J.P. Morgan Money Market Funds

Transcription

1 Annual Report J.P. Morgan Money Market Funds February 28, 2017 JPMorgan Prime Money Market Fund JPMorgan Liquid Assets Money Market Fund JPMorgan U.S. Government Money Market Fund JPMorgan U.S. Treasury Plus Money Market Fund JPMorgan Federal Money Market Fund JPMorgan 100% U.S. Treasury Securities Money Market Fund JPMorgan Tax Free Money Market Fund JPMorgan Municipal Money Market Fund

2 CONTENTS CEO s Letter... 1 Fund Facts: JPMorgan Prime Money Market Fund... 2 JPMorgan Liquid Assets Money Market Fund... 3 JPMorgan U.S. Government Money Market Fund... 4 JPMorgan U.S. Treasury Plus Money Market Fund... 5 JPMorgan Federal Money Market Fund... 6 JPMorgan 100% U.S. Treasury Securities Money Market Fund... 7 JPMorgan Tax Free Money Market Fund... 8 JPMorgan Municipal Money Market Fund... 9 Schedules of Portfolio Investments Financial Statements Financial Highlights Notes to Financial Statements Report of Independent Registered Public Accounting Firm Trustees Officers Schedule of Shareholder Expenses Tax Letter Privacy Policy Located at the back of this Annual Report The following disclosure applies to the JPMorgan Liquid Assets Money Market Fund, JPMorgan Tax Free Money Market Fund and the JPMorgan Municipal Money Market Fund. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. The following disclosure applies to the JPMorgan Prime Money Market Fund. You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. Any gain resulting from the sale or exchange of Fund shares will be taxable as long-term or short-term gain, depending upon how long you have held your shares. The following disclosure applies to the JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund and the JPMorgan 100% U.S. Treasury Securities Money Market Fund. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Funds prospectus for a discussion of the Funds investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (retail investors) or (institutional investors) for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

3 CEO S LETTER March 22, 2017 (Unaudited) Dear Shareholders, For most of the past twelve months, the U.S. economy was one of the few bright spots among developed nations as most of Europe and Japan struggled with low or negative economic growth. However, by the end of February 2017 there emerged clear signals that the world s 20 largest economies were moving in a more synchronized fashion that could lead to an accelerating global economy. While the global economy appeared to grow more synchronized during the twelve months ended February 28, 2017, there also emerged political uncertainties in the U.S. and Europe. Indeed, the World Bank has estimated that global economic growth in 2017 will rise by 2.7% compared with 2.3% in 2016 and economists generally expect each of the world s 20 largest economies will see an increase in gross domestic product in In the 19-nation euro zone, manufacturing activity rose in February 2017 for the sixth consecutive month and reached levels not seen in nearly six years. Economic confidence surveys have been the strongest since While unemployment across the euro zone remained nearly twice that of the U.S., the jobless rate fell faster than expected in early 2017 to its lowest level since Importantly, euro zone inflation reached the European Central Bank s target of 2.0% in February 2017, which provided further evidence that the risk of a painful deflationary spiral had receded. Meanwhile, Chinese factory activity was stronger than economists expected in February 2017 and more broadly, Chinese economic stimulus measures initiated in 2016 appeared to bolster trade throughout Asia. In Japan, corporate profits were estimated at record highs even in the face of a stronger yen. South Korean exports grew in February 2017 for the fourth consecutive month. Economic data from Australia and India showed signs of stronger growth. To a certain extent, the healthier global economy was supported by a rebound in global oil prices, which reached 15- month highs in October Prices for other commodities also rose during 2016, helping growth in those emerging market nations reliant on natural resource exports. In the U.S., the pace of economic expansion was sufficient to persuade the Federal Reserve Bank to raise interest rates in December 2016 and again in March Meanwhile, leading stock market indexes hit record highs in late 2016 and early 2017 amid strength in corporate profits and the broader U.S. economy. Investor expectations that the Republican Party s newly-won control of the U.S. presidency along with its majorities in both houses of the U.S. Congress would bolster economic growth while lowering certain taxes further supported U.S. financial assets. While the global economy appeared to grow more synchronized during the twelve months ended February 28, 2017, there also emerged political uncertainties in the U.S. and Europe. In the U.K., a populist drive to exit the European Union won a surprise victory in mid While global financial markets generally rebounded from the sharp sell-off that followed the June 23rd referendum, the ultimate impact of the so-called Brexit remained uncertain and was seen as a drag on the U.K. economy. In November, Donald Trump, who campaigned on a platform that included tighter restrictions on immigration and protective trade policies, won the U.S. presidency. While voters in the Netherlands declined to give the anti-immigrant Party for Freedom a majority in the lower house of Parliament, populist parties were vying for power in France, Germany and elsewhere. Each of these parties and their leaders both in the U.S. and elsewhere share broad policy goals that prioritize restricting immigration and shunning supranational trade agreements. Given that immigration and free trade are key drivers of economic growth in advanced, post-industrial nations, it remains to be seen how much electoral support these shared agendas would earn. In the face of all this, U.S. and foreign financial markets generally rewarded investors with positive returns for the twelve months through February 28, Over time, we believe financial markets will continue to reward those investors who maintain patience and discipline in the context of a properly diversified portfolio. We look forward to managing your investment needs for years to come. Should you have any questions, please visit or contact the J.P. Morgan Funds Service Center at Sincerely yours, George C.W. Gatch CEO, Investment Funds Management, J.P. Morgan Asset Management FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 1

4 JPMorgan Prime Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective*... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Seeks current income while seeking to maintain liquidity and a low volatility of principal High quality, short-term, U.S. dollar-denominated money market instruments Short-term Class C, Agency, Capital, IM, Institutional Class, Morgan, Premier and Reserve $30.5 Billion 26 days 72 days MATURITY SCHEDULE**^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Class C Shares % Agency Shares Capital Shares IM Shares Institutional Class Shares Morgan Shares Premier Shares Reserve Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * During the period, the objective changed from providing the highest possible level of current income while still maintaining liquidity and preserving capital. ** Percentages indicated are based upon total investments as of February 28, (1) The yields for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.74)%, 0.76%, 0.86%, 0.91%, 0.81%, 0.51%, 0.61% and 0.34% for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. 2 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

5 JPMorgan Liquid Assets Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^^... Weighted Average Life^^^... Seeks current income with liquidity and stability of principal High quality, short-term instruments including corporate notes, U.S. government securities, asset-backed securities, repurchase agreements, commercial paper, funding agreements, certificates of deposit, municipal obligations and bank obligations Short-term Class C, Agency, Capital, E*Trade^, Institutional Class, Investor, Morgan, Premier and Reserve Shares $773.0 Million 20 days 60 days MATURITY SCHEDULE*^^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days Class C Shares % Agency Shares Capital Shares Institutional Class Shares Investor Shares Morgan Shares Premier Shares Reserve Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ E*Trade Shares had no assets from the close of business on October 19, ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. ^^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * Percentages indicated are based upon total investments as of February 28, (1) The yields for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.12)%, 0.74%, 0.84%, 0.79%, 0.54%, 0.44%, 0.59% and 0.34% for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares and Premier Shares, Reserve Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 3

6 JPMorgan U.S. Government Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Seeks high current income with liquidity and stability of principal High quality, short-term securities issued or guaranteed by the U.S. government or by U.S. government agencies or instrumentalities and repurchase agreements collateralized by such obligations Short-term Agency, Capital, Direct, Eagle Class, E*Trade, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares $151.7 Billion 38 days 102 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Agency Shares % Capital Shares Direct Shares Eagle Class Shares E*Trade Shares IM Shares Institutional Class Shares Investor Shares Morgan Shares Premier Shares Reserve Shares Service Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * Percentages indicated are based upon total investments as of February 28, (1) The yields for Agency Shares, Capital Shares, Direct Shares, Eagle Class Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.30%, 0.40%, 0.31%, (0.10)%, (0.44)%, 0.46%, 0.35%, 0.11%, 0.00%, 0.15%, (0.09)% and (0.44)% for Agency Shares, Capital Shares, Direct Shares, Eagle Class Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Government Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. 4 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

7 JPMorgan U.S. Treasury Plus Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Seeks current income with liquidity and stability of principal Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury and repurchase agreements collateralized by U.S. Treasury securities Short-term Class C, Agency, Direct, Eagle Class, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares $24.8 Billion 42 days 98 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Class C Shares % Agency Shares Direct Shares Eagle Class Shares IM Shares Institutional Class Shares Investor Shares Morgan Shares Premier Shares Reserve Shares Service Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * Percentages indicated are based upon total investments as of February 28, (1) The yields for Class C Shares, Agency Shares, Direct Shares, Eagle Class Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.57)%, 0.27%, 0.28%, (0.11)%, 0.43%, 0.33%, 0.08%, (0.02)%, 0.13%, (0.12)% and (0.46)% for Class C Shares, Agency Shares, Direct Shares, Eagle Class Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan U.S. Treasury Plus Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 5

8 JPMorgan Federal Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Aims to provide current income while still preserving capital and maintaining liquidity Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as debt obligations issued or guaranteed by U.S. government agencies or instrumentalities Short-term Agency, Institutional Class, Morgan, Premier and Reserve Shares $3.1 Billion 47 days 117 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Agency Shares % Institutional Class Shares Morgan Shares Premier Shares Reserve Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * Percentages indicated are based upon total investments as of February 28, (1) The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.32%, 0.37%, (0.08)%, 0.17% and (0.08)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. 6 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

9 JPMorgan 100% U.S. Treasury Securities Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Aims to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes Short-term Agency, Capital, Institutional Class, Morgan, Premier, Reserve and Service Shares $25.0 Billion 50 days 112 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Agency Shares % Capital Shares Institutional Class Shares Morgan Shares Premier Shares Reserve Shares Service Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * Percentages indicated are based upon total investments as of February 28, (1) The yields for Agency Shares, Capital Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.27%, 0.37%, 0.32%, (0.03)%, 0.12%, (0.14)% and (0.46)% for Agency Shares, Capital Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 7

10 JPMorgan Tax Free Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^... Weighted Average Life^^... Aims to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity* High quality short-term municipal securities, the interest on which is excluded from federal income taxes Short-term Agency, Direct, Institutional Class, Morgan, Premier and Reserve Shares $15.4 Billion 15 days 15 days MATURITY SCHEDULE**^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days days days days days days Agency Shares % Direct Shares Institutional Class Shares Morgan Shares Premier Shares Reserve Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * A portion of the Fund s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. ** Percentages indicated are based upon total investments as of February 28, (1) The yields for Agency Shares, Direct Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.35%, 0.36%, 0.40%, 0.05%, 0.20% and (0.05)% for Agency Shares, Direct Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. 8 J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

11 JPMorgan Municipal Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 28, 2017 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 28, Weighted Average Maturity^^... Weighted Average Life^^^... Seeks as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal* High quality short-term municipal securities, the interest on which is excluded from federal income taxes Short-term Agency, Eagle Class, E*Trade^, Institutional Class, Morgan, Premier, Reserve and Service Shares $1.7 Billion 6 days 6 days MATURITY SCHEDULE**^^ 7-DAY SEC YIELD AS OF FEBRUARY 28, 2017 (1) 1day % 2 7 days Agency Shares % Eagle Class Shares Institutional Class Shares Morgan Shares Premier Shares Reserve Shares Service Shares The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call (retail investors) or (institutional investors). An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. ^ E*Trade Shares had no assets from the close of business on September 21, ^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. ^^^ The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. * A portion of the Fund s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. ** Percentages indicated are based upon total investments as of February 28, (1) The yields for Agency Shares, Eagle Class Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.26%, (0.15)%, 0.31%, (0.04)%, 0.11%, (0.14)% and (0.49)% for Agency Shares, Eagle Class Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. An unaudited, uncertified list of prior-day portfolio holdings of the JPMorgan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 9

12 JPMorgan Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS AS OF FEBRUARY 28, 2017 (Amounts in thousands) AMOUNT($) SECURITY DESCRIPTION (t) VALUE($) Repurchase Agreements 12.3% 215,000 BNP Paribas, 0.910%, dated 02/28/17, due 03/07/17, repurchase price $215,038, collateralized by Asset-Backed Securities, 1.031% %, due 07/15/24-07/25/46, Collateralized Mortgage Obligations, 0.000% %, due 11/25/24-09/25/46, Corporate Bonds, 2.250% %, due 02/01/19-03/09/48, Corporate Notes, 1.950% %, due 05/13/19-03/07/22, FHLMC, 2.221% %, due 11/27/23-08/25/29, FNMA, 6.500%, due 12/25/42, FNMA Connecticut Avenue Securities, 5.021% %, due 10/25/28-01/25/29, Municipal Debt Securities, 1.280%, due 09/15/27 and Sovereign Government Securities, 5.750% %, due 06/16/18-09/26/23, with a value of $230, ,000 87,500 Citigroup Global Markets, Inc., 1.439%, dated 02/28/17, due 03/28/17, repurchase price $87,598, collateralized by Asset-Backed Securities, 1.088% %, due 10/15/29-12/26/50, with a value of $94, ,500 87,500 Citigroup Global Markets, Inc., 1.439%, dated 02/28/17, due 03/28/17, repurchase price $87,598, collateralized by Corporate Bonds, 1.427% %, due 03/20/17-01/01/49, Corporate Notes, 0.751% %, due 04/04/17-01/01/49 and Municipal Debt Securities, 0.000%, due 09/01/22, with a value of $94, , ,000 Credit Suisse Securities USA LLC, 0.860%, dated 02/28/17, due 03/02/17, repurchase price $150,007, collateralized by a Certificate of Deposit, 1.233%, due 10/02/17, Collateralized Mortgage Obligations, 0.000% %, due 10/19/26-02/25/57 and Commercial Paper, 0.000%, due 03/21/17, with a value of $161, , ,000 Credit Suisse Securities USA LLC, 1.289%, dated 02/28/17, due 04/04/17, repurchase price $300,376, collateralized by Collateralized Mortgage Obligations, 0.000% %, due 12/27/18-01/15/59, with a value of $324, , ,000 HSBC Securities USA, Inc., 0.910%, dated 02/28/17, due 03/01/17, repurchase price $350,009, collateralized by Corporate Bonds, 3.875% %, due 04/01/17-11/01/43 and Corporate Notes, 5.750% %, due 01/15/25-12/29/49, with a value of $378, , ,000 Merrill Lynch PFS, Inc., 1.360%, dated 02/28/17, due 04/04/17, repurchase price $580,767, collateralized by Asset-Backed Securities, 1.173% %, due 01/15/19-04/16/22, Collateralized Mortgage Obligations, 1.128%, due 06/28/47, Corporate Bonds, 1.963% %, due 09/15/17-06/01/67 and Corporate Notes, 4.000% %, due 10/22/23-11/15/40, with a value of $617, , ,000 Merrill Lynch PFS, Inc., 1.379%, dated 02/28/17, due 04/04/17, repurchase price $125,168, collateralized by Corporate Bonds, 1.613% %, due 04/23/20-02/28/57 and Corporate Notes, 4.625% %, due 08/15/18-07/11/24, with a value of $133, , ,000 Societe Generale SA, 0.860%, dated 02/28/17, due 03/01/17, repurchase price $546,013, collateralized by Corporate Bonds, 5.500% %, due 10/01/17-05/15/25, Corporate Notes, 4.500%, due 10/03/18 and Sovereign Government Securities, 4.250% %, due 06/01/17-05/30/40, with a value of $589, , ,000 Societe Generale SA, 0.900%, dated 02/28/17, due 03/01/17, repurchase price $670,017, collateralized by Corporate Bonds, 5.750%, due 10/27/21 and Sovereign Government Securities, 4.250% %, due 04/03/18-05/15/27, with a value of $723, , ,000 Wells Fargo Securities LLC, 0.810%, dated 02/28/17, due 03/01/17, repurchase price $500,011, collateralized by Asset-Backed Securities, 0.000% %, due 12/15/17-11/26/57, with a value of $540, , J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

13 Repurchase Agreements continued 137,000 Wells Fargo Securities LLC, 0.860%, dated 02/28/17, due 03/07/17, repurchase price $137,023, collateralized by Asset-Backed Securities, 3.500% %, due 11/24/25-10/16/46, with a value of $147, ,000 Total Repurchase Agreements (Cost $3,748,000) 3,748,000 U.S. Treasury Obligations 2.1% U.S. Treasury Notes 2.1% 300, %, 07/31/17 299, , %, 10/31/17 249,941 95, %, 11/30/17 96,002 Total U.S. Treasury Obligations (Cost $645,485) 645,779 Weekly Demand Notes 6.8% California 0.6% 55,000 California Health Facilities Financing Authority, Health Facility, Catholic Healthcare West, Series C, Rev., VRDO, LOC: Bank of Montreal, 0.610%, 03/07/17 55,000 40,000 California Health Facilities Financing Authority, Health Facility, Catholic Healthcare West Loan Program, Series H, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.640%, 03/07/17 40,000 City & County of San Francisco, Multifamily Housing, Taxable, Transbay Block 8 Tower Apartments, 15,190 Series H-3, Rev., VRDO, LOC: Bank of China, 1.100%, 03/07/17 15,190 24,190 Series H-4, Rev., VRDO, LOC: Bank of China, 1.040%, 03/07/17 24,190 17,375 City of Riverside, Riverside Renaissance Projects, Series 2008, COP, VRDO, LOC: Bank of America NA, 0.640%, 03/07/17 17,375 21,720 Irvine Unified School District, Community Facilities District No. 09-1, Special Tax, Series 2014B, VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.640%, 03/07/17 21, ,475 Colorado 0.1% 34,165 Colorado Educational & Cultural Facilities Authority, Nature Conservancy Project, Series 2012, Rev., VRDO, 0.640%, 03/07/17 34,165 District of Columbia 0.3% 35,000 District of Columbia, Medlantic/Helix Issue, Tranche II, Series 1998A, Rev., VRDO, LOC: TD Bank NA, 0.630%, 03/07/17 35,000 District of Columbia continued 49,000 Metropolitan Washington Airports Authority, SeriesA,SubseriesA-1,Rev.,VRDO,LOC:Royal Bank of Canada, 0.660%, 03/07/17 49,000 84,000 Florida 0.1% 37,000 County of Miami-Dade, Juvenile Courthouse Project, Series B, Rev., VRDO, LOC: TD Bank NA, 0.630%, 03/07/17 37,000 Georgia 0.0% (g) 18,000 Glynn-Brunswick Memorial Hospital Authority, Series B, Rev., VRDO, LOC: TD Bank NA, 0.630%, 03/07/17 18,000 Illinois 0.3% 100,000 Illinois State Toll Highway Authority, Series A-2B, Rev., VRDO, LOC: PNC Bank NA, 0.640%, 03/07/17 100,000 Indiana 0.2% 21,610 Indiana Finance Authority, Trinity Health Credit Group, Series D-1, Rev., VRDO, 0.620%, 03/07/17 21,610 57,300 Indiana Health Facility Financing Authority, Ascension Health, Series E-6, Rev., VRDO, 0.650%, 03/07/17 57,300 78,910 Michigan 0.1% 27,050 Kent Hospital Finance Authority, Spectrum Health System,SeriesC,Rev.,VRDO,LOC:Bankof New York Mellon, 0.650%, 03/07/17 27,050 Mississippi 0.0% (g) 4,000 Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project, Series B, Rev., VRDO, 0.660%, 03/07/17 4,000 Nevada 0.3% 83,835 Clark County, Nevada Airport System, Series B-2, Rev., VRDO, AMT, LOC: Royal Bank of Canada, 0.640%, 03/07/17 83,835 New Jersey 0.8% Jets Stadium Development LLC, 67,745 Series A-4A, VAR, 0.740%, 03/07/17 (e) 67,745 68,300 Series A-4B, VAR, 0.740%, 03/07/17 (e) 68,300 30,000 Series A-4C, VAR, 0.740%, 03/07/17 (e) 30,000 72,445 Jets Stadium Finance Issuer 2015 LLC, VAR, 0.740%, 03/07/17 (e) 72, ,490 FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 11

14 JPMorgan Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS AS OF FEBRUARY 28, 2017 (continued) (Amounts in thousands) Weekly Demand Notes continued New York 2.8% 20,000 City of New York, Fiscal Year 2004, Series H, Subseries H-2, GO, VRDO, LOC: California Public Employees Retirement System, 0.640%, 03/07/17 20,000 50,000 City of New York, Fiscal Year 2006, Series E, Subseries E-3, GO, VRDO, LOC: Bank of America NA, 0.630%, 03/07/17 50,000 41,200 City of New York, Fiscal Year 2009, Series B, Subseries B-3, GO, VRDO, LOC: TD Bank NA, 0.620%, 03/07/17 41,200 City of New York, Fiscal Year 2012, 230,000 Series G, Subseries G-3, GO, VRDO, LOC: Citibank NA, 0.630%, 03/07/17 230,000 67,690 Series G, Subseries G-4, GO, VRDO, LOC: Citibank NA, 0.630%, 03/07/17 67, ,100 City of New York, Fiscal Year 2017, Series A, Subseries A-4, GO, VRDO, LOC: Citibank NA, 0.630%, 03/07/17 132,100 Metropolitan Transportation Authority, 39,615 Subseries E-2, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.640%, 03/07/17 39,615 59,770 Subseries E-3, Rev., VRDO, LOC: Citibank NA, 0.630%, 03/07/17 59,770 36,000 New York City Health & Hospital Corp., Health System, Series C, Rev., VRDO, LOC: TD Bank NA, 0.620%, 03/07/17 36,000 31,000 New York State Energy Research & Development Authority, Consolidated Edison Co., Inc. Project, Series A, Subseries A-1, Rev., VRDO, LOC: Mizuho Corporate Bank, 0.650%, 03/07/17 31,000 26,000 New York State Housing Finance Agency, Riverside Center 2 Housing, Subseries A-2, Rev., VRDO, LOC: Bank of America NA, 0.660%, 03/07/17 26,000 Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, 39,000 Series A, Rev., VRDO, LOC: TD Bank NA, 0.630%, 03/07/17 39,000 45,830 Series B, Rev., VRDO, LOC: State Street Bank & Trust, 0.620%, 03/07/17 45,830 38,295 Series B, Subseries B-1, Rev., VRDO, LOC: PNC Bank NA, 0.650%, 03/07/17 38, ,500 North Carolina 0.1% 18,810 North Carolina Medical Care Commission, Health System, Catholic Health East Issue, Series 2008, Rev., VRDO, 0.630%, 03/07/17 18,810 Ohio 0.1% 20,435 Ohio State University, General Receipts, Series 2008 B, Rev., VRDO, 0.610%, 03/07/17 20,435 Oregon 0.1% 28,700 State of Oregon, Facilities Authority, PeaceHealth, Series B, Rev., VRDO, LOC: U.S. Bank NA, 0.650%, 03/07/17 28,700 Pennsylvania 0.3% 16,700 City of Philadelphia, Gas Works, 1998 General Ordinance, Eight, Series D, Rev., VRDO, LOC: Royal Bank of Canada, 0.640%, 03/07/17 16,700 40,000 Pennsylvania Economic Development Financing Authority, Exempt Facilities, PSEG Power LLC Project, Series 2007, Rev., VRDO, AMT, LOC: TD Bank NA, 0.630%, 03/07/17 40,000 18,305 Philadelphia Authority, Industrial Development Multi-Modal Lease, Series B-3, Rev., VRDO, LOC: PNC Bank NA, 0.640%, 03/07/17 18,305 26,245 Pittsburgh Water & Sewer Authority, Series B-2, Rev., VRDO, LOC: PNC Bank NA, 0.640%, 03/07/17 26, ,250 Rhode Island 0.2% 50,000 Narragansett Bay Commission, Wastewater System, Series A, Rev., VRDO, LOC: TD Bank NA, 0.610%, 03/07/17 50,000 Vermont 0.2% 50,000 Vermont Educational and Health Buildings Financing Agency, Fletcher Allen Health Care Project, Series A, Rev., VRDO, AGM, LOC: TD Bank NA, 0.640%, 03/07/17 50,000 Virginia 0.1% 38,300 Loudoun County IDA, Howard Hughes Medical Institute, Series A, Rev., VRDO, 0.630%, 03/07/17 38,300 West Virginia 0.1% 21,000 West Virginia EDA, Solid Waste Disposal Facilities, Kentucky Power Co., Mitchell Project, Series 2014A, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.660%, 03/07/17 21,000 Total Weekly Demand Notes (Cost $2,063,920) 2,063, J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 28, 2017

15 Short-Term Investments 78.3% Certificates of Deposit 40.4% ABN AMRO Bank NV 50, %, 05/05/17 (n) 49, , %, 06/12/17 (n) 99,660 Agricultural Bank of China Ltd. 50, %, 03/09/17 50,002 42, %, 03/06/17 42,001 Banco Del Estado De Chile 90, %, 06/08/17 90,027 25,000 VAR, 1.172%, 03/17/17 25,013 40,000 VAR, 1.239%, 03/20/17 40,031 50,000 VAR, 1.289%, 03/21/17 50, ,000 VAR, 1.309%, 03/20/17 120,085 95,000 VAR, 1.311%, 03/14/17 95,062 85,000 Bank of China Ltd., 1.000%, 04/13/17 (n) 84, ,000 Bank of Montreal, 1.120%, 04/17/17 100, ,000 Bank of Nova Scotia, VAR, 1.442%, 04/13/17 150,307 Bank of Tokyo-Mitsubishi UFJ Ltd. 150, %, 07/24/17 150, ,000 VAR, 1.398%, 03/27/17 337,308 Banque Federative du Credit Mutuel SA 165, %, 08/14/17 (n) 164, , %, 08/01/17 165,075 75,000 BPCE SA, VAR, 1.272%, 03/10/17 75,011 40,000 Canadian Imperial Bank of Commerce, VAR, 1.161%, 03/09/17 40,021 Chiba Bank Ltd. 30, %, 04/13/17 30,005 95, %, 04/28/17 95,005 China Construction Bank Corp. 150, %, 04/13/17 149,987 60, %, 03/31/17 60, , %, 03/20/17 173,022 30, %, 04/13/17 30,016 70,000 Citibank NA, 1.150%, 04/26/17 70,048 Commonwealth Bank of Australia 120,000 VAR, 1.189%, 03/23/17 120, ,000 VAR, 1.210%, 03/16/17 124,987 Cooperatieve Rabobank 290,000 VAR, 1.000%, 04/03/17 290,000 25, %, 03/24/17 (n) 24, ,000 VAR, 1.230%, 03/16/17 130, ,000 VAR, 1.314%, 05/10/17 140, ,000 VAR, 1.413%, 04/24/17 200, ,000 VAR, 1.443%, 04/24/17 125,240 Certificates of Deposit continued Credit Agricole Corporate & Investment Bank SA 150,000 VAR, 1.381%, 03/14/17 150,120 35,000 VAR, 1.382%, 03/17/17 35,028 Credit Industriel et Commercial 40,000 VAR, 1.041%, 03/31/17 40,000 25,000 VAR, 1.069%, 03/21/17 24,998 30, %, 03/01/17 (n) 29,998 66,000 VAR, 1.070%, 03/16/17 66, ,000 VAR, 1.289%, 03/17/17 100, , %, 05/02/17 (n) 99, , %, 04/03/17 (n) 124, , %, 04/18/17 (n) 124, ,000 Dexia Credit Local SA, VAR, 1.285%, 03/08/17 135,126 DZ Bank AG 51, %, 05/10/17 (n) 50,903 24,000 VAR, 1.059%, 03/23/17 24,000 90,000 VAR, 1.159%, 03/29/17 89, ,000 VAR, 1.202%, 03/13/17 100, , %, 04/21/17 (n) 249, ,000 Industrial & Commercial Bank of China Ltd., 1.220%, 03/06/17 435, ,000 ING Bank NV, VAR, 1.370%, 03/15/17 200,003 KBC Bank NV 200, %, 03/01/17 200, , %, 05/15/17 (n) 106, , %, 03/21/17 (n) 126, , %, 03/31/17 (n) 144, ,000 Landesbank Hessen-Thueringen, 1.300%, 03/22/17 150,054 Mitsubishi UFJ Trust & Banking Corp. 50, %, 03/15/17 (n) 49, , %, 04/18/17 (n) 99,880 50, %, 07/27/17 (n) 49,734 60, %, 07/31/17 (n) 59, ,000 VAR, 1.521%, 03/13/17 150,045 Mizuho Bank Ltd. 5, %, 05/30/17 (n) 4, ,000 VAR, 1.179%, 03/23/17 99,992 30,000 VAR, 1.387%, 03/06/17 30,020 95,000 VAR, 1.471%, 03/14/17 95,081 90,000 VAR, 1.472%, 03/17/17 90, ,000 VAR, 1.521%, 03/13/17 180,055 Mizuho Corporate Bank Ltd. 65, %, 03/15/17 (n) 64,971 10, %, 03/31/17 (n) 9,992 35, %, 08/10/17 (n) 34,799 FEBRUARY 28, 2017 J.P. MORGAN MONEY MARKET FUNDS 13