JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited)
Investments | Principal Amount ($000) | Value ($000) | ||||||
MUNICIPAL BONDS — 94.6%(a) |
| |||||||
New York — 94.6% |
| |||||||
Education — 7.8% |
| |||||||
Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project | ||||||||
Rev., 5.00%, 5/1/2023 | 1,710 | 1,899 | ||||||
Series A, Rev., 5.00%, 5/1/2023 | 2,000 | 2,128 | ||||||
Monroe County Industrial Development Corp., Rochester Schools Modernization Project Rev., 5.00%, 5/1/2021 | 2,895 | 2,949 | ||||||
New York State Dormitory Authority, Court Facilities Lease Series A, Rev., AMBAC, 5.50%, 5/15/2026 | 5,000 | 6,306 | ||||||
New York State Dormitory Authority, Hospitals Center Rev., 5.00%, 7/1/2026 | 3,360 | 3,859 | ||||||
New York State Dormitory Authority, New York University | ||||||||
Series 1, Rev., AMBAC, 5.50%, 7/1/2021 | 1,730 | 1,784 | ||||||
Series 1, Rev., AMBAC, 5.50%, 7/1/2022 | 1,000 | 1,084 | ||||||
Series 1, Rev., AMBAC, 5.50%, 7/1/2023 | 2,900 | 3,290 | ||||||
Series 1, Rev., AMBAC, 5.50%, 7/1/2024 | 1,570 | 1,857 | ||||||
Series 1, Rev., AMBAC, 5.50%, 7/1/2025 | 2,280 | 2,800 | ||||||
New York State Dormitory Authority, Rochester Institute of Technology Series 2019A, Rev., 5.00%, 7/1/2036 | 900 | 1,146 | ||||||
New York State Dormitory Authority, School Districts Financing Program | ||||||||
Rev., AGC, 5.00%, 10/1/2024 | 40 | 40 | ||||||
Series 2018A, Rev., 5.00%, 10/1/2027 | 2,000 | 2,446 | ||||||
New York State Dormitory Authority, State University Educational Facilities Series A, Rev., NATL-RE-IBC, 5.25%, 5/15/2021 | 540 | 552 | ||||||
|
| |||||||
32,140 | ||||||||
|
| |||||||
General Obligation — 17.0% |
| |||||||
Chautauqua Lake Central School District GO, 5.00%, 6/15/2021 | 725 | 743 | ||||||
City of Buffalo Series 2016B, GO, 5.00%, 11/15/2022 | 1,000 | 1,092 | ||||||
City of New York | ||||||||
Series 2014E, GO, 5.00%, 8/1/2024 | 1,250 | 1,401 | ||||||
Series C, GO, 5.00%, 8/1/2024 | 1,000 | 1,167 | ||||||
Series 2019E, GO, 5.00%, 8/1/2027 | 1,750 | 2,238 | ||||||
Subseries E-1, GO, 5.25%, 3/1/2035 | 1,300 | 1,640 | ||||||
City of New York, Fiscal Year 2012 Series A-1, GO, 5.00%, 8/1/2028 | 7,600 | 7,826 | ||||||
City of New York, Fiscal Year 2014 Subseries D-1, GO, 5.00%, 8/1/2028 | 2,000 | 2,240 | ||||||
City of New York, Fiscal Year 2018 Series F, Subseries 2018F-1, GO, 5.00%, 4/1/2034 | 2,500 | 3,115 | ||||||
City of Syracuse, Public Improvement | ||||||||
Series A, GO, 4.00%, 5/15/2024 | 1,000 | 1,124 | ||||||
Series 2020A, GO, AGM, 4.00%, 5/15/2025 | 1,000 | 1,159 | ||||||
City of White Plains, Public Improvement | ||||||||
GO, 4.00%, 9/15/2028 | 705 | 847 | ||||||
GO, 4.00%, 9/15/2029 | 1,100 | 1,312 | ||||||
County of Monroe | ||||||||
GO, 5.00%, 6/1/2022 | 1,080 | 1,155 | ||||||
GO, 5.00%, 6/1/2025 | 1,330 | 1,601 | ||||||
County of Nassau, General Improvement | ||||||||
Series C, GO, 5.00%, 10/1/2022 | 2,205 | 2,374 | ||||||
Series B, GO, 5.00%, 10/1/2024 | 1,580 | 1,830 | ||||||
Series 2016B, GO, 5.00%, 10/1/2025 | 1,000 | 1,195 | ||||||
Series 2019B, GO, 5.00%, 4/1/2026 | 1,270 | 1,536 | ||||||
Series A, GO, 5.00%, 1/1/2027 | 2,500 | 3,000 | ||||||
County of Onondaga GO, 4.00%, 4/15/2029 | 2,760 | 3,172 | ||||||
County of Suffolk, Town of Brookhaven GO, 5.00%, 5/1/2027 | 2,000 | 2,429 | ||||||
County of Westchester | ||||||||
Series 2018A, GO, 5.00%, 12/1/2022 | 1,350 | 1,480 | ||||||
Series 2019D, GO, 5.00%, 12/15/2023 | 2,930 | 3,358 | ||||||
Series 2019D, GO, 4.00%, 12/15/2030 | 1,635 | 2,001 | ||||||
Haverstraw-Stony Point Central School District GO, 3.00%, 10/15/2026 | 1,105 | 1,260 | ||||||
Kings Park Central School District GO, 2.00%, 9/1/2021 | 1,000 | 1,014 | ||||||
Lindenhurst Union Free School District Series A, GO, 2.13%, 6/15/2021 | 1,170 | 1,182 |
JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Middle Country Central School District at Centereach GO, 2.00%, 8/15/2022 | 1,000 | 1,031 | ||||||
Monroe County, Greece Central School District | ||||||||
Series B, GO, 4.50%, 12/15/2021 | 880 | 919 | ||||||
Series B, GO, 5.00%, 12/15/2022 | 765 | 839 | ||||||
Series 2012B, GO, 5.00%, 12/15/2023 | 500 | 548 | ||||||
Nassau County, General Improvement Series A, GO, 5.00%, 1/1/2025 | 1,000 | 1,168 | ||||||
Orchard Park Central School District GO, 4.00%, 4/1/2029 | 1,685 | 1,969 | ||||||
State of New York Series 2018A, GO, 5.00%, 2/15/2025 | 1,515 | 1,817 | ||||||
Syosset Central School District GO, 2.00%, 12/15/2027 | 1,380 | 1,490 | ||||||
Town of Brookhaven, Public Improvement GO, 4.00%, 7/15/2028 | 2,675 | 3,286 | ||||||
Town of East Hampton GO, 5.00%, 8/15/2023 | 290 | 328 | ||||||
Village of Mamaroneck, Public Improvement GO, 3.00%, 8/15/2030 | 1,540 | 1,701 | ||||||
|
| |||||||
69,587 | ||||||||
|
| |||||||
Hospital — 0.3% | ||||||||
New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center Rev., NATL-RE, 5.50%, 7/1/2023 | 1,000 | 1,084 | ||||||
|
| |||||||
Housing — 0.2% | ||||||||
State of New York Mortgage Agency, Homeowner Mortgage Series 197, Rev., 3.50%, 10/1/2044 | 715 | 761 | ||||||
|
| |||||||
Industrial Development Revenue/Pollution Control Revenue — 0.8% | ||||||||
City of Syracuse Industrial Development Agency School Facility, Syracuse City School District Project Series 2019A, Rev., 5.00%, 5/1/2025 | 500 | 600 | ||||||
New York City Industrial Development Agency, New York Stock Exchange Project, Fiscal Year 2019 | ||||||||
Rev., 5.00%, 5/1/2023 | 1,310 | 1,447 | ||||||
Rev., 5.00%, 5/1/2027 | 1,150 | 1,440 | ||||||
|
| |||||||
3,487 | ||||||||
|
| |||||||
Other Revenue — 25.5% | ||||||||
Hudson Yards Infrastructure Corp., Second Indenture | ||||||||
Series 2017A, Rev., 5.00%, 2/15/2029 | 3,500 | 4,331 | ||||||
Rev., 5.00%, 2/15/2030 | 1,600 | 1,968 | ||||||
Series 2017A, Rev., 5.00%, 2/15/2032 | 2,320 | 2,831 | ||||||
Series A, Rev., 5.00%, 2/15/2034 | 1,115 | 1,348 | ||||||
Series A, Rev., 5.00%, 2/15/2035 | 4,000 | 4,824 | ||||||
Series A, Rev., 5.00%, 2/15/2036 | 3,500 | 4,208 | ||||||
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2015 Series S-1, Rev., 5.00%, 7/15/2028 | 3,000 | 3,533 | ||||||
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Subseries S-4, Rev., 5.25%, 7/15/2035 | 4,000 | 5,117 | ||||||
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019 | ||||||||
Series 2019S-2A, Rev., 5.00%, 7/15/2026 | 1,900 | 2,369 | ||||||
Series S-2A, Rev., 5.00%, 7/15/2034 | 2,000 | 2,522 | ||||||
Series S-3A, Rev., 5.00%, 7/15/2034 | 4,000 | 5,044 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series E, Subseries E-1, Rev., 5.00%, 2/1/2032 | 2,000 | 2,481 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019 | ||||||||
Series A, Subseries A-1, Rev., 5.00%, 8/1/2034 | 1,500 | 1,900 | ||||||
Series A, Subseries A-1, Rev., 5.00%, 8/1/2035 | 1,000 | 1,263 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt Series E, Subseries E-1, Rev., 5.00%, 2/1/2034 | 2,260 | 2,783 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2003 Series B, Rev., 5.00%, 2/1/2027 | 2,500 | 2,519 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2012 | ||||||||
Series D, Subseries D-1, Rev., 5.00%, 11/1/2026 | 1,000 | 1,043 | ||||||
Series D, Subseries D-1, Rev., 5.00%, 11/1/2027 | 1,000 | 1,042 |
JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2021 Series 2021A, Rev., 5.00%, 11/1/2029 | 2,000 | 2,690 | ||||||
New York City Trust for Cultural Resources, Carnegie Hall Rev., 5.00%, 12/1/2031 | 275 | 345 | ||||||
New York Convention Center Development Corp., Hotel Unit fee Secured Rev., 5.00%, 11/15/2030 | 2,000 | 2,307 | ||||||
New York Convention Center Development Corp., Subordinated Lien, Hotel Unit fee Secured | ||||||||
Series B, Rev., Zero Coupon, 11/15/2031 | 2,090 | 1,536 | ||||||
Series B, Rev., Zero Coupon, 11/15/2033 | 2,000 | 1,356 | ||||||
New York State Dormitory Authority, State Sales Tax | ||||||||
Series 2014A, Rev., 5.00%, 3/15/2029 | 2,500 | 2,849 | ||||||
Series A, Rev., 5.00%, 3/15/2031 | 5,100 | 5,985 | ||||||
Series 2014A, Rev., 5.00%, 3/15/2032 | 2,000 | 2,273 | ||||||
Series B, Rev., 5.00%, 3/15/2032 | 2,500 | 2,967 | ||||||
Series 2018E, Rev., 5.00%, 3/15/2033 | 2,000 | 2,571 | ||||||
Series B, Rev., 5.00%, 3/15/2033 | 2,500 | 2,956 | ||||||
Series A, Rev., 5.00%, 3/15/2034 | 2,000 | 2,468 | ||||||
New York State Environmental Facilities Corp., Master Financing Program Series C, Rev., 5.00%, 12/17/2020 | 2,550 | 2,555 | ||||||
New York State Urban Development Corp., State Sales Tax Series 2019A, Rev., 5.00%, 3/15/2036 | 4,500 | 5,802 | ||||||
Sales Tax Asset Receivable Corp., Fiscal Year 2015 | ||||||||
Series A, Rev., 5.00%, 10/15/2029 | 5,000 | 5,845 | ||||||
Series A, Rev., 5.00%, 10/15/2030 | 2,500 | 2,921 | ||||||
United Nations Development Corp., Senior Lien Series 2019A, Rev., 5.00%, 7/1/2022 | 1,095 | 1,178 | ||||||
Westchester Tobacco Asset Securitization Corp., Tobacco Settlement | ||||||||
Series B, Rev., 5.00%, 6/1/2033 | 1,775 | 2,130 | ||||||
Series B, Rev., 5.00%, 6/1/2034 | 2,000 | 2,391 | ||||||
|
| |||||||
104,251 | ||||||||
|
| |||||||
Special Tax — 7.4% | ||||||||
New York State Dormitory Authority, State Personal Income Tax, General Purpose | ||||||||
Series E, Rev., 5.00%, 2/15/2029 | 1,715 | 1,807 | ||||||
Series A, Rev., 5.00%, 3/15/2033 | 1,500 | 1,926 | ||||||
Series A, Rev., 5.00%, 3/15/2035 | 1,500 | 1,913 | ||||||
Series 2019A, Rev., 5.00%, 3/15/2036 | 1,825 | 2,318 | ||||||
New York State Thruway Authority, State Personal Income Tax, Transportation Series A, Rev., 5.00%, 3/15/2023 | 2,400 | 2,655 | ||||||
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||||||||
Series A, Rev., 5.00%, 3/15/2027 | 1,500 | 1,718 | ||||||
Series A, Rev., 5.00%, 3/15/2031 | 3,000 | 3,429 | ||||||
Series A, Rev., 5.00%, 3/15/2032 | 2,500 | 3,006 | ||||||
Series 2019A, Rev., 5.00%, 3/15/2033 | 2,575 | 3,281 | ||||||
New York State Urban Development Corp., State Personal Income Tax, State Facilities and Equipment | ||||||||
Series A-2, Rev., NATL-RE, 5.50%, 3/15/2023 | 2,000 | 2,236 | ||||||
Series A-2, Rev., NATL-RE, 5.50%, 3/15/2025 | 5,000 | 6,084 | ||||||
|
| |||||||
30,373 | ||||||||
|
| |||||||
Transportation — 19.7% | ||||||||
Metropolitan Transportation Authority | ||||||||
Series 2015C, Subseries C-1, Rev., 5.25%, 11/15/2030 | 1,500 | 1,669 | ||||||
Series 2016A-1, Rev., 5.00%, 11/15/2031 | 2,500 | 2,766 | ||||||
Series B, Rev., 5.00%, 11/15/2031 | 2,000 | 2,176 | ||||||
Subseries D-1, Rev., 5.00%, 11/15/2031 | 2,000 | 2,194 | ||||||
Series A-1, Rev., 5.00%, 11/15/2032 | 2,000 | 2,209 | ||||||
Series A-1, Rev., 4.00%, 11/15/2033 | 2,000 | 2,085 | ||||||
Metropolitan Transportation Authority, Dedicated Tax Fund | ||||||||
Series A, Rev., Zero Coupon, 11/15/2030 | 4,000 | 3,005 | ||||||
Series 2017B-2, Rev., 5.25%, 11/15/2033 | 1,000 | 1,232 | ||||||
Series 2016A, Rev., 5.25%, 11/15/2034 | 1,020 | 1,222 |
JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
New York State Thruway Authority | ||||||||
Series K, Rev., 5.00%, 1/1/2028 | 1,000 | 1,172 | ||||||
Series K, Rev., 5.00%, 1/1/2030 | 2,500 | 2,924 | ||||||
Series L, Rev., 5.00%, 1/1/2032 | 2,250 | 2,804 | ||||||
Series N, Rev., 5.00%, 1/1/2033 | 2,225 | 2,907 | ||||||
Series 2016A, Rev., 5.00%, 1/1/2035 | 1,000 | 1,182 | ||||||
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | ||||||||
Rev., AMT, 5.00%, 1/1/2025 | 2,075 | 2,312 | ||||||
Rev., AMT, 5.00%, 1/1/2026 | 2,000 | 2,278 | ||||||
Rev., AMT, 5.00%, 1/1/2027 | 2,000 | 2,315 | ||||||
Port Authority of New York and New Jersey, Consolidated | ||||||||
Series 172, Rev., 5.00%, 10/1/2022 | 1,500 | 1,593 | ||||||
Series 186, Rev., AMT, 5.00%, 10/15/2027 | 2,000 | 2,309 | ||||||
Series 185, Rev., AMT, 5.00%, 9/1/2028 | 1,000 | 1,148 | ||||||
Series 184, Rev., 5.00%, 9/1/2030 | 2,020 | 2,313 | ||||||
Series 185, Rev., AMT, 5.00%, 9/1/2030 | 2,000 | 2,291 | ||||||
Series 207, Rev., AMT, 5.00%, 9/15/2031 | 2,335 | 2,910 | ||||||
Series 185, Rev., AMT, 5.00%, 9/1/2032 | 1,750 | 1,999 | ||||||
Series 207, Rev., AMT, 5.00%, 9/15/2032 | 3,000 | 3,719 | ||||||
Series 205, Rev., 5.00%, 11/15/2032 | 1,000 | 1,249 | ||||||
Rev., AMT, 5.00%, 9/1/2036 | 2,950 | 3,717 | ||||||
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels | ||||||||
Series 2017B, Rev., 5.00%, 11/15/2029 | 2,500 | 3,140 | ||||||
Series B, Rev., 5.00%, 11/15/2029 | 1,600 | 2,147 | ||||||
Series B, Rev., 5.00%, 11/15/2030 | 5,355 | 7,092 | ||||||
Series 2016A, Rev., 5.00%, 11/15/2031 | 1,000 | 1,197 | ||||||
Series B, Rev., 5.00%, 11/15/2031 | 1,100 | 1,370 | ||||||
Series 2013A, Rev., Zero Coupon, 11/15/2032 | 3,000 | 2,318 | ||||||
Series B, Rev., 5.00%, 11/15/2033 | 1,500 | 1,852 | ||||||
Series C, Rev., 5.00%, 11/15/2035 | 1,375 | 1,751 | ||||||
|
| |||||||
80,567 | ||||||||
|
| |||||||
Utility — 8.6% | ||||||||
Long Island Power Authority, Electric System | ||||||||
Series A, Rev., AGM, Zero Coupon, 6/1/2021 | 5,000 | 4,988 | ||||||
Series 2012B, Rev., 5.00%, 9/1/2024 | 2,735 | 2,952 | ||||||
Series 2019A, Rev., 5.00%, 9/1/2027 | 3,500 | 4,516 | ||||||
Rev., 5.00%, 9/1/2034 | 1,500 | 1,920 | ||||||
Rev., 5.00%, 9/1/2035 | 2,000 | 2,554 | ||||||
Rev., 5.00%, 9/1/2036 | 1,225 | 1,558 | ||||||
Utility Debt Securitization Authority | ||||||||
Rev., 5.00%, 12/15/2032 | 2,500 | 3,047 | ||||||
Series A, Rev., 5.00%, 12/15/2033 | 3,000 | 3,688 | ||||||
Series A, Rev., 5.00%, 12/15/2034 | 4,595 | 5,646 | ||||||
Series B, Rev., 5.00%, 12/15/2034 | 2,450 | 3,010 | ||||||
Utility Debt Securitization Authority, Federally Tax-Exempt Series TE, Rev., 5.00%, 12/15/2030 | 1,000 | 1,138 | ||||||
|
| |||||||
35,017 | ||||||||
|
| |||||||
Water & Sewer — 7.3% | ||||||||
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2011 Series 2011HH, Rev., 5.00%, 6/15/2026 | 6,600 | 6,768 | ||||||
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2012 Series EE, Rev., 5.00%, 6/15/2028 | 4,000 | 4,289 | ||||||
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2015 | ||||||||
Series 2015EE, Rev., 5.00%, 6/15/2028 | 2,000 | 2,304 | ||||||
Series DD, Rev., 5.00%, 6/15/2029 | 2,000 | 2,301 | ||||||
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution | ||||||||
Series 2005B, Rev., 5.50%, 10/15/2025(b) | 4,175 | 5,147 | ||||||
Series A, Rev., 5.00%, 6/15/2027 | 1,500 | 1,739 |
JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series A, Rev., 5.00%, 6/15/2031 | 2,150 | 2,652 | ||||||
Series A, Rev., 5.00%, 6/15/2032 | 2,000 | 2,460 | ||||||
Series 2015A, Rev., 5.00%, 6/15/2033 | 2,000 | 2,368 | ||||||
|
| |||||||
30,028 | ||||||||
|
| |||||||
Total New York | 387,295 | |||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $362,450) |
| 387,295 | ||||||
|
| |||||||
Shares (000) | ||||||||
SHORT-TERM INVESTMENTS — 4.7% | ||||||||
INVESTMENT COMPANIES — 4.7% | ||||||||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 0.09%(c)(d) (Cost $19,040) | 19,030 | 19,042 | ||||||
|
| |||||||
Total Investments — 99.3% (Cost $381,490) |
| 406,337 | ||||||
Other Assets Less Liabilities — 0.7% |
| 2,878 | ||||||
|
| |||||||
Net Assets — 100.0% |
| 409,215 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations | ||
AGC | Insured by Assured Guaranty Corp. | |
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
GO | General Obligation | |
IBC | Insured Bond Certificates | |
MTA | Metropolitan Transportation Authority | |
NATL | Insured by National Public Finance Guarantee Corp. | |
RE | Reinsured | |
Rev. | Revenue | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | Security is prerefunded or escrowed to maturity. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of November 30, 2020. |
A. Valuation of Investments – Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
JPMorgan New York Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Municipal Bonds | $ | — | $ | 387,295 | $ | — | $ | 387,295 | ||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 19,042 | — | — | 19,042 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 19,042 | $ | 387,295 | $ | — | $ | 406,337 | ||||||||
|
|
|
|
|
|
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B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below. Amounts in the table below are in thousands.
For the period ended November 30, 2020 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at February 29, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at November 30, 2020 | Shares at November 30, 2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, | $ | 20,837 | $ | 72,517 | $ | 74,303 | $ | (10 | ) | $ | 1 | $ | 19,042 | 19,030 | $ | 42 | $ | — | ||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of November 30, 2020. |