreign currency transactions

       93  
    

 

 

 

Net realized gain (loss)

       52,361  
    

 

 

 

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

       (66,851

Futures contracts

       (96

Foreign currency translations

       (34
    

 

 

 

Change in net unrealized appreciation/depreciation

       (66,981
    

 

 

 

Net realized/unrealized gains (losses)

       (14,620
    

 

 

 

Change in net assets resulting from operations

     $ (7,455
    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN REGION FUND   APRIL 30, 2018


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Intrepid European Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

         

Net investment income (loss)

     $ 7,165        $ 15,911  

Net realized gain (loss)

       52,361          82,878  

Change in net unrealized appreciation/depreciation

       (66,981        95,771  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (7,455        194,560  
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

         

From net investment income

       (2,283        (2,962

Class C

         

From net investment income

       (435        (764

Class I

         

From net investment income

       (2,988        (2,896

Class L

         

From net investment income

       (9,949        (10,351
    

 

 

      

 

 

 

Total distributions to shareholders

       (15,655        (16,973
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

       (29,994        17,522  
    

 

 

      

 

 

 

NET ASSETS:

 

Change in net assets

       (53,104        195,109  

Beginning of period

       977,496          782,387  
    

 

 

      

 

 

 

End of period

     $ 924,392        $ 977,496  
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 7,142        $ 15,632  
    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         11  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid European Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 20,234        $ 39,901  

Distributions reinvested

       2,203          2,847  

Cost of shares redeemed

       (17,970        (72,459
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 4,467        $ (29,711
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 5,564        $ 10,881  

Distributions reinvested

       395          683  

Cost of shares redeemed

       (8,761        (24,752
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (2,802      $ (13,188
    

 

 

      

 

 

 

Class I

         

Proceeds from shares issued

     $ 33,332        $ 79,324  

Distributions reinvested

       2,739          1,243  

Cost of shares redeemed

       (30,719        (68,901
    

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 5,352        $ 11,666  
    

 

 

      

 

 

 

Class L

         

Proceeds from shares issued

     $ 28,828        $ 132,401  

Distributions reinvested

       8,412          9,412  

Cost of shares redeemed

       (74,251        (93,058
    

 

 

      

 

 

 

Change in net assets resulting from Class L capital transactions

     $ (37,011      $ 48,755  
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ (29,994      $ 17,522  
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

 

Class A

 

Issued

       754          1,592  

Reinvested

       83          130  

Redeemed

       (670        (3,039
    

 

 

      

 

 

 

Change in Class A Shares

       167          (1,317
    

 

 

      

 

 

 

Class C

 

Issued

       231          489  

Reinvested

       17          35  

Redeemed

       (370        (1,152
    

 

 

      

 

 

 

Change in Class C Shares

       (122        (628
    

 

 

      

 

 

 

Class I

 

Issued

       1,199          3,145  

Reinvested

       102          56  

Redeemed

       (1,124        (2,885
    

 

 

      

 

 

 

Change in Class I Shares

       177          316  
    

 

 

      

 

 

 

Class L

 

Issued

       1,048          5,289  

Reinvested

       310          421  

Redeemed

       (2,651        (3,725
    

 

 

      

 

 

 

Change in Class L Shares

       (1,293        1,985  
    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN REGION FUND   APRIL 30, 2018


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         13  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
       Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan Intrepid European Fund

                        

Class A

                        

Six Months Ended April 30, 2018 (Unaudited)

     $ 27.04        $ 0.17        $ (0.44      $ (0.27      $ (0.37

Year Ended October 31, 2017

       21.94          0.37          5.15          5.52          (0.42

Year Ended October 31, 2016

       24.41          0.37          (2.55        (2.18        (0.29

Year Ended October 31, 2015

       24.54          0.36          0.32          0.68          (0.81

Year Ended October 31, 2014

       24.79          0.66          (0.90        (0.24        (0.01

Year Ended October 31, 2013

       17.89          0.27          6.87          7.14          (0.24

Class C

                        

Six Months Ended April 30, 2018 (Unaudited)

       24.00          0.09          (0.39        (0.30        (0.24

Year Ended October 31, 2017

       19.52          0.23          4.58          4.81          (0.33

Year Ended October 31, 2016

       21.77          0.23          (2.27        (2.04        (0.21

Year Ended October 31, 2015

       21.99          0.21          0.29          0.50          (0.72

Year Ended October 31, 2014

       22.32          0.47          (0.79        (0.32        (0.01

Year Ended October 31, 2013

       16.11          0.18          6.16          6.34          (0.13

Class I

                        

Six Months Ended April 30, 2018 (Unaudited)

       27.60          0.21          (0.46        (0.25        (0.44

Year Ended October 31, 2017

       22.37          0.46          5.25          5.71          (0.48

Year Ended October 31, 2016

       24.83          0.44          (2.59        (2.15        (0.31

Year Ended October 31, 2015

       24.95          0.45          0.32          0.77          (0.89

Year Ended October 31, 2014

       25.18          0.71          (0.88        (0.17        (0.06

Year Ended October 31, 2013

       18.15          0.22          7.07          7.29          (0.26

Class L

                        

Six Months Ended April 30, 2018 (Unaudited)

       27.85          0.22          (0.45        (0.23        (0.48

Year Ended October 31, 2017

       22.61          0.52          5.27          5.79          (0.55

Year Ended October 31, 2016

       25.13          0.49          (2.60        (2.11        (0.41

Year Ended October 31, 2015

       25.23          0.54          0.28          0.82          (0.92

Year Ended October 31, 2014

       25.46          0.79          (0.93        (0.14        (0.09

Year Ended October 31, 2013

       18.35          0.22          7.20          7.42          (0.31

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN REGION FUND   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
        
Net assets,
end of
period
(000’s)
    Net
expenses (e)
    Net
investment
income
(loss)
    Expenses
without waivers
and reimbursements
    Portfolio
turnover
rate (c)
 
           
           
$ 26.40       (1.01 )%    $ 165,542       1.24     1.29     1.30     73
  27.04       25.65       165,020       1.36       1.52       1.36       189  
  21.94       (8.98     162,767       1.42       1.66       1.43       142  
  24.41       2.86       219,548       1.41       1.48       1.41       167  
  24.54       (0.95     192,865       1.30       2.55       1.31       197  
  24.79       40.30       98,202       1.47       1.30       1.76       253  
           
  23.46       (1.25     42,711       1.74       0.78       1.79       73  
  24.00       25.02       46,615       1.85       1.07       1.86       189  
  19.52       (9.42     50,152       1.91       1.16       1.92       142  
  21.77       2.37       75,145       1.91       0.98       1.91       167  
  21.99       (1.46     61,814       1.80       2.00       1.81       197  
  22.32       39.62       21,663       1.95       0.94       2.27       253  
           
  26.91       (0.89     187,764       0.99       1.56       1.04       73  
  27.60       26.06       187,678       1.06       1.85       1.07       189  
  22.37       (8.73     145,080       1.10       1.95       1.10       142  
  24.83       3.22       579,389       1.07       1.81       1.07       167  
  24.95       (0.68     409,675       1.05       2.69       1.06       197  
  25.18       40.63       328,979       1.18       0.94       1.33       253  
           
  27.14       (0.84     528,375       0.88       1.59       0.88       73  
  27.85       26.22       578,183       0.90       2.07       0.91       189  
  22.61       (8.48     424,388       0.90       2.16       0.90       142  
  25.13       3.36       194,930       0.90       2.16       0.91       167  
  25.23       (0.56     375,683       0.90       2.93       0.91       197  
  25.46       40.95       249,744       0.98       0.96       1.18       253  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Intrepid European Fund    Class A, Class C, Class I and Class L*    Diversified

 

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

The investment objective of the Fund is to seek total return from long-term capital growth. Total return consists of capital growth and current income.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class L Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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

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.

 

 
16       J.P. MORGAN REGION FUND   APRIL 30, 2018


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

 

 

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

 

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

 

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

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

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):

 

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

Investments in Securities

                   

Common Stocks

                   

Austria

     $        $ 17,648        $        $ 17,648  

Belgium

                10,390                   10,390  

Denmark

                35,857                   35,857  

Finland

                53,649                   53,649  

France

                184,559                   184,559  

Germany

                95,860                   95,860  

Israel

                4,954                   4,954  

Italy

                40,518                   40,518  

Netherlands

                69,196                   69,196  

Norway

                10,309                   10,309  

Spain

                22,007                   22,007  

Sweden

                27,983                   27,983  

Switzerland

                137,722                   137,722  

United Kingdom

                178,305                   178,305  

United States

                4,502                   4,502  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

                893,459                   893,459  
    

 

 

      

 

 

      

 

 

      

 

 

 

Preferred Stocks

                   

United Kingdom

                         70          70  

Short-Term Investment

 

Investment Company

       18,466                            18,466  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments in Securities

     $ 18,466        $ 893,459        $ 70        $ 911,995  
    

 

 

      

 

 

      

 

 

      

 

 

 

Transfers from level 1 to level 2 in the amount of approximately $52,062,000 are due to the non-application of the fair value factors to certain securities during the six months ended April 30, 2018.

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Fund.

As of April 30, 2018, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.

C. Futures Contracts — The Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index. The use of futures contracts exposes the Fund to equity price risk.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

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

The table below discloses the volume of the Fund’s futures contracts activity during the six months ended April 30, 2018 (amounts in thousands):

 

          

Futures Contracts:

  

Average Notional Balance Long

   $ 16,108 (a) 

 

(a) For the period November 1, 2017 through December 31, 2017.

As of April 30, 2018, the Fund did not hold open futures contracts.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain or loss on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.

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

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Fund for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

        Class A        Class C        Class I        Class L        Total  

Transfer agency fees

     $ 12        $ 2        $ 5        $ 2        $ 21  

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

 

 
18       J.P. MORGAN REGION FUND   APRIL 30, 2018


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H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

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

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.65% of the Fund’s average daily net assets.

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I and Class L Shares do not participate in the Distribution Plan. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

      Class A      Class C  
   0.25%        0.75

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

      Front-End
Sales Charge
       CDSC  
   $ 16        $  

D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class I        Class L  
       0.25        0.25        0.25        0.10

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

JPMDS waived service fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.

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

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         19  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

 

        Class A        Class C        Class I        Class L  
       1.24        1.74        0.99        1.00

The expense limitation agreements were in effect for the six months ended April 30, 2018. The expense limitation agreements for Class A, Class C and Class I are in place until at least October 31, 2019 and for Class L until at least February 28, 2019.

For the six months ended April 30, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows (amounts in thousands). None of these parties expect the Fund to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers  
        Service Fees  
     $ 105  

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund.

The amount of waivers resulting from investments in these money market funds for the six months ended April 30, 2018 was approximately $27,000.

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

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

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

The Fund may use related party broker-dealers. For the six months ended April 30, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 
     $ 678,543        $ 715,478  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 
     $ 878,586        $ 58,449        $ 25,040        $ 33,409  

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Fund after October 31, 2011, are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the

 

 
20       J.P. MORGAN REGION FUND   APRIL 30, 2018


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Fund were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of October 31, 2017, the Fund had post-enactment net capital loss carryforwards as follows (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term        Long-Term  
   $ 53,616        $ 5,930  

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Fund did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

 

      Number of
Affiliated Omnibus
Accounts
       % of the
Fund
 
     1          20.2

The J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:

 

      J.P. Morgan
Investor Funds
 
     33.4

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

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         21  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on the Fund. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of April 30, 2018, the Fund had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

      France        Germany        Switzerland        United
Kingdom
 
     20.2        10.5        15.1        19.6

As of April 30, 2018, substantially all of the Fund’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

A company of a specific country or region is one that is organized under the laws of, or has a principal office in that country or region; the principal securities market for which is that country or region; that derives at least 50% of its total revenues or profits from goods that are produced or sold, investments made, or services performed in that country or region; or at least 50% of the assets of which are located in that country or region.

Because the Fund may invest a significant portion of it’s assets in these markets, it’s subject to greater risks of adverse events that occur in those markets and may experience greater volatility than a Fund that is more broadly diversified geographically.

 

 
22       J.P. MORGAN REGION FUND   APRIL 30, 2018


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Intrepid European Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 989.90        $ 6.12          1.24

Hypothetical

       1,000.00          1,018.65          6.21          1.24  

Class C

                   

Actual

       1,000.00          987.50          8.57          1.74  

Hypothetical

       1,000.00          1,016.17          8.70          1.74  

Class I

                   

Actual

       1,000.00          991.10          4.89          0.99  

Hypothetical

       1,000.00          1,019.89          4.96          0.99  

Class L

                   

Actual

       1,000.00          991.60          4.35          0.88  

Hypothetical

       1,000.00          1,020.43          4.41          0.88  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
APRIL 30, 2018   J.P. MORGAN REGION FUND         23  


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.  

SAN-INTEQ-CO-418


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Semi-Annual Report

J.P. Morgan SMA Funds

April 30, 2018 (Unaudited)

JPMorgan International Value SMA Fund

JPMorgan Tax Aware Real Return SMA Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan International Value SMA Fund

       3  

JPMorgan Tax Aware Real Return SMA Fund

       6  
Schedules of Portfolio Investments        9  
Financial Statements        16  
Financial Highlights        20  
Notes to Financial Statements        24  
Schedule of Shareholder Expenses        34  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         1  


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J.P. Morgan Funds

MARKET OVERVIEW

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

For the six months ended April 30, 2018, the MSCI Europe Australasia and Far East Index (net of foreign withholding taxes) returned 3.41%, while the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index returned -1.16%.

 

 
2       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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JPMorgan International Value SMA Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

 

REPORTING PERIOD RETURN:

 

Fund1,*

     0.31%  

Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Value Index (net of foreign withholding taxes)

     3.41%  

Net Assets as of 4/30/2018 (In Thousands)

   $ 40,934  

 

INVESTMENT OBJECTIVE**

The JPMorgan International Value SMA Fund (the “Fund”) seeks to provide high total return from a portfolio of foreign company equity securities. The Fund was established to implement the International Value separately managed account strategy, and to hold common shares of companies that were deemed attractive by the Fund’s portfolio managers but were not accessible as American Depositary Receipts (ADRs).

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

The Fund’s shares underperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the six months ended April 30, 2018.

By sector, the Fund’s security selection in the basic industries sector and its underweight position in the energy sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the technology-software sector and its security selection and overweight position in the transportation sector were leading contributors to relative performance.

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

Leading individual detractors from relative performance included the Fund’s overweight positions in Outokumpu Oyj, Svenska Handelsbanken AB and Daimler AG. Shares of Outokumpu, a Finnish stainless steel producer, fell amid weak earnings and investor concerns about potential U.S. trade tariffs. Shares of Svenska Handelsbanken, a Swedish financial services and banking company, fell after the company reported weaker-than-expected operating profit for the first quarter of 2018. Shares of Daimler AG, a maker of cars, trucks and vans, fell amid investor uncertainty about potential U.S. import tariffs.

Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in Otsuka Corp., Deutsche Boerse AG and NGK Spark Plug Co. Shares of Otsuka, a Japanese pharmaceuticals and supplements maker, rose after the U.S. Food and Drug Administration approved the use of the company’s drug for kidney disease. Shares of Deutsche Boerse, a German operator financial products exchanges, rose after the company reported growth in revenue and earnings for the first quarter of 2018. Shares of NGK Spark Plug Co., a Japanese auto parts manufacturer, rose after the company reported growth in sales and earnings for its fiscal year ended March 31, 2018.

HOW WAS THE FUND POSITIONED?

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

The Fund is offered as a component of the JPMorgan International Value SMA Managed Account Strategy (“SMA Strategy”) to participants in separately managed account programs. As a result, the Fund’s holdings depend on whether a particular security or instrument can be purchased directly on behalf of the participants in the separately managed account programs investing in the SMA Strategy.

 

1   

The Fund was liquidated on June 8, 2018.

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

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         3  


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JPMorgan International Value SMA Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*  
  1.      Daimler AG (Registered) (Germany)      6.3
  2.      Mitsubishi Corp. (Japan)      6.3  
  3.      Renault SA (France)      5.9  
  4.      Erste Group Bank AG (Austria)      4.9  
  5.      Daikin Industries Ltd. (Japan)      4.9  
  6.      Standard Chartered plc (United Kingdom)      4.5  
  7.      NGK Spark Plug Co. Ltd. (Japan)      4.3  
  8.      Bankia SA (Spain)      3.8  
  9.      NN Group NV (Netherlands)      3.7  
  10.      Goodman Group (Australia)      3.7  

PORTFOLIO COMPOSITION BY COUNTRY*

 
Japan      47.5
Germany      14.1
United Kingdom      6.9
France      5.9
Austria      4.9
Spain      3.8
Netherlands      3.7
Australia      3.7
Sweden      3.6
Finland      3.1
South Korea      2.8

 

*   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

     INCEPTION DATE OF
CLASS
       6 MONTH*      1 YEAR      3 YEAR      5 YEAR      10 YEAR  

JPMorgan International Value SMA Fund

     August 17, 2007          5.38      18.53      7.99      5.46      3.10

 

*   Not annualized.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

The graph illustrates comparative performance for $10,000 invested in the JPMorgan International Value SMA Fund, the MSCI EAFE Value Index and the Lipper International Large-Cap Value Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Lipper International Large-Cap Value Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the MSCI EAFE Value Index does not reflect the deduction of expenses associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to nonresident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper International Large-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI EAFE Value Index

is a free float-adjusted market capitalization weighted index that is designed to measure the performance of value-oriented stocks in developed markets, excluding the U.S. and Canada. The Lipper International Large-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         5  


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JPMorgan Tax Aware Real Return SMA Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  

Fund *

     0.31%  

Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index

     (1.16)%  

Tax Aware Real Return Composite Benchmark**

     0.71%  

Net Assets as of 4/30/2018 (In Thousands)

     $9,617  

 

INVESTMENT OBJECTIVE***

The JPMorgan Tax Aware Real Return SMA Fund (the “Fund”) seeks to maximize after-tax inflation protected return.

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

The Fund’s shares had a positive absolute return and outperformed the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”) but underperformed the Composite Benchmark for the six months ended April 30, 2018.

The Fund’s hedge against inflation, which was implemented through the use of swaps contracts, made a positive contribution to absolute performance and performance relative to the Benchmark. During the reporting period, the two, five, ten and thirty year Barclays inflation swap indexes returned 1.05%, 1.88%, 2.66% and 5.84%, respectively. Swaps contract returns were pulled higher by the recovery in oil prices during the reporting period.

Relative to the Benchmark, the Fund’s underweight position in the general obligation bond sector and its overweight position in pre-refunded bonds were leading contributors to performance. The Fund’s underweight positions in both industrial development revenue/pollution control revenue bonds and hospital sector bonds detracted from relative performance. During the reporting period, lower quality bonds generally outperformed higher quality bonds and the Fund’s overweight position in bonds rated AA and higher and its underweight position in bonds rated A and BBB detracted from relative performance.

HOW WAS THE FUND POSITIONED?

Among the Fund’s tax-exempt fixed income investments, the Fund employed a bottom-up, security-selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk. The Fund maintained its bias to high quality debt securities, as the Fund’s portfolio managers preferred

higher quality issuances. The Fund’s portfolio managers also maintained an inflation-overlay hedging strategy, using zero coupon inflation-linked swaps to purchase protection against inflation along the yield curve.

During the reporting period, the Fund’s portfolio managers increased the hedge ratio to 98% from 94%.

INVESTMENT APPROACH

The Fund uses zero-coupon inflation-linked swaps (“inflation swaps”) in combination with tax-exempt municipal bonds to seek to replicate a portfolio of inflation protected securities. The Fund is designed to protect the total return generated by its tax-exempt fixed income holdings from inflation risk. The inflation swaps used by the Fund are based on cumulative percentage movements in the Consumer Price Index for All Urban Consumers (“CPI-U”). The inflation swaps are structured so that one counterparty agrees to pay the cumulative percentage change in the CPI-U over the duration of the swap. The other counterparty (the Fund) pays a compounded fixed rate (zero coupon inflation-swap rate), which is based on the “breakeven inflation rate,” calculated as the yield difference between a nominal U.S. Treasury security and a U.S. Treasury Inflation Protected Security (TIPS) of equal maturity.

The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the yield curve positioning of the underlying bonds is used as the general basis for the Fund’s inflation swap positioning. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that may result from macroeconomic or technical factors.

 

 

 
6       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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PORTFOLIO COMPOSITION****

 
Municipal Bonds      95.2
Short-Term Investment      4.8  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The return of the Fund’s Composite Benchmark is determined by adding the return of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
****   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         7  


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

    INCEPTION DATE OF
CLASS
     6 MONTH*     1 YEAR     3 YEAR     5 YEAR     10 YEAR  

JPMorgan Tax Aware Real Return SMA Fund

    May 31, 2007             

Before Taxes

       0.31     1.13     1.86     0.69     2.51

After Taxes on Distributions

       0.17       0.90       1.78       0.64       2.49  

After Taxes on Distributions and Sale of Fund Shares

       0.63       1.56       2.02       1.14       2.60  

 

*   Not annualized.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

The graph illustrates comparative performance for $10,000 invested in the JPMorgan Tax Aware Real Return SMA Fund, the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index, the Tax Aware Real Return Composite Benchmark and the Lipper Intermediate Municipal Debt Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Tax Aware Real Return Composite Benchmark does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Tax Aware Real Return Composite Benchmark is determined by

adding the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index and the Bloomberg Barclays Inflation Swap 5 Year Zero Coupon Index. The Lipper Intermediate Municipal Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

For some investors, income from municipal bonds may be subject to the Alternative Minimum Tax. Capital gains, if any, are federally taxable. Income may be subject to state and local taxes.

The Tax Aware strategy seeks to minimize shareholders’ tax liability in connection with the Fund’s distribution of realized capital gains. There can be no guarantee the strategy will minimize or eliminate tax liability.

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

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

 

 

 
8       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan International Value SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

SHARES     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 97.3%

 
 

Australia — 3.6%

 
  215    

Goodman Group

    1,463  
   

 

 

 
 

Austria — 4.8%

 

  40    

Erste Group Bank AG (a)

    1,967  
   

 

 

 
 

Finland — 3.0%

 

  188    

Outokumpu OYJ

    1,215  
   

 

 

 
 

France — 5.7%

 

  22    

Renault SA

    2,342  
   

 

 

 
 

Germany — 13.8%

 

  21    

Brenntag AG

    1,217  
  32    

Daimler AG (Registered)

    2,512  
  10    

Deutsche Boerse AG

    1,390  
  5    

HeidelbergCement AG

    516  
   

 

 

 
      5,635  
   

 

 

 
 

Japan — 46.2%

 
  17    

Daikin Industries Ltd.

    1,951  
  52    

DMG Mori Co. Ltd.

    977  
  34    

Japan Airlines Co. Ltd.

    1,354  
  29    

Mabuchi Motor Co. Ltd.

    1,432  
  49    

Marui Group Co. Ltd.

    1,017  
  91    

Mitsubishi Corp.

    2,498  
  49    

Mitsui Fudosan Co. Ltd.

    1,242  
  67    

NGK Spark Plug Co. Ltd.

    1,729  
  29    

Otsuka Corp.

    1,362  
  43    

Renesas Electronics Corp. (a)

    445  
  67    

Sumitomo Electric Industries Ltd.

    1,023  
  79    

T&D Holdings, Inc.

    1,338  
  75    

Tokyu Corp.

    1,262  
  50    

Yamato Holdings Co. Ltd.

    1,273  
   

 

 

 
      18,903  
   

 

 

 
 

Netherlands — 3.6%

 
  31    

NN Group NV

    1,475  
   

 

 

 
 

South Korea — 2.7%

 

  (h  

Samsung Electronics Co. Ltd. (bb)

    1,120  
   

 

 

 
 

Spain — 3.7%

 

  349    

Bankia SA

    1,533  
   

 

 

 
 

Sweden — 3.5%

 

  127    

Svenska Handelsbanken AB, Class A

    1,419  
   

 

 

 
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

United Kingdom — 6.7%

 

  124     

Barratt Developments plc

    949  
  171     

Standard Chartered plc

    1,800  
    

 

 

 
       2,749  
    

 

 

 
  

Total Common Stocks
(Cost $30,507)

    39,821  
    

 

 

 
  

Total Investments — 97.3%
(Cost $30,507)

    39,821  
  

Other Assets in Excess of
Liabilities — 2.7%

    1,113  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 40,934  
    

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     16.9

Automobiles

     12.2

Trading Companies & Distributors

     9.3

Insurance

     7.1

Auto Components

     6.9

Building Products

     4.9

Equity Real Estate Investment Trusts (REITs)

     3.7

Electrical Equipment

     3.6

Capital Markets

     3.5

IT Services

     3.4

Airlines

     3.4

Air Freight & Logistics

     3.2

Road & Rail

     3.2

Real Estate Management & Development

     3.1

Metals & Mining

     3.0

Technology Hardware, Storage & Peripherals

     2.8

Multiline Retail

     2.5

Machinery

     2.5

Household Durables

     2.4

Construction Materials

     1.3

Semiconductors & Semiconductor Equipment

     1.1
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         9  


Table of Contents

JPMorgan International Value SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

 

Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

 

EURO STOXX 50 Index        18          06/2018          EUR          753          8  
FTSE 100 Index        5          06/2018          GBP          513          7  
TOPIX Index        3          06/2018          JPY          486          4  
                        

 

 

 
                           19  
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — 90.9% (t)

 
  

Arizona — 1.8%

 
  

Water & Sewer — 1.8%

 
  150     

City of Tucson, Water System, Rev., 5.00%, 07/01/2023

    170  
    

 

 

 
  

California — 8.9%

 
  

Education — 1.1%

 
  75     

Golden West Schools Financing Authority, Series A, Rev., NATL-RE, 5.80%, 02/01/2020

    80  
  25     

Golden West Schools Financing Authority, Beverly Hills Unified School District, Rev., NATL-RE, 5.25%, 08/01/2023

    28  
    

 

 

 
       108  
    

 

 

 
  

General Obligation — 4.1%

 
  75     

Coast Community College District, Series A, GO, 4.00%, 08/01/2022

    81  
  100     

State of California, Various Purpose, GO, 5.00%, 08/01/2028

    119  
  165     

Tustin Unified School District, School Facilities Improvement District No. 2002-1, GO, 5.00%, 08/01/2031

    192  
    

 

 

 
       392  
    

 

 

 
  

Utility — 3.7%

 
  300     

City of Los Angeles, Department of Water & Power, Power System, Series B, Rev., 5.00%, 07/01/2029

    358  
    

 

 

 
  

Total California

    858  
    

 

 

 
  

Connecticut — 1.2%

 
  

Water & Sewer — 1.2%

 
  100     

City of Stamford, Water Pollution Control System & Facility, Series A, Rev., 6.00%, 08/15/2022

    116  
    

 

 

 
  

Florida — 3.8%

 
  

General Obligation — 2.8%

 
  250     

Florida State Board of Education, Public Education Capital Outlay, Series D, GO, 5.00%, 06/01/2025

    271  
    

 

 

 
  

Other Revenue — 0.7%

 

  60     

County of Miami, Special Obligation, Series B, Rev., 5.00%, 10/01/2023

    68  
    

 

 

 
  

Prerefunded — 0.2%

 

  20     

City of Port St Lucie, Utility System, Rev., AGC, 5.25%, 09/01/2018 (p)

    20  
    

 

 

 
  

Water & Sewer — 0.1%

 

  10     

City of Fort Lauderdale, Water & Sewer, Rev., 5.00%, 09/01/2018

    10  
    

 

 

 
  

Total Florida

    369  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Georgia — 7.5%

 

  

Utility — 3.7%

 

  300     

Main Street Natural Gas Inc., Georgia Gas Project, Series A, Rev., 5.50%, 09/15/2028

    358  
    

 

 

 
  

Water & Sewer — 3.8%

 

  250     

County of DeKalb, Water & Sewerage,
Series B, Rev., 5.25%, 10/01/2026

    299  
  60     

Jackson County Water & Sewer Authority,
Series A, Rev., XLCA, 5.25%, 09/01/2021

    64  
    

 

 

 
       363  
    

 

 

 
  

Total Georgia

    721  
    

 

 

 
  

Illinois — 0.6%

 

  

General Obligation — 0.6%

 

  60     

City of Chicago, Series A, GO, AGM, 5.50%, 01/01/2019

    61  
    

 

 

 
  

Indiana — 1.1%

 

  

Education — 1.1%

 

  100     

Purdue University, Student Fee, Series U, Rev., 5.25%, 07/01/2021

    110  
    

 

 

 
  

Louisiana — 0.3%

 

  

Water & Sewer — 0.3%

 

  25     

Tangipahoa Water District, Series A, Rev., AGM, 3.00%, 11/01/2018

    25  
    

 

 

 
  

Maryland — 1.1%

 

  

General Obligation — 1.1%

 

  

State of Maryland, State and Local Facilities Loan,

 
  75     

Series A, GO, 5.00%, 03/15/2024

    86  
  20     

Series B, GO, 5.00%, 08/01/2018

    20  
    

 

 

 
  

Total Maryland

    106  
    

 

 

 
  

Massachusetts — 7.5%

 

  

Education — 0.6%

 

  50     

Massachusetts Development Finance Agency, Emerson College Issue, Rev., 5.00%, 01/01/2037

    55  
    

 

 

 
  

General Obligation — 2.0%

 

  50     

Commonwealth of Massachusetts,
Series A, GO, 5.00%, 01/01/2033

    59  
  120     

Town of Ludlow, Municipal Purpose Loan, GO, 5.00%, 08/15/2024

    138  
    

 

 

 
       197  
    

 

 

 
  

Transportation — 4.9%

 

  

Massachusetts Bay Transportation Authority,

 
  150     

Series A, Rev., 5.25%, 07/01/2027

    183  
  250     

Series B, Rev., 5.25%, 07/01/2023

    286  
    

 

 

 
       469  
    

 

 

 
  

Total Massachusetts

    721  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         11  


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Missouri — 0.5%

 

  

General Obligation — 0.5%

 

  40     

North Kansas City School District No. 74,
Series A, GO, 5.00%, 03/01/2023

    45  
    

 

 

 
  

Nevada — 2.4%

 

  

Water & Sewer — 2.4%

 

  200     

Truckee Meadows Water Authority, Rev., 5.00%, 07/01/2031

    232  
    

 

 

 
  

New Jersey — 3.9%

 

  

Other Revenue — 2.4%

 

  200     

Tobacco Settlement Financing Corp., Series A, Rev., 5.00%, 06/01/2027

    228  
    

 

 

 
  

Transportation — 1.5%

 

  

New Jersey Transportation Trust Fund Authority, Transportation System,

 
  80     

Series A, Rev., 5.25%, 12/15/2020

    85  
  60     

Series A, Rev., 5.50%, 12/15/2021

    65  
    

 

 

 
       150  
    

 

 

 
  

Total New Jersey

    378  
    

 

 

 
  

New Mexico — 5.0%

 

  

Other Revenue — 2.3%

 

  200     

New Mexico Finance Authority, Senior Lien Public Project, Series C, Rev., 5.00%, 06/01/2022

    217  
    

 

 

 
  

Transportation — 2.7%

 

  250     

New Mexico Finance Authority, State Transportation, Senior Lien,
Series B, Rev., 5.00%, 06/15/2024

    265  
    

 

 

 
  

Total New Mexico

    482  
    

 

 

 
  

New York — 9.3%

 

  

Education — 0.3%

 

  30     

New York State Dormitory Authority, The New School, Rev., 5.00%, 07/01/2018

    30  
    

 

 

 
  

General Obligation — 0.6%

 

  

City of New York,

 
  25     

Sub Series E-1, GO, 5.38%, 10/15/2018

    26  
  10     

Sub Series E-1, GO, 6.25%, 10/15/2028

    10  
  20     

County of Tompkins, Public Improvement, Series A, GO, 4.00%, 03/01/2021

    21  
    

 

 

 
       57  
    

 

 

 
  

Other Revenue — 1.2%

 

  110     

New York City Transitional Finance Authority, Building Aid, Fiscal Year 2009, Series S-5, Rev., 5.00%, 01/15/2026

    112  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

Prerefunded — 4.3%

 

  30     

New York State Thruway Authority, 2nd General Highway & Bridge Trust Fund, Series B, Rev., 5.00%, 10/01/2018 (p)

    30  
  345     

Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Series A, Rev., 5.00%, 01/01/2022 (p)

    381  
    

 

 

 
       411  
    

 

 

 
  

Special Tax — 1.7%

 

  150     

New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series C, Rev., 5.00%, 03/15/2033

    168  
    

 

 

 
  

Transportation — 1.2%

 

  100     

New York State Transportation Development Corp., Rev., 5.00%, 01/01/2034

    111  
    

 

 

 
  

Total New York

    889  
    

 

 

 
  

Ohio — 3.0%

 

  

Prerefunded — 3.0%

 

  250     

City of Columbus, Series 1, GO, 5.00%, 07/01/2023 (p)

    283  
    

 

 

 
  

Oregon — 2.7%

 

  

General Obligation — 2.7%

 

  215     

Clackamas County School District No. 7J, Lake Oswego, GO, AGM, 5.25%, 06/01/2025

    255  
    

 

 

 
  

Pennsylvania — 4.9%

 

  

General Obligation — 1.0%

 

  

Central Bucks School District,

 
  80     

Series A, GO, 4.50%, 05/15/2021 (p)

    86  
  15     

Series A, GO, 5.00%, 05/15/2023

    16  
    

 

 

 
       102  
    

 

 

 
  

Other Revenue — 3.9%

 

  370     

Commonwealth Financing Authority, Tobacco Master Settlement Payment, Series 2018, Rev., AGM, 4.00%, 06/01/2039

    372  
    

 

 

 
  

Total Pennsylvania

    474  
    

 

 

 
  

South Carolina — 3.6%

 
  

General Obligation — 3.6%

 

  15     

County of Charleston, Transportation Sales Tax, GO, 5.00%, 11/01/2023

    17  
  300     

State of South Carolina, Series C, GO, 5.00%, 03/01/2022

    324  
    

 

 

 
  

Total South Carolina

    341  
    

 

 

 
  

Tennessee — 0.3%

 

  

Water & Sewer — 0.3%

 

  30     

City of Knoxville, Water System, Series BB, Rev., 5.00%, 03/01/2019

    31  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Municipal Bonds — continued

 
  

Texas — 12.5%

 

  

Education — 3.5%

 

  30     

Harris County Cultural Education Facilities Finance Corp., Methodist Hospital System, Series B, Rev., 5.50%, 12/01/2018

    31  
  250     

Permanent University Fund — University of Texas System, Series B, Rev., 5.25%, 07/01/2028

    305  
    

 

 

 
       336  
    

 

 

 
  

Prerefunded — 7.4%

 

  

City of Dallas, Waterworks and Sewer System,

 
  20     

Rev., 5.00%, 10/01/2018 (p)

    21  
  20     

Rev., 5.00%, 10/01/2018 (p)

    20  
  355     

City of Houston, Combined Utility System, First Lien, Series D, Rev., 5.00%, 11/15/2021 (p)

    389  
  250     

Hays County, Pass-Through Toll, GO, 5.00%, 02/15/2020 (p)

    263  
  20     

Klein Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2018 (p)

    20  
    

 

 

 
       713  
    

 

 

 
  

Transportation — 0.1%

 

  10     

Dallas-Fort Worth International Airport, Joint Improvement, Series G, Rev., 5.00%, 11/01/2018

    10  
    

 

 

 
  

Utility — 1.2%

 

  100     

City of Weatherford, Utility System, Rev., AGM, 5.00%, 09/01/2023

    112  
    

 

 

 
  

Water & Sewer — 0.3%

 

  30     

North Texas Municipal Water District, Water System, Rev., 5.25%, 09/01/2020

    32  
    

 

 

 
  

Total Texas

    1,203  
    

 

 

 
  

Utah — 2.4%

 

  

Other Revenue — 2.4%

 

  200     

Utah Transit Authority Sales Tax, Subordinate Sales Tax, Series A, Rev., 5.00%, 06/15/2029

    231  
    

 

 

 
    
  

Virginia — 4.7%

 

  

Education — 1.1%

 

  50     

University of Virginia, Rev., 4.00%, 09/01/2021

    53  
  50     

Virginia College Building Authority, 21st Century College & Equipment Programs, Educational Facilities, Series E-2, Rev., 5.00%, 02/01/2023

    56  
    

 

 

 
       109  
    

 

 

 
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
    
  

General Obligation — 0.6%

 

  50     

City of Alexandria, Series A, GO, 4.50%, 06/15/2020

    53  
    

 

 

 
  

Utility — 3.0%

 

  250     

City of Richmond, Public Utility Revenue, Series A, Rev., 5.00%, 01/15/2025

    290  
    

 

 

 
  

Total Virginia

    452  
    

 

 

 
  

Washington — 1.7%

 

  

Transportation — 1.7%

 

  150     

Central Puget Sound Regional Transit Authority, Sales Tax & Motor Vehicle Excise Tax, Series P-1, Rev., 5.00%, 02/01/2025

    165  
    

 

 

 
  

Wisconsin — 0.2%

 

  

Prerefunded — 0.2%

 

  20     

Wisconsin Department of Transportation, Series A, Rev., 5.00%, 07/01/2018 (p)

    20  
    

 

 

 
  

Total Municipal Bonds
(Cost $8,555)

    8,738  
    

 

 

 
SHARES               
 

Short-Term Investment — 4.6%

 
  

Investment Company — 4.6%

 

  444     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $444)

    444  
    

 

 

 
  

Total Investments — 95.5%
(Cost $8,999)

    9,182  
  

Other Assets in Excess of
Liabilities — 4.5%

    435  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 9,617  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         13  


Table of Contents

JPMorgan Tax Aware Real Return SMA Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in thousands)

 

 

Over the Counter (“OTC”) Inflation-linked swap contracts outstanding as of April 30, 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

  2.28% at termination     Receive     Union Bank of Switzerland AG     03/16/2027     USD 700       4  

CPI-U at termination

  2.04% at termination     Receive     BNP Paribas     11/16/2022     USD  1,000       15  

CPI-U at termination

  2.31% at termination     Receive     Barclays Bank plc     02/21/2028     USD 250       2  

CPI-U at termination

  2.08% at termination     Receive     BNP Paribas     12/19/2024     USD  1,000       18  

CPI-U at termination

  2.17% at termination     Receive     BNP Paribas     04/04/2024     USD 600       5  

CPI-U at termination

  2.24% at termination     Receive     Barclays Bank plc     02/06/2023     USD 400       1  

CPI-U at termination

  2.26% at termination     Receive     BNP Paribas     04/06/2025     USD 343       2  
           

 

 

 
              47  
           

 

 

 

CPI-U at termination

  2.72% at termination     Receive     BNP Paribas     04/01/2021     USD  2,990       (297

CPI-U at termination

  2.62% at termination     Receive    

NatWest Markets

    06/28/2025       USD 1,000       (102
           

 

 

 
              (399
           

 

 

 
              (352
           

 

 

 

 

(a) Value of floating rate index at April 30, 2018 was 2.51%.

 

Summary of total swap contracts outstanding as of April 30, 2018:                    
        NET UPFRONT
PAYMENTS
(RECEIPTS) ($)
       VALUE ($)  

Assets

         

OTC Inflation linked swaps outstanding

               —          47  
    

 

 

      

 

 

 

Total OTC swap contracts outstanding

                47  
    

 

 

      

 

 

 

Liabilities

         

OTC Inflation linked swaps outstanding

                (399
    

 

 

      

 

 

 

Total OTC swap contracts outstanding

                (399
    

 

 

      

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

J.P. Morgan SMA Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

AGC  

—  Insured by Assured Guaranty Corp.

AGM  

—  Insured by Assured Guaranty Municipal Corp.

CPI-U  

—  Consumer Price Index for All Urban Consumers

EUR  

—  Euro

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

GO  

—  General Obligation

GTD  

—  Guaranteed

JPY  

—  Japanese Yen

MTA  

—  Metropolitan Transportation Authority

NATL  

—  Insured by National Public Finance Guarantee Corp.

PSF  

—  Permanent School Fund

RE  

—  Reinsured

Rev.  

—  Revenue

TOPIX  

—  Tokyo Stock Price Index

USD  

—  United States Dollar

XLCA  

—  Insured by XL Capital Assurance

(a)  

—  Non-income producing security.

(b)  

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

(h)  

—  Amount rounds to less than 500.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(p)  

—  Security is prerefunded or escrowed to maturity.

(t)  

—  The date shown represents the earliest of the prerefunded date, next put date or final maturity date.

(bb)  

—  Security has been valued using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         15  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan
International
Value

SMA Fund

      

JPMorgan
Tax Aware

Real Return

SMA Fund

 

ASSETS:

         

Investments in non-affiliates, at value

     $ 39,821        $ 8,738  

Investments in affiliates, at value

                444  

Restricted cash for OTC derivatives

                830  

Cash

                (a) 

Foreign currency, at value

       48           

Deposits at broker for futures contracts

       97           

Receivables:

         

Investment securities sold

       2,398           

Fund shares sold

                48  

Interest and dividends from non-affiliates

       197          108  

Dividends from affiliates

                1  

Tax reclaims

       227           

Variation margin on futures contracts

       20           

Outstanding OTC swap contracts, at value

                47  

Due from adviser

       16           
    

 

 

      

 

 

 

Total Assets

       42,824          10,216  
    

 

 

      

 

 

 

LIABILITIES:

         

Payables:

         

Due to custodian

       1,805           

Investment securities purchased

       1          111  

Fund shares redeemed

       2           

Outstanding OTC swap contracts, at value

                399  

Accrued liabilities:

         

Investment advisory fees

                21  

Custodian and accounting fees

       8          12  

Collateral management fees

                6  

Trustees’ and Chief Compliance Officer’s fees

                (a) 

Audit fees

       54          49  

Other

       20          1  
    

 

 

      

 

 

 

Total Liabilities

       1,890          599  
    

 

 

      

 

 

 

Net Assets

     $ 40,934        $ 9,617  
    

 

 

      

 

 

 

NET ASSETS:

         

Paid-in-Capital

     $ 25,189        $ 10,250  

Accumulated undistributed (distributions in excess of) net investment income

       (121        (8

Accumulated net realized gains (losses)

       6,535          (456

Net unrealized appreciation (depreciation)

       9,331          (169
    

 

 

      

 

 

 

Total Net Assets

     $ 40,934        $ 9,617  
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

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

       2,827          975  

Net asset value, offering and redemption price per share (b)

     $ 14.48        $ 9.86  
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 30,507        $ 8,555  

Cost of investments in affiliates

                444  

Cost of foreign currency

       48           

 

(a) Amount rounds to less than 500.
(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

       

JPMorgan
International

Value

SMA Fund

    

JPMorgan
Tax Aware

Real Return

SMA Fund

 

INVESTMENT INCOME:

       

Interest income from non-affiliates

     $      $ 128  

Interest income from affiliates

       (a)       1  

Dividend income from non-affiliates

       795         

Dividend income from affiliates

              4  

Foreign taxes withheld

       (96       
    

 

 

    

 

 

 

Total investment income

       699        133  
    

 

 

    

 

 

 

EXPENSES:

       

Administration fees

       22        4  

Custodian and accounting fees

       18        22  

Interest expense to affiliates

       1         

Professional fees

       40        42  

Collateral management fees

              17  

Trustees’ and Chief Compliance Officer’s fees

       12        12  

Printing and mailing costs

       6        2  

Registration and filing fees

       10        17  

Transfer agency fees

       (a)       (a) 

Other

       4        2  
    

 

 

    

 

 

 

Total expenses

       113        118  
    

 

 

    

 

 

 

Less fees waived

       (22      (4

Less expense reimbursements

       (90      (114
    

 

 

    

 

 

 

Net expenses

       1         
    

 

 

    

 

 

 

Net investment income (loss)

       698        133  
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

       

Investments in non-affiliates

       7,086        (23

Futures contracts

       18         

Foreign currency transactions

       6         

Swaps

              (176
    

 

 

    

 

 

 

Net realized gain (loss)

       7,110        (199
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

       

Investments in non-affiliates

       (4,234      (235

Futures contracts

       19         

Foreign currency translations

       (1       

Swaps

              330  
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (4,216      95  
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       2,894        (104
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 3,592      $ 29  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         17  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

     JPMorgan
International Value SMA Fund
     JPMorgan
Tax Aware Real Return SMA Fund
 
      Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

   $ 698      $ 1,466      $ 133      $ 266  

Net realized gain (loss)

     7,110        8,851        (199      (105

Change in net unrealized appreciation/depreciation

     (4,216      5,871        95        40  
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

     3,592        16,188        29        201  
  

 

 

    

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

           

From net investment income

     (2,077      (2,258      (141      (267
  

 

 

    

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

           

Proceeds from shares issued

     6,153        12,839        892        3,674  

Distributions reinvested

     1,238        1,413                

Cost of shares redeemed

     (30,176      (42,726      (1,119      (3,849
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from capital transactions

     (22,785      (28,474      (227      (175
  

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS:

           

Change in net assets

     (21,270      (14,544      (339      (241

Beginning of period

     62,204        76,748        9,956        10,197  
  

 

 

    

 

 

    

 

 

    

 

 

 

End of period

   $ 40,934      $ 62,204      $ 9,617      $ 9,956  
  

 

 

    

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

   $ (121    $ 1,258      $ (8    $  
  

 

 

    

 

 

    

 

 

    

 

 

 

SHARE TRANSACTIONS:

           

Issued

     425        1,089        90        369  

Reinvested

     87        124                

Redeemed

     (2,053      (3,536      (113      (386
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in Shares

     (1,541      (2,323      (23      (17
  

 

 

    

 

 

    

 

 

    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         19  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

      

 

       Per share operating performance  
                Investment operations        Distributions  
       

Net asset

value,

beginning

of period

      

Net

investment

income

(loss)

    

Net realized

and unrealized

gains

(losses) on

investments

      

Total from

investment

operations

      

Net

investment

income

 

JPMorgan International Value SMA Fund

 

         

Six Months Ended April 30, 2018 (Unaudited)

     $ 14.24        $ 0.19 (f)     $ 0.56        $ 0.75        $ (0.51

Year Ended October 31, 2017

       11.47          0.28 (f)       2.86          3.14          (0.37

Year Ended October 31, 2016

       12.02          0.25 (f)       (0.36        (0.11        (0.44

Year Ended October 31, 2015

       12.78          0.26 (f)       (0.69        (0.43        (0.33

Year Ended October 31, 2014

       13.87          0.30        (1.12        (0.82        (0.27

Year Ended October 31, 2013

       11.31          0.31        2.69          3.00          (0.44

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted.
(e) The Fund’s expenses have been contractually capped at 0.00%. See Note 3.E. in the Notes to Financial Statements. The Fund is an integral part of “separately managed accounts” programs sponsored by investment advisors and/or broker-dealers, some of which are unaffiliated with the Fund and the Investment Advisor. Participants in these programs pay a fee to the sponsor of the program.
(f) Calculated based upon average shares outstanding.
(g) Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        

Net asset

value,

end of

period

   

Total

return (b)(c)

   

Net assets,

end of

period

(000’s)

   

Net

expenses (d)(e)

   

    
Net

investment

income

(loss)

   

Expenses

without waivers

and reimbursements

   

Portfolio

turnover

rate (b)

 
           
$ 14.48       5.38   $ 40,934       %(g)      2.57     0.42     11
  14.24       28.15       62,204       (g)      2.21       0.47       39  
  11.47       (0.83     76,748             2.31       0.33       70  
  12.02       (3.42     106,057             2.11       0.20       113  
  12.78       (6.04     316,962             2.22       0.17       85  
  13.87       27.33       325,158             2.66       0.22       72  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         21  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

      

 

       Per share operating performance  
                Investment operations        Distributions  
       

Net asset

value,

beginning

of period

       Net
investment
income
(loss)
    

Net realized

and unrealized

gains

(losses) on
investments

      

Total from

investment

operations

      

Net

investment

income

 

JPMorgan Tax Aware Real Return SMA Fund

 

         

Six Months Ended April 30, 2018 (Unaudited)

     $ 9.97        $ 0.13 (f)     $ (0.10      $ 0.03        $ (0.14

Year Ended October 31, 2017

       10.04          0.26 (f)       (0.07        0.19          (0.26

Year Ended October 31, 2016

       9.95          0.28 (f)       0.09          0.37          (0.28

Year Ended October 31, 2015

       10.52          0.31 (f)       (0.55        (0.24        (0.33

Year Ended October 31, 2014

       10.58          0.30        (0.05        0.25          (0.31

Year Ended October 31, 2013

       11.11          0.29        (0.54        (0.25        (0.28

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) The Fund’s expenses have been contractually capped at 0.00%. See Note 3.E. in the Notes to Financial Statements. The Fund is an integral part of “separately managed accounts” programs sponsored by investment advisors and/or broker-dealers, some of which are unaffiliated with the Fund and the Investment Advisor. Participants in these programs pay a fee to the sponsor of the program.
(f) Calculated based upon average shares outstanding.
(g) Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total
return (b)(c)
   

Net assets,

end of

period

(000’s)

   

Net

expenses (d)(e)

   

    
Net

investment

income

(loss)

   

Expenses

without waivers

and reimbursements

   

Portfolio

turnover

rate (b)

 
           
$ 9.86       0.31   $ 9,617           2.69     2.36     22
  9.97       1.94       9,956       (g)      2.59       2.05       23  
  10.04       3.80       10,197             2.82       1.97       32  
  9.95       (2.27     11,083             3.07       1.01       (g) 
  10.52       2.38       20,947             2.85       0.78       6  
  10.58       (2.29     27,244             2.58       0.60       16  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         23  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

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

 

      Diversified/Non-Diversified
JPMorgan International Value SMA Fund    Diversified
JPMorgan Tax Aware Real Return SMA Fund    Diversified

The investment objective of JPMorgan International Value SMA Fund (“International Value SMA Fund”) is to seek to provide high total return from a portfolio of foreign company equity securities.

The investment objective of JPMorgan Tax Aware Real Return SMA Fund (“Tax Aware Real Return SMA Fund”) is to seek to maximize after-tax inflation protected return.

Shares of the Funds may be purchased only by or on behalf of separately managed accounts where J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), serves as the investment adviser, sub-adviser or model portfolio provider for the account with the separately managed account sponsor or directly with the client. The Funds’ shares may not be purchased directly by individuals.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

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

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, including investments with equity reference obligations, are valued by applying an international fair value factor 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.

 

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

Futures are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at April 30, 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).

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

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

International Value SMA Fund

 

       

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

Total Investments in Securities (a)

     $        $ 38,701        $ 1,120        $ 39,821  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Futures Contracts (a)

     $        $ 19        $        $ 19  
    

 

 

      

 

 

      

 

 

      

 

 

 

Tax Aware Real Return SMA Fund

 

       

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

Total Investments in Securities (b)

     $ 444        $ 8,738        $        $ 9,182  
    

 

 

      

 

 

      

 

 

      

 

 

 

Appreciation in Other Financial Instruments

                   

Inflation-Linked Swaps (b)

     $        $ 47        $        $ 47  
    

 

 

      

 

 

      

 

 

      

 

 

 

Depreciation in Other Financial Instruments

                   

Inflation-Linked Swaps (b)

     $        $ (399      $        $ (399
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) All portfolio holdings designated as level 2 and 3 are disclosed individually on the SOI’s. Please refer to the SOIs for country specifics of portfolio holdings.
(b) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for state specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of the beginning of the period.

For International Value SMA Fund, a transfer from level 1 to level 2 in the amount of approximately $3,503,000 is due to applying the fair value factors to certain securities during the six months ended April 30, 2018.

For Tax Aware Real Return SMA Fund, there were no transfers among any levels during the six months ended April 30, 2018.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):

 

International Value SMA 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
April 30,
2018
 

Investments in Securities

                 

Common Stocks — South Korea

  $     $ 767     $ (825   $     $     $ (1,105   $ 2,283     $     $ 1,120  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $ 767     $ (825   $     $     $ (1,105   $ 2,283     $     $ 1,120  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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.

For International Value SMA Fund, a transfer from level 2 to level 3 in the amount of approximately $2,283,000 is due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the six months ended April 30, 2018.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $(825).

International Value SMA Fund

Quantitative information about level 3 Fair Value Measurements

(Amounts in thousands)

 

     Fair Value at
April 30,
2018
    Valuation Technique(s)    Unobservable Input    Range (Weighted Average)  
  $ 1,120     Recent Market Information    Transaction Price      KRW 2,650 (KRW 2,650)  
 

 

 

         
Common Stock     1,120          

 

 
Total   $ 1,120          

 

 

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted Securities — Certain securities held by International Value SMA Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Fund.

As of April 30, 2018, International Value SMA Fund had no investments in restricted securities under the Securities Act.

C. Futures Contracts — International Value SMA Fund used index futures contracts to gain or reduce exposure to the market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index. The use of futures contracts exposes the Fund to equity price risk.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional

 

 
26       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

The table below discloses the volume of the Fund’s futures contracts activity during the six months ended April 30, 2018 (amounts in thousands):

 

       

International

Value

SMA Fund

 

Futures Contracts — Equity:

    

Average Notional Balance Long

     $ 1,752  (a) 

Ending Notional Balance Long

       1,752  

 

(a) For the period April 1, 2018 through April 30, 2018.

D. Swaps — Tax Aware Real Return SMA Fund engaged in 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. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The use of swaps exposes the Fund to interest rate risk. The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements gives 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.

The Fund may be required to post or receive collateral for OTC swaps.

The Fund’s swap contracts are subject to master netting arrangements.

The table below discloses the volume of the Fund’s swap activity during the six months ended April 30, 2018 (amounts in thousands):

 

     

Tax Aware

Real Return

SMA Fund

 
Interest Rate-Related Swaps (Inflation-Linked Swaps):   

Average Notional Balance — Pays Fixed rate

   $ 8,790  

Ending Notional Balance — Pays Fixed Rate

     8,283  

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts, non-deliverable forward foreign currency contracts and/or OTC options with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted by the Fund is invested in an affiliated money market fund. Otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.F.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.

The Fund’s derivative contracts collateral requirements and collateral posted or received by counterparty as of April 30, 2018 are as follows (amounts in thousands):

 

Fund            Fund Counterparty      Value of derivative contracts        Collateral
amount
 

Tax Aware Real Return SMA Fund

   Collateral Posted      BNP Paribas      $ (257      $ 570  
       

NatWest Markets

       (102        260  

E. Summary of Derivatives Information

The following tables present the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

International Value SMA Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 19  
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

Tax Aware Real Return SMA Fund

 

Derivative Contracts    Statements of Assets and Liabilities Location          
Gross Assets:            Swaps  

Interest rate contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 47  
       

 

 

 
Gross Liabilities:            Swaps  

Interest rate contracts

   Payables, Net Assets — Unrealized Depreciation      $ (399
       

 

 

 

The following tables present the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of April 30, 2018 (amounts in thousands):

Tax Aware Real Return SMA Fund

 

Counterparty      Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities
(a)
       Derivatives
Available
for Offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Barclays Bank plc

     $ 3        $        $        $ 3  

BNP Paribas

       40          (40                  

Union Bank of Switzerland AG

       4                            4  
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 47        $ (40      $        $ 7  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

 
28       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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Counterparty      Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of Assets
and Liabilities
(a)
       Derivatives
Available
for Offset
       Collateral
Posted
     Net Amount Due
To Counterparty
(Not less than zero)
 

BNP Paribas

     $ 297        $ (40      $ (257 )(b)     $  

NatWest Markets

       102                   (102 )(b)        
    

 

 

      

 

 

      

 

 

    

 

 

 
     $ 399        $ (40      $ (359    $  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities.
(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.D. for actual swap collateral received or posted.

The following tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2018, by primary underlying risk exposure (amounts in thousands):

International Value SMA Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations        
Derivative Contracts    Futures Contracts  

Equity contracts

   $ 18  
  

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts    Futures Contracts  

Equity contracts

   $ 19  
  

 

 

 

Tax Aware Real Return SMA Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations        
Derivative Contracts    Swaps  

Interest rate contracts

   $ (176
  

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations        
Derivative Contracts    Swaps  

Interest rate contracts

   $ 330  
  

 

 

 

F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

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

H. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

J. Foreign Taxes — International Value SMA Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

K. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually for International Value SMA Fund and monthly for Tax Aware Real Return SMA Fund. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser does not charge an advisory fee to the Funds. It should be understood, however, that the Funds are an integral part of separately managed account programs. Participants in these programs pay a fee to the sponsor of the program. The Adviser is compensated directly or indirectly by the separately managed account sponsors.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Funds’ shares. JPMDS receives no compensation in its capacity as the Funds’ underwriter.

D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, for Tax Aware Real Return SMA Fund, payments to the custodian were reduced by credits earned, if any, by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

E. Waivers and Reimbursements — No expenses or fees (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) are borne by the Funds pursuant to contractual arrangements with the Adviser through February 28, 2019.

For the six months ended April 30, 2018, the Funds’ Adviser and the Administrator waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

      Contractual
Waivers
       Contractual
Reimbursements
 

International Value SMA Fund

   $ 22        $ 90  

Tax Aware Real Return SMA Fund

     4          114  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an

 

 
30       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund.

The amounts of these waivers/reimbursements resulting from investments in these money market funds for the six months ended April 30, 2018 was as follows (amounts in thousands):

 

Tax Aware Real Return SMA Fund

   $ 1  

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for Tax Aware Real Return SMA Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statements of Operations.

G. Other — The Funds may invest in affiliated J.P. Morgan money market funds. The Funds’ Adviser and its affiliates provide services to and receive fees from the J.P. Morgan money market funds; therefore, the Adviser and its affiliates may indirectly receive fees, including advisory fees, from the Funds.

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

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

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

The Funds may use related party broker-dealers. For the six months ended April 30, 2018, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

      Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 

International Value SMA Fund

   $ 5,571        $ 29,234  

Tax Aware Real Return SMA Fund

     2,390          1,983  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

International Value SMA Fund

     $ 30,507        $ 9,942        $ 609        $ 9,333  

Tax Aware Real Return SMA Fund

       8,999          274          443          (169

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after October 31, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At October 31, 2017, the following Fund had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

        2018        2019        Total  

Tax Aware Real Return SMA Fund

     $ 9        $ 4        $ 13  

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         31  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

At October 31, 2017, the following Fund had post-enactment net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term      Long-Term  

Tax Aware Real Return SMA Fund

   $ 243      $  

During the year ended October 31, 2017, the following Fund utilized capital loss carryforwards as follows (amounts in thousands):

 

International Value SMA Fund

   $ 8,578  

During the year ended October 31, 2017, the following Fund had expired capital loss carryforwards as follows (amounts in thousands):

 

International Value SMA Fund

   $ 6,925  

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statements of Operations. Average borrowings from the Facility during the six months ended April 30, 2018, were as follows (amounts in thousands, except number of days outstanding):

 

        Average
Borrowings
       Average
Interest
Rate Paid
       Number of
Days
Outstanding
       Interest
Paid
 

International Value SMA Fund

     $ 2,939          2.24        9        $ 2  

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended June 30, 2018.

7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, International Value SMA Fund had two shareholders, which were accounts maintained by separately managed account sponsors on behalf of their clients, that owned 93.1% of the Fund’s outstanding shares. Tax Aware Real Return SMA Fund had a shareholder, which was an account maintained by a separately managed account sponsor on behalf of its clients, that owned 100.0% of the Fund’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Funds’ performance.

 

 
32       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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International Value SMA Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of April 30, 2018, International Value SMA Fund had non-U.S. country allocations representing greater than 10% of total investments as follows:

 

      Germany        Japan  

International Value SMA Fund

     14.1        47.5

As of April 30, 2018, substantially all of the International Value SMA Fund’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if it had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

Tax Aware Real Return SMA Fund invests primarily in a portfolio of municipal debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.

Tax Aware Real Return SMA Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

8. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

9. Subsequent Event

At their meeting in February 2018, the Board approved the liquidation of the International Value SMA Fund which occurred on June 8, 2018.

 

 
APRIL 30, 2018   J.P. MORGAN SMA FUNDS         33  


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including administration fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Fund at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

       

Beginning

Account Value

November 1, 2017

      

Ending

Account Value

April 30, 2018

      

Expenses

Paid During
the Period
†*

      

Annualized

Expense

Ratio

 

International Value SMA Fund

                   

Actual

     $ 1,000.00        $ 1,053.80        $ 0.00          0.00

Hypothetical

       1,000.00          1,024.79          0.00          0.00  

Tax Aware Real Return SMA Fund

                   

Actual

       1,000.00          1,003.10          0.00          0.00  

Hypothetical

       1,000.00          1,024.79          0.00          0.00  

 

Reflects the fact that no fees or expenses are borne by the Funds. The Funds are an integral part of “separately managed accounts” programs sponsored by investment advisers and/or broker-dealers unaffiliated with the Funds and the Adviser. Participants in these programs pay a fee to the sponsor of the program.

 

* Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
34       J.P. MORGAN SMA FUNDS   APRIL 30, 2018


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.   SAN-SMA-418


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Semi-Annual Report

J.P. Morgan Funds

April 30, 2018 (Unaudited)

JPMorgan Global Allocation Fund

JPMorgan Income Builder Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Global Allocation Fund

       3  

JPMorgan Income Builder Fund

       7  
Schedules of Portfolio Investments        11  
Financial Statements        104  
Financial Highlights        110  
Notes to Financial Statements        114  
Schedule of Shareholder Expenses        136  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         1  


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J.P. Morgan Funds

MARKET OVERVIEW

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

For the six months ended April 30, 2018, the MSCI World Index returned 3.40% and the Bloomberg Barclays U.S. Aggregate Bond Index returned -1.87%.

 

 
2       J.P. MORGAN FUNDS   APRIL 30, 2018


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JPMorgan Global Allocation Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      1.93%  
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)      3.40%  
Bloomberg Barclays Global Aggregate Index (Unhedged USD)      1.19%  
Global Allocation Composite Benchmark      2.57%  
Net Assets as of 4/30/2018 (In Thousands)      $3,371,393  

 

INVESTMENT OBJECTIVE**

The JPMorgan Global Allocation Fund (the “Fund”) seeks to maximize long-term total return.

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

For the six months ended April 30, 2018, the Fund’s Class I Shares underperformed both the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and the Global Allocation Composite Benchmark (the “Composite Benchmark”), which consists of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays Global Aggregate Index, and outperformed the Bloomberg Barclays Global Aggregate Index (Unhedged USD).

Relative to the Benchmark, the Fund’s allocation to bonds was a leading detractor from performance. Relative to the Composite Benchmark, the Fund’s allocation to both global developed market and emerging market equities contributed positively to performance as equities rallied globally during the reporting period.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s overall equity exposure was reduced in an effort to reduce risk. The portfolio managers reduced equity exposure primarily in international developed markets, such as Europe; however, they maintained a positive view on global growth and earnings strength and continued to prefer equities over bonds. Given the portfolio managers’ expectations for continued market volatility, they held some of the Fund’s global equity exposure in call options in an effort to manage risk while still capturing potential market gains.

In fixed income assets, the portfolio managers added a dedicated US Agency Mortgage strategy in November 2017. They also removed dedicated European High Yield (also known as “junk bonds”) and US Investment Grade Corporates strategies in January and March 2018, respectively. Within core fixed income, the Fund maintained exposure to government bonds to further diversify its fixed income exposure.

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         3  


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JPMorgan Global Allocation Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

TOP TEN LONG HOLDINGS OF THE PORTFOLIO***  
  1.      UnitedHealth Group, Inc., (United States)      1.0
  2.      U.S. Treasury Notes, 1.13%, 01/31/19, (United States)      0.9  
  3.      FNMA REMIC, Series 2017-49, Class JA, 4.00%, 07/25/53, (United States)      0.6  
  4.      Berkshire Hathaway, Inc., Class A, (United States)      0.6  
  5.      Amazon.com, Inc., (United States)      0.5  
  6.      Alphabet, Inc., Class C, (United States)      0.5  
  7.      Apple, Inc., (United States)      0.5  
  8.      AIA Group Ltd., (Hong Kong)      0.5  
  9.      FNMA REMIC, Series 2017-41, Class ME, 3.00%, 05/25/53, (United States)      0.5  
  10.      FNMA REMIC, Series 2017-4, Class BA, 3.50%, 05/25/41, (United States)      0.5  

 

TOP TEN SHORT HOLDINGS OF THE PORTFOLIO****  
  1.      Johnson & Johnson, (United States)      18.5
  2.      Citigroup, Inc., (United States)      13.6  
  3.      Molson Coors Brewing Co., Class B, (United States)      11.3  
  4.      Cardinal Health, Inc., (United States)      10.5  
  5.      Harley-Davidson, Inc., (United States)      10.2  
  6.      Take-Two Interactive Software, Inc., (United States)      6.8  
  7.      DENTSPLY SIRONA, Inc., (United States)      6.8  
  8.      Rockwell Automation, Inc., (United States)      6.5  
  9.      Newell Brands, Inc., (United States)      6.0  
  10.      Procter & Gamble Co. (The), (United States)      4.9  

LONG POSITION PORTFOLIO***

 
Common Stocks      55.3
Foreign Government Securities      11.5
Collateralized Mortgage Obligations      10.7
Corporate Bonds      9.1
U.S. Treasury Obligations      2.8
Asset-Backed Securities      1.1
Others (each less than 1.0%)      1.3
Short-Term Investments      8.2  

 

SHORT POSITION PORTFOLIO COMPOSITION****

 
Common Stocks      100.0

 

*   The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     May 31, 2011                      

With Sales Charge**

          (2.81 )%         4.42        5.25        5.47

Without Sales Charge

          1.78        9.33        6.22        6.18

CLASS C SHARES

     May 31, 2011                      

With CDSC***

          0.55        7.80        5.69        5.65

Without CDSC

          1.55        8.80        5.69        5.65

CLASS I SHARES

     May 31, 2011          1.93        9.65        6.49        6.44

CLASS R2 SHARES

     May 31, 2011          1.69        9.07        5.96        5.91

CLASS R6 SHARES

     November 1, 2017          1.97        9.69        6.49        6.45

CLASS T SHARES

     June 6, 2017                      

With Sales Charge****

          (0.83 )        6.51        5.68        5.78

Without Sales Charge

          1.73        9.25        6.21        6.17

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.
****   Sales Charge for Class T Shares is 2.50%.

LIFE OF FUND PERFORMANCE (5/31/11 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on May 31, 2011.

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

Return for Class T Shares prior to its inception date are based on the performance of Class A Shares. The actual return for Class T Shares would have been different than those shown because Class T Shares have different expenses than Class A Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Global Allocation Fund, the MSCI World Index

(net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index – (Unhedged USD), the Global Allocation Composite Benchmark and the Lipper Flexible Portfolio Funds Index from May 31, 2011 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index – (Unhedged USD) and the Global Allocation Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Global Allocation Composite Benchmark does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The performance of the Lipper Flexible Portfolio Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index (net of

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         5  


Table of Contents

JPMorgan Global Allocation Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed mar kets. The Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged indexes that includes 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays Global Aggregate Index (Unhedged USD). The Bloomberg Barclays Global Aggregate Index – (Unhedged USD) provides a broad-based measure of the global investment-grade fixed income markets. The Lipper Flexible Portfolio Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as defined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

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

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

 

 

 
6       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Income Builder Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      0.91%  
Morgan Stanley Capital International (“MSCI”) World Index (net of foreign withholding taxes)      3.40%  
Bloomberg Barclays U.S. Aggregate Bond Index      (1.87)%  
Income Builder Composite Benchmark      1.34%  
Net Assets as of 4/30/2018 (In Thousands)      $12,782,451  

 

INVESTMENT OBJECTIVE**

The JPMorgan Income Builder Fund (the “Fund”) seeks to maximize income while maintaining prospects for capital appreciation.

INVESTMENT APPROACH

J.P. Morgan’s Multi-Asset Solutions Team (the “Team”) combined capital markets research and asset allocation with the insights of specialist asset class teams to construct a broadly diversified portfolio of income producing securities that the Team believed would perform well given the Team’s market views. The underlying specialist teams built portfolios of their highest conviction securities with what they believed to be the best opportunities for yield and total return on a risk-adjusted basis.

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

For the six months ended April 30, 2018, the Fund’s Class A Shares, without a sales charge, underperformed both the MSCI World Index and the Income Builder Composite Benchmark (the “Composite Benchmark”), which is comprised of 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Bond Index. The Fund

outperformed the Bloomberg Barclays U.S. Aggregate Bond Index.

During the reporting period, equities generally outperformed other asset classes and the Fund’s bonds detracted from performance relative to both the MSCI World Index (net of foreign withholding taxes) and the Composite Benchmark. The Fund’s allocation to equities was a positive contributor to performance relative to the Bloomberg Barclays U.S. Aggregate Bond Index, which does not hold equities.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers positioned the Fund to tactically pursue income. During the reporting period, the portfolio managers responded to an increase in market volatility and a divergence in economic growth across certain regions by reducing the Fund’s allocation to equities, particularly in Europe, and real estate investment trusts in favor of bonds. In fixed income, the portfolio managers added an allocation to U.S. agency mortgages in February 2018 and removed its allocation to U.S. investment grade corporate bonds in March 2018. Additionally, they increased the Fund’s exposure to U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt.

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         7  


Table of Contents

JPMorgan Income Builder Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

 

TOP TEN HOLDINGS OF THE PORTFOLIO***  
  1.      FNMA, 30 Year, Single Family, 3.50%, 03/01/2048      0.9
  2.      Pfizer, Inc.      0.7  
  3.      Merck & Co., Inc.      0.7  
  4.      Novartis AG (Registered), (Switzerland)      0.6  
  5.      Rio Tinto plc, (United Kingdom)      0.5  
  7.      FNMA, 30 Year, Single Family, 3.00%, 01/01/2047      0.5  
  6.      TOTAL SA, (France)      0.5  
  8.      Coca-Cola Co. (The)      0.5  
  9.      FHLMC Gold Pools, 30 Year, Single Family, 3.50%, 03/01/2048      0.5  
  10.      FNMA, 30 Year, Single Family, 3.50%, 12/01/2047      0.5  

PORTFOLIO COMPOSITION***

 
Common Stocks      41.0
Corporate Bonds      35.6  
Foreign Government Securities      4.5  
Mortgage-Backed Securities      4.3  
Asset-Backed Securities      4.3  
Collateralized Mortgage Obligations      3.6  
Convertible Bonds      1.4  
Others (each less than 1.0%)      3.0  
Short-Term Investments      2.3  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
8       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
     6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   May 31, 2007                    

With Sales Charge**

          (3.63 )%         1.59        3.72        5.87

Without Sales Charge

          0.91        6.34        4.69        6.35

CLASS C SHARES

   May 31, 2007                    

With CDSC***

          (0.34 )        4.73        4.16        5.82

Without CDSC

          0.66        5.73        4.16        5.82

CLASS I SHARES

   May 31, 2007        0.98        6.39        4.83        6.52

CLASS R6 SHARES

   November 1, 2017        1.03        6.44        4.84        6.53

CLASS T SHARES

   June 6, 2017                    

With Sales Charge****

          (1.62 )        3.69        4.14        6.07

Without Sales Charge

          0.88        6.32        4.68        6.35

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.
****   Sales Charge for Class T Shares is 2.50%.

TEN YEAR PERFORMANCE (4/30/08 TO 4/30/18)

 

 

LOGO

 

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Income Builder Fund, the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Bond Index, the Income Builder Composite Benchmark and the Lipper Flexible Portfolio Funds Index from April 30, 2008 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI World Index (net of foreign

withholding taxes), the Bloomberg Barclays U.S. Aggregate Bond Index and the Income Builder Composite Benchmark do not reflect the deduction of expenses or a sales charge associated with a mutual fund and have been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The MSCI World Index (net of foreign withholding taxes) assumes the dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the Lipper Flexible Portfolio Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Income Builder Composite Benchmark is a composite benchmark comprised of unmanaged indexes that includes 60% MSCI World Index (net of foreign withholding taxes) and 40% Bloomberg Barclays U.S. Aggregate Bond Index. The Lipper Flexible Portfolio Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         9  


Table of Contents

JPMorgan Income Builder Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

From April 30, 2008 through December 18, 2009, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted. Class A Shares have a $1,000 minimum initial investment and carry a 4.50% sales charge.

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

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

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

 

 

 
10       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — 96.8%

 
 

Asset-Backed Securities — 1.0%

 
  

United States — 1.0%

 

  446     

ABFC Trust, Series 2004-HE1, Class M1, 2.80%, 03/25/2034 (z) (bb)

    445  
  

ACE Securities Corp. Home Equity Loan Trust,

 
  414     

Series 2002-HE3, Class M1, 3.70%, 10/25/2032 (z) (bb)

    413  
  303     

Series 2003-NC1, Class M1, 3.07%, 07/25/2033 (z) (bb)

    300  
  399     

Series 2003-OP1, Class M1, 2.95%, 12/25/2033 (z) (bb)

    396  
  129     

Series 2004-HE4, Class M2, 2.87%, 12/25/2034 (z) (bb)

    125  
  498     

Series 2004-OP1, Class M3, 3.77%, 04/25/2034 (z)

    478  
  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  1     

Series 2003-11, Class M3, 4.69%, 12/25/2033 (z) (bb)

    1  
  338     

Series 2004-FR1W, Class A6, 4.42%, 05/25/2034 (z) (bb)

    341  
  

Ameriquest Mortgage Securities, Inc. Asset-Backed Securities,

 
  503     

Series 2003-10, Class M1, 2.95%, 12/25/2033 (z) (bb)

    496  
  209     

Series 2003-10, Class M2, 4.45%, 12/25/2033 (z) (bb)

    206  
  315     

Amortizing Residential Collateral Trust, Series 2004-1, Class M5, 3.77%, 10/25/2034 (z) (bb)

    309  
  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  782     

Series 2003-W5, Class M2, 4.67%, 10/25/2033 (z) (bb)

    753  
  1,429     

Series 2003-W9, Class M2, 4.48%, 01/25/2034 (z) (bb)

    1,414  
  176     

Series 2004-W5, Class M1, 2.80%, 04/25/2034 (z) (bb)

    175  
  

Asset-Backed Securities Corp. Home Equity Loan Trust,

 
  585     

Series 2004-HE2, Class M2, 3.77%, 04/25/2034 (z) (bb)

    555  
  1,045     

Series 2004-HE3, Class M2, 3.58%, 06/25/2034 (z) (bb)

    1,042  
  

Bear Stearns Asset-Backed Securities I Trust,

 
  384     

Series 2004-FR2, Class M3, 3.70%, 06/25/2034 (z)

    379  
  717     

Series 2004-HE6, Class M2, 3.77%, 08/25/2034 (z) (bb)

    715  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Bear Stearns Asset-Backed Securities Trust,

 
  552     

Series 2004-1, Class M1, 2.87%, 06/25/2034 (z) (bb)

    550  
  238     

Series 2004-2, Class M1, 3.10%, 08/25/2034 (z) (bb)

    231  
  

Countrywide Asset-Backed Certificates,

 
  46     

Series 2002-4, Class M1, 3.02%, 12/25/2032 (z) (bb)

    46  
  55     

Series 2003-BC6, Class M2, 3.62%, 10/25/2033 (z) (bb)

    54  
  80     

Series 2004-2, Class M1, 2.65%, 05/25/2034 (z) (bb)

    80  
  291     

Series 2004-3, Class M1, 2.65%, 06/25/2034 (z) (bb)

    283  
  1,000     

Series 2005-12, Class M2, 2.39%, 02/25/2036 (z) (bb)

    1,000  
  414     

Series 2005-AB3, Class 1A1, 2.40%, 02/25/2036 (z) (bb)

    407  
  694     

Countrywide Partnership Trust, Series 2004-EC1, Class M2, 2.84%, 01/25/2035 (z) (bb)

    693  
  

Credit-Based Asset Servicing & Securitization LLC,

 
  1,310     

Series 2004-CB4, Class A5, SUB, 6.78%, 05/25/2035

    1,312  
  149     

Series 2005-CB1, Class M2, 2.99%, 01/25/2035 (z) (bb)

    149  
  

CWABS, Inc. Asset-Backed Certificates Trust,

 
  398     

Series 2003-BC1, Class A1, 2.70%, 03/25/2033 (z) (bb)

    392  
  93     

Series 2004-5, Class M3, 3.62%, 07/25/2034 (z) (bb)

    94  
  343     

Series 2004-6, Class M1, 2.80%, 10/25/2034 (z)

    338  
  77     

Series 2004-6, Class M2, 2.87%, 10/25/2034 (z) (bb)

    76  
  253     

Equity One Mortgage Pass-Through Trust, Series 2003-4, Class M1, SUB, 5.87%, 10/25/2034 (bb)

    250  
  485     

First Franklin Mortgage Loan Trust, Series 2005-FF10, Class A1, 2.20%, 11/25/2035 (z) (bb)

    469  
  

Fremont Home Loan Trust,

 
  22     

Series 2003-B, Class M2, 4.33%, 12/25/2033 (z) (bb)

    22  
  468     

Series 2004-2, Class M2, 2.83%, 07/25/2034 (z)

    471  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         11  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  65     

Series 2004-B, Class M7, 4.90%, 05/25/2034 (z)

    56  
  

GSAMP Trust,

 
  582     

Series 2004-OPT, Class M1, 2.77%, 11/25/2034 (z) (bb)

    581  
  281     

Series 2006-HE3, Class A2C, 2.06%, 05/25/2046 (z)

    278  
  254     

Home Equity Asset Trust, Series 2004-7, Class M1, 2.83%, 01/25/2035 (z)

    254  
  

Home Equity Mortgage Loan Asset-Backed Trust,

 
  246     

Series 2004-B, Class M3, 3.10%, 11/25/2034 (z) (bb)

    245  
  238     

Series 2004-B, Class M8, 4.85%, 11/25/2034 (z) (bb)

    217  
  

Long Beach Mortgage Loan Trust,

 
  864     

Series 2004-3, Class M2, 2.80%, 07/25/2034 (z) (bb)

    862  
  496     

Series 2004-3, Class M4, 3.51%, 07/25/2034 (z) (bb)

    497  
  

MASTR Asset-Backed Securities Trust,

 
  87     

Series 2003-NC1, Class M5, 4.78%, 04/25/2033 (z) (bb)

    80  
  517     

Series 2005-NC1, Class M2, 2.65%, 12/25/2034 (z) (bb)

    520  
  

Morgan Stanley ABS Capital I, Inc. Trust,

 
  146     

Series 2003-HE2, Class M2, 4.37%, 08/25/2033 (z) (bb)

    144  
  548     

Series 2004-HE6, Class M1, 2.72%, 08/25/2034 (z)

    552  
  28     

Series 2004-HE8, Class M3, 3.02%, 09/25/2034 (z) (bb)

    28  
  357     

Series 2004-NC5, Class M1, 2.80%, 05/25/2034 (z) (bb)

    355  
  424     

Series 2004-NC6, Class M2, 3.77%, 07/25/2034 (z) (bb)

    418  
  267     

Series 2004-NC7, Class M2, 2.83%, 07/25/2034 (z) (bb)

    269  
  49     

Series 2005-HE1, Class M3, 2.68%, 12/25/2034 (z) (bb)

    45  
  331     

Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-AM3, Class A3, 2.88%, 02/25/2033 (z) (bb)

    324  
  471     

New Century Home Equity Loan Trust, Series 2004-2, Class M3, 2.90%, 08/25/2034 (z) (bb)

    471  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  510     

NovaStar Mortgage Funding Trust, Series 2003-2, Class M3, 5.27%, 09/25/2033 (z) (bb)

    504  
  1,444     

Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class M1, 2.92%, 07/25/2033 (z) (bb)

    1,425  
  

Option One Mortgage Loan Trust,

 
  663     

Series 2004-1, Class M1, 2.80%, 01/25/2034 (z) (bb)

    658  
  645     

Series 2004-1, Class M2, 3.55%, 01/25/2034 (z) (bb)

    632  
  31     

Series 2004-3, Class M2, 2.75%, 11/25/2034 (z) (bb)

    31  
  500     

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M4, 3.14%, 01/25/2036 (z) (bb)

    503  
  

Pretium Mortgage Credit Partners I LLC,

 
  1,393     

Series 2017-NPL1, Class A1, SUB, 3.50%, 04/29/2032 (e)

    1,390  
  683     

Series 2017-NPL2, Class A1, SUB, 3.25%, 03/28/2057 (e) (bb)

    678  
  1,000     

Series 2017-NPL2, Class A2, SUB, 5.50%, 03/28/2057 (e) (bb)

    978  
  

Renaissance Home Equity Loan Trust,

 
  306     

Series 2003-2, Class M1, 3.13%, 08/25/2033 (z) (bb)

    306  
  738     

Series 2004-1, Class M4, 4.60%, 05/25/2034 (z) (bb)

    613  
  79     

Series 2005-1, Class AF6, SUB, 4.97%, 05/25/2035 (bb)

    80  
  370     

Saxon Asset Securities Trust, Series 2003-3, Class M1, 2.87%, 12/25/2033 (z) (bb)

    357  
  816     

Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M2, 3.62%, 02/25/2034 (z) (bb)

    815  
  507     

Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 2.57%, 06/25/2035 (z) (bb)

    506  
  696     

Specialty Underwriting & Residential Finance Trust, Series 2003-BC4, Class M1, 2.80%, 11/25/2034 (z) (bb)

    668  
  

Structured Asset Investment Loan Trust,

 
  168     

Series 2003-BC11, Class M1, 2.87%, 10/25/2033 (z) (bb)

    167  
  385     

Series 2004-7, Class M2, 3.02%, 08/25/2034 (z) (bb)

    370  
  644     

Series 2004-8, Class M9, 5.65%, 09/25/2034 (z)

    630  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  35     

Series 2004-BNC1, Class A5, 3.14%, 09/25/2034 (z) (bb)

    36  
  403     

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4, 2.07%, 12/25/2036 (z) (bb)

    390  
  352     

VOLT LIV LLC, Series 2017-NPL1, Class A1, SUB, 3.50%, 02/25/2047 (e) (bb)

    353  
  690     

VOLT LVII LLC, Series 2017-NPL4, Class A1, SUB, 3.38%, 04/25/2047 (e) (bb)

    688  
  

Wells Fargo Home Equity Asset-Backed Securities Trust,

 
  336     

Series 2004-2, Class M6, 4.72%, 10/25/2034 (z)

    333  
  97     

Series 2004-2, Class M8A, 6.40%, 10/25/2034 (e) (z) (bb)

    94  
    

 

 

 
  

Total Asset-Backed Securities
(Cost $33,212)

    34,861  
    

 

 

 
 

Collateralized Mortgage Obligations — 10.3%

 
  

United States — 10.3%

 

  

Alternative Loan Trust

 
  506     

Series 2004-27CB, Class A1, 6.00%, 12/25/2034

    510  
  126     

Series 2004-28CB, Class 6A1, 6.00%, 01/25/2035

    126  
  95     

Series 2005-11CB, Class 2A1, 5.50%, 06/25/2035

    95  
  22     

Series 2005-19CB, Class A2, IF, 12.77%, 06/25/2035 (z)

    24  
  1,197     

Series 2005-28CB, Class 2A6, 5.00%, 08/25/2035

    1,044  
  846     

Series 2006-14CB, Class A1, 6.00%, 06/25/2036

    713  
  70     

Banc of America Funding Trust, Series 2005-6, Class 1A2, 5.50%, 10/25/2035

    67  
  

Bear Stearns ALT-A Trust

 
  84     

Series 2005-4, Class 23A1, 3.79%, 05/25/2035 (z)

    85  
  652     

Series 2005-4, Class 23A2, 3.79%, 05/25/2035 (z)

    661  
  179     

Series 2005-7, Class 12A3, 2.58%, 08/25/2035 (z)

    177  
  

Bear Stearns ARM Trust

 
  293     

Series 2005-9, Class A1, 3.52%, 10/25/2035 (z)

    299  
  529     

Series 2006-1, Class A1, 3.67%, 02/25/2036 (z)

    532  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  688     

Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC3, Class M1, 2.72%, 06/25/2034 (z) (bb)

    625  
  

Chase Mortgage Finance Trust

 
  310     

Series 2006-S4, Class A5, 6.00%, 12/25/2036

    260  
  122     

Series 2007-A1, Class 1A1, 3.77%, 02/25/2037 (z)

    123  
  162     

Series 2007-A1, Class 8A1, 3.72%, 02/25/2037 (z)

    166  
  

CHL Mortgage Pass-Through Trust

 
  103     

Series 2004-9, Class A7, 5.25%, 06/25/2034

    105  
  503     

Series 2004-25, Class 2A1, 2.58%, 02/25/2035 (z)

    486  
  750     

Series 2005-26, Class 1A11, 5.50%, 11/25/2035

    678  
  630     

Series 2005-31, Class 2A1, 3.30%, 01/25/2036 (z)

    599  
  230     

Series 2006-21, Class A14, 6.00%, 02/25/2037

    203  
  259     

Series 2007-10, Class A4, 5.50%, 07/25/2037

    213  
  145     

Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A, 3.63%, 10/25/2035 (z)

    147  
  

Citigroup Mortgage Loan Trust, Inc.

 
  447     

Series 2005-3, Class 2A2A, 3.57%, 08/25/2035 (z)

    449  
  576     

Series 2005-4, Class A, 3.56%, 08/25/2035 (z)

    581  
  2     

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 2A1, 4.50%, 10/25/2018

    2  
  481     

CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 5A1, 6.00%, 12/25/2034

    510  
  

FHLMC REMIC

 
  6,885     

Series 3768, Class CB, 3.50%, 12/15/2025

    6,993  
  5,485     

Series 3778, Class JA, 3.50%, 04/15/2040

    5,537  
  9,507     

Series 3788, Class FA, 2.43%, 01/15/2041 (z)

    9,551  
  600     

Series 3806, Class L Shares, 3.50%, 02/15/2026

    604  
  1,451     

Series 4005, Class PA, 2.00%, 10/15/2041

    1,366  
  5,521     

Series 4073, Class AJ, 3.00%, 08/15/2038

    5,522  
  1,011     

Series 4112, Class FC, 2.25%, 01/15/2042 (z)

    1,006  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         13  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  5,655     

Series 4118, Class PD, 1.50%, 05/15/2042

    5,302  
  2,197     

Series 4136, Class DJ, 1.75%, 07/15/2042

    2,017  
  8,993     

Series 4223, Class AL, 3.00%, 08/15/2042

    8,949  
  8,032     

Series 4261, Class PA, 3.00%, 07/15/2032

    7,993  
  786     

Series 4323, Class VA, 4.00%, 03/15/2027

    810  
  4,906     

Series 4363, Class B, 3.00%, 12/15/2040

    4,856  
  5,383     

Series 4364, Class A, 3.00%, 08/15/2040

    5,337  
  8,623     

Series 4366, Class KA, 3.00%, 03/15/2041

    8,514  
  1,276     

Series 4446, Class MA, 3.50%, 12/15/2050

    1,281  
  1,194     

Series 4467, Class AB, 3.00%, 07/15/2041

    1,180  
  1,052     

Series 4480, Class QA, 3.00%, 11/15/2043

    1,040  
  1,561     

Series 4494, Class KA, 3.75%, 10/15/2042

    1,591  
  4,182     

Series 4496, Class CA, 2.00%, 07/15/2031

    4,042  
  6,189     

Series 4510, Class HB, 2.00%, 03/15/2040

    5,924  
  3,678     

Series 4622, Class HA, 3.00%, 11/15/2043

    3,621  
  524     

Series 4639, Class AC, 3.00%, 05/15/2040

    520  
  879     

Series 4669, Class VJ, 4.00%, 05/15/2028

    905  
  4,260     

Series 4709, Class EA, 3.00%, 01/15/2046

    4,201  
  10,738     

Series 4768, Class DA, 4.00%, 06/15/2043

    10,945  
  13,288     

Series 4776, Class DJ, 4.00%, 04/15/2041

    13,594  
  8,400     

Series 4790, Class ED, 3.50%, 07/15/2042

    8,451  
  

FHLMC STRIPS

 
  1,161     

Series 242, Class F29, 2.15%, 11/15/2036 (z)

    1,164  
  528     

Series 311, Class F1, 2.45%, 08/15/2043 (z)

    531  
  6,957     

Series 317, Class F3, 2.42%, 11/15/2043 (z)

    7,026  
  1,143     

Series 326, Class F2, 2.45%, 03/15/2044 (z)

    1,153  
  

FNMA REMIC

 
  138     

Series 2005-10, Class BK, 5.00%, 03/25/2025

    144  
  2,511     

Series 2006-5, Class 1A, 2.03%, 08/25/2034 (z)

    2,632  
  1,247     

Series 2007-30, Class LF, 2.21%, 04/25/2037 (z)

    1,251  
  2,820     

Series 2010-142, Class FM, 2.37%, 12/25/2040 (z)

    2,823  
  12,343     

Series 2011-53, Class FT, 2.48%, 06/25/2041 (z)

    12,514  
  1,991     

Series 2012-87, Class CA, 2.00%, 06/25/2039

    1,914  
  7,054     

Series 2012-122, Class FM, 2.30%, 11/25/2042 (z)

    7,100  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  2,496     

Series 2013-20, Class CA, 2.50%, 01/25/2043

    2,423  
  3,169     

Series 2013-26, Class AK, 2.50%, 11/25/2038

    3,095  
  9,785     

Series 2013-58, Class KJ, 3.00%, 02/25/2043

    9,677  
  10,710     

Series 2013-101, Class FE, 2.50%, 10/25/2043 (z)

    10,857  
  488     

Series 2013-135, Class GA, 3.00%, 07/25/2032

    486  
  1,280     

Series 2014-29, Class BA, 3.00%, 03/25/2040

    1,269  
  4,476     

Series 2014-36, Class EJ, 3.00%, 06/25/2040

    4,424  
  6,761     

Series 2015-15, Class GH, 2.50%, 03/25/2041

    6,564  
  2,821     

Series 2015-54, Class FA, 2.25%, 07/25/2045 (z)

    2,814  
  3,504     

Series 2015-55, Class QA, 3.50%, 10/25/2042

    3,500  
  6,263     

Series 2016-8, Class FA, 2.35%, 03/25/2046 (z)

    6,303  
  4,319     

Series 2016-25, Class FL, 2.40%, 05/25/2046 (z)

    4,363  
  1,046     

Series 2016-40, Class FA, 2.55%, 07/25/2046 (z)

    1,066  
  443     

Series 2016-40, Class PA, 3.00%, 07/25/2045

    439  
  8,202     

Series 2016-63, Class AF, 2.40%, 09/25/2046 (z)

    8,293  
  1,856     

Series 2016-75, Class FC, 2.30%, 10/25/2046 (z)

    1,863  
  1,545     

Series 2016-103, Class LA, 3.00%, 05/25/2044

    1,519  
  12,435     

Series 2017-4, Class AH, 3.00%, 05/25/2041

    12,344  
  14,970     

Series 2017-4, Class BA, 3.50%, 05/25/2041

    15,065  
  15,500     

Series 2017-41, Class ME, 3.00%, 05/25/2053

    15,272  
  19,256     

Series 2017-49, Class JA, 4.00%, 07/25/2053

    19,785  
  4,294     

Series 2017-50, Class CB, 2.00%, 04/25/2041

    4,168  
  6,313     

Series 2017-50, Class FB, 2.30%, 07/25/2047 (z)

    6,349  
  4,601     

Series 2017-96, Class KA, 3.00%, 01/25/2055

    4,525  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  1,866     

Series 2017-99, Class MA, 3.50%, 05/25/2053

    1,875  
  

GNMA

 
  2,269     

Series 2008-35, Class FH, 2.50%, 04/20/2038 (z)

    2,298  
  2,412     

Series 2014-117, Class FP, 2.20%, 06/20/2043 (z)

    2,412  
  372     

GSR Mortgage Loan Trust, Series 2004-11, Class 2A2, 3.74%, 09/25/2034 (z)

    374  
  

Impac CMB Trust

 
  96     

Series 2004-6, Class 1A2, 2.68%, 10/25/2034 (z)

    93  
  499     

Series 2005-2, Class 2A2, 2.70%, 04/25/2035 (z)

    484  
  366     

Series 2005-4, Class 2A2, 2.66%, 05/25/2035 (z)

    348  
  388     

Series 2005-4, Class 2B1, 4.37%, 05/25/2035 (z) (bb)

    370  
  258     

Series 2005-4, Class 2M2, 3.02%, 05/25/2035 (z)

    238  
  258     

JP Morgan Mortgage Trust, Series 2005-A8, Class 2A3, 3.45%, 11/25/2035 (z)

    255  
  294     

MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, 3.82%, 04/21/2034 (z)

    301  
  136     

MASTR Alternative Loan Trust, Series 2004-6, Class 8A1, 5.50%, 07/25/2034

    139  
  64     

Merrill Lynch Mortgage Investors Trust, Series 2005-1, Class 2A1, 3.41%, 04/25/2035 (z)

    63  
  

Merrill Lynch Mortgage Investors Trust MLMI

 
  118     

Series 2003-A4, Class 3A, 3.98%, 05/25/2033 (z)

    117  
  60     

Series 2005-A2, Class A3, 3.55%, 02/25/2035 (z)

    61  
  

Morgan Stanley Mortgage Loan Trust

 
  129     

Series 2004-5AR, Class 4A, 3.87%, 07/25/2034 (z)

    127  
  336     

Series 2004-7AR, Class 2A6, 3.58%, 09/25/2034 (z)

    345  
  273     

Series 2004-11AR, Class 1A2A, 2.21%, 01/25/2035 (z)

    265  
  413     

MortgageIT Trust, Series 2005-1, Class 1B1, 3.40%, 02/25/2035 (z) (bb)

    396  
  

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates

 
  480     

Series 2005-4, Class 1A2, 2.29%, 11/25/2035 (z)

    473  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  815     

Series 2005-5, Class 1APT, 2.18%, 12/25/2035 (z)

    798  
  

Opteum Mortgage Acceptance Corp. Trust

 
  679     

Series 2006-1, Class 1AC1, 2.20%, 04/25/2036 (z)

    655  
  952     

Series 2006-1, Class 1APT, 2.11%, 04/25/2036 (z)

    892  
  

RALI Trust

 
  812     

Series 2006-QS3, Class 1A10, 6.00%, 03/25/2036

    760  
  70     

Series 2006-QS18, Class 3A1, 5.75%, 12/25/2021

    67  
  

RFMSI Trust

 
  2     

Series 2003-S15, Class A1, 4.50%, 08/25/2018

    2  
  4     

Series 2003-S16, Class A2, 4.50%, 09/25/2018

    4  
  789     

Series 2006-S10, Class 1A1, 6.00%, 10/25/2036

    745  
  1     

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 4A3, 3.58%, 08/25/2035 (z)

    1  
  

WaMu Mortgage Pass-Through Certificates Trust

 
  2     

Series 2003-S8, Class A2, 5.00%, 09/25/2018

    2  
  23     

Series 2004-CB2, Class 5A, 5.00%, 07/25/2019

    23  
  763     

Series 2005-AR3, Class A1, 3.66%, 03/25/2035 (z)

    750  
  559     

Series 2005-AR5, Class A6, 3.27%, 05/25/2035 (z)

    564  
  417     

Series 2005-AR7, Class A3, 3.28%, 08/25/2035 (z)

    420  
  272     

Series 2005-AR10, Class 1A3, 3.33%, 09/25/2035 (z)

    275  
  365     

Series 2005-AR14, Class 1A4, 3.41%, 12/25/2035 (z)

    362  
  

Wells Fargo Mortgage-Backed Securities Trust

 
  190     

Series 2003-H, Class A1, 3.59%, 09/25/2033 (z)

    193  
  223     

Series 2003-K, Class 1A1, 3.57%, 11/25/2033 (z)

    226  
  239     

Series 2003-M, Class A1, 3.73%, 12/25/2033 (z)

    245  
  632     

Series 2004-CC, Class A1, 3.75%, 01/25/2035 (z)

    645  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         15  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  306     

Series 2004-DD, Class 1A1, 3.77%, 01/25/2035 (z)

    317  
  139     

Series 2004-H, Class A1, 3.40%, 06/25/2034 (z)

    142  
  65     

Series 2004-K, Class 1A2, 3.48%, 07/25/2034 (z)

    66  
  170     

Series 2004-N, Class A7, 3.48%, 08/25/2034 (z)

    172  
  194     

Series 2004-Z, Class 2A2, 3.74%, 12/25/2034 (z)

    198  
  102     

Series 2004-EE, Class 2A2, 3.52%, 12/25/2034 (z)

    105  
  866     

Series 2005-AR1, Class 1A1, 3.84%, 02/25/2035 (z)

    884  
  282     

Series 2005-AR2, Class 2A2, 3.91%, 03/25/2035 (z)

    288  
  102     

Series 2005-AR2, Class 3A1, 3.88%, 03/25/2035 (z)

    103  
  379     

Series 2005-AR3, Class 1A1, 3.64%, 03/25/2035 (z)

    389  
  460     

Series 2005-AR10, Class 2A1, 3.71%, 06/25/2035 (z)

    472  
  501     

Series 2005-AR14, Class A1, 3.48%, 08/25/2035 (z)

    508  
  218     

Series 2005-AR16, Class 6A3, 3.66%, 10/25/2035 (z)

    219  
  48     

Series 2006-AR2, Class 2A3, 3.77%, 03/25/2036 (z)

    48  
  171     

Series 2006-AR3, Class A3, 4.02%, 03/25/2036 (z)

    170  
  504     

Series 2006-AR6, Class 7A1, 3.65%, 03/25/2036 (z)

    510  
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $352,392)

    349,101  
    

 

 

 
 

Commercial Mortgage-Backed Securities — 0.2%

 
  

United States — 0.2%

 

  

GPMT,

 
  1,000     

Series 2018-FL1, Class AS, 3.10%, 12/19/2035 (e) (w) (z)

    1,000  
  1,000     

Series 2018-FL1, Class B12/19/2035 (e) (w) (z)

    1,000  
  

JP Morgan Chase Commercial Mortgage Securities Trust,

 
  461     

Series 2007-LD11, Class AM, 6.18%, 06/15/2049 (z)

    469  
  201     

Series 2007-LDPX, Class AM, 5.46%, 01/15/2049 (z)

    201  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  368     

LB Commercial Mortgage Trust, Series 2007-C3, Class AJ, 6.09%, 07/15/2044 (z)

    374  
  1,540     

LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class AJ, 5.45%, 09/15/2039 (z)

    1,171  
  653     

Morgan Stanley Capital I Trust, Series 2006-HQ10, Class AJ, 5.39%, 11/12/2041 (z)

    653  
  1,000     

Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class C, 6.17%, 04/15/2047 (z) (bb)

    1,017  
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $6,152)

    5,885  
    

 

 

 
    
SHARES
              
 

Common Stocks — 53.5%

 
  

Argentina — 0.0% (g)

  5     

MercadoLibre, Inc.

    1,672  
    

 

 

 
  

Australia — 1.1%

 

  378     

Australia & New Zealand Banking Group Ltd.

    7,596  
  401     

BHP Billiton Ltd.

    9,366  
  39     

Commonwealth Bank of Australia

    2,103  
  17     

CSL Ltd.

    2,160  
  467     

Dexus

    3,321  
  723     

Goodman Group

    4,916  
  25     

Macquarie Group Ltd.

    2,019  
  31     

National Australia Bank Ltd.

    667  
  55     

Oil Search Ltd.

    324  
  113     

Wesfarmers Ltd.

    3,711  
  54     

Westpac Banking Corp.

    1,153  
    

 

 

 
       37,336  
    

 

 

 
  

Austria — 0.2%

 

  135     

Erste Group Bank AG (a)

    6,597  
    

 

 

 
  

Belgium — 0.3%

 

  82     

Anheuser-Busch InBev SA/NV

    8,159  
  24     

KBC Group NV

    2,102  
    

 

 

 
       10,261  
    

 

 

 
  

Brazil — 0.5%

 

  452     

Ambev SA, ADR

    2,994  
  286     

Cielo SA

    1,568  
  295     

Itau Unibanco Holding SA (Preference)

    4,277  
  244     

Lojas Renner SA

    2,263  
  53     

Raia Drogasil SA (a)

    1,033  
  116     

Ultrapar Participacoes SA

    2,003  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

Brazil — continued

 

  25     

Vale SA, ADR (a)

    349  
  281     

WEG SA

    1,427  
    

 

 

 
       15,914  
    

 

 

 
  

Canada — 0.2%

 

  28     

Canadian Pacific Railway Ltd.

    5,185  
  3     

Fairfax Financial Holdings Ltd.

    1,484  
  54     

Gildan Activewear, Inc.

    1,582  
    

 

 

 
       8,251  
    

 

 

 
  

Chile — 0.1%

 

  69     

Banco Santander Chile, ADR

    2,267  
    

 

 

 
  

China — 1.2%

 

  44     

Alibaba Group Holding Ltd., ADR (a)

    7,826  
  13     

Baidu, Inc., ADR (a)

    3,349  
  849     

BOC Hong Kong Holdings Ltd.

    4,389  
  509     

CNOOC Ltd.

    861  
  88     

JD.com, Inc., ADR (a)

    3,200  
  658     

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

    6,430  
  270     

Tencent Holdings Ltd.

    13,279  
  312     

Tsingtao Brewery Co. Ltd., Class H

    1,615  
    

 

 

 
       40,949  
    

 

 

 
  

Denmark — 0.4%

 

  25     

Chr Hansen Holding A/S

    2,245  
  82     

Danske Bank A/S

    2,841  
  138     

Novo Nordisk A/S, Class B

    6,494  
  22     

Royal Unibrew A/S

    1,470  
    

 

 

 
       13,050  
    

 

 

 
  

Finland — 0.7%

 

  43     

Cargotec OYJ, Class B

    2,173  
  19     

Metso OYJ

    681  
  55     

Neste OYJ

    4,632  
  730     

Nokia OYJ

    4,378  
  469     

Outokumpu OYJ

    3,037  
  105     

Stora Enso OYJ, Class R

    2,071  
  87     

UPM-Kymmene OYJ

    3,107  
  88     

Wartsila OYJ Abp

    1,859  
    

 

 

 
       21,938  
    

 

 

 
  

France — 4.0%

 

  77     

Air Liquide SA

    10,010  
  96     

Airbus SE

    11,248  
  100     

Alstom SA

    4,568  

SHARES

     SECURITY DESCRIPTION   VALUE  
  

France — continued

 

  297     

AXA SA

    8,483  
  176     

BNP Paribas SA

    13,625  
  61     

Capgemini SE

    8,459  
  104     

Credit Agricole SA

    1,709  
  16     

Dassault Systemes SE

    2,018  
  79     

Engie SA

    1,393  
  29     

Faurecia SA

    2,344  
  6     

Kering SA

    3,599  
  11     

LVMH Moet Hennessy Louis Vuitton SE

    3,770  
  165     

Orange SA

    3,007  
  47     

Pernod Ricard SA

    7,743  
  51     

Peugeot SA

    1,256  
  63     

Renault SA

    6,879  
  100     

Sanofi

    7,875  
  91     

Schneider Electric SE (a)

    8,242  
  53     

Sodexo SA

    5,242  
  236     

TOTAL SA

    14,834  
  55     

Vinci SA

    5,512  
  108     

Vivendi SA

    2,842  
    

 

 

 
       134,658  
    

 

 

 
  

Germany — 2.8%

 

  16     

adidas AG

    3,919  
  18     

AIXTRON SE (a)

    257  
  25     

Allianz SE (Registered)

    5,798  
  65     

BASF SE

    6,713  
  76     

Bayer AG (Registered)

    9,032  
  82     

Brenntag AG

    4,718  
  15     

Covestro AG, Reg. S (e)

    1,367  
  114     

Daimler AG (Registered)

    8,970  
  91     

Deutsche Bank AG (Registered)

    1,238  
  37     

Deutsche Boerse AG

    4,976  
  150     

Deutsche Post AG (Registered)

    6,492  
  302     

Deutsche Telekom AG (Registered)

    5,291  
  54     

Evotec AG (a)

    872  
  11     

Hannover Rueck SE

    1,489  
  14     

HeidelbergCement AG

    1,337  
  47     

Henkel AG & Co. KGaA (Preference)

    5,996  
  211     

Infineon Technologies AG

    5,406  
  8     

Linde AG (a)

    1,697  
  40     

ProSiebenSat.1 Media SE

    1,466  
  99     

SAP SE

    10,987  
  35     

Siemens AG (Registered)

    4,419  
  21     

Wirecard AG

    2,840  
    

 

 

 
       95,280  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         17  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

Hong Kong — 0.8%

 

  1,764     

AIA Group Ltd.

    15,767  
  379     

CK Asset Holdings Ltd.

    3,271  
  23     

CK Hutchison Holdings Ltd.

    272  
  449     

CK Hutchison Holdings Ltd.

    5,314  
  64     

I-CABLE Communications Ltd. (a)

    1  
  54     

Jardine Matheson Holdings Ltd.

    3,240  
    

 

 

 
       27,865  
    

 

 

 
  

India — 0.7%

 

  147     

HDFC Bank Ltd., ADR

    14,080  
  395     

Infosys Ltd., ADR

    6,986  
  110     

Mahindra & Mahindra Ltd., Reg. S, GDR

    1,436  
  189     

Mahindra & Mahindra Ltd., Reg. S, GDR

    2,472  
    

 

 

 
       24,974  
    

 

 

 
  

Indonesia — 0.2%

 

  3,306     

Astra International Tbk. PT

    1,692  
  1,297     

Bank Central Asia Tbk. PT

    2,051  
  9,060     

Bank Rakyat Indonesia Persero Tbk. PT

    2,089  
  282     

Unilever Indonesia Tbk. PT

    937  
    

 

 

 
       6,769  
    

 

 

 
  

Ireland — 0.1%

 

  46     

Ryanair Holdings plc, ADR (a)

    5,024  
    

 

 

 
  

Israel — 0.0% (g)

  71     

Teva Pharmaceutical Industries Ltd., ADR

    1,285  
    

 

 

 
  

Italy — 0.9%

 

  271     

Assicurazioni Generali SpA

    5,477  
  45     

Banca Generali SpA

    1,455  
  1,459     

Enel SpA

    9,253  
  13     

Ferrari NV

    1,587  
  716     

Intesa Sanpaolo SpA

    2,723  
  2,965     

Telecom Italia SpA (a)

    2,925  
  286     

UniCredit SpA

    6,204  
    

 

 

 
       29,624  
    

 

 

 
  

Japan — 5.6%

 

  55     

Asahi Group Holdings Ltd.

    2,787  
  157     

Bridgestone Corp.

    6,542  
  18     

Central Japan Railway Co.

    3,587  
  308     

Daicel Corp.

    3,550  
  62     

Daikin Industries Ltd.

    7,184  
  176     

DMG Mori Co. Ltd.

    3,281  
  37     

Electric Power Development Co. Ltd.

    993  
  237     

Hitachi Ltd.

    1,730  

SHARES

     SECURITY DESCRIPTION   VALUE  
  

Japan — continued

 

  224     

Honda Motor Co. Ltd.

    7,699  
  118     

Japan Airlines Co. Ltd.

    4,641  
  153     

Japan Tobacco, Inc.

    4,118  
  80     

Kao Corp.

    5,780  
  63     

KDDI Corp.

    1,688  
  3     

Keyence Corp.

    1,768  
  85     

Kyowa Hakko Kirin Co. Ltd.

    1,831  
  104     

Kyushu Electric Power Co., Inc.

    1,284  
  120     

Mabuchi Motor Co. Ltd.

    6,019  
  290     

Marui Group Co. Ltd.

    6,019  
  277     

Mitsubishi Corp.

    7,649  
  1,408     

Mitsubishi UFJ Financial Group, Inc.

    9,434  
  185     

NGK Spark Plug Co. Ltd.

    4,755  
  5     

Nintendo Co. Ltd.

    2,059  
  98     

Nippon Telegraph & Telephone Corp.

    4,627  
  72     

Nomura Research Institute Ltd.

    3,688  
  77     

Olympus Corp.

    2,856  
  69     

Otsuka Corp.

    3,183  
  116     

Otsuka Holdings Co. Ltd.

    6,039  
  352     

Panasonic Corp.

    5,206  
  599     

Renesas Electronics Corp. (a)

    6,245  
  158     

Seven & i Holdings Co. Ltd.

    6,962  
  44     

Sony Corp.

    2,055  
  247     

Sumitomo Electric Industries Ltd.

    3,786  
  170     

Sumitomo Mitsui Financial Group, Inc.

    7,102  
  293     

T&D Holdings, Inc.

    4,981  
  107     

Tokio Marine Holdings, Inc.

    5,045  
  63     

Tokyo Gas Co. Ltd.

    1,685  
  309     

Tokyu Corp.

    5,180  
  537     

Toray Industries, Inc.

    5,011  
  191     

Toyota Motor Corp.

    12,505  
  62     

West Japan Railway Co.

    4,347  
  168     

Yamato Holdings Co. Ltd.

    4,327  
    

 

 

 
       189,228  
    

 

 

 
  

Luxembourg — 0.1%

 

  125     

ArcelorMittal

    4,224  
    

 

 

 
  

Macau — 0.1%

 

  490     

Sands China Ltd.

    2,834  
    

 

 

 
  

Malaysia — 0.0% (g)

  222     

Public Bank Bhd.

    1,340  
    

 

 

 
  

Mexico — 0.2%

 

  19     

Fomento Economico Mexicano SAB de CV, ADR

    1,875  
  235     

Grupo Financiero Banorte SAB de CV, Class O

    1,471  
  768     

Wal-Mart de Mexico SAB de CV

    2,136  
    

 

 

 
       5,482  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

Netherlands — 1.9%

 

  89     

ABN AMRO Group NV, Reg. S, CVA (e)

    2,770  
  51     

Akzo Nobel NV

    4,661  
  16     

AMG Advanced Metallurgical Group NV

    767  
  43     

ASML Holding NV

    8,276  
  40     

Heineken NV

    4,185  
  754     

ING Groep NV

    12,703  
  38     

Koninklijke DSM NV

    3,914  
  113     

Koninklijke Philips NV

    4,779  
  255     

Royal Dutch Shell plc, Class A

    8,863  
  345     

Royal Dutch Shell plc, Class B

    12,304  
    

 

 

 
       63,222  
    

 

 

 
  

Norway — 0.1%

 

  89     

Telenor ASA

    1,969  
    

 

 

 
  

Peru — 0.1%

 

  12     

Credicorp Ltd.

    2,725  
    

 

 

 
  

Russia — 0.2%

 

  62     

Magnit PJSC, Reg. S, GDR

    1,166  
  649     

Sberbank of Russia PJSC

    2,313  
  140     

Sberbank of Russia PJSC, ADR

    2,063  
    

 

 

 
       5,542  
    

 

 

 
  

Singapore — 0.3%

 

  216     

DBS Group Holdings Ltd.

    4,988  
  218     

United Overseas Bank Ltd.

    4,934  
    

 

 

 
       9,922  
    

 

 

 
  

South Africa — 0.5%

 

  53     

Bid Corp. Ltd.

    1,219  
  128     

Bidvest Group Ltd. (The)

    2,504  
  18     

Capitec Bank Holdings Ltd.

    1,305  
  574     

FirstRand Ltd.

    3,075  
  42     

Mr Price Group Ltd.

    916  
  59     

MTN Group Ltd.

    589  
  150     

RMB Holdings Ltd.

    943  
  244     

Sanlam Ltd.

    1,540  
  102     

Shoprite Holdings Ltd.

    2,032  
  44     

Tiger Brands Ltd.

    1,383  
    

 

 

 
       15,506  
    

 

 

 
  

South Korea — 0.3%

 

  17     

Hyundai Motor Co.

    2,572  
  3     

Samsung Electronics Co. Ltd. (bb)

    7,728  
    

 

 

 
       10,300  
    

 

 

 

SHARES

     SECURITY DESCRIPTION   VALUE  
  

Spain — 0.9%

 

  668     

Banco Santander SA

    4,318  
  958     

Bankia SA

    4,206  
  1,200     

Iberdrola SA

    9,268  
  216     

Industria de Diseno Textil SA

    6,690  
  221     

Repsol SA

    4,217  
  305     

Telefonica SA

    3,106  
    

 

 

 
       31,805  
    

 

 

 
  

Sweden — 0.3%

 

  190     

Dometic Group AB (e)

    1,823  
  433     

Svenska Handelsbanken AB, Class A

    4,829  
  37     

Swedish Orphan Biovitrum AB (a)

    794  
  171     

Volvo AB, Class B

    2,903  
    

 

 

 
       10,349  
    

 

 

 
  

Switzerland — 2.7%

 

  52     

Cie Financiere Richemont SA (Registered)

    4,982  
  237     

Credit Suisse Group AG (Registered) (a)

    3,989  
  88     

Ferguson plc

    6,735  
  2     

Georg Fischer AG (Registered)

    2,136  
  12     

LafargeHolcim Ltd. (Registered) (a)

    642  
  101     

LafargeHolcim Ltd. (Registered) (a)

    5,624  
  51     

Logitech International SA (Registered)

    1,885  
  194     

Nestle SA (Registered)

    14,994  
  188     

Novartis AG (Registered)

    14,455  
  4     

Partners Group Holding AG

    2,984  
  63     

Roche Holding AG

    13,944  
  6     

Swatch Group AG (The)

    2,924  
  85     

Swiss Re AG

    8,106  
  271     

UBS Group AG (Registered) (a)

    4,542  
  16     

VAT Group AG, Reg. S (a) (e)

    2,392  
  5     

Zurich Insurance Group AG (a)

    1,751  
    

 

 

 
       92,085  
    

 

 

 
  

Taiwan — 0.5%

 

  385     

Delta Electronics, Inc.

    1,395  
  6     

Largan Precision Co. Ltd.

    698  
  307     

President Chain Store Corp.

    3,018  
  270     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    10,393  
    

 

 

 
       15,504  
    

 

 

 
  

Thailand — 0.1%

 

  126     

Siam Cement PCL (The) (Registered)

    1,862  
  347     

Siam Commercial Bank PCL (The)

    1,440  
    

 

 

 
       3,302  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         19  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

Turkey — 0.0% (g)

  168     

KOC Holding A/S

    566  
    

 

 

 
  

United Kingdom — 3.5%

 

  347     

3i Group plc

    4,473  
  27     

AstraZeneca plc

    1,893  
  669     

Aviva plc

    4,859  
  243     

Barratt Developments plc

    1,866  
  1,050     

BP plc

    7,803  
  217     

British American Tobacco plc

    11,909  
  157     

Burberry Group plc

    3,954  
  20     

Diageo plc

    703  
  424     

Dixons Carphone plc

    1,182  
  147     

Fiat Chrysler Automobiles NV (a)

    3,264  
  376     

GlaxoSmithKline plc

    7,534  
  906     

HSBC Holdings plc

    9,019  
  66     

InterContinental Hotels Group plc

    4,156  
  204     

International Consolidated Airlines Group SA

    1,760  
  1,583     

ITV plc

    3,294  
  4,354     

Lloyds Banking Group plc

    3,861  
  345     

Prudential plc

    8,880  
  119     

Rio Tinto Ltd.

    7,074  
  24     

Rio Tinto plc

    1,287  
  634     

Standard Chartered plc

    6,658  
  903     

Taylor Wimpey plc

    2,378  
  43     

TechnipFMC plc

    1,405  
  84     

Unilever NV ,CVA

    4,811  
  3,712     

Vodafone Group plc

    10,832  
  25     

Whitbread plc

    1,495  
    

 

 

 
       116,350  
    

 

 

 
  

United States — 21.9%

 

  57     

Acadia Healthcare Co., Inc. (a)

    2,044  
  20     

Adobe Systems, Inc. (a)

    4,323  
  20     

AdvanSix, Inc. (a)

    707  
  10     

Aetna, Inc.

    1,755  
  2     

Alleghany Corp.

    1,059  
  16     

Allergan plc

    2,406  
  82     

Ally Financial, Inc.

    2,136  
  7     

Alphabet, Inc., Class A (a)

    7,544  
  16     

Alphabet, Inc., Class C (a)

    16,497  
  11     

Amazon.com, Inc. (a)

    17,043  
  43     

American Electric Power Co., Inc.

    3,035  
  9     

American Express Co.

    921  
  85     

American Homes 4 Rent, Class A

    1,721  
  73     

American International Group, Inc.

    4,110  

SHARES

    SECURITY DESCRIPTION   VALUE  
 

United States — continued

 

  19    

AmerisourceBergen Corp.

    1,725  
  30    

Amphenol Corp., Class A

    2,485  
  17    

Analog Devices, Inc.

    1,442  
  96    

Apple, Inc. (j)

    15,917  
  53    

Applied Materials, Inc.

    2,651  
  9    

Arista Networks, Inc. (a)

    2,449  
  22    

Arrow Electronics, Inc. (a)

    1,653  
  5    

AutoZone, Inc. (a)

    3,006  
  19    

Avaya Holdings Corp. (a)

    439  
  99    

Ball Corp.

    3,952  
  309    

Bank of America Corp.

    9,251  
  34    

Becton Dickinson and Co.

    7,844  
  (h)   

Berkshire Hathaway, Inc., Class A (a)

    18,602  
  18    

Best Buy Co., Inc.

    1,394  
  5    

BlackRock, Inc.

    2,546  
  15    

Boeing Co. (The)

    4,963  
  2    

Booking Holdings, Inc. (a)

    3,629  
  43    

Brinker International, Inc.

    1,880  
  120    

Brixmor Property Group, Inc.

    1,787  
  19    

Broadcom, Inc.

    4,300  
  68    

Capital One Financial Corp. (j)

    6,121  
  20    

Carlisle Cos., Inc.

    2,193  
  37    

Cavium, Inc. (a)

    2,763  
  109    

CBRE Group, Inc., Class A (a) (j)

    4,944  
  32    

CBS Corp. (Non-Voting), Class B

    1,582  
  158    

Charles Schwab Corp. (The)

    8,819  
  9    

Charter Communications, Inc., Class A (a)

    2,395  
  16    

Chubb Ltd.

    2,226  
  73    

Cisco Systems, Inc.

    3,247  
  54    

Citigroup, Inc.

    3,665  
  64    

Citizens Financial Group, Inc.

    2,655  
  48    

Clear Channel Outdoor Holdings, Inc., Class A

    229  
  7    

Clorox Co. (The)

    799  
  31    

CNO Financial Group, Inc.

    675  
  151    

Coca-Cola Co. (The)

    6,523  
  21    

Columbia Sportswear Co.

    1,759  
  38    

Comcast Corp., Class A

    1,187  
  30    

Comerica, Inc.

    2,821  
  55    

CommScope Holding Co., Inc. (a)

    2,092  
  26    

Concho Resources, Inc. (a)

    4,110  
  46    

ConocoPhillips

    3,036  
  19    

Constellation Brands, Inc., Class A

    4,492  
  57    

Copart, Inc. (a)

    2,900  
  89    

Corning, Inc.

    2,407  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

United States — continued

 

  93     

Coty, Inc., Class A

    1,616  
  16     

CVS Health Corp.

    1,103  
  27     

Deere & Co.

    3,714  
  122     

Delta Air Lines, Inc. (j)

    6,382  
  13     

DexCom, Inc. (a)

    942  
  27     

Dick’s Sporting Goods, Inc.

    885  
  97     

DISH Network Corp., Class A (a)

    3,271  
  25     

Dover Corp.

    2,325  
  27     

Dr Pepper Snapple Group, Inc.

    3,196  
  16     

Duke Energy Corp.

    1,302  
  22     

Eagle Materials, Inc.

    2,198  
  50     

East West Bancorp, Inc.

    3,311  
  16     

EastGroup Properties, Inc.

    1,430  
  23     

Edison International

    1,515  
  34     

Electronic Arts, Inc. (a)

    3,973  
  22     

Energizer Holdings, Inc.

    1,237  
  124     

Entercom Communications Corp., Class A (j)

    1,257  
  22     

EOG Resources, Inc.

    2,648  
  43     

EQT Corp.

    2,159  
  25     

Eversource Energy

    1,495  
  82     

Evolent Health, Inc., Class A (a)

    1,347  
  33     

Exact Sciences Corp. (a)

    1,626  
  52     

Exelixis, Inc. (a)

    1,086  
  13     

Expedia Group, Inc.

    1,466  
  85     

Extended Stay America, Inc.

    1,657  
  67     

Exxon Mobil Corp. (j)

    5,197  
  48     

Facebook, Inc., Class A (a)

    8,330  
  29     

Fastenal Co.

    1,446  
  9     

Federal Realty Investment Trust

    1,068  
  64     

Fifth Third Bancorp

    2,113  
  29     

First Republic Bank

    2,692  
  123     

Fiserv, Inc. (a)

    8,731  
  40     

Fortune Brands Home & Security, Inc.

    2,187  
  34     

Gap, Inc. (The)

    996  
  23     

Gartner, Inc. (a)

    2,729  
  15     

Genuine Parts Co.

    1,326  
  40     

Global Payments, Inc.

    4,556  
  58     

GoDaddy, Inc., Class A (a)

    3,776  
  2     

Goodman Private (a) (bb)

     
  102     

Graphic Packaging Holding Co.

    1,465  
  22     

Guidewire Software, Inc. (a)

    1,844  
  52     

Hartford Financial Services Group, Inc. (The)

    2,801  
  15     

HCA Healthcare, Inc.

    1,418  
  75     

Hewlett Packard Enterprise Co.

    1,284  

SHARES

     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  71     

Hilton Worldwide Holdings, Inc.

    5,600  
  10     

Home Depot, Inc. (The)

    1,796  
  22     

Honeywell International, Inc.

    3,189  
  22     

Illinois Tool Works, Inc. (j)

    3,120  
  13     

Illumina, Inc. (a)

    3,077  
  19     

Intercept Pharmaceuticals, Inc. (a)

    1,294  
  6     

Intuitive Surgical, Inc. (a)

    2,741  
  45     

Invesco Ltd.

    1,300  
  18     

Jazz Pharmaceuticals plc (a)

    2,784  
  6     

John Bean Technologies Corp.

    623  
  35     

Johnson & Johnson

    4,455  
  41     

KapStone Paper and Packaging Corp.

    1,406  
  107     

Kimco Realty Corp.

    1,559  
  175     

Kinder Morgan, Inc.

    2,761  
  43     

Kohl’s Corp.

    2,661  
  10     

Kraft Heinz Co. (The)

    538  
  75     

Kroger Co. (The)

    1,878  
  73     

La Quinta Holdings, Inc. (a)

    1,422  
  22     

Lennox International, Inc.

    4,216  
  78     

LKQ Corp. (a)

    2,417  
  93     

Loews Corp. (j)

    4,890  
  18     

Lululemon Athletica, Inc. (a)

    1,823  
  25     

M&T Bank Corp.

    4,603  
  35     

Marathon Petroleum Corp.

    2,599  
  9     

Marsh & McLennan Cos., Inc.

    749  
  13     

Martin Marietta Materials, Inc.

    2,483  
  69     

Mastercard, Inc., Class A

    12,266  
  13     

Medtronic plc

    1,031  
  69     

Merck & Co., Inc.

    4,063  
  150     

Microsoft Corp. (j)

    14,013  
  25     

Mid-America Apartment Communities, Inc.

    2,260  
  10     

Middleby Corp. (The) (a)

    1,239  
  19     

Mohawk Industries, Inc. (a)

    4,004  
  30     

Molson Coors Brewing Co., Class B

    2,116  
  32     

Monster Beverage Corp. (a)

    1,733  
  42     

Morgan Stanley

    2,189  
  23     

Murphy USA, Inc. (a)

    1,437  
  29     

Nasdaq, Inc.

    2,571  
  16     

Netflix, Inc. (a)

    5,062  
  30     

Nexstar Media Group, Inc., Class A

    1,879  
  73     

NextEra Energy, Inc.

    11,951  
  1     

NII Holdings, Inc. (a)

    3  
  13     

Nordson Corp.

    1,647  
  40     

Nordstrom, Inc.

    2,020  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         21  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

SHARES

     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Common Stocks — continued

 
  

United States — continued

 

  19     

Northern Trust Corp.

    2,040  
  9     

Northrop Grumman Corp.

    3,040  
  18     

NVIDIA Corp. (j)

    3,975  
  38     

Occidental Petroleum Corp.

    2,939  
  21     

Old Dominion Freight Line, Inc.

    2,848  
  47     

Oshkosh Corp.

    3,389  
  85     

Outfront Media, Inc.

    1,602  
  22     

Palo Alto Networks, Inc. (a)

    4,227  
  22     

Parker-Hannifin Corp.

    3,682  
  152     

PayPal Holdings, Inc. (a)

    11,334  
  33     

PBF Energy, Inc., Class A

    1,262  
  1     

Penn Virginia Corp. (a)

    49  
  192     

Pfizer, Inc.

    7,020  
  27     

Phillips 66

    2,979  
  33     

PNC Financial Services Group, Inc. (The)

    4,852  
  29     

Post Holdings, Inc. (a)

    2,344  
  32     

Procter & Gamble Co. (The)

    2,288  
  47     

Progressive Corp. (The)

    2,840  
  10     

Prudential Financial, Inc.

    1,061  
  12     

Public Storage

    2,472  
  28     

QUALCOMM, Inc.

    1,404  
  60     

Rayonier, Inc.

    2,243  
  16     

Red Hat, Inc. (a)

    2,577  
  45     

Revance Therapeutics, Inc. (a)

    1,251  
  27     

S&P Global, Inc.

    5,023  
  7     

Sage Therapeutics, Inc. (a)

    1,065  
  104     

salesforce.com, Inc. (a)

    12,636  
  22     

ServiceNow, Inc. (a)

    3,615  
  130     

Shire plc

    6,935  
  59     

Southwest Airlines Co.

    3,121  
  22     

Spark Therapeutics, Inc. (a)

    1,696  
  32     

Splunk, Inc. (a)

    3,246  
  15     

Spotify Technology SA (a)

    2,354  
  26     

Square, Inc., Class A (a)

    1,247  
  25     

Stanley Black & Decker, Inc.

    3,491  
  56     

SunTrust Banks, Inc.

    3,772  
  40     

T. Rowe Price Group, Inc.

    4,562  
  11     

Take-Two Interactive Software, Inc. (a)

    1,124  
  30     

Teladoc, Inc. (a)

    1,289  
  5     

Tesla, Inc. (a)

    1,555  
  38     

Texas Instruments, Inc. (j)

    3,879  
  231     

TherapeuticsMD, Inc. (a)

    1,270  
  26     

Thermo Fisher Scientific, Inc.

    5,483  
  14     

Tiffany & Co.

    1,441  

SHARES

     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  136     

Time Warner, Inc.

    12,901  
  21     

Travelers Cos., Inc. (The)

    2,820  
  4     

Ulta Beauty, Inc. (a)

    1,068  
  32     

Union Pacific Corp.

    4,309  
  23     

United Technologies Corp.

    2,812  
  140     

UnitedHealth Group, Inc. (j)

    33,043  
  29     

Unum Group

    1,416  
  60     

US Bancorp

    3,004  
  27     

Veeva Systems, Inc., Class A (a)

    1,879  
  44     

Verizon Communications, Inc.

    2,170  
  22     

Vertex Pharmaceuticals, Inc. (a)

    3,423  
  81     

Visa, Inc., Class A

    10,301  
  17     

Vistra Energy Corp. (a)

    391  
  25     

WABCO Holdings, Inc. (a)

    3,211  
  34     

Walgreens Boots Alliance, Inc.

    2,234  
  72     

Walt Disney Co. (The)

    7,213  
  115     

Waste Connections, Inc.

    8,329  
  18     

Wayfair, Inc., Class A (a)

    1,128  
  152     

Wells Fargo & Co. (j)

    7,882  
  42     

WestRock Co.

    2,477  
  34     

Weyerhaeuser Co.

    1,254  
  40     

Williams Cos., Inc. (The)

    1,030  
  45     

Worldpay, Inc. (a)

    3,671  
  62     

Xcel Energy, Inc.

    2,884  
    

 

 

 
       738,796  
    

 

 

 
  

Total Common Stocks
(Cost $1,588,492)

    1,804,765  
    

 

 

 
PRINCIPAL
AMOUNT
              
 

Convertible Bonds — 0.0% (g)

  

United States — 0.0% (g)

  

Liberty Interactive LLC,

 
  100     

3.75%, 02/15/2030

    66  
  55     

4.00%, 11/15/2029

    37  
    

 

 

 
  

Total Convertible Bonds
(Cost $97)

    103  
    

 

 

 
 

Corporate Bonds — 8.8%

 
  

Argentina — 0.1%

 

  320     

Arcor SAIC, Reg. S, 6.00%, 07/06/2023

    331  
  150     

Generacion Mediterranea SA, 9.63%, 07/27/2023 (e)

    163  
  

Pampa Energia SA,

 
  100     

Reg. S, 7.38%, 07/21/2023

    104  
  150     

Reg. S, 7.50%, 01/24/2027

    152  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

Argentina — continued

 

  390     

Tecpetrol SA, 4.88%, 12/12/2022 (e)

    377  
  

YPF SA,

 
  90     

6.95%, 07/21/2027 (e)

    88  
  350     

7.00%, 12/15/2047 (e)

    312  
  866     

Reg. S, 8.50%, 03/23/2021

    938  
  400     

Reg. S, 8.75%, 04/04/2024

    438  
    

 

 

 
       2,903  
    

 

 

 
  

Australia — 0.0% (g)

  

FMG Resources August 2006 Pty. Ltd.,

 
  263     

4.75%, 05/15/2022 (e)

    261  
  180     

5.13%, 05/15/2024 (e)

    177  
  167     

Nufarm Australia Ltd., 5.75%, 04/30/2026 (e)

    167  
    

 

 

 
       605  
    

 

 

 
  

Azerbaijan — 0.1%

 

  

State Oil Co. of the Azerbaijan Republic,

 
  200     

Reg. S, 4.75%, 03/13/2023

    199  
  1,440     

Reg. S, 6.95%, 03/18/2030

    1,545  
    

 

 

 
       1,744  
    

 

 

 
  

Bahrain — 0.0% (g)

  300     

Batelco International Finance No. 1 Ltd., Reg. S, 4.25%, 05/01/2020

    292  
    

 

 

 
  

Brazil — 0.2%

 

  

Banco do Brasil SA,

 
  400     

Reg. S, 5.88%, 01/26/2022

    409  
  530     

Cemig Geracao e Transmissao SA, 9.25%, 12/05/2024 (e)

    572  
  155     

CSN Resources SA, Reg. S, 6.50%, 07/21/2020

    150  
  

JBS USA LUX SA,

 
  560     

5.75%, 06/15/2025 (e)

    526  
  351     

6.75%, 02/15/2028 (e)

    336  
  754     

7.25%, 06/01/2021 (e)

    760  
  

JSL Europe SA,

 
  630     

7.75%, 07/26/2024 (e)

    633  
  340     

Light Servicos de Eletricidade SA, 7.25%, 05/03/2023 (e)

    343  
  

Petrobras Global Finance BV,

 
  500     

6.25%, 03/17/2024

    523  
  201     

8.38%, 05/23/2021

    226  
  700     

8.75%, 05/23/2026

    823  
  200     

Suzano Austria GmbH, Reg. S, 7.00%, 03/16/2047

    222  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
    
  

Brazil — continued

 

  200     

Votorantim Cimentos SA, Reg. S, 7.25%, 04/05/2041

    217  
  380     

Vrio Finco 1 LLC, 6.88%, 04/04/2028 (e)

    380  
    

 

 

 
       6,120  
    

 

 

 
  

Canada — 0.3%

 

  405     

1011778 BC ULC, 4.25%, 05/15/2024 (e)

    385  
  613     

Athabasca Oil Corp., 9.88%, 02/24/2022 (e)

    618  
  100     

ATS Automation Tooling Systems, Inc., 6.50%, 06/15/2023 (e)

    105  
  

Baytex Energy Corp.,

 
  23     

5.13%, 06/01/2021 (e)

    22  
  49     

5.63%, 06/01/2024 (e)

    43  
  

Bombardier, Inc.,

 
  384     

6.00%, 10/15/2022 (e)

    382  
  192     

6.13%, 01/15/2023 (e)

    194  
  151     

7.50%, 12/01/2024 (e)

    159  
  380     

7.50%, 03/15/2025 (e)

    395  
  1,012     

8.75%, 12/01/2021 (e)

    1,126  
  

Concordia International Corp.,

 
  421     

7.00%, 04/15/2023 (d) (e) (bb)

    25  
  359     

9.00%, 04/01/2022 (e)

    327  
  387     

Cott Holdings, Inc., 5.50%, 04/01/2025 (e)

    384  
  1,695     

Garda World Security Corp., 8.75%, 05/15/2025 (e)

    1,771  
  325     

Gateway Casinos & Entertainment Ltd., 8.25%, 03/01/2024 (e)

    345  
  200     

Gran Tierra Energy International Holdings Ltd., 6.25%, 02/15/2025 (e)

    190  
  180     

Hudbay Minerals, Inc., 7.25%, 01/15/2023 (e)

    188  
  117     

Jupiter Resources, Inc., 8.50%, 10/01/2022 (e)

    51  
  147     

Kronos Acquisition Holdings, Inc., 9.00%, 08/15/2023 (e)

    140  
  

Mattamy Group Corp.,

 
  50     

6.50%, 10/01/2025 (e)

    50  
  185     

6.88%, 12/15/2023 (e)

    190  
  

MEG Energy Corp.,

 
  360     

6.38%, 01/30/2023 (e)

    324  
  321     

6.50%, 01/15/2025 (e)

    321  
  84     

7.00%, 03/31/2024 (e)

    75  
  

NOVA Chemicals Corp.,

 
  267     

4.88%, 06/01/2024 (e)

    259  
  252     

5.00%, 05/01/2025 (e)

    243  
  96     

5.25%, 06/01/2027 (e)

    92  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         23  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

Canada — continued

 

  

Open Text Corp.,

 
  323     

5.63%, 01/15/2023 (e)

    334  
  288     

5.88%, 06/01/2026 (e)

    299  
  

Precision Drilling Corp.,

 
  48     

5.25%, 11/15/2024

    45  
  44     

6.50%, 12/15/2021

    45  
  142     

7.13%, 01/15/2026 (e)

    144  
  150     

Quebecor Media, Inc., 5.75%, 01/15/2023

    154  
  131     

Seven Generations Energy Ltd., 5.38%, 09/30/2025 (e)

    127  
  

Teck Resources Ltd.,

 
  180     

5.40%, 02/01/2043

    172  
  260     

6.00%, 08/15/2040

    271  
  590     

6.13%, 10/01/2035

    627  
  

Videotron Ltd.,

 
  47     

5.13%, 04/15/2027 (e)

    46  
  320     

5.38%, 06/15/2024 (e)

    329  
    

 

 

 
       10,997  
    

 

 

 
  

Chile — 0.0% (g)

  300     

Corp. Nacional del Cobre de Chile, Reg. S, 4.50%, 09/16/2025

    307  
  200     

Empresa Electrica Angamos SA, Reg. S, 4.88%, 05/25/2029

    194  
  200     

Empresa Nacional del Petroleo, Reg. S, 3.75%, 08/05/2026

    190  
  400     

Geopark Ltd., 6.50%, 09/21/2024 (e)

    398  
  200     

VTR Finance BV, Reg. S, 6.88%, 01/15/2024

    206  
    

 

 

 
       1,295  
    

 

 

 
  

China — 0.2%

 

  3,600     

China Development Bank, Reg. S, 2.63%, 01/24/2022

    3,483  
  200     

China Minmetals Corp., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%, 11/13/2022 (x) (y) (aa)

    189  
  

Fortune Star BVI Ltd.,

 
  570     

Reg. S, 5.25%, 03/23/2022

    541  
  260     

GOME Retail Holdings Ltd., Reg. S, 5.00%, 03/10/2020

    255  
  200     

Guangxi Communications Investment Group Co. Ltd., Reg. S, 3.00%, 11/04/2019

    196  
  250     

Hongkong International Qingdao Co. Ltd., Reg. S, 4.25%, 12/04/2022

    243  
  200     

Huarong Finance II Co. Ltd., Reg. S, 2.75%, 06/03/2019

    198  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

China — continued

 

  200     

Moon Wise Global Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 12.37%), 9.00%, 01/28/2019 (x) (y) (aa)

    205  
  200     

Rock International Investment, Inc., Reg. S, 6.63%, 03/27/2020

    177  
  200     

Sinopec Group Overseas Development Ltd., Reg. S, 4.10%, 04/28/2045

    185  
  200     

Three Gorges Finance I Cayman Islands Ltd., Reg. S, 3.70%, 06/10/2025

    196  
  200     

Times China Holdings Ltd., Reg. S, 6.25%, 01/23/2020

    200  
    

 

 

 
       6,068  
    

 

 

 
  

Colombia — 0.0% (g)

  150     

Banco GNB Sudameris SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.56%), 6.50%, 04/03/2027 (e) (aa)

    151  
  

Ecopetrol SA,

 
  470     

5.38%, 06/26/2026

    484  
  300     

5.88%, 09/18/2023

    319  
    

 

 

 
       954  
    

 

 

 
  

Congo, Democratic Republic of the — 0.0% (g)

  240     

HTA Group Ltd., Reg. S, 9.13%, 03/08/2022

    251  
    

 

 

 
  

Costa Rica — 0.0% (g)

  200     

Banco Nacional de Costa Rica, Reg. S, 5.88%, 04/25/2021

    206  
    

 

 

 
  

Ecuador — 0.0% (g)

  

Petroamazonas EP,

 
  200     

Reg. S, 4.63%, 02/16/2020

    190  
  450     

4.63%, 11/06/2020 (e)

    416  
    

 

 

 
       606  
    

 

 

 
  

Finland — 0.0% (g)

  

Nokia OYJ,

 
  15     

3.38%, 06/12/2022

    14  
  455     

4.38%, 06/12/2027

    422  
  201     

6.63%, 05/15/2039

    210  
    

 

 

 
       646  
    

 

 

 
  

France — 0.1%

 

  

Altice France SA,

 
  800     

6.00%, 05/15/2022 (e)

    791  
  850     

6.25%, 05/15/2024 (e)

    810  
  334     

7.38%, 05/01/2026 (e)

    324  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

France — continued

 

  400     

Societe Generale SA, (USD Swap Semi 5 Year + 6.24%), 7.38%, 09/13/2021 (e) (x) (y) (aa)

    424  
    

 

 

 
       2,349  
    

 

 

 
  

Germany — 0.3%

 

  3,500     

Kreditanstalt fuer Wiederaufbau, 2.63%, 04/12/2021

    3,483  
  4,870     

Landwirtschaftliche Rentenbank, 2.38%, 02/21/2020 (e)

    4,848  
  455     

Unitymedia GmbH, 6.13%, 01/15/2025 (e)

    478  
    

 

 

 
       8,809  
    

 

 

 
  

Ghana — 0.0% (g)

  636     

Tullow Oil plc, 7.00%, 03/01/2025 (e)

    645  
    

 

 

 
  

Guatemala — 0.0% (g)

  200     

Comunicaciones Celulares SA, Reg. S, 6.88%, 02/06/2024

    208  
    

 

 

 
  

Hong Kong — 0.0% (g)

  200     

King Power Capital Ltd., Reg. S, 5.63%, 11/03/2024

    213  
  610     

WTT Investment Ltd., 5.50%, 11/21/2022 (e)

    589  
    

 

 

 
       802  
    

 

 

 
  

Hungary — 0.0% (g)

  200     

MFB Magyar Fejlesztesi Bank Zrt., Reg. S, 6.25%, 10/21/2020

    213  
    

 

 

 
  

India — 0.0% (g)

  200     

Greenko Dutch BV, 5.25%, 07/24/2024 (e)

    191  
  200     

IDBI Bank Ltd., Reg. S, 3.75%, 01/25/2019

    200  
  240     

JSW Steel Ltd., Reg. S, 5.25%, 04/13/2022

    238  
  200     

UPL Corp. Ltd., Reg. S, 3.25%, 10/13/2021

    194  
    

 

 

 
       823  
    

 

 

 
  

Indonesia — 0.1%

 

  200     

Listrindo Capital BV, Reg. S, 4.95%, 09/14/2026

    187  
  200     

Medco Platinum Road Pte. Ltd., 6.75%, 01/30/2025 (e)

    191  
  

Minejesa Capital BV,

 
  470     

4.63%, 08/10/2030 (e)

    447  
  300     

5.63%, 08/10/2037 (e)

    289  
  

Pertamina Persero PT,

 
  400     

Reg. S, 6.45%, 05/30/2044

    441  
  200     

Reg. S, 6.50%, 05/27/2041

    221  
  200     

Perusahaan Listrik Negara PT, Reg. S, 4.13%, 05/15/2027

    188  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Indonesia — continued

 

  220     

Theta Capital Pte. Ltd., Reg. S, 7.00%, 04/11/2022

    207  
    

 

 

 
       2,171  
    

 

 

 
  

Ireland — 0.1%

 

  

Ardagh Packaging Finance plc,

 
  550     

6.00%, 02/15/2025 (e)

    556  
  200     

7.25%, 05/15/2024 (e)

    212  
  258     

Avolon Holdings Funding Ltd., 5.50%, 01/15/2023 (e)

    257  
  

Park Aerospace Holdings Ltd.,

 
  65     

4.50%, 03/15/2023 (e)

    62  
  205     

5.25%, 08/15/2022 (e)

    204  
  557     

5.50%, 02/15/2024 (e)

    541  
    

 

 

 
       1,832  
    

 

 

 
  

Israel — 0.0% (g)

  

Teva Pharmaceutical Finance Netherlands III BV,

 
  260     

3.15%, 10/01/2026

    207  
  610     

6.75%, 03/01/2028 (e)

    602  
    

 

 

 
       809  
    

 

 

 
  

Italy — 0.0% (g)

  

Telecom Italia Capital SA,

 
  251     

6.00%, 09/30/2034

    260  
  540     

6.38%, 11/15/2033

    587  
  77     

7.20%, 07/18/2036

    88  
  37     

7.72%, 06/04/2038

    45  
  271     

Wind Tre SpA, 5.00%, 01/20/2026 (e)

    227  
    

 

 

 
       1,207  
    

 

 

 
  

Jamaica — 0.0% (g)

  

Digicel Group Ltd.,

 
  420     

Reg. S, 7.13%, 04/01/2022

    342  
  200     

Reg. S, 8.25%, 09/30/2020

    180  
    

 

 

 
       522  
    

 

 

 
  

Japan — 0.0% (g)

  200     

SoftBank Group Corp., 4.50%, 04/15/2020 (e)

    205  
    

 

 

 
  

Jordan — 0.0% (g)

  370     

Hikma Pharmaceuticals plc, Reg. S, 4.25%, 04/10/2020

    367  
    

 

 

 
  

Kazakhstan — 0.2%

 

  1,340     

Kazakhstan Temir Zholy Finance BV, Reg. S, 6.95%, 07/10/2042

    1,466  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         25  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

Kazakhstan — continued

 

  

Kazakhstan Temir Zholy National Co. JSC,

 
  700     

4.85%, 11/17/2027 (e)

    695  
  

KazMunayGas National Co. JSC,

 
  600     

5.38%, 04/24/2030 (e)

    598  
  320     

6.38%, 10/24/2048 (e)

    327  
  1,350     

Reg. S, 3.88%, 04/19/2022

    1,333  
  400     

Reg. S, 7.00%, 05/05/2020

    427  
  200     

KazMunayGas National Co. PJSC, Reg. S, 4.75%, 04/19/2027

    196  
  350     

Nostrum Oil & Gas Finance BV, 8.00%, 07/25/2022 (e)

    357  
    

 

 

 
       5,399  
    

 

 

 
  

Luxembourg — 0.2%

 

  650     

Altice Financing SA, 7.50%, 05/15/2026 (e)

    639  
  

Altice Luxembourg SA,

 
  400     

7.63%, 02/15/2025 (e)

    360  
  400     

7.75%, 05/15/2022 (e)

    382  
  

ArcelorMittal,

 
  28     

5.75%, 03/01/2021

    29  
  330     

6.13%, 06/01/2025

    357  
  525     

6.50%, 02/25/2022

    566  
  63     

7.00%, 03/01/2041

    72  
  268     

7.25%, 10/15/2039

    318  
  132     

Intelsat Connect Finance SA, 12.50%, 04/01/2022 (e)

    116  
  

Intelsat Jackson Holdings SA,

 
  645     

5.50%, 08/01/2023

    541  
  382     

7.25%, 10/15/2020

    373  
  530     

7.50%, 04/01/2021

    502  
  462     

8.00%, 02/15/2024 (e)

    487  
  391     

9.75%, 07/15/2025 (e)

    383  
    

 

 

 
       5,125  
    

 

 

 
  

Mauritius — 0.0% (g)

  460     

Liquid Telecommunications Financing plc, 8.50%, 07/13/2022 (e)

    484  
    

 

 

 
  

Mexico — 0.4%

 

  400     

Banco Nacional de Comercio Exterior SNC, Reg. S, 4.38%, 10/14/2025

    397  
  800     

BBVA Bancomer SA, Reg. S, 4.38%, 04/10/2024

    801  
  

Cemex SAB de CV,

 
  545     

5.70%, 01/11/2025 (e)

    551  
  1,060     

6.13%, 05/05/2025 (e)

    1,097  
  1,200     

7.75%, 04/16/2026 (e)

    1,316  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Mexico — continued

 

  620     

Cometa Energia SA de CV, 6.38%, 04/24/2035 (e)

    605  
  300     

Grupo KUO SAB de CV, Reg. S, 5.75%, 07/07/2027

    292  
  350     

Nemak SAB de CV, 4.75%, 01/23/2025 (e)

    341  
  

Petroleos Mexicanos,

 
  300     

4.88%, 01/24/2022

    305  
  1,500     

5.38%, 03/13/2022

    1,550  
  100     

5.50%, 01/21/2021

    104  
  200     

(ICE LIBOR USD 3 Month + 3.65%), 5.72%, 03/11/2022 (aa)

    218  
  3,300     

6.38%, 02/04/2021

    3,475  
  950     

6.75%, 09/21/2047

    915  
  160     

Reg. S, 6.35%, 02/12/2048

    147  
    

 

 

 
       12,114  
    

 

 

 
  

Morocco — 0.0% (g)

  200     

OCP SA, Reg. S, 6.88%, 04/25/2044

    215  
    

 

 

 
  

Netherlands — 0.2%

 

  

Bank Nederlandse Gemeenten NV,

 
  4,800     

2.50%, 02/16/2021 (e)

    4,754  
  AUD    602     

Reg. S, 4.75%, 03/06/2023

    492  
  250     

Constellium NV, 6.63%, 03/01/2025 (e)

    253  
  400     

NXP BV, 4.63%, 06/15/2022 (e)

    403  
  600     

UPCB Finance IV Ltd., 5.38%, 01/15/2025 (e)

    587  
  400     

Ziggo Bond Finance BV, 5.88%, 01/15/2025 (e)

    378  
  330     

Ziggo Secured Finance BV, 5.50%, 01/15/2027 (e)

    311  
    

 

 

 
       7,178  
    

 

 

 
  

Nigeria — 0.0% (g)

  288     

Fidelity Bank plc, 10.50%, 10/16/2022 (e)

    293  
  280     

IHS Netherlands Holdco BV, Reg. S, 9.50%, 10/27/2021

    288  
    

 

 

 
       581  
    

 

 

 
  

Norway — 0.0% (g)

  161     

Aker BP ASA, 5.88%, 03/31/2025 (e)

    167  
  200     

DNO ASA, Reg. S, 8.75%, 06/18/2020 (e)

    206  
    

 

 

 
       373  
    

 

 

 
  

Panama — 0.0% (g)

  200     

Banistmo SA, 3.65%, 09/19/2022 (e)

    191  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

Peru — 0.0% (g)

  200     

Corp. Financiera de Desarrollo SA, Reg. S, 4.75%, 02/08/2022

    204  
  200     

Fondo MIVIVIENDA SA, Reg. S, 3.50%, 01/31/2023

    195  
  230     

Inkia Energy Ltd., 5.88%, 11/09/2027 (e)

    220  
  200     

Nexa Resources SA, Reg. S, 5.38%, 05/04/2027

    200  
  

Petroleos del Peru SA,

 
  200     

Reg. S, 4.75%, 06/19/2032

    189  
  200     

Reg. S, 5.63%, 06/19/2047

    195  
  150     

Union Andina de Cementos SAA, Reg. S, 5.88%, 10/30/2021

    154  
    

 

 

 
       1,357  
    

 

 

 
  

Qatar — 0.1%

 

  1,290     

ABQ Finance Ltd., Reg. S, 3.50%, 02/22/2022

    1,243  
  648     

Ras Laffan Liquefied Natural Gas Co. Ltd. II, Reg. S, 5.30%, 09/30/2020

    662  
    

 

 

 
       1,905  
    

 

 

 
  

Russia — 0.1%

 

  200     

GTLK Europe DAC, Reg. S, 5.13%, 05/31/2024

    190  
  200     

Sberbank of Russia, Reg. S, 6.13%, 02/07/2022

    208  
  200     

Sberbank of Russia Via SB Capital SA, Reg. S, 6.13%, 02/07/2022

    208  
  

Vnesheconombank Via VEB Finance plc,

 
  200     

Reg. S, 5.94%, 11/21/2023

    208  
  300     

Reg. S, 6.03%, 07/05/2022

    311  
  440     

VTB Bank OJSC Via VTB Capital SA, Reg. S, 6.95%, 10/17/2022

    452  
    

 

 

 
       1,577  
    

 

 

 
  

Singapore — 0.0% (g)

  300     

Olam International Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.29%), 5.35%, 07/20/2021 (x) (y) (aa)

    292  
    

 

 

 
  

South Africa — 0.1%

 

  

Eskom Holdings SOC Ltd.,

 
  350     

Reg. S, 5.75%, 01/26/2021

    350  
  200     

Reg. S, 6.75%, 08/06/2023

    202  
  200     

Reg. S, 7.13%, 02/11/2025

    204  
  

Stillwater Mining Co.,

 
  730     

6.13%, 06/27/2022 (e)

    731  
  200     

7.13%, 06/27/2025 (e)

    202  
    

 

 

 
       1,689  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

South Korea — 0.0% (g)

  910     

Heungkuk Life Insurance Co. Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/09/2047 (aa)

    849  
    

 

 

 
  

Trinidad and Tobago — 0.0% (g)

  

Petroleum Co. of Trinidad & Tobago Ltd.,

 
  650     

Reg. S, 9.75%, 08/14/2019

    684  
    

 

 

 
  

Turkey — 0.1%

 

  520     

Akbank Turk A/S, Reg. S, 5.13%, 03/31/2025

    492  
  250     

QNB Finansbank A/S, Reg. S, 4.88%, 05/19/2022

    239  
  301     

Ronesans Gayrimenkul Yatirim A/S, 7.25%, 04/26/2023 (e)

    295  
  200     

TC Ziraat Bankasi A/S, 5.13%, 09/29/2023 (e)

    191  
  

Turkiye Is Bankasi A/S,

 
  300     

6.13%, 04/25/2024 (e)

    291  
  200     

Reg. S, 6.00%, 10/24/2022

    195  
  800     

Turkiye Sise ve Cam Fabrikalari A/S, Reg. S, 4.25%, 05/09/2020

    797  
  338     

Yapi ve Kredi Bankasi A/S, 6.10%, 03/16/2023 (e)

    331  
    

 

 

 
       2,831  
    

 

 

 
  

Ukraine — 0.0% (g)

  

State Savings Bank of Ukraine,

 
  750     

Reg. S, SUB, 9.38%, 03/10/2023

    774  
  200     

Reg. S, SUB, 9.63%, 03/20/2025

    208  
    

 

 

 
       982  
    

 

 

 
  

United Arab Emirates — 0.1%

 

  

DAE Funding LLC,

 
  141     

4.50%, 08/01/2022 (e)

    135  
  151     

5.00%, 08/01/2024 (e)

    145  
  590     

EA Partners I BV, Reg. S, 6.88%, 09/28/2020

    433  
  350     

ICD Sukuk Co. Ltd., Reg. S, 3.51%, 05/21/2020

    346  
  718     

Shelf Drilling Holdings Ltd., 8.25%, 02/15/2025 (e)

    729  
    

 

 

 
       1,788  
    

 

 

 
  

United Kingdom — 0.2%

 

  400     

Ashtead Capital, Inc., 5.63%, 10/01/2024 (e)

    412  
  

Barclays plc,

 
  620     

5.20%, 05/12/2026

    620  
  300     

(USD Swap Semi 5 Year + 6.71%), 8.25%, 12/15/2018 (x) (y) (aa)

    308  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         27  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United Kingdom — continued

 

  463     

Fiat Chrysler Automobiles NV, 5.25%, 04/15/2023

    481  
  423     

Jaguar Land Rover Automotive plc, 4.50%, 10/01/2027 (e)

    381  
  508     

KCA Deutag UK Finance plc, 7.25%, 05/15/2021 (e)

    494  
  

Noble Holding International Ltd.,

 
  24     

5.25%, 03/15/2042

    16  
  135     

6.20%, 08/01/2040

    95  
  162     

7.75%, 01/15/2024

    152  
  356     

7.88%, 02/01/2026 (e)

    358  
  23     

8.95%, 04/01/2045

    20  
  

Royal Bank of Scotland Group plc,

 
  240     

5.13%, 05/28/2024

    244  
  330     

6.00%, 12/19/2023

    350  
  1,147     

6.10%, 06/10/2023

    1,218  
  450     

6.13%, 12/15/2022

    477  
  200     

(USD Swap Semi 5 Year + 5.80%), 7.50%, 08/10/2020 (x) (y) (aa)

    210  
  200     

(USD Swap Semi 5 Year + 7.60%), 8.62%, 08/15/2021 (x) (y) (aa)

    219  
  600     

Virgin Media Finance plc, 6.38%, 04/15/2023 (e)

    605  
    

 

 

 
       6,660  
    

 

 

 
  

United States — 5.6%

 

  

Acadia Healthcare Co., Inc.,

 
  401     

5.63%, 02/15/2023

    405  
  40     

6.13%, 03/15/2021

    41  
  175     

6.50%, 03/01/2024

    181  
  219     

ACE Cash Express, Inc., 12.00%, 12/15/2022 (e)

    243  
  1,005     

ADT Corp. (The), 4.13%, 06/15/2023

    942  
  

AECOM,

 
  548     

5.13%, 03/15/2027

    526  
  261     

5.88%, 10/15/2024

    272  
  358     

AES Corp., 5.50%, 04/15/2025

    366  
  500     

Ahern Rentals, Inc., 7.38%, 05/15/2023 (e)

    482  
  360     

Aircastle Ltd., 4.13%, 05/01/2024

    353  
  

AK Steel Corp.,

 
  115     

6.38%, 10/15/2025

    108  
  230     

7.00%, 03/15/2027

    223  
  20     

7.50%, 07/15/2023

    21  
  

Albertsons Cos. LLC,

 
  282     

5.75%, 03/15/2025

    246  
  1,670     

6.63%, 06/15/2024

    1,557  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  257     

Alcoa Nederland Holding BV, 6.75%, 09/30/2024 (e)

    276  
  

Aleris International, Inc.,

 
  225     

7.88%, 11/01/2020

    222  
  120     

9.50%, 04/01/2021 (e)

    125  
  

Alliance Data Systems Corp.,

 
  545     

5.38%, 08/01/2022 (e)

    548  
  170     

5.88%, 11/01/2021 (e)

    173  
  932     

Allison Transmission, Inc., 4.75%, 10/01/2027 (e)

    877  
  

Ally Financial, Inc.,

 
  1,205     

4.63%, 03/30/2025

    1,195  
  435     

5.13%, 09/30/2024

    446  
  296     

5.75%, 11/20/2025

    305  
  253     

8.00%, 11/01/2031

    307  
  

Altice US Finance I Corp.,

 
  665     

5.38%, 07/15/2023 (e)

    666  
  572     

5.50%, 05/15/2026 (e)

    554  
  

AMC Entertainment Holdings, Inc.,

 
  380     

5.75%, 06/15/2025

    368  
  123     

5.88%, 11/15/2026

    120  
  181     

6.13%, 05/15/2027

    175  
  

AMC Networks, Inc.,

 
  203     

4.75%, 08/01/2025

    192  
  380     

5.00%, 04/01/2024

    371  
  

American Axle & Manufacturing, Inc.,

 
  616     

6.25%, 04/01/2025

    616  
  176     

6.25%, 03/15/2026

    174  
  668     

6.50%, 04/01/2027

    664  
  235     

American Woodmark Corp., 4.88%, 03/15/2026 (e)

    227  
  

AmeriGas Partners LP,

 
  75     

5.50%, 05/20/2025

    74  
  152     

5.63%, 05/20/2024

    151  
  208     

5.75%, 05/20/2027

    200  
  127     

5.88%, 08/20/2026

    126  
  164     

AMN Healthcare, Inc., 5.13%, 10/01/2024 (e)

    162  
  

Antero Resources Corp.,

 
  949     

5.13%, 12/01/2022

    954  
  132     

5.38%, 11/01/2021

    133  
  39     

Apergy Corp., 6.38%, 05/01/2026 (e)

    40  
  45     

Archrock Partners LP, 6.00%, 10/01/2022

    45  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Arconic, Inc.,

 
  408     

5.13%, 10/01/2024

    413  
  465     

5.90%, 02/01/2027

    480  
  100     

5.95%, 02/01/2037

    101  
  561     

Avaya, Inc., 7.00%, 04/01/2019 (d) (bb)

    (h) 
  

Avis Budget Car Rental LLC,

 
  200     

5.25%, 03/15/2025 (e)

    193  
  95     

5.50%, 04/01/2023

    94  
  257     

B&G Foods, Inc., 5.25%, 04/01/2025

    235  
  

Ball Corp.,

 
  100     

4.00%, 11/15/2023

    98  
  100     

4.88%, 03/15/2026

    100  
  

Bank of America Corp.,

 
  95     

Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 09/05/2024 (x) (y) (aa)

    99  
  218     

Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 03/17/2025 (x) (y) (aa)

    226  
  

Berry Global, Inc.,

 
  430     

4.50%, 02/15/2026 (e)

    411  
  330     

5.13%, 07/15/2023

    332  
  40     

5.50%, 05/15/2022

    41  
  115     

Big River Steel LLC, 7.25%, 09/01/2025 (e)

    120  
  113     

Blue Cube Spinco, Inc., 10.00%, 10/15/2025

    132  
  429     

Booz Allen Hamilton, Inc., 5.13%, 05/01/2025 (e)

    424  
  

Boyd Gaming Corp.,

 
  387     

6.38%, 04/01/2026

    405  
  174     

6.88%, 05/15/2023

    183  
  306     

Boyne USA, Inc., 7.25%, 05/01/2025 (e)

    316  
  250     

Brink’s Co. (The), 4.63%, 10/15/2027 (e)

    230  
  

Bristow Group, Inc.,

 
  129     

6.25%, 10/15/2022

    106  
  150     

8.75%, 03/01/2023 (e)

    155  
  215     

Buckeye Partners LP, (ICE LIBOR USD 3 Month + 4.02%), 6.38%, 01/22/2078 (aa)

    209  
  215     

BWAY Holding Co., 5.50%, 04/15/2024 (e)

    216  
  438     

Cablevision Systems Corp., 8.00%, 04/15/2020

    464  
  152     

Caleres, Inc., 6.25%, 08/15/2023

    157  
  153     

California Resources Corp., 8.00%, 12/15/2022 (e)

    132  
  

Calpine Corp.,

 
  370     

5.25%, 06/01/2026 (e)

    354  
  4     

5.38%, 01/15/2023

    4  
  20     

5.50%, 02/01/2024

    18  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  252     

5.75%, 01/15/2025

    231  
  450     

5.88%, 01/15/2024 (e)

    453  
  590     

Camelot Finance SA, 7.88%, 10/15/2024 (e)

    615  
  549     

Carrizo Oil & Gas, Inc., 6.25%, 04/15/2023

    564  
  68     

Catalent Pharma Solutions, Inc., 4.88%, 01/15/2026 (e)

    66  
  122     

CB Escrow Corp., 8.00%, 10/15/2025 (e)

    116  
  103     

CCM Merger, Inc., 6.00%, 03/15/2022 (e)

    105  
  

CCO Holdings LLC,

 
  402     

5.00%, 02/01/2028 (e)

    371  
  245     

5.13%, 05/01/2027 (e)

    230  
  235     

5.38%, 05/01/2025 (e)

    231  
  540     

5.50%, 05/01/2026 (e)

    526  
  305     

5.75%, 09/01/2023

    309  
  370     

5.75%, 01/15/2024

    373  
  644     

5.75%, 02/15/2026 (e)

    639  
  1,064     

5.88%, 04/01/2024 (e)

    1,080  
  

CDW LLC,

 
  105     

5.00%, 09/01/2023

    107  
  95     

5.00%, 09/01/2025

    95  
  155     

5.50%, 12/01/2024

    161  
  75     

Cedar Fair LP, 5.38%, 06/01/2024

    76  
  

Centene Corp.,

 
  455     

4.75%, 01/15/2025

    442  
  195     

5.63%, 02/15/2021

    201  
  503     

6.13%, 02/15/2024

    527  
  

CenturyLink, Inc.,

 
  215     

Series S, 6.45%, 06/15/2021

    220  
  280     

Series T, 5.80%, 03/15/2022

    279  
  93     

Series W, 6.75%, 12/01/2023

    92  
  62     

Series Y, 7.50%, 04/01/2024

    63  
  355     

Cequel Communications Holdings I LLC, 7.50%, 04/01/2028 (e)

    360  
  

CF Industries, Inc.,

 
  256     

4.50%, 12/01/2026 (e)

    256  
  130     

5.15%, 03/15/2034

    119  
  350     

Chemours Co. (The), 7.00%, 05/15/2025

    377  
  

Cheniere Corpus Christi Holdings LLC,

 
  65     

5.13%, 06/30/2027

    64  
  590     

5.88%, 03/31/2025

    608  
  130     

7.00%, 06/30/2024

    142  
  163     

Cheniere Energy Partners LP, 5.25%, 10/01/2025 (e)

    159  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         29  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Chesapeake Energy Corp.,

 
  111     

(ICE LIBOR USD 3 Month + 3.25%), 5.60%, 04/15/2019 (aa)

    111  
  22     

5.75%, 03/15/2023

    20  
  181     

8.00%, 01/15/2025 (e)

    175  
  569     

8.00%, 06/15/2027 (e)

    548  
  440     

Cincinnati Bell, Inc., 7.00%, 07/15/2024 (e)

    404  
  264     

Cinemark USA, Inc., 4.88%, 06/01/2023

    261  
  

CIT Group, Inc.,

 
  474     

5.00%, 08/15/2022

    485  
  168     

5.25%, 03/07/2025

    171  
  88     

6.13%, 03/09/2028

    91  
  246     

CITGO Petroleum Corp., 6.25%, 08/15/2022 (e)

    246  
  240     

Citigroup, Inc., Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 08/15/2026 (x) (y) (aa)

    249  
  

Claire’s Stores, Inc.,

 
  159     

6.13%, 03/15/2020 (d) (e)

    91  
  406     

9.00%, 03/15/2019 (d) (e)

    239  
  

Clear Channel Worldwide Holdings, Inc.,

 
  15     

Series A, 6.50%, 11/15/2022

    15  
  55     

Series A, 7.63%, 03/15/2020

    55  
  845     

Series B, 6.50%, 11/15/2022

    865  
  525     

Series B, 7.63%, 03/15/2020

    527  
  480     

Clearwater Paper Corp., 4.50%, 02/01/2023

    450  
  105     

Cleveland-Cliffs, Inc., 5.75%, 03/01/2025

    101  
  559     

CNG Holdings, Inc., 9.38%, 05/15/2020 (e)

    553  
  234     

CNO Financial Group, Inc., 5.25%, 05/30/2025

    236  
  87     

CNX Midstream Partners LP, 6.50%, 03/15/2026 (e)

    85  
  16     

Coeur Mining, Inc., 5.88%, 06/01/2024

    16  
  

Commercial Metals Co.,

 
  119     

4.88%, 05/15/2023

    117  
  166     

5.38%, 07/15/2027

    162  
  692     

CommScope Technologies LLC, 6.00%, 06/15/2025 (e)

    713  
  274     

CommScope, Inc., 5.50%, 06/15/2024 (e)

    279  
  

Community Health Systems, Inc.,

 
  357     

5.13%, 08/01/2021

    328  
  633     

6.25%, 03/31/2023

    576  
  525     

6.88%, 02/01/2022

    287  
  432     

7.13%, 07/15/2020

    344  
  26     

Consolidated Communications, Inc., 6.50%, 10/01/2022

    24  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Continental Resources, Inc.,

 
  108     

3.80%, 06/01/2024

    105  
  174     

4.50%, 04/15/2023

    176  
  330     

4.90%, 06/01/2044

    322  
  215     

5.00%, 09/15/2022

    218  
  110     

Cornerstone Chemical Co., 6.75%, 08/15/2024 (e)

    109  
  

Covanta Holding Corp.,

 
  195     

5.88%, 03/01/2024

    192  
  60     

5.88%, 07/01/2025

    58  
  

Crestwood Midstream Partners LP,

 
  191     

5.75%, 04/01/2025

    189  
  184     

6.25%, 04/01/2023

    188  
  

Crown Americas LLC,

 
  300     

4.25%, 09/30/2026

    278  
  134     

4.75%, 02/01/2026 (e)

    129  
  

CSC Holdings LLC,

 
  420     

5.25%, 06/01/2024

    395  
  200     

5.38%, 02/01/2028 (e)

    187  
  268     

5.50%, 04/15/2027 (e)

    257  
  605     

6.63%, 10/15/2025 (e)

    624  
  304     

6.75%, 11/15/2021

    320  
  205     

10.13%, 01/15/2023 (e)

    227  
  

CSI Compressco LP,

 
  157     

7.25%, 08/15/2022

    148  
  105     

7.50%, 04/01/2025 (e)

    106  
  80     

Cumberland Farms, Inc., 6.75%, 05/01/2025 (e)

    83  
  

CURO Financial Technologies Corp.,

 
  201     

12.00%, 03/01/2022 (e)

    220  
  1,211     

CVR Partners LP, 9.25%, 06/15/2023 (e)

    1,246  
  

CyrusOne LP,

 
  178     

5.00%, 03/15/2024

    178  
  186     

5.38%, 03/15/2027

    186  
  389     

Dana Financing Luxembourg SARL, 5.75%, 04/15/2025 (e)

    395  
  

DaVita, Inc.,

 
  654     

5.13%, 07/15/2024

    633  
  240     

5.75%, 08/15/2022

    246  
  

DCP Midstream Operating LP,

 
  495     

3.88%, 03/15/2023

    478  
  350     

6.75%, 09/15/2037 (e)

    379  
  407     

Dean Foods Co., 6.50%, 03/15/2023 (e)

    390  
  521     

Delek Logistics Partners LP, 6.75%, 05/15/2025 (e)

    517  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Dell International LLC,

 
  370     

5.88%, 06/15/2021 (e)

    381  
  638     

7.13%, 06/15/2024 (e)

    679  
  78     

Denbury Resources, Inc., 9.00%, 05/15/2021 (e)

    81  
  324     

Diamond Offshore Drilling, Inc., 7.88%, 08/15/2025

    332  
  632     

Diebold Nixdorf, Inc., 8.50%, 04/15/2024

    656  
  

DISH DBS Corp.,

 
  370     

5.00%, 03/15/2023

    319  
  405     

5.13%, 05/01/2020

    403  
  83     

5.88%, 07/15/2022

    76  
  150     

5.88%, 11/15/2024

    128  
  925     

6.75%, 06/01/2021

    923  
  270     

7.75%, 07/01/2026

    245  
  399     

Dole Food Co., Inc., 7.25%, 06/15/2025 (e)

    402  
  361     

Dollar Tree, Inc., 5.75%, 03/01/2023

    377  
  572     

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 02/15/2023 (e)

    591  
  

Eldorado Resorts, Inc.,

 
  536     

6.00%, 04/01/2025

    531  
  65     

7.00%, 08/01/2023

    69  
  2,067     

Embarq Corp., 8.00%, 06/01/2036

    1,963  
  385     

EMC Corp., 3.38%, 06/01/2023

    359  
  220     

EMI Music Publishing Group North America Holdings, Inc., 7.63%, 06/15/2024 (e)

    238  
  

Endo Dac,

 
  200     

5.88%, 10/15/2024 (e)

    188  
  808     

6.00%, 07/15/2023 (e)

    588  
  

Endo Finance LLC,

 
  250     

5.38%, 01/15/2023 (e)

    181  
  120     

7.25%, 01/15/2022 (e)

    102  
  

Energy Transfer Equity LP,

 
  337     

4.25%, 03/15/2023

    325  
  115     

5.50%, 06/01/2027

    115  
  413     

5.88%, 01/15/2024

    422  
  

Ensco plc,

 
  55     

4.50%, 10/01/2024

    45  
  309     

5.20%, 03/15/2025

    254  
  13     

5.75%, 10/01/2044

    9  
  105     

7.75%, 02/01/2026

    99  
  249     

Entegris, Inc., 4.63%, 02/10/2026 (e)

    240  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Envision Healthcare Corp.,

 
  379     

5.13%, 07/01/2022 (e)

    374  
  544     

5.63%, 07/15/2022

    546  
  230     

6.25%, 12/01/2024 (e)

    239  
  

EP Energy LLC,

 
  447     

8.00%, 11/29/2024 (e)

    463  
  508     

8.00%, 02/15/2025 (e)

    358  
  98     

9.38%, 05/01/2020

    93  
  204     

9.38%, 05/01/2024 (e)

    156  
  

Equinix, Inc.,

 
  300     

5.38%, 01/01/2022

    310  
  47     

5.38%, 04/01/2023

    48  
  250     

5.75%, 01/01/2025

    259  
  318     

5.88%, 01/15/2026

    329  
  458     

ESH Hospitality, Inc., 5.25%, 05/01/2025 (e)

    448  
  88     

EW Scripps Co. (The), 5.13%, 05/15/2025 (e)

    82  
  553     

Exela Intermediate LLC, 10.00%, 07/15/2023 (e)

    554  
  171     

Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/2025 (e)

    170  
  

First Data Corp.,

 
  439     

5.00%, 01/15/2024 (e)

    442  
  112     

5.75%, 01/15/2024 (e)

    114  
  503     

7.00%, 12/01/2023 (e)

    526  
  97     

Flex Acquisition Co., Inc., 6.88%, 01/15/2025 (e)

    97  
  

Freeport-McMoRan, Inc.,

 
  990     

3.88%, 03/15/2023

    949  
  35     

4.00%, 11/14/2021

    35  
  265     

4.55%, 11/14/2024

    256  
  392     

5.40%, 11/14/2034

    362  
  228     

5.45%, 03/15/2043

    207  
  

Frontier Communications Corp.,

 
  35     

7.13%, 03/15/2019

    35  
  120     

8.50%, 04/01/2026 (e)

    117  
  251     

10.50%, 09/15/2022

    221  
  605     

11.00%, 09/15/2025

    464  
  360     

FXI Holdings, Inc., 7.88%, 11/01/2024 (e)

    355  
  111     

Gartner, Inc., 5.13%, 04/01/2025 (e)

    111  
  350     

Gates Global LLC, 6.00%, 07/15/2022 (e)

    354  
  

Genesis Energy LP,

 
  337     

5.63%, 06/15/2024

    321  
  45     

6.00%, 05/15/2023

    44  
  185     

6.25%, 05/15/2026

    177  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         31  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  644     

Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/2024 (e)

    712  
  

GenOn Energy, Inc.,

 
  205     

9.50%, 10/15/2018 (d)

    167  
  715     

9.88%, 10/15/2020 (d)

    585  
  

Global Partners LP,

 
  235     

6.25%, 07/15/2022

    235  
  210     

7.00%, 06/15/2023 (bb)

    212  
  225     

GLP Capital LP, 5.38%, 11/01/2023

    233  
  608     

Golden Nugget, Inc., 6.75%, 10/15/2024 (e)

    617  
  39     

Goodman Networks, Inc., 8.00%, 05/11/2022 (bb)

    28  
  

Goodyear Tire & Rubber Co. (The),

 
  513     

4.88%, 03/15/2027

    480  
  430     

5.00%, 05/31/2026

    410  
  100     

Graphic Packaging International LLC, 4.13%, 08/15/2024

    98  
  

Gray Television, Inc.,

 
  385     

5.13%, 10/15/2024 (e)

    367  
  125     

5.88%, 07/15/2026 (e)

    120  
  37     

GTT Communications, Inc., 7.88%, 12/31/2024 (e)

    38  
  

Gulfport Energy Corp.,

 
  387     

6.00%, 10/15/2024

    368  
  88     

6.38%, 05/15/2025

    84  
  40     

6.38%, 01/15/2026

    38  
  230     

H&E Equipment Services, Inc., 5.63%, 09/01/2025

    231  
  

Hanesbrands, Inc.,

 
  250     

4.63%, 05/15/2024 (e)

    240  
  325     

4.88%, 05/15/2026 (e)

    314  
  500     

Hardwoods Acquisition, Inc., 7.50%, 08/01/2021 (e)

    457  
  

Harland Clarke Holdings Corp.,

 
  200     

6.88%, 03/01/2020 (e)

    202  
  216     

8.38%, 08/15/2022 (e)

    221  
  525     

HCA Healthcare, Inc., 6.25%, 02/15/2021

    552  
  

HCA, Inc.,

 
  289     

3.75%, 03/15/2019

    290  
  205     

4.25%, 10/15/2019

    207  
  967     

5.38%, 02/01/2025

    962  
  155     

5.50%, 06/15/2047

    146  
  1,324     

5.88%, 05/01/2023

    1,380  
  365     

5.88%, 02/15/2026

    370  
  125     

6.50%, 02/15/2020

    131  
  472     

7.50%, 02/15/2022

    519  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  205     

HD Supply, Inc., 5.75%, 04/15/2024 (e)

    215  
  415     

Hecla Mining Co., 6.88%, 05/01/2021

    420  
  

Hertz Corp. (The),

 
  165     

5.50%, 10/15/2024 (e)

    138  
  140     

7.38%, 01/15/2021

    139  
  791     

Hexion, Inc., 6.63%, 04/15/2020

    743  
  855     

Hilcorp Energy I LP, 5.00%, 12/01/2024 (e)

    831  
  

Hilton Domestic Operating Co., Inc.,

 
  101     

4.25%, 09/01/2024

    97  
  130     

5.13%, 05/01/2026 (e)

    130  
  65     

Hilton Grand Vacations Borrower LLC, 6.13%, 12/01/2024

    69  
  

Hilton Worldwide Finance LLC,

 
  161     

4.63%, 04/01/2025

    156  
  52     

4.88%, 04/01/2027

    51  
  254     

Holly Energy Partners LP, 6.00%, 08/01/2024 (e)

    255  
  

Hologic, Inc.,

 
  174     

4.38%, 10/15/2025 (e)

    167  
  78     

4.63%, 02/01/2028 (e)

    75  
  

Hughes Satellite Systems Corp.,

 
  454     

5.25%, 08/01/2026

    444  
  224     

6.63%, 08/01/2026

    222  
  85     

7.63%, 06/15/2021

    91  
  

Icahn Enterprises LP,

 
  515     

5.88%, 02/01/2022

    520  
  164     

6.25%, 02/01/2022

    167  
  375     

6.38%, 12/15/2025

    376  
  114     

6.75%, 02/01/2024

    117  
  

iHeartCommunications, Inc.,

 
  1,242     

9.00%, 12/15/2019 (d)

    994  
  100     

IHS Markit Ltd., 4.00%, 03/01/2026 (e)

    96  
  1,015     

ILFC E-Capital Trust I, (USD Constant Maturity 30 Year + 1.55%, 14.50% Cap), 4.64%, 12/21/2065 (e) (aa)

    977  
  485     

Infor Software Parent LLC, 7.13% (cash), 05/01/2021 (e) (v)

    489  
  404     

Infor US, Inc., 6.50%, 05/15/2022

    410  
  293     

Informatica LLC, 7.13%, 07/15/2023 (e)

    293  
  121     

Ingevity Corp., 4.50%, 02/01/2026 (e)

    117  
  200     

International Game Technology plc, 6.50%, 02/15/2025 (e)

    213  
  230     

IQVIA, Inc., 4.88%, 05/15/2023 (e)

    233  
  498     

IRB Holding Corp., 6.75%, 02/15/2026 (e)

    481  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Iron Mountain, Inc.,

 
  348     

4.88%, 09/15/2027 (e)

    328  
  153     

5.25%, 03/15/2028 (e)

    144  
  521     

5.75%, 08/15/2024

    514  
  210     

Itron, Inc., 5.00%, 01/15/2026 (e)

    205  
  

Jack Ohio Finance LLC,

 
  352     

6.75%, 11/15/2021 (e)

    363  
  100     

10.25%, 11/15/2022 (e)

    110  
  170     

Jaguar Holding Co. II, 6.38%, 08/01/2023 (e)

    172  
  24     

JB Poindexter & Co., Inc., 7.13%, 04/15/2026 (e)

    24  
  115     

JC Penney Corp., Inc., 8.63%, 03/15/2025 (e)

    107  
  126     

Kaiser Aluminum Corp., 5.88%, 05/15/2024

    130  
  143     

Kennedy-Wilson, Inc., 5.88%, 04/01/2024 (e)

    141  
  394     

KFC Holding Co., 4.75%, 06/01/2027 (e)

    379  
  96     

Koppers, Inc., 6.00%, 02/15/2025 (e)

    98  
  

L Brands, Inc.,

 
  285     

5.25%, 02/01/2028

    267  
  150     

6.75%, 07/01/2036

    140  
  225     

6.88%, 11/01/2035

    213  
  

Ladder Capital Finance Holdings LLLP,

 
  239     

5.25%, 03/15/2022 (e)

    239  
  72     

5.25%, 10/01/2025 (e)

    69  
  

Lamar Media Corp.,

 
  64     

5.00%, 05/01/2023

    65  
  232     

5.38%, 01/15/2024

    237  
  

Lennar Corp.,

 
  275     

4.50%, 04/30/2024

    268  
  120     

4.75%, 11/15/2022

    120  
  75     

4.75%, 05/30/2025

    73  
  460     

4.75%, 11/29/2027 (e)

    434  
  165     

5.25%, 06/01/2026 (e)

    162  
  370     

5.88%, 11/15/2024 (e)

    382  
  

Level 3 Financing, Inc.,

 
  248     

5.13%, 05/01/2023

    246  
  60     

5.25%, 03/15/2026

    58  
  95     

5.38%, 08/15/2022

    96  
  277     

5.38%, 01/15/2024

    274  
  171     

5.38%, 05/01/2025

    168  
  552     

5.63%, 02/01/2023

    559  
  5     

Levi Strauss & Co., 5.00%, 05/01/2025

    5  
  196     

Liberty Mutual Group, Inc., 7.80%, 03/15/2037 (e)

    237  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Live Nation Entertainment, Inc.,

 
  140     

4.88%, 11/01/2024 (e)

    137  
  45     

5.38%, 06/15/2022 (e)

    46  
  72     

5.63%, 03/15/2026 (e)

    72  
  338     

LPL Holdings, Inc., 5.75%, 09/15/2025 (e)

    328  
  

Mallinckrodt International Finance SA,

 
  63     

4.75%, 04/15/2023

    45  
  90     

5.50%, 04/15/2025 (e)

    68  
  124     

5.63%, 10/15/2023 (e)

    97  
  183     

5.75%, 08/01/2022 (e)

    153  
  473     

Martin Midstream Partners LP, 7.25%, 02/15/2021

    474  
  532     

MasTec, Inc., 4.88%, 03/15/2023

    528  
  31     

Match Group, Inc., 5.00%, 12/15/2027 (e)

    30  
  

Mattel, Inc.,

 
  125     

3.15%, 03/15/2023

    107  
  97     

6.75%, 12/31/2025 (e)

    94  
  95     

MGM Growth Properties Operating Partnership LP, 5.63%, 05/01/2024

    97  
  

MGM Resorts International,

 
  296     

4.63%, 09/01/2026

    280  
  175     

7.75%, 03/15/2022

    194  
  200     

Micron Technology, Inc., 5.50%, 02/01/2025

    208  
  35     

Momentive Performance Materials USA LLC, 8.88%, 10/15/2020 (d) (bb)

     
  743     

MPH Acquisition Holdings LLC, 7.13%, 06/01/2024 (e)

    756  
  226     

MSCI, Inc., 5.75%, 08/15/2025 (e)

    236  
  4     

Murphy Oil USA, Inc., 6.00%, 08/15/2023

    4  
  

Nabors Industries, Inc.,

 
  17     

5.10%, 09/15/2023

    16  
  209     

5.50%, 01/15/2023

    205  
  127     

5.75%, 02/01/2025 (e)

    120  
  358     

Nationstar Mortgage LLC, 6.50%, 06/01/2022

    368  
  563     

Navistar International Corp., 6.63%, 11/01/2025 (e)

    584  
  525     

Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/2021 (e)

    357  
  

Netflix, Inc.,

 
  346     

4.38%, 11/15/2026

    324  
  175     

4.88%, 04/15/2028 (e)

    165  
  240     

5.75%, 03/01/2024

    249  
  222     

5.88%, 11/15/2028 (e)

    222  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         33  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

New Albertsons LP,

 
  345     

6.63%, 06/01/2028

    265  
  51     

7.45%, 08/01/2029

    41  
  55     

7.75%, 06/15/2026

    48  
  437     

8.00%, 05/01/2031

    364  
  120     

8.70%, 05/01/2030

    106  
  350     

New Home Co., Inc. (The), 7.25%, 04/01/2022

    359  
  

Nexstar Broadcasting, Inc.,

 
  145     

5.63%, 08/01/2024 (e)

    143  
  35     

6.13%, 02/15/2022 (e)

    36  
  

NextEra Energy Operating Partners LP,

 
  246     

4.25%, 09/15/2024 (e)

    237  
  201     

4.50%, 09/15/2027 (e)

    188  
  140     

NGPL PipeCo LLC, 4.88%, 08/15/2027 (e)

    136  
  600     

Nielsen Co. Luxembourg SARL (The), 5.00%, 02/01/2025 (e)

    590  
  333     

Nielsen Finance LLC, 5.00%, 04/15/2022 (e)

    336  
  115     

Northwest Acquisitions ULC, 7.13%, 11/01/2022 (e)

    117  
  

Novelis Corp.,

 
  424     

5.88%, 09/30/2026 (e)

    421  
  416     

6.25%, 08/15/2024 (e)

    424  
  790     

NRG Energy, Inc., 6.25%, 05/01/2024

    817  
  180     

NRG Yield Operating LLC, 5.00%, 09/15/2026

    175  
  479     

Nuance Communications, Inc., 5.63%, 12/15/2026

    478  
  310     

NuStar Logistics LP, 5.63%, 04/28/2027

    294  
  148     

NVA Holdings, Inc., 6.88%, 04/01/2026 (e)

    149  
  

Oasis Petroleum, Inc.,

 
  215     

6.50%, 11/01/2021

    220  
  117     

6.88%, 03/15/2022

    121  
  98     

OI European Group BV, 4.00%, 03/15/2023 (e)

    93  
  

Outfront Media Capital LLC,

 
  283     

5.25%, 02/15/2022

    287  
  195     

5.63%, 02/15/2024

    197  
  155     

5.88%, 03/15/2025

    159  
  

Owens-Brockway Glass Container, Inc.,

 
  80     

5.00%, 01/15/2022 (e)

    81  
  205     

5.38%, 01/15/2025 (e)

    205  
  89     

Parker Drilling Co., 6.75%, 07/15/2022

    67  
  60     

Parsley Energy LLC, 5.38%, 01/15/2025 (e)

    60  
  140     

Party City Holdings, Inc., 6.13%, 08/15/2023 (e)

    142  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

PBF Holding Co. LLC,

 
  211     

7.00%, 11/15/2023

    218  
  325     

7.25%, 06/15/2025

    337  
  147     

PBF Logistics LP, 6.88%, 05/15/2023

    148  
  

Peabody Energy Corp.,

 
  187     

6.00%, 03/31/2022 (e)

    192  
  15     

6.38%, 03/31/2025 (e)

    16  
  75     

Penn Virginia Corp. Escrow, 8.50%, 05/01/2020 (d) (bb)

    (h) 
  538     

Penske Automotive Group, Inc., 5.50%, 05/15/2026

    522  
  

PetSmart, Inc.,

 
  214     

5.88%, 06/01/2025 (e)

    154  
  191     

7.13%, 03/15/2023 (e)

    111  
  313     

8.88%, 06/01/2025 (e)

    181  
  

Pilgrim’s Pride Corp.,

 
  605     

5.75%, 03/15/2025 (e)

    592  
  216     

5.88%, 09/30/2027 (e)

    206  
  260     

Plains All American Pipeline LP, Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (x) (y) (aa)

    253  
  238     

Plantronics, Inc., 5.50%, 05/31/2023 (e)

    238  
  416     

Polaris Intermediate Corp., 8.50% (cash), 12/01/2022 (e) (v)

    422  
  300     

PolyOne Corp., 5.25%, 03/15/2023

    307  
  

Post Holdings, Inc.,

 
  250     

5.00%, 08/15/2026 (e)

    235  
  265     

5.50%, 03/01/2025 (e)

    260  
  335     

5.75%, 03/01/2027 (e)

    327  
  242     

PQ Corp., 5.75%, 12/15/2025 (e)

    240  
  1,215     

Prime Security Services Borrower LLC, 9.25%, 05/15/2023 (e)

    1,305  
  

QEP Resources, Inc.,

 
  111     

5.25%, 05/01/2023

    108  
  117     

5.38%, 10/01/2022

    117  
  118     

6.88%, 03/01/2021

    127  
  

Qorvo, Inc.,

 
  166     

6.75%, 12/01/2023

    176  
  43     

7.00%, 12/01/2025

    47  
  10     

Quad/Graphics, Inc., 7.00%, 05/01/2022

    10  
  

Quicken Loans, Inc.,

 
  248     

5.25%, 01/15/2028 (e)

    226  
  582     

5.75%, 05/01/2025 (e)

    571  
  210     

Qwest Capital Funding, Inc., 7.75%, 02/15/2031

    193  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  120     

Qwest Corp., 7.25%, 09/15/2025

    129  
  468     

Rackspace Hosting, Inc., 8.63%, 11/15/2024 (e)

    474  
  

Radian Group, Inc.,

 
  293     

4.50%, 10/01/2024

    280  
  74     

7.00%, 03/15/2021

    79  
  9     

Range Resources Corp., 5.00%, 08/15/2022

    9  
  72     

RBS Global, Inc., 4.88%, 12/15/2025 (e)

    69  
  647     

Revlon Consumer Products Corp., 6.25%, 08/01/2024

    388  
  

Reynolds Group Issuer, Inc.,

 
  410     

5.13%, 07/15/2023 (e)

    412  
  460     

5.75%, 10/15/2020

    464  
  35     

6.87%, 02/15/2021

    35  
  

Rowan Cos., Inc.,

 
  19     

4.75%, 01/15/2024

    16  
  90     

4.88%, 06/01/2022

    83  
  48     

7.38%, 06/15/2025

    47  
  

Sabre GLBL, Inc.,

 
  40     

5.25%, 11/15/2023 (e)

    40  
  195     

5.38%, 04/15/2023 (e)

    197  
  75     

Sally Holdings LLC, 5.50%, 11/01/2023

    75  
  

Sanchez Energy Corp.,

 
  201     

6.13%, 01/15/2023

    145  
  94     

7.25%, 02/15/2023 (e)

    95  
  328     

7.75%, 06/15/2021

    304  
  

SBA Communications Corp.,

 
  102     

4.00%, 10/01/2022 (e)

    97  
  228     

4.88%, 07/15/2022

    229  
  175     

4.88%, 09/01/2024

    168  
  

Scientific Games International, Inc.,

 
  402     

5.00%, 10/15/2025 (e)

    388  
  515     

10.00%, 12/01/2022

    555  
  202     

Scotts Miracle-Gro Co. (The), 5.25%, 12/15/2026

    197  
  

Sealed Air Corp.,

 
  105     

4.88%, 12/01/2022 (e)

    107  
  410     

5.13%, 12/01/2024 (e)

    416  
  100     

5.25%, 04/01/2023 (e)

    102  
  50     

5.50%, 09/15/2025 (e)

    52  
  

SemGroup Corp.,

 
  228     

5.63%, 07/15/2022

    221  
  203     

5.63%, 11/15/2023

    191  
  32     

6.38%, 03/15/2025

    30  
  308     

7.25%, 03/15/2026

    306  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  700     

Seminole Hard Rock Entertainment, Inc., 5.88%, 05/15/2021 (e)

    700  
  

Sensata Technologies BV,

 
  327     

4.88%, 10/15/2023 (e)

    328  
  260     

5.00%, 10/01/2025 (e)

    260  
  

Service Corp. International,

 
  235     

5.38%, 05/15/2024

    240  
  95     

8.00%, 11/15/2021

    107  
  

Sinclair Television Group, Inc.,

 
  125     

5.13%, 02/15/2027 (e)

    116  
  10     

5.38%, 04/01/2021

    10  
  247     

5.63%, 08/01/2024 (e)

    245  
  225     

5.88%, 03/15/2026 (e)

    222  
  

Sirius XM Radio, Inc.,

 
  288     

4.63%, 05/15/2023 (e)

    285  
  295     

5.00%, 08/01/2027 (e)

    281  
  605     

5.38%, 04/15/2025 (e)

    602  
  35     

5.38%, 07/15/2026 (e)

    34  
  281     

Six Flags Entertainment Corp., 4.88%, 07/31/2024 (e)

    274  
  451     

SM Energy Co., 5.00%, 01/15/2024

    430  
  547     

Solera LLC, 10.50%, 03/01/2024 (e)

    609  
  82     

Sonic Automotive, Inc., 6.13%, 03/15/2027

    79  
  155     

Sotera Health Holdings LLC, 6.50%, 05/15/2023 (e)

    155  
  395     

Sotheby’s, 4.88%, 12/15/2025 (e)

    380  
  346     

Southwestern Energy Co., 6.45%, 01/23/2025

    338  
  555     

Spectrum Brands, Inc., 5.75%, 07/15/2025

    554  
  10     

Speedway Motorsports, Inc., 5.13%, 02/01/2023

    10  
  

Springleaf Finance Corp.,

 
  496     

5.63%, 03/15/2023

    491  
  130     

6.13%, 05/15/2022

    133  
  310     

6.88%, 03/15/2025

    313  
  378     

7.75%, 10/01/2021

    412  
  747     

Sprint Capital Corp., 8.75%, 03/15/2032

    857  
  

Sprint Communications, Inc.,

 
  114     

6.00%, 11/15/2022

    116  
  533     

7.00%, 03/01/2020 (e)

    562  
  236     

7.00%, 08/15/2020

    250  
  

Sprint Corp.,

 
  807     

7.13%, 06/15/2024

    831  
  697     

7.25%, 09/15/2021

    739  
  685     

7.63%, 02/15/2025

    721  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         35  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  1,080     

7.63%, 03/01/2026

    1,137  
  492     

7.88%, 09/15/2023

    527  
  

Standard Industries, Inc.,

 
  290     

4.75%, 01/15/2028 (e)

    270  
  75     

5.00%, 02/15/2027 (e)

    72  
  475     

6.00%, 10/15/2025 (e)

    493  
  870     

Staples, Inc., 8.50%, 09/15/2025 (e)

    813  
  916     

Station Casinos LLC, 5.00%, 10/01/2025 (e)

    877  
  

Steel Dynamics, Inc.,

 
  480     

4.13%, 09/15/2025

    458  
  121     

5.00%, 12/15/2026

    120  
  66     

5.50%, 10/01/2024

    68  
  5     

Stone Energy Corp., 7.50%, 05/31/2022

    5  
  

Summit Materials LLC,

 
  385     

5.13%, 06/01/2025 (e)

    374  
  465     

6.13%, 07/15/2023

    473  
  

Summit Midstream Holdings LLC,

 
  138     

5.50%, 08/15/2022

    134  
  308     

5.75%, 04/15/2025

    294  
  

Sunoco LP,

 
  220     

4.88%, 01/15/2023 (e)

    216  
  91     

5.50%, 02/15/2026 (e)

    88  
  41     

5.88%, 03/15/2028 (e)

    40  
  

SUPERVALU, Inc.,

 
  755     

6.75%, 06/01/2021

    755  
  1,320     

7.75%, 11/15/2022

    1,315  
  314     

Symantec Corp., 5.00%, 04/15/2025 (e)

    315  
  240     

Talen Energy Supply LLC, 6.50%, 06/01/2025

    175  
  

Tallgrass Energy Partners LP,

 
  155     

5.50%, 09/15/2024 (e)

    157  
  185     

5.50%, 01/15/2028 (e)

    185  
  

Targa Resources Partners LP,

 
  431     

4.25%, 11/15/2023

    407  
  175     

5.00%, 01/15/2028 (e)

    162  
  245     

5.13%, 02/01/2025

    238  
  125     

5.38%, 02/01/2027

    120  
  23     

5.88%, 04/15/2026 (e)

    23  
  815     

Team Health Holdings, Inc., 6.38%, 02/01/2025 (e)

    709  
  

TEGNA, Inc.,

 
  200     

5.50%, 09/15/2024 (e)

    203  
  330     

6.38%, 10/15/2023

    341  
  160     

Teleflex, Inc., 5.25%, 06/15/2024

    162  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Tempur Sealy International, Inc.,

 
  580     

5.50%, 06/15/2026

    549  
  583     

5.63%, 10/15/2023

    586  
  

Tenet Healthcare Corp.,

 
  611     

4.38%, 10/01/2021

    602  
  317     

4.50%, 04/01/2021

    314  
  401     

4.63%, 07/15/2024 (e)

    388  
  703     

5.13%, 05/01/2025 (e)

    685  
  49     

6.00%, 10/01/2020

    51  
  18     

6.75%, 02/01/2020

    19  
  860     

6.75%, 06/15/2023

    846  
  150     

7.00%, 08/01/2025 (e)

    147  
  115     

7.50%, 01/01/2022 (e)

    121  
  560     

8.13%, 04/01/2022

    583  
  228     

Tennant Co., 5.63%, 05/01/2025

    232  
  407     

Terex Corp., 5.63%, 02/01/2025 (e)

    405  
  358     

Terraform Global Operating LLC, 6.13%, 03/01/2026 (e)

    362  
  

TerraForm Power Operating LLC,

 
  184     

4.25%, 01/31/2023 (e)

    176  
  230     

5.00%, 01/31/2028 (e)

    215  
  487     

SUB, 6.63%, 06/15/2025 (e)

    520  
  345     

Tesla, Inc., 5.30%, 08/15/2025 (e)

    305  
  1,000     

Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/01/2020 (d) (bb)

    10  
  

T-Mobile USA, Inc.,

 
  123     

4.50%, 02/01/2026

    118  
  123     

4.75%, 02/01/2028

    118  
  862     

6.00%, 04/15/2024

    903  
  696     

6.38%, 03/01/2025

    731  
  400     

6.50%, 01/15/2026

    425  
  

Toll Brothers Finance Corp.,

 
  185     

4.35%, 02/15/2028

    171  
  115     

4.88%, 11/15/2025

    114  
  120     

5.63%, 01/15/2024

    126  
  

TransDigm, Inc.,

 
  612     

5.50%, 10/15/2020

    612  
  421     

6.00%, 07/15/2022

    427  
  269     

6.38%, 06/15/2026

    270  
  10     

6.50%, 07/15/2024

    10  
  159     

6.50%, 05/15/2025

    162  
  107     

TransMontaigne Partners LP, 6.13%, 02/15/2026

    106  
  630     

Transocean Proteus Ltd., 6.25%, 12/01/2024 (e)

    647  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Transocean, Inc.,

 
  84     

5.80%, 10/15/2022

    82  
  484     

6.80%, 03/15/2038

    407  
  437     

7.50%, 01/15/2026 (e)

    441  
  180     

7.50%, 04/15/2031

    166  
  490     

9.00%, 07/15/2023 (e)

    529  
  248     

9.35%, 12/15/2041

    248  
  237     

Travelport Corporate Finance plc, 6.00%, 03/15/2026 (e)

    242  
  99     

TriMas Corp., 4.88%, 10/15/2025 (e)

    95  
  328     

Trinseo Materials Operating SCA, 5.38%, 09/01/2025 (e)

    323  
  276     

Tronox Finance plc, 5.75%, 10/01/2025 (e)

    268  
  215     

Tronox, Inc., 6.50%, 04/15/2026 (e)

    214  
  691     

Tutor Perini Corp., 6.88%, 05/01/2025 (e)

    708  
  

Ultra Resources, Inc.,

 
  1,144     

6.88%, 04/15/2022 (e)

    841  
  329     

7.13%, 04/15/2025 (e)

    219  
  650     

Unit Corp., 6.63%, 05/15/2021

    650  
  

United Continental Holdings, Inc.,

 
  167     

4.25%, 10/01/2022

    163  
  321     

5.00%, 02/01/2024

    318  
  

United Rentals North America, Inc.,

 
  600     

4.63%, 10/15/2025

    582  
  337     

4.88%, 01/15/2028

    319  
  910     

5.50%, 07/15/2025

    931  
  220     

5.50%, 05/15/2027

    219  
  61     

5.75%, 11/15/2024

    63  
  185     

5.88%, 09/15/2026

    193  
  

United States Steel Corp.,

 
  343     

6.25%, 03/15/2026

    340  
  97     

6.88%, 08/15/2025

    99  
  167     

Uniti Group LP, 6.00%, 04/15/2023 (e)

    163  
  159     

Univar USA, Inc., 6.75%, 07/15/2023 (e)

    164  
  

Univision Communications, Inc.,

 
  285     

5.13%, 05/15/2023 (e)

    271  
  342     

5.13%, 02/15/2025 (e)

    316  
  46     

6.75%, 09/15/2022 (e)

    47  
  340     

US Concrete, Inc., 6.38%, 06/01/2024

    352  
  97     

USA Compression Partners LP, 6.88%, 04/01/2026 (e)

    99  
  234     

USIS Merger Sub, Inc., 6.88%, 05/01/2025 (e)

    236  
  

Valeant Pharmaceuticals International,

 
  253     

6.75%, 08/15/2021 (e)

    255  
  529     

7.25%, 07/15/2022 (e)

    533  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Valeant Pharmaceuticals International, Inc.,

 
  185     

5.50%, 03/01/2023 (e)

    167  
  478     

5.50%, 11/01/2025 (e)

    476  
  1,577     

5.88%, 05/15/2023 (e)

    1,442  
  211     

6.13%, 04/15/2025 (e)

    190  
  162     

6.50%, 03/15/2022 (e)

    168  
  353     

7.00%, 03/15/2024 (e)

    372  
  164     

7.50%, 07/15/2021 (e)

    167  
  727     

9.00%, 12/15/2025 (e)

    736  
  406     

9.25%, 04/01/2026 (e)

    414  
  77     

Valvoline, Inc., 4.38%, 08/15/2025

    74  
  226     

Venator Finance SARL, 5.75%, 07/15/2025 (e)

    225  
  160     

Versum Materials, Inc., 5.50%, 09/30/2024 (e)

    164  
  1,161     

Vertiv Group Corp., 9.25%, 10/15/2024 (e)

    1,173  
  

Viacom, Inc.,

 
  83     

4.38%, 03/15/2043

    73  
  240     

(ICE LIBOR USD 3 Month + 3.90%), 5.88%, 02/28/2057 (aa)

    243  
  142     

(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/2057 (aa)

    144  
  95     

ViaSat, Inc., 5.63%, 09/15/2025 (e)

    91  
  

Vistra Energy Corp.,

 
  500     

5.88%, 06/01/2023

    512  
  220     

7.38%, 11/01/2022

    232  
  755     

8.00%, 01/15/2025 (e)

    818  
  284     

8.13%, 01/30/2026 (e)

    312  
  286     

VOC Escrow Ltd., 5.00%, 02/15/2028 (e)

    277  
  76     

Wabash National Corp., 5.50%, 10/01/2025 (e)

    74  
  2     

Weatherford International LLC, 6.80%, 06/15/2037

    2  
  

Weatherford International Ltd.,

 
  114     

4.50%, 04/15/2022

    101  
  308     

5.95%, 04/15/2042

    223  
  250     

6.50%, 08/01/2036

    190  
  66     

6.75%, 09/15/2040

    51  
  13     

7.00%, 03/15/2038

    10  
  21     

7.75%, 06/15/2021

    21  
  54     

9.88%, 02/15/2024

    52  
  434     

WellCare Health Plans, Inc., 5.25%, 04/01/2025

    436  
  315     

WESCO Distribution, Inc., 5.38%, 06/15/2024

    318  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         37  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Corporate Bonds — continued

 
  

United States — continued

 

  51     

West Street Merger Sub, Inc., 6.38%, 09/01/2025 (e)

    50  
  696     

Western Digital Corp., 4.75%, 02/15/2026

    686  
  

Whiting Petroleum Corp.,

 
  243     

5.75%, 03/15/2021

    249  
  16     

6.25%, 04/01/2023

    17  
  215     

6.63%, 01/15/2026 (e)

    220  
  

Williams Cos., Inc. (The),

 
  275     

3.70%, 01/15/2023

    266  
  22     

4.55%, 06/24/2024

    22  
  245     

5.75%, 06/24/2044

    255  
  142     

7.75%, 06/15/2031

    173  
  21     

Series A, 7.50%, 01/15/2031

    25  
  

Windstream Services LLC,

 
  117     

6.38%, 08/01/2023 (e)

    67  
  198     

8.75%, 12/15/2024 (e)

    118  
  

WMG Acquisition Corp.,

 
  75     

4.88%, 11/01/2024 (e)

    73  
  55     

5.00%, 08/01/2023 (e)

    55  
  340     

5.50%, 04/15/2026 (e)

    342  
  205     

5.63%, 04/15/2022 (e)

    210  
  115     

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/2026 (e)

    116  
  

Wyndham Worldwide Corp.,

 
  74     

4.15%, 04/01/2024

    73  
  100     

4.50%, 04/01/2027

    99  
  44     

5.10%, 10/01/2025

    46  
  

XPO Logistics, Inc.,

 
  175     

6.13%, 09/01/2023 (e)

    181  
  95     

6.50%, 06/15/2022 (e)

    98  
  

Zayo Group LLC,

 
  382     

5.75%, 01/15/2027 (e)

    379  
  211     

6.00%, 04/01/2023

    217  
  455     

6.38%, 05/15/2025

    471  
    

 

 

 
       189,041  
    

 

 

 
  

Venezuela, Bolivarian Republic of — 0.0% (g)

  

Petroleos de Venezuela SA,

 
  450     

Reg. S, 5.38%, 04/12/2027 (d)

    118  
  50     

Reg. S, 5.50%, 04/12/2037 (d)

    13  
  600     

Reg. S, 6.00%, 11/15/2026 (d)

    150  
  113     

Reg. S, 8.50%, 10/27/2020 (d)

    97  
  110     

Reg. S, 9.00%, 11/17/2021 (d)

    33  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Venezuela, Bolivarian Republic of — continued

 

  120     

Reg. S, 9.75%, 05/17/2035 (d)

    34  
  120     

Reg. S, 12.75%, 02/17/2022 (d)

    37  
    

 

 

 
       482  
    

 

 

 
  

Total Corporate Bonds
(Cost $299,186)

    295,446  
    

 

 

 
 

Foreign Government Securities — 11.2%

 
  

Angola — 0.1%

 

  

Republic of Angola,

 
  911     

Reg. S, 7.00%, 08/17/2019

    928  
  800     

Reg. S, 9.50%, 11/12/2025

    899  
    

 

 

 
       1,827  
    

 

 

 
  

Argentina — 0.2%

 

  ARS 16,000     

Bonos de la Nacion Argentina con Ajuste por CER, 4.00%, 03/06/2020

    814  
  

Provincia de Buenos Aires,

 
  380     

7.88%, 06/15/2027 (e)

    384  
  600     

Reg. S, 9.95%, 06/09/2021

    663  
  

Provincia de Cordoba,

 
  600     

7.45%, 09/01/2024 (e)

    618  
  300     

Reg. S, 7.13%, 06/10/2021

    314  
  350     

Reg. S, 7.45%, 09/01/2024

    361  
  150     

Provincia de Mendoza Argentina, Reg. S, 8.38%, 05/19/2024

    157  
  

Republic of Argentina,

 
  1,650     

0.00%, 12/15/2035

    138  
  200     

4.63%, 01/11/2023

    191  
  1,900     

6.88%, 04/22/2021

    1,991  
  92     

6.88%, 01/11/2048

    82  
  150     

7.63%, 04/22/2046

    145  
  491     

8.28%, 12/31/2033

    522  
  442     

Reg. S, 7.13%, 06/28/2117

    392  
    

 

 

 
       6,772  
    

 

 

 
  

Armenia — 0.0% (g)

  

Republic of Armenia,

 
  200     

Reg. S, 6.00%, 09/30/2020

    204  
  400     

Reg. S, 7.15%, 03/26/2025

    427  
    

 

 

 
       631  
    

 

 

 
  

Australia — 0.1%

 

  

Republic of Australia,

 
  AUD 630     

2.25%, 11/21/2022

    471  
  AUD 1,610     

Reg. S, 1.75%, 11/21/2020

    1,201  
  AUD 700     

Reg. S, 2.75%, 04/21/2024

    533  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

Australia — continued

 

  AUD 620     

Reg. S, 2.75%, 06/21/2035

    448  
  AUD 230     

Reg. S, 3.00%, 03/21/2047

    163  
    

 

 

 
       2,816  
    

 

 

 
  

Azerbaijan — 0.0% (g)

  200     

Republic of Azerbaijan, Reg. S, 4.75%, 03/18/2024

    199  
    

 

 

 
  

Bahrain — 0.1%

 

  

Kingdom of Bahrain,

 
  200     

Reg. S, 5.50%, 03/31/2020

    200  
  200     

Reg. S, 5.88%, 01/26/2021

    201  
  1,440     

Reg. S, 6.13%, 07/05/2022

    1,443  
    

 

 

 
       1,844  
    

 

 

 
  

Belarus — 0.1%

 

  

Republic of Belarus,

 
  585     

6.20%, 02/28/2030 (e)

    564  
  630     

7.63%, 06/29/2027 (e)

    677  
  1,110     

Reg. S, 6.88%, 02/28/2023

    1,161  
  1,150     

Reg. S, 7.63%, 06/29/2027

    1,236  
    

 

 

 
       3,638  
    

 

 

 
  

Belgium — 0.2%

 

  

Belgium Government Bond,

 
  EUR 540     

Reg. S, 0.50%, 10/22/2024 (e)

    659  
  EUR 1,660     

Reg. S, 0.80%, 06/22/2025 (e)

    2,057  
  EUR 1,153     

Reg. S, 1.00%, 06/22/2031 (e)

    1,385  
  EUR 144     

Reg. S, 1.60%, 06/22/2047 (e)

    174  
  EUR 819     

Reg. S, 1.90%, 06/22/2038 (e)

    1,079  
  EUR 110     

Reg. S, 2.15%, 06/22/2066 (e)

    146  
    

 

 

 
       5,500  
    

 

 

 
  

Bermuda — 0.0% (g)

  200     

Republic of Bermuda, Reg. S, 4.85%, 02/06/2024

    209  
    

 

 

 
  

Brazil — 0.0% (g)

  

Federative Republic of Brazil,

 
  850     

6.00%, 04/07/2026

    917  
  200     

8.25%, 01/20/2034

    248  
    

 

 

 
       1,165  
    

 

 

 
  

Canada — 0.0% (g)

  CAD 1,560     

Canadian Government Bond, 3.25%, 06/01/2021

    1,260  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Chile — 0.0% (g)

  CLP 30     

BONOS TESORERIA GENL, 2.00%, 03/01/2035

    1,289  
    

 

 

 
  

Colombia — 0.1%

 

  

Republic of Colombia,

 
  400     

3.88%, 04/25/2027

    386  
  200     

4.50%, 01/28/2026

    204  
  800     

5.00%, 06/15/2045

    789  
  200     

7.38%, 09/18/2037

    253  
    

 

 

 
       1,632  
    

 

 

 
  

Costa Rica — 0.0% (g)

  200     

Instituto Costarricense de Electricidad, Reg. S, 6.38%, 05/15/2043

    172  
  

Republic of Costa Rica,

 
  200     

Reg. S, 4.25%, 01/26/2023

    191  
  200     

Reg. S, 4.38%, 04/30/2025

    187  
  200     

Reg. S, 7.00%, 04/04/2044

    199  
    

 

 

 
       749  
    

 

 

 
  

Croatia — 0.0% (g)

  

Republic of Croatia,

 
  462     

Reg. S, 6.00%, 01/26/2024

    503  
  200     

Reg. S, 6.38%, 03/24/2021

    214  
  337     

Reg. S, 6.63%, 07/14/2020

    359  
  200     

Reg. S, 6.75%, 11/05/2019

    210  
    

 

 

 
       1,286  
    

 

 

 
  

Denmark — 0.1%

 

  

Kingdom of Denmark,

 
  DKK 1,170     

0.25%, 11/15/2020

    193  
  DKK 3,560     

0.50%, 11/15/2027

    573  
  DKK 2,020     

4.50%, 11/15/2039

    545  
    

 

 

 
       1,311  
    

 

 

 
  

Dominican Republic — 0.1%

 

  

Government of Dominican Republic,

 
  200     

Reg. S, 5.88%, 04/18/2024

    207  
  1,000     

Reg. S, 6.88%, 01/29/2026

    1,080  
  200     

Reg. S, 7.45%, 04/30/2044

    219  
    

 

 

 
       1,506  
    

 

 

 
  

Ecuador — 0.1%

 

  

Republic of Ecuador,

 
  280     

8.75%, 06/02/2023 (e)

    274  
  300     

Reg. S, 7.95%, 06/20/2024

    280  
  660     

Reg. S, 10.50%, 03/24/2020

    678  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         39  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

Ecuador — continued

 

  200     

Reg. S, 10.75%, 03/28/2022

    210  
    

 

 

 
       1,442  
    

 

 

 
  

Egypt — 0.1%

 

  

Republic of Egypt,

 
  EUR 330     

4.75%, 04/16/2026 (e)

    397  
  EUR 320     

5.63%, 04/16/2030 (e)

    380  
  860     

Reg. S, 5.75%, 04/29/2020

    879  
  700     

Reg. S, 5.88%, 06/11/2025

    686  
  600     

Reg. S, 6.13%, 01/31/2022

    616  
  400     

Reg. S, 7.50%, 01/31/2027

    421  
  200     

Reg. S, 8.50%, 01/31/2047

    214  
    

 

 

 
       3,593  
    

 

 

 
  

El Salvador — 0.1%

 

  

Republic of El Salvador,

 
  560     

Reg. S, 5.88%, 01/30/2025

    548  
  230     

Reg. S, 6.38%, 01/18/2027

    227  
  1,050     

Reg. S, 7.38%, 12/01/2019

    1,087  
  770     

Reg. S, 7.63%, 02/01/2041

    801  
  912     

Reg. S, 7.65%, 06/15/2035

    950  
  250     

Reg. S, 7.75%, 01/24/2023

    269  
  150     

Reg. S, 8.25%, 04/10/2032

    165  
    

 

 

 
       4,047  
    

 

 

 
  

Ethiopia — 0.0% (g)

  200     

Republic of Ethiopia, Reg. S, 6.63%, 12/11/2024

    202  
    

 

 

 
  

France — 0.6%

 

  3,300     

Caisse d’Amortissement de la Dette Sociale, Reg. S, 1.88%, 07/28/2020

    3,232  
  

Republic of France,

 
  EUR 1,398     

Reg. S, 0.00%, 05/25/2022

    1,696  
  EUR 2,020     

Reg. S, 0.25%, 11/25/2026

    2,372  
  EUR 587     

Reg. S, 1.50%, 05/25/2031

    749  
  EUR 409     

Reg. S, 1.75%, 05/25/2066 (e)

    487  
  EUR 720     

Reg. S, 2.00%, 05/25/2048 (e)

    945  
  EUR 3,420     

Reg. S, 2.25%, 05/25/2024

    4,637  
  EUR 2,260     

Reg. S, 2.50%, 05/25/2030

    3,212  
  EUR 1,660     

Reg. S, 3.25%, 05/25/2045

    2,757  
    

 

 

 
       20,087  
    

 

 

 
  

Gabon — 0.0% (g)

  

Republic of Gabonese,

 
  310     

Reg. S, 6.38%, 12/12/2024

    302  
  450     

Reg. S, 6.95%, 06/16/2025

    447  
    

 

 

 
       749  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
    
  

Germany — 0.0% (g)

  

Federal Republic of Germany,

 
  EUR 133     

Reg. S, 4.00%, 01/04/2037

    243  
  EUR 40     

Reg. S, 4.75%, 07/04/2034

    77  
    

 

 

 
       320  
    

 

 

 
  

Ghana — 0.0% (g)

  400     

Republic of Ghana,Reg. S, 8.13%, 01/18/2026

    427  
    

 

 

 
  

Honduras — 0.0% (g)

  200     

Republic of Honduras, Reg. S, 8.75%, 12/16/2020

    218  
    

 

 

 
  

Hungary — 0.1%

 

  

Republic of Hungary,

 
  550     

5.38%, 03/25/2024

    591  
  950     

5.75%, 11/22/2023

    1,035  
  700     

6.38%, 03/29/2021

    753  
    

 

 

 
       2,379  
    

 

 

 
  

Indonesia — 0.2%

 

  

Republic of Indonesia,

 
  IDR   6,500,000     

6.13%, 05/15/2028

    440  
  IDR 12,200,000     

7.00%, 05/15/2022

    892  
  IDR   4,800,000     

7.00%, 05/15/2027

    347  
  IDR 11,800,000     

7.50%, 08/15/2032

    863  
  IDR   5,850,000     

7.50%, 05/15/2038

    423  
  IDR   9,794,000     

8.25%, 07/15/2021

    741  
  IDR 16,114,000     

8.25%, 05/15/2036

    1,249  
  IDR 11,225,000     

9.00%, 03/15/2029

    923  
  200     

Reg. S, 4.13%, 01/15/2025

    199  
  200     

Reg. S, 4.35%, 01/08/2027

    200  
  400     

Reg. S, 5.88%, 01/15/2024

    435  
  200     

Reg. S, 6.63%, 02/17/2037

    238  
  800     

Reg. S, 6.75%, 01/15/2044

    990  
    

 

 

 
       7,940  
    

 

 

 
  

Iraq — 0.1%

 

  

Republic of Iraq,

 
  1,050     

Reg. S, 5.80%, 01/15/2028

    987  
  700     

Reg. S, 6.75%, 03/09/2023

    697  
    

 

 

 
       1,684  
    

 

 

 
  

Italy — 1.7%

 

  

Republic of Italy,

 
  EUR 1,860     

0.05%, 10/15/2019

    2,258  
  EUR 4,860     

0.25%, 05/15/2018

    5,870  
  EUR 7,650     

0.30%, 10/15/2018

    9,268  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

Italy — continued

 

  EUR 5,602     

0.45%, 06/01/2021

    6,844  
  EUR 1,913     

0.65%, 11/01/2020

    2,353  
  EUR 3,240     

1.50%, 06/01/2025

    3,978  
  EUR 1,612     

Reg. S, 0.10%, 05/15/2022 (e)

    2,030  
  EUR 3,374     

Reg. S, 1.65%, 03/01/2032 (e)

    3,838  
  EUR 210     

Reg. S, 2.25%, 09/01/2036 (e)

    248  
  EUR 281     

Reg. S, 2.70%, 03/01/2047 (e)

    335  
  EUR 140     

Reg. S, 2.80%, 03/01/2067 (e)

    159  
  EUR 9,790     

3.50%, 06/01/2018

    11,858  
  EUR 733     

Reg. S, 3.10%, 09/15/2026

    1,106  
  EUR 2,541     

Reg. S, 4.75%, 09/01/2028 (e)

    3,904  
  EUR 1,119     

Reg. S, 4.75%, 09/01/2044 (e)

    1,846  
    

 

 

 
       55,895  
    

 

 

 
  

Ivory Coast — 0.0% (g)

  

Republic of Cote d’Ivoire,

 
  EUR 650     

5.25%, 03/22/2030 (e)

    795  
  EUR 100     

6.63%, 03/22/2048 (e)

    122  
  200     

Reg. S, 6.38%, 03/03/2028

    201  
  95     

Reg. S, SUB, 5.75%, 12/31/2032

    90  
    

 

 

 
       1,208  
    

 

 

 
  

Jamaica — 0.0% (g)

  

Government of Jamaica,

 
  200     

6.75%, 04/28/2028

    220  
  500     

8.00%, 03/15/2039

    585  
    

 

 

 
       805  
    

 

 

 
  

Japan — 3.0%

 

  

Government of Japan,

 
  JPY 904,300     

0.10%, 12/15/2018

    8,284  
  JPY 675,450     

0.10%, 01/15/2020

    6,203  
  JPY 568,100     

0.10%, 12/20/2020

    5,227  
  JPY 1,226,400     

0.10%, 12/20/2021

    11,307  
  JPY 8,150     

0.10%, 06/20/2026

    75  
  JPY 351,950     

0.20%, 12/20/2018

    3,226  
  JPY 236,500     

0.30%, 06/20/2018

    2,165  
  JPY 647,050     

0.50%, 09/20/2024

    6,126  
  JPY 1,020,850     

0.60%, 09/20/2037

    9,489  
  JPY 44,450     

0.70%, 03/20/2037

    422  
  JPY 83,600     

0.80%, 09/20/2022

    795  
  JPY 861,250     

0.80%, 12/20/2047

    7,996  
  JPY 21,600     

0.90%, 03/20/2057

    199  
  JPY 696,300     

1.30%, 12/20/2018

    6,428  
  JPY 429,550     

1.40%, 12/20/2045

    4,605  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Japan — continued

 

  JPY 1,051,900     

1.50%, 09/20/2018

    9,683  
  JPY 125,700     

1.50%, 06/20/2034

    1,356  
  JPY 1,045,150     

1.60%, 03/20/2032

    11,340  
  

Japan Finance Organization for Municipalities,

 
  1,890     

3.25%, 04/24/2023 (e)

    1,885  
  EUR 2,800     

Reg. S, 0.88%, 09/22/2021

    3,450  
  1,800     

Reg. S, 2.13%, 04/13/2021

    1,746  
    

 

 

 
       102,007  
    

 

 

 
  

Kazakhstan — 0.1%

 

  

Republic of Kazakhstan,

 
  KZT 283,000     

Zero Coupon, 03/15/2019 (e) (bb)

    802  
  400     

Reg. S, 3.88%, 10/14/2024

    401  
  200     

Reg. S, 4.88%, 10/14/2044

    196  
  200     

Reg. S, 6.50%, 07/21/2045

    238  
    

 

 

 
       1,637  
    

 

 

 
  

Kenya — 0.1%

 

  

Republic of Kenya,

 
  200     

7.25%, 02/28/2028 (e)

    206  
  200     

8.25%, 02/28/2048 (e)

    206  
  800     

Reg. S, 5.88%, 06/24/2019

    811  
  1,100     

Reg. S, 6.88%, 06/24/2024

    1,137  
    

 

 

 
       2,360  
    

 

 

 
  

Kuwait — 0.0% (g)

  900     

Kuwait Government Bond, Reg. S, 2.75%, 03/20/2022

    871  
    

 

 

 
  

Lebanon — 0.2%

 

  

Republic of Lebanon,

 
  250     

6.15%, 06/19/2020

    247  
  595     

6.25%, 05/27/2022

    569  
  1,894     

6.38%, 03/09/2020

    1,889  
  145     

Reg. S, 5.15%, 06/12/2018

    145  
  460     

Reg. S, 5.15%, 11/12/2018

    459  
  956     

Reg. S, 5.45%, 11/28/2019

    940  
  100     

Reg. S, 5.80%, 04/14/2020

    98  
  400     

Reg. S, 6.00%, 05/20/2019

    399  
  340     

Reg. S, 6.10%, 10/04/2022

    324  
  240     

Reg. S, 6.20%, 02/26/2025

    220  
  379     

Reg. S, 6.60%, 11/27/2026

    342  
  906     

Reg. S, 8.25%, 04/12/2021

    925  
    

 

 

 
       6,557  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         41  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

Macedonia, the Former Yugoslav Republic of — 0.0% (g)

  EUR 114     

Former Yugoslav Republic of Macedonia, 2.75%, 01/18/2025 (e)

    136  
    

 

 

 
  

Malaysia — 0.0% (g)

  MYR 3,300     

Malaysia Government Bond, 3.44%, 02/15/2021

    833  
    

 

 

 
  

Mexico — 0.0% (g)

  

United Mexican States,

 
  200     

4.15%, 03/28/2027

    197  
  200     

4.60%, 01/23/2046

    182  
  240     

5.55%, 01/21/2045

    252  
  100     

5.75%, 10/12/2110

    98  
    

 

 

 
       729  
    

 

 

 
  

Mongolia — 0.1%

 

  

Mongolia Government Bond,

 
  460     

5.63%, 05/01/2023 (e)

    447  
  660     

Reg. S, 5.13%, 12/05/2022

    634  
  430     

Reg. S, 8.75%, 03/09/2024

    476  
  400     

Reg. S, 10.88%, 04/06/2021

    457  
    

 

 

 
       2,014  
    

 

 

 
  

Montenegro — 0.0% (g)

  EUR 350     

Republic of Montenegro, 3.38%, 04/21/2025 (e)

    419  
    

 

 

 
  

Morocco — 0.0% (g)

  1,120     

Kingdom of Morocco, Reg. S, 5.50%, 12/11/2042

    1,163  
    

 

 

 
  

Nigeria — 0.1%

 

  

Republic of Nigeria,

 
  200     

6.50%, 11/28/2027 (e)

    202  
  980     

7.63%, 11/28/2047 (e)

    986  
  290     

7.70%, 02/23/2038 (e)

    298  
  300     

Reg. S, 6.50%, 11/28/2027

    302  
  200     

Reg. S, 6.75%, 01/28/2021

    210  
    

 

 

 
       1,998  
    

 

 

 
  

Norway — 0.1%

 

  2,880     

Kommunalbanken A/S, 2.50%, 04/17/2020 (e)

    2,868  
    

 

 

 
  

Oman — 0.1%

 

  

Oman Government Bond,

 
  200     

Reg. S, 4.13%, 01/17/2023

    190  
  300     

Reg. S, 4.75%, 06/15/2026

    280  
  400     

Reg. S, 5.38%, 03/08/2027

    381  
  1,100     

Reg. S, 6.50%, 03/08/2047

    1,020  
  830     

Reg. S, 6.75%, 01/17/2048

    783  
    

 

 

 
       2,654  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Pakistan — 0.0% (g)

  1,070     

Republic of Pakistan, Reg. S, 7.25%, 04/15/2019

    1,090  
    

 

 

 
  

Panama — 0.0% (g)

  

Republic of Panama,

 
  200     

4.50%, 05/15/2047

    196  
  400     

6.70%, 01/26/2036

    494  
  200     

9.38%, 04/01/2029

    284  
    

 

 

 
       974  
    

 

 

 
  

Paraguay — 0.0% (g)

  

Republic of Paraguay,

 
  200     

Reg. S, 5.00%, 04/15/2026

    203  
  400     

Reg. S, 6.10%, 08/11/2044

    422  
  200     

Republic of Uruguay, Reg. S, 4.70%, 03/27/2027

    198  
    

 

 

 
       823  
    

 

 

 
  

Peru — 0.1%

 

  

Republic of Peru,

 
  PEN 3,179     

6.35%, 08/12/2028

    1,063  
  200     

8.75%, 11/21/2033

    294  
  PEN 1,477     

Reg. S, 6.15%, 08/12/2032 (e)

    475  
    

 

 

 
       1,832  
    

 

 

 
  

Qatar — 0.2%

 

  

State of Qatar,

 
  1,060     

3.88%, 04/23/2023 (e)

    1,056  
  830     

5.10%, 04/23/2048 (e)

    822  
  4,300     

Reg. S, 5.25%, 01/20/2020

    4,429  
    

 

 

 
       6,307  
    

 

 

 
  

Romania — 0.0% (g)

  

Republic of Romania,

 
  550     

Reg. S, 4.38%, 08/22/2023

    558  
  50     

Reg. S, 4.88%, 01/22/2024

    52  
  100     

Reg. S, 6.75%, 02/07/2022

    110  
    

 

 

 
       720  
    

 

 

 
  

Russia — 0.1%

 

  

Russian Federation,

 
  RUB 99,700     

7.70%, 03/23/2033

    1,619  
  RUB 98,740     

7.75%, 09/16/2026

    1,626  
  200     

Reg. S, 4.88%, 09/16/2023

    206  
  800     

Reg. S, 5.88%, 09/16/2043

    866  
    

 

 

 
       4,317  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

Saudi Arabia — 0.1%

 

  4,400     

Kingdom of Saudi Arabia, Reg. S, 2.38%, 10/26/2021

    4,220  
    

 

 

 
  

Senegal — 0.0% (g)

  

Republic of Senegal,

 
  200     

6.75%, 03/13/2048 (e)

    189  
  200     

Reg. S, 6.25%, 05/23/2033

    193  
    

 

 

 
       382  
    

 

 

 
  

Serbia — 0.1%

 

  

Republic of Serbia,

 
  1,375     

Reg. S, 4.88%, 02/25/2020

    1,399  
  1,070     

Reg. S, 7.25%, 09/28/2021

    1,181  
    

 

 

 
       2,580  
    

 

 

 
  

South Africa — 0.2%

 

  

Republic of South Africa,

 
  400     

4.30%, 10/12/2028

    367  
  100     

4.67%, 01/17/2024

    99  
  200     

5.38%, 07/24/2044

    186  
  200     

5.50%, 03/09/2020

    207  
  100     

5.88%, 05/30/2022

    106  
  200     

5.88%, 09/16/2025

    210  
  120     

6.25%, 03/08/2041

    125  
  ZAR 23,050     

6.50%, 02/28/2041

    1,400  
  ZAR 30,675     

8.75%, 02/28/2048

    2,385  
    

 

 

 
       5,085  
    

 

 

 
  

South Korea — 0.1%

 

  3,400     

Export-Import Bank of Korea, 4.38%, 09/15/2021

    3,488  
    

 

 

 
  

Spain — 1.0%

 

  

Kingdom of Spain,

 
  EUR 130     

0.05%, 01/31/2021

    158  
  EUR 1,718     

0.40%, 04/30/2022

    2,102  
  EUR 880     

1.40%, 01/31/2020

    1,095  
  EUR 10,383     

3.75%, 10/31/2018

    12,801  
  EUR 1,666     

Reg. S, 1.45%, 10/31/2027 (e)

    2,055  
  EUR 1,190     

Reg. S, 1.50%, 04/30/2027 (e)

    1,481  
  EUR 2,591     

Reg. S, 1.60%, 04/30/2025 (e)

    3,310  
  EUR 1,584     

Reg. S, 1.95%, 07/30/2030 (e)

    2,003  
  EUR 4,004     

Reg. S, 2.70%, 10/31/2048 (e)

    5,195  
  EUR 393     

Reg. S, 2.90%, 10/31/2046 (e)

    536  
  EUR 121     

Reg. S, 3.45%, 07/30/2066 (e)

    178  
  EUR 1,823     

Reg. S, 4.00%, 04/30/2020 (e)

    2,390  
  EUR 836     

Reg. S, 4.70%, 07/30/2041 (e)

    1,488  
    

 

 

 
       34,792  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
    
  

Sri Lanka — 0.1%

 

  

Republic of Sri Lanka,

 
  900     

5.75%, 04/18/2023 (e)

    895  
  1,340     

Reg. S, 6.25%, 10/04/2020

    1,381  
  500     

Reg. S, 6.85%, 11/03/2025

    511  
    

 

 

 
       2,787  
    

 

 

 
  

Sweden — 0.1%

 

  

Kingdom of Sweden,

 
  SEK 620     

0.75%, 05/12/2028

    71  
  SEK 1,110     

3.50%, 03/30/2039

    176  
  SEK 1,630     

5.00%, 12/01/2020

    213  
  SEK 4,690     

Reg. S, 1.50%, 11/13/2023 (e)

    577  
  3,300     

Svensk Exportkredit AB, 2.88%, 03/14/2023

    3,273  
    

 

 

 
       4,310  
    

 

 

 
  

Turkey — 0.2%

 

  

Republic of Turkey,

 
  970     

4.88%, 04/16/2043

    774  
  400     

6.00%, 03/25/2027

    402  
  200     

6.00%, 01/14/2041

    184  
  200     

6.25%, 09/26/2022

    210  
  600     

6.63%, 02/17/2045

    586  
  250     

7.38%, 02/05/2025

    274  
  100     

8.00%, 02/14/2034

    115  
  TRY 19,100     

9.40%, 07/08/2020

    4,307  
  TRY 3,700     

11.00%, 02/24/2027

    848  
    

 

 

 
       7,700  
    

 

 

 
  

Ukraine — 0.1%

 

  

Republic of Ukraine,

 
  600     

Reg. S, 7.75%, 09/01/2020

    623  
  667     

Reg. S, 7.75%, 09/01/2021

    689  
  250     

Reg. S, 7.75%, 09/01/2024

    249  
  200     

Reg. S, 7.75%, 09/01/2027

    196  
  1,000     

Ukreximbank Via Biz Finance plc, Reg. S, 9.63%, 04/27/2022

    1,034  
    

 

 

 
       2,791  
    

 

 

 
  

United Kingdom — 0.8%

 

  

United Kingdom Gilt,

 
  GBP 1,870     

Reg. S, 0.50%, 07/22/2022

    2,523  
  GBP 2,462     

Reg. S, 0.75%, 07/22/2023

    3,326  
  GBP 222     

Reg. S, 1.25%, 07/22/2027

    300  
  GBP 1,660     

Reg. S, 1.50%, 01/22/2021

    2,327  
  GBP   1,734     

Reg. S, 1.50%, 07/22/2026

    2,417  
  GBP   2,170     

Reg. S, 1.50%, 07/22/2047

    2,767  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         43  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands, except number of Options contracts)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Foreign Government Securities — continued

 
  

United Kingdom — continued

 

  GBP 1,610     

Reg. S, 1.75%, 07/22/2019

    2,245  
  GBP 3,630     

Reg. S, 1.75%, 09/07/2037

    4,949  
  GBP 1,373     

Reg. S, 1.75%, 07/22/2057

    1,932  
  GBP 154     

Reg. S, 2.50%, 07/22/2065

    273  
  GBP 50     

Reg. S, 3.75%, 07/22/2052

    104  
  GBP 2,020     

Reg. S, 4.25%, 06/07/2032

    3,676  
  GBP 26     

Reg. S, 4.25%, 12/07/2046

    55  
  GBP 274     

Reg. S, 4.75%, 12/07/2038

    570  
    

 

 

 
       27,464  
    

 

 

 
  

Uruguay — 0.1%

 

  

Republic of Uruguay,

 
  300     

4.38%, 10/27/2027

    302  
  380     

4.98%, 04/20/2055

    362  
  550     

5.10%, 06/18/2050

    540  
  450     

7.88%, 01/15/2033

    588  
    

 

 

 
       1,792  
    

 

 

 
  

Venezuela, Bolivarian Republic of — 0.0% (g)

  

Republic of Venezuela,

 
  70     

Reg. S, 6.00%, 12/09/2020 (d)

    20  
  180     

Reg. S, 7.65%, 04/21/2025 (d)

    50  
  80     

Reg. S, 7.75%, 10/13/2019 (d)

    23  
  540     

Reg. S, 8.25%, 10/13/2024 (d)

    153  
  885     

Reg. S, 9.00%, 05/07/2023 (d)

    252  
  540     

Reg. S, 9.25%, 05/07/2028 (d)

    152  
  120     

Reg. S, 11.75%, 10/21/2026 (d)

    37  
  130     

Reg. S, 12.75%, 08/23/2022 (d)

    41  
    

 

 

 
       728  
    

 

 

 
  

Vietnam — 0.0% (g)

  200     

Republic of Vietnam, Reg. S, 4.80%, 11/19/2024

    203  
    

 

 

 
  

Zambia — 0.0% (g)

  

Republic of Zambia,

 
  700     

Reg. S, 5.38%, 09/20/2022

    642  
  200     

Reg. S, 8.97%, 07/30/2027

    201  
    

 

 

 
       843  
    

 

 

 
  

Total Foreign Government Securities
(Cost $382,021)

    376,104  
    

 

 

 
 

Loan Assignments — 0.3% (cc)

 
  

Canada — 0.0% (g)

  64     

Concordia Healthcare Corp., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 6.15%, 10/21/2021 (aa)

    58  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Canada — continued

 

  75     

MacDonald, Dettwiler and Associates Ltd., Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.66%, 10/04/2024 (aa)

    75  
    

 

 

 
       133  
    

 

 

 
  

United States — 0.3%

 

  165     

Avaya, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.75%), 6.65%, 12/15/2024 (aa)

    166  
  1,382     

California Resources Corp., 1st Lien Second Out Term Loan, (ICE LIBOR USD 1 Month + 10.38%), 12.27%, 12/31/2021 (aa)

    1,551  
  1,177     

California Resources Corp., Senior Secured First Out, (ICE LIBOR USD 1 Month + 4.75%), 6.65%, 12/31/2022 (aa) ^

    1,201  
  1,083     

Chesapeake Energy Corp., 1st Lien Last Out, (ICE LIBOR USD 3 Month + 7.50%), 9.44%, 08/23/2021 (aa) ^

    1,145  
  183     

Cincinnati Bell, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 5.57%, 10/02/2024 (aa)

    185  
  210     

Consolidated Communications, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.91%, 10/05/2023 (aa)

    208  
  180     

Cortes NP Acquisition Corporation, Term B Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.89%, 11/30/2023 (aa)

    180  
  19     

FGI Operating Co. LLC, DIP term Loan, (ICE LIBOR USD 1 Month + 1.88%), 8.00%, 06/28/2018 (aa) (bb) ^

    19  
  84     

FGI Operating Co. LLC, Term B Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.90%, 04/19/2019 (aa)

    20  
  457     

First Data Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month +2.25%), 4.15%, 04/26/2024 (aa)

    458  
  281     

Genesys Telecom Holdings, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.50%), 5.80%, 12/01/2023 (aa)

    283  
  120     

JC Penney Corp., Term Loan B, (ICE LIBOR USD 3 Month + 4.25%), 6.23%, 06/23/2023 (aa) ^

    117  
  534     

Moran Foods LLC, Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.90%, 12/05/2023 (aa)

    461  
  67     

MTL Publishing LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 4.14%, 08/20/2023 (aa)

    67  
  72     

ON Semiconductor Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.90%, 03/31/2023 (aa)

    72  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Long Positions — continued

 
 

Loan Assignments — continued

 
  

United States — continued

 

  123     

PetSmart, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.89%, 03/11/2022 (aa)

    97  
  163     

Quest Software Us Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 5.50%), 7.86%, 10/31/2022 (aa)

    164  
  189     

Revlon Consumer Products Corp., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 09/07/2023 (aa)

    145  
  271     

Securus Technologies Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.40%, 11/01/2024 (aa)

    275  
  71     

Supervalu, Inc., Delayed Draw Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 06/08/2024 (aa)

    71  
  118     

Supervalu, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 06/08/2024 (aa)

    118  
  281     

Syniverse Holdings, Inc., 1st Lien, (ICE LIBOR USD 1 Month + 5.00%), 6.90%, 03/09/2023 (aa)

    284  
  1,253     

Ultra Resources, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.90%, 04/12/2024 (aa)

    1,171  
  613     

Viskase Cos., Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 5.55%, 01/30/2021 (aa)

    602  
    

 

 

 
       9,060  
    

 

 

 
  

Total Loan Assignments
(Cost $9,274)

    9,193  
    

 

 

 
 

Mortgage-Backed Securities — 0.4%

 
  

FHLMC Gold Pools, 15 Year, Single Family,

 
  6,188     

3.50%, 04/01/2030

    6,277  
  1,687     

4.00%, 04/01/2026

    1,735  
  5,383     

FNMA, 15 Year, Single Family, 4.00%, 11/01/2026

    5,582  
    

 

 

 
  

Total Mortgage-Backed Securities
(Cost $13,608)

    13,594  
    

 

 

 
NUMBER OF
CONTRACTS
              
 

Options Purchased — 0.4%

 
  

Call Options — 0.4%

 

  

Japan — 0.1%

 

  789     

TOPIX Index, expiring 06/08/2018 at JPY 1,750.00, European Style (a) Notional Amount: JPY 7,890 Exchange Traded

    3,075  
    

 

 

 
  

United States — 0.3%

 

  40,271     

iShares MSCI Emerging Markets ETF, 06/15/2018 at USD 48.00, American Style (a) Notional Amount: USD 188,952 Exchange Traded

    2,920  
NUMBER OF
CONTRACTS
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 

  556     

S&P 500 Index, expiring 06/15/2018 at USD 2,625.00, European Style (a) Notional Amount: USD 147,232 Exchange Traded

    3,611  
  1,034     

S&P 500 Index, expiring 06/15/2018 at USD 2,725.00, European Style (a) Notional Amount: USD 273,808 Exchange Traded

    1,701  
NOTIONAL
AMOUNT($)
              
  8,246     

Foreign Exchange CNH/USD 07/27/2018 at USD 6.50, Vanilla, European Style (a) Notional Amount: USD 8,246 Counterparty: Standard Chartered Bank

    24  
  8,069     

Foreign Exchange INR/USD 07/03/2018 at USD 67.60, Vanilla, European Style (a) Notional Amount: USD 8,069 Counterparty: Merrill Lynch International

    48  
  8,017     

Foreign Exchange PLN/USD 06/20/2018 at USD 3.58, Vanilla, European Style (a) Notional Amount: USD 8,017 Counterparty: Goldman Sachs International

    46  
  7,833     

Foreign Exchange RUB/USD 06/01/2018 at USD 60.30, Vanilla, European Style (a) Notional Amount: USD 7,833 Counterparty: Citibank, NA

    370  
    

 

 

 
       8,720  
    

 

 

 
  

Total Call Options Purchased

    11,795  
    

 

 

 
  

Put Options — 0.0% (g)

  

Australia — 0.0% (g)

  9,641     

Foreign Exchange JPY/AUD 05/01/2018 at AUD 83.55, Vanilla, European Style (a) Notional Amount: AUD 9,641 Counterparty: Goldman Sachs International

    113  
  9,663     

Foreign Exchange USD/AUD 05/11/2018 at AUD 0.75, Vanilla, European Style (a) Notional Amount: AUD 9,663 Counterparty: Merrill Lynch International

    40  
    

 

 

 
       153  
    

 

 

 
  

European Union — 0.0% (g)

  6,782     

Foreign Exchange USD/EUR 06/29/2018 at EUR 1.19, Vanilla, European Style (a) Notional Amount: EUR 6,782 Counterparty: Citibank, NA

    35  
    

 

 

 
  

Total Put Option Purchased

    188  
    

 

 

 
  

Total Options Purchased
(Cost $23,511)

    11,983  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         45  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

    
SHARES
    SECURITY DESCRIPTION   VALUE  
 

Preferred Stocks — 0.0% (g)

 

Bermuda — 0.0% (g)

  (h)   

XLIT Ltd., Series D, (ICE LIBOR USD 3 Month + 3.12%), 5.47%, 06/01/2018 ($1,000 par value) (aa) @

    85  
   

 

 

 
 

United States — 0.0% (g)

  1    

GMAC Capital Trust I, Series 2, (ICE LIBOR USD 3 Month + 5.79%), 7.62%, 02/15/2040 ($25 par value) (aa)

    17  
  3    

Goodman Private Preferred Shares (bb)

    10  
 
   

 

 

 
      27  
   

 

 

 
 

Total Preferred Stocks
(Cost $99)

    112  
   

 

 

 
 

Supranational — 0.1%

 
  270    

African Export-Import Bank (The), Reg. S, 4.13%, 06/20/2024

    260  
  AUD 1,210    

European Investment Bank, 0.50%, 06/21/2023

    799  
 

Inter-American Development Bank,

 
  CAD 3,650    

0.50%, 05/23/2023

    2,543  
  CAD    614    

4.40%, 01/26/2026

    528  
   

 

 

 
 

Total Supranational
(Cost $4,251)

    4,130  
   

 

 

 
NUMBER OF
RIGHTS
             
 

Rights — 0.0% (g)

 

United States — 0.0% (g)

 

  44    

Media General, Inc., CVR (a) (bb)

    2  
  17    

Vistra Energy Corp., expiring 12/31/2049 (a) (bb)

    12  
   

 

 

 
 

Total Rights
(Cost $—)

    14  
   

 

 

 
PRINCIPAL
AMOUNT
             
 

U.S. Treasury Obligations — 2.7%

 
 

U.S. Treasury Bonds,

 
  1,200    

2.25%, 08/15/2046

    1,005  
  1,132    

2.50%, 02/15/2046

    1,002  
  10,299    

3.63%, 08/15/2043

    11,242  
  7,286    

3.75%, 08/15/2041

    8,098  
  5,061    

4.25%, 05/15/2039

    6,012  
  4,098    

5.38%, 02/15/2031

    5,141  
  2,225    

6.13%, 08/15/2029

    2,898  
 

U.S. Treasury Notes,

 
  28,685    

1.13%, 01/31/2019 (k)

    28,456  
  13,124    

1.25%, 10/31/2021

    12,494  
  14,769    

2.13%, 05/15/2025

    14,026  
   

 

 

 
 

Total U.S. Treasury Obligations
(Cost $92,564)

    90,374  
   

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Short-Term Investments — 7.9%

 
  

Foreign Government Treasury Bills — 0.3%

 

  

Canadian Treasury Bills,

 
  CAD 4,100     

1.13%, 11/15/2018 (n)

    3,170  
  CAD 4,496     

1.35%, 10/18/2018 (n)

    3,480  
  CAD 4,200     

1.37%, 12/13/2018 (n)

    3,243  
  CAD    390     

1.42%, 11/15/2018 (n)

    302  
  CAD    300     

1.46%, 12/13/2018 (n)

    232  
    

 

 

 
  

Total Foreign Government Treasury Bills
(Cost $10,562)

    10,427  
    

 

 

 
    
SHARES
              
  

Investment Companies — 7.6%

 

  180,857     

JPMorgan U.S. Government Money Market Fund, IM Class Shares, 1.63% (b) (l)

    180,857  
  74,726     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58%(b) (l)

    74,726  
    

 

 

 
  

Total Investment Companies
(Cost $255,583)

    255,583  
    

 

 

 
  

Total Short-Term Investments
(Cost $266,145)

    266,010  
    

 

 

 
  

Total Investments — 96.8%
(Cost $3,071,004)

    3,261,675  
  

Other Assets in Excess of
Liabilities — 3.2%

    109,718  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 3,371,393  
    

 

 

 
 

Short Positions — 2.0%

 
 

Common Stocks — 2.0%

 
  

United States — 2.0%

 

  109     

Cardinal Health, Inc.

    7,018  
  4     

Charter Communications, Inc., Class A (a)

    962  
  133     

Citigroup, Inc.

    9,106  
  90     

DENTSPLY SIRONA, Inc.

    4,535  
  165     

Harley-Davidson, Inc.

    6,799  
  98     

Johnson & Johnson

    12,353  
  86     

Kroger Co. (The)

    2,173  
  106     

Molson Coors Brewing Co., Class B

    7,571  
  146     

Newell Brands, Inc.

    4,035  
  45     

Procter & Gamble Co. (The)

    3,281  
  26     

Rockwell Automation, Inc.

    4,356  
  46     

Take-Two Interactive Software, Inc. (a)

    4,562  
    

 

 

 
  

Total Securities Sold Short
(Proceeds $68,401)

    66,751  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Foreign Government Securities

     11.5

Collateralized Mortgage Obligations

     10.7  

Banks

     7.5  

Oil, Gas & Consumable Fuels

     4.2  

Insurance

     3.3  

Pharmaceuticals

     3.1  

IT Services

     2.6  

Software

     2.1  

Internet Software & Services

     2.0  

Media

     1.8  

Health Care Providers & Services

     1.7  

Capital Markets

     1.7  

U.S. Treasury Notes

     1.7  

Automobiles

     1.6  

Semiconductors & Semiconductor Equipment

     1.6  

Machinery

     1.5  

Beverages

     1.5  

Chemicals

     1.4  

Electric Utilities

     1.4  

Diversified Telecommunication Services

     1.3  

Metals & Mining

     1.1  
INDUSTRY    PERCENTAGE  

U.S. Treasury Bonds

     1.1

Asset-Backed Securities

     1.1  

Hotels, Restaurants & Leisure

     1.1  

Internet & Direct Marketing Retail

     1.0

Food & Staples Retailing

     1.0  

Others (each less than 1.0%)

     21.2  

Short-Term Investments

     8.2  

 

INDUSTRY (SHORT)    PERCENTAGE  

Pharmaceuticals

     18.5

Banks

     13.7

Beverages

     11.3  

Health Care Providers & Services

     10.5  

Automobiles

     10.2  

Software

     6.8  

Health Care Equipment & Supplies

     6.8  

Electrical Equipment

     6.5  

Household Durables

     6.0  

Household Products

     5.0  

Food & Staples Retailing

     3.3  

Media

     1.4  
 

 

Futures contracts outstanding as of April 30, 2018:                                
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

 

3 Month Eurodollar        223          06/2018          USD          54,429          (62
Australia 10 Year Bond        19          06/2018          AUD          1,829          4  
Canada 10 Year Bond        72          06/2018          CAD          7,371          8  
EURO STOXX 50 Index        551          06/2018          EUR          23,050          1,235  
Euro-Bobl        37          06/2018          EUR          5,853          21  
Euro-Bund        38          06/2018          EUR          7,284          57  
Euro-OAT        21          06/2018          EUR          3,901          39  
Euro-Schatz        99          06/2018          EUR          13,380          12  
Foreign Exchange EUR/USD        1,090          06/2018          USD          165,176          (4,305
Foreign Exchange JPY/USD        676          06/2018          USD          77,554          (2,163
FTSE 100 Index        147          06/2018          GBP          15,070          924  
MSCI EAFE E-Mini Index        198          06/2018          USD          20,062          (5
MSCI Emerging Markets E-Mini Index        560          06/2018          USD          32,262          (592
Russell 2000 E-Mini Index        436          06/2018          USD          33,655          (1,245
S&P 500 E-Mini Index        557          06/2018          USD          73,719          (2,613
Short-Term Euro-BTP        5          06/2018          EUR          681          3  
TOPIX Index        109          06/2018          JPY          17,676          594  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         47  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
U.S. Treasury 5 Year Note        62          06/2018          USD          7,036          (13
U.S. Treasury Ultra Bond        310          06/2018          USD          48,544          (691
                        

 

 

 
                           (8,792
                        

 

 

 

Short Contracts

 

3 Month Sterling        (486        06/2018          GBP          (83,007        (52
EURO STOXX 50 Index        (3,548        06/2018          EUR          (148,420        (4,730
Euro-Bund        (10        06/2018          EUR          (1,917        (12
Euro-Buxl        (2        06/2018          EUR          (395        1  
Euro-Schatz        (62        06/2018          EUR          (8,379        (9
FTSE 100 Index        (1,061        06/2018          GBP          (108,774        (4,489
MSCI Europe Equity Index        (6,841        06/2018          EUR          (178,607        (6,600
TOPIX Index        (408        06/2018          JPY          (66,163        (2,998
U.S. Treasury 10 Year Note        (49        06/2018          USD          (5,858        49  
U.S. Treasury 10 Year Ultra Note        (55        06/2018          USD          (7,026        2  
U.S. Treasury 2 Year Note        (155        06/2018          USD          (32,867        25  
3 Month Eurodollar        (223        12/2018          USD          (54,276        74  
                        

 

 

 
                           (18,739
                        

 

 

 
                           (27,531
                        

 

 

 

 

Forward foreign currency exchange contracts outstanding as of April 30, 2018:  
CURRENCY PURCHASED      CURRENCY SOLD      COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
TRY     3,091      USD        744      Goldman Sachs International        5/18/2018          13  
USD     786      AUD        1,013      State Street Corp.        5/18/2018          23  
USD     830      COP        2,291,866      Credit Suisse International**        5/18/2018          14  
USD     793      EUR        644      Credit Suisse International        5/18/2018          14  
USD     812      EUR        656      Goldman Sachs International        5/18/2018          20  
USD     755      INR        49,438      Credit Suisse International**        5/18/2018          13  
USD     913      INR        60,609      Goldman Sachs International**        5/18/2018          3  
USD     10,436      CAD        13,341      HSBC Bank, N.A.        5/25/2018          40  
RUB     103,981      USD        1,614      Citibank, NA**        6/4/2018          30  
RUB     102,665      USD        1,614      Credit Suisse International**        6/4/2018          9  
CNY     19,963      USD        3,133      Citibank, NA**        6/19/2018          16  
COP     3,455,144      USD        1,211      Citibank, NA**        6/19/2018          18  
COP     3,461,038      USD        1,211      Credit Suisse International**        6/19/2018          20  
EGP     27,366      USD        1,495      Citibank, NA**        6/19/2018          41  
USD     821      ARS        17,399      Goldman Sachs International**        6/19/2018          8  
USD     3,972      BRL        13,131      Goldman Sachs International**        6/19/2018          242  
USD     2,956      CLP        1,785,140      Credit Suisse International**        6/19/2018          46  
USD     1,531      CLP        917,067      Goldman Sachs International**        6/19/2018          36  
USD     3,101      CNY        19,644      HSBC Bank, N.A.**        6/19/2018          2  
USD     58      CZK        1,200      Citibank, NA        6/19/2018          2  
USD     2,429      EUR        1,949      Royal Bank of Canada        6/19/2018          67  
USD     1,641      EUR        1,312      State Street Corp.        6/19/2018          50  
USD     3,976      JPY        420,880      HSBC Bank, N.A.        6/19/2018          113  
USD     2,498      MXN        46,932      Goldman Sachs International        6/19/2018          8  
USD     3,234      PLN        10,994      HSBC Bank, N.A.        6/19/2018          99  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
CURRENCY PURCHASED      CURRENCY SOLD      COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
USD     1,073      RUB        62,291      Citibank, NA**        6/19/2018          89  
USD     2,569      RUB        147,538      Goldman Sachs International**        6/19/2018          239  
USD     773      SGD        1,017      Goldman Sachs International        6/19/2018          5  
USD     2,373      THB        74,576      Goldman Sachs International        6/19/2018          7  
USD     869      TRY        3,424      Citibank, NA        6/19/2018          39  
USD     2,369      TRY        9,694      HSBC Bank, N.A.        6/19/2018          19  
USD     2,958      ZAR        35,603      Goldman Sachs International        6/19/2018          121  
USD     744      ZAR        9,035      HSBC Bank, N.A.        6/19/2018          24  
USD     786      ZAR        9,540      National Australia Bank Ltd.        6/19/2018          26  
USD     313      ZAR        3,768      State Street Corp.        6/19/2018          12  
USD     951      IDR        13,236,119      Goldman Sachs International**        6/20/2018          5  
GBP     718      SEK        8,573      Royal Bank of Canada        6/26/2018          8  
USD     3,625      AUD        4,693      Australia & New Zealand Banking Group Ltd.        6/26/2018          92  
USD     537      CAD        676      Australia & New Zealand Banking Group Ltd.        6/26/2018          10  
USD     2,131      CHF        2,078      Australia & New Zealand Banking Group Ltd.        6/26/2018          24  
USD     661      CHF        643      Barclays Bank plc        6/26/2018          9  
USD     3,205      CHF        3,037      State Street Corp.        6/26/2018          126  
USD     3,775      DKK        22,630      Merrill Lynch International        6/26/2018          90  
USD     19,306      EUR        15,601      Australia & New Zealand Banking Group Ltd.        6/26/2018          385  
USD     2,488      EUR        2,000      Barclays Bank plc        6/26/2018          63  
USD     3,384      EUR        2,726      BNP Paribas        6/26/2018          78  
USD     3,897      EUR        3,150      Citibank, NA        6/26/2018          76  
USD     6,528      EUR        5,275      Merrill Lynch International        6/26/2018          130  
USD     886      EUR        713      Royal Bank of Canada        6/26/2018          21  
USD     4,790      EUR        3,874      Societe Generale        6/26/2018          91  
USD     284,208      EUR        228,798      State Street Corp.        6/26/2018          6,712  
USD     25,984      GBP        18,340      Australia & New Zealand Banking Group Ltd.        6/26/2018          666  
USD     966      GBP        677      Barclays Bank plc        6/26/2018          30  
USD     1,418      GBP        1,006      BNP Paribas        6/26/2018          29  
USD     690      GBP        485      Merrill Lynch International        6/26/2018          20  
USD     540      GBP        379      State Street Corp.        6/26/2018          16  
USD     1,918      JPY        202,588      Australia & New Zealand Banking Group Ltd.        6/26/2018          57  
USD     103,614      JPY        10,810,748      Royal Bank of Canada        6/26/2018          4,338  
USD     580      JPY        61,834      State Street Corp.        6/26/2018          13  
USD     1,980      JPY        211,080      TD Bank Financial Group        6/26/2018          42  
USD     613      SEK        5,324      Barclays Bank plc        6/26/2018          2  
USD     1,027      SEK        8,432      Deutsche Bank AG        6/26/2018          60  
USD     937      EUR        754      Australia & New Zealand Banking Group Ltd.        7/19/2018          21  
USD     824      EUR        669      Barclays Bank plc        7/19/2018          11  
USD     1,049      EUR        841      Citibank, NA        7/19/2018          27  
                      

 

 

 
Total unrealized appreciation             14,780  
         

 

 

 
CLP     495,281      USD        830      Credit Suisse International**        5/18/2018          (22
CNY     573      USD        91      Citibank, NA**        5/18/2018          (1
CNY     5,107      USD        809      Goldman Sachs International**        5/18/2018          (2
CNY     4,733      USD        752      State Street Corp.**        5/18/2018          (4
CZK     16,457      USD        805      State Street Corp.        5/18/2018          (28
EUR     644      USD        800      Australia & New Zealand Banking Group Ltd.        5/18/2018          (21
IDR     10,340,298      USD        749      Goldman Sachs International**        5/18/2018          (7
MXN     15,310      USD        831      Goldman Sachs International        5/18/2018          (15
THB     24,166      USD        774      Goldman Sachs International        5/18/2018          (8
TWD     26,367      USD        900      Citibank, NA**        5/18/2018          (9
TWD     22,690      USD        778      Goldman Sachs International**        5/18/2018          (11
USD     816      MXN        15,310      Credit Suisse International        5/18/2018          (1
USD     854      PHP        44,599      Citibank, NA**        5/18/2018          (8

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         49  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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     748      PHP        38,992      Goldman Sachs International**        5/18/2018          (6
USD     1,141      TRY        4,757      Goldman Sachs International        5/18/2018          (24
BRL     5,820      USD        1,752      Credit Suisse International**        6/19/2018          (99
BRL     7,311      USD        2,229      Goldman Sachs International**        6/19/2018          (152
CLP     917,067      USD        1,516      Credit Suisse International**        6/19/2018          (21
CNY     10,107      USD        1,607      Citibank, NA**        6/19/2018          (13
CZK     30,119      USD        1,463      Citibank, NA        6/19/2018          (38
EUR     3,012      USD        3,731      Australia & New Zealand Banking Group Ltd.        6/19/2018          (80
EUR     249      USD        309      Royal Bank of Canada        6/19/2018          (7
INR     76,132      USD        1,157      Goldman Sachs International**        6/19/2018          (19
JPY     251,828      USD        2,415      Credit Suisse International        6/19/2018          (104
JPY     169,052      USD        1,610      Royal Bank of Canada        6/19/2018          (58
MXN     75,761      USD        4,083      Goldman Sachs International        6/19/2018          (64
PLN     880      USD        258      Citibank, NA        6/19/2018          (7
PLN     10,114      USD        2,964      Royal Bank of Canada        6/19/2018          (80
RUB     64,159      USD        1,018      Citibank, NA**        6/19/2018          (5
RUB     22,668      USD        364      Goldman Sachs International**        6/19/2018          (6
SGD     1,017      USD        778      Credit Suisse International        6/19/2018          (10
THB     74,576      USD        2,388      Australia & New Zealand Banking Group Ltd.        6/19/2018          (21
TRY     4,220      USD        1,030      Goldman Sachs International        6/19/2018          (7
TRY     1,092      USD        275      Royal Bank of Canada        6/19/2018          (10
USD     2,414      COP        6,916,182      Credit Suisse International**        6/19/2018          (46
USD     729      EGP        13,019      Citibank, NA**        6/19/2018          (3
USD     1,135      INR        76,132      Citibank, NA**        6/19/2018          (4
USD     1,525      MXN        28,828      State Street Corp.        6/19/2018          (4
USD     3,298      TRY        13,735      HSBC Bank, N.A.        6/19/2018          (32
ZAR     20,572      USD        1,649      Citibank, NA        6/19/2018          (10
ZAR     9,665      USD        797      National Australia Bank Ltd.        6/19/2018          (27
USD     2,705      IDR        38,273,143      Goldman Sachs International**        6/20/2018          (29
CHF     360      USD        379      Australia & New Zealand Banking Group Ltd.        6/26/2018          (14
CHF     1,159      USD        1,216      Goldman Sachs International        6/26/2018          (42
CHF     852      USD        898      State Street Corp.        6/26/2018          (34
EUR     988      USD        1,216      BNP Paribas        6/26/2018          (18
EUR     2,689      USD        3,369      Deutsche Bank AG        6/26/2018          (108
EUR     6,383      USD        7,878      State Street Corp.        6/26/2018          (136
GBP     1,201      EUR        1,376      Goldman Sachs International        6/26/2018          (11
GBP     32,794      USD        46,463      Australia & New Zealand Banking Group Ltd.        6/26/2018          (1,191
GBP     569      USD        798      HSBC Bank, N.A.        6/26/2018          (13
GBP     790      USD        1,112      Royal Bank of Canada        6/26/2018          (20
JPY     372,080      USD        3,527      State Street Corp.        6/26/2018          (111
JPY     532,570      USD        5,078      TD Bank Financial Group        6/26/2018          (187
SEK     17,972      USD        2,189      Deutsche Bank AG        6/26/2018          (127
USD     1,072      CAD        1,379      Australia & New Zealand Banking Group Ltd.        6/26/2018          (3
USD     2,870      CAD        3,697      Merrill Lynch International        6/26/2018          (14
EUR     291      USD        360      Australia & New Zealand Banking Group Ltd.        7/19/2018          (6
KZT     285,924      USD        857      Citibank, NA**        10/24/2018          (9
                      

 

 

 
Total unrealized depreciation             (3,167
         

 

 

 
Net unrealized appreciation             11,613  
         

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
Written Call Options Contracts as of April 30, 2018:  
DESCRIPTION    COUNTERPARTY    NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     EXERCISE
PRICE
     EXPIRATION
DATE
     VALUE ($)  

Foreign Exchange INR/USD

   Goldman Sachs International      8,069      USD  8,069      INR  67.60        7/3/2018        (48
                 

 

 

 
     (48
  

 

 

 

 

Written Put Options Contracts as of April 30, 2018:  
DESCRIPTION    COUNTERPARTY    NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     EXERCISE
PRICE
     EXPIRATION
DATE
     VALUE ($)  

Foreign Exchange JPY/AUD

   Goldman Sachs International      4,820      AUD 4,820      JPY 83.55        5/1/2018        (57

Foreign Exchange JPY/AUD

   Goldman Sachs International      4,820      AUD 4,820      JPY 83.55        5/1/2018        (57

Foreign Exchange USD/AUD

   Merrill Lynch International      9,663      AUD  9,663      USD 0.75        5/11/2018        (39
                 

 

 

 
     (153
                 

 

 

 
Total Written Options Contracts (Premiums Received $146)        (201
  

 

 

 

 

OTC Total Return Basket Swaps Outstanding at April 30, 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      $ 34,736      $ 1,470      $ 313      $ 1,783  
                   

 

 

 

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE ($) (1)
     NET UNREALIZED
APPRECIATION
(DEPRECIATION) ($) (2)
    PERCENTAGE
OF NET
ASSETS (%)
 

Long Positions

 

 

Common Stock

 

       

United Kingdom

 

       

Anglo American plc

     105        2,481        146       0.0 (g) 

Ashtead Group plc

     71        1,963        40       0.0 (g) 

Barratt Developments plc

     188        1,445        26       0.0 (g) 

Bellway plc

     42        1,912        86       0.0 (g) 

Compass Group plc

     135        2,889        119       0.0 (g) 

Fevertree Drinks plc

     50        1,958        97       0.0 (g) 

Lloyds Banking Group plc

     2,374        2,105        (72     0.0 (g) 

Man Group plc

     692        1,718        51       0.0 (g) 

Persimmon plc

     64        2,409        58       0.0 (g) 

Rio Tinto plc

     68        3,711        337       0.0 (g) 

Rolls-Royce Holdings plc

     134        1,550        (75     0.0 (g) 

Taylor Wimpey plc

     589        1,552        28       0.0 (g) 

Tesco plc

     1,130        3,661        461       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 
     5,642        29,354        1,302       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         51  


Table of Contents

JPMorgan Global Allocation Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

(Amounts in thousands)

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE ($) (1)
     NET UNREALIZED
APPRECIATION
(DEPRECIATION) ($) (2)
    PERCENTAGE
OF NET
ASSETS (%)
 

United States

 

       

Shire plc

     16        853        (5     0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

Israel

 

       

Plus500 Ltd.

     47        916        51       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

Switzerland

 

       

Glencore plc

     747        3,600        109       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

Preferred Stock

          

United Kingdom

          

Rolls-Royce plc

     9,527        13        13       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Long Positions of Total Return Basket Swaps

     15,979        34,736        1,470       0.0 (g) 
  

 

 

    

 

 

    

 

 

   

 

 

 

 

The following reference rates, and their values as of period-end, are used for security descriptions:

     Value  

GBP LIBOR

     0.51

 

Summary of total swap contracts outstanding as of April 30, 2018:        
      VALUE ($)  

Assets

 

OTC Total return basket swaps contracts outstanding

     1,783  
  

 

 

 

Total OTC swap contracts outstanding

     1,783  
  

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — 4.2%

 
  

United States — 4.2%

 
  

ABFC Trust,

 
  253     

Series 2003-OPT1, Class A1A, 2.72%, 04/25/2033 (z) (bb)

    254  
  1,642     

Series 2004-HE1, Class M1, 2.80%, 03/25/2034 (z) (bb)

    1,640  
  733     

Series 2004-OPT3, Class M1, 2.65%, 09/25/2033 (z) (bb)

    688  
  2,609     

Series 2004-OPT5, Class A1, 2.60%, 06/25/2034 (z) (bb)

    2,545  
  1,358     

Series 2005-WF1, Class M1, 2.44%, 11/25/2034 (z) (bb)

    1,357  
  1,036     

Accredited Mortgage Loan Trust,
Series 2004-4, Class M1, 2.77%, 01/25/2035 (z) (bb)

    1,007  
  

ACE Securities Corp. Home Equity Loan Trust,

 
  1,021     

Series 2003-FM1, Class M1, 3.19%, 11/25/2032 (z) (bb)

    1,034  
  1,160     

Series 2003-HE1, Class M1, 2.87%, 11/25/2033 (z)

    1,140  
  724     

Series 2003-NC1, Class M1, 3.07%, 07/25/2033 (z) (bb)

    717  
  3,631     

Series 2003-OP1, Class M1, 2.95%, 12/25/2033 (z) (bb)

    3,595  
  927     

Series 2004-HE2, Class M1, 2.93%, 10/25/2034 (z) (bb)

    927  
  1,393     

Series 2004-HE4, Class M2, 2.87%, 12/25/2034 (z) (bb)

    1,355  
  3,818     

Series 2004-OP1, Class M2, 3.47%, 04/25/2034 (z) (bb)

    3,755  
  

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  612     

Series 2002-AR1, Class M1, 2.94%, 09/25/2032 (z) (bb)

    612  
  1,135     

Series 2003-13, Class M1, 2.92%, 01/25/2034 (z) (bb)

    1,107  
  489     

Series 2003-13, Class M2, 4.45%, 01/25/2034 (z) (bb)

    482  
  195     

Series 2004-R8, Class M1, 2.86%, 09/25/2034 (z) (bb)

    196  
  

Ameriquest Mortgage Securities, Inc. Asset-Backed Securities,

 
  810     

Series 2004-R1, Class A2, 2.50%, 02/25/2034 (z) (bb)

    773  
  3,591     

Series 2004-R1, Class M1, 2.69%, 02/25/2034 (z) (bb)

    3,609  
  484     

Series 2004-R1, Class M2, 2.77%, 02/25/2034 (z) (bb)

    470  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 

  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

 
  1,054     

Series 2003-W5, Class M2, 4.67%, 10/25/2033 (z) (bb)

    1,016  
  660     

Series 2004-W2, Class M2, 3.77%, 04/25/2034 (z) (bb)

    677  
  487     

Series 2004-W2, Class M3, 4.00%, 04/25/2034 (z) (bb)

    477  
  1,783     

Series 2004-W3, Class A3, 2.72%, 02/25/2034 (z) (bb)

    1,739  
  1,094     

Series 2004-W6, Class M1, 2.72%, 05/25/2034 (z) (bb)

    1,091  
  494     

Series 2004-W7, Class M2, 2.80%, 05/25/2034 (z) (bb)

    496  
  

Asset-Backed Securities Corp. Home Equity Loan Trust,

 
  1,970     

Series 2001-HE3, Class A1, 2.44%, 11/15/2031 (z)

    1,932  
  128     

Series 2003-HE3, Class M2, 4.90%, 06/15/2033 (z) (bb)

    125  
  1,522     

Series 2003-HE4, Class M1, 3.14%, 08/15/2033 (z)

    1,528  
  1,254     

Series 2003-HE4, Class M2, 4.37%, 08/15/2033 (z) (bb)

    1,249  
  1,614     

Series 2004-HE2, Class M2, 3.77%, 04/25/2034 (z) (bb)

    1,532  
  1,089     

Series 2004-HE7, Class M2, 3.47%, 10/25/2034 (z) (bb)

    1,091  
  500     

Series 2005-HE6, Class M4, 2.86%, 07/25/2035 (z) (bb)

    499  
  563     

Bayview Financial Acquisition Trust,
Series 2006-D, Class 1A5, SUB, 5.67%, 12/28/2036 (bb)

    570  
  274     

Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A2, SUB, 5.64%, 11/28/2036 (bb)

    279  
  3,342     

Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, SUB, 3.10%, 09/28/2032 (e) (bb)

    3,326  
  4,000     

Bayview Opportunity Master Fund Trust, Series 2018-RN5, Class A1, SUB, 3.82%, 04/28/2033 (e)

    4,000  
  

Bear Stearns Asset-Backed Securities I Trust,

 
  4,302     

Series 2004-HE6, Class M2, 3.77%, 08/25/2034 (z) (bb)

    4,288  
  1,773     

Series 2004-HE11, Class M2, 3.47%, 12/25/2034 (z) (bb)

    1,815  
  

Bear Stearns Asset-Backed Securities Trust,

 
  643     

Series 2003-1, Class M1, 3.55%, 11/25/2042 (z) (bb)

    616  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         53  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  427     

Series 2003-SD1, Class A, 2.80%, 12/25/2033 (z) (bb)

    427  
  869     

Series 2003-SD1, Class M1, 3.17%, 12/25/2033 (z) (bb)

    840  
  1,373     

Series 2004-HE2, Class M2, 3.70%, 03/25/2034 (z) (bb)

    1,371  
  1,778     

Series 2004-SD4, Class A1, 2.80%, 08/25/2044 (z) (bb)

    1,770  
  506     

CDC Mortgage Capital Trust, Series 2003-HE1, Class M1, 3.25%, 08/25/2033 (z)

    504  
  

Centex Home Equity Loan Trust,

 
  4,800     

Series 2004-A, Class M1, 2.50%, 01/25/2034 (z) (bb)

    4,763  
  709     

Series 2004-C, Class M2, 2.69%, 06/25/2034 (z) (bb)

    699  
  603     

Series 2004-D, Class MF2, SUB, 5.56%, 09/25/2034 (bb)

    604  
  1,640     

Series 2004-D, Class MF3, SUB, 5.76%, 09/25/2034 (bb)

    1,551  
  228     

Series 2004-D, Class MV2, 2.59%, 09/25/2034 (z) (bb)

    226  
  

Chase Funding Loan Acquisition Trust,

 
  1,116     

Series 2004-AQ1, Class M1, 2.99%, 05/25/2034 (z) (bb)

    1,072  
  1,271     

Series 2004-OPT1, Class M2, 3.40%, 06/25/2034 (z) (bb)

    1,261  
  

Chase Funding Trust,

 
  1,242     

Series 2003-4, Class 1A5, SUB, 5.25%, 05/25/2033 (bb)

    1,258  
  151     

Series 2003-4, Class 2M1, 2.80%, 03/25/2033 (z) (bb)

    146  
  349     

Series 2003-5, Class 1M2, 5.64%, 09/25/2032 (z) (bb)

    304  
  2,345     

Series 2003-6, Class 2A2, 2.48%, 11/25/2034 (z) (bb)

    2,285  
  1,953     

Series 2003-6, Class 2M1, 2.65%, 11/25/2034 (z) (bb)

    1,878  
  841     

Series 2004-1, Class 1M1, 4.73%, 05/25/2033 (bb)

    851  
  750     

Series 2004-1, Class 2M1, 2.65%, 09/25/2033 (z) (bb)

    734  
  1,803     

Series 2004-2, Class 1M1, 5.70%, 02/26/2035 (z) (bb)

    1,812  
  1,248     

CHEC Loan Trust, Series 2004-1, Class M1, 2.80%, 07/25/2034 (z) (bb)

    1,151  
  

Citigroup Mortgage Loan Trust, Inc.,

 
  272     

Series 2005-OPT1, Class M4, 2.95%, 02/25/2035 (z) (bb)

    259  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  81     

Series 2005-WF2, Class AF7, SUB, 5.25%, 08/25/2035 (bb)

    80  
  19     

Continental Airlines Pass-Through Trust, Series 2004-ERJ1, 9.56%, 09/01/2019

    20  
  

Countrywide Asset-Backed Certificates,

 
  878     

Series 2002-4, Class M1, 3.02%, 12/25/2032 (z) (bb)

    874  
  1,251     

Series 2003-3, Class 3A, 2.44%, 11/25/2033 (z) (bb)

    1,200  
  7,135     

Series 2004-2, Class M1, 2.65%, 05/25/2034 (z) (bb)

    7,125  
  2,186     

Series 2004-3, Class M1, 2.65%, 06/25/2034 (z) (bb)

    2,125  
  526     

Series 2004-3, Class M2, 2.72%, 06/25/2034 (z) (bb)

    524  
  1,090     

Series 2004-BC1, Class M1, 2.65%, 02/25/2034 (z)

    1,086  
  233     

Series 2004-BC4, Class M1, 2.95%, 11/25/2034 (z) (bb)

    233  
  658     

Series 2004-ECC2, Class M2, 2.87%, 12/25/2034 (z) (bb)

    659  
  3,000     

Series 2005-12, Class M2, 2.39%, 02/25/2036 (z) (bb)

    2,999  
  4,059     

Series 2005-AB3, Class 1A1, 2.40%, 02/25/2036 (z) (bb)

    3,998  
  2,290     

Series 2005-AB4, Class 2A1, 2.17%, 03/25/2036 (z) (bb)

    2,102  
  7,746     

Series 2006-19, Class 2A2, 2.06%, 03/25/2037 (z) (bb)

    7,678  
  966     

Countrywide Partnership Trust, Series 2004-EC1, Class M2, 2.84%, 01/25/2035 (z) (bb)

    964  
  

Credit-Based Asset Servicing & Securitization LLC,

 
  2,195     

Series 2003-CB6, Class M1, 2.95%, 12/25/2033 (z) (bb)

    2,160  
  1,321     

Series 2004-CB2, Class M1, 2.68%, 07/25/2033 (z) (bb)

    1,248  
  120     

Series 2005-CB8, Class AF2, SUB, 3.78%, 12/25/2035 (bb)

    119  
  1,209     

CWABS Asset-Backed Certificates Trust, Series 2005-11, Class AF6, 4.49%, 02/25/2036 (z) (bb)

    1,236  
  

CWABS, Inc. Asset-Backed Certificates,

 
  2,973     

Series 2003-BC1, Class A1, 2.70%, 03/25/2033 (z) (bb)

    2,932  
  668     

Series 2004-1, Class M2, 2.72%, 03/25/2034 (z) (bb)

    663  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  1,199     

Series 2004-1, Class M3, 2.87%, 02/25/2034 (z) (bb)

    1,195  
  

CWABS, Inc. Asset-Backed Certificates Trust,

 
  1,814     

Series 2004-5, Class M2, 2.90%, 07/25/2034 (z) (bb)

    1,816  
  702     

Series 2004-6, Class M2, 2.87%, 10/25/2034 (z) (bb)

    695  
  372     

Equity One Mortgage Pass-Through Trust, Series 2003-4, Class M1, SUB, 5.87%, 10/25/2034 (bb)

    369  
  7,710     

FFMLT Trust, Series 2005-FF11, Class M1, 2.54%, 11/25/2035 (z) (bb)

    7,691  
  179     

Finance America Mortgage Loan Trust, Series 2004-3, Class M2, 2.84%, 11/25/2034 (z) (bb)

    165  
  796     

First Franklin Mortgage Loan Asset-Backed Certificates, Series 2004-FF3, Class M1, 2.72%, 05/25/2034 (z) (bb)

    786  
  

First Franklin Mortgage Loan Trust,

 
  4,566     

Series 2003-FF5, Class M1, 2.80%, 03/25/2034 (z) (bb)

    4,577  
  1,996     

Series 2004-FF5, Class A1, 2.62%, 08/25/2034 (z) (bb)

    1,944  
  10,564     

Series 2005-FF10, Class A1, 2.20%, 11/25/2035 (z) (bb)

    10,218  
  578     

Series 2005-FF10, Class A4, 2.22%, 11/25/2035 (z)

    579  
  881     

Series 2006-FF8, Class IIA3, 2.05%, 07/25/2036 (z) (bb)

    876  
  

Fremont Home Loan Trust,

 
  2,142     

Series 2002-1, Class M1, 3.15%, 08/25/2033 (z) (bb)

    2,191  
  1,915     

Series 2003-A, Class M1, 2.87%, 08/25/2033 (z) (bb)

    1,850  
  1,218     

Series 2004-2, Class M2, 2.83%, 07/25/2034 (z)

    1,227  
  3,506     

Series 2004-A, Class M1, 2.72%, 01/25/2034 (z) (bb)

    3,434  
  486     

Series 2004-B, Class M2, 2.84%, 05/25/2034 (z) (bb)

    494  
  821     

Series 2004-C, Class M1, 2.87%, 08/25/2034 (z) (bb)

    822  
  1,799     

Series 2004-D, Class M1, 2.77%, 11/25/2034 (z)

    1,785  
  581     

Series 2004-D, Class M2, 2.80%, 11/25/2034 (z)

    573  
  

GCAT LLC,

 
  3,844     

Series 2017-3, Class A1, SUB, 3.35%, 04/25/2047 (e) (bb)

    3,816  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 

  2,165     

Series 2017-5, Class A1, SUB, 3.23%, 07/25/2047 (e) (bb)

    2,151  
  698     

GSAA Home Equity Trust, Series 2005-6, Class A3, 2.27%, 06/25/2035 (z) (bb)

    703  
  

GSAMP Trust,

 
  2,033     

Series 2003-HE1, Class M1, 3.14%, 06/20/2033 (z) (bb)

    2,055  
  1,189     

Series 2003-SEA, Class A1, 2.30%, 02/25/2033 (z) (bb)

    1,170  
  422     

Series 2005-HE3, Class M2, 2.90%, 06/25/2035 (z) (bb)

    424  
  1,729     

Series 2005-NC1, Class M1, 2.57%, 02/25/2035 (z) (bb)

    1,737  
  3,047     

Series 2006-FM1, Class A2C, 2.06%, 04/25/2036 (z) (bb)

    2,261  
  5,288     

Series 2006-HE3, Class A2C, 2.06%, 05/25/2046 (z)

    5,225  
  1,645     

Series 2006-HE4, Class A2C, 2.05%, 06/25/2036 (z) (bb)

    1,629  
  6,030     

Series 2007-SEA1, Class A, 2.20%, 12/25/2036 (e) (z) (bb)

    5,823  
  

Home Equity Asset Trust,

 
  3,267     

Series 2002-5, Class M1, 3.60%, 05/25/2033 (z) (bb)

    3,251  
  812     

Series 2003-3, Class M1, 3.19%, 08/25/2033 (z) (bb)

    815  
  443     

Series 2004-6, Class M2, 2.80%, 12/25/2034 (z) (bb)

    436  
  3,663     

Series 2005-7, Class M1, 2.35%, 01/25/2036 (z) (bb)

    3,676  
  

Home Equity Mortgage Loan Asset-Backed Trust,

 
  492     

Series 2004-B, Class M2, 3.02%, 11/25/2034 (z) (bb)

    491  
  7,891     

Series 2004-C, Class M1, 2.74%, 03/25/2035 (z)

    7,860  
  867     

Series 2004-C, Class M2, 2.80%, 03/25/2035 (z) (bb)

    861  
  1,093     

Series 2006-B, Class 2A3, 2.09%, 06/25/2036 (z) (bb)

    1,063  
  

Long Beach Mortgage Loan Trust,

 
  705     

Series 2001-2, Class M1, 2.46%, 07/25/2031 (z) (bb)

    706  
  2,471     

Series 2002-5, Class M1, 3.14%, 11/25/2032 (z) (bb)

    2,460  
  269     

Series 2003-4, Class M1, 2.92%, 08/25/2033 (z) (bb)

    270  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         55  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  778     

Series 2004-3, Class M2, 2.80%, 07/25/2034 (z) (bb)

    777  
  508     

Series 2004-3, Class M4, 3.51%, 07/25/2034 (z) (bb)

    509  
  546     

Series 2004-3, Class M6, 4.03%, 07/25/2034 (z)

    514  
  1,662     

Series 2004-4, Class M1, 2.80%, 10/25/2034 (z)

    1,663  
  

MASTR Asset-Backed Securities Trust,

 
  2,616     

Series 2003-OPT1, Class M3, 6.02%, 12/25/2032 (z) (bb)

    2,710  
  785     

Series 2004-OPT2, Class M1, 2.80%, 09/25/2034 (z) (bb)

    771  
  845     

Series 2004-OPT2, Class M2, 2.87%, 09/25/2034 (z) (bb)

    831  
  1,539     

Series 2005-NC1, Class M2, 2.65%, 12/25/2034 (z) (bb)

    1,548  
  912     

Series 2005-NC1, Class M4, 3.04%, 12/25/2034 (z) (bb)

    883  
  

Merrill Lynch Mortgage Investors Trust,

 
  411     

Series 2003-OPT1, Class M1, 2.87%, 07/25/2034 (z)

    402  
  301     

Series 2004-HE2, Class M1, 3.10%, 08/25/2035 (z) (bb)

    302  
  85     

Series 2004-WMC5, Class M5, 3.62%, 07/25/2035 (z) (bb)

    85  
  1,702     

Series 2005-FM1, Class M1, 2.62%, 05/25/2036 (z)

    1,674  
  7,604     

MFA Trust, Series 2017-NPL1, Class A1, SUB, 3.35%, 11/25/2047 (e) (bb)

    7,545  
  

Morgan Stanley ABS Capital I, Inc. Trust,

 
  912     

Series 2003-NC10, Class M1, 2.92%, 10/25/2033 (z) (bb)

    904  
  5,003     

Series 2004-HE1, Class M1, 2.75%, 01/25/2034 (z) (bb)

    4,957  
  209     

Series 2004-HE2, Class M2, 3.70%, 03/25/2034 (z) (bb)

    196  
  1,033     

Series 2004-HE2, Class M3, 4.07%, 03/25/2034 (z) (bb)

    696  
  3,610     

Series 2004-HE3, Class M1, 2.75%, 03/25/2034 (z) (bb)

    3,514  
  1,256     

Series 2004-HE3, Class M2, 3.77%, 03/25/2034 (z) (bb)

    1,221  
  960     

Series 2004-HE6, Class M1, 2.72%, 08/25/2034 (z)

    966  
  1,138     

Series 2004-HE6, Class M2, 2.80%, 08/25/2034 (z) (bb)

    1,137  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  753     

Series 2004-HE6, Class M3, 2.87%, 08/25/2034 (z) (bb)

    755  
  364     

Series 2004-HE7, Class M2, 2.84%, 08/25/2034 (z) (bb)

    368  
  75     

Series 2004-HE7, Class M3, 2.92%, 08/25/2034 (z) (bb)

    75  
  2,496     

Series 2004-HE8, Class M1, 2.86%, 09/25/2034 (z) (bb)

    2,521  
  392     

Series 2004-HE8, Class M2, 2.92%, 09/25/2034 (z) (bb)

    398  
  689     

Series 2004-HE8, Class M3, 3.02%, 09/25/2034 (z) (bb)

    691  
  2,334     

Series 2004-NC3, Class M1, 2.69%, 03/25/2034 (z) (bb)

    2,301  
  4,737     

Series 2004-NC5, Class M1, 2.80%, 05/25/2034 (z) (bb)

    4,710  
  614     

Series 2004-NC6, Class M2, 3.77%, 07/25/2034 (z) (bb)

    606  
  580     

Series 2004-NC8, Class M3, 3.01%, 09/25/2034 (z) (bb)

    571  
  732     

Series 2004-OP1, Class M2, 2.81%, 11/25/2034 (z) (bb)

    726  
  829     

Series 2004-OP1, Class M3, 2.92%, 11/25/2034 (z) (bb)

    822  
  1,875     

Series 2004-WMC2, Class M1, 2.81%, 07/25/2034 (z) (bb)

    1,871  
  689     

Series 2004-WMC2, Class M2, 3.70%, 07/25/2034 (z) (bb)

    680  
  3,304     

Series 2004-WMC3, Class M2, 2.69%, 01/25/2035 (z) (bb)

    3,296  
  398     

Series 2005-HE1, Class M2, 2.60%, 12/25/2034 (z) (bb)

    369  
  1,078     

Series 2005-HE1, Class M3, 2.68%, 12/25/2034 (z) (bb)

    994  
  263     

Series 2005-NC1, Class M3, 2.66%, 01/25/2035 (z) (bb)

    252  
  4,405     

Morgan Stanley Mortgage Loan Trust, Series 2007-5AX, Class 2A2, 2.05%, 02/25/2037 (z) (bb)

    2,264  
  

New Century Home Equity Loan Trust,

 
  298     

Series 2003-3, Class M1, 3.08%, 07/25/2033 (z) (bb)

    298  
  736     

Series 2003-B, Class M2, 4.37%, 11/25/2033 (z) (bb)

    739  
  2,714     

Series 2004-1, Class M1, 2.78%, 05/25/2034 (z)

    2,696  
  193     

Series 2004-2, Class M2, 2.83%, 08/25/2034 (z) (bb)

    192  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  899     

Series 2004-2, Class M4, 3.70%, 08/25/2034 (z) (bb)

    903  
  767     

Series 2004-2, Class M6, 4.15%, 08/25/2034 (z) (bb)

    770  
  1,122     

Series 2004-3, Class M2, 2.87%, 11/25/2034 (z) (bb)

    1,118  
  410     

Series 2004-3, Class M3, 2.96%, 11/25/2034 (z) (bb)

    413  
  4,514     

Series 2004-4, Class M1, 2.66%, 02/25/2035 (z) (bb)

    4,485  
  504     

Series 2004-4, Class M2, 2.69%, 02/25/2035 (z) (bb)

    500  
  292     

Series 2005-1, Class M3, 2.68%, 03/25/2035 (z) (bb)

    272  
  2,283     

Series 2006-2, Class A2B, 2.06%, 08/25/2036 (z)

    2,160  
  

NovaStar Mortgage Funding Trust,

 
  1,191     

Series 2003-2, Class M2, 4.67%, 09/25/2033 (z) (bb)

    1,182  
  4     

Series 2003-3, Class M2, 4.37%, 12/25/2033 (z) (bb)

    3  
  3,760     

Series 2004-2, Class M4, 3.70%, 09/25/2034 (z) (bb)

    3,696  
  

Oak Hill Advisors Residential Loan Trust,

 
  5,938     

Series 2017-NPL1, Class A1, SUB, 3.00%, 06/25/2057 (e) (bb)

    5,859  
  4,724     

Series 2017-NPL2, Class A1, SUB, 3.00%, 07/25/2057 (e) (bb)

    4,687  
  

Option One Mortgage Acceptance Corp. Asset-Backed Certificates,

 
  5,802     

Series 2003-5, Class A1, 2.54%, 08/25/2033 (z) (bb)

    5,678  
  433     

Series 2003-5, Class A2, 2.54%, 08/25/2033 (z) (bb)

    425  
  234     

Series 2003-5, Class M2, 4.22%, 08/25/2033 (z) (bb)

    213  
  

Option One Mortgage Loan Trust,

 
  4,198     

Series 2002-3, Class A1, 2.40%, 08/25/2032 (z) (bb)

    4,099  
  732     

Series 2002-3, Class A2, 2.44%, 08/25/2032 (z) (bb)

    716  
  633     

Series 2004-3, Class M2, 2.75%, 11/25/2034 (z) (bb)

    632  
  1,910     

People’s Choice Home Loan Securities Trust, Series 2004-2, Class M3, 3.62%, 10/25/2034 (z) (bb)

    1,889  
  

Pretium Mortgage Credit Partners I LLC,

 
  11,354     

Series 2017-NPL1, Class A1, SUB, 3.50%, 04/29/2032 (e)

    11,327  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  6,000     

Series 2017-NPL1, Class A2, SUB, 5.50%, 04/29/2032 (e) (bb)

    5,970  
  8,025     

Series 2017-NPL2, Class A1, SUB, 3.25%, 03/28/2057 (e) (bb)

    7,968  
  2,696     

Series 2017-NPL2, Class A2, SUB, 5.50%, 03/28/2057 (e) (bb)

    2,637  
  4,773     

Series 2017-NPL3, Class A1, SUB, 3.25%, 06/29/2032 (e) (bb)

    4,743  
  7,318     

Series 2017-NPL4, Class A1, SUB, 3.25%, 08/27/2032 (e) (bb)

    7,257  
  12,273     

Series 2017-NPL5, Class A1, 3.33%, 12/30/2032 (e) (z)

    12,223  
  6,589     

Series 2018-NPL1, Class A1, SUB, 3.38%, 01/27/2033 (e) (bb)

    6,559  
  13,462     

Series 2018-NPL2, Class A1, SUB, 3.70%, 03/27/2033 (e)

    13,460  
  790     

RAAC Trust, Series 2005-RP3, Class M1, 2.70%, 05/25/2039 (e) (z) (bb)

    789  
  

RAMP Trust,

 
  508     

Series 2002-RS2, Class AI5, 5.95%, 03/25/2032 (z) (bb)

    514  
  5,500     

Series 2006-RZ3, Class M1, 2.25%, 08/25/2036 (z) (bb)

    5,378  
  

RASC Trust,

 
  610     

Series 2001-KS3, Class AII, 2.36%, 09/25/2031 (z) (bb)

    598  
  2,731     

Series 2005-EMX1, Class M1, 2.54%, 03/25/2035 (z) (bb)

    2,738  
  1,413     

Series 2005-KS2, Class M1, 2.54%, 03/25/2035 (z) (bb)

    1,414  
  564     

Series 2006-KS5, Class A3, 2.06%, 07/25/2036 (z) (bb)

    563  
  

Renaissance Home Equity Loan Trust,

 
  1,234     

Series 2002-3, Class M1, 3.40%, 12/25/2032 (z) (bb)

    1,235  
  390     

Series 2003-1, Class M1, 3.40%, 06/25/2033 (z) (bb)

    383  
  1,348     

Series 2003-3, Class M1, 2.63%, 12/25/2033 (z) (bb)

    1,316  
  1,226     

Series 2003-3, Class M2F, SUB, 5.68%, 12/25/2033 (bb)

    1,268  
  1,923     

Series 2003-4, Class M1, 2.75%, 03/25/2034 (z) (bb)

    1,912  
  972     

Series 2003-4, Class M2F, SUB, 6.24%, 03/25/2034 (bb)

    927  
  649     

Series 2004-1, Class M1, 2.77%, 05/25/2034 (z) (bb)

    627  
  341     

Series 2005-1, Class AF6, SUB, 4.97%, 05/25/2035 (bb)

    349  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         57  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  1,056     

Series 2005-2, Class AV3, 2.27%, 08/25/2035 (z) (bb)

    1,007  
  556     

Series 2005-4, Class A3, SUB, 5.56%, 02/25/2036

    556  
  668     

SASCO Mortgage Loan Trust,
Series 2004-GEL3, Class M1, 3.47%, 08/25/2034 (z) (bb)

    664  
  

Saxon Asset Securities Trust,

 
  4,697     

Series 2003-3, Class M1, 2.87%, 12/25/2033 (z) (bb)

    4,532  
  178     

Series 2004-2, Class AF3, 3.62%, 08/25/2035 (z) (bb)

    179  
  1,650     

Series 2004-2, Class MV2, 1.58%, 08/25/2035 (z) (bb)

    1,656  
  3,766     

Series 2005-2, Class M2, 2.56%, 10/25/2035 (z)

    3,595  
  

Securitized Asset-Backed Receivables LLC Trust,

 
  2,367     

Series 2004-NC1, Class M1, 2.68%, 02/25/2034 (z) (bb)

    2,385  
  726     

Series 2004-OP1, Class M2, 3.55%, 02/25/2034 (z) (bb)

    716  
  3,334     

Series 2004-OP2, Class M1, 2.87%, 08/25/2034 (z) (bb)

    3,292  
  1,019     

Series 2005-FR2, Class M2, 2.87%, 03/25/2035 (z) (bb)

    1,021  
  1,611     

Series 2005-OP1, Class M2, 2.57%, 01/25/2035 (z) (bb)

    1,577  
  2,207     

Soundview Home Loan Trust, Series 2006-OPT3, Class 2A3, 2.07%, 06/25/2036 (z) (bb)

    2,196  
  

Specialty Underwriting & Residential Finance Trust,

 
  1,379     

Series 2004-BC1, Class M2, 3.50%, 02/25/2035 (z) (bb)

    1,369  
  1,184     

Series 2004-BC3, Class M1, 2.83%, 07/25/2035 (z) (bb)

    1,179  
  1,356     

Stanwich Mortgage Loan Co. LLC,
Series 2017-NPA1, Class A1, SUB, 3.60%, 03/16/2022 (e)

    1,361  
  

Structured Asset Investment Loan Trust,

 
  212     

Series 2003-BC3, Class M1, 3.32%, 04/25/2033 (z) (bb)

    212  
  707     

Series 2003-BC6, Class M1, 3.02%, 07/25/2033 (z) (bb)

    706  
  884     

Series 2003-BC7, Class M1, 3.02%, 07/25/2033 (z) (bb)

    881  
  652     

Series 2003-BC11, Class M2, 4.45%, 10/25/2033 (z) (bb)

    664  
PRINCIPAL
AMOUNT
    SECURITY DESCRIPTION   VALUE  
 

United States — continued

 

  614    

Series 2003-BC12, Class M1, 2.87%, 11/25/2033 (z) (bb)

    593  
  1,895    

Series 2004-1, Class M1, 2.87%, 02/25/2034 (z) (bb)

    1,863  
  (h)   

Series 2004-1, Class M2, 4.60%, 02/25/2034 (z) (bb)

    (h) 
  1,949    

Series 2004-5, Class M3, 2.83%, 05/25/2034 (z) (bb)

    1,882  
  2,000    

Series 2004-6, Class M1, 2.80%, 07/25/2034 (z) (bb)

    1,976  
  1,318    

Series 2004-7, Class M1, 2.95%, 08/25/2034 (z) (bb)

    1,240  
  480    

Series 2004-8, Class M2, 2.83%, 09/25/2034 (z) (bb)

    479  
  226    

Series 2004-BNC1, Class A5, 3.14%, 09/25/2034 (z) (bb)

    228  
  1,499    

Series 2005-HE2, Class M1, 2.62%, 07/25/2035 (z) (bb)

    1,503  
 

Structured Asset Securities Corp. Mortgage Loan Trust,

 
  4,386    

Series 2006-BC4, Class A4, 2.07%, 12/25/2036 (z) (bb)

    4,240  
  9,245    

Series 2006-BC6, Class A4, 2.07%, 01/25/2037 (z)

    9,042  
  3,579    

Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3, 3.45%, 02/25/2032 (bb)

    3,507  
  822    

VOLT LIV LLC, Series 2017-NPL1, Class A1, SUB, 3.50%, 02/25/2047 (e) (bb)

    823  
  6,105    

VOLT LVI LLC, Series 2017-NPL3, Class A1, SUB, 3.50%, 03/25/2047 (e)

    6,134  
  4,370    

VOLT LVII LLC, Series 2017-NPL4, Class A1, SUB, 3.38%, 04/25/2047 (e) (bb)

    4,357  
  2,107    

VOLT LVIII LLC, Series 2017-NPL5, Class A1, SUB, 3.38%, 05/28/2047 (e) (bb)

    2,101  
 

VOLT LIX LLC,

 
  5,005    

Series 2017-NPL6, Class A1, SUB, 3.25%, 05/25/2047 (e) (bb)

    4,974  
  2,000    

Series 2017-NPL6, Class A2, SUB, 5.38%, 05/25/2047 (e) (bb)

    1,993  
 

VOLT LX LLC,

 
  5,951    

Series 2017-NPL7, Class A1, SUB, 3.25%, 06/25/2047 (e) (bb)

    5,917  
  14,000    

Series 2017-NPL7, Class A2, SUB, 5.38%, 06/25/2047 (e) (bb)

    13,954  
 

VOLT LXI LLC,

 
  4,970    

Series 2017-NPL8, Class A1, SUB, 3.13%, 06/25/2047 (e) (bb)

    4,939  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Asset-Backed Securities — continued

 
  

United States — continued

 

  8,500     

Series 2017-NPL8, Class A2, SUB, 5.00%, 06/25/2047 (e) (bb)

    8,473  
  6,027     

VOLT LXII LLC, Series 2017-NPL9, Class A1, SUB, 3.13%, 09/25/2047 (e) (bb)

    5,970  
  2,691     

VOLT LXIII LLC, Series 2017-NP10, Class A1, SUB, 3.00%, 10/25/2047 (e)

    2,670  
  3,311     

VOLT LXIV LLC, Series 2017-NP11, Class A1, SUB, 3.38%, 10/25/2047 (e)

    3,306  
  2,338     

VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.50%, 06/26/2045 (e)

    2,339  
  2,436     

VOLT XXXVIII LLC,
Series 2015-NP12, Class A1, SUB, 3.88%, 09/25/2045 (e) (bb)

    2,451  
  

Wells Fargo Home Equity Asset-Backed Securities Trust,

 
  3     

Series 2004-2, Class A21B, 2.74%, 10/25/2034 (z) (bb)

    3  
  824     

Series 2004-2, Class M1, 2.80%, 10/25/2034 (z) (bb)

    824  
  1,273     

Series 2004-2, Class M4, 3.70%, 10/25/2034 (z)

    1,230  
  613     

Series 2004-2, Class M5, 3.77%, 10/25/2034 (z) (bb)

    597  
  290     

Series 2004-2, Class M8A, 6.40%, 10/25/2034 (e) (z) (bb)

    279  
  290     

Series 2004-2, Class M8B, 5.00%, 10/25/2034 (e) (z) (bb)

    265  
  

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,

 
  420     

Series 2004-1, Class M2, 2.53%, 04/25/2034 (z) (bb)

    392  
  689     

Series 2004-1, Class M4, 3.05%, 04/25/2034 (z) (bb)

    617  
    

 

 

 
  

Total Asset-Backed Securities
(Cost $513,164)

    538,334  
    

 

 

 
 

Collateralized Mortgage Obligations — 3.6%

 
  

Cayman Islands — 0.0% (g)

  1,202     

LSTAR Securities Investment Ltd., Series 2017-7, Class A, 3.64%, 10/01/2022 (e) (z)

    1,195  
    

 

 

 
  

United States — 3.6%

 

  

Adjustable Rate Mortgage Trust

 
  3,627     

Series 2004-2, Class 6A1, 3.88%, 02/25/2035 (z)

    3,656  
  4,625     

Series 2004-4, Class 4A1, 3.61%, 03/25/2035 (z)

    4,667  
  1,486     

Series 2005-2, Class 3A1, 3.81%, 06/25/2035 (z)

    1,466  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 

  

Alternative Loan Trust

 
  743     

Series 2004-12CB, Class 2A1, 6.00%, 06/25/2034

    758  
  29     

Series 2004-16CB, Class 2A1, 5.00%, 08/25/2019

    29  
  6,548     

Series 2004-25CB, Class A1, 6.00%, 12/25/2034

    6,676  
  434     

Series 2004-27CB, Class A1, 6.00%, 12/25/2034

    437  
  642     

Series 2004-28CB, Class 2A4, 5.75%, 01/25/2035

    639  
  60     

Series 2004-28CB, Class 4A1, 5.00%, 01/25/2020

    60  
  1,237     

Series 2004-28CB, Class 6A1, 6.00%, 01/25/2035

    1,229  
  4,171     

Series 2004-32CB, Class 2A5, 5.50%, 02/25/2035

    4,220  
  104     

Series 2005-3CB, Class 1A4, 5.25%, 03/25/2035

    103  
  12,520     

Series 2005-3CB, Class 1A13, 5.50%, 03/25/2035

    11,904  
  5,188     

Series 2005-6CB, Class 1A4, 5.50%, 04/25/2035

    5,027  
  590     

Series 2005-6CB, Class 1A6, 5.50%, 04/25/2035

    598  
  5,119     

Series 2005-10CB, Class 1A5, 5.50%, 05/25/2035

    5,059  
  2,943     

Series 2005-10CB, Class 1A8, 5.50%, 05/25/2035

    3,002  
  2,212     

Series 2005-13CB, Class A4, 5.50%, 05/25/2035

    2,204  
  258     

Series 2005-20CB, Class 1A1, 5.50%, 07/25/2035

    245  
  1,159     

Series 2005-21CB, Class A4, 5.25%, 06/25/2035

    1,113  
  5,159     

Series 2005-21CB, Class A17, 6.00%, 06/25/2035

    5,125  
  2,568     

Series 2005-23CB, Class A15, 5.50%, 07/25/2035

    2,416  
  35     

Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020

    35  
  1,029     

Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035

    1,019  
  2,603     

Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035

    2,579  
  7,877     

Series 2005-80CB, Class 5A1, 6.00%, 02/25/2036

    7,938  
  609     

Series 2005-85CB, Class 3A2, 5.25%, 02/25/2021

    595  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         59  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  562     

Series 2005-86CB, Class A4, 5.50%, 02/25/2036

    497  
  213     

Series 2005-J1, Class 3A1, 6.50%, 08/25/2032

    220  
  7,782     

Series 2005-J2, Class 1A5, 2.40%, 04/25/2035 (z)

    6,883  
  158     

Series 2005-J3, Class 3A1, 6.50%, 09/25/2034

    159  
  363     

Series 2005-J6, Class 2A1, 5.50%, 07/25/2025

    359  
  353     

Series 2005-J11, Class 5A1, 5.50%, 11/25/2020

    350  
  486     

Series 2005-J14, Class A3, 5.50%, 12/25/2035

    427  
  2,567     

Series 2005-J14, Class A7, 5.50%, 12/25/2035

    2,254  
  2,145     

Series 2005-J14, Class A8, 5.50%, 12/25/2035

    1,884  
  1,357     

Series 2006-4CB, Class 2A5, 5.50%, 04/25/2036

    1,347  
  2,015     

Series 2006-14CB, Class A1, 6.00%, 06/25/2036

    1,697  
  820     

Series 2006-19CB, Class A15, 6.00%, 08/25/2036

    734  
  379     

Series 2006-25CB, Class A2, 6.00%, 10/25/2036

    336  
  4,052     

Series 2006-41CB, Class 2A13, 5.75%, 01/25/2037

    3,456  
  225     

Series 2006-J1, Class 1A13, 5.50%, 02/25/2036

    205  
  473     

Series 2006-J3, Class 4A1, 5.75%, 05/25/2026

    395  
  259     

Series 2007-8CB, Class A9, 6.00%, 05/25/2037

    223  
  48     

Series 2007-9T1, Class 3A1, 5.50%, 05/25/2022

    36  
  223     

Series 2007-19, Class 1A8, 6.00%, 08/25/2037

    181  
  228     

Series 2007-25, Class 2A1, 6.00%, 11/25/2022

    221  
  

American Home Mortgage Investment Trust

 
  306     

Series 2005-1, Class 6A, 4.45%, 06/25/2045 (z)

    315  
  7,158     

Series 2007-2, Class 12A1, 2.17%, 03/25/2037 (z)

    4,784  
  

Banc of America Alternative Loan Trust

 
  410     

Series 2004-12, Class 4A1, 5.50%, 01/25/2020

    412  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  84     

Series 2005-3, Class 2A1, 5.50%, 04/25/2020

    84  
  91     

Series 2005-4, Class 3A1, 5.50%, 05/25/2020

    90  
  72     

Series 2005-6, Class 5A4, 5.50%, 07/25/2035

    65  
  65     

Series 2005-6, Class 7A1, 5.50%, 07/25/2020

    62  
  891     

Series 2005-11, Class 4A5, 5.75%, 12/25/2035

    812  
  371     

Series 2005-12, Class 5A1, 5.25%, 01/25/2021

    363  
  11     

Series 2006-4, Class 2A1, 6.00%, 05/25/2021

    11  
  980     

Series 2006-4, Class 3CB4, 6.00%, 05/25/2046

    947  
  4,168     

Series 2006-4, Class 4CB1, 6.50%, 05/25/2046

    4,286  
  629     

Series 2006-5, Class CB7, 6.00%, 06/25/2046

    579  
  

Banc of America Funding Trust

 
  2,817     

Series 2005-6, Class 1A2, 5.50%, 10/25/2035

    2,696  
  848     

Series 2005-7, Class 4A7, 6.00%, 11/25/2035

    861  
  643     

Series 2006-2, Class 2A20, 5.75%, 03/25/2036

    624  
  1,509     

Series 2006-A, Class 1A1, 3.64%, 02/20/2036 (z)

    1,496  
  115     

Series 2007-4, Class 8A1, 5.50%, 11/25/2034

    107  
  5,283     

Series 2007-5, Class 4A1, 2.27%, 07/25/2037 (z)

    3,657  
  

Banc of America Mortgage Trust

 
  798     

Series 2004-A, Class 2A2, 3.86%, 02/25/2034 (z)

    798  
  436     

Series 2007-3, Class 1A1, 6.00%, 09/25/2037

    421  
  464     

Bear Stearns ALT-A Trust, Series 2006-8, Class 3A1, 2.06%, 02/25/2034 (z)

    432  
  704     

Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC5, Class M1, 2.90%, 10/25/2034 (z) (bb)

    248  
  

Chase Mortgage Finance Trust

 
  1,688     

Series 2006-S3, Class 1A2, 6.00%, 11/25/2036

    1,376  
  1,196     

Series 2006-S4, Class A5, 6.00%, 12/25/2036

    1,003  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  9,717     

Series 2007-A2, Class 3A1, 3.79%, 07/25/2037 (z)

    9,787  
  318     

Series 2007-S2, Class 1A8, 6.00%, 03/25/2037

    268  
  

CHL Mortgage Pass-Through Trust

 
  178     

Series 2003-27, Class A1, 3.83%, 06/25/2033 (z)

    179  
  332     

Series 2003-37, Class 2A1, 3.56%, 09/25/2033 (z)

    333  
  4,195     

Series 2004-25, Class 2A1, 2.58%, 02/25/2035 (z)

    4,055  
  210     

Series 2005-20, Class A7, 5.25%, 12/25/2027

    200  
  3,000     

Series 2005-26, Class 1A11, 5.50%, 11/25/2035

    2,712  
  281     

Series 2005-30, Class A5, 5.50%, 01/25/2036

    266  
  1,701     

Series 2005-31, Class 2A1, 3.30%, 01/25/2036 (z)

    1,619  
  2,065     

Series 2006-10, Class 1A16, 6.00%, 05/25/2036

    1,742  
  138     

Series 2006-15, Class A1, 6.25%, 10/25/2036

    117  
  570     

Series 2006-17, Class A2, 6.00%, 12/25/2036

    474  
  3,547     

Series 2006-18, Class 2A4, 6.00%, 12/25/2036

    3,174  
  4,257     

Series 2006-HYB1, Class 2A2C, 3.29%, 03/20/2036 (z)

    3,922  
  1,639     

Series 2006-HYB2, Class 2A1B, 3.41%, 04/20/2036 (z)

    1,511  
  190     

Series 2006-J2, Class 1A1, 6.00%, 04/25/2036

    174  
  213     

Series 2007-2, Class A2, 6.00%, 03/25/2037

    184  
  1,637     

Series 2007-3, Class A18, 6.00%, 04/25/2037

    1,380  
  186     

Series 2007-10, Class A4, 5.50%, 07/25/2037

    153  
  460     

Series 2007-13, Class A4, 6.00%, 08/25/2037

    404  
  3,699     

Series 2007-16, Class A1, 6.50%, 10/25/2037

    3,146  
  723     

Series 2007-18, Class 2A1, 6.50%, 11/25/2037

    568  
  953     

Citicorp Mortgage Securities Trust, Series 2007-4, Class 1A9, 6.00%, 05/25/2037

    917  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  

Citigroup Mortgage Loan Trust, Inc.

 
  310     

Series 2005-3, Class 2A2A, 3.57%, 08/25/2035 (z)

    311  
  861     

Series 2005-4, Class A, 3.56%, 08/25/2035 (z)

    869  
  1,006     

Series 2005-6, Class A1, 3.41%, 09/25/2035 (z)

    1,019  
  726     

Series 2005-9, Class 2A2, 5.50%, 11/25/2035

    727  
  620     

Series 2005-11, Class A2A, 3.63%, 10/25/2035 (z)

    627  
  1,056     

Series 2006-8, Class A3, 2.25%, 10/25/2035 (e) (z)

    854  
  2,540     

Series 2006-AR3, Class 1A1A, 4.04%, 06/25/2036 (z)

    2,532  
  1,343     

Series 2006-AR5, Class 1A5A, 3.62%, 07/25/2036 (z)

    1,283  
  5,236     

CSFB Mortgage-Backed Pass-Through, Series 2005-4, Class 2A5, 2.45%, 06/25/2035 (z)

    4,464  
  

CSFB Mortgage-Backed Pass-Through Certificates

 
  447     

Series 2003-29, Class 3A1, 5.50%, 12/25/2033

    464  
  5,369     

Series 2004-4, Class 4A1, 5.50%, 08/25/2034

    5,482  
  172     

Series 2004-8, Class 4A3, 5.50%, 12/25/2034

    175  
  584     

Series 2004-AR4, Class 2A1, 3.81%, 05/25/2034 (z)

    594  
  4,003     

Series 2004-AR4, Class 4A1, 3.78%, 05/25/2034 (z)

    4,078  
  898     

Series 2004-AR5, Class 6A1, 3.67%, 06/25/2034 (z)

    915  
  536     

Series 2005-10, Class 5A3, 5.50%, 11/25/2035

    522  
  1,689     

Series 2005-10, Class 11A1, 5.50%, 11/25/2020

    1,374  
  50     

Series 2005-10, Class 12A1, 5.25%, 11/25/2020

    45  
  2,116     

CSFB Mortgage-Backed Trust, Series 2004-AR6, Class 7A1, 3.63%, 10/25/2034 (z)

    2,160  
  

CSMC Mortgage-Backed Trust

 
  72     

Series 2006-8, Class 5A1, 5.92%, 10/25/2026 (z)

    70  
  749     

Series 2007-2, Class 3A13, 5.50%, 03/25/2037

    684  
  150     

Series 2007-3, Class 4A5, 5.00%, 04/25/2037

    145  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         61  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust

 
  123     

Series 2005-1, Class 2A1, 5.61%, 02/25/2020 (z)

    123  
  38     

Series 2005-2, Class 2A1, 2.20%, 03/25/2020 (z)

    37  
  3,304     

DSLA Mortgage Loan Trust, Series 2005-AR4, Class 2A1A, 2.16%, 08/19/2045 (z)

    3,108  
  

FHLMC Structured Agency Credit Risk Debt Notes

 
  3,000     

Series 2016-DNA3, Class M2, 3.90%, 12/25/2028 (z)

    3,052  
  3,000     

Series 2017-DNA1, Class M2, 5.15%, 07/25/2029 (z)

    3,247  
  4,000     

Series 2017-DNA2, Class M2, 5.35%, 10/25/2029 (z)

    4,381  
  6,000     

Series 2017-DNA3, Class M2, 4.40%, 03/25/2030 (z)

    6,223  
  4,965     

Series 2018-HQA1, Class M1, 2.60%, 09/25/2030 (z)

    4,969  
  12,500     

Series 2018-HQA1, Class M2, 4.20%, 09/25/2030 (z)

    12,684  
  

First Horizon Alternative Mortgage Securities Trust

 
  86     

Series 2005-FA1, Class 1A4, 5.50%, 03/25/2035

    83  
  3,274     

Series 2005-FA10, Class 1A5, 5.50%, 01/25/2036

    2,823  
  523     

Series 2006-FA6, Class 3A1, 5.75%, 11/25/2021

    508  
  265     

First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 4A1, 3.77%, 02/25/2035 (z)

    265  
  

FNMA, Connecticut Avenue Securities

 
  3,411     

Series 2017-C05, Class 1M1, 2.45%, 01/25/2030 (z)

    3,411  
  3,000     

Series 2017-C05, Class 1M2, 4.10%, 01/25/2030 (z)

    3,051  
  8,000     

Series 2018-C01, Class 1M2, 4.15%, 07/25/2030 (z)

    8,187  
  

GMACM Mortgage Loan Trust

 
  780     

Series 2004-AR2, Class 3A, 4.05%, 08/19/2034 (z)

    753  
  469     

Series 2005-AR1, Class 3A, 3.99%, 03/18/2035 (z)

    472  
  1,573     

GSMSC Pass-Through Trust, Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (e) (z)

    1,095  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  

GSR Mortgage Loan Trust

 
  353     

Series 2004-15F, Class 1A2, 5.50%, 12/25/2034

    375  
  356     

Series 2005-1F, Class 2A3, 6.00%, 02/25/2035

    345  
  1,728     

Series 2005-6F, Class 3A18, 5.50%, 07/25/2035

    1,792  
  185     

Series 2005-AR3, Class 6A1, 3.79%, 05/25/2035 (z)

    182  
  3,412     

Series 2005-AR4, Class 3A5, 3.55%, 07/25/2035 (z)

    3,281  
  2,227     

Series 2005-AR7, Class 6A1, 3.66%, 11/25/2035 (z)

    2,244  
  1,848     

Series 2006-1F, Class 2A9, 6.00%, 02/25/2036

    1,592  
  1,141     

Series 2006-1F, Class 2A16, 6.00%, 02/25/2036

    983  
  1,096     

Series 2006-9F, Class 3A1, 6.25%, 10/25/2036

    1,083  
  237     

Series 2006-9F, Class 8A1, 5.50%, 08/25/2021

    227  
  573     

Series 2007-1F, Class 3A13, 6.00%, 01/25/2037

    535  
  364     

HarborView Mortgage Loan Trust, Series 2005-11, Class 2A1A, 2.52%, 08/19/2045 (z)

    359  
  

Impac CMB Trust

 
  1,117     

Series 2004-5, Class 1A1, 2.62%, 10/25/2034 (z)

    1,119  
  407     

Series 2004-5, Class 1M2, 2.77%, 10/25/2034 (z) (bb)

    385  
  2,498     

Series 2004-6, Class 1A2, 2.68%, 10/25/2034 (z)

    2,446  
  991     

Series 2004-7, Class 1A2, 2.82%, 11/25/2034 (z)

    963  
  4,291     

Series 2004-9, Class 1A1, 2.66%, 01/25/2035 (z)

    4,223  
  1,079     

Series 2004-10, Class 2A, 2.54%, 03/25/2035 (z)

    1,005  
  3,272     

Series 2004-10, Class 3A1, 2.60%, 03/25/2035 (z)

    3,059  
  689     

Series 2005-1, Class 1A1, 2.42%, 04/25/2035 (z)

    655  
  844     

Series 2005-1, Class 1A2, 2.52%, 04/25/2035 (z)

    781  
  810     

Series 2005-2, Class 1A2, 2.52%, 04/25/2035 (z)

    773  
  635     

Series 2005-4, Class 1A1A, 2.44%, 05/25/2035 (z)

    633  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  394     

Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A4, 3.75%, 08/25/2033

    377  
  

Impac Secured Assets Trust

 
  3,950     

Series 2007-3, Class A1B, 2.14%, 09/25/2037 (z)

    3,266  
  6,618     

Series 2007-3, Class A1C, 2.26%, 09/25/2037 (z)

    5,502  
  

IndyMac INDX Mortgage Loan Trust

 
  506     

Series 2005-AR3, Class 3A1, 3.44%, 04/25/2035 (z)

    497  
  1,463     

Series 2005-AR14, Class 2A1A, 2.20%, 07/25/2035 (z)

    1,386  
  5,576     

JP Morgan Alternative Loan Trust, Series 2006-A2, Class 1A1, 2.08%, 05/25/2036 (z)

    5,296  
  

JP Morgan Mortgage Trust

 
  228     

Series 2004-A6, Class 1A1, 3.46%, 12/25/2034 (z)

    225  
  729     

Series 2005-A3, Class 6A6, 3.78%, 06/25/2035 (z)

    715  
  803     

Series 2005-A6, Class 1A2, 3.65%, 09/25/2035 (z)

    812  
  258     

Series 2005-A8, Class 1A1, 3.53%, 11/25/2035 (z)

    249  
  3,182     

Series 2005-A8, Class 4A1, 3.64%, 11/25/2035 (z)

    3,182  
  1,120     

Series 2006-A7, Class 2A4, 3.62%, 01/25/2037 (z)

    1,131  
  108     

Series 2006-S2, Class 2A1, 5.00%, 06/25/2021

    101  
  58     

Series 2006-S3, Class 2A4, 5.50%, 08/25/2021

    58  
  401     

Series 2007-A1, Class 2A2, 3.62%, 07/25/2035 (z)

    406  
  5,812     

Series 2007-S1, Class 2A17, 2.23%, 03/25/2037 (z)

    3,168  
  65     

Series 2007-S3, Class 2A3, 6.00%, 08/25/2022

    67  
  1,550     

Lehman Mortgage Trust,
Series 2005-2, Class 2A5, 5.50%, 12/25/2035

    1,468  
  

Lehman XS Trust

 
  8,983     

Series 2005-5N, Class 3A1A, 2.20%, 11/25/2035 (z)

    8,597  
  6,172     

Series 2005-7N, Class 1A1A, 2.17%, 12/25/2035 (z)

    6,113  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  

MASTR Alternative Loan Trust

 
  612     

Series 2004-8, Class 1A1, 6.50%, 09/25/2034

    665  
  1,490     

Series 2004-12, Class 3A1, 6.00%, 12/25/2034

    1,550  
  486     

Series 2005-3, Class 1A1, 5.50%, 04/25/2035

    497  
  338     

Series 2005-5, Class 3A1, 5.75%, 08/25/2035

    287  
  923     

Series 2005-6, Class 1A2, 5.50%, 12/25/2035

    886  
  564     

Series 2006-3, Class 3A1, 5.50%, 06/25/2021

    556  
  

Merrill Lynch Mortgage Investors Trust

 
  131     

Series 2005-1, Class 2A1, 3.41%, 04/25/2035 (z)

    129  
  414     

Series 2005-1, Class 2A2, 3.41%, 04/25/2035 (z)

    402  
  1,859     

Series 2006-1, Class 2A1, 3.33%, 02/25/2036 (z)

    1,865  
  389     

Series 2006-AF2, Class AF2, 6.25%, 10/25/2036

    324  
  8,281     

Metlife Securitization Trust,
Series 2017-1A, Class A, 3.00%, 04/25/2055 (e) (z)

    8,133  
  

Morgan Stanley Mortgage Loan Trust

 
  1,359     

Series 2004-8AR, Class 4A1, 3.60%, 10/25/2034 (z)

    1,384  
  855     

Series 2004-9, Class 1A, 5.40%, 11/25/2034 (z)

    894  
  83     

Series 2005-4, Class 1A, 5.00%, 08/25/2035

    83  
  1,288     

Series 2006-2, Class 1A, 5.25%, 02/25/2021

    1,259  
  

MortgageIT Trust

 
  4,790     

Series 2005-3, Class A1, 2.50%, 08/25/2035 (z)

    4,678  
  675     

Series 2005-5, Class A1, 2.16%, 12/25/2035 (z)

    671  
  48     

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-WF1, Class 2A5, SUB, 5.16%, 03/25/2035

    49  
  

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates

 
  545     

Series 2005-4, Class 1A2, 2.29%, 11/25/2035 (z)

    537  
  2,652     

Series 2005-5, Class 1APT, 2.18%, 12/25/2035 (z)

    2,597  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         63  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  

Opteum Mortgage Acceptance Corp. Trust

 
  3,007     

Series 2006-1, Class 1AC1, 2.20%, 04/25/2036 (z)

    2,900  
  841     

Series 2006-1, Class 1APT, 2.11%, 04/25/2036 (z)

    788  
  1,094     

Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 3.73%, 05/25/2035 (z)

    1,072  
  

RALI Trust

 
  14     

Series 2003-QS20, Class CB, 5.00%, 11/25/2018

    14  
  2,584     

Series 2005-QA5, Class A2, 4.77%, 04/25/2035 (z)

    2,461  
  3,197     

Series 2005-QO1, Class A1, 2.20%, 08/25/2035 (z)

    2,775  
  123     

Series 2005-QS2, Class A1, 5.50%, 02/25/2035

    121  
  2,492     

Series 2005-QS6, Class A1, 5.00%, 05/25/2035

    2,364  
  1,308     

Series 2005-QS17, Class A3, 6.00%, 12/25/2035

    1,272  
  2,214     

Series 2006-QS3, Class 1A10, 6.00%, 03/25/2036

    2,073  
  2,521     

Series 2006-QS4, Class A2, 6.00%, 04/25/2036

    2,307  
  70     

Series 2006-QS18, Class 3A1, 5.75%, 12/25/2021

    67  
  

Residential Asset Securitization Trust

 
  102     

Series 2004-A6, Class A1, 5.00%, 08/25/2019

    101  
  4,134     

Series 2005-A3, Class A2, 5.50%, 04/25/2035

    3,626  
  2,426     

Series 2005-A8CB, Class A11, 6.00%, 07/25/2035

    2,235  
  196     

Series 2005-A14, Class A1, 5.50%, 12/25/2035

    170  
  

RFMSI Trust

 
  199     

Series 2004-S9, Class 2A1, 4.75%, 12/25/2019

    200  
  167     

Series 2005-S7, Class A6, 5.50%, 11/25/2035

    163  
  707     

Series 2005-SA1, Class 3A, 3.59%, 03/25/2035 (z)

    709  
  3,219     

Series 2006-S10, Class 1A1, 6.00%, 10/25/2036

    3,041  
  3,219     

Series 2006-SA4, Class 2A1, 4.80%, 11/25/2036 (z)

    3,060  
  339,620     

Seasoned Credit Risk Transfer Trust, Series 2017-3, Class AIO, IO, 0.19%, 07/25/2056 (e) (z) (bb)

    1,559  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  

Sequoia Mortgage Trust

 
  1,289     

Series 2007-3, Class 1A1, 2.10%, 07/20/2036 (z)

    1,228  
  8,343     

Series 2018-2, Class A4, 3.50%, 02/25/2048 (e) (z)

    8,296  
  

Structured Adjustable Rate Mortgage Loan Trust

 
  912     

Series 2004-16, Class 5A2, 3.64%, 11/25/2034 (z)

    921  
  558     

Series 2005-1, Class 1A1, 3.86%, 02/25/2035 (z)

    557  
  2     

Series 2005-17, Class 4A3, 3.58%, 08/25/2035 (z)

    2  
  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates

 
  846     

Series 2003-35, Class B1, 5.47%, 12/25/2033 (z) (bb)

    787  
  5,818     

Series 2004-10, Class 1A1, 5.27%, 06/25/2034 (z)

    5,936  
  

WaMu Mortgage Pass-Through Certificates Trust

 
  1,580     

Series 2004-AR10, Class A1B, 2.32%, 07/25/2044 (z)

    1,584  
  1,849     

Series 2004-AR11, Class A, 3.27%, 10/25/2034 (z)

    1,855  
  5,232     

Series 2005-AR5, Class A6, 3.27%, 05/25/2035 (z)

    5,277  
  1,868     

Series 2005-AR7, Class A3, 3.28%, 08/25/2035 (z)

    1,881  
  2,771     

Series 2005-AR14, Class 1A3, 3.41%, 12/25/2035 (z)

    2,748  
  1,848     

Series 2005-AR14, Class 1A4, 3.41%, 12/25/2035 (z)

    1,833  
  64     

Series 2005-AR15, Class A1A1, 2.16%, 11/25/2045 (z)

    63  
  1,108     

Series 2005-AR16, Class 1A1, 3.39%, 12/25/2035 (z)

    1,076  
  126     

Series 2005-AR18, Class 1A3A, 3.41%, 01/25/2036 (z)

    127  
  520     

Series 2006-AR2, Class 1A1, 3.41%, 03/25/2036 (z)

    491  
  1,199     

Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust, Series 2005-1, Class 1A3, 5.50%, 03/25/2035

    1,160  
  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

 
  816     

Series 2005-4, Class CB7, 5.50%, 06/25/2035

    787  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Collateralized Mortgage Obligations — continued

 
  

United States — continued

 

  1,233     

Series 2005-10, Class 4CB1, 5.75%, 12/25/2035

    1,206  
  866     

Series 2006-3, Class 5A2, 5.50%, 03/25/2021

    845  
  280     

Series 2006-5, Class 2CB5, 6.50%, 07/25/2036

    238  
  5,858     

Series 2007-1, Class 1A7, 2.50%, 02/25/2037 (z)

    4,495  
  1,412     

Series 2007-1, Class 2A1, 6.00%, 01/25/2022

    1,348  
  

Wells Fargo Mortgage-Backed Securities Trust

 
  2,656     

Series 2004-M, Class A1, 3.52%, 08/25/2034 (z)

    2,737  
  4,203     

Series 2004-N, Class A6, 3.48%, 08/25/2034 (z)

    4,247  
  3,991     

Series 2004-N, Class A7, 3.48%, 08/25/2034 (z)

    4,032  
  748     

Series 2004-Q, Class 1A1, 3.60%, 09/25/2034 (z)

    759  
  461     

Series 2004-Q, Class 1A2, 3.60%, 09/25/2034 (z)

    470  
  579     

Series 2004-BB, Class A5, 3.72%, 01/25/2035 (z)

    588  
  5,685     

Series 2004-DD, Class 1A1, 3.77%, 01/25/2035 (z)

    5,898  
  622     

Series 2004-DD, Class 2A6, 3.77%, 01/25/2035 (z)

    640  
  132     

Series 2005-AR2, Class 2A2, 3.91%, 03/25/2035 (z)

    135  
  613     

Series 2005-AR3, Class 2A1, 3.61%, 03/25/2035 (z)

    622  
  311     

Series 2005-AR4, Class 2A2, 3.96%, 04/25/2035 (z)

    312  
  1,623     

Series 2005-AR5, Class 1A1, 4.09%, 04/25/2035 (z)

    1,628  
  97     

Series 2005-AR7, Class 2A1, 3.99%, 05/25/2035 (z)

    96  
  2,883     

Series 2005-AR8, Class 1A1, 3.72%, 06/25/2035 (z)

    2,947  
  2,250     

Series 2005-AR10, Class 1A1, 3.68%, 06/25/2035 (z)

    2,358  
  753     

Series 2005-AR11, Class 1A1, 3.71%, 06/25/2035 (z)

    760  
  503     

Series 2005-AR15, Class 1A6, 3.56%, 09/25/2035 (z)

    483  
  1,727     

Series 2005-AR16, Class 6A3, 3.66%, 10/25/2035 (z)

    1,740  
  275     

Series 2005-AR16, Class 7A1, 3.63%, 10/25/2035 (z)

    269  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  412     

Series 2006-4, Class 1A9, 5.75%, 04/25/2036

    411  
  1,602     

Series 2006-AR2, Class 2A1, 3.77%, 03/25/2036 (z)

    1,625  
  282     

Series 2006-AR2, Class 2A3, 3.77%, 03/25/2036 (z)

    285  
  1,264     

Series 2006-AR6, Class 5A1, 3.67%, 03/25/2036 (z)

    1,266  
  395     

Series 2006-AR19, Class A3, 3.70%, 12/25/2036 (z)

    370  
  273     

Series 2007-2, Class 1A13, 6.00%, 03/25/2037

    271  
  485     

Series 2007-15, Class A1, 6.00%, 11/25/2037

    481  
    

 

 

 
       458,694  
    

 

 

 
  

Total Collateralized Mortgage Obligations
(Cost $451,415)

    459,889  
    

 

 

 
 

Commercial Mortgage-Backed Securities — 0.9%

 
  

United States — 0.9%

 

  

Banc of America Commercial Mortgage Trust,

 
  1,524     

Series 2007-3, Class B, 5.87%, 06/10/2049 (z) (bb)

    1,535  
  4,500     

Series 2007-3, Class F, 5.87%, 06/10/2049 (e) (z) (bb)

    4,584  
  7,165     

Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class C, 5.68%, 09/11/2041 (e) (z) (bb)

    7,010  
  6,000     

BX Commercial Mortgage Trust,
Series 2018-BIOA, Class D, 3.22%, 03/15/2037 (e) (z) (bb)

    5,968  
  

BX Trust,

 
  6,000     

Series 2018-MCSF, Class A, 2.48%, 04/15/2035 (e) (z)

    5,948  
  1,500     

Series 2018-MCSF, Class B, 2.71%, 04/15/2035 (e) (z)

    1,487  
  1,000     

Series 2018-MCSF, Class C, 2.90%, 04/15/2035 (e) (z)

    992  
  

BXMT Ltd.,

 
  1,500     

Series 2017-FL1, Class C, 3.85%, 06/15/2035 (e) (z)

    1,509  
  3,000     

Series 2017-FL1, Class D, 4.60%, 06/15/2035 (e) (z) (bb)

    3,000  
  1,023     

CD Commercial Mortgage Trust, Series 2005-CD1, Class E, 5.43%, 07/15/2044 (z) (bb)

    1,022  
  2,988     

CD Mortgage Trust, Series 2007-CD5, Class D, 6.43%, 11/15/2044 (e) (z) (bb)

    2,992  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         65  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Commercial Mortgage-Backed Securities — continued

 
  

United States — continued

 

  5,400     

COMM Mortgage Trust,
Series 2015-CR23, Class CMC, 3.81%, 05/10/2048 (e) (z) (bb)

    5,374  
  2,825     

Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class AM, 5.42%, 02/15/2040

    2,852  
  17,000     

FHLMC Multifamily Structured Pass-Through Certificates, Series K054, Class X3, IO, 1.65%, 04/25/2043 (z)

    1,729  
  

FREMF Mortgage Trust,

 
  1,400     

Series 2017-K729, Class B, 3.80%, 11/25/2049 (e) (z)

    1,363  
  2,000     

Series 2018-K731, Class C, 3.91%, 02/25/2025 (e)

    1,856  
  3,000     

GPMT, Series 2018-FL1, Class B,
12/19/2035 (e) (w) (z)

    3,000  
  

GS Mortgage Securities Trust,

 
  2,595     

Series 2006-GG8, Class AJ, 5.62%, 11/10/2039

    2,235  
  2,344     

Series 2007-GG10, Class AM, 6.02%, 08/10/2045 (z)

    2,381  
  2,000     

Series 2017-GS5, Class D, 3.51%, 03/10/2050 (e) (z)

    1,649  
  

JP Morgan Chase Commercial Mortgage Securities Trust,

 
  3,337     

Series 2007-LD11, Class AM, 6.18%, 06/15/2049 (z)

    3,390  
  1,004     

Series 2007-LDPX, Class AM, 5.46%, 01/15/2049 (z)

    1,007  
  433     

LB Commercial Mortgage Trust, Series 2007-C3, Class AJ, 6.09%, 07/15/2044 (z)

    440  
  

LB-UBS Commercial Mortgage Trust,

 
  2,410     

Series 2006-C6, Class B, 5.47%, 09/15/2039 (z) (bb)

    361  
  6,700     

Series 2006-C6, Class AJ, 5.45%, 09/15/2039 (z)

    5,092  
  9,200     

Series 2007-C6, Class AJ, 6.44%, 07/15/2040 (z)

    9,384  
  3,950     

Merrill Lynch Mortgage Trust,
Series 2007-C1, Class AM, 6.00%, 06/12/2050 (z)

    3,923  
  

Morgan Stanley Capital I Trust,

 
  308     

Series 2006-HQ8, Class D, 5.79%, 03/12/2044 (z) (bb)

    311  
  1,166     

Series 2006-HQ9, Class D, 5.86%, 07/12/2044 (z) (bb)

    1,165  
  2,571     

Series 2006-HQ10, Class AJ, 5.39%, 11/12/2041 (z)

    2,572  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  2,065     

Series 2007-HQ11, Class B, 5.54%, 02/12/2044 (z) (bb)

    1,674  
  2,000     

Series 2007-T27, Class C, 6.13%, 06/11/2042 (e) (z) (bb)

    2,090  
  

Wachovia Bank Commercial Mortgage Trust,

 
  5,825     

Series 2007-C31, Class C, 6.17%, 04/15/2047 (z) (bb)

    5,924  
  3,783     

Series 2007-C31, Class AJ, 5.66%, 04/15/2047 (z)

    3,860  
  2,650     

Series 2007-C33, Class B, 6.21%, 02/15/2051 (z) (bb)

    2,570  
  6,313     

Series 2007-C33, Class C, 6.21%, 02/15/2051 (z) (bb)

    5,591  
  2,075     

Series 2007-C33, Class AJ, 6.21%, 02/15/2051 (z)

    2,065  
  1,500     

Series 2007-C34, Class B, 6.38%, 05/15/2046 (z) (bb)

    1,524  
  1,824     

Series 2007-C34, Class AJ, 6.30%, 05/15/2046 (z)

    1,846  
    

 

 

 
  

Total Commercial Mortgage-Backed Securities
(Cost $118,838)

    113,275  
    

 

 

 
    
SHARES
              
 

Common Stocks — 40.5%

 
  

Australia — 0.6%

 

  608     

Australia & New Zealand Banking Group Ltd.

    12,217  
  518     

BHP Billiton plc

    11,044  
  4,104     

Goodman Group

    27,920  
  7,054     

Mirvac Group

    11,838  
  6,381     

Scentre Group

    19,287  
    

 

 

 
       82,306  
    

 

 

 
  

Austria — 0.0% (g)

  87     

OMV AG

    5,378  
    

 

 

 
  

Belgium — 0.2%

 

  79     

Ageas

    4,217  
  59     

KBC Group NV

    5,146  
  82     

Proximus SADP

    2,498  
  62     

Warehouses De Pauw, CVA

    7,638  
    

 

 

 
       19,499  
    

 

 

 
  

Brazil — 0.7%

 

  4,285     

Ambev SA, ADR

    28,366  
  2,357     

BB Seguridade Participacoes SA

    18,507  
  1,340     

Cielo SA

    7,353  
  1,419     

Engie Brasil Energia SA

    15,087  
  1,513     

Itau Unibanco Holding SA (Preference)

    21,966  
    

 

 

 
       91,279  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES
     SECURITY DESCRIPTION   VALUE  
 

Common Stocks — continued

 
  

Canada — 0.4%

 

  341     

Allied Properties REIT

    11,030  
  317     

Canadian Apartment Properties REIT

    9,144  
  599     

TransCanada Corp.

    25,407  
    

 

 

 
       45,581  
    

 

 

 
  

Cayman Islands — 0.0% (g)

  58     

Telford Offshore Holdings Ltd. (a) (bb)

    86  
    

 

 

 
  

Chile — 0.1%

 

  574     

Banco Santander Chile, ADR

    18,956  
    

 

 

 
  

China — 1.5%

 

  19,399     

China Construction Bank Corp., Class H

    20,324  
  1,562     

China Mobile Ltd.

    14,880  
  4,288     

China Pacific Insurance Group Co. Ltd., Class H

    18,922  
  11,434     

China Resources Power Holdings Co. Ltd.

    21,932  
  12,556     

CNOOC Ltd.

    21,241  
  3,882     

Fuyao Glass Industry Group Co. Ltd., Class A

    13,692  
  2,329     

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

    8,004  
  3,830     

Guangdong Investment Ltd.

    5,928  
  1,429     

Henan Shuanghui Investment & Development Co. Ltd., Class A

    5,615  
  3,602     

Huayu Automotive Systems Co. Ltd., Class A

    12,573  
  499     

Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A

    8,784  
  1,816     

Midea Group Co. Ltd., Class A

    14,740  
  2,935     

SAIC Motor Corp. Ltd., Class A

    14,734  
  1,971     

Zhengzhou Yutong Bus Co. Ltd., Class A

    6,357  
    

 

 

 
       187,726  
    

 

 

 
  

Colombia — 0.0% (g)

  8     

Frontera Energy Corp. (a)

    260  
  21     

Frontera Energy Corp. (a)

    637  
  65     

Millicom International Cellular SA, SDR

    4,319  
    

 

 

 
       5,216  
    

 

 

 
  

Czech Republic — 0.2%

 

  417     

Komercni banka A/S

    17,999  
  1,837     

Moneta Money Bank A/S, Reg. S (e)

    6,604  
    

 

 

 
       24,603  
    

 

 

 
  

Denmark — 0.2%

 

  133     

Danske Bank A/S

    4,630  
  264     

Novo Nordisk A/S, Class B

    12,413  
  258     

Tryg A/S

    6,108  
    

 

 

 
       23,151  
    

 

 

 

SHARES
     SECURITY DESCRIPTION   VALUE  
 
  

Finland — 0.6%

 

  149     

Elisa OYJ

    6,588  
  310     

Fortum OYJ

    7,140  
  199     

Konecranes OYJ

    8,129  
  74     

Neste OYJ

    6,221  
  157     

Sampo OYJ, Class A

    8,500  
  312     

Stora Enso OYJ, Class R

    6,153  
  954     

UPM-Kymmene OYJ

    34,052  
    

 

 

 
       76,783  
    

 

 

 
  

France — 2.9%

 

  6     

Airbus SE

    652  
  74     

Airbus SE

    8,681  
  392     

AXA SA

    11,212  
  355     

BNP Paribas SA

    27,442  
  72     

Bouygues SA

    3,665  
  111     

Capgemini SE

    15,255  
  90     

Cie de Saint-Gobain

    4,710  
  174     

Cie Generale des Etablissements Michelin SCA

    24,494  
  224     

CNP Assurances (a)

    5,743  
  366     

Credit Agricole SA

    6,025  
  522     

Engie SA

    9,153  
  151     

Fonciere Des Regions

    16,910  
  23     

Gecina SA

    3,905  
  49     

ICADE (a)

    4,870  
  78     

LVMH Moet Hennessy Louis Vuitton SE

    27,027  
  824     

Natixis SA

    6,770  
  541     

Orange SA

    9,840  
  168     

Peugeot SA

    4,126  
  43     

Renault SA

    4,689  
  358     

Schneider Electric SE (a)

    32,495  
  1,023     

TOTAL SA

    64,298  
  149     

Unibail-Rodamco SE

    35,681  
  286     

Veolia Environnement SA (a)

    6,763  
  424     

Vinci SA

    42,355  
    

 

 

 
       376,761  
    

 

 

 
  

Germany — 1.7%

 

  233     

Allianz SE (Registered)

    55,051  
  1,009     

Aroundtown SA

    8,075  
  110     

BASF SE

    11,496  
  60     

Bayerische Motoren Werke AG

    6,718  
  475     

Daimler AG (Registered)

    37,310  
  1,744     

Deutsche Telekom AG (Registered)

    30,526  
  125     

Deutsche Wohnen SE

    5,879  
  482     

E.ON SE

    5,283  
  118     

Evonik Industries AG

    4,204  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         67  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 


SHARES
     SECURITY DESCRIPTION   VALUE  
 

Common Stocks — continued

 
  

Germany — continued

 

  48     

Hannover Rueck SE

    6,789  
  23     

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)

    5,211  
  153     

ProSiebenSat.1 Media SE

    5,534  
  216     

RWE AG

    5,156  
  156     

Schaeffler AG (Preference)

    2,409  
  951     

Telefonica Deutschland Holding AG

    4,539  
  317     

TUI AG

    7,161  
  45     

Volkswagen AG (Preference)

    9,351  
  99     

Vonovia SE

    4,954  
    

 

 

 
       215,646  
    

 

 

 
  

Hong Kong — 0.5%

 

  853     

Hang Seng Bank Ltd.

    21,612  
  8,377     

HKT Trust & HKT Ltd.

    11,022  
  9,501     

New World Development Co. Ltd.

    13,933  
  8,635     

WH Group Ltd., Reg. S (e)

    8,939  
  1,041     

Wharf Real Estate Investment Co. Ltd.

    7,805  
    

 

 

 
       63,311  
    

 

 

 
  

Hungary — 0.2%

 

  569     

OTP Bank Nyrt

    24,816  
    

 

 

 
  

India — 0.4%

 

  1,506     

Coal India Ltd.

    6,416  
  1,065     

Infosys Ltd., ADR

    18,827  
  2,288     

ITC Ltd.

    9,624  
  337     

Tata Consultancy Services Ltd.

    17,806  
    

 

 

 
       52,673  
    

 

 

 
  

Indonesia — 0.2%

 

  71,718     

Telekomunikasi Indonesia Persero Tbk. PT

    19,570  
    

 

 

 
  

Ireland — 0.1%

 

  693     

AIB Group plc

    4,136  
  707     

Bank of Ireland Group plc

    6,345  
    

 

 

 
       10,481  
    

 

 

 
  

Italy — 0.7%

 

  390     

Assicurazioni Generali SpA

    7,877  
  123     

Atlantia SpA

    4,063  
  5,471     

Enel SpA

    34,705  
  590     

Eni SpA

    11,538  
  3,012     

Intesa Sanpaolo SpA

    11,456  
  296     

Mediobanca Banca di Credito Finanziario SpA

    3,587  
  661     

Poste Italiane SpA, Reg. S (e)

    6,455  
  1,101     

Snam SpA

    5,288  
  594     

Terna Rete Elettrica Nazionale SpA

    3,567  
    

 

 

 
       88,536  
    

 

 

 

SHARES
     SECURITY DESCRIPTION   VALUE  
  

Japan — 0.8%

 

  101     

Bandai Namco Holdings, Inc.

    3,411  
  251     

Bridgestone Corp.

    10,505  
  3     

Daiwa House REIT Investment Corp.

    6,320  
  42     

Invesco Office J-Reit, Inc.

    5,318  
  279     

Japan Airlines Co. Ltd.

    11,011  
  15     

Japan Hotel REIT Investment Corp.

    11,223  
  1     

Kenedix Office Investment Corp.

    5,699  
  2     

Kenedix Retail REIT Corp.

    3,323  
  5     

Nippon Prologis REIT, Inc.

    10,422  
  326     

Nippon Telegraph & Telephone Corp.

    15,480  
  481     

Tokio Marine Holdings, Inc.

    22,683  
    

 

 

 
       105,395  
    

 

 

 
  

Macau — 0.1%

 

  3,073     

Sands China Ltd.

    17,759  
    

 

 

 
  

Mexico — 0.4%

 

  2,009     

Bolsa Mexicana de Valores SAB de CV

    3,879  
  8,106     

Fibra Uno Administracion SA de CV

    13,423  
  9,249     

Kimberly-Clark de Mexico SAB de CV, Class A

    16,760  
  5,389     

Wal-Mart de Mexico SAB de CV

    14,984  
    

 

 

 
       49,046  
    

 

 

 
  

Netherlands — 1.4%

 

  204     

ABN AMRO Group NV, Reg. S, CVA (e)

    6,320  
  1,048     

Aegon NV

    7,681  
  143     

Akzo Nobel NV

    12,991  
  182     

Eurocommercial Properties NV, CVA

    7,643  
  1,441     

ING Groep NV

    24,279  
  1,244     

Koninklijke Ahold Delhaize NV

    30,007  
  1,310     

Koninklijke KPN NV

    4,076  
  144     

NN Group NV

    6,921  
  53     

Randstad Holding NV

    3,439  
  811     

Royal Dutch Shell plc, Class A

    28,395  
  1,025     

Royal Dutch Shell plc, Class B

    36,575  
  153     

Vastned Retail NV

    7,662  
    

 

 

 
       175,989  
    

 

 

 
  

New Zealand — 0.0% (g)

  65     

UCI Holdings LLC (a) (bb)

    1,173  
    

 

 

 
  

Norway — 0.5%

 

  398     

DNB ASA

    7,452  
  306     

Gjensidige Forsikring ASA

    4,846  
  231     

Marine Harvest ASA

    5,028  
  2,277     

Norsk Hydro ASA

    14,221  
  377     

Statoil ASA

    9,650  
  977     

Telenor ASA

    21,621  
    

 

 

 
       62,818  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES
     SECURITY DESCRIPTION   VALUE  
 

Common Stocks — continued

 
  

Portugal — 0.0% (g)

  209     

Galp Energia SGPS SA

    4,010  
    

 

 

 
  

Russia — 0.6%

 

  5,330     

Alrosa PJSC

    7,577  
  10,955     

Moscow Exchange MICEX-RTS PJSC

    20,956  
  152     

PhosAgro PJSC, Reg. S, GDR

    2,193  
  7,929     

Sberbank of Russia PJSC

    28,263  
  794     

Sberbank of Russia PJSC, ADR

    11,728  
  15     

Severstal PJSC, Reg. S, GDR

    240  
  271     

Severstal PJSC, Reg. S, GDR

    4,312  
    

 

 

 
       75,269  
    

 

 

 
  

Singapore — 0.2%

 

  1,805     

Ascendas REIT

    3,620  
  800     

City Developments Ltd.

    7,601  
  835     

DBS Group Holdings Ltd.

    19,261  
    

 

 

 
       30,482  
    

 

 

 
  

South Africa — 0.6%

 

  1,839     

AVI Ltd.

    16,821  
  566     

Barclays Africa Group Ltd.

    8,284  
  445     

Bid Corp. Ltd.

    10,240  
  2,758     

FirstRand Ltd.

    14,772  
  543     

Investec plc

    4,295  
  126     

Mondi plc

    3,507  
  332     

SPAR Group Ltd. (The)

    5,631  
  967     

Vodacom Group Ltd.

    12,103  
    

 

 

 
       75,653  
    

 

 

 
  

South Korea — 0.5%

 

  107     

ING Life Insurance Korea Ltd., Reg. S (e)

    4,128  
  175     

KT&G Corp.

    15,970  
  9     

Samsung Electronics Co. Ltd. (bb)

    21,623  
  29     

Samsung Fire & Marine Insurance Co. Ltd.

    7,258  
  393     

SK Telecom Co. Ltd., ADR

    9,328  
    

 

 

 
       58,307  
    

 

 

 
  

Spain — 0.9%

 

  333     

Abertis Infraestructuras SA

    7,335  
  91     

ACS Actividades de Construccion y Servicios SA

    3,845  
  18     

Aena SME SA, Reg. S (e)

    3,801  
  919     

Banco Bilbao Vizcaya Argentaria SA

    7,434  
  2,098     

Banco de Sabadell SA

    4,106  
  1,905     

Banco Santander SA

    12,309  
  323     

Bankinter SA

    3,380  
  228     

Enagas SA

    6,626  
  4,824     

Iberdrola SA

    37,270  

SHARES
     SECURITY DESCRIPTION   VALUE  
  

Spain — continued

 

  624     

Merlin Properties Socimi SA

    9,623  
  243     

Red Electrica Corp. SA

    5,064  
  450     

Repsol SA

    8,584  
    

 

 

 
       109,377  
    

 

 

 
  

Sweden — 0.6%

 

  139     

Boliden AB

    4,808  
  99     

Electrolux AB, Series B

    2,613  
  95     

ICA Gruppen AB

    2,935  
  141     

Lundin Petroleum AB (a)

    3,881  
  716     

Nordea Bank AB

    7,278  
  612     

Skandinaviska Enskilda Banken AB, Class A

    5,747  
  168     

SKF AB, Class B

    3,391  
  1,648     

Svenska Handelsbanken AB, Class A

    18,380  
  310     

Swedbank AB, Class A

    6,732  
  88     

Swedish Match AB

    3,952  
  544     

Tele2 AB, Class B

    7,049  
  992     

Telia Co. AB

    4,885  
  366     

Volvo AB, Class B

    6,211  
    

 

 

 
       77,862  
    

 

 

 
  

Switzerland — 1.8%

 

  419     

Credit Suisse Group AG (Registered) (a)

    7,069  
  262     

Ferguson plc

    20,065  
  1,798     

Glencore plc (a)

    8,661  
  331     

LafargeHolcim Ltd. (Registered) (a)

    18,407  
  958     

Novartis AG (Registered)

    73,771  
  86     

Roche Holding AG

    19,115  
  452     

Swiss Re AG

    43,063  
  491     

UBS Group AG (Registered) (a)

    8,238  
  84     

Zurich Insurance Group AG (a)

    26,853  
    

 

 

 
       225,242  
    

 

 

 
  

Taiwan — 1.2%

 

  986     

Asustek Computer, Inc.

    9,215  
  1,252     

Chicony Electronics Co. Ltd.

    3,085  
  1,740     

Delta Electronics, Inc.

    6,310  
  1,371     

MediaTek, Inc. (a)

    15,593  
  10,920     

Mega Financial Holding Co. Ltd.

    9,640  
  2,597     

Novatek Microelectronics Corp.

    10,901  
  1,148     

President Chain Store Corp.

    11,284  
  8,205     

Quanta Computer, Inc.

    14,918  
  5,095     

Taiwan Mobile Co. Ltd. (a)

    18,816  
  1,232     

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

    47,372  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         69  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 


SHARES
     SECURITY DESCRIPTION   VALUE  
 

Common Stocks — continued

 
  

Taiwan — continued

 

  5,134     

Vanguard International Semiconductor Corp.

    10,407  
    

 

 

 
       157,541  
    

 

 

 
  

Thailand — 0.3%

 

  954     

Siam Cement PCL (The) (Registered)

    14,116  
  4,545     

Siam Commercial Bank PCL (The)

    18,867  
  2,059     

Thai Oil PCL

    6,129  
    

 

 

 
       39,112  
    

 

 

 
  

Turkey — 0.1%

 

  257     

Ford Otomotiv Sanayi A/S

    3,540  
  956     

Tofas Turk Otomobil Fabrikasi A/S

    5,890  
  225     

Tupras Turkiye Petrol Rafinerileri A/S

    5,764  
    

 

 

 
       15,194  
    

 

 

 
  

United Arab Emirates — 0.2%

 

  2,894     

Emaar Development PJSC (a)

    4,372  
  4,875     

First Abu Dhabi Bank PJSC

    16,434  
    

 

 

 
       20,806  
    

 

 

 
  

United Kingdom — 4.2%

 

  299     

3i Group plc

    3,858  
  174     

Admiral Group plc

    4,762  
  345     

Anglo American plc

    8,127  
  1,980     

Assura plc

    1,624  
  439     

AstraZeneca plc

    30,727  
  2,907     

Aviva plc

    21,121  
  644     

Barratt Developments plc

    4,938  
  121     

Berkeley Group Holdings plc

    6,781  
  2,794     

BP plc

    20,757  
  343     

British American Tobacco plc

    18,822  
  2,148     

British Land Co. plc (The)

    19,833  
  393     

Diageo plc

    14,025  
  1,236     

Direct Line Insurance Group plc

    6,350  
  155     

easyJet plc

    3,388  
  1,548     

GlaxoSmithKline plc

    31,052  
  654     

Hammerson plc

    4,933  
  144     

HSBC Holdings plc

    1,444  
  1,612     

HSBC Holdings plc

    16,059  
  2,626     

HSBC Holdings plc

    26,142  
  180     

IMI plc

    2,698  
  421     

International Consolidated Airlines Group SA

    3,632  
  1,067     

J Sainsbury plc

    4,526  
  2,255     

Legal & General Group plc

    8,352  
  13,665     

Lloyds Banking Group plc

    12,120  
  1,061     

NewRiver REIT plc

    4,235  
  73     

Next plc

    5,290  

SHARES
     SECURITY DESCRIPTION   VALUE  
 
  

United Kingdom — continued

 

  1,402     

Old Mutual plc

    4,829  
  758     

Persimmon plc

    28,301  
  347     

Prudential plc

    8,919  
  1,213     

Rio Tinto plc

    66,111  
  748     

Royal Mail plc

    5,966  
  555     

RSA Insurance Group plc

    5,008  
  1,539     

Safestore Holdings plc

    11,574  
  67     

Schroders plc

    3,038  
  1,416     

Segro plc

    12,564  
  202     

St James’s Place plc

    3,151  
  6,323     

Taylor Wimpey plc

    16,651  
  2,832     

Tritax Big Box REIT plc

    5,837  
  499     

Unilever NV, CVA

    28,600  
  173     

UNITE Group plc (The)

    1,990  
  18,479     

Vodafone Group plc

    53,925  
    

 

 

 
       542,060  
    

 

 

 
  

United States — 14.9%

 

  20     

AbbVie, Inc.

    1,930  
  39     

Accenture plc, Class A

    5,945  
  84     

Air Products & Chemicals, Inc.

    13,593  
  733     

Altria Group, Inc.

    41,121  
  49     

American Tower Corp.

    6,744  
  290     

Analog Devices, Inc.

    25,368  
  64     

Apple, Inc.

    10,497  
  61     

Arthur J Gallagher & Co.

    4,283  
  450     

AT&T, Inc.

    14,701  
  93     

Automatic Data Processing, Inc.

    10,954  
  174     

AvalonBay Communities, Inc.

    28,419  
  200     

Avaya Holdings Corp. (a)

    4,577  
  939     

Bank of America Corp.

    28,106  
  311     

BB&T Corp.

    16,400  
  594     

Brandywine Realty Trust

    9,566  
  169     

Bristol-Myers Squibb Co.

    8,808  
  653     

Brixmor Property Group, Inc.

    9,722  
  111     

Broadcom, Inc.

    25,454  
  404     

Caesars Entertainment Corp. (a)

    4,589  
  230     

Camden Property Trust

    19,606  
  332     

Chevron Corp.

    41,485  
  74     

Chubb Ltd.

    9,996  
  99     

Cincinnati Financial Corp.

    6,978  
  412     

Cisco Systems, Inc.

    18,258  
  292     

Citigroup, Inc.

    19,951  
  153     

CME Group, Inc.

    24,135  
  207     

CMS Energy Corp.

    9,755  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

SHARES
     SECURITY DESCRIPTION   VALUE  
 

Common Stocks — continued

 
  

United States — continued

 

  1,468     

Coca-Cola Co. (The)

    63,441  
  790     

Comcast Corp., Class A

    24,802  
  331     

ConocoPhillips

    21,679  
  312     

Digital Realty Trust, Inc.

    32,990  
  144     

Dover Corp.

    13,327  
  133     

DowDuPont, Inc.

    8,406  
  103     

Dr Pepper Snapple Group, Inc.

    12,371  
  23     

DTE Energy Co.

    2,463  
  414     

Eaton Corp. plc

    31,058  
  160     

Eli Lilly & Co.

    12,934  
  167     

Equity LifeStyle Properties, Inc.

    14,890  
  128     

Equity Residential

    7,913  
  117     

Exxon Mobil Corp.

    9,074  
  125     

Fidelity National Information Services, Inc.

    11,909  
  63     

General Dynamics Corp.

    12,702  
  81     

Gilead Sciences, Inc.

    5,853  
  53     

Goodman Private (a) (bb)

    (h) 
  323     

Gramercy Property Trust

    7,584  
  279     

Halcon Resources Corp. (a)

    1,499  
  763     

HCP, Inc.

    17,818  
  268     

Healthcare Trust of America, Inc., Class A

    6,702  
  285     

Highwoods Properties, Inc.

    12,567  
  212     

Home Depot, Inc. (The)

    39,182  
  62     

Honeywell International, Inc.

    9,013  
  98     

Illinois Tool Works, Inc.

    13,911  
  579     

Intel Corp.

    29,874  
  293     

International Business Machines Corp.

    42,519  
  333     

Iron Mountain, Inc.

    11,297  
  138     

Johnson & Johnson

    17,449  
  55     

KLA-Tencor Corp.

    5,553  
  307     

Liberty Property Trust

    12,845  
  45     

M&T Bank Corp.

    8,234  
  1,382     

Merck & Co., Inc.

    81,358  
  554     

Microsoft Corp.

    51,837  
  176     

Mid-America Apartment Communities, Inc.

    16,113  
  292     

Mondelez International, Inc., Class A

    11,535  
  349     

Morgan Stanley

    18,024  
  203     

National Health Investors, Inc.

    13,838  
  3     

Nebraska Book Holdings, Inc. (a) (bb)

    (h) 
  318     

NextEra Energy, Inc.

    52,075  
  178     

NII Holdings, Inc. (a)

    488  
  234     

NiSource, Inc.

    5,719  
  145     

Northern Trust Corp.

    15,493  
  693     

Occidental Petroleum Corp.

    53,507  
  242     

Park Hotels & Resorts, Inc.

    6,965  

SHARES
    SECURITY DESCRIPTION   VALUE  
 

United States — continued

 

  23    

Penn Virginia Corp. (a)

    1,046  
  88    

PepsiCo, Inc.

    8,889  
  2,440    

Pfizer, Inc.

    89,337  
  705    

Philip Morris International, Inc.

    57,799  
  159    

PNC Financial Services Group, Inc. (The)

    23,114  
  123    

PPG Industries, Inc.

    12,985  
  293    

Principal Financial Group, Inc.

    17,322  
  560    

Prologis, Inc.

    36,362  
  144    

Prudential Financial, Inc.

    15,335  
  171    

Public Storage

    34,523  
  (h)   

Quad/Graphics, Inc.

    (h) 
  39    

Realty Income Corp.

    1,951  
  128    

Regency Centers Corp.

    7,534  
  169    

Republic Services, Inc.

    10,901  
  (h)   

Sabine Oil & Gas Holdings, Inc. (a)

    21  
  257    

Senior Housing Properties Trust

    4,002  
  137    

Simon Property Group, Inc.

    21,418  
  311    

STORE Capital Corp.

    7,835  
  138    

Sunstone Hotel Investors, Inc.

    2,147  
  137    

T. Rowe Price Group, Inc.

    15,590  
  452    

Texas Instruments, Inc.

    45,864  
  21    

Time Warner, Inc.

    1,982  
  158    

Travelers Cos., Inc. (The)

    20,778  
  211    

Union Pacific Corp.

    28,202  
  81    

UnitedHealth Group, Inc.

    19,067  
  430    

US Bancorp

    21,718  
  347    

Verizon Communications, Inc.

    17,120  
  162    

VICI Properties, Inc. (a) (bb)

    2,948  
  608    

VICI Properties, Inc.

    11,047  
  261    

Vistra Energy Corp. (a)

    5,959  
  569    

Vornado Realty Trust

    38,733  
  355    

Wells Fargo & Co.

    18,439  
  721    

Xcel Energy, Inc.

    33,763  
   

 

 

 
      1,903,483  
   

 

 

 
 

Total Common Stocks
(Cost $4,453,512)

    5,178,936  
   

 

 

 
PRINCIPAL
AMOUNT
             
 

Convertible Bonds — 1.4%

 
 

China — 0.0% (g)

  HKD 10,200    

Future Land Development Holdings Ltd., Reg. S, 2.25%, 02/10/2019

    1,295  
   

 

 

 
 

Cyprus — 0.0% (g)

  GBP   2,000    

Volcan Holdings plc, Reg. S, 4.13%, 04/11/2020

    3,655  
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         71  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Convertible Bonds — continued

 
  

Germany — 0.1%

 

  EUR 3,800     

Bayer Capital Corp. BV,

 
  

Reg. S, 5.63%, 11/22/2019 (e)

    4,945  
  EUR 1,400     

Rocket Internet SE, Reg. S, 3.00%, 07/22/2022

    1,759  
    

 

 

 
       6,704  
    

 

 

 
  

Hong Kong — 0.1%

 

  7,400     

China Overseas Finance Investment Cayman V Ltd., Reg. S, Zero Coupon, 01/05/2023

    7,794  
  1,531     

PB Issuer No. 4 Ltd., Reg. S, 3.25%, 07/03/2021

    1,547  
    

 

 

 
       9,341  
    

 

 

 
  

Malaysia — 0.0% (g)

  2,558     

Cahaya Capital Ltd., Reg. S, Zero Coupon, 09/18/2021

    2,593  
    

 

 

 
  

Mexico — 0.0% (g)

  EUR 5,500     

America Movil BV, Reg. S, 5.50%, 09/17/2018

    5,255  
    

 

 

 
  

Monaco — 0.0% (g)

  2,948     

Scorpio Tankers, Inc., 2.38%, 07/01/2019 (e)

    2,830  
    

 

 

 
  

Norway — 0.0% (g)

  2,600     

Telenor East Holding II A/S, Reg. S, 0.25%, 09/20/2019

    2,518  
    

 

 

 
  

Russia — 0.0% (g)

  1,368     

Yandex NV, 1.13%, 12/15/2018

    1,353  
    

 

 

 
  

Singapore — 0.1%

 

  2,600     

BW Group Ltd., Reg. S, 1.75%, 09/10/2019

    2,463  
  

CapitaLand Ltd.,

 
  SGD 7,000     

Reg. S, 1.85%, 06/19/2020

    5,154  
  SGD 5,000     

Reg. S, 2.95%, 06/20/2022

    3,766  
    

 

 

 
       11,383  
    

 

 

 
  

South Africa — 0.1%

 

  GBP 4,200     

Brait SE, Reg. S, 2.75%, 09/18/2020

    5,292  
  GBP 2,000     

Remgro Jersey GBP Ltd., Reg. S, 2.63%, 03/22/2021

    2,697  
    

 

 

 
       7,989  
    

 

 

 
  

United Arab Emirates — 0.1%

 

  

Aabar Investments PJSC,

 
  EUR 5,000     

Reg. S, 0.50%, 03/27/2020

    5,601  
  EUR 3,200     

Reg. S, 1.00%, 03/27/2022

    3,439  
  4,800     

DP World Ltd., Reg. S, 1.75%, 06/19/2024

    5,042  
    

 

 

 
       14,082  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United Kingdom — 0.1%

 

  GBP 2,800     

Intu Jersey 2 Ltd., Reg. S, 2.88%, 11/01/2022

    3,610  
  GBP 2,800     

Vodafone Group plc, Reg. S, 2.00%, 02/25/2019

    4,211  
    

 

 

 
       7,821  
    

 

 

 
  

United States — 0.8%

 

  3,819     

Ares Capital Corp., 3.75%, 02/01/2022

    3,908  
  1,246     

BlackRock Capital Investment Corp., 5.00%, 06/15/2022

    1,276  
  2,888     

Chesapeake Energy Corp., 5.50%, 09/15/2026

    2,523  
  

Colony NorthStar, Inc.,

 
  1,455     

3.88%, 01/15/2021

    1,364  
  3,721     

5.00%, 04/15/2023

    3,447  
  

DISH Network Corp.,

 
  6,148     

2.38%, 03/15/2024

    5,305  
  2,415     

3.38%, 08/15/2026

    2,192  
  2,652     

Electronics For Imaging, Inc., 0.75%, 09/01/2019

    2,557  
  7,445     

Ensco Jersey Finance Ltd., 3.00%, 01/31/2024

    6,312  
  2,328     

Extra Space Storage LP, 3.13%, 10/01/2035 (e)

    2,593  
  6,958     

FireEye, Inc., Series B, 1.63%, 06/01/2035

    6,507  
  3,031     

Hercules Capital, Inc., 4.38%, 02/01/2022

    3,080  
  1,293     

Intercept Pharmaceuticals, Inc., 3.25%, 07/01/2023

    1,059  
  

Liberty Interactive LLC,

 
  320     

3.75%, 02/15/2030

    213  
  6,966     

4.00%, 11/15/2029

    4,667  
  4,269     

Macquarie Infrastructure Corp., 2.00%, 10/01/2023

    3,827  
  6,547     

Nabors Industries, Inc., 0.75%, 01/15/2024

    5,115  
  69     

Nebraska Book Holdings, Inc., 2.02%, 04/01/2026 (d) (e) (bb)

     
  3,884     

NRG Yield, Inc., 3.25%, 06/01/2020 (e)

    3,852  
  561     

Nuance Communications, Inc., 1.00%, 12/15/2035

    523  
  2,848     

Pandora Media, Inc., 1.75%, 12/01/2020

    2,620  
  1,680     

RWT Holdings, Inc., 5.63%, 11/15/2019

    1,688  
  

Spirit Realty Capital, Inc.,

 
  1,350     

2.88%, 05/15/2019

    1,343  
  3,821     

3.75%, 05/15/2021

    3,837  
  2,540     

Starwood Property Trust, Inc., 4.38%, 04/01/2023

    2,543  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Convertible Bonds — continued

 
  

United States — continued

 

  

SunPower Corp.,

 
  6     

0.75%, 06/01/2018

    6  
  3,183     

0.88%, 06/01/2021

    2,585  
  

TCP Capital Corp.,

 
  1,131     

4.63%, 03/01/2022

    1,137  
  1,736     

5.25%, 12/15/2019

    1,791  
  959     

TPG Specialty Lending, Inc., 4.50%, 08/01/2022

    974  
  

Twitter, Inc.,

 
  4,089     

0.25%, 09/15/2019

    3,914  
  4,079     

1.00%, 09/15/2021

    3,827  
  4,544     

Veeco Instruments, Inc., 2.70%, 01/15/2023

    4,028  
  

VEREIT, Inc.,

 
  379     

3.00%, 08/01/2018

    379  
  5,102     

3.75%, 12/15/2020

    5,121  
  4,015     

Weatherford International Ltd., 5.88%, 07/01/2021

    3,815  
  5,573     

Whiting Petroleum Corp., 1.25%, 04/01/2020

    5,308  
    

 

 

 
       105,236  
    

 

 

 
  

Total Convertible Bonds
(Cost $184,269)

    182,055  
    

 

 

 

SHARES
              
 

Convertible Preferred Stocks — 0.5%

 
  

China — 0.0% (g)

  27     

Mandatory Exchangeable Trust, 5.75%, 06/03/2019 ($100 par value) (e)

    5,463  
    

 

 

 
  

Israel — 0.0% (g)

  3     

Teva Pharmaceutical Industries Ltd., 7.00%, 12/15/2018($1000 par value)

    926  
    

 

 

 
  

United States — 0.5%

 

  7     

Bank of America Corp., Series L, 7.25% ($1000 par value)

    8,895  
  100     

Becton Dickinson and Co., Series A, 6.13%, 05/01/2020 ($100 par value)

    6,019  
  34     

Belden, Inc., 6.75%, 07/15/2019

    2,981  
  12     

Bunge Ltd., 4.88% ($100 par value)

    1,264  
  5     

Crown Castle International Corp., Series A, 6.88%, 08/01/2020 ($1000 par value)

    4,732  
  97     

Dominion Energy, Inc., Series A, 6.75%, 08/15/2019 ($50 par value)

    4,470  
  73     

DTE Energy Co., 6.50%, 10/01/2019 ($50 par value)

    3,855  

SHARES
     SECURITY DESCRIPTION   VALUE  
    
  

United States — continued

 

  28     

Hess Corp., 8.00%, 02/01/2019 ($50 par value)

    1,814  
  126     

Kinder Morgan, Inc., Series A, 9.75%, 10/26/2018 ($49 par value)

    3,906  
  103     

NextEra Energy, Inc., 6.12%, 09/01/2019 ($25 par value)

    5,966  
  51     

Stanley Black & Decker, Inc., 5.38%, 05/15/2020 ($100 par value)

    5,487  
  22     

Stericycle, Inc., 5.25%, 09/15/2018 ($100 par value)

    995  
  7     

Wells Fargo & Co., Series L, 7.50% ($1000 par value)

    8,756  
  46     

Welltower, Inc., Series I, 6.50% ($50 par value)

    2,589  
  
       61,729  
    

 

 

 
  

Total Convertible Preferred Stocks
(Cost $68,469)

    68,118  
    

 

 

 
PRINCIPAL
AMOUNT
              
 

Corporate Bonds — 35.3%

 
  

Argentina — 0.1%

 

  1,290     

Pampa Energia SA, 7.38%, 07/21/2023 (e)

    1,342  
  

YPF SA,

 
  2,800     

Reg. S, 8.50%, 03/23/2021

    3,034  
  3,450     

Reg. S, 8.75%, 04/04/2024

    3,775  
    

 

 

 
       8,151  
    

 

 

 
  

Australia — 0.2%

 

  12,431     

Australia & New Zealand Banking Group Ltd., (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 06/15/2026 (e) (x) (y) (aa)

    13,255  
  1,720     

BHP Billiton Finance USA Ltd., (USD Swap Semi 5 Year + 5.09%), 6.75%, 10/19/2075 (e) (aa)

    1,918  
  

FMG Resources August 2006 Pty. Ltd.,

 
  1,725     

4.75%, 05/15/2022 (e)

    1,710  
  1,389     

5.13%, 05/15/2024 (e)

    1,372  
  518     

9.75%, 03/01/2022 (e)

    570  
  

Nufarm Australia Ltd.,

 
  1,197     

5.75%, 04/30/2026 (e)

    1,194  
  1,215     

6.38%, 10/15/2019 (e)

    1,235  
    

 

 

 
       21,254  
    

 

 

 
  

Azerbaijan — 0.1%

 

  2,550     

Southern Gas Corridor CJSC, Reg. S, 6.88%, 03/24/2026

    2,786  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         73  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

Azerbaijan — continued

 

  

State Oil Co. of the Azerbaijan Republic,

 
  6,850     

Reg. S, 4.75%, 03/13/2023

    6,824  
  5,500     

Reg. S, 6.95%, 03/18/2030

    5,902  
    

 

 

 
       15,512  
    

 

 

 
  

Brazil — 0.4%

 

  1,954     

Banco Daycoval SA, Reg. S, 5.75%, 03/19/2019

    1,974  
  2,100     

Cemig Geracao e Transmissao SA, Reg. S, 9.25%, 12/05/2024

    2,265  
  2,750     

GTL Trade Finance, Inc.,Reg. S, 5.89%, 04/29/2024

    2,884  
  

JBS USA LUX SA,

 
  4,689     

5.75%, 06/15/2025 (e)

    4,406  
  4,448     

5.88%, 07/15/2024 (e)

    4,303  
  3,302     

6.75%, 02/15/2028 (e)

    3,158  
  6,065     

7.25%, 06/01/2021 (e)

    6,118  
  2,177     

JSL Europe SA, Reg. S, 7.75%, 07/26/2024

    2,188  
  

Petrobras Global Finance BV,

 
  4,100     

6.25%, 03/17/2024

    4,291  
  3,850     

6.85%, 06/05/2115

    3,556  
  5,790     

7.38%, 01/17/2027

    6,195  
  1,587     

8.38%, 05/23/2021

    1,787  
  2,000     

Suzano Austria GmbH,

 
  

Reg. S, 5.75%, 07/14/2026

    2,100  
  3,590     

Votorantim Cimentos SA,

 
  

Reg. S, 7.25%, 04/05/2041

    3,898  
  1,130     

Vrio Finco 1 LLC, 6.25%, 04/04/2023 (e)

    1,139  
    

 

 

 
       50,262  
    

 

 

 
  

Canada — 1.6%

 

  4,604     

1011778 BC ULC, 4.25%, 05/15/2024 (e)

    4,380  
  3,804     

Athabasca Oil Corp., 9.88%, 02/24/2022 (e)

    3,832  
  2,332     

ATS Automation Tooling Systems, Inc., 6.50%, 06/15/2023 (e)

    2,440  
  

Baytex Energy Corp.,

 
  200     

5.13%, 06/01/2021 (e)

    189  
  364     

5.63%, 06/01/2024 (e)

    324  
  

Bombardier, Inc.,

 
  1,868     

6.00%, 10/15/2022 (e)

    1,859  
  3,228     

6.13%, 01/15/2023 (e)

    3,248  
  1,540     

7.50%, 12/01/2024 (e)

    1,621  
  6,598     

7.50%, 03/15/2025 (e)

    6,862  
  188     

7.75%, 03/15/2020 (e)

    201  
  5,208     

8.75%, 12/01/2021 (e)

    5,795  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

Canada — continued

 

  

Cascades, Inc.,

 
  346     

5.50%, 07/15/2022 (e)

    347  
  298     

5.75%, 07/15/2023 (e)

    296  
  

Concordia International Corp.,

 
  4,231     

7.00%, 04/15/2023 (d) (e) (bb)

    254  
  3,244     

9.00%, 04/01/2022 (e)

    2,952  
  20,130     

Emera, Inc., Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 06/15/2076 (aa)

    21,781  
  

Enbridge, Inc.,

 
  13,030     

(ICE LIBOR USD 3 Month + 3.42%), 5.50%, 07/15/2077 (aa)

    12,118  
  4,165     

Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 01/15/2077 (aa)

    4,045  
  10,035     

(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 03/01/2078 (aa)

    9,766  
  12,170     

Garda World Security Corp., 8.75%, 05/15/2025 (e)

    12,714  
  2,450     

Gateway Casinos & Entertainment Ltd., 8.25%, 03/01/2024 (e)

    2,600  
  1,100     

Hudbay Minerals, Inc., 7.25%, 01/15/2023 (e)

    1,147  
  1,171     

Jupiter Resources, Inc., 8.50%, 10/01/2022 (e)

    509  
  1,380     

Kronos Acquisition Holdings, Inc., 9.00%, 08/15/2023 (e)

    1,318  
  

Mattamy Group Corp.,

 
  350     

6.50%, 10/01/2025 (e)

    349  
  1,330     

6.88%, 12/15/2023 (e)

    1,367  
  

MEG Energy Corp.,

 
  12,540     

6.38%, 01/30/2023 (e)

    11,286  
  6,336     

6.50%, 01/15/2025 (e)

    6,328  
  2,427     

7.00%, 03/31/2024 (e)

    2,172  
  

NOVA Chemicals Corp.,

 
  4,655     

4.88%, 06/01/2024 (e)

    4,515  
  2,646     

5.00%, 05/01/2025 (e)

    2,547  
  2,995     

5.25%, 06/01/2027 (e)

    2,883  
  

Open Text Corp.,

 
  1,957     

5.63%, 01/15/2023 (e)

    2,028  
  1,065     

5.88%, 06/01/2026 (e)

    1,105  
  

Precision Drilling Corp.,

 
  311     

5.25%, 11/15/2024

    293  
  4,521     

7.13%, 01/15/2026 (e)

    4,566  
  1,540     

7.75%, 12/15/2023

    1,604  
  8,863     

Quebecor Media, Inc., 5.75%, 01/15/2023

    9,085  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

Canada — continued

 

  1,435     

Seven Generations Energy Ltd., 5.38%, 09/30/2025 (e)

    1,395  
  

Teck Resources Ltd.,

 
  1,635     

4.75%, 01/15/2022

    1,658  
  1,455     

5.40%, 02/01/2043

    1,393  
  1,875     

6.00%, 08/15/2040

    1,955  
  2,070     

6.13%, 10/01/2035

    2,199  
  1,383     

8.50%, 06/01/2024 (e)

    1,544  
  

Transcanada Trust,

 
  13,375     

(ICE LIBOR USD 3 Month + 3.21%), 5.30%, 03/15/2077 (aa)

    13,028  
  9,855     

(ICE LIBOR USD 3 Month + 3.53%), 5.62%, 05/20/2075 (aa)

    10,077  
  9,359     

Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 08/15/2076 (aa)

    9,640  
  1,098     

Trinidad Drilling Ltd., 6.63%, 02/15/2025 (e)

    1,053  
  

Videotron Ltd.,

 
  2,315     

5.13%, 04/15/2027 (e)

    2,269  
  6,818     

5.38%, 06/15/2024 (e)

    7,005  
    

 

 

 
       203,942  
    

 

 

 
  

Cayman Islands — 0.0% (g)

  1,025     

Telford Offshore Ltd., Series B, 13.00% (PIK), 02/12/2024 (v) (bb)

    769  
    

 

 

 
  

Chile — 0.1%

 

  2,450     

Empresa Electrica Angamos SA,

 
  

Reg. S, 4.88%, 05/25/2029

    2,373  
  3,850     

VTR Finance BV,

 
  

Reg. S, 6.88%, 01/15/2024

    3,966  
    

 

 

 
       6,339  
    

 

 

 
  

Colombia — 0.1%

 

  

Ecopetrol SA,

 
  4,350     

5.38%, 06/26/2026

    4,480  
  3,162     

7.38%, 09/18/2043

    3,619  
    

 

 

 
       8,099  
    

 

 

 
  

Croatia — 0.0% (g)

  1,340     

Hrvatska Elektroprivreda, 5.88%, 10/23/2022 (e)

    1,427  
    

 

 

 
  

Finland — 0.0% (g)

  

Nokia OYJ,

 
  335     

3.38%, 06/12/2022

    323  
  925     

4.38%, 06/12/2027

    858  
  1,452     

6.63%, 05/15/2039

    1,514  
    

 

 

 
       2,695  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

France — 0.6%

 

  

Altice France SA,

 
  18,441     

6.00%, 05/15/2022 (e)

    18,232  
  3,730     

6.25%, 05/15/2024 (e)

    3,553  
  3,201     

7.38%, 05/01/2026 (e)

    3,105  
  

Credit Agricole SA,

 
  10,535     

(USD Swap Semi 5 Year + 4.70%), 6.63%, 09/23/2019 (e) (x) (y) (aa)

    10,787  
  6,835     

(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (e) (x) (y) (aa)

    7,766  
  

Societe Generale SA,

 
  9,980     

(USD Swap Semi 5 Year + 3.93%), 6.75%, 04/06/2028 (e) (x) (y) (aa)

    9,905  
  12,990     

(USD Swap Semi 5 Year + 6.24%), 7.38%, 09/13/2021 (e) (x) (y) (aa)

    13,769  
  4,730     

(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 09/29/2025 (e) (x) (y) (aa)

    5,239  
    

 

 

 
       72,356  
    

 

 

 
  

Germany — 0.1%

 

  2     

Fresenius Medical Care US Finance II, Inc., 5.88%, 01/31/2022 (e)

    2  
  810     

Fresenius Medical Care US Finance, Inc., 5.75%, 02/15/2021 (e)

    853  
  4,015     

IHO Verwaltungs GmbH, 4.50% (cash), 09/15/2023 (e) (v)

    3,945  
  3,388     

Unitymedia GmbH, 6.13%, 01/15/2025 (e)

    3,561  
  2,771     

ZF North America Capital, Inc., 4.50%, 04/29/2022 (e)

    2,828  
    

 

 

 
       11,189  
    

 

 

 
  

Ghana — 0.0% (g)

  4,010     

Tullow Oil plc, 7.00%, 03/01/2025 (e)

    4,065  
    

 

 

 
  

Guatemala — 0.0% (g)

  3,420     

Comunicaciones Celulares SA,

 
  

Reg. S, 6.88%, 02/06/2024

    3,553  
  1,847     

Energuate Trust, Reg. S, 5.88%, 05/03/2027

    1,812  
    

 

 

 
       5,365  
    

 

 

 
  

Hungary — 0.0% (g)

  2,420     

MFB Magyar Fejlesztesi Bank Zrt., 6.25%, 10/21/2020 (e)

    2,574  
  2,250     

MOL Group Finance SA, Reg.
S, 6.25%, 09/26/2019

    2,337  
    

 

 

 
       4,911  
    

 

 

 
  

India — 0.0% (g)

  1,748     

Axis Bank Ltd., Reg. S, 3.25%, 05/21/2020

    1,729  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         75  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

India — continued

 
  2,830     

Reliance Holding USA, Inc.,

 
  

Reg. S, 5.40%, 02/14/2022

    2,954  
    

 

 

 
       4,683  
    

 

 

 
  

Indonesia — 0.2%

 

  

Minejesa Capital BV,

 
  4,134     

4.63%, 08/10/2030 (e)

    3,933  
  

Pertamina Persero PT,

 
  4,900     

Reg. S, 4.30%, 05/20/2023

    4,902  
  4,540     

Reg. S, 5.25%, 05/23/2021

    4,710  
  5,650     

Reg. S, 6.00%, 05/03/2042

    5,904  
  4,590     

Reg. S, 6.45%, 05/30/2044

    5,066  
  1,500     

Reg. S, 6.50%, 05/27/2041

    1,655  
    

 

 

 
       26,170  
    

 

 

 
  

Ireland — 0.3%

 

  7,730     

AerCap Global Aviation Trust, (ICE LIBOR USD 3 Month + 4.30%), 6.50%, 06/15/2045 (e) (aa)

    8,194  
  

Ardagh Packaging Finance plc,

 
  2,000     

4.63%, 05/15/2023 (e)

    2,002  
  8,060     

6.00%, 02/15/2025 (e)

    8,151  
  6,675     

7.25%, 05/15/2024 (e)

    7,059  
  1,226     

Avolon Holdings Funding Ltd., 5.50%, 01/15/2023 (e)

    1,223  
  608     

Fly Leasing Ltd., 5.25%, 10/15/2024

    588  
  1,080     

James Hardie International Finance DAC, 4.75%, 01/15/2025 (e)

    1,050  
  

Park Aerospace Holdings Ltd.,

 
  1,224     

4.50%, 03/15/2023 (e)

    1,172  
  1,402     

5.25%, 08/15/2022 (e)

    1,393  
  3,512     

5.50%, 02/15/2024 (e)

    3,411  
    

 

 

 
       34,243  
    

 

 

 
  

Israel — 0.0% (g)

  2,310     

Teva Pharmaceutical Finance Netherlands III BV, 6.75%, 03/01/2028 (e)

    2,279  
    

 

 

 
  

Italy — 0.2%

 

  8,600     

Enel SpA, (USD Swap Semi 5 Year + 5.88%), 8.75%, 09/24/2073 (e) (aa)

    10,170  
  

Telecom Italia Capital SA,

 
  1,985     

6.00%, 09/30/2034

    2,055  
  3,457     

6.38%, 11/15/2033

    3,757  
  810     

7.20%, 07/18/2036

    929  
  388     

7.72%, 06/04/2038

    468  
  6,990     

Wind Tre SpA, 5.00%, 01/20/2026 (e)

    5,867  
    

 

 

 
       23,246  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

Jamaica — 0.0% (g)

  4,548     

Digicel Group Ltd.,

 
  

Reg. S, 7.13%, 04/01/2022

    3,707  
    

 

 

 
  

Japan — 0.0% (g)

  2,049     

SoftBank Group Corp., 4.50%, 04/15/2020 (e)

    2,103  
    

 

 

 
  

Kazakhstan — 0.3%

 

  4,045     

Kazakhstan Temir Zholy Finance BV, Reg. S, 6.95%, 07/10/2042

    4,425  
  3,276     

Kazakhstan Temir Zholy National Co. JSC, 4.85%, 11/17/2027 (e)

    3,251  
  

KazMunayGas National Co. JSC,

 
  1,800     

4.75%, 04/24/2025 (e)

    1,796  
  2,250     

5.38%, 04/24/2030 (e)

    2,244  
  2,450     

Reg. S, 3.88%, 04/19/2022

    2,420  
  1,750     

Reg. S, 4.40%, 04/30/2023

    1,739  
  6,348     

Reg. S, 6.38%, 04/09/2021

    6,792  
  1,100     

Reg. S, 9.13%, 07/02/2018

    1,108  
  7,250     

KazMunayGas National Co. PJSC, Reg. S, 4.75%, 04/19/2027

    7,114  
  2,350     

Tengizchevroil Finance Co. International Ltd., Reg. S, 4.00%, 08/15/2026

    2,215  
    

 

 

 
       33,104  
    

 

 

 
  

Luxembourg — 0.8%

 

  

Altice Financing SA,

 
  7,767     

6.63%, 02/15/2023 (e)

    7,767  
  6,985     

7.50%, 05/15/2026 (e)

    6,863  
  

Altice Luxembourg SA,

 
  1,865     

7.63%, 02/15/2025 (e)

    1,681  
  14,098     

7.75%, 05/15/2022 (e)

    13,463  
  

ArcelorMittal,

 
  508     

5.75%, 03/01/2021

    532  
  2,998     

6.13%, 06/01/2025

    3,245  
  1,508     

6.50%, 02/25/2022

    1,625  
  927     

7.00%, 03/01/2041

    1,066  
  2,770     

7.25%, 10/15/2039

    3,283  
  9,470     

INEOS Group Holdings SA, 5.63%, 08/01/2024 (e)

    9,564  
  946     

Intelsat Connect Finance SA, 12.50%, 04/01/2022 (e)

    828  
  

Intelsat Jackson Holdings SA,

 
  7,984     

5.50%, 08/01/2023

    6,697  
  25,762     

7.25%, 10/15/2020

    25,150  
  11,120     

7.50%, 04/01/2021

    10,522  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

Luxembourg — continued

 

  5,390     

8.00%, 02/15/2024 (e)

    5,687  
  1,585     

9.75%, 07/15/2025 (e)

    1,553  
    

 

 

 
       99,526  
    

 

 

 
  

Mexico — 0.6%

 

  

Alfa SAB de CV,

 
  3,262     

6.88%, 03/25/2044 (e)

    3,325  
  2,700     

Reg. S, 5.25%, 03/25/2024

    2,764  
  600     

Banco Nacional de Comercio Exterior SNC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.80%, 08/11/2026 (e) (aa)

    585  
  2,600     

BBVA Bancomer SA, Reg. S, 6.75%, 09/30/2022

    2,818  
  995     

CEMEX Finance LLC, 6.00%, 04/01/2024 (e)

    1,023  
  

Cemex SAB de CV,

 
  3,400     

5.70%, 01/11/2025 (e)

    3,438  
  8,730     

6.13%, 05/05/2025 (e)

    9,036  
  6,575     

7.75%, 04/16/2026 (e)

    7,209  
  3,500     

Grupo KUO SAB de CV,

 
  

5.75%, 07/07/2027 (e)

    3,404  
  269     

Mexico City Airport Trust, 5.50%, 07/31/2047 (e)

    239  
  

Petroleos Mexicanos,

 
  2,620     

5.35%, 02/12/2028 (e)

    2,494  
  8,350     

5.38%, 03/13/2022

    8,630  
  5,499     

5.63%, 01/23/2046

    4,645  
  500     

6.35%, 02/12/2048 (e)

    459  
  5,650     

6.38%, 02/04/2021

    5,950  
  1,500     

6.38%, 01/23/2045

    1,390  
  4,890     

6.50%, 03/13/2027

    5,064  
  6,350     

6.63%, 06/15/2035

    6,277  
  4,540     

6.75%, 09/21/2047

    4,372  
    

 

 

 
       73,122  
    

 

 

 
  

Morocco — 0.1%

 

  

OCP SA,

 
  4,030     

Reg. S, 5.63%, 04/25/2024

    4,141  
  2,971     

Reg. S, 6.88%, 04/25/2044

    3,201  
    

 

 

 
       7,342  
    

 

 

 
  

Netherlands — 0.3%

 

  

Constellium NV,

 
  505     

5.75%, 05/15/2024 (e)

    496  
  875     

5.88%, 02/15/2026 (e)

    862  
  2,540     

6.63%, 03/01/2025 (e)

    2,575  
  2,500     

GTH Finance BV, Reg. S, 7.25%, 04/26/2023

    2,628  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

Netherlands — continued

 
  5,458     

ING Groep NV, Reg. S, (USD Swap Semi 5 Year + 5.12%), 6.87%, 04/16/2022 (x) (y) (aa)

    5,760  
  

NXP BV,

 
  1,170     

4.13%, 06/01/2021 (e)

    1,173  
  2,665     

4.63%, 06/15/2022 (e)

    2,685  
  2,780     

4.63%, 06/01/2023 (e)

    2,798  
  840     

UPC Holding BV, 5.50%, 01/15/2028 (e)

    783  
  9,420     

UPCB Finance IV Ltd., 5.38%, 01/15/2025 (e)

    9,208  
  2,190     

Ziggo Bond Finance BV, 5.88%, 01/15/2025 (e)

    2,070  
  2,594     

Ziggo Secured Finance BV, 5.50%, 01/15/2027 (e)

    2,445  
    

 

 

 
       33,483  
    

 

 

 
  

Norway — 0.0% (g)

  1,214     

Aker BP ASA, 5.88%, 03/31/2025 (e)

    1,260  
    

 

 

 
  

Peru — 0.1%

 

  1,800     

BBVA Banco Continental SA, Reg. S, 5.00%, 08/26/2022

    1,874  
  1,124     

Consorcio Transmantaro SA, Reg. S, 4.38%, 05/07/2023

    1,121  
  2,850     

Nexa Resources SA, Reg. S, 5.38%, 05/04/2027

    2,854  
  3,100     

Petroleos del Peru SA, 5.63%, 06/19/2047 (e)

    3,015  
  3,180     

Southern Copper Corp.,

 
  

5.88%, 04/23/2045

    3,554  
    

 

 

 
       12,418  
    

 

 

 
  

Qatar — 0.0% (g)

  

ABQ Finance Ltd.,

 
  2,570     

Reg. S, 3.50%, 02/22/2022

    2,477  
  1,550     

Reg. S, 3.63%, 04/13/2021

    1,525  
  927     

Ras Laffan Liquefied Natural Gas Co. Ltd. II, Reg. S, 5.30%, 09/30/2020

    945  
    

 

 

 
       4,947  
    

 

 

 
  

Russia — 0.0% (g)

  1,100     

Gazprom OAO, Reg. S, 9.25%, 04/23/2019

    1,151  
  900     

Novolipetsk Steel, Reg. S, 4.50%, 06/15/2023

    874  
  550     

Russian Agricultural Bank OJSC Via RSHB Capital SA, Reg. S, 7.75%, 05/29/2018

    551  
  2,899     

VTB Bank OJSC Via VTB Capital SA, Reg. S, 6.95%, 10/17/2022

    2,979  
    

 

 

 
       5,555  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         77  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

South Korea — 0.1%

 

  2,350     

Heungkuk Life Insurance Co. Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/09/2047 (aa)

    2,192  
  3,805     

MagnaChip Semiconductor Corp., 6.63%, 07/15/2021

    3,662  
    

 

 

 
       5,854  
    

 

 

 
  

Spain — 0.1%

 

  

Banco Bilbao Vizcaya Argentaria SA,

 
  6,000     

(USD Swap Semi 5 Year + 3.87%),
6.13%, 11/16/2027 (x) (y) (aa)

    5,799  
  EUR 1,000     

Reg. S, (EUR Swap Annual 5 Year + 6.60%), 6.75%, 02/18/2020 (x) (y) (aa)

    1,303  
  EUR 1,800     

Reg. S, (EUR Swap Annual 5 Year + 6.16%), 7.00%, 02/19/2019 (x) (y) (aa)

    2,260  
  2,000     

Reg. S, (USD Swap Semi 5 Year + 8.26%), 9.00%, 05/09/2018 (x) (y) (aa)

    2,002  
    

 

 

 
       11,364  
    

 

 

 
  

Sweden — 0.1%

 

  5,000     

Skandinaviska Enskilda Banken AB, Reg. S, (USD Swap Semi 5 Year + 3.85%),
5.75%, 05/13/2020 (x) (y) (aa)

    5,050  
  5,000     

Svenska Handelsbanken AB, Reg. S, (USD Swap Semi 5 Year + 3.34%), 5.25%, 03/01/2021 (x) (y) (aa)

    5,000  
  5,000     

Swedbank AB, Reg. S, (USD Swap Semi 5 Year + 3.77%), 5.50%, 03/17/2020 (x) (y) (aa)

    5,044  
    

 

 

 
       15,094  
    

 

 

 
  

Switzerland — 0.3%

 

  

Credit Suisse Group AG,

 
  8,385     

(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (e) (x) (y) (aa)

    8,587  
  4,646     

(USD Swap Semi 5 Year + 4.60%), 7.50%, 12/11/2023 (e) (x) (y) (aa)

    5,035  
  

UBS Group AG,

 
  5,215     

Reg. S, (USD ICE Swap Rate 5 Year + 5.50%), 6.87%, 03/22/2021 (x) (y) (aa)

    5,476  
  5,000     

Reg. S, (USD Swap Semi 5 Year + 4.59%), 6.87%, 08/07/2025 (x) (y) (aa)

    5,263  
  5,000     

Reg. S, (USD Swap Semi 5 Year + 4.87%), 7.00%, 02/19/2025 (x) (y) (aa)

    5,349  
  2,000     

Reg. S, (USD Swap Semi 5 Year + 5.46%), 7.13%, 02/19/2020 (x) (y) (aa)

    2,081  
    

 

 

 
       31,791  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Trinidad and Tobago — 0.0% (g)

  1,965     

Petroleum Co. of Trinidad & Tobago Ltd.,

 
  

Reg. S, 9.75%, 08/14/2019

    2,068  
    

 

 

 
  

Tunisia — 0.0% (g)

  1,750     

Republic of Banque Centrale de Tunisie, Reg. S, 5.75%, 01/30/2025

    1,619  
    

 

 

 
  

Turkey — 0.1%

 

  3,500     

KOC Holding A/S, Reg. S, 5.25%, 03/15/2023

    3,517  
  2,350     

QNB Finansbank A/S, Reg. S, 4.88%, 05/19/2022

    2,247  
  

Turkiye Is Bankasi,

 
  500     

Reg. S, 5.00%, 04/30/2020

    497  
  1,750     

Reg. S, 6.00%, 10/24/2022

    1,704  
  

Turkiye Is Bankasi A/S,

 
  2,300     

Reg. S, 5.00%, 04/30/2020

    2,285  
  1,800     

Reg. S, 6.00%, 10/24/2022

    1,753  
  3,050     

Turkiye Sise ve Cam Fabrikalari A/S, Reg. S, 4.25%, 05/09/2020

    3,039  
  1,700     

Turkiye Vakiflar Bankasi TAO, Reg. S, 6.00%, 11/01/2022

    1,645  
    

 

 

 
       16,687  
    

 

 

 
  

United Arab Emirates — 0.0% (g)

  

DAE Funding LLC,

 
  1,205     

4.50%, 08/01/2022 (e)

    1,156  
  1,284     

5.00%, 08/01/2024 (e)

    1,234  
  3,145     

Shelf Drilling Holdings Ltd., 8.25%, 02/15/2025 (e)

    3,192  
    

 

 

 
       5,582  
    

 

 

 
  

United Kingdom — 1.0%

 

  3,075     

Afren plc, Reg. S, 6.63%, 12/09/2020 (d)

    3  
  3,560     

Ashtead Capital, Inc., 5.63%, 10/01/2024 (e)

    3,667  
  

Barclays plc,

 
  588     

4.38%, 09/11/2024

    574  
  1,277     

4.84%, 05/09/2028

    1,239  
  2,555     

5.20%, 05/12/2026

    2,554  
  GBP 6,299     

Reg. S, (GBP Swap 5 Year + 6.46%), 7.25%, 03/15/2023 (x) (y) (aa)

    9,387  
  5,397     

Reg. S, (USD Swap Semi 5 Year + 6.77%), 7.88%, 03/15/2022 (x) (y) (aa)

    5,757  
  8,944     

Fiat Chrysler Automobiles NV, 5.25%, 04/15/2023

    9,291  
  

HSBC Holdings plc,

 
  5,725     

(USD ICE Swap Rate 5 Year + 3.45%), 6.25%, 03/23/2023 (x) (y) (aa)

    5,818  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United Kingdom — continued

 
  4,840     

(USD ICE Swap Rate 5 Year + 3.71%), 6.38%, 09/17/2024 (x) (y) (aa)

    4,954  
  6,000     

(USD ICE Swap Rate 5 Year + 4.37%), 6.38%, 03/30/2025 (x) (y) (aa)

    6,180  
  8,180     

(USD ICE Swap Rate 5 Year + 3.61%), 6.50%, 03/23/2028 (x) (y) (aa)

    8,313  
  6,852     

(USD ICE Swap Rate 5 Year + 5.51%), 6.87%, 06/01/2021 (x) (y) (aa)

    7,263  
  1,345     

Inmarsat Finance plc, 6.50%, 10/01/2024 (e)

    1,318  
  2,140     

Jaguar Land Rover Automotive plc, 4.50%, 10/01/2027 (e)

    1,926  
  

KCA Deutag UK Finance plc,

 
  2,208     

7.25%, 05/15/2021 (e)

    2,147  
  397     

9.63%, 04/01/2023 (e)

    409  
  2,560     

9.88%, 04/01/2022 (e)

    2,691  
  12,498     

Lloyds Banking Group plc, (USD Swap Semi 5 Year + 4.76%), 7.50%, 06/27/2024 (x) (y) (aa)

    13,485  
  GBP   3,809     

Nationwide Building Society, Reg. S, (GBP Swap 5 Year + 4.88%), 6.88%, 06/20/2019 (x) (y) (aa)

    5,471  
  

Noble Holding International Ltd.,

 
  169     

5.25%, 03/15/2042

    112  
  1,121     

6.20%, 08/01/2040

    790  
  1,314     

7.75%, 01/15/2024

    1,232  
  1,881     

7.88%, 02/01/2026 (e)

    1,895  
  164     

8.95%, 04/01/2045

    141  
  

Royal Bank of Scotland Group plc,

 
  3,900     

5.13%, 05/28/2024

    3,959  
  1,194     

6.00%, 12/19/2023

    1,268  
  14,167     

6.13%, 12/15/2022

    15,017  
  5,487     

TI Group Automotive Systems LLC, 8.75%, 07/15/2023 (e)

    5,761  
  2,548     

Virgin Media Finance plc, 6.38%, 04/15/2023 (e)

    2,567  
  

Virgin Media Secured Finance plc,

 
  975     

5.25%, 01/15/2026 (e)

    929  
  1,300     

5.50%, 01/15/2025 (e)

    1,264  
  4,060     

5.50%, 08/15/2026 (e)

    3,908  
    

 

 

 
       131,290  
    

 

 

 
  

United States — 27.4%

 

  

Acadia Healthcare Co., Inc.,

 
  170     

5.13%, 07/01/2022

    170  
  700     

5.63%, 02/15/2023

    707  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 
  

United States — continued

 

  528     

6.13%, 03/15/2021

    535  
  3,004     

6.50%, 03/01/2024

    3,109  
  4,980     

ACCO Brands Corp., 5.25%, 12/15/2024 (e)

    4,980  
  2,229     

ACE Cash Express, Inc., 12.00%, 12/15/2022 (e)

    2,474  
  3,420     

ACI Worldwide, Inc., 6.38%, 08/15/2020 (e)

    3,458  
  4,300     

Adient Global Holdings Ltd., 4.88%, 08/15/2026 (e)

    4,021  
  

ADT Corp. (The),

 
  2,335     

3.50%, 07/15/2022

    2,182  
  9,735     

4.13%, 06/15/2023

    9,126  
  

AECOM,

 
  2,414     

5.13%, 03/15/2027

    2,320  
  8,422     

5.88%, 10/15/2024

    8,770  
  

AES Corp.,

 
  2,770     

4.00%, 03/15/2021

    2,785  
  1,800     

5.50%, 04/15/2025

    1,840  
  1,500     

6.00%, 05/15/2026

    1,568  
  3,731     

Ahern Rentals, Inc., 7.38%, 05/15/2023 (e)

    3,600  
  4,805     

Air Medical Group Holdings, Inc., 6.38%, 05/15/2023 (e)

    4,601  
  

AK Steel Corp.,

 
  1,878     

7.00%, 03/15/2027

    1,822  
  1,159     

7.50%, 07/15/2023

    1,217  
  

Albertsons Cos. LLC,

 
  3,284     

5.75%, 03/15/2025

    2,861  
  13,900     

6.63%, 06/15/2024

    12,962  
  

Alcoa Nederland Holding BV,

 
  8,006     

6.75%, 09/30/2024 (e)

    8,587  
  900     

7.00%, 09/30/2026 (e)

    981  
  

Aleris International, Inc.,

 
  1,035     

7.88%, 11/01/2020

    1,019  
  1,505     

9.50%, 04/01/2021 (e)

    1,569  
  

Alliance Data Systems Corp.,

 
  3,639     

5.38%, 08/01/2022 (e)

    3,657  
  1,505     

5.88%, 11/01/2021 (e)

    1,532  
  

Allison Transmission, Inc.,

 
  4,349     

4.75%, 10/01/2027 (e)

    4,094  
  3,135     

5.00%, 10/01/2024 (e)

    3,079  
  19,105     

Allstate Corp. (The), Series B, (ICE LIBOR USD 3 Month + 2.94%), 5.75%, 08/15/2053 (aa)

    19,726  
  

Ally Financial, Inc.,

 
  9,918     

4.13%, 02/13/2022

    9,856  
  17,476     

4.63%, 05/19/2022

    17,585  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         79  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  6,190     

4.63%, 03/30/2025

    6,136  
  2,855     

5.75%, 11/20/2025

    2,944  
  3,175     

8.00%, 11/01/2031

    3,859  
  1,740     

Alta Mesa Holdings LP, 7.88%, 12/15/2024

    1,801  
  

Altice US Finance I Corp.,

 
  3,800     

5.38%, 07/15/2023 (e)

    3,805  
  3,893     

5.50%, 05/15/2026 (e)

    3,774  
  

AMC Entertainment Holdings, Inc.,

 
  6,010     

5.75%, 06/15/2025

    5,829  
  1,190     

5.88%, 02/15/2022

    1,205  
  1,375     

5.88%, 11/15/2026

    1,339  
  1,079     

6.13%, 05/15/2027

    1,044  
  

AMC Networks, Inc.,

 
  2,100     

4.75%, 12/15/2022

    2,111  
  1,011     

4.75%, 08/01/2025

    955  
  7,665     

5.00%, 04/01/2024

    7,493  
  

American Axle & Manufacturing, Inc.,

 
  6,537     

6.25%, 04/01/2025

    6,535  
  3,314     

6.25%, 03/15/2026

    3,281  
  7,091     

6.50%, 04/01/2027

    7,053  
  1,900     

6.63%, 10/15/2022

    1,964  
  3,450     

7.75%, 11/15/2019

    3,640  
  13,270     

American Express Co., Series C, (ICE LIBOR USD 3 Month + 3.29%), 4.90%, 03/15/2020 (x) (y) (aa)

    13,303  
  9,300     

American International Group, Inc., Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 04/01/2048 (aa)

    9,347  
  4,615     

American Woodmark Corp., 4.88%, 03/15/2026 (e)

    4,453  
  

AmeriGas Partners LP,

 
  5,753     

5.50%, 05/20/2025

    5,652  
  1,309     

5.75%, 05/20/2027

    1,260  
  2,599     

5.88%, 08/20/2026

    2,580  
  

Amkor Technology, Inc.,

 
  8,949     

6.38%, 10/01/2022

    9,184  
  2,278     

6.63%, 06/01/2021

    2,284  
  1,817     

AMN Healthcare, Inc., 5.13%, 10/01/2024 (e)

    1,797  
  

Andeavor Logistics LP,

 
  894     

6.25%, 10/15/2022

    933  
  1,540     

6.38%, 05/01/2024

    1,640  
  3,646     

Anixter, Inc., 5.50%, 03/01/2023

    3,783  
  2,380     

Antero Midstream Partners LP, 5.38%, 09/15/2024

    2,368  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Antero Resources Corp.,

 
  5,432     

5.13%, 12/01/2022

    5,459  
  4,205     

5.63%, 06/01/2023

    4,295  
  281     

Apergy Corp., 6.38%, 05/01/2026 (e)

    285  
  6,003     

Aramark Services, Inc., 5.00%, 02/01/2028 (e)

    5,840  
  930     

Archrock Partners LP, 6.00%, 10/01/2022

    930  
  

Arconic, Inc.,

 
  9,295     

5.13%, 10/01/2024

    9,403  
  1,582     

5.87%, 02/23/2022

    1,647  
  5,472     

Ashland LLC, 4.75%, 08/15/2022

    5,520  
  2,385     

Avantor, Inc., 6.00%, 10/01/2024 (e)

    2,397  
  5,950     

Avaya, Inc., 7.00%, 04/01/2019 (d) (bb)

    1  
  

Avis Budget Car Rental LLC,

 
  1,195     

5.25%, 03/15/2025 (e)

    1,150  
  4,620     

5.50%, 04/01/2023

    4,574  
  7,460     

6.38%, 04/01/2024 (e)

    7,553  
  1,855     

Axalta Coating Systems LLC, 4.88%, 08/15/2024 (e)

    1,869  
  1,764     

B&G Foods, Inc., 5.25%, 04/01/2025

    1,614  
  

Ball Corp.,

 
  630     

4.88%, 03/15/2026

    628  
  1,962     

5.25%, 07/01/2025

    2,021  
  

Bank of America Corp.,

 
  3,946     

Series K, (ICE LIBOR USD 3 Month + 3.63%), 5.99%, 07/30/2018 (x) (y) (aa)

    3,966  
  18,095     

Series V, (ICE LIBOR USD 3 Month + 3.39%), 5.13%, 06/17/2019 (x) (y) (aa)

    18,323  
  11,220     

Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 09/05/2024 (x) (y) (aa)

    11,697  
  13,130     

Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (x) (y) (aa)

    13,918  
  11,168     

Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 03/17/2025 (x) (y) (aa)

    11,573  
  15,695     

Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 03/15/2028 (x) (y) (aa)

    15,675  
  

Bank of New York Mellon Corp. (The),

 
  9,636     

Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 06/20/2023 (x) (y) (aa)

    9,274  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  9,200     

Series E, (ICE LIBOR USD 3 Month + 3.42%), 4.95%, 06/20/2020 (x) (y) (aa)

    9,384  
  10,966     

Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 09/20/2026 (x) (y) (aa)

    10,555  
  

Berry Global, Inc.,

 
  1,285     

4.50%, 02/15/2026 (e)

    1,227  
  1,875     

5.13%, 07/15/2023

    1,887  
  500     

6.00%, 10/15/2022

    521  
  835     

Big River Steel LLC, 7.25%, 09/01/2025 (e)

    871  
  2,138     

Blue Cube Spinco, Inc., 10.00%, 10/15/2025

    2,501  
  8,565     

Blue Racer Midstream LLC, 6.13%, 11/15/2022 (e)

    8,779  
  495     

Boise Cascade Co., 5.63%, 09/01/2024 (e)

    501  
  1,723     

Booz Allen Hamilton, Inc., 5.13%, 05/01/2025 (e)

    1,701  
  

Boyd Gaming Corp.,

 
  2,905     

6.38%, 04/01/2026

    3,041  
  6,100     

6.88%, 05/15/2023

    6,405  
  2,846     

Boyne USA, Inc., 7.25%, 05/01/2025 (e)

    2,939  
  1,840     

Brink’s Co. (The), 4.63%, 10/15/2027 (e)

    1,693  
  

Bristow Group, Inc.,

 
  1,206     

6.25%, 10/15/2022

    995  
  1,214     

8.75%, 03/01/2023 (e)

    1,253  
  9,085     

Buckeye Partners LP, (ICE LIBOR USD 3 Month + 4.02%), 6.38%, 01/22/2078 (aa)

    8,836  
  5,215     

BWAY Holding Co., 5.50%, 04/15/2024 (e)

    5,250  
  

Cablevision Systems Corp.,

 
  1,050     

5.88%, 09/15/2022

    1,034  
  5,217     

8.00%, 04/15/2020

    5,530  
  1,259     

Caleres, Inc., 6.25%, 08/15/2023

    1,303  
  1,534     

California Resources Corp., 8.00%, 12/15/2022 (e)

    1,319  
  

Calpine Corp.,

 
  4,605     

5.25%, 06/01/2026 (e)

    4,407  
  1,500     

5.50%, 02/01/2024

    1,376  
  1,140     

5.75%, 01/15/2025

    1,043  
  2,000     

5.88%, 01/15/2024 (e)

    2,015  
  2,868     

Camelot Finance SA, 7.88%, 10/15/2024 (e)

    2,990  
  8,570     

Capital One Financial Corp., Series E, (ICE LIBOR USD 3 Month + 3.80%),
5.55%, 06/01/2020 (x) (y) (aa)

    8,827  
  4,412     

Carrizo Oil & Gas, Inc., 6.25%, 04/15/2023

    4,531  
  676     

Catalent Pharma Solutions, Inc., 4.88%, 01/15/2026 (e)

    658  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  1,357     

CB Escrow Corp., 8.00%, 10/15/2025 (e)

    1,289  
  1,340     

CBS Radio, Inc., 7.25%, 11/01/2024 (e)

    1,360  
  662     

CCM Merger, Inc., 6.00%, 03/15/2022 (e)

    674  
  

CCO Holdings LLC,

 
  9,663     

5.00%, 02/01/2028 (e)

    8,923  
  15,462     

5.13%, 05/01/2027 (e)

    14,487  
  3,185     

5.38%, 05/01/2025 (e)

    3,131  
  8,070     

5.50%, 05/01/2026 (e)

    7,858  
  1,005     

5.75%, 01/15/2024

    1,014  
  11,741     

5.75%, 02/15/2026 (e)

    11,653  
  30,222     

5.88%, 04/01/2024 (e)

    30,676  
  875     

CDK Global, Inc., 4.88%, 06/01/2027

    840  
  

CDW LLC,

 
  2,242     

5.00%, 09/01/2023

    2,287  
  4,835     

5.00%, 09/01/2025

    4,822  
  635     

5.50%, 12/01/2024

    659  
  665     

Cedar Fair LP, 5.38%, 06/01/2024

    673  
  

Centene Corp.,

 
  100     

4.75%, 05/15/2022

    101  
  2,850     

4.75%, 01/15/2025

    2,770  
  2,570     

5.63%, 02/15/2021

    2,646  
  3,455     

6.13%, 02/15/2024

    3,620  
  

Central Garden & Pet Co.,

 
  2,110     

5.13%, 02/01/2028

    1,999  
  3,150     

6.13%, 11/15/2023

    3,284  
  

CenturyLink, Inc.,

 
  780     

Series S, 6.45%, 06/15/2021

    797  
  7,856     

Series T, 5.80%, 03/15/2022

    7,817  
  7,294     

Series W, 6.75%, 12/01/2023

    7,239  
  606     

Series Y, 7.50%, 04/01/2024

    618  
  2,260     

Cequel Communications Holdings I LLC, 7.50%, 04/01/2028 (e)

    2,291  
  

CF Industries, Inc.,

 
  881     

4.50%, 12/01/2026 (e)

    881  
  3,310     

5.15%, 03/15/2034

    3,025  
  10,605     

Charles Schwab Corp. (The), Series F, (ICE LIBOR USD 3 Month + 2.58%),
5.00%, 12/01/2027 (x) (y) (aa)

    10,327  
  

Chemours Co. (The),

 
  4,450     

6.63%, 05/15/2023

    4,678  
  1,665     

7.00%, 05/15/2025

    1,792  
  

Cheniere Corpus Christi Holdings LLC,

 
  2,195     

5.13%, 06/30/2027

    2,140  
  7,060     

5.88%, 03/31/2025

    7,279  
  492     

7.00%, 06/30/2024

    537  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         81  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  1,153     

Cheniere Energy Partners LP, 5.25%, 10/01/2025 (e)

    1,127  
  

Chesapeake Energy Corp.,

 
  226     

5.75%, 03/15/2023

    208  
  4,342     

8.00%, 12/15/2022 (e)

    4,603  
  1,835     

8.00%, 01/15/2025 (e)

    1,779  
  7,153     

8.00%, 06/15/2027 (e)

    6,885  
  789     

(ICE LIBOR USD 3 Month + 3.25%), 5.60%, 04/15/2019 (aa)

    787  
  3,114     

Cincinnati Bell, Inc., 7.00%, 07/15/2024 (e)

    2,857  
  5,499     

Cinemark USA, Inc., 4.88%, 06/01/2023

    5,437  
  

CIT Group, Inc.,

 
  4,041     

5.00%, 08/15/2022

    4,132  
  1,225     

5.00%, 08/01/2023

    1,243  
  1,302     

5.25%, 03/07/2025

    1,330  
  680     

6.13%, 03/09/2028

    703  
  1,815     

CITGO Petroleum Corp., 6.25%, 08/15/2022 (e)

    1,815  
  

Citigroup, Inc.,

 
  14,725     

Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, 05/15/2023 (x) (y) (aa)

    14,523  
  10,670     

Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 05/15/2024 (x) (y) (aa)

    10,907  
  8,740     

Series N, (ICE LIBOR USD 3 Month + 4.09%), 5.80%, 11/15/2019 (x) (y) (aa)

    9,013  
  4,785     

Series O, (ICE LIBOR USD 3 Month + 4.06%), 5.87%, 03/27/2020 (x) (y) (aa)

    4,917  
  10,235     

(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 01/30/2023 (x) (y) (aa)

    10,477  
  11,785     

Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 05/15/2025 (x) (y) (aa)

    11,932  
  1,670     

Series R, (ICE LIBOR USD 3 Month + 4.48%), 6.13%, 11/15/2020 (x) (y) (aa)

    1,745  
  5,475     

Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 08/15/2026 (x) (y) (aa)

    5,687  
  

Claire’s Stores, Inc.,

 
  1,150     

6.13%, 03/15/2020 (d) (e)

    655  
  6,088     

9.00%, 03/15/2019 (d) (e)

    3,592  
  1,490     

Clean Harbors, Inc., 5.13%, 06/01/2021

    1,499  
  

Clear Channel Worldwide Holdings, Inc.,

 
  1,675     

Series A, 6.50%, 11/15/2022

    1,709  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  115     

Series A, 7.63%, 03/15/2020

    115  
  31,795     

Series B, 6.50%, 11/15/2022

    32,550  
  17,307     

Series B, 7.63%, 03/15/2020

    17,350  
  

Clearwater Paper Corp.,

 
  2,125     

4.50%, 02/01/2023

    1,992  
  900     

5.38%, 02/01/2025 (e)

    799  
  768     

Cleveland-Cliffs, Inc., 5.75%, 03/01/2025

    741  
  4,235     

CNG Holdings, Inc., 9.38%, 05/15/2020 (e)

    4,193  
  3,065     

CNO Financial Group, Inc., 5.25%, 05/30/2025

    3,088  
  667     

CNX Midstream Partners LP, 6.50%, 03/15/2026 (e)

    652  
  119     

Coeur Mining, Inc., 5.88%, 06/01/2024

    117  
  2,669     

Cogent Communications Finance, Inc., 5.63%, 04/15/2021 (e)

    2,682  
  5,075     

Cogent Communications Group, Inc., 5.38%, 03/01/2022 (e)

    5,196  
  

Commercial Metals Co.,

 
  952     

4.88%, 05/15/2023

    938  
  1,230     

5.38%, 07/15/2027

    1,199  
  

CommScope Technologies LLC,

 
  1,505     

5.00%, 03/15/2027 (e)

    1,441  
  10,882     

6.00%, 06/15/2025 (e)

    11,209  
  

CommScope, Inc.,

 
  2,355     

5.00%, 06/15/2021 (e)

    2,373  
  2,578     

5.50%, 06/15/2024 (e)

    2,623  
  

Community Health Systems, Inc.,

 
  2,435     

5.13%, 08/01/2021

    2,240  
  3,855     

6.25%, 03/31/2023

    3,506  
  3,017     

6.88%, 02/01/2022

    1,652  
  2,575     

7.13%, 07/15/2020

    2,047  
  

Continental Resources, Inc.,

 
  1,072     

3.80%, 06/01/2024

    1,045  
  3,350     

4.38%, 01/15/2028 (e)

    3,291  
  7,557     

4.50%, 04/15/2023

    7,651  
  1,740     

4.90%, 06/01/2044

    1,697  
  858     

5.00%, 09/15/2022

    871  
  4,090     

Cooper-Standard Automotive, Inc., 5.63%, 11/15/2026 (e)

    4,059  
  

CoreCivic, Inc.,

 
  4,230     

4.63%, 05/01/2023

    4,188  
  430     

5.00%, 10/15/2022

    434  
  873     

Cornerstone Chemical Co., 6.75%, 08/15/2024 (e)

    864  
  5,145     

Coty, Inc., 6.50%, 04/15/2026 (e)

    5,004  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Covanta Holding Corp.,

 
  240     

5.88%, 03/01/2024

    236  
  379     

5.88%, 07/01/2025

    369  
  2,075     

Covey Park Energy LLC,
7.50%, 05/15/2025 (e)

    2,085  
  

Crestwood Midstream Partners LP,

 
  2,091     

5.75%, 04/01/2025

    2,070  
  3,444     

6.25%, 04/01/2023

    3,509  
  

Crown Americas LLC,

 
  815     

4.25%, 09/30/2026

    754  
  1,281     

4.75%, 02/01/2026 (e)

    1,236  
  

CSC Holdings LLC,

 
  2,249     

5.25%, 06/01/2024

    2,114  
  1,600     

5.38%, 02/01/2028 (e)

    1,496  
  1,745     

5.50%, 04/15/2027 (e)

    1,675  
  1,400     

6.63%, 10/15/2025 (e)

    1,444  
  2,089     

6.75%, 11/15/2021

    2,198  
  657     

8.63%, 02/15/2019

    684  
  7,952     

10.13%, 01/15/2023 (e)

    8,817  
  1,747     

10.88%, 10/15/2025 (e)

    2,048  
  

CSI Compressco LP,

 
  1,341     

7.25%, 08/15/2022

    1,267  
  815     

7.50%, 04/01/2025 (e)

    819  
  640     

Cumberland Farms, Inc., 6.75%, 05/01/2025 (e)

    664  
  1,753     

CURO Financial Technologies Corp.,

 
  

12.00%, 03/01/2022 (e)

    1,922  
  6,818     

CVR Partners LP, 9.25%, 06/15/2023 (e)

    7,014  
  

CyrusOne LP,

 
  1,408     

5.00%, 03/15/2024

    1,412  
  1,239     

5.38%, 03/15/2027

    1,239  
  

Dana Financing Luxembourg SARL,

 
  1,375     

5.75%, 04/15/2025 (e)

    1,396  
  1,990     

6.50%, 06/01/2026 (e)

    2,064  
  

Dana, Inc.,

 
  1,250     

5.50%, 12/15/2024

    1,272  
  6,125     

6.00%, 09/15/2023

    6,339  
  

DaVita, Inc.,

 
  5,940     

5.00%, 05/01/2025

    5,629  
  3,502     

5.13%, 07/15/2024

    3,393  
  1,275     

5.75%, 08/15/2022

    1,306  
  

DCP Midstream Operating LP,

 
  4,028     

3.88%, 03/15/2023

    3,887  
  702     

4.95%, 04/01/2022

    712  
  1,825     

6.75%, 09/15/2037 (e)

    1,978  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  2,558     

Dean Foods Co., 6.50%, 03/15/2023 (e)

    2,452  
  3,653     

Delek Logistics Partners LP, 6.75%, 05/15/2025 (e)

    3,626  
  

Dell International LLC,

 
  7,581     

5.45%, 06/15/2023 (e)

    7,972  
  1,420     

5.88%, 06/15/2021 (e)

    1,461  
  5,931     

6.02%, 06/15/2026 (e)

    6,281  
  1,465     

7.13%, 06/15/2024 (e)

    1,560  
  5,710     

Delphi Technologies plc, 5.00%, 10/01/2025 (e)

    5,492  
  

Denbury Resources, Inc.,

 
  582     

9.00%, 05/15/2021 (e)

    608  
  2,114     

9.25%, 03/31/2022 (e)

    2,199  
  1,186     

Diamond Offshore Drilling, Inc., 7.88%, 08/15/2025

    1,217  
  

Diamondback Energy, Inc.,

 
  38     

4.75%, 11/01/2024

    38  
  640     

5.38%, 05/31/2025 (e)

    648  
  4,400     

Diebold Nixdorf, Inc., 8.50%, 04/15/2024

    4,565  
  11,644     

Discover Financial Services, Series C, (ICE LIBOR USD 3 Month + 3.08%),
5.50%, 10/30/2027 (x) (y) (aa)

    11,411  
  

DISH DBS Corp.,

 
  15,094     

5.00%, 03/15/2023

    13,019  
  10,821     

5.88%, 07/15/2022

    9,928  
  20,006     

5.88%, 11/15/2024

    17,105  
  9,887     

6.75%, 06/01/2021

    9,862  
  8,989     

7.75%, 07/01/2026

    8,152  
  6,585     

DJO Finance LLC, 8.13%, 06/15/2021 (e)

    6,593  
  2,774     

Dole Food Co., Inc., 7.25%, 06/15/2025 (e)

    2,795  
  2,748     

Dollar Tree, Inc., 5.75%, 03/01/2023

    2,867  
  17,485     

Dominion Energy, Inc., (ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/01/2054 (aa)

    18,477  
  3,364     

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 02/15/2023 (e)

    3,473  
  

Eldorado Resorts, Inc.,

 
  4,011     

6.00%, 04/01/2025

    3,976  
  560     

7.00%, 08/01/2023

    591  
  15,876     

Embarq Corp., 8.00%, 06/01/2036

    15,080  
  

EMC Corp.,

 
  1,129     

2.65%, 06/01/2020

    1,100  
  133     

3.38%, 06/01/2023

    124  
  1,825     

EMI Music Publishing Group North America Holdings, Inc., 7.63%, 06/15/2024 (e)

    1,975  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         83  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Encompass Health Corp.,

 
  3,470     

5.75%, 11/01/2024

    3,531  
  3,650     

5.75%, 09/15/2025

    3,732  
  

Endo Dac,

 
  930     

5.88%, 10/15/2024 (e)

    875  
  11,800     

6.00%, 07/15/2023 (e)

    8,585  
  1,770     

6.00%, 02/01/2025 (e)

    1,243  
  

Endo Finance LLC,

 
  3,282     

5.75%, 01/15/2022 (e)

    2,691  
  46     

7.25%, 01/15/2022 (e)

    39  
  6,565     

Energizer Holdings, Inc.,
5.50%, 06/15/2025 (e)

    6,516  
  

Energy Transfer Equity LP,

 
  1,558     

4.25%, 03/15/2023

    1,504  
  4,397     

5.88%, 01/15/2024

    4,490  
  

Energy Transfer Partners LP,

 
  13,370     

Series A, (ICE LIBOR USD 3 Month + 4.03%), 6.25%, 02/15/2023 (x) (y) (aa)

    12,739  
  9,235     

Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.62%, 02/15/2028 (x) (y) (aa)

    8,733  
  8,060     

EnLink Midstream Partners LP, Series C, (ICE LIBOR USD 3 Month + 4.11%),
6.00%, 12/15/2022 (x) (y) (aa)

    7,556  
  

Ensco plc,

 
  546     

4.50%, 10/01/2024

    444  
  2,778     

5.20%, 03/15/2025

    2,285  
  136     

5.75%, 10/01/2044

    94  
  739     

7.75%, 02/01/2026

    695  
  6,646     

Entegris, Inc., 4.63%, 02/10/2026 (e)

    6,413  
  

Enterprise Products Operating LLC,

 
  10,945     

Series D, (ICE LIBOR USD 3 Month + 2.99%), 4.88%, 08/16/2077 (aa)

    10,671  
  11,815     

Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 08/16/2077 (aa)

    11,390  
  

Envision Healthcare Corp.,

 
  3,316     

5.13%, 07/01/2022 (e)

    3,274  
  2,303     

5.63%, 07/15/2022

    2,309  
  1,650     

6.25%, 12/01/2024 (e)

    1,716  
  

EP Energy LLC,

 
  4,877     

8.00%, 11/29/2024 (e)

    5,048  
  5,640     

8.00%, 02/15/2025 (e)

    3,976  
  701     

9.38%, 05/01/2020

    666  
  5,965     

9.38%, 05/01/2024 (e)

    4,563  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Equinix, Inc.,

 
  3,098     

5.38%, 01/01/2022

    3,195  
  950     

5.38%, 04/01/2023

    976  
  3,911     

5.75%, 01/01/2025

    4,058  
  6,328     

5.88%, 01/15/2026

    6,549  
  6,032     

ESH Hospitality, Inc., 5.25%, 05/01/2025 (e)

    5,896  
  720     

EW Scripps Co. (The), 5.13%, 05/15/2025 (e)

    670  
  4,270     

Exela Intermediate LLC, 10.00%, 07/15/2023 (e)

    4,275  
  1,261     

Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/2025 (e)

    1,254  
  17,625     

Fifth Third Bancorp, (ICE LIBOR USD 3 Month + 3.03%), 5.10%, 06/30/2023 (x) (y) (aa)

    17,339  
  

First Data Corp.,

 
  4,520     

5.00%, 01/15/2024 (e)

    4,554  
  17,493     

5.38%, 08/15/2023 (e)

    17,839  
  22,483     

5.75%, 01/15/2024 (e)

    22,795  
  3,478     

7.00%, 12/01/2023 (e)

    3,639  
  542     

FirstCash, Inc., 5.38%, 06/01/2024 (e)

    550  
  681     

Flex Acquisition Co., Inc., 6.88%, 01/15/2025 (e)

    684  
  

Freeport-McMoRan, Inc.,

 
  1,530     

3.55%, 03/01/2022

    1,480  
  8,430     

3.88%, 03/15/2023

    8,082  
  1,714     

4.00%, 11/14/2021

    1,706  
  6,535     

4.55%, 11/14/2024

    6,306  
  375     

5.40%, 11/14/2034

    346  
  2,310     

5.45%, 03/15/2043

    2,102  
  

Frontier Communications Corp.,

 
  7,180     

6.88%, 01/15/2025

    4,398  
  4,030     

8.50%, 04/01/2026 (e)

    3,919  
  1,998     

10.50%, 09/15/2022

    1,756  
  11,938     

11.00%, 09/15/2025

    9,163  
  2,236     

FXI Holdings, Inc., 7.88%, 11/01/2024 (e)

    2,208  
  1,880     

Gartner, Inc., 5.13%, 04/01/2025 (e)

    1,884  
  2,452     

Gates Global LLC, 6.00%, 07/15/2022 (e)

    2,483  
  

GCI, Inc.,

 
  4,460     

6.75%, 06/01/2021

    4,505  
  3,390     

6.88%, 04/15/2025

    3,551  
  2,905     

GCP Applied Technologies, Inc., 5.50%, 04/15/2026 (e)

    2,890  
  5,695     

General Cable Corp., 5.75%, 10/01/2022

    5,847  
  44,203     

General Electric Co., Series D, (ICE LIBOR USD 3 Month + 3.33%), 5.00%, 01/21/2021 (x) (y) (aa)

    43,761  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
84       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  13,675     

General Motors Financial Co., Inc., Series A, (ICE LIBOR USD 3 Month + 3.60%),
5.75%, 09/30/2027 (x) (y) (aa)

    13,461  
  

Genesis Energy LP,

 
  1,553     

5.63%, 06/15/2024

    1,479  
  1,359     

6.00%, 05/15/2023

    1,328  
  175     

6.25%, 05/15/2026

    167  
  780     

6.75%, 08/01/2022

    792  
  3,640     

Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/2024 (e)

    4,022  
  

GenOn Energy, Inc.,

 
  975     

9.50%, 10/15/2018 (d)

    794  
  3,355     

9.88%, 10/15/2020 (d)

    2,743  
  

GEO Group, Inc. (The),

 
  8,165     

5.88%, 01/15/2022

    8,379  
  2,215     

6.00%, 04/15/2026

    2,183  
  

Global Partners LP,

 
  1,085     

6.25%, 07/15/2022

    1,085  
  1,995     

7.00%, 06/15/2023 (bb)

    2,015  
  2,370     

GLP Capital LP, 5.38%, 11/01/2023

    2,450  
  5,204     

Golden Nugget, Inc., 6.75%, 10/15/2024 (e)

    5,282  
  

Goldman Sachs Group, Inc. (The),

 
  13,070     

Series L, (ICE LIBOR USD 3 Month + 3.88%), 5.70%, 05/10/2019 (x) (y) (aa)

    13,364  
  14,640     

Series M, (ICE LIBOR USD 3 Month + 3.92%), 5.38%, 05/10/2020 (x) (y) (aa)

    14,987  
  12,090     

Series O, (ICE LIBOR USD 3 Month + 3.83%), 5.30%, 11/10/2026 (x) (y) (aa)

    11,969  
  22,110     

Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (x) (y) (aa)

    21,235  
  850     

Goodman Networks, Inc., 8.00%, 05/11/2022 (bb)

    595  
  

Goodyear Tire & Rubber Co. (The),

 
  5,526     

4.88%, 03/15/2027

    5,174  
  5,160     

5.00%, 05/31/2026

    4,915  
  

Gray Television, Inc.,

 
  2,285     

5.13%, 10/15/2024 (e)

    2,179  
  1,445     

5.88%, 07/15/2026 (e)

    1,391  
  1,735     

Great Lakes Dredge & Dock Corp., 8.00%, 05/15/2022

    1,770  
  1,310     

Group 1 Automotive, Inc., 5.25%, 12/15/2023 (e)

    1,294  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Gulfport Energy Corp.,

 
  5,563     

6.00%, 10/15/2024

    5,285  
  880     

6.38%, 05/15/2025

    844  
  488     

6.38%, 01/15/2026

    469  
  745     

6.63%, 05/01/2023

    749  
  1,858     

H&E Equipment Services, Inc., 5.63%, 09/01/2025

    1,867  
  2,865     

Halcon Resources Corp., 6.75%, 02/15/2025

    2,861  
  2,525     

Hanesbrands, Inc., 4.88%, 05/15/2026 (e)

    2,437  
  3,046     

Hardwoods Acquisition, Inc., 7.50%, 08/01/2021 (e)

    2,787  
  1,466     

Harland Clarke Holdings Corp., 8.38%, 08/15/2022 (e)

    1,499  
  3,847     

HCA Healthcare, Inc., 6.25%, 02/15/2021

    4,044  
  

HCA, Inc.,

 
  2,318     

3.75%, 03/15/2019

    2,324  
  1,410     

4.25%, 10/15/2019

    1,421  
  1,976     

5.00%, 03/15/2024

    1,998  
  1,145     

5.25%, 04/15/2025

    1,159  
  400     

5.25%, 06/15/2026

    402  
  41,781     

5.38%, 02/01/2025

    41,572  
  3,230     

5.50%, 06/15/2047

    3,052  
  4,959     

5.88%, 03/15/2022

    5,226  
  3,655     

5.88%, 05/01/2023

    3,810  
  13,470     

5.88%, 02/15/2026

    13,638  
  16,768     

7.50%, 02/15/2022

    18,445  
  1,620     

HD Supply, Inc., 5.75%, 04/15/2024 (e)

    1,701  
  2,986     

Hecla Mining Co., 6.88%, 05/01/2021

    3,023  
  

Herc Rentals, Inc.,

 
  3,088     

7.50%, 06/01/2022 (e)

    3,273  
  3,815     

7.75%, 06/01/2024 (e)

    4,116  
  

Hertz Corp. (The),

 
  12,095     

5.50%, 10/15/2024 (e)

    10,130  
  1,371     

6.25%, 10/15/2022

    1,288  
  870     

7.38%, 01/15/2021

    861  
  5,140     

7.63%, 06/01/2022 (e)

    5,230  
  1,315     

Hess Infrastructure Partners LP, 5.63%, 02/15/2026 (e)

    1,328  
  8,404     

Hexion, Inc., 6.63%, 04/15/2020

    7,889  
  3,634     

Hilcorp Energy I LP, 5.00%, 12/01/2024 (e)

    3,534  
  865     

Hillman Group, Inc. (The), 6.38%, 07/15/2022 (e)

    837  
  

Hill-Rom Holdings, Inc.,

 
  685     

5.00%, 02/15/2025 (e)

    680  
  6,428     

5.75%, 09/01/2023 (e)

    6,637  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         85  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Hilton Domestic Operating Co., Inc.,

 
  1,282     

4.25%, 09/01/2024

    1,231  
  4,955     

5.13%, 05/01/2026 (e)

    4,955  
  1,455     

Hilton Grand Vacations Borrower LLC, 6.13%, 12/01/2024

    1,539  
  

Hilton Worldwide Finance LLC,

 
  3,813     

4.63%, 04/01/2025

    3,698  
  1,834     

4.88%, 04/01/2027

    1,779  
  1,825     

Holly Energy Partners LP, 6.00%, 08/01/2024 (e)

    1,830  
  

Hologic, Inc.,

 
  6,471     

4.38%, 10/15/2025 (e)

    6,228  
  523     

4.63%, 02/01/2028 (e)

    500  
  1,550     

HRG Group, Inc., 7.75%, 01/15/2022

    1,597  
  

Hughes Satellite Systems Corp.,

 
  6,595     

5.25%, 08/01/2026

    6,447  
  810     

6.50%, 06/15/2019

    834  
  2,225     

6.63%, 08/01/2026

    2,208  
  4,315     

Huntington Bancshares, Inc., Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 04/15/2023 (x) (y) (aa)

    4,312  
  

Huntsman International LLC,

 
  560     

4.88%, 11/15/2020

    570  
  9,478     

5.13%, 11/15/2022

    9,832  
  

Icahn Enterprises LP,

 
  3,774     

5.88%, 02/01/2022

    3,807  
  1,705     

6.25%, 02/01/2022

    1,739  
  2,715     

6.38%, 12/15/2025

    2,725  
  800     

6.75%, 02/01/2024

    820  
  

iHeartCommunications, Inc.,

 
  2,116     

9.00%, 12/15/2019 (d)

    1,693  
  2,067     

9.00%, 03/01/2021 (d)

    1,648  
  

IHS Markit Ltd.,

 
  1,022     

4.00%, 03/01/2026 (e)

    979  
  900     

4.75%, 02/15/2025 (e)

    905  
  7,148     

ILFC E-Capital Trust I, (USD Constant Maturity 30 Year + 1.55%, 14.50% Cap), 4.64%, 12/21/2065 (e) (aa)

    6,880  
  2,205     

ILFC E-Capital Trust II, (US Treasury Yield Curve Rate T Note Constant Maturity 30 Year + 1.80%, 14.50% Cap), 4.89%, 12/21/2065 (e) (aa)

    2,122  
  8,769     

Infor Software Parent LLC, 7.13% (cash), 05/01/2021 (e) (v)

    8,835  
  

Infor US, Inc.,

 
  1,248     

5.75%, 08/15/2020 (e)

    1,271  
  17,265     

6.50%, 05/15/2022

    17,524  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  5,823     

Informatica LLC, 7.13%, 07/15/2023 (e)

    5,823  
  1,241     

Ingevity Corp., 4.50%, 02/01/2026 (e)

    1,196  
  

International Game Technology plc,

 
  1,875     

6.25%, 02/15/2022 (e)

    1,967  
  9,870     

6.50%, 02/15/2025 (e)

    10,524  
  4,020     

Interval Acquisition Corp., 5.63%, 04/15/2023

    4,191  
  

IQVIA, Inc.,

 
  1,255     

4.88%, 05/15/2023 (e)

    1,270  
  5,110     

5.00%, 10/15/2026 (e)

    5,040  
  937     

IRB Holding Corp., 6.75%, 02/15/2026 (e)

    904  
  

Iron Mountain, Inc.,

 
  1,207     

4.88%, 09/15/2027 (e)

    1,136  
  1,557     

5.25%, 03/15/2028 (e)

    1,466  
  3,526     

5.75%, 08/15/2024

    3,482  
  1,250     

6.00%, 08/15/2023

    1,287  
  1,431     

Itron, Inc., 5.00%, 01/15/2026 (e)

    1,398  
  8,535     

Jack Ohio Finance LLC, 6.75%, 11/15/2021 (e)

    8,812  
  1,315     

Jagged Peak Energy LLC, 5.88%, 05/01/2026 (e)

    1,320  
  174     

JB Poindexter & Co., Inc., 7.13%, 04/15/2026 (e)

    177  
  887     

JC Penney Corp., Inc., 8.63%, 03/15/2025 (e)

    822  
  

Jeld-Wen, Inc.,

 
  1,735     

4.63%, 12/15/2025 (e)

    1,665  
  750     

4.88%, 12/15/2027 (e)

    707  
  993     

Kaiser Aluminum Corp., 5.88%, 05/15/2024

    1,023  
  1,232     

Kennedy-Wilson, Inc., 5.88%, 04/01/2024 (e)

    1,214  
  9,075     

KeyCorp, Series D, (ICE LIBOR USD 3 Month + 3.61%), 5.00%, 09/15/2026 (x) (y) (aa)

    8,871  
  2,892     

KFC Holding Co., 4.75%, 06/01/2027 (e)

    2,780  
  7,460     

Kindred Healthcare, Inc., 8.75%, 01/15/2023

    7,992  
  3,075     

Kinetic Concepts, Inc., 7.88%, 02/15/2021 (e)

    3,187  
  6,400     

KLX, Inc., 5.88%, 12/01/2022 (e)

    6,680  
  1,160     

Koppers, Inc., 6.00%, 02/15/2025 (e)

    1,180  
  1,600     

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/2025 (e)

    1,650  
  

L Brands, Inc.,

 
  1,625     

5.25%, 02/01/2028

    1,521  
  4,550     

6.75%, 07/01/2036

    4,254  
  1,606     

6.88%, 11/01/2035

    1,518  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
86       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

Ladder Capital Finance Holdings LLLP,

 
  1,514     

5.25%, 03/15/2022 (e)

    1,514  
  757     

5.25%, 10/01/2025 (e)

    721  
  

Lamar Media Corp.,

 
  363     

5.00%, 05/01/2023

    367  
  1,208     

5.38%, 01/15/2024

    1,235  
  690     

5.75%, 02/01/2026

    711  
  

Lennar Corp.,

 
  1,455     

4.50%, 04/30/2024

    1,418  
  85     

4.75%, 11/15/2022

    85  
  4,855     

4.75%, 11/29/2027 (e)

    4,576  
  1,210     

5.25%, 06/01/2026 (e)

    1,189  
  600     

5.38%, 10/01/2022 (e)

    621  
  2,247     

5.88%, 11/15/2024 (e)

    2,320  
  295     

8.38%, 01/15/2021 (e)

    327  
  

Level 3 Financing, Inc.,

 
  5,636     

5.13%, 05/01/2023

    5,580  
  1,943     

5.25%, 03/15/2026

    1,879  
  4,086     

5.38%, 01/15/2024

    4,045  
  7,675     

5.38%, 05/01/2025

    7,558  
  561     

5.63%, 02/01/2023

    568  
  1,000     

Level 3 Parent LLC, 5.75%, 12/01/2022

    1,008  
  75     

Levi Strauss & Co., 5.00%, 05/01/2025

    75  
  870     

Liberty Interactive LLC, 8.25%, 02/01/2030

    935  
  2,538     

Liberty Mutual Group, Inc., 7.80%, 03/15/2037 (e)

    3,071  
  1,387     

LIN Television Corp., 5.88%, 11/15/2022

    1,425  
  

Live Nation Entertainment, Inc.,

 
  2,395     

4.88%, 11/01/2024 (e)

    2,344  
  547     

5.63%, 03/15/2026 (e)

    546  
  2,469     

LPL Holdings, Inc., 5.75%, 09/15/2025 (e)

    2,395  
  2,429     

LSB Industries, Inc., 9.63%, 05/01/2023 (e)

    2,447  
  5,407     

LTF Merger Sub, Inc., 8.50%, 06/15/2023 (e)

    5,664  
  

Mallinckrodt International Finance SA,

 
  539     

4.75%, 04/15/2023

    384  
  6,105     

5.50%, 04/15/2025 (e)

    4,590  
  2,585     

5.63%, 10/15/2023 (e)

    2,023  
  1,610     

5.75%, 08/01/2022 (e)

    1,348  
  3,266     

Martin Midstream Partners LP, 7.25%, 02/15/2021

    3,274  
  3,357     

MasTec, Inc., 4.88%, 03/15/2023

    3,333  
  

Match Group, Inc.,

 
  312     

5.00%, 12/15/2027 (e)

    306  
  890     

6.38%, 06/01/2024

    939  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Mattel, Inc.,

 
  1,000     

3.15%, 03/15/2023

    852  
  6,825     

6.75%, 12/31/2025 (e)

    6,645  
  2,185     

Meredith Corp., 6.88%, 02/01/2026 (e)

    2,212  
  

MetLife, Inc.,

 
  12,815     

6.40%, 12/15/2036

    13,968  
  17,944     

Series C, (ICE LIBOR USD 3 Month + 3.58%), 5.25%, 06/15/2020 (x) (y) (aa)

    18,339  
  8,575     

Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 03/15/2028 (x) (y) (aa)

    8,766  
  

MGM Growth Properties Operating Partnership LP,

 
  995     

4.50%, 09/01/2026

    939  
  555     

4.50%, 01/15/2028

    511  
  2,685     

5.63%, 05/01/2024

    2,739  
  

MGM Resorts International,

 
  375     

4.63%, 09/01/2026

    355  
  14,645     

6.00%, 03/15/2023

    15,304  
  2,630     

6.63%, 12/15/2021

    2,814  
  15,259     

7.75%, 03/15/2022

    16,918  
  

Micron Technology, Inc.,

 
  7,546     

5.25%, 01/15/2024 (e)

    7,851  
  470     

5.50%, 02/01/2025

    489  
  5,428     

Microsemi Corp., 9.13%, 04/15/2023 (e)

    5,984  
  2,770     

Midcontinent Communications, 6.88%, 08/15/2023 (e)

    2,909  
  1,350     

Momentive Performance Materials USA LLC, 8.88%, 10/15/2020 (d) (bb)

    (h) 
  

Morgan Stanley,

 
  14,650     

Series H, (ICE LIBOR USD 3 Month + 3.61%), 5.45%, 07/15/2019 (x) (y) (aa)

    14,877  
  19,284     

Series J, (ICE LIBOR USD 3 Month + 3.81%), 5.55%, 07/15/2020 (x) (y) (aa)

    19,766  
  

Motors Liquidation Co.,

 
  10     

6.75%, 05/01/2028 (d) (aa) (bb)

    (h) 
  11     

7.75%, 03/15/2036 (d) (bb)

    (h) 
  115     

8.38%, 07/15/2033 (d) (bb)

    (h) 
  5,316     

MPH Acquisition Holdings LLC, 7.13%, 06/01/2024 (e)

    5,411  
  1,900     

MPLX LP, 5.50%, 02/15/2023

    1,945  
  1,939     

MSCI, Inc., 5.25%, 11/15/2024 (e)

    1,978  
  

Nabors Industries, Inc.,

 
  174     

5.10%, 09/15/2023

    165  
  1,732     

5.50%, 01/15/2023

    1,697  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         87  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  3,410     

5.75%, 02/01/2025 (e)

    3,231  
  2,473     

National Rural Utilities Cooperative Finance Corp., (ICE LIBOR USD 3 Month + 3.63%), 5.25%, 04/20/2046 (aa)

    2,578  
  

Nationstar Mortgage LLC,

 
  1,372     

6.50%, 07/01/2021

    1,389  
  2,678     

6.50%, 06/01/2022

    2,752  
  2,489     

Navistar International Corp., 6.63%, 11/01/2025 (e)

    2,582  
  

Neiman Marcus Group Ltd. LLC,

 
  5,712     

8.00%, 10/15/2021 (e)

    3,884  
  5,404     

8.75% (cash), 10/15/2021 (e) (v)

    3,652  
  

Netflix, Inc.,

 
  4,006     

4.38%, 11/15/2026

    3,756  
  4,685     

4.88%, 04/15/2028 (e)

    4,427  
  200     

5.88%, 02/15/2025

    205  
  5,375     

5.88%, 11/15/2028 (e)

    5,362  
  

New Albertsons LP,

 
  455     

6.63%, 06/01/2028

    349  
  692     

7.45%, 08/01/2029

    561  
  1,390     

7.75%, 06/15/2026

    1,220  
  2,280     

8.00%, 05/01/2031

    1,898  
  2,042     

8.70%, 05/01/2030

    1,797  
  2,535     

New Home Co., Inc. (The), 7.25%, 04/01/2022

    2,598  
  

Newfield Exploration Co.,

 
  1,515     

5.38%, 01/01/2026

    1,567  
  2,010     

5.63%, 07/01/2024

    2,131  
  210     

5.75%, 01/30/2022

    220  
  2,614     

Nexstar Broadcasting, Inc., 6.13%, 02/15/2022 (e)

    2,689  
  

NextEra Energy Operating Partners LP,

 
  897     

4.25%, 09/15/2024 (e)

    866  
  986     

4.50%, 09/15/2027 (e)

    919  
  445     

NGL Energy Partners LP,
5.13%, 07/15/2019

    445  
  

NGPL PipeCo LLC,

 
  505     

4.38%, 08/15/2022 (e)

    503  
  1,109     

4.88%, 08/15/2027 (e)

    1,078  
  2,288     

Nielsen Co. Luxembourg SARL (The), 5.50%, 10/01/2021 (e)

    2,322  
  7,664     

Nielsen Finance LLC, 5.00%, 04/15/2022 (e)

    7,722  
  9,480     

Northern Trust Corp., Series D, (ICE LIBOR USD 3 Month + 3.20%), 4.60%, 10/01/2026 (x) (y) (aa)

    9,243  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  831     

Northwest Acquisitions ULC, 7.13%, 11/01/2022 (e)

    846  
  

Novelis Corp.,

 
  5,350     

5.88%, 09/30/2026 (e)

    5,310  
  4,710     

6.25%, 08/15/2024 (e)

    4,798  
  

NRG Energy, Inc.,

 
  1,323     

5.75%, 01/15/2028 (e)

    1,310  
  2,000     

6.25%, 05/01/2024

    2,068  
  5,313     

6.63%, 01/15/2027

    5,472  
  2,465     

NRG Yield Operating LLC, 5.00%, 09/15/2026

    2,397  
  

Nuance Communications, Inc.,

 
  1,229     

5.38%, 08/15/2020 (e)

    1,235  
  2,258     

5.63%, 12/15/2026

    2,255  
  2,240     

NuStar Logistics LP, 5.63%, 04/28/2027

    2,122  
  1,145     

NVA Holdings, Inc., 6.88%, 04/01/2026 (e)

    1,154  
  730     

NWH Escrow Corp., 7.50%, 08/01/2021 (e) (bb)

    668  
  

Oasis Petroleum, Inc.,

 
  1,840     

6.25%, 05/01/2026 (e) (w)

    1,840  
  8,338     

6.50%, 11/01/2021

    8,546  
  1,622     

6.88%, 03/15/2022

    1,671  
  935     

6.88%, 01/15/2023

    960  
  998     

OI European Group BV, 4.00%, 03/15/2023 (e)

    948  
  

Oshkosh Corp.,

 
  1,300     

5.38%, 03/01/2022

    1,336  
  4,609     

5.38%, 03/01/2025

    4,759  
  

Outfront Media Capital LLC,

 
  748     

5.25%, 02/15/2022

    759  
  1,650     

5.63%, 02/15/2024

    1,666  
  750     

5.88%, 03/15/2025

    769  
  

Owens-Brockway Glass Container, Inc.,

 
  810     

5.00%, 01/15/2022 (e)

    822  
  545     

5.38%, 01/15/2025 (e)

    544  
  584     

5.88%, 08/15/2023 (e)

    597  
  1,084     

6.38%, 08/15/2025 (e)

    1,135  
  444     

Parker Drilling Co., 6.75%, 07/15/2022

    335  
  

Parsley Energy LLC,

 
  2,310     

5.25%, 08/15/2025 (e)

    2,304  
  1,728     

5.38%, 01/15/2025 (e)

    1,732  
  1,165     

5.63%, 10/15/2027 (e)

    1,180  
  1,940     

Party City Holdings, Inc., 6.13%, 08/15/2023 (e)

    1,964  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

PBF Holding Co. LLC,

 
  1,431     

7.00%, 11/15/2023

    1,478  
  2,675     

7.25%, 06/15/2025

    2,775  
  1,089     

PBF Logistics LP, 6.88%, 05/15/2023

    1,100  
  

Peabody Energy Corp.,

 
  627     

6.00%, 03/31/2022 (e)

    644  
  485     

6.38%, 03/31/2025 (e)

    506  
  

Penn Virginia Corp. Escrow,

 
  500     

7.25%, 04/15/2019 (d) (bb)

    1  
  1,100     

8.50%, 05/01/2020 (d) (bb)

    1  
  2,399     

Penske Automotive Group, Inc., 5.50%, 05/15/2026

    2,327  
  

PetSmart, Inc.,

 
  3,904     

5.88%, 06/01/2025 (e)

    2,811  
  11,357     

7.13%, 03/15/2023 (e)

    6,615  
  4,523     

8.88%, 06/01/2025 (e)

    2,612  
  

Pilgrim’s Pride Corp.,

 
  3,129     

5.75%, 03/15/2025 (e)

    3,058  
  2,116     

5.88%, 09/30/2027 (e)

    2,021  
  18,005     

Plains All American Pipeline LP, Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (x) (y) (aa)

    17,487  
  5,146     

Plantronics, Inc., 5.50%, 05/31/2023 (e)

    5,146  
  

PNC Financial Services Group, Inc. (The),

 
  9,215     

Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 06/01/2023 (x) (y) (aa)

    9,160  
  10,675     

Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/01/2026 (x) (y) (aa)

    10,541  
  2,520     

Polaris Intermediate Corp., 8.50% (cash), 12/01/2022 (e) (v)

    2,558  
  

Post Holdings, Inc.,

 
  2,728     

5.00%, 08/15/2026 (e)

    2,557  
  5,169     

5.50%, 03/01/2025 (e)

    5,079  
  1,470     

5.63%, 01/15/2028 (e)

    1,404  
  2,730     

5.75%, 03/01/2027 (e)

    2,665  
  1,218     

PQ Corp., 5.75%, 12/15/2025 (e)

    1,206  
  1,600     

Prestige Brands, Inc.,
6.38%, 03/01/2024 (e)

    1,608  
  7,895     

Prime Security Services Borrower LLC, 9.25%, 05/15/2023 (e)

    8,477  
  5,720     

Progressive Corp. (The), Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.37%, 03/15/2023 (x) (y) (aa)

    5,749  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Prudential Financial, Inc.,

 
  5,905     

(ICE LIBOR USD 3 Month + 3.04%), 5.20%, 03/15/2044 (aa)

    5,934  
  5,006     

(ICE LIBOR USD 3 Month + 3.03%), 5.38%, 05/15/2045 (aa)

    5,056  
  23,245     

(ICE LIBOR USD 3 Month + 3.92%), 5.63%, 06/15/2043 (aa)

    24,262  
  15,685     

(ICE LIBOR USD 3 Month + 4.18%), 5.87%, 09/15/2042 (aa)

    16,685  
  

QEP Resources, Inc.,

 
  1,072     

5.25%, 05/01/2023

    1,045  
  1,995     

5.38%, 10/01/2022

    1,995  
  1,010     

6.88%, 03/01/2021

    1,086  
  1,660     

Qorvo, Inc., 6.75%, 12/01/2023

    1,764  
  1,000     

Quad/Graphics, Inc., 7.00%, 05/01/2022

    1,025  
  

Quicken Loans, Inc.,

 
  2,070     

5.25%, 01/15/2028 (e)

    1,889  
  4,479     

5.75%, 05/01/2025 (e)

    4,389  
  1,115     

Qwest Capital Funding, Inc., 7.75%, 02/15/2031

    1,023  
  580     

Qwest Corp., 7.25%, 09/15/2025

    623  
  8,672     

Rackspace Hosting, Inc., 8.63%, 11/15/2024 (e)

    8,791  
  

Radian Group, Inc.,

 
  1,645     

4.50%, 10/01/2024

    1,571  
  588     

7.00%, 03/15/2021

    629  
  3,985     

Rain CII Carbon LLC, 7.25%, 04/01/2025 (e)

    4,105  
  

Range Resources Corp.,

 
  4,950     

4.88%, 05/15/2025

    4,582  
  96     

5.00%, 08/15/2022

    94  
  1,851     

RBS Global, Inc., 4.88%, 12/15/2025 (e)

    1,786  
  1,271     

Revlon Consumer Products Corp., 6.25%, 08/01/2024

    763  
  

Reynolds Group Issuer, Inc.,

 
  1,000     

5.13%, 07/15/2023 (e)

    1,004  
  9,425     

5.75%, 10/15/2020

    9,492  
  1,646     

6.87%, 02/15/2021

    1,669  
  1,745     

7.00%, 07/15/2024 (e)

    1,817  
  

RHP Hotel Properties LP,

 
  2,950     

5.00%, 04/15/2021

    2,969  
  4,653     

5.00%, 04/15/2023

    4,682  
  5,450     

Rite Aid Corp., 6.13%, 04/01/2023 (e)

    5,552  
  910     

Riverbed Technology, Inc., 8.88%, 03/01/2023 (e)

    842  
  684     

Rowan Cos., Inc., 7.38%, 06/15/2025

    662  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         89  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  58     

RR Donnelley & Sons Co., 7.00%, 02/15/2022

    60  
  

RSP Permian, Inc.,

 
  1,135     

5.25%, 01/15/2025

    1,172  
  2,420     

6.63%, 10/01/2022

    2,522  
  

Sabre GLBL, Inc.,

 
  2,542     

5.25%, 11/15/2023 (e)

    2,564  
  8,087     

5.38%, 04/15/2023 (e)

    8,166  
  

Sally Holdings LLC,

 
  75     

5.50%, 11/01/2023

    75  
  325     

5.63%, 12/01/2025

    318  
  

Sanchez Energy Corp.,

 
  1,942     

6.13%, 01/15/2023

    1,403  
  684     

7.25%, 02/15/2023 (e)

    691  
  2,352     

7.75%, 06/15/2021

    2,181  
  

SBA Communications Corp.,

 
  314     

4.00%, 10/01/2022 (e)

    299  
  2,791     

4.88%, 07/15/2022

    2,798  
  5,685     

4.88%, 09/01/2024

    5,465  
  

Scientific Games International, Inc.,

 
  3,432     

5.00%, 10/15/2025 (e)

    3,315  
  3,325     

10.00%, 12/01/2022

    3,583  
  

Scotts Miracle-Gro Co. (The),

 
  2,652     

5.25%, 12/15/2026

    2,592  
  8,568     

6.00%, 10/15/2023

    8,963  
  

Sealed Air Corp.,

 
  1,400     

4.88%, 12/01/2022 (e)

    1,421  
  1,750     

5.13%, 12/01/2024 (e)

    1,776  
  1,233     

5.25%, 04/01/2023 (e)

    1,264  
  

SemGroup Corp.,

 
  1,146     

5.63%, 07/15/2022

    1,109  
  2,625     

5.63%, 11/15/2023

    2,474  
  1,509     

7.25%, 03/15/2026

    1,498  
  4,756     

Seminole Hard Rock Entertainment, Inc., 5.88%, 05/15/2021 (e)

    4,756  
  

Sensata Technologies BV,

 
  5,001     

4.88%, 10/15/2023 (e)

    5,020  
  470     

5.00%, 10/01/2025 (e)

    469  
  2,339     

5.63%, 11/01/2024 (e)

    2,409  
  8,376     

Sensata Technologies UK Financing Co. plc, 6.25%, 02/15/2026 (e)

    8,708  
  

Service Corp. International,

 
  2,865     

5.38%, 01/15/2022

    2,917  
  6,495     

5.38%, 05/15/2024

    6,647  
  2,735     

7.50%, 04/01/2027

    3,118  
  1,240     

8.00%, 11/15/2021

    1,395  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Sinclair Television Group, Inc.,

 
  2,835     

5.13%, 02/15/2027 (e)

    2,629  
  6,195     

5.38%, 04/01/2021

    6,257  
  2,277     

5.63%, 08/01/2024 (e)

    2,254  
  3,230     

6.13%, 10/01/2022

    3,318  
  

Sirius XM Radio, Inc.,

 
  2,336     

4.63%, 05/15/2023 (e)

    2,307  
  3,314     

5.00%, 08/01/2027 (e)

    3,158  
  9,460     

5.38%, 04/15/2025 (e)

    9,413  
  2,855     

5.38%, 07/15/2026 (e)

    2,798  
  9,016     

6.00%, 07/15/2024 (e)

    9,263  
  3,595     

Six Flags Entertainment Corp., 4.88%, 07/31/2024 (e)

    3,505  
  

SM Energy Co.,

 
  4,738     

5.00%, 01/15/2024

    4,513  
  2,535     

5.63%, 06/01/2025

    2,459  
  1,248     

6.50%, 11/15/2021

    1,267  
  2,915     

Solera LLC, 10.50%, 03/01/2024 (e)

    3,243  
  671     

Sonic Automotive, Inc., 6.13%, 03/15/2027

    644  
  1,945     

Sotera Health Holdings LLC, 6.50%, 05/15/2023 (e)

    1,945  
  2,680     

Sotheby’s, 4.88%, 12/15/2025 (e)

    2,580  
  

Southwestern Energy Co.,

 
  1,510     

4.10%, 03/15/2022

    1,464  
  5,843     

6.45%, 01/23/2025

    5,710  
  1,165     

7.50%, 04/01/2026

    1,197  
  1,165     

7.75%, 10/01/2027

    1,200  
  

Spectrum Brands, Inc.,

 
  1,935     

5.75%, 07/15/2025

    1,933  
  2,159     

6.13%, 12/15/2024

    2,192  
  3,202     

6.63%, 11/15/2022

    3,314  
  1,075     

Speedway Motorsports, Inc., 5.13%, 02/01/2023

    1,067  
  

Springleaf Finance Corp.,

 
  4,267     

5.63%, 03/15/2023

    4,224  
  1,830     

6.13%, 05/15/2022

    1,873  
  860     

6.88%, 03/15/2025

    869  
  2,264     

7.75%, 10/01/2021

    2,465  
  16,577     

Sprint Capital Corp., 8.75%, 03/15/2032

    19,022  
  

Sprint Communications, Inc.,

 
  5,328     

6.00%, 11/15/2022

    5,441  
  3,148     

7.00%, 03/01/2020 (e)

    3,322  
  305     

11.50%, 11/15/2021

    364  
  

Sprint Corp.,

 
  2,829     

7.13%, 06/15/2024

    2,913  
  3,678     

7.25%, 09/15/2021

    3,899  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
90       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  30,586     

7.63%, 02/15/2025

    32,192  
  7,540     

7.63%, 03/01/2026

    7,936  
  29,621     

7.88%, 09/15/2023

    31,768  
  

SPX FLOW, Inc.,

 
  1,370     

5.63%, 08/15/2024 (e)

    1,387  
  2,175     

5.88%, 08/15/2026 (e)

    2,219  
  

Standard Industries, Inc.,

 
  9,098     

4.75%, 01/15/2028 (e)

    8,484  
  610     

5.00%, 02/15/2027 (e)

    583  
  2,650     

6.00%, 10/15/2025 (e)

    2,749  
  13,120     

Staples, Inc., 8.50%, 09/15/2025 (e)

    12,267  
  1,650     

State Street Corp., Series F, (ICE LIBOR USD 3 Month + 3.60%), 5.25%, 09/15/2020 (x) (y) (aa)

    1,695  
  2,600     

Station Casinos LLC, 5.00%, 10/01/2025 (e)

    2,490  
  

Steel Dynamics, Inc.,

 
  2,560     

4.13%, 09/15/2025

    2,443  
  1,085     

5.00%, 12/15/2026

    1,074  
  625     

5.25%, 04/15/2023

    635  
  650     

5.50%, 10/01/2024

    668  
  195     

Stone Energy Corp., 7.50%, 05/31/2022

    199  
  

Summit Materials LLC,

 
  880     

5.13%, 06/01/2025 (e)

    853  
  5,180     

6.13%, 07/15/2023

    5,271  
  

Summit Midstream Holdings LLC,

 
  1,559     

5.50%, 08/15/2022

    1,512  
  4,125     

5.75%, 04/15/2025

    3,935  
  

Sunoco LP,

 
  2,130     

4.88%, 01/15/2023 (e)

    2,097  
  1,966     

5.50%, 02/15/2026 (e)

    1,897  
  423     

5.88%, 03/15/2028 (e)

    411  
  

SunTrust Banks, Inc.,

 
  8,540     

(ICE LIBOR USD 3 Month + 3.86%), 5.63%, 12/15/2019 (x) (y) (aa)

    8,725  
  8,680     

Series G, (ICE LIBOR USD 3 Month + 3.10%), 5.05%, 06/15/2022 (x) (y) (aa)

    8,561  
  10,625     

Series H, (ICE LIBOR USD 3 Month + 2.79%), 5.13%, 12/15/2027 (x) (y) (aa)

    10,173  
  

SUPERVALU, Inc.,

 
  5,257     

6.75%, 06/01/2021

    5,257  
  9,575     

7.75%, 11/15/2022

    9,539  
  2,330     

Symantec Corp., 5.00%, 04/15/2025 (e)

    2,339  
  3,456     

Talen Energy Supply LLC, 6.50%, 06/01/2025

    2,523  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  

Tallgrass Energy Partners LP,

 
  2,150     

5.50%, 09/15/2024 (e)

    2,182  
  3,810     

5.50%, 01/15/2028 (e)

    3,801  
  

Targa Resources Partners LP,

 
  2,483     

4.25%, 11/15/2023

    2,346  
  2,955     

5.00%, 01/15/2028 (e)

    2,733  
  4,484     

5.13%, 02/01/2025

    4,350  
  3,123     

5.88%, 04/15/2026 (e)

    3,107  
  7,570     

6.75%, 03/15/2024

    7,911  
  5,536     

Team Health Holdings, Inc., 6.38%, 02/01/2025 (e)

    4,816  
  

TEGNA, Inc.,

 
  1,415     

4.88%, 09/15/2021 (e)

    1,433  
  2,210     

5.50%, 09/15/2024 (e)

    2,248  
  5,470     

6.38%, 10/15/2023

    5,648  
  

Teleflex, Inc.,

 
  368     

4.88%, 06/01/2026

    363  
  875     

5.25%, 06/15/2024

    888  
  

Tempur Sealy International, Inc.,

 
  9,282     

5.50%, 06/15/2026

    8,795  
  3,421     

5.63%, 10/15/2023

    3,438  
  

Tenet Healthcare Corp.,

 
  2,284     

4.38%, 10/01/2021

    2,250  
  8,381     

4.50%, 04/01/2021

    8,308  
  5,013     

4.63%, 07/15/2024 (e)

    4,850  
  1,220     

4.75%, 06/01/2020

    1,226  
  4,486     

5.13%, 05/01/2025 (e)

    4,374  
  995     

5.50%, 03/01/2019

    1,009  
  1,329     

6.00%, 10/01/2020

    1,376  
  1,070     

6.75%, 02/01/2020

    1,102  
  12,239     

6.75%, 06/15/2023

    12,032  
  1,085     

7.00%, 08/01/2025 (e)

    1,066  
  4,545     

7.50%, 01/01/2022 (e)

    4,789  
  12,520     

8.13%, 04/01/2022

    13,036  
  1,723     

Tennant Co., 5.63%, 05/01/2025

    1,756  
  3,205     

Tenneco, Inc., 5.00%, 07/15/2026

    2,997  
  5,968     

Terex Corp., 5.63%, 02/01/2025 (e)

    5,938  
  1,712     

Terraform Global Operating LLC, 6.13%, 03/01/2026 (e)

    1,733  
  

TerraForm Power Operating LLC,

 
  1,869     

4.25%, 01/31/2023 (e)

    1,785  
  2,354     

5.00%, 01/31/2028 (e)

    2,204  
  945     

SUB, 6.63%, 06/15/2025 (e)

    1,009  
  2,523     

Tesla, Inc., 5.30%, 08/15/2025 (e)

    2,233  
  29,250     

Texas Competitive Electric Holdings Co. LLC, 8.50%, 05/01/2020 (d) (bb)

    293  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         91  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  

T-Mobile USA, Inc.,

 
  1,188     

4.50%, 02/01/2026

    1,144  
  1,188     

4.75%, 02/01/2028

    1,143  
  1,704     

5.13%, 04/15/2025

    1,717  
  1,598     

6.00%, 03/01/2023

    1,656  
  5,377     

6.38%, 03/01/2025

    5,646  
  2,440     

6.50%, 01/15/2024

    2,556  
  17,335     

6.50%, 01/15/2026

    18,418  
  

Toll Brothers Finance Corp.,

 
  1,820     

4.35%, 02/15/2028

    1,684  
  345     

4.88%, 11/15/2025

    342  
  935     

5.63%, 01/15/2024

    983  
  

TransDigm, Inc.,

 
  2,325     

6.00%, 07/15/2022

    2,357  
  1,134     

6.38%, 06/15/2026

    1,140  
  3,677     

6.50%, 07/15/2024

    3,739  
  3,785     

6.50%, 05/15/2025

    3,851  
  1,007     

TransMontaigne Partners LP, 6.13%, 02/15/2026

    1,002  
  2,153     

Transocean Proteus Ltd., 6.25%, 12/01/2024 (e)

    2,212  
  

Transocean, Inc.,

 
  358     

5.80%, 10/15/2022

    351  
  4,802     

6.80%, 03/15/2038

    4,034  
  4,784     

7.50%, 01/15/2026 (e)

    4,832  
  1,767     

7.50%, 04/15/2031

    1,634  
  3,668     

9.00%, 07/15/2023 (e)

    3,957  
  2,077     

9.35%, 12/15/2041

    2,077  
  1,735     

Travelport Corporate Finance plc, 6.00%, 03/15/2026 (e)

    1,774  
  3,815     

TreeHouse Foods, Inc., 6.00%, 02/15/2024 (e)

    3,796  
  3,320     

TriMas Corp., 4.88%, 10/15/2025 (e)

    3,196  
  3,594     

Trinseo Materials Operating SCA, 5.38%, 09/01/2025 (e)

    3,540  
  

Triumph Group, Inc.,

 
  3,425     

4.88%, 04/01/2021

    3,323  
  1,686     

5.25%, 06/01/2022

    1,631  
  1,965     

7.75%, 08/15/2025

    2,014  
  869     

Tronox Finance plc, 5.75%, 10/01/2025 (e)

    845  
  1,650     

Tronox, Inc., 6.50%, 04/15/2026 (e)

    1,642  
  4,198     

Tutor Perini Corp., 6.88%, 05/01/2025 (e)

    4,302  
  

Ultra Resources, Inc.,

 
  8,395     

6.88%, 04/15/2022 (e)

    6,170  
  2,660     

7.13%, 04/15/2025 (e)

    1,774  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  3,327     

Unit Corp., 6.63%, 05/15/2021

    3,327  
  

United Continental Holdings, Inc.,

 
  1,680     

4.25%, 10/01/2022

    1,636  
  3,281     

5.00%, 02/01/2024

    3,257  
  

United Rentals North America, Inc.,

 
  1,920     

4.63%, 10/15/2025

    1,862  
  7,133     

4.88%, 01/15/2028

    6,759  
  3,281     

5.50%, 07/15/2025

    3,355  
  7,425     

5.50%, 05/15/2027

    7,407  
  6,320     

5.75%, 11/15/2024

    6,541  
  1,845     

5.88%, 09/15/2026

    1,923  
  1,545     

United States Cellular Corp., 6.70%, 12/15/2033

    1,626  
  

United States Steel Corp.,

 
  2,663     

6.25%, 03/15/2026

    2,643  
  423     

6.88%, 08/15/2025

    432  
  

Uniti Group LP,

 
  3,990     

6.00%, 04/15/2023 (e)

    3,891  
  1,210     

7.13%, 12/15/2024 (e)

    1,116  
  5,500     

8.25%, 10/15/2023

    5,266  
  1,103     

Univar USA, Inc., 6.75%, 07/15/2023 (e)

    1,136  
  

Univision Communications, Inc.,

 
  2,000     

5.13%, 05/15/2023 (e)

    1,900  
  1,758     

5.13%, 02/15/2025 (e)

    1,623  
  433     

6.75%, 09/15/2022 (e)

    444  
  2,500     

US Concrete, Inc., 6.38%, 06/01/2024

    2,588  
  745     

USA Compression Partners LP, 6.88%, 04/01/2026 (e)

    760  
  520     

USG Corp., 4.88%, 06/01/2027 (e)

    520  
  952     

USIS Merger Sub, Inc., 6.88%, 05/01/2025 (e)

    959  
  

Valeant Pharmaceuticals International,

 
  7,342     

6.75%, 08/15/2021 (e)

    7,388  
  8,149     

7.25%, 07/15/2022 (e)

    8,219  
  

Valeant Pharmaceuticals International, Inc.,

 
  383     

5.50%, 03/01/2023 (e)

    346  
  5,705     

5.50%, 11/01/2025 (e)

    5,676  
  37,477     

5.88%, 05/15/2023 (e)

    34,268  
  5,523     

6.13%, 04/15/2025 (e)

    4,982  
  1,266     

6.50%, 03/15/2022 (e)

    1,314  
  5,817     

7.00%, 03/15/2024 (e)

    6,135  
  10,268     

7.50%, 07/15/2021 (e)

    10,435  
  6,782     

9.00%, 12/15/2025 (e)

    6,867  
  2,656     

9.25%, 04/01/2026 (e)

    2,709  
  608     

Valvoline, Inc., 4.38%, 08/15/2025

    584  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

United States — continued

 

  2,370     

Vantiv LLC, 4.38%, 11/15/2025 (e)

    2,263  
  3,090     

Venator Finance SARL, 5.75%, 07/15/2025 (e)

    3,075  
  1,525     

Versum Materials, Inc., 5.50%, 09/30/2024 (e)

    1,559  
  8,436     

Vertiv Group Corp., 9.25%, 10/15/2024 (e)

    8,520  
  

Viacom, Inc.,

 
  834     

4.38%, 03/15/2043

    737  
  6,822     

(ICE LIBOR USD 3 Month + 3.90%), 5.88%, 02/28/2057 (aa)

    6,890  
  5,555     

(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 02/28/2057 (aa)

    5,633  
  835     

ViaSat, Inc., 5.63%, 09/15/2025 (e)

    797  
  6,153     

VICI Properties 1 LLC, 8.00%, 10/15/2023

    6,846  
  7,330     

Vista Outdoor, Inc., 5.88%, 10/01/2023

    6,835  
  

Vistra Energy Corp.,

 
  6,393     

5.88%, 06/01/2023

    6,545  
  1,300     

7.38%, 11/01/2022

    1,370  
  3,515     

7.63%, 11/01/2024

    3,778  
  3,650     

8.00%, 01/15/2025 (e)

    3,956  
  1,717     

8.13%, 01/30/2026 (e)

    1,884  
  1,847     

VOC Escrow Ltd., 5.00%, 02/15/2028 (e)

    1,787  
  13,110     

Voya Financial, Inc., (ICE LIBOR USD 3 Month + 3.58%), 5.65%, 05/15/2053 (aa)

    13,359  
  3,130     

Wabash National Corp., 5.50%, 10/01/2025 (e)

    3,052  
  12     

Weatherford International LLC, 6.80%, 06/15/2037

    9  
  

Weatherford International Ltd.,

 
  1,144     

4.50%, 04/15/2022

    1,012  
  2,242     

5.95%, 04/15/2042

    1,626  
  2,292     

6.50%, 08/01/2036

    1,742  
  537     

6.75%, 09/15/2040

    411  
  1,110     

7.00%, 03/15/2038

    871  
  152     

7.75%, 06/15/2021

    150  
  1,355     

9.88%, 02/15/2024

    1,311  
  2,435     

Welbilt, Inc., 9.50%, 02/15/2024

    2,703  
  2,495     

WellCare Health Plans, Inc.,
5.25%, 04/01/2025

    2,508  
  

Wells Fargo & Co.,

 
  12,655     

Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 06/15/2024 (x) (y) (aa)

    12,876  
  15,275     

Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.88%, 06/15/2025 (x) (y) (aa)

    15,810  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  398     

West Street Merger Sub, Inc., 6.38%, 09/01/2025 (e)

    391  
  7,544     

Western Digital Corp., 4.75%, 02/15/2026

    7,436  
  

Whiting Petroleum Corp.,

 
  4,312     

5.75%, 03/15/2021

    4,414  
  3,699     

6.25%, 04/01/2023

    3,805  
  2,422     

6.63%, 01/15/2026 (e)

    2,483  
  4,385     

WildHorse Resource Development Corp., 6.88%, 02/01/2025 (e)

    4,451  
  

Williams Cos., Inc. (The),

 
  2,210     

3.70%, 01/15/2023

    2,137  
  50     

4.55%, 06/24/2024

    50  
  1,790     

5.75%, 06/24/2044

    1,866  
  1,144     

7.75%, 06/15/2031

    1,390  
  162     

Series A, 7.50%, 01/15/2031

    196  
  

Windstream Services LLC,

 
  1,058     

6.38%, 08/01/2023 (e)

    603  
  23,615     

8.75%, 12/15/2024 (e)

    14,110  
  

WMG Acquisition Corp.,

 
  930     

4.88%, 11/01/2024 (e)

    912  
  2,420     

5.00%, 08/01/2023 (e)

    2,420  
  1,418     

5.50%, 04/15/2026 (e)

    1,425  
  3,823     

5.63%, 04/15/2022 (e)

    3,909  
  

WPX Energy, Inc.,

 
  2,524     

6.00%, 01/15/2022

    2,631  
  1,259     

8.25%, 08/01/2023

    1,429  
  665     

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/2026 (e)

    672  
  

Wyndham Worldwide Corp.,

 
  532     

4.15%, 04/01/2024

    528  
  710     

4.50%, 04/01/2027

    702  
  319     

5.10%, 10/01/2025

    330  
  9,290     

Wynn Las Vegas LLC, 5.50%, 03/01/2025 (e)

    9,247  
  

XPO Logistics, Inc.,

 
  2,130     

6.13%, 09/01/2023 (e)

    2,204  
  7,905     

6.50%, 06/15/2022 (e)

    8,162  
  

Zayo Group LLC,

 
  2,925     

5.75%, 01/15/2027 (e)

    2,903  
  6,695     

6.00%, 04/01/2023

    6,887  
  5,438     

6.38%, 05/15/2025

    5,630  
    

 

 

 
       3,501,018  
    

 

 

 
  

Total Corporate Bonds
(Cost $4,520,009)

    4,505,891  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         93  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — 4.5%

 
  

Angola — 0.1%

 

  

Republic of Angola,

 
  3,075     

Reg. S, 7.00%, 08/17/2019

    3,130  
  4,400     

Reg. S, 9.50%, 11/12/2025

    4,945  
    

 

 

 
       8,075  
    

 

 

 
  

Argentina — 0.3%

 

  

Provincia de Buenos Aires,

 
  4,500     

7.88%, 06/15/2027 (e)

    4,545  
  4,910     

Reg. S, 9.95%, 06/09/2021

    5,426  
  2,359     

Reg. S, 10.88%, 01/26/2021

    2,571  
  4,150     

Provincia de Cordoba, Reg. S, 7.45%, 09/01/2024

    4,274  
  1,000     

Provincia de Mendoza Argentina, Reg. S, 8.38%, 05/19/2024

    1,050  
  

Republic of Argentina,

 
  6,740     

4.63%, 01/11/2023

    6,447  
  3,300     

6.88%, 04/22/2021

    3,458  
  2,960     

6.88%, 01/11/2048

    2,627  
  2,847     

7.13%, 06/28/2117 (e)

    2,522  
  2,890     

7.50%, 04/22/2026

    3,017  
  3,365     

8.28%, 12/31/2033

    3,584  
  2,450     

Reg. S 7.13%, 06/28/2117

    2,171  
    

 

 

 
       41,692  
    

 

 

 
  

Armenia — 0.0% (g)

  

Republic of Armenia,

 
  430     

Reg. S, 6.00%, 09/30/2020

    438  
  1,600     

Reg. S, 7.15%, 03/26/2025

    1,710  
    

 

 

 
       2,148  
    

 

 

 
  

Aruba — 0.0% (g)

  1,620     

Government of Aruba, 4.63%, 09/14/2023 (e)

    1,674  
    

 

 

 
  

Azerbaijan — 0.0% (g)

  4,800     

Republic of Azerbaijan, Reg. S, 3.50%, 09/01/2032

    3,948  
    

 

 

 
  

Bahrain — 0.1%

 

  

Kingdom of Bahrain,

 
  850     

6.13%, 08/01/2023 (e)

    847  
  4,750     

Reg. S, 6.13%, 08/01/2023

    4,732  
  4,300     

Reg. S, 7.00%, 10/12/2028

    4,101  
    

 

 

 
       9,680  
    

 

 

 
  

Belarus — 0.1%

 

  

Republic of Belarus,

 
  2,150     

6.20%, 02/28/2030 (e)

    2,072  
  4,910     

6.88%, 02/28/2023 (e)

    5,137  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Belarus — continued

 
  2,521     

7.63%, 06/29/2027 (e)

    2,710  
  2,950     

Reg. S, 7.63%, 06/29/2027

    3,171  
    

 

 

 
       13,090  
    

 

 

 
  

Brazil — 0.1%

 

  

Federative Republic of Brazil,

 
  2,490     

4.25%, 01/07/2025

    2,455  
  1,580     

4.88%, 01/22/2021

    1,631  
  3,930     

6.00%, 04/07/2026

    4,241  
  4,305     

8.25%, 01/20/2034

    5,334  
    

 

 

 
       13,661  
    

 

 

 
  

Cameroon — 0.0% (g)

  600     

Republic of Cameroon, Reg. S, 9.50%, 11/19/2025

    689  
    

 

 

 
  

Colombia — 0.1%

 

  

Republic of Colombia,

 
  7,620     

3.88%, 04/25/2027

    7,363  
  2,450     

4.00%, 02/26/2024

    2,447  
  2,150     

6.13%, 01/18/2041

    2,424  
  2,400     

7.38%, 09/18/2037

    3,036  
    

 

 

 
       15,270  
    

 

 

 
  

Costa Rica — 0.1%

 

  2,920     

Instituto Costarricense de Electricidad, Reg. S, 6.95%, 11/10/2021

    3,099  
  

Republic of Costa Rica,

 
  2,700     

Reg. S, 4.25%, 01/26/2023

    2,579  
  3,150     

Reg. S, 4.38%, 04/30/2025

    2,933  
  3,800     

Reg. S, 7.16%, 03/12/2045

    3,843  
  1,930     

Reg. S, 10.00%, 08/01/2020

    2,142  
    

 

 

 
       14,596  
    

 

 

 
  

Croatia — 0.1%

 

  

Republic of Croatia,

 
  1,150     

Reg. S, 5.50%, 04/04/2023

    1,219  
  3,410     

Reg. S, 6.00%, 01/26/2024

    3,713  
  1,700     

Reg. S, 6.63%, 07/14/2020

    1,810  
  1,590     

Reg. S, 6.75%, 11/05/2019

    1,668  
    

 

 

 
       8,410  
    

 

 

 
  

Dominican Republic — 0.2%

 

  

Government of Dominican Republic,

 
  890     

6.88%, 01/29/2026 (e)

    961  
  905     

7.45%, 04/30/2044 (e)

    991  
  2,200     

Reg. S, 5.50%, 01/27/2025

    2,208  
  4,600     

Reg. S 6.88%, 01/29/2026

    4,968  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
94       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Dominican Republic — continued

 

  4,620     

Reg. S, 7.45%, 04/30/2044

    5,059  
  5,360     

Reg. S, 7.50%, 05/06/2021

    5,662  
    

 

 

 
       19,849  
    

 

 

 
  

Ecuador — 0.1%

 

  

Republic of Ecuador,

 
  5,330     

8.75%, 06/02/2023 (e)

    5,210  
  6,450     

Reg. S, 10.50%, 03/24/2020

    6,627  
  4,950     

Reg. S, 10.75%, 03/28/2022

    5,198  
       17,035  
  

Egypt — 0.2%

 

  

Republic of Egypt,

 
  1,610     

6.13%, 01/31/2022 (e)

    1652  
  4,050     

Reg. S, 5.88%, 06/11/2025

    3,969  
  3,800     

Reg. S, 6.13%, 01/31/2022 (e)

    3,900  
  3,900     

Reg. S, 7.50%, 01/31/2027

    4,110  
  5,294     

Reg. S, 8.50%, 01/31/2047

    5,664  
    

 

 

 
       19,295  
    

 

 

 
  

El Salvador — 0.2%

 

  

Republic of El Salvador,

 
  2,750     

Reg. S, 5.88%, 01/30/2025

    2,691  
  2,100     

Reg. S, 6.38%, 01/18/2027

    2,074  
  6,600     

Reg. S, 7.38%, 12/01/2019

    6,831  
  3,730     

Reg. S, 7.63%, 02/01/2041

    3,879  
  650     

Reg. S, 7.65%, 06/15/2035

    677  
  4,810     

Reg. S, 7.75%, 01/24/2023

    5,171  
    

 

 

 
       21,323  
    

 

 

 
  

Ethiopia — 0.0% (g)

  4,707     

Republic of Ethiopia, Reg. S, 6.63%, 12/11/2024

    4,748  
    

 

 

 
  

Gabon — 0.1%

 

  

Republic of Gabonese,

 
  5,060     

Reg. S, 6.38%, 12/12/2024

    4,921  
  2,600     

Reg. S, 6.95%, 06/16/2025

    2,584  
    

 

 

 
       7,505  
    

 

 

 
  

Ghana — 0.1%

 

  

Republic of Ghana,

 
  2,100     

Reg. S, 7.88%, 08/07/2023

    2,276  
  4,055     

Reg. S, 10.75%, 10/14/2030

    5,236  
    

 

 

 
       7,512  
    

 

 

 
  

Honduras — 0.0% (g)

  

Republic of Honduras,

 
  2,050     

Reg. S, 7.50%, 03/15/2024

    2,222  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Honduras — continued

 
  2,730     

Reg. S, 8.75%, 12/16/2020

    2,979  
    

 

 

 
       5,201  
    

 

 

 
  

Hungary — 0.1%

 

  

Republic of Hungary,

 
  4,150     

5.38%, 02/21/2023

    4,441  
  1,200     

5.38%, 03/25/2024

    1,288  
  2,634     

5.75%, 11/22/2023

    2,871  
  1,122     

7.63%, 03/29/2041

    1,578  
    

 

 

 
       10,178  
    

 

 

 
  

Indonesia — 0.1%

 

  

Republic of Indonesia,

 
  2,700     

Reg. S, 4.13%, 01/15/2025

    2,687  
  3,000     

Reg. S, 4.35%, 01/08/2027

    3,000  
  650     

Reg. S, 6.75%, 01/15/2044

    804  
    

 

 

 
       6,491  
    

 

 

 
  

Iraq — 0.1%

 

  

Republic of Iraq,

 
  4,605     

Reg. S, 5.80%, 01/15/2028

    4,329  
  2,350     

Reg. S, 6.75%, 03/09/2023

    2,341  
    

 

 

 
       6,670  
    

 

 

 
  

Ivory Coast — 0.0% (g)

  

Republic of Cote d’Ivoire,

 
  400     

Reg. S, 6.38%, 03/03/2028

    402  
  5,906     

Reg. S, SUB, 5.75%, 12/31/2032

    5,655  
    

 

 

 
       6,057  
    

 

 

 
  

Jamaica — 0.0% (g)

  

Government of Jamaica,

 
  420     

7.88%, 07/28/2045

    489  
  4,743     

8.00%, 03/15/2039

    5,550  
    

 

 

 
       6,039  
    

 

 

 
  

Jordan — 0.1%

 

  

Kingdom of Jordan,

 
  2,450     

Reg. S, 5.75%, 01/31/2027

    2,321  
  5,120     

Reg. S, 6.13%, 01/29/2026

    5,005  
       7,326  
  

Kenya — 0.1%

 

  

Republic of Kenya,

 
  270     

7.25%, 02/28/2028 (e)

    278  
  360     

8.25%, 02/28/2048 (e)

    371  
  1,800     

Reg. S, 5.88%, 06/24/2019

    1,824  
  6,720     

Reg. S, 6.88%, 06/24/2024

    6,947  
    

 

 

 
       9,420  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         95  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Lebanon — 0.3%

 

  

Republic of Lebanon,

 
  3,350     

6.25%, 05/27/2022

    3,206  
  6,000     

6.38%, 03/09/2020

    5,985  
  2,970     

Reg. S, 5.15%, 06/12/2018

    2,964  
  1,500     

Reg. S, 5.15%, 11/12/2018

    1,496  
  8,112     

Reg. S, 5.45%, 11/28/2019

    7,980  
  4,180     

Reg. S, 6.00%, 05/20/2019

    4,170  
  1,095     

Reg. S, 6.60%, 11/27/2026

    987  
  1,086     

Reg. S, 6.65%, 02/26/2030

    943  
  10,980     

Reg. S, 8.25%, 04/12/2021

    11,213  
    

 

 

 
       38,944  
    

 

 

 
  

Mexico — 0.0% (g)

  

United Mexican States,

 
  2,550     

4.60%, 01/23/2046

    2,330  
  2,800     

5.55%, 01/21/2045

    2,937  
    

 

 

 
       5,267  
    

 

 

 
  

Mongolia — 0.1%

 

  

Mongolia Government Bond,

 
  3,020     

5.63%, 05/01/2023 (e)

    2,933  
  2,200     

Reg. S, 10.88%, 04/06/2021

    2,511  
  903     

Reg. S, 5.13%, 12/05/2022

    868  
  1,634     

Reg. S, 8.75%, 03/09/2024

    1,810  
    

 

 

 
       8,122  
    

 

 

 
  

Morocco — 0.0% (g)

  

Kingdom of Morocco,

 
  3,000     

Reg. S, 4.25%, 12/11/2022

    3,007  
  1,360     

Reg. S, 5.50%, 12/11/2042

    1,413  
       4,420  
  

Nigeria — 0.1%

 

  

Republic of Nigeria,

 
  1,990     

6.50%, 11/28/2027 (e)

    2,005  
  1,350     

7.63%, 11/28/2047 (e)

    1,358  
  1,320     

7.70%, 02/23/2038 (e)

    1,357  
  3,150     

Reg. S, 6.38%, 07/12/2023

    3,272  
  4,500     

Reg. S, 6.75%, 01/28/2021

    4,725  
  1,200     

Reg. S, 7.88%, 02/16/2032

    1,289  
    

 

 

 
       14,006  
    

 

 

 
  

Oman — 0.2%

 

  

Oman Government Bond,

 
  3,000     

5.63%, 01/17/2028 (e)

    2,865  
  4,750     

6.75%, 01/17/2048 (e)

    4,477  
  4,500     

Reg. S, 4.13%, 01/17/2023

    4,281  
  3,150     

Reg. S, 4.75%, 06/15/2026

    2,937  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Oman — continued

 
  3,850     

Reg. S, 5.38%, 03/08/2027

    3,667  
  5,220     

Reg. S, 6.50%, 03/08/2047

    4,842  
    

 

 

 
       23,069  
    

 

 

 
  

Pakistan — 0.1%

 

  

Republic of Pakistan,

 
  1,150     

Reg. S, 6.75%, 12/03/2019

    1,171  
  5,450     

Reg. S, 7.25%, 04/15/2019

    5,555  
  2,120     

Reg. S, 8.25%, 04/15/2024

    2,204  
    

 

 

 
       8,930  
    

 

 

 
  

Panama — 0.1%

 

  

Republic of Panama,

 
  1,400     

3.75%, 03/16/2025

    1,387  
  2,150     

4.30%, 04/29/2053

    2,013  
  3,700     

4.50%, 05/15/2047

    3,626  
  1,910     

6.70%, 01/26/2036

    2,359  
  680     

8.88%, 09/30/2027

    925  
    

 

 

 
       10,310  
    

 

 

 
  

Paraguay — 0.0% (g)

  1,580     

Republic of Paraguay,

 
  

Reg. S, 6.10%, 08/11/2044

    1,667  
  3,700     

Republic of Uruguay,

 
  

Reg. S, 4.70%, 03/27/2027

    3,663  
    

 

 

 
       5,330  
    

 

 

 
  

Peru — 0.1%

 

  

Republic of Peru,

 
  3,000     

5.63%, 11/18/2050

    3,506  
  1,570     

7.35%, 07/21/2025

    1,927  
  PEN 9,250     

Reg. S, 6.35%, 08/12/2028

    3,092  
    

 

 

 
       8,525  
    

 

 

 
  

Philippines — 0.0% (g)

  

Republic of the Philippines,

 
  1,860     

10.63%, 03/16/2025

    2,650  
    

 

 

 
  

Qatar — 0.0% (g)

  

State of Qatar,

 
  1,120     

3.88%, 04/23/2023 (e)

    1,115  
  1,860     

5.10%, 04/23/2048 (e)

    1,844  
    

 

 

 
       2,959  
    

 

 

 
  

Romania — 0.0% (g)

  2,780     

Republic of Romania,

 
  

Reg. S, 6.13%, 01/22/2044

    3,225  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
96       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Russia — 0.1%

 

  

Russian Federation,

 
  1,400     

Reg. S, 4.50%, 04/04/2022

    1,421  
  6,000     

Reg. S, 5.88%, 09/16/2043

    6,495  
  2,490     

Reg. S, 12.75%, 06/24/2028

    4,018  
    

 

 

 
       11,934  
    

 

 

 
  

Senegal — 0.0% (g)

  1,160     

Republic of Senegal, 6.75%, 03/13/2048 (e)

    1,096  
    

 

 

 
  

Serbia — 0.1%

 

  

Republic of Serbia,

 
  2,950     

Reg. S, 4.88%, 02/25/2020

    3,002  
  2,170     

Reg. S, 5.88%, 12/03/2018

    2,199  
  6,140     

Reg. S, 7.25%, 09/28/2021

    6,777  
    

 

 

 
       11,978  
    

 

 

 
  

Slovenia — 0.0% (g)

  2,241     

Republic of Slovenia,
5.25%, 02/18/2024 (e)

    2,462  
    

 

 

 
  

South Africa — 0.2%

 

  

Republic of South Africa,

 
  7,510     

4.88%, 04/14/2026

    7,369  
  3,950     

5.88%, 05/30/2022

    4,207  
  5,444     

5.88%, 09/16/2025

    5,703  
  6,200     

6.25%, 03/08/2041

    6,448  
    

 

 

 
       23,727  
    

 

 

 
  

Sri Lanka — 0.1%

 

  

Republic of Sri Lanka,

 
  6,300     

Reg. S, 5.88%, 07/25/2022

    6,347  
  4,240     

Reg. S, 6.25%, 10/04/2020

    4,372  
  4,000     

Reg. S, 6.25%, 07/27/2021

    4,115  
    

 

 

 
       14,834  
    

 

 

 
  

Tajikistan — 0.0% (g)

  1,450     

Republic of Tajikistan International Bond, Reg. S, 7.13%, 09/14/2027

    1,341  
    

 

 

 
  

Turkey — 0.2%

 

  

Republic of Turkey,

 
  1,500     

5.13%, 03/25/2022

    1,515  
  1,600     

5.75%, 03/22/2024

    1,622  
  5,950     

6.00%, 03/25/2027

    5,980  
  6,370     

6.00%, 01/14/2041

    5,853  
  3,300     

6.25%, 09/26/2022

    3,465  
  4,200     

6.63%, 02/17/2045

    4,100  
  8,240     

7.38%, 02/05/2025

    9,043  
    

 

 

 
       31,578  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Ukraine — 0.2%

 

  

Republic of Ukraine,

 
  5,300     

Reg. S, 7.75%, 09/01/2020

    5,506  
  6,860     

Reg. S, 7.75%, 09/01/2021

    7,083  
  7,040     

Reg. S, 7.75%, 09/01/2022

    7,181  
  3,610     

Reg. S, 7.75%, 09/01/2023

    3,639  
  4,600     

Reg. S, 7.75%, 09/01/2024

    4,586  
  1,445     

Ukreximbank Via Biz Finance plc, Reg. S, 9.63%, 04/27/2022

    1,494  
    

 

 

 
       29,489  
    

 

 

 
  

Uruguay — 0.1%

 

  

Republic of Uruguay,

 
  2,570     

4.38%, 10/27/2027

    2,583  
  1,850     

4.98%, 04/20/2055

    1,762  
  5,530     

5.10%, 06/18/2050

    5,433  
  1,680     

7.63%, 03/21/2036

    2,178  
    

 

 

 
       11,956  
    

 

 

 
  

Zambia — 0.1%

 

  

Republic of Zambia,

 
  1,500     

Reg. S, 5.38%, 09/20/2022

    1,376  
  1,550     

Reg. S, 8.50%, 04/14/2024

    1,564  
  5,170     

Reg. S, 8.97%, 07/30/2027

    5,183  
    

 

 

 
       8,123  
    

 

 

 
  

Total Foreign Government Securities
(Cost $584,382)

    571,857  
    

 

 

 
 

Loan Assignments — 0.6% (cc)

 
  

Canada — 0.0% (g)

  962     

Concordia Healthcare Corp., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 6.15%, 10/21/2021 (aa)

    870  
  633     

MacDonald, Dettwiler and Associates Ltd., Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.66%, 10/04/2024 (aa)

    634  
  460     

MEG Energy Corp., 1st Lien Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 5.81%, 12/31/2023 (aa)

    462  
    

 

 

 
       1,966  
    

 

 

 
  

United States — 0.6%

 

  1,636     

Avaya, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.75%), 6.65%, 12/15/2024 (aa)

    1,653  
  10,270     

California Resources Corp., 1st Lien Second Out Term Loan, (ICE LIBOR USD 1 Month + 10.38%), 12.27%, 12/31/2021 (aa)

    11,529  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         97  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Loan Assignments — continued

 
  

United States — continued

 
  6,826     

California Resources Corp., Senior Secured First Out, (ICE LIBOR USD 1 Month + 4.75%), 6.65%, 12/31/2022 (aa) ^

    6,964  
  8,610     

Chesapeake Energy Corp., 1st Lien Last Out, (ICE LIBOR USD 3 Month + 7.50%), 9.44%, 08/23/2021 (aa) ^

    9,105  
  1,421     

Cincinnati Bell, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.25%), 5.57%, 10/02/2024 (aa)

    1,436  
  1,464     

Consolidated Communications, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.91%, 10/05/2023 (aa)

    1,454  
  1,453     

Cortes NP Acquisition Corporation, Term B Loan, (ICE LIBOR USD 1 Month + 4.00%), 5.89%, 11/30/2023 (aa)

    1,450  
  176     

FGI Operating Co. LLC, DIP term Loan, (ICE LIBOR USD 3 Month + 6.75%), 8.00%, 06/28/2018 (aa) (bb) ^

    176  
  792     

FGI Operating Co. LLC, Term B Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.90%, 04/19/2019 (aa)

    184  
  2,062     

First Data Corp., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 4.15%, 04/26/2024 (aa)

    2,069  
  899     

Genesys Telecom Holdings, 1st Lien Term Loan B, (ICE LIBOR USD 3 Month + 3.50%), 5.80%, 12/01/2023 (aa)

    904  
  1,048     

Golden Nugget, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.75%), 4.65%, 10/04/2023 (aa)

    1,057  
  5,407     

iHeartCommunications, Inc., Term Loan D, (ICE LIBOR USD 3 Month + 6.75%), 9.05%, 01/30/2019 (aa)

    4,297  
  1,873     

iHeartCommunications, Inc., Tranche E Term Loan, (ICE LIBOR USD 3 Month + 7.50%), 9.80%, 07/30/2019 (aa)

    1,485  
  372     

Infor US, Inc., Tranche B-6 Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.65%, 02/01/2022 (aa)

    374  
  875     

JC Penney Corp., Term Loan B, (ICE LIBOR USD 3 Month + 4.25%), 6.23%, 06/23/2023 (aa) ^

    851  
  4,134     

Moran Foods LLC, Term Loan B, (ICE LIBOR USD 1 Month + 6.00%), 7.90%, 12/05/2023 (aa)

    3,574  
  572     

MTL Publishing LLC, 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 2.25%), 4.14%, 08/20/2023 (aa)

    574  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
  

United States — continued

 

  630     

ON Semiconductor Corp., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.00%), 3.90%, 03/31/2023 (aa)

    633  
  901     

Onex Wizard Acquisition Co. II S.C.A., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 4.65%, 03/11/2022 (aa)

    905  
  1,099     

PetSmart, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.89%, 03/11/2022 (aa)

    862  
  1,289     

Quest Software Us Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 3 Month + 5.50%), 7.86%, 10/31/2022 (aa)

    1,295  
  1,578     

Revlon Consumer Products Corp., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 09/07/2023 (aa)

    1,214  
  2,375     

Securus Technologies Holdings, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 4.50%), 6.40%, 11/01/2024 (aa)

    2,405  
  511     

Securus Technologies Holdings, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 1 Month + 8.25%), 10.15%, 11/01/2025 (aa)

    516  
  1,000     

Steinway Musical Instruments, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 3.75%), 5.54%, 02/14/2025 (aa) ^

    1,005  
  677     

Supervalu, Inc., Delayed Draw Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 06/08/2024 (aa)

    677  
  1,128     

Supervalu, Inc., Term Loan B, (ICE LIBOR USD 1 Month + 3.50%), 5.40%, 06/08/2024 (aa)

    1,128  
  2,653     

Syniverse Holdings Inc., Ist Lien, (ICE LIBOR USD 1 Month + 5.00%), 6.90%, 03/09/2023 (aa)

    2,680  
  838     

The Go Daddy Group, Inc., 1st Lien Term Loan B, (ICE LIBOR USD 1 Month + 2.25%), 4.15%, 02/15/2024 (aa)

    841  
  6,650     

Titan Acquisition Ltd., 1st Lien Term Loan B, (ICE LIBOR USD 2 Month + 3.00%), 5.06%, 03/28/2025 (aa) ^

    6,655  
  240     

Tribune Media Co., Term Loan B, (ICE LIBOR USD 1 Month + 3.00%), 4.90%, 12/27/2020 (aa)

    240  
  5,194     

Ultra Resources, Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.90%, 04/12/2024 (aa)

    4,856  
  754     

Vertis, Inc., 1st Lien Term Loan, (ICE LIBOR USD 1 Month + 8.75%), 12.00%, 03/21/2018 (d) (aa) (bb)

    (h) 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
98       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Loan Assignments — continued

 
  

United States — continued

 

  2,108     

Viskase Cos., Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 5.55%, 01/30/2021 (aa)

    2,071  
    

 

 

 
       77,119  
    

 

 

 
  

Total Loan Assignments
(Cost $81,575)

    79,085  
    

 

 

 
 

Mortgage-Backed Securities — 4.2%

 
  

FHLMC Gold Pools, 30 Year, Single Family,

 
  3,127     

3.00%, 04/01/2047

    3,016  
  127,671     

3.50%, 08/01/2046 - 03/01/2048

    127,072  
  17,423     

4.00%, 08/01/2046 - 08/01/2047

    17,864  
  

FNMA, 20 Year, Single Family,

 
  25,015     

3.50%, 02/01/2038 - 04/01/2038

    25,187  
  5,424     

4.00%, 11/01/2037

    5,600  
  

FNMA, 30 Year, Single Family,

 
  116,344     

3.00%, 07/01/2046 - 03/01/2047

    112,316  
  214,865     

3.50%, 04/01/2047 - 03/01/2048

    214,228  
  16,382     

4.00%, 12/01/2044 - 01/01/2048

    16,785  
  

FNMA, Other,

 
  2,730     

2.87%, 02/01/2032

    2,540  
  4,820     

3.06%, 08/01/2032

    4,542  
  6,650     

3.08%, 12/01/2029

    6,373  
  4,010     

3.24%, 01/01/2033

    3,823  
    

 

 

 
  

Total Mortgage-Backed Securities
(Cost $543,226)

    539,346  
    

 

 

 

SHARES
              
 

Preferred Stocks — 0.7%

 
  

Bermuda — 0.0% (g)

  3     

XLIT Ltd., Series D, (ICE LIBOR USD 3 Month + 3.12%), 5.47%, 06/01/2018 ($1,000 par value) (aa) @

    3,358  
    

 

 

 
  

United States — 0.7%

 

  508     

BB&T Corp., Series F, 5.20%, 08/01/2018 ($25 par value) @

    12,762  
  52     

BB&T Corp., Series G, 5.20%, 06/01/2018 ($25 par value) @

    1,298  
  156     

Capital One Financial Corp., Series D, 6.70%, 12/01/2019 ($25 par value) @

    4,108  
  213     

Dominion Energy, Inc., Series A, 5.25%, 07/30/2076 ($25 par value)

    5,184  
  12     

GMAC Capital Trust I, Series 2, (ICE LIBOR USD 3 Month + 5.79%), 7.62%, 02/15/2040 ($25 par value) (aa)

    319  

SHARES
    SECURITY DESCRIPTION   VALUE  
   
 

United States — continued

 

  260    

Goldman Sachs Group, Inc. (The), Series J, (ICE LIBOR USD 3 Month + 3.64%), 5.50%, 05/10/2023 ($25 par value) (aa) @

    6,669  
  64    

Goodman Private Preferred Shares (bb)

    212  
  310    

Morgan Stanley, Series I, (ICE LIBOR USD 3 Month + 3.71%), 6.38%, 10/15/2024 ($25 par value) (aa) @

    8,289  
  508    

Morgan Stanley, Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 04/15/2027 ($25 par value) (aa) @

    13,025  
  139    

SCE Trust II, 5.10%, 06/01/2018
($25 par value) @

    3,223  
  281    

Southern Co. (The), 5.25%, 10/01/2076 ($25 par value)

    6,837  
  301    

State Street Corp., Series D, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 03/15/2024 ($25 par value) (aa) @

    7,949  
  315    

State Street Corp., Series E, 6.00%, 12/15/2019 ($25 par value) @

    8,206  
  128    

State Street Corp., Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 03/15/2026 ($25 par value) (aa) @

    3,284  
  269    

Wells Fargo & Co., Series Y, 5.63%, 06/15/2022 ($25 par value) @

    6,666  
   

 

 

 
      88,031  
   

 

 

 
 

Total Preferred Stocks
(Cost $87,721)

    91,389  
   

 

 

 
PRINCIPAL
AMOUNT
             
 

Supranational — 0.0% (g)

  1,750    

African Export-Import Bank (The), Reg. S, 4.13%, 06/20/2024
(Cost $1,706)

    1,687  
   

 

 

 
NUMBER OF
RIGHTS
             
 

Rights — 0.0% (g)

 

United States — 0.0%

 

  483    

Vistra Energy Corp., expiring 12/31/2049 (a) (bb)
(Cost $—)

    322  
   

 

 

 
NUMBER OF
WARRANTS
             
 

Warrants — 0.0% (g)

 

United States — 0.0% (g)

 

  (h)   

Jack Cooper Enterprises, Inc., expiring 10/29/2027
(Strike Price $1.00) (a) (bb)

     
  1    

Nebraska Book Co., Inc., expiring 06/29/2019
(Strike Price $1.00) (a) (bb)

     
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         99  


Table of Contents

JPMorgan Income Builder Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

NUMBER of
WARRANTS
    SECURITY DESCRIPTION   VALUE  
 

Warrants — continued

 
 

United States — continued

 
  (h)   

Nebraska Book Holdings, Inc., expiring 06/29/2019
(Strike Price $1.00) (a) (bb)

     
 

Sabine Oil & Gas Holdings, Inc.,

 
  (h)   

expiring 04/13/2026 (a)

    1  
  1    

expiring 04/13/2026
(Strike Price $1.00) (a)

    9  
   

 

 

 
 

Total Warrants
(Cost $9)

    10  
   

 

 

 
PRINCIPAL
AMOUNT
             
 

U.S. Treasury Obligation — 0.2%

 
  19,578    

U.S. Treasury Notes,
1.13%, 01/31/2019 (k)
(Cost $19,471)

    19,422  
   

 

 

 
 

Short-Term Investments — 2.3%

 
 

Time Deposit — 0.1%

 

  12,700    

Credit Agricole Corporate and Investment Bank, 1.65%, 05/01/2018 (n)
(Cost $12,700)

    12,700  
   

 

 

 

SHARES
             
 

Investment Companies — 2.2%

 

  250,188    

JPMorgan U.S. Government Money Market Fund, IM Class Shares, 1.63% (b) (l)

    250,188  
  31,596    

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)

    31,596  
   

 

 

 
 

Total Investment Companies
(Cost $281,784)

    281,784  
   

 

 

 
 

Total Short-Term Investments
(Cost $294,484)

    294,484  
   

 

 

 
 

Total Investments — 98.9%
(Cost $11,922,250)

    12,644,100  
 

Other Assets in Excess of
Liabilities — 1.1%

    138,351  
   

 

 

 
 

NET ASSETS — 100.0%

  $ 12,782,451  
   

 

 

 

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, April 30, 2018

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

 

INDUSTRY    PERCENTAGE  

Banks

     8.9

Oil, Gas & Consumable Fuels

     8.4  

Equity Real Estate Investment Trusts (REITs)

     6.4  

Foreign Government Securities

     4.5  

Insurance

     4.4  

Mortgage-Backed Securities

     4.3  

Asset-Backed Securities

     4.2  

Pharmaceuticals

     3.9  

Collateralized Mortgage Obligations

     3.6  

Diversified Telecommunication Services

     3.6  

Media

     3.2  

Capital Markets

     3.2  

Wireless Telecommunication Services

     2.3  

Semiconductors & Semiconductor Equipment

     2.2  

Health Care Providers & Services

     2.0  

Electric Utilities

     1.8  

Metals & Mining

     1.7  

Hotels, Restaurants & Leisure

     1.5  

IT Services

     1.5  

Chemicals

     1.4  

Auto Components

     1.3  

Tobacco

     1.2  

Beverages

     1.1  

Food & Staples Retailing

     1.0  

Software

     1.0  

Others (each less than 1.0%)

     19.1  

Short-Term Investments

     2.3  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
100       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

                        

EURO STOXX 50 Index

       131          06/2018          EUR          5,480          318  

FTSE 100 Index

       55          06/2018          GBP          5,639          376  
                        

 

 

 
                           694  
                        

 

 

 

Short Contracts

                        

Foreign Exchange GBP/USD

       (4,847        06/2018          USD          (417,327        4,329  
                        

 

 

 
                           4,329  
                        

 

 

 
                           5,023  
                        

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         101  


Table of Contents

J.P. Morgan Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

ADR  

—  American Depositary Receipt

ARM  

—  Adjustable Rate Mortgage

ARS  

—  Argentine Peso

AUD  

—  Australian Dollar

BRL  

—  Brazilian Real

CAD  

—  Canadian Dollar

CHF  

—  Swiss Franc

CLP  

—  Chilean Peso

CNY  

—  China Yuan

COP  

—  Colombian Peso

CSMC  

—  Credit Suisse Mortgage Trust

CVA  

—  Dutch Certification

CZK  

—  Czech Republic Koruna

DIP  

—  Debtor-in-possession

DKK  

—  Danish Krone

EAFE  

—  Europe, Australasia and Far East

EGP  

—  Egyptian Pound

ETF  

—  Exchange Traded Fund

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

HKD  

—  Hong Kong Dollar

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 April 30, 2018. The rate may be subject to a cap and floor.

IO  

—  Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.

INR  

—  Indian Rupee

JPY  

—  Japanese Yen

KZT  

—  Kazakhstan Tenge

LIBOR  

—  London Interbank Offered Rate

MSCI  

—  Morgan Stanley Capital International

MXN  

—  Mexican Peso

MYR  

—  Malaysian Ringgit

PEN  

—  Peruvian Nuevo Sol

PHP  

—  Philippine Peso

PJSC  

—  Public Joint Stock Company

PLN  

—  Polish Zloty

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

RUB  

—  Russian Ruble

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 April 30, 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 of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(h)  

—  Amount rounds to less than 500.

(j)  

—  All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $28,737,000 and $0, 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 April 30, 2018.

(n)  

—  The rate shown is the effective yield as of April 30, 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 April 30, 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 April 30, 2018.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2018.

(bb)  

—  Security has been valued using significant unobservable inputs.

(cc)  

—  Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.

^  

—  All or a portion of the security is unsettled as of April 30, 2018. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position.

@  

—  The date shown reflects the next call date on which the issuer may redeem the security. The coupon rate for this security is currently in effect as of April 30, 2018.

**  

—  Non-Deliverable Forward. See Note 2.E.(3). in the Notes to Financial Statements.

(1)  

—  Notional value represents market value as of April 30, 2018 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded.

(2)  

—  Unrealized appreciation (depreciation) represents the unrealized gain (loss) of the positions subsequent to the swap reset.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
102       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         103  


Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

            
    
JPMorgan Global
Allocation  Fund
     JPMorgan Income
Builder Fund
 

ASSETS:

 

Investments in non-affiliates, at value

     $ 2,994,109      $ 12,362,316  

Investments in affiliates, at value

       255,583        281,784  

Options purchased, at value

       11,983         

Restricted cash for OTC derivatives

       (a)        

Cash

       10,514        45,500  

Foreign currency, at value

       10,207        12,064  

Deposits at broker for futures contracts

       19,460        896  

Deposits at broker for securities sold short

       64,408         

Receivables:

       

Due from custodian

       3,700         

Investment securities sold

       41,673        15,162  

Fund shares sold

       90,466        9,407  

Interest and dividends from non-affiliates

       12,448        101,007  

Dividends from affiliates

       277        322  

Tax reclaims

       1,163        6,838  

Variation margin on futures contracts

              5,753  

Variation margin on centrally cleared swaps

       (a)        

Unrealized appreciation on forward foreign currency exchange contracts

       14,780         

Outstanding OTC swap contracts, at value

       1,783         

Prepaid expenses and other assets

       142         
    

 

 

    

 

 

 

Total Assets

       3,532,696        12,841,049  
    

 

 

    

 

 

 

LIABILITIES:

 

Payables:

       

Due to custodian

       546         

Securities sold short, at value

       66,751         

Dividend expense to non-affiliates on securities sold short

       20         

Investment securities purchased

       79,046        29,601  

Investment securities purchased — delayed delivery securities

       2,000        4,840  

Fund shares redeemed

       1,988        13,570  

Variation margin on futures contracts

       5,135         

Unrealized depreciation on forward foreign currency exchange contracts

       3,167         

Outstanding options written, at fair value

       201         

Accrued liabilities:

       

Investment advisory fees

       1,439        4,272  

Administration fees

       134        585  

Distribution fees

       387        3,524  

Service fees

       307        382  

Custodian and accounting fees

       44        217  

Collateral management fees

       3         

Trustees’ and Chief Compliance Officer’s fees

       1        17  

Deferred foreign capital gains tax

       1        902  

Other

       133        688  
    

 

 

    

 

 

 

Total Liabilities

       161,303        58,598  
    

 

 

    

 

 

 

Net Assets

     $ 3,371,393      $ 12,782,451  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
104       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
            
    
JPMorgan Global
Allocation  Fund
       JPMorgan Income
Builder Fund
 

NET ASSETS:

 

Paid-in-Capital

     $ 3,165,028        $ 12,138,539  

Accumulated undistributed (distributions in excess of) net investment income

       1,194          (5,495

Accumulated net realized gains (losses)

       27,235          (76,865

Net unrealized appreciation (depreciation)

       177,936          726,272  
    

 

 

      

 

 

 

Total Net Assets

     $ 3,371,393        $ 12,782,451  
    

 

 

      

 

 

 

Net Assets:

 

Class A

     $ 381,528        $ 3,632,132  

Class C

       507,422          4,471,345  

Class I

       2,074,310          4,678,400  

Class R2

       3,680           

Class R6

       404,432          553  

Class T

       21          21  
    

 

 

      

 

 

 

Total

     $ 3,371,393        $ 12,782,451  
    

 

 

      

 

 

 

Outstanding units of beneficial interest (shares)

         

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

         

Class A

       20,579          345,732  

Class C

       27,733          426,772  

Class I

       111,354          444,703  

Class R2

       199           

Class R6

       21,719          53  

Class T

       1          2  

Net Asset Value (a):

         

Class A — Redemption price per share

     $ 18.54        $ 10.51  

Class C — Offering price per share (b)

       18.30          10.48  

Class I — Offering and redemption price per share

       18.63          10.52  

Class R2 — Offering and redemption price per share

       18.47           

Class R6 — Offering and redemption price per share

       18.62          10.52  

Class T — Offering and redemption price per share

       18.52          10.51  

Class A maximum sales charge

       4.50        4.50

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

    

 

19.41

 

    

 

11.01

 

Class T maximum sales charge

       2.50        2.50

Class T maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 18.99        $ 10.78  
    

 

 

      

 

 

 

Cost of investments in non-affiliates

     $ 2,791,910        $ 11,640,466  

Cost of investments in affiliates

       255,583          281,784  

Cost of options purchased

       23,511           

Cost of foreign currency

       10,242          11,803  

Proceeds from securities sold short

       68,401           

Premiums received from options written

       146           

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         105  


Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

            
    
JPMorgan Global
Allocation  Fund
     JPMorgan Income
Builder Fund
 

INVESTMENT INCOME:

 

Interest income from non-affiliates

     $ 17,399      $ 192,933  

Interest income from affiliates

       2        28  

Dividend income from non-affiliates

       17,946        108,700  

Dividend income from affiliates

       1,225        1,685  

Interest income from non-affiliates on securities sold short

       190         

Foreign taxes withheld

       (1,364      (6,717
    

 

 

    

 

 

 

Total investment income

       35,398        296,629  
    

 

 

    

 

 

 

EXPENSES:

 

Investment advisory fees

       8,341        28,867  

Administration fees

       1,128        5,207  

Distribution fees:

       

Class A

       441        4,617  

Class C

       1,708        17,071  

Class R2

       9         

Class T

       (a)       (a) 

Service fees:

       

Class A

       441        4,617  

Class C

       570        5,690  

Class I

       2,251        5,730  

Class R2

       4         

Class T

       (a)       (a) 

Custodian and accounting fees

       236        870  

Interest expense to affiliates

       13        2  

Professional fees

       78        145  

Collateral management fees

       9         

Trustees’ and Chief Compliance Officer’s fees

       18        22  

Printing and mailing costs

       69        468  

Registration and filing fees

       105        181  

Transfer agency fees (See Note 2.I.)

       35        162  

Other

       59        95  

Dividend expense to non-affiliates on securities sold short

       391         
    

 

 

    

 

 

 

Total expenses

       15,906        73,744  
    

 

 

    

 

 

 

Less fees waived

       (2,759      (17,818

Less earnings credits

              (a) 

Less expense reimbursements

              (137
    

 

 

    

 

 

 

Net expenses

       13,147        55,789  
    

 

 

    

 

 

 

Net investment income (loss)

       22,251        240,840  
    

 

 

    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

       

Net realized gain (loss) on transactions from:

 

Investments in non-affiliates

       13,536 (b)       286,200 (c) 

Options purchased

       6,420         

Futures contracts

       30,498        8,543  

Securities sold short

       1,056         

Foreign currency transactions

       357        401  

Forward foreign currency exchange contracts

       (6,851       

Options written

       185         

Swaps

       (212       
    

 

 

    

 

 

 

Net realized gain (loss)

       44,989        295,144  
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

       (2,179 )(d)       (417,097 )(e) 

Options purchased

       (22,073       

Futures contracts

       (14,785      (11,044

Securities sold short

       673         

Foreign currency translations

       (235      192  

Forward foreign currency exchange contracts

       1,215         

Options written

       (77       

Swaps

       1,563         
    

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

       (35,898      (427,949
    

 

 

    

 

 

 

Net realized/unrealized gains (losses)

       9,091        (132,805
    

 

 

    

 

 

 

Change in net assets resulting from operations

     $ 31,342      $ 108,035  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.
(b) Net of foreign capital gains tax of approximately $—(a) for Global Allocation Fund.
(c) Net of foreign capital gains tax of approximately $(72,000) for Income Builder Fund.
(d) Net of change in foreign capital gains tax of approximately $(1,000) for Global Allocation Fund.
(e) Net of change in foreign capital gains tax of approximately $(772,000) for Income Builder Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
106       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Global Allocation Fund      JPMorgan Income Builder Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

     $ 22,251      $ 33,634      $ 240,840      $ 476,970  

Net realized gain (loss)

       44,989        39,238        295,144        135,510  

Change in net unrealized appreciation/depreciation

       (35,898      180,456        (427,949      661,971  
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from operations

       31,342        253,328        108,035        1,274,451  
    

 

 

    

 

 

    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

             

Class A

             

From net investment income

       (2,355      (5,118      (71,979      (149,575

From net realized gains

       (5,191                     

Class C

             

From net investment income

       (1,941      (5,591      (77,526      (168,512

From net realized gains

       (6,707                     

Class I

             

From net investment income

       (12,912      (19,280      (93,382      (158,509

From net realized gains

       (24,719                     

Class R2

             

From net investment income

       (22      (17              

From net realized gains

       (53                     

Class R6 (a)

             

From net investment income

       (1,292             (7       

From net realized gains

       (2,264                     

Class T (b)

             

From net investment income

       (c)       (c)       (c)       (c) 

From net realized gains

       (c)                      
    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to shareholders

       (57,456      (30,006      (242,894      (476,596
    

 

 

    

 

 

    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

       1,071,122        672,281        127,574        (166,713
    

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS:

 

Change in net assets

       1,045,008        895,603        (7,285      631,142  

Beginning of period

       2,326,385        1,430,782        12,789,736        12,158,594  
    

 

 

    

 

 

    

 

 

    

 

 

 

End of period

     $ 3,371,393      $ 2,326,385      $ 12,782,451      $ 12,789,736  
    

 

 

    

 

 

    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 1,194      $ (2,535    $ (5,495    $ (3,441
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Commencement of offering of class of shares effective November 1, 2017.
(b) Commencement of offering of class of shares effective June 6, 2017.
(c) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         107  


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Global Allocation Fund      JPMorgan Income Builder Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

             

Class A

             

Proceeds from shares issued

     $ 106,423      $ 129,930      $ 321,866      $ 852,334  

Distributions reinvested

       7,217        4,965        69,663        143,621  

Cost of shares redeemed

       (34,645      (154,312      (453,497      (1,497,215
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 78,995      $ (19,417    $ (61,968    $ (501,260
    

 

 

    

 

 

    

 

 

    

 

 

 

Class C

             

Proceeds from shares issued

     $ 134,387      $ 135,092      $ 293,780      $ 590,089  

Distributions reinvested

       7,513        4,726        69,193        147,508  

Cost of shares redeemed

       (37,529      (138,369      (454,460      (1,406,579
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

     $ 104,371      $ 1,449      $ (91,487    $ (668,982
    

 

 

    

 

 

    

 

 

    

 

 

 

Class I

             

Proceeds from shares issued

     $ 749,784      $ 858,489      $ 708,068      $ 1,822,163  

Distributions reinvested

       31,422        15,322        80,177        125,226  

Cost of shares redeemed

       (303,110      (185,095      (507,793      (943,880
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 478,096      $ 688,716      $ 280,452      $ 1,003,509  
    

 

 

    

 

 

    

 

 

    

 

 

 

Class R2

             

Proceeds from shares issued

     $ 1,577      $ 1,824      $      $  

Distributions reinvested

       73        17                

Cost of shares redeemed

       (387      (328              
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ 1,263      $ 1,513      $      $  
    

 

 

    

 

 

    

 

 

    

 

 

 

Class R6 (a)

             

Proceeds from shares issued

     $ 408,991      $      $ 593      $  

Distributions reinvested

       3,479               7         

Cost of shares redeemed

       (4,073             (23       
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 408,397      $      $ 577      $  
    

 

 

    

 

 

    

 

 

    

 

 

 

Class T (b)

             

Proceeds from shares issued

     $      $ 20      $      $ 20  

Distributions reinvested

       (c)       (c)       (c)       (c) 
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in net assets resulting from Class T capital transactions

     $ (c)     $ 20      $ (c)     $ 20  
    

 

 

    

 

 

    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

     $ 1,071,122      $ 672,281      $ 127,574      $ (166,713
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Commencement of offering of class of shares effective November 1, 2017.
(b) Commencement of offering of class of shares effective June 6, 2017.
(c) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
108       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

 

       JPMorgan Global Allocation Fund      JPMorgan Income Builder Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
     Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

SHARE TRANSACTIONS:

             

Class A

 

Issued

       5,639        7,353        30,144        82,663  

Reinvested

       388        295        6,551        14,009  

Redeemed

       (1,839      (8,958      (42,454      (146,422
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class A Shares

       4,188        (1,310      (5,759      (49,750
    

 

 

    

 

 

    

 

 

    

 

 

 

Class C

 

Issued

       7,210        7,783        27,579        57,603  

Reinvested

       409        284        6,527        14,422  

Redeemed

       (2,017      (8,015      (42,736      (137,312
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class C Shares

       5,602        52        (8,630      (65,287
    

 

 

    

 

 

    

 

 

    

 

 

 

Class I

 

Issued

       39,527        48,350        66,165        177,387  

Reinvested

       1,682        898        7,528        12,162  

Redeemed

       (16,006      (10,666      (47,476      (92,124
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class I Shares

       25,203        38,582        26,217        97,425  
    

 

 

    

 

 

    

 

 

    

 

 

 

Class R2

 

Issued

       85        103                

Reinvested

       4        1                

Redeemed

       (21      (19              
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class R2 Shares

       68        85                
    

 

 

    

 

 

    

 

 

    

 

 

 

Class R6 (a)

Issued

       21,748               54         

Reinvested

       186               1         

Redeemed

       (215             (2       
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class R6 Shares

       21,719               53         
    

 

 

    

 

 

    

 

 

    

 

 

 

Class T (b)

Issued

              1               2  

Reinvested

       (c)       (c)       (c)       (c) 
    

 

 

    

 

 

    

 

 

    

 

 

 

Change in Class T Shares

       (c)       1        (c)       2  
    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Commencement of offering of class of shares effective November 1, 2017.
(b) Commencement of offering of class of shares effective June 6, 2017.
(c) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         109  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss) (b)(c)
         
    
Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
     Net
investment
income
    Net
realized
gain
    Total
distributions
 

JPMorgan Global Allocation Fund

                 

Class A

                 

Six Months Ended April 30, 2018 (Unaudited)

   $ 18.63      $ 0.14      $ 0.19     $ 0.33      $ (0.13   $ (0.29   $ (0.42

Year Ended October 31, 2017

     16.38        0.34        2.23       2.57        (0.32           (0.32

Year Ended October 31, 2016

     16.47        0.34        (0.10 )(i)      0.24        (0.31     (0.02     (0.33

Year Ended October 31, 2015

     17.15        0.23        (0.01     0.22        (0.34     (0.56     (0.90

Year Ended October 31, 2014

     16.45        0.26        0.97       1.23        (0.16     (0.37     (0.53

Year Ended October 31, 2013

     14.52        0.19        2.15       2.34        (0.41           (0.41

Class C

                 

Six Months Ended April 30, 2018 (Unaudited)

     18.39        0.09        0.19       0.28        (0.08     (0.29     (0.37

Year Ended October 31, 2017

     16.20        0.25        2.20       2.45        (0.26           (0.26

Year Ended October 31, 2016

     16.30        0.26        (0.10 )(i)      0.16        (0.24     (0.02     (0.26

Year Ended October 31, 2015

     17.04        0.15        (0.02     0.13        (0.31     (0.56     (0.87

Year Ended October 31, 2014

     16.39        0.16        0.98       1.14        (0.12     (0.37     (0.49

Year Ended October 31, 2013

     14.49        0.16        2.09       2.25        (0.35           (0.35

Class I

                 

Six Months Ended April 30, 2018 (Unaudited)

     18.71        0.16        0.20       0.36        (0.15     (0.29     (0.44

Year Ended October 31, 2017

     16.45        0.38        2.23       2.61        (0.35           (0.35

Year Ended October 31, 2016

     16.53        0.39        (0.10 )(i)      0.29        (0.35     (0.02     (0.37

Year Ended October 31, 2015

     17.19        0.27        (0.01     0.26        (0.36     (0.56     (0.92

Year Ended October 31, 2014

     16.47        0.30        0.97       1.27        (0.18     (0.37     (0.55

Year Ended October 31, 2013

     14.53        0.33        2.04       2.37        (0.43           (0.43

Class R2

                 

Six Months Ended April 30, 2018 (Unaudited)

     18.57        0.11        0.20       0.31        (0.12     (0.29     (0.41

Year Ended October 31, 2017

     16.36        0.28        2.22       2.50        (0.29           (0.29

Year Ended October 31, 2016

     16.44        0.31        (0.10 )(i)      0.21        (0.27     (0.02     (0.29

Year Ended October 31, 2015

     17.13        0.19        (0.01     0.18        (0.31     (0.56     (0.87

Year Ended October 31, 2014

     16.44        0.22        0.96       1.18        (0.12     (0.37     (0.49

Year Ended October 31, 2013

     14.51        0.25        2.04       2.29        (0.36           (0.36

Class R6

                 

November 1, 2017 (j) through April 30, 2018 (Unaudited)

     18.74        0.19        0.15       0.34        (0.17     (0.29     (0.46

Class T

                 

Six Months Ended April 30, 2018 (Unaudited)

     18.60        0.14        0.19       0.33        (0.12     (0.29     (0.41

June 6, 2017 (j) through October 31, 2017

     17.90        0.10        0.72       0.82        (0.12           (0.12

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Net investment income (loss) is affected by timing of distributions from Underlying Funds.
(c) Calculated based upon average shares outstanding.
(d) Not annualized for periods less than one year.
(e) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(f) Does not include expenses of Underlying Funds.
(g) Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(h) The net expenses and expenses without waivers (excluding dividend expense for securities sold short) for Class A are 1.02% and 1.23% for the six months ended April 30, 2018, 1.02% and 1.27% for the year ended October 31, 2017, Class C are 1.52% and 1.73% for the six months ended April 30, 2018, 1.52% and 1.77% for the year ended October 31, 2017, Class I are 0.77% and 0.97% for the six months ended April 30, 2018, 0.77% and 1.00% for the year ended October 31, 2017, Class R2 are 1.31% and 1.49% for the six months ended April 30, 2018, 1.27% and 1.60% for the year ended October 31, 2017, Class R6 are 0.64% and 0.73% for the six months ended April 30, 2018 and Class T are 1.02% and 1.27% for the six months ended April 30, 2018 and 1.02% and 1.28% for the year ended October 31, 2017, respectively.
(i) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Changes in Net Assets due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.
(j) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
110       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)              
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (d)(e)
    Net assets,
end of
period
(000’s)
    Net expenses
(including
dividend
expense for
securities sold
short) (f)(g)
    Net
investment
income
(loss) (b)
    Expenses
without waivers,
reimbursements
(including dividend
expense for
securities sold
short) (f)
    Portfolio
turnover rate
(excluding
securities sold
short) (d)
    Portfolio
turnover rate
(including
securities sold
short) (d)
 
             
             
$ 18.54       1.78   $ 381,528       1.05 %(h)      1.47     1.26 %(h)      50     60
  18.63       15.88       305,300       1.04 (h)      1.96       1.29 (h)      83       95  
  16.38       1.50       289,961       1.02       2.12       1.32       64        
  16.47       1.38       211,120       1.02       1.40       1.43       44        
  17.15       7.58       28,114       1.03       1.56       1.74       87        
  16.45       16.36       2,253       1.05       1.18       3.30       120        
             
  18.30       1.55       507,422       1.55 (h)      0.98       1.76 (h)      50       60  
  18.39       15.29       406,887       1.54 (h)      1.45       1.79 (h)      83       95  
  16.20       1.03       357,682       1.52       1.63       1.82       64        
  16.30       0.84       198,888       1.51       0.90       1.92       44        
  17.04       7.07       14,308       1.53       0.97       2.22       87        
  16.39       15.74       380       1.55       1.00       3.41       120        
             
  18.63       1.93       2,074,310       0.80 (h)      1.74       1.00 (h)      50       60  
  18.71       16.12       1,611,736       0.79 (h)      2.14       1.02 (h)      83       95  
  16.45       1.79       782,381       0.77       2.39       1.04       64        
  16.53       1.62       364,206       0.77       1.61       1.19       44        
  17.19       7.88       44,964       0.78       1.79       1.55       87        
  16.47       16.61       27,636       0.80       2.10       2.31       120        
             
  18.47       1.69       3,680       1.34 (h)      1.18       1.52 (h)      50       60  
  18.57       15.50       2,441       1.29 (h)      1.58       1.62 (h)      83       95  
  16.36       1.30       758       1.27       1.93       1.75       64        
  16.44       1.14       203       1.27       1.17       1.77       44        
  17.13       7.29       62       1.28       1.31       2.07       87        
  16.44       16.06       58       1.30       1.61       2.79       120        
             
  18.62       1.81       404,432       0.67 (h)      2.03       0.76 (h)      50       60  
             
  18.52       1.78       21       1.05 (h)      1.45       1.30 (h)      50       60  
  18.60       4.64       21       1.04 (h)      1.37       1.30 (h)      83       95  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         111  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

    Per share operating performance  
          Investment operations     Distributions  
     Net asset
value,
beginning
of period
    Net
investment
income
(loss)
        
    
Net realized
and unrealized
gains
(losses) on
investments
    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Return
of capital
    Total
distributions
 

JPMorgan Income Builder Fund

 

             

Class A

               

Six Months Ended April 30, 2018 (Unaudited)

  $ 10.62     $ 0.20 (e)    $ (0.10   $ 0.10     $ (0.21   $     $     $ (0.21

Year Ended October 31, 2017

    9.95       0.41 (e)      0.67       1.08       (0.41                 (0.41

Year Ended October 31, 2016

    9.96       0.42 (e)      (0.01     0.41       (0.42                 (0.42

Year Ended October 31, 2015

    10.41       0.41 (e)      (0.41     (f)      (0.41     (0.02     (0.02     (0.45

Year Ended October 31, 2014

    10.32       0.47       0.09       0.56       (0.47                 (0.47

Year Ended October 31, 2013

    9.70       0.45       0.64       1.09       (0.47                 (0.47

Class C

               

Six Months Ended April 30, 2018 (Unaudited)

    10.59       0.18 (e)      (0.11     0.07       (0.18                 (0.18

Year Ended October 31, 2017

    9.92       0.36 (e)      0.67       1.03       (0.36                 (0.36

Year Ended October 31, 2016

    9.93       0.37 (e)      (0.01     0.36       (0.37                 (0.37

Year Ended October 31, 2015

    10.38       0.35 (e)      (0.40     (0.05     (0.36     (0.02     (0.02     (0.40

Year Ended October 31, 2014

    10.29       0.42       0.10       0.52       (0.43                 (0.43

Year Ended October 31, 2013

    9.68       0.40       0.63       1.03       (0.42                 (0.42

Class I

               

Six Months Ended April 30, 2018 (Unaudited)

    10.63       0.21 (e)      (0.11     0.10       (0.21                 (0.21

Year Ended October 31, 2017

    9.96       0.43 (e)      0.67       1.10       (0.43                 (0.43

Year Ended October 31, 2016

    9.97       0.43 (e)      (0.01     0.42       (0.43                 (0.43

Year Ended October 31, 2015

    10.42       0.42 (e)      (0.40     0.02       (0.43     (0.02     (0.02     (0.47

Year Ended October 31, 2014

    10.33       0.49       0.09       0.58       (0.49                 (0.49

Year Ended October 31, 2013

    9.71       0.46       0.64       1.10       (0.48                 (0.48

Class R6

               

November 1, 2017(g) through
April 30, 2018 (Unaudited)

    10.64       0.24 (e)      (0.14     0.10       (0.22                 (0.22

Class T

               

Six Months Ended April 30, 2018 (Unaudited)

    10.62       0.21 (e)      (0.12     0.09       (0.20                 (0.20

June 6, 2017 (g) through October 31, 2017

    10.42       0.15 (e)      0.21       0.36       (0.16                 (0.16

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Calculated based upon average shares outstanding.
(f) Amount rounds to less than $0.005.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
112       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
    
    
    
Net  asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
(000’s)
    Net
expenses (d)
    Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)
 
           
           
$ 10.51       0.91   $ 3,632,132       0.75     3.87     1.06     32
  10.62       11.11       3,731,312       0.75       4.02       1.08       52  
  9.95       4.23       3,991,877       0.75       4.25       1.10       52  
  9.96       (0.03     4,262,148       0.75       3.97       1.11       48  
  10.41       5.54       4,024,646       0.74       4.60       1.12       41  
  10.32       11.45       3,223,725       0.75       4.55       1.13       41  
           
  10.48       0.66       4,471,345       1.25       3.37       1.56       32  
  10.59       10.58       4,609,784       1.25       3.53       1.59       52  
  9.92       3.70       4,968,359       1.25       3.76       1.61       52  
  9.93       (0.53     5,120,797       1.25       3.47       1.63       48  
  10.38       5.06       4,676,332       1.24       4.08       1.62       41  
  10.29       10.84       3,476,814       1.25       4.05       1.63       41  
           
  10.52       0.98       4,678,400       0.60       4.04       0.81       32  
  10.63       11.26       4,448,619       0.60       4.15       0.83       52  
  9.96       4.36       3,198,358       0.60       4.39       0.86       52  
  9.97       0.12       3,138,405       0.60       4.12       0.87       48  
  10.42       5.70       2,852,404       0.59       4.68       0.87       41  
  10.33       11.58       1,585,506       0.60       4.70       0.88       41  
           
  10.52       0.93       553       0.49       4.66       0.56       32  
           
  10.51       0.88       21       0.75       3.88       1.10       32  
  10.62       3.48       21       0.75       3.62       1.09       52  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         113  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

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

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Global Allocation Fund    Class A, Class C, Class I, Class R2, Class R6* and Class T    Diversified
JPMorgan Income Builder Fund    Class A, Class C, Class I, Class R6* and Class T    Diversified

 

* Class R6 commenced operations on November 1, 2017.

The investment objective of JPMorgan Global Allocation Fund (“Global Allocation Fund”) is to seek to maximize long-term total return.

The investment objective of JPMorgan Income Builder Fund (“Income Builder Fund”) is to seek to maximize income while maintaining prospects for capital appreciation.

Class A and Class T Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to the Class I, Class R2 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

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

 

 
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Table of Contents

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by the Funds at April 30, 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).

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

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

Global Allocation Fund

 

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

Investments in Securities

           

Common Stocks

           

Argentina

   $ 1,672      $      $      $ 1,672  

Australia

            37,336               37,336  

Austria

            6,597               6,597  

Belgium

            10,261               10,261  

Brazil

     15,914                      15,914  

Canada

     8,251                      8,251  

Chile

     2,267                      2,267  

China

     14,375        26,574               40,949  

Denmark

            13,050               13,050  

Finland

            21,938               21,938  

France

            134,658               134,658  

Germany

            95,280               95,280  

Hong Kong

            27,865               27,865  

India

     23,538        1,436               24,974  

Indonesia

            6,769               6,769  

Ireland

     5,024                      5,024  

Israel

     1,285                      1,285  

Italy

            29,624               29,624  

Japan

            189,228               189,228  

Luxembourg

            4,224               4,224  

Macau

            2,834               2,834  

Malaysia

            1,340               1,340  

Mexico

     5,482                      5,482  

Netherlands

            63,222               63,222  

Norway

            1,969               1,969  

Peru

     2,725                      2,725  

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         115  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Global Allocation Fund (continued)

 

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

Russia

   $      $ 5,542      $     $ 5,542  

Singapore

            9,922              9,922  

South Africa

     589        14,917              15,506  

South Korea

            2,572        7,728       10,300  

Spain

            31,805              31,805  

Sweden

            10,349              10,349  

Switzerland

            92,085              92,085  

Taiwan

     10,393        5,111              15,504  

Thailand

     1,440        1,862              3,302  

Turkey

            566              566  

United Kingdom

            116,350              116,350  

United States

     731,861        6,935        (a)      738,796  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Common Stocks

     824,816        972,221        7,728       1,804,765  
  

 

 

    

 

 

    

 

 

   

 

 

 

Preferred Stocks

          

Bermuda

            85              85  

United States

     17               10       27  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Preferred Stocks

     17        85        10       112  
  

 

 

    

 

 

    

 

 

   

 

 

 

Debt Securities

          

Asset-Backed Securities

          

United States

            6,471        28,390       34,861  

Collateralized Mortgage Obligations

          

United States

            347,710        1,391       349,101  

Commercial Mortgage-Backed Securities

          

United States

            4,868        1,017       5,885  

Convertible Bonds

          

United States

            103              103  

Corporate Bonds

          

Argentina

            2,903              2,903  

Australia

            605              605  

Azerbaijan

            1,744              1,744  

Bahrain

            292              292  

Brazil

            6,120              6,120  

Canada

            10,972        25       10,997  

Chile

            1,295              1,295  

China

            6,068              6,068  

Colombia

            954              954  

Congo, Democratic Republic of the

            251              251  

Costa Rica

            206              206  

Ecuador

            606              606  

Finland

            646              646  

France

            2,349              2,349  

Germany

            8,809              8,809  

Ghana

            645              645  

Guatemala

            208              208  

Hong Kong

            802              802  

Hungary

            213              213  

India

            823              823  

Indonesia

            2,171              2,171  

Ireland

            1,832              1,832  

Israel

            809              809  

Italy

            1,207              1,207  

Jamaica

            522              522  

Japan

            205              205  

 

 
116       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Global Allocation Fund (continued)

 

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

Jordan

   $     $ 367      $      $ 367  

Kazakhstan

           5,399               5,399  

Luxembourg

           5,125               5,125  

Mauritius

           484               484  

Mexico

           12,114               12,114  

Morocco

           215               215  

Netherlands

           7,178               7,178  

Nigeria

           581               581  

Norway

           373               373  

Panama

           191               191  

Peru

           1,357               1,357  

Qatar

           1,905               1,905  

Russia

           1,577               1,577  

Singapore

           292               292  

South Africa

           1,689               1,689  

South Korea

           849               849  

Trinidad and Tobago

           684               684  

Turkey

           2,831               2,831  

Ukraine

           982               982  

United Arab Emirates

           1,788               1,788  

United Kingdom

           6,660               6,660  

United States

           188,791        250        189,041  

Venezuela, Bolivarian Republic of

           482               482  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Corporate Bonds

           295,171        275        295,446  
  

 

 

   

 

 

    

 

 

    

 

 

 

Loan Assignments

          

Canada

           133               133  

United States

           9,041        19        9,060  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Loan Assignments

           9,174        19        9,193  
  

 

 

   

 

 

    

 

 

    

 

 

 

Foreign Government Securities

           375,302        802        376,104  

Mortgage-Backed Securities

           13,594               13,594  

Supranational

           4,130               4,130  

U.S. Treasury Obligations

           90,374               90,374  

Options Purchased

          

Call Options Purchased

     8,232       3,563               11,795  

Put Options Purchased

           188               188  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Options Purchased

     8,232       3,751               11,983  
  

 

 

   

 

 

    

 

 

    

 

 

 

Rights

          

United States

                  14        14  

Short-Term Investments

          

Foreign Government Treasury

          

Bills

           10,427               10,427  

Investment Companies

     255,583                     255,583  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Short-Term Investments

     255,583       10,427               266,010  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 1,088,648     $ 2,133,381      $ 39,646      $ 3,261,675  
  

 

 

   

 

 

    

 

 

    

 

 

 

Liabilities

          

Common Stocks

          

United States

   $ (66,751   $      $      $ (66,751
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities in Securities Sold Short

   $ (66,751   $      $      $ (66,751
  

 

 

   

 

 

    

 

 

    

 

 

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         117  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Global Allocation Fund (continued)

 

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

Appreciation in Other Financial Instruments

         

Forward Foreign Currency Exchange

         

Contracts

   $     $ 14,780     $      $ 14,780  

Futures Contracts

     295       2,753              3,048  

Swaps

           1,457       13        1,470  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Appreciation in Other Financial Instruments

   $ 295     $ 18,990     $ 13      $ 19,298  
  

 

 

   

 

 

   

 

 

    

 

 

 

Depreciation in Other Financial Instruments

         

Forward Foreign Currency Exchange Contracts

   $     $ (3,167   $      $ (3,167

Futures Contracts

     (18,362     (12,217            (30,579

Options Written

         

Call Options Written

           (48            (48

Put Options Written

           (153            (153
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Depreciation in Other Financial Instruments

   $ (18,362   $ (15,585   $      $ (33,947
  

 

 

   

 

 

   

 

 

    

 

 

 

Income Builder Fund

 

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

Investments in Securities

           

Common Stocks

           

Australia

   $      $ 82,306      $      $ 82,306  

Austria

            5,378               5,378  

Belgium

            19,499               19,499  

Brazil

     91,279                      91,279  

Canada

     45,581                      45,581  

Cayman Islands

                   86        86  

Chile

     18,956                      18,956  

China

            187,726               187,726  

Colombia

     897        4,319               5,216  

Czech Republic

            24,603               24,603  

Denmark

            23,151               23,151  

Finland

            76,783               76,783  

France

            376,761               376,761  

Germany

            215,646               215,646  

Hong Kong

            63,311               63,311  

Hungary

            24,816               24,816  

India

     18,827        33,846               52,673  

Indonesia

            19,570               19,570  

Ireland

     4,136        6,345               10,481  

Italy

            88,536               88,536  

Japan

            105,395               105,395  

Macau

            17,759               17,759  

Mexico

     49,046                      49,046  

Netherlands

            175,989               175,989  

New Zealand

                   1,173        1,173  

Norway

            62,818               62,818  

Portugal

            4,010               4,010  

Russia

     42,454        32,815               75,269  

Singapore

            30,482               30,482  

South Africa

     34,555        41,098               75,653  

South Korea

     9,328        27,356        21,623        58,307  

Spain

            109,377               109,377  

Sweden

            77,862               77,862  

 

 
118       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Income Builder Fund (continued)

 

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

Switzerland

   $      $ 225,242      $     $ 225,242  

Taiwan

     47,372        110,169              157,541  

Thailand

     24,996        14,116              39,112  

Turkey

            15,194              15,194  

United Arab Emirates

     4,372        16,434              20,806  

United Kingdom

     5,679        536,381              542,060  

United States

     1,900,514        21        2,948       1,903,483  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Common Stocks

     2,297,992        2,855,114        25,830       5,178,936  
  

 

 

    

 

 

    

 

 

   

 

 

 

Convertible Preferred Stocks

          

China

            5,463              5,463  

Israel

     926                     926  

United States

     61,729                     61,729  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Convertible Preferred Stocks

     62,655        5,463              68,118  
  

 

 

    

 

 

    

 

 

   

 

 

 

Preferred Stocks

          

Bermuda

            3,358              3,358  

United States

     87,819               212       88,031  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Preferred Stocks

     87,819        3,358        212       91,389  
  

 

 

    

 

 

    

 

 

   

 

 

 

Debt Securities

          

Asset-Backed Securities

          

United States

            104,777        433,557       538,334  

Collateralized Mortgage Obligations

          

Cayman Islands

            1,195              1,195  

United States

            455,715        2,979       458,694  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Collateralized Mortgage Obligations

            456,910        2,979       459,889  
  

 

 

    

 

 

    

 

 

   

 

 

 

Commercial Mortgage-Backed Securities

          

United States

            60,580        52,695       113,275  

Convertible Bonds

          

China

            1,295              1,295  

Cyprus

            3,655              3,655  

Germany

            6,704              6,704  

Hong Kong

            9,341              9,341  

Malaysia

            2,593              2,593  

Mexico

            5,255              5,255  

Monaco

            2,830              2,830  

Norway

            2,518              2,518  

Russia

            1,353              1,353  

Singapore

            11,383              11,383  

South Africa

            7,989              7,989  

United Arab Emirates

            14,082              14,082  

United Kingdom

            7,821              7,821  

United States

            105,236        (a)      105,236  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Convertible Bonds

            182,055              182,055  
  

 

 

    

 

 

    

 

 

   

 

 

 

Corporate Bonds

          

Argentina

            8,151              8,151  

Australia

            21,254              21,254  

Azerbaijan

            15,512              15,512  

Brazil

            50,262              50,262  

Canada

            203,688        254       203,942  

Cayman Islands

                   769       769  

Chile

            6,339              6,339  

Colombia

            8,099              8,099  

Croatia

            1,427              1,427  

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         119  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Income Builder Fund (continued)

 

 

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

Finland

   $      $ 2,695      $     $ 2,695  

France

            72,356              72,356  

Germany

            11,189              11,189  

Ghana

            4,065              4,065  

Guatemala

            5,365              5,365  

Hungary

            4,911              4,911  

India

            4,683              4,683  

Indonesia

            26,170              26,170  

Ireland

            34,243              34,243  

Israel

            2,279              2,279  

Italy

            23,246              23,246  

Jamaica

            3,707              3,707  

Japan

            2,103              2,103  

Kazakhstan

            33,104              33,104  

Luxembourg

            99,526              99,526  

Mexico

            73,122              73,122  

Morocco

            7,342              7,342  

Netherlands

            33,483              33,483  

Norway

            1,260              1,260  

Peru

            12,418              12,418  

Qatar

            4,947              4,947  

Russia

            5,555              5,555  

South Korea

            5,854              5,854  

Spain

            11,364              11,364  

Sweden

            15,094              15,094  

Switzerland

            31,791              31,791  

Trinidad and Tobago

            2,068              2,068  

Tunisia

            1,619              1,619  

Turkey

            16,687              16,687  

United Arab Emirates

            5,582              5,582  

United Kingdom

            131,290              131,290  

United States

            3,497,444        3,574       3,501,018  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Corporate Bonds

            4,501,294        4,597       4,505,891  
  

 

 

    

 

 

    

 

 

   

 

 

 

Loan Assignments
Canada

            1,966              1,966  

United States

            76,943        176       77,119  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Loan Assignments

            78,909        176       79,085  
  

 

 

    

 

 

    

 

 

   

 

 

 

Foreign Government Securities

            571,857              571,857  

Mortgage-Backed Securities

            539,346              539,346  

U.S. Treasury Obligations

            19,422              19,422  

Supranational

            1,687              1,687  

Rights

          

United States

                   322       322  

Warrants

          

United States

            10        (a)      10  

Short-Term Investments

          

Investment Companies

     281,784                     281,784  

Time Deposit

            12,700              12,700  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Short-Term Investments

     281,784        12,700              294,484  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Investments in Securities

   $ 2,730,250      $ 9,393,482      $ 520,368     $ 12,644,100  
  

 

 

    

 

 

    

 

 

   

 

 

 

Appreciation in Other Financial Instruments

          

Futures Contracts

   $ 4,329      $ 694      $     $ 5,023  
  

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) Value is zero.

 

 
120       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Transfers between fair value levels are valued utilizing values as of the beginning of the period.

For Global Allocation Fund and Income Builder Fund, transfers from level 1 to level 2 in the amounts of approximately $17,406,000 and $234,271,000, respectively, are due to the non-application of the fair value factors to certain securities during the six months ended April 30, 2018.

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):

 

Global Allocation Fund   Balance as of
October 31,
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
April 30,
2018
 

Asset-Backed Securities —
United States

  $ 34,178     $ 12     $ (30   $ 48     $     $ (4,043   $     $ (1,775   $ 28,390  

Collateralized Mortgage Obligations — United States

    1,489             6       4             (108                 1,391  

Commercial Mortgage-Backed Securities — United States

    1,024             (7     (b)                              1,017  

Common Stocks — South Korea

          15       104             2,182       (201     5,628             7,728  

Common Stocks — United States

    (a)                                                (a) 

Corporate Bonds — Canada

                (333     13       345                         25  

Corporate Bonds — United States

    596       (b)      2       (b)      (b)      (1           (347     250  

Foreign Government Securities

    698       65       (32     8       809       (746                 802  

Loan Assignments — United States

                            19                         19  

Preferred Stocks — United States

    10             (b)                                    10  

Rights — United States

    18             (4                                   14  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 38,013     $ 92     $ (294   $ 73     $ 3,355     $ (5,099   $ 5,628     $ (2,122   $ 39,646  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
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
April 30,
2018
 

Investments in Securities

                 

Asset-Backed Securities —
United States

  $ 504,465     $ 1,389     $ (4,727   $ 737     $ 27,180     $ (87,439   $ 23,233     $ (31,281   $ 433,557  

Collateralized Mortgage Obligations — United States

    3,346             195       (446           (116                 2,979  

Commercial Mortgage-Backed Securities — United States

    43,653             411       (b)      15,676       (7,045                 52,695  

Common Stocks — Cayman Islands

                86                                     86  

Common Stocks — New Zealand

    1,230             (57                                   1,173  

Common Stocks — South Korea

          263       (248           2,179       (3,299     22,728             21,623  

Common Stocks — United States

    (b)            2,160             788                         2,948  

Convertible Bonds — United States

    (a)                                                (a) 

Corporate Bonds — Canada

    (a)      1       (3,246     132       3,369       (2                 254  

Corporate Bonds —
Cayman Islands

                (79     5       843                         769  

Corporate Bonds — United States

    6,749       46       59       20       5       (461           (2,844     3,574  

Loan Assignments — United States

    (b)            (b)            176       (b)                  176  

Preferred Stocks — United States

    3,235             (2,235                 (788                 212  

Rights — United States

    447             (125                                   322  

Warrants — United States

    (a)                                                (a) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 563,125     $ 1,699     $ (7,806   $ 448     $ 50,216     $ (99,150   $ 45,961     $ (34,125   $ 520,368  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

(1) Purchases include all purchases of securities and securities received in corporate actions.
(2) Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
(a) Value is zero.
(b) Amount rounds to less than 500.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

For Global Allocation Fund and Income Builder Fund, there were no significant transfers among any other levels during the six months ended April 30, 2018.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2018, which were valued using significant unobservable inputs (level 3) were as follows (amounts in thousands):

 

      Value  

Global Allocation Fund

   $ (254

Income Builder Fund

     (3,728

These amounts are included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statements of Operations.

Global Allocation Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 28,387     Discounted Cash Flow   Constant Prepayment Rate     1.00% - 20.00% (7.72%)  
      Constant Default Rate     0.00% - 7.29% (3.40%)  
      Yield (Discount Rate of Cash Flows)     3.23% - 8.02% (4.53%)  
 

 

 

       
Asset-Backed Securities     28,387        

 

 

 

 

   

 

 

 

 

 

 

 
    1,017     Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     (0.26%) ((0.26%))  
 

 

 

       
Commercial Mortgage Backed Securities     1,017        

 

 

 

 

   

 

 

 

 

 

 

 
    1,391     Discounted Cash Flow   Constant Prepayment Rate     1.00% -17.71% (12.00%)  
      Constant Default Rate     1.89% - 2.80% (2.39%)  
      Yield (Discount Rate of Cash Flows)     5.55% - 6.05% (5.90%)  
 

 

 

       
Collateralized Mortgage Obligation     1,391        

 

 

 

 

   

 

 

 

 

 

 

 
    2     Pending Distribution   Expected Distribution Amount     $0.05 ($0.05)  
 

 

 

       
Rights     2        

 

 

 

 

   

 

 

 

 

 

 

 
Total   $ 30,797        

 

 

 

 

   

 

 

 

 

 

 

 

 

# The table above does not include level 3 investments that are valued by brokers and pricing services. At April 30, 2018, the value of these investments was approximately $8,849,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A.

The significant unobservable inputs used in the fair value measurement of the Fund’s 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.

Income Builder Fund

Quantitative Information about Level 3 Fair Value Measurements #

(Amounts in thousands)

 

     Fair Value at
April 30, 2018
    Valuation Technique(s)   Unobservable Input         Range (Weighted Average)  
  $ (a)    Market Comparable Companies   EBITDA Multiple (b)     6.5x (6.5x)  
      Liquidity Discount                     30.00% (30.00%)  
 

 

 

       
Common Stocks            

 

 

 

 

   

 

 

 

 

 

 

 
    212     Market Comparable Companies   EBITDA Multiple (b)     6.5x (6.5x)  
      Liquidity Discount     30.00% (30.00%)  
 

 

 

       
Preferred Stocks     212        

 

 

 

 

   

 

 

 

 

 

 

 
    (c)    Enterprise Value   Expected Recovery     0.00% (0.00%)  
 

 

 

       
Convertible Bonds            

 

 

 

 

   

 

 

 

 

 

 

 

 

 
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Table of Contents
     Fair Value at
April 30, 2018
    Valuation Technique(s)   Unobservable Input   Range (Weighted Average)  
  $ 3,532     Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     0.00% - 18.99% (9.00%)  
    1     Pending Distribution   Discount for potential outcome (d)     100.00% (100.00%)  
 

 

 

       
Corporate Bonds     3,533        

 

 

 

 

   

 

 

 

 

 

 

 
    433,555     Discounted Cash Flow   Constant Prepayment Rate     0.00% - 30.00% (9.49%)  
      Constant Default Rate     0.00% - 11.25% (2.97%)  
      Yield (Discount Rate of Cash Flows)     2.08% - 10.90% (4.18%)  
 

 

 

       
Asset-Backed Securities     433,555        

 

 

 

 

   

 

 

 

 

 

 

 
    1,419     Discounted Cash Flow   Constant Prepayment Rate     7.00% - 16.00% (10.28%)  
      Constant Default Rate     2.04% - 5.93% (3.70%)  
      Yield (Discount Rate of Cash Flows)     4.85% - 22.88% (8.36%)  
 

 

 

       
Collateralized Mortgage Obligations     1,419        

 

 

 

 

   

 

 

 

 

 

 

 
    49,695     Discounted Cash Flow   Yield (Discount Rate of Cash Flows)     (54.37%) - 199.00% (5.77%)  
 

 

 

       
Commercial Mortgage-Backed Securities     49,695        

 

 

 

 

   

 

 

 

 

 

 

 
    (c)    Terms of Exchange Offer   Expected Recovery     0.00% (0.00%)  
    (c)    Intrinsic Value   Strike Price     $14.88 - $33.61 ($24.25)  
 

 

 

       
Warrants            

 

 

 

 

   

 

 

 

 

 

 

 
    176     Pending Distribution   Expected Recovery     0.00% -100.00% (100.00%)  
 

 

 

       
Loan Assignments     176        

 

 

 

 

   

 

 

 

 

 

 

 
Total   $ 488,590        

 

 

 

 

   

 

 

 

 

 

 

 

 

# The table above does not include level 3 investments that are valued by brokers and pricing services. At April 30, 2018, the value of these investments was approximately $31,778,000. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are 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 Fund’s 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 enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, 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.

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.

As of April 30, 2018, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. Investment Transactions with Affiliates — The Funds invest in certain Underlying Funds which are advised by JPMIM or their affiliates. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. Included in the purchases and sales amounts in the tables below are exchanges between

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

certain share classes of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or portfolio turnover. Amounts in the tables below are in thousands.

 

Security Description   Value at
October 31,
2017
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain (Loss)
    Change
in Unrealized
Appreciation/
(Depreciation)
    Value at
April 30,
2018
    Shares at
April 30,
2018
   

Dividend

Income

    Capital Gain
Distributions
 

Global Allocation Fund

                 

JPMorgan U.S. Government Money
Market Fund, IM Class Shares (b)(l)

  $     $ 182,630     $ 1,773     $     $     $ 180,857     $ 180,857     $ 30     $  

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

    240,842       1,132,185       1,298,301                   74,726       74,726       1,195        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

Total

  $ 240,842     $ 1,314,815     $ 1,300,074     $     $     $ 255,583       $ 1,225     $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
Security Description   Value at
October 31,
2017
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain (Loss)
    Change
in Unrealized
Appreciation/
(Depreciation)
    Value at
April 30,
2018
    Shares at
April 30,
2018
   

Dividend

Income

    Capital Gain
Distributions
 

Income Builder Fund

                 

JPMorgan U.S. Government Money
Market Fund, IM Class Shares (b)(l)

  $       250,188     $     $     $     $ 250,188     $ 250,188     $ 43     $  

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

    239,514       1,112,637       1,320,555                   31,596       31,596       1,642        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

Total

  $ 239,514     $ 1,362,825     $ 1,320,555     $     $     $ 281,784       $ 1,685     $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(b) Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(l) The rate shown is the current yield as of April 30, 2018.

D. Loan Assignments — The Funds invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Funds invest in loan assignments of all or a portion of the loans. When a fund purchases a loan assignment, the fund has direct rights against the Borrower on a loan, provided, however, the fund’s rights may be more limited than the Lender from which they acquired the assignment and the fund may be able to enforce its rights only through the Agent. As a result, the fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the fund and the Borrower (“Intermediate Participants”). A fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a fund could experience delays or limitations in realizing the value on such collateral or have their interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a fund may not receive the proceeds from a sale of such investments for a period after the sale.

Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.

E. Derivatives — The Funds used derivative instruments including futures, forward foreign currency exchange contracts, options and swaps in connection with their investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Funds to close out their position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.

 

 
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Table of Contents

The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds 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 Funds. The ISDA agreements give the Funds 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 Funds.

Notes E(1) — E(4) below describe the various derivatives used by the Funds.

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

Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and records 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 included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

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

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

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

The Fund may be required to post or receive collateral for over the counter options.

(2). Futures Contracts — The Funds used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to particular countries or regions. The Funds also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(3). Forward Foreign Currency Exchange Contracts — The Funds may be exposed to foreign currency risks associated with some or all of their portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Funds also record a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Funds’ forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).

The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

(4). Swaps — Global Allocation Fund engaged in various swap transactions, including interest rate swaps, credit default swaps and total return basket swaps, to manage interest rate (e.g., duration, yield curve), credit risks 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 by the Fund are recorded as assets or liabilities, respectively, on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral for OTC swaps.

The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house.

The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

Credit Default Swaps

Global Allocation Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

 

 
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Interest Rate Swaps

Global Allocation 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.

Total Return Basket Swaps

Global Allocation 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.

Under the terms of the agreement, the 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 the 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 the swap value. The 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” and net dividends. Positions within the swap, accrued financing costs and net dividends, are part of the periodic reset. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty are recorded as Due from/to counterparty on swap contract on the Statements of Assets and Liabilities and as Net realized gain (loss) on transactions from swap on the Statements of Operations.

Swaps involve additional risks than if the Fund had invested in the underlying positions directly including: the risk that changes in the value of the swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swap consists of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Fund’s activities in the total return basket swap are concentrated with one counterparty. Investing in swaps results in a form of leverage (i.e., the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the Statements of Assets and Liabilities).

The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap and/or other receivables (payables) from gains/(losses) realized when the swap resets; and (v) other factors, as applicable. The value of the swap is reflected on the Statements of Assets and Liabilities as Outstanding swap contracts, at value. Changes in the value of the swap are recognized as Change in net unrealized appreciation/depreciation of swaps on the Statements of Operations.

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.

(5). Summary of Derivatives Information — The following tables present the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):

Global Allocation Fund

 

Derivative Contract    Statement of Assets and Liabilities Location  
Gross Assets:            OTC
Swaps
       Options (a)     Futures
Contracts 
(b)
    Forward Foreign
Currency Exchange
Contracts
       Total  

Equity contracts

   Receivables, Net Assets — Unrealized Appreciation      $ 1,783        $ 11,307     $ 2,753     $        $ 15,843  

Interest rate contracts

   Receivables, Net Assets — Unrealized Appreciation                       295                295  

Foreign exchange contracts

   Receivables                 676             14,780          15,456  
       

 

 

      

 

 

   

 

 

   

 

 

      

 

 

 

Total

        $ 1,783        $ 11,983     $ 3,048     $ 14,780        $ 31,594  
       

 

 

      

 

 

   

 

 

   

 

 

      

 

 

 

Gross Liabilities:

                                           

Equity contracts

   Payables, Net Assets — Unrealized Depreciation      $        $     $ (23,272   $        $ (23,272

Interest rate contracts

   Payables, Net Assets — Unrealized Depreciation                       (839              (839

Foreign exchange contracts

   Payables                 (201     (6,468     (3,167        (9,836
       

 

 

      

 

 

   

 

 

   

 

 

      

 

 

 

Total

        $        $ (201   $ (30,579   $ (3,167      $ (33,947
       

 

 

      

 

 

   

 

 

   

 

 

      

 

 

 

 

(a) The market value of options purchased is reported as an investment in non-affiliates, at value on the Statements of Assets and Liabilities.
(b) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Income Builder Fund

 

Derivative Contract    Statement of Assets and Liabilities Location          
Gross Assets:            Futures Contracts (a)  

Equity contracts

  

Receivables, Net Assets — Unrealized Appreciation

     $ 694  

Foreign exchange contracts

  

Receivables, Net Assets — Unrealized Appreciation

       4,329  
       

 

 

 

Total

        $ 5,023  
       

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers.

The following tables present the effect of derivatives on the Statements of Operations for the six months ended April 30, 2018, by primary underlying risk exposure (amounts in thousands):

Global Allocation Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts    Options        Futures Contracts        Forward Foreign
Currency Exchange
Contracts
       Swaps        Total  

Equity contracts

   $ 6,678        $ 28,107        $        $ (221      $ 34,564  

Foreign exchange contracts

     (73        1,811          (6,851                 (5,113

Interest rate contracts

              580                   98          678  

Credit contracts

                                (89        (89
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

   $ 6,605        $ 30,498        $ (6,851)        $ (212      $ 30,040  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations  
Derivative Contracts    Options        Futures Contracts        Forward Foreign
Currency Exchange
Contracts
       Swaps        Total  

Equity contracts

   $ (22,481      $ (13,997      $        $ 1,513        $ (34,965

Foreign exchange contracts

     331          201          1,215                   1,747  

Interest rate contracts

              (989                          (989

Credit contracts

                                50          50  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

   $ (22,150      $ (14,785      $ 1,215        $ 1,563        $ (34,157
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Income Builder Fund

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of the Operations  
Derivative Contracts    Futures Contracts  

Equity contracts

   $ (1,623)  

Foreign exchange contracts

     (20,240

Interest rate contracts

     30,406  
  

 

 

 

Total

   $ 8,543  
  

 

 

 

 

Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of the Operations  
Derivative Contracts    Futures Contracts  

Equity contracts

   $ 586  

Foreign exchange contracts

     (3,980

Interest rate contracts

     (7,650
  

 

 

 

Total

   $ (11,044
  

 

 

 

 

 
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Derivatives Volume

The table below discloses the volume of the Funds’ futures contracts, forward foreign currency exchange contracts, options and swaps activity during the six months ended April 30, 2018. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity (amounts in thousands):

 

      Global
Allocation
Fund
    Income
Builder
Fund
 

Futures Contracts:

    

Equity

    

Average Notional Balance Short

   $ 140,131     $ 9,742  

Ending Notional Balance Short

     365,835        

Ending Notional Balance Long

     215,494       11,119  

Ending Notional Balance Short

     501,964        

Foreign Exchange

    

Average Notional Balance Long

     191,573        

Average Notional Balance Short

           523,125  

Ending Notional Balance Long

     242,730        

Ending Notional Balance Short

           417,327  

Interest Rate

    

Average Notional Balance Long

     65,147    

Average Notional Balance Short

     77,311       865,782 (a) 

Ending Notional Balance Long

     150,308        

Ending Notional Balance Short

     193,725        

Forward Foreign Currency Exchange Contracts:

    

Average Settlement Value Purchased

     154,365        

Average Settlement Value Sold

     498,710        

Ending Settlement Value Purchased

     130,536        

Ending Settlement Value Sold

     558,188        

Exchange-Traded Options:

    

Average Number of Contracts Purchased

     69,110        

Average Number of Contracts Written

     78 (b)       

Ending Number of Contracts Purchased

     42,650        

Swaptions & OTC Options:

    

Average Notional Balance Purchased

     29,864        

Average Notional Balance Written

     11,150        

Ending Notional Balance Purchased

     58,251        

Ending Notional Balance Written

     27,372        

Interest Rate-Related SWAPs

    

Average Notional Balance — Pays Fixed rate

     9,388 (a)       

Average Notional Balance — Receives Fixed rate

     20,254 (a)       

Credit Default Swaps:

    

Average Notional Balance — Buy Protection

     6,520 (c)       

Total Return Basket Swaps:

    

Average Notional Balance Long

     28,243        

Ending Notional Balance Long

     34,736        

 

(a) For the period November 1, 2017 through March 31, 2018.
(b) For the period November 1, 2017 through December 31, 2017.
(c) For the period November 1, 2017 through February 28, 2018.

The Funds may be required to post or receive collateral based on the net value of the Funds’ non-deliverable forward foreign currency exchange contracts and/or OTC options with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Cash collateral posted by the Funds is reported on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

F. Short Sales — Global Allocation Fund engaged in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.

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

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

Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates. As of April 30, 2018, the Fund had outstanding short sales as listed on the SOI.

G. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.

H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Security gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend. The Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income on the Statements of Operations.

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

      Class A      Class C      Class I      Class R2     Class R6     Class T     Total  

Global Allocation Fund

                 

Transfer agency fees

   $ 11      $ 13      $ 11      $ (a)    $ (a)    $ (a)    $ 35  

Income Builder Fund

                 

Transfer agency fees

     61        75        26        n/a             (a)      162  

 

(a) Amount rounds to less than 500.

 

 
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J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. The Funds are subject to a tax imposed on short-term and long-term capital gains on securities of issuers domiciled in India. Prior to April 1, 2018, the Funds were only subject to a tax imposed on short-term capital gains on securities of issuers domiciled in India. The Funds record an estimated deferred tax liability for these securities, assuming those positions were disposed of at the end of the period. This amount, if any, is reported as Deferred India capital gains tax on the accompanying Statements of Assets and Liabilities. Short-term realized capital losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short-term realized capital gains.

India has recently enacted rules imposing a tax on the indirect transfers of Indian shares. Based upon current guidance from Indian tax authorities, management does not believe that such tax will be applicable to the Funds. However, management’s conclusion, regarding this and other foreign tax matters, may be subject to future review based on changes in, or the interpretation of, the accounting standards and the tax laws and regulations.

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

The reclassifications for the Funds relate primarily to return of capital distributions, foreign currency gains or losses and investments in passive foreign investment companies (“PFICs”).

3. Fees and Other Transactions with Affiliates

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

 

Global Allocation Fund

     0.60

Income Builder Fund

     0.45  

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class T Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A     Class C     Class R2     Class T  

Global Allocation Fund

       0.25     0.75     0.50     0.25

Income Builder Fund

       0.25       0.75       n/a       0.25  

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Global Allocation Fund

     $ 145        $ 2  

Income Builder Fund

       407          1  

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

 

        Class A        Class C        Class I        Class R2        Class T  

Global Allocation Fund

       0.25        0.25        0.25        0.25        0.25

Income Builder Fund

       0.25          0.25          0.25          n/a          0.25  

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

JPMDS waived service fees as outlined in Note 3.G.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for Global Allocation Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral management fees on the Statements of Operations.

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

 

        Class A     Class C     Class I     Class R2     Class R6     Class T  

Global Allocation Fund

       1.03     1.53     0.78     1.40 %*      0.65     1.03

Income Builder Fund

       0.75       1.25       0.60       n/a       0.52       0.75  

 

* Effective March 1, 2018, the contractual expense limitation increased from 1.28% to 1.40% for Class R2 Shares of the Global Allocation Fund and will be in place until at least February 28, 2019.

The expense limitation agreements were in effect for the six months ended April 30, 2018 and are in place until at least February 28, 2019.

For the six months ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

     Contractual Waivers           
      Investment
Advisory
Fees
       Administration
Fees
       Service
Fees
       Total        Contractual
Reimbursements
 

Global Allocation Fund

   $ 581        $ 387        $ 1,598        $ 2,566        $  

Income Builder Fund

     2,269          1,512          13,771          17,552          137  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund.

 

 
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The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2018 were as follows (amounts in thousands):

 

Global Allocation Fund

   $ 193  

Income Builder Fund

     266  

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

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

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

During the six months ended April 30, 2018, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the six months ended April 30, 2018, the Funds did not incur brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

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

Global Allocation Fund

     $ 1,898,741        $ 1,159,907        $ 123,574        $ 86,039        $ 264,568        $ 222,106  

Income Builder Fund

       4,009,702          3,913,495          17,804          35,363                    

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

      Aggregate
Cost
       Unrealized
Appreciation
       Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 

Global Allocation Fund*

   $ 3,002,457        $ 279,534        $ 101,717        $ 177,817  

Income Builder Fund

     11,922,250          969,795          242,922          726,873  

 

* The tax cost includes the proceeds from short sales which may result in a net negative cost.

As of October 31, 2017, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):

 

     Capital Loss
Carryforward Character
 
      Short-Term      Long-Term  

Income Builder Fund

   $ 322,530      $ 6,033  

During the year ended October 31, 2017, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):

 

Global Allocation Fund

   $ 19,917  

Income Builder Fund

     115,000  

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of Affiliated
Omnibus Accounts
     % of the Fund     Number of Non-Affiliated
Omnibus Accounts
     % of the Fund  

Global Allocation Fund

                  2        24.2

Income Builder Fund

     1        15.6     2        26.5  

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

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period. Such concentrations may subject each Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Funds may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates.

The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes, exchange-traded notes, forward foreign currency exchange contracts and To-Be-Announced securities.

 

 
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The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

The Funds invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds.”) These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.

8. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
      

Expenses

Paid During
the Period

       Annualized
Expense
Ratio
 

Global Allocation Fund

                   

Class A

                   

Actual*

     $ 1,000.00        $ 1,017.80        $ 5.25          1.05

Hypothetical*

       1,000.00          1,019.59          5.26          1.05  

Class C

                   

Actual*

       1,000.00          1,015.50          7.75          1.55  

Hypothetical*

       1,000.00          1,017.11          7.75          1.55  

Class I

                   

Actual*

       1,000.00          1,019.30          4.01          0.80  

Hypothetical*

       1,000.00          1,020.83          4.01          0.80  

Class R2

                   

Actual*

       1,000.00          1,016.90          6.68          1.34  

Hypothetical*

       1,000.00          1,018.10          6.69          1.34  

Class R6

                   

Actual**

       1,000.00          1,018.10          3.32          0.67  

Hypothetical*

       1,000.00          1,021.41          3.35          0.67  

Class T

                   

Actual*

       1,000.00          1,017.80          5.24          1.05  

Hypothetical*

       1,000.00          1,019.53          5.24          1.05  

Income Builder Fund

                   

Class A

                   

Actual*

       1,000.00          1,009.10          3.74          0.75  

Hypothetical*

       1,000.00          1,021.08          3.76          0.75  

Class C

                   

Actual*

       1,000.00          1,006.60          6.22          1.25  

Hypothetical*

       1,000.00          1,018.60          6.26          1.25  

Class I

                   

Actual*

       1,000.00          1,009.80          2.99          0.60  

Hypothetical*

       1,000.00          1,021.82          3.01          0.60  

Class R6

                   

Actual**

       1,000.00          1,009.30          2.43          0.49  

Hypothetical*

       1,000.00          1,022.36          2.46          0.49  

Class T

                   

Actual*

       1,000.00          1,008.80          3.74          0.75  

Hypothetical*

       1,000.00          1,021.08          3.76          0.75  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the actual period). Commencement of operations was November 1, 2017.

 

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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018   SAN-IB-GAL-418


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Semi-Annual Report

J.P. Morgan Funds

April 30, 2018 (Unaudited)

JPMorgan Emerging Markets Strategic Debt Fund

LOGO


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CONTENTS

 

CEO’s Letter        1  

Fund Commentary

       2  
Schedule of Portfolio Investments        5  
Financial Statements        18  
Financial Highlights        26  
Notes to Financial Statements        28  
Schedule of Shareholder Expenses        40  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

 

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         1  


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JPMorgan Emerging Markets Strategic Debt Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      (1.68)%  
J.P. Morgan Emerging Markets Bond Index Global Diversified      (2.41)%  
JPMorgan Emerging Markets Strategic Debt Composite Benchmark      0.41%  
Net Assets as of 4/30/2018 (In Thousands)    $ 901,510  
Duration as of 4/30/2018      4.9 years  

 

INVESTMENT OBJECTIVE**

The JPMorgan Emerging Markets Strategic Debt Fund (the “Fund”) seeks to provide total return.

INVESTMENT STRATEGY

The Fund invests primarily in emerging markets corporate and sovereign debt securities denominated in U.S., developed or emerging market currencies. The Fund bases security selection on a combination of macroeconomic research and bottom-up fundamental country analysis and uses futures contracts, options, derivatives and currency options to manage the portfolio’s duration and foreign exchange volatility.

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

The Fund (Class I Shares) had a negative absolute performance and outperformed the J.P. Morgan Emerging Markets Bond Index Global Diversified (the “Index”) for the six months ended April 30, 2018.

Relative to the Index, the Fund’s overweight allocation to local currency bonds in higher yielding markets, including Hungary, South Africa and Indonesia contributed to performance.

The Fund’s overweight positions in Ukraine, Chile and Brazil were the leading contributors to relative performance. Bonds in Ukraine rose amid improved gross domestic product data, progress in banking sector reforms and investor expectations for reforms to pension and land policies. Chile bonds benefitted from the country’s strong fiscal position, improved investor sentiment following elections in late 2017 and a rebound in global copper prices. In Brazil, the Fund benefitted from its allocation to utilities.

The Fund’s underweight positions in Poland, Russia and Mexico detracted from performance relative to the Index as bonds in those countries provided high yields and were less sensitive to interest rates movements elsewhere.

In terms of absolute performance, the Fund’s allocation to Latin America, particularly Ecuador and El Salvador, was a leading contributor to performance during the reporting period. Recent elections in El Salvador raised investor expectations for fiscal reforms in that country. Rising global oil prices during the reporting period provided support for bonds in Ecuador, an oil exporting nation.

The Fund’s allocation to Venezuela was the largest detractor from absolute performance, amid worsening economic conditions and increased civil unrest. The Fund’s allocation to Turkey also hurt absolute performance amid investor concerns about political events and fiscal policy. The Fund’s allocation to Argentina also detracted from performance as the country’s reliance on external financing left it vulnerable to rising borrowing costs.

HOW WAS THE FUND POSITIONED?

The Fund invested primarily in debt securities from emerging market countries that the Fund’s portfolio managers believed had the potential to provide total return. At the end of the reporting period, the Fund was overweight in the currencies of China, Indonesia and the Czech Republic and underweight in the currencies of the Philippines, India and Poland. In terms of sovereign debt, the Fund was overweight in Turkey, Argentina and Russia and was underweight in the Philippines, China and Poland.

 

 

 
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PORTFOLIO COMPOSITION BY SECURITY TYPE***

 
Foreign Government Securities      63.1
Corporate Bonds      28.4
Options Purchased      0.4
Short-Term Investments      8.1  

 

PORTFOLIO COMPOSITION BY COUNTRY***

 
Turkey      6.5
Indonesia      5.9
Argentina      5.7
Kazakhstan      4.1
Lebanon      3.9
South Africa      3.9
Russia      3.9
Mexico      3.8
Brazil      3.7
Ukraine      2.5
El Salvador      2.4
Belarus      2.2
Egypt      2.0
Peru      1.8
Qatar      1.8
Sri Lanka      1.7
Nigeria      1.6
China      1.6
Oman      1.6
Colombia      1.6
Hungary      1.6
Serbia      1.5
Malaysia      1.5
Kenya      1.3
Bahrain      1.3
Ecuador      1.3
Chile      1.3
Mongolia      1.3
Azerbaijan      1.1
Uruguay      1.1
Angola      1.0
Iraq      1.0
Others (each less than 1.0%)      14.4  
Short-Term Investments      8.1  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         3  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
       INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

       June 29, 2012                      

With Sales Charge**

            (5.45 )%         (2.67 )%         (5.19 )%         (3.15 )% 

Without Sales Charge

            (1.81 )        1.11        (4.47 )        (2.51 )

CLASS C SHARES

       June 29, 2012                      

With CDSC***

            (3.12 )        (0.52 )        (4.95 )        (3.01 )

Without CDSC

            (2.12 )        0.48        (4.95 )        (3.01 )

CLASS I SHARES

       June 29, 2012          (1.68 )        1.33        (4.24 )        (2.28 )

CLASS R2 SHARES

       June 29, 2012          (1.96 )        0.72        (4.72 )        (2.77 )

CLASS R5 SHARES

       June 29, 2012          (1.58 )        1.51        (4.04 )        (2.08 )

CLASS R6 SHARES

       June 29, 2012          (1.67 )        1.56        (4.00 )        (2.04 )

 

*   Not annualized.
**   Sales Charge for Class A Shares is 3.75%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (6/29/12 TO 4/30/18)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111. Effective September 30, 2016, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund were managed using the current strategies.

The Fund commenced operations on June 29, 2012.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Emerging Markets Strategic Debt Fund, the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified, Emerging Markets Strategic Debt Composite Benchmark and the Lipper Emerging Markets Local Currency Debt Funds Index from June 29, 2012 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. The Emerging Markets Strategic Debt Composite Benchmark does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of fund expenses, including sales charges if applicable. The performance of the Lipper Emerging Markets Local Currency Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified tracks total returns for U.S. dollar-denominated debt

instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds and Eurobonds. The diversified index limits the exposure of some of the larger countries. The Emerging Markets Strategic Debt Composite Benchmark is comprised of unmanaged indices that include an equally weighted average of the J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified, J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified and the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified. The Lipper Emerging Markets Local Currency Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category, as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

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

 

 

 
4       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — 27.2%

 
  

Argentina — 1.7%

 

  1,620     

Arcor SAIC, Reg. S, 6.00%, 07/06/2023

    1,677  
  359     

Banco Macro SA, Reg. S, (USD Swap Semi 5 Year + 5.46%), 6.75%, 11/04/2026 (aa)

    358  
  430     

Generacion Mediterranea SA, 9.63%, 07/27/2023 (e)

    465  
  

Pampa Energia SA,

 
  620     

Reg. S, 7.38%, 07/21/2023

    645  
  870     

Reg. S, 7.50%, 01/24/2027 (e)

    881  
  2,080     

Tecpetrol SA, 4.88%, 12/12/2022 (e)

    2,012  
  

YPF SA,

 
  540     

6.95%, 07/21/2027 (e)

    527  
  1,750     

7.00%, 12/15/2047 (e)

    1,561  
  4,200     

Reg. S, 8.50%, 03/23/2021

    4,551  
  2,050     

Reg. S, 8.75%, 04/04/2024

    2,243  
    

 

 

 
       14,920  
    

 

 

 
  

Azerbaijan — 0.9%

 
  

State Oil Co. of the Azerbaijan Republic,

 
  467     

Reg. S, 4.75%, 03/13/2023

    465  
  7,470     

Reg. S, 6.95%, 03/18/2030

    8,016  
    

 

 

 
       8,481  
    

 

 

 
  

Bahrain — 0.2%

 
  1,650     

Batelco International Finance No. 1 Ltd., Reg. S, 4.25%, 05/01/2020

    1,607  
    

 

 

 
  

Brazil — 2.9%

 

  2,170     

Banco do Brasil SA, Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.40%), 6.25%, 04/15/2024 (x) (y) (aa)

    1,923  
  2,970     

Cemig Geracao e Transmissao SA, 9.25%,
12/05/2024 (e)

    3,204  
  610     

CSN Resources SA, Reg. S, 6.50%, 07/21/2020

    592  
  

Itau Unibanco Holding SA,

 
  2,809     

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.98%), 6.13%,
12/12/2022 (e) (x) (y) (aa)

    2,745  
  990     

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 6.50%,
03/19/2023 (e) (x) (y) (aa)

    971  
  2,791     

JSL Europe SA, 7.75%, 07/26/2024 (e)

    2,805  
  1,770     

Light Servicos de Eletricidade SA, 7.25%, 05/03/2023 (e)

    1,785  
  

Petrobras Global Finance BV,

 
  2,650     

6.25%, 03/17/2024

    2,773  
  1,193     

8.38%, 05/23/2021

    1,343  
  3,750     

8.75%, 05/23/2026

    4,406  
  560     

Suzano Austria GmbH, 7.00%, 03/16/2047 (e)

    623  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Brazil — continued

 

  750     

Votorantim Cimentos SA, Reg. S, 7.25%, 04/05/2041

    814  
  

Vrio Finco 1 LLC,

 
  410     

6.25%, 04/04/2023 (e)

    413  
  1,900     

6.88%, 04/04/2028 (e)

    1,898  
    

 

 

 
       26,295  
    

 

 

 
  

Canada — 0.1%

 

  1,100     

Gran Tierra Energy International Holdings Ltd., 6.25%, 02/15/2025 (e)

    1,048  
    

 

 

 
  

Chile — 0.6%

 

  1,500     

Corp. Nacional del Cobre de Chile, Reg. S, 4.50%, 09/16/2025

    1,536  
  1,110     

Empresa Electrica Angamos SA, Reg. S, 4.88%, 05/25/2029

    1,075  
  600     

Empresa Nacional del Petroleo, Reg. S, 3.75%, 08/05/2026

    569  
  1,510     

Geopark Ltd., 6.50%, 09/21/2024 (e)

    1,503  
  660     

VTR Finance BV, Reg. S, 6.88%, 01/15/2024

    680  
    

 

 

 
       5,363  
    

 

 

 
  

China — 1.5%

 

  440     

Baoxin Auto Finance I Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year + 12.62%), 8.75%, 12/15/2019 (x) (y) (aa)

    450  
  470     

CCCI Treasure Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 7.19%), 3.50%, 04/21/2020 (x) (y) (aa)

    461  
  521     

CDBL Funding 2, Reg. S, 3.00%, 08/01/2022

    498  
  1,040     

China Minmetals Corp., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.72%), 3.75%, 11/13/2022 (x) (y) (aa)

    982  
  4,990     

Fortune Star BVI Ltd., Reg. S, 5.25%, 03/23/2022

    4,734  
  200     

GOME Retail Holdings Ltd., Reg. S, 5.00%, 03/10/2020

    196  
  200     

Guangxi Communications Investment Group Co. Ltd., Reg. S, 3.00%, 11/04/2019

    196  
  1,370     

Hongkong International Qingdao Co. Ltd., Reg. S, 4.25%, 12/04/2022

    1,332  
  200     

Huarong Finance II Co. Ltd., Reg. S, 2.75%, 06/03/2019

    198  
  1,270     

Rock International Investment, Inc., Reg. S, 6.63%, 03/27/2020

    1,126  
  800     

Sinopec Group Overseas Development Ltd., Reg. S, 4.10%, 04/28/2045

    739  
  1,000     

Three Gorges Finance I Cayman Islands Ltd., Reg. S, 3.70%, 06/10/2025

    979  
  450     

Times China Holdings Ltd., Reg. S, 6.25%, 01/23/2020

    450  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         5  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

China — continued

 

  900     

Top Wise Excellence Enterprise Co. Ltd., Reg. S, 6.00%, 03/16/2020

    876  
  640     

Vanke Real Estate Hong Kong Co. Ltd., Reg. S, 3.95%, 12/23/2019

    642  
    

 

 

 
       13,859  
    

 

 

 
  

Colombia — 0.6%

 
  910     

Banco GNB Sudameris SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.56%), 6.50%, 04/03/2027 (aa) (e)

    917  
  

Ecopetrol SA,

 
  2,340     

5.38%, 06/26/2026

    2,410  
  2,000     

5.88%, 09/18/2023

    2,128  
    

 

 

 
       5,455  
    

 

 

 
  

Congo, Democratic Republic of the — 0.2%

 

  1,389     

HTA Group Ltd., 9.13%, 03/08/2022 (e)

    1,455  
    

 

 

 
  

Costa Rica — 0.1%

 

  1,000     

Banco Nacional de Costa Rica, Reg. S, 5.88%, 04/25/2021

    1,030  
    

 

 

 
  

Ecuador — 0.2%

 

  

Petroamazonas EP,

 
  310     

4.63%, 02/16/2020 (e)

    294  
  1,980     

4.63%, 11/06/2020 (e)

    1,831  
    

 

 

 
       2,125  
    

 

 

 
  

Guatemala — 0.1%

 

  670     

Comunicaciones Celulares SA, Reg. S, 6.88%, 02/06/2024

    696  
    

 

 

 
  

Hong Kong — 0.5%

 

  1,050     

Bank of East Asia Ltd. (The), Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.68%), 5.63%, 05/18/2022 (x) (y) (aa)

    1,033  
  600     

King Power Capital Ltd., Reg. S, 5.63%, 11/03/2024

    639  
  1,030     

Wing Lung Bank Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.75%), 3.75%, 11/22/2027 (aa)

    990  
  1,950     

WTT Investment Ltd., 5.50%, 11/21/2022 (e)

    1,884  
    

 

 

 
       4,546  
    

 

 

 
  

Hungary — 0.1%

 
  600     

MFB Magyar Fejlesztesi Bank Zrt.,

 
  

Reg. S, 6.25%, 10/21/2020

    638  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

India — 0.6%

 

  929     

Azure Power Energy Ltd., 5.50%, 11/03/2022 (e)

    909  
  1,200     

Greenko Dutch BV, 5.25%, 07/24/2024 (e)

    1,148  
  900     

IDBI Bank Ltd., Reg. S, 3.75%, 01/25/2019

    899  
  1,480     

JSW Steel Ltd., Reg. S, 5.25%, 04/13/2022

    1,467  
  890     

UPL Corp. Ltd., 3.25%, 10/13/2021 (e)

    863  
    

 

 

 
       5,286  
    

 

 

 
  

Indonesia — 1.2%

 

  410     

Listrindo Capital BV, Reg. S, 4.95%, 09/14/2026

    383  
  1,358     

Medco Platinum Road Pte. Ltd., 6.75%, 01/30/2025 (e)

    1,295  
  

Minejesa Capital BV,

 
  1,711     

4.63%, 08/10/2030 (e)

    1,628  
  1,900     

5.63%, 08/10/2037 (e)

    1,833  
  

Pertamina Persero PT,

 
  2,100     

Reg. S, 6.45%, 05/30/2044

    2,318  
  1,200     

Reg. S, 6.50%, 05/27/2041

    1,324  
  1,100     

Perusahaan Listrik Negara PT, Reg. S, 4.13%, 05/15/2027

    1,034  
  1,180     

Theta Capital Pte. Ltd., Reg. S, 7.00%, 04/11/2022

    1,109  
    

 

 

 
       10,924  
    

 

 

 
  

Israel — 0.4%

 
  

Teva Pharmaceutical Finance Netherlands III BV,

 
  1,430     

3.15%, 10/01/2026

    1,141  
  2,740     

6.75%, 03/01/2028 (e)

    2,703  
    

 

 

 
       3,844  
    

 

 

 
  

Jamaica — 0.3%

 

  

Digicel Group Ltd.,

 
  1,620     

Reg. S, 7.13%, 04/01/2022

    1,320  
  1,030     

Reg. S, 8.25%, 09/30/2020

    925  
    

 

 

 
       2,245  
    

 

 

 
  

Kazakhstan — 3.0%

 

  6,930     

Kazakhstan Temir Zholy Finance BV, Reg. S, 6.95%, 07/10/2042

    7,582  
  2,910     

Kazakhstan Temir Zholy National Co. JSC, 4.85%, 11/17/2027 (e)

    2,888  
  

KazMunayGas National Co. JSC,

 
  3,000     

5.38%, 04/24/2030 (e)

    2,992  
  6,800     

Reg. S, 3.88%, 04/19/2022

    6,715  
  600     

Reg. S, 5.75%, 04/19/2047

    574  
  450     

Reg. S, 6.38%, 04/09/2021

    482  
  1,700     

6.38%, 10/24/2048 (e)

    1,736  
  2,200     

Reg. S, 7.00%, 05/05/2020

    2,349  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

Kazakhstan — continued

 

  1,000     

KazMunayGas National Co. PJSC, Reg. S, 4.75%, 04/19/2027

    981  
  960     

Nostrum Oil & Gas Finance BV, 8.00%, 07/25/2022 (e)

    979  
    

 

 

 
       27,278  
    

 

 

 
  

Kuwait — 0.1%

 

  439     

Kuwait Projects Co. SPC Ltd., Reg. S, 4.50%, 02/23/2027

    423  
    

 

 

 
  

Mauritius — 0.3%

 

  2,481     

Liquid Telecommunications Financing plc, 8.50%, 07/13/2022 (e)

    2,611  
    

 

 

 
  

Mexico — 3.1%

 

  724     

Banco Mercantil del Norte SA,

 
  

Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), 6.87%, 07/06/2022 (x) (y) (aa)

    727  
  755     

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.35%), 7.63%,
01/10/2028 (e) (x) (y) (aa)

    776  
  

Banco Nacional de Comercio Exterior SNC,

 
  500     

Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.80%, 08/11/2026 (aa)

    488  
  500     

Reg. S, 4.38%, 10/14/2025

    496  
  1,610     

BBVA Bancomer SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 01/18/2033 (aa) (e)

    1,517  
  3,240     

Cometa Energia SA de CV, 6.38%, 04/24/2035 (e)

    3,163  
  2,070     

Grupo Bimbo SAB de CV, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.28%), 5.95%, 04/17/2023 (e) (x) (y) (aa)

    2,074  
  1,210     

Grupo KUO SAB de CV, 5.75%, 07/07/2027 (e)

    1,177  
  1,830     

Nemak SAB de CV, 4.75%, 01/23/2025 (e)

    1,784  
  

Petroleos Mexicanos,

 
  700     

4.88%, 01/24/2022

    712  
  6,300     

5.38%, 03/13/2022

    6,511  
  1,550     

5.50%, 01/21/2021

    1,605  
  1,349     

(ICE LIBOR USD 3 Month + 3.65%), 5.72%, 03/11/2022 (aa)

    1,469  
  5,143     

6.75%, 09/21/2047

    4,953  
  780     

Reg. S, 6.35%, 02/12/2048

    715  
    

 

 

 
       28,167  
    

 

 

 
  

Morocco — 0.1%

 

  900     

OCP SA, Reg. S, 6.88%, 04/25/2044

    970  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Nigeria — 0.4%

 

  1,653     

Fidelity Bank plc, 10.50%, 10/16/2022 (e)

    1,681  
  1,720     

IHS Netherlands Holdco BV, Reg. S, 9.50%, 10/27/2021

    1,772  
    

 

 

 
       3,453  
    

 

 

 
  

Norway — 0.1%

 

  500     

DNO ASA, Reg. S, 8.75%, 06/18/2020 (e)

    515  
    

 

 

 
  

Panama — 0.1%

 

  874     

Banistmo SA, 3.65%, 09/19/2022 (e)

    834  
    

 

 

 
  

Peru — 0.6%

 

  800     

Corp. Financiera de Desarrollo SA, Reg. S, 4.75%, 02/08/2022

    815  
  1,000     

Fondo MIVIVIENDA SA, Reg. S, 3.50%, 01/31/2023

    975  
  1,238     

Inkia Energy Ltd., 5.88%, 11/09/2027 (e)

    1,182  
  660     

Nexa Resources SA, 5.38%, 05/04/2027 (e)

    661  
  

Petroleos del Peru SA,

 
  730     

4.75%, 06/19/2032 (e)

    692  
  800     

5.63%, 06/19/2047 (e)

    778  
  460     

Union Andina de Cementos SAA, Reg. S, 5.88%, 10/30/2021

    472  
    

 

 

 
       5,575  
    

 

 

 
  

Qatar — 1.3%

 

  

ABQ Finance Ltd.,

 
  5,770     

Reg. S, 3.50%, 02/22/2022

    5,561  
  760     

Reg. S, 3.63%, 04/13/2021

    748  
  1,650     

Ooredoo Tamweel Ltd., Reg. S, 3.04%, 12/03/2018

    1,650  
  3,228     

Ras Laffan Liquefied Natural Gas Co. Ltd. II,

 
  

Reg. S, 5.30%, 09/30/2020

    3,293  
    

 

 

 
       11,252  
    

 

 

 
  

Russia — 1.1%

 

  1,910     

Credit Bank of Moscow, Reg. S, (USD Swap Semi 5 Year + 5.42%), 7.50%, 10/05/2027 (aa)

    1,646  
  1,500     

GTLK Europe DAC, Reg. S, 5.13%, 05/31/2024

    1,427  
  1,400     

Russian Agricultural Bank OJSC, Reg. S, 8.50%, 10/16/2023

    1,500  
  1,600     

Sberbank of Russia, Reg. S, 6.13%, 02/07/2022

    1,666  
  400     

Sberbank of Russia Via SB Capital SA, Reg. S, 6.13%, 02/07/2022

    416  
  1,900     

Vnesheconombank, Reg. S, 6.03%, 07/05/2022

    1,966  
  1,594     

VTB Bank OJSC Via VTB Capital SA, Reg. S, 6.95%, 10/17/2022

    1,638  
    

 

 

 
       10,259  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         7  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Corporate Bonds — continued

 
  

South Africa — 0.8%

 

  

Eskom Holdings SOC Ltd.,

 
  1,300     

Reg. S, 5.75%, 01/26/2021

    1,298  
  1,100     

Reg. S, 6.75%, 08/06/2023

    1,111  
  1,400     

Reg. S, 7.13%, 02/11/2025

    1,428  
  

Stillwater Mining Co.,

 
  2,596     

6.13%, 06/27/2022 (e)

    2,599  
  713     

7.13%, 06/27/2025 (e)

    722  
  400     

Transnet SOC Ltd., Reg. S, 4.00%, 07/26/2022

    388  
    

 

 

 
       7,546  
    

 

 

 
  

South Korea — 0.5%

 

  4,080     

Heungkuk Life Insurance Co. Ltd., Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.47%), 4.48%, 11/09/2047 (aa)

    3,805  
  1,060     

Woori Bank, Reg. S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 5.25%, 05/16/2022 (x) (y) (aa)

    1,037  
    

 

 

 
       4,842  
    

 

 

 
  

Sri Lanka — 0.0% (g)

 

  400     

National Savings Bank, Reg. S, 8.88%, 09/18/2018

    406  
    

 

 

 
  

Trinidad and Tobago — 0.3%

 

  2,900     

Petroleum Co. of Trinidad & Tobago Ltd., Reg. S, 9.75%, 08/14/2019

    3,052  
    

 

 

 
  

Tunisia — 0.1%

 

  707     

Republic of Banque Centrale de Tunisie,

 
  

Reg. S, 5.75%, 01/30/2025

    654  
    

 

 

 
  

Turkey — 1.8%

 

  2,700     

Akbank Turk A/S, (USD Swap Semi 5 Year + 4.03%), 6.80%, 04/27/2028 (aa) (e)

    2,656  
  978     

Petkim Petrokimya Holding A/S, 5.88%, 01/26/2023 (e)

    934  
  1,650     

QNB Finansbank A/S, Reg. S, 4.88%, 05/19/2022

    1,578  
  1,502     

Ronesans Gayrimenkul Yatirim A/S, 7.25%,
04/26/2023 (e)

    1,470  
  752     

TC Ziraat Bankasi A/S, 5.13%, 09/29/2023 (e)

    719  
  1,610     

Turkiye Garanti Bankasi A/S, Reg. S, (USD Swap Semi 5 Year + 4.22%), 6.13%, 05/24/2027 (aa)

    1,556  
  

Turkiye Is Bankasi A/S,

 
  670     

Reg. S, 6.00%, 10/24/2022

    652  
  1,570     

6.13%, 04/25/2024 (e)

    1,523  
  3,200     

Turkiye Sise ve Cam Fabrikalari A/S,

 
  

Reg. S, 4.25%, 05/09/2020

    3,188  
  1,634     

Yapi ve Kredi Bankasi A/S, 6.10%, 03/16/2023 (e)

    1,603  
    

 

 

 
       15,879  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Ukraine — 0.5%

 

  

State Savings Bank of Ukraine,

 
  3,650     

Reg. S, SUB, 9.38%, 03/10/2023

    3,768  
  900     

Reg. S, SUB, 9.63%, 03/20/2025

    934  
    

 

 

 
       4,702  
    

 

 

 
  

United Arab Emirates — 0.5%

 

  2,751     

EA Partners I BV, Reg. S, 6.88%, 09/28/2020

    2,019  
  1,076     

EA Partners II BV, Reg. S, 6.75%, 06/01/2021

    764  
  2,000     

ICD Sukuk Co. Ltd., Reg. S, 3.51%, 05/21/2020

    1,977  
    

 

 

 
       4,760  
    

 

 

 
  

Venezuela, Bolivarian Republic of — 0.3%

 

  

Petroleos de Venezuela SA,

 
  2,930     

Reg. S, 5.38%, 04/12/2027 (d)

    766  
  200     

Reg. S, 5.50%, 04/12/2037 (d)

    53  
  2,330     

Reg. S, 6.00%, 11/15/2026 (d)

    585  
  635     

Reg. S, 8.50%, 10/27/2020 (d)

    551  
  490     

Reg. S, 9.00%, 11/17/2021 (d)

    145  
  630     

Reg. S, 9.75%, 05/17/2035 (d)

    177  
  620     

Reg. S, 12.75%, 02/17/2022 (d)

    191  
    

 

 

 
       2,468  
    

 

 

 
  

Total Corporate Bonds
(Cost $252,374)

    245,463  
    

 

 

 
 

Foreign Government Securities — 60.4%

 
  

Angola — 1.0%

 

  

Republic of Angola,

 
  4,613     

Reg. S, 7.00%, 08/17/2019

    4,695  
  3,700     

Reg. S, 9.50%, 11/12/2025

    4,158  
    

 

 

 
       8,853  
    

 

 

 
  

Argentina — 3.8%

 

  ARS 64,000     

Bonos de la Nacion Argentina con Ajuste por CER, 4.00%, 03/06/2020

    3,257  
  

Provincia de Buenos Aires,

 
  1,899     

7.88%, 06/15/2027 (e)

    1,918  
  4,050     

Reg. S, 9.95%, 06/09/2021

    4,475  
  

Provincia de Cordoba,

 
  670     

7.13%, 08/01/2027 (e)

    646  
  2,700     

7.45%, 09/01/2024 (e)

    2,781  
  500     

Reg. S, 7.13%, 06/10/2021

    524  
  1400     

Reg. S, 7.45%, 09/01/2024

    1,442  
  700     

Provincia de Mendoza Argentina, Reg. S, 8.38%, 05/19/2024

    735  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Argentina — continued

 

  

Republic of Argentina,

 
  1,000     

4.63%, 01/11/2023

    957  
  10,250     

6.88%, 04/22/2021

    10,742  
  475     

6.88%, 01/11/2048

    422  
  650     

7.63%, 04/22/2046

    627  
  2,383     

8.28%, 12/31/2033

    2,538  
  ARS1,900     

15.50%, 10/17/2026

    86  
  ARS 11,258     

18.20%, 10/03/2021

    523  
  2,386     

Reg. S, 7.13%, 06/28/2117

    2,114  
  8,625     

VAR, 0.00%, 12/15/2035 (aa)

    720  
    

 

 

 
       34,507  
    

 

 

 
  

Armenia — 0.3%

 

  

Republic of Armenia,

 
  200     

Reg. S, 6.00%, 09/30/2020

    204  
  2,500     

Reg. S, 7.15%, 03/26/2025

    2,672  
    

 

 

 
       2,876  
    

 

 

 
  

Azerbaijan — 0.1%

 

  1,033     

Republic of Azerbaijan,

 
  

Reg. S, 4.75%, 03/18/2024

    1,029  
    

 

 

 
  

Bahrain — 1.1%

 

  

Kingdom of Bahrain,

 
  1,500     

Reg. S, 5.50%, 03/31/2020

    1,498  
  846     

Reg. S, 5.88%, 01/26/2021

    850  
  7,400     

Reg. S, 6.13%, 07/05/2022

    7,419  
    

 

 

 
       9,767  
    

 

 

 
  

Belarus — 2.1%

 

  

Republic of Belarus,

 
  3,711     

6.20%, 02/28/2030 (e)

    3,576  
  1,430     

6.88%, 02/28/2023

    1,496  
  4,710     

7.63%, 06/29/2027 (e)

    5,063  
  3,640     

Reg. S, 6.88%, 02/28/2023 (e)

    3,808  
  4,479     

Reg. S, 7.63%, 06/29/2027

    4,815  
    

 

 

 
       18,758  
    

 

 

 
  

Bermuda — 0.2%

 

  1,300     

Republic of Bermuda,

 
  

Reg. S, 4.85%, 02/06/2024

    1,357  
    

 

 

 
  

Brazil — 0.7%

 

  

Federative Republic of Brazil,

 
  4,250     

6.00%, 04/07/2026

    4,586  
  1,120     

8.25%, 01/20/2034

    1,387  
    

 

 

 
       5,973  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Chile — 0.6%

 

  CLP    130     

BONOS TESORERIA GENL, 2.00%, 03/01/2035

    5,588  
    

 

 

 
  

Colombia — 0.9%

 

  

Republic of Colombia,

 
  2,100     

3.88%, 04/25/2027

    2,029  
  1,100     

4.50%, 01/28/2026

    1,121  
  3,600     

5.00%, 06/15/2045

    3,551  
  1,200     

7.38%, 09/18/2037

    1,518  
    

 

 

 
       8,219  
    

 

 

 
  

Costa Rica — 0.4%

 

  1,100     

Instituto Costarricense de Electricidad, Reg. S, 6.38%, 05/15/2043

    947  
  

Republic of Costa Rica,

 
  500     

Reg. S, 4.25%, 01/26/2023

    478  
  1,616     

Reg. S, 4.38%, 04/30/2025

    1,505  
  1,000     

Reg. S, 7.00%, 04/04/2044

    995  
    

 

 

 
       3,925  
    

 

 

 
  

Croatia — 0.7%

 

  

Republic of Croatia,

 
  1,391     

Reg. S, 6.00%, 01/26/2024

    1,514  
  1,600     

Reg. S, 6.38%, 03/24/2021

    1,714  
  787     

Reg. S, 6.63%, 07/14/2020

    838  
  1,900     

Reg. S, 6.75%, 11/05/2019

    1,993  
    

 

 

 
       6,059  
    

 

 

 
  

Dominican Republic — 0.9%

 

  

Government of Dominican Republic,

 
  450     

6.50%, 02/15/2048 (e)

    447  
  1,200     

Reg. S, 5.88%, 04/18/2024

    1,240  
  4,800     

Reg. S, 6.88%, 01/29/2026

    5,184  
  1,000     

Reg. S, 7.45%, 04/30/2044

    1,095  
    

 

 

 
       7,966  
    

 

 

 
  

Ecuador — 1.0%

 

  

Republic of Ecuador,

 
  1,570     

8.75%, 06/02/2023

    1,535  
  2,200     

8.88%, 10/23/2027 (e)

    2,062  
  600     

Reg. S, 7.95%, 06/20/2024

    561  
  1,100     

Reg. S, 8.75%, 06/02/2023 (e)

    1,075  
  2,500     

Reg. S, 10.50%, 03/24/2020

    2,569  
  1,200     

Reg. S, 10.75%, 03/28/2022

    1,260  
    

 

 

 
       9,062  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         9  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Egypt — 2.0%

 

  

Republic of Egypt,

 
  EUR 1,680     

4.75%, 04/16/2026 (e)

    2,019  
  EUR 1,630     

5.63%, 04/16/2030 (e)

    1,937  
  4,350     

Reg. S, 5.75%, 04/29/2020

    4,448  
  3,000     

Reg. S, 5.88%, 06/11/2025

    2,940  
  2,750     

Reg. S, 6.13%, 01/31/2022

    2,822  
  2,200     

Reg. S, 7.50%, 01/31/2027

    2,318  
  1,060     

Reg. S, 8.50%, 01/31/2047

    1,134  
    

 

 

 
       17,618  
    

 

 

 
  

El Salvador — 2.3%

 

  

Republic of El Salvador,

 
  2,940     

Reg. S, 5.88%, 01/30/2025

    2,878  
  866     

Reg. S, 6.38%, 01/18/2027

    855  
  4,378     

Reg. S, 7.38%, 12/01/2019

    4,531  
  3,527     

Reg. S, 7.63%, 02/01/2041

    3,668  
  6,075     

Reg. S, 7.65%, 06/15/2035

    6,326  
  1,470     

Reg. S, 7.75%, 01/24/2023

    1,580  
  1,158     

Reg. S, 8.25%, 04/10/2032

    1,277  
    

 

 

 
       21,115  
    

 

 

 
  

Ethiopia — 0.2%

 

  1,500     

Republic of Ethiopia, Reg. S, 6.63%, 12/11/2024

    1,513  
    

 

 

 
  

Gabon — 0.4%

 

  

Republic of Gabonese,

 
  1,951     

Reg. S, 6.38%, 12/12/2024

    1,897  
  1,941     

Reg. S, 6.95%, 06/16/2025

    1,929  
    

 

 

 
       3,826  
    

 

 

 
  

Ghana — 0.2%

 

  

Republic of Ghana,

 
  2,000     

Reg. S, 8.13%, 01/18/2026

    2,133  
    

 

 

 
  

Honduras — 0.1%

 

  

Republic of Honduras,

 
  1,000     

Reg. S, 8.75%, 12/16/2020

    1,091  
    

 

 

 
  

Hungary — 1.4%

 

  

Republic of Hungary,

 
  1,600     

5.38%, 02/21/2023

    1,712  
  2,500     

5.38%, 03/25/2024

    2,684  
  4,324     

5.75%, 11/22/2023

    4,713  
  3,600     

6.38%, 03/29/2021

    3,875  
    

 

 

 
       12,984  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Indonesia — 4.4%

 

  

Republic of Indonesia,

 
  IDR 35,025,000     

6.13%, 05/15/2028

    2,372  
  IDR 62,512,000     

7.00%, 05/15/2022

    4,573  
  IDR 25,500,000     

7.00%, 05/15/2027

    1,844  
  IDR 58,500,000     

7.50%, 08/15/2032

    4,276  
  IDR 37,000,000     

7.50%, 05/15/2038

    2,673  
  IDR 13,583,000     

8.25%, 07/15/2021

    1,027  
  IDR 86,089,000     

8.25%, 05/15/2036

    6,673  
  IDR   1,302,000     

8.38%, 03/15/2024

    101  
  IDR 60,511,000     

9.00%, 03/15/2029

    4,976  
  1,400     

Reg. S, 4.13%, 01/15/2025

    1,393  
  2,300     

Reg. S, 4.35%, 01/08/2027

    2,300  
  1,000     

Reg. S, 5.88%, 01/15/2024

    1,086  
  300     

Reg. S, 5.95%, 01/08/2046

    340  
  1,600     

Reg. S, 6.63%, 02/17/2037

    1,904  
  3,300     

Reg. S, 6.75%, 01/15/2044

    4,084  
    

 

 

 
       39,622  
    

 

 

 
  

Iraq — 1.0%

 

  

Republic of Iraq,

 
  5,387     

Reg. S, 5.80%, 01/15/2028

    5,064  
  3,620     

Reg. S, 6.75%, 03/09/2023

    3,606  
    

 

 

 
       8,670  
    

 

 

 
  

Ivory Coast — 0.7%

 

  

Republic of Cote d’Ivoire,

 
  EUR 3,430     

5.25%, 03/22/2030 (e)

    4,194  
  EUR 470     

6.63%, 03/22/2048 (e)

    572  
  400     

Reg. S, 5.38%, 07/23/2024

    392  
  1,323     

Reg. S, SUB, 5.75%, 12/31/2032

    1,267  
    

 

 

 
       6,425  
    

 

 

 
  

Jamaica — 0.5%

 

  

Government of Jamaica,

 
  1,400     

6.75%, 04/28/2028

    1,540  
  335     

8.00%, 06/24/2019

    343  
  2,011     

8.00%, 03/15/2039

    2,353  
    

 

 

 
       4,236  
    

 

 

 
  

Kazakhstan — 0.9%

 

  

Republic of Kazakhstan,

 
  KZT 1,416,000     

Zero Coupon, 03/15/2019 (e) (bb)

    4,015  
  752     

Reg. S, 3.88%, 10/14/2024

    754  
  1,100     

Reg. S, 4.88%, 10/14/2044

    1,078  
  1,500     

Reg. S, 5.13%, 07/21/2025

    1,596  
  600     

Reg. S, 6.50%, 07/21/2045

    713  
    

 

 

 
       8,156  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Kenya — 1.3%

 

  

Republic of Kenya,

 
  540     

7.25%, 02/28/2028 (e)

    556  
  1,020     

8.25%, 02/28/2048 (e)

    1,051  
  3,130     

Reg. S, 5.88%, 06/24/2019

    3,173  
  6,500     

Reg. S, 6.88%, 06/24/2024

    6,719  
    

 

 

 
       11,499  
    

 

 

 
  

Lebanon — 3.8%

 

  

Republic of Lebanon,

 
  1,570     

6.15%, 06/19/2020

    1,552  
  3,250     

6.25%, 05/27/2022

    3,110  
  8,404     

6.38%, 03/09/2020

    8,383  
  825     

Reg. S, 5.15%, 06/12/2018

    823  
  2,400     

Reg. S, 5.15%, 11/12/2018

    2,394  
  4,365     

Reg. S, 5.45%, 11/28/2019

    4,294  
  1,200     

Reg. S, 5.80%, 04/14/2020

    1,177  
  2,640     

Reg. S, 6.00%, 05/20/2019

    2,633  
  2,800     

Reg. S, 6.10%, 10/04/2022

    2,667  
  1,220     

Reg. S, 6.20%, 02/26/2025

    1,118  
  2,229     

Reg. S, 6.60%, 11/27/2026

    2,009  
  3,806     

Reg. S, 8.25%, 04/12/2021

    3,887  
    

 

 

 
       34,047  
    

 

 

 
  

Macedonia, the Former Yugoslav Republic of — 0.1%

 

  EUR 632     

Former Yugoslav Republic of Macedonia, 2.75%, 01/18/2025 (e)

    756  
    

 

 

 
  

Malaysia — 1.4%

 

  1,000     

1MDB Global Investments Ltd., Reg. S, 4.40%, 03/09/2023

    949  
  

Malaysia Government Bond,

 
  MYR 30,500     

3.44%, 02/15/2021

    7,700  
  MYR 15,950     

3.49%, 03/31/2020

    4,048  
    

 

 

 
       12,697  
    

 

 

 
  

Mexico — 0.5%

 

  

United Mexican States,

 
  1,300     

4.15%, 03/28/2027

    1,279  
  1,000     

4.60%, 01/23/2046

    914  
  1,570     

5.55%, 01/21/2045

    1,647  
  400     

5.75%, 10/12/2110

    392  
    

 

 

 
       4,232  
    

 

 

 
  

Mongolia — 1.2%

 

  

Mongolia Government Bond,

 
  1,800     

5.63%, 05/01/2023 (e)

    1,748  
  200     

8.75%, 03/09/2024 (e)

    222  
  2,659     

8.75%, 03/09/2024

    2,945  
  3,915     

Reg. S, 5.13%, 12/05/2022

    3,763  
  1,900     

Reg. S, 10.88%, 04/06/2021

    2,168  
    

 

 

 
       10,846  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Montenegro — 0.2%

 

  EUR 1,750     

Republic of Montenegro, 3.38%, 04/21/2025 (e)

    2,097  
    

 

 

 
  

Morocco — 0.7%

 

  6,140     

Kingdom of Morocco, Reg. S, 5.50%, 12/11/2042

    6,378  
    

 

 

 
  

Nigeria — 1.2%

 

  

Republic of Nigeria,

 
  850     

6.50%, 11/28/2027 (e)

    856  
  5,240     

7.63%, 11/28/2047 (e)

    5,273  
  1,482     

7.70%, 02/23/2038 (e)

    1,524  
  1,400     

Reg. S, 6.50%, 11/28/2027

    1,411  
  800     

Reg. S, 6.75%, 01/28/2021

    840  
  500     

Reg. S, 7.70%, 02/23/2038

    514  
    

 

 

 
       10,418  
    

 

 

 
  

Oman — 1.5%

 

  

Oman Government Bond,

 
  5,090     

6.75%, 01/17/2048 (e)

    4,797  
  1,000     

Reg. S, 4.13%, 01/17/2023

    951  
  2,300     

Reg. S, 4.75%, 06/15/2026

    2,145  
  1,100     

Reg. S, 5.38%, 03/08/2027

    1,048  
  5,149     

Reg. S, 6.50%, 03/08/2047

    4,776  
    

 

 

 
       13,717  
    

 

 

 
  

Pakistan — 0.6%

 

  5,060     

Republic of Pakistan, Reg. S, 7.25%, 04/15/2019

    5,157  
    

 

 

 
  

Panama — 0.6%

 

  

Republic of Panama,

 
  700     

4.50%, 05/15/2047

    686  
  2,000     

6.70%, 01/26/2036

    2,470  
  1,400     

9.38%, 04/01/2029

    1,988  
    

 

 

 
       5,144  
    

 

 

 
  

Paraguay — 0.4%

 

  

Republic of Paraguay,

 
  1,100     

Reg. S, 5.00%, 04/15/2026

    1,117  
  1,697     

Reg. S, 6.10%, 08/11/2044

    1,790  
  800     

Republic of Uruguay, 5.60%, 03/13/2048 (e)

    796  
    

 

 

 
       3,703  
    

 

 

 
  

Peru — 1.1%

 

  

Republic of Peru,

 
  PEN 16,631     

6.35%, 08/12/2028

    5,559  
  1,300     

8.75%, 11/21/2033

    1,911  
  PEN 7,723     

Reg. S, 6.15%, 08/12/2032 (e)

    2,483  
    

 

 

 
       9,953  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         11  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Qatar — 0.5%

 

  4,190     

State of Qatar, 5.10%, 04/23/2048 (e)

    4,153  
    

 

 

 
  

Romania — 0.4%

 

  

Republic of Romania,

 
  2,750     

Reg. S, 4.38%, 08/22/2023

    2,791  
  800     

Reg. S, 4.88%, 01/22/2024

    830  
    

 

 

 
       3,621  
    

 

 

 
  

Russia — 2.6%

 

  

Russian Federation,

 
  RUB 576,900     

7.70%, 03/23/2033

    9,367  
  RUB 518,860     

7.75%, 09/16/2026

    8,542  
  1,800     

Reg. S, 4.88%, 09/16/2023

    1,859  
  3,200     

Reg. S, 5.88%, 09/16/2043

    3,464  
    

 

 

 
       23,232  
    

 

 

 
  

Senegal — 0.2%

 

  

Republic of Senegal,

 
  923     

6.75%, 03/13/2048 (e)

    872  
  910     

Reg. S, 6.25%, 05/23/2033

    878  
    

 

 

 
       1,750  
    

 

 

 
  

Serbia — 1.4%

 

  

Republic of Serbia,

 
  6,675     

Reg. S, 4.88%, 02/25/2020

    6,792  
  5,580     

Reg. S, 7.25%, 09/28/2021

    6,159  
    

 

 

 
       12,951  
    

 

 

 
  

South Africa — 2.9%

 

  

Republic of South Africa,

 
  1,200     

4.30%, 10/12/2028

    1,099  
  600     

5.00%, 10/12/2046

    529  
  900     

5.38%, 07/24/2044

    837  
  1,000     

5.50%, 03/09/2020

    1,034  
  600     

5.88%, 05/30/2022

    639  
  1,400     

5.88%, 09/16/2025

    1,466  
  800     

6.25%, 03/08/2041

    832  
  ZAR 127,400     

6.50%, 02/28/2041

    7,741  
  ZAR 155,033     

8.75%, 02/28/2048

    12,052  
    

 

 

 
       26,229  
    

 

 

 
  

Sri Lanka — 1.5%

 

  

Republic of Sri Lanka,

 
  4,580     

5.75%, 04/18/2023 (e)

    4,554  
  600     

6.20%, 05/11/2027 (e)

    579  
  4,200     

Reg. S, 6.25%, 10/04/2020

    4,330  
  2,200     

Reg. S, 6.25%, 07/27/2021

    2,263  
  300     

Reg. S, 6.83%, 07/18/2026

    304  
  1,800     

Reg. S, 6.85%, 11/03/2025

    1,838  
    

 

 

 
       13,868  
    

 

 

 
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Tajikistan — 0.0% (g)

 

  320     

Republic of Tajikistan International Bond, 7.13%, 09/14/2027 (e)

    296  
    

 

 

 
  

Turkey — 4.5%

 

  700     

Export Credit Bank of Turkey, Reg. S, 5.38%, 10/24/2023

    683  
  

Republic of Turkey,

 
  4,900     

4.88%, 04/16/2043

    3,908  
  2,100     

6.00%, 03/25/2027

    2,110  
  1,700     

6.00%, 01/14/2041

    1,562  
  1,000     

6.25%, 09/26/2022

    1,050  
  3,200     

6.63%, 02/17/2045

    3,124  
  1,700     

7.38%, 02/05/2025

    1,866  
  TRY 96,200     

9.40%, 07/08/2020

    21,693  
  TRY 19,300     

11.00%, 02/24/2027

    4,426  
    

 

 

 
       40,422  
    

 

 

 
  

Ukraine — 1.9%

 

  

Republic of Ukraine,

 
  6,432     

Reg. S, 7.75%, 09/01/2020

    6,683  
  2,276     

Reg. S, 7.75%, 09/01/2021

    2,350  
  1,200     

Reg. S, 7.75%, 09/01/2024

    1,197  
  729     

Reg. S, 7.75%, 09/01/2025

    723  
  700     

Reg. S, 7.75%, 09/01/2027

    686  
  4,924     

Ukreximbank Via Biz Finance plc, Reg. S, 9.63%, 04/27/2022

    5,090  
    

 

 

 
       16,729  
    

 

 

 
  

Uruguay — 1.0%

 

  

Republic of Uruguay,

 
  1,900     

4.38%, 10/27/2027

    1,910  
  1,910     

4.98%, 04/20/2055

    1,819  
  2,800     

5.10%, 06/18/2050

    2,751  
  2,200     

7.88%, 01/15/2033

    2,874  
    

 

 

 
       9,354  
    

 

 

 
  

Venezuela, Bolivarian Republic of — 0.4%

 

  

Republic of Venezuela,

 
  310     

Reg. S, 6.00%, 12/09/2020 (d)

    87  
  1,030     

Reg. S, 7.65%, 04/21/2025 (d)

    286  
  521     

Reg. S, 7.75%, 10/13/2019 (d)

    151  
  2,800     

Reg. S, 8.25%, 10/13/2024 (d)

    791  
  4,930     

Reg. S, 9.00%, 05/07/2023 (d)

    1,405  
  2,730     

Reg. S, 9.25%, 05/07/2028 (d)

    771  
  170     

Reg. S, 11.75%, 10/21/2026 (d)

    52  
  620     

Reg. S, 12.75%, 08/23/2022 (d)

    194  
    

 

 

 
       3,737  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
 

Foreign Government Securities — continued

 
  

Vietnam — 0.1%

 

  1,100     

Republic of Vietnam, Reg. S, 4.80%, 11/19/2024

    1,119  
    

 

 

 
  

Zambia — 0.5%

 

  

Republic of Zambia,

 
  3,450     

Reg. S, 5.38%, 09/20/2022

    3,165  
  1,600     

Reg. S, 8.97%, 07/30/2027

    1,604  
    

 

 

 
       4,769  
    

 

 

 
  

Total Foreign Government Securities
(Cost $560,963)

    544,202  
    

 

 

 
 

Options Purchased — 0.4%

 
  

Call Options — 0.3%

 
  

United States — 0.3%

 

  44,451     

Foreign Exchange CNH/USD, 07/27/2018 at USD 6.50, Vanilla, European Style (a) Notional Amount: USD 44,451 Counterparty: Goldman Sachs International

    128  
  40,778     

Foreign Exchange INR/USD, 07/03/2018 at USD 67.60, Vanilla, European Style (a) Notional Amount : USD 40,778 Counterparty: Merrill Lynch International

    245  
  40,342     

Foreign Exchange PLN/USD, 06/20/2018 at USD 3.58, Vanilla, European Style (a) Notional Amount: USD 40,342 Counterparty: Goldman Sachs International

    230  
  39,677     

Foreign Exchange RUB/USD, 06/01/2018 at USD 60.31, Vanilla, European Style (a) Notional Amount: USD 39,677 Counterparty: Citibank, NA

    1,876  
    

 

 

 
  

Total Call Options Purchased

    2,479  
    

 

 

 
  

Put Options — 0.1%

 
  

Australia — 0.1%

 

  50,422     

Foreign Exchange JPY/AUD, 05/01/2018 at USD 83.55, Vanilla, European Style (a) Notional Amount: USD 50,422 Counterparty: Goldman Sachs International

    593  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE  
    
  

Australia — continued

 

  50,570     

Foreign Exchange USD/AUD, 05/11/2018 at USD 0.75, Vanilla, European Style (a) Notional Amount: USD 50,570 Counterparty: Merrill Lynch International

    207  
    

 

 

 
       800  
    

 

 

 
  

European Union — 0.0% (g)

 

  36,557     

Foreign Exchange USD/EUR, 06/29/2018 at USD 1.19, Vanilla, European Style (a) Notional Amount: USD 36,557 Counterparty: Citibank, NA

    188  
    

 

 

 
  

Total Put Options Purchased

    988  
    

 

 

 
  

Total Options Purchased
(Cost $1,512)

    3,467  
    

 

 

 
 

Short-Term Investments — 7.7%

 
  

Foreign Government Treasury Bill — 0.4%

 

  NGN 1,342,000     

Nigerian Treasury Bills,
18.99%, 06/14/2018 (n)
(Cost $3,645)

    3,669  
    

 

 

 
    
SHARES
              
  

Investment Company — 7.3%

 

  66,203     

JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.84% (b) (l)
(Cost $66,200)

    66,210  
    

 

 

 
  

Total Short-Term Investments
(Cost $69,845)

    69,879  
    

 

 

 
  

Total Investments — 95.7%
(Cost $884,694)

    863,011  
  

Other Assets in Excess of
Liabilities — 4.3%

    38,499  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 901,510  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION        NUMBER OF
CONTRACTS
     EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
 

Short Contracts

 
  Euro-Bund       

(53)

       06/2018          EUR          (10,160        (66
  Euro-Schatz       

(339)

       06/2018          EUR          (45,815        (52
  U.S. Treasury 10 Year Note       

(118)

       06/2018          USD          (14,106        (18
                        

 

 

 
                           (136
                        

 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         13  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands)

 

Forward foreign currency exchange contracts outstanding as of April 30, 2018:           
CURRENCY PURCHASED        CURRENCY SOLD        COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
IDR        7,424,840        USD        532        Standard Chartered Bank**        5/18/2018          1  
TRY        15,615        USD        3,748        HSBC Bank, NA        5/18/2018          76  
USD        545        AUD        719        Merrill Lynch International        5/18/2018          3  
USD        3,970        AUD        5,119        State Street Corp.        5/18/2018          116  
USD        4,350        COP        12,012,278        Credit Suisse International**        5/18/2018          74  
USD        4,007        EUR        3,256        Credit Suisse International        5/18/2018          70  
USD        4,120        EUR        3,325        Goldman Sachs International        5/18/2018          100  
USD        3,957        INR        258,996        Goldman Sachs International**        5/18/2018          68  
USD        4,785        INR        317,311        Standard Chartered Bank**        5/18/2018          21  
RUB        528,763        USD        8,210        Citibank, NA**        6/4/2018          151  
RUB        522,072        USD        8,210        Credit Suisse International**        6/4/2018          46  
CNH        100,742        USD        15,806        Deutsche Bank AG**        6/19/2018          102  
COP        17,039,976        USD        5,975        Citibank, NA**        6/19/2018          87  
COP        17,076,550        USD        5,975        Credit Suisse International**        6/19/2018          100  
EGP        145,181        USD        7,953        Citibank, NA**        6/19/2018          202  
TRY        5,831        USD        1,391        BNP Paribas        6/19/2018          22  
USD        3,983        ARS        84,828        Deutsche Bank AG**        6/19/2018          18  
USD        20,227        BRL        66,876        Goldman Sachs International**        6/19/2018          1,228  
USD        14,518        CLP        8,762,489        Credit Suisse International**        6/19/2018          234  
USD        8,012        CLP        4,798,598        Goldman Sachs International**        6/19/2018          190  
USD        11,843        EUR        9,503        Royal Bank of Canada        6/19/2018          324  
USD        7,915        EUR        6,330        State Street Corp.        6/19/2018          242  
USD        20,006        JPY        2,117,746        HSBC Bank, NA        6/19/2018          569  
USD        9,250        MXN        174,048        Goldman Sachs International        6/19/2018          15  
USD        2,700        MXN        50,481        HSBC Bank, NA        6/19/2018          22  
USD        7,908        MYR        31,063        Standard Chartered Bank**        6/19/2018          4  
USD        15,711        PLN        53,416        HSBC Bank, NA        6/19/2018          481  
USD        13,835        RUB        795,036        Goldman Sachs International**        6/19/2018          1,284  
USD        5,019        RUB        291,393        Merrill Lynch International**        6/19/2018          419  
USD        4,044        SGD        5,321        State Street Corp.        6/19/2018          27  
USD        12,107        THB        380,528        Goldman Sachs International        6/19/2018          33  
USD        3,716        TRY        14,609        BNP Paribas        6/19/2018          174  
USD        12,563        TRY        51,395        HSBC Bank, NA        6/19/2018          102  
USD        14,918        ZAR        179,479        Goldman Sachs International        6/19/2018          614  
USD        7,772        ZAR        94,291        Standard Chartered Bank        6/19/2018          256  
USD        2,449        ZAR        29,525        State Street Corp.        6/19/2018          96  
USD        1,354        IDR        18,785,964        Deutsche Bank AG**        6/20/2018          12  
USD        3,799        IDR        53,060,607        Merrill Lynch International**        6/20/2018          9  
USD        8,536        EUR        6,896        Australia & New Zealand Banking Group Ltd.        7/19/2018          156  
USD        4,087        EUR        3,292        State Street Corp.        7/19/2018          86  
                             

 

 

 
Total unrealized appreciation             7,834  
         

 

 

 
CLP        2,595,896        USD        4,350        Credit Suisse International**        5/18/2018          (118
CNH        3,811        USD        607        Citibank, NA**        5/18/2018          (4
CNH        25,901        USD        4,103        Goldman Sachs International**        5/18/2018          (7
CNH        24,794        USD        3,941        State Street Corp.**        5/18/2018          (20
CZK        84,308        USD        4,126        State Street Corp.        5/18/2018          (145
EUR        3,256        USD        4,043        Citibank, NA        5/18/2018          (106
IDR        54,170,756        USD        3,927        Merrill Lynch International**        5/18/2018          (42
MXN        80,003        USD        4,344        Goldman Sachs International        5/18/2018          (78
THB        126,243        USD        4,042        Merrill Lynch International        5/18/2018          (40
TWD        137,735        USD        4,704        Citibank, NA**        5/18/2018          (47
TWD        117,372        USD        4,027        Goldman Sachs International**        5/18/2018          (58
USD        4,263        MXN        80,003        Credit Suisse International        5/18/2018          (4
USD        4,250        PHP        221,894        Citibank, NA**        5/18/2018          (42

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
CURRENCY PURCHASED        CURRENCY SOLD        COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
USD        520        PHP        27,186        Deutsche Bank AG**        5/18/2018          (5
USD        3,895        PHP        203,157        Merrill Lynch International**        5/18/2018          (34
USD        3,723        TRY        15,615        Goldman Sachs International        5/18/2018          (101
USD        2,047        TRY        8,404        HSBC Bank, NA        5/18/2018          (11
BRL        29,958        USD        9,018        Credit Suisse International**        6/19/2018          (507
BRL        36,917        USD        11,259        Goldman Sachs International**        6/19/2018          (771
CLP        4,798,598        USD        7,930        Credit Suisse International**        6/19/2018          (108
CNH        51,054        USD        8,125        HSBC Bank, NA**        6/19/2018          (63
CNH        11,481        USD        1,826        Societe Generale**        6/19/2018          (13
CZK        155,662        USD        7,556        Deutsche Bank AG        6/19/2018          (192
CZK        3,869        USD        189        HSBC Bank, NA        6/19/2018          (6
EUR        15,833        USD        19,613        Standard Chartered Bank        6/19/2018          (421
INR        382,883        USD        5,805        Merrill Lynch International**        6/19/2018          (79
JPY        1,267,216        USD        12,153        Credit Suisse International        6/19/2018          (522
JPY        850,530        USD        8,098        Royal Bank of Canada        6/19/2018          (292
MXN        373,198        USD        20,114        Goldman Sachs International        6/19/2018          (313
PLN        53,416        USD        15,653        Royal Bank of Canada        6/19/2018          (423
RUB        267,865        USD        4,248        Citibank, NA**        6/19/2018          (20
RUB        89,508        USD        1,416        Credit Suisse International**        6/19/2018          (3
RUB        91,667        USD        1,478        Goldman Sachs International**        6/19/2018          (31
SGD        5,321        USD        4,070        Credit Suisse International        6/19/2018          (53
THB        380,528        USD        12,195        Barclays Bank plc        6/19/2018          (121
TRY        5,320        USD        1,300        Deutsche Bank AG        6/19/2018          (10
TRY        17,469        USD        4,263        Goldman Sachs International        6/19/2018          (28
USD        16,892        CNH        107,018        HSBC Bank, NA**        6/19/2018          (7
USD        11,910        COP        34,116,526        Credit Suisse International**        6/19/2018          (228
USD        3,915        EGP        69,962        Citibank, NA**        6/19/2018          (15
USD        5,706        INR        382,883        Citibank, NA**        6/19/2018          (19
USD        7,886        MXN        148,669        Credit Suisse International        6/19/2018          (3
USD        17,780        TRY        74,046        HSBC Bank, NA        6/19/2018          (172
ZAR        110,900        USD        8,890        Citibank, NA        6/19/2018          (51
ZAR        50,738        USD        4,183        National Australia Bank Ltd.        6/19/2018          (139
IDR        45,463,319        USD        3,274        Deutsche Bank AG**        6/20/2018          (26
USD        1,653        IDR        23,355,590        Goldman Sachs International**        6/20/2018          (15
USD        12,909        IDR        182,016,369        Standard Chartered Bank**        6/20/2018          (93
KZT        1,630,310        USD        4,888        Citibank, NA**        10/24/2018          (50
                             

 

 

 
Total unrealized depreciation             (5,656
         

 

 

 
Net unrealized appreciation             2,178  
         

 

 

 

 

Written Call Options Contracts as of April 30, 2018:                  
DESCRIPTION    COUNTERPARTY    NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     EXERCISE
PRICE
     EXPIRATION
DATE
     VALUE ($)  

Foreign Exchange INR/USD

   Exchange Traded      40,778        USD 40,778        INR 67.60        7/3/2018        (245
                 

 

 

 
                    (245
                 

 

 

 

 

Written Put Options Contracts as of April 30, 2018:                  
DESCRIPTION    COUNTERPARTY    NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     EXERCISE
PRICE
     EXPIRATION
DATE
     VALUE ($)  

Foreign Exchange JPY/AUD

   Exchange Traded      25,211        USD 25,211        JPY 83.55        5/1/2018        (297

Foreign Exchange JPY/AUD

   Exchange Traded      25,211        USD 25,211        JPY 83.55        5/1/2018        (296

Foreign Exchange USD/AUD

   Exchange Traded      50,570        USD 50,570        USD 0.75        5/11/2018        (207
                 

 

 

 
                    (800
                 

 

 

 

Total Written Options Contracts (Premiums Received $762)

 

     (1,045
                 

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         15  


Table of Contents

JPMorgan Emerging Markets Strategic Debt Fund

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

ARS  

—  Argentine Peso

AUD  

—  Australian Dollar

BRL  

—  Brazilian Real

CLP  

—  Chilean Peso

CNH  

—  China Renminbi

COP  

—  Colombian Peso

CZK  

—  Czech Republic Koruna

EGP  

—  Egyptian Pound

EUR  

—  Euro

ICE  

—  Intercontinental Exchange

IDR  

—  Indonesian Rupiah

INR  

—  Indian Rupee

JPY  

—  Japanese Yen

KZT

 

—  Kazakhstan Tenge

LIBOR  

—  London Interbank Offered Rate

MXN  

—  Mexican Peso

MYR  

—  Malaysian Ringgit

NGN  

—  Nigerian Naira

PEN  

—  Peru Nuevo Sol

PHP  

—  Philippine Peso

PLN  

—  Polish Zloty

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.

RUB  

—  Russian Ruble

SGD  

—  Singapore Dollar

SUB  

—  Step-Up Bond. The interest rate shown is the rate in effect as of April 30, 2018.

TRY  

—  Turkish Lira

TWD  

—  Taiwan Dollar

USD  

—  United States Dollar

VAR  

—  Variable Rate Security. The interest rate shown is the rate in effect as of April 30, 2018.

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 of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(n)  

—  The rate shown is the effective yield as of April 30, 2018.

(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 April 30, 2018.

(y)  

—  Security is an interest bearing note with preferred security characteristics.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2018.

(bb)  

—  Security has been valued using significant unobservable inputs.

**  

—  Non-Deliverable Forward. See Note 2.c.3 in the Notes to Financial Statements.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         17  


Table of Contents

STATEMENT OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

(Amounts in thousands, except per share amounts)

 

     

JPMorgan

Emerging Markets
Strategic
Debt Fund

 

ASSETS:

  

Investments in non-affiliates, at value

   $ 793,334  

Investments in affiliates, at value

     66,210  

Options purchased, at value

     3,467  

Cash

     2,694  

Foreign currency, at value

     3,356  

Deposits at broker for futures contracts

     355  

Receivables:

  

Due from custodian

     2,715  

Investment securities sold

     6,607  

Fund shares sold

     18,163  

Interest and dividends from non-affiliates

     11,073  

Dividends from affiliates

     81  

Tax reclaims

     17  

Unrealized appreciation on forward foreign currency exchange contracts

     7,834  
  

 

 

 

Total Assets

     915,906  
  

 

 

 

LIABILITIES:

  

Payables:

  

Investment securities purchased

     6,515  

Fund shares redeemed

     109  

Variation margin on futures contracts

     104  

Unrealized depreciation on forward foreign currency exchange contracts

     5,656  

Outstanding options written, at fair value

     1,045  

Accrued liabilities:

  

Investment advisory fees

     436  

Administration fees

     28  

Distribution fees

     21  

Service fees

     24  

Custodian and accounting fees

     52  

Collateral management fees

     5  

Trustees’ and Chief Compliance Officer’s fees

     11  

Deferred foreign capital gains tax

     43  

Other

     347  
  

 

 

 

Total Liabilities

     14,396  
  

 

 

 

Net Assets

   $ 901,510  
  

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
       

    
JPMorgan

Emerging Markets
Strategic
Debt Fund

 

NET ASSETS:

    

Paid-in-Capital

     $ 944,938  

Accumulated undistributed (distributions in excess of) net investment income

       2,342  

Accumulated net realized gains (losses)

       (25,683

Net unrealized appreciation (depreciation)

       (20,087
    

 

 

 

Total Net Assets

     $ 901,510  
    

 

 

 

Net Assets:

    

Class A

     $ 124,666  

Class C

       100  

Class I

       22,521  

Class R2

       27  

Class R5

       21  

Class R6

       754,175  
    

 

 

 

Total

     $ 901,510  
    

 

 

 

Outstanding units of beneficial interest (shares)

    

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

    

Class A

       15,592  

Class C

       13  

Class I

       2,795  

Class R2

       3  

Class R5

       2  

Class R6

       92,725  

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 8.00  

Class C — Offering price per share (b)

       7.85  

Class I — Offering and redemption price per share

       8.06  

Class R2 — Offering and redemption price per share

       7.92  

Class R5 — Offering and redemption price per share

       8.12  

Class R6 — Offering and redemption price per share

       8.13  

Class A maximum sales charge

       3.75

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 8.31  
    

 

 

 

Cost of investments in non-affiliates

     $ 816,982  

Cost of investments in affiliates

       66,200  

Cost of options purchased

       1,512  

Cost of foreign currency

       3,415  

Premiums received from options written

       762  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         19  


Table of Contents

STATEMENT OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

(Amounts in thousands)

 

          
JPMorgan
Emerging Markets
Strategic
Debt Fund
 

INVESTMENT INCOME:

  

Interest income from non-affiliates

   $ 20,841  

Interest income from affiliates

     4  

Dividend income from non-affiliates

     24  

Dividend income from affiliates

     235  

Foreign taxes withheld

     (139
  

 

 

 

Total investment income

     20,965  
  

 

 

 

EXPENSES:

  

Investment advisory fees

     2,630  

Administration fees

     305  

Distribution fees:

  

Class A

     101  

Class C

     1  

Class R2

     (a) 

Service fees:

  

Class A

     101  

Class C

     (a) 

Class I

     16  

Class R2

     (a) 

Class R5

     (a) 

Custodian and accounting fees

     74  

Interest expense to affiliates

     3  

Professional fees

     19  

Collateral management fees

     14  

Trustees’ and Chief Compliance Officer’s fees

     6  

Printing and mailing costs

     7  

Registration and filing fees

     22  

Transfer agency fees (See Note 2.F.)

     5  

Other

     7  
  

 

 

 

Total expenses

     3,311  
  

 

 

 

Less fees waived

     (489

Less expense reimbursements

     (2
  

 

 

 

Net expenses

     2,820  
  

 

 

 

Net investment income (loss)

     18,145  
  

 

 

 

 

(a) Amount rounds to less than $500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
          
JPMorgan
Emerging Markets
Strategic
Debt Fund
 

REALIZED/UNREALIZED GAINS (LOSSES):

  

Net realized gain (loss) on transactions from:

  

Investments in non-affiliates

   $ (4,489 )(a) 

Investments in affiliates

     (196

Options purchased

     (1,129

Futures contracts

     (192

Foreign currency transactions

     (931

Forward foreign currency exchange contracts

     (2,970

Options written

     594  

Swaps

     679  
  

 

 

 

Net realized gain (loss)

     (8,634
  

 

 

 

Change in net unrealized appreciation/depreciation on:

  

Investments in non-affiliates

     (30,241 )(b) 

Investments in affiliates

     10  

Options purchased

     2,157  

Futures contracts

     (184

Foreign currency translations

     (95

Forward foreign currency exchange contracts

     2,710  

Options written

     (332

Swaps

     106  
  

 

 

 

Change in net unrealized appreciation/depreciation

     (25,869
  

 

 

 

Net realized/unrealized gains (losses)

     (34,503
  

 

 

 

Change in net assets resulting from operations

   $ (16,358
  

 

 

 

 

(a) Net of foreign capital gains tax of approximately $(8,000).
(b) Net of change in foreign capital gains tax of approximately $(13,000).

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         21  


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan
Emerging Markets Strategic
Debt Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

       

Net investment income (loss)

     $ 18,145      $ 15,091  

Net realized gain (loss)

       (8,634      (2,292

Change in net unrealized appreciation/depreciation

       (25,869      7,153  
    

 

 

    

 

 

 

Change in net assets resulting from operations

       (16,358      19,952  
    

 

 

    

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

       

Class A

       

From net investment income

       (1,737      (1,069

Class C

       

From net investment income

       (4      (4

Class I

       

From net investment income

       (298      (333

Class R2

       

From net investment income

       (a)       (a) 

Class R5

       

From net investment income

       (1      (1

Class R6

       

From net investment income

       (14,420      (12,532
    

 

 

    

 

 

 

Total distributions to shareholders

       (16,460      (13,939
    

 

 

    

 

 

 

CAPITAL TRANSACTIONS:

       

Change in net assets resulting from capital transactions

       273,315        573,874  
    

 

 

    

 

 

 

NET ASSETS:

       

Change in net assets

       240,497        579,887  

Beginning of period

       661,013        81,126  
    

 

 

    

 

 

 

End of period

     $ 901,510      $ 661,013  
    

 

 

    

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 2,342      $ 657  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
       JPMorgan
Emerging Markets Strategic
Debt Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31,
2017
 

CAPITAL TRANSACTIONS:

       

Class A

       

Proceeds from shares issued

     $ 63,340      $ 79,092  

Distributions reinvested

       1,737        1,069  

Cost of shares redeemed

       (12,362      (5,873
    

 

 

    

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 52,715      $ 74,288  
    

 

 

    

 

 

 

Class C

       

Proceeds from shares issued

     $ (a)     $ 273  

Distributions reinvested

       4        4  

Cost of shares redeemed

       (197      (26
    

 

 

    

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (193    $ 251  
    

 

 

    

 

 

 

Class I

       

Proceeds from shares issued

     $ 22,152      $ 12,733  

Distributions reinvested

       298        333  

Cost of shares redeemed

       (11,569      (4,790
    

 

 

    

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 10,881      $ 8,276  
    

 

 

    

 

 

 

Class R2

       

Proceeds from shares issued

     $ 7      $ (a) 

Distributions reinvested

       (a)       (a) 

Cost of shares redeemed

       (a)       (a) 
    

 

 

    

 

 

 

Change in net assets resulting from Class R2 capital transactions

     $ 7      $ (a) 
    

 

 

    

 

 

 

Class R5

       

Proceeds from shares issued

     $      $ (a) 

Distributions reinvested

       1        1  

Cost of shares redeemed

              (a) 
    

 

 

    

 

 

 

Change in net assets resulting from Class R5 capital transactions

     $ 1      $ 1  
    

 

 

    

 

 

 

Class R6

       

Proceeds from shares issued

     $ 202,997      $ 504,216  

Distributions reinvested

       14,420        12,532  

Cost of shares redeemed

       (7,513      (25,690
    

 

 

    

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 209,904      $ 491,058  
    

 

 

    

 

 

 

Total change in net assets resulting from capital transactions

     $ 273,315      $ 573,874  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         23  


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       JPMorgan
Emerging Markets Strategic
Debt Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
     Year Ended
October 31,
2017
 

SHARE TRANSACTIONS:

       

Class A

       

Issued

       7,767        9,574  

Reinvested

       213        129  

Redeemed

       (1,506      (712
    

 

 

    

 

 

 

Change in Class A Shares

       6,474        8,991  
    

 

 

    

 

 

 

Class C

       

Issued

       (a)       33  

Reinvested

       (a)       (a) 

Redeemed

       (24      (3
    

 

 

    

 

 

 

Change in Class C Shares

       (24      30  
    

 

 

    

 

 

 

Class I

       

Issued

       2,683        1,537  

Reinvested

       36        40  

Redeemed

       (1,383      (569
    

 

 

    

 

 

 

Change in Class I Shares

       1,336        1,008  
    

 

 

    

 

 

 

Class R2

       

Issued

       1         

Reinvested

       (a)       (a) 

Redeemed

       (a)        
    

 

 

    

 

 

 

Change in Class R2 Shares

       1        (a) 
    

 

 

    

 

 

 

Class R5

       

Reinvested

       (a)       (a) 
    

 

 

    

 

 

 

Change in Class R5 Shares

       (a)       (a) 
    

 

 

    

 

 

 

Class R6

       

Issued

       24,066        60,334  

Reinvested

       1,731        1,492  

Redeemed

       (889      (3,178
    

 

 

    

 

 

 

Change in Class R6 Shares

       24,908        58,648  
    

 

 

    

 

 

 

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

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APRIL 30, 2018   J.P. MORGAN FUNDS         25  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

      

 

     Per share operating performance  
              Investment operations     Distributions  
        Net asset
value,
beginning
of period
    

Net
investment
income

(loss) (b)

   

Net realized
and unrealized
gains

(losses) on
investments

    Total from
investment
operations
    Net
investment
income
    Net
realized
gain
    Return of
capital
    Total
distributions
 

JPMorgan Emerging Markets Strategic Debt Fund

                   

Class A

                   

Six Months Ended April 30, 2018 (Unaudited)

     $ 8.31      $ 0.18     $ (0.33   $ (0.15   $ (0.16   $     $     $ (0.16

Year Ended October 31, 2017

       8.18        0.37       0.05       0.42       (0.29                 (0.29

Year Ended October 31, 2016

       7.56        0.28       0.34       0.62                          

Year Ended October 31, 2015

       9.30        0.31 (f)      (2.05     (1.74                 (g)      (g) 

Year Ended October 31, 2014

       9.69        0.39       (0.78     (0.39                        

Year Ended October 31, 2013

       10.27        0.33       (0.76     (0.43     (0.03     (0.01     (0.11     (0.15

Class C

                   

Six Months Ended April 30, 2018 (Unaudited)

       8.15        0.16       (0.33     (0.17     (0.13                 (0.13

Year Ended October 31, 2017

       8.05        0.33       0.03       0.36       (0.26                 (0.26

Year Ended October 31, 2016

       7.47        0.24       0.34       0.58                          

Year Ended October 31, 2015

       9.23        0.28 (f)      (2.04     (1.76                        

Year Ended October 31, 2014

       9.67        0.33       (0.77     (0.44                        

Year Ended October 31, 2013

       10.27        0.27       (0.75     (0.48     (0.03     (0.01     (0.08     (0.12

Class I

                   

Six Months Ended April 30, 2018 (Unaudited)

       8.37        0.19       (0.33     (0.14     (0.17                 (0.17

Year Ended October 31, 2017

       8.25        0.39       0.05       0.44       (0.32                 (0.32

Year Ended October 31, 2016

       7.61        0.31       0.33       0.64                          

Year Ended October 31, 2015

       9.33        0.34 (f)      (2.05     (1.71     (g)            (0.01     (0.01

Year Ended October 31, 2014

       9.70        0.40       (0.77     (0.37                        

Year Ended October 31, 2013

       10.27        0.36       (0.76     (0.40     (0.04     (0.01     (0.12     (0.17

Class R2

                   

Six Months Ended April 30, 2018 (Unaudited)

       8.23        0.17       (0.33     (0.16     (0.15                 (0.15

Year Ended October 31, 2017

       8.12        0.33       0.05       0.38       (0.27                 (0.27

Year Ended October 31, 2016

       7.52        0.26       0.34       0.60                          

Year Ended October 31, 2015

       9.27        0.30 (f)      (2.05     (1.75                        

Year Ended October 31, 2014

       9.68        0.35       (0.76     (0.41                        

Year Ended October 31, 2013

       10.27        0.30       (0.75     (0.45     (0.04     (0.01     (0.09     (0.14

Class R5

                   

Six Months Ended April 30, 2018 (Unaudited)

       8.43        0.20       (0.33     (0.13     (0.18                 (0.18

Year Ended October 31, 2017

       8.31        0.40       0.05       0.45       (0.33                 (0.33

Year Ended October 31, 2016

       7.64        0.32       0.35       0.67                          

Year Ended October 31, 2015

       9.36        0.37 (f)      (2.08     (1.71     (g)            (0.01     (0.01

Year Ended October 31, 2014

       9.71        0.42       (0.77     (0.35                        

Year Ended October 31, 2013

       10.27        0.37       (0.75     (0.38     (0.04     (0.01     (0.13     (0.18

Class R6

                   

Six Months Ended April 30, 2018 (Unaudited)

       8.45        0.20       (0.34     (0.14     (0.18                 (0.18

Year Ended October 31, 2017

       8.32        0.42       0.05       0.47       (0.34                 (0.34

Year Ended October 31, 2016

       7.65        0.32       0.35       0.67                          

Year Ended October 31, 2015

       9.37        0.36 (f)      (2.07     (1.71     (g)            (0.01     (0.01

Year Ended October 31, 2014

       9.72        0.43       (0.78     (0.35                        

Year Ended October 31, 2013

       10.27        0.38       (0.75     (0.37     (0.04     (0.01     (0.13     (0.18

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Amount rounds to less than $0.005.
(h) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended October 31, 2013.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
    Net assets,
end of
period
(000’s)
    Net
expenses (e)
        
Net
investment
income
(loss)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (c)
 
           
           
$ 8.00       (1.81 )%    $ 124,666       1.19     4.38     1.33     75
  8.31       5.21       75,732       1.19       4.50       1.48       148  
  8.18       8.20       1,036       1.13       3.70       2.43       189  
  7.56       (18.67     27,511       1.16       3.75 (f)      1.91       134  
  9.30       (4.02     25,334       1.21       4.06       1.41       145  
  9.69       (4.26     170       1.21 (h)      3.33 (h)      1.59 (h)      221  
           
  7.85       (2.12     100       1.69       3.87       1.85       75  
  8.15       4.56       301       1.69       4.03       2.66       148  
  8.05       7.76       52       1.63       3.14       3.65       189  
  7.47       (19.07     18       1.67       3.37 (f)      2.24       134  
  9.23       (4.55     54       1.71       3.48       2.04       145  
  9.67       (4.75     49       1.72 (h)      2.72 (h)      2.31 (h)      221  
           
  8.06       (1.68     22,521       0.94       4.60       1.08       75  
  8.37       5.40       12,211       0.94       4.67       1.43       148  
  8.25       8.41       3,723       0.89       3.99       1.51       189  
  7.61       (18.38     29,405       0.92       4.04 (f)      1.21       134  
  9.33       (3.81     135,397       0.96       4.21       1.30       145  
  9.70       (4.03     141,078       0.97 (h)      3.63 (h)      1.46 (h)      221  
           
  7.92       (1.96     27       1.44       4.13       1.80       75  
  8.23       4.83       21       1.44       4.12       3.49       148  
  8.12       7.98       20       1.38       3.37       4.61       189  
  7.52       (18.88     18       1.41       3.61 (f)      2.00       134  
  9.27       (4.24     47       1.46       3.71       1.80       145  
  9.68       (4.53     49       1.47 (h)      2.97 (h)      2.06 (h)      221  
           
  8.12       (1.58     21       0.75       4.81       1.20       75  
  8.43       5.56       21       0.74       4.82       2.82       148  
  8.31       8.77       20       0.68       4.07       3.86       189  
  7.64       (18.29     19       0.71       4.31 (f)      1.29       134  
  9.36       (3.60     48       0.76       4.41       1.10       145  
  9.71       (3.82     50       0.77 (h)      3.67 (h)      1.36 (h)      221  
           
  8.13       (1.67     754,175       0.69       4.89       0.82       75  
  8.45       5.73       572,727       0.69       4.94       1.08       148  
  8.32       8.76       76,275       0.63       4.12       1.25       189  
  7.65       (18.26     135,050       0.66       4.29 (f)      0.97       134  
  9.37       (3.60     153,222       0.71       4.51       0.93       145  
  9.72       (3.70     9,086       0.71 (h)      3.75 (h)      1.11 (h)      221  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         27  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Emerging Markets Strategic Debt Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    Non-Diversified

The investment objective of the Fund is to seek to provide total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

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

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.

Futures and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

 

 
28       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein. The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

 

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

 

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

 

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

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

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):

 

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

Investments in Securities

           

Debt Securities

           

Corporate Bonds

           

Argentina

   $      $ 14,920      $      $ 14,920  

Azerbaijan

            8,481               8,481  

Bahrain

            1,607               1,607  

Brazil

            26,295               26,295  

Canada

            1,048               1,048  

Chile

            5,363               5,363  

China

            13,859               13,859  

Colombia

            5,455               5,455  

Congo, Democratic Republic of the

            1,455               1,455  

Costa Rica

            1,030               1,030  

Ecuador

            2,125               2,125  

Guatemala

            696               696  

Hong Kong

            4,546               4,546  

Hungary

            638               638  

India

            5,286               5,286  

Indonesia

            10,924               10,924  

Israel

            3,844               3,844  

Jamaica

            2,245               2,245  

Kazakhstan

            27,278               27,278  

Kuwait

            423               423  

Mauritius

            2,611               2,611  

Mexico

            28,167               28,167  

Morocco

            970               970  

Nigeria

            3,453               3,453  

Norway

            515               515  

Panama

            834               834  

Peru

            5,575               5,575  

Qatar

            11,252               11,252  

Russia

            10,259               10,259  

South Africa

            7,546               7,546  

South Korea

            4,842               4,842  

Sri Lanka

            406               406  

Trinidad and Tobago

            3,052               3,052  

Tunisia

            654               654  

Turkey

            15,879               15,879  

Ukraine

            4,702               4,702  

United Arab Emirates

            4,760               4,760  

Venezuela, Bolivarian Republic of

            2,468               2,468  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Corporate Bonds

            245,463               245,463  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         29  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

Foreign Government Securities

         $ 540,187     $ 4,015     $ 544,202  

Options Purchased

 

Call Options Purchased

           2,479             2,479  

Put Options Purchased

           988             988  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Options Purchased

           3,467             3,467  
  

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

 

Foreign Government Treasury Bill

           3,669             3,669  

Investment Company

   $ 66,210                   66,210  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Short-Term Investments

     66,210       3,669             69,879  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

   $ 66,210     $ 792,786     $ 4,015   $ 863,011  
  

 

 

   

 

 

   

 

 

   

 

 

 

Appreciation in Other Financial Instruments

 

Forward Foreign Currency Exchange Contracts

   $     $ 7,834     $     $ 7,834  
  

 

 

   

 

 

   

 

 

   

 

 

 

Depreciation in Other Financial Instruments

 

Forward Foreign Currency Exchange Contracts

   $     $ (5,656   $     $ (5,656

Futures Contracts

     (136                 (136

Options Written

 

Call Options Written

           (245           (245

Put Options Written

           (800           (800
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Options Written

           (1,045           (1,045
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Depreciation in Other Financial Instruments

   $ (136   $ (6,701   $  —     $ (6,837
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Level 3 securities are valued by brokers and pricing services. At April 30, 2018, the value of these securities was approximately $4,015,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of broker and vendor due diligence, unchanged price review and consideration of macro or security specific events.

There were no transfers among any levels during the six months ended April 30, 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

April 30,
2018

 

Investments in Securities

                 

Foreign Government Securities

  $ 4,485     $ 441     $ (209   $ 40     $ 4,050     $ (4,792   $     $     $ 4,015  

 

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 April 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $(209,000).

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Fund.

As of April 30, 2018, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.

C. Derivatives — The Fund used 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.

 

 
30       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed its value, as recorded on the Statement of Assets and Liabilities.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes C(1) — C(4) below describe the various derivatives used by the Fund.

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

Options Purchased — Premiums paid by the Fund for options purchased are included on the Statement of Assets and Liabilities as options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/ depreciation on options purchased on the Statement of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and records 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 included on the Statement of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statement of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

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

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

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

(2). Futures Contracts — The Fund used treasury, index or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         31  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(3). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollar without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency contracts.

(4). Swaps — The Fund engaged in various swap transactions, including credit default and interest rate swaps to manage credit and interest rate (e.g., duration, yield curve) risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the Statement of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statement of Assets and Liabilities at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOI and cash deposited is recorded on the Statement of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statement of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/ depreciation on the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral for OTC swaps.

The Fund’s swap contracts 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 protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The

 

 
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notional amount represents the maximum potential liability under a contract and is not reflected on the Statement of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

Interest Rate Swaps

The Fund entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.

(5). Summary of Derivatives Information — The following table presents the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities (amounts in thousands):

 

Derivative Contracts    Statement of Assets and Liabilities Location  
Gross Assets:          Options     Futures
Contracts 
(a)
    Forward Foreign
Currency Exchange
Contracts
    Total  

Foreign exchange contracts

   Receivables    $ 3,467     $     $ 7,834     $ 11,301  
     

 

 

   

 

 

   

 

 

   

 

 

 

Gross Liabilities:

                             

Interest rate contracts

   Payables, Net Assets — Unrealized Depreciation    $     $ (136   $     $ (136

Foreign exchange contracts

   Payables      (1,045           (5,656     (6,701
     

 

 

   

 

 

   

 

 

   

 

 

 

Total

      $ (1,045   $ (136   $ (5,656   $ (6,837
     

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers.

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of April 30, 2018 (amounts in thousands):

 

Counterparty      Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Australia & New Zealand Banking Group Limited

     $ 156        $        $        $ 156  

BNP Paribas

       196                            196  

Citibank, N.A.

       2,504          (354                 2,150  

Credit Suisse International

       524          (524                  

Deutsche Bank AG

       132          (132                  

Goldman Sachs International

       4,483          (1,402                 3,081  

HSBC Bank, N.A.

       1,250          (259                 991  

Merrill Lynch International

       883          (195                 688  

Royal Bank of Canada

       324          (324                  

Standard Chartered Bank

       282          (282                  

State Street Corp.

       567          (165                 402  
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 11,301        $ (3,637      $        $ 7,664  
    

 

 

      

 

 

      

 

 

      

 

 

 
Counterparty      Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities 
(a)
       Derivatives
Available
for Offset
       Collateral
Posted
       Net Amount Due
To Counterparty
(Not less than zero)
 

Barclays Bank plc

     $ 121        $        $        $ 121  

Citibank, N.A.

       354          (354                  

Credit Suisse International

       1,546          (524                 1,022  

Deutsche Bank AG

       233          (132                 101  

Goldman Sachs International

       1,402          (1,402                  

HSBC Bank, N.A.

       259          (259                  

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         33  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Counterparty      Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statement of Assets
and Liabilities 
(a)
       Derivatives
Available
for offset
       Collateral
Received
       Net Amount Due
From Counterparty
(Not less than zero)
 

Merrill Lynch International

     $ 195        $ (195      $        $  

National Australia Bank

       139                            139  

Royal Bank of Canada

       715          (324                 391  

Societe Generale

       13                            13  

Standard Chartered Bank

       514          (282                 232  

State Street Corp.

       165          (165                  
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 5,656        $ (3,637      $        $ 2,019  
    

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements in the Statement of Assets and Liabilities.

The following table presents the effect of derivatives on the Statement of Operations for the six months ended April 30, 2018, by primary underlying risk exposure (amounts in thousands):

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations  
Derivative Contracts    Options     Futures Contracts     Forward Foreign
Currency Exchange
Contracts
    Swaps     Total  

Interest rate contracts

   $     $ (192   $     $ 1,245     $ 1,053  

Foreign exchange contracts

     (535           (2,970           (3,505

Credit contracts

                       (566     (566
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ (535   $ (192   $ (2,970   $ 679     $ (3,018
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations  
Derivative Contracts    Options     Futures Contracts     Forward Foreign
Currency Exchange
Contracts
    Swaps     Total  

Interest rate contracts

   $     $ (184   $     $ (185   $ (369

Foreign exchange contracts

     1,825             2,710             4,535  

Credit contracts

                       291       291  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $ 1,825     $ (184   $ 2,710     $ 106     $ 4,457  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The Fund’s derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.

Derivatives Volume

The table below discloses the volume of the Fund’s forward foreign currency exchange contracts, options and swaps activity during the six months ended April 30, 2018 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

 

Futures Contracts:

        

Average Notional Balance Long

   $ 46,851 (a) 

Average Notional Balance Short

     100,270 (b) 

Ending Notional Balance Short

     70,081  

Forward Foreign Currency Exchange Contracts:

  

Average Settlement Value Purchased

   $ 270,440  

Average Settlement Value Sold

     253,002  

Ending Settlement Value Purchased

     277,558  

Ending Settlement Value Sold

     339,355  

 

 
34       J.P. MORGAN FUNDS   APRIL 30, 2018


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OTC Options:

  

Average Notional Balance Purchased

   $ 163,353  

Average Notional Balance Written

     59,735  

Ending Notional Balance Purchased

     302,797  

Ending Notional Balance Written

     141,770  

Credit Default Swaps

  

Average Notional Balance — Buy Protection

   $ 37,300 (c) 

Interest Rate-Related Swaps

  

Average Notional Balance — Pays Fixed Rate

   $ 51,130 (a) 

Average Notional Balance — Receives Fixed Rate

     113,656 (a) 

 

(a) For the period November 1, 2017 through March 31, 2018.
(b) For the period November 1, 2017 through April 30, 2018.
(c) For the period November 1, 2017 through February 28, 2018.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts, non-deliverable forward foreign currency 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 Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund. Otherwise the cash collateral is included on the Statement of Assets and Liabilities as Restricted cash. Collateral received by the Fund is held in escrow in accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.G.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.

D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.

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

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Fund for the six months ended April 30, 2018 are as follows (amounts in thousands):

 

      Class A      Class C     Class I     Class R2     Class R5     Class R6      Total  

Transfer agency fees

   $ 3      $ (a)    $ (a)    $ (a)    $ (a)    $ 2      $ 5  

 

(a) Amount rounds to less than 500.

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of April 30, 2018, no

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         35  


Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

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

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.70% of the Fund’s average daily net assets.

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Fund, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A      Class C        Class R2  
     0.25%        0.75        0.50

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge
     $ —(a)

 

(a) Amount rounds to less than 500.

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

 

        Class A        Class C        Class I        Class R2        Class R5  
       0.25        0.25        0.25        0.25        0.10

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

JPMDS waived service fees as outlined in Note 3.F.

 

 
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E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset based-fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. The Fund earns interest on uninvested cash balances held by the custodian. Such interest amounts are presented separately on the Statement of Operations.

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

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

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

 

        Class A        Class C        Class I        Class R2        Class R5        Class R6  
       1.20        1.70        0.95        1.45        0.75        0.70

The expense limitation agreements were in effect for the six months ended April 30, 2018 and are in place until at least February 28, 2019.

For the six months ended April 30, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows (amounts in thousands). None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.

 

        Contractual Waivers           
        Investment
Advisory
Fees
       Administration
Fees
       Service
Fees
       Total        Reimbursements  
     $ 270        $ 180        $ 3        $ 453        $ 2  

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund.

The amount of these waivers/reimbursements resulting from investments in these money market funds for the six months ended April 30, 2018 was approximately $36,000.

G. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral management fees on the Statement of Operations.

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

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

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

During the six months ended April 30, 2018, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Fund may use related party broker-dealers. For the six months ended April 30, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         37  


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NOTES TO FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

 

        Purchases
(excluding U.S.
Government)
     Sales
(excluding U.S.
Government)
 
     $718,152      $ 523,150  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at April 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost
     Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net
Unrealized
Appreciation
(Depreciation)
 
     $883,932      $ 12,152        $ 32,076        $ (19,924

At October 31, 2017, the Fund had net capital loss carryforwards which are available to offset future realized gains (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  
     $ 7,237      $ 9,479

 

* Amount includes capital loss carryforward, which are limited in futures years under Internal Revenue Code sections 381-384.

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Fund did not utilize the Credit Facility during the six months ended April 30, 2018.

 

 
38       J.P. MORGAN FUNDS   APRIL 30, 2018


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7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, the Fund had a non-affiliated omnibus account, which represented 10.5% of the Fund’s net assets.

As of April 30, 2018, the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:

 

              JPMorgan
SmartRetirement
Funds
 
        60.5

The Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.

As of April 30, 2018, a significant portion of the Fund’s investments consisted of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund, such as swap and option contracts and credit linked notes.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Fund is subject to the risk that should the Fund decide to sell an illiquid investment when a ready buyer is not available at a price the Fund deems to be representative of its value, the value of the Fund’s net assets could be adversely affected.

The Fund’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.

8. New Accounting Pronouncements

In March 2017, the Financial Accounting Standards Boards (“FASB”) issued Accounting Standards Updated (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium to be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         39  


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

        Beginning
Account Value
November 1, 2017
       Ending
Account Value
April 30, 2018
       Expenses
Paid During
the Period
*
       Annualized
Expense
Ratio
 

Emerging Markets Strategic Debt Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 981.90        $ 5.85          1.19

Hypothetical

       1,000.00          1,018.89          5.96          1.19  

Class C

                   

Actual

       1,000.00          978.80          8.29          1.69  

Hypothetical

       1,000.00          1,016.41          8.45          1.69  

Class I

                   

Actual

       1,000.00          983.20          4.62          0.94  

Hypothetical

       1,000.00          1,020.13          4.71          0.94  

Class R2

                   

Actual

       1,000.00          980.40          7.07          1.44  

Hypothetical

       1,000.00          1,017.65          7.20          1.44  

Class R5

                   

Actual

       1,000.00          984.20          3.69          0.75  

Hypothetical

       1,000.00          1,021.08          3.76          0.75  

Class R6

                   

Actual

       1,000.00          983.30          3.39          0.69  

Hypothetical

       1,000.00          1,021.37          3.46          0.69  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
40       J.P. MORGAN FUNDS   APRIL 30, 2018


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.   SAN-EMSD-418


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Semi-Annual Report

J.P. Morgan Funds

April 30, 2018 (Unaudited)

JPMorgan Commodities Strategy Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Fund Commentary        2  
Consolidated Schedule of Portfolio Investments        5  
Consolidated Financial Statements        10  
Consolidated Financial Highlights        16  
Notes to Consolidated Financial Statements        18  
Schedule of Shareholder Expenses        26  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         1  


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JPMorgan Commodities Strategy Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

Reporting Period Return:  
Fund (Class I Shares)*      3.46%  
Bloomberg Commodity Index Total Return      4.74%  
Net Assets as of 4/30/2018 (In Thousands)    $ 191,482,953  

 

INVESTMENT OBJECTIVE**

The JPMorgan Commodities Strategy Fund (the “Fund”) seeks total return.

HOW DID THE COMMODITIES MARKET PERFORM DURING THE REPORTING PERIOD?

Overall, commodity prices ended the six month reporting period higher. Prices for petroleum products ended the period significantly higher amid strong global economic growth, which elevated investor expectations for demand. Supply side catalysts also supported petroleum prices, particularly severe production declines in Venezuela and U.S. efforts to reinstate sanctions that could limit oil exports from Iran. While demand for natural gas remained robust, prices ended the reporting period lower as investors had priced in record high levels of natural gas production in the U.S.

Prices for precious metals, including gold, were roughly flat over the reporting period. Gold prices rose periodically due to increased investor uncertainty over U.S. trade policy and certain geopolitical events. However, tightening monetary policy in the U.S. prevented gold prices from holding gains.

Agricultural commodity prices were mixed during the reporting period, with grains ending higher but soft commodities and livestock finishing lower. Investor concerns about a U.S.-China trade war hurt agricultural commodities and induced market volatility, notably in the soybean and pork markets. Grain prices were supported by loss of production during the South American growing season. Argentina suffered its worst drought in decades, which reduced the country’s soybean production by 40%. Brazil’s corn crop was expected to suffer significant weather-related losses as well.

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

The Fund’s Class I Shares underperformed the Bloomberg Commodity Index Total Return Index (the “Benchmark”) for the six months ended April 30, 2018. During the six month period, the Fund used swaps contracts to obtain exposure to different parts of the futures curve, which measures the price of contracts of different maturities for a specific commodity.

The Fund’s tactical trading in petroleum detracted from performance relative to the Benchmark, as U.S. inventories of crude oil remained lower than expected and geopolitical tensions led to market price volatility. The Fund’s short bias in its aluminum positions also detracted from relative performance as U.S. trade sanctions on a Russian business owner halted supply from one of the world’s largest aluminum producers.

The Fund’s deferred positioning in live cattle made a positive contribution to performance relative to the Benchmark during the reporting period. U.S. cattle production remained high and investor fears of trade barriers helped the market price in a looser inventory environment.

HOW WAS THE FUND POSITIONED?

During the six month reporting period, the Fund invested in a wholly owned subsidiary that invested in commodity-linked derivative instruments and provided exposure to the investment returns of the commodities markets without investing directly in physical commodities. The Fund also invested in a portfolio of high-quality, fixed income securities, such as commercial debt or other short-term instruments that generally had a weighted average maturity of 90 days or less.

The Fund’s portfolio managers combined top-down research with fundamental and quantitative analysis to establish overweight and underweight positions in commodities. In addition, the Fund’s portfolio managers had the ability to adjust the Fund’s overall exposure to commodities relative to the Benchmark, based on their views of macroeconomic conditions.

 

 

 
2       J.P. MORGAN FUNDS   APRIL 30, 2018


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CASH INVESTMENTS***

 
Commercial Paper      70.6
Certificates of Deposit      10.4
Investment Companies      19.0

PORTFOLIO COMPOSITION BY COUNTRY***

 
United States      68.2
France      5.6
United Kingdom      3.9
Canada      3.7
Australia      3.7
Switzerland      3.0
China      2.4
Chile      2.1
Ireland      1.6
United Arab Emirates      1.5
Cayman Islands      1.4
Singapore      1.3
Japan      1.2
Others (each less than 1.0%)      0.4  

 

COMMODITY MATURITY***

 
0 - 3 Months      78.1
3 - 6 Months      5.5  
> 6 Months      16.4  

COMMODITY-LINKED INVESTMENTS****

 
Energy      35.7 % 
Brent Crude      8.3  
Heating Oil      3.7  
Natural Gas      11.8  
Unleaded Gas      4.3  
WTI Crude Oil      7.6  
Agricultural      31.2  
Coffee      2.3  
Corn      6.8  
Cotton      1.5  
Kansas Wheat      1.6  
Soybean Meal      3.6  
Soybean Oil      2.5  
Soybeans      6.2  
Sugar      2.9  
Wheat      3.8  
Industrial Metals      15.3  
Aluminum      3.7  
Copper      6.7  
Nickel      2.5  
Zinc      2.4  
Precious Metals      15.1  
Gold      11.7  
Silver      3.4  
Livestock      6.2  
Lean Hogs      2.2  
Live Cattle      4.0  

FIXED INCOME MATURITY***

 
< One Month      66.7
1 - 3 Months      21.3  
3 - 6 Months      10.4  
> 6 Months      1.6  

 

COMMODITY ALLOCATION

   Index     Fund****  
Energy      31.9     35.7
Agricultural      30.8       31.2  
Industrial Metals      16.7       15.3  
Precious Metals      14.9       15.1  
Livestock      5.7       6.2  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
****   Exposures are calculated as the notional value, adjusted for net unrealized appreciation/depreciation, of the Fund’s derivative positions as a percentage of net assets.
 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         3  


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JPMorgan Commodities Strategy Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

 
     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     December 17, 2012                      

With Sales Charge**

          (2.02 )%         0.11        (9.19 )%         (9.62 )% 

Without Sales Charge

          3.37        5.63        (8.21 )        (8.71 )

CLASS C SHARES

     December 17, 2012                      

With CDSC***

          2.11        4.04        (8.67 )        (9.15 )

Without CDSC

          3.11        5.04        (8.67 )        (9.15 )

CLASS I SHARES

     December 17, 2012          3.46        5.80        (7.98 )        (8.48 )

CLASS R6 SHARES

     December 17, 2012          3.62        5.96        (7.84 )        (8.34 )

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 months and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (12/17/12 TO 4/30/2018)

 

 

LOGO

 

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

The Fund commenced operations on December 17, 2012.

The graph illustrates comparative performance for $1,000,000 invested in the Class I Shares of the JPMorgan Commodities Strategy Fund, the Bloomberg Commodity Index Total Return and the Lipper Commodities General Funds Average from December 17, 2012 to April 30, 2018. The performance of the Lipper Commodities General Funds Average reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Commodity Index Total Return does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the

benchmark, if applicable. The performance of the Lipper Commodities General Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Commodity Index Total Return is composed of futures contracts on 22 physical commodities. Investors cannot invest directly in an index. The Lipper Commodities General Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper Inc.

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

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

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

 

 

 
4       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

JPMorgan Commodities Strategy Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investments — 98.7%

 
  

Certificates of Deposit — 10.3%

 

  4,000,000     

Banco Del Estado De Chile, (Chile), 1.86%, 05/18/2018

    4,000,122  
  1,762,000     

BNP Paribas SA, (France), (ICE LIBOR USD 1 Month + 0.20%), 2.10%, 07/23/2018 (aa)

    1,762,171  
  2,000,000     

China Construction Bank Corp., (China), 2.60%, 07/03/2018

    2,001,167  
  2,919,000     

Credit Industriel et Commercial, (France), (ICE LIBOR USD 1 Month + 0.18%), 2.08%, 07/30/2018 (aa)

    2,918,959  
  2,500,000     

Industrial & Commercial Bank of China Ltd., (China), 2.48%, 07/17/2018

    2,500,269  
  3,000,000     

Natixis SA, (France), 1.61%, 08/09/2018

    2,993,808  
  3,500,000     

Wells Fargo Bank NA, (ICE LIBOR USD 1 Month + 0.19%), 2.09%, 06/01/2018 (aa)

    3,500,711  
    

 

 

 
  

Total Certificates of Deposit (Cost $19,674,131)

    19,677,207  
    

 

 

 
  

Commercial Paper — 69.7% (n)

 

  4,360,000     

3M Co., 1.80%, 05/16/2018

    4,356,526  
  2,600,000     

Alpine S Ltd., (Cayman Islands), 2.25%, 06/12/2018 (e)

    2,593,708  
  

American Honda Finance Corp.,

 
  1,550,000     

1.90%, 05/04/2018

    1,549,700  
  930,000     

2.13%, 07/09/2018

    926,425  
  2,000,000     

2.21%, 07/18/2018

    1,991,178  
  700,000     

Antalis SA, (Jersey), 2.41%, 07/10/2018

    697,000  
  4,500,000     

Apple, Inc., 1.89%, 06/19/2018 (e)

    4,488,356  
  4,460,000     

Automatic Data Processing, Inc., 0.00%, 05/03/2018

    4,459,576  
  5,961,000     

Cedar Springs Public Schools, 1.75%, 05/01/2018

    5,960,705  
  2,000,000     

Charta LLC, 2.33%, 07/06/2018

    1,991,994  
  5,800,000     

Chevron Corp., 1.82%, 05/04/2018

    5,798,868  
  4,380,000     

Coca-Cola Co. (The), 1.86%, 06/04/2018

    4,372,024  
  2,630,000     

Commonwealth Bank of Australia, (Australia), (ICE LIBOR USD 1 Month + 0.18%), 2.11%, 08/17/2018 (aa)

    2,629,382  
  1,490,000     

DCAT LLC, 1.90%, 05/17/2018

    1,488,693  
  4,530,000     

Exxon Mobil Corp., 1.77%, 05/18/2018

    4,525,975  
  2,800,000     

First Abu Dhabi Bank PJSC, (United Arab Emirates), 1.96%, 05/14/2018

    2,798,003  
  2,920,000     

General Electric Co., 1.87%, 05/11/2018

    2,918,461  
  4,400,000     

Gotham Funding Corp., 2.04%, 06/04/2018

    4,391,680  
  2,970,000     

Honeywell International, Inc., 1.79%, 05/14/2018

    2,967,916  
PRINCIPAL
AMOUNT($)
     SECURITY DESCRIPTION   VALUE($)  
 
  

Commercial Paper — continued

 
  

IBM Credit LLC,

 
  1,750,000     

1.98%, 05/30/2018

    1,747,288  
  1,170,000     

1.98%, 06/07/2018

    1,167,677  
  2,910,000     

Lexington Parker Capital Co. LLC, 1.90%, 05/01/2018

    2,909,863  
  5,000,000     

Liberty Street Funding LLC, 2.21%, 06/11/2018

    4,988,380  
  4,000,000     

LMA-Americas LLC, 1.96%, 05/15/2018

    3,996,933  
  4,060,000     

MetLife Short Term Funding LLC, 1.93%, 05/01/2018

    4,059,813  
  5,700,000     

Nestle Finance International Ltd., (Switzerland), 1.81%, 05/07/2018

    5,698,127  
  4,000,000     

Ontario Teachers’ Finance Trust, (Canada), 2.08%, 09/07/2018 (e)

    3,966,056  
  

PACCAR Financial Corp.,

 
  2,260,000     

1.85%, 05/21/2018

    2,257,564  
  2,200,000     

1.88%, 05/04/2018

    2,199,572  
  2,120,000     

Pfizer, Inc., 1.83%, 05/01/2018

    2,119,900  
  3,065,000     

Regency Markets No. 1 LLC, (Ireland), 1.95%, 05/14/2018

    3,062,818  
  

Ridgefield Funding Co. LLC,

 
  2,000,000     

1.87%, 05/10/2018 (e)

    1,999,013  
  1,100,000     

1.96%, 05/15/2018 (e)

    1,099,156  
  2,940,000     

Sanofi, (France), 1.85%, 05/07/2018

    2,939,005  
  1,000,000     

Sumitomo Mitsui Banking Corp., (Japan), 2.16%, 06/07/2018

    997,979  
  3,000,000     

Suncorp-Metway Ltd., (Australia), 2.57%, 10/17/2018

    2,964,059  
  

Toronto-Dominion Bank (The),

 
  1,300,000     

(ICE LIBOR USD 1 Month + 0.19%), 1.53%, 10/03/2018 (aa)

    1,299,132  
  1,800,000     

(ICE LIBOR USD 1 Month + 0.20%), 2.13%, 08/21/2018 (aa)

    1,799,579  
  3,100,000     

Toyota Motor Credit Corp., (ICE LIBOR USD 1 Month + 0.34%), 2.27%, 01/11/2019 (aa)

    3,099,613  
  1,300,000     

Toyota Motor Finance Netherlands BV, (Japan), (ICE LIBOR USD 1 Month + 0.20%), 2.13%, 05/24/2018 (aa)

    1,300,240  
  7,300,000     

Unilever Capital Corp., (United Kingdom), 1.66%, 05/01/2018

    7,299,651  
  2,500,000     

United Overseas Bank Ltd., (Singapore), 2.03%, 06/11/2018

    2,494,114  
  5,700,000     

Walmart, Inc., 1.86%, 05/16/2018

    5,695,356  
  1,400,000     

Westpac Banking Corp., (Australia), (ICE LIBOR USD 1 Month + 0.18%), 2.11%, 08/16/2018 (aa)

    1,399,733  
    

 

 

 
  

Total Commercial Paper (Cost $133,473,745)

    133,466,791  
    

 

 

 
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         5  


Table of Contents

JPMorgan Commodities Strategy Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Short-Term Investments — continued

 
  

Investment Companies — 18.7%

 

  6,255,891     

JPMorgan Prime Money Market Fund, Institutional Class Shares, 1.84% (b) (l) †

    6,256,517  
  29,623,087     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)

    29,623,087  
    

 

 

 
  

Total Investment Companies
(Cost $35,879,604)

    35,879,604  
    

 

 

 
  

Total Short-Term Investments
(Cost $189,027,480)

    189,023,602  
    

 

 

 
  

Total Investments — 98.7%
(Cost $189,027,480)

    189,023,602  
  

Other Assets in Excess of
Liabilities — 1.3%

    2,459,351  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 191,482,953  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of April 30, 2018:                                          
DESCRIPTION    NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

 

Brent Crude Oil      210          05/2018          USD          15,684,900          1,828,686  
WTI Crude Oil      210          05/2018          USD          14,399,700          2,709,702  
100 oz Gold      8          06/2018          USD          1,055,360          (19,771
Bloomberg Commodity Index      216          06/2018          USD          1,933,200          31,720  
RBOB Gasoline      14          06/2018          USD          1,250,558          29,497  
Silver      1          07/2018          USD          82,005          (3,848
Copper      23          09/2018          USD          1,779,050          (46,885
LME Aluminum Base Metal      19          09/2018          USD          1,067,563          (119,045
Sugar No. 11      55          09/2018          USD          738,584          (88,970
Lean Hogs      160          10/2018          USD          4,129,600          (44,402
Natural Gas      30          12/2018          USD          911,100          (12,510
Natural Gas      1,081          12/2018          USD          32,829,970          (550,711
                      

 

 

 
                         3,713,463  
                      

 

 

 

Short Contracts

                      
NY Harbor ULSD      (9)          06/2018          USD          (810,167        (18,348
Soybean      (5)          07/2018          USD          (262,125        6,173  
Live Cattle      (6)          08/2018          USD          (250,860        2,122  
KC HRW Wheat      (5)          09/2018          USD          (138,812        (4,865
LME Aluminum Base Metal      (27)          09/2018          USD          (1,517,063        (113,144
Natural Gas      (406)          09/2018          USD          (11,368,000        149,160  
Soybean Oil      (12)          12/2018          USD          (226,440        8,533  
                      

 

 

 
                         29,631  
                      

 

 

 
                         3,743,094  
                      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
Over the Counter (“OTC”) Return swap contracts on Commodities and Commodities Indices outstanding as of April 30, 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       1,491,732  

CBOT Corn 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 12,621,844       301,456  

CBOT HRW Wheat

September 2018

Futures

  Increases in total return of reference entity    

Decreases in total
return of
reference entity
 
 
 
    At termination      
Macquarie
Bank Ltd.
 
 
    08/29/2018       USD   3,075,531       116,417  

CBOT Soybeans

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       322,076  

CBOT Soybeans

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 11,987,313       70,231  

CBOT Soybean

Meal 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   6,614,125       276,560  

CBOT Wheat 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   6,875,750       270,453  

CME Live Cattle

August 2018

Futures

  Increases in total return of reference entity    

Decreases in total
return of
reference entity
 
 
 
    At termination      
Macquarie
Bank Ltd.
 
 
    08/2/2018       USD   7,904,950       38,756  

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       154,757  

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.
 
 
    06/5/2018       USD   6,130,000       731,652  
             

 

 

 
                3,774,090  
             

 

 

 

BBG Industrial Metals Index

  0.03% and decreases in total return of the reference entity    

Increases in total
return of the
reference entity
 
 
 
    At termination      

Goldman
Sachs
International
 
 
 
    05/10/2018       USD   3,100,000       (31,860

BBG Industrial Metals Index

  0.10% and decreases in total return of the reference entity    

Increases in total
return of the
reference entity
 
 
 
    At termination      

Goldman
Sachs
International
 
 
 
    06/20/2018       USD 33,000,000       (2,285,733

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       (486,365

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       (356,445

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       (303,810

CBOT Soybean Oil

December 2018

Futures

  Increases in total return of reference entity    

Decreases in total
return of
reference entity
 
 
 
    At termination      
Macquarie
Bank Ltd.
 
 
    11/28/2018       USD   5,210,430       (207,467

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         7  


Table of Contents

JPMorgan Commodities Strategy Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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) ($)
 

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       (9,122

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       (256,838
             

 

 

 
                (3,937,640
             

 

 

 
                (163,550
             

 

 

 

 

Summary of total swap contracts outstanding as of April 30, 2018:  
     Net Upfront
Payments
(Receipts) ($)
     VALUE ($)  

Assets

     

OTC Return swap contracts on Commodities and Commodities Indices outstanding

            3,774,090  
  

 

 

    

 

 

 

Total OTC swap contracts outstanding

            3,774,090  
  

 

 

    

 

 

 

Liabilities

     

OTC Return swap contracts on Commodities and Commodities Indices outstanding

            (3,937,640
  

 

 

    

 

 

 

Total OTC swap contracts outstanding

            (3,937,640
  

 

 

    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

 

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

LME  

—  London Metal Exchange

RBOB  

—  Reformulated Blendstock for Oxygenate Blending

ULSD  

—  Ultra Low Sulfur Diesel

USD  

—  United States Dollar

WTI  

—  West Texas Intermediate

(b)  

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

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(n)  

—  The rate shown is the effective yield as of April 30, 2018.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of April 30, 2018.

 

—  The value of investments restricted as collateral for swaps to the broker is $6,249,171.

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         9  


Table of Contents

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

 

        JPMorgan
Commodities
Strategy Fund
 

ASSETS:

    

Investments in non-affiliates, at value

     $ 153,143,998  

Investments in affiliates, at value

       29,630,433  

Investments in affiliates — restricted, at value

       6,249,171  

Restricted cash for OTC derivatives

       2,363,329  

Cash

       2,095,036  

Deposits at broker for futures contracts

       2,435,000  

Receivables:

    

Fund shares sold

       97,983  

Interest from non-affiliates

       51,447  

Dividends from affiliates

       34,959  

Variation margin on futures contracts

       203,091  

Outstanding OTC swap contracts, at value (net upfront payments of $0)

       3,774,090  
    

 

 

 

Total Assets

       200,078,537  
    

 

 

 

LIABILITIES:

    

Payables:

    

Investment securities purchased

       4,459,586  

Outstanding OTC swap contracts, at value (net upfront receipts of $0)

       3,937,640  

Accrued liabilities:

    

Investment advisory fees

       57,428  

Administration fees

       3,440  

Distribution fees

       535  

Service fees

       705  

Custodian and accounting fees

       24,564  

Collateral management fees

       3,705  

Other

       107,981  
    

 

 

 

Total Liabilities

       8,595,584  
    

 

 

 

Net Assets

     $ 191,482,953  
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
        JPMorgan
Commodities
Strategy Fund
 

NET ASSETS:

 

Paid-in-Capital

     $ 183,899,275  

Accumulated undistributed (distributions in excess of) net investment income

       577,348  

Accumulated net realized gains (losses)

       3,430,664  

Net unrealized appreciation (depreciation)

       3,575,666  
    

 

 

 

Total Net Assets

     $ 191,482,953  
    

 

 

 

Net Assets:

    

Class A

     $ 2,023,854  

Class C

       306,077  

Class I

       4,240,735  

Class R6

       184,912,287  
    

 

 

 

Total

     $ 191,482,953  
    

 

 

 

Outstanding units of beneficial interest (shares)

    

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

    

Class A

       220,078  

Class C

       34,170  

Class I

       455,308  

Class R6

       19,716,059  

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 9.20  

Class C — Offering price per share (b)

       8.96  

Class I — Offering and redemption price per share

       9.31  

Class R6 — Offering and redemption price per share

       9.38  

Class A maximum sales charge

       5.25

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 9.71  
    

 

 

 

Cost of investments in non-affiliates

     $ 153,147,876  

Cost of investments in affiliates

       29,630,433  

Cost of investments in affiliates — restricted

       6,249,171  

 

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

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         11  


Table of Contents

CONSOLIDATED STATEMENT OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

        JPMorgan
Commodities
Strategy Fund
 

INVESTMENT INCOME:

 

Interest income from non-affiliates

     $ 1,119,442  

Interest income from affiliates

       7,762  

Dividend income from affiliates

       156,177  
    

 

 

 

Total investment income

       1,283,381  
    

 

 

 

EXPENSES:

    

Investment advisory fees

       922,098  

Administration fees

       91,749  

Distribution fees:

    

Class A

       1,847  

Class C

       1,201  

Service fees:

    

Class A

       1,847  

Class C

       401  

Class I

       4,080  

Custodian and accounting fees

       35,146  

Collateral management fees

       10,939  

Interest expense to affiliates

       403  

Professional fees

       62,963  

Trustees’ and Chief Compliance Officer’s fees

       27,394  

Printing and mailing costs

       9,625  

Registration and filing fees

       23,787  

Transfer agency fees (See Note 2.D)

       1,780  

Other

       5,526  
    

 

 

 

Total expenses

       1,200,786  
    

 

 

 

Less fees waived

       (730,570
    

 

 

 

Net expenses

       470,216  
    

 

 

 

Net investment income (loss)

       813,165  
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       51  

Investments in affiliates

       (1

Options purchased

       (96,510

Futures contracts

       594,831  

Swaps

       4,663,370  
    

 

 

 

Net realized gain (loss)

       5,161,741  
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       (6,366

Investments in affiliates

       (1

Futures contracts

       1,989,344  

Swaps

       (1,853,898
    

 

 

 

Change in net unrealized appreciation/depreciation

       129,079  
    

 

 

 

Net realized/unrealized gains (losses)

       5,290,820  
    

 

 

 

Change in net assets resulting from operations

     $ 6,103,985  
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

 

       JPMorgan
Commodities Strategy Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

     $ 813,165        $ (40,600

Net realized gain (loss)

       5,161,741          (4,085,969

Change in net unrealized appreciation/depreciation

       129,079          5,565,759  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       6,103,985          1,439,190  
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

         

Class I

         

From net investment income

       (2,922         

Class R6

         

From net investment income

       (307,605         
    

 

 

      

 

 

 

Total distributions to shareholders

       (310,527         
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

         

Change in net assets resulting from capital transactions

       15,187,448          84,593,830  
    

 

 

      

 

 

 

NET ASSETS:

         

Change in net assets

       20,980,906          86,033,020  

Beginning of period

       170,502,047          84,469,027  
    

 

 

      

 

 

 

End of period

     $ 191,482,953        $ 170,502,047  
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ 577,348        $ 74,710  
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         13  


Table of Contents

STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

 

       JPMorgan
Commodities Strategy Fund
 
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 1,027,738        $ 523,744  

Cost of shares redeemed

       (298,140        (455,798
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ 729,598        $ 67,946  
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 82,843        $ 214,430  

Cost of shares redeemed

       (142,651        (163,200
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (59,808      $ 51,230  
    

 

 

      

 

 

 

Class I

         

Proceeds from shares issued

     $ 2,199,536        $ 1,911,822  

Distributions reinvested

       2,922           

Cost of shares redeemed

       (455,974        (450,569
    

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 1,746,484        $ 1,461,253  
    

 

 

      

 

 

 

Class R6

         

Proceeds from shares issued

     $ 29,239,887        $ 99,190,693  

Distributions reinvested

       307,605           

Cost of shares redeemed

       (16,776,318        (16,177,292
    

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ 12,771,174        $ 83,013,401  
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 15,187,448        $ 84,593,830  
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

         

Class A

         

Issued

       112,747          59,284  

Redeemed

       (32,909        (52,284
    

 

 

      

 

 

 

Change in Class A Shares

       79,838          7,000  
    

 

 

      

 

 

 

Class C

         

Issued

       9,343          24,914  

Redeemed

       (16,020        (19,095
    

 

 

      

 

 

 

Change in Class C Shares

       (6,677        5,819  
    

 

 

      

 

 

 

Class I

         

Issued

       235,455          211,690  

Reinvested

       329           

Redeemed

       (48,462        (49,275
    

 

 

      

 

 

 

Change in Class I Shares

       187,322          162,415  
    

 

 

      

 

 

 

Class R6

         

Issued

       3,156,484          10,903,155  

Reinvested

       34,369           

Redeemed

       (1,824,603        (1,754,004
    

 

 

      

 

 

 

Change in Class R6 Shares

       1,366,250          9,149,151  
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   APRIL 30, 2018


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THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         15  


Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

       Per share operating performance       

 

 
                Investment operations        Distributions  
        Net asset
value,
beginning
of period
       Net
investment
income
(loss) (b)
     Net realized
and unrealized
gains
(losses) on
investments
       Total from
investment
operations
       Net
investment
income
 

JPMorgan Commodities Strategy Fund

                      

Class A

                      

Six Months Ended April 30, 2018 (Unaudited)

     $ 8.90        $ 0.02      $ 0.28        $ 0.30        $  

Year Ended October 31, 2017

       8.78          (0.04      0.16          0.12           

Year Ended October 31, 2016

       9.01          (0.08      (0.15        (0.23         

Year Ended October 31, 2015

       12.30          (0.11      (3.18        (3.29         

Year Ended October 31, 2014

       13.18          (0.16      (0.72        (0.88         

December 17, 2012 (f) through October 31, 2013

       15.00          (0.14      (1.68        (1.82         

Class C

                      

Six Months Ended April 30, 2018 (Unaudited)

       8.68          (h)       0.28          0.28           

Year Ended October 31, 2017

       8.62          (0.08      0.14          0.06           

Year Ended October 31, 2016

       8.88          (0.13      (0.13        (0.26         

Year Ended October 31, 2015

       12.19          (0.17      (3.14        (3.31         

Year Ended October 31, 2014

       13.12          (0.22      (0.71        (0.93         

December 17, 2012 (f) through October 31, 2013

       15.00          (0.20      (1.68        (1.88         

Class I

                      

Six Months Ended April 30, 2018 (Unaudited)

       9.01          0.04        0.27          0.31          (0.01

Year Ended October 31, 2017

       8.87          (0.02      0.16          0.14           

Year Ended October 31, 2016

       9.08          (0.06      (0.15        (0.21         

Year Ended October 31, 2015

       12.36          (0.10      (3.18        (3.28         

Year Ended October 31, 2014

       13.21          (0.13      (0.72        (0.85         

December 17, 2012 (f) through October 31, 2013

       15.00          (0.11      (1.68        (1.79         

Class R6

                      

Six Months Ended April 30, 2018 (Unaudited)

       9.07          0.04        0.29          0.33          (0.02

Year Ended October 31, 2017

       8.92          (h)       0.15          0.15           

Year Ended October 31, 2016

       9.12          (0.05      (0.15        (0.20         

Year Ended October 31, 2015

       12.40          (0.08      (3.20        (3.28         

Year Ended October 31, 2014

       13.22          (0.10      (0.72        (0.82        (h) 

December 17, 2012 (f) through October 31, 2013

       15.00          (0.09      (1.69        (1.78         

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Commencement of operations.
(g) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.
(h) Amount rounds to less than $0.005.
(i) Amount rounds to less than 0.005%.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

 

    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (c)(d)
        
    
Net assets,
end of
period
    Net
expenses (e)
    Net
investment
income
(loss) (e)
    Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (c)
 
           
           
$ 9.20       3.37   $ 2,023,854       0.91     0.54     1.90     0
  8.90       1.37       1,247,492       1.21       (0.47     1.98       0  
  8.78       (2.55     1,170,180       1.21       (0.99     2.53       0  
  9.01       (26.75     823,931       1.21       (1.14     2.30       0  
  12.30       (6.68     160,388       1.20       (1.16     2.03       0  
  13.18       (12.13     43,924       1.22 (g)      (1.16 )(g)      2.74 (g)      0  
           
  8.96       3.23       306,077       1.41       0.00 (i)      2.38       0  
  8.68       0.70       354,748       1.71       (0.94     2.58       0  
  8.62       (2.93     301,866       1.73       (1.51     3.25       0  
  8.88       (27.15     67,492       1.73       (1.68     2.84       0  
  12.19       (7.09     74,710       1.71       (1.67     2.53       0  
  13.12       (12.53     43,733       1.72 (g)      (1.66 )(g)      3.24 (g)      0  
           
  9.31       3.46       4,240,735       0.67       0.80       1.61       0  
  9.01       1.58       2,414,485       0.96       (0.21     1.81       0  
  8.87       (2.31     936,623       0.92       (0.72     2.14       0  
  9.08       (26.54     32,246,991       0.98       (0.92     1.90       0  
  12.36       (6.43     74,890,429       0.97       (0.93     1.79       0  
  13.21       (11.93     92,256,260       0.97 (g)      (0.91 )(g)      2.10 (g)      0  
           
  9.38       3.62       184,912,287       0.51       0.92       1.33       0  
  9.07       1.68       166,485,322       0.81       (0.02     1.40       0  
  8.92       (2.19     82,060,358       0.83       (0.61     1.85       0  
  9.12       (26.45     17,191,700       0.82       (0.77     1.64       0  
  12.40       (6.19     48,113,945       0.82       (0.78     1.53       0  
  13.22       (11.87     38,913,194       0.82 (g)      (0.76 )(g)      1.86 (g)      0  

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         17  


Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/
Non-Diversified
JPMorgan Commodities Strategy Fund    Class A, Class C, Class I and Class R6    Non-diversified

The investment objective of the Fund is to seek total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund.

Basis for Consolidation for the Fund

Commodities Strategy Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on September 5, 2012 and is a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s 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.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

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

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.

 

 
18       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

Futures and options are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.

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

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

 

 

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

 

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

 

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

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

The following table represents each valuation input as presented on the CSOI:

 

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

Total Investments in Securities (a)

   $ 35,879,604     $ 153,143,998     $      $ 189,023,602  
  

 

 

   

 

 

   

 

 

    

 

 

 

Appreciation in Other Financial Instruments

         

Futures Contracts (a)

   $ 4,765,593     $     $      $ 4,765,593  

Swaps (a)

           3,774,090              3,774,090  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Appreciation in Other Financial Instruments

   $ 4,765,593     $ 3,774,090     $      $ 8,539,683  
  

 

 

   

 

 

   

 

 

    

 

 

 

Depreciation in Other Financial Instruments

         

Futures Contracts (a)

   $ (1,022,499   $     $      $ (1,022,499

Swaps (a)

           (3,937,640            (3,937,640
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Depreciation in Other Financial Instruments

   $ (1,022,499   $ (3,937,640   $      $ (4,960,139
  

 

 

   

 

 

   

 

 

    

 

 

 

 

 

(a) Portfolio holdings designated as level 1 and level 2 are disclosed individually on the CSOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash, options purchased and futures contracts. Please refer to the CSOI for industry specifics of portfolio holdings.

There were no transfers among any levels during the six months ended April 30, 2018.

B. Derivatives — The Fund used instruments including futures and swaps in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest for hedging and risk management purposes and to seek to enhance portfolio performance. Derivatives may also be used for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining that return or spread through purchases and/or sales of instruments in cash markets; to protect against currency fluctuations; to protect against any increase in the price of securities the Fund anticipates purchasing at a later date; and/or to gain exposure to certain markets in the most economical way possible.

The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value, as recorded on the Consolidated Statement of Assets and Liabilities (“CSAL”).

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes B(1) — B(3) below describe the various derivatives used by the Fund. These derivatives expose the Fund to commodity risk.

(1). Futures Contracts — The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Consolidated Statement of Operations (“CSOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the CSOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the CSOI and cash deposited is recorded on the CSAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the CSAL.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the CSAL, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges (e.g., NYMEX), boards of trade or other platforms (e.g., Clearport). The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. For trades executed on other platforms, these futures contracts must be offset on the same platform in which they were executed; therefore liquidity risk exists to the extent there is a lack of a liquid market for these contracts allowing the Fund to close out its position. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

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

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

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

The Fund may be required to post or receive collateral for over the counter options.

(3). Return Swaps on Commodities and Commodity Indices — The Fund used return swaps on physical commodities, commodities futures and commodity futures indices to obtain long and short exposure to commodities markets. The value of a swap agreement is recorded at the beginning of the measurement period. Swaps on commodity futures and commodity indices values are based on the values of underlying commodity spot prices or futures contracts, using the last sale or closing price from the principal exchange on which the contract is traded. Under some circumstances, commodity futures exchanges may establish daily limits on the amount that the price of a commodity futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions. Change in swap values is recorded as Change in net unrealized appreciation/ depreciation — swaps on the CSOP. Realized gain or loss is recorded upon termination of a swap and is based on the difference between the contract price and market price of the underlying instrument or when an offsetting position is entered into. Return swaps on commodity indices are subject to monthly resets. Realized gain or loss is recorded on reset date of the swap and is based on the difference between contract and market price of underlying instrument.

Upon entering into a swap, the Fund may be required to post an initial collateral amount (referred to as “Independent Amount”), as defined in the swap agreement. Independent Amounts are posted to segregated accounts at the Fund’s custodian. The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. Cash collateral posted by the Fund is invested in an affiliated money market fund (See Note 3.G) and is reported on the CSAL as Investments in affiliates — restricted. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Fund, which provides collateral management services to the Fund (See Note 3.F).

 

 
20       J.P. MORGAN FUNDS   APRIL 30, 2018


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The Fund’s swap contracts at net value and collateral posted or received by counterparty as of April 30, 2018 is as follows:

 

Counterparty            Value of derivative contracts        Collateral
amount
 

Goldman Sachs International

   Collateral Posted      $ 2,317,593        $ 2,363,329  

Macquarie Bank Ltd.

          2,154,043          6,249,171  

The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over the counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms. Investing in certain derivatives, including return swaps, also results in a form of leverage and, as such, the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the CSAL.

The Fund’s activities in return swaps are concentrated with one counterparty. Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

The Fund’s swap contracts are subject to master netting arrangements.

(4). Summary of Derivatives Information — The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and net of any related collateral received or posted by the Fund as of April 30, 2018:

 

Counterparty      Gross Amount of
Derivative Assets
Presented on the
CSAL
(a)
       Derivatives
Available
for offset
       Collateral
Received
     Net Amount Due
From Counterparty
(Not less than zero)
 

Macquarie Bank Ltd.

     $ 3,774,090        $ (1,620,047      $      $ 2,154,043  
    

 

 

      

 

 

      

 

 

    

 

 

 
Counterparty      Gross Amount of
Derivative Liabilities
Presented on the
CSAL
(a)
       Derivatives
Available
for offset
       Collateral
Posted
     Net Amount Due
To Counterparty
(Not less than zero)
 

Goldman Sachs International

     $ 2,317,593        $        $ (2,317,593 )(b)     $  

Macquarie Bank Ltd.

       1,620,047          (1,620,047                
    

 

 

      

 

 

      

 

 

    

 

 

 
     $ 3,937,640        $ (1,620,047      $ (2,317,593    $  
    

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on

the CSAL.

(b) Collateral received or posted is limited to the net derivative asset or net derivative liability amounts. See Note 2.B.(3) for actual swap collateral

received or posted.

Derivatives Volume — The table below discloses the volume of the Fund’s futures contracts, options and swap activity during the six months ended April 30, 2018.

 

Futures Contracts — Commodities:

        

Average Notional Balance Long

   $ 68,013,357  

Average Notional Balance Short

     15,983,173  

Ending Notional Balance Long

     75,861,590  

Ending Notional Balance Short

     14,573,467  

Exchange-Traded Options:

  

Average Number of Contracts Purchased

     439  

Return Swaps on Commodities:

  

Average Notional Balance Long

   $ 83,837,449  

Ending Notional Balance Long

     93,625,628  

Return Swaps on Commodity Indices:

  

Average Notional Balance Long

   $ 55,671,714  

Average Notional Balance Short

     6,250,000 (a) 

Ending Notional Balance Long

     58,320,000  

Ending Notional Balance Short

     3,100,000  

 

(a) For the period February 1, 2018 through April 30, 2018.

The Fund’s derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         21  


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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

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

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Fund for the six months ended April 30, 2018 are as follows:

 

        Class A        Class C        Class I        Class R6        Total  

Transfer agency fees

     $ 519        $ 67        $ 550        $ 644        $ 1,780  

E. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Fund’s consolidated financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

For Federal income tax purposes, taxable income of the Fund and the Subsidiary are separately calculated. The Subsidiary is classified as a controlled foreign corporation under the Code and its taxable income, including net gains, is included as ordinary income in the calculation of the Fund’s taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.

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

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and the Subsidiary and for such services is paid a fee. The fee for services to the Fund is accrued daily and paid monthly at an annual rate of 0.85% of the Fund’s average daily net assets. The fee for services to the Subsidiary is accrued daily and paid monthly at an annual rate of 0.85% of the Subsidiary’s average daily net assets.

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

B. Administration Fees — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund and the Subsidiary. In consideration of these services for the Fund, the Administrator receives a fee accrued daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.10% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements. In consideration for services rendered to the Subsidiary, the Administrator receives a fee accrued daily and paid monthly at an annualized rate of 0.10% of the average daily net assets of the Subsidiary.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.

 

 
22       J.P. MORGAN FUNDS   APRIL 30, 2018


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In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  
     $ 113        $  

D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly at an annual rate of 0.25% for Class A, Class C and Class I Shares.

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

JPMDS waived service fees as outlined in Note 3.G.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund and Subsidiary. For performing these services, the Fund and Subsidiary pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund and the Subsidiary for custody and accounting services are included in Custodian and accounting fees on the CSOP. Interest income earned on cash balances at the custodian, if any, included in Interest income from affiliates on the CSOP. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the CSOP.

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

F. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Fund. The amounts paid directly to JPMCB, if any, by the Fund for these services are included in Collateral management fees on the CSOP.

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

 

        Class A        Class C        Class I        Class R6  
       0.95        1.45        0.70        0.55

The contractual expense limitation agreement was in effect for the six months ended April 30, 2018, and is in place until at least October 31, 2019.

For the six months ended April 30, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.

 

       Contractual Waivers  
        Investment
Advisory Fees
       Administration
Fees
       Service
Fees
       Total  
     $ 630,484        $ 72,141        $ 3,648        $ 706,273  

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund.

The amount of waivers resulting from investments in these money market funds for the six months ended April 30, 2018 were $24,297.

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

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

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

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         23  


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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The Fund may use related party broker-dealers. For the six months ended April 30, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, there were no purchases or sales.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments, including the Subsidiary, held at April 30, 2018 were as follows:

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 
     $ 189,027,480        $ 8,546,511        $ 4,970,845        $ 3,575,666  

During the year ended October 31, 2017 the Subsidiary had approximately $2.2 million of losses for tax purposes. The Subsidiary’s loss for the current year is not available to offset its future taxable income.

As of October 31, 2017, the Fund had net capital loss carryforwards as follows:

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  
     $ 1,861        $  

During the year ended October 31, 2017, the Fund utilized capital loss carryforwards in the amount of $300.

6. Borrowings

The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Fund did not utilize the Credit Facility during the six months ended April 30, 2018.

 

 
24       J.P. MORGAN FUNDS   APRIL 30, 2018


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7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Fund as follows:

 

      J.P. Morgan
Investor Funds
       JPMorgan
SmartRetirement
Funds
 
     10.2        77.0

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

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as swap contracts.

By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund.

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

Derivatives, including commodity-linked notes, swap agreements, commodity options, futures and options on futures, may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would be if it had not used derivatives. Derivatives also expose the Fund to counterparty risk and to the credit risk of the derivative counterparty. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets.

The Fund’s investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised interest rates and may continue to do so, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

8. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium to be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         25  


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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017, and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

       

Beginning

Account Value

November 1, 2017

      

Ending

Account Value

April 30, 2018

      

Expenses

Paid During the

Period*

      

Annualized

Expense

Ratio

 

Commodities Strategy Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 1,033.70        $ 4.59          0.91

Hypothetical

       1,000.00          1,020.28          4.56          0.91  

Class C

                   

Actual

       1,000.00          1,032.30          7.10          1.41  

Hypothetical

       1,000.00          1,017.80          7.05          1.41  

Class I

                   

Actual

       1,000.00          1,034.60          3.38          0.67  

Hypothetical

       1,000.00          1,021.47          3.36          0.67  

Class R6

                   

Actual

       1,000.00          1,036.20          2.57          0.51  

Hypothetical

       1,000.00          1,022.27          2.56          0.51  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

 
26       J.P. MORGAN FUNDS   APRIL 30, 2018


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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.  

SAN-CSTRAT-418


Table of Contents
 

Semi-Annual Report

J.P. Morgan Funds

April 30, 2018 (Unaudited)

JPMorgan Systematic Alpha Fund

LOGO


Table of Contents

CONTENTS

 

CEO’s Letter        1  
Fund Commentary        2  
Consolidated Schedule of Portfolio Investments        5  
Consolidated Financial Statements        74  
Consolidated Financial Highlights        80  
Notes to Consolidated Financial Statements        82  
Schedule of Shareholder Expenses        94  

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

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

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


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CEO’S LETTER

June 8, 2018 (Unaudited)

 

Dear Shareholder,

While the global economy largely continued its steady-growth trajectory throughout the six months ended April 30, 2018, investor concerns about rising interest rates and geo-political events fueled the return of volatility to financial markets and ended a 15-month string of rising equity prices in the U.S.

 

LOGO   

 

“This world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.”— George C.W. Gatch

Favorable central bank policies, corporate earnings growth and consumer confidence remained supportive of global growth throughout the reporting period, though economic data in the European Union (the “EU”) softened somewhat in early 2018. Global petroleum prices generally rose during the reporting period as record output from U.S. shale operations was outweighed by expectations of rising global demand and extended output cuts from the Organization of Petroleum Exporting Nations.

The U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017 and again in March 2018 in response to a tightening labor market and early signs of price inflation. The unemployment rate dropped to 3.9% in April – a level not seen in 18 years – after sitting at 4.1% from October 2017 to March 2018. Gross domestic product (GDP) in the U.S. rose by 2.9% in the fourth quarter of 2017 and an estimated 2.2% in the first quarter of 2018.

Meanwhile, U.S. tax cut legislation enacted in December 2017, appeared to provide support for both equity prices and corporate earnings, which reached record highs in the first quarter of 2017. Of the 279 companies reporting U.S. first quarter earnings by the end of the reporting period, 78% had surpassed analysts’ aggregate estimates.

In early February, a spike in 10-year U.S. Treasury bond yields triggered a rapid sell-off in U.S. financial markets that spread to global markets. Yields on 10-year Treasury bonds are generally considered a bellwether for broader market trends, and the increase in yields was a technical signal that raised investor concerns about inflation and rising U.S. interest rates.

While financial markets rebounded somewhat, the sell-off led to a record spike in market volatility just three months after the CBOE Volatility Index, which looks at Standard & Poor’s 500 Index futures to gauge near-term volatility, had dropped to the lowest level since it was created.

 

Throughout the latter half of the reporting period, U.S. financial markets were also buffeted by the potential for a U.S.-China trade war after President Trump threatened to raise import tariffs. However, background political uncertainty in Washington, D.C. appeared to have little direct impact on domestic financial markets.

Meanwhile, the European Central Bank (ECB) in January reduced its monthly asset purchases by half, though it declined to raise benchmark interest rates during the reporting period. In November, the Bank of England raised interest rates for the first time in a decade as the domestic economy continued to expand and uncertainty over Britain’s planned exit from the EU receded somewhat. In Germany, Chancellor Angela Merkel successfully formed a governing coalition in late February, removing further uncertainty among investors. Across the 19-nation Eurozone, unemployment fell to 8.5% and GDP grew 2.5% in the first quarter of 2018.

In China, government efforts to curb financial speculation appeared to hold down financial market volatility even as the nation’s economy continued to grow. Estimated GDP growth for China was 6.8% in the first quarter of 2018 and 6.9% for the final quarter of 2017. Emerging market nations largely continued to benefit from robust growth in China, rising commodity prices and global demand for goods. However, rising borrowing costs have put pressure on emerging markets in select nations that depend most on external financing, particularly Argentina, Turkey and Brazil.

Against a generally positive environment for global economic growth, a few distinct concerns have emerged in 2018. U.S. threats of protectionist trade policies and changes in U.S. foreign policy, particularly toward Iran, have led to political strains with long-time U.S. allies and trading partners. Rising interest rates globally have put pressure on the currencies of several emerging market nations. The world’s leading central banks have moved incrementally away from accommodative monetary policies this year and we expect investor focus on those institutions will intensify.

We believe investors who maintain a long-term outlook and a properly diversified portfolio should continue to benefit from the global economic expansion in 2018. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         1  


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JPMorgan Systematic Alpha Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      (3.77)%  
ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)      0.68%  
Net Assets as of 4/30/2018    $ 465,957,239  

 

INVESTMENT OBJECTIVE**

The JPMorgan Systematic Alpha Fund (the “Fund”) seeks to provide total return.

HOW DID THE MARKET PERFORM?

Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.

Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.

Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in asset prices. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.

In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility in 2018 erased much of the stock market gains made in late 2017.

Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to asset prices.

Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.

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

The Fund (Class I Shares) underperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Benchmark”) for the six months ended April 30, 2018. References to the Benchmark and to other indexes mentioned herein are for informational purposes and are not an indication of how the Fund is managed. The use of the Benchmark does not imply the Fund is being managed like the Benchmark and does not imply low risk or low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

During the reporting period, the Fund’s alternative investment strategies experienced negative performance, with losses from its equity market neutral and macro strategies partially offset by gains from the Fund’s convertible bond arbitrage strategy.

The Fund’s equity market neutral strategy was the leading detractor from absolute performance. From a return perspective, the value factor was the worst performing factor over the period. The momentum and size factors also had negative returns.

The Fund’s event-driven strategy was flat over the reporting period. The merger arbitrage sub-strategy was the leading detractor within the event-driven strategy, amid increased financial market volatility and investor concerns over regulatory uncertainty surrounding corporate mergers and acquisitions during the first quarter of 2018. The share repurchase sub-strategy made a positive contribution to absolute performance, partially offsetting losses from the merger arbitrage sub-strategy.

The Fund’s macro investment strategies generated negative returns, with losses across relative value fixed income, foreign exchange, commodity-based and time series-momentum factors.

The Fund’s convertible bond arbitrage strategy made a positive contribution to absolute performance over the reporting period.

 

 

 
2       J.P. MORGAN FUNDS   APRIL 30, 2018


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HOW WAS THE FUND POSITIONED?

During the six month reporting period, the Fund’s risk was diversified across its investment strategies. Risk within the event-driven strategy remained below the historical average, reflecting below-average activity levels, but increased over the reporting period. In the equity market neutral strategy, aggregate risk was at the lower end of the typical range for much of the period but increased in the first quarter of 2018. The macro strategy was near long-term target risk levels, but also increased aggregate risk during the reporting period.

 

RISK ALLOCATION AS OF APRIL 30, 2018

 

Asset Class / Strategy

  

% of Risk
Allocation
***

 

Convertible Arbitrage (1)

     4.2

Equity Market Neutral (2)

     42.0  

Event Driven (3)

     26.8  

Macro Based (4)

     27.0  

 

TOP TEN HOLDINGS OF THE PORTFOLIO (a)  
  1.     

Monsanto Co.

     1.6
  2.     

Validus Holdings Ltd.

     1.5  
  3.     

NXP Semiconductors NV (Netherlands)

     1.4  
  4.     

Rockwell Collins, Inc.

     1.4  
  5.     

Blackhawk Network Holdings, Inc.

     1.3  
  6.     

WGL Holdings, Inc.

     0.8  
  7.     

Innogy SE, Reg. S (Germany)

     0.8  
  8.     

General Cable Corp.

     0.7  
  9.     

AmTrust Financial Services, Inc.

     0.6  
  10.     

FTI Consulting, Inc.

     0.5  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Risk allocations are calculated as the standard deviation (volatility of an asset class) divided by the overall volatility of the Fund. Risk, as measured by standard deviation, shows how widely a set of values varies from the mean. It is a historical measure of the volatility of returns earned by the Fund. The percentages above represent the current risk allocation based on the Fund’s holdings as of April 30, 2018 and are not representative of the targeted equal risk allocation across asset classes over the long-term. Holdings and allocations may vary over time.
(1)   Convertible Arbitrage strategies seek to profit from the complexity of the pricing of convertible bonds (which contain elements of both a fixed income security and an equity option).
(2)   Equity Market Neutral strategies involve simultaneous investing in equities (i.e. investing long) that the Adviser expects to increase in value and selling equities (i.e. selling short) that the Adviser expects to decrease in value.
(3)   Event Driven strategies (e.g. merger arbitrage) seek to profit from investing in securities of companies on the basis that a specific event or catalyst will affect future pricing.
(4)   Macro Based Strategies aim to exploit macro economic imbalances across the globe through a broad range of asset classes including, but not limited to fixed income, currency and commodities.
(a)   Percentages indicated are based upon total market value of investments as of April 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         3  


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JPMorgan Systematic Alpha Fund

FUND COMMENTARY

SIX MONTHS ENDED APRIL 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018

     INCEPTION DATE OF
CLASS
       6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

     February 12, 2013                      

With Sales Charge**

          (8.29 )%         (9.56 )%         (0.31 )%         0.38

Without Sales Charge

          (3.94 )        (5.27 )        0.61          1.27

CLASS C SHARES

     February 12, 2013                      

With CDSC***

          (5.16 )        (6.76 )        0.12        0.77

Without CDSC

          (4.16 )        (5.76 )        0.12        0.77

CLASS I SHARES

     February 12, 2013          (3.77 )        (5.00 )        0.86        1.52

CLASS R6 SHARES

     February 12, 2013          (3.66 )        (4.79 )        1.08        1.73

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (2/12/13 TO 4/30/18)

 

 

LOGO

 

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

The Fund commenced operations on February 12, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Systematic Alpha Fund and the ICE BofAML 3-Month US Treasury Bill Index from February 12, 2013 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.

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

From the inception of the Fund through July 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

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

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

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

 

 

 
4       J.P. MORGAN FUNDS   APRIL 30, 2018


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JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — 35.2%

 
  

Consumer Discretionary — 4.8%

 

  

Auto Components — 0.4%

 

  13,766     

BorgWarner, Inc.

    673,708  
  31,295     

Gentex Corp.

    711,648  
  898     

Lear Corp.

    167,899  
  3,708     

Linamar Corp., (Canada)

    207,789  
    

 

 

 
       1,761,044  
    

 

 

 
  

Diversified Consumer Services — 0.2%

 

  27,535     

H&R Block, Inc.

    761,343  
    

 

 

 
  

Hotels, Restaurants & Leisure — 1.4%

 

  29,400     

Brinker International, Inc.

    1,281,546  
  3,900     

Churchill Downs, Inc.

    1,070,940  
  4,400     

Domino’s Pizza, Inc.

    1,063,612  
  62,600     

La Quinta Holdings, Inc. (a)

    1,223,204  
  14,677     

Wyndham Worldwide Corp.

    1,676,260  
    

 

 

 
       6,315,562  
    

 

 

 
  

Household Durables — 0.7%

 

  37,259     

Beazer Homes USA, Inc. (a)

    546,962  
  7,145     

MDC Holdings, Inc.

    207,277  
  35,300     

PulteGroup, Inc.

    1,071,708  
  28,892     

Taylor Morrison Home Corp., Class A (a)

    686,474  
  14,813     

Toll Brothers, Inc.

    624,516  
    

 

 

 
       3,136,937  
    

 

 

 
  

Media — 0.4%

 

  11,127     

John Wiley & Sons, Inc., Class A

    733,825  
  9,492     

Omnicom Group, Inc.

    699,181  
  18,717     

Sinclair Broadcast Group, Inc., Class A

    530,627  
    

 

 

 
       1,963,633  
    

 

 

 
  

Multiline Retail — 0.1%

 

  3,545     

Big Lots, Inc.

    150,485  
  7,497     

Target Corp.

    544,282  
    

 

 

 
       694,767  
    

 

 

 
  

Specialty Retail — 1.3%

 

  40,020     

American Eagle Outfitters, Inc.

    827,614  
  3,520     

Best Buy Co., Inc.

    269,385  
  77,429     

Chico’s FAS, Inc.

    768,870  
  1,482     

Children’s Place, Inc. (The)

    189,029  
  20,568     

Conn’s, Inc. (a)

    524,484  
  22,153     

Dick’s Sporting Goods, Inc.

    733,043  
  20,900     

Foot Locker, Inc.

    900,372  
  13,500     

Murphy USA, Inc. (a)

    844,695  
  117,252     

Rent-A-Center, Inc.

    1,185,418  
    

 

 

 
       6,242,910  
    

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
  

Textiles, Apparel & Luxury Goods — 0.3%

 

  6,179     

Ralph Lauren Corp.

    678,763  
  21,839     

Wolverine World Wide, Inc.

    654,297  
    

 

 

 
       1,333,060  
    

 

 

 
  

Total Consumer Discretionary

    22,209,256  
    

 

 

 
  

Consumer Staples — 2.2%

 

  

Beverages — 0.1%

 

  6,047     

PepsiCo, Inc.

    610,384  
    

 

 

 
  

Food & Staples Retailing — 0.9%

 

  14,600     

Matsumotokiyoshi Holdings Co. Ltd., (Japan)

    650,373  
  221,374     

Metcash Ltd., (Australia)

    597,513  
  15,048     

United Natural Foods, Inc. (a)

    677,461  
  23,832     

Walgreens Boots Alliance, Inc.

    1,583,636  
  6,823     

Walmart, Inc.

    603,563  
    

 

 

 
       4,112,546  
    

 

 

 
  

Food Products — 0.6%

 

  19,398     

Conagra Brands, Inc.

    719,084  
  38,240     

Flowers Foods, Inc.

    864,606  
  5,218     

Ingredion, Inc.

    631,848  
  5,556     

Sanderson Farms, Inc.

    617,605  
    

 

 

 
       2,833,143  
    

 

 

 
  

Household Products — 0.1%

 

  8,378     

Procter & Gamble Co. (The)

    606,065  
    

 

 

 
  

Personal Products — 0.5%

 

  11,600     

Herbalife Nutrition Ltd. (a)

    1,226,468  
  10,013     

Nu Skin Enterprises, Inc., Class A

    712,425  
  1,149     

USANA Health Sciences, Inc. (a)

    121,277  
    

 

 

 
       2,060,170  
    

 

 

 
  

Total Consumer Staples

    10,222,308  
    

 

 

 
  

Energy — 1.6%

 

  

Energy Equipment & Services — 0.6%

 

  19,434     

National Oilwell Varco, Inc.

    751,513  
  29,201     

RPC, Inc.

    525,910  
  7,300     

Tidewater, Inc. (a)

    250,098  
  65,033     

Transocean Ltd. (a)

    804,458  
  27,670     

Unit Corp. (a)

    627,555  
    

 

 

 
       2,959,534  
    

 

 

 
  

Oil, Gas & Consumable Fuels — 1.0%

 

  3,300     

Energen Corp. (a)

    215,952  
  15,957     

HollyFrontier Corp.

    968,430  
  22,374     

PBF Energy, Inc., Class A

    857,595  
  6,800     

Peabody Energy Corp.

    250,580  
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         5  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Oil, Gas & Consumable Fuels — continued

 

  7,407     

Phillips 66

    824,473  
  46,482     

Ship Finance International Ltd., (Norway)

    662,369  
  41,900     

Showa Shell Sekiyu KK, (Japan)

    591,653  
  2,819     

Valero Energy Corp.

    312,712  
    

 

 

 
       4,683,764  
    

 

 

 
  

Total Energy

    7,643,298  
    

 

 

 
  

Financials — 3.9%

 

  

Banks — 0.7%

 

  31,500     

BancorpSouth Bank

    1,041,075  
  13,200     

Customers Bancorp, Inc. (a)

    380,424  
  29,300     

Fifth Third Bancorp

    971,881  
  8,555     

Toronto-Dominion Bank (The), (Canada)

    480,471  
  8,600     

Union Bankshares Corp.

    325,166  
    

 

 

 
       3,199,017  
    

 

 

 
  

Capital Markets — 0.4%

 

  17,994     

Artisan Partners Asset Management, Inc., Class A

    578,507  
  48,494     

BGC Partners, Inc., Class A

    647,880  
  32,202     

Waddell & Reed Financial, Inc., Class A

    651,769  
    

 

 

 
       1,878,156  
    

 

 

 
  

Insurance — 2.7%

 

  16,238     

Aflac, Inc.

    739,966  
  203,003     

AmTrust Financial Services, Inc.

    2,616,709  
  11,815     

First American Financial Corp.

    603,865  
  33,674     

Old Republic International Corp.

    686,949  
  5,848     

Prudential Financial, Inc.

    621,759  
  13,936     

Unum Group

    674,224  
  95,863     

Validus Holdings Ltd.

    6,496,635  
    

 

 

 
       12,440,107  
    

 

 

 
  

Thrifts & Mortgage Finance — 0.1%

 

  19,506     

Flagstar Bancorp, Inc. (a)

    673,932  
    

 

 

 
  

Total Financials

    18,191,212  
    

 

 

 
  

Health Care — 3.7%

 

  

Health Care Equipment & Supplies — 1.2%

 

  3,020     

Cooper Cos., Inc. (The)

    690,704  
  7,097     

Danaher Corp.

    711,971  
  15,370     

Halyard Health, Inc. (a)

    728,077  
  31,800     

Natus Medical, Inc. (a)

    1,050,990  
  63,872     

NxStage Medical, Inc. (a)

    1,700,273  
  8,033     

STERIS plc

    759,279  
    

 

 

 
       5,641,294  
    

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
  

Health Care Providers & Services — 1.3%

 

  6,261     

Aetna, Inc.

    1,121,032  
  440     

Chemed Corp.

    135,617  
  13,695     

Encompass Health Corp.

    832,930  
  5,374     

Express Scripts Holding Co. (a)

    406,812  
  1,341     

Humana, Inc.

    394,495  
  183,097     

Kindred Healthcare, Inc. (a)

    1,629,563  
  4,700     

MEDNAX, Inc. (a)

    215,777  
  2,677     

Quest Diagnostics, Inc.

    270,912  
  759     

UnitedHealth Group, Inc.

    179,428  
  3,375     

WellCare Health Plans, Inc. (a)

    692,415  
    

 

 

 
       5,878,981  
    

 

 

 
  

Life Sciences Tools & Services — 0.6%

 

  10,685     

Agilent Technologies, Inc.

    702,432  
  13,047     

Cambrex Corp. (a)

    690,839  
  6,186     

ICON plc (a)

    727,659  
  3,377     

Waters Corp. (a)

    636,260  
    

 

 

 
       2,757,190  
    

 

 

 
  

Pharmaceuticals — 0.6%

 

  88,407     

Akorn, Inc. (a)

    1,275,713  
  1,437     

Johnson & Johnson

    181,766  
  20,325     

Mallinckrodt plc (a)

    264,225  
  20,455     

Pfizer, Inc.

    748,858  
  4,425     

STADA Arzneimittel AG, (Germany)

    448,010  
    

 

 

 
       2,918,572  
    

 

 

 
  

Total Health Care

    17,196,037  
    

 

 

 
  

Industrials — 6.6%

 

  

Aerospace & Defense — 1.6%

 

  8,903     

HEICO Corp.

    782,129  
  47,084     

Rockwell Collins, Inc.

    6,240,513  
  7,282     

Spirit AeroSystems Holdings, Inc., Class A

    585,254  
    

 

 

 
       7,607,896  
    

 

 

 
  

Airlines — 0.1%

 

  107,017     

Qantas Airways Ltd., (Australia)

    462,825  
    

 

 

 
  

Building Products — 0.1%

 

  10,562     

Fortune Brands Home & Security, Inc.

    577,636  
  1,810     

Owens Corning

    118,537  
    

 

 

 
       696,173  
    

 

 

 
  

Commercial Services & Supplies — 0.5%

 

  19,287     

Brady Corp., Class A

    702,047  
  4,038     

Deluxe Corp.

    276,764  
  17,917     

Herman Miller, Inc.

    550,052  
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
6       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Commercial Services & Supplies — continued

 

  32,960     

Quad/Graphics, Inc.

    814,442  
    

 

 

 
       2,343,305  
    

 

 

 
  

Construction & Engineering — 0.3%

 

  51,130     

Chicago Bridge & Iron Co. NV

    772,063  
  76,600     

Penta-Ocean Construction Co. Ltd., (Japan)

    603,671  
    

 

 

 
       1,375,734  
    

 

 

 
  

Electrical Equipment — 1.2%

 

  9,430     

AMETEK, Inc.

    658,214  
  8,535     

Eaton Corp. plc

    640,381  
  10,629     

EnerSys

    728,724  
  101,009     

General Cable Corp.

    2,994,917  
  9,232     

Regal Beloit Corp.

    657,319  
    

 

 

 
       5,679,555  
    

 

 

 
  

Industrial Conglomerates — 0.1%

 

  2,840     

3M Co.

    552,068  
    

 

 

 
  

Machinery — 1.8%

 

  42,184     

Allison Transmission Holdings, Inc.

    1,644,754  
  3,525     

Barnes Group, Inc.

    195,743  
  7,804     

Crane Co.

    652,726  
  4,172     

Cummins, Inc.

    666,936  
  13,600     

Dover Corp.

    1,260,720  
  14,047     

Greenbrier Cos., Inc. (The)

    615,961  
  6,248     

Hillenbrand, Inc.

    289,595  
  8,256     

Ingersoll-Rand plc

    692,596  
  16,100     

Pentair plc, (United Kingdom)

    1,083,208  
  23,500     

Terex Corp.

    858,220  
  17,395     

Wabash National Corp.

    348,944  
    

 

 

 
       8,309,403  
    

 

 

 
  

Professional Services — 0.5%

 

  36,901     

FTI Consulting, Inc. (a)

    2,155,018  
    

 

 

 
  

Trading Companies & Distributors — 0.4%

 

  9,822     

Applied Industrial Technologies, Inc.

    628,117  
  27,600     

HD Supply Holdings, Inc. (a)

    1,068,396  
    

 

 

 
       1,696,513  
    

 

 

 
  

Total Industrials

    30,878,490  
    

 

 

 
  

Information Technology — 5.9%

 

  

Communications Equipment — 0.1%

 

  8,554     

Cisco Systems, Inc.

    378,857  
    

 

 

 
  

Electronic Equipment, Instruments & Components — 0.7%

 

  10,226     

Dolby Laboratories, Inc., Class A

    611,719  
  23,726     

Jabil, Inc.

    631,112  
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
  

Electronic Equipment, Instruments & Components — continued

 

  9,760     

Methode Electronics, Inc.

    389,424  
  11,375     

Orbotech Ltd., (Israel) (a)

    664,527  
  6,534     

TE Connectivity Ltd.

    599,495  
  32,589     

Vishay Intertechnology, Inc.

    575,196  
    

 

 

 
       3,471,473  
    

 

 

 
  

Internet Software & Services — 0.1%

 

  622     

Alphabet, Inc., Class A (a)

    633,557  
    

 

 

 
  

IT Services — 2.1%

 

  5,622     

Amdocs Ltd.

    378,080  
  129,485     

Blackhawk Network Holdings, Inc. (a)

    5,813,877  
  29,073     

Convergys Corp.

    679,145  
  12,500     

DXC Technology Co.

    1,288,250  
  7,140     

Fidelity National Information Services, Inc.

    678,086  
  5,838     

Visa, Inc., Class A

    740,725  
  22,719     

Western Union Co. (The)

    448,700  
    

 

 

 
       10,026,863  
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 2.1%

 

  11,268     

Applied Materials, Inc.

    559,682  
  6,083     

Cabot Microelectronics Corp.

    617,120  
  21,456     

Entegris, Inc.

    690,883  
  3,139     

Lam Research Corp.

    580,903  
  60,644     

NXP Semiconductors NV, (Netherlands) (a)

    6,361,556  
  10,528     

Teradyne, Inc.

    342,686  
  9,100     

Ulvac, Inc., (Japan)

    486,797  
    

 

 

 
       9,639,627  
    

 

 

 
  

Software — 0.6%

 

  34,800     

Nexon Co. Ltd., (Japan) (a)

    506,388  
  9,061     

Oracle Corp.

    413,816  
  14,491     

Progress Software Corp.

    535,153  
  7,927     

Synopsys, Inc. (a)

    677,838  
  4,667     

VMware, Inc., Class A (a)

    621,924  
    

 

 

 
       2,755,119  
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.2%

 

  656     

Apple, Inc.

    108,410  
  28,061     

HP, Inc.

    603,031  
    

 

 

 
       711,441  
    

 

 

 
  

Total Information Technology

    27,616,937  
    

 

 

 
  

Materials — 4.1%

 

  

Chemicals — 2.3%

 

  7,224     

Eastman Chemical Co.

    737,426  
  20,810     

Huntsman Corp.

    619,514  
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         7  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Common Stocks — continued

 
  

Chemicals — continued

 

  1,193     

LyondellBasell Industries NV, Class A

    126,136  
  22,000     

Mitsubishi Gas Chemical Co., Inc., (Japan)

    515,580  
  57,330     

Monsanto Co.

    7,187,462  
  102,500     

Platform Specialty Products Corp. (a)

    1,032,175  
  21,000     

Tosoh Corp., (Japan)

    371,455  
  2,486     

Trinseo SA

    181,354  
    

 

 

 
       10,771,102  
    

 

 

 
  

Containers & Packaging — 0.7%

 

  6,332     

Avery Dennison Corp.

    663,657  
  13,081     

Greif, Inc., Class A

    765,500  
  6,262     

Packaging Corp. of America

    724,451  
  23,900     

Sealed Air Corp.

    1,048,015  
    

 

 

 
       3,201,623  
    

 

 

 
  

Metals & Mining — 1.0%

 

  52,802     

BlueScope Steel Ltd., (Australia)

    648,908  
  102,515     

Fortescue Metals Group Ltd., (Australia)

    347,820  
  6,436     

Kaiser Aluminum Corp.

    634,203  
  143,089     

Regis Resources Ltd., (Australia)

    504,939  
  44,200     

Sandstorm Gold Ltd., (Canada) (a)

    204,485  
  20,510     

Schnitzer Steel Industries, Inc., Class A

    604,019  
  15,421     

Steel Dynamics, Inc.

    691,015  
  70,278     

Westgold Resources Ltd., (Australia) (a)

    77,789  
  15,978     

Worthington Industries, Inc.

    711,500  
    

 

 

 
       4,424,678  
    

 

 

 
  

Paper & Forest Products — 0.1%

 

  24,208     

Louisiana-Pacific Corp.

    685,813  
    

 

 

 
  

Total Materials

    19,083,216  
    

 

 

 
  

Real Estate — 0.3%

 

  

Real Estate Management & Development — 0.3%

 

  5,300     

CBRE Group, Inc., Class A (a)

    240,143  
  29,571     

First Capital Realty, Inc., (Canada)

    462,238  
  24,600     

Nomura Real Estate Holdings, Inc., (Japan)

    608,762  
    

 

 

 
  

Total Real Estate

    1,311,143  
    

 

 

 
  

Telecommunication Services — 0.1%

 

  

Wireless Telecommunication Services — 0.1%

 

  19,700     

NTT DOCOMO, Inc., (Japan)

    508,930  
    

 

 

 
  

Utilities — 2.0%

 

  

Gas Utilities — 0.7%

 

  40,511     

WGL Holdings, Inc.

    3,447,486  
    

 

 

 
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
    
  

Independent Power and Renewable Electricity Producers — 0.2%

 

  38,390     

NRG Yield, Inc., Class C

    683,342  
    

 

 

 
  

Multi-Utilities — 1.1%

 

  34,452     

Avista Corp.

    1,786,681  
  76,091     

Innogy SE, (Germany), Reg. S (e)

    3,343,452  
    

 

 

 
       5,130,133  
    

 

 

 
  

Total Utilities

    9,260,961  
    

 

 

 
  

Total Common Stocks
(Cost $154,360,079)

    164,121,788  
    

 

 

 
 

Convertible Preferred Stocks — 0.7%

 
  

Energy — 0.1%

 

  

Oil, Gas & Consumable Fuels — 0.1%

 

  6,000     

Hess Corp., 8.00%, 02/01/2019
($50 par value)

    390,120  
  7,550     

Kinder Morgan, Inc., Series A, 9.75%, 10/26/2018 ($49 par value)

    234,805  
    

 

 

 
  

Total Energy

    624,925  
    

 

 

 
  

Financials — 0.2%

 

  

Banks — 0.2%

 

  263     

Bank of America Corp., Series L, 7.25% ($1,000 par value)

    334,799  
  263     

Wells Fargo & Co., Series L, 7.50% ($1,000 par value)

    336,801  
    

 

 

 
  

Total Financials

    671,600  
    

 

 

 
  

Health Care — 0.1%

 

  

Health Care Equipment & Supplies — 0.1%

 

  6,000     

Becton Dickinson and Co., Series A, 6.13%, 05/01/2020 ($50 par value)

    362,100  
    

 

 

 
  

Industrials — 0.1%

 

  

Commercial Services & Supplies — 0.0% (g)

 

  5,300     

Stericycle, Inc., 5.25%, 09/15/2018 ($100 par value)

    240,726  
    

 

 

 
  

Machinery — 0.1%

 

  3,300     

Stanley Black & Decker, Inc., 5.38%, 05/15/2020 ($100 par value)

    354,750  
    

 

 

 
  

Total Industrials

    595,476  
    

 

 

 
  

Real Estate — 0.0% (g)

 

  

Equity Real Estate Investment Trusts (REITs) — 0.0% (g)

 

  3,500     

Welltower, Inc., Series I, 6.50%
($50 par value)

    195,930  
    

 

 

 
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
    
SHARES
     SECURITY DESCRIPTION   VALUE($)  
 

Convertible Preferred Stocks — continued

 
  

Utilities — 0.2%

 

  

Electric Utilities — 0.1%

 

  5,000     

NextEra Energy, Inc., 6.37%, 09/01/2018 ($50 par value)

    366,750  
    

 

 

 
  

Multi-Utilities — 0.1%

 

  6,000     

Dominion Energy, Inc., Series A, 6.75%, 08/15/2019 ($50 par value)

    275,640  
  6,000     

DTE Energy Co., 6.50%, 10/01/2019 ($50 par value)

    314,940  
    

 

 

 
       590,580  
    

 

 

 
  

Total Utilities

    957,330  
    

 

 

 
  

Total Convertible Preferred Stocks
(Cost $3,474,269)

    3,407,361  
    

 

 

 
PRINCIPAL
AMOUNT
              
 

Convertible Bonds — 3.9%

 
  

Consumer Discretionary — 0.2%

 

  

Internet & Direct Marketing Retail — 0.2%

 

  109,000     

Priceline Group, Inc. (The), 0.35%, 06/15/2020

    182,241  
  469,000     

Shutterfly, Inc., 0.25%, 05/15/2018

    589,053  
  395,000     

Vipshop Holdings Ltd., (China), 1.50%, 03/15/2019

    411,495  
    

 

 

 
  

Total Consumer Discretionary

    1,182,789  
    

 

 

 
  

Energy — 0.2%

 

  

Oil, Gas & Consumable Fuels — 0.2%

 

  478,000     

Cheniere Energy, Inc., 4.25%, 03/15/2045

    372,763  
  350,000     

Oasis Petroleum, Inc., 2.63%, 09/15/2023

    412,195  
    

 

 

 
  

Total Energy

    784,958  
    

 

 

 
  

Financials — 0.2%

 

  

Capital Markets — 0.1%

 

  518,000     

Prospect Capital Corp., 4.75%, 04/15/2020

    520,579  
    

 

 

 
  

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 

  283,000     

Starwood Property Trust, Inc., 4.00%, 01/15/2019

    302,868  
    

 

 

 
  

Total Financials

    823,447  
    

 

 

 
  

Health Care — 1.1%

 

  

Biotechnology — 0.5%

 

  573,000     

Acorda Therapeutics, Inc., 1.75%, 06/15/2021

    519,133  
  343,000     

AMAG Pharmaceuticals, Inc., 3.25%, 06/01/2022

    359,721  
  

BioMarin Pharmaceutical, Inc.,

 
  303,000     

0.75%, 10/15/2018

    311,323  
  273,000     

1.50%, 10/15/2020

    306,427  
PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE($)  
    
  

Biotechnology — continued

 

  441,000     

Intercept Pharmaceuticals, Inc., 3.25%, 07/01/2023

    361,141  
  485,000     

Ionis Pharmaceuticals, Inc., 1.00%, 11/15/2021

    483,846  
    

 

 

 
       2,341,591  
    

 

 

 
  

Health Care Equipment & Supplies — 0.1%

 

  269,000     

NuVasive, Inc., 2.25%, 03/15/2021

    296,068  
    

 

 

 
  

Health Care Providers & Services — 0.3%

 

  97,000     

Anthem, Inc., 2.75%, 10/15/2042

    313,856  
  477,000     

Brookdale Senior Living, Inc., 2.75%, 06/15/2018

    475,808  
  199,000     

Molina Healthcare, Inc., 1.13%, 01/15/2020

    414,542  
    

 

 

 
       1,204,206  
    

 

 

 
  

Health Care Technology — 0.1%

 

  

Allscripts Healthcare Solutions, Inc.,

 
  268,000     

1.25%, 07/01/2020

    265,989  
  166,000     

1.25%, 07/01/2020

    164,754  
    

 

 

 
       430,743  
    

 

 

 
  

Life Sciences Tools & Services — 0.0% (g)

 

  137,000     

Illumina, Inc., 0.50%, 06/15/2021

    171,055  
    

 

 

 
  

Pharmaceuticals — 0.1%

 

  103,000     

Impax Laboratories, Inc., 2.00%, 06/15/2022

    102,897  
  180,000     

Impax Laboratories, Inc., 2.00%, 06/15/2022 (bb)

     
  581,000     

Jazz Investments I Ltd., 1.88%, 08/15/2021

    606,088  
    

 

 

 
       708,985  
    

 

 

 
  

Total Health Care

    5,152,648  
    

 

 

 
  

Industrials — 0.1%

 

  

Machinery — 0.1%

 

  339,000     

Trinity Industries, Inc., 3.88%, 06/01/2036

    449,005  
    

 

 

 
  

Information Technology — 1.8%

 

  

Communications Equipment — 0.2%

 

  341,000     

InterDigital, Inc., 1.50%, 03/01/2020

    397,947  
  261,000     

Palo Alto Networks, Inc., Zero Coupon, 07/01/2019

    456,973  
    

 

 

 
       854,920  
    

 

 

 
  

Internet Software & Services — 0.2%

 

  471,000     

Akamai Technologies, Inc., Zero Coupon, 02/15/2019

    480,648  
  422,000     

j2 Global, Inc., 3.25%, 06/15/2029

    538,744  
    

 

 

 
       1,019,392  
    

 

 

 
 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         9  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

PRINCIPAL
AMOUNT
     SECURITY DESCRIPTION   VALUE($)  
 

Convertible Bonds — continued

 
  

IT Services — 0.1%

 

  303,000     

Euronet Worldwide, Inc., 1.50%, 10/01/2044

    358,719  
    

 

 

 
  

Semiconductors & Semiconductor Equipment — 0.8%

 

  323,000     

Integrated Device Technology, Inc., 0.88%, 11/15/2022

    348,614  
  154,000     

Intel Corp., 3.25%, 08/01/2039

    382,559  
  311,000     

Microchip Technology, Inc., 1.63%, 02/15/2025

    505,902  
  688,000     

Micron Technology, Inc., Series G, 3.00%, 11/15/2043

    1,089,150  
  74,000     

Novellus Systems, Inc., 2.63%, 05/15/2041

    408,650  
  458,000     

NXP Semiconductors NV, (Netherlands), 1.00%, 12/01/2019

    541,070  
  320,000     

Veeco Instruments, Inc., 2.70%, 01/15/2023

    283,691  
    

 

 

 
       3,559,636  
    

 

 

 
  

Software — 0.4%

 

  322,000     

Citrix Systems, Inc., 0.50%, 04/15/2019

    462,228  
  348,000     

Red Hat, Inc., 0.25%, 10/01/2019

    770,605  
  397,000     

Verint Systems, Inc., 1.50%, 06/01/2021

    384,454  
  265,000     

Workday, Inc., 0.75%, 07/15/2018

    395,247  
    

 

 

 
       2,012,534  
    

 

 

 
  

Technology Hardware, Storage & Peripherals — 0.1%

 

  394,000     

Electronics For Imaging, Inc., 0.75%, 09/01/2019

    379,846  
    

 

 

 
  

Total Information Technology

    8,185,047  
    

 

 

 
  

Materials — 0.1%

 

  

Metals & Mining — 0.1%

 

  321,000     

Royal Gold, Inc., 2.88%, 06/15/2019

    342,667  
    

 

 

 
  

Real Estate — 0.1%

 

  

Equity Real Estate Investment Trusts (REITs) — 0.1%

 

  

Spirit Realty Capital, Inc.,

 
  203,000     

2.88%, 05/15/2019

    201,973  
  224,000     

3.75%, 05/15/2021

    224,952  
    

 

 

 
  

Total Real Estate

    426,925  
    

 

 

 
  

Utilities — 0.1%

 

  

Independent Power and Renewable Electricity Producers — 0.1%

 

  557,000     

NRG Yield, Inc., 3.50%, 02/01/2019 (e)

    555,259  
    

 

 

 
  

Total Convertible Bonds
(Cost $15,813,686)

    17,902,745  
    

 

 

 
NUMBER OF
RIGHTS
     SECURITY DESCRIPTION   VALUE($)  
 

Rights — 0.0%

 
  

Health Care — 0.0%

 

  

Biotechnology — 0.0%

 

  2,982     

Chelsea Therapeutics, Inc., CVR (Denmark) (a) (bb)
(Cost $—)

     
    

 

 

 
    
SHARES
              
 

Short-Term Investments — 55.4%

 
  

Investment Company — 55.4%

 

  258,040,313     

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (l)
(Cost $258,040,313)

    258,040,313  
    

 

 

 
  

Total Investments — 95.2%
(Cost $431,688,347)

    443,472,207  
  

Other Assets in Excess of
Liabilities — 4.8%

    22,485,032  
    

 

 

 
  

NET ASSETS — 100.0%

  $ 465,957,239  
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
Futures contracts outstanding as of April 30, 2018:  
DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Long Contracts

                        

Feeder Cattle

       77          05/2018          USD          5,396,738          373,573  

Hang Seng Index

       5          05/2018          HKD          971,039          6,098  

LME Aluminum Base Metal

       69          05/2018          USD          3,904,538          287,644  

LME Nickel Base Metal

       43          05/2018          USD          3,509,058          42,788  

LME Zinc Base Metal

       102          05/2018          USD          7,978,313          (325,013

WTI Crude Oil

       116          05/2018          USD          7,954,120          705,512  

100 oz Gold

       16          06/2018          USD          2,110,720          (31,403

Australia 10 Year Bond

       523          06/2018          AUD          50,356,772          211,817  

Euro-Schatz

       21          06/2018          EUR          2,838,120          1,628  

FTSE/MIB Index

       9          06/2018          EUR          1,279,654          75,055  

Live Cattle

       139          06/2018          USD          5,899,160          (483,490

LME Aluminum Base Metal

       39          06/2018          USD          2,208,375          137,456  

LME Nickel Base Metal

       22          06/2018          USD          1,797,972          49,445  

LME Zinc Base Metal

       51          06/2018          USD          3,989,475          (180,141

SPI 200 Index

       2          06/2018          AUD          223,745          (1,149

U.S. Treasury 10 Year Note

       886          06/2018          USD          105,918,531          (233,497

WTI Crude Oil

       33          06/2018          USD          2,259,840          207,662  

Cocoa

       155          07/2018          USD          4,378,750          461,203  

Corn

       29          07/2018          USD          581,087          19,077  

Cotton No. 2

       77          07/2018          USD          3,227,840          97,463  

LME Aluminum Base Metal

       14          07/2018          USD          791,525          93,495  

Soybean

       40          07/2018          USD          2,097,000          35,170  

Wheat

       3          07/2018          USD          76,575          5,991  

Live Cattle

       72          08/2018          USD          3,010,320          (210,922
                        

 

 

 
                           1,345,462  
                        

 

 

 

Short Contracts

                        

CAC 40 10 Euro Index

       (11        05/2018          EUR          (725,488        (21,322

IBEX 35 Index

       (20        05/2018          EUR          (2,401,028        (48,769

LME Aluminum Base Metal

       (69        05/2018          USD          (3,904,538        (488,175

LME Nickel Base Metal

       (14        05/2018          USD          (1,142,484        (42,210

Natural Gas

       (187        05/2018          USD          (5,166,810        4,490  

Australia 3 Year Bond

       (118        06/2018          AUD          (9,853,026        (3,673

Canada 10 Year Bond

       (11        06/2018          CAD          (1,126,173        9,901  

DAX Index

       (3        06/2018          EUR          (1,138,390        (31,172

EURO STOXX 50 Index

       (37        06/2018          EUR          (1,547,784        (68,552

Euro-Bobl

       (69        06/2018          EUR          (10,915,496        (41,256

Euro-Bund

       (29        06/2018          EUR          (5,559,138        (29,293

Euro-Buxl

       (1        06/2018          EUR          (197,491        802  

FTSE 100 Index

       (18        06/2018          GBP          (1,845,369        (67,421

Japan 10 Year Bond

       (66        06/2018          JPY          (90,946,213        46,959  

Lean Hogs

       (212        06/2018          USD          (6,164,960        457,665  

LME Aluminum Base Metal

       (39        06/2018          USD          (2,208,375        (255,036

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         11  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

DESCRIPTION      NUMBER OF
CONTRACTS
       EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT ($)
       VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

LME Zinc Base Metal

       (6        06/2018          USD          (469,350        15,655  

Long Gilt

       (178        06/2018          GBP          (29,960,131        (408,403

Natural Gas

       (66        06/2018          USD          (1,848,000        25,270  

S&P 500 E-Mini Index

       (644        06/2018          USD          (85,233,400        2,978,140  

Sugar No. 11

       (293        06/2018          USD          (3,855,880        393,504  

TOPIX Index

       (1        06/2018          JPY          (162,163        (1,265

U.S. Treasury 2 Year Note

       (250        06/2018          USD          (53,011,719        91,222  

U.S. Treasury 5 Year Note

       (153        06/2018          USD          (17,363,109        61,280  

U.S. Treasury Long Bond

       (27        06/2018          USD          (3,874,500        17,814  

Coffee ‘C’

       (113        07/2018          USD          (5,203,650        (167,215

Copper

       (1        07/2018          USD          (76,850        2,422  

Corn

       (376        07/2018          USD          (7,534,100        (217,484

LME Aluminum Base Metal

       (8        07/2018          USD          (452,300        (5,050

Silver

       (61        07/2018          USD          (5,002,305        31,623  

Wheat

       (200        07/2018          USD          (5,105,000        (440,027

Feeder Cattle

       (18        08/2018          USD          (1,315,800        9,247  

Sugar No. 11

       (191        09/2018          USD          (2,564,901        179,084  

Wheat

       (129        09/2018          USD          (3,394,313        (262,468
                        

 

 

 
                           1,726,287  
                        

 

 

 
                           3,071,749  
                        

 

 

 

 

Forward foreign currency exchange contracts outstanding as of April 30, 2018:  
CURRENCY PURCHASED        CURRENCY SOLD        COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
EUR        721,200        GBP        631,286        Standard Chartered Bank        05/25/2018          2,382  
TRY        12,671,156        USD        3,062,076        HSBC Bank, NA        05/25/2018          33,473  
USD        14,022,998        AUD        18,046,037        HSBC Bank, NA        05/25/2018          436,510  
USD        13,435,117        CAD        16,924,869        State Street Corp.        05/25/2018          246,963  
USD        38,188,428        CHF        36,556,018        State Street Corp.        05/25/2018          1,225,400  
USD        25,068,150        EUR        20,212,900        State Street Corp.        05/25/2018          616,684  
USD        3,434,369        HUF        860,431,737        Merrill Lynch International        05/25/2018          117,636  
USD        3,316,732        ILS        11,607,693        BNP Paribas        05/25/2018          86,769  
USD        6,587,874        JPY        704,977,587        HSBC Bank, NA        05/25/2018          128,938  
USD        5,294,266        NZD        7,210,323        Australia & New Zealand Banking Group Ltd.        05/25/2018          221,590  
USD        35,229,140        SEK        296,163,032        Citibank, NA        05/25/2018          1,346,824  
USD        3,262,866        THB        101,645,449        Australia & New Zealand Banking Group Ltd.        05/25/2018          40,098  
USD        3,313,724        TWD        97,382,715        Merrill Lynch International**        05/25/2018          19,236  
                             

 

 

 
Total unrealized appreciation          4,522,503  
                             

 

 

 
AUD        3,139,367        USD        2,449,306        Goldman Sachs International        05/25/2018          (85,741
CAD        764,660        USD        602,966        Merrill Lynch International        05/25/2018          (7,130
GBP        8,491,563        USD        12,164,741        Merrill Lynch International        05/25/2018          (461,507
INR        217,279,710        USD        3,306,344        Merrill Lynch International**        05/25/2018          (47,453

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
CURRENCY PURCHASED        CURRENCY SOLD        COUNTERPARTY      SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 
JPY        144,302,342        USD        1,352,220        BNP Paribas        05/25/2018          (30,137
JPY        2,600,715,959        USD        24,303,167        HSBC Bank, NA        05/25/2018          (475,663
MXN        62,964,433        USD        3,465,119        HSBC Bank, NA        05/25/2018          (111,227
NOK        329,769,993        USD        42,510,895        State Street Corp.        05/25/2018          (1,370,687
RUB        187,064,612        USD        3,003,216        Goldman Sachs International**        05/25/2018          (41,333
USD        937,799        CHF        928,233        State Street Corp.        05/25/2018          (769
USD        3,223,450        KRW        3,457,246,319        Merrill Lynch International**        05/25/2018          (5,864
ZAR        39,255,696        USD        3,240,915        Merrill Lynch International        05/25/2018          (102,001
                             

 

 

 
Total unrealized depreciation          (2,739,512
                             

 

 

 
Net unrealized appreciation          1,782,991  
                             

 

 

 

 

Over the Counter (“OTC”) Total return swap contracts outstanding as of April 30, 2018:  
REFERENCE
ENTITY
  PAYMENTS MADE BY
FUND
  PAYMENTS RECEIVED
BY FUND
  FREQUENCY OF
PAYMENTS
MADE/
RECEIVED
  COUNTERPARTY   MATURITY
DATE
    NOTIONAL
AMOUNT
   

UPFRONT
PAYMENTS

(RECEIPTS) ($)

    VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

Media Gen, Inc., CVR (bb)

  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  
             

 

 

   

 

 

 

 

OTC Total Return Basket Swaps Outstanding at April 30, 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 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      $ 98,767      $ 27,155      $      $ 27,155  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

Carnival plc

       3,098          201,356          (166        0.0 (g) 

SSP Group plc

       93,119          833,282          (2,819        0.0 (g) 

TUI AG

       36,767          831,447          (1,458        0.0 (g) 

William Hill plc

       40,526          163,002          (357        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       173,510          2,029,087          (4,800        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         13  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Household Durables

                   

Berkeley Group Holdings plc

       5,470          306,232          (411        0.0 (g) 

Bovis Homes Group plc

       51,008          867,880          278          0.0 (g) 

Persimmon plc

       19,096          713,339          (419        0.0 (g) 

Redrow plc

       74,633          643,121          (1,618        0.0 (g) 

Taylor Wimpey plc

       272,986          718,919          (1,715        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       423,193          3,249,491          (3,885        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

WH Smith plc

       26,337          705,916          (1,480        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       623,040          5,984,494          (10,165        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Wm Morrison Supermarkets plc

       33,794          112,709          (392        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

Petrofac Ltd.

       97,318          807,609          (1,080        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

BP plc

       121,577          903,070          2,592          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       218,895          1,710,679          1,512          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Capital Markets

                   

3i Group plc

       26,298          339,459          (1,442        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Equipment & Supplies

                   

Smith & Nephew plc

       46,226          885,276          (3,129        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Airlines

                   

International Consolidated Airlines Group SA

       11,353          98,138          (360        0.0 (g) 

Wizz Air Holdings plc (a)

       18,215          799,832          (1,114        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       29,568          897,970          (1,474        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Electronic Equipment, Instruments & Components

                   

Electrocomponents plc

       25,938          216,840          (627        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

Moneysupermarket.com Group plc

       117,860          485,459          (828        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       143,798          702,299          (1,455        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Victrex plc

       23,188          834,897          (2,122        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Containers & Packaging

                   

DS Smith plc

       111,008          795,208          (3,149        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Centamin plc

       123,689          267,272          354          0.0 (g) 

Rio Tinto plc

       14,797          806,524          2,684          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       138,486          1,073,796          3,038          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       272,682          2,703,901          (2,233        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Telecommunication Services

                   

Diversified Telecommunication Services

                   

BT Group plc

       211,220          724,979          (388        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Wireless Telecommunication Services

                   

Vodafone Group plc

       291,775          851,462          1,493          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       502,995          1,576,441          1,105          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Multi-Utilities

                   

Centrica plc

       409,035          866,076                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       2,306,331          15,779,304          (17,673        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

Compass Group plc

       (44,868        (962,544        1,065          0.0 (g) 

Domino’s Pizza Group plc

       (194,132        (967,656        3,305          0.0 (g) 

Merlin Entertainments plc

       (139,403        (705,201        667          0.0 (g) 

Whitbread plc

       (10,848        (638,266        1,077          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (389,251        (3,273,667        6,114          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Ocado Group plc (a)

       (62,889        (464,857        1,286          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

ITV plc

       (411,608        (856,299        3,042          0.0 (g) 

WPP plc

       (51,464        (883,129        731          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (463,072        (1,739,428        3,773          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

B&M European Value Retail SA

       (81,235        (452,694        579          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (996,447        (5,930,646        11,752          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Standard Chartered plc

       (54,168        (568,983        2,993          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

St James’s Place plc

       (26,805        (417,549        1,847          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (80,973        (986,532        4,840          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Hikma Pharmaceuticals plc

       (54,457        (960,211        5,414          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Cobham plc (a)

       (482,115        (761,441        2,510          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Balfour Beatty plc

       (231,793        (936,074        2,746          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment

                   

Melrose Industries plc

       (228,355        (716,041        737          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         15  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

                   

Common Stocks — continued

                   

Industrial Conglomerates

                   

DCC plc

       (9,326        (895,154        3,584          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Weir Group plc (The)

       (33,153        (970,118        4,790          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Bunzl plc

       (32,019        (928,442        2,099          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (1,016,761        (5,207,270        16,466          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Johnson Matthey plc

       (19,789        (894,352        3,049          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Fresnillo plc

       (32,736        (574,583        30          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (52,525        (1,468,935        3,079          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Capital & Counties Properties plc

       (140,702        (556,869        1,580          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Water Utilities

                   

Pennon Group plc

       (60,000        (570,074        1,697          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (2,401,865        (15,680,537        44,828          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (95,534        98,767          27,155          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 NA    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 —

02/28/2019

 

 

   $ 11,952,902      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Auto Components

 

         

BorgWarner, Inc.

       3,238          158,468                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Automobiles

                   

Thor Industries, Inc.

       7,436          789,257                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Diversified Consumer Services

                   

H&R Block, Inc.

       2,392          66,139                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Hotels, Restaurants & Leisure

                   

Royal Caribbean Cruises Ltd.

       6,708          725,739                   0.0 (g) 

Wyndham Worldwide Corp.

       1,264          144,361                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       7,972          870,100                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Beazer Homes USA, Inc. (a)

       14,057          206,357                   0.0 (g) 

MDC Holdings, Inc.

       8,745          253,692                   0.0 (g) 

Taylor Morrison Home Corp. (a)

       7,162          170,169                   0.0 (g) 

Toll Brothers, Inc.

       2,201          92,794                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       32,165          723,012                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

 

         

John Wiley & Sons, Inc.

       2,033          134,076                   0.0 (g) 

Omnicom Group, Inc.

       2,256          166,177                   0.0 (g) 

Sinclair Broadcast Group, Inc.

       6,383          180,958                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       10,672          481,211                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

Big Lots, Inc.

       7,435          315,616                   0.0 (g) 

Kohl’s Corp.

       12,811          795,819                   0.0 (g) 

Target Corp.

       2,349          170,537                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       22,595          1,281,972                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

Best Buy Co., Inc.

       2,226          170,356                   0.0 (g) 

Children’s Place, Inc. (The)

       1,375          175,381                   0.0 (g) 

Conn’s, Inc. (a)

       4,664          118,932                   0.0 (g) 

Gap, Inc. (The)

       25,217          737,345                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       33,482          1,202,014                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods

                   

Deckers Outdoor Corp. (a)

       9,046          843,630                   0.0 (g) 

Michael Kors Holdings Ltd. (a)

       12,958          886,586                   0.0 (g) 

Ralph Lauren Corp.

       1,721          189,052                   0.0 (g) 

Wolverine World Wide, Inc.

       6,641          198,964                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       30,366          2,118,232                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       150,318          7,690,405                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Beverages

                   

PepsiCo, Inc.

       1,436          144,950                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food & Staples Retailing

                   

United Natural Foods, Inc. (a)

       4,216          189,804                   0.0 (g) 

Walgreens Boots Alliance, Inc.

       2,747          182,538                   0.0 (g) 

Walmart, Inc.

       2,696          238,488                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       9,659          610,830                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products

                   

Conagra Brands, Inc.

       3,623          134,305                   0.0 (g) 

Ingredion, Inc.

       1,131          136,953                   0.0 (g) 

JM Smucker Co. (The)

       6,504          741,976                   0.0 (g) 

Sanderson Farms, Inc.

       1,333          148,176                   0.0 (g) 

Tyson Foods, Inc.

       11,166          782,737                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       23,757          1,944,147                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         17  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Household Products

                   

Procter & Gamble Co. (The)

       2,116          153,071                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       36,968          2,852,998                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

National Oilwell Varco, Inc.

       2,493          96,404                   0.0 (g) 

RPC, Inc.

       17,129          308,493                   0.0 (g) 

Transocean Ltd. (a)

       24,859          307,506                   0.0 (g) 

Unit Corp. (a)

       15,181          344,305                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       59,662          1,056,708                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

Chevron Corp.

       7,402          926,064                   0.0 (g) 

ConocoPhillips

       15,730          1,030,315                   0.0 (g) 

Delek US Holdings, Inc.

       23,281          1,102,821                   0.0 (g) 

Murphy Oil Corp.

       33,919          1,021,301                   0.0 (g) 

Occidental Petroleum Corp.

       12,523          967,527                   0.0 (g) 

PBF Energy, Inc.

       4,205          161,178                   0.0 (g) 

Phillips 66

       1,445          160,843                   0.0 (g) 

Ship Finance International Ltd.

       11,006          156,836                   0.0 (g) 

Valero Energy Corp.

       941          104,385                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       110,452          5,631,270                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       170,114          6,687,978                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

 

         

Capital Markets

 

         

Artisan Partners Asset Management, Inc.

       7,068          227,236                   0.0 (g) 

BGC Partners, Inc.

       7,339          98,049                   0.0 (g) 

Waddell & Reed Financial, Inc.

       10,043          203,270                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       24,450          528,555                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Finance

                   

Ally Financial, Inc.

       29,777          777,180                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Aflac, Inc.

       3,172          144,548                   0.0 (g) 

American Equity Investment Life Holding Co.

       26,844          810,689                   0.0 (g) 

First American Financial Corp.

       1,611          82,338                   0.0 (g) 

Old Republic International Corp.

       7,029          143,392                   0.0 (g) 

Prudential Financial, Inc.

       1,995          212,108                   0.0 (g) 

Reinsurance Group of America, Inc.

       5,106          762,836                   0.0 (g) 

Unum Group

       3,030          146,591                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       48,787          2,302,502                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance

                   

Flagstar Bancorp, Inc. (a)

       3,435          118,679                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       106,449          3,726,916                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Equipment & Supplies

                   

Analogic Corp.

       8,922          741,418                   0.0 (g) 

Baxter International, Inc.

       12,322          856,379                   0.0 (g) 

Becton Dickinson and Co.

       3,768          873,686                   0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Health Care — continued

                   

Cooper Cos., Inc. (The)

       793          181,367                   0.0 (g) 

Danaher Corp.

       1,156          115,970                   0.0 (g) 

Halyard Health, Inc. (a)

       3,464          164,090                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       30,425          2,932,910                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services

                   

Humana, Inc.

       573          168,565                   0.0 (g) 

Quest Diagnostics, Inc.

       1,529          154,735                   0.0 (g) 

WellCare Health Plans, Inc. (a)

       991          203,314                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       3,093          526,614                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Life Sciences Tools & Services

                   

Agilent Technologies, Inc.

       2,208          145,154                   0.0 (g) 

Cambrex Corp. (a)

       2,315          122,579                   0.0 (g) 

Charles River Laboratories International, Inc. (a)

       7,519          783,405                   0.0 (g) 

ICON plc (a)

       899          105,749                   0.0 (g) 

Thermo Fisher Scientific, Inc.

       3,971          835,300                   0.0 (g) 

Waters Corp. (a)

       651          122,655                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       17,563          2,114,842                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Bristol-Myers Squibb Co.

       13,614          709,698                   0.0 (g) 

Corcept Therapeutics, Inc. (a)

       51,760          863,357                   0.0 (g) 

Johnson & Johnson

       1,212          153,306                   0.0 (g) 

Mallinckrodt plc (a)

       24,403          317,239                   0.0 (g) 

Perrigo Co. plc

       9,926          775,618                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       100,915          2,819,218                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       151,996          8,393,584                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Spirit AeroSystems Holdings, Inc.

       2,246          180,511                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Air Freight & Logistics

                   

Forward Air Corp.

       15,411          832,040                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Building Products

                   

Fortune Brands Home & Security, Inc.

       2,962          161,992                   0.0 (g) 

Owens Corning

       2,004          131,242                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       4,966          293,234                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

 

         

Brady Corp.

       3,354          122,086                   0.0 (g) 

Herman Miller, Inc.

       8,141          249,929                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       11,495          372,015                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

EMCOR Group, Inc.

       10,744          790,651                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment

                   

AMETEK, Inc.

       1,696          118,381                   0.0 (g) 

Eaton Corp. plc

       1,813          136,029                   0.0 (g) 

Generac Holdings, Inc. (a)

       18,398          828,094                   0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         19  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Electrical Equipment — continued

                   

Regal Beloit Corp.

       2,458          175,010                   0.0 (g) 

Sensata Technologies Holding plc (a)

       14,927          757,097                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       39,292          2,014,611                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates

                   

3M Co.

       718          139,572                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Allison Transmission Holdings, Inc.

       5,050          196,900                   0.0 (g) 

Barnes Group, Inc.

       2,417          134,216                   0.0 (g) 

Caterpillar, Inc.

       5,521          797,012                   0.0 (g) 

Crane Co.

       1,363          114,001                   0.0 (g) 

Cummins, Inc.

       1,101          176,006                   0.0 (g) 

Greenbrier Cos., Inc. (The)

       2,615          114,668                   0.0 (g) 

IDEX Corp.

       5,902          788,861                   0.0 (g) 

Ingersoll-Rand plc

       1,632          136,908                   0.0 (g) 

Wabash National Corp.

       6,941          139,236                   0.0 (g) 

Watts Water Technologies, Inc.

       10,877          810,337                   0.0 (g) 

Xylem, Inc.

       10,965          799,349                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       54,384          4,207,494                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Applied Industrial Technologies, Inc.

       1,652          105,645                   0.0 (g) 

Beacon Roofing Supply, Inc. (a)

       15,485          757,991                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       17,137          863,636                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       156,393          9,693,764                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Communications Equipment

                   

Motorola Solutions, Inc.

       6,369          699,507                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components

                   

CDW Corp.

       9,113          649,666                   0.0 (g) 

FLIR Systems, Inc.

       13,268          710,501                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       22,381          1,360,167                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

Cars.com, Inc. (a)

       23,965          682,523                   0.0 (g) 

LogMeIn, Inc.

       5,451          600,700                   0.0 (g) 

Match Group, Inc. (a)

       15,207          716,554                   0.0 (g) 

VeriSign, Inc. (a)

       5,669          665,654                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       50,292          2,665,431                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services

                   

Accenture plc

       4,219          637,913                   0.0 (g) 

Automatic Data Processing, Inc.

       5,759          680,023                   0.0 (g) 

Cognizant Technology Solutions Corp.

       8,103          662,987                   0.0 (g) 

CSG Systems International, Inc.

       14,483          619,728                   0.0 (g) 

ManTech International Corp.

       11,666          689,344                   0.0 (g) 

MAXIMUS, Inc.

       9,925          671,228                   0.0 (g) 

Teradata Corp. (a)

       16,112          659,303                   0.0 (g) 

Total System Services, Inc.

       7,540          633,812                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       77,807          5,254,338                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Semiconductors & Semiconductor Equipment

                   

MKS Instruments, Inc.

       5,998          614,195                   0.0 (g) 

SolarEdge Technologies, Inc. (a)

       12,722          669,813                   0.0 (g) 

Texas Instruments, Inc.

       6,649          674,408                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       25,369          1,958,416                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

 

         

Blackbaud, Inc.

       6,129          643,300                   0.0 (g) 

Cadence Design Systems, Inc. (a)

       17,077          684,105                   0.0 (g) 

Fair Isaac Corp. (a)

       3,783          655,140                   0.0 (g) 

Intuit, Inc.

       3,934          726,964                   0.0 (g) 

Microsoft Corp.

       7,101          664,086                   0.0 (g) 

Progress Software Corp.

       3,126          115,443                   0.0 (g) 

VMware, Inc. (a)

       727          96,880                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       41,877          3,585,918                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Apple, Inc.

       617          101,965                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       224,712          15,625,742                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

CF Industries Holdings, Inc.

       20,663          801,724                   0.0 (g) 

Huntsman Corp.

       5,685          169,242                   0.0 (g) 

Kraton Corp. (a)

       18,491          844,484                   0.0 (g) 

LyondellBasell Industries NV

       1,611          170,331                   0.0 (g) 

Trinseo SA

       1,742          127,079                   0.0 (g) 

Westlake Chemical Corp.

       7,233          773,714                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       55,425          2,886,574                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Containers & Packaging

                   

Avery Dennison Corp.

       1,663          174,299                   0.0 (g) 

Greif, Inc.

       2,707          158,414                   0.0 (g) 

Packaging Corp. of America

       1,217          140,795                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       5,587          473,508                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Freeport-McMoRan, Inc.

       47,495          722,399                   0.0 (g) 

Kaiser Aluminum Corp.

       1,662          163,773                   0.0 (g) 

Schnitzer Steel Industries, Inc.

       4,091          120,480                   0.0 (g) 

Steel Dynamics, Inc.

       3,166          141,868                   0.0 (g) 

Worthington Industries, Inc.

       4,407          196,244                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       60,821          1,344,764                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products

                   

Domtar Corp.

       18,452          810,043                   0.0 (g) 

Louisiana-Pacific Corp.

       5,869          166,269                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       24,321          976,312                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       146,154          5,681,158                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Vonage Holdings Corp. (a)

       77,306          864,281                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         21  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Utilities

                   

Electric Utilities

                   

Exelon Corp.

       22,413          889,348                   0.0 (g) 

IDACORP, Inc.

       10,238          952,134                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       32,651          1,841,482                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Independent Power and Renewable Electricity Producers

                   

NRG Energy, Inc.

       28,192          873,952                   0.0 (g) 

NRG Yield, Inc.

       11,847          210,877                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       40,039          1,084,829                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       72,690          2,926,311                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,293,100          64,143,137                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Visteon Corp. (a)

       (3,666        (456,197                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

 

         

Chipotle Mexican Grill, Inc. (a)

       (868        (367,450                 0.0 (g) 

MGM Resorts International

       (14,629        (459,643                 0.0 (g) 

Shake Shack, Inc. (a)

       (3,134        (149,210                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (18,631        (976,303                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

iRobot Corp. (a)

       (12,965        (756,637                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Groupon, Inc. (a)

       (142,407        (660,768                 0.0 (g) 

Netflix, Inc. (a)

       (2,337        (730,219                 0.0 (g) 

Wayfair, Inc. (a)

       (8,217        (511,919                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (152,961        (1,902,906                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Leisure Products

                   

Mattel, Inc.

       (69,899        (1,034,505                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

Liberty Broadband Corp. (a)

       (4,778        (338,712                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

CarMax, Inc. (a)

       (7,159        (447,438                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods

                   

NIKE, Inc.

       (9,345        (639,105                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (279,404        (6,551,803                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Beverages

                   

Coca-Cola Bottling Co. Consolidated

       (2,343        (394,538                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food & Staples Retailing

                   

Casey’s General Stores, Inc.

       (4,177        (403,498                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Personal Products

                   

Coty, Inc.

       (29,339        (509,032                 0.0 (g) 

elf Beauty, Inc. (a)

       (20,838        (378,626                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (50,177        (887,658                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       (56,697        (1,685,694                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

Weatherford International plc (a)

       (246,760        (727,942                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

Carrizo Oil & Gas, Inc. (a)

       (27,300        (547,911                 0.0 (g) 

Chesapeake Energy Corp. (a)

       (245,886        (730,281                 0.0 (g) 

Extraction Oil & Gas, Inc. (a)

       (45,242        (638,817                 0.0 (g) 

Hess Corp.

       (11,086        (631,791                 0.0 (g) 

Matador Resources Co. (a)

       (17,599        (576,191                 0.0 (g) 

Oasis Petroleum, Inc. (a)

       (55,118        (607,952                 0.0 (g) 

Parsley Energy, Inc. (a)

       (17,437        (523,633                 0.0 (g) 

QEP Resources, Inc. (a)

       (53,964        (657,282                 0.0 (g) 

Range Resources Corp.

       (32,620        (451,787                 0.0 (g) 

SM Energy Co.

       (14,984        (358,867                 0.0 (g) 

WPX Energy, Inc. (a)

       (14,740        (251,907                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (535,976        (5,976,419                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       (782,736        (6,704,361                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Consumer Finance

                   

LendingClub Corp. (a)

       (25,464        (68,498                 0.0 (g) 

PRA Group, Inc. (a)

       (16,045        (571,202                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (41,509        (639,700                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Markel Corp. (a)

       (432        (488,177                 0.0 (g) 

RLI Corp.

       (7,988        (505,481                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (8,420        (993,658                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (49,929        (1,633,358                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Equipment & Supplies

                   

DexCom, Inc. (a)

       (7,005        (512,626                 0.0 (g) 

Glaukos Corp. (a)

       (28,100        (946,408                 0.0 (g) 

Nevro Corp. (a)

       (5,764        (515,071                 0.0 (g) 

Penumbra, Inc. (a)

       (6,778        (842,844                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (47,647        (2,816,949                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services

                   

Tenet Healthcare Corp. (a)

       (40,433        (967,966                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Technology

                   

Evolent Health, Inc. (a)

       (54,740        (903,210                 0.0 (g) 

Teladoc, Inc. (a)

       (22,564        (970,252                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (77,304        (1,873,462                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Aerie Pharmaceuticals, Inc. (a)

       (12,942        (662,630                 0.0 (g) 

Intra-Cellular Therapies, Inc. (a)

       (27,871        (485,513                 0.0 (g) 

Medicines Co. (The) (a)

       (11,298        (339,957                 0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         23  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Pharmaceuticals — continued

                   

Nektar Therapeutics (a)

       (7,827        (654,807                 0.0 (g) 

Pacira Pharmaceuticals, Inc. (a)

       (3,591        (118,862                 0.0 (g) 

Theravance Biopharma, Inc. (a)

       (38,021        (915,165                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (101,550        (3,176,934                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       (266,934        (8,835,311                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Axon Enterprise, Inc. (a)

       (21,873        (918,229                 0.0 (g) 

Cubic Corp.

       (8,815        (544,326                 0.0 (g) 

Mercury Systems, Inc. (a)

       (8,756        (280,892                 0.0 (g) 

TransDigm Group, Inc.

       (1,968        (630,882                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (41,412        (2,374,329                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines

                   

Spirit Airlines, Inc. (a)

       (4,554        (162,669                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

Clean Harbors, Inc. (a)

       (9,361        (428,734                 0.0 (g) 

Covanta Holding Corp.

       (2,360        (35,164                 0.0 (g) 

Healthcare Services Group, Inc.

       (9,639        (372,355                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (21,360        (836,253                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Dycom Industries, Inc. (a)

       (6,371        (661,692                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

CIRCOR International, Inc.

       (9,675        (409,930                 0.0 (g) 

EnPro Industries, Inc.

       (5,677        (426,627                 0.0 (g) 

Flowserve Corp.

       (2,406        (106,850                 0.0 (g) 

REV Group, Inc.

       (16,221        (292,789                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (33,979        (1,236,196                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Marine

                   

Matson, Inc.

       (16,177        (472,854                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail

                   

AMERCO

       (1,373        (463,415                 0.0 (g) 

Avis Budget Group, Inc. (a)

       (15,338        (757,851                 0.0 (g) 

Hertz Global Holdings, Inc. (a)

       (31,821        (696,880                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (48,532        (1,918,146                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Herc Holdings, Inc. (a)

       (9,252        (487,118                 0.0 (g) 

SiteOne Landscape Supply, Inc. (a)

       (7,458        (510,873                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (16,710        (997,991                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Macquarie Infrastructure Corp.

       (6,669        (252,755                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (195,764        (8,912,885                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Communications Equipment

                   

Infinera Corp. (a)

       (51,166        (599,666                 0.0 (g) 

Lumentum Holdings, Inc. (a)

       (10,514        (530,431                 0.0 (g) 

ViaSat, Inc. (a)

       (6,255        (400,195                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (67,935        (1,530,292                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Electronic Equipment, Instruments & Components

                   

Fitbit, Inc. (a)

       (74,928        (415,850                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

2U, Inc. (a)

       (173        (13,925                 0.0 (g) 

Benefitfocus, Inc. (a)

       (25,146        (759,409                 0.0 (g) 

Box, Inc. (a)

       (24,336        (556,321                 0.0 (g) 

Cloudera, Inc. (a)

       (40,476        (576,783                 0.0 (g) 

Cornerstone OnDemand, Inc. (a)

       (11,459        (505,686                 0.0 (g) 

Coupa Software, Inc. (a)

       (14,594        (676,724                 0.0 (g) 

GTT Communications, Inc. (a)

       (12,571        (604,037                 0.0 (g) 

MINDBODY, Inc. (a)

       (18,076        (716,713                 0.0 (g) 

Nutanix, Inc. (a)

       (14,861        (751,818                 0.0 (g) 

Pandora Media, Inc. (a)

       (138,015        (774,264                 0.0 (g) 

Q2 Holdings, Inc. (a)

       (12,118        (596,812                 0.0 (g) 

Twilio, Inc. (a)

       (17,870        (754,293                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (329,695        (7,286,785                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services

                   

InterXion Holding NV (a)

       (1,247        (81,080                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

Advanced Micro Devices, Inc. (a)

       (5,589        (60,808                 0.0 (g) 

MACOM Technology Solutions Holdings, Inc. (a)

       (9,520        (158,222                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (15,109        (219,030                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

Blackline, Inc. (a)

       (5,357        (221,780                 0.0 (g) 

FireEye, Inc. (a)

       (15,557        (280,804                 0.0 (g) 

Snap, Inc. (a)

       (39,459        (565,447                 0.0 (g) 

Splunk, Inc. (a)

       (1,749        (179,535                 0.0 (g) 

Zendesk, Inc. (a)

       (3,940        (192,075                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (66,062        (1,439,641                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Cray, Inc. (a)

       (23,922        (570,540                 0.0 (g) 

Diebold Nixdorf, Inc.

       (8,249        (126,622                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (32,171        (697,162                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (587,147        (11,669,840                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

GCP Applied Technologies, Inc. (a)

       (14,698        (421,098                 0.0 (g) 

RPM International, Inc.

       (10,059        (485,850                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (24,757        (906,948                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction Materials

                   

Martin Marietta Materials, Inc.

       (2,247        (437,648                 0.0 (g) 

Vulcan Materials Co.

       (4,378        (488,979                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (6,625        (926,627                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

AK Steel Holding Corp. (a)

       (159,139        (730,448                 0.0 (g) 

Coeur Mining, Inc. (a)

       (52,478        (397,258                 0.0 (g) 

Compass Minerals International, Inc.

       (9,974        (671,250                 0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         25  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Metals & Mining — continued

                   

Constellium NV (a)

       (19,158        (217,443                 0.0 (g) 

Hecla Mining Co.

       (6,117        (23,428                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (246,866        (2,039,827                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (278,248        (3,873,402                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Southern Co. (The)

       (9,997        (461,062                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities

                   

Dominion Energy, Inc.

       (179        (11,914                 0.0 (g) 

NiSource, Inc.

       (18,351        (447,581                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (18,530        (459,495                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Water Utilities

                   

American Water Works Co., Inc.

       (5,602        (485,021                 0.0 (g) 

Aqua America, Inc.

       (13,515        (475,052                 0.0 (g) 

California Water Service Group

       (11,431        (442,951                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (30,548        (1,403,024                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       (59,075        (2,323,581                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (2,555,934        (52,190,235                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (1,262,834        11,952,902                   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 NA   

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      $ (11,387,857   $      $      $  
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Financials

                   

Thrifts & Mortgage Finance

                   

Genworth MI Canada, Inc.

       16,538          534,543                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Media

                   

Cineplex, Inc.

       (32,269        (754,229                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Energy

                   

Oil, Gas & Consumable Fuels

                   

Keyera Corp.

       (34,395        (926,076                 0.0 (g) 

MEG Energy Corp. (a)

       (158,604        (820,227                 0.0 (g) 

Seven Generations Energy Ltd. (a)

       (58,849        (839,685                 0.0 (g) 

TransCanada Corp. (a)

       (22,258        (943,748                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       (274,106        (3,529,736                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Bombardier, Inc. (a)

       (85,841        (265,422                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

Ritchie Bros Auctioneers, Inc.

       (26,457        (864,625                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

SNC-Lavalin Group, Inc.

       (18,589        (814,965                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (130,887        (1,945,012                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Containers & Packaging

                   

CCL Industries, Inc.

       (15,749        (763,930                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Agnico Eagle Mines Ltd. (a)

       (22,072        (928,814                 0.0 (g) 

Eldorado Gold Corp. (a)

       (998,613        (948,875                 0.0 (g) 

Endeavour Mining Corp. (a)

       (6,477        (110,527                 0.0 (g) 

First Quantum Minerals Ltd.

       (37,279        (537,140                 0.0 (g) 

Franco-Nevada Corp.

       (8,431        (598,007                 0.0 (g) 

Goldcorp, Inc.

       (67,643        (897,727                 0.0 (g) 

Ivanhoe Mines Ltd. (a)

       (440,130        (908,403                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (1,580,645        (4,929,493                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (1,596,394        (5,693,423                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (2,033,656        (11,922,400                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (2,017,118        (11,387,857                 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 NA    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 (2.00)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps.      10/29/2018      $ (39,225,292   $ 113,487      $      $ 113,487  
                

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         27  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Auto Components

 

         

TS Tech Co. Ltd.

       14,100          570,480          (4,122        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Kaken Pharmaceutical Co. Ltd.

       10,300          609,095          (1,443        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Trading Companies & Distributors

                   

Sumitomo Corp.

       34,100          612,114          (2,229        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Mitsui Chemicals, Inc.

       16,100          461,526          (915        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Kansai Electric Power Co., Inc. (The)

       34,800          486,914          (134        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       109,400          2,740,129          (8,843        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

HIS Co. Ltd.

       (22,100        (806,514        3,132          0.0 (g) 

Kyoritsu Maintenance Co. Ltd.

       (17,300        (814,784        3,374          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (39,400        (1,621,298        6,506          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Leisure Products

                   

Sankyo Co. Ltd.

       (23,700        (830,855        2,721          0.0 (g) 

Shimano, Inc.

       (6,400        (851,000        226          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (30,100        (1,681,855        2,947          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

Don Quijote Holdings Co. Ltd.

       (16,200        (872,163        2,151          0.0 (g) 

Isetan Mitsukoshi Holdings Ltd.

       (35,700        (397,170        585          0.0 (g) 

Marui Group Co. Ltd.

       (40,200        (834,337        2,244          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (92,100        (2,103,670        4,980          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (161,600        (5,406,823        14,433          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Aeon Co. Ltd.

       (46,300        (925,179        1,287          0.0 (g) 

Sugi Holdings Co. Ltd.

       (16,900        (983,902        2,395          0.0 (g) 

Tsuruha Holdings, Inc.

       (6,500        (933,010        2,272          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (69,700        (2,842,091        5,954          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products

                   

Ezaki Glico Co. Ltd.

       (15,900        (856,500        3,077          0.0 (g) 

Kewpie Corp.

       (26,000        (605,839        876          0.0 (g) 

MEIJI Holdings Co. Ltd.

       (11,900        (954,385        1,359          0.0 (g) 

Nissin Foods Holdings Co. Ltd.

       (13,200        (971,971        37          0.0 (g) 

Yamazaki Baking Co. Ltd.

       (39,600        (867,134        1,515          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (106,600        (4,255,829        6,864          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Household Products

                   

Lion Corp.

       (43,000        (926,281        2,790          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       (219,300        (8,024,201        15,608          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

 

         

Banks

 

         

Shinsei Bank Ltd.

       (55,000        (856,327        2,985          0.0 (g) 

Suruga Bank Ltd.

       (66,100        (895,420        4,294          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (121,100        (1,751,747        7,279          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Finance

                   

Acom Co. Ltd.

       (106,000        (479,876        1,061          0.0 (g) 

Aiful Corp. (a)

       (85,500        (289,119        260          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (191,500        (768,995        1,321          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Sony Financial Holdings, Inc.

       (43,100        (786,311        1,806          0.0 (g) 

T&D Holdings, Inc.

       (55,900        (949,405        1,182          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (99,000        (1,735,716        2,988          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (411,600        (4,256,458        11,588          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Otsuka Holdings Co. Ltd.

       (18,300        (956,773        2,755          0.0 (g) 

Santen Pharmaceutical Co. Ltd.

       (54,100        (908,573        4,476          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       (72,400        (1,865,346        7,231          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Air Freight & Logistics

                   

Yamato Holdings Co. Ltd.

       (17,000        (437,075        1,065          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

JGC Corp.

       (36,900        (904,380        1,918          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates

                   

Keihan Holdings Co. Ltd.

       (28,400        (916,993        2,656          0.0 (g) 

Seibu Holdings, Inc.

       (54,100        (912,141        2,887          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (82,500        (1,829,134        5,543          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

FANUC Corp.

       (3,600        (771,158        4,692          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail

                   

Keio Corp.

       (14,500        (661,932        2,585          0.0 (g) 

Kintetsu Group Holdings Co. Ltd.

       (22,900        (930,459        2,760          0.0 (g) 

Odakyu Electric Railway Co. Ltd.

       (25,900        (557,455        1,911          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (63,300        (2,149,846        7,256          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

MonotaRO Co. Ltd.

       (20,700        (721,522        2,751          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Mitsubishi Logistics Corp.

       (17,000        (392,107        1,636          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (241,000        (7,205,222        24,861          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         29  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Information Technology

                   

Electronic Equipment, Instruments & Components

                   

Alps Electric Co. Ltd.

       (30,900        (682,468        3,821          0.0 (g) 

Hirose Electric Co. Ltd.

       (5,400        (759,906        1,785          0.0 (g) 

Murata Manufacturing Co. Ltd.

       (5,800        (732,229        2,586          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (42,100        (2,174,603        8,192          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

GMO internet, Inc.

       (14,100        (258,371        1,522          0.0 (g) 

Yahoo Japan Corp.

       (159,500        (655,494        1,064          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (173,600        (913,865        2,586          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

Advantest Corp.

       (37,500        (891,949        6,788          0.0 (g) 

Renesas Electronics Corp. (a)

       (65,700        (685,362        4,572          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (103,200        (1,577,311        11,360          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Ricoh Co. Ltd.

       (66,300        (647,836        1,700          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (385,200        (5,313,615        23,838          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Kansai Paint Co. Ltd.

       (40,200        (903,284        2,798          0.0 (g) 

Nippon Paint Holdings Co. Ltd.

       (24,500        (1,000,072        3,953          0.0 (g) 

Nippon Shokubai Co. Ltd.

       (14,100        (958,096        1,509          0.0 (g) 

Taiyo Nippon Sanso Corp.

       (63,400        (939,952        1,305          0.0 (g) 

Tokuyama Corp.

       (29,000        (863,776        2,351          0.0 (g) 

Toray Industries, Inc.

       (89,600        (836,378        1,266          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (260,800        (5,501,558        13,182          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Kobe Steel Ltd.

       (29,300        (301,396        2,003          0.0 (g) 

Mitsui Mining & Smelting Co. Ltd.

       (22,300        (942,643        6,922          0.0 (g) 

UACJ Corp.

       (15,300        (398,731        4          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (66,900        (1,642,770        8,929          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (327,700        (7,144,328        22,111          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Mitsubishi Estate Co. Ltd.

       (51,400        (939,209        2,325          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Chugoku Electric Power Co., Inc. (The)

       (38,500        (481,653        830          0.0 (g) 

Hokkaido Electric Power Co., Inc.

       (71,700        (475,822        341          0.0 (g) 

Hokuriku Electric Power Co. (a)

       (5,800        (59,186        76          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (116,000        (1,016,661        1,247          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Gas Utilities

                   

Toho Gas Co. Ltd.

       (26,100        (793,558        (912        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       (142,100        (1,810,219        335          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (2,012,300        (41,965,421        122,330          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (1,902,900        (39,225,292        113,487          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
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 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      $ 852,323      $ (16,264   $      $ (16,264
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

Flight Centre Travel Group Ltd.

       19,515          817,516          (3,759        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Metcash Ltd.

       89,081          240,439          (993        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Beach Energy Ltd.

       809,871          955,163          (8,180        0.0 (g) 

Caltex Australia Ltd.

       28,717          667,808          (2,832        0.0 (g) 

Oil Search Ltd.

       135,888          799,439          (2,619        0.0 (g) 

Woodside Petroleum Ltd.

       32,185          779,955          (750        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       1,006,661          3,202,365          (14,381        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Airlines

                   

Qantas Airways Ltd.

       64,934          280,825          (1,244        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

IT Services

                   

Computershare Ltd.

       48,779          620,544          (3,751        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

Alumina Ltd.

       467,076          919,380          (8,944        0.0 (g) 

BlueScope Steel Ltd.

       22,586          277,570          (3,164        0.0 (g) 

Fortescue Metals Group Ltd.

       79,374          269,305          (3,185        0.0 (g) 

OZ Minerals Ltd.

       67,201          463,752          (4,226        0.0 (g) 

Regis Resources Ltd.

       59,791          210,993          (1,471        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       696,028          2,141,000          (20,990        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,924,998          7,302,689          (45,118        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Distributors

                   

Bapcor Ltd.

       (216,626        (955,751        6,461          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         31  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Hotels, Restaurants & Leisure

                   

Domino’s Pizza Enterprises Ltd.

       (2,544        (80,536        230          0.0 (g) 

Star Entertainment Grp Ltd. (The)

       (155,692        (616,117        2,766          0.0 (g) 

Tabcorp Holdings Ltd.

       (240,715        (791,554        2,199          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (398,951        (1,488,207        5,195          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (615,577        (2,443,958        11,656          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Diversified Financial Services

                   

AMP Ltd.

       (122,970        (372,251        1,764          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Mayne Pharma Group Ltd. (a)

       (145,565        (74,208        313          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Commercial Services & Supplies

                   

Brambles Ltd.

       (68,352        (505,749        2,150          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Nufarm Ltd.

       (143,137        (978,378        4,399          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Containers & Packaging

                   

Amcor Ltd.

       (85,639        (882,508        2,711          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Independence Group NL

       (64,671        (248,792        2,922          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (293,447        (2,109,678        10,032          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

AusNet Services

       (731,686        (944,522        2,939          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (1,977,597        (6,450,366        28,854          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (52,599        852,323          (16,264        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 NA    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      $ (79,195   $ 9,105      $      $ 9,105  
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Staples

                   

Food Products

                   

Barry Callebaut AG (Registered)

       421          755,812          (3,347        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Financials

                   

Insurance

                   

Zurich Insurance Group AG (a)

       2,573          821,908          (2,699        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Novartis AG (Registered)

       9,034          695,386          (3,815        0.0 (g) 

Roche Holding AG

       1,015          231,145          (943        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       10,049          926,531          (4,758        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Machinery

                   

Georg Fischer AG (Registered)

       204          253,584          (1,262        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Swiss Prime Site AG (Registered) (a)

       8,465          793,119          (1,702        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Sunrise Communications Group AG (a)

       9,421          738,469          (3,994        0.0 (g) 

Swisscom AG (Registered)

       1,565          750,625          (2,660        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       10,986          1,489,094          (6,654        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       32,698          5,040,048          (20,422        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Specialty Retail

                   

Dufry AG (Registered) (a)

       (1,537        (217,390        1,062          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Vifor Pharma AG

       (6,182        (975,589        5,359          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Machinery

                   

Sulzer AG (Registered)

       (6,626        (762,313        5,929          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Professional Services

                   

DKSH Holding AG

       (10,270        (823,659        3,330          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (16,896        (1,585,972        9,259          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Semiconductors & Semiconductor Equipmentams AG (a)

       (7,195        (593,422        4,685          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Clariant AG (Registered) (a)

       (35,431        (817,936        4,736          0.0 (g) 

EMS-Chemie Holding AG (Registered)

       (1,504        (928,934        4,426          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (36,935        (1,746,870        9,162          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (68,745        (5,119,243        29,527          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (36,047        (79,195        9,105          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         33  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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 NA    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      $ (25,702,030   $ 63,347      $      $ 63,347  
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Automobiles

                   

Peugeot SA

       4,758          117,159          (169        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Covestro AG

       5,699          517,839          (2,174        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Enel SpA

       79,276          502,905          (1,420        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       89,733          1,137,903          (3,763        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

 

         

Auto Components

 

         

Brembo SpA

       (55,059        (811,160        3,333          0.0 (g) 

Nokian Renkaat OYJ

       (21,114        (844,810        2,974          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (76,173        (1,655,970        6,307          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

                   

Accor SA

       (8,826        (498,862        691          0.0 (g) 

Melia Hotels International SA

       (65,023        (966,783        2,175          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (73,849        (1,465,645        2,866          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Neinor Homes SA (a)

       (11,488        (222,398        401          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Zalando SE (a)

       (5,323        (273,904        895          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

Altice NV (a)

       (31,907        (305,383        476          0.0 (g) 

JCDecaux SA

       (23,675        (848,420        (1,586        0.0 (g) 

Telenet Group Holding NV (a)

       (12,867        (751,944        2,590          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (68,449        (1,905,747        1,480          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (235,282        (5,523,664        11,949          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Beverages

                   

Remy Cointreau SA

       (6,127        (844,137        85          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

                   

Common Stocks — continued

                   

Food & Staples Retailing

                   

Carrefour SA

       (40,737        (835,818        2,202          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       (46,864        (1,679,955        2,287          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Capital Markets

                   

Deutsche Bank AG (Registered)

       (65,482        (895,227        3,551          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Diversified Financial Services

                   

Wendel SA

       (3,796        (573,321        602          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (69,278        (1,468,548        4,153          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Life Sciences Tools & Services

                   

Eurofins Scientific SE

       (1,809        (975,770        2,471          0.0 (g) 

MorphoSys AG (a)

       (2,622        (270,808        1,496          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       (4,431        (1,246,578        3,967          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Construction & Engineering

                   

Boskalis Westminster

       (31,804        (942,171        1,477          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment

                   

Nexans SA

       (15,745        (830,574        2,034          0.0 (g) 

OSRAM Licht AG

       (13,002        (747,497        2,550          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (28,747        (1,578,071        4,584          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates

                   

Siemens AG (Registered)

       (6,722        (853,660        3,872          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Alstom SA

       (10,209        (464,800        103          0.0 (g) 

GEA Group AG

       (18,482        (721,595        1,759          0.0 (g) 

KION Group AG

       (9,981        (831,963        3,313          0.0 (g) 

Metso OYJ

       (26,752        (950,776        5,150          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (65,424        (2,969,134        10,325          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Professional Services

                   

Bureau Veritas SA

       (32,491        (849,569        (107        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Brenntag AG

       (5,147        (294,779        582          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Aeroports de Paris

       (3,887        (855,619        556          0.0 (g) 

Getlink

       (19,218        (271,297                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (23,105        (1,126,916        556          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (193,440        (8,614,300        21,289          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Communications Equipment

                   

Nokia OYJ

       (118,462        (710,798        1,329          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

 

         

Delivery Hero AG (a)

       (17,520        (834,577        3,246          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

SOITEC (a)

       (1,382        (112,380        271          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (137,364        (1,657,755        4,846          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         35  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

                   

Common Stocks — continued

                   

Materials

                   

Chemicals

                   

LANXESS AG

       (12,205        (904,078        3,240          0.0 (g) 

OCI NV (a)

       (6,484        (153,875        456          0.0 (g) 

Symrise AG

       (11,630        (940,074        2,304          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (30,319        (1,998,027        6,000          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction Materials

                   

Buzzi Unicem SpA

       (33,408        (843,506        2,094          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Containers & Packaging

                   

Huhtamaki OYJ

       (19,494        (792,916        3,710          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

thyssenkrupp AG

       (19,296        (501,903        1,417          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (102,517        (4,136,352        13,221          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Cellnex Telecom SA

       (34,255        (918,693        1,294          0.0 (g) 

Iliad SA

       (3,430        (687,041        335          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       (37,685        (1,605,734        1,629          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Multi-Utilities

                   

RWE AG

       (37,949        (907,047        3,769          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (864,810        (26,839,933        67,110          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (775,077        (25,702,030        63,347          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 NA    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      $ 6,254,276      $ 42,130      $      $ 42,130  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Media

                   

Sky plc

       344,420          6,534,872          906          0.0 (g) 

UBM plc

       220,852          2,940,319          (2,856        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       565,272          9,475,191          (1,950        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       565,272          9,475,191          (1,950        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Financials

                   

Capital Markets

                   

Sole Realisation Co. plc (a)

       5,123          4,937          4,936          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Biotechnology

                   

Shire plc

       31,880          1,697,608          852          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       602,275          11,177,736          3,838          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Media

                   

Informa plc

       (236,790        (2,404,082        4,976          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Electrical Equipment

                   

Melrose Industries plc

       (803,463        (2,519,378        33,316          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (1,040,253        (4,923,460        38,292          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (437,978        6,254,276          42,130          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 NA    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      $ 6,837,721      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Media

                   

Time Warner, Inc.

       46,015          4,362,222                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Insurance

                   

Stewart Information Services Corp.

       700          29,197                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         37  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Materials

                   

Paper & Forest Products

                   

KapStone Paper and Packaging Corp.

       151,989          5,231,461                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       198,704          9,622,880                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Materials

                   

Containers & Packaging

                   

International Paper Co.

       (12,501        (644,552                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

AT&T, Inc.

       (65,462        (2,140,607                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (77,963        (2,785,159                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       120,741          6,837,721                   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 NA    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      $ 524,458      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

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          699,387                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Staples

                   

Food & Staples Retailing

                   

Metro, Inc.

       (5,513        (174,929                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       31,005          524,458                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
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 or receives the net of one month BBR on long positions, which is denominated in AUD based on the local currencies of the positions within the swaps.      10/29/2018      $ 2,131,598      $ (5,308   $      $ (5,308
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Health Care

                   

Biotechnology

                   

Sirtex Medical Ltd.

       62,150          1,299,799          (1,888        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services

                   

Healthscope Ltd.

       456,547          831,799          (3,420        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       518,697          2,131,598          (5,308        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 NA    The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions respectively, plus or minus a specified spread (rates range from (0.35)% to 0.00%), which is denominated in JPY based on the local currencies of the positions within the swaps.      05/27/2019      $ (1,115,916   $ 4,249      $      $ 4,249  
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions

                   

Common Stocks

                   

Health Care

                   

Pharmaceuticals

                   

Takeda Pharmaceutical Co. Ltd.

       (26,500        (1,115,916        4,249          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 NA    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, which is denominated in SEK based on the local currencies of the positions within the swaps.      07/31/2019      $ 170,476      $ (142   $      $ (142
                

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         39  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Com Hem Holding AB

       42,540          736,769          (2,622        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Telecommunication Services

                   

Wireless Telecommunication Services

                   

Tele2 AB

       (43,689        (566,293        2,480          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (1,149        170,476          (142        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 NA    The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month EURIBOR on long positions, which is denominated in EUR based on the local currencies of the positions within the swaps.      04/30/2019      $ 1,777,632      $ (3,031   $      $ (3,031
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Materials

                   

Containers & Packaging

                   

Smurfit Kappa Group plc

       41,701          1,777,632          (3,031        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 0.00% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps.      03/12/2021      $ 9,033,740      $ (19,054   $      $ (19,054
                

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Media

                   

Sky plc

       176,594          3,350,616          464          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

BGEO Group plc

       5,547          265,168          (584        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

NEX Group plc

       187,926          2,550,166          (5,965        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Old Mutual plc

       422,890          1,456,886          (7,911        0.0 (g) 

Prudential plc

       54,869          1,410,904          (5,058        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       477,759          2,867,790          (12,969        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       671,232          5,683,124          (19,518        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       847,826          9,033,740          (19,054        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 on short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps.      03/12/2021      $ 108,229,846      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Autoliv, Inc.

       10,100          1,353,905                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Automobiles

                   

Fiat Chrysler Automobiles NV (a)

       66,600          1,453,878                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Distributors

                   

Genuine Parts Co.

       16,300          1,439,616                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Diversified Consumer Services

                   

Capella Education Co.

       11,598          1,064,117                   0.0 (g) 

ServiceMaster Global Holdings, Inc. (a)

       27,300          1,381,380                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       38,898          2,445,497                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         41  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Hotels, Restaurants & Leisure

                   

Dunkin’ Brands Group, Inc.

       16,400          999,744                   0.0 (g) 

ILG, Inc.

       51,129          1,745,033                   0.0 (g) 

Pinnacle Entertainment, Inc. (a)

       78,337          2,516,184                   0.0 (g) 

Sonic Corp.

       53,900          1,396,549                   0.0 (g) 

Wynn Resorts Ltd.

       1,700          316,523                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       201,466          6,974,033                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Toll Brothers, Inc.

       22,300          940,168                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Leisure Products

                   

Brunswick Corp.

       24,000          1,437,120                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

CBS Corp. (Non-Voting)

       18,600          915,120                   0.0 (g) 

Time Warner, Inc.

       9,567          906,952                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       28,167          1,822,072                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

Asbury Automotive Group, Inc. (a)

       4,900          328,545                   0.0 (g) 

AutoNation, Inc. (a)

       19,900          919,181                   0.0 (g) 

Sleep Number Corp. (a)

       29,600          838,864                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       54,400          2,086,590                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       462,231          19,952,879                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food Products

                   

Pinnacle Foods, Inc.

       5,500          332,200                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Personal Products

                   

Edgewell Personal Care Co. (a)

       20,000          881,000                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       25,500          1,213,200                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Andeavor

       43,200          5,975,424                   0.0 (g) 

Antero Resources Corp. (a)

       17,800          338,200                   0.0 (g) 

Arch Coal, Inc.

       10,200          824,466                   0.0 (g) 

EQT Corp.

       29,500          1,480,605                   0.0 (g) 

Peabody Energy Corp.

       8,100          298,485                   0.0 (g) 

Phillips 66

       10,900          1,213,279                   0.0 (g) 

RSP Permian, Inc. (a)

       152,746          7,577,729                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       272,446          17,708,188                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Citigroup, Inc.

       13,200          901,164                   0.0 (g) 

Regions Financial Corp.

       51,300          959,310                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       64,500          1,860,474                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

BGC Partners, Inc.

       107,800          1,440,208                   0.0 (g) 

Financial Engines, Inc.

       76,268          3,405,366                   0.0 (g) 

Greenhill & Co., Inc.

       48,500          984,550                   0.0 (g) 

Legg Mason, Inc.

       25,100          996,470                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       257,668          6,826,594                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Insurance

                   

AmTrust Financial Services, Inc.

       84,954          1,095,057                   0.0 (g) 

Infinity Property & Casualty Corp.

       7,727          1,019,964                   0.0 (g) 

Validus Holdings Ltd.

       9,535          646,187                   0.0 (g) 

XL Group Ltd.

       128,122          7,122,302                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       230,338          9,883,510                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       552,506          18,570,578                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Biotechnology

                   

Avexis, Inc. (a)

       34,221          7,277,438                   0.0 (g) 

Spark Therapeutics, Inc. (a)

       4,100          312,912                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       38,321          7,590,350                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services

                   

Aetna, Inc.

       26,038          4,662,104                   0.0 (g) 

Express Scripts Holding Co. (a)

       75,777          5,736,319                   0.0 (g) 

Henry Schein, Inc. (a)

       21,500          1,634,000                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       123,315          12,032,423                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Life Sciences Tools & Services

                   

Medpace Holdings, Inc. (a)

       31,400          1,161,486                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Akorn, Inc. (a)

       17,293          249,538                   0.0 (g) 

Innoviva, Inc. (a)

       64,700          938,150                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       81,993          1,187,688                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       275,029          21,971,947                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Rockwell Collins, Inc.

       5,866          777,480                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines

                   

United Continental Holdings, Inc. (a)

       14,800          999,592                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Building Products

                   

Apogee Enterprises, Inc. (a)

       8,100          332,991                   0.0 (g) 

NCI Building Systems, Inc. (a)

       61,300          1,072,750                   0.0 (g) 

USG Corp. (a)

       44,773          1,801,218                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       114,173          3,206,959                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

KAR Auction Services, Inc.

       15,400          800,646                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Chicago Bridge & Iron Co. NV

       199,117          3,006,667                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Trinity Industries, Inc.

       41,700          1,328,979                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       391,056          10,120,323                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Communications Equipment

                   

Juniper Networks, Inc.

       38,500          946,715                   0.0 (g) 

Mitel Networks Corp. (a)

       176,373          1,968,323                   0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         43  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Communications Equipment — continued

                   

NETGEAR, Inc. (a)

       25,600          1,415,680                   0.0 (g) 

Oclaro, Inc. (a)

       424,173          3,359,450                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       664,646          7,690,168                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components

                   

Orbotech Ltd. (a)

       53,057          3,099,590                   0.0 (g) 

Sanmina Corp. (a)

       36,300          1,070,850                   0.0 (g) 

VeriFone Systems, Inc. (a)

       286,715          6,597,312                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       376,072          10,767,752                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

eBay, Inc. (a)

       23,300          882,604                   0.0 (g) 

MuleSoft, Inc. (a)

       164,320          7,325,386                   0.0 (g) 

Web.com Group, Inc. (a)

       55,700          1,036,020                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       243,320          9,244,010                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services

                   

Travelport Worldwide Ltd.

       20,200          346,228                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

Cavium, Inc. (a)

       81,710          6,129,067                   0.0 (g) 

Microsemi Corp. (a)

       106,910          6,916,008                   0.0 (g) 

Nanometrics, Inc. (a)

       38,200          948,124                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       226,820          13,993,199                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

Avaya Holdings Corp. (a)

       15,800          361,662                   0.0 (g) 

Citrix Systems, Inc. (a)

       10,900          1,121,719                   0.0 (g) 

CommVault Systems, Inc. (a)

       4,700          328,765                   0.0 (g) 

VMware, Inc. (a)

       7,800          1,039,428                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       39,200          2,851,574                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Stratasys Ltd. (a)

       63,300          1,213,461                   0.0 (g) 

Xerox Corp.

       11,100          349,095                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       74,400          1,562,556                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       1,644,658          46,455,487                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Monsanto Co.

       2,052          257,259                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Gas Utilities

                   

WGL Holdings, Inc.

       7,735          658,249                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities

                   

SCANA Corp.

       136,528          5,020,135                   0.0 (g) 

Vectren Corp.

       98,180          6,899,109                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       234,708          11,919,244                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       242,443          12,577,493                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       3,867,921          148,827,354                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
      

NET

UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)

       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Diversified Consumer Services

                   

Strayer Education, Inc.

       (10,047        (1,055,638                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

                   

Marriott Vacations Worldwide Corp.

       (8,300        (1,017,663                 0.0 (g) 

Penn National Gaming, Inc. (a)

       (32,572        (987,257                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (40,872        (2,004,920                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (50,919        (3,060,558                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

CVS Health Corp.

       (29,352        (2,049,650                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

McDermott International, Inc. (a)

       (612,473        (4,042,322                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

Concho Resources, Inc. (a)

       (48,389        (7,607,235                 0.0 (g) 

Marathon Petroleum Corp.

       (68,200        (5,108,862                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (116,589        (12,716,097                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       (729,062        (16,758,419                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Capital Markets

                   

CME Group, Inc.

       (8,260        (1,302,437                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Kemper Corp.

       (9,194        (620,595                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (17,454        (1,923,032                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Providers & Services

                   

Cigna Corp.

       (20,429        (3,510,111                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Communications Equipment

                   

Lumentum Holdings, Inc. (a)

       (16,193        (816,937                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

KLA-Tencor Corp.

       (15,947        (1,622,448                 0.0 (g) 

Marvell Technology Group Ltd.

       (175,998        (3,530,520                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (191,945        (5,152,968                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

salesforce.com, Inc. (a)

       (11,566        (1,399,370                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (219,704        (7,369,275                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

AT&T, Inc.

       (13,610        (445,047                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Multi-Utilities

                   

Dominion Energy, Inc.

       (82,353        (5,481,416                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (1,162,883        (40,597,508                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       2,705,038          108,229,846                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         45  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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 CDOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps.      03/12/2021      $ 1,175,911      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Industrials

 

         

Construction & Engineering

 

         

Aecon Group, Inc.

       83,646          1,175,911                   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 0.00% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps.      03/12/2021      $ 22,503,719      $ (8,159   $      $ (8,159
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Auto Components

 

         

CIE Automotive SA

       13,853          517,851          (1,413        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Yoox Net-A-Porter Group SpA (a)

       126,244          5,776,238          (178        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods

                   

Kering SA

       2,993          1,731,440          (2,001        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       143,090          8,025,529          (3,592        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Biotechnology

                   

Ablynx NV (a)

       21,060          1,135,267          (3,580        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

STADA Arzneimittel AG

       7,111          719,955                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       28,171          1,855,222          (3,580        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Industrials

                   

Transportation Infrastructure

                   

Abertis Infraestructuras SA

       254,503          5,611,001          (987        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Software

                   

Gemalto NV

       116,410          7,011,967                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       542,174          22,503,719          (8,159        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, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in DKK based on the local currencies of the positions within the swaps.      09/25/2020      $ 4,120,491      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Telecommunication Services

 

         

Diversified Telecommunication Services

 

         

TDC A/S (a)

       506,015          4,120,491                   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, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in AUD based on the local currencies of the positions within the swaps.      03/12/2021      $ 5,555,743      $ (24,426   $      $ (24,426
                

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         47  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Hotels, Restaurants & Leisure

 

         

Mantra Group Ltd.

       252,833          750,814          (1,049        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Wesfarmers Ltd.

       44,185          1,453,668          (2,327        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Santos Ltd. (a)

       381,886          1,758,896          (6,371        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

South32 Ltd.

       573,821          1,592,365          (14,679        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,252,725          5,555,743          (24,426        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 STIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in SEK based on the local currencies of the positions within the swaps.      07/10/2018      $ 1,234,939      $ (5,984   $      $ (5,984
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Industrials

 

         

Machinery

 

         

Atlas Copco AB

       31,579          1,234,939          (5,984        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 0.00% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps.    05/25/2018 –
03/12/2021
   $ 1,350,042      $ 1,716      $      $ 1,716  
                 

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Hotels, Restaurants & Leisure

 

         

Carnival plc

       9,992          649,434          (537        0.0 (g) 

William Hill plc

       128,442          516,615          (1,131        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       138,434          1,166,049          (1,668        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Berkeley Group Holdings plc

       10,374          580,778          (780        0.0 (g) 

Persimmon plc

       2,850          106,463          (63        0.0 (g) 

Redrow plc

       17,327          149,309          (376        0.0 (g) 

Taylor Wimpey plc

       49,895          131,400          (314        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       80,446          967,950          (1,533        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

WH Smith plc

       3,502          93,865          (197        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       222,382          2,227,864          (3,398        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Wm Morrison Supermarkets plc

       211,503          705,398          (2,452        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

Petrofac Ltd.

       30,905          256,470          (343        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Capital Markets

                   

3i Group plc

       42,737          551,656          (2,344        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Airlines

                   

International Consolidated Airlines Group SA

       75,041          648,671          (2,382        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Electronic Equipment, Instruments & Components

                   

Electrocomponents plc

       57,402          479,877          (1,387        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

Moneysupermarket.com Group plc

       39,327          161,986          (276        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       96,729          641,863          (1,663        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

Centamin plc

       283,658          612,939          811          0.0 (g) 

Rio Tinto plc

       1,605          87,482          291          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       285,263          700,421          1,102          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

BT Group plc

       40,589          139,315          (75        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Multi-Utilities

                   

Centrica plc

       16,836          35,648                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       1,021,985          5,907,306          (11,555        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         49  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

Merlin Entertainments plc

       (52,711        (266,650        252          0.0 (g) 

Whitbread plc

       (7,190        (423,040        714          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (59,901        (689,690        966          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Ocado Group plc (a)

       (63,965        (472,810        1,308          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

Cineworld Group plc (a)

       (267,423        (954,703        3,989          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

B&M European Value Retail SA

       (86,622        (482,713        617          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (477,911        (2,599,916        6,880          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Standard Chartered plc

       (38,141        (400,634        2,107          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

St James’s Place plc

       (28,023        (436,522        1,931          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (66,164        (837,156        4,038          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Hikma Pharmaceuticals plc

       (1,637        (28,864        163          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

Fresnillo plc

       (19,643        (344,774        18          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Capital & Counties Properties plc

       (91,516        (362,201        1,028          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Water Utilities

                   

Pennon Group plc

       (40,453        (384,353        1,144          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (697,324        (4,557,264        13,271          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       324,661          1,350,042          1,716          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 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps.      03/12/2021      $ (77,129,550   $      $      $  
                

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Lear Corp.

       3,217          601,482                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

                   

Wyndham Worldwide Corp.

       1,611          183,992                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

MDC Holdings, Inc.

       14,339          415,974                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

Big Lots, Inc.

       8,163          346,519                   0.0 (g) 

Target Corp.

       2,104          152,750                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       10,267          499,269                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

Best Buy Co., Inc.

       6,024          461,017                   0.0 (g) 

Children’s Place, Inc. (The)

       3,200          408,160                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       9,224          869,177                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       38,658          2,569,894                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Personal Products

                   

USANA Health Sciences, Inc. (a)

       8,486          895,697                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Valero Energy Corp.

       4,635          514,161                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Providers & Services

                   

Aetna, Inc.

       3,090          553,265                   0.0 (g) 

Chemed Corp.

       2,280          702,742                   0.0 (g) 

Express Scripts Holding Co. (a)

       3,630          274,791                   0.0 (g) 

Humana, Inc.

       1,201          353,310                   0.0 (g) 

Quest Diagnostics, Inc.

       4,273          432,428                   0.0 (g) 

UnitedHealth Group, Inc.

       2,461          581,780                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       16,935          2,898,316                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Johnson & Johnson

       3,749          474,211                   0.0  (g) 

Mallinckrodt plc (a)

       12,793          166,309                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       16,542          640,520                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       33,477          3,538,836                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Building Products

                   

Owens Corning

       6,448          422,280                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

Deluxe Corp.

       6,506          445,921                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Barnes Group, Inc.

       7,852          436,022                   0.0 (g) 

Hillenbrand, Inc.

       9,965          461,878                   0.0 (g) 

Wabash National Corp.

       14,299          286,838                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       32,116          1,184,738                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       45,070          2,052,939                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         51  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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

                   

Communications Equipment

                   

Cisco Systems, Inc.

       8,828          390,992                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components

                   

Methode Electronics, Inc.

       7,803          311,340                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services

                   

Amdocs Ltd.

       5,631          378,685                   0.0 (g) 

Convergys Corp.

       3,186          74,425                   0.0 (g) 

Mastercard, Inc.

       3,753          669,047                   0.0 (g) 

Western Union Co. (The)

       12,314          243,202                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       24,884          1,365,359                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

First Solar, Inc. (a)

       9,937          704,633                   0.0 (g) 

Teradyne, Inc.

       3,395          110,507                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       13,332          815,140                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

Oracle Corp.

       4,954          226,249                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Apple, Inc.

       2,516          415,794                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       62,317          3,524,874                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

LyondellBasell Industries NV

       4,849          512,685                   0.0 (g) 

Trinseo SA

       6,176          450,539                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       11,025          963,224                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       203,668          14,059,625                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Cooper Tire & Rubber Co.

       (26,886        (657,363                 0.0 (g) 

Visteon Corp. (a)

       (3,511        (436,909                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (30,397        (1,094,272                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

 

         

Caesars Entertainment Corp. (a)

       (82,484        (936,193                 0.0 (g) 

Chipotle Mexican Grill, Inc. (a)

       (1,839        (778,504                 0.0 (g) 

MGM Resorts International

       (9,689        (304,428                 0.0 (g) 

Papa John’s International, Inc.

       (14,454        (896,148                 0.0 (g) 

Shake Shack, Inc. (a)

       (17,806        (847,744                 0.0 (g) 

Wendy’s Co. (The)

       (50,243        (841,068                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (176,515        (4,604,085                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet & Direct Marketing Retail

                   

Groupon, Inc. (a)

       (46,667        (216,535                 0.0 (g) 

Netflix, Inc. (a)

       (444        (138,732                 0.0 (g) 

Wayfair, Inc. (a)

       (5,421        (337,728                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (52,532        (692,995                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Leisure Products

                   

Vista Outdoor, Inc. (a)

       (54,535        (913,461                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

Cinemark Holdings, Inc.

       (20,967        (821,277                 0.0 (g) 

DISH Network Corp. (a)

       (20,883        (700,625                 0.0 (g) 

Liberty Broadband Corp. (a)

       (5,062        (358,845                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (46,912        (1,880,747                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Specialty Retail

                   

CarMax, Inc. (a)

       (7,238        (452,375                 0.0 (g) 

National Vision Holdings, Inc. (a)

       (28,233        (939,594                 0.0 (g) 

Ulta Beauty, Inc. (a)

       (4,252        (1,066,869                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (39,723        (2,458,838                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods

                   

NIKE, Inc.

       (4,150        (283,819                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (404,764        (11,928,217                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Beverages

                   

Coca-Cola Bottling Co. Consolidated

       (2,284        (384,603                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food & Staples Retailing

                   

Casey’s General Stores, Inc.

       (3,771        (364,279                 0.0 (g) 

PriceSmart, Inc.

       (10,883        (953,351                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (14,654        (1,317,630                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products

                   

Bunge Ltd.

       (11,349        (819,738                 0.0 (g) 

Kraft Heinz Co. (The)

       (13,130        (740,269                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (24,479        (1,560,007                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Products

                   

HRG Group, Inc. (a)

       (55,948        (628,856                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Personal Products

                   

Coty, Inc.

       (15,900        (275,865                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       (113,265        (4,166,961                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

Baker Hughes a GE Co.

       (29,438        (1,063,006                 0.0 (g) 

Forum Energy Technologies, Inc. (a)

       (73,639        (927,851                 0.0 (g) 

Nabors Industries Ltd.

       (126,368        (961,660                 0.0 (g) 

Weatherford International plc (a)

       (141,550        (417,573                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (370,995        (3,370,090                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

Carrizo Oil & Gas, Inc. (a)

       (33,343        (669,194                 0.0 (g) 

Cheniere Energy, Inc. (a)

       (16,408        (954,289                 0.0 (g) 

Chesapeake Energy Corp. (a)

       (43,673        (129,709                 0.0 (g) 

Extraction Oil & Gas, Inc. (a)

       (36,769        (519,178                 0.0 (g) 

Hess Corp.

       (7,777        (443,211                 0.0 (g) 

Matador Resources Co. (a)

       (13,404        (438,847                 0.0 (g) 

Oasis Petroleum, Inc. (a)

       (53,377        (588,748                 0.0 (g) 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         53  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Oil, Gas & Consumable Fuels — continued

                   

Parsley Energy, Inc. (a)

       (14,676        (440,720                 0.0 (g) 

QEP Resources, Inc. (a)

       (44,846        (546,224                 0.0 (g) 

Range Resources Corp.

       (31,166        (431,649                 0.0 (g) 

SM Energy Co.

       (34,561        (827,736                 0.0 (g) 

Targa Resources Corp.

       (19,489        (915,398                 0.0 (g) 

WPX Energy, Inc. (a)

       (47,411        (810,254                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (396,900        (7,715,157                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       (767,895        (11,085,247                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Bank of the Ozarks, Inc. (a)

       (19,108        (894,254                 0.0 (g) 

First Republic Bank

       (8,962        (832,301                 0.0 (g) 

Home BancShares, Inc.

       (40,225        (934,829                 0.0 (g) 

Signature Bank (a)

       (6,642        (844,530                 0.0 (g) 

UMB Financial Corp.

       (12,689        (971,724                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (87,626        (4,477,638                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

Charles Schwab Corp. (The)

       (17,799        (991,048                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Finance

                   

LendingClub Corp. (a)

       (244,102        (656,634                 0.0 (g) 

PRA Group, Inc. (a)

       (5,009        (178,320                 0.0 (g) 

SLM Corp. (a)

       (80,190        (920,581                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (329,301        (1,755,535                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Markel Corp. (a)

       (367        (414,725                 0.0 (g) 

RLI Corp.

       (6,681        (422,774                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (7,048        (837,499                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (441,774        (8,061,720                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Equipment & Supplies

                   

DexCom, Inc. (a)

       (5,986        (438,055                 0.0  (g) 

Hologic, Inc. (a)

       (22,666        (879,214                 0.0 (g) 

Insulet Corp. (a)

       (9,850        (847,100                 0.0 (g) 

iRhythm Technologies, Inc. (a)

       (13,119        (762,870                 0.0 (g) 

Nevro Corp. (a)

       (3,500        (312,760                 0.0 (g) 

Penumbra, Inc. (a)

       (757        (94,133                 0.0 (g) 

Wright Medical Group NV (a)

       (42,595        (835,288                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (98,473        (4,169,420                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Aerie Pharmaceuticals, Inc. (a)

       (5,012        (256,614                 0.0 (g) 

Intra-Cellular Therapies, Inc. (a)

       (14,675        (255,639                 0.0 (g) 

Medicines Co. (The) (a)

       (17,792        (535,361                 0.0 (g) 

Nektar Therapeutics (a)

       (1,810        (151,425                 0.0 (g) 

Pacira Pharmaceuticals, Inc. (a)

       (23,822        (788,508                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (63,111        (1,987,547                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       (161,584        (6,156,967                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Industrials

                   

Aerospace & Defense

                   

Arconic, Inc.

       (35,540        (632,967                 0.0 (g) 

Cubic Corp.

       (5,728        (353,704                 0.0 (g) 

Kratos Defense & Security Solutions, Inc. (a)

       (88,236        (883,242                 0.0 (g) 

Mercury Systems, Inc. (a)

       (8,016        (257,153                 0.0 (g) 

TransDigm Group, Inc.

       (1,102        (353,268                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (138,622        (2,480,334                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Airlines

                   

Spirit Airlines, Inc. (a)

       (19,933        (712,007                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

ABM Industries, Inc.

       (23,692        (737,532                 0.0 (g) 

Clean Harbors, Inc. (a)

       (7,563        (346,385                 0.0 (g) 

Covanta Holding Corp.

       (60,798        (905,890                 0.0 (g) 

Healthcare Services Group, Inc.

       (9,236        (356,787                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (101,289        (2,346,594                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Dycom Industries, Inc. (a)

       (1,659        (172,304                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates

 

         

General Electric Co.

       (60,454        (850,588                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

CIRCOR International, Inc.

       (9,784        (414,548                 0.0 (g) 

EnPro Industries, Inc.

       (6,250        (469,688                 0.0 (g) 

Flowserve Corp.

       (17,311        (768,782                 0.0 (g) 

Gardner Denver Holdings, Inc. (a)

       (30,224        (955,985                 0.0 (g) 

John Bean Technologies Corp.

       (7,671        (826,550                 0.0 (g) 

Mueller Water Products, Inc.

       (77,800        (761,662                 0.0 (g) 

REV Group, Inc.

       (28,903        (521,699                 0.0 (g) 

Wabtec Corp.

       (11,469        (1,018,562                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (189,412        (5,737,476                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Marine

                   

Matson, Inc.

       (13,786        (402,965                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail

                   

AMERCO

       (1,289        (435,063                 0.0 (g) 

Avis Budget Group, Inc. (a)

       (1,776        (87,752                 0.0 (g) 

Hertz Global Holdings, Inc. (a)

       (11,946        (261,626                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (15,011        (784,441                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Herc Holdings, Inc. (a)

       (5,023        (264,469                 0.0 (g) 

MRC Global, Inc. (a)

       (50,084        (938,073                 0.0 (g) 

NOW, Inc. (a)

       (84,982        (1,030,832                 0.0 (g) 

SiteOne Landscape Supply, Inc. (a)

       (2,986        (204,541                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (143,075        (2,437,915                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Macquarie Infrastructure Corp.

       (15,165        (574,754                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (698,406        (16,499,378                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         55  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Information Technology

                   

Communications Equipment

                   

Ciena Corp. (a)

       (26,584        (684,538                 0.0 (g) 

Infinera Corp. (a)

       (12,694        (148,774                 0.0 (g) 

ViaSat, Inc. (a)

       (3,514        (224,826                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (42,792        (1,058,138                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electronic Equipment, Instruments & Components

                   

Fabrinet (a)

       (21,388        (603,355                 0.0 (g) 

Fitbit, Inc. (a)

       (62,867        (348,912                 0.0 (g) 

II-VI, Inc. (a)

       (18,099        (689,572                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (102,354        (1,641,839                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Internet Software & Services

                   

2U, Inc. (a)

       (7,626        (613,817                 0.0 (g) 

Benefitfocus, Inc. (a)

       (6,816        (205,843                 0.0 (g) 

Box, Inc. (a)

       (9,515        (217,513                 0.0 (g) 

Cloudera, Inc. (a)

       (13,832        (197,106                 0.0 (g) 

Cornerstone OnDemand, Inc. (a)

       (6,705        (295,892                 0.0 (g) 

Pandora Media, Inc. (a)

       (26,645        (149,478                 0.0 (g) 

Q2 Holdings, Inc. (a)

       (2,778        (136,817                 0.0 (g) 

TrueCar, Inc. (a)

       (78,782        (779,942                 0.0 (g) 

Wix.com Ltd. (a)

       (8,525        (701,181                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (161,224        (3,297,589                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

IT Services

                   

Gartner, Inc. (a)

       (5,789        (702,148                 0.0 (g) 

InterXion Holding NV (a)

       (11,360        (738,627                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (17,149        (1,440,775                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

Advanced Micro Devices, Inc. (a)

       (67,816        (737,838                 0.0 (g) 

MACOM Technology Solutions Holdings, Inc. (a)

       (31,078        (516,516                 0.0 (g) 

MaxLinear, Inc. (a)

       (28,789        (642,858                 0.0 (g) 

Power Integrations, Inc. (a)

       (10,901        (739,088                 0.0 (g) 

SMART Global Holdings, Inc. (a)

       (18,343        (718,128                 0.0 (g) 

Veeco Instruments, Inc. (a)

       (42,589        (658,000                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (199,516        (4,012,428                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

 

         

Autodesk, Inc. (a)

       (6,421        (808,404                 0.0 (g) 

Blackline, Inc. (a)

       (13,517        (559,604                 0.0 (g) 

FireEye, Inc. (a)

       (23,461        (423,471                 0.0 (g) 

Snap, Inc. (a)

       (11,564        (165,712                 0.0 (g) 

Splunk, Inc. (a)

       (4,838        (496,621                 0.0 (g) 

Symantec Corp.

       (25,361        (704,782                 0.0 (g) 

Zendesk, Inc. (a)

       (11,135        (542,831                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (96,297        (3,701,425                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Cray, Inc. (a)

       (12,279        (292,854                 0.0 (g) 

Diebold Nixdorf, Inc.

       (40,736        (625,298                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (53,015        (918,152                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (672,347        (16,070,346                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Materials

                   

Chemicals

                   

Albemarle Corp.

       (9,707        (941,191                 0.0 (g) 

Ashland Global Holdings, Inc.

       (13,170        (871,591                 0.0 (g) 

GCP Applied Technologies, Inc. (a)

       (13,579        (389,038                 0.0 (g) 

International Flavors & Fragrances, Inc.

       (6,722        (949,550                 0.0 (g) 

NewMarket Corp.

       (2,035        (772,384                 0.0 (g) 

RPM International, Inc.

       (6,987        (337,472                 0.0 (g) 

Valvoline, Inc.

       (41,527        (842,168                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (93,727        (5,103,394                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction Materials

                   

Martin Marietta Materials, Inc.

       (1,994        (388,371                 0.0 (g) 

Summit Materials, Inc. (a)

       (31,145        (876,420                 0.0 (g) 

Vulcan Materials Co.

       (2,958        (330,379                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (36,097        (1,595,170                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

AK Steel Holding Corp. (a)

       (44,363        (203,626                 0.0 (g) 

Coeur Mining, Inc. (a)

       (58,284        (441,210                 0.0 (g) 

Compass Minerals International, Inc.

       (4,017        (270,344                 0.0 (g) 

Constellium NV (a)

       (64,815        (735,650                 0.0 (g) 

Hecla Mining Co.

       (246,945        (945,799                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (418,424        (2,596,629                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (548,248        (9,295,193                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Kennedy-Wilson Holdings, Inc.

       (51,667        (979,090                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Zayo Group Holdings, Inc. (a)

       (22,439        (814,536                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Southern Co. (The)

       (10,829        (499,433                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Gas Utilities

                   

ONE Gas, Inc.

       (13,675        (953,421                 0.0 (g) 

South Jersey Industries, Inc.

       (32,472        (1,003,385                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (46,147        (1,956,806                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities

                   

Dominion Energy, Inc.

       (13,658        (909,076                 0.0 (g) 

NiSource, Inc.

       (20,031        (488,556                 0.0 (g) 

Sempra Energy

       (7,607        (850,463                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (41,296        (2,248,095                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Water Utilities

                   

American Water Works Co., Inc.

       (5,803        (502,424                 0.0 (g) 

Aqua America, Inc.

       (12,714        (446,897                 0.0 (g) 

California Water Service Group

       (12,332        (477,865                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (30,849        (1,427,186                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       (129,121        (6,131,520                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (4,011,510        (91,189,175                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (3,807,842        (77,129,550                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         57  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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 CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps.      03/12/2021      $ 16,540,990      $      $      $  
                 

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Auto Components

 

         

Linamar Corp.

       9,983          559,427                   0.0 (g) 

Magna International, Inc.

       16,027          946,554                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       26,010          1,505,981                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Textiles, Apparel & Luxury Goods

 

         

Gildan Activewear, Inc.

       28,854          840,484                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       54,864          2,346,465                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Enerplus Corp.

       77,136          895,149                   0.0 (g) 

Husky Energy, Inc.

       59,103          826,738                   0.0 (g) 

Imperial Oil Ltd.

       31,040          965,324                   0.0 (g) 

Inter Pipeline Ltd.

       48,447          873,514                   0.0 (g) 

Parex Resources, Inc. (a)

       59,802          1,028,877                   0.0 (g) 

Suncor Energy, Inc.

       25,813          987,124                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       301,341          5,576,726                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Canadian Imperial Bank of Commerce

       9,208          802,002                   0.0 (g) 

Laurentian Bank of Canada

       21,956          843,218                   0.0 (g) 

National Bank of Canada

       18,163          862,635                   0.0 (g) 

Toronto-Dominion Bank (The)

       6,487          364,327                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       55,814          2,872,182                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Capital Markets

                   

CI Financial Corp.

       37,639          792,091                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Thrifts & Mortgage Finance

                   

Genworth MI Canada, Inc.

       10,314          333,370                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       103,767          3,997,643                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

IT Services

                   

CGI Group, Inc. (a)

       11,351          657,747                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Software

                   

Constellation Software, Inc.

       982          701,828                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       12,333          1,359,575                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

 

         

Chemicals

 

         

Methanex Corp.

       13,316          802,621                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Hudbay Minerals, Inc.

       121,853          851,296                   0.0 (g) 

Teck Resources Ltd. (a)

       31,899          800,736                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       153,752          1,652,032                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products

                   

Canfor Corp. (a)

       34,165          784,708                   0.0 (g) 

Norbord, Inc.

       24,937          1,029,760                   0.0 (g) 

West Fraser Timber Co. Ltd.

       12,671          858,286                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       71,773          2,672,754                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       238,841          5,127,407                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

First Capital Realty, Inc.

       16,259          254,152                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       727,405          18,661,968                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Energy

                   

Oil, Gas & Consumable Fuels

                   

MEG Energy Corp. (a)

       (68,001        (351,670                 0.0 (g) 

Seven Generations Energy Ltd. (a)

       (22,400        (319,614                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       (90,401        (671,284                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Aerospace & Defense

                   

Bombardier, Inc. (a)

       (196,763        (608,395                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

Endeavour Mining Corp. (a)

       (5,499        (93,838                 0.0 (g) 

First Quantum Minerals Ltd.

       (28,685        (413,312                 0.0 (g) 

Franco-Nevada Corp.

       (4,711        (334,149                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (38,895        (841,299                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (326,059        (2,120,978                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       401,346          16,540,990                   0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         59  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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 0.00% to 0.25%), which is denominated in JPY based on the local currencies of the positions within the swaps.      03/12/2021      $ 35,560,822      $ (141,687   $      $ (141,687
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

 

Common Stocks

 

         

Consumer Discretionary

 

         

Auto Components

 

         

Aisin Seiki Co. Ltd.

       15,500          839,711          (2,495        0.0 (g) 

Bridgestone Corp.

       19,400          810,970          (3,397        0.0 (g) 

NHK Spring Co. Ltd.

       83,500          922,729          43          0.0 (g) 

Sumitomo Rubber Industries Ltd.

       45,200          807,167          (1,984        0.0 (g) 

TS Tech Co. Ltd.

       4,300          173,976          (1,257        0.0 (g) 

Unipres Corp.

       36,800          866,484          (4,369        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       204,700          4,421,037          (13,459        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Automobiles

                   

Yamaha Motor Co. Ltd.

       23,600          754,597          (983        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Haseko Corp.

       58,100          913,891          (2,890        0.0 (g) 

Nikon Corp.

       43,000          748,221          (2,273        0.0 (g) 

Sekisui Chemical Co. Ltd.

       48,300          854,431          (2,704        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       149,400          2,516,543          (7,867        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       377,700          7,692,177          (22,309        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Beverages

                   

Kirin Holdings Co. Ltd.

       28,300          794,353          (1,164        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food & Staples Retailing

                   

Matsumotokiyoshi Holdings Co. Ltd.

       4,600          204,912          (640        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products

                   

Prima Meat Packers Ltd.

       154,000          939,576          (2,849        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Personal Products

                   

Pola Orbis Holdings, Inc.

       19,900          868,229          (1,895        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       206,800          2,807,070          (6,548        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

JXTG Holdings, Inc.

       143,300          934,139          (2,318        0.0 (g) 

Showa Shell Sekiyu KK

       22,100          312,065          (675        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       165,400          1,246,204          (2,993        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Financials

                   

Diversified Financial Services

                   

ORIX Corp.

       48,500          850,634          (2,952        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Health Care Providers & Services

                   

Suzuken Co. Ltd.

       20,400          877,168          (1,756        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Kaken Pharmaceutical Co. Ltd.

       4,000          236,542          (560        0.0 (g) 

Tsumura & Co.

       23,200          841,562          (3,077        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       27,200          1,078,104          (3,637        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       47,600          1,955,272          (5,393        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Building Products

                   

Nichias Corp.

       66,000          835,985          (1,995        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Kajima Corp.

       79,000          761,093          (1,302        0.0 (g) 

Kinden Corp.

       51,300          894,717          (1,578        0.0 (g) 

Maeda Corp.

       74,200          915,765          (1,893        0.0 (g) 

Nishimatsu Construction Co. Ltd.

       27,900          766,943          (2,527        0.0 (g) 

Okumura Corp.

       21,600          894,216          (1,833        0.0 (g) 

Penta-Ocean Construction Co. Ltd.

       25,200          198,597          (800        0.0 (g) 

Toda Corp.

       100,000          824,568          (2,362        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       379,200          5,255,899          (12,295        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

DMG Mori Co. Ltd.

       46,700          872,573          (6,150        0.0 (g) 

Fuji Corp/Aichi

       43,400          778,916          (1,983        0.0 (g) 

Kurita Water Industries Ltd.

       27,000          874,362          (2,422        0.0 (g) 

Sodick Co. Ltd. (a)

       64,800          797,552          (5,038        0.0 (g) 

Takeuchi Manufacturing Co. Ltd. (a)

       38,400          877,023          (4,997        0.0 (g) 

THK Co. Ltd.

       22,900          798,138          (4,158        0.0 (g) 

Tsugami Corp.

       67,000          806,529          (4,923        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       310,200          5,805,093          (29,671        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail

                   

Sankyu, Inc.

       18,200          884,547          (1,146        0.0 (g) 

Seino Holdings Co. Ltd.

       46,900          878,473          (2,297        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       65,100          1,763,020          (3,443        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

ITOCHU Corp.

       45,200          903,929          (3,213        0.0 (g) 

Kanamoto Co. Ltd.

       25,400          867,922          (4,535        0.0 (g) 

Marubeni Corp.

       120,000          901,147          (3,573        0.0 (g) 

Sumitomo Corp.

       16,000          287,209          (1,046        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       206,600          2,960,207          (12,367        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       1,027,100          16,620,204          (59,771        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Electronic Equipment, Instruments & Components

                   

Maruwa Co. Ltd.

       9,400          774,756          (4,278        0.0 (g) 

Omron Corp.

       11,000          593,663          (4,032        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       20,400          1,368,419          (8,310        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         61  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

IT Services

                   

Itochu Techno-Solutions Corp.

       32,000          661,503          (2,969        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

Sanken Electric Co. Ltd.

       90,000          576,007          (3,576        0.0 (g) 

SCREEN Holdings Co. Ltd.

       7,900          646,179          (4,928        0.0 (g) 

Ulvac, Inc.

       2,400          128,386          (922        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       100,300          1,350,572          (9,426        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

GungHo Online Entertainment, Inc. (a)

       192,700          581,220          (2,239        0.0 (g) 

Nexon Co. Ltd. (a)

       10,100          146,969          (207        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       202,800          728,189          (2,446        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Technology Hardware, Storage & Peripherals

                   

Brother Industries Ltd.

       30,200          647,777          (3,075        0.0 (g) 

Canon, Inc.

       18,800          646,705          (5,070        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       49,000          1,294,482          (8,145        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       404,500          5,403,165          (31,296        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Denka Co. Ltd.

       23,500          836,631          (3,883        0.0 (g) 

JSR Corp.

       39,100          736,569          (2,011        0.0 (g) 

Mitsubishi Chemical Holdings Corp.

       86,400          817,310          (4,249        0.0 (g) 

Mitsubishi Gas Chemical Co., Inc.

       12,500          292,943          (1,376        0.0 (g) 

Mitsui Chemicals, Inc.

       8,500          243,663          (483        0.0 (g) 

NOF Corp.

       29,300          874,262          (824        0.0 (g) 

Showa Denko KK

       23,800          791,844          (3,884        0.0 (g) 

Sumitomo Bakelite Co. Ltd.

       99,000          892,955          (3,587        0.0 (g) 

Tosoh Corp.

       21,300          376,762          (1,619        0.0 (g) 

Ube Industries Ltd.

       29,800          907,833          (2,632        0.0 (g) 

Zeon Corp.

       51,900          670,252          (4,372        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       425,100          7,441,024          (28,920        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction Materials

                   

Taiheiyo Cement Corp.

       20,800          785,407          (3,250        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Nippon Light Metal Holdings Co. Ltd.

       317,100          847,616          (5,178        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products

                   

Oji Holdings Corp.

       126,000          886,360          (1,126        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       889,000          9,960,407          (38,474        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Nomura Real Estate Holdings, Inc.

       6,800          168,276          (791        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Nippon Telegraph & Telephone Corp.

       17,800          844,702          (2,800        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Wireless Telecommunication Services

 

         

NTT DOCOMO, Inc.

       10,500          271,257          (1,040        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Telecommunication Services

       28,300          1,115,959          (3,840        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Utilities

                   

Electric Utilities

                   

Kansai Electric Power Co., Inc. (The)

       27,300          381,975          (105        0.0 (g) 

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

       228,200          1,084,805          (2,756        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       255,500          1,466,780          (2,861        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       3,457,200          49,286,148          (177,228        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Toyo Tire & Rubber Co. Ltd.

       (53,800        (915,795        4,494          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

                   

Kyoritsu Maintenance Co. Ltd.

       (2,000        (94,195        390          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multiline Retail

                   

Isetan Mitsukoshi Holdings Ltd.

       (47,800        (531,785        784          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (103,600        (1,541,775        5,668          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food & Staples Retailing

                   

Cosmos Pharmaceutical Corp.

       (4,500        (1,011,896        1,139          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Food Products

                   

Kewpie Corp.

       (13,300        (309,910        448          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Staples

       (17,800        (1,321,806        1,587          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Consumer Finance

                   

Acom Co. Ltd.

       (100,400        (454,524        1,005          0.0 (g) 

Aiful Corp. (a)

       (183,500        (620,508        559          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (283,900        (1,075,032        1,564          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Air Freight & Logistics

                   

Yamato Holdings Co. Ltd.

       (14,400        (370,228        902          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Commercial Services & Supplies

                   

Park24 Co. Ltd.

       (33,800        (957,461        1,009          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Road & Rail

                   

Keikyu Corp.

       (50,400        (923,376        1,915          0.0 (g) 

Keio Corp.

       (5,800        (264,773        1,034          0.0 (g) 

Kyushu Railway Co.

       (28,500        (912,086        2,980          0.0 (g) 

Odakyu Electric Railway Co. Ltd.

       (18,000        (387,421        1,328          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (102,700        (2,487,656        7,257          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

MonotaRO Co. Ltd.

       (6,800        (237,022        904          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Mitsubishi Logistics Corp.

       (21,300        (491,287        2,050          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (179,000        (4,543,654        12,122          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         63  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

 

Common Stocks — continued

 

         

Information Technology

                   

Internet Software & Services

                   

GMO internet, Inc.

       (26,600        (487,424        2,871          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

LINE Corp. (a)

       (18,900        (683,505        7,178          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (45,500        (1,170,929        10,049          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Metals & Mining

                   

Kobe Steel Ltd.

       (58,300        (599,706        3,985          0.0 (g) 

UACJ Corp.

       (21,300        (555,096        6          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (79,600        (1,154,802        3,991          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Chugoku Electric Power Co., Inc. (The)

       (27,600        (345,289        595          0.0 (g) 

Hokkaido Electric Power Co., Inc.

       (75,600        (501,704        360          0.0 (g) 

Hokuriku Electric Power Co. (a)

       (106,600        (1,087,806        1,402          0.0 (g) 

Kyushu Electric Power Co., Inc.

       (79,300        (982,529        (1,797        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       (289,100        (2,917,328        560          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (998,500        (13,725,326        35,541          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       2,458,700          35,560,822          (141,687        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 BBSW on long positions and short postions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in AUD based on the local currencies of the positions within the swaps.      03/12/2021      $ (3,372,168   $ 15,766      $      $ 15,766  
                

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Staples

                   

Food & Staples Retailing

                   

Metcash Ltd.

       33,079          89,284          (369        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Oil, Gas & Consumable Fuels

                   

Caltex Australia Ltd.

       5,952          138,412          (587        0.0 (g) 

Woodside Petroleum Ltd.

       4,906          118,890          (114        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       10,858          257,302          (701        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

                   

Common Stocks — continued

                   

Materials

                   

Metals & Mining

                   

BlueScope Steel Ltd.

       70          860          (10        0.0 (g) 

Fortescue Metals Group Ltd.

       41,194          139,766          (1,653        0.0 (g) 

OZ Minerals Ltd.

       55,659          384,101          (3,501        0.0 (g) 

Regis Resources Ltd.

       40,365          142,442          (993        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       137,288          667,169          (6,157        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       181,225          1,013,755          (7,227        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Hotels, Restaurants & Leisure

                   

Domino’s Pizza Enterprises Ltd.

       (23,514        (744,387        2,128          0.0 (g) 

Star Entertainment Grp Ltd. (The)

       (50,194        (198,632        892          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (73,708        (943,019        3,020          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Diversified Financial Services

                   

AMP Ltd.

       (124,161        (375,856        1,781          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Pharmaceuticals

                   

Mayne Pharma Group Ltd. (a)

       (641,865        (327,216        1,379          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Commercial Services & Supplies

                   

Brambles Ltd.

       (52,653        (389,589        1,656          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Qube Holdings Ltd.

       (478,357        (824,443        3,858          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (531,010        (1,214,032        5,514          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

Orica Ltd.

       (61,630        (918,232        4,163          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Independence Group NL

       (157,931        (607,568        7,136          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (219,561        (1,525,800        11,299          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (1,590,305        (4,385,923        22,993          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (1,409,080        (3,372,168        15,766          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         65  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 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 0.00% to 0.25 %), which is denominated in EUR based on the local currencies of the positions within the swaps.     03/12/2021     $ 30,700,947     $ (88,077   $     $ (88,077
            

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Cie Generale des Etablissements Michelin SCA

       5,407          760,348          (664        0.0 (g) 

Faurecia SA

       10,238          836,024          (2,215        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       15,645          1,596,372          (2,879        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Automobiles

                   

Peugeot SA

       27,339          673,184          (973        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       42,984          2,269,556          (3,852        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Energy

                   

Energy Equipment & Services

                   

SBM Offshore NV

       52,245          876,631          (2,228        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Oil, Gas & Consumable Fuels

                   

Enagas SA

       29,603          860,440          (2,530        0.0 (g) 

Eni SpA

       46,754          913,967          (688        0.0 (g) 

Neste OYJ

       12,373          1,041,888          (2,532        0.0 (g) 

OMV AG

       14,617          905,305          (3,747        0.0 (g) 

Repsol SA

       48,666          928,684          (2,805        0.0 (g) 

Saras SpA

       337,805          806,200          (692        0.0 (g) 

TOTAL SA

       14,634          919,773          (5,004        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       504,452          6,376,257          (17,998        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Energy

       556,697          7,252,888          (20,226        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

ING Groep NV

       38,709          652,267          (1,041        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Insurance

                   

Aegon NV

       125,199          917,557          (3,494        0.0 (g) 

Ageas

       15,993          855,506          (2,963        0.0 (g) 

Allianz SE (Registered)

       3,703          875,848          (2,671        0.0 (g) 

ASR Nederland NV

       17,578          829,045          (2,212        0.0 (g) 

AXA SA

       29,988          857,616          (1,368        0.0 (g) 

NN Group NV

       18,809          901,416          (92        0.0 (g) 

Societa Cattolica di Assicurazioni SC

       81,989          872,929          (2,318        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       293,259          6,109,917          (15,118        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       331,968          6,762,184          (16,159        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Health Care

                   

Health Care Equipment & Supplies

                   

Koninklijke Philips NV

       21,341          903,284          (4,127        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care Providers & Services

                   

Fresenius Medical Care AG & Co. KGaA

       8,013          813,086          (2,449        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Pharmaceuticals

                   

Bayer AG (Registered)

       6,996          836,159          (2,595        0.0 (g) 

Merck KGaA

       8,732          853,032          (3,414        0.0 (g) 

UCB SA

       10,405          783,643          (4,941        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       26,133          2,472,834          (10,950        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       55,487          4,189,204          (17,526        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Airlines

                   

Deutsche Lufthansa AG (Registered)

       26,932          782,785          (3,298        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Construction & Engineering

                   

Eiffage SA

       6,650          791,561          (1,054        0.0 (g) 

Maire Tecnimont SpA

       154,417          784,826          (2,467        0.0 (g) 

Vinci SA

       8,373          837,164          (3,080        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       169,440          2,413,551          (6,601        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Electrical Equipment

                   

Philips Lighting NV

       19,522          593,701          (1,326        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrial Conglomerates

                   

Rheinmetall AG

       5,954          778,077          (3,122        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Aalberts Industries NV

       15,654          770,755          (1,275        0.0 (g) 

Fincantieri SpA (a)

       595,930          936,355          (4,221        0.0 (g) 

Valmet OYJ

       39,706          752,673          (3,002        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       651,290          2,459,783          (8,498        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Aena SME SA

       3,671          756,698          (1,805        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       876,809          7,784,595          (24,650        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

IT Services

                   

Amadeus IT Group SA

       9,203          671,449          (3,143        0.0 (g) 

Capgemini SE

       5,193          714,380          (522        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       14,396          1,385,829          (3,665        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

ASM International NV

       9,515          571,276          208          0.0 (g) 

BE Semiconductor Industries NV

       7,477          516,759          (1,067        0.0 (g) 

Siltronic AG

       3,944          631,540          (5,243        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       20,936          1,719,575          (6,102        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Software

                   

Software AG

       12,319          605,583          (2,267        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       47,651          3,710,987          (12,034        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         67  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions — continued

 

Common Stocks — continued

 

         

Materials

                   

Chemicals

                   

Arkema SA

       6,494          850,679          (195        0.0 (g) 

Covestro AG

       2,048          186,091          (781        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       8,542          1,036,770          (976        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Aurubis AG

       10,023          895,699          (1,433        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Paper & Forest Products

                   

Stora Enso OYJ

       46,173          910,744          (5,647        0.0 (g) 

UPM-Kymmene OYJ

       22,696          809,830          (3,630        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       68,869          1,720,574          (9,277        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       87,434          3,653,043          (11,686        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

LEG Immobilien AG

       6,842          788,904          (485        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Deutsche Telekom AG (Registered)

       51,332          898,496          (28        0.0 (g)
    

 

 

      

 

 

      

 

 

      

 

 

 

Utilities

                   

Electric Utilities

                   

Enel SpA

       61,091          387,544          (1,094        0.0 (g) 

Red Electrica Corp. SA

       39,347          819,615          (1,452        0.0 (g) 

Terna Rete Elettrica Nazionale SpA

       132,860          797,416          (1,102        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       233,298          2,004,575          (3,648        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Multi-Utilities

                   

A2A SpA

       459,192          923,318          (1,344        0.0 (g) 

Engie SA

       51,742          907,632          (1,505        0.0 (g) 

Iren SpA

       262,180          796,555          (1,932        0.0 (g) 

Veolia Environnement SA (a)

       31,801          752,368          (2,441        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       804,915          3,379,873          (7,222        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Utilities

       1,038,213          5,384,448          (10,870        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       3,095,417          42,694,305          (117,516        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Auto Components

                   

Gestamp Automocion SA (a)

       (105,263        (853,134        4,897          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Hotels, Restaurants & Leisure

                   

Accor SA

       (8,356        (472,297        654          0.0 (g) 

Paddy Power Betfair plc

       (9,478        (937,970                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (17,834        (1,410,267        654          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Household Durables

                   

Neinor Homes SA (a)

       (33,408        (646,750        1,167          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

                   

Common Stocks — continued

                   

Internet & Direct Marketing Retail

                   

Zalando SE (a)

       (10,011        (515,133        1,684          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Media

                   

Altice NV (a)

       (80,370        (769,223        1,198          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Consumer Discretionary

       (246,886        (4,194,507        9,600          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Consumer Staples

                   

Food Products

                   

Glanbia plc

       (48,153        (814,094                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Financials

                   

Banks

                   

Banco Espirito Santo SA (Registered) (a)

       (35,937                          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Diversified Financial Services

                   

Wendel SA

       (2,364        (357,042        375          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Financials

       (38,301        (357,042        375          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Health Care

                   

Life Sciences Tools & Services

                   

MorphoSys AG (a)

       (6,927        (715,441        3,953          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Commercial Services & Supplies

                   

Bilfinger SE

       (14,933        (710,700        3,410          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Machinery

                   

Alstom SA

       (11,024        (501,906        112          0.0 (g) 

GEA Group AG

       (3,531        (137,861        336          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (14,555        (639,767        448          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Trading Companies & Distributors

                   

Brenntag AG

       (8,564        (490,478        969          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Transportation Infrastructure

                   

Getlink

       (37,649        (531,485                 0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Industrials

       (75,701        (2,372,430        4,827          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Internet Software & Services

                   

Rocket Internet SE (a)

       (24,635        (718,772        3,539          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Semiconductors & Semiconductor Equipment

                   

SOITEC (a)

       (8,736        (710,385        1,713          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Information Technology

       (33,371        (1,429,157        5,252          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Materials

                   

Chemicals

                   

OCI NV (a)

       (29,029        (688,902        2,040          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Metals & Mining

                   

Bekaert SA

       (19,513        (819,637        2,272          0.0 (g) 

thyssenkrupp AG

       (13,601        (353,772        999          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 
       (33,114        (1,173,409        3,271          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Materials

       (62,143        (1,862,311        5,311          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         69  


Table of Contents

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions — continued

                   

Common Stocks — continued

                   

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Iliad SA

       (1,240        (248,376        121          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (512,722        (11,993,358        29,439          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       2,582,695          30,700,947          (88,077        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 0.00% to 0.25%), which is denominated in CHF based on the local currencies of the positions within the swaps.     03/12/2021     $ 122,903     $ 6,429     $     $ 6,429  
            

 

 

 

 

REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Long Positions

                   

Common Stocks

                   

Health Care

                   

Pharmaceuticals

                   

Novartis AG (Registered)

       1,134          87,289          (479        0.0 (g) 

Roche Holding AG

       2,683          610,997          (2,493        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Health Care

       3,817          698,286          (2,972        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Industrials

                   

Machinery

                   

Georg Fischer AG (Registered)

       442          549,431          (2,734        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Real Estate

                   

Real Estate Management & Development

                   

Swiss Prime Site AG (Registered) (a)

       602          56,404          (121        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Telecommunication Services

                   

Diversified Telecommunication Services

                   

Sunrise Communications Group AG (a)

       917          71,879          (389        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Long Positions of Total Return Basket Swap

       5,778          1,376,000          (6,216        0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
REFERENCE ENTITY      SHARES        NOTIONAL
VALUE($) 
(1)
       NET
UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)
       PERCENTAGE
OF NET ASSETS(%)
 

Short Positions

                   

Common Stocks

                   

Consumer Discretionary

                   

Specialty Retail

                   

Dufry AG (Registered) (a)

       (3,320        (469,574        2,295          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Information Technology

                   

Semiconductors & Semiconductor Equipment

                   

Meyer Burger Technology AG (a)

       (631,403        (783,523        10,350          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Short Positions of Total Return Basket Swap

       (634,723        (1,253,097        12,645          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

Total of Long and Short Positions of Total Return Basket Swaps

       (628,945        122,903          6,429          0.0 (g) 
    

 

 

      

 

 

      

 

 

      

 

 

 

 

The following reference rates, and their values as of period-end, are used for security descriptions:    VALUE  

BA

       1.64

BBR

       1.90  

BBSW

       1.90  

CDOR

       1.64  

CHF LIBOR

       (0.79

CIBOR

       (0.35

EURIBOR

       (0.37

EUR LIBOR

       (0.40

GBP LIBOR

       0.51  

JPY LIBOR

       (0.05

STIBOR

       (0.47

USD LIBOR

       1.91  

 

Summary of total swap contracts outstanding as of April 30, 2018:                
      Net Upfront
Payments
(Receipts)($)
     Value($)  

Assets

     

OTC Total return swap contracts outstanding

                 —        2,379  

Total return basket swaps contracts outstanding

            283,384  
  

 

 

    

 

 

 

Total OTC swap contracts outstanding

            285,763  
  

 

 

    

 

 

 

Liabilities

     
  

 

 

    

 

 

 

Total return basket swaps contracts outstanding

            (312,132
  

 

 

    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         71  


Table of Contents

JPMorgan Systematic Alpha Fund

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

AUD  

—  Australian Dollar

BA  

—  Banker’s Acceptance Rate

BBR  

—  Bank Bill Rate

BBSW  

—  ASX Australia Bank Bill Swap Rate

CAC  

—  Continuous Assisted Quotation

CAD  

—  Canadian Dollar

CDOR  

—  Canada Dollar Offered Rate

CHF  

—  Swiss Franc

CIBOR  

—  Copenhagen Interbank Offered Rate

CVR  

—  Contingent Value Rights

DAX  

—  Deutscher Aktien Index

DKK  

—  Danish Krone

EUR  

—  Euro

EURIBOR  

—  Euro Interbank Offered Rate

FTSE  

—  Financial Times and the London Stock Exchange

GBP  

—  British Pound

HKD  

—  Hong Kong Dollar

HUF  

—  Hungarian Forint

IBEX  

—  Spanish Exchange Index

ILS  

—  Israeli Shekel

INR  

—  Indian Rupee

JPY  

—  Japanese Yen

KRW  

—  Korean Won

LIBOR  

—  London Interbank Offered Rate

LME  

—  London Metal Exchange

MIB  

—  Milan, Italian Stock Exchange

MXN  

—  Mexican Peso

NOK  

—  Norwegian Krone

NZD  

—  New Zealand Dollar

RUB  

—  Russian Ruble

S&P  

—  Standard & Poor’s

SEK  

—  Swedish Krona

SPI  

—  Australian Securities Exchange

STIBOR  

—  Stockholm Interbank Offered Rate

THB  

—  Thai Baht

TOPIX  

—  Tokyo Stock Price Index

TRY  

—  New Turkish Lira

TWD  

—  Taiwan Dollar

USD  

—  United States Dollar

WTI  

—  West Texas Intermediate

ZAR  

—  South African Rand

(a)  

—  Non-income producing security.

(b)  

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

(e)  

—  Security is exempt from registration under Rule 144A of the Securities Act. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g)  

—  Amount rounds to less than 0.05%.

(l)  

—  The rate shown is the current yield as of April 30, 2018.

(bb)  

—  Security has been valued using significant unobservable inputs.

**  

—  Non-deliverable forward.

(1)  

—  Notional value represents market value as of April 30, 2018 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded.

(2)  

—  Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset.

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN FUNDS   APRIL 30, 2018


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THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         73  


Table of Contents

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

AS OF APRIL 30, 2018 (Unaudited)

 

       

JPMorgan
Systematic
Alpha Fund

 

ASSETS:

 

Investments in non-affiliates, at value

     $ 185,431,894  

Investments in affiliates, at value

       258,040,313  

Restricted cash for OTC derivatives

       1,910,598  

Cash

       3,788,979  

Foreign currency, at value

       3,789,725  

Deposits at broker for futures contracts

       14,228,000  

Receivables:

    

Investment securities sold

       773,894  

Fund shares sold

       87,536  

Interest and dividends from non-affiliates

       216,700  

Dividends from affiliates

       306,272  

Tax reclaims

       47,906  

Unrealized appreciation on forward foreign currency exchange contracts

       4,522,503  

Outstanding OTC swap contracts, at value (net upfront payments of $0)

       285,763  

Due from counterparty for swap contracts

       6,203  
    

 

 

 

Total Assets

       473,436,286  
    

 

 

 

LIABILITIES:

    

Payables:

    

Fund shares redeemed

       1,498,531  

Variation margin on futures contracts

       285,156  

Unrealized depreciation on forward foreign currency exchange contracts

       2,739,512  

Outstanding OTC swap contracts, at value (net upfront receipts of $0)

       312,132  

Due to counterparty for swap contracts

       2,168,163  

Accrued liabilities:

    

Investment advisory fees

       211,704  

Administration fees

       5,179  

Distribution fees

       4,980  

Service fees

       40,756  

Custodian and accounting fees

       82,786  

Other

       130,148  
    

 

 

 

Total Liabilities

       7,479,047  
    

 

 

 

Net Assets

     $ 465,957,239  
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents
       

JPMorgan

Systematic
Alpha Fund

 

NET ASSETS:

 

Paid-in-Capital

     $ 480,149,299  

Accumulated undistributed (distributions in excess of) net investment income

       (9,062,591

Accumulated net realized gains (losses)

       (21,710,290

Net unrealized appreciation (depreciation)

       16,580,821  
    

 

 

 

Total Net Assets

     $ 465,957,239  
    

 

 

 

Net Assets:

    

Class A

     $ 17,523,399  

Class C

       123,853  

Class I

       179,871,990  

Class R6

       268,437,997  
    

 

 

 

Total

     $ 465,957,239  
    

 

 

 

Outstanding units of beneficial interest (shares)

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

    

Class A

       1,218,877  

Class C

       8,809  

Class I

       12,141,389  

Class R6

       18,238,046  

Net Asset Value (a):

    

Class A — Redemption price per share

     $ 14.38  

Class C — Offering price per share (b)

       14.06  

Class I — Offering and redemption price per share

       14.81  

Class R6 — Offering and redemption price per share

       14.72  

Class A maximum sales charge

       4.50

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

     $ 15.06  
    

 

 

 

Cost of investments in non-affiliates

     $ 173,648,034  

Cost of investments in affiliates

       258,040,313  

Cost of foreign currency

       3,817,744  

 

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

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         75  


Table of Contents

CONSOLIDATED STATEMENT OF OPERATIONS

FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)

 

       

JPMorgan

Systematic
Alpha Fund

 

INVESTMENT INCOME:

 

Dividend income from non-affiliates

     $ 2,245,377  

Dividend income from affiliates

       1,018,548  

Interest income from non-affiliates

       284,334  

Interest income from affiliates

       4,688  

Foreign taxes withheld

       (36,094
    

 

 

 

Total investment income

       3,516,853  
    

 

 

 

EXPENSES:

    

Investment advisory fees

       1,994,426  

Administration fees

       221,780  

Distribution fees:

    

Class A

       42,166  

Class C

       500  

Service fees:

    

Class A

       42,166  

Class C

       167  

Class I

       195,875  

Custodian and accounting fees

       89,266  

Interest expense to affiliates

       3,046  

Professional fees

       87,962  

Trustees’ and Chief Compliance Officer’s fees

       28,130  

Printing and mailing costs

       16,804  

Registration and filing fees

       45,256  

Transfer agency fees (See Note 2.F.)

       2,362  

Other

       19,728  
    

 

 

 

Total expenses

       2,789,634  
    

 

 

 

Less fees waived

       (877,888

Less earnings credits

       (526

Less expense reimbursements

       (571
    

 

 

 

Net expenses

       1,910,649  
    

 

 

 

Net investment income (loss)

       1,606,204  
    

 

 

 

REALIZED/UNREALIZED GAINS (LOSSES):

    

Net realized gain (loss) on transactions from:

    

Investments in non-affiliates

       4,306,031  

Futures contracts

       (10,567,026

Foreign currency transactions

       411,134  

Forward foreign currency exchange contracts

       (1,646,378

Swaps

       (14,803,160
    

 

 

 

Net realized gain (loss)

       (22,299,399
    

 

 

 

Change in net unrealized appreciation/depreciation on:

    

Investments in non-affiliates

       (3,931,242

Futures contracts

       4,370,887  

Foreign currency translations

       (152,968

Forward foreign currency exchange contracts

       1,948,984  

Swaps

       8,769  
    

 

 

 

Change in net unrealized appreciation/depreciation

       2,244,430  
    

 

 

 

Net realized/unrealized gains (losses)

       (20,054,969
    

 

 

 

Change in net assets resulting from operations

     $ (18,448,765
    

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN FUNDS   APRIL 30, 2018


Table of Contents

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

 

       JPMorgan Systematic Alpha Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

     $ 1,606,204        $ 2,447,148  

Net realized gain (loss)

       (22,299,399        (7,333,155

Change in net unrealized appreciation/depreciation

       2,244,430          9,283,819  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (18,448,765        4,397,812  
    

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

         

Class A

         

From net realized gains

                (83,124

Class C

         

From net realized gains

                (1,193

Class I

         

From net investment income

                (33,272

From net realized gains

                (83,117

Class R6

         

From net investment income

                (598,010

From net realized gains

                (482,836
    

 

 

      

 

 

 

Total distributions to shareholders

                (1,281,552
    

 

 

      

 

 

 

CAPITAL TRANSACTIONS:

         

Change in net assets resulting from capital transactions

       11,307,063          134,120,198  
    

 

 

      

 

 

 

NET ASSETS:

         

Change in net assets

       (7,141,702        137,236,458  

Beginning of period

       473,098,941          335,862,483  
    

 

 

      

 

 

 

End of period

     $ 465,957,239        $ 473,098,941  
    

 

 

      

 

 

 

Accumulated undistributed (distributions in excess of) net investment income

     $ (9,062,591      $ (10,668,795
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
APRIL 30, 2018   J.P. MORGAN FUNDS         77  


Table of Contents

CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

 

       JPMorgan Systematic Alpha Fund  
        Six Months Ended
April 30, 2018
(Unaudited)
       Year Ended
October 31, 2017
 

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

     $ 3,640,773        $ 32,952,328  

Distributions reinvested

                83,124  

Cost of shares redeemed

       (22,454,858        (38,464,433
    

 

 

      

 

 

 

Change in net assets resulting from Class A capital transactions

     $ (18,814,085      $ (5,428,981
    

 

 

      

 

 

 

Class C

         

Proceeds from shares issued

     $ 28,108        $ 311,362  

Distributions reinvested

                1,193  

Cost of shares redeemed

       (234,505        (748,831
    

 

 

      

 

 

 

Change in net assets resulting from Class C capital transactions

     $ (206,397      $ (436,276
    

 

 

      

 

 

 

Class I

         

Proceeds from shares issued

     $ 55,986,280        $ 154,782,803  

Distributions reinvested

                76,067  

Cost of shares redeemed

       (19,349,098        (38,672,056
    

 

 

      

 

 

 

Change in net assets resulting from Class I capital transactions

     $ 36,637,182        $ 116,186,814  
    

 

 

      

 

 

 

Class R6

         

Proceeds from shares issued

     $ 2,000,533        $ 32,746,928  

Distributions reinvested

                1,080,846  

Cost of shares redeemed

       (8,310,170        (10,029,133
    

 

 

      

 

 

 

Change in net assets resulting from Class R6 capital transactions

     $ (6,309,637      $ 23,798,641  
    

 

 

      

 

 

 

Total change in net assets resulting from capital transactions

     $ 11,307,063        $ 134,120,198  
    

 

 

      

 

 

 

SHARE TRANSACTIONS:

         

Class A

         

Issued

       247,966          2,184,437  

Reinvested

                5,508  

Redeemed

       (1,555,938        (2,563,239
    

 

 

      

 

 

 

Change in Class A Shares

       (1,307,972        (373,294
    

 

 

      

 

 

 

Class C

         

Issued

       1,953          21,044  

Reinvested

                80  

Redeemed

       (16,055        (50,473
    

 

 

      

 

 

 

Change in Class C Shares

       (14,102        (29,349
    

 

 

      

 

 

 

Class I

         

Issued

       3,735,447          10,024,006  

Reinvested

                4,900  

Redeemed

       (1,284,408        (2,501,526
    

 

 

      

 

 

 

Change in Class I Shares

       2,451,039          7,527,380  
    

 

 

      

 

 

 

Class R6

         

Issued

       131,702          2,134,447  

Reinvested

                70,226  

Redeemed

       (565,194        (655,828
    

 

 

      

 

 

 

Change in Class R6 Shares

       (433,492        1,548,845  
    

 

 

      

 

 

 

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
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APRIL 30, 2018   J.P. MORGAN FUNDS         79  


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FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period
     Net
investment
income
(loss)
    Net realized
and unrealized
gains
(losses) on
investments
     Total from
investment
operations
     Net
investment
income
    Net
realized
gain
     Total
distributions
 

JPMorgan Systematic Alpha Fund

                  

Class A

                  

Six Months Ended April 30, 2018 (Unaudited)

   $ 14.98      $ 0.02 (e)    $ (0.62    $ (0.60    $     $      $  

Year Ended October 31, 2017

     14.85        0.04 (e)      0.12        0.16              (0.03      (0.03

Year Ended October 31, 2016

     15.27        0.03 (e)      (0.14      (0.11      (0.31 )(f)             (0.31

Year Ended October 31, 2015

     15.16        (0.01 )(e)      0.29        0.28        (0.15     (0.02      (0.17

Year Ended October 31, 2014

     15.60        (0.11 )(e)(g)      0.79        0.68        (1.12            (1.12

February 12, 2013 (i) through October 31, 2013

     15.00        0.03       0.57        0.60                      

Class C

                  

Six Months Ended April 30, 2018 (Unaudited)

     14.68        (0.02 )(e)      (0.60      (0.62                    

Year Ended October 31, 2017

     14.63        (0.04 )(e)      0.12        0.08              (0.03      (0.03

Year Ended October 31, 2016

     15.14        (0.04 )(e)      (0.14      (0.18      (0.33 )(f)             (0.33

Year Ended October 31, 2015

     15.10        (0.07 )(e)      0.27        0.20        (0.14     (0.02      (0.16

Year Ended October 31, 2014

     15.55        (0.12 )(e)(g)      0.72        0.60        (1.05            (1.05

February 12, 2013 (i) through October 31, 2013

     15.00        (0.02     0.57        0.55                      

Class I

                  

Six Months Ended April 30, 2018 (Unaudited)

     15.41        0.04 (e)      (0.64      (0.60                    

Year Ended October 31, 2017

     15.26        0.08 (e)      0.11        0.19        (0.01     (0.03      (0.04

Year Ended October 31, 2016

     15.33        0.06 (e)      (0.13      (0.07      (f)              

Year Ended October 31, 2015

     15.19        0.04 (e)      0.28        0.32        (0.16     (0.02      (0.18

Year Ended October 31, 2014

     15.63        (0.05 )(e)(g)      0.76        0.71        (1.15            (1.15

February 12, 2013 (i) through October 31, 2013

     15.00        0.06       0.57        0.63                      

Class R6

                  

Six Months Ended April 30, 2018 (Unaudited)

     15.29        0.06 (e)      (0.63      (0.57                    

Year Ended October 31, 2017

     15.13        0.12 (e)      0.11        0.23        (0.04     (0.03      (0.07

Year Ended October 31, 2016

     15.56        0.11 (e)      (0.15      (0.04      (0.39 )(f)             (0.39

Year Ended October 31, 2015

     15.21        0.09 (e)      0.28        0.37              (0.02      (0.02

Year Ended October 31, 2014

     15.64        0.01 (e)(g)      0.73        0.74        (1.17            (1.17

February 12, 2013 (i) through October 31, 2013

     15.00        0.07       0.57        0.64                      

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Not annualized for periods less than one year.
(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(e) Calculated based upon average shares outstanding.
(f) Distributions of Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.
(g) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.
(h) Expenses without waivers, reimbursements and earnings credits may appear disproportionate among classes due to changes in the relative size of the classes.
(i) Commencement of operations.
(j) Certain non-recurring expenses incurred by the Fund were not annualized for the period ended October 31, 2013.

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN FUNDS   APRIL 30, 2018


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    Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period
    Total return
(excludes
sales charge) (b)(c)
    Net assets,
end of
period
    Net
expenses (d)
    Net
investment
income
(loss) (d)
        
Expenses
without waivers,
reimbursements and
earnings credits
    Portfolio
turnover
rate (b)
 
           
           
$ 14.38       (4.01 )%    $ 17,523,399       1.20     0.27     1.57     66
  14.98       1.07       37,842,572       1.19       0.28       1.60       147  
  14.85       (0.74     43,075,837       1.18       0.18       1.66       151  
  15.27       1.87       48,072,671       1.16       (0.05     1.69       164  
  15.16       4.68       61,579,047       1.24       (0.71 )(g)      1.66 (h)      113  
  15.60       4.00       52,013       1.30 (j)      0.28 (j)      6.93 (j)      112  
           
  14.06       (4.22     123,853       1.70       (0.28     2.11       66  
  14.68       0.53       336,344       1.70       (0.27     2.25       147  
  14.63       (1.23     764,511       1.69       (0.29     2.26       151  
  15.14       1.34       457,517       1.62       (0.50     2.26       164  
  15.10       4.16       53,974       1.77       (0.80 )(g)      5.85 (h)      113  
  15.55       3.67       51,827       1.80 (j)      (0.22 )(j)      7.43 (j)      112  
           
  14.81       (3.89     179,871,990       0.94       0.58       1.32       66  
  15.41       1.24       149,359,860       0.94       0.50       1.38       147  
  15.26       (0.46     33,006,202       0.94       0.42       1.40       151  
  15.33       2.11       261,973,042       0.90       0.24       1.35       164  
  15.19       4.91       131,267,018       1.00       (0.31 )(g)      2.97 (h)      113  
  15.63       4.20       10,264,916       1.05 (j)      0.54 (j)      6.68 (j)      112  
           
  14.72       (3.73     268,437,997       0.69       0.80       1.07       66  
  15.29       1.48       285,560,165       0.69       0.77       1.10       147  
  15.13       (0.25     259,015,933       0.69       0.70       1.12       151  
  15.56       2.44       9,762,583       0.64       0.59       1.10       164  
  15.21       5.08       54,788       0.88       0.09 (g)      4.84 (h)      113  
  15.64       4.27       52,144       0.95 (j)      0.63 (j)      6.44 (j)      112  

 

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited)

 

1. Organization

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

The following is a separate fund of the Trust (the “Fund”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Systematic Alpha Fund    Class A, Class C, Class I and Class R6    Diversified

The investment objective of the Fund is to seek to provide total return.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Fund’s prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund.

Basis for Consolidation for the Fund

Systematic Alpha Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on October 11, 2012 and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectuses. The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. The consolidated financial statements include the accounts of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.

2. Significant Accounting Policies

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

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of fixed income instruments. In instances

 

 
82       J.P. MORGAN FUNDS   APRIL 30, 2018


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where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

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

Futures are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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

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

 

 

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

 

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

 

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

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

The following table represents each valuation input as presented on the CSOI:

 

     

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

       Total  

Investments in Securities

 

Common Stocks

                 

Consumer Discretionary

   $ 22,209,256        $        $        $ 22,209,256  

Consumer Staples

     8,974,422          1,247,886                   10,222,308  

Energy

     7,051,645          591,653                   7,643,298  

Financials

     18,191,212                            18,191,212  

Health Care

     17,196,037                            17,196,037  

Industrials

     29,811,994          1,066,496                   30,878,490  

Information Technology

     26,623,752          993,185                   27,616,937  

Materials

     16,616,725          2,466,491                   19,083,216  

Real Estate

     702,381          608,762                   1,311,143  

Telecommunication Services

              508,930                   508,930  

Utilities

     5,917,509          3,343,452                   9,260,961  
  

 

 

      

 

 

      

 

 

      

 

 

 

Total Common Stocks

     153,294,933          10,826,855                   164,121,788  
  

 

 

      

 

 

      

 

 

      

 

 

 

Convertible Preferred Stocks

                 

Energy

     624,925                            624,925  

Financials

     671,600                            671,600  

Health Care

     362,100                            362,100  

Industrials

     595,476                            595,476  

Real Estate

     195,930                            195,930  

Utilities

     957,330                            957,330  
  

 

 

      

 

 

      

 

 

      

 

 

 

Total Convertible Preferred Stocks

     3,407,361                            3,407,361  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 
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Table of Contents

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

     

Level 1

Quoted prices

      

Level 2

Other significant
observable inputs

      

Level 3

Significant
unobservable inputs

     Total  

Debt Securities

               

Convertible Bonds

               

Consumer Discretionary

   $        $ 1,182,789        $      $ 1,182,789  

Energy

              784,958                 784,958  

Financials

              823,447                 823,447  

Health Care

              5,152,648          (a)       5,152,648  

Industrials

              449,005                 449,005  

Information Technology

              8,185,047                 8,185,047  

Materials

              342,667                 342,667  

Real Estate

              426,925                 426,925  

Utilities

              555,259                 555,259  
  

 

 

      

 

 

      

 

 

    

 

 

 

Total Convertible Bonds

              17,902,745                 17,902,745  
  

 

 

      

 

 

      

 

 

    

 

 

 

Rights

               

Health Care

                       (a)       (a) 

Short-Term Investments

               

Investment Companies

     258,040,313                          258,040,313  
  

 

 

      

 

 

      

 

 

    

 

 

 

Total Investments in Securities

   $ 414,742,607        $ 28,729,600        $      $ 443,472,207  
  

 

 

      

 

 

      

 

 

    

 

 

 

Appreciation in Other Financial Instruments

               

Forward Foreign Currency Exchange Contracts

   $        $ 4,522,503        $      $ 4,522,503  

Futures Contracts

     7,055,002          81,153                 7,136,155  

Swaps

              283,384          2,379        285,763  
  

 

 

      

 

 

      

 

 

    

 

 

 

Total Appreciation in Other Financial Instruments

   $ 7,055,002        $ 4,887,040        $ 2,379      $ 11,944,421  
  

 

 

      

 

 

      

 

 

    

 

 

 

Depreciation in Other Financial Instruments

               

Forward Foreign Currency Exchange Contracts

   $        $ (2,739,512      $      $ (2,739,512

Futures Contracts

     (3,824,756        (239,650               (4,064,406

Swaps

              (312,132               (312,132
  

 

 

      

 

 

      

 

 

    

 

 

 

Total Depreciation in Other Financial Instruments

   $ (3,824,756      $ (3,291,294      $      $ (7,116,050
  

 

 

      

 

 

      

 

 

    

 

 

 

 

(a) Value is Zero

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no significant transfers among any levels during the six months ended April 30, 2018.

B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Fund.

As of April 30, 2018, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.

C. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gains to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility. Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets.

The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value, as recorded on the Consolidated Statement of Assets and Liabilities (“CSAL”).

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets

 

 
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decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and will offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Fund.

Notes C(1) — C(4) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used index, treasury and commodity futures to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sale of futures contracts will tend to offset both positive and negative market price changes. The Fund also used index, equity or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to seek to enhance portfolio performance.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Consolidated Statement of Operations (“CSOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the CSOP at the closing or expiration of the futures contract. Cash deposited is recorded on the CSAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the CSAL.

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

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(2). Forward Foreign Currency Exchange Contracts — The Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). 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 by the Fund are recorded as assets or liabilities, respectively, on the CSAL and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the CSAL 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 CSOI and cash deposited is recorded on the CSAL. Daily changes in valuation of

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the CSAL. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the CSOP. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties cash collateral posted or received by the Fund is reported on the CSAL as Restricted cash.

The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

Total Return Swaps

The Fund used total return swaps to gain long or short exposure to underlying stock. To the extent the total return of the stock underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. These arrangements involve the periodic exchange of cash flows based on the total return of the underlying stock and interest rate obligations.

Total Return Basket Swaps

The Fund entered into total return basket swap agreements to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.

Under the terms of the agreements, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within each swap. These interest charges and credits are based on defined market rates based on the local currencies of the positions in the portfolio plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly reset. During a reset, any unrealized gains (losses) on positions, accrued financing costs, and net dividends become available for cash settlement between the Fund and the swap counterparty are recorded as Due from/to counterparty for swap contract on the CSAL and as Net realized gain (loss) on transactions from swaps on the CSOP.

Each swap involves additional risks than if the Fund had invested in the underlying positions directly including: the risk that changes in the value of each swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for each swap contract, which may limit the ability of the Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swaps consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Fund’s activities in each total return basket swap are concentrated with a single counterparty. Investing in swaps results in a form of leverage (i.e., the Fund’s risk of loss associated with these instruments may exceed their value as recorded on the CSAL).

The value of each swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap; and (v) other factors, as applicable. The value of each swap is reflected on the CSAL as Outstanding swap contracts, at value. Changes in the value of each swap are recognized as Change in net unrealized appreciation/depreciation of swaps on the CSOP.

 

 
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(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the CSAL:

 

Derivative Contracts    CSAL Location                                        
Gross Assets:           

Futures

Contracts (a)

      

Forward Foreign

Currency Exchange

Contracts

       Swaps        Total  

Interest rate contracts

  

Receivables, Net Assets —

Unrealized Appreciation

     $ 441,423        $        $        $ 441,423  

Equity contracts

  

Receivables, Net Assets —

Unrealized Appreciation

       3,059,293                   285,763          3,345,056  

Foreign exchange contracts

   Receivables                 4,522,503                   4,522,503  

Commodity contracts

  

Receivables, Net Assets —

Unrealized Appreciation

       3,635,439                            3,635,439  
       

 

 

      

 

 

      

 

 

      

 

 

 

Total

        $ 7,136,155        $ 4,522,503        $ 285,763        $ 11,944,421  
       

 

 

      

 

 

      

 

 

      

 

 

 

Gross Liabilities:

                                        

Interest rate contracts

  

Payables, Net Assets —

Unrealized Depreciation

     $ (716,122      $        $        $ (716,122

Equity contracts

  

Payables, Net Assets —

Unrealized Depreciation

       (239,650                 (312,132        (551,782

Foreign exchange contracts

   Payables                 (2,739,512                 (2,739,512

Commodity contracts

  

Payables, Net Assets —

Unrealized Depreciation

       (3,108,634                          (3,108,634
       

 

 

      

 

 

      

 

 

      

 

 

 

Total

        $ (4,064,406      $ (2,739,512      $ (312,132      $ (7,116,050
       

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported on the CSOI. The CSAL only reflects the current day variation margin receivable/payable from/to brokers.

The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of April 30, 2018:

 

Counterparty   

Gross Amount of

Derivative Assets

Presented on the

CSAL (a)

      

Derivatives

Available

for offset

      

Collateral

Received

      

Net Amount Due
From Counterparty

(Not less than zero)

 

Australia and New Zealand Banking Group Limited

   $ 261,688        $        $        $ 261,688  

Bank of America, NA

     259,473          (24,745                 234,728  

BNP Paribas

     86,769          (30,137                 56,632  

Citibank, NA

     1,346,824                            1,346,824  

HSBC Bank, NA

     598,921          (586,890                 12,031  

Merrill Lynch International

     136,872          (136,872                  

Standard Chartered Bank

     2,382                            2,382  

State Street Corp.

     2,089,047          (1,371,456                 717,591  

Union Bank of Switzerland AG

     26,290          (26,290                  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 4,808,266        $ (2,176,390      $        $ 2,631,876  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

Counterparty   

Gross Amount of

Derivative Liabilities

Presented on the

CSAL (a)

      

Derivatives

Available

for offset

      

Collateral

Posted

      

Net Amount Due
To Counterparty

(Not less than zero)

 

Bank of America, NA

   $ 24,745        $ (24,745      $        $  

BNP Paribas

     30,137          (30,137                  

Goldman Sachs International

     127,074                            127,074  

HSBC Bank, NA

     586,890          (586,890                  

Merrill Lynch International

     623,955          (136,872                 487,083  

State Street Corp.

     1,371,456          (1,371,456                  

Union Bank of Switzerland AG

     287,387          (26,290                 261,097  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,051,644        $ (2,176,390      $        $ 875,254  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements in the CSAL.

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

The following table presents the effect of derivatives on the CSOP for the year months ended April 30, 2018, by primary underlying risk exposure:

 

Amount of Realized Gain (Loss) on Derivatives Recognized on the CSOP  
Derivative Contracts      Futures Contracts       

Forward Foreign
Currency Exchange

Contracts

       Swaps        Total  

Interest rate contracts

     $ (4,304,234      $        $        $ (4,304,234

Equity contracts

       (7,308,304                 (14,803,160        (22,111,464

Foreign exchange contracts

                (1,646,378                 (1,646,378

Commodity contracts

       1,045,512                            1,045,512  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ (10,567,026      $ (1,646,378      $ (14,803,160      $ (27,016,564
    

 

 

      

 

 

      

 

 

      

 

 

 
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the CSOP  
Derivative Contracts      Futures Contracts       

Forward Foreign

Currency Exchange

Contracts

       Swaps        Total  

Interest rate contracts

     $ 477,728        $        $        $ 477,728  

Equity contracts

       4,280,792                   8,769          4,289,561  

Foreign exchange contracts

                1,948,984                   1,948,984  

Commodity contracts

       (387,633                          (387,633
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 4,370,887        $ 1,948,984        $ 8,769        $ 6,328,640  
    

 

 

      

 

 

      

 

 

      

 

 

 

The Fund’s derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.

Derivatives Volume

The table below discloses the volume of the Fund’s futures contracts, forward foreign currency exchange contracts and swaps activity during the six months ended April 30, 2018. Please refer to the table in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.

 

Futures Contracts:

        

Commodity

  

Average Notional Balance Long

   $ 51,440,968  

Average Notional Balance Short

     46,400,182  

Ending Notional Balance Long

     61,171,406  

Ending Notional Balance Short

     55,409,616  

Equity

  

Average Notional Balance Long

   $ 19,168,538  

Average Notional Balance Short

     73,099,780  

Ending Notional Balance Long

     2,474,438  

Ending Notional Balance Short

     93,053,622  

Interest

  

Average Notional Balance Long

   $ 288,867,060  

Average Notional Balance Short

     310,453,375  

Ending Notional Balance Long

     159,113,423  

Ending Notional Balance Short

     222,806,996  

Forward Foreign Currency Exchange Contracts:

  

Average Settlement Value Purchased

   $ 71,457,758  

Average Settlement Value Sold

     110,139,477  

Ending Settlement Value Purchased

     100,331,016  

Ending Settlement Value Sold

     155,314,913  

Total Return Swaps:

  

Average Notional Balance Long

   $ 48,548  

Ending Notional Balance Long

     48,548  

Total Return Basket Swaps:

  

Average Notional Balance Long

   $ 289,095,553  

Average Notional Balance Short

     295,697,431  

Ending Notional Balance Long

     448,274,759  

Ending Notional Balance Short

     339,556,521  

 

 
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D. Foreign Currency Translation — The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

The Fund does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the CSOP.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the CSOP. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the CSOP.

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

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Fund for the six months ended April 30, 2018 are as follows:

 

      Class A        Class C        Class I        Class R6        Total  

Transfer agency fees

   $ 458        $ 23        $ 929        $ 952        $ 2,362  

G. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of April 30, 2018, no liability for income tax is required in the Fund’s consolidated financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

For Federal income tax purposes, taxable income of the Fund and the Subsidiary are separately calculated. The Subsidiary is classified as a controlled foreign corporation under the Code and its taxable income, including net gains, is included as ordinary income in the calculation of the Fund’s taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.

H. Foreign Taxes — The Fund may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

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

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Fund and the Subsidiary and for such services is paid a fee. The fee for services to the Fund is accrued daily and paid monthly at an annual rate of 0.75% of the Fund’s average daily net assets.

The Subsidiary has entered into separate contracts with the Adviser and its affiliates to provide investment advisory and other services to the Subsidiary. The fee for services to the Subsidiary is accrued daily and paid monthly at an annual rate of 0.75% of the Subsidiary’s average daily net assets. The Adviser has agreed to waive the advisory fee that it receives from the Fund in an amount equal to the advisory fee paid to the Adviser by

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

the Subsidiary. This waiver will continue in effect so long as the Fund invests in the Subsidiary and may not be terminated without approval by the Fund’s Board.

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

B. Administration Fees — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund and the Subsidiary. In consideration of these services for the Fund, the Administrator receives a fee accrued daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended April 30, 2018, the effective annualized rate was 0.09% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements. In consideration for services rendered to the Subsidiary, the Administrator receives a fee accrued daily and paid monthly at an annualized rate of 0.09% of the average daily net assets of the Subsidiary.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Fund in accordance with Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that the Fund shall pay distribution fees, including payments to JPMDS, at annual rates of 0.25% and 0.75% of the average daily net assets of Class A and Class C Shares, respectively.

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended April 30, 2018, JPMDS did not retain any front-end sales charges or CDSC.

D. Service Fees — The Trust, on behalf of the Fund, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets for Class A, Class C and Class I Shares.

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

JPMDS waived service fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the CSOP. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the CSOP. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the CSOP.

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

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

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

 

      Class A        Class C        Class I        Class R6  
     1.25        1.75        1.00        0.75

The expense limitation agreement was in effect for the six months ended April 30, 2018, and is in place until at least February 28, 2019.

 

 
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For the six months ended April 30, 2018, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory
Fees
      

Administration

Fees

      

Service

Fees

       Total        Contractual
Reimbursements
 
     $ 539,489        $ 190,389        $ 1,159        $ 731,037        $ 571  

Additionally, the Fund may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund.

The amount of waivers resulting from investments in these money market funds for the six months ended April 30, 2018 was $146,851.

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

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

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

The Fund may use related party broker-dealers. For the six months ended April 30, 2018, the Fund did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

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

4. Investment Transactions

During the six months ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows:

 

        Purchases
(excluding U.S.
Government)
       Sales
(excluding U.S.
Government)
 
     $ 175,972,275        $ 255,814,729  

During the six months ended April 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments, including the Subsidiary, held at April 30, 2018 were as follows:

 

        Aggregate
Cost
       Gross
Unrealized
Appreciation
       Gross
Unrealized
Depreciation
       Net Unrealized
Appreciation
(Depreciation)
 
     $ 431,688,347        $ 30,392,627        $ 13,780,396        $ 16,612,231  

The federal income tax net unrealized appreciation (depreciation) in value of investment securities includes unrealized depreciation of the Fund’s investment in its subsidiary of $526,804, which, if realized, is not deductible for income tax purposes.

During the year ended October 31, 2017, the subsidiary had $1,640,195 of net losses for tax purposes. The subsidiary’s net losses for the current year are not available to offset its future losses.

Net late year ordinary losses incurred after December 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended October 31, 2017, the Fund deferred to November 1, 2017 late year ordinary losses of $10,781,960.

6. Borrowings

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

 

 
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

AS OF APRIL 30, 2018 (Unaudited) (continued)

 

restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Fund had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended April 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 15, 2017, this agreement has been amended and restated for a term of 364 days, unless extended.

The Fund did not utilize the Credit Facility during the six months ended April 30, 2018.

7. Risks, Concentrations and Indemnifications

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

As of April 30, 2018, the Fund had affiliated omnibus accounts, which owned more than 10% of the Fund’s outstanding shares as follows:

 

        Number of
Non-affiliated
Omnibus
Accounts
       % of the
Fund
 
       1          23.0

In addition, as of April 30, 2018, the J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate, 56.9% of the net assets of the Fund.

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

By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund.

The Fund will employ various alternative investment strategies that involve the use of complicated investment techniques. There is no guarantee that these strategies will succeed and their use may subject the Fund to greater volatility and loss.

Derivatives, including swap agreements, commodity options, futures and options on futures, may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment. Many derivatives create leverage thereby causing the Fund to be more volatile than it would be if it had not used derivatives. Derivatives also expose the Fund to counterparty risk and to the credit risk of the derivative counterparty.

The Fund is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as swap and option contracts, credit linked notes, exchange-traded notes and forward foreign currency exchange contracts.

The Fund’s investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall

 

 
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market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has begun to raise interest rates, the Fund may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Fund’s investment in convertible bonds subjects the Fund to equity price risk. Due to their conversion feature, the value of convertible bonds tends to vary with fluctuations in the market value of the underlying security.

8. New Accounting Pronouncement

In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, November 1, 2017 and continued to hold your shares at the end of the reporting period, April 30, 2018.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

 

 

 

       

Beginning
Account Value
November 1, 2017

      

Ending
Account Value
April 30, 2018

      

Expenses
Paid During
the Period
*

      

Annualized
Expense
Ratio

 

Systematic Alpha Fund

                   

Class A

                   

Actual

     $ 1,000.00        $ 959.90        $ 5.83          1.20

Hypothetical

       1,000.00          1,018.84          6.01          1.20  

Class C

                   

Actual

       1,000.00          957.80          8.25          1.70  

Hypothetical

       1,000.00          1,016.36          8.50          1.70  

Class I

                   

Actual

       1,000.00          961.10          4.57          0.94  

Hypothetical

       1,000.00          1,020.13          4.71          0.94  

Class R6

                   

Actual

       1,000.00          962.70          3.36          0.69  

Hypothetical

       1,000.00          1,021.37          3.46          0.69  

 

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

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

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

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

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

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

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

 

LOGO


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LOGO

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. April 2018.   SAN-SA-418


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ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

Not applicable to a semi-annual report.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

 

  (i) Has at least one audit committee financial expert serving on its audit committee; or

 

  (ii) Does not have an audit committee financial expert serving on its audit committee.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

 

  (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

 

  (ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable to a semi-annual report.


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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Not applicable to a semi-annual report.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable to a semi-annual report.


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ITEM 6. INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Included in Item 1.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

No material changes to report.

 

ITEM 11. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.


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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 13. EXHIBITS.

 

  (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Not applicable.

(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

 

  (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

JPMorgan Trust I
By:   /s/ Brian S. Shlissel
  Brian S. Shlissel
  President and Principal Executive Officer
  June 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
  June 29, 2018

 

By:   /s/ Timothy J. Clemens
  Timothy J. Clemens
  Treasurer and Principal Financial Officer
  June 29, 2018