JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||
| FOREIGN GOVERNMENT SECURITIES — 62.8% |
| |||||||||
| Angola — 1.5% |
| |||||||||
| Republic of Angola |
| |||||||||
| 9.50%, 11/12/2025(a) |
700 | 665 | ||||||||
| 8.25%, 5/9/2028(a) |
2,492 | 2,224 | ||||||||
| 8.00%, 11/26/2029(a) |
2,300 | 2,001 | ||||||||
| 8.00%, 11/26/2029(b) |
1,539 | 1,339 | ||||||||
| 9.38%, 5/8/2048(a) |
4,058 | 3,530 | ||||||||
| 9.13%, 11/26/2049(a) |
2,260 | 1,938 | ||||||||
|
|
|
|||||||||
| 11,697 | ||||||||||
|
|
|
|||||||||
| Argentina — 1.2% |
| |||||||||
| Argentine Republic |
| |||||||||
| 1.00%, 7/9/2029 |
896 | 382 | ||||||||
| 0.12%, 7/9/2030(c) |
4,207 | 1,641 | ||||||||
| 0.12%, 7/9/2035(c) |
13,254 | 4,645 | ||||||||
| 0.12%, 1/9/2038(c) |
3,421 | 1,351 | ||||||||
| 0.12%, 7/9/2041(c) |
3,710 | 1,345 | ||||||||
|
|
|
|||||||||
| 9,364 | ||||||||||
|
|
|
|||||||||
| Armenia — 0.4% |
| |||||||||
| Republic of Armenia |
| |||||||||
| 7.15%, 3/26/2025(a) |
1,400 | 1,567 | ||||||||
| 3.95%, 9/26/2029(b) |
1,271 | 1,231 | ||||||||
| 3.95%, 9/26/2029(a) |
200 | 194 | ||||||||
|
|
|
|||||||||
| 2,992 | ||||||||||
|
|
|
|||||||||
| Azerbaijan — 0.2% |
| |||||||||
| Republic of Azerbaijan 3.50%, 9/1/2032(a) |
1,600 | 1,650 | ||||||||
|
|
|
|||||||||
| Bahrain — 2.1% |
| |||||||||
| Kingdom of Bahrain |
| |||||||||
| 7.00%, 1/26/2026(a) |
1,611 | 1,862 | ||||||||
| 7.00%, 10/12/2028(a) |
2,060 | 2,360 | ||||||||
| 6.75%, 9/20/2029(a) |
3,081 | 3,489 | ||||||||
| 7.38%, 5/14/2030(b) |
2,900 | 3,390 | ||||||||
| 5.45%, 9/16/2032(b) |
2,324 | 2,411 | ||||||||
| 5.45%, 9/16/2032(a) |
800 | 830 | ||||||||
| 6.00%, 9/19/2044(a) |
1,352 | 1,371 | ||||||||
| 7.50%, 9/20/2047(a) |
500 | 571 | ||||||||
|
|
|
|||||||||
| 16,284 | ||||||||||
|
|
|
|||||||||
| Belarus — 1.5% |
| |||||||||
| Republic of Belarus |
| |||||||||
| 6.88%, 2/28/2023(a) |
4,939 | 5,092 | ||||||||
| 6.38%, 2/24/2031(b) |
5,760 | 5,789 | ||||||||
| 6.38%, 2/24/2031(a) |
1,063 | 1,068 | ||||||||
|
|
|
|||||||||
| 11,949 | ||||||||||
|
|
|
|||||||||
| Bermuda — 0.6% |
| |||||||||
| Bermuda Government Bond |
| |||||||||
| 3.72%, 1/25/2027(a) |
2,302 | 2,555 | ||||||||
| 2.38%, 8/20/2030(b) |
1,217 | 1,260 | ||||||||
| 3.38%, 8/20/2050(b) |
518 | 548 | ||||||||
|
|
|
|||||||||
| 4,363 | ||||||||||
|
|
|
|||||||||
| Brazil — 1.3% |
| |||||||||
| Federative Republic of Brazil |
| |||||||||
| 4.50%, 5/30/2029 |
1,366 | 1,512 | ||||||||
| 8.25%, 1/20/2034 |
5,942 | 8,549 | ||||||||
|
|
|
|||||||||
| 10,061 | ||||||||||
|
|
|
|||||||||
| Colombia — 1.4% |
| |||||||||
| Republic of Colombia |
| |||||||||
| 8.13%, 5/21/2024 |
920 | 1,117 | ||||||||
| 4.50%, 3/15/2029 |
986 | 1,120 | ||||||||
| 10.38%, 1/28/2033 |
563 | 890 | ||||||||
| 6.13%, 1/18/2041 |
200 | 264 | ||||||||
| 5.00%, 6/15/2045 |
3,420 | 4,106 | ||||||||
| 5.20%, 5/15/2049 |
1,722 | 2,152 | ||||||||
| 4.13%, 5/15/2051 |
1,479 | 1,614 | ||||||||
|
|
|
|||||||||
| 11,263 | ||||||||||
|
|
|
|||||||||
| Costa Rica — 0.4% |
| |||||||||
| Republic of Costa Rica |
| |||||||||
| 4.38%, 4/30/2025(a) |
1,265 | 1,126 | ||||||||
| 5.63%, 4/30/2043(a) |
1,597 | 1,264 | ||||||||
| 7.16%, 3/12/2045(a) |
1,000 | 870 | ||||||||
|
|
|
|||||||||
| 3,260 | ||||||||||
|
|
|
|||||||||
| Dominican Republic — 3.1% |
| |||||||||
| Dominican Republic Government Bond |
| |||||||||
| 5.88%, 4/18/2024(a) |
3,078 | 3,281 | ||||||||
| 6.88%, 1/29/2026(a) |
2,700 | 3,128 | ||||||||
| 5.95%, 1/25/2027(a) |
1,075 | 1,207 | ||||||||
| 6.00%, 7/19/2028(a) |
1,906 | 2,169 | ||||||||
| 4.50%, 1/30/2030(a) |
600 | 628 | ||||||||
| 4.88%, 9/23/2032(b) |
3,800 | 4,064 | ||||||||
| 6.40%, 6/5/2049(a) |
2,340 | 2,592 | ||||||||
| 5.88%, 1/30/2060(b) |
5,901 | 6,150 | ||||||||
| 5.88%, 1/30/2060(a) |
700 | 729 | ||||||||
|
|
|
|||||||||
| 23,948 | ||||||||||
|
|
|
|||||||||
| Ecuador — 0.5% |
| |||||||||
| Republic of Ecuador |
| |||||||||
| Zero Coupon, 7/31/2030(b) |
379 | 168 | ||||||||
| 0.50%, 7/31/2030(b)(c) |
2,227 | 1,411 | ||||||||
| 0.50%, 7/31/2035(b)(c) |
2,954 | 1,610 | ||||||||
| 0.50%, 7/31/2040(b)(c) |
1,354 | 667 | ||||||||
|
|
|
|||||||||
| 3,856 | ||||||||||
|
|
|
|||||||||
| Egypt — 3.4% |
| |||||||||
| Arab Republic of Egypt |
| |||||||||
| 5.75%, 5/29/2024(a) |
2,500 | 2,631 | ||||||||
| 5.75%, 5/29/2024(b) |
1,750 | 1,842 | ||||||||
| 7.50%, 1/31/2027(a) |
5,468 | 6,119 | ||||||||
| 6.59%, 2/21/2028(a) |
400 | 428 | ||||||||
| 7.60%, 3/1/2029(a) |
560 | 624 | ||||||||
| 7.05%, 1/15/2032(a) |
1,900 | 2,009 | ||||||||
| 7.05%, 1/15/2032(b) |
891 | 942 | ||||||||
| 7.63%, 5/29/2032(a) |
1,600 | 1,750 | ||||||||
| 8.50%, 1/31/2047(a) |
1,471 | 1,589 | ||||||||
| 8.88%, 5/29/2050(a) |
2,400 | 2,668 | ||||||||
| 8.88%, 5/29/2050(b) |
1,750 | 1,945 | ||||||||
| 8.15%, 11/20/2059(a) |
2,600 | 2,703 | ||||||||
| 8.15%, 11/20/2059(b) |
1,514 | 1,574 | ||||||||
|
|
|
|||||||||
| 26,824 | ||||||||||
|
|
|
|||||||||
| El Salvador — 1.7% |
| |||||||||
| Republic of El Salvador |
| |||||||||
| 5.88%, 1/30/2025(a) |
2,739 | 2,447 | ||||||||
| 6.38%, 1/18/2027(a) |
1,992 | 1,758 | ||||||||
| 8.63%, 2/28/2029(a) |
3,231 | 3,016 | ||||||||
| 7.63%, 2/1/2041(a) |
1,292 | 1,111 | ||||||||
| 7.12%, 1/20/2050(a) |
3,864 | 3,219 | ||||||||
| 9.50%, 7/15/2052(a) |
2,000 | 1,891 | ||||||||
|
|
|
|||||||||
| 13,442 | ||||||||||
|
|
|
|||||||||
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||||
| Ethiopia — 0.5% |
| |||||||||||
| Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024(a) |
4,113 | 4,038 | ||||||||||
|
|
|
|||||||||||
| Ghana — 1.9% |
| |||||||||||
| Republic of Ghana |
| |||||||||||
| 6.38%, 2/11/2027(a) |
800 | 803 | ||||||||||
| 7.88%, 3/26/2027(a) |
1,700 | 1,781 | ||||||||||
| 7.63%, 5/16/2029(a) |
1,492 | 1,522 | ||||||||||
| 8.13%, 3/26/2032(a) |
200 | 203 | ||||||||||
| 7.88%, 2/11/2035(b) |
2,700 | 2,628 | ||||||||||
| 7.88%, 2/11/2035(a) |
400 | 389 | ||||||||||
| 8.63%, 6/16/2049(a) |
2,900 | 2,828 | ||||||||||
| 8.95%, 3/26/2051(a) |
409 | 406 | ||||||||||
| 8.75%, 3/11/2061(b) |
2,700 | 2,649 | ||||||||||
| 8.75%, 3/11/2061(a) |
1,500 | 1,472 | ||||||||||
|
|
|
|||||||||||
| 14,681 | ||||||||||||
|
|
|
|||||||||||
| Guatemala — 1.0% |
| |||||||||||
| Republic of Guatemala |
| |||||||||||
| 4.50%, 5/3/2026(a) |
801 | 873 | ||||||||||
| 4.90%, 6/1/2030(b) |
2,024 | 2,322 | ||||||||||
| 5.38%, 4/24/2032(a) |
1,300 | 1,549 | ||||||||||
| 5.38%, 4/24/2032(b) |
900 | 1,072 | ||||||||||
| 6.13%, 6/1/2050(b) |
1,140 | 1,453 | ||||||||||
| 6.13%, 6/1/2050(a) |
500 | 637 | ||||||||||
|
|
|
|||||||||||
| 7,906 | ||||||||||||
|
|
|
|||||||||||
| Honduras — 0.1% |
| |||||||||||
| Republic of Honduras 5.63%, 6/24/2030(b) |
770 | 865 | ||||||||||
|
|
|
|||||||||||
| Hungary — 0.3% |
| |||||||||||
| Hungary Government Bond 7.63%, 3/29/2041 |
1,200 | 2,138 | ||||||||||
|
|
|
|||||||||||
| Indonesia — 0.8% |
||||||||||||
| Republic of Indonesia 6.63%, 2/17/2037(a) |
4,095 | 5,874 | ||||||||||
|
|
|
|||||||||||
| Iraq — 0.5% |
| |||||||||||
| Republic of Iraq |
| |||||||||||
| 6.75%, 3/9/2023(a) |
1,878 | 1,812 | ||||||||||
| 5.80%, 1/15/2028(a) |
1,922 | 1,764 | ||||||||||
|
|
|
|||||||||||
| 3,576 | ||||||||||||
|
|
|
|||||||||||
| Ivory Coast — 1.2% |
| |||||||||||
| Republic of Cote d’Ivoire |
| |||||||||||
| 4.88%, 1/30/2032(b) |
EUR | 1,769 | 2,105 | |||||||||
| 5.75%, 12/31/2032(a)(c) |
295 | 296 | ||||||||||
| 6.13%, 6/15/2033(a) |
1,300 | 1,428 | ||||||||||
| 6.88%, 10/17/2040(a) |
EUR | 3,062 | 4,002 | |||||||||
| 6.63%, 3/22/2048(a) |
EUR | 1,088 | 1,392 | |||||||||
|
|
|
|||||||||||
| 9,223 | ||||||||||||
|
|
|
|||||||||||
| Jamaica — 0.7% |
| |||||||||||
| Jamaica Government Bond |
| |||||||||||
| 9.25%, 10/17/2025 |
1,471 | 1,787 | ||||||||||
| 6.75%, 4/28/2028 |
1,000 | 1,181 | ||||||||||
| 7.88%, 7/28/2045 |
1,912 | 2,581 | ||||||||||
|
|
|
|||||||||||
| 5,549 | ||||||||||||
|
|
|
|||||||||||
| Jordan — 0.8% |
| |||||||||||
| Hashemite Kingdom of Jordan |
| |||||||||||
| 4.95%, 7/7/2025(a) |
800 | 835 | ||||||||||
| 5.75%, 1/31/2027(a) |
2,564 | 2,756 | ||||||||||
| 5.85%, 7/7/2030(b) |
2,310 | 2,466 | ||||||||||
| 5.85%, 7/7/2030(a) |
400 | 427 | ||||||||||
|
|
|
|||||||||||
| 6,484 | ||||||||||||
|
|
|
|||||||||||
| Kenya — 1.4% |
| |||||||||||
| Republic of Kenya |
| |||||||||||
| 6.88%, 6/24/2024(a) |
1,400 | 1,514 | ||||||||||
| 7.00%, 5/22/2027(a) |
1,100 | 1,192 | ||||||||||
| 8.00%, 5/22/2032(a) |
3,146 | 3,592 | ||||||||||
| 8.25%, 2/28/2048(a) |
3,929 | 4,392 | ||||||||||
|
|
|
|||||||||||
| 10,690 | ||||||||||||
|
|
|
|||||||||||
| Lebanon — 0.3% |
| |||||||||||
| Lebanese Republic |
| |||||||||||
| 6.38%, 3/9/2020(d) |
6,767 | 1,015 | ||||||||||
| 6.15%, 6/19/2020(d) |
720 | 90 | ||||||||||
| 6.85%, 3/23/2027(a)(d) |
489 | 61 | ||||||||||
| 6.65%, 11/3/2028(a)(d) |
6,496 | 812 | ||||||||||
| 7.05%, 11/2/2035(a)(d) |
162 | 20 | ||||||||||
|
|
|
|||||||||||
| 1,998 | ||||||||||||
|
|
|
|||||||||||
| Luxembourg — 0.7% |
| |||||||||||
| Ecuador Social Bond SARL Zero Coupon, 1/30/2035(b)(d) |
8,255 | 5,781 | ||||||||||
|
|
|
|||||||||||
| Malaysia — 0.4% |
| |||||||||||
| 1MDB Global Investments Ltd. 4.40%, 3/9/2023(a) |
3,000 | 3,010 | ||||||||||
|
|
|
|||||||||||
| Mexico — 2.4% |
| |||||||||||
| United Mexican States |
| |||||||||||
| 3.75%, 1/11/2028 |
2,800 | 3,094 | ||||||||||
| 4.50%, 1/31/2050 |
5,300 | 6,003 | ||||||||||
| 5.00%, 4/27/2051 |
6,750 | 8,137 | ||||||||||
| 3.77%, 5/24/2061 |
1,075 | 1,071 | ||||||||||
|
|
|
|||||||||||
| 18,305 | ||||||||||||
|
|
|
|||||||||||
| Mongolia — 0.5% |
| |||||||||||
| State of Mongolia |
| |||||||||||
| 8.75%, 3/9/2024(a) |
2,575 | 2,973 | ||||||||||
| 5.13%, 4/7/2026(b) |
700 | 739 | ||||||||||
|
|
|
|||||||||||
| 3,712 | ||||||||||||
|
|
|
|||||||||||
| Morocco — 0.3% |
| |||||||||||
| Kingdom of Morocco 5.50%, 12/11/2042(a) |
1,875 | 2,327 | ||||||||||
|
|
|
|||||||||||
| Nigeria — 2.5% |
| |||||||||||
| Federal Republic of Nigeria |
| |||||||||||
| 6.50%, 11/28/2027(a) |
1,900 | 1,993 | ||||||||||
| 7.14%, 2/23/2030(a) |
2,842 | 2,986 | ||||||||||
| 8.75%, 1/21/2031(a) |
1,700 | 1,921 | ||||||||||
| 7.88%, 2/16/2032(a) |
1,077 | 1,157 | ||||||||||
| 7.70%, 2/23/2038(a) |
1,600 | 1,656 | ||||||||||
| 7.70%, 2/23/2038(b) |
1,514 | 1,567 | ||||||||||
| 7.63%, 11/28/2047(a) |
5,519 | 5,622 | ||||||||||
| 9.25%, 1/21/2049(a) |
2,000 | 2,270 | ||||||||||
|
|
|
|||||||||||
| 19,172 | ||||||||||||
|
|
|
|||||||||||
| Oman — 1.6% |
| |||||||||||
| Sultanate of Oman Government Bond |
| |||||||||||
| 4.75%, 6/15/2026(a) |
5,634 | 5,426 | ||||||||||
| 5.38%, 3/8/2027(a) |
2,313 | 2,263 | ||||||||||
| 5.63%, 1/17/2028(a) |
1,788 | 1,752 | ||||||||||
| 7.38%, 10/28/2032(b) |
2,227 | 2,333 | ||||||||||
| 6.75%, 1/17/2048(a) |
829 | 766 | ||||||||||
|
|
|
|||||||||||
| 12,540 | ||||||||||||
|
|
|
|||||||||||
| Pakistan — 0.6% |
| |||||||||||
| Islamic Republic of Pakistan |
| |||||||||||
| 8.25%, 4/15/2024(a) |
2,591 | 2,794 | ||||||||||
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||||
| 6.88%, 12/5/2027(a) |
1,500 | 1,540 | ||||||||||
|
|
|
|||||||||||
| 4,334 | ||||||||||||
|
|
|
|||||||||||
| Panama — 1.7% |
| |||||||||||
| Notas del Tesoro 3.75%, 4/17/2026 |
4,822 | 5,230 | ||||||||||
| Republic of Panama |
|
|||||||||||
| 9.38%, 4/1/2029 |
1,465 | 2,255 | ||||||||||
| 4.50%, 4/16/2050 |
1,700 | 2,150 | ||||||||||
| 4.50%, 4/1/2056 |
3,070 | 3,888 | ||||||||||
|
|
|
|||||||||||
| 13,523 | ||||||||||||
|
|
|
|||||||||||
| Paraguay — 2.5% |
| |||||||||||
| Republic of Paraguay |
|
|||||||||||
| 4.70%, 3/27/2027(a) |
3,363 | 3,872 | ||||||||||
| 4.95%, 4/28/2031(b) |
2,180 | 2,587 | ||||||||||
| 4.95%, 4/28/2031(a) |
600 | 712 | ||||||||||
| 6.10%, 8/11/2044(a) |
3,822 | 5,060 | ||||||||||
| 5.60%, 3/13/2048(a) |
1,427 | 1,803 | ||||||||||
| 5.40%, 3/30/2050(a) |
4,211 | 5,253 | ||||||||||
|
|
|
|||||||||||
| 19,287 | ||||||||||||
|
|
|
|||||||||||
| Peru — 0.5% |
| |||||||||||
| Republic of Peru 8.75%, 11/21/2033 |
2,150 | 3,574 | ||||||||||
|
|
|
|||||||||||
| Philippines — 0.3% |
| |||||||||||
| Republic of Philippines |
|
|||||||||||
| 0.88%, 5/17/2027 |
EUR | 874 | 1,056 | |||||||||
| 7.75%, 1/14/2031 |
1,104 | 1,693 | ||||||||||
|
|
|
|||||||||||
| 2,749 | ||||||||||||
|
|
|
|||||||||||
| Qatar — 2.2% |
| |||||||||||
| State of Qatar |
|
|||||||||||
| 3.75%, 4/16/2030(a) |
2,600 | 3,045 | ||||||||||
| 5.10%, 4/23/2048(a) |
900 | 1,286 | ||||||||||
| 4.82%, 3/14/2049(a) |
4,692 | 6,488 | ||||||||||
| 4.40%, 4/16/2050(b) |
4,540 | 5,993 | ||||||||||
|
|
|
|||||||||||
| 16,812 | ||||||||||||
|
|
|
|||||||||||
| Romania — 1.6% |
| |||||||||||
| Romania Government Bond |
|
|||||||||||
| 3.62%, 5/26/2030(b) |
EUR | 2,000 | 2,815 | |||||||||
| 3.00%, 2/14/2031(b) |
1,700 | 1,814 | ||||||||||
| 2.63%, 12/2/2040(b) |
EUR | 1,176 | 1,413 | |||||||||
| 4.63%, 4/3/2049(a) |
EUR | 3,272 | 5,106 | |||||||||
| 4.00%, 2/14/2051(a) |
1,188 | 1,299 | ||||||||||
|
|
|
|||||||||||
| 12,447 | ||||||||||||
|
|
|
|||||||||||
| Russia — 1.7% |
| |||||||||||
| Russian Federation |
|
|||||||||||
| 12.75%, 6/24/2028(a) |
1,975 | 3,380 | ||||||||||
| 4.38%, 3/21/2029(a) |
4,800 | 5,559 | ||||||||||
| 5.63%, 4/4/2042(a) |
2,000 | 2,729 | ||||||||||
| 5.88%, 9/16/2043(a) |
1,000 | 1,417 | ||||||||||
|
|
|
|||||||||||
| 13,085 | ||||||||||||
|
|
|
|||||||||||
| Saudi Arabia — 1.0% |
| |||||||||||
| Kingdom of Saudi Arabia |
|
|||||||||||
| 3.25%, 10/22/2030(a) |
1,100 | 1,209 | ||||||||||
| 4.63%, 10/4/2047(a) |
1,100 | 1,376 | ||||||||||
| 5.00%, 4/17/2049(a) |
900 | 1,192 | ||||||||||
| 5.25%, 1/16/2050(a) |
1,921 | 2,637 | ||||||||||
| 3.75%, 1/21/2055(a) |
1,000 | 1,111 | ||||||||||
|
|
|
|||||||||||
| 7,525 | ||||||||||||
|
|
|
|||||||||||
| Senegal — 0.5% |
| |||||||||||
| Republic of Senegal |
|
|||||||||||
| 8.75%, 5/13/2021(a) |
432 | 446 | ||||||||||
| 6.25%, 5/23/2033(a) |
1,000 | 1,103 | ||||||||||
| 6.75%, 3/13/2048(a) |
1,853 | 2,008 | ||||||||||
|
|
|
|||||||||||
| 3,557 | ||||||||||||
|
|
|
|||||||||||
| Serbia — 0.4% |
| |||||||||||
| Republic of Serbia |
|
|||||||||||
| 1.50%, 6/26/2029(b) |
EUR | 1,566 | 1,887 | |||||||||
| 2.13%, 12/1/2030(b) |
1,134 | 1,116 | ||||||||||
|
|
|
|||||||||||
| 3,003 | ||||||||||||
|
|
|
|||||||||||
| South Africa — 1.6% |
| |||||||||||
| Republic of South Africa |
|
|||||||||||
| 4.88%, 4/14/2026 |
1,300 | 1,379 | ||||||||||
| 4.30%, 10/12/2028 |
4,685 | 4,719 | ||||||||||
| 5.88%, 6/22/2030 |
700 | 769 | ||||||||||
| 5.00%, 10/12/2046 |
4,328 | 3,882 | ||||||||||
| 5.75%, 9/30/2049 |
1,946 | 1,872 | ||||||||||
|
|
|
|||||||||||
| 12,621 | ||||||||||||
|
|
|
|||||||||||
| Sri Lanka — 1.0% |
| |||||||||||
| Democratic Socialist Republic of Sri Lanka |
|
|||||||||||
| 6.83%, 7/18/2026(a) |
1,027 | 622 | ||||||||||
| 6.20%, 5/11/2027(a) |
3,761 | 2,210 | ||||||||||
| 6.75%, 4/18/2028(a) |
3,674 | 2,165 | ||||||||||
| 7.85%, 3/14/2029(a) |
3,806 | 2,245 | ||||||||||
| 7.55%, 3/28/2030(a) |
1,100 | 644 | ||||||||||
|
|
|
|||||||||||
| 7,886 | ||||||||||||
|
|
|
|||||||||||
| Tajikistan — 0.0%(e) |
| |||||||||||
| Republic of Tajikistan 7.13%, 9/14/2027(a) |
400 | 322 | ||||||||||
|
|
|
|||||||||||
| Trinidad and Tobago — 0.2% |
| |||||||||||
| Republic of Trinidad and Tobago 4.50%, 6/26/2030(b) |
1,900 | 1,980 | ||||||||||
|
|
|
|||||||||||
| Turkey — 2.9% |
| |||||||||||
| Republic of Turkey |
|
|||||||||||
| 5.75%, 3/22/2024 |
5,900 | 6,033 | ||||||||||
| 5.60%, 11/14/2024 |
2,045 | 2,086 | ||||||||||
| 4.25%, 4/14/2026 |
2,400 | 2,301 | ||||||||||
| 5.25%, 3/13/2030 |
6,670 | 6,443 | ||||||||||
| 4.88%, 4/16/2043 |
5,234 | 4,356 | ||||||||||
| 5.75%, 5/11/2047 |
476 | 427 | ||||||||||
| Turkiye Ihracat Kredi Bankasi A/S 8.25%, 1/24/2024(b) |
610 | 649 | ||||||||||
|
|
|
|||||||||||
| 22,295 | ||||||||||||
|
|
|
|||||||||||
| Ukraine — 3.5% |
| |||||||||||
| Ukraine Government Bond |
|
|||||||||||
| 7.75%, 9/1/2023(a) |
3,958 | 4,296 | ||||||||||
| 8.99%, 2/1/2024(a) |
300 | 335 | ||||||||||
| 7.75%, 9/1/2024(a) |
4,465 | 4,870 | ||||||||||
| 7.75%, 9/1/2025(a) |
4,763 | 5,234 | ||||||||||
| 9.75%, 11/1/2028(a) |
1,100 | 1,309 | ||||||||||
| 7.38%, 9/25/2032(a) |
4,262 | 4,572 | ||||||||||
| 7.25%, 3/15/2033(b) |
3,100 | 3,291 | ||||||||||
| 7.25%, 3/15/2033(a) |
400 | 425 | ||||||||||
| 0.00%, 5/31/2040(a)(f) |
2,597 | 2,575 | ||||||||||
|
|
|
|||||||||||
| 26,907 | ||||||||||||
|
|
|
|||||||||||
| United Arab Emirates — 1.2% |
| |||||||||||
| United Arab Emirates Government Bond |
|
|||||||||||
| 4.13%, 10/11/2047(a) |
3,507 | 4,443 | ||||||||||
| 3.88%, 4/16/2050(b) |
2,400 | 2,976 | ||||||||||
| 4.00%, 7/28/2050(b) |
1,550 | 1,596 | ||||||||||
|
|
|
|||||||||||
| 9,015 | ||||||||||||
|
|
|
|||||||||||
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||||
| Uruguay — 1.8% |
| |||||||||||
| Oriental Republic of Uruguay |
| |||||||||||
| 7.88%, 1/15/2033 |
4,840 | 7,603 | ||||||||||
| 7.63%, 3/21/2036 |
1,773 | 2,811 | ||||||||||
| 4.98%, 4/20/2055 |
2,634 | 3,587 | ||||||||||
|
|
|
|||||||||||
| 14,001 | ||||||||||||
|
|
|
|||||||||||
| Uzbekistan — 0.1% |
| |||||||||||
| Republic of Uzbekistan 4.75%, 2/20/2024(a) |
928 | 993 | ||||||||||
|
|
|
|||||||||||
| Venezuela, Bolivarian Republic of — 0.1% |
| |||||||||||
| Bolivarian Republic of Venezuela |
| |||||||||||
| 12.75%, 8/23/2022(a)(d) |
1,900 | 171 | ||||||||||
| 8.25%, 10/13/2024(a)(d) |
2,590 | 233 | ||||||||||
| 7.65%, 4/21/2025(a)(d) |
2,013 | 181 | ||||||||||
| 9.25%, 5/7/2028(a)(d) |
2,630 | 237 | ||||||||||
|
|
|
|||||||||||
| 822 | ||||||||||||
|
|
|
|||||||||||
| Zambia — 0.2% |
| |||||||||||
| Republic of Zambia |
| |||||||||||
| 5.38%, 9/20/2022(a) |
1,606 | 754 | ||||||||||
| 8.97%, 7/30/2027(a) |
1,651 | 786 | ||||||||||
|
|
|
|||||||||||
| 1,540 | ||||||||||||
|
|
|
|||||||||||
| TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $478,041) |
487,100 | |||||||||||
|
|
|
|||||||||||
| CORPORATE BONDS — 32.3% |
| |||||||||||
| Azerbaijan — 0.7% |
| |||||||||||
| Southern Gas Corridor CJSC 6.88%, 3/24/2026(a) |
600 | 721 | ||||||||||
| State Oil Co. of the Azerbaijan Republic 6.95%, 3/18/2030(a) |
3,525 | 4,409 | ||||||||||
|
|
|
|||||||||||
| 5,130 | ||||||||||||
|
|
|
|||||||||||
| Bahrain — 0.5% |
| |||||||||||
| Oil and Gas Holding Co. BSCC (The) |
||||||||||||
| 7.63%, 11/7/2024(a) |
600 | 661 | ||||||||||
| 8.38%, 11/7/2028(a) |
800 | 921 | ||||||||||
| 8.38%, 11/7/2028(b) |
1,740 | 2,002 | ||||||||||
|
|
|
|||||||||||
| 3,584 | ||||||||||||
|
|
|
|||||||||||
| Belarus — 0.2% |
| |||||||||||
| Development Bank of the Republic of Belarus JSC 6.75%, 5/2/2024(b) |
1,340 | 1,333 | ||||||||||
|
|
|
|||||||||||
| Brazil — 1.9% |
| |||||||||||
| Banco Bradesco SA 3.20%, 1/27/2025(b) |
1,670 | 1,712 | ||||||||||
| Banco do Brasil SA |
|
|||||||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024(a)(g)(h)(i) |
1,848 | 2,037 | ||||||||||
| Klabin Austria GmbH 5.75%, 4/3/2029(a) |
1,882 | 2,161 | ||||||||||
| MV24 Capital BV 6.75%, 6/1/2034(b) |
2,839 | 3,064 | ||||||||||
| Petrobras Global Finance BV 6.90%, 3/19/2049 |
3,074 | 3,710 | ||||||||||
| Votorantim Cimentos International SA 7.25%, 4/5/2041(a) |
1,837 | 2,431 | ||||||||||
|
|
|
|||||||||||
| 15,115 | ||||||||||||
|
|
|
|||||||||||
| Cayman Islands — 0.8% |
| |||||||||||
| Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034(b) |
9,029 | 6,642 | ||||||||||
|
|
|
|||||||||||
| Chile — 2.4% |
| |||||||||||
| Celulosa Arauco y Constitucion SA 4.25%, 4/30/2029(b) |
3,330 | 3,667 | ||||||||||
| Corp. Nacional del Cobre de Chile |
||||||||||||
| 3.75%, 1/15/2031(a) |
2,800 | 3,160 | ||||||||||
| 4.38%, 2/5/2049(a) |
1,296 | 1,575 | ||||||||||
| Empresa de los Ferrocarriles del Estado 3.07%, 8/18/2050(b) |
871 | 843 | ||||||||||
| Empresa de Transporte de Pasajeros Metro SA |
||||||||||||
| 3.65%, 5/7/2030(b) |
1,140 | 1,264 | ||||||||||
| 5.00%, 1/25/2047(a) |
1,370 | 1,744 | ||||||||||
| 4.70%, 5/7/2050(b) |
940 | 1,179 | ||||||||||
| Empresa Nacional del Petroleo |
||||||||||||
| 3.75%, 8/5/2026(a) |
1,301 | 1,393 | ||||||||||
| 5.25%, 11/6/2029(a) |
2,800 | 3,267 | ||||||||||
| 4.50%, 9/14/2047(a) |
900 | 987 | ||||||||||
|
|
|
|||||||||||
| 19,079 | ||||||||||||
|
|
|
|||||||||||
| China — 1.1% |
| |||||||||||
| China Evergrande Group 8.75%, 6/28/2025(a) |
1,700 | 1,309 | ||||||||||
| Chinalco Capital Holdings Ltd. 4.00%, 8/25/2021(a) |
3,092 | 3,121 | ||||||||||
| CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027(a) |
1,925 | 1,983 | ||||||||||
| Minmetals Bounteous Finance BVI Ltd. 4.20%, 7/27/2026(a) |
1,792 | 1,999 | ||||||||||
|
|
|
|||||||||||
| 8,412 | ||||||||||||
|
|
|
|||||||||||
| Colombia — 1.3% |
| |||||||||||
| Ecopetrol SA |
||||||||||||
| 5.88%, 9/18/2023 |
3,205 | 3,569 | ||||||||||
| 5.88%, 5/28/2045 |
3,436 | 4,073 | ||||||||||
| Empresas Publicas de Medellin ESP |
||||||||||||
| 4.25%, 7/18/2029(b) |
2,101 | 2,228 | ||||||||||
| 4.25%, 7/18/2029(a) |
300 | 318 | ||||||||||
|
|
|
|||||||||||
| 10,188 | ||||||||||||
|
|
|
|||||||||||
| Costa Rica — 0.2% |
| |||||||||||
| Instituto Costarricense de Electricidad |
||||||||||||
| 6.95%, 11/10/2021(a) |
900 | 889 | ||||||||||
| 6.38%, 5/15/2043(a) |
802 | 577 | ||||||||||
|
|
|
|||||||||||
| 1,466 | ||||||||||||
|
|
|
|||||||||||
| Croatia — 0.2% |
| |||||||||||
| Hrvatska Elektroprivreda 5.88%, 10/23/2022(a) |
1,800 | 1,951 | ||||||||||
|
|
|
|||||||||||
| Ecuador — 0.2% |
| |||||||||||
| Petroamazonas EP 4.63%, 12/6/2021(b) |
1,696 | 1,561 | ||||||||||
|
|
|
|||||||||||
| Georgia — 0.2% |
| |||||||||||
| Georgian Railway JSC 7.75%, 7/11/2022(a) |
1,891 | 1,980 | ||||||||||
|
|
|
|||||||||||
| Hong Kong — 0.3% |
| |||||||||||
| King Power Capital Ltd. 5.63%, 11/3/2024(a) |
2,260 | 2,577 | ||||||||||
|
|
|
|||||||||||
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||||
| India — 0.4% |
| |||||||||||
| Indian Railway Finance Corp. Ltd. |
|
|||||||||||
| 3.25%, 2/13/2030(b) |
1,850 | 1,962 | ||||||||||
| 3.95%, 2/13/2050(a) |
1,100 | 1,090 | ||||||||||
|
|
|
|||||||||||
| 3,052 | ||||||||||||
|
|
|
|||||||||||
| Indonesia — 3.8% |
| |||||||||||
| Hutama Karya Persero PT 3.75%, 5/11/2030(a) |
1,600 | 1,780 | ||||||||||
| Indonesia Asahan Aluminium Persero PT |
|
|||||||||||
| 6.53%, 11/15/2028(a) |
2,000 | 2,492 | ||||||||||
| 6.53%, 11/15/2028(b) |
518 | 645 | ||||||||||
| 6.76%, 11/15/2048(a) |
4,361 | 5,878 | ||||||||||
| Minejesa Capital BV |
|
|||||||||||
| 4.63%, 8/10/2030(a) |
1,100 | 1,172 | ||||||||||
| 4.63%, 8/10/2030(b) |
1,036 | 1,103 | ||||||||||
| Pertamina Persero PT |
|
|||||||||||
| 3.65%, 7/30/2029(a) |
1,800 | 1,998 | ||||||||||
| 6.45%, 5/30/2044(a) |
1,600 | 2,184 | ||||||||||
| 6.50%, 11/7/2048(a) |
700 | 985 | ||||||||||
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara |
|
|||||||||||
| 4.13%, 5/15/2027(a) |
1,341 | 1,486 | ||||||||||
| 3.88%, 7/17/2029(b) |
1,990 | 2,202 | ||||||||||
| 6.15%, 5/21/2048(b) |
1,100 | 1,461 | ||||||||||
| 6.15%, 5/21/2048(a) |
900 | 1,196 | ||||||||||
| 4.88%, 7/17/2049(a) |
600 | 688 | ||||||||||
| 4.88%, 7/17/2049(b) |
499 | 572 | ||||||||||
| 4.00%, 6/30/2050(b) |
3,470 | 3,593 | ||||||||||
|
|
|
|||||||||||
| 29,435 | ||||||||||||
|
|
|
|||||||||||
| Israel — 0.5% |
| |||||||||||
| Leviathan Bond Ltd. |
|
|||||||||||
| 6.13%, 6/30/2025(a) |
910 | 974 | ||||||||||
| 6.50%, 6/30/2027(a) |
987 | 1,087 | ||||||||||
| 6.75%, 6/30/2030(a) |
1,768 | 1,936 | ||||||||||
|
|
|
|||||||||||
| 3,997 | ||||||||||||
|
|
|
|||||||||||
| Kazakhstan — 2.1% |
| |||||||||||
| Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042(a) |
1,369 | 1,941 | ||||||||||
| KazMunayGas National Co. JSC |
|
|||||||||||
| 4.75%, 4/19/2027(a) |
2,358 | 2,711 | ||||||||||
| 5.38%, 4/24/2030(a) |
900 | 1,105 | ||||||||||
| 3.50%, 4/14/2033(b) |
1,700 | 1,845 | ||||||||||
| 5.75%, 4/19/2047(a) |
2,463 | 3,252 | ||||||||||
| 6.38%, 10/24/2048(a) |
3,804 | 5,417 | ||||||||||
|
|
|
|||||||||||
| 16,271 | ||||||||||||
|
|
|
|||||||||||
| Malaysia — 0.3% |
| |||||||||||
| Petronas Capital Ltd. 4.50%, 3/18/2045(a) |
1,744 | 2,320 | ||||||||||
|
|
|
|||||||||||
| Mexico — 6.7% |
| |||||||||||
| Banco Mercantil del Norte SA |
|
|||||||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), |
2,165 | 2,250 | ||||||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), |
457 | 494 | ||||||||||
| Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025(a) |
1,600 | 1,738 | ||||||||||
| (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), |
1,020 | 1,022 | ||||||||||
| Cemex SAB de CV |
|
|||||||||||
| 5.20%, 9/17/2030(b) |
1,428 | 1,560 | ||||||||||
| 5.20%, 9/17/2030(a) |
400 | 437 | ||||||||||
| Elementia SAB de CV 5.50%, 1/15/2025(a) |
2,075 | 2,099 | ||||||||||
| FEL Energy VI SARL 5.75%, 12/1/2040(b) |
3,626 | 3,815 | ||||||||||
| Petroleos Mexicanos |
|
|||||||||||
| (ICE LIBOR USD 3 Month + 3.65%), 3.90%, 3/11/2022(h) |
2,454 | 2,454 | ||||||||||
| 5.38%, 3/13/2022 |
1,243 | 1,270 | ||||||||||
| 3.50%, 1/30/2023 |
733 | 730 | ||||||||||
| 4.25%, 1/15/2025 |
1,170 | 1,134 | ||||||||||
| 6.88%, 8/4/2026 |
6,769 | 7,006 | ||||||||||
| 5.35%, 2/12/2028 |
4,200 | 3,929 | ||||||||||
| 6.50%, 1/23/2029 |
3,700 | 3,597 | ||||||||||
| 5.95%, 1/28/2031 |
1,849 | 1,719 | ||||||||||
| 7.69%, 1/23/2050 |
10,490 | 9,653 | ||||||||||
| 6.95%, 1/28/2060 |
8,010 | 6,869 | ||||||||||
|
|
|
|||||||||||
| 51,776 | ||||||||||||
|
|
|
|||||||||||
| Panama — 0.9% |
| |||||||||||
| Aeropuerto Internacional de Tocumen SA |
||||||||||||
| 6.00%, 11/18/2048(a) |
1,790 | 2,052 | ||||||||||
| 6.00%, 11/18/2048(b) |
911 | 1,045 | ||||||||||
| AES Panama Generation Holdings SRL 4.38%, 5/31/2030(b) |
1,740 | 1,864 | ||||||||||
| Empresa de Transmision Electrica SA |
||||||||||||
| 5.13%, 5/2/2049(b) |
1,417 | 1,692 | ||||||||||
| 5.13%, 5/2/2049(a) |
400 | 477 | ||||||||||
|
|
|
|||||||||||
| 7,130 | ||||||||||||
|
|
|
|||||||||||
| Peru — 2.1% |
| |||||||||||
| Consorcio Transmantaro SA 4.38%, 5/7/2023(a) |
1,700 | 1,807 | ||||||||||
| Corp. Financiera de Desarrollo SA |
||||||||||||
| 4.75%, 7/15/2025(a) |
640 | 719 | ||||||||||
| 2.40%, 9/28/2027(b) |
1,060 | 1,073 | ||||||||||
| Fondo MIVIVIENDA SA 3.50%, 1/31/2023(a) |
3,092 | 3,235 | ||||||||||
| Lima Metro Line 2 Finance Ltd. 4.35%, 4/5/2036(b) |
1,800 | 1,982 | ||||||||||
| Petroleos del Peru SA |
||||||||||||
| 4.75%, 6/19/2032(a) |
2,885 | 3,260 | ||||||||||
| 5.63%, 6/19/2047(a) |
3,286 | 3,947 | ||||||||||
|
|
|
|||||||||||
| 16,023 | ||||||||||||
|
|
|
|||||||||||
| Russia — 0.8% |
| |||||||||||
| Russian Agricultural Bank OJSC 8.50%, 10/16/2023(a) |
2,312 | 2,601 | ||||||||||
| Vnesheconombank Via VEB Finance plc 5.94%, 11/21/2023(a) |
3,090 | 3,441 | ||||||||||
|
|
|
|||||||||||
| 6,042 | ||||||||||||
|
|
|
|||||||||||
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| Investments |
Principal Amount ($000) |
Value ($000) |
||||||||||
| Saudi Arabia — 0.6% |
| |||||||||||
| Saudi Arabian Oil Co. 3.50%, 4/16/2029(a) |
4,234 | 4,684 | ||||||||||
|
|
|
|||||||||||
| South Africa — 0.9% |
| |||||||||||
| Eskom Holdings SOC Ltd. |
||||||||||||
| 5.75%, 1/26/2021(a) |
1,004 | 998 | ||||||||||
| 6.75%, 8/6/2023(a) |
2,376 | 2,426 | ||||||||||
| 8.45%, 8/10/2028(a) |
1,361 | 1,461 | ||||||||||
| Transnet SOC Ltd. 4.00%, 7/26/2022(a) |
1,900 | 1,899 | ||||||||||
|
|
|
|||||||||||
| 6,784 | ||||||||||||
|
|
|
|||||||||||
| Spain — 0.5% |
| |||||||||||
| AI Candelaria Spain SLU 7.50%, 12/15/2028(a) |
3,352 | 3,754 | ||||||||||
|
|
|
|||||||||||
| Trinidad and Tobago — 0.4% |
| |||||||||||
| Trinidad Petroleum Holdings Ltd. 9.75%, 6/15/2026(b) |
3,112 | 3,502 | ||||||||||
|
|
|
|||||||||||
| Ukraine — 0.1% |
| |||||||||||
| State Savings Bank of Ukraine 9.63%, 3/20/2025(a)(c) |
585 | 619 | ||||||||||
|
|
|
|||||||||||
| United Arab Emirates — 2.1% |
| |||||||||||
| Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047(a) |
2,761 | 3,420 | ||||||||||
| DP World plc 5.63%, 9/25/2048(a) |
1,500 | 1,827 | ||||||||||
| MDGH — GMTN BV |
|
|||||||||||
| 3.75%, 4/19/2029(a) |
1,545 | 1,762 | ||||||||||
| 2.88%, 11/7/2029(b) |
3,365 | 3,609 | ||||||||||
| 3.70%, 11/7/2049(b) |
4,847 | 5,527 | ||||||||||
|
|
|
|||||||||||
| 16,145 | ||||||||||||
|
|
|
|||||||||||
| Venezuela, Bolivarian Republic of — 0.1% |
| |||||||||||
| Petroleos de Venezuela SA |
|
|||||||||||
| 8.50%, 10/27/2020(a)(d) |
1,123 | 225 | ||||||||||
| 9.00%, 11/17/2021(a)(d) |
1,510 | 48 | ||||||||||
| 5.38%, 4/12/2027(a)(d) |
5,758 | 184 | ||||||||||
|
|
|
|||||||||||
| 457 | ||||||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS (Cost $239,238) |
251,009 | |||||||||||
|
|
|
|||||||||||
| U.S. TREASURY OBLIGATIONS — 0.2% |
| |||||||||||
| U.S. Treasury Bonds 8.13%, 5/15/2021(Cost $1,284) |
1,238 | 1,283 | ||||||||||
|
|
|
|||||||||||
| Shares (000) |
||||||||||||
| SHORT-TERM INVESTMENTS — 4.8% |
| |||||||||||
| INVESTMENT COMPANIES — 4.8% |
| |||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(j)(k)(Cost $37,502) |
37,480 | 37,503 | ||||||||||
|
|
|
|||||||||||
| Total Investments — 100.1% (Cost $756,065) |
776,895 | |||||||||||
| Liabilities in Excess of Other Assets — (0.1)% |
(445 | ) | ||||||||||
|
|
|
|||||||||||
| Net Assets — 100.0% |
776,450 | |||||||||||
|
|
|
|||||||||||
Percentages indicated are based on net assets.
Abbreviations
| CJSC | Closed Joint Stock Company | |
| 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) | 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 November 30, 2020. |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
| (d) | Defaulted security. | |
| (e) | Amount rounds to less than 0.1% of net assets. | |
| (f) | 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 November 30, 2020. | |
| (g) | 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 November 30, 2020. | |
| (h) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2020. | |
| (i) | Security is an interest bearing note with preferred security characteristics. | |
| (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 November 30, 2020. |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Forward foreign currency exchange contracts outstanding as of November 30, 2020 (amounts in thousands):
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) ($) |
||||||||||||||
| USD |
3,510 | EUR | 2,934 | BNP Paribas | 12/22/2020 | 7 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation | 7 | |||||||||||||||||
|
|
|
|||||||||||||||||
| USD |
5,880 | COP | 21,383,676 | Goldman Sachs International** | 12/22/2020 | (60 | ) | |||||||||||
| USD |
1,180 | EUR | 990 | BNP Paribas | 12/22/2020 | (1 | ) | |||||||||||
| USD |
14,181 | EUR | 11,952 | Citibank, NA | 12/22/2020 | (86 | ) | |||||||||||
| USD |
1,099 | EUR | 924 | State Street Corp. | 12/22/2020 | (4 | ) | |||||||||||
|
|
|
|||||||||||||||||
| Total unrealized depreciation | (151 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
| Net unrealized depreciation | (144 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
Abbreviations
| COP | Colombian Peso | |
| EUR | Euro | |
| USD | United States Dollar |
| ** | Non-deliverable forward. |
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 |
$ | — | $ | 251,009 | $ | — | $ | 251,009 | ||||||||
| Foreign Government Securities |
— | 487,100 | — | 487,100 | ||||||||||||
| U.S. Treasury Obligations |
— | 1,283 | — | 1,283 | ||||||||||||
| Short-Term Investments |
|
|||||||||||||||
| Investment Companies |
37,503 | — | — | 37,503 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 37,503 | $ | 739,392 | $ | — | $ | 776,895 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Currency Contracts |
$ | — | $ | 7 | $ | — | $ | 7 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (151 | ) | $ | — | $ | (151 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
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 November 30, 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 November 30, 2020 |
Shares at November 30, 2020 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(a)(b) |
$ | 26,905 | $ | 574,011 | $ | 563,404 | $ | (6 | ) | $ | (3 | ) | $ | 37,503 | 37,480 | $ | 112 | $ | — | |||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares(a) |
900 | 886 | 1,786 | — | — | — | — | 1 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 27,805 | $ | 574,897 | $ | 565,190 | $ | (6 | ) | $ | (3 | ) | $ | 37,503 | $ | 113 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by |
| (b) | The rate shown is the current yield as of November 30, 2020. |
JPMorgan Emerging Markets Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 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.