NPORT-EX 2 HG_EMD.htm HTML

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited)

 

Investments

      Principal
Amount
($000)		      Value
($000)		  

FOREIGN GOVERNMENT SECURITIES — 61.7%

         

Albania — 0.4%

 

Republic of Albania 3.50%, 11/23/2031(a)

      EUR        3,641        4,005  
        

 

 

  

Angola — 1.1%

         

Republic of Angola

         

9.50%, 11/12/2025(b)

         400        406  

8.25%, 5/9/2028(b)

         2,492        2,338  

8.00%, 11/26/2029(b)

         5,700        5,235  

8.00%, 11/26/2029(a)

         1,539        1,414  

9.38%, 5/8/2048(b)

         2,158        1,964  

9.13%, 11/26/2049(b)

         1,060        941  
        

 

 

  
     12,298  
        

 

 

  

Argentina — 1.1%

         

Argentine Republic

         

1.13%, 7/9/2035(c)

         24,054        6,699  

2.00%, 1/9/2038(c)

         5,521        1,819  

2.50%, 7/9/2041(c)

         6,610        2,033  

1.13%, 7/9/2046(c)

         3,900        1,096  
        

 

 

  
     11,647  
        

 

 

  

Armenia — 0.6%

         

Republic of Armenia

         

7.15%, 3/26/2025(b)

         255        285  

3.95%, 9/26/2029(a)

         971        934  

3.95%, 9/26/2029(b)

         700        673  

3.60%, 2/2/2031(a)

         5,260        4,816  
        

 

 

  
     6,708  
        

 

 

  

Bahrain — 1.5%

         

Kingdom of Bahrain

         

7.00%, 10/12/2028(b)

         3,960        4,242  

6.75%, 9/20/2029(b)

         3,081        3,263  

7.38%, 5/14/2030(b)

         4,000        4,372  

7.38%, 5/14/2030(a)

         1,200        1,312  

5.45%, 9/16/2032(b)

         3,187        3,012  
        

 

 

  
     16,201  
        

 

 

  

Belarus — 0.6%

         

Republic of Belarus

         

6.88%, 2/28/2023(b)

         1,539        1,531  

6.38%, 2/24/2031(b)

         5,680        4,621  
        

 

 

  
     6,152  
        

 

 

  

Benin — 0.6%

         

Benin Government Bond

         

4.88%, 1/19/2032(a)

      EUR        1,950        2,107  

6.88%, 1/19/2052(a)

      EUR        2,721        3,001  

6.88%, 1/19/2052(b)

      EUR        1,061        1,170  
        

 

 

  
     6,278  
        

 

 

  

Bermuda — 0.5%

         

Bermuda Government Bond

         

3.72%, 1/25/2027(b)

         3,802        4,054  

2.38%, 8/20/2030(a)

         1,217        1,202  
        

 

 

  
     5,256  
        

 

 

  

Brazil — 1.2%

         

Federative Republic of Brazil

         

4.50%, 5/30/2029

         1,366        1,355  

8.25%, 1/20/2034

         9,442        12,179  
        

 

 

  
     13,534  
        

 

 

  

Colombia — 1.7%

         

Republic of Colombia

         

4.50%, 3/15/2029

         2,986        3,054  

10.38%, 1/28/2033

         563        798  

6.13%, 1/18/2041

         3,900        4,045  

5.00%, 6/15/2045

         2,620        2,385  

5.20%, 5/15/2049

         4,545        4,232  

4.13%, 5/15/2051

         2,779        2,245  

3.88%, 2/15/2061

         2,600        1,976  
        

 

 

  
     18,735  
        

 

 

  

Costa Rica — 0.8%

         

Republic of Costa Rica

         

4.38%, 4/30/2025(b)

         1,265        1,279  

6.13%, 2/19/2031(b)

         2,000        1,999  

5.63%, 4/30/2043(b)

         2,297        1,934  

7.00%, 4/4/2044(b)

         500        473  

7.16%, 3/12/2045(b)

         2,948        2,819  
        

 

 

  
     8,504  
        

 

 

  

Dominican Republic — 3.7%

         

Dominican Republic Government Bond

         

6.88%, 1/29/2026(b)

         1,600        1,816  

5.95%, 1/25/2027(b)

         3,075        3,390  

6.00%, 7/19/2028(b)

         7,206        7,927  

4.50%, 1/30/2030(b)

         1,600        1,591  

4.88%, 9/23/2032(b)

         10,160        10,082  

5.30%, 1/21/2041(a)

         4,270        4,088  

6.40%, 6/5/2049(b)

         5,755        5,866  

5.88%, 1/30/2060(b)

         3,585        3,334  

5.88%, 1/30/2060(a)

         2,910        2,706  
        

 

 

  
     40,800  
        

 

 

  

Ecuador — 2.2%

         

Ecuador Social Bond SARL Zero Coupon, 1/30/2035(a)(d)

         6,999        5,603  

Republic of Ecuador

         

Zero Coupon, 7/31/2030(b)

         3,600        1,953  

Zero Coupon, 7/31/2030(a)

         379        205  

5.00%, 7/31/2030(b)(c)

         7,080        5,770  

5.00%, 7/31/2030(a)(c)

         1,727        1,408  

1.00%, 7/31/2035(a)(c)

         4,354        2,808  

1.00%, 7/31/2035(b)(c)

         2,300        1,484  

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

         5,500        3,128  

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

         3,954        2,249  
        

 

 

  
     24,608  
        

 

 

  

Egypt — 2.6%

         

Arab Republic of Egypt

         

3.88%, 2/16/2026(a)

         600        543  

7.50%, 1/31/2027(b)

         5,068        5,087  

6.59%, 2/21/2028(b)

         2,500        2,347  

14.59%, 7/13/2028

      EGP        100,000        6,330  

5.88%, 2/16/2031(a)

         4,040        3,429  

8.50%, 1/31/2047(b)

         5,271        4,487  

7.90%, 2/21/2048(b)

         3,600        2,902  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

      Principal
Amount
($000)		      Value
($000)		  

8.15%, 11/20/2059(b)

         2,600        2,099  

8.15%, 11/20/2059(a)

         1,514        1,223  
        

 

 

  
     28,447  
        

 

 

  

El Salvador — 0.6%

         

Republic of El Salvador

         

5.88%, 1/30/2025(b)

         2,739        1,892  

6.38%, 1/18/2027(b)

         2,492        1,609  

8.63%, 2/28/2029(b)

         1,481        1,014  

7.12%, 1/20/2050(b)

         3,999        2,365  
        

 

 

  
     6,880  
        

 

 

  

Ethiopia — 0.5%

         

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

         8,213        5,338  
        

 

 

  

Gabon — 0.3%

         

Gabonese Republic 6.95%, 6/16/2025(b)

         3,600        3,737  
        

 

 

  

Ghana — 1.6%

         

Republic of Ghana

         

6.38%, 2/11/2027(b)

         3,600        2,956  

7.88%, 3/26/2027(b)

         1,000        850  

7.63%, 5/16/2029(b)

         1,692        1,371  

8.13%, 3/26/2032(b)

         4,000        3,160  

8.63%, 4/7/2034(a)

         5,055        3,981  

7.88%, 2/11/2035(a)

         2,700        2,038  

7.88%, 2/11/2035(b)

         400        302  

8.95%, 3/26/2051(b)

         3,309        2,540  

8.75%, 3/11/2061(b)

         850        642  
        

 

 

  
     17,840  
        

 

 

  

Guatemala — 1.1%

         

Republic of Guatemala

         

4.50%, 5/3/2026(b)

         801        842  

4.38%, 6/5/2027(b)

         1,100        1,154  

4.90%, 6/1/2030(a)

         2,024        2,162  

4.90%, 6/1/2030(b)

         500        534  

5.38%, 4/24/2032(b)

         2,000        2,208  

5.38%, 4/24/2032(a)

         300        331  

4.65%, 10/7/2041(a)

         2,310        2,282  

6.13%, 6/1/2050(b)

         1,200        1,337  

6.13%, 6/1/2050(a)

         1,140        1,270  
        

 

 

  
     12,120  
        

 

 

  

Honduras — 0.1%

         

Republic of Honduras

         

6.25%, 1/19/2027(b)

         600        629  

5.63%, 6/24/2030(a)

         770        770  
        

 

 

  
     1,399  
        

 

 

  

Hungary — 0.6%

         

Hungary Government Bond 3.13%, 9/21/2051(a)

         6,694        6,342  
        

 

 

  

Indonesia — 0.6%

         

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

         5,195        7,076  
        

 

 

  

Iraq — 0.9%

         

Republic of Iraq

         

6.75%, 3/9/2023(b)

         678        667  

5.80%, 1/15/2028(b)

         10,197        9,323  
        

 

 

  
     9,990  
        

 

 

  

Ivory Coast — 1.0%

         

Republic of Cote d’Ivoire

         

6.13%, 6/15/2033(b)

         2,700        2,751  

6.88%, 10/17/2040(b)

      EUR        4,762        5,488  

6.63%, 3/22/2048(b)

      EUR        2,188        2,368  
        

 

 

  
     10,607  
        

 

 

  

Jamaica — 1.2%

         

Jamaica Government Bond

         

9.25%, 10/17/2025

         1,471        1,749  

6.75%, 4/28/2028

         4,400        5,042  

7.88%, 7/28/2045

         4,552        6,261  
        

 

 

  
     13,052  
        

 

 

  

Jordan — 0.6%

         

Hashemite Kingdom of Jordan

         

5.75%, 1/31/2027(b)

         664        686  

5.85%, 7/7/2030(b)

         2,100        2,058  

5.85%, 7/7/2030(a)

         1,410        1,382  

7.38%, 10/10/2047(b)

         3,100        2,991  
        

 

 

  
     7,117  
        

 

 

  

Kenya — 1.8%

         

Republic of Kenya

         

6.88%, 6/24/2024(b)

         1,000        1,052  

7.00%, 5/22/2027(b)

         2,700        2,795  

8.00%, 5/22/2032(b)

         5,346        5,640  

6.30%, 1/23/2034(a)

         4,899        4,617  

8.25%, 2/28/2048(b)

         5,329        5,229  
        

 

 

  
     19,333  
        

 

 

  

Lebanon — 0.2%

         

Lebanese Republic

         

6.38%, 3/9/2020(d)

         6,767        770  

6.15%, 6/19/2020(d)

         720        82  

6.65%, 4/22/2024(b)(d)

         9,300        1,023  

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

         489        54  

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

         6,496        714  

7.05%, 11/2/2035(b)(d)

         162        18  
        

 

 

  
     2,661  
        

 

 

  

Malaysia — 0.5%

         

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

         5,000        5,004  
        

 

 

  

Mexico — 1.2%

         

United Mexican States

         

4.50%, 4/22/2029

         2,100        2,332  

4.50%, 1/31/2050

         3,100        3,200  

5.00%, 4/27/2051

         6,450        7,161  

3.77%, 5/24/2061

         1,075        969  
        

 

 

  
     13,662  
        

 

 

  

Mongolia — 0.4%

         

State of Mongolia

         

5.13%, 4/7/2026(b)

         1,500        1,532  

5.13%, 4/7/2026(a)

         400        409  

4.45%, 7/7/2031(a)

         3,100        2,922  
        

 

 

  
     4,863  
        

 

 

  

Morocco — 0.5%

         

Kingdom of Morocco

         

3.00%, 12/15/2032(b)

         1,000        930  

5.50%, 12/11/2042(b)

         2,575        2,773  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

      Principal
Amount
($000)		      Value
($000)		  

4.00%, 12/15/2050(a)

         2,530        2,207  
        

 

 

  
     5,910  
        

 

 

  

Namibia — 0.1%

         

Republic of Namibia 5.25%, 10/29/2025(b)

         1,300        1,363  
        

 

 

  

Nigeria — 2.1%

         

Federal Republic of Nigeria

         

6.50%, 11/28/2027(b)

         2,800        2,727  

7.14%, 2/23/2030(b)

         7,000        6,632  

8.75%, 1/21/2031(b)

         3,900        3,949  

7.88%, 2/16/2032(b)

         1,377        1,310  

7.38%, 9/28/2033(a)

         1,697        1,544  

7.70%, 2/23/2038(b)

         1,600        1,424  

7.70%, 2/23/2038(a)

         898        799  

7.63%, 11/28/2047(b)

         3,719        3,189  

8.25%, 9/28/2051(a)

         1,906        1,725  
        

 

 

  
     23,299  
        

 

 

  

Oman — 2.3%

         

Sultanate of Oman Government Bond

         

4.75%, 6/15/2026(b)

         8,634        8,731  

5.38%, 3/8/2027(b)

         3,813        3,918  

5.63%, 1/17/2028(b)

         1,788        1,839  

6.00%, 8/1/2029(b)

         1,200        1,250  

6.25%, 1/25/2031(a)

         6,284        6,575  

7.38%, 10/28/2032(a)

         2,627        2,932  
        

 

 

  
     25,245  
        

 

 

  

Pakistan — 1.1%

         

Islamic Republic of Pakistan

         

8.25%, 4/15/2024(b)

         2,591        2,743  

6.00%, 4/8/2026(a)

         2,249        2,216  

6.88%, 12/5/2027(b)

         7,000        6,942  
        

 

 

  
     11,901  
        

 

 

  

Panama — 1.2%

         

Notas del Tesoro 3.75%, 4/17/2026

         5,122        5,429  

Republic of Panama

         

3.88%, 3/17/2028

         2,400        2,568  

4.50%, 4/16/2050

         1,700        1,818  

4.50%, 4/1/2056

         3,070        3,277  
        

 

 

  
     13,092  
        

 

 

  

Paraguay — 3.1%

         

Republic of Paraguay

         

4.70%, 3/27/2027(b)

         3,363        3,656  

4.95%, 4/28/2031(b)

         2,700        2,971  

4.95%, 4/28/2031(a)

         2,180        2,399  

2.74%, 1/29/2033(a)

         8,852        8,292  

6.10%, 8/11/2044(b)

         2,922        3,432  

5.60%, 3/13/2048(b)

         1,427        1,589  

5.40%, 3/30/2050(a)

         5,300        5,823  

5.40%, 3/30/2050(b)

         5,011        5,505  
        

 

 

  
     33,667  
        

 

 

  

Peru — 0.6%

         

Republic of Peru

         

8.75%, 11/21/2033

         2,250        3,461  

3.00%, 1/15/2034

         3,605        3,542  
        

 

 

  
     7,003  
        

 

 

  

Qatar — 1.4%

         

State of Qatar

         

4.82%, 3/14/2049(b)

         7,292        9,407  

4.40%, 4/16/2050(a)

         4,540        5,544  
        

 

 

  
     14,951  
        

 

 

  

Romania — 1.2%

         

Romania Government Bond

         

3.00%, 2/14/2031(b)

         2,200        2,167  

3.00%, 2/14/2031(a)

         1,700        1,674  

2.63%, 12/2/2040(a)

      EUR        1,176        1,180  

4.63%, 4/3/2049(b)

      EUR        3,272        4,147  

4.00%, 2/14/2051(b)

         4,388        4,272  
        

 

 

  
     13,440  
        

 

 

  

Russia — 1.7%

         

Russian Federation

         

4.38%, 3/21/2029(b)

         6,600        7,309  

5.10%, 3/28/2035(b)

         5,600        6,580  

5.63%, 4/4/2042(b)

         2,800        3,629  

5.88%, 9/16/2043(b)

         1,000        1,345  
        

 

 

  
     18,863  
        

 

 

  

Saudi Arabia — 2.0%

         

Kingdom of Saudi Arabia

         

2.75%, 2/3/2032(b)

         2,600        2,658  

2.25%, 2/2/2033(a)

         2,577        2,490  

4.63%, 10/4/2047(b)

         3,800        4,513  

5.00%, 4/17/2049(b)

         900        1,127  

5.25%, 1/16/2050(b)

         1,921        2,502  

3.75%, 1/21/2055(b)

         1,000        1,053  

3.45%, 2/2/2061(a)

         7,665        7,598  
        

 

 

  
     21,941  
        

 

 

  

Senegal — 0.5%

         

Republic of Senegal

         

6.25%, 5/23/2033(b)

         2,500        2,525  

6.75%, 3/13/2048(b)

         3,553        3,420  
        

 

 

  
     5,945  
        

 

 

  

Serbia — 0.1%

         

Republic of Serbia 2.13%, 12/1/2030(a)

         1,134        1,033  
        

 

 

  

South Africa — 2.8%

         

Republic of South Africa

         

4.88%, 4/14/2026

         2,100        2,208  

4.30%, 10/12/2028

         12,085        12,031  

4.85%, 9/30/2029

         3,000        3,024  

5.00%, 10/12/2046

         6,128        5,285  

5.65%, 9/27/2047

         1,000        924  

5.75%, 9/30/2049

         7,957        7,382  
        

 

 

  
     30,854  
        

 

 

  

Sri Lanka — 1.3%

         

Democratic Socialist Republic of Sri Lanka

         

6.85%, 3/14/2024(b)

         2,800        1,625  

6.35%, 6/28/2024(b)

         600        348  

6.83%, 7/18/2026(b)

         1,027        575  

6.20%, 5/11/2027(b)

         3,761        2,063  

6.75%, 4/18/2028(b)

         3,674        2,020  

7.85%, 3/14/2029(b)

         3,806        2,098  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

7.55%, 3/28/2030(b)

         10,300        5,654  
        

 

 

  
           14,383  
        

 

 

  

Trinidad and Tobago — 0.3%

         

Republic of Trinidad and Tobago

         

4.50%, 6/26/2030(b)

         2,500        2,522  

4.50%, 6/26/2030(a)

         640        646  
        

 

 

  
           3,168  
        

 

 

  

Turkey — 2.3%

         

Republic of Turkey

         

5.75%, 3/22/2024

         6,100        6,086  

5.60%, 11/14/2024

         2,045        2,011  

4.25%, 4/14/2026

         10,700        9,736  

4.25%, 4/14/2026

         5,600        5,095  

5.75%, 5/11/2047

         1,976        1,581  

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

         610        638  
        

 

 

  
           25,147  
        

 

 

  

Ukraine — 3.1%

         

Ukraine Government Bond

         

7.75%, 9/1/2023(b)

         3,108        3,134  

7.75%, 9/1/2024(b)

         3,865        3,866  

7.75%, 9/1/2025(b)

         4,663        4,663  

7.75%, 9/1/2026(b)

         500        501  

6.88%, 5/21/2029(a)

         4,136        3,861  

7.38%, 9/25/2032(b)

         4,262        4,013  

7.25%, 3/15/2033(b)

         5,100        4,750  

7.25%, 3/15/2033(a)

         1,741        1,622  

1.26%, 5/31/2040(b)(e)

         8,500        7,673  
        

 

 

  
           34,083  
        

 

 

  

United Arab Emirates — 0.8%

         

United Arab Emirates Government Bond

         

3.63%, 3/10/2033(a)

         1,320        1,287  

4.13%, 10/11/2047(b)

         2,707        3,225  

4.00%, 7/28/2050(a)

         3,050        2,741  

3.90%, 9/9/2050(b)

         1,400        1,316  
        

 

 

  
           8,569  
        

 

 

  

Uruguay — 0.7%

         

Oriental Republic of Uruguay

         

7.63%, 3/21/2036

         3,083        4,611  

4.98%, 4/20/2055

         2,634        3,354  
        

 

 

  
           7,965  
        

 

 

  

Uzbekistan — 0.3%

         

Republic of Uzbekistan 3.90%, 10/19/2031(a)

         3,666        3,446  
        

 

 

  

Venezuela, Bolivarian Republic of — 0.1%

         

Bolivarian Republic of Venezuela

         

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

         1,900        181  

8.25%, 10/13/2024(b)(d)

         2,590        246  

7.65%, 4/21/2025(b)(d)

         2,013        191  

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

         2,630        250  
        

 

 

  
           868  
        

 

 

  

Zambia — 0.3%

         

Republic of Zambia

         

5.38%, 9/20/2022(b)(d)

         1,606        1,189  

8.50%, 4/14/2024(b)(d)

         1,900        1,439  
        

 

 

  

8.97%, 7/30/2027(b)(d)

         1,351        1,023  
        

 

 

  
           3,651  
        

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES

(Cost $731,857)

 

 

      679,981  
        

 

 

  

CORPORATE BONDS — 36.0%

         

Azerbaijan — 0.4%

         

Southern Gas Corridor CJSC 6.88%, 3/24/2026(b)

         1,600        1,832  

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

         2,025        2,413  
        

 

 

  
           4,245  
        

 

 

  

Bahrain — 0.4%

         

Oil and Gas Holding Co. BSCC (The)

         

7.63%, 11/7/2024(b)

         1,300        1,397  

8.38%, 11/7/2028(a)

         1,740        1,971  

8.38%, 11/7/2028(b)

         800        906  
        

 

 

  
           4,274  
        

 

 

  

Brazil — 2.0%

         

Braskem Netherlands Finance BV 4.50%, 1/31/2030(b)

         3,600        3,603  

Guara Norte SARL 5.20%, 6/15/2034(a)

         2,878        2,746  

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

         3,182        3,384  

MARB BondCo plc 3.95%, 1/29/2031(a)

         2,984        2,795  

MV24 Capital BV

         

6.75%, 6/1/2034(b)

         1,494        1,524  

6.75%, 6/1/2034(a)

         1,318        1,344  

Natura Cosmeticos SA 4.13%, 5/3/2028(a)

         853        809  

Petrobras Global Finance BV 5.50%, 6/10/2051

         2,381        2,100  

StoneCo Ltd. 3.95%, 6/16/2028(a)

         200        167  

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

         2,637        3,383  
        

 

 

  
           21,855  
        

 

 

  

Chile — 3.4%

         

Alfa Desarrollo SpA 4.55%, 9/27/2051(a)

         6,569        6,220  

Celulosa Arauco y Constitucion SA

         

4.25%, 4/30/2029(a)

         3,330        3,508  

4.25%, 4/30/2029(b)

         1,000        1,054  

Corp. Nacional del Cobre de Chile 3.75%, 1/15/2031(b)

         700        744  

Empresa de los Ferrocarriles del Estado

         

3.07%, 8/18/2050(a)

         871        749  

3.83%, 9/14/2061(a)

         2,520        2,415  

Empresa de Transporte de Pasajeros Metro SA

         

5.00%, 1/25/2047(b)

         2,570        2,958  

4.70%, 5/7/2050(a)

         940        1,079  

Empresa Nacional de Telecomunicaciones SA 3.05%, 9/14/2032(a)

         2,413        2,310  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

      Principal
Amount
($000)		      Value
($000)		  

Empresa Nacional del Petroleo

         

3.75%, 8/5/2026(b)

         1,301        1,334  

5.25%, 11/6/2029(b)

         5,100        5,559  

3.45%, 9/16/2031(a)

         1,520        1,420  

4.50%, 9/14/2047(b)

         900        878  

Interchile SA 4.50%, 6/30/2056(a)

         5,131        5,356  

Kenbourne Invest SA 4.70%, 1/22/2028(a)

         1,800        1,757  
        

 

 

  
           37,341  
        

 

 

  

China — 0.8%

         

Huarong Finance 2017 Co. Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 6.98%), 4.00%, 11/7/2022(b)(f)(g)(h)

         1,800        1,773  

Huarong Finance II Co. Ltd. 5.50%, 1/16/2025(b)

         1,700        1,755  

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

         1,792        1,938  

Shimao Group Holdings Ltd.

         

5.60%, 7/15/2026(b)

         3,787        2,651  

5.20%, 1/16/2027(b)

         1,373        950  
        

 

 

  
           9,067  
        

 

 

  

Colombia — 2.0%

         

AI Candelaria Spain SLU

         

7.50%, 12/15/2028(b)

         1,555        1,639  

5.75%, 6/15/2033(a)

         4,140        3,954  

Ecopetrol SA

         

5.88%, 9/18/2023

         3,205        3,380  

5.38%, 6/26/2026

         1,800        1,883  

6.88%, 4/29/2030

         1,300        1,437  

7.38%, 9/18/2043

         800        858  

5.88%, 5/28/2045

         6,636        6,130  

Empresas Publicas de Medellin ESP

         

4.25%, 7/18/2029(a)

         2,101        1,987  

4.25%, 7/18/2029(b)

         1,300        1,230  
        

 

 

  
           22,498  
        

 

 

  

Costa Rica — 0.2%

         

Instituto Costarricense de Electricidad

         

6.75%, 10/7/2031(a)

         1,780        1,796  

6.38%, 5/15/2043(b)

         802        670  
        

 

 

  
           2,466  
        

 

 

  

Croatia — 0.2%

         

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

         1,800        1,859  
        

 

 

  

Ecuador — 0.0%(i)

         

Petroamazonas EP 4.63%, 12/6/2021(a)

         82        82  
        

 

 

  

Georgia — 0.3%

         

Georgian Railway JSC 4.00%, 6/17/2028(a)

         2,889        2,889  
        

 

 

  

India — 0.6%

         

Greenko Dutch BV 3.85%, 3/29/2026(a)

         3,351        3,383  

Indian Railway Finance Corp. Ltd.

         

3.25%, 2/13/2030(a)

         1,850        1,878  

3.95%, 2/13/2050(b)

         1,100        1,072  
        

 

 

  
           6,333  
        

 

 

  

Indonesia — 3.5%

         

Hutama Karya Persero PT 3.75%, 5/11/2030(b)

         1,600        1,701  

Indonesia Asahan Aluminium Persero PT

         

6.53%, 11/15/2028(b)

         4,000        4,780  

6.53%, 11/15/2028(a)

         518        619  

6.76%, 11/15/2048(b)

         6,228        7,940  

Minejesa Capital BV

         

4.63%, 8/10/2030(b)

         2,800        2,870  

4.63%, 8/10/2030(a)

         1,036        1,062  

Pertamina Persero PT

         

3.65%, 7/30/2029(b)

         1,800        1,903  

3.10%, 1/21/2030(b)

         900        910  

6.45%, 5/30/2044(b)

         2,600        3,366  

6.50%, 11/7/2048(b)

         900        1,190  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara

         

4.13%, 5/15/2027(b)

         1,341        1,433  

3.88%, 7/17/2029(a)

         1,390        1,464  

3.88%, 7/17/2029(b)

         600        632  

5.25%, 5/15/2047(b)

         2,000        2,200  

6.15%, 5/21/2048(b)

         900        1,107  

4.88%, 7/17/2049(b)

         2,100        2,221  

4.00%, 6/30/2050(a)

         3,470        3,336  
        

 

 

  
           38,734  
        

 

 

  

Israel — 1.0%

         

Energean Israel Finance Ltd.

         

4.88%, 3/30/2026(b)

         1,251        1,231  

5.38%, 3/30/2028(b)

         2,585        2,536  

Leviathan Bond Ltd.

         

6.13%, 6/30/2025(b)

         910        956  

6.50%, 6/30/2027(b)

         2,987        3,135  

6.75%, 6/30/2030(b)

         3,080        3,207  
        

 

 

  
           11,065  
        

 

 

  

Kazakhstan — 2.5%

         

Fund of National Welfare Samruk-Kazyna JSC 2.00%, 10/28/2026(a)

         2,339        2,286  

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

         1,869        2,487  

KazMunayGas National Co. JSC

         

4.75%, 4/19/2027(b)

         300        329  

5.38%, 4/24/2030(b)

         6,800        7,788  

3.50%, 4/14/2033(a)

         1,700        1,732  

5.75%, 4/19/2047(b)

         6,963        8,180  

6.38%, 10/24/2048(b)

         3,404        4,312  
        

 

 

  
           27,114  
        

 

 

  

Malaysia — 0.2%

         

Petronas Capital Ltd. 4.50%, 3/18/2045(b)

         1,744        2,159  
        

 

 

  

Mexico — 9.2%

         

Banco Mercantil del Norte SA

         

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), 6.87%, 7/6/2022(a)(f)(g)(h)

         2,165        2,185  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

    Principal
Amount
($000)		      Value
($000)		  

(US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%,
6/27/2029(b)(f)(g)(h)

         3,500        3,733  

Banco Nacional de Comercio Exterior SNC

         

4.38%, 10/14/2025(b)

         1,100        1,202  

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 2.72%, 8/11/2031(a)(g)

         2,420        2,396  

BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.12%, 1/18/2033(b)(g)

         3,400        3,445  

Braskem Idesa SAPI 6.99%, 2/20/2032(a)

         3,565        3,485  

Cemex SAB de CV

         

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026(a)(f)(g)(h)

         2,551        2,580  

5.20%, 9/17/2030(a)

         1,428        1,503  

5.20%, 9/17/2030(b)

         400        421  

3.88%, 7/11/2031(a)

         1,676        1,629  

Cometa Energia SA de CV 6.38%, 4/24/2035(b)

         1,391        1,557  

Comision Federal de Electricidad

         

3.35%, 2/9/2031(a)

         3,719        3,563  

4.68%, 2/9/2051(a)

         3,482        3,212  

FEL Energy VI SARL

         

5.75%, 12/1/2040(a)

         2,910        2,765  

5.75%, 12/1/2040(b)

         2,785        2,645  

Mexico City Airport Trust

         

3.88%, 4/30/2028(b)

         400        409  

5.50%, 10/31/2046(b)

         1,400        1,348  

Petroleos Mexicanos

         

(ICE LIBOR USD 3 Month + 3.65%), 3.76%, 3/11/2022(g)

         2,454        2,445  

5.38%, 3/13/2022

         1,243        1,245  

3.50%, 1/30/2023

         3,733        3,733  

4.25%, 1/15/2025

         1,170        1,161  

6.88%, 8/4/2026

         10,669        11,262  

5.35%, 2/12/2028

         2,130        2,038  

6.50%, 1/23/2029

         3,700        3,677  

5.95%, 1/28/2031

         2,292        2,147  

7.69%, 1/23/2050

         29,692        26,643  

6.95%, 1/28/2060

         10,910        8,919  
        

 

 

  
           101,348  
        

 

 

  

Panama — 1.0%

         

Aeropuerto Internacional de Tocumen SA

         

4.00%, 8/11/2041(a)

         600        606  

5.13%, 8/11/2061(a)

         3,896        4,029  

AES Panama Generation Holdings SRL

         

4.38%, 5/31/2030(a)

         1,740        1,769  

4.38%, 5/31/2030(b)

         1,700        1,729  

Empresa de Transmision Electrica SA

         

5.13%, 5/2/2049(b)

         1,700        1,887  

5.13%, 5/2/2049(a)

         1,417        1,573  
        

 

 

  
           11,593  
        

 

 

  

Paraguay — 0.6%

         

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

         8,830        6,594  
        

 

 

  

Peru — 2.7%

         

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

         1,700        1,762  

Corp. Financiera de Desarrollo SA

         

4.75%, 7/15/2025(b)

         640        698  

2.40%, 9/28/2027(a)

         1,060        1,036  

2.40%, 9/28/2027(b)

         1,900        1,857  

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

         3,092        3,148  

Lima Metro Line 2 Finance Ltd.

         

4.35%, 4/5/2036(b)

         2,245        2,392  

4.35%, 4/5/2036(a)

         1,757        1,872  

Peru LNG Srl 5.38%, 3/22/2030(b)

         4,000        3,407  

Petroleos del Peru SA

         

4.75%, 6/19/2032(b)

         4,285        4,378  

5.63%, 6/19/2047(b)

         6,286        6,109  

5.63%, 6/19/2047(a)

         2,720        2,644  
        

 

 

  
           29,303  
        

 

 

  

Russia — 0.6%

         

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

         3,312        3,693  

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

         3,090        3,287  
        

 

 

  
           6,980  
        

 

 

  

Saudi Arabia — 0.6%

         

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

         6,534        6,918  
        

 

 

  

South Africa — 0.7%

         

Eskom Holdings SOC Ltd.

         

6.75%, 8/6/2023(b)

         3,176        3,244  

8.45%, 8/10/2028(b)

         2,061        2,186  

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

         1,900        1,894  
        

 

 

  
           7,324  
        

 

 

  

Trinidad and Tobago — 0.4%

         

Trinidad Generation UnLtd 5.25%, 11/4/2027(b)

         1,200        1,214  

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

         3,112        3,393  
        

 

 

  
           4,607  
        

 

 

  

Ukraine — 0.4%

         

NPC Ukrenergo 6.88%, 11/9/2026(a)

         4,444        4,163  

State Savings Bank of Ukraine 9.62%, 3/20/2025(b)(c)

         455        470  
        

 

 

  
           4,633  
        

 

 

  

United Arab Emirates — 1.7%

         

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

         2,761        3,216  

DP World Ltd.

         

6.85%, 7/2/2037(b)

         1,700        2,228  

5.63%, 9/25/2048(b)

         1,500        1,832  

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Investments

      Principal
Amount
($000)		      Value
($000)		  

MDGH GMTN RSC Ltd.

         

3.75%, 4/19/2029(b)

         1,545        1,692  

2.88%, 11/7/2029(a)

         3,365        3,499  

3.70%, 11/7/2049(a)

         3,947        4,322  

3.70%, 11/7/2049(b)

         2,200        2,409  
     —  
        

 

 

  
     19,198  
        

 

 

  

Uzbekistan — 0.5%

         

Uzbekneftegaz JSC 4.75%, 11/16/2028(a)

         5,753        5,516  
        

 

 

  

Venezuela, Bolivarian Republic of — 0.1%

         

Petroleos de Venezuela SA

         

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

         1,123        269  

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

         1,510        76  

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

         5,758        288  
     —  
        

 

 

  
     633  
        

 

 

  

TOTAL CORPORATE BONDS

(Cost $406,447)

 

 

      396,628  
        

 

 

  

SUPRANATIONAL — 0.2%

         

Banque Ouest Africaine de Developpement 2.75%, 1/22/2033(a)(Cost $2,433)

      EUR        1,961        2,324  
        

 

 

  

U.S. TREASURY OBLIGATIONS — 0.2%

         

U.S. Treasury Notes 0.38%, 3/31/2022(j)(Cost $1,571)

         1,570        1,572  
        

 

 

  
            Shares
(000)		         

SHORT-TERM INVESTMENTS — 3.0%

         

INVESTMENT COMPANIES — 3.0%

         

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(k)(l)(Cost $32,517)

 

      32,503        32,516  
        

 

 

  

Total Investments — 101.1%

(Cost $1,174,825)

 

 

      1,113,021  

Liabilities in Excess of Other Assets — (1.1)%

 

      (11,642 ) 
        

 

 

  

Net Assets — 100.0%

 

      1,101,379  
        

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

 

CJSC    Closed Joint Stock Company
EGP    Egyptian Pound
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)    Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)    Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(c)    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, 2021.
(d)    Defaulted security.
(e)    Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2021.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

(f)    Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of November 30, 2021.
(g)    Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2021.
(h)    Security is an interest bearing note with preferred security characteristics.
(i)    Amount rounds to less than 0.1% of net assets.
(j)    All or a portion of this security is deposited with the broker as initial margin for futures contracts.
(k)    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.
(l)    The rate shown is the current yield as of November 30, 2021.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

 

Futures contracts outstanding as of November 30, 2021 (amounts in thousands, except number of contracts):

 

Description

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

Short Contracts

 

U.S. Treasury 5 Year Note

      (341 )      03/2022        USD        (41,384 )      (253 ) 

U.S. Treasury 10 Year Note

      (352 )      03/2022        USD        (46,035 )      (468 ) 
            

 

 

  
               (721 ) 
            

 

 

  

 

Abbreviations

 

USD    United States Dollar

Forward foreign currency exchange contracts outstanding as of November 30, 2021 (amounts in thousands):

 

Currency Purchased

   

Currency Sold

     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  

USD

    24,076    EUR      21,028      Barclays Bank plc      12/22/2021        208  
                 

 

 

  

Total unrealized appreciation

 

      208  
                 

 

 

  

USD

    3,649    EUR      3,239      State Street Corp.      12/22/2021        (28 ) 
                 

 

 

  

Total unrealized depreciation

 

      (28 ) 
                 

 

 

  

Net unrealized appreciation

 

      180  
                 

 

 

  

 

Abbreviations

 

EUR    Euro
USD    United States Dollar

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

A. Valuation of Investments – Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

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

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

Futures contracts 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:

 

     Level 1
Quoted prices		     Level 2
Other significant observable
inputs		     Level 3
Significant unobservable inputs		      Total  

Investments in Securities

 

Corporate Bonds

    $ —       $ 396,628     $ —        $ 396,628  

Foreign Government Securities

      —         679,981       —          679,981  

Supranational

      —         2,324       —          2,324  

U.S. Treasury Obligations

      —         1,572       —          1,572  

Short-Term Investments

 

Investment Companies

      32,516       —         —          32,516  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 32,516     $ 1,080,505     $ —        $ 1,113,021  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instrument

          

Forward Foreign Currency Exchange Contracts

    $ —       $ 208     $ —        $ 208  

Depreciation in Other Financial Instrument

          

Forward Foreign Currency Exchange Contracts

      —         (28 )      —          (28 ) 

Futures Contracts

      (721 )      —         —          (721 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Net Appreciation/Depreciation in Other Financial Instruments

    $ (721 )    $ 180     $ —        $ (541 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

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 such Underlying Fund. Reinvestment amounts are included in the purchases at cost amount in the table below.

 

For the period ended November 30, 2021

  

Security Description

   Value at
February 28,
2021		     Purchases
at Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
November 30,
2021		     Shares at
November 30,
2021		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(a)(b)

   $ 67,094     $ 336,472     $ 371,046     $ (6 )    $ 2     $ 32,516       32,503     $ 15     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 November 30, 2021.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

C. Derivatives — The Fund used derivative instruments including futures contracts 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.

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). Futures Contracts — The Fund used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(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.

JPMorgan Emerging Markets Debt Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF NOVEMBER 30, 2021 (Unaudited) (continued)

(Dollar values in thousands)

 

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.