NPORT-EX 2 HG_EMD.htm FOR VALIDATION PURPOSES ONLY - [892153.HG_EMD]

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF MAY 31, 2020 (Unaudited)

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

 

Investments

           Principal
Amount
(000)		      Value
(000)		  

FOREIGN GOVERNMENT SECURITIES — 60.9%

 

Angola — 1.1%

 

Republic of Angola

                          

8.25%, 5/9/2028(a)

         1,392        858  

8.00%, 11/26/2029(b)

         1,539        951  

8.00%, 11/26/2029(a)

         600        371  

9.38%, 5/8/2048(a)

         4,858        2,895  

9.13%, 11/26/2049(a)

         1,360        814  
        

 

 

  
           5,889  
        

 

 

  

Argentina — 1.2%

 

Argentine Republic

         

6.88%, 1/26/2027(c)

         1,804        654  

5.88%, 1/11/2028(c)

         2,849        1,033  

6.63%, 7/6/2028(c)

         1,950        703  

8.28%, 12/31/2033(c)

         3,421        1,567  

7.13%, 7/6/2036(c)

         1,199        434  

7.63%, 4/22/2046(c)

         2,677        997  

6.88%, 1/11/2048(c)

         2,832        1,004  
        

 

 

  
           6,392  
        

 

 

  

Armenia — 0.2%

 

Republic of Armenia 3.95%, 9/26/2029(b)

         1,271        1,263  
        

 

 

  

Bahrain — 2.0%

 

Kingdom of Bahrain

         

7.00%, 1/26/2026(a)

         1,611        1,716  

7.00%, 10/12/2028(a)

         2,060        2,150  

6.75%, 9/20/2029(a)

         3,081        3,151  

7.38%, 5/14/2030(b)

         587        619  

6.00%, 9/19/2044(a)

         3,752        3,370  
        

 

 

  
           11,006  
        

 

 

  

Belarus — 0.1%

 

Republic of Belarus 6.88%, 2/28/2023(a)

         339        352  
        

 

 

  

Bermuda — 0.3%

 

Bermuda Government Bond 3.72%, 1/25/2027(a)

         1,702        1,771  
        

 

 

  

Bolivia, Plurinational State of — 0.3%

 

Plurinational State of Bolivia 4.50%, 3/20/2028(a)

         1,810        1,563  
        

 

 

  

Brazil — 1.1%

 

Federative Republic of Brazil

         

4.50%, 5/30/2029

         1,066        1,091  

8.25%, 1/20/2034

         4,042        5,141  
        

 

 

  
           6,232  
        

 

 

  

Chile — 0.4%

 

Republic of Chile 2.45%, 1/31/2031

         2,060        2,098  
        

 

 

  

Colombia — 1.3%

 

Republic of Colombia

         

8.13%, 5/21/2024

         920        1,103  

4.50%, 3/15/2029

         986        1,085  

10.38%, 1/28/2033

         563        862  

5.00%, 6/15/2045

         1,920        2,179  

5.20%, 5/15/2049

         1,722        2,022  
        

 

 

  
           7,251  
        

 

 

  

Costa Rica — 0.3%

 

Republic of Costa Rica

         

4.38%, 4/30/2025(a)

         1,265        1,042  

6.13%, 2/19/2031(a)

         600        490  
        

 

 

  
           1,532  
        

 

 

  

Dominican Republic — 3.0%

 

Dominican Republic Government Bond

         

5.88%, 4/18/2024(a)

         3,434        3,465  

5.95%, 1/25/2027(a)

         1,075        1,044  

6.00%, 7/19/2028(a)

         1,906        1,836  

6.85%, 1/27/2045(a)

         343        322  

6.50%, 2/15/2048(a)

         2,842        2,566  

6.40%, 6/5/2049(a)

         4,590        4,114  

5.88%, 1/30/2060(b)

         3,811        3,226  
        

 

 

  
           16,573  
        

 

 

  

Ecuador — 0.4%

 

Republic of Ecuador

         

9.65%, 12/13/2026(a)(c)(d)

         1,400        521  

10.65%, 1/31/2029(a)(c)(d)

         2,200        790  

9.50%, 3/27/2030(b)(c)(d)

         2,064        750  
        

 

 

  
           2,061  
        

 

 

  

Egypt — 3.0%

 

Arab Republic of Egypt

         

5.75%, 5/29/2024(b)

         1,750        1,755  

7.50%, 1/31/2027(a)

         5,468        5,680  

7.60%, 3/1/2029(a)

         560        567  

7.05%, 1/15/2032(b)

         2,391        2,262  

8.50%, 1/31/2047(a)

         3,171        3,081  

8.88%, 5/29/2050(b)

         1,750        1,728  

8.15%, 11/20/2059(b)

         1,514        1,391  
        

 

 

  
           16,464  
        

 

 

  

El Salvador — 1.8%

 

Republic of El Salvador

         

5.88%, 1/30/2025(a)

         2,739        2,236  

6.38%, 1/18/2027(a)

         1,992        1,628  

8.63%, 2/28/2029(a)

         2,431        2,075  

7.63%, 2/1/2041(a)

         700        542  

7.12%, 1/20/2050(a)

         4,400        3,370  
        

 

 

  
           9,851  
        

 

 

  

Ethiopia — 0.4%

 

Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024(a)

         2,513        2,335  
        

 

 

  

Ghana — 1.8%

 

Republic of Ghana

         

7.63%, 5/16/2029(a)

         1,492        1,325  

7.88%, 2/11/2035(b)

         2,700        2,314  

8.63%, 6/16/2049(a)

         2,800        2,420  

8.95%, 3/26/2051(a)

         409        355  

8.75%, 3/11/2061(b)

         2,700        2,331  

8.75%, 3/11/2061(a)

         1,500        1,295  
        

 

 

  
           10,040  
        

 

 

  

Guatemala — 1.1%

 

Republic of Guatemala

         

4.50%, 5/3/2026(a)

         801        821  

4.90%, 6/1/2030(b)

         2,024        2,121  

5.38%, 4/24/2032(b)

         900        974  

6.13%, 6/1/2050(b)

         1,140        1,286  

6.13%, 6/1/2050(a)

         500        564  
        

 

 

  
        5,766  
     

 

 

  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

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

 

Investments

           Principal
Amount
(000)		      Value
(000)		  

Indonesia — 0.8%

 

Republic of Indonesia 6.63%, 2/17/2037(a)

        3,295        4,414  
        

 

 

  

Iraq — 0.3%

 

Republic of Iraq 6.75%, 3/9/2023(a)

        1,468        1,343  
        

 

 

  

Israel — 0.3%

 

State of Israel Government Bond

 

   

3.88%, 7/3/2050

         779        890  

4.50%, 4/3/2120

         770        937  
        

 

 

  
        1,827  
     

 

 

  

Ivory Coast — 1.8%

 

Republic of Cote d’Ivoire

 

   

6.38%, 3/3/2028(a)

         1,821        1,782  

5.75%, 12/31/2032(a)(d)

         1,074        1,012  

6.13%, 6/15/2033(a)

         2,000        1,882  

6.88%, 10/17/2040(a)

      EUR        5,062        5,115  
        

 

 

  
        9,791  
     

 

 

  

Jamaica — 0.4%

 

Jamaica Government Bond

 

   

9.25%, 10/17/2025

         1,471        1,625  

7.88%, 7/28/2045

         652        720  
        

 

 

  
        2,345  
     

 

 

  

Jordan — 0.3%

 

Hashemite Kingdom of Jordan 5.75%, 1/31/2027(a)

        1,464        1,426  
        

 

 

  

Kazakhstan — 0.2%

 

Republic of Kazakhstan 5.13%, 7/21/2025(a)

        1,101        1,276  
        

 

 

  

Kenya — 0.9%

 

Republic of Kenya

 

   

6.88%, 6/24/2024(a)

         1,400        1,344  

8.00%, 5/22/2032(a)

         3,146        2,980  

8.25%, 2/28/2048(a)

         429        400  
        

 

 

  
        4,724  
     

 

 

  

Lebanon — 0.4%

 

Lebanese Republic

 

   

6.38%, 3/9/2020(c)

         6,767        1,272  

6.15%, 6/19/2020(c)

         720        131  

6.85%, 3/23/2027(a)(c)

         1,889        326  

6.65%, 11/3/2028(a)(c)

         3,396        587  

7.05%, 11/2/2035(a)(c)

         162        28  
        

 

 

  
        2,344  
     

 

 

  

Luxembourg — 0.5%

 

Ecuador Social Bond SARL Zero Coupon, 1/30/2035(b)(c)

         8,556        2,679  
        

 

 

  

Macedonia, the Former Yugoslav Republic of — 0.5%

 

Republic of North Macedonia 2.75%, 1/18/2025(a)

      EUR        2,275        2,499  
        

 

 

  

Malaysia — 0.5%

 

1MDB Global Investments Ltd. 4.40%, 3/9/2023(a)

         3,000        2,775  
        

 

 

  

Mongolia — 1.0%

 

State of Mongolia

 

   

10.88%, 4/6/2021(a)

         2,630        2,679  

8.75%, 3/9/2024(a)

         2,675        2,689  
        

 

 

  
        5,368  
     

 

 

  

Morocco — 0.2%

 

Kingdom of Morocco 5.50%, 12/11/2042(a)

         800        913  
        

 

 

  

Nigeria — 1.8%

 

Federal Republic of Nigeria

 

   

7.14%, 2/23/2030(a)

         2,842        2,485  

7.88%, 2/16/2032(a)

         877        775  

7.70%, 2/23/2038(a)

         1,600        1,357  

7.70%, 2/23/2038(b)

         1,514        1,285  

7.63%, 11/28/2047(a)

         4,969        4,099  
        

 

 

  
        10,001  
     

 

 

  

Oman — 1.7%

 

Sultanate of Oman Government Bond

 

   

4.75%, 6/15/2026(a)

         4,834        3,994  

5.38%, 3/8/2027(a)

         2,313        1,930  

5.63%, 1/17/2028(a)

         2,922        2,432  

6.75%, 1/17/2048(a)

         1,469        1,106  
        

 

 

  
        9,462  
     

 

 

  

Pakistan — 0.5%

 

Islamic Republic of Pakistan 8.25%, 4/15/2024(a)

        2,591        2,589  
        

 

 

  

Panama — 2.1%

 

Notas del Tesoro 3.75%, 4/17/2026(b)

        4,822        4,962  

Republic of Panama

 

   

9.38%, 4/1/2029

         665        971  

4.50%, 4/16/2050

         1,700        2,009  

4.50%, 4/1/2056

         3,070        3,620  
        

 

 

  
        11,562  
     

 

 

  

Paraguay — 2.6%

 

Republic of Paraguay

 

   

4.70%, 3/27/2027(a)

         3,363        3,594  

4.95%, 4/28/2031(b)

         2,180        2,347  

6.10%, 8/11/2044(a)

         3,822        4,471  

5.60%, 3/13/2048(a)

         1,427        1,587  

5.40%, 3/30/2050(a)

         2,011        2,210  
        

 

 

  
        14,209  
     

 

 

  

Peru — 1.0%

 

Republic of Peru 5.63%, 11/18/2050

        3,496        5,456  
        

 

 

  

Philippines — 0.7%

 

Republic of Philippines

 

   

0.88%, 5/17/2027

      EUR        2,174        2,319  

7.75%, 1/14/2031

         1,104        1,645  
        

 

 

  
        3,964  
     

 

 

  

Qatar — 2.6%

 

State of Qatar

 

   

4.82%, 3/14/2049(a)

         6,992        8,788  

4.40%, 4/16/2050(b)

         4,540        5,391  
        

 

 

  
        14,179  
     

 

 

  

Romania — 0.5%

 

Romania Government Bond 4.63%, 4/3/2049(a)

     EUR        2,272        2,830  
        

 

 

  

Russia — 2.3%

 

Russian Federation

 

   

12.75%, 6/24/2028(a)

         1,975        3,444  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

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

 

Investments

           Principal
Amount
(000)		      Value
(000)		  

5.63%, 4/4/2042(a)

         2,000        2,733  

5.88%, 9/16/2043(a)

         2,800        3,996  

5.25%, 6/23/2047(a)

         1,600        2,158  
        

 

 

  
        12,331  
     

 

 

  
Saudi Arabia — 1.9%

 

Kingdom of Saudi Arabia

 

   

4.00%, 4/17/2025(a)

         1,425        1,552  

2.90%, 10/22/2025(b)

         5,200        5,426  

5.00%, 4/17/2049(a)

         900        1,063  

5.25%, 1/16/2050(a)

         1,921        2,345  
        

 

 

  
        10,386  
     

 

 

  

Senegal — 0.2%

 

Republic of Senegal

 

   

8.75%, 5/13/2021(a)

         432        432  

6.75%, 3/13/2048(a)

         853        768  
        

 

 

  
        1,200  
     

 

 

  

Serbia — 0.3%

 

Republic of Serbia 1.50%, 6/26/2029(b)

      EUR        1,566        1,621  
        

 

 

  

South Africa — 1.4%

 

Republic of South Africa

 

   

4.30%, 10/12/2028

         4,185        3,757  

5.00%, 10/12/2046

         3,928        3,111  

5.75%, 9/30/2049

         631        514  
        

 

 

  
        7,382  
     

 

 

  

Sri Lanka — 2.0%

 

Democratic Socialist Republic of Sri Lanka

 

   

6.85%, 11/3/2025(a)

         1,576        862  

6.83%, 7/18/2026(a)

         3,727        2,028  

6.20%, 5/11/2027(a)

         3,761        2,048  

6.75%, 4/18/2028(a)

         6,874        3,718  

7.85%, 3/14/2029(a)

         3,606        1,962  
        

 

 

  
        10,618  
     

 

 

  

Tajikistan — 0.1%

 

Republic of Tajikistan 7.13%, 9/14/2027(a)

         400        290  
        

 

 

  

Turkey — 3.3%

 

Republic of Turkey

 

   

5.75%, 3/22/2024

         4,700        4,587  

5.60%, 11/14/2024

         1,845        1,775  

5.20%, 2/16/2026

      EUR        1,040        1,153  

5.25%, 3/13/2030

         5,470        4,696  

4.88%, 4/16/2043

         4,134        3,021  

5.75%, 5/11/2047

         2,776        2,171  

Turkiye Ihracat Kredi Bankasi A/S 8.25%, 1/24/2024(b)

         610        631  
        

 

 

  
        18,034  
     

 

 

  

Ukraine — 2.7%

 

Ukraine Government Bond

 

   

7.75%, 9/1/2023(a)

         2,258        2,272  

7.75%, 9/1/2024(a)

         1,965        1,973  

7.75%, 9/1/2025(a)

         4,763        4,777  

9.75%, 11/1/2028(a)

         2,100        2,255  

7.38%, 9/25/2032(a)

         2,162        2,059  

0.00%, 5/31/2040(a)(e)

         1,797        1,522  
        

 

 

  
        14,858  
     

 

 

  

United Arab Emirates — 1.3%

 

United Arab Emirates Government Bond

 

   

4.13%, 10/11/2047(a)

         3,507        4,136  

3.88%, 4/16/2050(b)

         2,400        2,733  
        

 

 

  
        6,869  
     

 

 

  

Uruguay — 2.8%

 

Oriental Republic of Uruguay

 

   

7.88%, 1/15/2033

         1,830        2,686  

7.63%, 3/21/2036

         1,273        1,872  

5.10%, 6/18/2050

         1,303        1,596  

4.98%, 4/20/2055

         7,454        9,066  
        

 

 

  
        15,220  
     

 

 

  

Uzbekistan — 0.3%

 

Republic of Uzbekistan 4.75%, 2/20/2024(a)

         1,726        1,820  
        

 

 

  

Venezuela, Bolivarian Republic of — 0.1%

 

Bolivarian Republic of Venezuela

 

   

12.75%, 8/23/2022(a)(c)

         1,900        104  

8.25%, 10/13/2024(a)(c)

         2,590        142  

7.65%, 4/21/2025(a)(c)

         2,013        111  

9.25%, 5/7/2028(a)(c)

         2,630        145  
        

 

 

  
        502  
     

 

 

  

Vietnam — 0.2%

 

Socialist Republic of Vietnam 4.80%, 11/19/2024(a)

         1,171        1,238  
        

 

 

  

Zambia — 0.6%

 

Republic of Zambia

 

   

5.38%, 9/20/2022(a)

         1,706        765  

8.50%, 4/14/2024(a)

         2,200        987  

8.97%, 7/30/2027(a)

         3,851        1,724  
        

 

 

  
        3,476  
     

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $374,423)

 

      332,260  
  

 

 

  

CORPORATE BONDS — 35.6%

 

Azerbaijan — 0.7%

 

State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030(a)

         3,525        3,975  
        

 

 

  

Bahrain — 0.5%

 

Oil and Gas Holding Co. BSCC (The)

 

   

7.63%, 11/7/2024(a)

         600        621  

8.38%, 11/7/2028(b)

         1,740        1,810  

8.38%, 11/7/2028(a)

         400        416  
        

 

 

  
        2,847  
     

 

 

  

Belarus — 0.2%

 

Development Bank of the Republic of Belarus JSC 6.75%, 5/2/2024(b)

         1,340        1,303  
        

 

 

  

Brazil — 1.8%

 

Banco Bradesco SA 3.20%, 1/27/2025(b)

         1,670        1,602  

Klabin Austria GmbH 5.75%, 4/3/2029(a)

         1,582        1,598  

MV24 Capital BV 6.75%, 6/1/2034(b)

         2,870        2,655  

Petrobras Global Finance BV 6.90%, 3/19/2049

         2,174        2,160  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

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

 

Investments

                  Principal
Amount
(000)		      Value
(000)		  

Votorantim Cimentos International SA 7.25%, 4/5/2041(a)

         1,537        1,702  
        

 

 

  
           9,717  
        

 

 

  

Cayman Islands — 1.1%

 

Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034(b)

         9,087        6,213  
        

 

 

  

Chile — 2.8%

 

Celulosa Arauco y Constitucion SA 4.25%, 4/30/2029(b)

         3,330        3,366  

Corp. Nacional del Cobre de Chile

         

4.38%, 2/5/2049(a)

         1,596        1,764  

4.38%, 2/5/2049(b)

         1,099        1,214  

3.70%, 1/30/2050(b)

         1,420        1,411  

Empresa de Transporte de Pasajeros Metro SA

         

3.65%, 5/7/2030(b)

         1,140        1,219  

5.00%, 1/25/2047(a)

         670        769  

4.70%, 5/7/2050(b)

         940        1,077  

Empresa Nacional del Petroleo

         

3.75%, 8/5/2026(a)

         1,301        1,318  

5.25%, 11/6/2029(a)

         1,800        1,974  

4.50%, 9/14/2047(a)

         900        914  
        

 

 

  
           15,026  
        

 

 

  

China — 1.7%

 

China Evergrande Group 8.75%, 6/28/2025(a)

         2,918        2,267  

Chinalco Capital Holdings Ltd. 4.00%, 8/25/2021(a)

         3,092        3,102  

CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027(a)

         1,925        2,030  

Minmetals Bounteous Finance BVI Ltd. 4.20%, 7/27/2026(a)

         1,792        1,944  
        

 

 

  
           9,343  
        

 

 

  

Colombia — 1.6%

 

Ecopetrol SA

         

5.88%, 9/18/2023

         3,005        3,239  

5.88%, 5/28/2045

         3,185        3,310  

Empresas Publicas de Medellin ESP 4.25%, 7/18/2029(b)

         2,101        2,061  
        

 

 

  
           8,610  
        

 

 

  

Costa Rica — 0.3%

 

Instituto Costarricense de Electricidad

         

6.95%, 11/10/2021(a)

         900        849  

6.38%, 5/15/2043(a)

         802        520  
        

 

 

  
           1,369  
        

 

 

  

Croatia — 0.4%

 

Hrvatska Elektroprivreda 5.88%, 10/23/2022(a)

         1,800        1,905  
        

 

 

  

Ecuador — 0.2%

 

Petroamazonas EP 4.63%, 12/6/2021(b)(c)

         1,696        930  
        

 

 

  

Georgia — 0.3%

 

Georgian Railway JSC 7.75%, 7/11/2022(a)

         1,891        1,899  
        

 

 

  

Hong Kong — 0.5%

 

King Power Capital Ltd. 5.63%, 11/3/2024(a) 2,260

 

      2,559  
        

 

 

  

Hungary — 0.3%

 

MFB Magyar Fejlesztesi Bank Zrt. 6.25%, 10/21/2020(a)

         1,800        1,834  
        

 

 

  

India — 0.3%

 

Indian Railway Finance Corp. Ltd. 3.25%, 2/13/2030(b)

         1,850        1,829  
        

 

 

  

Indonesia — 2.8%

 

Indonesia Asahan Aluminium Persero PT

         

6.53%, 11/15/2028(a)

         2,000        2,250  

6.53%, 11/15/2028(b)

         518        583  

6.76%, 11/15/2048(a)

         3,261        3,807  

Minejesa Capital BV

         

4.63%, 8/10/2030(a)

         1,100        1,092  

4.63%, 8/10/2030(b)

         1,036        1,028  

Pertamina Persero PT

         

6.45%, 5/30/2044(a)

         1,600        1,954  

6.50%, 11/7/2048(a)

         100        123  

Perusahaan Listrik Negara PT

         

4.13%, 5/15/2027(a)

         841        863  

3.88%, 7/17/2029(b)

         1,990        2,010  

6.15%, 5/21/2048(b)

         1,100        1,297  

4.88%, 7/17/2049(b)

         499        513  
        

 

 

  
           15,520  
        

 

 

  

Kazakhstan — 2.3%

 

Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042(a)

         969        1,237  

KazMunayGas National Co. JSC

         

4.40%, 4/30/2023(a)

         1,718        1,767  

4.75%, 4/19/2027(a)

         1,758        1,862  

5.38%, 4/24/2030(a)

         900        1,006  

5.75%, 4/19/2047(a)

         2,463        2,787  

6.38%, 10/24/2048(a)

         3,304        3,989  
        

 

 

  
           12,648  
        

 

 

  

Malaysia — 1.0%

 

Petronas Capital Ltd.

         

4.50%, 3/18/2045(a)

         1,744        2,077  

4.55%, 4/21/2050(b)

         1,630        2,010  

4.80%, 4/21/2060(b)

         880        1,159  
        

 

 

  
           5,246  
        

 

 

  

Mexico — 7.5%

 

Banco Mercantil del Norte SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), 6.87%, 7/6/2022(b)(f)(g)(h)

         1,765        1,660  

Banco Nacional de Comercio Exterior SNC

 

   

4.38%, 10/14/2025(a)

         1,600        1,616  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 3.80%,
8/11/2026(b)(g)

         2,120        2,050  

Elementia SAB de CV 5.50%, 1/15/2025(a)

         2,075        1,507  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

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

 

Investments

           Principal
Amount
(000)		      Value
(000)		  

Petroleos Mexicanos

 

   

(ICE LIBOR USD 3 Month + 3.65%), 4.42%, 3/11/2022(g)

         3,152        2,997  

5.38%, 3/13/2022

         1,594        1,568  

3.50%, 1/30/2023

                          939        887  

4.25%, 1/15/2025

         670        597  

6.88%, 8/4/2026

         5,069        4,631  

5.35%, 2/12/2028

         6,700        5,432  

6.75%, 9/21/2047

         2,601        2,019  

7.69%, 1/23/2050(a)

         9,697        8,073  

7.69%, 1/23/2050(b)

         2,893        2,408  

6.95%, 1/28/2060(b)

         7,110        5,432  
        

 

 

  
           40,877  
        

 

 

  

Panama — 0.5%

 

Aeropuerto Internacional de Tocumen SA

         

6.00%, 11/18/2048(b)

         915        946  

6.00%, 11/18/2048(a)

         398        412  

Empresa de Transmision Electrica SA 5.13%, 5/2/2049(b)

         1,417        1,539  
        

 

 

  
           2,897  
        

 

 

  

Peru — 2.2%

 

Consorcio Transmantaro SA 4.38%, 5/7/2023(a)

         1,400        1,445  

Corp. Financiera de Desarrollo SA 4.75%, 7/15/2025(a)

         1,200        1,292  

Fondo MIVIVIENDA SA 3.50%, 1/31/2023(a)

         3,092        3,161  

Lima Metro Line 2 Finance Ltd. 4.35%, 4/5/2036(b)

         1,800        1,875  

Petroleos del Peru SA

         

4.75%, 6/19/2032(a)

         1,685        1,828  

5.63%, 6/19/2047(a)

         2,086        2,361  
        

 

 

  
           11,962  
        

 

 

  

Russia — 1.1%

 

Russian Agricultural Bank OJSC 8.50%, 10/16/2023(a)

         2,312        2,518  

Vnesheconombank Via VEB Finance plc 5.94%, 11/21/2023(a)

         3,090        3,420  
        

 

 

  
           5,938  
        

 

 

  

Saudi Arabia — 0.8%

 

Saudi Arabian Oil Co. 3.50%, 4/16/2029(a)

         4,234        4,521  
        

 

 

  

South Africa — 1.0%

 

Eskom Holdings SOC Ltd.

         

5.75%, 1/26/2021(a)

         1,004        951  

6.75%, 8/6/2023(a)

         2,376        2,193  

8.45%, 8/10/2028(a)

         1,361        1,226  

Transnet SOC Ltd. 4.00%, 7/26/2022(a)

         1,300        1,237  
        

 

 

  
           5,607  
        

 

 

  

Spain — 0.5%

 

AI Candelaria Spain SLU 7.50%, 12/15/2028(a)

         2,702        2,629  
        

 

 

  

Trinidad and Tobago — 0.5%

 

Trinidad Petroleum Holdings Ltd. 9.75%, 6/15/2026(b)

         3,112        2,714  
        

 

 

  

Ukraine — 0.1%

 

State Savings Bank of Ukraine 9.63%, 3/20/2025(a)(d)

         650        653  
        

 

 

  

United Arab Emirates — 2.5%

 

Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047(a)

         2,761        3,168  

MDGH - GMTN BV

         

3.75%, 4/19/2029(a)

         1,545        1,709  

2.88%, 11/7/2029(b)

         3,365        3,474  

3.70%, 11/7/2049(b)

         4,847        5,024  
        

 

 

  
           13,375  
        

 

 

  

Venezuela, Bolivarian Republic of — 0.1%

 

Petroleos de Venezuela SA

         

8.50%, 10/27/2020(a)(c)

         1,123        132  

9.00%, 11/17/2021(a)(c)

         1,510        48  

5.38%, 4/12/2027(a)(c)

         5,758        181  
     

 

 

  
        361  
     

 

 

  

TOTAL CORPORATE BONDS

(Cost $203,109)

            194,307  
  

 

 

  

U.S. TREASURY OBLIGATIONS — 0.3%

 

U.S. Treasury Bonds 8.13%, 5/15/2021(Cost $1,333)

         1,238        1,332  
        

 

 

  
            Shares
(000)		         

SHORT-TERM INVESTMENTS — 2.1%

 

INVESTMENT COMPANIES — 2.1%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.44%(i)(j)(Cost $11,477)

         11,465        11,477  
        

 

 

  

Total Investments — 98.9%

(Cost $590,342)

            539,376  

Other Assets Less Liabilities — 1.1%

 

      6,130  
  

 

 

  

Net Assets — 100.0%

 

      545,506  
        

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Abbreviations

 

EUR    Euro
GMTN    Global medium term note
ICE    Intercontinental Exchange
JSC    Joint Stock Company
LIBOR    London Interbank Offered Rate
OJSC    Open Joint Stock Company
PT    Limited liability company
USD    United States Dollar
(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)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(c)    Defaulted security.
(d)    Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of May 31, 2020.
(e)    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 May 31, 2020.
(f)    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 May 31, 2020.
(g)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2020.
(h)    Security is an interest bearing note with preferred security characteristics.
(i)    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.
(j)    The rate shown is the current yield as of May 31, 2020.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Forward foreign currency exchange contracts outstanding as of May 31, 2020 (amounts in thousands):

 

Currency Purchased

   

Currency Sold

     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  
EUR    972    USD      1,050      HSBC Bank, NA      6/23/2020        30  
EUR    9,124    USD      9,947      Standard Chartered Bank      6/23/2020        185  
                 

 

 

  
Total unrealized appreciation         215  
     

 

 

  

USD

    1,124    EUR      1,024      Barclays Bank plc      6/23/2020        (13 ) 
USD    25,000    EUR      23,111      HSBC Bank, NA      6/23/2020        (665 ) 
                 

 

 

  
Total unrealized depreciation         (678 ) 
     

 

 

  
Net unrealized depreciation         (463 ) 
     

 

 

  

Abbreviations

 

EUR    Euro
USD    United States Dollar

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 net asset values per share as of the report date.

Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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

The various inputs that are used in determining the valuation of the 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

 

     

Corporate Bonds

    $ —        $ 194,307     $ —        $ 194,307  

Foreign Government Securities

      —          332,260       —          332,260  

U.S. Treasury Obligations

      —          1,332       —          1,332  

Short-Term Investments

 

     

Investment Companies

      11,477        —         —          11,477  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 11,477      $ 527,899     $ —        $ 539,376  
  

 

 

     

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

     

Forward Foreign Currency Exchange Contracts

    $ —        $ 215     $ —        $ 215  
  

 

 

     

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

 

     

Forward Foreign Currency Exchange Contracts

    $ —        $ (678 )    $ —        $ (678 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table 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 table below. Amounts in the table below are in thousands.

 

For the period ended May 31, 2020

  

Security Description

    Value at
February 29, 2020		      Purchases
at Cost		      Proceeds
from Sales		      Net Realized
Gain (Loss)		      Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
May 31, 2020		      Shares at
May 31, 2020		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class Institutional Shares,
0.44%(a)(b)

    $ 26,905      $ 311,222      $ 326,651      $ 4      $ (3 )    $ 11,477        11,465      $ 89      $ —    

JPMorgan U.S. Government Money Market Fund Class IM Shares(a)

      900        886        1,786        —          —         —          —          1        —    
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

     

 

 

  

Total

    $ 27,805      $ 312,108      $ 328,437      $ 4      $ (3 )    $ 11,477         $ 90      $ —    
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

        

 

 

     

 

 

  

 

(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 May 31, 2020.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

C. Derivatives — The Fund used derivative instruments including forward foreign currency exchange contracts, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential 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 against collateral posted to a segregated account by one party for the benefit of the other.

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

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

(1). Forward Foreign Currency Exchange Contracts — The Fund 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. dollars without the delivery of the 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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.

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.