NPORT-EX 2 HG_IEP.htm FOR VALIDATION PURPOSES ONLY - [843075.HG_IEP]

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited)

 

Investments

    Shares      Value ($)  

COMMON STOCKS — 96.6%

      

Australia — 3.0%

      

Australia & New Zealand Banking Group Ltd.

      6,821        116,109  

Goodman Group, REIT

      3,199        31,670  

Rio Tinto Ltd.

      2,528        164,038  
     

 

 

  
        311,817  
     

 

 

  

Austria — 0.9%

      

Erste Group Bank AG*

      2,692        98,843  
     

 

 

  

Belgium — 1.2%

      

Anheuser-Busch InBev SA/NV

      1,727        130,285  
     

 

 

  

Denmark — 2.9%

      

Novo Nordisk A/S, Class B

      3,773        229,669  

Orsted A/S(a)

      663        72,315  
     

 

 

  
        301,984  
     

 

 

  

Finland — 0.5%

      

Wartsila OYJ Abp

      4,522        55,543  
     

 

 

  

France — 14.7%

      

Air Liquide SA

      1,669        241,320  

Airbus SE

      761        111,764  

Alstom SA

      1,586        84,058  

BNP Paribas SA

      2,522        133,836  

LVMH Moet Hennessy Louis Vuitton SE

      169        73,595  

Pernod Ricard SA

      757        131,065  

Safran SA

      771        124,314  

Sanofi

      2,011        193,938  

Schneider Electric SE

      1,322        131,838  

Thales SA

      655        71,874  

TOTAL SA

      3,046        148,312  

Vinci SA

      975        108,019  
     

 

 

  
        1,553,933  
     

 

 

  

Germany — 6.6%

      

Bayer AG (Registered)

      743        59,630  

Brenntag AG

      1,767        91,442  

Deutsche Boerse AG

      546        88,629  

Deutsche Telekom AG (Registered)

      6,206        100,511  

Infineon Technologies AG

      4,418        94,912  

SAP SE

      1,557        202,770  

Volkswagen AG (Preference)

      330        59,206  
     

 

 

  
        697,100  
     

 

 

  

Hong Kong — 2.7%

      

AIA Group Ltd.

      19,800        196,197  

Hong Kong Exchanges & Clearing Ltd.

      2,700        88,715  
     

 

 

  
        284,912  
     

 

 

  

India — 1.1%

      

HDFC Bank Ltd., ADR

      2,053        117,596  
     

 

 

  

Ireland — 1.2%

      

Ryanair Holdings plc, ADR*

      1,490        129,049  
     

 

 

  

Italy — 2.8%

      

Enel SpA

      26,076        227,287  

FinecoBank Banca Fineco SpA

      6,264        73,292  
     

 

 

  
        300,579  
     

 

 

  

Japan — 19.7%

      

Ain Holdings, Inc.

      600        36,675  

Bridgestone Corp.

      1,600        56,670  

Daicel Corp.

      4,200        39,758  

Daikin Industries Ltd.

      700        98,635  

DMG Mori Co. Ltd.

      3,600        49,591  

Honda Motor Co. Ltd.

      4,300        109,974  

Kao Corp.

      1,900        151,539  

Keyence Corp.

      300        100,847  

Mabuchi Motor Co. Ltd.

      1,300        47,368  

Marui Group Co. Ltd.

      2,400        55,507  

Mitsubishi Corp.

      4,200        107,670  

Mitsubishi UFJ Financial Group, Inc.

      22,300        114,502  

Mitsui Fudosan Co. Ltd.

      2,300        60,917  

Nintendo Co. Ltd.

      300        110,357  

Nippon Telegraph & Telephone Corp.

      4,200        107,088  

Otsuka Corp.

      2,400        93,588  

Otsuka Holdings Co. Ltd.

      2,600        115,506  

Seven & i Holdings Co. Ltd.

      2,500        95,858  

Sumitomo Mitsui Financial Group, Inc.

      2,000        70,319  

T&D Holdings, Inc.

      7,200        76,747  

Tokio Marine Holdings, Inc.

      2,200        119,419  

Tokyu Corp.

      5,900        103,972  

Toyota Motor Corp.

      2,300        159,914  
     

 

 

  
        2,082,421  
     

 

 

  

Mexico — 0.7%

      

Wal-Mart de Mexico SAB de CV

      24,938        72,971  
     

 

 

  

Netherlands — 4.5%

      

Akzo Nobel NV

      1,455        137,305  

ASML Holding NV

      559        156,876  

ING Groep NV

      7,154        77,673  

Royal Dutch Shell plc, Class B

      3,721        97,775  
     

 

 

  
        469,629  
     

 

 

  

Norway — 0.9%

      

Telenor ASA

      5,350        96,680  
     

 

 

  

Peru — 0.6%

      

Credicorp Ltd.

      293        60,528  
     

 

 

  

Singapore — 0.8%

      

DBS Group Holdings Ltd.

      4,600        84,737  
     

 

 

  

Spain — 4.0%

      

Bankia SA

      24,389        44,323  

Iberdrola SA

      19,721        215,774  

Iberdrola SA*

      410        4,486  

Industria de Diseno Textil SA

      4,614        155,155  
     

 

 

  
        419,738  
     

 

 

  

Sweden — 1.6%

      

Lundin Petroleum AB

      2,804        85,283  

Svenska Handelsbanken AB, Class A

      8,306        81,375  
     

 

 

  
        166,658  
     

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

Investments

    Shares      Value ($)  

COMMON STOCKS — continued

 

Switzerland — 9.8%

 

Cie Financiere Richemont SA (Registered)

      1,611        116,995  

Credit Suisse Group AG (Registered)*

      2,374        30,019  

LafargeHolcim Ltd. (Registered)*

      2,046        103,980  

Nestle SA (Registered)

      1,890        208,453  

Novartis AG (Registered)

      1,376        129,988  

Roche Holding AG

      989        331,779  

Swiss Re AG

      994        112,241  
     

 

 

  
        1,033,455  
     

 

 

  

Taiwan — 0.9%

 

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

      1,753        94,557  
     

 

 

  

United Kingdom — 15.0%

 

3i Group plc

      8,296        120,680  

BP plc

      27,176        163,602  

British American Tobacco plc

      3,693        162,843  

Burberry Group plc

      3,063        78,537  

GlaxoSmithKline plc

      4,170        97,909  

HSBC Holdings plc

      6,485        47,147  

InterContinental Hotels Group plc

      2,725        167,849  

M&G plc*

      32,453        102,407  

Prudential plc

      9,444        167,918  

SSE plc

      3,964        78,907  

Standard Chartered plc

      10,876        90,439  

Taylor Wimpey plc

      42,339        120,259  

Unilever NV

      3,188        186,027  
     

 

 

  
        1,584,524  
     

 

 

  

United States — 0.5%

 

Ferguson plc

      603        54,151  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $9,854,517)

 

      10,201,690  
  

 

 

  

SHORT-TERM INVESTMENTS — 3.2%

 

INVESTMENT COMPANIES — 3.2%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.46%(b)(c)
(Cost $343,057)

      343,057        343,057  
     

 

 

  

Total Investments — 99.8%
(Cost $10,197,574)

 

      10,544,747  

Other Assets Less Liabilities — 0.2%

 

      17,973  
     

 

 

  

Net Assets — 100.0%

 

      10,562,720  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

Summary of Investments by Industry, January 31, 2020

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

 

INDUSTRY

    PERCENTAGE  

Banks

      11.5 % 

Pharmaceuticals

      11.0  

Insurance

      6.4  

Electric Utilities

      5.7  

Oil, Gas & Consumable Fuels

      4.7  

Chemicals

      4.0  

Semiconductors & Semiconductor Equipment

      3.3  

Personal Products

      3.2  

Automobiles

      3.1  

Capital Markets

      3.1  

Aerospace & Defense

      2.9  

Diversified Telecommunication Services

      2.9  

Textiles, Apparel & Luxury Goods

      2.5  

Beverages

      2.5  

Trading Companies & Distributors

      2.4  

Food Products

      2.0  

Food & Staples Retailing

      1.9  

Software

      1.9  

Machinery

      1.8  

Electrical Equipment

      1.7  

Hotels, Restaurants & Leisure

      1.6  

Metals & Mining

      1.6  

Tobacco

      1.5  

Specialty Retail

      1.5  

Airlines

      1.2  

Household Durables

      1.1  

Entertainment

      1.0  

Construction & Engineering

      1.0  

Construction Materials

      1.0  

Road & Rail

      1.0  

Diversified Financial Services

      1.0  

Electronic Equipment, Instruments & Components

      1.0  

Others (each less than 1.0%)

      3.7  

Short-Term Investments

      3.3  

Abbreviations

 

ADR    American Depositary Receipt
OYJ    Public Limited Company
Preference    A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT    Real Estate Investment Trust
(a)    Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(b)    Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)    The rate shown is the current yield as of January 31, 2020.
*    Non-income producing security.

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

 

Futures contracts outstanding as of January 31, 2020:

 

 

Description

    Number of
Contracts		      Expiration
Date		      Trading
Currency		      Notional
Amount ($)		      Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

SPI 200 Index

      2        03/2020        AUD        229,883        3,071  

TOPIX Index

      1        03/2020        JPY        152,040        (5,886 ) 
              

 

 

  
                 (2,815 ) 
              

 

 

  

 

Abbreviations
AUD    Australian Dollar
JPY    Japanese Yen
SPI    Australian Securities Exchange
TOPIX    Tokyo Stock Price Index

Forward foreign currency exchange contracts outstanding as of January 31, 2020:

 

    Currency Purchased          Currency Sold     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  
DKK     20,536        JPY        329,899      Merrill Lynch International      3/2/2020        4  
EUR     90,401        USD        99,950      Barclays Bank plc      3/2/2020        470  
EUR     10,367        USD        11,436      TD Bank Financial Group      3/2/2020        81  
GBP     17,822        USD        23,280      Barclays Bank plc      3/2/2020        270  
GBP     65,834        USD        86,271      BNP Paribas      3/2/2020        724  
GBP     32,777        USD        42,882      Merrill Lynch International      3/2/2020        430  
HKD     442,675        USD        56,943      BNP Paribas      3/2/2020        27  
JPY     42,698,897        USD        390,406      BNP Paribas      3/2/2020        4,206  
USD     7,444        AUD        11,026      BNP Paribas      3/2/2020        60  
USD     3,344        SGD        4,537      Merrill Lynch International      3/2/2020        20  
                

 

 

  

Total unrealized appreciation

         6,292  
                

 

 

  
AUD     566,845        USD        388,072      Barclays Bank plc      3/2/2020        (8,449 ) 
DKK     20,536        EUR        2,749      Merrill Lynch International      3/2/2020        –    
DKK     20,536        GBP        2,321      Merrill Lynch International      3/2/2020        (13 ) 
SEK     998,939        USD        104,717      Barclays Bank plc      3/2/2020        (823 ) 
SGD     73,101        USD        54,096      BNP Paribas      3/2/2020        (525 ) 
USD     9,115        DKK        61,608      BNP Paribas      3/2/2020        (45 ) 
USD     72,101        DKK        487,312      Merrill Lynch International      3/2/2020        (352 ) 
USD     665,834        EUR        602,127      Merrill Lynch International      3/2/2020        (3,023 ) 
USD     52,919        JPY        5,787,288      Merrill Lynch International      3/2/2020        (566 ) 
                

 

 

  

Total unrealized depreciation

         (13,796 ) 
                

 

 

  

Net unrealized depreciation

         (7,504 ) 
     

 

 

  

 

Abbreviations
AUD    Australian Dollar
DKK    Danish Krone
EUR    Euro
GBP    British Pound
HKD    Hong Kong Dollar
JPY    Japanese Yen
SEK    Swedish Krona
SGD    Singapore Dollar
USD    United States Dollar

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

Over-the-Counter (“OTC”) Total Return Basket Swaps Outstanding at January 31, 2020

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    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 (0.15)% to 0.15%), which is denominated in GBP based on the local currencies of the positions within the swaps.    8/4/2020    $ 196,351      $ (482 )     $      —      $ (482 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stock

 

      

United Kingdom

 

      

BAE Systems plc

      5,231       43,485       (130 )      0.0 (a) 

Compass Group plc

      1,383       34,191       (88 )      0.0 (a) 

Diageo plc

      1,184       46,819       (241 )      0.0 (a) 
M&G plc*      2,874       9,069       (46 )      0.0 (a) 

Prudential plc

      2,874       51,101       (209 )      0.0 (a) 

RELX plc

      832       22,074       (41 )      0.0 (a) 

Smith & Nephew plc

      886       21,318       (52 )      0.0 (a) 

SSE plc

      4,021       80,041       (56 )      0.0 (a) 

Taylor Wimpey plc

      15,895       45,148       —         —    

Tesco plc

      16,571       53,898       (129 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     51,751       407,144       (992 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

United States

         

Ferguson plc

      564       50,648       (10 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      52,315       457,792       (1,002 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

United Kingdom

         

Berkeley Group Holdings plc

      (657 )      (45,461 )      —         —    

British Land Co. plc (The)

      (6,642 )      (48,575 )      68       0.0 (a) 

Pearson plc

      (5,834 )      (43,545 )      243       0.0 (a) 

Rolls-Royce Holdings plc*

      (4,976 )      (43,830 )      194       0.0 (a) 

United Utilities Group plc

      (5,981 )      (80,030 )      15       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (24,090 )      (261,441 )      520       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swap

      (24,090 )      (261,441 )      520       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      28,225       196,351       (482 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    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, plus or minus a specified spread (rates range from (1.25)% to 0.15%), which is denominated in EUR based on the local currencies of the positions within the swaps.    8/4/2020    $ (52,178 )     $ (453 )     $      —      $ (453 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stock

         

Italy

         

Intesa Sanpaolo SpA

      20,898       51,901       (143 )      0.0 (a) 

Snam SpA

      10,434       55,923       (50 )      0.0 (a) 

UniCredit SpA

      3,110       41,541       (131 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     34,442       149,365       (324 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

France

         

Engie SA

      3,782       65,101       (165 )      0.0 (a) 

LVMH Moet Hennessy Louis Vuitton SE

      95       41,370       (279 )      0.0 (a) 

Vinci SA

      516       57,167       (174 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     4,393       163,638       (618 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Spain

         

Endesa SA

      1,373       37,699       (19 )      0.0 (a) 

Iberdrola SA

      5,361       58,657       (27 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,734       96,356       (46 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Germany

         

Allianz SE (Registered)

      322       76,875       (208 )      0.0 (a) 

RWE AG

      1,284       44,513       (117 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     1,606       121,388       (325 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Netherlands

         

ASR Nederland NV

      1,932       71,888       (191 )      0.0 (a) 

NN Group NV

      1,920       66,640       (222 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     3,852       138,528       (413 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

China

         

Prosus NV*

      556       40,106       (117 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      51,583       709,381       (1,843 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

Italy

         

Assicurazioni Generali SpA

      (3,717 )      (72,428 )      105       0.0 (a) 

Banca Generali SpA

      (1,635 )      (51,973 )      104       0.0 (a) 

Banco BPM SpA*

      (18,688 )      (38,210 )      133       0.0 (a) 

Eni SpA

      (3,293 )      (46,127 )      102       0.0 (a) 

Salvatore Ferragamo SpA

      (1,735 )      (32,011 )      94       0.0 (a) 

Terna Rete Elettrica Nazionale SpA

      (8,184 )      (57,094 )      51       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,252 )      (297,843 )      589       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

France

         

Remy Cointreau SA

      (437 )      (46,022 )      117       0.0 (a) 

Suez

      (3,880 )      (63,674 )      141       0.0 (a) 

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Television Francaise 1

      (2,193 )       (16,510 )       65        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
        (6,510 )       (126,206 )       323        0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Portugal

 

         

EDP - Energias de Portugal SA

      (12,243 )       (61,398 )       29        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Belgium

 

         

Colruyt SA

      (1,035 )       (51,826 )       —          —    
  

 

 

     

 

 

     

 

 

     

 

 

  

Finland

 

         

Sampo OYJ

      (639 )       (28,926 )       38        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Germany

 

         

E.ON SE

      (4,221 )       (47,828 )       108        0.0 (a) 

Hannover Rueck SE

      (410 )       (79,608 )       193        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
        (4,631 )       (127,436 )       301        0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Spain

 

         

Aena SME SA(b)

      (367 )       (67,924 )       110        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swap

      (62,677 )       (761,559 )       1,390        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (11,094 )       (52,178 )       (453 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month NIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.15)% to 0.15%), which is denominated in NOK based on the local currencies of the positions within the swaps.    8/4/2020    $ (110,737 )     $ 461      $        —      $ 461  
                 

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

   

Common Stock

 

         

Norway

 

         

Telenor ASA

      2,780        50,238        (222 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Short Positions

 

   

Common Stock

 

         

Norway

 

         

DNB ASA

      (3,760 )       (65,734 )       428        0.0 (a) 

Gjensidige Forsikring ASA

      (4,370 )       (95,241 )       255        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
     (8,130 )       (160,975 )       683        0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swap

      (8,130 )       (160,975 )       683        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (5,350 )       (110,737 )       461        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month HIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.30)% to 0.30%), which is denominated in HKD based on the local currencies of the positions within the swaps.    7/29/2020    $ 58,687      $ (989 )     $        —      $ (989 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

   

Common Stock

 

         

China

 

         

BOC Hong Kong Holdings Ltd.

      14,500        47,931        (517 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Hong Kong

 

         

CLP Holdings Ltd.

      4,500        46,798        (221 )       0.0 (a) 

Hong Kong Exchanges & Clearing Ltd.

      1,700        55,858        (790 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
        6,200        102,656        (1,011 )       0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Total Long Positions of Total Return Basket Swap

      20,700        150,587        (1,528 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Short Positions

 

   

Common Stock

 

         

Hong Kong

 

         

Bank of East Asia Ltd. (The)

      (22,200 )       (47,885 )       251        0.0 (a) 

Hong Kong & China Gas Co. Ltd.

      (23,000 )       (44,015 )       288        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
        (45,200 )       (91,900 )       539        0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swap

      (45,200 )       (91,900 )       539        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (24,500 )       58,687        (989 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBSW on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.30)% to 0.30%), which is denominated in AUD based on the local currencies of the positions within the swaps.    7/29/2020    $ (124,140 )     $ 1,487      $        —      $ 1,487  
                 

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

   

Common Stock

 

         

Australia

 

         

Westpac Banking Corp.

      4,687        78,327        (487 )       0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Short Positions

 

   

Common Stock

 

         

Australia

 

         

ASX Ltd.

      (939 )       (53,125 )       725        0.0 (a) 

Bendigo & Adelaide Bank Ltd.

      (5,918 )       (40,863 )       376        0.0 (a) 

Commonwealth Bank of Australia

      (1,916 )       (108,479 )       873        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  
     (8,773 )       (202,467 )       1,974        0.0 (a) 
     

 

 

     

 

 

     

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swap

      (8,773 )       (202,467 )       1,974        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (4,086 )       (124,140 )       1,487        0.0 (a) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		      NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Citigroup

    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 (0.30)% to 0.30%), which is denominated in JPY based on the local currencies of the positions within the swaps.      7/29/2020      $ (6,399 )     $ (1,210 )     $ —        $ (1,210 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

   

Common Stock

 

         

Japan

 

         

Daiwa House Industry Co. Ltd.

      1,700        53,520        (780 )       0.0 (a) 

Hoya Corp.

      300        28,712        (636 )       0.0 (a) 

Kansai Electric Power Co., Inc. (The)

      2,500        28,057        (276 )       0.0 (a) 

Kyocera Corp.

      800        52,565        (1,140 )       0.0 (a) 

Nichirei Corp.

      3,000        72,523        (958 )       0.0 (a) 

Nippon Telegraph & Telephone Corp.

      2,200        56,094        (483 )       0.0 (a) 

Nitori Holdings Co. Ltd.

      300        46,620        (406 )       0.0 (a) 

ORIX Corp.

      2,300        38,853        (586 )       0.0 (a) 

Panasonic Corp.

      2,900        28,820        (674 )       0.0 (a) 

Resona Holdings, Inc.

      6,900        28,455        (577 )       0.0 (a) 

Shimadzu Corp.

      900        25,258        (656 )       0.0 (a) 

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Suzuki Motor Corp.

      1,100       50,331       (753 )      0.0 (a) 

T&D Holdings, Inc.

      3,700       39,439       (1,230 )      0.0 (a) 

Taiheiyo Cement Corp.

      1,700       45,755       (1,061 )      0.0 (a) 

Tokyo Gas Co. Ltd.

      1,800       39,575       (427 )      0.0 (a) 

Yamaha Motor Co. Ltd.

      2,300       42,683       (1,087 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     34,400       677,260       (11,730 )      (0.0 )(a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      34,400       677,260       (11,730 )      (0.0 )(a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

Japan

         

Chugoku Electric Power Co., Inc. (The)

      (2,800 )      (36,955 )      179       0.0 (a) 

Hirose Electric Co. Ltd.

      (400 )      (49,612 )      1,147       0.0 (a) 

Iida Group Holdings Co. Ltd.

      (3,100 )      (52,247 )      967       0.0 (a) 

Japan Post Holdings Co. Ltd.

      (2,900 )      (26,380 )      284       0.0 (a) 

KDDI Corp.

      (1,900 )      (57,416 )      (59 )      0.0 (a) 

Lawson, Inc.

      (800 )      (46,303 )      507       0.0 (a) 

Mazda Motor Corp.

      (5,800 )      (48,684 )      1,311       0.0 (a) 

Mizuho Financial Group, Inc.

      (20,300 )      (30,103 )      340       0.0 (a) 

Ricoh Co. Ltd.

      (2,600 )      (29,501 )      709       0.0 (a) 

Seiko Epson Corp.

      (3,700 )      (54,102 )      1,216       0.0 (a) 

Softbank Corp.

      (3,600 )      (49,389 )      315       0.0 (a) 

Sony Financial Holdings, Inc.

      (1,900 )      (43,746 )      933       0.0 (a) 

Subaru Corp.

      (1,600 )      (40,020 )      735       0.0 (a) 

Sumitomo Osaka Cement Co. Ltd.

      (1,200 )      (48,788 )      1,049       0.0 (a) 

Yamazaki Baking Co. Ltd.

      (3,700 )      (70,413 )      887       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (56,300 )      (683,659 )      10,520       (0.0 )(a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swap

      (56,300 )      (683,659 )      10,520       (0.0 )(a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (21,900 )      (6,399 )      (1,210 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		      NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    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 (0.15)% to 0.15%), which is denominated in CHF based on the local currencies of the positions within the swaps.      8/4/2020      $ (44,970 )     $ 72      $        —      $ 72  
                 

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stock

         

Switzerland

         

Sunrise Communications Group AG*(b)

      675       55,744       (109 )      0.0 (a) 

Swiss Re AG

      704       79,495       (173 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     1,379       135,239       (282 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      1,379       135,239       (282 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

Switzerland

         

Baloise Holding AG (Registered)

      (164 )      (29,631 )      46       0.0 (a) 

Sonova Holding AG (Registered)

      (90 )      (22,569 )      24       0.0 (a) 

Swiss Life Holding AG (Registered)

      (58 )      (29,155 )      73       0.0 (a) 

Swisscom AG (Registered)

      (103 )      (56,512 )      121       0.0 (a) 

Zurich Insurance Group AG

      (102 )      (42,342 )      90       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (517 )      (180,209 )      354       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swap

      (517 )      (180,209 )      354       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      862       (44,970 )      72       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		      NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.15)% to 0.15%), which is denominated in SEK based on the local currencies of the positions within the swaps.      8/4/2020      $ 15,935      $ (258 )     $        —      $ (258 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stock

         

Sweden

         

Lundin Petroleum AB

      1,677       51,005       (140 )      0.0 (a) 

Svenska Handelsbanken AB

      6,769       66,317       (255 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     8,446       117,322       (395 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      8,446       117,322       (395 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

Sweden

         

Skanska AB

      (2,223 )      (51,455 )      39       0.0 (a) 

Telia Co. AB

      (11,676 )      (49,932 )      98       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,899 )      (101,387 )      137       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Total Short Positions of Total Return Basket Swap

      (13,899 )      (101,387 )      137       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (5,453 )      15,935       (258 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month SIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (1.00)% to 0.30%), which is denominated in SGD based on the local currencies of the positions within the swaps.    7/29/2020    $ 55,055      $ (662 )     $        —      $ (662 ) 
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stock

         

Singapore

         

DBS Group Holdings Ltd.

      3,000       55,263       (512 )      0.0 (a) 

Singapore Telecommunications Ltd.

      12,500       30,078       (150 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     15,500       85,341       (662 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swap

      15,500       85,341       (662 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stock

         

Singapore

         

StarHub Ltd.

      (28,700 )      (30,286 )      —         —    
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (13,200 )      55,055       (662 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     

NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)

    VALUE  

Citigroup

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.15)% to 0.15%), which is denominated in DKK based on the local currencies of the positions within the swaps.    8/4/2020    $ 143      $ 24      $        —      $ 24  
                 

 

 

  

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stock

 

      

Denmark

 

      

Orsted A/S(b)

      268       29,231       (43 )      0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

 

  

Common Stock

 

      

Denmark

 

      

Demant A/S*

      (897 )      (29,088 )      67       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swap

      (629 )      143       24       0.0 (a) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

The following reference rates, and their values as of period-end, are used for security descriptions:

    Value  

BBSW

      0.80 % 

CIBOR

      (0.49 ) 

EURIBOR

      (0.45 ) 

HIBOR

      2.25  

CHF LIBOR

      (0.77 ) 

GBP LIBOR

      0.71  

JPY LIBOR

      (0.84 ) 

NIBOR

      1.64  

SIBOR

      1.69  

STIBOR

      0.01  

Summary of total swap contracts outstanding as of January 31, 2020:

 

     Net Upfront
Payments
(Receipts) ($)		      Value ($)  

Assets

 

OTC total return basket swap contracts outstanding

      —          2,044  
  

 

 

     

 

 

  

Liabilities

 

OTC total return basket swap contracts outstanding

      —          (4,054 ) 
  

 

 

     

 

 

  

Abbreviations

 

AUD

    Australian Dollar

BBSW

    ASX Australia Bank Bill Swap Rate

CHF

    Swiss Franc

CIBOR

    Copenhagen Interbank Offered Rate

DKK

    Danish Krone

EUR

    Euro

EURIBOR

    Euro Interbank Offered Rate

GBP

    British Pound

HIBOR

    Hong Kong Interbank Offered Rate

HKD

    Hong Kong Dollar

JPY

    Japanese Yen

LIBOR

    London Interbank Offered Rate

NIBOR

    Norwegian Interbank Offered Rate

NOK

    Norwegian Krone

OYJ

    Public Limited Company

SEK

    Swedish Krona

SGD

    Singapore Dollar

SIBOR

    Singapore Interbank Offered Rate

STIBOR

    Stockholm Interbank Offered Rate

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

(a)

Amount rounds to less than 0.1% of net assets.

(b)

Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.

(1)

Notional value represents market value as of January 31, 2020 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.

*

Non-income producing security.

A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

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

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

Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

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

Futures contracts 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.

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

 

Common Stocks

 

Australia

    $ —        $ 311,817     $ —        $ 311,817  

Austria

      —          98,843       —          98,843  

Belgium

      —          130,285       —          130,285  

Denmark

      —          301,984       —          301,984  

France

      —          1,553,933       —          1,553,933  

Germany

      —          697,100       —          697,100  

Hong Kong

      —          284,912       —          284,912  

Italy

      —          300,579       —          300,579  

Japan

      —          2,082,421       —          2,082,421  

Netherlands

      —          469,629       —          469,629  

Norway

      —          96,680       —          96,680  

Singapore

      —          84,737       —          84,737  

Spain

      4,486        415,252       —          419,738  

Sweden

      —          166,658       —          166,658  

Switzerland

      —          1,033,455       —          1,033,455  

United Kingdom

      120,259        1,464,265       —          1,584,524  

United States

      —          54,151       —          54,151  

Other Common Stocks

      530,244        —         —          530,244  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Common Stocks

      654,989        9,546,701       —          10,201,690  
  

 

 

     

 

 

    

 

 

     

 

 

  

Short-Term Investments

           

Investment Companies

      343,057        —         —          343,057  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 998,046      $ 9,546,701     $ —        $ 10,544,747  
  

 

 

     

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

        

Forward Foreign Currency Exchange

           

Contracts

    $ —        $ 6,292     $ —        $ 6,292  

Futures Contracts

      —          3,071       —          3,071  

Swaps

      —          2,044       —          2,044  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Appreciation in Other Financial Instruments

    $ —        $ 11,407     $ —        $ 11,407  
  

 

 

     

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

 

        

Forward Foreign Currency Exchange

           

Contracts

    $ —        $ (13,796 )    $ —        $ (13,796 ) 

Futures Contracts

      —          (5,886 )      —          (5,886 ) 

Swaps

      —          (4,054 )      —          (4,054 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

    $ —        $ (23,736 )    $ —        $ (23,736 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

There were no transfers into or out of level 3 for the period ended January 31, 2020.

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.

 

      For the period ended January 31, 2020  

Security Description

   

Value at
October 31,
2019

    Purchases at
Cost		      Proceeds
from Sales		      Net Realized
Gain (Loss)		      Change in
Unrealized
Appreciation/
(Depreciation)		      Value at
January 31,
2020		      Shares at
January 31,
2020		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.46%(a)(b)

    $364,271    $ 166,531      $ 187,745      $ —        $ —        $ 343,057        343,057      $ 1,380      $ —    
  

 

   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

(b)

The rate shown is the current yield as of January 31, 2020.

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 gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes (1) — (3) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used index futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

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

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

(2). Forward Foreign Currency Exchange Contracts — The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. 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 exchange contracts.

(3). Swaps — The Fund engaged in various swap transactions, including total return basket swaps to manage total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

JPMorgan International Equity Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

 

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the 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 and/or held as restricted cash. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A, an affiliate of the Fund, which provides collateral management service to the Fund.

The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over-the-counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.

The Fund may be required to post or receive collateral for OTC Swaps.

The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

Total Return Basket Swaps

The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.

Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and/or 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 plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly or annual periodic reset.

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 two counterparties. 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).

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 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.