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JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2020 (Unaudited)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

FOREIGN GOVERNMENT SECURITIES - 64.1%

 

Angola - 1.3%

         

Republic of Angola

         

8.00%, 11/26/2029(a)

         3,610        3,001  

8.00%, 11/26/2029(b)

         350        291  

9.38%, 5/8/2048(b)

         406        332  
        

 

 

  
           3,624  
        

 

 

  

Argentina - 1.2%

         

Argentine Republic

         

6.88%, 4/22/2021(c)

         1,562        701  

5.63%, 1/26/2022(c)

         1,150        507  

8.28%, 12/31/2033(c)

         1,979        1,002  

7.13%, 7/6/2036(c)

         603        256  

7.63%, 4/22/2046(c)

         2,098        897  

7.13%, 6/28/2117(c)

         182        75  
        

 

 

  
           3,438  
        

 

 

  

Armenia - 0.1%

         

Republic of Armenia

         

3.95%, 9/26/2029(a)

         390        385  
        

 

 

  

Azerbaijan - 0.3%

         

Republic of Azerbaijan

         

3.50%, 9/1/2032(b)

         800        796  
        

 

 

  

Bahrain - 1.5%

         

Kingdom of Bahrain

         

6.13%, 8/1/2023(b)

         500        531  

7.00%, 1/26/2026(b)

         1,200        1,345  

7.00%, 10/12/2028(b)

         1,160        1,297  

6.75%, 9/20/2029(b)

         994        1,098  
        

 

 

  
           4,271  
        

 

 

  

Belarus - 1.1%

         

Republic of Belarus

         

6.38%, 2/24/2031(a)

         3,170        3,059  
        

 

 

  

Bermuda - 0.2%

         

Bermuda Government Bond

         

4.85%, 2/6/2024(b)

         643        704  
        

 

 

  

Bolivia, Plurinational State of - 0.3%

         

Plurinational State of Bolivia

         

4.50%, 3/20/2028(b)

         1,000        884  
        

 

 

  

Brazil - 1.6%

         

Federative Republic of Brazil

         

2.88%, 6/6/2025

         760        771  

3.88%, 6/12/2030

         640        653  

5.63%, 1/7/2041

         2,300        2,606  

4.75%, 1/14/2050

         650        672  
        

 

 

  
           4,702  
        

 

 

  

Colombia - 1.5%

         

Republic of Colombia

         

3.13%, 4/15/2031

         700        726  

5.00%, 6/15/2045

         2,441        3,016  

4.13%, 5/15/2051

         413        459  
        

 

 

  
           4,201  
        

 

 

  

Costa Rica - 0.2%

         

Republic of Costa Rica

         

4.25%, 1/26/2023(b)

         450        430  
        

 

 

  

Czech Republic - 0.3%

         

Czech Republic

         

4.85%, 11/26/2057(b)

      CZK        9,350        716  
        

 

 

  

Dominican Republic - 1.6%

         

Dominican Republic Government Bond

         

6.88%, 1/29/2026(b)

         500        550  

6.40%, 6/5/2049(a)

         2,040        2,059  

5.88%, 1/30/2060(a)

         1,930        1,840  
        

 

 

  
           4,449  
        

 

 

  

Ecuador - 1.1%

         

Republic of Ecuador

         

10.75%, 3/28/2022(b)(c)(d)

         1,536        826  

8.75%, 6/2/2023(b)(c)(d)

         1,050        551  

7.95%, 6/20/2024(b)(c)(d)

         200        107  

9.63%, 6/2/2027(b)(c)(d)

         705        356  

8.88%, 10/23/2027(b)(c)(d)

         2,400        1,212  

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

         419        216  
        

 

 

  
           3,268  
        

 

 

  

Egypt - 3.4%

         

Arab Republic of Egypt

         

5.75%, 5/29/2024(a)

         1,900        1,919  

5.88%, 6/11/2025(b)

         500        506  

7.50%, 1/31/2027(b)

         3,400        3,543  

7.05%, 1/15/2032(a)

         2,640        2,497  

8.50%, 1/31/2047(b)

         1,033        1,019  

8.15%, 11/20/2059(a)

         250        232  
        

 

 

  
           9,716  
        

 

 

  

El Salvador - 1.8%

         

Republic of El Salvador

         

7.75%, 1/24/2023(b)

         270        265  

5.88%, 1/30/2025(b)

         320        290  

8.63%, 2/28/2029(b)

         1,020        999  

7.63%, 2/1/2041(b)

         2,100        1,843  

9.50%, 7/15/2052(a)

         1,810        1,836  
        

 

 

  
           5,233  
        

 

 

  

Ethiopia - 0.1%

         

Federal Democratic Republic of Ethiopia

         

6.63%, 12/11/2024(b)

         367        362  
        

 

 

  

Gabon - 0.4%

         

Gabonese Republic

         

6.38%, 12/12/2024(b)

         359        353  

6.95%, 6/16/2025(b)

         402        394  

6.63%, 2/6/2031(a)

         500        474  
        

 

 

  
           1,221  
        

 

 

  

Ghana - 1.6%

         

Republic of Ghana

         

7.63%, 5/16/2029(b)

         2,850        2,641  

10.75%, 10/14/2030(b)

         570        680  

8.75%, 3/11/2061(a)

         1,400        1,233  
        

 

 

  
           4,554  
        

 

 

  

Guatemala - 0.7%

         

Republic of Guatemala

         

5.38%, 4/24/2032(a)

         650        736  

6.13%, 6/1/2050(a)

         1,100        1,340  
        

 

 

  
           2,076  
        

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

Honduras - 0.3%

 

Republic of Honduras

 

   

6.25%, 1/19/2027(b)

         445        482  

5.63%, 6/24/2030(a)

         280        293  
        

 

 

  
        775  
        

 

 

  

Hungary - 0.5%

 

Hungary Government Bond

 

   

7.63%, 3/29/2041

         774        1,345  
        

 

 

  

Iraq - 0.4%

 

Republic of Iraq

 

   

5.80%, 1/15/2028(b)

         1,266        1,166  
        

 

 

  

Israel - 0.6%

 

State of Israel Government Bond

 

   

3.88%, 7/3/2050

         970        1,207  

4.50%, 4/3/2120

         340        488  
        

 

 

  
        1,695  
        

 

 

  

Ivory Coast - 0.9%

 

Republic of Cote d’Ivoire

 

   

6.38%, 3/3/2028(b)

         1,350        1,374  

6.13%, 6/15/2033(b)

         1,289        1,257  
        

 

 

  
        2,631  
        

 

 

  

Jamaica - 1.0%

 

Jamaica Government Bond

 

   

8.00%, 3/15/2039

         511        672  

7.88%, 7/28/2045

         1,605        2,090  
        

 

 

  
        2,762  
        

 

 

  

Jordan - 0.5%

 

Hashemite Kingdom of Jordan

 

   

5.85%, 7/7/2030(a)

         1,520        1,518  
        

 

 

  
        

Kenya - 1.7%

 

Republic of Kenya

 

   

6.88%, 6/24/2024(b)

         3,600        3,646  

8.25%, 2/28/2048(b)

         1,350        1,317  
        

 

 

  
        4,963  
        

 

 

  

Lebanon - 0.5%

 

Lebanese Republic

 

   

6.38%, 3/9/2020(c)

         3,165        601  

6.15%, 6/19/2020(c)

         1,450        266  

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

         727        118  

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

         2,678        432  

6.65%, 2/26/2030(b)(c)

         708        117  
        

 

 

  
        1,534  
        

 

 

  
        

Malaysia - 0.5%

 

1MDB Global Investments Ltd.

 

   

4.40%, 3/9/2023(b)

         1,400        1,386  
        

 

 

  

Mexico - 0.7%

 

United Mexican States

 

   

4.75%, 3/8/2044

         600        682  

4.60%, 2/10/2048

         750        836  

5.75%, 10/12/2110

         400        480  
        

 

 

  
        1,998  
        

 

 

  

Morocco - 0.4%

 

Kingdom of Morocco

 

   

5.50%, 12/11/2042(b)

         800        1,009  
        

 

 

  

Mozambique - 0.2%

 

Republic of Mozambique

 

   

5.00%, 9/15/2031(a)(d)

         700        591  
        

 

 

  

Nigeria - 2.0%

 

Federal Republic of Nigeria

 

   

7.63%, 11/21/2025(b)

         2,000        2,062  

6.50%, 11/28/2027(b)

         1,000        950  

7.14%, 2/23/2030(b)

         300        287  

7.88%, 2/16/2032(b)

         1,864        1,796  

7.63%, 11/28/2047(b)

         750        684  
        

 

 

  
        5,779  
        

 

 

  

Oman - 1.3%

 

Sultanate of Oman Government Bond

 

   

5.38%, 3/8/2027(b)

         2,644        2,505  

6.00%, 8/1/2029(b)

         209        198  

6.75%, 1/17/2048(b)

         1,272        1,125  
        

 

 

  
        3,828  
        

 

 

  

Panama - 1.3%

 

Republic of Panama

 

   

4.50%, 4/1/2056

         1,080        1,452  

3.87%, 7/23/2060

         1,850        2,296  
        

 

 

  
        3,748  
        

 

 

  

Paraguay - 1.5%

 

Republic of Paraguay

 

   

4.95%, 4/28/2031(a)

         900        1,022  

6.10%, 8/11/2044(b)

         1,368        1,817  

5.40%, 3/30/2050(a)

         1,200        1,495  
        

 

 

  
        4,334  
        

 

 

  

Peru - 1.4%

 

Republic of Peru

 

   

5.94%, 2/12/2029(a)

      PEN        670        227  

8.75%, 11/21/2033

         500        873  

5.63%, 11/18/2050

         1,750        2,983  
        

 

 

  
        4,083  
        

 

 

  

Philippines - 2.5%

 

Republic of Philippines

 

   

7.75%, 1/14/2031

         1,150        1,790  

3.70%, 2/2/2042

         2,150        2,622  

2.95%, 5/5/2045

         2,450        2,744  
        

 

 

  
        7,156  
        

 

 

  

Qatar - 2.5%

 

State of Qatar

 

   

4.63%, 6/2/2046(b)

         700        959  

4.82%, 3/14/2049(b)

         2,550        3,643  

4.40%, 4/16/2050(a)

         1,870        2,534  
        

 

 

  
        7,136  
        

 

 

  

Romania - 0.7%

 

Romania Government Bond

 

   

4.63%, 4/3/2049(b)

      EUR        1,389        1,959  
        

 

 

  

Russia - 2.7%

 

Russian Federation

 

   

5.88%, 9/16/2043(b)

         2,200        3,115  

5.25%, 6/23/2047(b)

         3,400        4,650  
        

 

 

  
        7,765  
        

 

 

  

Saudi Arabia - 2.0%

 

Kingdom of Saudi Arabia

 

   

4.38%, 4/16/2029(b)

         600        715  

4.50%, 10/26/2046(b)

         1,460        1,849  

5.00%, 4/17/2049(b)

         400        548  

4.50%, 4/22/2060(a)

         1,900        2,484  
        

 

 

  
        5,596  
        

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

Senegal - 1.5%

 

Republic of Senegal

 

   

6.25%, 7/30/2024(b)

         3,150        3,284  

6.75%, 3/13/2048(b)

         950        900  
        

 

 

  
        4,184  
        

 

 

  

Serbia - 1.1%

 

Republic of Serbia

 

   

4.50%, 1/11/2026

      RSD        239,890        2,606  

5.88%, 2/8/2028

      RSD        50,000        587  
        

 

 

  
        3,193  
        

 

 

  

South Africa - 2.1%

 

Republic of South Africa

 

   

4.67%, 1/17/2024

         950        979  

4.85%, 9/30/2029

         2,550        2,442  

6.25%, 3/8/2041

         1,200        1,181  

5.00%, 10/12/2046

         400        333  

5.75%, 9/30/2049

         1,250        1,111  
        

 

 

  
        6,046  
        

 

 

  

Sri Lanka - 1.6%

 

Democratic Socialist Republic of Sri Lanka

 

   

6.35%, 6/28/2024(a)

         520        411  

6.85%, 11/3/2025(b)

         1,900        1,450  

6.20%, 5/11/2027(b)

         1,050        769  

6.75%, 4/18/2028(b)

         1,208        884  

7.85%, 3/14/2029(b)

         1,460        1,089  
        

 

 

  
        4,603  
        

 

 

  

Trinidad and Tobago - 0.3%

 

Republic of Trinidad and Tobago

 

   

4.50%, 6/26/2030(a)

         830        813  
        

 

 

  

Turkey - 2.1%

 

Republic of Turkey

 

   

5.75%, 3/22/2024

         1,250        1,195  

5.13%, 2/17/2028

         600        530  

7.63%, 4/26/2029

         750        759  

4.88%, 4/16/2043

         4,137        3,126  

Turkiye Ihracat Kredi Bankasi A/S

 

   

8.25%, 1/24/2024(a)

         340        346  
        

 

 

  
        5,956  
        

 

 

  

Ukraine - 4.6%

 

Ukraine Government Bond

 

   

7.75%, 9/1/2020(b)

         1,400        1,400  

17.25%, 9/30/2020(b)

      UAH        28,687        1,039  

7.75%, 9/1/2023(b)

         2,350        2,438  

7.75%, 9/1/2024(b)

         1,150        1,187  

15.84%, 2/26/2025(b)

      UAH        45,620        1,803  

7.75%, 9/1/2025(b)

         2,800        2,888  

7.75%, 9/1/2027(b)

         713        728  

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

         1,756        1,533  
        

 

 

  
        13,016  
        

 

 

  

United Arab Emirates - 1.0%

 

United Arab Emirates Government Bond

 

   

4.13%, 10/11/2047(b)

         1,550        2,022  

4.00%, 7/28/2050(a)

         710        745  
        

 

 

  
        2,767  
        

 

 

  

Uruguay - 2.7%

 

Oriental Republic of Uruguay

 

   

7.88%, 1/15/2033

         1,300        2,057  

5.10%, 6/18/2050

         1,488        2,084  

4.98%, 4/20/2055

         2,560        3,559  
        

 

 

  
        7,700  
        

 

 

  

Venezuela, Bolivarian Republic of - 0.1%

 

Bolivarian Republic of Venezuela

 

   

7.75%, 10/13/2019(b)(c)

         91        6  

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

         1,470        96  

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

         2,130        133  
        

 

 

  
        235  
        

 

 

  

Vietnam - 0.2%

 

Socialist Republic of Vietnam

 

   

4.80%, 11/19/2024(b)

         600        663  
        

 

 

  

Zambia - 0.4%

 

Republic of Zambia

 

   

8.97%, 7/30/2027(b)

         2,245        1,271  
        

 

 

  
TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $188,508)

 

      183,293  
        

 

 

  

CORPORATE BONDS - 29.5%

 

Azerbaijan - 0.3%

 

State Oil Co. of the Azerbaijan Republic

 

   

6.95%, 3/18/2030(b)

         700        843  
        

 

 

  

Bahrain - 0.6%

 

Oil and Gas Holding Co. BSCC (The)

 

   

7.63%, 11/7/2024(a)

         500        546  

8.38%, 11/7/2028(a)

         1,100        1,238  
        

 

 

  
        1,784  
        

 

 

  

Belarus - 0.3%

 

Development Bank of the Republic of Belarus JSC

 

   

6.75%, 5/2/2024(a)

         870        832  
        

 

 

  

Brazil - 1.1%

 

Petrobras Global Finance BV

 

   

6.90%, 3/19/2049

         452        503  

6.75%, 6/3/2050

         2,000        2,166  

Prumo Participacoes e Investimentos S/A

 

   

7.50%, 12/31/2031(a)

         420        428  
        

 

 

  
        3,097  
        

 

 

  

Cayman Islands - 1.1%

 

Bioceanico Sovereign Certificate Ltd.

 

   

Zero Coupon, 6/5/2034(a)

         4,283        3,079  
        

 

 

  

Chile - 2.1%

 

Corp. Nacional del Cobre de Chile

 

   

4.38%, 2/5/2049(b)

         570        701  

3.70%, 1/30/2050(a)

         1,150        1,281  

Empresa de Transporte de Pasajeros Metro SA

 

   

5.00%, 1/25/2047(b)

         400        495  

4.70%, 5/7/2050(a)

         870        1,083  

Empresa Nacional del Petroleo

 

   

5.25%, 11/6/2029(a)

         1,750        2,003  

4.50%, 9/14/2047(b)

         400        437  
        

 

 

  
           6,000  
        

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

China - 2.0%

                      

Agile Group Holdings Ltd.

         

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 11.25%), 8.38%, 12/4/2023(b)(f)(g)(h)

         210        214  

Avi Funding Co. Ltd.

         

3.80%, 9/16/2025(b)

         900        1,004  

Chinalco Capital Holdings Ltd.

         

4.00%, 8/25/2021(b)

         1,100        1,108  

CNAC HK Finbridge Co. Ltd.

         

4.13%, 7/19/2027(b)

         400        445  

GCL New Energy Holdings Ltd.

         

7.10%, 1/30/2021(b)

         200        86  

Minmetals Bounteous Finance BVI Ltd.

         

4.20%, 7/27/2026(b)

         450        503  

New Metro Global Ltd.

         

6.50%, 5/20/2022(b)

         1,000        1,010  

Redsun Properties Group Ltd.

         

9.95%, 4/11/2022(b)

         200        205  

Yango Justice International Ltd.

         

10.25%, 3/18/2022(b)

         1,000        1,049  
        

 

 

  
           5,624  
        

 

 

  

Colombia - 1.4%

         

Ecopetrol SA

         

5.88%, 5/28/2045

         2,290        2,620  

Empresas Publicas de Medellin ESP

         

4.25%, 7/18/2029(a)

         1,520        1,548  
        

 

 

  
           4,168  
        

 

 

  

Congo, Democratic Republic of the - 0.3%

         

HTA Group Ltd.

         

7.00%, 12/18/2025(a)

         746        772  
        

 

 

  

Costa Rica - 0.3%

         

Instituto Costarricense de Electricidad

         

6.95%, 11/10/2021(b)

         600        598  

6.38%, 5/15/2043(b)

         500        389  
        

 

 

  
           987  
        

 

 

  

Ecuador - 0.3%

         

Petroamazonas EP

         

4.63%, 12/6/2021(a)(c)

         1,155        899  
        

 

 

  

El Salvador - 0.2%

         

AES El Salvador Trust II

         

6.75%, 3/28/2023(b)

         800        744  
        

 

 

  

Georgia - 0.3%

         

Georgian Railway JSC

         

7.75%, 7/11/2022(b)

         750        766  
        

 

 

  

Hungary - 0.3%

         

MFB Magyar Fejlesztesi Bank Zrt.

         

6.25%, 10/21/2020(b)

         1,000        1,011  
        

 

 

  

Indonesia - 3.0%

         

Indonesia Asahan Aluminium Persero PT

         

6.76%, 11/15/2048(b)

         1,650        2,180  

Medco Platinum Road Pte. Ltd.

         

6.75%, 1/30/2025(b)

         200        195  

Pertamina Persero PT

         

5.63%, 5/20/2043(b)

         820        1,026  

6.50%, 11/7/2048(b)

         300        423  

4.70%, 7/30/2049(b)

         388        450  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara

         

4.13%, 5/15/2027(b)

         600        653  

3.88%, 7/17/2029(a)

         1,940        2,101  

5.25%, 5/15/2047(b)

         700        841  

4.88%, 7/17/2049(a)

         678        788  
        

 

 

  
           8,657  
        

 

 

  

Kazakhstan - 2.6%

         

Kazakhstan Temir Zholy Finance BV

         

6.95%, 7/10/2042(b)

         586        803  

KazMunayGas National Co. JSC

         

4.75%, 4/19/2027(b)

         750        839  

5.75%, 4/19/2047(b)

         3,298        4,109  

KazTransGas JSC

         

4.38%, 9/26/2027(b)

         1,450        1,578  
        

 

 

  
           7,329  
        

 

 

  

Kuwait - 0.4%

         

NBK Tier 1 Financing 2 Ltd.

         

(USD Swap Semi 6 Year + 2.83%), 4.50%, 11/27/2025(b)(f)(g)(h)

         1,200        1,150  
        

 

 

  

Malaysia - 1.0%

         

Petronas Capital Ltd.

         

4.50%, 3/18/2045(b)

         1,150        1,541  

4.55%, 4/21/2050(a)

         890        1,217  
        

 

 

  
           2,758  
        

 

 

  

Mexico - 4.9%

         

Banco Mercantil del Norte SA

         

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 7.76%), 8.38%, 10/14/2030(a)(f)(g)(h)

         394        397  

Banco Nacional de Comercio Exterior SNC

         

4.38%, 10/14/2025(b)

         500        524  

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

         500        490  

Petroleos Mexicanos

         

(ICE LIBOR USD 3 Month + 3.65%), 3.96%, 3/11/2022(g)

         1,349        1,320  

5.38%, 3/13/2022

         1,300        1,308  

3.50%, 1/30/2023

         500        483  

6.49%, 1/23/2027(a)

         903        863  

5.35%, 2/12/2028

         2,070        1,816  

6.75%, 9/21/2047

         831        675  

7.69%, 1/23/2050(b)

         3,820        3,340  

7.69%, 1/23/2050(a)

         1,032        902  

6.95%, 1/28/2060(a)

         2,509        2,054  
        

 

 

  
        14,172  
        

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

Morocco - 0.8%

         

OCP SA

         

6.88%, 4/25/2044(b)

         1,750        2,176  
        

 

 

  

Panama - 0.6%

         

Aeropuerto Internacional de Tocumen SA

         

6.00%, 11/18/2048(b)

         697        773  

Empresa de Transmision Electrica SA

         

5.13%, 5/2/2049(a)

         850        992  
        

 

 

  
        1,765  
        

 

 

  

Peru - 1.2%

         

Nexa Resources SA

         

6.50%, 1/18/2028(a)

         1,690        1,813  

Peru LNG Srl

         

5.38%, 3/22/2030(b)

         1,980        1,522  
        

 

 

  
        3,335  
        

 

 

  
        

Saudi Arabia - 0.8%

         

Saudi Arabian Oil Co.

         

3.50%, 4/16/2029(b)

         2,050        2,288  
        

 

 

  

South Africa - 1.0%

         

Eskom Holdings SOC Ltd.

         

5.75%, 1/26/2021(b)

         800        780  

6.75%, 8/6/2023(b)

         800        763  

8.45%, 8/10/2028(b)

         635        615  

Transnet SOC Ltd.

         

4.00%, 7/26/2022(b)

         600        596  
        

 

 

  
        2,754  
        

 

 

  

South Korea - 0.2%

         

Woori Bank

         

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.25%, 10/4/2024(a)(f)(g)(h)

         560        566  
        

 

 

  

Spain - 0.1%

         

International Airport Finance SA

         

12.00%, 3/15/2033(a)

         250        212  
        

 

 

  

Trinidad and Tobago - 0.3%

         

Trinidad Petroleum Holdings Ltd.

         

9.75%, 6/15/2026(a)

         800        832  
        

 

 

  

Turkey - 0.1%

         

Ronesans Gayrimenkul Yatirim A/S

         

7.25%, 4/26/2023(a)

         281        242  
        

 

 

  

Ukraine - 0.1%

         

State Savings Bank of Ukraine

         

9.63%, 3/20/2025(b)(d)

         300        307  
        

 

 

  

United Arab Emirates - 1.8%

         

Abu Dhabi Crude Oil Pipeline LLC

         

4.60%, 11/2/2047(b)

         1,050        1,314  

EA Partners I BV

         

6.88%, 9/28/2020(b)(c)

         2,751        1,109  

EA Partners II BV

         

6.75%, 6/1/2021(b)(c)

         1,076        389  

MDGH - GMTN BV

         

3.70%, 11/7/2049(a)

         2,000        2,339  
        

 

 

  
        5,151  
        

 

 

  

Venezuela, Bolivarian Republic of - 0.0%(i)

         

Petroleos de Venezuela SA

         

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

         624        62  

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

         1,240        30  

12.75%, 2/17/2022(b)(c)

         770        18  

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

         730        18  
        

 

 

  
        128  
        

 

 

  

TOTAL CORPORATE BONDS

(Cost $84,994)

 

 

      84,428  
        

 

 

  

OPTIONS PURCHASED - 1.0%

         

Call Options Purchased - 0.1%

         

European Union - 0.1%

         

Foreign Exchange EUR/ILS

         

9/9/2020 at EUR 3.90, Vanilla, European Style Notional Amount: EUR 10,451 Counterparty: Goldman Sachs International*

      EUR        10,451        367  

United States - 0.0%(i)

         

Foreign Exchange USD/ILS

         

9/9/2020 at USD 3.50, Vanilla, European Style Notional Amount: USD 11,499 Counterparty: Goldman Sachs International*

         11,499        22  
        

 

 

  

TOTAL CALL OPTIONS PURCHASED

 

         389  
        

 

 

  

Put Options Purchased - 0.9%

         

United States - 0.9%

         

Foreign Exchange USD/CNH

         

11/30/2020 at USD 7.05, Vanilla, European Style Notional Amount: USD 26,128 Counterparty: Goldman Sachs International*

         26,128        372  

Foreign Exchange USD/CNH

         

8/31/2020 at USD 7.05, Vanilla, European Style Notional Amount: USD 26,128 Counterparty: Goldman Sachs International*

         26,128        268  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

Foreign Exchange USD/JPY

         

8/14/2020 at USD 108.00, Vanilla, European Style Notional Amount: USD 38,409 Counterparty: Citibank, NA*

                      38,409        801  

Foreign Exchange USD/JPY

         

11/12/2020 at USD 100.00, Vanilla, European Style Notional Amount: USD 20,695 Counterparty: Citibank, NA*

         20,695        76  

Foreign Exchange USD/JPY

         

11/10/2020 at USD 100.00, Vanilla, European Style Notional Amount: USD 9,717 Counterparty: Barclays Bank plc*

         9,717        35  

Foreign Exchange USD/JPY

         

8/14/2020 at USD 102.00, Vanilla, European Style Notional Amount: USD 38,390 Counterparty: Citibank, NA*

         38,390        13  

Foreign Exchange USD/MXN

         

11/30/2020 at USD 22.00, Vanilla, European Style Notional Amount: USD 26,128 Counterparty: Goldman Sachs International*

         26,128        522  

Foreign Exchange USD/MXN

         

8/31/2020 at USD 22.20, Vanilla, European Style Notional Amount: USD 26,128 Counterparty: Goldman Sachs International*

         26,128        362  
        

 

 

  

TOTAL PUT OPTIONS PURCHASED

            2,449  
        

 

 

  

TOTAL OPTIONS PURCHASED

(Cost $3,762)

            2,838  
        

 

 

  

U.S. GOVERNMENT AGENCY SECURITIES - 0.7%

         

Israel - 0.7%

         

Israel Government AID Bond

         

4.50%, 1/30/2043 (Cost $1,686)

         1,500        1,993  
        

 

 

  

Investments

           Shares (000)      Value ($000)  

SHORT-TERM INVESTMENTS - 3.2%

         

INVESTMENT COMPANIES - 3.2%

         

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.22%(j)(k) (Cost $9,068)

         9,061        9,068  
        

 

 

  

Total Investments - 98.5%
(Cost $288,018)

 

      281,620  

Other Assets Less Liabilities - 1.5%

 

      4,389  
        

 

 

  

Net Assets - 100.0%

 

      286,009  
        

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

CNH

    China Renminbi

CZK

    Czech Republic Koruna

EUR

    Euro

GMTN

    Global medium term note

ICE

    Intercontinental Exchange

ILS

    Israeli Shekel

JPY

    Japanese Yen

JSC

    Joint Stock Company

LIBOR

    London Interbank Offered Rate

MXN

    Mexican Peso

PEN

    Peruvian Nuevo Sol

PT

    Limited liability company

RSD

    Serbian dinar

UAH

    Ukrainian Hryvnia

USD

    United States Dollar

 

(a)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(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.
(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 July 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 July 31, 2020.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

(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 July 31, 2020.
(g)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of July 31, 2020.
(h)    Security is an interest bearing note with preferred security characteristics.
(i)    Amount rounds to less than 0.1% of net assets.
(j)    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.
(k)    The rate shown is the current yield as of July 31, 2020.
*    Non-income producing security.

Futures contracts outstanding as of July 31, 2020 (amounts in thousands, except number of contracts):

 

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

 

  

Long Contracts

 

U.S. Treasury 2 Year Note

      69        09/2020        USD        15,248        13  

U.S. Treasury Long Bond

      32        09/2020        USD        5,831        69  
              

 

 

  
                 82  
              

 

 

  

 

Abbreviations

USD  

    United States Dollar

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

 

    Currency Purchased          Currency Sold              Counterparty    Settlement
Date		    Unrealized
Appreciation
(Depreciation) ($)		  

 

  

EUR

      1,092      USD      1,243      Standard Chartered Bank    8/17/2020      44  

BRL

      1,650      USD      305      Citibank, NA**    8/24/2020      11  

CLP

      271,923      USD      351      Barclays Bank plc**    8/24/2020      8  

CLP

      524,961      USD      666      Merrill Lynch International**    8/24/2020      27  

CZK

      24,181      USD      1,030      Citibank, NA    8/24/2020      56  

EUR

      305      PLN      1,344      BNP Paribas    8/24/2020      1  

EUR

      306      TRY      2,428      Goldman Sachs International    8/24/2020      20  

HUF

      215,802      EUR      615      BNP Paribas    8/24/2020      13  

HUF

      106,887      USD      354      BNP Paribas    8/24/2020      12  

MXN

      22,033      USD      967      HSBC Bank, NA    8/24/2020      20  

PLN

      6,700      USD      1,695      BNP Paribas    8/24/2020      94  

THB

      21,641      USD      693      BNP Paribas    8/24/2020      1  

USD

      1,089      COP      3,981,082      Barclays Bank plc**    8/24/2020      24  

USD

      356      MXN      7,814      Goldman Sachs International    8/24/2020      6  

USD

      351      RUB      25,173      Barclays Bank plc**    8/24/2020      12  

USD

      356      TRY      2,506      Barclays Bank plc    8/24/2020      4  

USD

      356      TRY      2,490      Goldman Sachs International    8/24/2020      7  

USD

      351      ZAR      5,835      Barclays Bank plc    8/24/2020      10  

USD

      1,149      ZAR      19,400      State Street Corp.    8/24/2020      17  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

    Currency Purchased          Currency Sold              Counterparty    Settlement
Date		    Unrealized
Appreciation
(Depreciation) ($)		  

 

  

CLP

      3,108,297      USD      3,937      Goldman Sachs International**    9/23/2020      170  

CNY

      37,244      USD      5,273      HSBC Bank, NA**    9/23/2020      40  

CZK

      190,414      EUR      7,166      Royal Bank of Canada    9/23/2020      98  

CZK

      62,384      USD      2,743      Citibank, NA    9/23/2020      58  

CZK

      40,463      USD      1,725      Standard Chartered Bank    9/23/2020      91  

EUR

      5,899      USD      6,689      State Street Corp.    9/23/2020      267  

INR

      197,762      USD      2,580      Citibank, NA**    9/23/2020      44  

JPY

      555,795      USD      5,187      Citibank, NA    9/23/2020      67  

JPY

      29,752      USD      273      Goldman Sachs International    9/23/2020      8  

MXN

      113,318      USD      4,984      Goldman Sachs International    9/23/2020      74  

MXN

      51,172      USD      2,241      Merrill Lynch International    9/23/2020      43  

PLN

      10,918      USD      2,865      State Street Corp.    9/23/2020      51  

USD

      2,135      IDR      31,045,426      Barclays Bank plc**    9/23/2020      43  

USD

      5,395      MXN      119,550      Barclays Bank plc    9/23/2020      59  

USD

      8,291      RUB      582,854      Standard Chartered Bank**    9/23/2020      487  

USD

      2,653      THB      82,540      Goldman Sachs International    9/23/2020      6  
                 

 

 

  

Total unrealized appreciation

         1,993  
                 

 

 

  

USD

      2,911      EUR      2,576      Barclays Bank plc    8/17/2020      (125 ) 

BRL

      2,734      USD      528      Barclays Bank plc**    8/24/2020      (4 ) 

BRL

      922      USD      178      Goldman Sachs International**    8/24/2020      (2 ) 

COP

      3,517,824      USD      961      Barclays Bank plc**    8/24/2020      (20 ) 

COP

      355,068      USD      96      Goldman Sachs International**    8/24/2020      (1 ) 

EUR

      307      CZK      8,107      BNP Paribas    8/24/2020      (2 ) 

MXN

      7,949      USD      357      Goldman Sachs International    8/24/2020      (1 ) 

RUB

      25,837      USD      357      Barclays Bank plc**    8/24/2020      (10 ) 

RUB

      97,583      USD      1,365      BNP Paribas**    8/24/2020      (53 ) 

USD

      772      AUD      1,111      Citibank, NA    8/24/2020      (22 ) 

USD

      973      CLP      746,006      Barclays Bank plc**    8/24/2020      (12 ) 

USD

      97      CLP      74,434      Goldman Sachs International**    8/24/2020      (1 ) 

USD

      1,745      EUR      1,525      Goldman Sachs International    8/24/2020      (52 ) 

USD

      355      HUF      104,787      BNP Paribas    8/24/2020      (4 ) 

USD

      690      PHP      34,279      Citibank, NA**    8/24/2020      (7 ) 

USD

      675      SEK      6,182      BNP Paribas    8/24/2020      (29 ) 

ZAR

      5,828      USD      347      Barclays Bank plc    8/24/2020      (7 ) 

BRL

      21,737      USD      4,200      Citibank, NA**    9/23/2020      (41 ) 

COP

      15,228,386      USD      4,065      Goldman Sachs International**    9/23/2020      (1 ) 

IDR

      28,545,457      USD      1,980      Standard Chartered Bank**    9/23/2020      (57 ) 

RUB

      346,397      USD      4,895      BNP Paribas**    9/23/2020      (257 ) 

RUB

      51,085      USD      735      Goldman Sachs International**    9/23/2020      (51 ) 

THB

      82,540      USD      2,668      BNP Paribas    9/23/2020      (22 ) 

USD

      1,999      CLP      1,595,884      Merrill Lynch International**    9/23/2020      (110 ) 

USD

      1,973      CLP      1,554,149      Standard Chartered Bank**    9/23/2020      (81 ) 

USD

      5,239      CNY      37,244      Goldman Sachs International**    9/23/2020      (74 ) 

USD

      4,026      COP      15,228,386      Standard Chartered Bank**    9/23/2020      (38 ) 

USD

      8,189      CZK      195,000      BNP Paribas    9/23/2020      (565 ) 

USD

      2,090      CZK      49,381      HSBC Bank, NA    9/23/2020      (127 ) 

USD

      2,573      INR      197,762      Merrill Lynch International**    9/23/2020      (51 ) 

USD

      5,352      JPY      585,547      Citibank, NA    9/23/2020      (183 ) 

USD

      1,973      MXN      44,941      Barclays Bank plc    9/23/2020      (33 ) 
                 

 

 

  

Total unrealized depreciation

      (2043 ) 
                 

 

 

  

Net unrealized depreciation

      (50 ) 
                 

 

 

  

 

Abbreviations

AUD

    Australian Dollar

BRL

    Brazilian Real

CLP

    Chile Peso

CNY

    China Yuan

COP

    Colombian Peso

CZK

    Czech Republic Koruna

EUR

    Euro

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

HUF

    Hungarian Forint

IDR

    Indonesian Rupiah

INR

    Indian Rupee

JPY

    Japanese Yen

MXN

    Mexican Peso

PHP

    Philippines Peso

PLN

    Polish Zloty

RUB

    Russian Ruble

SEK

    Swedish Krona

THB

    Thai Baht

TRY

    Turkish Lira

USD

    United States Dollar

ZAR

    South African Rand

**

    Non-deliverable forward.

 

Over-the-Counter (“OTC”) Credit default swap contracts outstanding - buy protection(a) as of July 31, 2020 (amounts in thousands):

 

  
Reference
Obligation/Index		    Financing
Rate Paid
by the Fund
(%)		    Payment
Frequency		    Counterparty    Maturity
Date		    Implied
Credit
Spread
(%)(b)		      Notional
Amount(c)		     

Upfront
Payments

(Receipts) ($)(d)

      Unrealized
Appreciation
(Depreciation) ($)		      Value ($)    
Republic of Turkey, 11.88%, 1/15/2030    1.00    Quarterly    Goldman Sachs

International

    6/20/2025      5.61        USD 4,764        881        23        904  
                    

 

 

  
(a)

The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts.

(b)

Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index.

(c)

The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event.

(d)

Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).

 

Abbreviations

USD

    United States Dollar

Summary of total OTC swap contracts outstanding as of July 31, 2020 (amounts in thousands):

 

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

Assets

      

OTC Credit default swap contracts outstanding - buy protection

      881        904  
                 
                 

 

Written Call Options Contracts as of July 31, 2020 (amounts in thousands, except number of contracts):  
Description    Counterparty      Number of
Contracts		    Notional Amount      Exercise Price      Expiration
Date		      Value ($)        

 

  

Foreign Exchange EUR/ILS

      Goldman Sachs International      10,451,000      EUR 10,451        EUR 3.90        9/9/2020        (367)  

Foreign Exchange USD/ILS

      Goldman Sachs International      11,498,500      USD 11,499        USD 3.50        9/9/2020        (21)  
                 

 

 

  
              (388)  
                 

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Written Put Options Contracts as of July 31, 2020 (amounts in thousands, except number of contracts):  
Description    Counterparty      Number of
Contracts		    Notional Amount      Exercise Price      Expiration
Date		      Value ($)        

 

  

Foreign Exchange USD/CNH

      Goldman Sachs International      26,128,000      USD 26,128        USD 7.05        11/30/2020        (372)  

Foreign Exchange USD/CNH

      Goldman Sachs International      26,128,000      USD 26,128        USD 7.05        8/31/2020        (268)  

Foreign Exchange USD/JPY

      Citibank, NA                            38,409,375      USD 38,409        USD 102.00        8/14/2020        (14)  

Foreign Exchange USD/JPY

      Citibank, NA                            38,390,000      USD 38,390        USD 108.00        8/14/2020        (801)  

Foreign Exchange USD/MXN

      Goldman Sachs International      26,128,000      USD 26,128        USD 22.00        11/30/2020        (522)  

Foreign Exchange USD/MXN

      Goldman Sachs International      26,128,000      USD 26,128        USD 22.20        8/31/2020        (362)  
                 

 

 

  
                    (2,339)  
                 

 

 

  

Total Written Options Contracts (Premiums Received $4,822)

               (2,727)  
                 

 

 

  

 

Abbreviations

CNH

    China Renminbi

EUR

    Euro

ILS

    Israeli Shekel

JPY

    Japanese Yen

MXN

    Mexican Peso

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.

Futures contracts and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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

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     $ –      $ 84,428     $ –      $ 84,428  
Foreign Government Securities      –        183,293       –        183,293  
Options Purchased           

Call Options Purchased

      –        389       –        389  

Put Options Purchased

      –        2449       –        2,449  
  

 

 

  
Total Options Purchased      –        2,838       –        2,838  
  

 

 

  
U.S. Government Agency Securities      –        1,993       –        1,993  
Short-Term Investments           

Investment Companies

      9,068        –       –        9,068  
  

 

 

  
Total Investments in Securities     $                             9,068      $                             272,552     $                             –      $                 281,620  
  

 

 

  
Appreciation in Other Financial Instruments

 

     
Forward Foreign Currency Exchange Contracts     $ –      $ 1,993     $ –      $ 1,993  
Futures Contracts      82        –       –        82  
Swaps      –        23       –        23  
  

 

 

  
Total Appreciation in Other Financial Instruments     $ 82      $ 2,016     $ –      $ 2,098  
  

 

 

  
Depreciation in Other Financial Instruments

 

     
Forward Foreign Currency Exchange Contracts     $ –      $ (2,043 )    $ –      $ (2,043 ) 
Options Written           

Call Options Written

      –        (388 )      –        (388 ) 

Put Options Written

      –        (2339 )      –        (2,339 ) 
  

 

 

  
Total Depreciation in Other Financial Instruments     $ –      $ (4,770 )    $ –      $ (4,770 ) 
  

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

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 July 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 July

31, 2020

     

Shares at July

31, 2020

      Dividend
Income		      Capital Gain
Distributions		  
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.22%(a)(b)    $ 6,875      $ 366,898      $ 364,756      $ 52      $ (1 )    $ 9,068        9,061      $ 107      $ —  
JPMorgan U.S. Government Money Market Fund Class IM Shares(a)      987        7,376        8,363        —        —       —        —        4        —  
  

 

 

        

 

 

  

Total

    $ 7,862      $ 374,274      $ 373,119      $ 52      $ (1 )    $ 9,068         $ 111      $ —  
  

 

 

        

 

 

  

 

(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 July 31, 2020.

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

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the 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) — (4) below describe the various derivatives used by the Fund.

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

Options Purchased — Premiums paid by the Fund for options purchased are included as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as unrealized appreciation or depreciation. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.

Options Written — Premiums received by the Fund for options written are adjusted daily to reflect the current market value of the option written and the change is recorded as unrealized appreciation or depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

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

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

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

The Fund may be required to post or receive collateral for over-the-counter options. Cash collateral posted by the Fund is considered restricted.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

(2). Futures Contracts — The Fund used treasury 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).

(3). 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.

(4). Swaps — The Fund engaged in various swap transactions, including credit default swaps, to manage credit 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.

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.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Credit Default Swaps

The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.