J.P. Morgan Money Market Funds

Transcription

1 Annual Report J.P. Morgan Money Market Funds February 29, 2016 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 You could lose money by investing in the Funds. Although the Funds seek to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds 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 16, 2016 (Unaudited) Even as the U.S. economy continued to steadily strengthen during the past year, the drag from slowing growth in the rest of the world increased and was reflected by turbulent financial markets and highly active central banks. While the outlook for the U.S. economy had dimmed somewhat by the end of February, job growth continued, core inflation remained stable and the risk of economic recession in the U.S. appeared low. Gains in employment and consumer spending throughout 2015 helped persuade the U.S. Federal Reserve (the Fed ) to raise interest rates in December for the first time in more than a decade. Meanwhile, leading central banks in China, Japan and the European Union enacted extraordinary measures to stimulate economic growth and stabilize financial markets. In the face of slowing global growth and rising market volatility, the Fed declined to further raise interest rates at its mid-march meeting. Throughout the past twelve months, oil and gas prices remained historically low amid global oversupply and slowing demand, and by the end of the reporting period prices were roughly two-thirds off their peak in In February, spot prices for crude oil dropped to levels not seen since While low energy prices put more money into consumers pockets and helped reduce commercial transportation costs, deteriorating balance sheets of energy sector companies raised the threat of defaults, particularly in the U.S. market for high yield bonds (also known as junk bonds ). Also, energy companies have sharply curtailed spending on new projects, which has hurt the broader industrial sector that supplies pipeline, construction materials and machinery to oil exploration and production. Along with lower oil prices, the U.S. dollar s strength relative to other currencies was an important economic factor over the past twelve months. Overseas central bank interventions have driven down the value of foreign currencies, particularly the euro and the yen, while the strength of the U.S. economy had made the dollar more attractive. This in turn hurt the overseas earnings of U.S. companies. Among the companies that comprise the Standard & Poor s 500 Index (S&P 500), an estimated aggregate of 35% to 40% of their earnings come from overseas and the loss of income was reflected in the final quarter of 2015, when aggregate per-share earnings of companies in the S&P 500 declined on a year-over-year basis for the third consecutive quarter. Notably, financial analysts accelerated the pace of downward revisions to their earnings estimates during the first two months of Meanwhile, the broader U.S. economy continued along its lowgrowth trajectory for the twelve months. Gross domestic product (GDP) grew by 2.4% in 2015, matching 2014 output. With the addition of 230,000 new jobs in February, non-farm private sector employment extended its expansion to 72 consecutive months. During the twelve months ended February 29, 2016, the unemployment rate fell to 4.9% from 5.5%, though wage growth during the period was 2.2%, barely outpacing the rate of inflation. Consumer spending, which accounts for two-thirds of U.S. economic activity, slowed to 0.1% growth in December and maintained that pace through January and February. While the relative strength of the U.S. economy provides support for both U.S. equity and bond markets, it was not enough to overcome the slowdown in corporate earnings and weakening demand overseas. The S&P 500 reached a record high in mid-may and then suffered sell-offs in August 2015 and January Bond markets benefitted somewhat from investors search for safe havens amid market volatility, but with global interest rates at historic lows, yields on fixed-income investments were slight. While the outlook for the U.S. economy had dimmed somewhat by the end of February, job growth continued, core inflation remained stable and the risk of economic recession in the U.S. appeared low. In this climate of low growth and heightened volatility in financial markets, investors may best be served by a patient, long term outlook and a properly diversified portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. 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, Global Funds Management, J.P. Morgan Asset Management FEBRUARY 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 1

4 JPMorgan Prime Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, Weighted Average Maturity^... Weighted Average Life^^... Aims to provide the highest possible level of current income while still maintaining liquidity and preserving capital High quality, short-term, U.S. dollar-denominated money market instruments Short-term Class C, Agency, Capital, Cash Management, Direct, Eagle Class, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares $106.5 Billion 35 days 46 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 days days days days days Class C Shares % Agency Shares Capital Shares Cash Management 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 29, (1) The yields for Class C Shares, Agency Shares, Capital Shares, Cash Management 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 (0.60)%, 0.27%, 0.37%, (0.38)%, 0.26%, (0.13)%, 0.42%, 0.32%, 0.08%, 0.05%, 0.12%, (0.13)% and (0.48)% for Class C Shares, Agency Shares, Capital Shares, Cash Management 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 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 29, 2016

5 JPMorgan Liquid Assets Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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, Reserve and Service Shares $13.2 Billion 32 days 40 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 days days days days days Class C Shares % Agency Shares Capital Shares E*Trade 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 29, (1) The yields for Class C Shares, Agency Shares, Capital Shares, E*Trade 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 (0.62)%, 0.23%, 0.33%, (0.53)%, 0.28%, 0.03%, (0.09)%, 0.08%, (0.17)% and (0.57)% for Class C Shares, Agency Shares, Capital Shares, E*Trade 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 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 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 3

6 JPMorgan U.S. Government Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares $60.4 Billion 46 days 108 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 days days days days days days Agency Shares % Capital 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 29, (1) The yields for Agency Shares, Capital 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 0.08%, 0.18%, 0.08%, (0.32)%, 0.23%, 0.13%, (0.12)%, (0.23)%, (0.08)%, (0.36)% and (0.67)% for Agency Shares, Capital 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. 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 29, 2016

7 JPMorgan U.S. Treasury Plus Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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 $17.0 Billion 39 days 99 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (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 29, (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 (0.80)%, 0.05%, 0.04%, (0.34)%, 0.19%, 0.09%, (0.15)%, (0.26)%, (0.10)%, (0.35)% and (0.69)% 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 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 5

8 JPMorgan Federal Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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 $4.2 Billion 34 days 111 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 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 29, (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 0.06%, 0.11%, (0.23)%, (0.08)% and (0.33)% 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 29, 2016

9 JPMorgan 100% U.S. Treasury Securities Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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 $22.3 Billion 44 days 114 days MATURITY SCHEDULE*^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 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 29, (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 0.03%, 0.13%, 0.08%, (0.27)%, (0.12)%, (0.36)% and (0.72)% 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 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 7

10 JPMorgan Tax Free Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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, Eagle Class, Institutional Class, Morgan, Premier and Reserve Shares $19.0 Billion 15 days 15 days MATURITY SCHEDULE**^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 days days days days days Agency Shares % Direct Shares Eagle Class 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 29, (1) The yields for Agency Shares, Direct Shares, Eagle Class 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 (0.27)%, (0.26)%, (0.67)%, (0.22)%, (0.57)%, (0.42)% and (0.67)% for Agency Shares, Direct Shares, Eagle Class 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 29, 2016

11 JPMorgan Municipal Money Market Fund FUND FACTS TWELVE MONTHS ENDED FEBRUARY 29, 2016 (Unaudited) Objective... Primary Investments... Suggested investment time frame... Share classes offered... Net Assets as of February 29, 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, E*Trade, Institutional Class, Morgan, Premier, Reserve and Service Shares $3.2 Billion 12 days 12 days MATURITY SCHEDULE**^ 7-DAY SEC YIELD AS OF FEBRUARY 29, 2016 (1) 1day % 2 7 days days days days days Agency Shares % E*Trade 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. * 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 29, (1) The yields for Agency Shares, E*Trade 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)%, (1.01)%, (0.21)%, (0.56)%, (0.41)%, (0.66)% and (1.01)% for Agency Shares, E*Trade 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 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 9

12 JPMorgan Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS AS OF FEBRUARY 29, 2016 (Amounts in thousands) AMOUNT($) SECURITY DESCRIPTION (t) VALUE($) Certificates of Deposit 42.1% 550,000 ABN AMRO Bank N.V., 0.630%, 04/08/16 549,635 Agricultural Bank of China Ltd., 100, %, 04/20/16 100,000 62, %, 05/06/16 62,000 Australia & New Zealand Banking Group Ltd., 305, %, 05/16/16 305, , %, 05/27/16 138,000 Banco Del Estado De Chile, 90, %, 03/15/16 90, , %, 05/06/16 200, , %, 05/20/16 130, , %, 06/03/16 100,000 60,000 VAR, 0.786%, 03/25/16 60,000 Bank of China Ltd., 75, %, 04/08/16 74, , %, 04/11/16 299,748 65, %, 04/08/ , %, 03/30/16 44, ,000 Bank of Montreal, 0.600%, 04/08/16 190,000 Bank of Nova Scotia, 80,000 VAR, 0.542%, 03/10/16 80, ,000 VAR, 0.670%, 04/09/16 100,000 Bank of Tokyo-Mitsubishi UFJ Ltd., 300, %, 05/11/16 300, , %, 04/26/16 195, , %, 05/25/16 280, , %, 06/08/16 224,000 Banque Federative du Credit Mutuel S.A., 531, %, 04/07/16 531, , %, 06/01/16 373, , %, 06/01/16 190, , %, 05/02/16 412, , %, 05/03/16 249,692 BNP Paribas, 450, %, 03/11/16 450, , %, 04/13/16 438, , %, 03/17/16 155,000 BNP Paribas S.A., 565, %, 04/07/16 564, , %, 04/12/16 333, , %, 05/02/16 857, ,000 BPCE S.A., 0.650%, 03/17/16 290, ,000 Caisse des Depots et Consignations, 0.620%, 05/19/16 299, ,000 Canadian Imperial Bank of Commerce, 0.850%, 08/24/16 125, ,000 Chiba Bank Ltd., 0.640%, 03/14/16 100,000 China Construction Bank Corp., 355, %, 03/03/16 355, , %, 04/20/16 165, , %, 05/06/16 295,000 Citibank N.A., 125, %, 04/15/16 125,000 70, %, 05/17/16 70,000 Commonwealth Bank of Australia, 300, %, 07/05/16 300, , %, 08/25/16 100, ,000 VAR, 0.551%, 03/01/16 150,000 Credit Agricole Corporate and Investment Bank, 450, %, 04/06/16 450, , %, 05/06/16 500, , %, 05/09/16 600, , %, 05/02/16 469,000 75, %, 06/01/16 75, ,000 VAR, 0.839%, 03/09/16 330,000 Credit Industriel et Commercial, 159, %, 03/02/16 159, , %, 06/03/16 160, , %, 06/01/16 686, , %, 05/03/16 356, , %, 05/10/16 240, , %, 05/13/16 445, , %, 07/25/16 283,000 Credit Suisse AG, 200, %, 06/01/16 200, ,000 VAR, 0.686%, 03/01/16 500, ,000 VAR, 0.866%, 03/25/16 150,000 Danske Bank A/S, 318, %, 05/11/16 317, , %, 04/08/16 672, , %, 05/03/16 150, ,000 Dexia Credit Local S.A., VAR, 0.779%, 03/10/16 275,000 DZ Bank AG, 309, %, 04/11/16 308, , %, 04/14/16 331, , %, 04/26/16 139, , %, 05/10/16 294, , %, 04/06/16 140, , %, 04/15/16 149, , %, 04/19/16 196, J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2016

13 Certificates of Deposit continued 169,000 HSBC Bank plc, 0.850%, 07/19/16 169,059 Industrial & Commercial Bank of China Ltd., 275, %, 04/20/16 275,000 82, %, 04/08/16 81, , %, 04/07/16 627,700 ING Bank N.V., 331, %, 03/21/16 331, , %, 04/13/16 225, , %, 05/23/16 663, , %, 03/16/16 250, ,000 VAR, 0.649%, 06/09/16 400,000 KBC Bank N.V., 148, %, 03/04/16 147, , %, 03/17/16 324, , %, 04/07/16 222, , %, 04/28/16 319, , %, 05/04/16 499, , %, 05/06/16 112,855 Mitsubishi UFJ Trust & Banking Corp., 150, %, 03/04/16 149, , %, 05/06/16 280, , %, 05/13/16 178,000 55, %, 04/14/16 54, , %, 04/15/16 139, , %, 04/28/16 108, , %, 04/29/16 174,805 33, %, 04/11/16 32, , %, 04/19/16 199, , %, 04/19/16 149, , %, 05/16/16 167,732 Mizuho Bank Ltd., 150, %, 03/02/16 149, , %, 03/03/16 122, , %, 03/17/16 172, , %, 03/07/16 304, , %, 04/19/16 341, , %, 04/26/16 219,768 55, %, 04/12/16 54, , %, 04/13/16 119,901 62, %, 04/15/16 61,947 28, %, 04/21/16 27, , %, 05/04/16 99, , %, 04/22/16 579,416 75, %, 05/19/16 74,885 90, %, 06/15/16 90, , %, 07/07/16 174, ,000 National Australia Bank Ltd., 0.600%, 04/15/16 564, ,000 National Bank of Canada, VAR, 0.727%, 03/03/16 275, ,000 Nationwide Building Society, 0.620%, 05/02/16 199,787 Natixis, 415, %, 03/08/16 415, , %, 05/31/16 343, , %, 05/02/16 171, ,000 VAR, 0.466%, 05/04/16 420, ,000 VAR, 0.658%, 03/08/16 500,000 Norinchukin Bank, 300, %, 04/12/16 300, , %, 04/15/16 169, , %, 04/20/16 119, , %, 04/25/16 250, , %, 04/27/16 214, , %, 05/02/16 235, , %, 05/12/16 170, , %, 04/12/16 195, , %, 05/09/16 300,000 30, %, 05/10/16 30,000 86, %, 04/15/16 85, , %, 04/08/16 307, , %, 04/13/16 99,925 70, %, 04/14/16 69, , %, 05/10/16 299, , %, 05/24/16 300, ,000 Oversea-Chinese Banking Corp. Ltd., 0.600%, 05/27/16 99, ,000 Pohjola Bank plc, 0.640%, 05/20/16 99,858 Rabobank Nederland N.V., 108, %, 04/11/16 107, , %, 06/08/16 588, , %, 05/06/16 199, , %, 05/20/16 239,654 1,105, %, 05/17/16 1,103, , %, 05/20/16 222, , %, 05/02/16 383, , %, 06/22/16 149, , %, 03/16/16 300, , %, 03/09/16 100, , %, 08/23/16 140,000 75, %, 08/25/16 74,690 50,000 Shizuoka Bank, 0.580%, 03/11/16 50,000 FEBRUARY 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 11

14 JPMorgan Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS AS OF FEBRUARY 29, 2016 (continued) (Amounts in thousands) Certificates of Deposit continued 146,000 Skandinaviska Enskilda Banken AB, 0.450%, 03/02/16 146, ,000 Societe Generale, 0.620%, 05/09/16 100,000 Standard Chartered plc, 340, %, 04/13/16 340,000 65, %, 04/14/16 65, , %, 04/22/16 274, , %, 04/26/16 99, , %, 04/29/16 403, ,000 State Street Bank & Trust Co., VAR, 0.639%, 03/11/16 500,000 Sumitomo Mitsui Banking Corp., 361, %, 03/10/16 361, , %, 05/03/16 560, , %, 04/19/16 166, , %, 05/05/16 239, , %, 04/25/16 120, , %, 04/26/16 304, , %, 04/19/16 365, , %, 04/20/16 374,000 Sumitomo Mitsui Trust Bank Ltd., 127, %, 05/13/16 126, , %, 04/26/16 107, , %, 05/05/16 119,848 80, %, 05/19/16 79, , %, 04/07/16 111, , %, 04/19/16 110, , %, 04/22/16 159, , %, 04/25/16 99,892 Svenska Handelsbanken AB, 215, %, 03/08/16 215, , %, 06/24/16 225, ,000 UBS AG, VAR, 0.808%, 03/08/16 174,000 Wells Fargo Bank N.A., 489, %, 05/02/16 489, , %, 05/05/16 440, ,000 Westpac Banking Corp., VAR, 0.549%, 03/07/16 100,000 Total Certificates of Deposit (Cost $44,856,189) 44,856,189 Commercial Paper 21.4% (n) ABN AMRO Funding USA LLC, 152, %, 03/01/16 (e) 152,000 62, %, 03/21/16 (e) 61,984 98, %, 05/02/16 (e) 97,895 Agricultural Bank of China Ltd., 214, %, 03/02/16 (e) 214, , %, 04/19/16 (e) 179, , %, 05/03/16 (e) 219,731 Antalis S.A., 47, %, 03/10/16 (e) 47,573 52, %, 04/07/16 (e) 52, , %, 04/12/16 (e) 101,921 50,000 ANZ New Zealand (Int l) Ltd., 0.651%, 05/10/16 (e) 49,937 Atlantic Asset Securitization LLC, 59, %, 03/07/16 (e) 58,994 75, %, 03/09/16 (e) 74, , %, 03/10/16 (e) 167, , %, 05/18/16 (e) 99, , %, 05/20/16 (e) 199, ,000 VAR, 0.654%, 03/26/16 (e) 200,000 Australia & New Zealand Banking Group Ltd., 101, %, 03/09/16 (e) 100, ,400 VAR, 0.766%, 03/03/16 (e) 659, ,000 Bank Nederlandse Gemeenten N.V., VAR, 0.532%, 03/14/16 (e) 125,000 Bank of Nova Scotia, 190,000 VAR, 0.776%, 03/14/16 (e) 190, ,000 VAR, 0.779%, 03/09/16 (e) 400,000 Barton Capital S.A., 23, %, 05/11/16 (e) 23,821 25, %, 05/02/16 (e) 24,973 65, %, 04/04/16 (e) 64, ,000 VAR, 0.639%, 03/07/16 (e) 175,000 Bedford Row Funding Corp., 25,000 VAR, 0.568%, 03/16/16 (e) 25, ,300 VAR, 0.661%, 04/18/16 (e) 127,299 5,000 BMW U.S. Capital, LLC, 0.320%, 03/01/16 (e) 5,000 BNP Paribas, 90, %, 03/14/16 90, , %, 03/14/16 (e) 299, , %, 04/12/16 (e) 327, , %, 05/02/16 (e) 253, , %, 05/13/16 106,362 65, %, 05/13/16 (e) 64, ,000 BPCE S.A., 0.641%, 05/05/16 (e) 199,769 Caisse Centrale Desjardins, 223, %, 05/24/16 (e) 223,092 53, %, 03/08/16 (e) 52,994 50, %, 04/29/16 (e) 49, J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2016

15 Commercial Paper continued Caisse des Depots et Consignations, 224, %, 05/18/16 (e) 223, , %, 05/19/16 (e) 99, , %, 04/26/16 (e) 263, , %, 05/27/16 (e) 264, , %, 06/01/16 (e) 162, ,000 Canadian Imperial Holdings, Inc., 0.430%, 03/02/16 209,997 Cancara Asset Securitisation LLC, 115, %, 05/04/16 (e) 114, , %, 05/03/16 (e) 205,781 37, %, 04/04/16 (e) 37, , %, 04/06/16 (e) 99, , %, 04/07/16 (e) 359, , %, 04/19/16 (e) 155,866 Commonwealth Bank of Australia, 194, %, 05/25/16 (e) 194, ,000 VAR, 0.548%, 03/15/16 (e) 125, ,000 VAR, 0.549%, 03/17/16 (e) 120, ,000 VAR, 0.552%, 03/01/16 (e) 250, ,000 VAR, 0.552%, 03/20/16 (e) 100, ,000 VAR, 0.599%, 03/04/16 (e) 100,000 Credit Agricole Corporate and Investment Bank, 125, %, 03/01/16 125,000 55, %, 05/06/16 54, , %, 05/02/16 103, ,000 Crown Point Capital Co. LLC, Series A, VAR, 0.938%, 03/29/16 (e) 200,000 63,000 Danske Corp., Series A, 0.611%, 05/10/16 (e) 62,925 DBS Bank Ltd., 95, %, 04/12/16 (e) 94,933 20, %, 04/13/16 (e) 19,986 DNB Bank ASA, 107, %, 06/27/16 (e) 106, , %, 06/24/16 (e) 399,169 Electricite de France S.A., 120, %, 04/22/16 (e) 119, , %, 04/25/16 (e) 199,814 Erste Abwicklungsanstalt, 114, %, 04/15/16 (e) 114, , %, 04/07/16 (e) 213,872 23, %, 05/11/16 (e) 22,972 10,000 Exxon Mobil Corp., 0.310%, 03/01/16 10,000 General Electric Co., 500, %, 03/04/16 499,984 31, %, 03/08/16 30,998 74, %, 03/29/16 73,974 Gotham Funding Corp., 65, %, 04/06/16 (e) 64, , %, 04/12/16 (e) 149,890 HSBC Bank plc, 465,000 VAR, 0.588%, 03/09/16 (e) 465, ,000 VAR, 0.807%, 03/14/16 (e) 235,000 Industrial & Commercial Bank of China Ltd., 133, %, 03/01/16 (e) 133,382 99, %, 05/02/16 (e) 98,881 ING U.S. Funding LLC, 167, %, 06/10/16 166, , %, 08/09/16 99,624 38, %, 08/17/16 38,546 Kells Funding LLC, 115, %, 05/02/16 (e) 114,881 96, %, 05/03/16 (e) 95, , %, 05/24/16 (e) 199, , %, 05/25/16 (e) 199, , %, 06/01/16 (e) 99, , %, 06/02/16 (e) 314, , %, 06/08/16 (e) 199, ,000 Landesbank Hessen-Thueringen Girozentrale, 0.601%, 05/02/16 (e) 199, ,000 Liberty Street Funding LLC, 0.350%, 03/01/16 (e) 100,000 LMA Americas LLC, 90, %, 03/08/16 (e) 89, , %, 03/02/16 (e) 189,997 18, %, 03/07/16 (e) 17,999 50, %, 05/19/16 (e) 49,930 Macquarie Bank Ltd., 53, %, 03/04/16 (e) 53, , %, 03/07/16 (e) 124, , %, 03/10/16 (e) 109, , %, 04/06/16 (e) 119,926 78,000 Matchpoint Finance plc, Series A, 0.601%, 03/08/16 (e) 77,991 MetLife Short Term Funding LLC, 93, %, 04/12/16 (e) 92,937 96, %, 05/23/16 (e) 95,872 50, %, 05/24/16 (e) 49, , %, 05/16/16 (e) 168,789 38, %, 04/28/16 (e) 38,404 FEBRUARY 29, 2016 J.P. MORGAN MONEY MARKET FUNDS 13

16 JPMorgan Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS AS OF FEBRUARY 29, 2016 (continued) (Amounts in thousands) Commercial Paper continued Mitsubishi UFJ Trust & Banking Corp., 200, %, 05/23/16 (e) 199,700 96, %, 04/19/16 (e) 95,911 Mont Blanc Capital Corp., 60, %, 03/10/16 (e) 60,672 34, %, 05/09/16 (e) 33, ,000 National Australia Bank Ltd., 0.430%, 03/07/16 (e) 259,981 Natixis, 171, %, 03/01/16 171, , %, 05/02/16 507,346 84, %, 05/31/16 83,849 Nederlandse Waterschapsbank N.V., 150, %, 04/20/16 (e) 149, , %, 05/04/16 (e) 223, , %, 06/14/16 (e) 114,794 Nieuw Amsterdam Receivables Corp., 107, %, 03/14/16 (e) 106,983 95, %, 03/04/16 (e) 94,996 20, %, 04/14/16 (e) 19,985 75, %, 05/10/16 (e) 74,913 65, %, 04/04/16 (e) 65,061 NRW Bank, 182, %, 03/02/16 (e) 182, , %, 04/13/16 (e) 553,916 11,001 Old Line Funding LLC, 0.270%, 03/01/16 (e) 11,001 Ontario Teachers Finance Trust, 125, %, 06/24/16 (e) 124,701 15, %, 06/29/16 (e) 14,962 Regency Markets No. 1 LLC, 50, %, 03/14/16 (e) 49, , %, 03/21/16 (e) 102, ,000 Societe Generale S.A., 0.596%, 04/05/16 (e) 551, ,000 Sumitomo Mitsui Banking Corp., 0.621%, 05/03/16 (e) 99, ,000 Sumitomo Mitsui Trust Bank Ltd., 0.521%, 03/03/16 (e) 163,995 Suncorp-Metway Ltd., 150, %, 03/01/16 (e) 150,000 29, %, 03/03/16 (e) 28, ,000 Svenska Handelsbanken AB, 0.501%, 03/10/16 (e) 217, ,650 Swedbank AB, 0.641%, 05/06/16 146,478 Thunder Bay Funding LLC, 80, %, 03/14/16 (e) 79, , %, 04/06/16 (e) 217,847 50,000 VAR, 0.677%, 03/03/16 (e) 50, ,950 Total Capital Canada Ltd., 0.581%, 04/14/16 (e) 296,740 Versailles Commercial Paper LLC, 75, %, 03/02/16 (e) 74, , %, 05/12/16 (e) 149,805 Victory Receivables Corp., 12, %, 03/01/16 (e) 12, , %, 04/04/16 (e) 99, , %, 04/06/16 (e) 124, , %, 04/07/16 (e) 104,932 Westpac Banking Corp., 100,000 VAR, 0.542%, 03/07/16 (e) 99, ,000 VAR, 0.546%, 03/01/16 (e) 100, ,000 VAR, 0.547%, 03/20/16 (e) 133, ,000 VAR, 0.547%, 03/20/16 (e) 250, ,000 VAR, 0.547%, 03/20/16 (e) 133, ,000 VAR, 0.549%, 03/10/16 (e) 150, ,000 VAR, 0.551%, 03/23/16 (e) 200, ,000 VAR, 0.551%, 03/23/16 (e) 150, ,000 VAR, 0.552%, 03/27/16 (e) 100, ,000 VAR, 0.559%, 03/10/16 (e) 249,999 Total Commercial Paper (Cost $22,805,008) 22,805,008 Corporate Notes 2.6% Consumer Staples 0.1% Food & Staples Retailing 0.1% Wal-Mart Stores, Inc. 66, %, 04/11/16 66,979 38, %, 04/15/16 38, ,228 Financials 2.5% Banks 1.9% 790,000 Royal Bank of Canada, VAR, 0.737%, 03/18/16 (e) 790, ,000 Svenska Handelsbanken AB, VAR, 0.668%, 03/14/16 (e) 434, ,000 Wells Fargo Bank N.A., VAR, 0.632%, 03/17/16 785,000 2,009,000 Capital Markets 0.6% 675,000 ING Bank N.V., VAR, 0.677%, 03/31/16 (e) 675,000 Total Financials 2,684,000 Total Corporate Notes (Cost $2,789,228) 2,789, J.P. MORGAN MONEY MARKET FUNDS FEBRUARY 29, 2016