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JPMorgan Equity Premium Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MARCH 31, 2020 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

COMMON STOCKS — 82.5%

 

Aerospace & Defense — 2.7%

 

General Dynamics Corp.

      5        656  

Northrop Grumman Corp.

      7        2,081  

United Technologies Corp.

                  16        1,556  
     

 

 

  
        4,293  
     

 

 

  

Beverages — 3.5%

      

Coca-Cola Co. (The)

      45        1,998  

Constellation Brands, Inc., Class A

      8        1,197  

PepsiCo, Inc.

      18        2,205  
     

 

 

  
                     5,400  
     

 

 

  

Biotechnology — 1.6%

      

AbbVie, Inc.

      26        1,999  

Regeneron Pharmaceuticals, Inc.*

      1        503  
     

 

 

  
        2,502  
     

 

 

  

Building Products — 0.9%

      

Trane Technologies plc

      16        1,339  
     

 

 

  

Capital Markets — 1.7%

      

CME Group, Inc.

      11        1,958  

Intercontinental Exchange, Inc.

      8        621  
     

 

 

  
        2,579  
     

 

 

  

Chemicals — 1.2%

      

Air Products & Chemicals, Inc.

      3        630  

Linde plc (United Kingdom)

      7        1,193  
     

 

 

  
        1,823  
     

 

 

  

Commercial Services & Supplies — 0.9%

      

Waste Management, Inc.

      15        1,358  
     

 

 

  

Consumer Finance — 0.4%

      

American Express Co.

      7        619  
     

 

 

  

Containers & Packaging — 1.3%

      

Silgan Holdings, Inc.

      68        1,967  
     

 

 

  

Diversified Financial Services — 1.3%

      

Berkshire Hathaway, Inc., Class B *

      10        1,829  

Voya Financial, Inc.

      5        216  
     

 

 

  
        2,045  
     

 

 

  

Diversified Telecommunication Services — 0.9%

      

Verizon Communications, Inc.

      26        1,409  
     

 

 

  

Electric Utilities — 8.0%

      

American Electric Power Co., Inc.

      27        2,143  

Duke Energy Corp.

      24        1,910  

Entergy Corp.

      20        1,842  

Evergy, Inc.

      11        608  

FirstEnergy Corp.

      19        751  

NextEra Energy, Inc.

      9        2,254  

Southern Co. (The)

      18        991  

Xcel Energy, Inc.

      37        2,222  
     

 

 

  
        12,721  
     

 

 

  

Electrical Equipment — 1.0%

      

Eaton Corp. plc

      20        1,529  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.9%

      

Equinix, Inc.

      3        1,683  

Equity LifeStyle Properties, Inc.

      8        452  

Equity Residential

      19        1,199  

National Retail Properties, Inc.

      19        597  

Prologis, Inc.

      16        1,272  

Public Storage

      4        866  
     

 

 

  
        6,069  
     

 

 

  

Food & Staples Retailing — 1.6%

      

Costco Wholesale Corp.

      7        1,946  

Walmart, Inc.

      5        516  
     

 

 

  
        2,462  
     

 

 

  

Food Products — 2.9%

      

General Mills, Inc.

      11        565  

Hershey Co. (The)

      13        1,684  

Mondelez International, Inc., Class A

      45        2,256  
     

 

 

  
        4,505  
     

 

 

  

Health Care Equipment & Supplies — 1.6%

      

Baxter International, Inc.

      19        1,560  

Medtronic plc

      11        989  
     

 

 

  
        2,549  
     

 

 

  

Health Care Providers & Services — 0.5%

      

UnitedHealth Group, Inc.

      3        750  
     

 

 

  

Hotels, Restaurants & Leisure — 1.1%

      

McDonald’s Corp.

      11        1,762  
     

 

 

  

Household Products — 2.6%

      

Kimberly-Clark Corp.

      15        1,908  

Procter & Gamble Co. (The)

      19        2,127  
     

 

 

  
        4,035  
     

 

 

  

Industrial Conglomerates — 1.2%

      

Honeywell International, Inc.

      14        1,828  
     

 

 

  

Insurance — 6.5%

      

Allstate Corp. (The)

      22        2,017  

Aon plc

      8        1,297  

Arch Capital Group Ltd. *

      41        1,172  

Chubb Ltd.

      12        1,293  

Everest Re Group Ltd.

      6        1,117  

Hartford Financial Services Group, Inc. (The)

      18        642  

Progressive Corp. (The)

      26        1,914  

RenaissanceRe Holdings Ltd. (Bermuda)

      4        643  
     

 

 

  
        10,095  
     

 

 

  

Interactive Media & Services — 1.4%

      

Alphabet, Inc., Class A *

      2        2,155  
     

 

 

  

Internet & Direct Marketing Retail — 1.2%

      

Amazon.com, Inc. *

      1        1,952  
     

 

 

  

IT Services — 7.3%

      

Accenture plc, Class A

      13        2,086  

Automatic Data Processing, Inc.

      15        2,072  

Booz Allen Hamilton Holding Corp.

      5        318  

Fiserv, Inc. *

      20        1,903  

International Business Machines Corp.

      8        926  

Jack Henry & Associates, Inc.

      6        913  

Leidos Holdings, Inc.

      9        868  

Mastercard, Inc., Class A

      8        1,889  

Visa, Inc., Class A

      3        532  
     

 

 

  
        11,507  
     

 

 

  

JPMorgan Equity Premium Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares (000)      Value ($000)  

Life Sciences Tools & Services — 0.8%

 

Thermo Fisher Scientific, Inc.

      4        1,179  
     

 

 

  

Machinery — 0.7%

      

Cummins, Inc.

      5        705  

Deere & Co.

      3        350  
     

 

 

  
        1,055  
     

 

 

  

Media — 1.8%

      

Charter Communications, Inc., Class A *

      4        1,666  

Comcast Corp., Class A

      33        1,146  
     

 

 

  
        2,812  
     

 

 

  

Metals & Mining — 0.2%

      

Newmont Corp.

      8        383  
     

 

 

  

Multiline Retail — 0.8%

      

Target Corp.

      14        1,278  
     

 

 

  

Multi-Utilities — 3.7%

      

Ameren Corp.

      23        1,677  

CMS Energy Corp.

      37        2,186  

Sempra Energy

                  16                 1,862  
     

 

 

  
        5,725  
     

 

 

  

Oil, Gas & Consumable Fuels — 0.4%

      

Chevron Corp.

      9        663  
     

 

 

  

Pharmaceuticals — 6.8%

      

Bristol-Myers Squibb Co.

      36        2,024  

Eli Lilly & Co.

      17        2,307  

Johnson & Johnson

      17        2,195  

Merck & Co., Inc.

      28        2,135  

Pfizer, Inc.

      59        1,911  
     

 

 

  
        10,572  
     

 

 

  

Road & Rail — 0.9%

      

Kansas City Southern

      5        643  

Norfolk Southern Corp.

      5        794  
     

 

 

  
        1,437  
     

 

 

  

Semiconductors & Semiconductor Equipment — 0.4%

      

Texas Instruments, Inc.

      7        666  
     

 

 

  

Software — 3.1%

      

Intuit, Inc.

      7        1,618  

Microsoft Corp.

      14        2,265  

salesforce.com, Inc.*

      7        948  
     

 

 

  
        4,831  
     

 

 

  

Specialty Retail — 3.0%

      

AutoZone, Inc. *

      2        1,605  

Home Depot, Inc. (The)

      7        1,251  

Ross Stores, Inc.

      4        375  

TJX Cos., Inc. (The)

      32        1,527  
     

 

 

  
        4,758  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.5%

      

NIKE, Inc., Class B

      9        760  
     

 

 

  

Tobacco — 1.8%

      

Altria Group, Inc.

      28        1,097  

Philip Morris International, Inc.

      24        1,761  
     

 

 

  
        2,858  
     

 

 

  

Wireless Telecommunication Services — 0.4%

      

T-Mobile US, Inc. *

      8        659  
     

 

 

  
TOTAL COMMON STOCKS
(Cost $142,479)

 

      128,889  
     

 

 

  
     Principal
Amount ($000)		         

EQUITY LINKED NOTES — 15.8%

      

Barclays Bank plc, ELN, 181.35%, 4/24/2020, (linked to S&P 500 Index) (a)

      2        5,133  

BMO Capital Markets Corp., ELN, 127.06%, 4/17/2020, (linked to S&P 500 Index) (a)

      1        3,523  

GS Finance Corp., ELN, 110.19%, 5/8/2020, (linked to S&P 500 Index) (a)

      2        6,399  

HSBC Bank USA, NA, ELN, 141.00%, 5/1/2020, (linked to S&P 500 Index) (a)

      1        2,415  

Wells Fargo Bank, ELN, 96.86%, 4/10/2020, (linked to S&P 500 Index) (a)

      3        7,252  
     

 

 

  
TOTAL EQUITY LINKED NOTES
(Cost $25,550)

 

      24,722  
     

 

 

  
     Shares (000)         

EXCHANGE-TRADED FUNDS — 0.2%

      

International Equity — 0.2%

      

iShares Edge MSCI Min Vol USA ETF

(Cost $360)

      7        384  
     

 

 

  

SHORT-TERM INVESTMENTS — 1.2%

      

INVESTMENT COMPANIES — 1.2%

      

JPMorgan Prime Money Market Fund Class IM Shares, 1.13% (b) (c)

(Cost $1,891)

      1,892        1,892  
     

 

 

  
Total Investments — 99.7%
(Cost $170,280)

 

      155,887  

Other Assets Less Liabilities — 0.3%

 

      394  
     

 

 

  

Net Assets — 100.0%

 

      156,281  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Equity Premium Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Abbreviations

 

ELN      Equity-Linked Note
ETF      Exchange-Traded Fund
(a)      Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(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 March 31, 2020.
*      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.

Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

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

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

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

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

 

•  

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

 

•  

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

 

•  

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

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  

Total Investments in Securities (a)

    $ 131,165      $ 24,722      $ —        $ 155,887  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

All portfolio holdings designated in Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of Equity-Linked

Notes. Please refer to the SOI for industry specifics of the portfolio holdings.

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. Amounts in the table below are in thousands.

 

    For the period ended March 31, 2020  

Security Description

   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
March 31,
2020		     Shares at
March 31,
2020		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.13% (a) (b)

   $ —       $ 171,177     $ 169,282     $ (4 )    $ 1     $ 1,892       1,892     $ 29     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 March 31, 2020.