JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited)
Investments | Principal Amount ($000) | Value ($000) | ||||||
CORPORATE BONDS — 36.2% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
Boeing Co. (The) |
| |||||||
4.88%, 5/1/2025 | 541 | 604 | ||||||
2.75%, 2/1/2026 | 1,646 | 1,687 | ||||||
3.10%, 5/1/2026 | 2,200 | 2,291 | ||||||
General Dynamics Corp. 2.25%, 11/15/2022 | 1,000 | 1,033 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.85%, 12/15/2026 | 475 | 547 | ||||||
4.85%, 4/27/2035 | 500 | 660 | ||||||
Leidos, Inc. 2.30%, 2/15/2031(a) | 321 | 326 | ||||||
Lockheed Martin Corp. | ||||||||
3.35%, 9/15/2021 | 211 | 216 | ||||||
3.55%, 1/15/2026 | 700 | 795 | ||||||
Northrop Grumman Corp. 2.93%, 1/15/2025 | 1,800 | 1,955 | ||||||
Precision Castparts Corp. | ||||||||
2.50%, 1/15/2023 | 500 | 520 | ||||||
3.25%, 6/15/2025 | 800 | 886 | ||||||
Raytheon Technologies Corp. | ||||||||
3.20%, 3/15/2024(a) | 300 | 323 | ||||||
3.15%, 12/15/2024(a) | 476 | 516 | ||||||
3.95%, 8/16/2025 | 3,450 | 3,953 | ||||||
4.13%, 11/16/2028 | 500 | 596 | ||||||
4.15%, 5/15/2045 | 311 | 389 | ||||||
Textron, Inc. 3.00%, 6/1/2030 | 1,100 | 1,177 | ||||||
|
| |||||||
18,474 | ||||||||
|
| |||||||
Airlines — 0.0%(b) | ||||||||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 193 | 190 | ||||||
|
| |||||||
Automobiles — 0.3% | ||||||||
BMW US Capital LLC (Germany) 1.85%, 9/15/2021(a) | 250 | 253 | ||||||
Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025(a) | 1,250 | 1,306 | ||||||
Hyundai Capital America | ||||||||
3.00%, 6/20/2022(a) | 530 | 547 | ||||||
2.85%, 11/1/2022(a) | 266 | 275 | ||||||
2.38%, 10/15/2027(a) | 479 | 494 | ||||||
Nissan Motor Co. Ltd. (Japan) 3.52%, 9/17/2025(a) | 600 | 626 | ||||||
Volkswagen Group of America Finance LLC (Germany) | ||||||||
2.50%, 9/24/2021(a) | 345 | 351 | ||||||
1.63%, 11/24/2027(a) | 621 | 621 | ||||||
|
| |||||||
4,473 | ||||||||
|
| |||||||
Banks — 6.3% | ||||||||
ABN AMRO Bank NV (Netherlands) 2.65%, 1/19/2021(a) | 450 | 451 | ||||||
ANZ New Zealand Int’l Ltd. (New Zealand) 2.75%, 1/22/2021(a) | 700 | 702 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026(a) | 1,000 | 1,149 | ||||||
Banco Santander SA (Spain) 2.75%, 12/3/2030 | 200 | 200 | ||||||
Bank of America Corp. | ||||||||
3.30%, 1/11/2023 | 32 | 34 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023(c) | 21 | 22 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024(c) | 3,987 | 4,252 | ||||||
4.00%, 1/22/2025 | 1,154 | 1,291 | ||||||
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025(c) | 1,500 | 1,592 | ||||||
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026(c) | 1,500 | 1,645 | ||||||
4.45%, 3/3/2026 | 556 | 649 | ||||||
(SOFR + 1.53%), 1.90%, 7/23/2031(c) | 4,000 | 4,015 | ||||||
Bank of Montreal (Canada) | ||||||||
2.35%, 9/11/2022 | 100 | 103 | ||||||
2.50%, 6/28/2024 | 500 | 533 | ||||||
(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028(c) | 800 | 870 | ||||||
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024(a) | 1,580 | 1,720 | ||||||
Bank of Nova Scotia (The) (Canada) | ||||||||
2.80%, 7/21/2021 | 630 | 640 | ||||||
2.20%, 2/3/2025 | 600 | 634 | ||||||
Barclays plc (United Kingdom) | ||||||||
3.65%, 3/16/2025 | 1,255 | 1,375 | ||||||
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025(c) | 500 | 544 | ||||||
BNP Paribas SA (France) | ||||||||
3.38%, 1/9/2025(a) | 800 | 872 | ||||||
(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025(a)(c) | 500 | 555 | ||||||
Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 | 1,050 | 1,136 | ||||||
Capital One Bank USA NA 3.38%, 2/15/2023 | 660 | 699 | ||||||
Citigroup, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.88%, 7/24/2023(c) | 2,000 | 2,077 | ||||||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025(c) | 1,500 | 1,626 | ||||||
3.40%, 5/1/2026 | 650 | 727 | ||||||
(SOFR + 1.15%), 2.67%, 1/29/2031(c) | 2,400 | 2,578 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039(c) | 2,000 | 2,393 | ||||||
Citizens Financial Group, Inc. 2.64%, 9/30/2032(a) | 500 | 521 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025(a) | 1,339 | 1,532 | ||||||
Cooperatieve Rabobank UA (Netherlands) | ||||||||
3.88%, 2/8/2022 | 903 | 941 | ||||||
2.63%, 7/22/2024(a) | 400 | 427 | ||||||
Credit Agricole SA (France) | ||||||||
(SOFR + 1.68%), 1.91%, 6/16/2026(a)(c) | 1,500 | 1,548 | ||||||
Discover Bank | ||||||||
4.20%, 8/8/2023 | 447 | 489 | ||||||
2.45%, 9/12/2024 | 900 | 951 | ||||||
HSBC Holdings plc (United Kingdom) | ||||||||
4.25%, 3/14/2024 | 800 | 877 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024(c) | 1,800 | 1,939 | ||||||
(ICE LIBOR USD 3 Month + 1.14%), 2.63%, 11/7/2025(c) | 1,000 | 1,054 | ||||||
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026(c) | 1,250 | 1,415 | ||||||
(SOFR + 1.95%), 2.36%, 8/18/2031(c) | 491 | 505 | ||||||
Huntington Bancshares, Inc. 2.55%, 2/4/2030 | 1,600 | 1,712 | ||||||
ING Groep NV (Netherlands) 3.95%, 3/29/2027 | 406 | 467 | ||||||
KeyBank NA 3.30%, 6/1/2025 | 800 | 892 | ||||||
Lloyds Bank plc (United Kingdom) 3.30%, 5/7/2021 | 500 | 507 | ||||||
Lloyds Banking Group plc (United Kingdom) | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026(c) | 350 | 368 | ||||||
3.75%, 1/11/2027 | 869 | 979 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||||||||
3.00%, 2/22/2022 | 221 | 228 | ||||||
3.76%, 7/26/2023 | 864 | 936 | ||||||
2.19%, 2/25/2025 | 1,550 | 1,633 | ||||||
Mizuho Financial Group, Inc. (Japan) | ||||||||
2.95%, 2/28/2022 | 580 | 599 | ||||||
2.60%, 9/11/2022 | 300 | 312 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 1.24%, 7/10/2024(c) | 500 | 507 | ||||||
Natwest Group plc (United Kingdom) | ||||||||
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024(c) | 1,435 | 1,564 | ||||||
(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030(c) | 620 | 735 | ||||||
Nordea Bank Abp (Finland) 4.25%, 9/21/2022(a) | 591 | 628 | ||||||
PNC Financial Services Group, Inc. (The) 2.55%, 1/22/2030 | 800 | 875 | ||||||
Regions Financial Corp. 2.75%, 8/14/2022 | 402 | 417 | ||||||
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 | 1,097 | 1,301 | ||||||
Santander UK Group Holdings plc (United Kingdom) 3.13%, 1/8/2021 | 250 | 251 | ||||||
Societe Generale SA (France) 2.63%, 1/22/2025(a) | 1,200 | 1,262 | ||||||
Standard Chartered plc (United Kingdom) | ||||||||
5.20%, 1/26/2024(a) | 1,200 | 1,318 | ||||||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026(a)(c) | 600 | 632 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||||||||
2.70%, 7/16/2024 | 1,982 | 2,117 | ||||||
2.45%, 9/27/2024 | 800 | 847 | ||||||
Svenska Handelsbanken AB (Sweden) 3.90%, 11/20/2023 | 442 | 487 | ||||||
Truist Bank 2.75%, 5/1/2023 | 1,500 | 1,582 | ||||||
US Bancorp | ||||||||
Series V, 2.63%, 1/24/2022 | 732 | 750 | ||||||
3.60%, 9/11/2024 | 215 | 238 | ||||||
Wachovia Corp. 7.57%, 8/1/2026(d) | 700 | 916 | ||||||
Wells Fargo & Co. | ||||||||
3.00%, 2/19/2025 | 1,368 | 1,483 | ||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.41%, 10/30/2025(c) | 1,200 | 1,264 | ||||||
3.00%, 4/22/2026 | 800 | 878 | ||||||
4.30%, 7/22/2027 | 2,000 | 2,331 | ||||||
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028(c) | 1,000 | 1,130 | ||||||
Westpac Banking Corp. (Australia) | ||||||||
2.50%, 6/28/2022 | 1,100 | 1,138 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030(c) | 500 | 521 | ||||||
|
| |||||||
81,088 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| |||||||
4.15%, 1/23/2025 | 4,250 | 4,827 | ||||||
4.75%, 1/23/2029 | 1,395 | 1,712 | ||||||
Coca-Cola Co. (The) 1.45%, 6/1/2027 | 382 | 394 | ||||||
Coca-Cola Femsa SAB de CV (Mexico) | ||||||||
2.75%, 1/22/2030 | 250 | 271 | ||||||
1.85%, 9/1/2032 | 401 | 404 | ||||||
Constellation Brands, Inc. | ||||||||
3.15%, 8/1/2029 | 400 | 444 | ||||||
2.88%, 5/1/2030 | 119 | 130 | ||||||
Diageo Investment Corp. (United Kingdom) 2.88%, 5/11/2022 | 1,000 | 1,037 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.42%, 5/25/2025 | 745 | 859 | ||||||
4.60%, 5/25/2028 | 400 | 484 | ||||||
PepsiCo, Inc. | ||||||||
2.38%, 10/6/2026 | 200 | 218 | ||||||
2.63%, 7/29/2029 | 1,400 | 1,548 | ||||||
|
| |||||||
12,328 | ||||||||
|
| |||||||
Biotechnology — 0.5% |
| |||||||
AbbVie, Inc. |
| |||||||
2.90%, 11/6/2022 | 500 | 523 | ||||||
3.85%, 6/15/2024 | 1,250 | 1,376 | ||||||
2.95%, 11/21/2026 | 578 | 639 | ||||||
4.25%, 11/14/2028 | 1,000 | 1,207 | ||||||
3.20%, 11/21/2029 | 475 | 538 | ||||||
Amgen, Inc. 2.20%, 2/21/2027 | 356 | 378 | ||||||
Baxalta, Inc. 3.60%, 6/23/2022 | 35 | 37 | ||||||
Biogen, Inc. 2.25%, 5/1/2030 | 394 | 407 | ||||||
Gilead Sciences, Inc. | ||||||||
3.70%, 4/1/2024 | 1,456 | 1,588 | ||||||
3.50%, 2/1/2025 | 35 | 39 | ||||||
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 231 | 227 | ||||||
|
| |||||||
6,959 | ||||||||
|
| |||||||
Building Products — 0.0%(b) |
| |||||||
CRH America Finance, Inc. (Ireland) 3.40%, 5/9/2027(a) | 222 | 246 | ||||||
|
| |||||||
Capital Markets — 2.8% |
| |||||||
Ameriprise Financial, Inc. 4.00%, 10/15/2023 | 550 | 606 | ||||||
Bank of New York Mellon Corp. (The) | ||||||||
4.15%, 2/1/2021 | 440 | 443 | ||||||
3.40%, 1/29/2028 | 1,500 | 1,721 | ||||||
BlackRock, Inc. 3.20%, 3/15/2027 | 400 | 451 | ||||||
Blackstone Holdings Finance Co. LLC 4.75%, 2/15/2023(a) | 470 | 512 | ||||||
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | 850 | 983 | ||||||
Charles Schwab Corp. (The) 3.20%, 3/2/2027 | 250 | 280 | ||||||
Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 | 2,320 | 2,574 | ||||||
Credit Suisse Group AG (Switzerland) 4.55%, 4/17/2026 | 500 | 586 | ||||||
Deutsche Bank AG (Germany) | ||||||||
4.25%, 10/14/2021 | 600 | 616 | ||||||
3.95%, 2/27/2023 | 500 | 531 | ||||||
(SOFR + 2.16%), 2.22%, 9/18/2024(c) | 360 | 367 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022(c) | 500 | 511 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023(c) | 196 | 204 | ||||||
4.00%, 3/3/2024 | 2,250 | 2,486 | ||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025(c) | 403 | 439 | ||||||
4.25%, 10/21/2025 | 1,592 | 1,828 | ||||||
3.50%, 11/16/2026 | 1,200 | 1,342 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028(c) | 2,384 | 2,727 | ||||||
Invesco Finance plc 3.75%, 1/15/2026 | 436 | 492 | ||||||
Macquarie Bank Ltd. (Australia) 2.30%, 1/22/2025(a) | 1,000 | 1,062 | ||||||
Macquarie Group Ltd. (Australia) | ||||||||
6.25%, 1/14/2021(a) | 800 | 806 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030(a)(c) | 200 | 240 | ||||||
Morgan Stanley | ||||||||
5.75%, 1/25/2021 | 687 | 692 | ||||||
3.70%, 10/23/2024 | 1,000 | 1,112 | ||||||
5.00%, 11/24/2025 | 622 | 741 | ||||||
(SOFR + 1.99%), 2.19%, 4/28/2026(c) | 4,000 | 4,219 | ||||||
4.35%, 9/8/2026 | 2,880 | 3,380 | ||||||
Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030 | 453 | 478 | ||||||
State Street Corp. 3.10%, 5/15/2023 | 1,724 | 1,834 | ||||||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 219 | 226 | ||||||
UBS Group AG (Switzerland) | ||||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023(a)(c) | 700 | 726 | ||||||
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030(a)(c) | 449 | 502 | ||||||
|
| |||||||
35,717 | ||||||||
|
| |||||||
Chemicals — 0.4% |
| |||||||
Dow Chemical Co. (The) 3.50%, 10/1/2024 | 529 | 580 | ||||||
Ecolab, Inc. 3.25%, 1/14/2023 | 330 | 348 | ||||||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 93 | 110 | ||||||
Linde, Inc. 2.20%, 8/15/2022 | 500 | 514 | ||||||
Mosaic Co. (The) 3.25%, 11/15/2022 | 243 | 254 | ||||||
Nutrien Ltd. (Canada) 3.38%, 3/15/2025 | 168 | 185 | ||||||
Nutrition & Biosciences, Inc. 1.83%, 10/15/2027(a) | 310 | 317 | ||||||
Rohm and Haas Co. 7.85%, 7/15/2029 | 315 | 446 | ||||||
Sherwin-Williams Co. (The) | ||||||||
3.30%, 2/1/2025 | 225 | 237 | ||||||
3.45%, 6/1/2027 | 670 | 762 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Westlake Chemical Corp. 3.60%, 8/15/2026 | 1,150 | 1,273 | ||||||
|
| |||||||
5,026 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Republic Services, Inc. |
| |||||||
3.55%, 6/1/2022 | 417 | 433 | ||||||
1.45%, 2/15/2031 | 254 | 251 | ||||||
|
| |||||||
684 | ||||||||
|
| |||||||
Communications Equipment — 0.0%(b) |
| |||||||
Cisco Systems, Inc. |
| |||||||
2.90%, 3/4/2021 | 181 | 182 | ||||||
2.95%, 2/28/2026 | 200 | 223 | ||||||
|
| |||||||
405 | ||||||||
|
| |||||||
Construction & Engineering — 0.0%(b) |
| |||||||
Quanta Services, Inc. 2.90%, 10/1/2030 | 175 | 189 | ||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
CRH America, Inc. (Ireland) |
| |||||||
3.88%, 5/18/2025(a) | 250 | 281 | ||||||
Martin Marietta Materials, Inc. | ||||||||
3.45%, 6/1/2027 | 260 | 290 | ||||||
3.50%, 12/15/2027 | 300 | 337 | ||||||
|
| |||||||
908 | ||||||||
|
| |||||||
Consumer Finance — 1.4% |
| |||||||
AerCap Ireland Capital DAC (Ireland) |
| |||||||
3.50%, 5/26/2022 | 400 | 411 | ||||||
3.30%, 1/23/2023 | 1,200 | 1,239 | ||||||
4.13%, 7/3/2023 | 1,400 | 1,484 | ||||||
4.50%, 9/15/2023 | 234 | 251 | ||||||
4.45%, 10/1/2025 | 800 | 864 | ||||||
3.65%, 7/21/2027 | 594 | 615 | ||||||
American Express Co. | ||||||||
3.38%, 5/17/2021 | 1,000 | 1,012 | ||||||
2.50%, 7/30/2024 | 1,000 | 1,065 | ||||||
American Honda Finance Corp. 2.40%, 6/27/2024 | 800 | 849 | ||||||
Avolon Holdings Funding Ltd. (Ireland) | ||||||||
5.50%, 1/15/2023(a) | 200 | 209 | ||||||
3.95%, 7/1/2024(a) | 660 | 678 | ||||||
2.88%, 2/15/2025(a) | 900 | 884 | ||||||
4.25%, 4/15/2026(a) | 1,080 | 1,118 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.75%, 8/20/2021 | 510 | 519 | ||||||
2.85%, 6/1/2022 | 900 | 934 | ||||||
John Deere Capital Corp. | ||||||||
3.15%, 10/15/2021 | 650 | 666 | ||||||
2.70%, 1/6/2023 | 298 | 312 | ||||||
3.45%, 3/13/2025 | 500 | 559 | ||||||
Park Aerospace Holdings Ltd. (Ireland) | ||||||||
5.25%, 8/15/2022(a) | 2,050 | 2,144 | ||||||
5.50%, 2/15/2024(a) | 1,200 | 1,281 | ||||||
Toyota Motor Credit Corp. 2.63%, 1/10/2023 | 800 | 837 | ||||||
|
| |||||||
17,931 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
International Paper Co. 3.80%, 1/15/2026 | 354 | 402 | ||||||
Packaging Corp. of America 3.00%, 12/15/2029 | 300 | 332 | ||||||
WRKCo, Inc. | ||||||||
3.00%, 9/15/2024 | 350 | 377 | ||||||
4.90%, 3/15/2029 | 150 | 184 | ||||||
|
| |||||||
1,295 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
AIG Global Funding 2.30%, 7/1/2022(a) | 200 | 206 | ||||||
Blackstone 3.65%, 7/14/2023(a) | 550 | 567 | ||||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 900 | 1,038 | ||||||
Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022(a) | 490 | 512 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) 3.96%, 9/19/2023(a) | 820 | 885 | ||||||
National Rural Utilities Cooperative Finance Corp. 3.40%, 2/7/2028 | 1,250 | 1,445 | ||||||
ORIX Corp. (Japan) 2.90%, 7/18/2022 | 277 | 287 | ||||||
Shell International Finance BV (Netherlands) | ||||||||
3.40%, 8/12/2023 | 150 | 162 | ||||||
3.25%, 5/11/2025 | 2,500 | 2,769 | ||||||
2.88%, 5/10/2026 | 788 | 872 | ||||||
3.88%, 11/13/2028 | 500 | 591 | ||||||
Siemens Financieringsmaatschappij NV (Germany) 3.13%, 3/16/2024(a) | 400 | 431 | ||||||
|
| |||||||
9,765 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.8% |
| |||||||
AT&T, Inc. |
| |||||||
4.13%, 2/17/2026 | 2,500 | 2,897 | ||||||
4.10%, 2/15/2028 | 200 | 235 | ||||||
4.30%, 2/15/2030 | 1,500 | 1,791 | ||||||
Telefonica Emisiones SA (Spain) 5.46%, 2/16/2021 | 114 | 115 | ||||||
Verizon Communications, Inc. | ||||||||
2.63%, 8/15/2026 | 2,000 | 2,186 | ||||||
4.02%, 12/3/2029 | 533 | 634 | ||||||
1.68%, 10/30/2030(a) | 1,818 | 1,823 | ||||||
4.40%, 11/1/2034 | 350 | 442 | ||||||
2.99%, 10/30/2056(a) | 382 | 404 | ||||||
|
| |||||||
10,527 | ||||||||
|
| |||||||
Electric Utilities — 1.9% |
| |||||||
Arizona Public Service Co. 3.35%, 6/15/2024 | 372 | 403 | ||||||
Baltimore Gas and Electric Co. 2.80%, 8/15/2022 | 1,595 | 1,652 | ||||||
Cleveland Electric Illuminating Co. (The) | ||||||||
3.50%, 4/1/2028(a) | 476 | 506 | ||||||
4.55%, 11/15/2030(a) | 290 | 336 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Comision Federal de Electricidad (Mexico) 4.88%, 5/26/2021(a) | 237 | 241 | ||||||
Connecticut Light and Power Co. (The) | ||||||||
Series A, 3.20%, 3/15/2027 | 700 | 781 | ||||||
DTE Electric Co. | ||||||||
3.90%, 6/1/2021 | 200 | 202 | ||||||
2.65%, 6/15/2022 | 197 | 203 | ||||||
3.65%, 3/15/2024 | 500 | 545 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.95%, 11/15/2028 | 1,500 | 1,800 | ||||||
6.45%, 10/15/2032 | 50 | 72 | ||||||
Duke Energy Corp. 3.55%, 9/15/2021 | 233 | 237 | ||||||
Duke Energy Progress LLC 2.80%, 5/15/2022 | 461 | 475 | ||||||
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030(a) | 421 | 430 | ||||||
Edison International 3.55%, 11/15/2024 | 600 | 637 | ||||||
Enel Finance International NV (Italy) | ||||||||
4.63%, 9/14/2025(a) | 425 | 496 | ||||||
3.63%, 5/25/2027(a) | 450 | 510 | ||||||
Entergy Arkansas LLC | ||||||||
3.05%, 6/1/2023 | 765 | 808 | ||||||
3.50%, 4/1/2026 | 260 | 294 | ||||||
Entergy Mississippi LLC 2.85%, 6/1/2028 | 269 | 297 | ||||||
Evergy, Inc. | ||||||||
4.85%, 6/1/2021 | 813 | 822 | ||||||
2.90%, 9/15/2029 | 368 | 400 | ||||||
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 341 | 374 | ||||||
Indiana Michigan Power Co. | ||||||||
Series J, 3.20%, 3/15/2023 | 100 | 106 | ||||||
Interstate Power and Light Co. 4.10%, 9/26/2028 | 1,000 | 1,193 | ||||||
ITC Holdings Corp. 2.95%, 5/14/2030(a) | 251 | 274 | ||||||
Kentucky Utilities Co. 3.30%, 10/1/2025 | 200 | 222 | ||||||
Louisville Gas & Electric Co. Series 25, 3.30%, 10/1/2025 | 94 | 104 | ||||||
Niagara Mohawk Power Corp. 3.51%, 10/1/2024(a) | 938 | 1,025 | ||||||
NRG Energy, Inc. 2.45%, 12/2/2027(a) | 445 | 456 | ||||||
Ohio Power Co. | ||||||||
Series M, 5.38%, 10/1/2021 | 1,200 | 1,249 | ||||||
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | 300 | 395 | ||||||
Pacific Gas and Electric Co. | ||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.60%, 11/15/2021(c) | 893 | 894 | ||||||
4.55%, 7/1/2030 | 1,400 | 1,598 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028(a) | 256 | 276 | ||||||
PPL Capital Funding, Inc. 4.20%, 6/15/2022 | 752 | 788 | ||||||
PPL Electric Utilities Corp. 2.50%, 9/1/2022 | 224 | 231 | ||||||
Public Service Co. of New Hampshire 3.50%, 11/1/2023 | 283 | 306 | ||||||
Public Service Co. of Oklahoma 4.40%, 2/1/2021 | 220 | 221 | ||||||
Southern California Edison Co. 3.88%, 6/1/2021 | 958 | 966 | ||||||
Southern Co. (The) 3.25%, 7/1/2026 | 500 | 560 | ||||||
Virginia Electric and Power Co. Series C, 2.75%, 3/15/2023 | 1,600 | 1,677 | ||||||
|
| |||||||
25,062 | ||||||||
|
| |||||||
Electrical Equipment — 0.0%(b) |
| |||||||
ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022 | 350 | 362 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 926 | 1,045 | ||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Halliburton Co. | ||||||||
8.75%, 2/15/2021 | 750 | 762 | ||||||
3.80%, 11/15/2025 | 22 | 24 | ||||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024(a) | 460 | 499 | ||||||
|
| |||||||
1,285 | ||||||||
|
| |||||||
Entertainment — 0.2% |
| |||||||
Walt Disney Co. (The) | ||||||||
3.70%, 10/15/2025 | 1,000 | 1,129 | ||||||
7.43%, 10/1/2026 | 600 | 804 | ||||||
|
| |||||||
1,933 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.95%, 1/15/2027 | 285 | 326 | ||||||
3.38%, 8/15/2031 | 475 | 541 | ||||||
American Tower Corp. | ||||||||
3.50%, 1/31/2023 | 860 | 915 | ||||||
2.40%, 3/15/2025 | 400 | 425 | ||||||
1.50%, 1/31/2028 | 545 | 548 | ||||||
AvalonBay Communities, Inc. | ||||||||
3.35%, 5/15/2027 | 225 | 251 | ||||||
2.45%, 1/15/2031 | 900 | 963 | ||||||
Boston Properties LP 3.80%, 2/1/2024 | 909 | 989 | ||||||
Brixmor Operating Partnership LP 3.85%, 2/1/2025 | 375 | 406 | ||||||
Crown Castle International Corp. 4.45%, 2/15/2026 | 1,200 | 1,384 | ||||||
Duke Realty LP 3.63%, 4/15/2023 | 672 | 713 | ||||||
Equinix, Inc. 1.55%, 3/15/2028 | 1,177 | 1,186 | ||||||
Essex Portfolio LP 1.65%, 1/15/2031 | 529 | 523 | ||||||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028(a) | 163 | 179 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Healthcare Trust of America Holdings LP | ||||||||
3.10%, 2/15/2030 | 269 | 292 | ||||||
2.00%, 3/15/2031 | 175 | 173 | ||||||
Healthpeak Properties, Inc. 3.88%, 8/15/2024 | 2,098 | 2,323 | ||||||
Kimco Realty Corp. 2.70%, 10/1/2030 | 475 | 494 | ||||||
Life Storage LP 2.20%, 10/15/2030 | 250 | 253 | ||||||
Mid-America Apartments LP 1.70%, 2/15/2031 | 287 | 285 | ||||||
National Retail Properties, Inc. 3.60%, 12/15/2026 | 247 | 271 | ||||||
Prologis LP 1.25%, 10/15/2030 | 362 | 357 | ||||||
Realty Income Corp. | ||||||||
3.25%, 10/15/2022 | 600 | 628 | ||||||
3.88%, 7/15/2024 | 400 | 442 | ||||||
Regency Centers LP 2.95%, 9/15/2029 | 266 | 281 | ||||||
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025(a) | 400 | 426 | ||||||
Simon Property Group LP | ||||||||
2.00%, 9/13/2024 | 1,200 | 1,247 | ||||||
2.45%, 9/13/2029 | 520 | 532 | ||||||
SITE Centers Corp. 3.63%, 2/1/2025 | 100 | 103 | ||||||
UDR, Inc. | ||||||||
2.95%, 9/1/2026 | 106 | 116 | ||||||
3.50%, 7/1/2027 | 323 | 360 | ||||||
3.20%, 1/15/2030 | 260 | 290 | ||||||
2.10%, 8/1/2032 | 306 | 308 | ||||||
Ventas Realty LP | ||||||||
3.75%, 5/1/2024 | 470 | 511 | ||||||
3.50%, 2/1/2025 | 90 | 99 | ||||||
4.13%, 1/15/2026 | 158 | 181 | ||||||
Welltower, Inc. 4.50%, 1/15/2024 | 900 | 992 | ||||||
WP Carey, Inc. 2.40%, 2/1/2031 | 135 | 138 | ||||||
|
| |||||||
20,451 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.3% |
| |||||||
Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030(a) | 600 | 650 | ||||||
Kroger Co. (The) | ||||||||
4.50%, 1/15/2029 | 950 | 1,171 | ||||||
5.40%, 7/15/2040 | 92 | 122 | ||||||
Sysco Corp. 3.25%, 7/15/2027 | 200 | 221 | ||||||
Walmart, Inc. | ||||||||
3.30%, 4/22/2024 | 200 | 218 | ||||||
3.05%, 7/8/2026 | 700 | 786 | ||||||
3.70%, 6/26/2028 | 1,000 | 1,180 | ||||||
|
| |||||||
4,348 | ||||||||
|
| |||||||
Food Products — 0.5% |
| |||||||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | 561 | 652 | ||||||
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | 500 | 510 | ||||||
Campbell Soup Co. | ||||||||
3.95%, 3/15/2025 | 300 | 338 | ||||||
2.38%, 4/24/2030 | 576 | 603 | ||||||
General Mills, Inc. 4.00%, 4/17/2025 | 1,200 | 1,358 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 89 | 103 | ||||||
Mondelez International, Inc. 1.88%, 10/15/2032 | 1,200 | 1,217 | ||||||
Smithfield Foods, Inc. 5.20%, 4/1/2029(a) | 556 | 662 | ||||||
Tyson Foods, Inc. | ||||||||
2.25%, 8/23/2021 | 313 | 317 | ||||||
3.90%, 9/28/2023 | 500 | 545 | ||||||
Unilever Capital Corp. (United Kingdom) 3.38%, 3/22/2025 | 200 | 221 | ||||||
|
| |||||||
6,526 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
Atmos Energy Corp. 2.63%, 9/15/2029 | 350 | 386 | ||||||
ONE Gas, Inc. 2.00%, 5/15/2030 | 248 | 261 | ||||||
|
| |||||||
647 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
Abbott Laboratories | ||||||||
3.88%, 9/15/2025 | 1,284 | 1,471 | ||||||
L3 to L2, 3.75%, 11/30/2026 | 650 | 759 | ||||||
Becton Dickinson and Co. | ||||||||
3.36%, 6/6/2024 | 100 | 108 | ||||||
3.70%, 6/6/2027 | 1,500 | 1,722 | ||||||
Boston Scientific Corp. | ||||||||
3.75%, 3/1/2026 | 316 | 359 | ||||||
4.00%, 3/1/2029 | 189 | 222 | ||||||
Medtronic, Inc. 3.50%, 3/15/2025 | 1,307 | 1,465 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.70%, 3/19/2023 | 174 | 186 | ||||||
3.55%, 4/1/2025 | 530 | 583 | ||||||
|
| |||||||
6,875 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.0% |
| |||||||
Anthem, Inc. | ||||||||
3.30%, 1/15/2023 | 700 | 741 | ||||||
3.65%, 12/1/2027 | 1,000 | 1,149 | ||||||
Cigna Corp. | ||||||||
3.50%, 6/15/2024 | 400 | 436 | ||||||
4.38%, 10/15/2028 | 1,000 | 1,202 | ||||||
CommonSpirit Health | ||||||||
3.35%, 10/1/2029 | 733 | 795 | ||||||
2.78%, 10/1/2030 | 600 | 619 | ||||||
CVS Health Corp. | ||||||||
3.70%, 3/9/2023 | 432 | 462 | ||||||
4.10%, 3/25/2025 | 705 | 799 | ||||||
2.70%, 8/21/2040 | 750 | 758 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
HCA, Inc. 4.13%, 6/15/2029 | 1,250 | 1,444 | ||||||
Laboratory Corp. of America Holdings 3.25%, 9/1/2024 | 1,000 | 1,087 | ||||||
Quest Diagnostics, Inc. | ||||||||
2.95%, 6/30/2030 | 93 | 102 | ||||||
2.80%, 6/30/2031 | 391 | 431 | ||||||
UnitedHealth Group, Inc. | ||||||||
4.70%, 2/15/2021 | 255 | 256 | ||||||
3.38%, 11/15/2021 | 187 | 191 | ||||||
2.75%, 2/15/2023 | 365 | 382 | ||||||
2.88%, 3/15/2023 | 645 | 682 | ||||||
3.75%, 7/15/2025 | 1,200 | 1,366 | ||||||
Universal Health Services, Inc. 2.65%, 10/15/2030(a) | 466 | 480 | ||||||
|
| |||||||
13,382 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.2% |
| |||||||
McDonald’s Corp. | ||||||||
3.38%, 5/26/2025 | 1,250 | 1,389 | ||||||
3.80%, 4/1/2028 | 440 | 514 | ||||||
Starbucks Corp. | ||||||||
2.70%, 6/15/2022 | 326 | 336 | ||||||
2.25%, 3/12/2030 | 850 | 891 | ||||||
|
| |||||||
3,130 | ||||||||
|
| |||||||
Household Durables — 0.1% |
| |||||||
DR Horton, Inc. 1.40%, 10/15/2027 | 1,100 | 1,098 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.0%(b) |
| |||||||
Exelon Generation Co. LLC | ||||||||
3.40%, 3/15/2022 | 90 | 93 | ||||||
4.25%, 6/15/2022 | 90 | 94 | ||||||
|
| |||||||
187 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
General Electric Co. 5.88%, 1/14/2038 | 70 | 91 | ||||||
Honeywell International, Inc. 4.25%, 3/1/2021 | 1,200 | 1,212 | ||||||
Roper Technologies, Inc. 3.80%, 12/15/2026 | 1,000 | 1,153 | ||||||
|
| |||||||
2,456 | ||||||||
|
| |||||||
Insurance — 1.3% |
| |||||||
AIA Group Ltd. (Hong Kong) 3.60%, 4/9/2029(a) | 595 | 673 | ||||||
Allstate Corp. (The) 3.15%, 6/15/2023 | 651 | 697 | ||||||
American International Group, Inc. | ||||||||
3.75%, 7/10/2025 | 818 | 918 | ||||||
3.90%, 4/1/2026 | 400 | 457 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 | 145 | 157 | ||||||
Athene Global Funding 2.75%, 6/25/2024(a) | 550 | 577 | ||||||
Chubb INA Holdings, Inc. 2.70%, 3/13/2023 | 1,900 | 1,998 | ||||||
CNA Financial Corp. | ||||||||
3.95%, 5/15/2024 | 499 | 550 | ||||||
4.50%, 3/1/2026 | 364 | 427 | ||||||
Guardian Life Global Funding | ||||||||
2.50%, 5/8/2022(a) | 500 | 515 | ||||||
3.40%, 4/25/2023(a) | 230 | 246 | ||||||
Jackson National Life Global Funding 3.05%, 4/29/2026(a) | 1,135 | 1,255 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.25%, 6/15/2023(a) | 210 | 230 | ||||||
4.57%, 2/1/2029(a) | 1,640 | 2,010 | ||||||
Lincoln National Corp. 4.20%, 3/15/2022 | 864 | 906 | ||||||
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 449 | 525 | ||||||
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 700 | 773 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.88%, 4/11/2022(a) | 426 | 447 | ||||||
3.00%, 1/10/2023(a) | 1,600 | 1,687 | ||||||
New York Life Global Funding 2.35%, 7/14/2026(a) | 953 | 1,026 | ||||||
Principal Financial Group, Inc. 3.13%, 5/15/2023 | 471 | 503 | ||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025(a) | 650 | 844 | ||||||
|
| |||||||
17,421 | ||||||||
|
| |||||||
Interactive Media & Services — 0.2% |
| |||||||
Alphabet, Inc. 1.10%, 8/15/2030 | 2,000 | 1,983 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.1% |
| |||||||
Amazon.com, Inc. | ||||||||
3.15%, 8/22/2027 | 900 | 1,023 | ||||||
3.88%, 8/22/2037 | 350 | 444 | ||||||
|
| |||||||
1,467 | ||||||||
|
| |||||||
IT Services — 0.3% |
| |||||||
DXC Technology Co. 4.25%, 4/15/2024 | 151 | 163 | ||||||
Fidelity National Information Services, Inc. 3.75%, 5/21/2029 | 208 | 243 | ||||||
Global Payments, Inc. 3.20%, 8/15/2029 | 600 | 666 | ||||||
International Business Machines Corp. 3.50%, 5/15/2029 | 1,800 | 2,082 | ||||||
Western Union Co. (The) 3.60%, 3/15/2022 | 100 | 103 | ||||||
|
| |||||||
3,257 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
Thermo Fisher Scientific, Inc. 3.20%, 8/15/2027 | 1,250 | 1,410 | ||||||
|
| |||||||
Machinery — 0.2% |
| |||||||
Illinois Tool Works, Inc. 3.50%, 3/1/2024 | 1,400 | 1,523 | ||||||
Parker-Hannifin Corp. 3.30%, 11/21/2024 | 228 | 250 | ||||||
Stanley Black & Decker, Inc. 3.40%, 3/1/2026 | 900 | 1,016 | ||||||
Xylem, Inc. 3.25%, 11/1/2026 | 111 | 124 | ||||||
|
| |||||||
2,913 | ||||||||
|
|
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Media — 1.2% |
| |||||||
Charter Communications Operating LLC 4.91%, 7/23/2025 | 2,460 | 2,847 | ||||||
Comcast Corp. | ||||||||
3.00%, 2/1/2024 | 1,168 | 1,257 | ||||||
3.70%, 4/15/2024 | 1,500 | 1,651 | ||||||
3.38%, 2/15/2025 | 1,226 | 1,352 | ||||||
3.95%, 10/15/2025 | 1,209 | 1,386 | ||||||
3.15%, 3/1/2026 | 221 | 247 | ||||||
3.90%, 3/1/2038 | 1,136 | 1,397 | ||||||
Cox Communications, Inc. | ||||||||
3.50%, 8/15/2027(a) | 615 | 694 | ||||||
1.80%, 10/1/2030(a) | 450 | 451 | ||||||
Discovery Communications LLC 3.95%, 3/20/2028 | 900 | 1,033 | ||||||
Fox Corp. 4.71%, 1/25/2029 | 910 | 1,100 | ||||||
Grupo Televisa SAB (Mexico) 4.63%, 1/30/2026 | 285 | 324 | ||||||
Time Warner Entertainment Co. LP 8.38%, 7/15/2033 | 500 | 779 | ||||||
ViacomCBS, Inc. 3.70%, 8/15/2024 | 1,019 | 1,116 | ||||||
|
| |||||||
15,634 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Anglo American Capital plc (South Africa) 4.50%, 3/15/2028(a) | 1,000 | 1,156 | ||||||
Glencore Funding LLC (Australia) 2.50%, 9/1/2030(a) | 500 | 498 | ||||||
Nucor Corp. 4.00%, 8/1/2023 | 305 | 330 | ||||||
Steel Dynamics, Inc. | ||||||||
1.65%, 10/15/2027 | 374 | 381 | ||||||
3.45%, 4/15/2030 | 28 | 31 | ||||||
|
| |||||||
2,396 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Dollar General Corp. 3.50%, 4/3/2030 | 1,750 | 2,012 | ||||||
Target Corp. 2.25%, 4/15/2025 | 959 | 1,026 | ||||||
|
| |||||||
3,038 | ||||||||
|
| |||||||
Multi-Utilities — 0.3% |
| |||||||
CMS Energy Corp. 2.95%, 2/15/2027 | 170 | 184 | ||||||
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | 690 | 803 | ||||||
Dominion Energy, Inc. Series B, 2.75%, 9/15/2022 | 350 | 362 | ||||||
NiSource, Inc. 3.95%, 3/30/2048 | 100 | 123 | ||||||
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | 417 | 411 | ||||||
Sempra Energy 4.05%, 12/1/2023 | 192 | 210 | ||||||
Southern Co. Gas Capital Corp. 3.50%, 9/15/2021 | 939 | 955 | ||||||
WEC Energy Group, Inc. 1.38%, 10/15/2027 | 800 | 803 | ||||||
|
| |||||||
3,851 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027(a) | 922 | 1,039 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.22%, 11/28/2023 | 750 | 806 | ||||||
3.22%, 4/14/2024 | 3,067 | 3,311 | ||||||
Cameron LNG LLC 2.90%, 7/15/2031(a) | 146 | 160 | ||||||
Chevron Corp. | ||||||||
1.55%, 5/11/2025 | 300 | 312 | ||||||
2.95%, 5/16/2026 | 1,200 | 1,328 | ||||||
CNOOC Finance 2014 ULC (China) 4.25%, 4/30/2024 | 833 | 909 | ||||||
Concho Resources, Inc. | ||||||||
3.75%, 10/1/2027 | 600 | 682 | ||||||
2.40%, 2/15/2031 | 125 | 131 | ||||||
Diamondback Energy, Inc. 3.25%, 12/1/2026 | 600 | 635 | ||||||
Ecopetrol SA (Colombia) | ||||||||
4.13%, 1/16/2025 | 467 | 504 | ||||||
5.38%, 6/26/2026 | 773 | 885 | ||||||
Enbridge, Inc. (Canada) 2.50%, 1/15/2025 | 400 | 421 | ||||||
Energy Transfer Operating LP | ||||||||
3.60%, 2/1/2023 | 267 | 277 | ||||||
4.90%, 2/1/2024 | 570 | 619 | ||||||
4.05%, 3/15/2025 | 182 | 196 | ||||||
2.90%, 5/15/2025 | 2,700 | 2,801 | ||||||
Eni SpA (Italy) Series X-R, 4.00%, 9/12/2023(a) | 1,145 | 1,246 | ||||||
Enterprise Products Operating LLC | ||||||||
3.35%, 3/15/2023 | 225 | 238 | ||||||
3.90%, 2/15/2024 | 263 | 288 | ||||||
3.75%, 2/15/2025 | 850 | 947 | ||||||
3.70%, 2/15/2026 | 651 | 734 | ||||||
3.95%, 2/15/2027 | 596 | 686 | ||||||
Equinor ASA (Norway) 2.88%, 4/6/2025 | 1,179 | 1,281 | ||||||
Exxon Mobil Corp. | ||||||||
2.71%, 3/6/2025 | 1,200 | 1,294 | ||||||
2.61%, 10/15/2030 | 1,268 | 1,384 | ||||||
Gray Oak Pipeline LLC 2.60%, 10/15/2025(a) | 312 | 317 | ||||||
HollyFrontier Corp. | ||||||||
2.63%, 10/1/2023 | 95 | 96 | ||||||
5.88%, 4/1/2026 | 400 | 434 | ||||||
Kinder Morgan, Inc. 3.15%, 1/15/2023 | 1,500 | 1,576 | ||||||
Marathon Petroleum Corp. 3.63%, 9/15/2024 | 964 | 1,036 | ||||||
MPLX LP | ||||||||
3.38%, 3/15/2023 | 200 | 211 | ||||||
4.13%, 3/1/2027 | 518 | 584 | ||||||
4.25%, 12/1/2027 | 118 | 134 | ||||||
2.65%, 8/15/2030 | 364 | 369 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Newfield Exploration Co. 5.38%, 1/1/2026 | 1,200 | 1,257 | ||||||
Noble Energy, Inc. | ||||||||
3.85%, 1/15/2028 | 350 | 405 | ||||||
3.25%, 10/15/2029 | 600 | 680 | ||||||
ONEOK Partners LP 3.38%, 10/1/2022 | 600 | 625 | ||||||
ONEOK, Inc. 3.40%, 9/1/2029 | 1,000 | 1,037 | ||||||
Phillips 66 | ||||||||
1.30%, 2/15/2026 | 178 | 179 | ||||||
3.90%, 3/15/2028 | 700 | 797 | ||||||
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 600 | 590 | ||||||
Plains All American Pipeline LP | ||||||||
3.65%, 6/1/2022 | 705 | 724 | ||||||
3.60%, 11/1/2024 | 800 | 835 | ||||||
Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025(a) | 210 | 214 | ||||||
Suncor Energy, Inc. (Canada) | ||||||||
3.60%, 12/1/2024 | 1,350 | 1,487 | ||||||
5.95%, 12/1/2034 | 300 | 377 | ||||||
Sunoco Logistics Partners Operations LP 5.95%, 12/1/2025 | 506 | 584 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 | 141 | 156 | ||||||
Texas Eastern Transmission LP 2.80%, 10/15/2022(a) | 1,153 | 1,181 | ||||||
Total Capital Canada Ltd. (France) 2.75%, 7/15/2023 | 821 | 872 | ||||||
Total Capital International SA (France) | ||||||||
2.70%, 1/25/2023 | 200 | 210 | ||||||
3.75%, 4/10/2024 | 600 | 664 | ||||||
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 | 2,345 | 2,538 | ||||||
Valero Energy Corp. 2.85%, 4/15/2025 | 1,200 | 1,260 | ||||||
Williams Cos., Inc. (The) 3.90%, 1/15/2025 | 262 | 289 | ||||||
|
| |||||||
44,832 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 | 616 | 608 | ||||||
Bristol-Myers Squibb Co. | ||||||||
2.00%, 8/1/2022 | 1,210 | 1,243 | ||||||
3.25%, 8/15/2022 | 600 | 630 | ||||||
2.90%, 7/26/2024 | 1,000 | 1,081 | ||||||
3.40%, 7/26/2029 | 561 | 655 | ||||||
Eli Lilly and Co. 3.38%, 3/15/2029 | 600 | 698 | ||||||
Merck & Co., Inc. 3.40%, 3/7/2029 | 750 | 877 | ||||||
Mylan, Inc. 3.13%, 1/15/2023(a) | 600 | 630 | ||||||
Novartis Capital Corp. (Switzerland) 3.00%, 11/20/2025 | 1,153 | 1,279 | ||||||
Pfizer, Inc. 3.20%, 9/15/2023 | 3,200 | 3,451 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 700 | 782 | ||||||
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 1,800 | 1,838 | ||||||
Zoetis, Inc. 3.00%, 9/12/2027 | 900 | 1,009 | ||||||
|
| |||||||
14,781 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0%(b) |
| |||||||
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027(a) | 219 | 245 | ||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027(a) | 325 | 360 | ||||||
|
| |||||||
605 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Burlington Northern Santa Fe LLC 4.10%, 6/1/2021 | 2,000 | 2,019 | ||||||
Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022 | 1,146 | 1,197 | ||||||
CSX Corp. | ||||||||
3.25%, 6/1/2027 | 1,068 | 1,207 | ||||||
4.25%, 3/15/2029 | 500 | 606 | ||||||
ERAC USA Finance LLC | ||||||||
4.50%, 8/16/2021(a) | 315 | 324 | ||||||
3.85%, 11/15/2024(a) | 650 | 722 | ||||||
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | 400 | 457 | ||||||
Norfolk Southern Corp. | ||||||||
2.90%, 2/15/2023 | 562 | 590 | ||||||
3.85%, 1/15/2024 | 750 | 819 | ||||||
2.90%, 6/15/2026 | 200 | 221 | ||||||
Penske Truck Leasing Co. LP 4.20%, 4/1/2027(a) | 1,250 | 1,440 | ||||||
Ryder System, Inc. 4.63%, 6/1/2025 | 800 | 922 | ||||||
Union Pacific Corp. | ||||||||
3.75%, 3/15/2024 | 800 | 873 | ||||||
3.25%, 1/15/2025 | 850 | 933 | ||||||
2.40%, 2/5/2030 | 600 | 649 | ||||||
|
| |||||||
12,979 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.5% |
| |||||||
Analog Devices, Inc. 3.13%, 12/5/2023 | 122 | 131 | ||||||
Broadcom, Inc. 4.11%, 9/15/2028 | 2,687 | 3,076 | ||||||
Intel Corp. 2.45%, 11/15/2029 | 1,400 | 1,527 | ||||||
QUALCOMM, Inc. 3.25%, 5/20/2027 | 913 | 1,035 | ||||||
Texas Instruments, Inc. 2.75%, 3/12/2021 | 790 | 794 | ||||||
|
| |||||||
6,563 | ||||||||
|
|
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Software — 0.7% |
| |||||||
Intuit, Inc. | ||||||||
1.35%, 7/15/2027 | 166 | 169 | ||||||
1.65%, 7/15/2030 | 1,100 | 1,127 | ||||||
Microsoft Corp. | ||||||||
3.13%, 11/3/2025 | 1,800 | 2,011 | ||||||
2.40%, 8/8/2026 | 1,200 | 1,307 | ||||||
Oracle Corp. | ||||||||
2.50%, 5/15/2022 | 540 | 555 | ||||||
2.95%, 11/15/2024 | 1,600 | 1,736 | ||||||
2.65%, 7/15/2026 | 1,800 | 1,963 | ||||||
6.50%, 4/15/2038 | 50 | 80 | ||||||
|
| |||||||
8,948 | ||||||||
|
| |||||||
Specialty Retail — 0.5% |
| |||||||
AutoZone, Inc. 4.00%, 4/15/2030 | 823 | 969 | ||||||
Home Depot, Inc. (The) | ||||||||
3.75%, 2/15/2024 | 486 | 534 | ||||||
2.95%, 6/15/2029 | 1,500 | 1,697 | ||||||
Lowe’s Cos., Inc. | ||||||||
3.13%, 9/15/2024 | 1,004 | 1,089 | ||||||
3.65%, 4/5/2029 | 638 | 744 | ||||||
O’Reilly Automotive, Inc. | ||||||||
3.55%, 3/15/2026 | 300 | 338 | ||||||
3.60%, 9/1/2027 | 463 | 526 | ||||||
|
| |||||||
5,897 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
Apple, Inc. | ||||||||
2.75%, 1/13/2025 | 1,700 | 1,839 | ||||||
3.20%, 5/13/2025 | 1,154 | 1,283 | ||||||
2.90%, 9/12/2027 | 2,474 | 2,771 | ||||||
Dell International LLC | ||||||||
4.90%, 10/1/2026(a) | 600 | 701 | ||||||
5.30%, 10/1/2029(a) | 1,000 | 1,208 | ||||||
Hewlett Packard Enterprise Co. 1.45%, 4/1/2024 | 700 | 715 | ||||||
|
| |||||||
8,517 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
Nationwide Building Society (United Kingdom) 1.00%, 8/28/2025(a) | 963 | 961 | ||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
BAT Capital Corp. (United Kingdom) | ||||||||
3.22%, 8/15/2024 | 1,000 | 1,082 | ||||||
2.26%, 3/25/2028 | 1,062 | 1,095 | ||||||
Philip Morris International, Inc. 3.38%, 8/11/2025 | 850 | 946 | ||||||
|
| |||||||
3,123 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
Air Lease Corp. | ||||||||
3.88%, 7/3/2023 | 400 | 424 | ||||||
3.00%, 9/15/2023 | 1,400 | 1,451 | ||||||
3.63%, 4/1/2027 | 1,000 | 1,051 | ||||||
Aircastle Ltd. 4.40%, 9/25/2023 | 550 | 565 | ||||||
Aviation Capital Group LLC 5.50%, 12/15/2024(a) | 860 | 921 | ||||||
BOC Aviation Ltd. (Singapore) | ||||||||
2.38%, 9/15/2021(a) | 500 | 503 | ||||||
3.50%, 10/10/2024(a) | 400 | 423 | ||||||
|
| |||||||
5,338 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Capital Corp. 3.40%, 3/1/2025 | 664 | 733 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
America Movil SAB de CV (Mexico) 3.13%, 7/16/2022 | 693 | 721 | ||||||
Rogers Communications, Inc. (Canada) 3.63%, 12/15/2025 | 608 | 688 | ||||||
T-Mobile USA, Inc. | ||||||||
2.05%, 2/15/2028(a) | 275 | 283 | ||||||
3.88%, 4/15/2030(a) | 1,400 | 1,606 | ||||||
2.25%, 11/15/2031(a) | 1,000 | 1,014 | ||||||
Vodafone Group plc (United Kingdom) 3.75%, 1/16/2024 | 1,800 | 1,968 | ||||||
|
| |||||||
6,280 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $437,650) | 467,919 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 21.5% |
| |||||||
U.S. Treasury Inflation Indexed Notes | ||||||||
0.13%, 4/15/2021(e) | 24,751 | 27,212 | ||||||
0.13%, 1/15/2022 | 3,000 | 3,499 | ||||||
0.13%, 4/15/2022 | 91,779 | 99,801 | ||||||
U.S. Treasury Inflation Linked Notes | ||||||||
0.13%, 1/15/2023 | 97,499 | 113,241 | ||||||
0.13%, 1/15/2030 | 30,294 | 33,744 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $271,730) | 277,497 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.3% |
| |||||||
20 Times Square Trust |
| |||||||
Series 2018-20TS, Class A, 3.20%, 5/15/2035(a)(f) | 1,162 | 1,163 | ||||||
BB-UBS Trust |
| |||||||
Series 2012-SHOW, Class A, 3.43%, 11/5/2036(a) | 1,400 | 1,429 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates |
| |||||||
Series KJ08, Class A2, 2.36%, 8/25/2022 | 247 | 251 | ||||||
Series KJ13, Class A2, 2.86%, 8/25/2022 | 940 | 966 | ||||||
Series KJ18, Class A2, 3.07%, 8/25/2022 | 1,020 | 1,049 | ||||||
Series KF12, Class A, 0.84%, 9/25/2022(f) | 18 | 18 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series KJ09, Class A2, 2.84%, 9/25/2022 | 239 | 247 | ||||||
Series KSMC, Class A2, 2.62%, 1/25/2023 | 6,000 | 6,282 | ||||||
Series K027, Class A2, 2.64%, 1/25/2023 | 800 | 834 | ||||||
Series KJ11, Class A2, 2.93%, 1/25/2023 | 1,035 | 1,081 | ||||||
Series K029, Class A2, 3.32%, 2/25/2023 | 2,045 | 2,166 | ||||||
Series K034, Class A2, 3.53%, 7/25/2023(f) | 5,000 | 5,372 | ||||||
Series K036, Class A2, 3.53%, 10/25/2023(f) | 3,000 | 3,240 | ||||||
Series K038, Class A2, 3.39%, 3/25/2024 | 4,768 | 5,192 | ||||||
Series K727, Class AM, 3.04%, 7/25/2024 | 1,400 | 1,513 | ||||||
Series K039, Class A2, 3.30%, 7/25/2024 | 2,550 | 2,784 | ||||||
Series J22F, Class A2, 4.09%, 9/25/2024 | 356 | 389 | ||||||
Series K729, Class A2, 3.14%, 10/25/2024 | 1,219 | 1,326 | ||||||
Series K041, Class A2, 3.17%, 10/25/2024 | 7,000 | 7,666 | ||||||
Series K046, Class A2, 3.21%, 3/25/2025 | 2,503 | 2,764 | ||||||
Series KL3L, Class ALNZ, 3.46%, 4/25/2025(f) | 2,000 | 2,220 | ||||||
Series KPLB, Class A, 2.77%, 5/25/2025 | 1,750 | 1,890 | ||||||
Series K048, Class A2, 3.28%, 6/25/2025(f) | 3,480 | 3,872 | ||||||
Series K049, Class A2, 3.01%, 7/25/2025 | 2,469 | 2,718 | ||||||
Series KLU2, Class A7, 2.23%, 9/25/2025(f) | 550 | 582 | ||||||
Series K056, Class A2, 2.53%, 5/25/2026 | 4,000 | 4,359 | ||||||
Series K058, Class A1, 2.34%, 7/25/2026 | 1,662 | 1,744 | ||||||
Series K737, Class AM, 2.10%, 10/25/2026 | 3,110 | 3,323 | ||||||
Series K060, Class A2, 3.30%, 10/25/2026 | 2,000 | 2,274 | ||||||
Series K066, Class A2, 3.12%, 6/25/2027 | 1,362 | 1,544 | ||||||
Series K067, Class A2, 3.19%, 7/25/2027 | 1,686 | 1,922 | ||||||
Series K069, Class A2, 3.19%, 9/25/2027(f) | 3,500 | 4,008 | ||||||
Series K070, Class A2, 3.30%, 11/25/2027(f) | 910 | 1,051 | ||||||
Series K072, Class A2, 3.44%, 12/25/2027 | 473 | 550 | ||||||
Series K073, Class A2, 3.35%, 1/25/2028 | 2,759 | 3,186 | ||||||
Series K081, Class A1, 3.88%, 2/25/2028 | 1,240 | 1,406 | ||||||
Series K077, Class A2, 3.85%, 5/25/2028(f) | 1,690 | 2,015 | ||||||
Series K078, Class A2, 3.85%, 6/25/2028 | 1,541 | 1,837 | ||||||
Series K079, Class A2, 3.93%, 6/25/2028 | 3,600 | 4,311 | ||||||
Series K083, Class A2, 4.05%, 9/25/2028(f) | 594 | 716 | ||||||
FNMA ACES |
| |||||||
Series 2013-M7, Class A2, 2.28%, 12/27/2022 | 1,525 | 1,568 | ||||||
Series 2013-M9, Class A2, 2.39%, 1/25/2023(f) | 3,892 | 4,023 | ||||||
Series 2013-M13, Class A2, 2.64%, 4/25/2023(f) | 1,403 | 1,460 | ||||||
Series 2014-M1, Class A2, 3.23%, 7/25/2023(f) | 2,164 | 2,274 | ||||||
Series 2014-M2, Class A2, 3.51%, 12/25/2023(f) | 5,438 | 5,801 | ||||||
Series 2014-M3, Class A2, 3.50%, 1/25/2024(f) | 2,084 | 2,252 | ||||||
Series 2014-M8, Class A2, 3.06%, 6/25/2024(f) | 5,262 | 5,619 | ||||||
Series 2014-M9, Class A2, 3.10%, 7/25/2024(f) | 4,509 | 4,874 | ||||||
Series 2014-M13, Class A2, 3.02%, 8/25/2024(f) | 1,828 | 1,961 | ||||||
Series 2016-M6, Class A2, 2.49%, 5/25/2026 | 800 | 870 | ||||||
Series 2015-M10, Class A2, 3.09%, 4/25/2027(f) | 1,400 | 1,563 | ||||||
Series 2017-M8, Class A2, 3.06%, 5/25/2027(f) | 1,500 | 1,681 | ||||||
Series 2017-M12, Class A2, 3.18%, 6/25/2027(f) | 4,145 | 4,678 | ||||||
Series 2017-M13, Class A2, 3.04%, 9/25/2027(f) | 472 | 530 | ||||||
Series 2018-M2, Class A2, 3.00%, 1/25/2028(f) | 3,400 | 3,821 | ||||||
Series 2018-M4, Class A2, 3.15%, 3/25/2028(f) | 2,415 | 2,737 | ||||||
Series 2018-M9, Class APT2, 3.23%, 4/25/2028(f) | 3,533 | 3,933 | ||||||
Series 2018-M14, Class A2, 3.70%, 8/25/2028(f) | 400 | 472 | ||||||
Series 2017-M5, Class A2, 3.29%, 4/25/2029(f) | 3,500 | 3,984 | ||||||
Series 2018-M3, Class A2, 3.19%, 2/25/2030(f) | 1,384 | 1,578 | ||||||
Series 2018-M13, Class A1, 3.82%, 3/25/2030(f) | 737 | 856 | ||||||
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 1,624 | 1,611 | ||||||
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 415 | 421 | ||||||
Series 2020-M50, Class X1, IO, 2.05%, 10/25/2030(f) | 7,340 | 888 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
FREMF Mortgage Trust | ||||||||
Series 2015-K44, Class B, 3.81%, 1/25/2048(a)(f) | 1,500 | 1,627 | ||||||
Series 2016-K722, Class B, 3.98%, 7/25/2049(a)(f) | 735 | 779 | ||||||
ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 0.74%, 12/12/2049‡(a)(f) | 447 | — | (g) | |||||
Morgan Stanley Capital I Trust Series 2007-HQ11, Class X, IO, 0.36%, 2/12/2044(a)(f) | 281 | — | (g) | |||||
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036(a) | 300 | 313 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030(a) | 866 | 849 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
Series 2013-C6, Class A4, 3.24%, 4/10/2046 | 1,486 | 1,554 | ||||||
Series 2012-C2, Class A4, 3.53%, 5/10/2063 | 1,040 | 1,071 | ||||||
WFRBS Commercial Mortgage Trust Series 2012-C6, Class A4, 3.44%, 4/15/2045 | 1,704 | 1,725 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $147,572) | 158,633 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 10.3% | ||||||||
ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023(a) | 211 | 212 | ||||||
Air Canada Pass-Through Trust (Canada) | ||||||||
Series 2013-1, Class A, 4.13%, 5/15/2025(a) | 427 | 404 | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/2030(a) | 192 | 184 | ||||||
Ally Auto Receivables Trust | ||||||||
Series 2018-1, Class A3, 2.35%, 6/15/2022 | 146 | 147 | ||||||
Series 2018-2, Class A3, 2.92%, 11/15/2022 | 699 | 705 | ||||||
Series 2019-1, Class A3, 2.91%, 9/15/2023 | 467 | 476 | ||||||
American Airlines Pass-Through Trust | ||||||||
Series 2011-1, Class A, 5.25%, 1/31/2021 | 32 | 32 | ||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 168 | 162 | ||||||
Series 2017-1, Class AA, 3.65%, 2/15/2029 | 234 | 228 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
Series 2019-4, Class B, 2.43%, 10/12/2023(a) | 455 | 459 | ||||||
Series 2020-3, Class A, 0.62%, 10/13/2023(a) | 688 | 689 | ||||||
American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024 | 1,120 | 1,158 | ||||||
American Tower Trust #1 3.07%, 3/15/2023(a) | 500 | 510 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2018-1, Class A3, 3.07%, 12/19/2022 | 333 | 335 | ||||||
Series 2018-2, Class A3, 3.15%, 3/20/2023 | 610 | 616 | ||||||
Series 2018-3, Class A3, 3.38%, 7/18/2023 | 3,729 | 3,783 | ||||||
Series 2019-1, Class A3, 2.97%, 11/20/2023 | 470 | 477 | ||||||
Series 2019-2, Class A3, 2.28%, 1/18/2024 | 1,850 | 1,879 | ||||||
Series 2020-1, Class A3, 1.11%, 8/19/2024 | 820 | 828 | ||||||
Series 2020-2, Class A3, 0.66%, 12/18/2024 | 166 | 167 | ||||||
Series 2020-3, Class B, 0.76%, 12/18/2025 | 740 | 741 | ||||||
Ascentium Equipment Receivables Trust Series 2017-1A, Class A3, 2.29%, 6/10/2021(a) | 13 | 13 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026(a) | 710 | 729 | ||||||
BA Credit Card Trust | ||||||||
Series 2018-A2, Class A2, 3.00%, 9/15/2023 | 6,750 | 6,820 | ||||||
Series 2019-A1, Class A1, 1.74%, 1/15/2025 | 1,600 | 1,641 | ||||||
BMW Vehicle Lease Trust Series 2018-1, Class A3, 3.26%, 7/20/2021 | 41 | 41 | ||||||
Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035(a) | 487 | 493 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2017-3, Class A3, 1.97%, 4/15/2022 | 55 | 55 | ||||||
Series 2017-4, Class A3, 2.11%, 10/17/2022 | 49 | 49 | ||||||
Series 2018-1, Class A3, 2.48%, 11/15/2022 | 210 | 212 | ||||||
Series 2018-2, Class A3, 2.98%, 1/17/2023 | 3,748 | 3,792 | ||||||
Series 2018-3, Class A3, 3.13%, 6/15/2023 | 1,376 | 1,400 | ||||||
Series 2018-4, Class A3, 3.36%, 9/15/2023 | 253 | 258 | ||||||
Series 2019-1, Class A3, 3.05%, 3/15/2024 | 797 | 815 | ||||||
Series 2020-1, Class A3, 1.89%, 12/16/2024 | 692 | 709 | ||||||
Series 2020-3, Class A3, 0.62%, 3/17/2025 | 665 | 669 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Carvana Auto Receivables Trust Series 2019-2A, Class C, 3.00%, 6/17/2024(a) | 1,100 | 1,129 | ||||||
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1, 2.49%, 1/20/2023 | 6,794 | 6,815 | ||||||
CNH Equipment Trust | ||||||||
Series 2017-A, Class A3, 2.07%, 5/16/2022 | 41 | 41 | ||||||
Series 2017-B, Class A3, 1.86%, 9/15/2022 | 65 | 65 | ||||||
Series 2017-C, Class A3, 2.08%, 2/15/2023 | 76 | 76 | ||||||
Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022 | 208 | 207 | ||||||
CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052(a) | 295 | 311 | ||||||
CPS Auto Receivables Trust | ||||||||
Series 2019-D, Class A, 2.17%, 12/15/2022(a) | 58 | 58 | ||||||
Series 2020-A, Class A, 2.09%, 5/15/2023(a) | 243 | 244 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
Series 2018-1A, Class A, 3.01%, 2/16/2027(a) | 74 | 74 | ||||||
Series 2018-2A, Class A, 3.47%, 5/17/2027(a) | 507 | 511 | ||||||
Series 2019-3A, Class A, 2.38%, 11/15/2028(a) | 265 | 272 | ||||||
Series 2020-1A, Class A, 2.01%, 2/15/2029(a) | 1,575 | 1,611 | ||||||
Dell Equipment Finance Trust Series 2019-1, Class A3, 2.83%, 3/22/2024(a) | 1,090 | 1,106 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2019-4, Class A3, 2.16%, 5/15/2023 | 237 | 238 | ||||||
Series 2020-1, Class A3, 2.02%, 11/15/2023 | 385 | 389 | ||||||
Series 2018-2, Class C, 3.63%, 8/15/2024 | 107 | 108 | ||||||
Series 2020-2, Class B, 1.42%, 3/17/2025 | 160 | 162 | ||||||
DT Auto Owner Trust | ||||||||
Series 2020-3A, Class B, 0.91%, 12/16/2024(a) | 535 | 535 | ||||||
Series 2019-2A, Class C, 3.18%, 2/18/2025(a) | 650 | 664 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2019-3A, Class A, 2.59%, 9/15/2022(a) | 35 | 35 | ||||||
Series 2019-4A, Class A, 2.18%, 1/17/2023(a) | 88 | 88 | ||||||
Series 2020-1A, Class A, 2.05%, 6/15/2023(a) | 228 | 228 | ||||||
Series 2020-3A, Class B, 0.79%, 9/16/2024 | 370 | 371 | ||||||
Fifth Third Auto Trust Series 2019-1, Class A4, 2.69%, 11/16/2026 | 355 | 371 | ||||||
First Investors Auto Owner Trust Series 2019-1A, Class A, 2.89%, 3/15/2024(a) | 233 | 236 | ||||||
FirstKey Homes Trust Series 2020-SFR2, Class A, 1.27%, 10/19/2037(a) | 380 | 381 | ||||||
Flagship Credit Auto Trust | ||||||||
Series 2018-2, Class A, 2.97%, 10/17/2022(a) | 86 | 86 | ||||||
Series 2018-3, Class A, 3.07%, 2/15/2023(a) | 98 | 98 | ||||||
Series 2019-2, Class A, 2.83%, 10/16/2023(a) | 1,639 | 1,654 | ||||||
Series 2020-4, Class A, 0.53%, 4/15/2025(a) | 3,500 | 3,502 | ||||||
Series 2019-2, Class B, 2.92%, 4/15/2025(a) | 650 | 666 | ||||||
Series 2019-4, Class C, 2.77%, 12/15/2025(a) | 310 | 322 | ||||||
Ford Credit Auto Lease Trust | ||||||||
Series 2018-B, Class A4, 3.30%, 2/15/2022 | 819 | 824 | ||||||
Series 2019-A, Class A3, 2.90%, 5/15/2022 | 3,000 | 3,020 | ||||||
Series 2020-A, Class A3, 1.85%, 3/15/2023 | 600 | 609 | ||||||
Series 2020-B, Class A4, 0.69%, 10/15/2023 | 456 | 459 | ||||||
Ford Credit Auto Owner Trust Series 2018-B, Class A4, 3.38%, 3/15/2024 | 340 | 355 | ||||||
FREED ABS Trust Series 2020-FP1, Class A, 2.52%, 3/18/2027(a) | 375 | 376 | ||||||
GLS Auto Receivables Issuer Trust Series 2019-2A, Class A, 3.06%, 4/17/2023(a) | 112 | 113 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
Series 2019-1, Class A3, 2.98%, 12/20/2021 | 419 | 421 | ||||||
Series 2019-3, Class A3, 2.03%, 6/20/2022 | 810 | 817 | ||||||
Series 2020-3, Class A3, 0.45%, 8/21/2023 | 640 | 642 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
Series 2018-1, Class A3, 2.32%, 7/18/2022 | 64 | 64 | ||||||
Series 2018-2, Class A3, 2.81%, 12/16/2022 | 588 | 594 | ||||||
Series 2018-3, Class A3, 3.02%, 5/16/2023 | 4,080 | 4,140 | ||||||
Harley-Davidson Motorcycle Trust Series 2019-A, Class A3, 2.34%, 2/15/2024 | 865 | 878 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048(a) | 247 | 259 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
Series 2017-3, Class A3, 1.79%, 9/20/2021 | 7 | 7 | ||||||
Series 2018-2, Class A3, 3.01%, 5/18/2022 | 469 | 473 | ||||||
Series 2018-3, Class A3, 2.95%, 8/22/2022 | 2,512 | 2,542 | ||||||
Series 2019-4, Class A3, 1.83%, 1/18/2024 | 525 | 536 | ||||||
Hyundai Auto Lease Securitization Trust | ||||||||
Series 2018-B, Class A4, 3.20%, 6/15/2022(a) | 1,011 | 1,013 | ||||||
Series 2019-A, Class A3, 2.98%, 7/15/2022(a) | 5,460 | 5,500 | ||||||
Series 2020-B, Class A3, 0.51%, 9/15/2023(a) | 1,185 | 1,188 | ||||||
Hyundai Auto Receivables Trust | ||||||||
Series 2017-B, Class A3, 1.77%, 1/18/2022 | 13 | 13 | ||||||
Series 2018-A, Class A3, 2.79%, 7/15/2022 | 351 | 354 | ||||||
Series 2018-B, Class A3, 3.20%, 12/15/2022 | 462 | 468 | ||||||
John Deere Owner Trust Series 2018-B, Class A3, 3.08%, 11/15/2022 | 759 | 768 | ||||||
Mercedes-Benz Auto Lease Trust | ||||||||
Series 2018-B, Class A3, 3.21%, 9/15/2021 | 164 | 165 | ||||||
Series 2019-A, Class A3, 3.10%, 11/15/2021 | 132 | 132 | ||||||
Series 2019-B, Class A3, 2.00%, 10/17/2022 | 75 | 76 | ||||||
Series 2020-A, Class A3, 1.84%, 12/15/2022 | 722 | 733 | ||||||
Nissan Auto Lease Trust | ||||||||
Series 2020-A, Class A2A, 1.80%, 5/16/2022 | 4,611 | 4,638 | ||||||
Series 2019-B, Class A3, 2.27%, 7/15/2022 | 495 | 500 | ||||||
Series 2020-B, Class A3, 0.43%, 10/16/2023 | 755 | 756 | ||||||
Series 2019-A, Class A4, 2.78%, 7/15/2024 | 305 | 310 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
Series 2017-C, Class A3, 2.12%, 4/18/2022 | 62 | 62 | ||||||
Series 2018-C, Class A3, 3.22%, 6/15/2023 | 863 | 879 | ||||||
Octane Receivables Trust Series 2020-1A, Class A, 1.71%, 2/20/2025(a) | 2,449 | 2,455 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024(a) | 1,078 | 1,090 | ||||||
Progress Residential Trust Series 2020-SFR3, Class B, 1.50%, 10/17/2027‡(a) | 785 | 788 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2019-2, Class A3, 2.59%, 5/15/2023 | 160 | 160 | ||||||
Series 2020-2, Class A3, 0.67%, 4/15/2024 | 262 | 263 | ||||||
Series 2020-3, Class B, 0.69%, 3/17/2025 | 635 | 636 | ||||||
Series 2020-4, Class C, 1.01%, 1/15/2026 | 465 | 465 | ||||||
Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022(a) | 1,820 | 1,849 | ||||||
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 133 | 127 | ||||||
Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024 | 2,600 | 2,663 | ||||||
Tesla Auto Lease Trust | ||||||||
Series 2018-B, Class A, 3.71%, 8/20/2021(a) | 417 | 421 | ||||||
Series 2019-A, Class A3, 2.16%, 10/20/2022(a) | 370 | 378 | ||||||
Toyota Auto Receivables Owner Trust | ||||||||
Series 2020-A, Class A2, 1.67%, 11/15/2022 | 4,558 | 4,589 | ||||||
Series 2020-A, Class A3, 1.66%, 5/15/2024 | 350 | 357 | ||||||
Series 2020-C, Class A4, 0.57%, 10/15/2025 | 532 | 534 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series 2016-1, Class AA, 3.10%, 7/7/2028 | 1,178 | 1,158 | ||||||
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 1,178 | 1,149 | ||||||
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 745 | 716 | ||||||
US Auto Funding LLC Series 2019-1A, Class B, 3.99%, 12/15/2022(a) | 700 | 710 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050‡(a)(d) | 1,102 | 1,103 | ||||||
Series 2020-NPL5, Class A1A, 2.98%, 3/25/2050‡(a)(d) | 680 | 680 | ||||||
Series 2020-NPL6, Class A1A, 3.97%, 4/25/2050‡(a)(d) | 1,212 | 1,218 | ||||||
Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023 | 922 | 934 | ||||||
Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.75%, 1/22/2024 | 471 | 471 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
VOLT LXXXV LLC Series 2020-NPL1, Class A1A, 3.23%, 1/25/2050‡(a)(d) | 643 | 645 | ||||||
VOLT LXXXVII LLC Series 2020-NPL3, Class A1A, 2.98%, 2/25/2050‡(a)(d) | 1,160 | 1,160 | ||||||
Westlake Automobile Receivables Trust | ||||||||
Series 2020-2A, Class A2A, 0.93%, 2/15/2024(a) | 1,062 | 1,065 | ||||||
Series 2020-3A, Class B, 0.78%, 11/17/2025(a) | 815 | 816 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
Series 2018-A, Class A, 3.07%, 12/16/2024 | 2,677 | 2,692 | ||||||
Series 2018-B, Class A, 3.46%, 7/15/2025 | 1,564 | 1,602 | ||||||
World Omni Auto Receivables Trust | ||||||||
Series 2020-A, Class A3, 1.70%, 1/17/2023 | 1,955 | 1,994 | ||||||
Series 2017-B, Class A3, 1.95%, 2/15/2023 | 116 | 117 | ||||||
Series 2018-C, Class A3, 3.13%, 11/15/2023 | 5,266 | 5,366 | ||||||
Series 2019-B, Class A3, 2.59%, 7/15/2024 | 917 | 934 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
Series 2018-B, Class A3, 3.19%, 12/15/2021 | 609 | 612 | ||||||
Series 2019-A, Class A3, 2.94%, 5/16/2022 | 900 | 910 | ||||||
Series 2020-B, Class A4, 0.52%, 2/17/2026 | 480 | 481 | ||||||
World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 | 540 | 541 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES (Cost $132,114) | 133,075 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 9.9% | ||||||||
FHLMC Gold Pools, 15 Year Pool # G13603, 5.50%, 2/1/2024 | 3 | 3 | ||||||
FHLMC Gold Pools, 20 Year | ||||||||
Pool # C91030, 5.50%, 5/1/2027 | 58 | 65 | ||||||
Pool # C91802, 3.50%, 1/1/2035 | 4,157 | 4,485 | ||||||
FHLMC Gold Pools, 30 Year | ||||||||
Pool # A15232, 5.00%, 10/1/2033 | 142 | 164 | ||||||
Pool # A57681, 6.00%, 12/1/2036 | 1 | 1 | ||||||
Pool # G06493, 4.50%, 5/1/2041 | 805 | 904 | ||||||
FHLMC Gold Pools, Other Pool # U90690, 3.50%, 6/1/2042 | 909 | 988 | ||||||
FHLMC UMBS, 20 Year Pool # RB5085, 2.00%, 11/1/2040 | 3,412 | 3,555 | ||||||
FHLMC UMBS, 30 Year Pool # ZM6956, 4.50%, 6/1/2048 | 1,862 | 2,062 | ||||||
FNMA Pool # AM2292, ARM, 0.49%, 1/1/2023(f) | 784 | 782 | ||||||
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | 2 | 2 | ||||||
FNMA UMBS, 20 Year | ||||||||
Pool # MA1138, 3.50%, 8/1/2032 | 675 | 728 | ||||||
Pool # AP9584, 3.00%, 10/1/2032 | 3,168 | 3,387 | ||||||
FNMA UMBS, 30 Year | ||||||||
Pool # AL0045, 6.00%, 12/1/2032 | 256 | 301 | ||||||
Pool # 735503, 6.00%, 4/1/2035 | 68 | 82 | ||||||
Pool # 888460, 6.50%, 10/1/2036 | 415 | 503 | ||||||
Pool # 888890, 6.50%, 10/1/2037 | 10 | 12 | ||||||
Pool # 949320, 7.00%, 10/1/2037 | 43 | 47 | ||||||
Pool # 995149, 6.50%, 10/1/2038 | 24 | 28 | ||||||
Pool # 994410, 7.00%, 11/1/2038 | 193 | 232 | ||||||
Pool # AD9151, 5.00%, 8/1/2040 | 450 | 523 | ||||||
Pool # AE0681, 4.50%, 12/1/2040 | 944 | 1,059 | ||||||
Pool # BM3500, 4.00%, 9/1/2047 | 1,912 | 2,130 | ||||||
Pool # BM3499, 4.00%, 12/1/2047 | 2,177 | 2,379 | ||||||
Pool # BE8354, 4.00%, 3/1/2048 | 1,254 | 1,342 | ||||||
FNMA, Other | ||||||||
Pool # 468614, 3.86%, 7/1/2021 | 1,088 | 1,094 | ||||||
Pool # 468159, 4.26%, 7/1/2021 | 935 | 940 | ||||||
Pool # AM6602, 2.63%, 9/1/2021 | 1,310 | 1,318 | ||||||
Pool # 469873, 3.03%, 12/1/2021 | 1,153 | 1,168 | ||||||
Pool # AL2044, 3.82%, 5/1/2022(f) | 1,516 | 1,527 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Pool # 471513, 2.90%, 6/1/2022 | 995 | 1,019 | ||||||
Pool # 471881, 2.67%, 7/1/2022 | 2,000 | 2,048 | ||||||
Pool # 471828, 2.65%, 8/1/2022 | 2,000 | 2,051 | ||||||
Pool # AM1804, 2.19%, 12/1/2022 | 834 | 854 | ||||||
Pool # AM1619, 2.34%, 12/1/2022 | 2,314 | 2,375 | ||||||
Pool # AM2285, 2.41%, 1/1/2023 | 3,403 | 3,502 | ||||||
Pool # AL3594, 2.70%, 4/1/2023(f) | 1,556 | 1,616 | ||||||
Pool # AM3301, 2.35%, 5/1/2023 | 2,145 | 2,231 | ||||||
Pool # AM3244, 2.52%, 5/1/2023 | 3,000 | 3,114 | ||||||
Pool # AM3432, 2.40%, 7/1/2023 | 2,939 | 3,052 | ||||||
Pool # AM4628, 3.69%, 11/1/2023 | 1,119 | 1,203 | ||||||
Pool # AM4716, 3.38%, 12/1/2023 | 1,428 | 1,539 | ||||||
Pool # AM7290, 2.97%, 12/1/2024 | 394 | 425 | ||||||
Pool # AM8674, 2.81%, 4/1/2025 | 2,200 | 2,374 | ||||||
Pool # AM8846, 2.68%, 5/1/2025 | 1,892 | 2,027 | ||||||
Pool # AN0029, 3.10%, 9/1/2025 | 2,419 | 2,657 | ||||||
Pool # AN1413, 2.49%, 5/1/2026 | 829 | 890 | ||||||
Pool # AN1497, 2.61%, 6/1/2026 | 860 | 931 | ||||||
Pool # AN1243, 2.64%, 6/1/2026 | 1,600 | 1,735 | ||||||
Pool # AN1247, 2.64%, 6/1/2026 | 1,576 | 1,709 | ||||||
Pool # AN3076, 2.46%, 10/1/2026 | 1,700 | 1,831 | ||||||
Pool # BL1211, 4.01%, 2/1/2027 | 590 | 675 | ||||||
Pool # AN6732, 2.83%, 5/1/2027 | 1,200 | 1,319 | ||||||
Pool # AN7338, 3.06%, 11/1/2027 | 1,000 | 1,121 | ||||||
Pool # AN7943, 3.10%, 1/1/2028 | 2,500 | 2,813 | ||||||
Pool # AN1161, 3.05%, 4/1/2028 | 986 | 1,108 | ||||||
Pool # AN9486, 3.57%, 6/1/2028 | 3,716 | 4,295 | ||||||
Pool # AN2069, 2.35%, 8/1/2028 | 1,440 | 1,554 | ||||||
Pool # BL0907, 3.88%, 12/1/2028 | 700 | 821 | ||||||
Pool # BM4162, 3.20%, 10/1/2029(f) | 492 | 559 | ||||||
Pool # BL4333, 2.52%, 11/1/2029 | 1,200 | 1,308 | ||||||
Pool # 109707, 3.80%, 9/1/2033 | 410 | 467 | ||||||
Pool # MA1125, 4.00%, 7/1/2042 | 1,278 | 1,390 | ||||||
Pool # MA1437, 3.50%, 5/1/2043 | 1,577 | 1,714 | ||||||
Pool # MA1463, 3.50%, 6/1/2043 | 1,451 | 1,576 | ||||||
FNMA/FHLMC UMBS, Single Family, 30 Year | ||||||||
TBA, 1.50%, 12/25/2050(h) | 1,220 | 1,234 | ||||||
TBA, 2.00%, 12/25/2050(h) | 21,895 | 22,745 | ||||||
TBA, 2.00%, 1/25/2051(h) | 7,310 | 7,580 | ||||||
GNMA II, 30 Year | ||||||||
Pool # 4245, 6.00%, 9/20/2038 | 118 | 136 | ||||||
Pool # BA7567, 4.50%, 5/20/2048 | 2,425 | 2,617 | ||||||
Pool # BI0416, 4.50%, 11/20/2048 | 217 | 236 | ||||||
Pool # BM9692, 4.50%, 7/20/2049 | 1,096 | 1,187 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $122,228) | 127,449 | |||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 7.2% | ||||||||
Bear Stearns ALT-A Trust Series 2004-6, Class 1A, 0.79%, 7/25/2034(f) | 21 | 21 | ||||||
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 | — | (g) | 1 | |||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | 10 | 10 | ||||||
Series 2004-HYB4, Class WA, 3.01%, 12/25/2034‡(f) | 23 | 24 | ||||||
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | 14 | 15 | ||||||
FHLMC, REMIC | ||||||||
Series 3874, Class DW, 3.50%, 6/15/2021 | 120 | 121 | ||||||
Series 2626, Class JC, 5.00%, 6/15/2023 | 269 | 279 | ||||||
Series 2649, Class WB, 3.50%, 7/15/2023 | 227 | 230 | ||||||
Series 1578, Class K, 6.90%, 9/15/2023 | 6 | 6 | ||||||
Series 2685, Class DT, 5.00%, 10/15/2023 | 223 | 232 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 2687, Class JH, 5.00%, 10/15/2023 | 54 | 56 | ||||||
Series 2701, Class AC, 5.00%, 11/15/2023 | 370 | 387 | ||||||
Series 3521, Class B, 4.00%, 4/15/2024 | 283 | 294 | ||||||
Series 3544, Class BC, 4.00%, 6/15/2024 | 26 | 27 | ||||||
Series 3546, Class NB, 4.00%, 6/15/2024 | 1,210 | 1,256 | ||||||
Series 3562, Class JC, 4.00%, 8/15/2024 | 583 | 606 | ||||||
Series 3563, Class BD, 4.00%, 8/15/2024 | 376 | 390 | ||||||
Series 3571, Class MY, 4.00%, 9/15/2024 | 139 | 144 | ||||||
Series 3575, Class EB, 4.00%, 9/15/2024 | 393 | 408 | ||||||
Series 3577, Class B, 4.00%, 9/15/2024 | 626 | 652 | ||||||
Series 3578, Class KB, 4.00%, 9/15/2024 | 97 | 100 | ||||||
Series 2989, Class TG, 5.00%, 6/15/2025 | 388 | 412 | ||||||
Series 2988, Class TY, 5.50%, 6/15/2025 | 17 | 18 | ||||||
Series 3816, Class HA, 3.50%, 11/15/2025 | 1,429 | 1,514 | ||||||
Series 3087, Class KX, 5.50%, 12/15/2025 | 45 | 48 | ||||||
Series 3787, Class AY, 3.50%, 1/15/2026 | 555 | 584 | ||||||
Series 3794, Class LB, 3.50%, 1/15/2026 | 492 | 518 | ||||||
Series 3102, Class CE, 5.50%, 1/15/2026 | 580 | 618 | ||||||
Series 3123, Class HT, 5.00%, 3/15/2026 | 63 | 67 | ||||||
Series 3121, Class JD, 5.50%, 3/15/2026 | 20 | 21 | ||||||
Series 3150, Class EQ, 5.00%, 5/15/2026 | 213 | 227 | ||||||
Series 3898, Class KH, 3.50%, 6/15/2026 | 749 | 786 | ||||||
Series 3885, Class AC, 4.00%, 6/15/2026 | 444 | 462 | ||||||
Series 3911, Class B, 3.50%, 8/15/2026 | 750 | 792 | ||||||
Series 3959, Class PB, 3.00%, 11/15/2026 | 2,500 | 2,686 | ||||||
Series 4337, Class VJ, 3.50%, 6/15/2027 | 1,670 | 1,758 | ||||||
Series 3337, Class MD, 5.50%, 6/15/2027 | 36 | 39 | ||||||
Series 2110, Class PG, 6.00%, 1/15/2029 | 95 | 108 | ||||||
Series 3563, Class LB, 4.00%, 8/15/2029 | 19 | 20 | ||||||
Series 3653, Class B, 4.50%, 4/15/2030 | 126 | 139 | ||||||
Series 3824, Class EY, 3.50%, 3/15/2031 | 332 | 360 | ||||||
Series 2525, Class AM, 4.50%, 4/15/2032 | 575 | 644 | ||||||
Series 2441, Class GF, 6.50%, 4/15/2032 | 20 | 23 | ||||||
Series 2436, Class MC, 7.00%, 4/15/2032 | 13 | 14 | ||||||
Series 2760, Class KT, 4.50%, 9/15/2032 | 79 | 88 | ||||||
Series 2505, Class D, 5.50%, 9/15/2032 | 110 | 127 | ||||||
Series 2544, Class KE, 5.50%, 12/15/2032 | 60 | 68 | ||||||
Series 2557, Class HL, 5.30%, 1/15/2033 | 149 | 173 | ||||||
Series 2575, Class PE, 5.50%, 2/15/2033 | 41 | 47 | ||||||
Series 2586, Class WG, 4.00%, 3/15/2033 | 184 | 205 | ||||||
Series 2596, Class QD, 4.00%, 3/15/2033 | 151 | 167 | ||||||
Series 2621, Class QH, 5.00%, 5/15/2033 | 168 | 189 | ||||||
Series 2649, Class PJ, 3.50%, 6/15/2033 | 7 | 8 | ||||||
Series 2624, Class QH, 5.00%, 6/15/2033 | 223 | 257 | ||||||
Series 2648, Class BK, 5.00%, 7/15/2033 | 16 | 18 | ||||||
Series 4238, Class UY, 3.00%, 8/15/2033 | 3,650 | 3,985 | ||||||
Series 2673, Class PE, 5.50%, 9/15/2033 | 372 | 423 | ||||||
Series 2696, Class DG, 5.50%, 10/15/2033 | 317 | 347 | ||||||
Series 2725, Class TA, 4.50%, 12/15/2033 | 284 | 339 | ||||||
Series 2733, Class ME, 5.00%, 1/15/2034 | 312 | 360 | ||||||
Series 2768, Class PK, 5.00%, 3/15/2034 | 240 | 264 | ||||||
Series 3659, Class VG, 5.00%, 9/15/2034 | 344 | 352 | ||||||
Series 2934, Class KG, 5.00%, 2/15/2035 | 228 | 262 | ||||||
Series 3077, Class TO, PO, 4/15/2035 | 14 | 14 | ||||||
Series 2960, Class JH, 5.50%, 4/15/2035 | 658 | 761 | ||||||
Series 3082, Class PW, 5.50%, 12/15/2035 | 46 | 52 | ||||||
Series 3084, Class BH, 5.50%, 12/15/2035 | 1,041 | 1,222 | ||||||
Series 3098, Class KG, 5.50%, 1/15/2036 | 956 | 1,109 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 3136, Class CO, PO, 4/15/2036 | 27 | 26 | ||||||
Series 3145, Class AJ, 5.50%, 4/15/2036 | 34 | 39 | ||||||
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 677 | 806 | ||||||
Series 3200, PO, 8/15/2036 | 66 | 63 | ||||||
Series 3270, Class AT, 5.50%, 1/15/2037 | 27 | 31 | ||||||
Series 3272, Class PA, 6.00%, 2/15/2037 | 7 | 9 | ||||||
Series 3348, Class HT, 6.00%, 7/15/2037 | 57 | 67 | ||||||
Series 4085, Class FB, 0.54%, 1/15/2039(f) | 148 | 149 | ||||||
Series 3501, Class A, 4.50%, 1/15/2039 | 183 | 199 | ||||||
Series 3508, Class PK, 4.00%, 2/15/2039 | 4 | 4 | ||||||
Series 3513, Class A, 4.50%, 2/15/2039 | 18 | 20 | ||||||
Series 4219, Class JA, 3.50%, 8/15/2039 | 702 | 716 | ||||||
Series 3827, Class BM, 5.50%, 8/15/2039 | 37 | 37 | ||||||
Series 3653, Class HJ, 5.00%, 4/15/2040 | 791 | 909 | ||||||
Series 3677, Class KB, 4.50%, 5/15/2040 | 1,368 | 1,534 | ||||||
Series 3677, Class PB, 4.50%, 5/15/2040 | 802 | 873 | ||||||
Series 3904, Class EC, 2.00%, 8/15/2040 | 135 | 137 | ||||||
Series 3715, Class PC, 4.50%, 8/15/2040 | 201 | 227 | ||||||
Series 3955, Class HB, 3.00%, 12/15/2040 | 188 | 197 | ||||||
Series 3828, Class PU, 4.50%, 3/15/2041 | 87 | 93 | ||||||
Series 3852, Class TP, IF, 5.50%, 5/15/2041(f) | 320 | 352 | ||||||
Series 3956, Class EB, 3.25%, 11/15/2041 | 1,535 | 1,674 | ||||||
Series 3963, Class JB, 4.50%, 11/15/2041 | 1,650 | 1,880 | ||||||
Series 4026, Class MQ, 4.00%, 4/15/2042 | 93 | 103 | ||||||
Series 4616, Class HP, 3.00%, 9/15/2046 | 2,070 | 2,235 | ||||||
Series 3688, Class GT, 7.40%, 11/15/2046(f) | 35 | 42 | ||||||
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | 880 | 975 | ||||||
FNMA, REMIC | ||||||||
Series 2010-135, Class HE, 3.00%, 1/25/2021 | — | (g) | — | (g) | ||||
Series 2011-75, Class BL, 3.50%, 8/25/2021 | 198 | 199 | ||||||
Series 2007-113, Class DB, 4.50%, 12/25/2022 | — | (g) | — | (g) | ||||
Series 2003-5, Class EQ, 5.50%, 2/25/2023 | 21 | 21 | ||||||
Series 2003-48, Class TC, 5.00%, 6/25/2023 | 27 | 29 | ||||||
Series 2003-55, Class HY, 5.00%, 6/25/2023 | 24 | 25 | ||||||
Series 2008-70, Class BY, 4.00%, 8/25/2023 | 10 | 10 | ||||||
Series 2006-22, Class CE, 4.50%, 8/25/2023 | 83 | 86 | ||||||
Series 2004-44, Class KT, 6.00%, 6/25/2024 | �� | 89 | 93 | |||||
Series 2004-53, Class NC, 5.50%, 7/25/2024 | 38 | 40 | ||||||
Series 2009-71, Class MB, 4.50%, 9/25/2024 | 23 | 23 | ||||||
Series 2004-70, Class EB, 5.00%, 10/25/2024 | 79 | 81 | ||||||
Series 2010-49, Class KB, 4.00%, 5/25/2025 | 482 | 499 | ||||||
Series 2010-41, Class DC, 4.50%, 5/25/2025 | 150 | 155 | ||||||
Series 1997-57, Class PN, 5.00%, 9/18/2027 | 115 | 125 | ||||||
Series 2009-39, Class LB, 4.50%, 6/25/2029 | 93 | 102 | ||||||
Series 2009-96, Class DB, 4.00%, 11/25/2029 | 129 | 139 | ||||||
Series 2010-28, Class DE, 5.00%, 4/25/2030 | 281 | 313 | ||||||
Series 2001-63, Class TC, 6.00%, 12/25/2031 | 55 | 64 | ||||||
Series 2001-81, Class HE, 6.50%, 1/25/2032 | 147 | 174 | ||||||
Series 2002-75, Class GB, 5.50%, 11/25/2032 | 74 | 78 | ||||||
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | 582 | 677 | ||||||
Series 2002-85, Class PE, 5.50%, 12/25/2032 | 49 | 56 | ||||||
Series 2003-21, Class OU, 5.50%, 3/25/2033 | 33 | 39 | ||||||
Series 2003-26, Class EB, 3.50%, 4/25/2033 | 800 | 878 | ||||||
Series 2003-23, Class CH, 5.00%, 4/25/2033 | 42 | 47 | ||||||
Series 2003-63, Class YB, 5.00%, 7/25/2033 | 125 | 143 | ||||||
Series 2003-69, Class N, 5.00%, 7/25/2033 | 236 | 271 | ||||||
Series 2003-80, Class QG, 5.00%, 8/25/2033 | 348 | 387 | ||||||
Series 2003-85, Class QD, 5.50%, 9/25/2033 | 133 | 155 | ||||||
Series 2003-94, Class CE, 5.00%, 10/25/2033 | 30 | 33 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 2005-5, Class CK, 5.00%, 1/25/2035 | 234 | 256 | ||||||
Series 2005-29, Class WC, 4.75%, 4/25/2035 | 420 | 460 | ||||||
Series 2005-48, Class TD, 5.50%, 6/25/2035 | 265 | 308 | ||||||
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | 333 | 389 | ||||||
Series 2005-62, Class CP, 4.75%, 7/25/2035 | 16 | 16 | ||||||
Series 2005-58, Class EP, 5.50%, 7/25/2035 | 28 | 32 | ||||||
Series 2005-68, Class BE, 5.25%, 8/25/2035 | 250 | 292 | ||||||
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 135 | 154 | ||||||
Series 2005-102, Class PG, 5.00%, 11/25/2035 | 430 | 498 | ||||||
Series 2005-110, Class GL, 5.50%, 12/25/2035 | 518 | 588 | ||||||
Series 2006-49, Class PA, 6.00%, 6/25/2036 | 56 | 66 | ||||||
Series 2009-19, Class PW, 4.50%, 10/25/2036 | 326 | 367 | ||||||
Series 2006-114, Class HE, 5.50%, 12/25/2036 | 366 | 429 | ||||||
Series 2007-33, Class HE, 5.50%, 4/25/2037 | 29 | 33 | ||||||
Series 2007-71, Class KP, 5.50%, 7/25/2037 | 47 | 51 | ||||||
Series 2007-71, Class GB, 6.00%, 7/25/2037 | 213 | 252 | ||||||
Series 2007-65, Class KI, IF, IO, 6.47%, 7/25/2037(f) | 7 | 1 | ||||||
Series 2009-86, Class OT, PO, 10/25/2037 | 42 | 39 | ||||||
Series 2013-83, Class CA, 3.50%, 10/25/2037 | 2 | 2 | ||||||
Series 2010-9, Class MD, 5.00%, 2/25/2038 | 63 | 64 | ||||||
Series 2011-22, Class MA, 6.50%, 4/25/2038 | 28 | 29 | ||||||
Series 2008-72, Class BX, 5.50%, 8/25/2038 | 20 | 23 | ||||||
Series 2008-74, Class B, 5.50%, 9/25/2038 | 8 | �� | 9 | |||||
Series 2009-62, Class HJ, 6.00%, 5/25/2039 | 213 | 228 | ||||||
Series 2009-37, Class KI, IF, IO, 5.85%, 6/25/2039(f) | 11 | 2 | ||||||
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | 13 | 2 | ||||||
Series 2009-92, Class AD, 6.00%, 11/25/2039 | 714 | 786 | ||||||
Series 2009-112, Class ST, IF, IO, 6.10%, 1/25/2040(f) | 99 | 21 | ||||||
Series 2010-22, Class PE, 5.00%, 3/25/2040 | 2,195 | 2,488 | ||||||
Series 2010-37, Class CY, 5.00%, 4/25/2040 | 1,260 | 1,439 | ||||||
Series 2010-35, Class SB, IF, IO, 6.27%, 4/25/2040(f) | 41 | 7 | ||||||
Series 2010-54, Class EA, 4.50%, 6/25/2040 | 46 | 50 | ||||||
Series 2010-64, Class DM, 5.00%, 6/25/2040 | 7 | 8 | ||||||
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 164 | 190 | ||||||
Series 2010-123, Class BP, 4.50%, 11/25/2040 | 3,135 | 3,526 | ||||||
Series 2011-5, Class CP, 4.50%, 11/25/2040 | 128 | 136 | ||||||
Series 2011-41, Class KL, 4.00%, 5/25/2041 | 1,006 | 1,143 | ||||||
Series 2011-50, Class LP, 4.00%, 6/25/2041 | 500 | 563 | ||||||
Series 2012-137, Class CF, 0.45%, 8/25/2041(f) | 432 | 431 | ||||||
Series 2012-103, Class DA, 3.50%, 10/25/2041 | 147 | 154 | ||||||
Series 2012-14, Class DE, 3.50%, 3/25/2042 | 1,000 | 1,100 | ||||||
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 502 | 555 | ||||||
Series 2013-104, Class CY, 5.00%, 10/25/2043 | 2,250 | 2,836 | ||||||
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 460 | 482 | ||||||
Series 2009-96, Class CB, 4.00%, 11/25/2049 | 27 | 30 | ||||||
FNMA, STRIPS |
| |||||||
Series 293, Class 1, PO, 12/25/2024 | 13 | 13 | ||||||
Series 314, Class 1, PO, 7/25/2031 | 42 | 40 | ||||||
GNMA |
| |||||||
Series 2002-79, Class KL, 5.50%, 11/20/2032 | 245 | 250 | ||||||
Series 2003-10, Class KJ, 5.50%, 2/20/2033 | 67 | 72 | ||||||
Series 2003-29, Class PD, 5.50%, 4/16/2033 | 245 | 268 | ||||||
Series 2003-33, Class NE, 5.50%, 4/16/2033 | 140 | 151 | ||||||
Series 2003-65, Class AP, 5.50%, 8/20/2033 | 90 | 102 | ||||||
Series 2003-77, Class TK, 5.00%, 9/16/2033 | 315 | 335 | ||||||
Series 2004-16, Class GC, 5.50%, 2/20/2034 | 933 | 1,061 | ||||||
Series 2004-54, Class BG, 5.50%, 7/20/2034 | 20 | 23 | ||||||
Series 2004-93, Class PD, 5.00%, 11/16/2034 | 603 | 667 | ||||||
Series 2004-101, Class BE, 5.00%, 11/20/2034 | 485 | 545 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 2005-11, Class PL, 5.00%, 2/20/2035 | 219 | 248 | ||||||
Series 2005-26, Class XY, 5.50%, 3/20/2035 | 860 | 962 | ||||||
Series 2005-33, Class AY, 5.50%, 4/16/2035 | 227 | 256 | ||||||
Series 2005-49, Class B, 5.50%, 6/20/2035 | 74 | 85 | ||||||
Series 2005-51, Class DC, 5.00%, 7/20/2035 | 181 | 200 | ||||||
Series 2005-56, Class BD, 5.00%, 7/20/2035 | 28 | 32 | ||||||
Series 2006-7, Class ND, 5.50%, 8/20/2035 | 28 | 32 | ||||||
Series 2007-37, Class LB, 5.50%, 6/16/2037 | 205 | 234 | ||||||
Series 2007-79, Class BL, 5.75%, 8/20/2037 | 152 | 171 | ||||||
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | 438 | 482 | ||||||
Series 2008-9, Class PW, 5.25%, 2/20/2038 | 483 | 540 | ||||||
Series 2009-106, Class ST, IF, IO, 5.85%, 2/20/2038(f) | 144 | 25 | ||||||
Series 2008-23, Class YA, 5.25%, 3/20/2038 | 110 | 124 | ||||||
Series 2008-35, Class NF, 5.00%, 4/20/2038 | 114 | 128 | ||||||
Series 2008-34, Class PG, 5.25%, 4/20/2038 | 133 | 147 | ||||||
Series 2008-33, Class PB, 5.50%, 4/20/2038 | 403 | 460 | ||||||
Series 2008-38, Class BG, 5.00%, 5/16/2038 | 639 | 718 | ||||||
Series 2008-43, Class NB, 5.50%, 5/20/2038 | 186 | 211 | ||||||
Series 2010-7, Class EA, 5.00%, 6/16/2038 | 22 | 22 | ||||||
Series 2008-56, Class PX, 5.50%, 6/20/2038 | 367 | 413 | ||||||
Series 2008-58, Class PE, 5.50%, 7/16/2038 | 995 | 1,140 | ||||||
Series 2008-62, Class SA, IF, IO, 6.00%, 7/20/2038(f) | 3 | — | (g) | |||||
Series 2008-76, Class US, IF, IO, 5.75%, 9/20/2038(f) | 81 | 14 | ||||||
Series 2011-97, Class WA, 6.12%, 11/20/2038(f) | 910 | 1,067 | ||||||
Series 2008-95, Class DS, IF, IO, 7.15%, 12/20/2038(f) | 78 | 14 | ||||||
Series 2009-14, Class AG, 4.50%, 3/20/2039 | 130 | 145 | ||||||
Series 2009-72, Class SM, IF, IO, 6.11%, 8/16/2039(f) | 184 | 32 | ||||||
Series 2009-61, Class AP, 4.00%, 8/20/2039 | 16 | 17 | ||||||
Series 2010-130, Class BD, 4.00%, 12/20/2039 | 309 | 335 | ||||||
Series 2010-157, Class OP, PO, 12/20/2040 | 148 | 140 | ||||||
Series 2014-H11, Class VA, 0.64%, 6/20/2064(f) | 1,426 | 1,431 | ||||||
Series 2015-H20, Class FA, 0.61%, 8/20/2065(f) | 2,029 | 2,033 | ||||||
Series 2015-H26, Class FG, 0.66%, 10/20/2065(f) | 1,443 | 1,449 | ||||||
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | 106 | 110 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2006-A2, Class 5A3, 2.53%, 11/25/2033(f) | 220 | 226 | ||||||
Series 2007-A1, Class 5A5, 3.20%, 7/25/2035(f) | 45 | 44 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 3.11%, 4/21/2034(f) | 58 | 58 | ||||||
MASTR Asset Securitization Trust Series 2003-11, Class 8A1, 5.50%, 12/25/2033 | 54 | 55 | ||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||
Series 2003-F, Class A1, 0.79%, 10/25/2028(f) | 96 | 95 | ||||||
Series 2004-B, Class A1, 0.65%, 5/25/2029(f) | 148 | 145 | ||||||
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.63%, 4/25/2034(f) | 33 | 35 | ||||||
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | 8 | 8 | ||||||
RALI Trust Series 2004-QS3, Class CB, 5.00%, 3/25/2019 | — | (g) | — | (g) | ||||
Seasoned Credit Risk Transfer Trust |
| |||||||
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 577 | 638 | ||||||
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 5,238 | 5,585 | ||||||
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | 669 | 708 | ||||||
Sequoia Mortgage Trust Series 2004-11, Class A1, 0.75%, 12/20/2034(f) | 283 | 282 | ||||||
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 0.85%, 1/19/2034(f) | 122 | 119 | ||||||
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 2.75%, 12/25/2044(f) | 156 | 154 | ||||||
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | 545 | 628 |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 2.75%, 10/25/2033(f) | 107 | 108 | ||||||
|
| |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $88,068) | 92,660 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY SECURITIES — 1.2% |
| |||||||
FNMA 0.50%, 6/17/2025(Cost $15,035) | 15,000 | 15,049 | ||||||
|
| |||||||
FOREIGN GOVERNMENT SECURITIES — 0.4% |
| |||||||
Republic of Colombia (Colombia) | ||||||||
3.00%, 1/30/2030 | 900 | 932 | ||||||
7.38%, 9/18/2037 | 300 | 432 | ||||||
Republic of Panama (Panama) | ||||||||
4.00%, 9/22/2024 | 347 | 380 | ||||||
3.16%, 1/23/2030 | 400 | 438 | ||||||
United Mexican States (Mexico) | ||||||||
3.63%, 3/15/2022 | 568 | 590 | ||||||
4.00%, 10/2/2023 | 694 | 755 | ||||||
3.60%, 1/30/2025 | 1,076 | 1,179 | ||||||
4.13%, 1/21/2026 | 332 | 375 | ||||||
2.66%, 5/24/2031 | 246 | 247 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT SECURITIES (Cost $4,926) | 5,328 | |||||||
|
| |||||||
Shares (000) | ||||||||
SHORT-TERM INVESTMENTS — 4.4% |
| |||||||
INVESTMENT COMPANIES — 4.4% |
| |||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(i)(j) (Cost $57,204) | 57,191 | 57,225 | ||||||
|
| |||||||
Total Investments — 103.4% (Cost $1,276,527) | 1,334,835 | |||||||
Liabilities in Excess of Other Assets — (3.4)% | (43,526 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | 1,291,309 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ABS | Asset-backed securities | |||
ACES | Alternative Credit Enhancement Securities |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2020. | |||
FHLMC | Federal Home Loan Mortgage Corp. | |||
FNMA | Federal National Mortgage Association | |||
GNMA | Government National Mortgage Association | |||
ICE | Intercontinental Exchange | |||
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of November 30, 2020. The rate may be subject to a cap and floor. | |||
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |||
LIBOR | London Interbank Offered Rate | |||
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |||
REMIC | Real Estate Mortgage Investment Conduit | |||
SOFR | Secured Overnight Financing Rate | |||
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |||
TBA | To Be Announced; Security is subject to delayed delivery | |||
UMBS | Uniform Mortgage-Backed Securities | |||
USD | United States Dollar |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Amount rounds to less than 0.1% of net assets. |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2020. |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2020. |
(e) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2020. |
(g) | Amount rounds to less than one thousand. |
(h) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(i) | 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. |
(j) | The rate shown is the current yield as of November 30, 2020. |
‡ | Value determined using significant unobservable inputs. |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Futures contracts outstanding as of November 30, 2020 (amounts in thousands, except number of contracts): |
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount ($) | Value and Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
U.S. Treasury 5 Year Note | 1,290 | 03/2021 | USD | 162,540 | 98 | |||||||||||||||
U.S. Treasury Long Bond | 284 | 03/2021 | USD | 49,611 | 8 | |||||||||||||||
U.S. Treasury Ultra Bond | 45 | 03/2021 | USD | 9,706 | (91 | ) | ||||||||||||||
|
| |||||||||||||||||||
15 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts |
| |||||||||||||||||||
U.S. Treasury 10 Year Note | (343 | ) | 03/2021 | USD | (47,371 | ) | (3 | ) | ||||||||||||
|
| |||||||||||||||||||
12 | ||||||||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
Centrally Cleared Inflation-linked swap contracts outstanding as of November 30, 2020 (amounts in thousands):
Floating Rate Index(a) | Fixed Rate | Pay/Receive Floating Rate | Maturity Date | Notional Amount | Value And Unrealized Appreciation (Depreciation) ($) | |||||||||||||
CPI-U at termination | 1.74% at termination | Receive | 11/3/2025 | USD 29,940 | 166 | |||||||||||||
CPI-U at termination | 1.76% at termination | Receive | 10/30/2025 | USD 84,218 | 395 | |||||||||||||
CPI-U at termination | 1.78% at termination | Receive | 10/28/2025 | USD 60,162 | 228 | |||||||||||||
CPI-U at termination | 1.78% at termination | Receive | 11/3/2025 | USD 23,978 | 92 | |||||||||||||
CPI-U at termination | 1.79% at termination | Receive | 11/4/2025 | USD 35,985 | 118 | |||||||||||||
CPI-U at termination | 1.78% at termination | Receive | 10/2/2025 | USD 29,692 | 161 | |||||||||||||
CPI-U at termination | 1.78% at termination | Receive | 11/23/2025 | USD 126,187 | 448 | |||||||||||||
CPI-U at termination | 1.79% at termination | Receive | 10/28/2025 | USD 16,762 | 55 | |||||||||||||
CPI-U at termination | 1.80% at termination | Receive | 11/5/2025 | USD 48,693 | 114 | |||||||||||||
CPI-U at termination | 1.80% at termination | Receive | 11/12/2025 | USD 72,609 | 183 | |||||||||||||
CPI-U at termination | 1.81% at termination | Receive | 10/27/2025 | USD 47,918 | 108 | |||||||||||||
CPI-U at termination | 1.82% at termination | Receive | 11/13/2025 | USD 70,617 | 101 | |||||||||||||
CPI-U at termination | 1.84% at termination | Receive | 10/26/2025 | USD 47,835 | 30 | |||||||||||||
CPI-U at termination | 1.84% at termination | Receive | 11/13/2025 | USD 31,661 | 12 | |||||||||||||
CPI-U at termination | 1.98% at termination | Receive | 11/5/2030 | USD 34,800 | 204 | |||||||||||||
CPI-U at termination | 1.98% at termination | Receive | 11/5/2030 | USD 23,403 | 197 | |||||||||||||
|
| |||||||||||||||||
2,612 | ||||||||||||||||||
|
| |||||||||||||||||
CPI-U at termination | 1.69% at termination | Receive | 2/19/2025 | USD 10,986 | (27) | |||||||||||||
CPI-U at termination | 1.70% at termination | Receive | 2/14/2025 | USD 8,175 | (23) | |||||||||||||
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(50) | ||||||||||||||||||
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2,562 | ||||||||||||||||||
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Abbreviations
CPI-U | Consumer Price Index for All Urban Consumers | |||
USD | United States Dollar |
(a) | Value of floating rate index at November 30, 2020 was 2.61% |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
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.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
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Asset-Backed Securities | $ | — | $ | 127,481 | $ | 5,594 | $ | 133,075 | ||||||||
Collateralized Mortgage Obligations | — | 92,636 | 24 | 92,660 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 158,633 | — | (a) | 158,633 | |||||||||||
Corporate Bonds | — | 467,919 | — | 467,919 | ||||||||||||
Foreign Government Securities | — | 5,328 | — | 5,328 | ||||||||||||
Mortgage-Backed Securities | — | 127,449 | — | 127,449 | ||||||||||||
U.S. Government Agency Securities | — | 15,049 | — | 15,049 | ||||||||||||
U.S. Treasury Obligations | — | 277,497 | — | 277,497 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 57,225 | — | — | 57,225 | ||||||||||||
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Total Investments in Securities | $ | 57,225 | $ | 1,271,992 | $ | 5,618 | $ | 1,334,835 | ||||||||
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Appreciation in Other Financial Instruments |
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Futures Contracts | $ | 106 | $ | — | $ | — | $ | 106 | ||||||||
Swaps | — | 2,612 | — | 2,612 | ||||||||||||
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Total Appreciation in Other Financial Instruments | $ | 106 | $ | 2,612 | $ | — | $ | 2,718 | ||||||||
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Futures Contracts | $ | (94 | ) | $ | — | $ | — | $ | (94 | ) | ||||||
Swaps | — | (50 | ) | — | (50 | ) | ||||||||||
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Total Depreciation in Other Financial Instruments | $ | (94 | ) | $ | (50 | ) | $ | — | $ | (144 | ) | |||||
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(a) | Amount rounds to less than one thousand. |
There were no significant transfers into or out of level 3 for the period ended November 30, 2020.
B. Investment Transactions with Affiliates — The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts 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 Prime Money Market Fund Class Institutional Shares, | $ | 36,595 | $ | 501,774 | $ | 481,180 | $ | 18 | $ | 18 | $ | 57,225 | 57,191 | $ | 101 | $ | — | |||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares(a) | 1,453 | 5,416 | 6,869 | — | — | — | — | 1 | — | |||||||||||||||||||||||||||
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Total | $ | 38,048 | $ | 507,190 | $ | 488,049 | $ | 18 | $ | 18 | $ | 57,225 | $ | 102 | $ | — | ||||||||||||||||||||
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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. |
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
C. Derivatives — The Fund used derivative instruments including futures contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes (1) — (2) below describe the various derivatives used by the Fund.
(1). Futures Contracts — The Fund used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Swaps — The Fund engaged in various swap transactions, including inflation-linked swaps, to manage inflation risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund and/or held as restricted cash. Collateral received by the Fund is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A, an affiliate of the Fund.
The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over-the-counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF NOVEMBER 30, 2020 (Unaudited) (continued)
Inflation-Linked Swaps
The Fund used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.