NPORT-EX 2 HG_EMSD.htm HTML

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

FOREIGN GOVERNMENT SECURITIES - 65.2%

 

Angola - 1.5%

 

Republic of Angola

 

   

9.50%, 11/12/2025(a)

         1,100        1,169  

8.00%, 11/26/2029(b)

         5,060        4,995  

8.00%, 11/26/2029(a)

         1,200        1,185  

9.38%, 5/8/2048(a)

         2,806        2,772  
        

 

 

  
        10,121  
     

 

 

  

Argentina - 1.2%

 

Argentine Republic

 

   

1.00%, 7/9/2029

         415        171  

0.12%, 7/9/2030(c)

         5,717        2,180  

0.12%, 7/9/2035(c)

         8,940        3,059  

0.12%, 1/9/2038(c)

         1,979        773  

0.12%, 7/9/2041(c)

         4,050        1,462  
        

 

 

  
        7,645  
     

 

 

  

Armenia - 0.4%

 

Republic of Armenia

 

   

3.95%, 9/26/2029(b)

         390        395  

3.60%, 2/2/2031(b)

         2,400        2,320  
        

 

 

  
        2,715  
     

 

 

  

Azerbaijan - 0.1%

 

Republic of Azerbaijan

 

   

3.50%, 9/1/2032(a)

         500        523  
        

 

 

  

Bahrain - 2.2%

 

Kingdom of Bahrain

 

   

6.13%, 8/1/2023(a)

         500        537  

7.00%, 1/26/2026(a)

         6,300        7,278  

7.00%, 10/12/2028(a)

         710        820  

6.75%, 9/20/2029(a)

         3,094        3,483  

5.45%, 9/16/2032(a)

         1,150        1,169  

6.00%, 9/19/2044(a)

         650        640  

7.50%, 9/20/2047(a)

         600        673  
        

 

 

  
        14,600  
     

 

 

  

Belarus - 1.4%

 

Republic of Belarus

 

   

6.88%, 2/28/2023(a)

         450        466  

6.38%, 2/24/2031(b)

         8,670        8,791  
        

 

 

  
        9,257  
     

 

 

  

Benin - 0.3%

 

Benin Government Bond

 

   

6.88%, 1/19/2052(b)

      EUR        1,363        1,737  
        

 

 

  

Bermuda - 0.3%

 

Bermuda Government Bond

 

   

4.85%, 2/6/2024(a)

         643        714  

3.72%, 1/25/2027(a)

         250        278  

2.38%, 8/20/2030(b)

         524        539  

3.38%, 8/20/2050(b)

         612        649  
        

 

 

  
        2,180  
     

 

 

  

Bolivia, Plurinational State of - 0.1%

 

Plurinational State of Bolivia

 

   

4.50%, 3/20/2028(a)

         1,000        907  
        

 

 

  

Brazil - 0.9%

 

Federative Republic of Brazil

 

   

2.88%, 6/6/2025

         760        785  

3.88%, 6/12/2030

         640        658  

5.63%, 1/7/2041

         4,250        4,717  
        

 

 

  
        6,160  
     

 

 

  

Colombia - 2.0%

 

Republic of Colombia

 

   

4.50%, 3/15/2029

         2,050        2,334  

3.13%, 4/15/2031

         700        721  

5.00%, 6/15/2045

         7,141        8,266  

4.13%, 5/15/2051

         613        641  

Titulos de Tesoreria

 

   

Series B, 7.25%, 10/26/2050

      COP        3,700,000        1,086  
        

 

 

  
        13,048  
     

 

 

  

Costa Rica - 0.6%

 

Republic of Costa Rica

 

   

4.25%, 1/26/2023(a)

         450        443  

6.13%, 2/19/2031(a)

         1,300        1,301  

5.63%, 4/30/2043(a)

         2,850        2,532  
        

 

 

  
        4,276  
     

 

 

  

Dominican Republic - 4.0%

 

Dominican Republic Government Bond

 

   

6.88%, 1/29/2026(a)

         6,200        7,324  

4.50%, 1/30/2030(b)

         4,050        4,220  

4.50%, 1/30/2030(a)

         250        260  

4.88%, 9/23/2032(b)

         4,520        4,803  

5.30%, 1/21/2041(b)

         739        761  

6.50%, 2/15/2048(a)

         200        226  

6.40%, 6/5/2049(a)

         3,270        3,644  

6.40%, 6/5/2049(b)

         2,040        2,273  

5.88%, 1/30/2060(b)

         3,210        3,345  
        

 

 

  
        26,856  
     

 

 

  

Ecuador - 1.0%

 

Republic of Ecuador

 

   

Zero Coupon, 7/31/2030(b)

         429        185  

0.50%, 7/31/2030(b)(c)

         3,627        1,944  

0.50%, 7/31/2035(b)(c)

         6,425        2,952  

0.50%, 7/31/2040(b)(c)

         4,198        1,838  
        

 

 

  
        6,919  
     

 

 

  

Egypt - 4.0%

 

Arab Republic of Egypt

 

   

14.31%, 10/13/2023

      EGP        21,000        1,347  

5.75%, 5/29/2024(b)

         2,900        3,118  

5.88%, 6/11/2025(a)

         500        543  

7.50%, 1/31/2027(a)

         3,150        3,631  

6.59%, 2/21/2028(a)

         3,000        3,247  

7.05%, 1/15/2032(b)

         2,640        2,815  

8.50%, 1/31/2047(a)

         1,233        1,351  

8.88%, 5/29/2050(a)

         8,350        9,438  

8.15%, 11/20/2059(b)

         900        954  
        

 

 

  
        26,444  
     

 

 

  

El Salvador - 1.4%

 

Republic of El Salvador

 

   

7.75%, 1/24/2023(a)

         75        76  

5.88%, 1/30/2025(a)

         620        604  

8.63%, 2/28/2029(a)

         2,270        2,372  

7.63%, 2/1/2041(a)

         2,100        2,016  

7.12%, 1/20/2050(a)

         3,650        3,376  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

9.50%, 7/15/2052(b)

         810        849  
        

 

 

  
        9,293  
     

 

 

  

Ethiopia - 0.4%

 

Federal Democratic Republic of Ethiopia

 

   

6.63%, 12/11/2024(a)

         3,067        2,873  
        

 

 

  

Gabon - 0.2%

 

Gabonese Republic

 

   

6.38%, 12/12/2024(a)

         359        374  

6.95%, 6/16/2025(a)

         402        429  

6.63%, 2/6/2031(b)

         500        493  
        

 

 

  
        1,296  
     

 

 

  

Ghana - 1.3%

 

Republic of Ghana

 

   

7.63%, 5/16/2029(a)

         2,850        3,001  

10.75%, 10/14/2030(a)

         770        1,019  

8.13%, 3/26/2032(a)

         2,100        2,194  

8.63%, 6/16/2049(a)

         2,550        2,550  
        

 

 

  
        8,764  
     

 

 

  

Guatemala - 0.8%

 

Republic of Guatemala

 

   

4.90%, 6/1/2030(b)

         2,100        2,367  

5.38%, 4/24/2032(b)

         600        707  

6.13%, 6/1/2050(b)

         1,650        2,035  
        

 

 

  
        5,109  
     

 

 

  

Honduras - 0.0%(d)

 

Republic of Honduras

 

   

5.63%, 6/24/2030(b)

         280        314  
        

 

 

  

Hungary - 0.2%

 

Hungary Government Bond

 

   

7.63%, 3/29/2041

         674        1,174  
        

 

 

  

Indonesia - 0.2%

 

Republic of Indonesia

 

   

7.38%, 5/15/2048

      IDR        16,000,000        1,183  
        

 

 

  

Iraq - 0.4%

 

Republic of Iraq

 

   

5.80%, 1/15/2028(a)

         2,931        2,763  
        

 

 

  

Ivory Coast - 1.5%

 

Republic of Cote d’Ivoire

 

   

6.38%, 3/3/2028(a)

         1,300        1,457  

4.88%, 1/30/2032(b)

      EUR        308        383  

6.13%, 6/15/2033(a)

         1,289        1,417  

6.88%, 10/17/2040(a)

      EUR        4,650        6,347  

6.63%, 3/22/2048(a)

      EUR        400        527  
        

 

 

  
        10,131  
     

 

 

  

Jamaica - 1.0%

 

Jamaica Government Bond

 

   

6.75%, 4/28/2028

         2,750        3,286  

8.00%, 3/15/2039

         711        1,012  

7.88%, 7/28/2045

         1,605        2,255  
        

 

 

  
        6,553  
     

 

 

  

Jordan - 1.0%

 

Hashemite Kingdom of Jordan

 

   

5.75%, 1/31/2027(a)

         650        719  

5.85%, 7/7/2030(b)

         5,170        5,674  
        

 

 

  
        6,393  
     

 

 

  

Kazakhstan - 1.2%

 

Republic of Kazakhstan

 

   

Zero Coupon, 1/20/2022(b)

      KZT        999,677        2,166  

1.50%, 9/30/2034(a)

      EUR        4,550        5,744  
        

 

 

  
        7,910  
     

 

 

  

Kenya - 1.4%

 

Republic of Kenya

 

   

6.88%, 6/24/2024(a)

         3,950        4,351  

8.00%, 5/22/2032(a)

         1,050        1,206  

8.25%, 2/28/2048(a)

         3,450        3,894  
        

 

 

  
        9,451  
     

 

 

  

Lebanon - 0.1%

 

Lebanese Republic

 

   

6.38%, 3/9/2020(e)

         3,165        379  

6.15%, 6/19/2020(e)

         1,450        170  

6.65%, 2/26/2030(a)(e)

         708        81  
        

 

 

  
        630  
     

 

 

  

Malaysia - 0.2%

 

1MDB Global Investments Ltd.

 

   

4.40%, 3/9/2023(a)

         1,400        1,403  
        

 

 

  

Mexico - 2.9%

 

Mex Bonos Desarr Fix Rt

 

   

7.75%, 11/13/2042

      MXN        87,000        4,779  

United Mexican States

 

   

3.75%, 1/11/2028

         2,150        2,386  

4.50%, 4/22/2029

         2,700        3,114  

4.75%, 3/8/2044

         250        282  

4.60%, 2/10/2048

         750        826  

3.77%, 5/24/2061

         5,998        5,771  

3.75%, 4/19/2071

         1,653        1,549  

5.75%, 10/12/2110

         400        496  
        

 

 

  
        19,203  
     

 

 

  

Morocco - 0.8%

 

Kingdom of Morocco

 

   

1.50%, 11/27/2031(a)

      EUR        2,000        2,392  

3.00%, 12/15/2032(b)

         693        697  

5.50%, 12/11/2042(a)

         1,382        1,706  

4.00%, 12/15/2050(b)

         456        464  
        

 

 

  
        5,259  
     

 

 

  

Mozambique - 0.1%

 

Republic of Mozambique

 

   

5.00%, 9/15/2031(b)(c)

         700        632  
        

 

 

  

Nigeria - 3.2%

 

Federal Republic of Nigeria

 

   

7.63%, 11/21/2025(a)

         3,650        4,178  

6.50%, 11/28/2027(a)

         1,000        1,076  

7.14%, 2/23/2030(a)

         300        321  

7.88%, 2/16/2032(a)

         6,264        6,840  

7.70%, 2/23/2038(a)

         1,300        1,363  

7.63%, 11/28/2047(a)

         6,950        7,221  
        

 

 

  
        20,999  
     

 

 

  

Oman - 2.2%

 

Sultanate of Oman Government Bond

 

   

4.88%, 2/1/2025(b)

         4,507        4,718  

5.38%, 3/8/2027(a)

         3,244        3,339  

6.00%, 8/1/2029(a)

         209        219  

6.25%, 1/25/2031(b)

         2,750        2,919  

6.75%, 1/17/2048(a)

         2,722        2,687  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

7.00%, 1/25/2051(b)

         513        520  
        

 

 

  
        14,402  
     

 

 

  

Panama - 1.2%

 

Republic of Panama

 

   

3.88%, 3/17/2028

         2,100        2,370  

4.50%, 4/1/2056

         1,080        1,320  

3.87%, 7/23/2060

         4,000        4,429  
        

 

 

  
        8,119  
     

 

 

  

Paraguay - 1.2%

 

Republic of Paraguay

 

   

2.74%, 1/29/2033(b)

         769        783  

6.10%, 8/11/2044(a)

         1,368        1,799  

5.40%, 3/30/2050(b)

         4,325        5,382  
        

 

 

  
        7,964  
     

 

 

  

Peru - 0.1%

 

Republic of Peru

 

   

5.94%, 2/12/2029(b)

      PEN        670        224  

5.63%, 11/18/2050

         450        687  
        

 

 

  
        911  
     

 

 

  

Philippines - 1.3%

 

Republic of Philippines

 

   

7.75%, 1/14/2031

         850        1,303  

3.70%, 2/2/2042

         1,450        1,650  

2.95%, 5/5/2045

         5,650        5,844  
        

 

 

  
        8,797  
     

 

 

  

Qatar - 1.0%

 

State of Qatar

 

   

4.63%, 6/2/2046(a)

         500        643  

4.82%, 3/14/2049(a)

         2,750        3,683  

4.40%, 4/16/2050(b)

         1,570        2,002  
        

 

 

  
        6,328  
     

 

 

  

Romania - 1.9%

 

Romania Government Bond

 

   

3.62%, 5/26/2030(b)

      EUR        1,650        2,383  

2.63%, 12/2/2040(b)

      EUR        1,454        1,835  

4.63%, 4/3/2049(a)

      EUR        5,239        8,525  
        

 

 

  
        12,743  
     

 

 

  

Russia - 2.4%

 

Russian Federation

 

   

12.75%, 6/24/2028(a)

         3,900        6,606  

7.25%, 5/10/2034

      RUB        110,000        1,539  

5.10%, 3/28/2035(a)

         2,000        2,491  

5.88%, 9/16/2043(a)

         1,200        1,686  

5.25%, 6/23/2047(a)

         2,600        3,488  
        

 

 

  
        15,810  
     

 

 

  

Saudi Arabia - 1.2%

 

Kingdom of Saudi Arabia

 

   

4.38%, 4/16/2029(a)

         850        999  

2.25%, 2/2/2033(b)

         1,502        1,486  

4.50%, 10/26/2046(a)

         1,460        1,715  

5.00%, 4/17/2049(a)

         400        506  

4.50%, 4/22/2060(b)

         1,200        1,443  

3.45%, 2/2/2061(b)

         1,980        1,978  
        

 

 

  
        8,127  
     

 

 

  

Senegal - 0.7%

 

Republic of Senegal

 

   

6.25%, 7/30/2024(a)

         1,900        2,101  

6.75%, 3/13/2048(a)

         2,650        2,822  
        

 

 

  
        4,923  
     

 

 

  

Serbia - 1.6%

 

Republic of Serbia

 

   

4.50%, 1/11/2026

      RSD        239,890        2,714  

5.88%, 2/8/2028

      RSD        50,000        617  

1.50%, 6/26/2029(b)

      EUR        5,100        6,321  

2.13%, 12/1/2030(b)

         1,288        1,246  
        

 

 

  
        10,898  
     

 

 

  

South Africa - 3.1%

 

Republic of South Africa

 

   

4.88%, 4/14/2026

         2,200        2,368  

4.85%, 9/30/2029

         4,750        4,913  

8.88%, 2/28/2035

      ZAR        87,000        5,092  

5.00%, 10/12/2046

         1,150        1,042  

8.75%, 2/28/2048

      ZAR        57,000        3,094  

5.75%, 9/30/2049

         4,610        4,423  
        

 

 

  
        20,932  
     

 

 

  

Sri Lanka - 1.1%

 

Democratic Socialist Republic of Sri Lanka

 

   

5.75%, 4/18/2023(a)

         1,750        1,147  

6.35%, 6/28/2024(b)

         520        330  

6.85%, 11/3/2025(a)

         1,700        1,057  

6.20%, 5/11/2027(a)

         2,350        1,408  

6.75%, 4/18/2028(a)

         458        275  

7.85%, 3/14/2029(a)

         4,560        2,753  
        

 

 

  
        6,970  
     

 

 

  

Trinidad and Tobago - 0.5%

 

Republic of Trinidad and Tobago

 

   

4.50%, 6/26/2030(b)

         3,080        3,289  
        

 

 

  

Turkey - 2.5%

 

Republic of Turkey

 

   

5.75%, 3/22/2024

         1,250        1,315  

4.25%, 4/14/2026

         3,350        3,320  

5.13%, 2/17/2028

         2,950        2,979  

7.63%, 4/26/2029

         750        864  

5.95%, 1/15/2031

         1,350        1,384  

4.88%, 4/16/2043

         7,587        6,411  

Turkiye Ihracat Kredi Bankasi A/S

 

   

8.25%, 1/24/2024(b)

         340        368  
        

 

 

  
        16,641  
     

 

 

  

Ukraine - 3.8%

 

Ukraine Government Bond

 

   

7.75%, 9/1/2023(a)

         4,250        4,630  

8.99%, 2/1/2024(a)

         5,700        6,413  

7.75%, 9/1/2024(a)

         1,150        1,266  

15.84%, 2/26/2025(a)

      UAH        45,620        1,808  

7.75%, 9/1/2025(a)

         2,800        3,121  

7.75%, 9/1/2027(a)

         713        797  

7.25%, 3/15/2033(a)

         6,700        7,125  
        

 

 

  
        25,160  
     

 

 

  

United Arab Emirates - 0.4%

 

United Arab Emirates Government Bond

 

   

4.13%, 10/11/2047(a)

         1,550        1,907  

4.00%, 7/28/2050(b)

         710        714  
        

 

 

  
           2,621  
        

 

 

  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

Uruguay - 0.4%

 

Oriental Republic of Uruguay

                      

7.88%, 1/15/2033

         900        1,431  

4.98%, 4/20/2055

         1,060        1,413  
        

 

 

  
           2,844  
        

 

 

  

Venezuela, Bolivarian Republic of - 0.1%

 

Bolivarian Republic of Venezuela

         

7.75%, 10/13/2019(a)(e)

         91        8  

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

         1,470        136  

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

         2,130        197  
        

 

 

  
           341  
        

 

 

  

Zambia - 0.2%

 

Republic of Zambia

         

5.38%, 9/20/2022(a)

         650        331  

8.97%, 7/30/2027(a)

         2,045        1,064  
        

 

 

  
           1,395  
        

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES

(Cost $433,215)

 

 

      433,936  
  

 

 

  

CORPORATE BONDS - 24.8%

 

Azerbaijan - 0.8%

 

State Oil Co. of the Azerbaijan Republic

         

6.95%, 3/18/2030(a)

         3,950        5,029  
        

 

 

  

Bahrain - 0.3%

 

Oil and Gas Holding Co. BSCC (The)

         

7.63%, 11/7/2024(b)

         500        559  

8.38%, 11/7/2028(b)

         1,100        1,287  
        

 

 

  
           1,846  
        

 

 

  

Belarus - 0.1%

 

Development Bank of the Republic of Belarus JSC

         

6.75%, 5/2/2024(b)

         870        885  
        

 

 

  

Brazil - 3.0%

 

Banco do Estado do Rio Grande do Sul SA

 

   

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.93%), 5.38%, 1/28/2031(b)(f)

         2,080        2,071  

GUSAP III LP

         

4.25%, 1/21/2030(a)

         3,000        3,275  

Klabin Austria GmbH

         

5.75%, 4/3/2029(a)

         2,700        3,105  

Movida Europe SA

         

5.25%, 2/8/2031(b)

         1,370        1,370  

Petrobras Global Finance BV

         

6.90%, 3/19/2049

         3,650        4,373  

Prumo Participacoes e Investimentos S/A

         

7.50%, 12/31/2031(b)

         413        463  

Simpar Europe SA

         

5.20%, 1/26/2031(b)

         1,821        1,830  

Suzano Austria GmbH

         

6.00%, 1/15/2029

         2,750        3,290  
        

 

 

  
           19,777  
        

 

 

  

Cayman Islands - 0.4%

 

Bioceanico Sovereign Certificate Ltd.

 

   

Zero Coupon, 6/5/2034(b)

         3,356        2,591  
        

 

 

  

Chile - 1.7%

 

Celulosa Arauco y Constitucion SA

         

4.25%, 4/30/2029(b)

         5,050        5,662  

Corp. Nacional del Cobre de Chile

         

4.38%, 2/5/2049(a)

         570        674  

Empresa de los Ferrocarriles del Estado

         

3.07%, 8/18/2050(b)

         376        350  

Empresa de Transporte de Pasajeros Metro SA

         

5.00%, 1/25/2047(a)

         400        501  

Empresa Nacional del Petroleo

         

5.25%, 11/6/2029(b)

         2,750        3,234  

4.50%, 9/14/2047(a)

         400        439  

Kenbourne Invest SA

         

4.70%, 1/22/2028(b)

         745        754  
        

 

 

  
           11,614  
        

 

 

  

China - 1.4%

 

Avi Funding Co. Ltd.

         

3.80%, 9/16/2025(a)

         900        1,004  

Chinalco Capital Holdings Ltd.

         

4.00%, 8/25/2021(a)

         1,100        1,109  

Country Garden Holdings Co. Ltd.

         

3.88%, 10/22/2030(a)

         1,920        1,994  

Minmetals Bounteous Finance BVI Ltd.

         

4.20%, 7/27/2026(a)

         450        501  

New Metro Global Ltd.

         

6.50%, 5/20/2022(a)

         720        740  

RKPF Overseas 2019 A Ltd.

         

6.00%, 9/4/2025(a)

         1,900        1,959  

Sunac China Holdings Ltd.

         

7.00%, 7/9/2025(a)

         1,940        1,974  
        

 

 

  
           9,281  
        

 

 

  

Colombia - 1.4%

 

Ecopetrol SA

         

6.88%, 4/29/2030

         1,900        2,364  

5.88%, 5/28/2045

         2,840        3,230  

Empresas Publicas de Medellin ESP

         

4.25%, 7/18/2029(b)

         1,520        1,608  

4.38%, 2/15/2031(a)

         1,840        1,949  
        

 

 

  
           9,151  
        

 

 

  

Congo, Democratic Republic of the - 0.1%

 

HTA Group Ltd.

         

7.00%, 12/18/2025(b)

         746        794  
        

 

 

  

Costa Rica - 0.2%

 

Instituto Costarricense de Electricidad

         

6.95%, 11/10/2021(a)

         600        609  

6.38%, 5/15/2043(a)

         500        422  
        

 

 

  
           1,031  
        

 

 

  

Ecuador - 0.1%

 

Petroamazonas EP

 

   

4.63%, 12/6/2021(b)

         1,001        921  
        

 

 

  

El Salvador - 0.1%

 

AES El Salvador Trust II

         

6.75%, 3/28/2023(a)

         800        763  

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Investments

                    Principal  
  Amount  
  ($000)  		      Value ($000)   

Georgia - 0.1%

 

Georgian Railway JSC

         

7.75%, 7/11/2022(a)

         750        795  
        

 

 

  

Guatemala - 0.1%

 

Banco Industrial SA

 

   

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.44%), 4.88%, 1/29/2031(b)(f)

         590        603  
        

 

 

  

Indonesia - 2.4%

 

Indonesia Asahan Aluminium Persero PT

         

6.76%, 11/15/2048(a)

         3,400        4,531  

Pertamina Persero PT

         

5.63%, 5/20/2043(a)

         1,820        2,237  

4.70%, 7/30/2049(a)

         388        436  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara

         

4.13%, 5/15/2027(a)

         600        661  

3.88%, 7/17/2029(b)

         1,940        2,112  

5.25%, 5/15/2047(a)

         500        582  

4.88%, 7/17/2049(b)

         4,678        5,264  
        

 

 

  
           15,823  
        

 

 

  

Israel - 0.3%

 

Leviathan Bond Ltd.         

6.13%, 6/30/2025(a)

         661        728  

6.50%, 6/30/2027(a)

         717        805  

6.75%, 6/30/2030(a)

         413        470  
        

 

 

  
           2,003  
        

 

 

  

Kazakhstan - 1.0%

 

Kazakhstan Temir Zholy Finance BV

         

6.95%, 7/10/2042(a)

         386        566  

KazMunayGas National Co. JSC

         

4.75%, 4/19/2027(a)

         1,000        1,158  

5.75%, 4/19/2047(a)

         1,448        1,863  

KazTransGas JSC

         

4.38%, 9/26/2027(a)

         1,200        1,371  

Tengizchevroil Finance Co. International Ltd.

         

3.25%, 8/15/2030(a)

         1,300        1,353  
        

 

 

  
           6,311  
        

 

 

  

Kuwait - 0.2%

 

MEGlobal Canada ULC

         

5.00%, 5/18/2025(a)

         1,160        1,293  
        

 

 

  

Malaysia - 0.2%

 

Petronas Capital Ltd.

         

4.50%, 3/18/2045(a)

         1,150        1,483  
        

 

 

  

Mexico - 4.5%

 

Banco Mercantil del Norte SA

 

   

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

         394        459  

Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025(a)

         500        554  

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

         500        500  

Cemex SAB de CV

         

3.88%, 7/11/2031(b)

         1,460        1,460  

FEL Energy VI Sarl

         

5.75%, 12/1/2040(a)

         1,380        1,435  

Petroleos Mexicanos

 

   

(ICE LIBOR USD 3 Month + 3.65%), 3.87%, 3/11/2022(f)

         799        808  

5.38%, 3/13/2022

         1,300        1,336  

3.50%, 1/30/2023

         500        506  

6.49%, 1/23/2027

         4,103        4,226  

5.35%, 2/12/2028

         6,020        5,750  

6.75%, 9/21/2047

         831        725  

7.69%, 1/23/2050

         10,752        10,147  

6.95%, 1/28/2060

         2,209        1,922  
        

 

 

  
           29,828  
        

 

 

  

Morocco - 0.7%

 

OCP SA

         

6.88%, 4/25/2044(a)

         3,450        4,490  
        

 

 

  

Panama - 1.1%

 

Aeropuerto Internacional de Tocumen SA

         

6.00%, 11/18/2048(a)

         694        834  

AES Panama Generation Holdings SRL

         

4.38%, 5/31/2030(a)

         3,100        3,321  

4.38%, 5/31/2030(b)

         1,450        1,553  

Banco Nacional de Panama

         

2.50%, 8/11/2030(b)

         866        864  

Empresa de Transmision Electrica SA

 

5.13%, 5/2/2049(b)

         850        1,044  
        

 

 

  
           7,616  
        

 

 

  

Peru - 1.2%

 

Nexa Resources SA

 

6.50%, 1/18/2028(b)

         1,320        1,534  

Peru LNG Srl

         

5.38%, 3/22/2030(a)

         1,980        1,775  

Petroleos del Peru SA

         

4.75%, 6/19/2032(a)

         2,100        2,378  

5.63%, 6/19/2047(a)

         2,000        2,385  
        

 

 

  
           8,072  
        

 

 

  

Saudi Arabia - 0.8%

 

Saudi Arabian Oil Co.

 

3.50%, 4/16/2029(a)

         4,200        4,614  

3.50%, 11/24/2070(b)

         1,007        974  
        

 

 

  
        5,588  
     

 

 

  

South Africa - 0.9%

 

Eskom Holdings SOC Ltd.

 

6.75%, 8/6/2023(a)

         3,900        4,075  

8.45%, 8/10/2028(a)

         835        939  

Transnet SOC Ltd.

 

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Investments

             Principal  
  Amount  
  ($000)  		      Value ($000)   

4.00%, 7/26/2022(a)

         600        612  
     

 

 

  
        5,626  
     

 

 

  

Trinidad and Tobago - 0.1%

 

Trinidad Petroleum Holdings Ltd.

 

9.75%, 6/15/2026(b)

         800        914  
        

 

 

  

Tunisia - 0.4%

 

Banque Centrale de Tunisie International Bond

 

5.63%, 2/17/2024(a)

      EUR        2,268        2,524  
        

 

 

  

Turkey - 0.0%(d)

 

Ronesans Gayrimenkul Yatirim A/S

 

7.25%, 4/26/2023(b)

         281        260  
        

 

 

  

Ukraine - 0.0%(d)

 

State Savings Bank of Ukraine

 

9.63%, 3/20/2025(a)(c)

         270        289  
        

 

 

  

United Arab Emirates - 1.2%

 

Abu Dhabi Crude Oil Pipeline LLC

 

4.60%, 11/2/2047(a)

         850        1,028  

EA Partners I BV

 

6.88%, 9/28/2020(a)(e)

         2,751        47  

EA Partners II BV

 

6.75%, 6/1/2021(a)(e)

         1,076        441  

MDGH - GMTN BV

 

3.70%, 11/7/2049(b)

         5,850        6,410  
     

 

 

  
        7,926  
     

 

 

  

Venezuela, Bolivarian Republic of - 0.0%(d)

 

Petroleos de Venezuela SA

 

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

         624        134  

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

         1,240        43  

12.75%, 2/17/2022(a)(e)

         770        27  

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

         730        26  
     

 

 

  
        230  
     

 

 

  

TOTAL CORPORATE BONDS

(Cost $165,797)

            165,357  
        

 

 

  

SUPRANATIONAL - 0.1%

 

Banque Ouest Africaine de Developpement

 

2.75%, 1/22/2033(b)(Cost $396)

      EUR        329        410  
        

 

 

  

OPTIONS PURCHASED - 0.0%(d)

 

Call Options Purchased - 0.0%(d)

 

United States - 0.0%(d)

 

Foreign Exchange USD/ZAR

 

2/19/2021 at USD 17.00, Vanilla, European Style Notional Amount: USD 13,544 Counterparty: Citibank, NA*

         13,544        9  
        

 

 

  

TOTAL OPTIONS PURCHASED

(Cost $139)

 

 

         9  
     

 

 

  

Investments

           Shares (000)      Value ($000)  

SHORT-TERM INVESTMENTS - 4.7%

 

INVESTMENT COMPANIES - 4.7%

         

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.11%(i)(j)(Cost $31,576)

 

      31,560        31,579  
     

 

 

  

Total Investments - 94.8%
(Cost $631,123)

 

      631,291  

Other Assets Less Liabilities - 5.2%

 

      34,289  
        

 

 

  

Net Assets - 100.0%

 

      665,580  
        

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Abbreviations

COP

    Colombian Peso

EGP

    Egyptian Pound

EUR

    Euro

GMTN

    Global medium term note

ICE

    Intercontinental Exchange

IDR

    Indonesian Rupiah

JSC

    Joint Stock Company

LIBOR

    London Interbank Offered Rate

MXN

    Mexican Peso

PEN

    Peruvian Nuevo Sol

PT

    Limited liability company

RSD

    Serbian dinar

RUB

    Russian Ruble

UAH

    Ukrainian Hryvnia

USD

    United States Dollar

ZAR

    South African Rand

 

(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 January 31, 2021.
(d)    Amount rounds to less than 0.1% of net assets.
(e)    Defaulted security.
(f)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of January 31, 2021.
(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 January 31, 2021.
(h)    Security is an interest bearing note with preferred security characteristics.
(i)    Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(j)    The rate shown is the current yield as of January 31, 2021.
*    Non-income producing security.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

Forward foreign currency exchange contracts outstanding as of January 31, 2021 (amounts in thousands):

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

USD

      8,145      EUR      6,640      BNP Paribas    2/16/2021      85  

USD

      396      EUR      326      Citibank, NA    2/16/2021      1  

USD

      732      EUR      602      HSBC Bank, NA    2/16/2021      1  

USD

      17,522      EUR      14,387      State Street Corp.    2/16/2021      58  

CNY

      6,639      USD      1,026      BNP Paribas**    2/22/2021      2  

CNY

      409      USD      63      State Street Corp.**    2/22/2021      1  

COP

      2,146,812      USD      598      Barclays Bank plc**    2/22/2021      4  

COP

      2,146,813      USD      597      Citibank, NA**    2/22/2021      4  

INR

      75,751      USD      1,035      BNP Paribas**    2/22/2021      2  

INR

      98,855      USD      1,348      Goldman Sachs International**    2/22/2021      5  

PLN

      1,260      EUR      278      Citibank, NA    2/22/2021      1  

PLN

      2,465      USD      660      BNP Paribas    2/22/2021      2  

PLN

      2,489      USD      668      HSBC Bank, NA    2/22/2021      – (a) 

SGD

      4      USD      3      HSBC Bank, NA    2/22/2021      – (a) 

TRY

      2,740      EUR      300      BNP Paribas    2/22/2021      8  

TRY

      5,301      USD      707      Barclays Bank plc    2/22/2021      12  

TRY

      5,187      USD      693      Merrill Lynch International    2/22/2021      10  

USD

      1,102      BRL      5,821      Goldman Sachs International**    2/22/2021      39  

USD

      479      CAD      612      Goldman Sachs International    2/22/2021      – (a) 

USD

      457      CAD      578      TD Bank Financial Group    2/22/2021      5  

USD

      361      CLP      256,402      Citibank, NA**    2/22/2021      12  

USD

      467      COP      1,626,620      BNP Paribas**    2/22/2021      11  

USD

      725      COP      2,521,269      Goldman Sachs International**    2/22/2021      20  

USD

      1,194      KRW      1,317,914      Citibank, NA**    2/22/2021      15  

USD

      1,196      SGD      1,588      BNP Paribas    2/22/2021      1  

USD

      455      THB      13,623      HSBC Bank, NA    2/22/2021      – (a) 

USD

      730      ZAR      10,921      Goldman Sachs International    2/22/2021      11  

USD

      458      ZAR      6,876      HSBC Bank, NA    2/22/2021      4  

USD

      215      ZAR      3,255      Merrill Lynch International    2/22/2021      – (a) 

ZAR

      16,517      USD      1,077      Goldman Sachs International    2/22/2021      12  

RUB

      2,798      USD      37      Standard Chartered Bank**    2/24/2021      – (a) 

USD

      601      RUB      45,278      Barclays Bank plc**    2/24/2021      4  

USD

      601      RUB      45,278      Goldman Sachs International**    2/24/2021      4  

CNY

      5,684      EUR      720      Merrill Lynch International**    3/23/2021      3  

CNY

      4,482      USD      683      HSBC Bank, NA**    3/23/2021      9  

CNY

      20,602      USD      3,177      TD Bank Financial Group**    3/23/2021      5  

IDR

      7,214,514      USD      505      Citibank, NA**    3/23/2021      6  

INR

      54,770      USD      737      BNP Paribas**    3/23/2021      8  

INR

      50,480      USD      679      Goldman Sachs International**    3/23/2021      8  

RUB

      78,096      USD      1,027      Citibank, NA**    3/23/2021      1  

THB

      71,705      USD      2,389      HSBC Bank, NA    3/23/2021      6  

USD

      1,111      COP      3,841,081      Standard Chartered Bank**    3/23/2021      37  

USD

      3,013      EUR      2,473      BNP Paribas    3/23/2021      8  

USD

      3,569      KRW      3,946,013      Goldman Sachs International**    3/23/2021      40  

USD

      5,700      MXN      114,709      HSBC Bank, NA    3/23/2021      134  

USD

      1,613      RUB      119,939      Barclays Bank plc**    3/23/2021      35  

USD

      1,616      ZAR      23,840      Royal Bank of Canada    3/23/2021      51  

USD

      1,658      ZAR      24,609      State Street Corp.    3/23/2021      43  
                 

 

 

  

Total unrealized appreciation

         728  
     

 

 

  

USD

      362      EUR      299      State Street Corp.    2/16/2021      (1 ) 

BRL

      3,862      USD      729      Citibank, NA**    2/22/2021      (24 ) 

BRL

      10,972      USD      2,045      Goldman Sachs International**    2/22/2021      (41 ) 

CLP

      256,402      USD      355      Goldman Sachs International**    2/22/2021      (6 ) 

EUR

      896      CNY      7,048      BNP Paribas**    2/22/2021      (3 ) 

EUR

      499      TRY      4,497      Barclays Bank plc    2/22/2021      (4 ) 

INR

      67,694      USD      927      BNP Paribas**    2/22/2021      – (a) 

KRW

      1,850,095      USD      1,663      BNP Paribas**    2/22/2021      (8 ) 

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

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

KRW

      1,069,260      USD      959      Citibank, NA**    2/22/2021      (3 ) 

KRW

      2,112,136      USD      1,915      Goldman Sachs International**    2/22/2021      (26 ) 

MXN

      7,378      CAD      467      BNP Paribas    2/22/2021      (6 ) 

MXN

      7,358      CAD      466      Goldman Sachs International    2/22/2021      (6 ) 

MXN

      36,624      EUR      1,502      TD Bank Financial Group    2/22/2021      (40 ) 

MXN

      14,677      USD      736      Goldman Sachs International    2/22/2021      (22 ) 

SGD

      668      USD      504      BNP Paribas    2/22/2021      (2 ) 

SGD

      916      USD      691      State Street Corp.    2/22/2021      (1 ) 

TRY

      3,463      USD      470      BNP Paribas    2/22/2021      – (a) 

USD

      40      COP      145,736      Goldman Sachs International**    2/22/2021      (1 ) 

USD

      2,489      EUR      2,053      BNP Paribas    2/22/2021      (4 ) 

USD

      1,204      THB      36,190      Goldman Sachs International    2/22/2021      (5 ) 

USD

      1,078      ZAR      16,517      Goldman Sachs International    2/22/2021      (11 ) 

RUB

      36,999      USD      499      BNP Paribas**    2/24/2021      (11 ) 

RUB

      50,758      USD      688      Merrill Lynch International**    2/24/2021      (18 ) 

BRL

      10,720      USD      1,959      BNP Paribas**    3/23/2021      (2 ) 

BRL

      25,333      USD      4,761      Citibank, NA**    3/23/2021      (137 ) 

CNY

      12,188      USD      1,883      State Street Corp.**    3/23/2021      – (a) 

COP

      6,513,021      USD      1,868      Bank of America NA**    3/23/2021      (46 ) 

COP

      9,627,185      USD      2,723      BNP Paribas**    3/23/2021      (31 ) 

COP

      7,512,480      USD      2,202      Merrill Lynch International**    3/23/2021      (101 ) 

INR

      69,356      USD      944      Goldman Sachs International**    3/23/2021      – (a) 

KRW

      755,747      USD      693      Barclays Bank plc**    3/23/2021      (17 ) 

KRW

      1,537,207      USD      1,396      BNP Paribas**    3/23/2021      (22 ) 

KRW

      1,653,059      USD      1,513      Goldman Sachs International**    3/23/2021      (34 ) 

MXN

      27,616      USD      1,385      Barclays Bank plc    3/23/2021      (45 ) 

MXN

      20,789      USD      1,019      BNP Paribas    3/23/2021      (11 ) 

MXN

      19,248      USD      967      State Street Corp.    3/23/2021      (34 ) 

MXN

      14,726      USD      727      TD Bank Financial Group    3/23/2021      (13 ) 

RUB

      69,680      USD      937      BNP Paribas**    3/23/2021      (20 ) 

RUB

      55,101      USD      750      Citibank, NA**    3/23/2021      (25 ) 

RUB

      51,652      USD      701      Goldman Sachs International**    3/23/2021      (21 ) 

USD

      1,450      EUR      1,195      BNP Paribas    3/23/2021      (2 ) 

USD

      1,141      IDR      16,245,440      BNP Paribas**    3/23/2021      (11 ) 

USD

      6,649      PLN      24,900      Goldman Sachs International    3/23/2021      (39 ) 

USD

      2,386      THB      71,705      BNP Paribas    3/23/2021      (10 ) 

ZAR

      28,912      EUR      1,563      Citibank, NA    3/23/2021      (1 ) 

ZAR

      27,581      EUR      1,503      HSBC Bank, NA    3/23/2021      (15 ) 

ZAR

      11,044      USD      741      Citibank, NA    3/23/2021      (16 ) 

ZAR

      10,813      USD      710      Goldman Sachs International    3/23/2021      – (a) 

ZAR

      21,671      USD      1,473      Standard Chartered Bank    3/23/2021      (50 ) 
                 

 

 

  

Total unrealized depreciation

         (946 ) 
                 

 

 

  

Net unrealized depreciation

         (218 ) 
                 

 

 

  

 

Abbreviations

BRL

    Brazilian Real

CAD

    Canadian Dollar

CLP

    Chile Peso

CNY

    China Yuan

COP

    Colombian Peso

EUR

    Euro

IDR

    Indonesian Rupiah

INR

    Indian Rupee

KRW

    Korean Republic Won

MXN

    Mexican Peso

PLN

    Polish Zloty

RUB

    Russian Ruble

SGD

    Singapore Dollar

THB

    Thai Baht

TRY

    Turkish Lira

USD

    United States Dollar

ZAR

    South African Rand

(a)

    Amount rounds to less than one thousand.

**

    Non-deliverable forward.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

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.

Options are generally valued on the basis of available market quotations. 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     $ –      $ 165,357      $ –      $ 165,357  
Foreign Government Securities      –        433,936        –        433,936  
Options Purchased            
Call Options Purchased      –        9        –        9  
Supranational      –        410        –        410  
Short-Term Investments            

    Investment Companies

      31,579        –        –        31,579  
Total Investments in Securities     $                              31,579      $                              599,712      $                              –      $                  631,291  
  

 

 

     

 

 

     

 

 

     

 

 

  
Appreciation in Other Financial Instruments

 

      
Forward Foreign Currency Exchange Contracts     $ –      $ 728      $ –      $ 728  
  

 

 

     

 

 

     

 

 

     

 

 

  
Depreciation in Other Financial Instruments

 

      
Forward Foreign Currency Exchange Contracts     $ –      $ (946)      $ –      $ (946)  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below. Amounts in the table below are in thousands.

 

For the period ended January 31, 2021

  
Security Description    Value at
October 31,
2020 		     Purchases at
Cost		      Proceeds from
Sales		      Net Realized
Gain (Loss)		      Change in
Unrealized
Appreciation/
(Depreciation)		      Value at
January 31,
2021		      Shares at
January 31,
2021		      Dividend
Income		      Capital Gain
Distributions		  
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.11%(a)(b)    $ 12,250      $ 222,152      $ 202,841      $ 14      $ 4      $ 31,579        31,560      $ 3      $ —  
  

 

 

        

 

 

  

 

(a)

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

(b)

The rate shown is the current yield as of January 31, 2021.

C. Derivatives — The Fund used derivative instruments including options and 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.

JPMorgan Emerging Markets Strategic Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2021 (Unaudited) (continued)

 

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the 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) — (2) 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 currencies, futures, securities, options on indices 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.

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