JPMorgan International Value Fund Schedule of Portfolio Investments as of July 31, 2016 (Unaudited)

Transcription

1 Schedule of Portfolio Investments as of July 31, 2016 (Unaudited) THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST ( the List ) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the fund s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. JPMorgan Distribution Services, Inc. J.P. Morgan Chase & Co., 2016.

2 AS OF JULY 31, 2016 (Unaudited) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks 98.4% Australia 3.9% 2,090 Australia & New Zealand Banking Group Ltd. 41,117 3,125 Goodman Group 17,925 59,042 Belgium 2.0% 95 Anheuser-Busch InBev S.A./N.V. 12, KBC Group N.V. (a) 17,098 29,428 Canada 1.2% 384 TransCanada Corp. 17,805 Chile 0.4% 295 Banco Santander Chile, ADR 6,066 China 0.9% 11,612 CNOOC Ltd. 13,995 Denmark 0.6% 65 Pandora A/S 8,469 Finland 1.5% 809 Outokumpu OYJ (a) 4, UPM-Kymmene OYJ 18,078 22,733 France 12.0% 186 Airbus Group SE 10,977 1,363 AXA S.A. 27, BNP Paribas S.A. 32, Capgemini S.A. 14,862 2,082 Natixis S.A. 8, Renault S.A. 22, Schneider Electric SE 12,746 1,064 TOTAL S.A. 51, ,407 Germany 9.5% 68 adidas AG 11, Bayer AG 16, Brenntag AG 12, Daimler AG 31, Deutsche Bank AG (a) 6,397 1,036 E.ON SE 11, HeidelbergCement AG 8, Infineon Technologies AG 14, Siemens AG 32, ,651 Hong Kong 1.9% 2,520 China Overseas Land & Investment Ltd. 8,313 SHARES SECURITY DESCRIPTION VALUE($) Hong Kong continued 1,760 CK Hutchison Holdings Ltd. 20,630 28,943 Ireland 0.5% 96 Ryanair Holdings plc, ADR 6,825 Israel 1.6% 453 Teva Pharmaceutical Industries Ltd., ADR 24,247 Italy 3.5% 502 Assicurazioni Generali S.p.A. 6,615 6,456 Enel S.p.A. 29,715 4,810 Intesa Sanpaolo S.p.A. 10,613 7,491 Telecom Italia S.p.A. (a) 6,401 53,344 Japan 22.4% 256 Daikin Industries Ltd. 22, Daiwa House Industry Co., Ltd. 22, Dentsu, Inc. 11, DMG Mori Co., Ltd. 6, Honda Motor Co., Ltd. 24, Japan Airlines Co., Ltd. 14,040 7,932 Mitsubishi UFJ Financial Group, Inc. 40,103 1,007 Mitsui Fudosan Co., Ltd. 21, NGK Spark Plug Co., Ltd. 7, NH Foods Ltd. 9, Nippon Telegraph & Telephone Corp. 36, Sompo Japan Nipponkoa Holdings, Inc. 17, Sony Corp. 14,903 1,243 Sumitomo Electric Industries Ltd. 17, Sumitomo Mitsui Financial Group, Inc. 11,133 4,549 Sumitomo Mitsui Trust Holdings, Inc. 15, Suzuken Co., Ltd. 7, Suzuki Motor Corp. 22, Yamato Holdings Co., Ltd. 15, ,515 Luxembourg 1.4% 3,140 ArcelorMittal (a) 20,342 Netherlands 7.2% 492 ASR Nederland N.V. (a) 9,869 2,319 ING Groep N.V. (a) 25, NN Group N.V. 11,693 2,395 Royal Dutch Shell plc, Class A 61, ,330 Norway 1.2% 4,113 Norsk Hydro ASA 17,636

3 SHARES SECURITY DESCRIPTION VALUE($) Common Stocks 98.4% (continued) South Korea 1.3% 14 Samsung Electronics Co., Ltd. 19,928 Spain 0.8% 15,852 Bankia S.A. 12,165 Sweden 2.5% 506 Electrolux AB, Series B 13,707 2,654 Nordea Bank AB 23,642 37,349 Switzerland 4.2% 150 LafargeHolcim Ltd. (a) 7, Roche Holding AG 11, Wolseley plc 17, Zurich Insurance Group AG (a) 27,800 63,880 United Kingdom 16.5% 1,945 Barratt Developments plc 11, British American Tobacco plc 25,690 5,418 Centrica plc 17,279 1,901 GlaxoSmithKline plc 42, InterContinental Hotels Group plc 13,244 10,643 Lloyds Banking Group plc 7,486 1,125 National Grid plc 16,127 1,531 Prudential plc 26, Rio Tinto plc 25,963 2,423 Standard Chartered plc 19,376 14,102 Vodafone Group plc 42, ,715 United States 1.4% 324 Shire plc 20,933 Total Common Stocks (Cost $1,520,404) 1,483,748 Short-Term Investment 0.3% Investment Company 0.3% 4,561 JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.360% (b) (l) (Cost $4,561) 4,561 Total Investments 98.7% (Cost $1,524,965) 1,488,309 Other Assets in Excess of Liabilities 1.3% 20,155 NET ASSETS 100.0% $1,508,464 Percentages indicated are based on net assets.

4 (Amounts in thousands, except number of Futures contracts) Summary of Investments by Industry, July 31, 2016 The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments: INDUSTRY PERCENTAGE Banks 18.2% Oil, Gas & Consumable Fuels 9.7 Insurance 8.6 Automobiles 6.8 Pharmaceuticals 6.3 Metals & Mining 4.6 Industrial Conglomerates 3.6 Real Estate Management & Development 3.5 Multi-Utilities 3.0 Wireless Telecommunication Services 2.9 Diversified Telecommunication Services 2.9 Household Durables 2.7 Trading Companies & Distributors 2.0 Electric Utilities 2.0 Tobacco 1.7 Auto Components 1.7 Building Products 1.5 Biotechnology 1.4 Airlines 1.4 Technology Hardware, Storage & Peripherals 1.3 Textiles, Apparel & Luxury Goods 1.3 Paper & Forest Products 1.2 Real Estate Investment Trusts (REITs) 1.2 Construction Materials 1.0 Air Freight & Logistics 1.0 IT Services 1.0 Semiconductors & Semiconductor Equipment 1.0 Others (each less than 1.0%) 6.2 Short-Term Investment 0.3 Futures Contracts NUMBER OF CONTRACTS DESCRIPTION EXPIRATION DATE TRADING CURRENCY NOTIONAL VALUE AT JULY 31, 2016 NET UNREALIZED APPRECIATION (DEPRECIATION) Long Futures Outstanding 35 TOPIX Index 09/08/16 JPY $ 4,488 $ (107) 179 Euro STOXX 50 Index 09/16/16 EUR 5, FTSE 100 Index 09/16/16 GBP 5, $ (18)

5 Forward Foreign Currency Exchange Contracts CONTRACTS TO BUY CURRENCY COUNTERPARTY SETTLEMENT DATE SETTLEMENT VALUE VALUE AT JULY 31, 2016 NET UNREALIZED APPRECIATION (DEPRECIATION) 24,551 EUR 27,162 for CHF Merrill Lynch International 08/26/16 $ 28,065# $ 27,474# $ (591) 2,174 GBP 4,076 for CAD Citibank, N.A. 08/26/16 3,122# 2,878# (244) 95,417 AUD Goldman Sachs International 08/26/16 68,105 72,450 4,345 7,076 AUD Royal Bank of Canada 08/26/16 5,098 5, ,225 AUD Societe Generale 08/26/16 8,853 9, ,761 CHF Goldman Sachs International 08/26/16 77,754 79,313 1,559 7,808 CHF Standard Chartered Bank 08/26/16 8,106 8,068 (38) 54,338 EUR Citibank, N.A. 08/26/16 60,811 60,808 (3) 27,488 EUR Deutsche Bank AG 08/26/16 30,349 30, ,961 EUR Royal Bank of Scotland 08/26/16 13,415 13,385 (30) 12,845 EUR Societe Generale 08/26/16 14,381 14,374 (7) 88,301 EUR Standard Chartered Bank 08/26/16 100,588 98,814 (1,774) 2,981 GBP Citibank, N.A. 08/26/16 4,313 3,947 (366) 35,360 GBP Goldman Sachs International 08/26/16 51,072 46,815 (4,257) 6,570 GBP HSBC Bank, N.A. 08/26/16 8,918 8,698 (220) 13,777 GBP Royal Bank of Canada 08/26/16 19,354 18,240 (1,114) 60,515 GBP Standard Chartered Bank 08/26/16 88,325 80,120 (8,205) 3,133 GBP State Street Corp. 08/26/16 4,159 4,148 (11) 53,890 HKD Royal Bank of Canada 08/26/16 6,943 6, ,115 HKD Standard Chartered Bank 08/26/16 8,004 8, ,353,674 JPY Deutsche Bank AG 08/26/16 12,392 13, ,521,602 JPY HSBC Bank, N.A. 08/26/16 51,366 54,159 2, ,438 JPY Morgan Stanley 08/26/16 3,164 3, ,760,939 JPY Standard Chartered Bank 08/26/16 43,726 46,698 2,972 1,630,241 JPY State Street Corp. 08/26/16 15,175 15, ,346,431 JPY TD Bank Financial Group 08/26/16 12,613 13, ,258 SEK Goldman Sachs International 08/26/16 12,154 11,613 (541) 27,247 SEK State Street Corp. 08/26/16 3,214 3,188 (26) 42,929 SGD HSBC Bank, N.A. 08/26/16 30,995 32,013 1,018 $ 794,534 $ 793,262 $ (1,272)

6 CONTRACTS TO SELL CURRENCY COUNTERPARTY SETTLEMENT DATE SETTLEMENT VALUE VALUE AT JULY 31, 2016 NET UNREALIZED APPRECIATION (DEPRECIATION) 22,730 AUD Merrill Lynch International 08/26/16 $ 16,949 $ 17,260 $ (311) 18,923 AUD Royal Bank of Canada 08/26/16 14,037 14,368 (331) 13,969 CAD State Street Corp. 08/26/16 10,614 10,700 (86) 2,698 CHF Deutsche Bank AG 08/26/16 2,758 2,787 (29) 6,505 CHF Merrill Lynch International 08/26/16 6,772 6, ,096 CHF Standard Chartered Bank 08/26/16 7,397 7, ,302 CHF State Street Corp. 08/26/16 20,160 19, ,409 EUR Australia and New Zealand Banking Group Limited 08/26/16 3,782 3,815 (33) 73,689 EUR Citibank, N.A. 08/26/16 82,662 82, ,085 EUR Deutsche Bank AG 08/26/16 18,142 18, ,855 EUR Goldman Sachs International 08/26/16 142, ,719 2,704 4,035 EUR Merrill Lynch International 08/26/16 4,433 4,515 (82) 9,813 EUR Standard Chartered Bank 08/26/16 10,957 10,980 (23) 25,874 EUR State Street Corp. 08/26/16 29,267 28, ,458 GBP Citibank, N.A. 08/26/16 85,306 77,396 7,910 39,205 GBP HSBC Bank, N.A. 08/26/16 57,054 51,905 5,149 4,157 GBP Merrill Lynch International 08/26/16 5,520 5, ,893 GBP Royal Bank of Canada 08/26/16 18,663 17,069 1,594 28,529 GBP State Street Corp. 08/26/16 41,547 37,771 3,776 3,273 GBP TD Bank Financial Group 08/26/16 4,290 4,333 (43) 48,675 HKD State Street Corp. 08/26/16 6,276 6, ,087 JPY Citibank, N.A. 08/26/16 8,668 8,966 (298) 13,355,029 JPY Goldman Sachs International 08/26/16 125, ,995 (5,788) 466,516 JPY Standard Chartered Bank 08/26/16 4,416 4,576 (160) 63,226 NOK Merrill Lynch International 08/26/16 7,546 7, ,746 SEK Deutsche Bank AG 08/26/16 6,455 6, ,285 SEK Royal Bank of Canada 08/26/16 7,885 7, ,049 SGD Australia and New Zealand Banking Group Limited 08/26/16 5,107 5,256 (149) 8,283 SGD Goldman Sachs International 08/26/16 6,117 6,177 (60) $ 760,410 $ 745,085 $ 15,325 # For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at July 31, 2016 of the currency being sold, and the value at July 31, 2016 is the U.S. Dollar market value of the currency being purchased.

7 NOTES TO : ADR American Depositary Receipt AUD Australian Dollar CAD Canadian Dollar CHF Swiss Franc EUR Euro GBP British Pound HKD Hong Kong Dollar JPY Japanese Yen NOK Norwegian Krone SEK Swedish Krona SGD Singapore Dollar (a) Non-income producing security. (b) Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. (l) The rate shown is the current yield as of July 31, As of July 31, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows: Aggregate gross unrealized appreciation $ 85,432 Aggregate gross unrealized depreciation (122,088) Net unrealized appreciation/depreciation $ (36,656) Federal income tax cost of investments $1,524,965 A. Valuation of Investments - The valuation of investments is 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 (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 such unadjusted quoted prices 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. JPMorgan 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. Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values ( NAV ) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, shall be valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments in open-end investment companies (the Underlying Funds ) are valued at each Underlying Fund s NAV per share as of the report date. Futures 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.

8 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 Investments in Securities Common Stocks Australia $ $ 59,042 $ $ 59,042 Belgium 29,428 29,428 Canada 17,805 17,805 Chile 6,066 6,066 China 13,995 13,995 Denmark 8,469 8,469 Finland 22,733 22,733 France 180, ,407 Germany 143, ,651 Hong Kong 28,943 28,943 Ireland 6,825 6,825 Israel 24,247 24,247 Italy 53,344 53,344 Japan 338, ,515 Luxembourg 20,342 20,342 Netherlands 109, ,330 Norway 17,636 17,636 South Korea 19,928 19,928 Spain 12,165 12,165 Sweden 37,349 37,349 Switzerland 63,880 63,880 United Kingdom 248, ,715 United States 20,933 20,933 Total Common Stocks 54,943 1,428,805 1,483,748 Short-Term Investment Investment Company 4,561 4,561 Total Investments in Securities $ 59,504 $ 1,428,805 $ $1,488,309 Appreciation in Other Financial Instruments Forward Foreign Currency Exchange Contracts $ $ 38,873 $ $ 38,873 Futures Contracts Total Appreciation in Other Financial Instruments $ $ 38,962 $ $ 38,962 Total

9 Level 1 Quoted prices Transfers between fair value levels are valued utilizing values as of beginning of the period. There were no transfers among any levels during the period ended July 31, B. Derivatives The Fund used derivative instruments including futures 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 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 the counterparty (i.e., decline in a counterparty s credit rating below a specified level). Such rights for both the counterparty and Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and 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 with collateral posted to a segregated account by one party to the other. Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund. Notes (1) (2) below describe the various derivatives used by the Fund. Level 2 Other significant observable inputs Level 3 Significant unobservable inputs Depreciation in Other Financial Instruments Forward Foreign Currency Exchange Contracts $ $ (24,820) $ $(24,820) Futures Contracts (107) (107) Total Depreciation in Other Financial Instruments $ $ (24,927) $ $(24,927) (1). Futures Contracts The Fund used index futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation. 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 Total

10 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 may be exposed to foreign currency risks associated with portfolio investments and therefore, at times, used forward foreign currency exchange contracts to hedge or manage these exposures. 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 cash without the delivery of foreign currency.

11 The values of the forward foreign currency 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 when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement. 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 or due across transactions. As of July 31, 2016, the Fund did not receive or post collateral for forward foreign currency exchange contracts.