JPMorgan Income Fund
Schedule of Portfolio Investments as of November 30, 2022
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2022.
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — 33.8%
|
||
Aerospace & Defense — 0.4%
|
||
Bombardier, Inc. (Canada) 7.50%, 3/15/2025 (a)
|
4,494
|
4,501
|
BWX Technologies, Inc.
|
|
|
4.13%, 6/30/2028 (a)
|
3,904
|
3,475
|
4.13%, 4/15/2029 (a)
|
3,625
|
3,190
|
Howmet Aerospace, Inc.
|
|
|
6.88%, 5/1/2025
|
27
|
28
|
5.90%, 2/1/2027
|
3,179
|
3,147
|
6.75%, 1/15/2028
|
118
|
120
|
5.95%, 2/1/2037
|
110
|
104
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
2,851
|
3,001
|
TransDigm, Inc. 6.25%, 3/15/2026 (a)
|
7,617
|
7,580
|
Triumph Group, Inc.
|
|
|
8.88%, 6/1/2024 (a)
|
913
|
933
|
6.25%, 9/15/2024 (a)
|
2,601
|
2,471
|
7.75%, 8/15/2025
|
3,055
|
2,620
|
Wesco Aircraft Holdings, Inc.
|
|
|
8.50%, 11/15/2024 (a)
|
2,510
|
1,242
|
9.00%, 11/15/2026 (a)
|
5,774
|
3,666
|
|
|
36,078
|
Airlines — 0.2%
|
||
American Airlines, Inc.
|
|
|
5.50%, 4/20/2026 (a)
|
8,861
|
8,594
|
5.75%, 4/20/2029 (a)
|
8,171
|
7,607
|
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)
|
2,019
|
2,009
|
United Airlines, Inc.
|
|
|
4.38%, 4/15/2026 (a)
|
4,068
|
3,787
|
4.63%, 4/15/2029 (a)
|
1,323
|
1,178
|
|
|
23,175
|
Auto Components — 0.9%
|
||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a)
|
3,620
|
3,379
|
Allison Transmission, Inc.
|
|
|
4.75%, 10/1/2027 (a)
|
3,298
|
3,058
|
5.88%, 6/1/2029 (a)
|
8,796
|
8,314
|
3.75%, 1/30/2031 (a)
|
9,462
|
7,924
|
American Axle & Manufacturing, Inc.
|
|
|
6.25%, 3/15/2026
|
2,267
|
2,147
|
6.50%, 4/1/2027
|
5,070
|
4,766
|
6.88%, 7/1/2028
|
2,380
|
2,292
|
5.00%, 10/1/2029
|
5,030
|
4,377
|
Clarios Global LP
|
|
|
6.75%, 5/15/2025 (a)
|
2,915
|
2,913
|
6.25%, 5/15/2026 (a)
|
7,537
|
7,466
|
8.50%, 5/15/2027 (a)
|
6,485
|
6,346
|
Cooper-Standard Automotive, Inc.
|
|
|
13.00%, 6/1/2024 (a)
|
265
|
277
|
5.63%, 11/15/2026 (a)
|
884
|
370
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Auto Components — continued
|
||
Dana, Inc.
|
|
|
5.38%, 11/15/2027
|
2,745
|
2,515
|
5.63%, 6/15/2028
|
2,747
|
2,527
|
4.25%, 9/1/2030
|
1,724
|
1,379
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a)
|
4,565
|
3,038
|
Goodyear Tire & Rubber Co. (The)
|
|
|
5.00%, 5/31/2026
|
3,593
|
3,453
|
5.00%, 7/15/2029
|
7,003
|
6,093
|
5.25%, 4/30/2031
|
9,449
|
8,079
|
Icahn Enterprises LP 6.25%, 5/15/2026
|
2,781
|
2,745
|
IHO Verwaltungs GmbH (Germany) 4.75% (Cash), 9/15/2026 (a) (b)
|
4,960
|
4,236
|
|
|
87,694
|
Automobiles — 0.0% ^
|
||
Jaguar Land Rover Automotive plc (United Kingdom) 4.50%, 10/1/2027 (a)
|
1,000
|
764
|
Banks — 1.5%
|
||
Banco do Brasil SA (Brazil) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024 (c)
(d) (e) (f)
|
8,400
|
8,353
|
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%,
6/27/2029 (c) (d) (e) (f)
|
10,900
|
9,476
|
Banco Santander SA (Spain) (USD ICE Swap Rate 5 Year + 4.99%), 7.50%, 2/8/2024 (c) (d) (e) (f)
|
3,000
|
2,928
|
Bank of America Corp.
|
|
|
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (c) (d) (f)
|
716
|
698
|
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (c) (d) (f)
|
34
|
34
|
Citigroup, Inc.
|
|
|
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (c) (d) (f)
|
865
|
856
|
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (c) (d) (f)
|
9,905
|
8,915
|
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (c) (d) (f)
|
4,714
|
4,395
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (c) (d) (f)
|
6,230
|
5,398
|
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (c) (d) (f)
|
83
|
80
|
Credit Agricole SA (France) (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a) (c) (d) (f)
|
13,755
|
13,974
|
HSBC Holdings plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%,
12/17/2030 (c) (d) (f)
|
6,831
|
5,004
|
ING Groep NV (USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024 (c) (d) (e) (f)
|
8,500
|
8,203
|
Intesa Sanpaolo SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a)
(f)
|
6,402
|
4,208
|
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (f)
|
16,206
|
14,829
|
Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (a)
(c) (d) (f)
|
8,800
|
8,650
|
Societe Generale SA (France)
|
|
|
(USD Swap Semi 5 Year + 4.30%), 7.37%, 10/4/2023 (a) (c) (d) (f)
|
6,742
|
6,471
|
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (a) (c) (d) (f)
|
14,270
|
14,296
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (a) (c) (d) (f)
|
2,602
|
2,043
|
Toronto-Dominion Bank (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.12%,
10/31/2082 (f)
|
11,795
|
12,090
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (f)
|
5,096
|
4,024
|
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (c)
(d) (f)
|
21,821
|
19,012
|
|
|
153,937
|
Beverages — 0.1%
|
||
Central American Bottling Corp. (Guatemala) 5.25%, 4/27/2029 (a)
|
2,727
|
2,437
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
5,690
|
4,429
|
|
|
6,866
|
Biotechnology — 0.0% ^
|
||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
4,033
|
1,815
|
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a)
|
3,527
|
2,964
|
|
|
4,779
|
Building Products — 0.4%
|
||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a)
|
125
|
117
|
Builders FirstSource, Inc.
|
|
|
4.25%, 2/1/2032 (a)
|
3,548
|
2,876
|
6.38%, 6/15/2032 (a)
|
3,140
|
2,901
|
James Hardie International Finance DAC 5.00%, 1/15/2028 (a)
|
2,000
|
1,840
|
JELD-WEN, Inc.
|
|
|
6.25%, 5/15/2025 (a)
|
1,015
|
954
|
4.63%, 12/15/2025 (a)
|
740
|
627
|
4.88%, 12/15/2027 (a)
|
1,238
|
970
|
Masonite International Corp.
|
|
|
5.38%, 2/1/2028 (a)
|
4,450
|
4,032
|
3.50%, 2/15/2030 (a)
|
1,800
|
1,403
|
Standard Industries, Inc.
|
|
|
4.75%, 1/15/2028 (a)
|
12,269
|
11,120
|
4.38%, 7/15/2030 (a)
|
6,654
|
5,456
|
Summit Materials LLC
|
|
|
6.50%, 3/15/2027 (a)
|
1,145
|
1,117
|
5.25%, 1/15/2029 (a)
|
2,135
|
1,971
|
|
|
35,384
|
Capital Markets — 0.4%
|
||
Charles Schwab Corp. (The)
|
|
|
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (c) (d) (f)
|
5,090
|
4,327
|
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (c) (d) (f)
|
5,530
|
4,327
|
Coinbase Global, Inc.
|
|
|
3.38%, 10/1/2028 (a)
|
1,500
|
877
|
3.63%, 10/1/2031 (a)
|
972
|
525
|
Credit Suisse Group AG (Switzerland) (USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (a) (c) (d) (f)
|
10,000
|
7,600
|
Goldman Sachs Group, Inc. (The) Series P, (ICE LIBOR USD 3 Month + 2.87%), 7.47%, 12/31/2164 (c) (d) (f)
|
5,070
|
4,918
|
MSCI, Inc. 4.00%, 11/15/2029 (a)
|
4,570
|
4,035
|
UBS Group AG (Switzerland) (USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (c) (d) (e) (f)
|
13,061
|
12,792
|
|
|
39,401
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Chemicals — 1.1%
|
||
Axalta Coating Systems LLC
|
|
|
4.75%, 6/15/2027 (a)
|
11,542
|
10,582
|
3.38%, 2/15/2029 (a)
|
7,623
|
6,240
|
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a)
|
5,527
|
3,890
|
Chemours Co. (The)
|
|
|
5.75%, 11/15/2028 (a)
|
8,878
|
7,797
|
4.63%, 11/15/2029 (a)
|
3,025
|
2,435
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
9,841
|
8,411
|
Gates Global LLC 6.25%, 1/15/2026 (a)
|
950
|
916
|
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)
|
6,783
|
6,031
|
NOVA Chemicals Corp. (Canada)
|
|
|
4.88%, 6/1/2024 (a)
|
2,555
|
2,486
|
5.25%, 6/1/2027 (a)
|
15,910
|
14,280
|
4.25%, 5/15/2029 (a)
|
2,690
|
2,243
|
Sasol Financing USA LLC 5.50%, 3/18/2031
|
2,900
|
2,401
|
Scotts Miracle-Gro Co. (The)
|
|
|
5.25%, 12/15/2026
|
2,625
|
2,507
|
4.50%, 10/15/2029
|
7,847
|
6,415
|
4.00%, 4/1/2031
|
6,675
|
5,073
|
4.38%, 2/1/2032
|
1,175
|
904
|
Trinseo Materials Operating SCA
|
|
|
5.38%, 9/1/2025 (a)
|
5,396
|
4,324
|
5.13%, 4/1/2029 (a)
|
11,110
|
7,069
|
Venator Finance SARL 9.50%, 7/1/2025 (a)
|
2,955
|
2,164
|
WR Grace Holdings LLC
|
|
|
4.88%, 6/15/2027 (a)
|
10,457
|
9,369
|
5.63%, 8/15/2029 (a)
|
3,101
|
2,557
|
|
|
108,094
|
Commercial Services & Supplies — 0.9%
|
||
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
10,017
|
8,368
|
ADT Security Corp. (The)
|
|
|
4.13%, 8/1/2029 (a)
|
2,846
|
2,484
|
4.88%, 7/15/2032 (a)
|
7,296
|
6,312
|
Allied Universal Holdco LLC
|
|
|
6.63%, 7/15/2026 (a)
|
4,662
|
4,429
|
9.75%, 7/15/2027 (a)
|
2,257
|
2,037
|
4.63%, 6/01/2028 (a)
|
5,179
|
4,382
|
Aramark Services, Inc.
|
|
|
5.00%, 4/1/2025 (a)
|
1,440
|
1,404
|
5.00%, 2/1/2028 (a)
|
6,231
|
5,827
|
Atento Luxco 1 SA 8.00%, 2/10/2026 (e)
|
3,200
|
1,711
|
Bidvest Group UK plc (The) (South Africa) 3.63%, 9/23/2026 (a)
|
2,000
|
1,777
|
Brink's Co. (The) 4.63%, 10/15/2027 (a)
|
3,320
|
3,053
|
Garda World Security Corp. (Canada)
|
|
|
4.63%, 2/15/2027 (a)
|
795
|
714
|
9.50%, 11/1/2027 (a)
|
4,150
|
3,839
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Commercial Services & Supplies — continued
|
||
GFL Environmental, Inc. (Canada)
|
|
|
3.75%, 8/1/2025 (a)
|
6,539
|
6,122
|
5.13%, 12/15/2026 (a)
|
2,085
|
2,008
|
4.00%, 8/1/2028 (a)
|
4,808
|
4,125
|
4.75%, 6/15/2029 (a)
|
355
|
311
|
Madison IAQ LLC
|
|
|
4.13%, 6/30/2028 (a)
|
14,436
|
12,484
|
5.88%, 6/30/2029 (a)
|
1,304
|
964
|
Prime Security Services Borrower LLC
|
|
|
5.75%, 4/15/2026 (a)
|
6,813
|
6,745
|
3.38%, 8/31/2027 (a)
|
7,864
|
6,919
|
Stericycle, Inc.
|
|
|
5.38%, 7/15/2024 (a)
|
630
|
623
|
3.88%, 1/15/2029 (a)
|
7,510
|
6,534
|
|
|
93,172
|
Communications Equipment — 0.3%
|
||
CommScope Technologies LLC 6.00%, 6/15/2025 (a)
|
2,605
|
2,441
|
CommScope, Inc.
|
|
|
6.00%, 3/1/2026 (a)
|
13,774
|
13,326
|
8.25%, 3/1/2027 (a)
|
9,771
|
8,387
|
4.75%, 9/1/2029 (a)
|
6,027
|
5,076
|
Nokia OYJ (Finland) 4.38%, 6/12/2027
|
2,600
|
2,457
|
|
|
31,687
|
Construction & Engineering — 0.3%
|
||
Aeropuerto Internacional de Tocumen SA (Panama) 5.13%, 8/11/2061 (a)
|
3,830
|
2,900
|
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (e)
|
3,183
|
2,125
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
3,830
|
3,289
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
1,150
|
891
|
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (e)
|
8,410
|
7,631
|
MasTec, Inc. 4.50%, 8/15/2028 (a)
|
8,854
|
7,994
|
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (e)
|
6,000
|
4,372
|
|
|
29,202
|
Construction Materials — 0.1%
|
||
Cemex SAB de CV (Mexico)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026 (a) (c) (d) (f)
|
4,707
|
4,142
|
3.88%, 7/11/2031 (a)
|
3,181
|
2,575
|
|
|
6,717
|
Consumer Finance — 0.8%
|
||
Ford Motor Credit Co. LLC
|
|
|
2.30%, 2/10/2025
|
1,350
|
1,239
|
4.69%, 6/9/2025
|
9,248
|
8,897
|
4.39%, 1/8/2026
|
4,000
|
3,805
|
4.54%, 8/1/2026
|
5,945
|
5,595
|
4.27%, 1/9/2027
|
25,001
|
23,133
|
4.13%, 8/17/2027
|
15,219
|
13,885
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Consumer Finance — continued
|
||
3.82%, 11/2/2027
|
2,245
|
2,011
|
2.90%, 2/10/2029
|
6,033
|
4,975
|
5.11%, 5/3/2029
|
7,550
|
7,039
|
OneMain Finance Corp.
|
|
|
6.88%, 3/15/2025
|
1,933
|
1,877
|
7.13%, 3/15/2026
|
3,647
|
3,533
|
3.88%, 9/15/2028
|
5,250
|
4,165
|
5.38%, 11/15/2029
|
565
|
472
|
|
|
80,626
|
Containers & Packaging — 1.0%
|
||
Ardagh Packaging Finance plc
|
|
|
4.13%, 8/15/2026 (a)
|
5,450
|
4,796
|
5.25%, 8/15/2027 (a)
|
13,542
|
10,242
|
Berry Global, Inc.
|
|
|
4.50%, 2/15/2026 (a)
|
1,051
|
1,008
|
4.88%, 7/15/2026 (a)
|
7,076
|
6,789
|
5.63%, 7/15/2027 (a)
|
940
|
921
|
Klabin Austria GmbH (Brazil) 7.00%, 4/3/2049 (e)
|
5,630
|
5,326
|
LABL, Inc.
|
|
|
6.75%, 7/15/2026 (a)
|
12,637
|
12,068
|
10.50%, 7/15/2027 (a)
|
985
|
906
|
Mauser Packaging Solutions Holding Co.
|
|
|
5.50%, 4/15/2024 (a)
|
13,050
|
12,872
|
7.25%, 4/15/2025 (a)
|
6,549
|
5,976
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
1,455
|
1,400
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a)
|
18,720
|
16,453
|
Smurfit Kappa Treasury Funding DAC (Ireland) 7.50%, 11/20/2025
|
950
|
981
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
2,612
|
2,227
|
Trivium Packaging Finance BV (Netherlands)
|
|
|
5.50%, 8/15/2026 (a) (g)
|
13,192
|
12,396
|
8.50%, 8/15/2027 (a) (g)
|
1,965
|
1,840
|
|
|
96,201
|
Diversified Consumer Services — 0.1%
|
||
Service Corp. International
|
|
|
7.50%, 4/1/2027
|
535
|
545
|
4.63%, 12/15/2027
|
2,577
|
2,408
|
3.38%, 8/15/2030
|
9,181
|
7,643
|
4.00%, 5/15/2031
|
903
|
774
|
|
|
11,370
|
Diversified Telecommunication Services — 2.6%
|
||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a)
|
13,983
|
11,047
|
Altice France SA (France)
|
|
|
8.13%, 2/1/2027 (a)
|
12,342
|
11,756
|
5.50%, 1/15/2028 (a)
|
3,500
|
2,917
|
5.13%, 1/15/2029 (a)
|
416
|
333
|
5.13%, 7/15/2029 (a)
|
9,906
|
7,807
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Diversified Telecommunication Services — continued
|
||
CCO Holdings LLC
|
|
|
5.13%, 5/1/2027 (a)
|
28,259
|
26,747
|
5.00%, 2/1/2028 (a)
|
28,799
|
26,474
|
5.38%, 6/1/2029 (a)
|
20,246
|
18,373
|
4.75%, 3/1/2030 (a)
|
16,356
|
14,062
|
4.50%, 8/15/2030 (a)
|
16,254
|
13,694
|
4.25%, 2/1/2031 (a)
|
17,519
|
14,222
|
4.50%, 6/1/2033 (a)
|
7,864
|
6,241
|
DKT Finance ApS (Denmark) 9.38%, 6/17/2023 (a)
|
1,150
|
1,106
|
Embarq Corp. 8.00%, 6/1/2036
|
1,643
|
698
|
ESC Co., Intelsat Jackson Holdings, Ltd.
|
|
|
5.50%, 8/1/2023 ‡ (h)
|
8,602
|
1
|
8.50%, 10/15/2024 ‡ (h)
|
5,163
|
1
|
9.75%, 7/15/2025 ‡ (h)
|
1,765
|
—
|
Frontier Communications Holdings LLC
|
|
|
5.88%, 10/15/2027 (a)
|
14,203
|
13,514
|
5.00%, 5/1/2028 (a)
|
5,032
|
4,478
|
5.88%, 11/1/2029
|
60
|
48
|
6.00%, 1/15/2030 (a)
|
1,580
|
1,293
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a)
|
10,999
|
10,119
|
Level 3 Financing, Inc.
|
|
|
4.63%, 9/15/2027 (a)
|
13,889
|
11,701
|
4.25%, 7/1/2028 (a)
|
4,795
|
3,754
|
Liquid Telecommunications Financing plc (South Africa) 5.50%, 9/4/2026 (a)
|
2,500
|
1,725
|
Lumen Technologies, Inc.
|
|
|
5.13%, 12/15/2026 (a)
|
15,121
|
12,928
|
4.00%, 2/15/2027 (a)
|
6,425
|
5,477
|
Series G, 6.88%, 1/15/2028
|
17
|
14
|
4.50%, 1/15/2029 (a)
|
6,405
|
4,337
|
Quebecor Media, Inc. (Canada) 5.75%, 1/15/2023
|
220
|
220
|
SES GLOBAL Americas Holdings, Inc. (Luxembourg) 5.30%, 3/25/2044 (a)
|
110
|
86
|
Sprint Capital Corp.
|
|
|
6.88%, 11/15/2028
|
148
|
157
|
8.75%, 3/15/2032
|
14,410
|
17,229
|
Telecom Italia Capital SA (Italy)
|
|
|
6.38%, 11/15/2033
|
6,890
|
5,658
|
7.72%, 6/04/2038
|
3,920
|
3,297
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)
|
2,750
|
2,541
|
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a)
|
7,000
|
5,014
|
|
|
259,069
|
Electric Utilities — 0.7%
|
||
Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051 (a)
|
2,366
|
1,526
|
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a)
|
1,400
|
1,165
|
Eskom Holdings SOC Ltd. (South Africa)
|
|
|
6.75%, 8/6/2023 (e)
|
1,300
|
1,268
|
7.13%, 2/11/2025 (e)
|
6,800
|
6,362
|
8.45%, 8/10/2028 (e)
|
4,400
|
4,037
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040 (a)
|
9,164
|
7,468
|
Instituto Costarricense de Electricidad (Costa Rica)
|
|
|
6.75%, 10/7/2031 (a)
|
8,210
|
7,697
|
6.38%, 5/15/2043 (e)
|
690
|
523
|
NextEra Energy Operating Partners LP 4.25%, 9/15/2024 (a)
|
4
|
4
|
NRG Energy, Inc.
|
|
|
6.63%, 1/15/2027
|
1,256
|
1,266
|
5.75%, 1/15/2028
|
9,307
|
8,911
|
5.25%, 6/15/2029 (a)
|
1,144
|
1,054
|
3.63%, 2/15/2031 (a)
|
6,585
|
5,266
|
PG&E Corp. 5.00%, 7/1/2028
|
1,225
|
1,130
|
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (e)
|
2,000
|
1,909
|
Vistra Operations Co. LLC
|
|
|
5.50%, 9/1/2026 (a)
|
551
|
533
|
5.63%, 2/15/2027 (a)
|
4,229
|
4,091
|
5.00%, 7/31/2027 (a)
|
12,908
|
12,116
|
4.38%, 5/1/2029 (a)
|
2,226
|
1,992
|
|
|
68,318
|
Electrical Equipment — 0.1%
|
||
Sensata Technologies BV
|
|
|
5.63%, 11/1/2024 (a)
|
80
|
80
|
4.00%, 4/15/2029 (a)
|
11,647
|
10,137
|
|
|
10,217
|
Electronic Equipment, Instruments & Components — 0.3%
|
||
CDW LLC
|
|
|
4.25%, 4/1/2028
|
10,708
|
9,674
|
3.25%, 2/15/2029
|
1,200
|
1,018
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
8,165
|
7,206
|
Sensata Technologies, Inc.
|
|
|
4.38%, 2/15/2030 (a)
|
4,874
|
4,316
|
3.75%, 2/15/2031 (a)
|
4,180
|
3,477
|
|
|
25,691
|
Energy Equipment & Services — 0.2%
|
||
Archrock Partners LP 6.88%, 4/1/2027 (a)
|
1,826
|
1,767
|
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)
|
4,943
|
4,063
|
Nabors Industries Ltd. 7.25%, 1/15/2026 (a)
|
3,575
|
3,436
|
Nabors Industries, Inc. 5.75%, 2/1/2025
|
414
|
397
|
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)
|
3,376
|
3,306
|
Transocean Guardian Ltd. 5.88%, 1/15/2024 (a)
|
293
|
286
|
Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)
|
3,339
|
3,239
|
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)
|
227
|
220
|
Transocean Proteus Ltd. 6.25%, 12/1/2024 (a)
|
192
|
189
|
Transocean, Inc. 11.50%, 1/30/2027 (a)
|
981
|
993
|
|
|
17,896
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Entertainment — 0.5%
|
||
AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/15/2026 (a) (b)
|
2,694
|
1,007
|
Live Nation Entertainment, Inc.
|
|
|
4.88%, 11/1/2024 (a)
|
1,318
|
1,297
|
5.63%, 3/15/2026 (a)
|
3,148
|
2,984
|
6.50%, 5/15/2027 (a)
|
12,036
|
12,059
|
4.75%, 10/15/2027 (a)
|
13,337
|
12,037
|
3.75%, 1/15/2028 (a)
|
315
|
276
|
Netflix, Inc.
|
|
|
4.88%, 4/15/2028
|
3,080
|
2,992
|
5.88%, 11/15/2028
|
8,585
|
8,673
|
6.38%, 5/15/2029
|
2,500
|
2,579
|
WMG Acquisition Corp.
|
|
|
3.75%, 12/1/2029 (a)
|
116
|
100
|
3.88%, 7/15/2030 (a)
|
7,475
|
6,478
|
3.00%, 2/15/2031 (a)
|
2,030
|
1,682
|
|
|
52,164
|
Equity Real Estate Investment Trusts (REITs) — 0.6%
|
||
Iron Mountain, Inc.
|
|
|
5.25%, 3/15/2028 (a)
|
4,863
|
4,547
|
5.00%, 7/15/2028 (a)
|
3,527
|
3,207
|
4.88%, 9/15/2029 (a)
|
1,925
|
1,693
|
RHP Hotel Properties LP
|
|
|
4.75%, 10/15/2027
|
15,221
|
13,904
|
4.50%, 2/15/2029 (a)
|
1,625
|
1,421
|
SBA Communications Corp. 3.13%, 2/1/2029
|
9,372
|
7,824
|
VICI Properties LP
|
|
|
4.63%, 6/15/2025 (a)
|
3,903
|
3,735
|
4.50%, 9/1/2026 (a)
|
1,000
|
936
|
4.25%, 12/1/2026 (a)
|
5,978
|
5,561
|
5.75%, 2/1/2027 (a)
|
3,610
|
3,498
|
3.75%, 2/15/2027 (a)
|
11,496
|
10,370
|
3.88%, 2/15/2029 (a)
|
1,950
|
1,712
|
4.63%, 12/1/2029 (a)
|
3,917
|
3,554
|
4.13%, 8/15/2030 (a)
|
740
|
641
|
|
|
62,603
|
Food & Staples Retailing — 0.5%
|
||
Albertsons Cos., Inc.
|
|
|
7.50%, 3/15/2026 (a)
|
2,682
|
2,746
|
4.63%, 1/15/2027 (a)
|
8,053
|
7,450
|
5.88%, 2/15/2028 (a)
|
5,937
|
5,677
|
3.50%, 3/15/2029 (a)
|
8,849
|
7,371
|
4.88%, 2/15/2030 (a)
|
2,032
|
1,813
|
Cencosud SA (Chile) 6.63%, 2/12/2045 (e)
|
2,144
|
2,060
|
New Albertsons LP
|
|
|
6.63%, 6/1/2028
|
8
|
8
|
7.45%, 8/1/2029
|
113
|
114
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Food & Staples Retailing — continued
|
||
8.00%, 5/1/2031
|
870
|
900
|
Performance Food Group, Inc.
|
|
|
6.88%, 5/1/2025 (a)
|
2,168
|
2,168
|
5.50%, 10/15/2027 (a)
|
4,172
|
4,026
|
4.25%, 8/1/2029 (a)
|
3,541
|
3,147
|
Rite Aid Corp.
|
|
|
7.50%, 7/1/2025 (a)
|
7,843
|
5,892
|
8.00%, 11/15/2026 (a)
|
7,187
|
4,472
|
Tesco plc (United Kingdom) 6.15%, 11/15/2037 (a)
|
870
|
840
|
US Foods, Inc.
|
|
|
4.75%, 2/15/2029 (a)
|
2,075
|
1,849
|
4.63%, 6/1/2030 (a)
|
1,983
|
1,760
|
|
|
52,293
|
Food Products — 0.4%
|
||
Lamb Weston Holdings, Inc.
|
|
|
4.13%, 1/31/2030 (a)
|
6,125
|
5,417
|
4.38%, 1/31/2032 (a)
|
1,854
|
1,641
|
MARB BondCo plc (Brazil) 3.95%, 1/29/2031 (a)
|
6,242
|
4,839
|
Post Holdings, Inc.
|
|
|
5.75%, 3/1/2027 (a)
|
2,411
|
2,350
|
5.63%, 1/15/2028 (a)
|
8,703
|
8,303
|
4.63%, 4/15/2030 (a)
|
10,600
|
9,300
|
4.50%, 9/15/2031 (a)
|
2,075
|
1,768
|
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a)
|
3,000
|
2,175
|
TreeHouse Foods, Inc. 4.00%, 9/1/2028
|
1,364
|
1,162
|
|
|
36,955
|
Gas Utilities — 0.1%
|
||
AmeriGas Partners LP
|
|
|
5.50%, 5/20/2025
|
4,147
|
4,023
|
5.88%, 8/20/2026
|
2,243
|
2,136
|
5.75%, 5/20/2027
|
1,637
|
1,562
|
|
|
7,721
|
Health Care Equipment & Supplies — 0.4%
|
||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
10,039
|
9,236
|
Hologic, Inc.
|
|
|
4.63%, 2/1/2028 (a)
|
1,021
|
977
|
3.25%, 2/15/2029 (a)
|
12,805
|
11,251
|
Medline Borrower LP
|
|
|
3.88%, 4/1/2029 (a)
|
11,258
|
9,679
|
5.25%, 10/1/2029 (a)
|
9,162
|
7,467
|
Teleflex, Inc. 4.25%, 6/1/2028 (a)
|
1,565
|
1,453
|
|
|
40,063
|
Health Care Providers & Services — 2.0%
|
||
180 Medical, Inc. (United Kingdom) 3.88%, 10/15/2029 (a)
|
451
|
383
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Providers & Services — continued
|
||
Acadia Healthcare Co., Inc.
|
|
|
5.50%, 7/1/2028 (a)
|
2,500
|
2,350
|
5.00%, 4/15/2029 (a)
|
165
|
152
|
Centene Corp.
|
|
|
4.25%, 12/15/2027
|
6,256
|
5,871
|
4.63%, 12/15/2029
|
23,282
|
21,648
|
Community Health Systems, Inc.
|
|
|
8.00%, 3/15/2026 (a)
|
10,240
|
9,450
|
5.63%, 3/15/2027 (a)
|
4,460
|
3,786
|
6.00%, 1/15/2029 (a)
|
4,016
|
3,351
|
6.88%, 4/15/2029 (a)
|
1,500
|
803
|
5.25%, 5/15/2030 (a)
|
6,844
|
5,219
|
DaVita, Inc. 3.75%, 2/15/2031 (a)
|
19,837
|
14,580
|
Encompass Health Corp.
|
|
|
5.75%, 9/15/2025
|
1,960
|
1,939
|
4.50%, 2/1/2028
|
10,659
|
9,585
|
4.75%, 2/1/2030
|
3,624
|
3,216
|
4.63%, 4/1/2031
|
2,602
|
2,246
|
Envision Healthcare Corp. 8.75%, 10/15/2026 (a)
|
1,122
|
325
|
HCA, Inc.
|
|
|
5.88%, 2/15/2026
|
9,816
|
9,896
|
5.63%, 9/1/2028
|
14,811
|
14,791
|
5.88%, 2/1/2029
|
18,710
|
18,837
|
Owens & Minor, Inc.
|
|
|
4.50%, 3/31/2029 (a)
|
6,770
|
5,555
|
6.63%, 4/1/2030 (a)
|
1,000
|
889
|
Tenet Healthcare Corp.
|
|
|
4.88%, 1/1/2026 (a)
|
15,648
|
14,850
|
6.25%, 2/1/2027 (a)
|
16,348
|
15,661
|
5.13%, 11/1/2027 (a)
|
24,039
|
22,630
|
4.63%, 6/15/2028 (a)
|
5,963
|
5,337
|
6.13%, 6/15/2030 (a)
|
4,409
|
4,178
|
|
|
197,528
|
Health Care Technology — 0.1%
|
||
IQVIA, Inc.
|
|
|
5.00%, 10/15/2026 (a)
|
1,803
|
1,735
|
5.00%, 5/15/2027 (a)
|
7,767
|
7,417
|
|
|
9,152
|
Hotels, Restaurants & Leisure — 1.8%
|
||
1011778 BC ULC (Canada)
|
|
|
3.88%, 1/15/2028 (a)
|
8,935
|
7,974
|
4.00%, 10/15/2030 (a)
|
4,595
|
3,870
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
4,513
|
4,016
|
Caesars Entertainment, Inc.
|
|
|
6.25%, 7/1/2025 (a)
|
6,682
|
6,604
|
8.13%, 7/1/2027 (a)
|
4,595
|
4,613
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotels, Restaurants & Leisure — continued
|
||
4.63%, 10/15/2029 (a)
|
4,368
|
3,658
|
Carnival Corp.
|
|
|
5.75%, 3/1/2027 (a)
|
4,000
|
2,974
|
9.88%, 8/1/2027 (a)
|
6,440
|
6,286
|
4.00%, 8/1/2028 (a)
|
3,391
|
2,823
|
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a)
|
2,256
|
2,349
|
Cedar Fair LP
|
|
|
5.50%, 5/1/2025 (a)
|
6,540
|
6,519
|
5.25%, 7/15/2029
|
3,675
|
3,210
|
Hilton Domestic Operating Co., Inc.
|
|
|
5.38%, 5/1/2025 (a)
|
3,907
|
3,882
|
5.75%, 5/1/2028 (a)
|
2,500
|
2,451
|
3.75%, 5/1/2029 (a)
|
5,804
|
5,151
|
4.00%, 5/1/2031 (a)
|
690
|
580
|
Hilton Grand Vacations Borrower Escrow LLC 5.00%, 6/1/2029 (a)
|
975
|
844
|
Hilton Worldwide Finance LLC 4.88%, 4/1/2027
|
7,070
|
6,800
|
International Game Technology plc
|
|
|
6.50%, 2/15/2025 (a)
|
579
|
582
|
6.25%, 1/15/2027 (a)
|
3,445
|
3,424
|
Marriott Ownership Resorts, Inc.
|
|
|
4.75%, 1/15/2028
|
18
|
16
|
4.50%, 6/15/2029 (a)
|
3,456
|
2,912
|
Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026 (a)
|
3,050
|
2,826
|
MGM Resorts International
|
|
|
6.75%, 5/1/2025
|
250
|
249
|
5.75%, 6/15/2025
|
6,048
|
5,906
|
4.63%, 9/1/2026
|
3,829
|
3,533
|
5.50%, 4/15/2027
|
1,850
|
1,744
|
Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027 (a)
|
500
|
430
|
Royal Caribbean Cruises Ltd.
|
|
|
11.50%, 6/1/2025 (a)
|
4,143
|
4,443
|
11.63%, 8/15/2027 (a)
|
6,062
|
6,229
|
8.25%, 1/15/2029 (a)
|
3,657
|
3,712
|
9.25%, 1/15/2029 (a)
|
3,667
|
3,754
|
Six Flags Entertainment Corp.
|
|
|
4.88%, 7/31/2024 (a)
|
2,242
|
2,179
|
5.50%, 4/15/2027 (a)
|
13,937
|
12,584
|
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)
|
1,884
|
1,889
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
4,935
|
4,353
|
Vail Resorts, Inc. 6.25%, 5/15/2025 (a)
|
8,647
|
8,638
|
Wynn Las Vegas LLC
|
|
|
5.50%, 3/1/2025 (a)
|
5,574
|
5,351
|
5.25%, 5/15/2027 (a)
|
720
|
660
|
Wynn Resorts Finance LLC
|
|
|
7.75%, 4/15/2025 (a)
|
1,235
|
1,238
|
5.13%, 10/1/2029 (a)
|
17,205
|
14,953
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotels, Restaurants & Leisure — continued
|
||
Yum! Brands, Inc.
|
|
|
4.75%, 1/15/2030 (a)
|
4,573
|
4,184
|
3.63%, 3/15/2031
|
2,043
|
1,703
|
4.63%, 1/31/2032
|
2,779
|
2,459
|
|
|
174,555
|
Household Durables — 0.2%
|
||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)
|
7,004
|
6,207
|
Newell Brands, Inc. 5.63%, 4/1/2036 (g)
|
2,780
|
2,380
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)
|
10,435
|
8,651
|
|
|
17,238
|
Household Products — 0.4%
|
||
Central Garden & Pet Co.
|
|
|
5.13%, 2/1/2028
|
8,220
|
7,552
|
4.13%, 10/15/2030
|
5,745
|
4,783
|
Energizer Holdings, Inc.
|
|
|
4.75%, 6/15/2028 (a)
|
12,553
|
10,945
|
4.38%, 3/31/2029 (a)
|
7,267
|
6,182
|
Spectrum Brands, Inc.
|
|
|
5.75%, 7/15/2025
|
1,474
|
1,451
|
5.00%, 10/1/2029 (a)
|
7,976
|
6,811
|
5.50%, 7/15/2030 (a)
|
3,764
|
3,223
|
3.88%, 3/15/2031 (a)
|
3,105
|
2,321
|
|
|
43,268
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
Calpine Corp.
|
|
|
5.25%, 6/1/2026 (a)
|
5,017
|
4,807
|
4.63%, 2/1/2029 (a)
|
1,000
|
863
|
5.00%, 2/1/2031 (a)
|
1,050
|
908
|
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (e)
|
5,610
|
5,063
|
|
|
11,641
|
Insurance — 0.0% ^
|
||
Massachusetts Mutual Life Insurance Co. (ICE LIBOR USD 3 Month + 3.19%), 5.08%, 2/15/2069 (a) (f)
|
600
|
519
|
Internet & Direct Marketing Retail — 0.1%
|
||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)
|
8,808
|
5,421
|
IT Services — 0.3%
|
||
Block, Inc.
|
|
|
2.75%, 6/1/2026
|
3,143
|
2,809
|
3.50%, 6/1/2031
|
7,585
|
6,155
|
Exela Intermediate LLC 11.50%, 7/15/2026 (a)
|
725
|
109
|
Gartner, Inc.
|
|
|
4.50%, 7/1/2028 (a)
|
12,083
|
11,375
|
3.75%, 10/1/2030 (a)
|
5,515
|
4,771
|
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)
|
2,075
|
1,936
|
|
|
27,155
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Leisure Products — 0.1%
|
||
Mattel, Inc.
|
|
|
5.88%, 12/15/2027 (a)
|
5,895
|
5,764
|
3.75%, 4/1/2029 (a)
|
1,339
|
1,173
|
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a)
|
10,291
|
7,821
|
|
|
14,758
|
Machinery — 0.1%
|
||
Mueller Water Products, Inc. 4.00%, 6/15/2029 (a)
|
6,445
|
5,544
|
Terex Corp. 5.00%, 5/15/2029 (a)
|
3,660
|
3,309
|
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)
|
3,828
|
3,474
|
|
|
12,327
|
Marine — 0.1%
|
||
MV24 Capital BV (Brazil)
|
|
|
6.75%, 6/1/2034 (a)
|
3,920
|
3,459
|
6.75%, 6/1/2034 (e)
|
2,667
|
2,353
|
|
|
5,812
|
Media — 3.5%
|
||
Altice Financing SA (Luxembourg) 5.75%, 8/15/2029 (a)
|
4,775
|
3,905
|
AMC Networks, Inc. 5.00%, 4/1/2024
|
1,086
|
1,036
|
Audacy Capital Corp. 6.50%, 5/1/2027 (a)
|
3,633
|
925
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
5.13%, 8/15/2027 (a)
|
21,810
|
18,797
|
7.75%, 4/15/2028 (a)
|
11,699
|
8,716
|
CSC Holdings LLC
|
|
|
7.50%, 4/1/2028 (a)
|
400
|
312
|
6.50%, 2/1/2029 (a)
|
29,286
|
26,689
|
5.75%, 1/15/2030 (a)
|
500
|
340
|
4.63%, 12/1/2030 (a)
|
5,819
|
3,690
|
Diamond Sports Group LLC 5.38%, 8/15/2026 (a)
|
4,545
|
739
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
12,998
|
11,927
|
DISH DBS Corp.
|
|
|
5.00%, 3/15/2023
|
6,698
|
6,647
|
5.88%, 11/15/2024
|
56,150
|
53,357
|
7.75%, 7/1/2026
|
14,326
|
11,999
|
5.25%, 12/1/2026 (a)
|
14,940
|
12,826
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
8,075
|
8,300
|
GCI LLC 4.75%, 10/15/2028 (a)
|
6,871
|
5,887
|
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a)
|
2,193
|
1,673
|
Gray Television, Inc.
|
|
|
5.88%, 7/15/2026 (a)
|
1,237
|
1,139
|
7.00%, 5/15/2027 (a)
|
4,212
|
3,870
|
4.75%, 10/15/2030 (a)
|
6,521
|
4,825
|
iHeartCommunications, Inc.
|
|
|
6.38%, 5/1/2026
|
7,174
|
6,785
|
8.38%, 5/1/2027
|
4,259
|
3,791
|
5.25%, 8/15/2027 (a)
|
13,176
|
11,734
|
4.75%, 1/15/2028 (a)
|
597
|
515
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
Lamar Media Corp.
|
|
|
3.75%, 2/15/2028
|
810
|
732
|
4.88%, 1/15/2029
|
3,591
|
3,319
|
3.63%, 1/15/2031
|
410
|
341
|
Midcontinent Communications 5.38%, 8/15/2027 (a)
|
1,345
|
1,237
|
News Corp. 3.88%, 5/15/2029 (a)
|
7,517
|
6,681
|
Nexstar Media, Inc.
|
|
|
5.63%, 7/15/2027 (a)
|
13,883
|
13,091
|
4.75%, 11/1/2028 (a)
|
14,726
|
13,105
|
Outfront Media Capital LLC 5.00%, 8/15/2027 (a)
|
4,443
|
4,049
|
Paramount Global (ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (f)
|
1,712
|
1,430
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
3,185
|
2,677
|
Sinclair Television Group, Inc.
|
|
|
5.13%, 2/15/2027 (a)
|
3,985
|
3,329
|
4.13%, 12/1/2030 (a)
|
5,165
|
3,961
|
Sirius XM Radio, Inc.
|
|
|
5.00%, 8/1/2027 (a)
|
24,445
|
22,813
|
4.00%, 7/15/2028 (a)
|
10,645
|
9,408
|
5.50%, 7/1/2029 (a)
|
12,429
|
11,573
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
6,155
|
5,278
|
TEGNA, Inc.
|
|
|
4.63%, 3/15/2028
|
1,360
|
1,283
|
5.00%, 9/15/2029
|
2,792
|
2,611
|
Telenet Finance Luxembourg Notes SARL (Belgium) 5.50%, 3/1/2028 (a)
|
2,400
|
2,149
|
Univision Communications, Inc.
|
|
|
5.13%, 2/15/2025 (a)
|
330
|
318
|
6.63%, 6/1/2027 (a)
|
1,630
|
1,588
|
4.50%, 5/1/2029 (a)
|
7,249
|
6,171
|
UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a)
|
3,685
|
3,151
|
UPC Holding BV (Netherlands) 5.50%, 1/15/2028 (a)
|
2,900
|
2,581
|
Videotron Ltd. (Canada)
|
|
|
5.38%, 6/15/2024 (a)
|
190
|
188
|
5.13%, 4/15/2027 (a)
|
9,657
|
9,232
|
3.63%, 6/15/2029 (a)
|
3,146
|
2,658
|
VZ Secured Financing BV (Netherlands) 5.00%, 1/15/2032 (a)
|
1,738
|
1,438
|
Ziggo Bond Co. BV (Netherlands) 6.00%, 1/15/2027 (a)
|
1,050
|
969
|
Ziggo BV (Netherlands) 4.88%, 1/15/2030 (a)
|
2,750
|
2,337
|
|
|
350,122
|
Metals & Mining — 0.7%
|
||
Alcoa Nederland Holding BV
|
|
|
5.50%, 12/15/2027 (a)
|
3,890
|
3,729
|
6.13%, 5/15/2028 (a)
|
3,490
|
3,388
|
ArcelorMittal SA (Luxembourg) 7.00%, 10/15/2039 (g)
|
200
|
201
|
Arconic Corp.
|
|
|
6.00%, 5/15/2025 (a)
|
4,645
|
4,575
|
6.13%, 2/15/2028 (a)
|
7,334
|
6,886
|
ATI, Inc. 5.88%, 12/1/2027
|
3,085
|
2,875
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Metals & Mining — continued
|
||
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
2,951
|
2,835
|
Cleveland-Cliffs, Inc.
|
|
|
6.75%, 3/15/2026 (a)
|
3,673
|
3,682
|
4.63%, 3/1/2029 (a)
|
3,797
|
3,322
|
4.88%, 3/1/2031 (a)
|
3,725
|
3,231
|
Constellium SE
|
|
|
5.88%, 2/15/2026 (a)
|
588
|
564
|
5.88%, 2/15/2026 (e)
|
1,294
|
1,242
|
5.63%, 6/15/2028 (a)
|
700
|
640
|
3.75%, 4/15/2029 (a)
|
1,000
|
822
|
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (e)
|
4,300
|
4,069
|
FMG Resources August 2006 Pty. Ltd. (Australia) 4.38%, 4/1/2031 (a)
|
4,445
|
3,745
|
Freeport-McMoRan, Inc.
|
|
|
5.00%, 9/1/2027
|
2,612
|
2,530
|
4.38%, 8/1/2028
|
1,840
|
1,690
|
4.25%, 3/1/2030
|
1,930
|
1,719
|
5.40%, 11/14/2034
|
98
|
91
|
5.45%, 3/15/2043
|
2,072
|
1,858
|
Glencore Finance Canada Ltd. 6.00%, 11/15/2041 (a)
|
685
|
649
|
Kaiser Aluminum Corp.
|
|
|
4.63%, 3/1/2028 (a)
|
4,015
|
3,531
|
4.50%, 6/1/2031 (a)
|
1,220
|
1,030
|
Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (e)
|
2,900
|
2,676
|
Novelis Corp.
|
|
|
3.25%, 11/15/2026 (a)
|
1,811
|
1,618
|
4.75%, 1/30/2030 (a)
|
6,040
|
5,370
|
3.88%, 8/15/2031 (a)
|
3,035
|
2,489
|
|
|
71,057
|
Mortgage Real Estate Investment Trusts (REITs) — 0.7%
|
||
Arbor Realty Trust, Inc.
|
|
|
5.00%, 4/30/2026
|
15,000
|
13,352
|
Series QIB, 4.50%, 9/1/2026 (a)
|
14,500
|
12,849
|
Series QIB, 4.50%, 3/15/2027 (a)
|
20,000
|
16,859
|
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a)
|
11,000
|
10,603
|
ReadyCap Holdings LLC Series QIB, 4.50%, 10/20/2026 (a)
|
20,000
|
17,599
|
|
|
71,262
|
Multiline Retail — 0.1%
|
||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a)
|
13,200
|
12,711
|
Multi-Utilities — 0.1%
|
||
Empresas Publicas de Medellin ESP (Colombia) 4.25%, 7/18/2029 (e)
|
2,800
|
2,151
|
Sempra Energy (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (c) (d) (f)
|
5,803
|
5,382
|
|
|
7,533
|
Oil, Gas & Consumable Fuels — 3.4%
|
||
AI Candelaria Spain SA (Colombia)
|
|
|
7.50%, 12/15/2028 (e)
|
2,304
|
2,149
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
5.75%, 6/15/2033 (a)
|
5,974
|
4,346
|
Antero Midstream Partners LP
|
|
|
7.88%, 5/15/2026 (a)
|
775
|
791
|
5.75%, 3/1/2027 (a)
|
4,434
|
4,234
|
5.75%, 1/15/2028 (a)
|
1,819
|
1,719
|
5.38%, 6/15/2029 (a)
|
8,154
|
7,522
|
Antero Resources Corp.
|
|
|
8.38%, 7/15/2026 (a)
|
1,801
|
1,895
|
7.63%, 2/1/2029 (a)
|
2,225
|
2,270
|
BP Capital Markets plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%,
6/22/2025 (c) (d) (f)
|
12,690
|
12,071
|
Buckeye Partners LP
|
|
|
4.13%, 3/1/2025 (a)
|
1,981
|
1,902
|
3.95%, 12/1/2026
|
5,855
|
5,167
|
4.13%, 12/1/2027
|
4,490
|
3,969
|
4.50%, 3/1/2028 (a)
|
1,972
|
1,750
|
5.60%, 10/15/2044
|
900
|
675
|
California Resources Corp. 7.13%, 2/1/2026 (a)
|
5,534
|
5,382
|
Cheniere Energy Partners LP
|
|
|
4.50%, 10/1/2029
|
5,350
|
4,911
|
4.00%, 3/1/2031
|
1,050
|
917
|
3.25%, 1/31/2032
|
2,329
|
1,895
|
Cheniere Energy, Inc. 4.63%, 10/15/2028
|
8,450
|
7,798
|
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a)
|
13,482
|
13,364
|
Comstock Resources, Inc.
|
|
|
6.75%, 3/1/2029 (a)
|
8,461
|
8,263
|
5.88%, 1/15/2030 (a)
|
2,425
|
2,234
|
Crestwood Midstream Partners LP
|
|
|
5.75%, 4/1/2025
|
4,894
|
4,771
|
5.63%, 5/1/2027 (a)
|
4,380
|
4,121
|
8.00%, 4/1/2029 (a)
|
4,462
|
4,495
|
DCP Midstream Operating LP
|
|
|
5.38%, 7/15/2025
|
3,290
|
3,249
|
5.63%, 7/15/2027
|
2,125
|
2,116
|
6.75%, 9/15/2037 (a)
|
124
|
127
|
5.60%, 4/1/2044
|
25
|
24
|
DT Midstream, Inc.
|
|
|
4.13%, 6/15/2029 (a)
|
5,639
|
4,969
|
4.38%, 6/15/2031 (a)
|
5,035
|
4,344
|
Ecopetrol SA 5.88%, 5/28/2045
|
5,145
|
3,527
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)
|
7,556
|
7,231
|
Energean Israel Finance Ltd. (Israel)
|
|
|
4.50%, 3/30/2024 (e)
|
1,732
|
1,674
|
4.88%, 3/30/2026 (e)
|
2,711
|
2,521
|
Energy Transfer LP
|
|
|
5.35%, 5/15/2045
|
740
|
637
|
5.30%, 4/15/2047
|
430
|
365
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
EnLink Midstream Partners LP
|
|
|
4.15%, 6/1/2025
|
1,781
|
1,699
|
4.85%, 7/15/2026
|
1,340
|
1,280
|
EQM Midstream Partners LP
|
|
|
6.00%, 7/1/2025 (a)
|
2,323
|
2,277
|
6.50%, 7/1/2027 (a)
|
1,740
|
1,688
|
5.50%, 7/15/2028
|
2,225
|
2,062
|
4.50%, 1/15/2029 (a)
|
2,204
|
1,937
|
4.75%, 1/15/2031 (a)
|
6,428
|
5,411
|
Genesis Energy LP
|
|
|
6.50%, 10/1/2025
|
515
|
496
|
6.25%, 5/15/2026
|
1,675
|
1,553
|
8.00%, 1/15/2027
|
2,933
|
2,799
|
7.75%, 2/1/2028
|
2,735
|
2,610
|
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (e)
|
1,013
|
942
|
Gulfport Energy Corp.
|
|
|
8.00%, 5/17/2026
|
122
|
122
|
8.00%, 5/17/2026 (a)
|
5,245
|
5,228
|
Gulfport Energy Operating Corp.
|
|
|
6.63%, 5/1/2023 ‡ (h)
|
3,075
|
4
|
6.00%, 10/15/2024 ‡ (h)
|
6,189
|
8
|
6.38%, 1/15/2026 ‡ (h)
|
27
|
—
|
Hess Midstream Operations LP
|
|
|
5.63%, 2/15/2026 (a)
|
8,075
|
7,938
|
5.13%, 6/15/2028 (a)
|
3,685
|
3,469
|
Holly Energy Partners LP 5.00%, 2/1/2028 (a)
|
75
|
68
|
Kinetik Holdings LP 5.88%, 6/15/2030 (a)
|
3,398
|
3,193
|
Leviathan Bond Ltd. (Israel)
|
|
|
6.13%, 6/30/2025 (e)
|
1,490
|
1,460
|
6.50%, 6/30/2027 (e)
|
5,000
|
4,874
|
6.75%, 6/30/2030 (e)
|
1,553
|
1,461
|
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (e)
|
3,800
|
3,325
|
Medco Platinum Road Pte. Ltd. (Indonesia) 6.75%, 1/30/2025 (e)
|
571
|
554
|
NGL Energy Operating LLC 7.50%, 2/1/2026 (a)
|
4,017
|
3,628
|
NuStar Logistics LP
|
|
|
5.75%, 10/1/2025
|
1,907
|
1,855
|
5.63%, 4/28/2027
|
5,987
|
5,630
|
6.38%, 10/1/2030
|
2,109
|
1,961
|
Occidental Petroleum Corp.
|
|
|
8.50%, 7/15/2027
|
2,762
|
3,011
|
6.38%, 9/1/2028
|
3,260
|
3,328
|
8.88%, 7/15/2030
|
3,152
|
3,613
|
6.63%, 9/1/2030
|
2,255
|
2,353
|
6.13%, 1/1/2031
|
2,412
|
2,447
|
Oil and Gas Holding Co. BSCC (The) (Bahrain)
|
|
|
7.63%, 11/7/2024 (e)
|
1,400
|
1,413
|
8.38%, 11/7/2028 (e)
|
3,200
|
3,248
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (e)
|
14,000
|
11,550
|
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a)
|
5,460
|
3,706
|
Petroleos Mexicanos (Mexico)
|
|
|
6.88%, 8/4/2026
|
7,100
|
6,710
|
5.35%, 2/12/2028
|
10,300
|
8,562
|
5.95%, 1/28/2031
|
15,950
|
11,927
|
6.38%, 1/23/2045
|
5,548
|
3,376
|
6.95%, 1/28/2060
|
10,150
|
6,397
|
Range Resources Corp.
|
|
|
5.00%, 3/15/2023
|
3,795
|
3,776
|
8.25%, 1/15/2029
|
4,810
|
5,018
|
4.75%, 2/15/2030 (a)
|
990
|
889
|
SM Energy Co.
|
|
|
6.75%, 9/15/2026
|
929
|
910
|
6.63%, 1/15/2027
|
2,903
|
2,845
|
Southwestern Energy Co.
|
|
|
5.70%, 1/23/2025 (g)
|
570
|
564
|
7.75%, 10/1/2027
|
160
|
165
|
8.38%, 9/15/2028
|
285
|
296
|
5.38%, 3/15/2030
|
6,226
|
5,854
|
4.75%, 2/1/2032
|
1,164
|
1,018
|
Sunoco LP
|
|
|
6.00%, 4/15/2027
|
1,265
|
1,247
|
4.50%, 5/15/2029
|
3,644
|
3,155
|
Tallgrass Energy Partners LP
|
|
|
7.50%, 10/1/2025 (a)
|
5,095
|
5,159
|
6.00%, 3/1/2027 (a)
|
2,655
|
2,524
|
5.50%, 1/15/2028 (a)
|
1,824
|
1,655
|
6.00%, 12/31/2030 (a)
|
750
|
679
|
6.00%, 9/1/2031 (a)
|
2,255
|
2,010
|
Targa Resources Partners LP
|
|
|
6.50%, 7/15/2027
|
4,596
|
4,621
|
5.00%, 1/15/2028
|
3,225
|
3,055
|
6.88%, 1/15/2029
|
2,240
|
2,301
|
5.50%, 3/1/2030
|
4,190
|
4,006
|
4.88%, 2/1/2031
|
2,025
|
1,844
|
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (f)
|
6,000
|
5,115
|
Uzbekneftegaz JSC (Uzbekistan) 4.75%, 11/16/2028 (a)
|
2,500
|
1,956
|
|
|
341,230
|
Paper & Forest Products — 0.0% ^
|
||
Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (e)
|
3,000
|
2,978
|
Personal Products — 0.3%
|
||
Edgewell Personal Care Co.
|
|
|
5.50%, 6/1/2028 (a)
|
13,770
|
12,975
|
4.13%, 4/1/2029 (a)
|
2,898
|
2,517
|
Natura Cosmeticos SA (Brazil) 4.13%, 5/3/2028 (a)
|
4,084
|
3,217
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Personal Products — continued
|
||
Prestige Brands, Inc.
|
|
|
5.13%, 1/15/2028 (a)
|
4,088
|
3,853
|
3.75%, 4/1/2031 (a)
|
3,400
|
2,873
|
|
|
25,435
|
Pharmaceuticals — 1.2%
|
||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)
|
25,567
|
16,579
|
Bausch Health Cos., Inc.
|
|
|
5.50%, 11/1/2025 (a)
|
15,240
|
12,876
|
9.00%, 12/15/2025 (a)
|
22,090
|
15,905
|
5.75%, 8/15/2027 (a)
|
11,678
|
7,589
|
5.00%, 2/15/2029 (a)
|
20,177
|
8,498
|
5.25%, 1/30/2030 (a)
|
4,000
|
1,666
|
Catalent Pharma Solutions, Inc. 3.13%, 2/15/2029 (a)
|
1,440
|
1,177
|
Elanco Animal Health, Inc. 6.40%, 8/28/2028 (g)
|
8,295
|
7,661
|
Endo Dac
|
|
|
5.88%, 10/15/2024 (a) (g)
|
700
|
554
|
9.50%, 7/31/2027 (a) (h)
|
135
|
19
|
Endo Luxembourg Finance Co. I Sarl 6.13%, 4/1/2029 (a) (g)
|
1,520
|
1,138
|
Jazz Securities DAC 4.38%, 1/15/2029 (a)
|
10,776
|
9,779
|
Mallinckrodt International Finance SA
|
|
|
11.50%, 12/15/2028 (a)
|
9,030
|
7,779
|
10.00%, 6/15/2029 (a)
|
167
|
86
|
Organon & Co.
|
|
|
4.13%, 4/30/2028 (a)
|
17,861
|
16,075
|
5.13%, 4/30/2031 (a)
|
3,905
|
3,465
|
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (g)
|
7,330
|
5,516
|
Teva Pharmaceutical Finance Netherlands III BV (Israel) 3.15%, 10/1/2026
|
2,600
|
2,250
|
|
|
118,612
|
Real Estate Management & Development — 0.0% ^
|
||
Realogy Group LLC 5.75%, 1/15/2029 (a)
|
1,515
|
1,159
|
Road & Rail — 0.5%
|
||
Avis Budget Car Rental LLC
|
|
|
5.75%, 7/15/2027 (a)
|
4,636
|
4,284
|
4.75%, 4/1/2028 (a)
|
7,410
|
6,510
|
5.38%, 3/1/2029 (a)
|
8,285
|
7,294
|
ESC GCBREGS EXIDE TECH
|
|
|
7.13%, 8/1/2026 (h)
|
2,755
|
234
|
6.00%, 1/15/2028 (h)
|
1,450
|
123
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (a)
|
2,655
|
2,204
|
Hertz Corp. (The)
|
|
|
6.25%, 10/15/2022 (h)
|
185
|
5
|
5.50%, 10/15/2024 (h)
|
5,875
|
176
|
5.00%, 12/1/2029 (a)
|
11,036
|
8,758
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)
|
2,650
|
2,331
|
Uber Technologies, Inc.
|
|
|
7.50%, 5/15/2025 (a)
|
2,000
|
2,012
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Road & Rail — continued
|
||
7.50%, 9/15/2027 (a)
|
6,775
|
6,810
|
4.50%, 8/15/2029 (a)
|
5,664
|
4,931
|
|
|
45,672
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
5,020
|
4,995
|
Entegris Escrow Corp.
|
|
|
4.75%, 4/15/2029 (a)
|
1,500
|
1,358
|
5.95%, 6/15/2030 (a)
|
1,850
|
1,728
|
Entegris, Inc.
|
|
|
4.38%, 4/15/2028 (a)
|
6,018
|
5,318
|
3.63%, 5/1/2029 (a)
|
2,046
|
1,698
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
12,231
|
10,845
|
|
|
25,942
|
Software — 0.5%
|
||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a)
|
605
|
578
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a)
|
3,695
|
2,767
|
Clarivate Science Holdings Corp.
|
|
|
3.88%, 7/1/2028 (a)
|
5,959
|
5,356
|
4.88%, 7/1/2029 (a)
|
6,088
|
5,213
|
NCR Corp.
|
|
|
5.75%, 9/1/2027 (a)
|
5,255
|
5,110
|
5.00%, 10/1/2028 (a)
|
5,079
|
4,419
|
5.13%, 4/15/2029 (a)
|
8,177
|
7,034
|
6.13%, 9/1/2029 (a)
|
4,566
|
4,429
|
5.25%, 10/1/2030 (a)
|
951
|
802
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)
|
14,030
|
13,409
|
|
|
49,117
|
Specialty Retail — 0.9%
|
||
Asbury Automotive Group, Inc.
|
|
|
4.50%, 3/1/2028
|
3,665
|
3,316
|
4.63%, 11/15/2029 (a)
|
3,346
|
2,919
|
4.75%, 3/1/2030
|
2,672
|
2,284
|
Bath & Body Works, Inc.
|
|
|
9.38%, 7/1/2025 (a)
|
843
|
884
|
5.25%, 2/1/2028
|
57
|
52
|
7.50%, 6/15/2029
|
3,254
|
3,265
|
6.75%, 7/1/2036
|
4,560
|
4,004
|
eG Global Finance plc (United Kingdom) 6.75%, 2/7/2025 (a)
|
2,500
|
2,275
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
2,195
|
1,686
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)
|
4,120
|
3,495
|
Lithia Motors, Inc. 3.88%, 6/1/2029 (a)
|
9,517
|
7,985
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
6,141
|
5,167
|
PetSmart, Inc.
|
|
|
4.75%, 2/15/2028 (a)
|
17,600
|
16,080
|
7.75%, 2/15/2029 (a)
|
8,982
|
8,308
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Specialty Retail — continued
|
||
SRS Distribution, Inc.
|
|
|
4.63%, 7/1/2028 (a)
|
10,286
|
9,193
|
6.13%, 7/1/2029 (a)
|
3,420
|
2,837
|
Staples, Inc.
|
|
|
7.50%, 4/15/2026 (a)
|
11,533
|
10,289
|
10.75%, 4/15/2027 (a)
|
4,249
|
3,107
|
|
|
87,146
|
Technology Hardware, Storage & Peripherals — 0.0% ^
|
||
Seagate HDD Cayman 3.13%, 7/15/2029
|
5,160
|
4,005
|
Thrifts & Mortgage Finance — 0.1%
|
||
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a)
|
2,100
|
1,761
|
Rocket Mortgage LLC 3.63%, 3/1/2029 (a)
|
10,470
|
8,428
|
|
|
10,189
|
Tobacco — 0.0% ^
|
||
BAT Capital Corp. (United Kingdom)
|
|
|
4.39%, 8/15/2037
|
1,230
|
969
|
4.54%, 8/15/2047
|
910
|
660
|
Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045
|
1,360
|
1,189
|
|
|
2,818
|
Trading Companies & Distributors — 0.6%
|
||
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
9,128
|
8,628
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
19,488
|
17,393
|
United Rentals North America, Inc.
|
|
|
5.50%, 5/15/2027
|
4,720
|
4,657
|
4.88%, 1/15/2028
|
10,195
|
9,778
|
3.88%, 2/15/2031
|
1,117
|
961
|
WESCO Distribution, Inc.
|
|
|
7.13%, 6/15/2025 (a)
|
9,279
|
9,395
|
7.25%, 6/15/2028 (a)
|
6,106
|
6,186
|
|
|
56,998
|
Transportation Infrastructure — 0.0% ^
|
||
Prumo Participacoes e Investimentos S/A (Brazil)
|
|
|
7.50%, 12/31/2031 (a)
|
1,171
|
1,084
|
7.50%, 12/31/2031 (e)
|
4,603
|
4,259
|
|
|
5,343
|
Wireless Telecommunication Services — 0.7%
|
||
America Movil SAB de CV (Mexico) 5.38%, 4/4/2032 (a)
|
2,937
|
2,698
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
6,332
|
5,887
|
Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (e)
|
3,139
|
2,273
|
Millicom International Cellular SA (Colombia)
|
|
|
5.13%, 1/15/2028 (e)
|
3,240
|
2,924
|
6.25%, 3/25/2029 (a)
|
900
|
853
|
Sprint LLC
|
|
|
7.13%, 6/15/2024
|
6,897
|
7,043
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Wireless Telecommunication Services — continued
|
||
7.63%, 2/15/2025
|
7,969
|
8,255
|
7.63%, 3/1/2026
|
24,900
|
26,188
|
United States Cellular Corp. 6.70%, 12/15/2033
|
1,708
|
1,494
|
Vodafone Group plc (United Kingdom)
|
|
|
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f)
|
3,300
|
3,288
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (f)
|
7,225
|
5,437
|
|
|
66,340
|
Total Corporate Bonds
(Cost $3,769,088)
|
|
3,353,180
|
Commercial Mortgage-Backed Securities — 25.6%
|
||
20 Times Square Trust Series 2018-20TS, Class F, 3.20%, 5/15/2035 ‡ (a) (i)
|
600
|
492
|
Acrc (France) 5.25%, 11/15/2026 ‡ (a)
|
35,000
|
33,600
|
Areit Frn 2.75%, 8/17/2026 ‡ (a) (i)
|
29,000
|
27,840
|
BAMLL Re-REMIC Trust Series 2013-FRR3, Class A, PO, 6/26/2023 (a)
|
7,500
|
7,119
|
BANK
|
|
|
Series 2019-BN16, Class D, 3.00%, 2/15/2052 ‡ (a)
|
8,795
|
6,204
|
Series 2019-BN16, Class F, 3.85%, 2/15/2052 ‡ (a) (i)
|
3,000
|
1,724
|
Series 2019-BN17, Class D, 3.00%, 4/15/2052 ‡ (a)
|
2,800
|
1,975
|
Series 2019-BN17, Class E, 3.00%, 4/15/2052 ‡ (a)
|
2,500
|
1,640
|
Series 2019-BN21, Class E, 2.50%, 10/17/2052 ‡ (a)
|
8,600
|
5,293
|
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (a)
|
2,841
|
1,494
|
Series 2019-BN23, Class XA, IO, 0.81%, 12/15/2052 (i)
|
38,740
|
1,456
|
Series 2020-BN29, Class D, 2.50%, 11/15/2053 ‡ (a)
|
5,000
|
3,186
|
Series 2020-BN29, Class E, 2.50%, 11/15/2053 ‡ (a)
|
3,500
|
2,017
|
Series 2020-BN30, Class D, 2.50%, 12/15/2053 ‡ (a) (i)
|
5,231
|
3,289
|
Series 2020-BN30, Class E, 2.50%, 12/15/2053 ‡ (a) (i)
|
4,145
|
2,296
|
Series 2017-BNK9, Class D, 2.80%, 11/15/2054 ‡ (a)
|
2,149
|
1,478
|
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 ‡ (a) (i)
|
1,000
|
743
|
Series 2017-BNK5, Class C, 4.33%, 6/15/2060 ‡ (i)
|
2,050
|
1,767
|
Series 2018-BN14, Class XB, IO, 0.18%, 9/15/2060 (i)
|
132,263
|
618
|
Series 2017-BNK7, Class D, 2.71%, 9/15/2060 ‡ (a)
|
3,000
|
2,134
|
Series 2018-BN14, Class F, 3.94%, 9/15/2060 ‡ (a)
|
1,000
|
524
|
Series 2018-BN10, Class D, 2.60%, 2/15/2061 ‡ (a)
|
1,500
|
1,034
|
Series 2018-BN12, Class D, 3.00%, 5/15/2061 ‡ (a)
|
1,250
|
848
|
Series 2019-BN19, Class XA, IO, 1.08%, 8/15/2061 (i)
|
22,023
|
1,061
|
Series 2018-BN13, Class D, 3.00%, 8/15/2061 ‡ (a)
|
2,000
|
1,289
|
Series 2018-BN15, Class E, 3.00%, 11/15/2061 ‡ (a)
|
2,000
|
1,274
|
Series 2019-BN18, Class E, 3.00%, 5/15/2062 ‡ (a)
|
2,150
|
1,400
|
Series 2019-BN20, Class XA, IO, 0.94%, 9/15/2062 (i)
|
50,088
|
2,112
|
Series 2019-BN20, Class D, 2.50%, 9/15/2062 ‡ (a)
|
6,721
|
4,467
|
Series 2019-BN20, Class E, 2.50%, 9/15/2062 ‡ (a)
|
8,600
|
5,286
|
Series 2019-BN24, Class XA, IO, 0.76%, 11/15/2062 (i)
|
99,419
|
3,536
|
Series 2019-BN22, Class D, 2.50%, 11/15/2062 ‡ (a)
|
4,250
|
2,819
|
Series 2019-BN24, Class D, 2.50%, 11/15/2062 ‡ (a)
|
7,380
|
4,889
|
Series 2020-BN25, Class XA, IO, 1.00%, 1/15/2063 (i)
|
81,032
|
3,802
|
Series 2020-BN25, Class E, 2.50%, 1/15/2063 ‡ (a)
|
4,250
|
2,576
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2020-BN26, Class D, 2.50%, 3/15/2063 ‡ (a)
|
3,250
|
2,074
|
Series 2020-BN26, Class E, 2.50%, 3/15/2063 ‡ (a)
|
5,520
|
3,267
|
Series 2021-BN34, Class XA, IO, 1.09%, 6/15/2063 (i)
|
173,632
|
9,873
|
Series 2021-BN33, Class XA, IO, 1.17%, 5/15/2064 (i)
|
134,683
|
7,808
|
Series 2021-BN33, Class D, 2.50%, 5/15/2064 ‡ (a)
|
3,700
|
2,272
|
Series 2021-BN33, Class E, 2.50%, 5/15/2064 ‡ (a)
|
3,850
|
2,160
|
Series 2021-BN33, Class C, 3.30%, 5/15/2064 ‡
|
7,609
|
5,541
|
Series 2021-BN35, Class XB, IO, 0.70%, 6/15/2064 (i)
|
40,000
|
1,620
|
Series 2021-BN35, Class XA, IO, 1.15%, 6/15/2064 (i)
|
27,841
|
1,668
|
Series 2021-BN35, Class E, 2.50%, 6/15/2064 ‡ (a) (i)
|
5,300
|
2,911
|
Barclays Commercial Mortgage Trust Series 2019-C4, Class D, 3.25%, 8/15/2052 ‡ (a)
|
8,451
|
5,976
|
BBCMS Mortgage Trust
|
|
|
Series 2018-TALL, Class E, 6.31%, 3/15/2037 ‡ (a) (i)
|
6,000
|
4,500
|
Series 2021-C11, Class XB, IO, 1.08%, 9/15/2054 (i)
|
30,040
|
1,986
|
Series 2021-C11, Class XA, IO, 1.50%, 9/15/2054 (i)
|
161,443
|
12,555
|
BBCMS MORTGAGE TRUST Series 2017-C1, Class D, 3.71%, 2/15/2050 ‡ (a) (i)
|
1,000
|
749
|
Benchmark Mortgage Trust
|
|
|
Series 2018-B1, Class D, 2.75%, 1/15/2051 ‡ (a)
|
2,000
|
1,310
|
Series 2018-B1, Class C, 4.30%, 1/15/2051 ‡ (i)
|
1,000
|
779
|
Series 2018-B2, Class XA, IO, 0.57%, 2/15/2051 (i)
|
42,170
|
628
|
Series 2018-B5, Class C, 4.76%, 7/15/2051 ‡ (i)
|
3,500
|
2,967
|
Series 2018-B8, Class D, 3.00%, 1/15/2052 ‡ (a)
|
3,050
|
2,064
|
Series 2019-B9, Class F, 3.92%, 3/15/2052 ‡ (a) (i)
|
6,000
|
3,474
|
Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (a)
|
1,900
|
1,289
|
Series 2020-B16, Class E, 2.50%, 2/15/2053 ‡ (a)
|
7,250
|
4,342
|
Series 2020-B21, Class E, 2.00%, 12/17/2053 ‡ (a)
|
2,500
|
1,318
|
Series 2019-B14, Class E, 2.50%, 12/15/2062 ‡ (a)
|
3,000
|
1,794
|
Series 2019-B15, Class E, 2.75%, 12/15/2072 ‡ (a)
|
9,150
|
5,381
|
BMD2 Re-Remic Trust
|
|
|
Series 2019-FRR1, Class 4A, PO, 5/25/2052 (a)
|
5,000
|
3,125
|
Series 2019-FRR1, Class 1A1, 6.52%, 5/25/2052 (a) (i)
|
3,868
|
3,847
|
Series 2019-FRR1, Class 1A5, 8.22%, 5/25/2052 (a) (i)
|
2,138
|
2,125
|
BMD2 Re-REMIC Trust
|
|
|
Series 2019-FRR1, Class 2B10, PO, 5/25/2052 (a)
|
22,815
|
19,164
|
Series 2019-FRR1, Class 3AB, PO, 5/25/2052 (a)
|
10,499
|
6,232
|
BX
|
|
|
Series 2021-MFM1, Class E, 6.12%, 1/15/2034 ‡ (a) (i)
|
3,250
|
3,009
|
Series 2021-MFM1, Class F, 6.87%, 1/15/2034 ‡ (a) (i)
|
2,000
|
1,848
|
BX Commercial Mortgage Trust
|
|
|
Series 2020-VIV4, Class X, IO, 0.82%, 11/10/2042 (a) (i)
|
211,200
|
8,818
|
Series 2020-VIV4, Class A, 2.84%, 3/9/2044 (a)
|
15,000
|
12,060
|
Series 2020-VIV2, Class C, 3.66%, 3/9/2044 (a) (i)
|
10,175
|
7,970
|
Series 2020-VIVA, Class D, 3.67%, 3/11/2044 ‡ (a) (i)
|
11,000
|
8,087
|
BX Trust Series 2022-PSB, Class E, 10.13%, 8/15/2039 ‡ (a) (i)
|
7,376
|
7,314
|
California Housing Finance Agency Series 2021-2, Class X, IO, 0.82%, 3/25/2035 (i)
|
64,084
|
3,648
|
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E, 2.50%, 11/15/2052 ‡ (a)
|
2,300
|
1,332
|
Cascade Funding Mortgage Trust
|
|
|
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 ‡ (a)
|
10,400
|
8,117
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-FRR1, Class CK45, 1.40%, 2/28/2025 ‡ (a) (i)
|
12,500
|
10,799
|
Series 2021-FRR1, Class CKW1, 0.00%, 1/29/2026 ‡ (a)
|
8,200
|
5,932
|
Series 2021-FRR1, Class BK54, 0.00%, 2/28/2026 ‡ (a)
|
20,000
|
14,241
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 ‡ (a)
|
6,700
|
4,728
|
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 ‡ (a)
|
2,500
|
1,778
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 ‡ (a)
|
6,970
|
3,710
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a)
|
8,000
|
4,930
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 ‡ (a)
|
14,000
|
7,581
|
Series 2021-FRR1, Class BK58, 2.48%, 9/29/2029 ‡ (a) (i)
|
11,000
|
9,064
|
CD Mortgage Trust
|
|
|
Series 2016-CD1, Class C, 3.63%, 8/10/2049 ‡ (i)
|
3,000
|
2,575
|
Series 2017-CD3, Class D, 3.25%, 2/10/2050 ‡ (a)
|
700
|
466
|
Series 2017-CD4, Class D, 3.30%, 5/10/2050 ‡ (a)
|
1,550
|
1,163
|
Series 2017-CD5, Class D, 3.35%, 8/15/2050 ‡ (a)
|
266
|
194
|
Series 2017-CD6, Class C, 4.37%, 11/13/2050 ‡ (i)
|
914
|
782
|
Series 2018-CD7, Class D, 3.26%, 8/15/2051 ‡ (a) (i)
|
1,629
|
1,127
|
Series 2019-CD8, Class XB, IO, 0.85%, 8/15/2057 (a) (i)
|
78,512
|
2,952
|
CFCRE Commercial Mortgage Trust
|
|
|
Series 2016-C6, Class B, 3.80%, 11/10/2049 ‡
|
1,000
|
885
|
Series 2016-C6, Class C, 4.33%, 11/10/2049 ‡ (i)
|
800
|
672
|
Series 2016-C6, Class D, 4.33%, 11/10/2049 ‡ (a) (i)
|
1,900
|
1,445
|
CGMS Commercial Mortgage Trust
|
|
|
Series 2017-B1, Class D, 3.00%, 8/15/2050 ‡ (a)
|
4,359
|
3,156
|
Series 2017-B1, Class E, 3.30%, 8/15/2050 ‡ (a) (i)
|
2,809
|
1,708
|
Citigroup Commercial Mortgage Trust
|
|
|
Series 2019-PRM, Class E, 4.89%, 5/10/2036 ‡ (a) (i)
|
4,500
|
4,467
|
Series 2012-GC8, Class D, 4.94%, 9/10/2045 ‡ (a) (i)
|
1,875
|
1,666
|
Series 2013-GC17, Class C, 5.25%, 11/10/2046 ‡ (i)
|
2,000
|
1,895
|
Series 2014-GC23, Class C, 4.58%, 7/10/2047 ‡ (i)
|
6,500
|
6,106
|
Series 2014-GC25, Class D, 3.55%, 10/10/2047 ‡ (a)
|
3,750
|
3,282
|
Series 2015-GC29, Class D, 3.11%, 4/10/2048 ‡ (a)
|
4,500
|
3,796
|
Series 2015-GC31, Class D, 4.17%, 6/10/2048 ‡ (i)
|
3,800
|
3,070
|
Series 2015-P1, Class D, 3.23%, 9/15/2048 ‡ (a)
|
2,285
|
1,894
|
Series 2016-P4, Class C, 4.10%, 7/10/2049 ‡ (i)
|
5,624
|
4,825
|
Series 2016-C2, Class D, 3.25%, 8/10/2049 ‡ (a) (i)
|
1,500
|
1,106
|
Series 2016-C2, Class C, 4.03%, 8/10/2049 ‡ (i)
|
7,434
|
6,411
|
Series 2017-P7, Class D, 3.25%, 4/14/2050 ‡ (a)
|
1,294
|
878
|
Series 2017-C4, Class D, 3.00%, 10/12/2050 ‡ (a)
|
5,453
|
3,923
|
Series 2019-GC43, Class E, 3.00%, 11/10/2052 ‡ (a)
|
5,287
|
3,382
|
Series 2020-GC46, Class E, 2.60%, 2/15/2053 ‡ (a)
|
4,500
|
2,737
|
Series 2019-GC41, Class B, 3.20%, 8/10/2056
|
3,000
|
2,437
|
Series 2015-GC33, Class D, 3.17%, 9/10/2058 ‡
|
8,000
|
6,333
|
Series 2015-GC33, Class E, 4.73%, 9/10/2058 ‡ (a) (i)
|
4,330
|
2,832
|
Commercial Mortgage Trust
|
|
|
Series 2020-CBM, Class D, 3.75%, 2/10/2037 ‡ (a) (i)
|
1,630
|
1,439
|
Series 2020-CBM, Class E, 3.75%, 2/10/2037 ‡ (a) (i)
|
2,670
|
2,287
|
Series 2020-CBM, Class F, 3.75%, 2/10/2037 ‡ (a) (i)
|
17,870
|
14,975
|
Series 2013-CR8, Class D, 4.03%, 6/10/2046 ‡ (a) (i)
|
750
|
710
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2013-CR13, Class E, 5.04%, 11/10/2046 ‡ (a) (i)
|
1,500
|
1,116
|
Series 2014-UBS2, Class D, 5.15%, 3/10/2047 ‡ (a) (i)
|
3,210
|
2,831
|
Series 2014-LC15, Class D, 5.17%, 4/10/2047 ‡ (a) (i)
|
3,500
|
3,226
|
Series 2014-CR19, Class E, 4.35%, 8/10/2047 ‡ (a) (i)
|
6,000
|
5,098
|
Series 2014-CR19, Class D, 4.85%, 8/10/2047 ‡ (a) (i)
|
2,500
|
2,256
|
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 ‡ (a)
|
4,760
|
3,904
|
Series 2014-LC17, Class D, 3.69%, 10/10/2047 ‡ (a)
|
25,708
|
22,659
|
Series 2014-CR21, Class D, 4.07%, 12/10/2047 ‡ (a) (i)
|
2,600
|
2,157
|
Series 2015-LC19, Class D, 2.87%, 2/10/2048 ‡ (a)
|
3,000
|
2,547
|
Series 2015-CR22, Class D, 4.21%, 3/10/2048 ‡ (a) (i)
|
4,174
|
3,620
|
Series 2015-CR23, Class D, 4.42%, 5/10/2048 ‡ (i)
|
1,490
|
1,256
|
Series 2015-LC21, Class E, 3.25%, 7/10/2048 ‡ (a)
|
3,000
|
1,997
|
Series 2015-LC21, Class D, 4.47%, 7/10/2048 ‡ (i)
|
4,200
|
3,569
|
Series 2015-CR24, Class D, 3.46%, 8/10/2048 ‡ (i)
|
1,458
|
1,200
|
Series 2015-CR25, Class D, 3.92%, 8/10/2048 ‡ (i)
|
1,000
|
810
|
Series 2015-CR27, Class D, 3.60%, 10/10/2048 ‡ (a) (i)
|
2,072
|
1,707
|
Series 2015-LC23, Class D, 3.72%, 10/10/2048 ‡ (a) (i)
|
2,000
|
1,707
|
Series 2015-LC23, Class E, 3.72%, 10/10/2048 ‡ (a) (i)
|
3,500
|
2,819
|
Series 2016-CR28, Class E, 4.26%, 2/10/2049 ‡ (a) (i)
|
3,588
|
2,933
|
Series 2016-DC2, Class C, 4.82%, 2/10/2049 ‡ (i)
|
2,500
|
2,259
|
Series 2016-COR1, Class XB, IO, 0.58%, 10/10/2049 (a) (i)
|
27,554
|
399
|
Series 2016-COR1, Class C, 4.47%, 10/10/2049 ‡ (i)
|
1,000
|
887
|
Series 2013-CR11, Class D, 5.28%, 8/10/2050 ‡ (a) (i)
|
3,402
|
3,249
|
Series 2018-COR3, Class D, 2.96%, 5/10/2051 ‡ (a) (i)
|
3,250
|
2,204
|
Series 2019-GC44, Class E, 2.50%, 8/15/2057 (a)
|
8,493
|
4,905
|
CSAIL Commercial Mortgage Trust
|
|
|
Series 2015-C4, Class E, 3.71%, 11/15/2048 ‡ (i)
|
3,298
|
2,712
|
Series 2016-C5, Class D, 3.79%, 11/15/2048 ‡ (a) (i)
|
2,750
|
2,101
|
Series 2018-CX11, Class C, 5.00%, 4/15/2051 ‡ (i)
|
6,734
|
5,837
|
Series 2019-C16, Class C, 4.24%, 6/15/2052 ‡ (i)
|
5,500
|
4,461
|
Series 2019-C17, Class D, 2.50%, 9/15/2052 ‡ (a)
|
5,500
|
3,412
|
Series 2019-C18, Class XB, IO, 0.25%, 12/15/2052 (i)
|
61,932
|
621
|
Series 2019-C18, Class XA, IO, 1.19%, 12/15/2052 (i)
|
51,677
|
2,432
|
Series 2021-C20, Class E, 2.25%, 3/15/2054 ‡ (a)
|
5,659
|
3,137
|
Series 2015-C2, Class B, 4.21%, 6/15/2057 ‡ (i)
|
9,468
|
8,406
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a)
|
12,636
|
9,703
|
DBGS Mortgage Trust Series 2018-C1, Class D, 3.03%, 10/15/2051 ‡ (a) (i)
|
1,000
|
716
|
DBJPM Mortgage Trust
|
|
|
Series 2016-C3, Class D, 3.61%, 8/10/2049 ‡ (a) (i)
|
2,950
|
2,139
|
Series 2016-C3, Class E, 4.36%, 8/10/2049 ‡ (a) (i)
|
1,250
|
839
|
Series 2017-C6, Class D, 3.32%, 6/10/2050 ‡ (a) (i)
|
1,800
|
1,340
|
FHLMC Multiclass Certificates
|
|
|
Series 2020-RR11, Class BX, IO, 2.44%, 12/27/2028 (i)
|
15,068
|
1,389
|
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029
|
38,620
|
3,886
|
Series 2020-RR06, Class BX, IO, 1.84%, 5/27/2033 (i)
|
20,000
|
2,429
|
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (i)
|
31,381
|
5,156
|
Series 2021-P011, Class X1, IO, 1.80%, 9/25/2045 (i)
|
10,277
|
1,305
|
FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.55%, 2/25/2040 (a) (i)
|
56,675
|
7,515
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
FHLMC, Multi-Family Structured Credit Risk
|
|
|
Series 2021-MN2, Class M2, 6.90%, 7/25/2041 (a) (i)
|
14,070
|
12,104
|
Series 2021-MN2, Class B1, 9.05%, 7/25/2041 (a) (i)
|
2,000
|
1,609
|
Series 2021-MN1, Class M1, 5.55%, 1/25/2051 (a) (i)
|
803
|
749
|
Series 2021-MN1, Class M2, 7.30%, 1/25/2051 (a) (i)
|
14,640
|
13,034
|
Series 2021-MN1, Class B1, 11.30%, 1/25/2051 (a) (i)
|
2,100
|
1,955
|
Series 2021-MN3, Class B1, 10.37%, 11/25/2051 (a) (i)
|
3,500
|
3,020
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series K033, Class X1, IO, 0.40%, 7/25/2023 (i)
|
6,168
|
8
|
Series K729, Class X1, IO, 0.47%, 10/25/2024 (i)
|
16,502
|
80
|
Series KC03, Class X1, IO, 0.63%, 11/25/2024 (i)
|
95,118
|
957
|
Series K731, Class X3, IO, 2.18%, 5/25/2025 (i)
|
11,529
|
561
|
Series K733, Class X3, IO, 2.26%, 1/25/2026 (i)
|
17,500
|
931
|
Series KC06, Class X1, IO, 1.01%, 6/25/2026 (i)
|
37,443
|
703
|
Series K734, Class X3, IO, 2.24%, 7/25/2026 (i)
|
33,910
|
2,123
|
Series K737, Class X1, IO, 0.75%, 10/25/2026 (i)
|
146,656
|
2,794
|
Series KC04, Class X1, IO, 1.41%, 12/25/2026 (i)
|
47,615
|
1,387
|
Series K064, Class X3, IO, 2.21%, 5/25/2027 (i)
|
18,830
|
1,438
|
Series KC05, Class X1, IO, 1.35%, 6/25/2027 (i)
|
104,005
|
3,205
|
Series K740, Class X1, IO, 0.84%, 9/25/2027 (i)
|
14,908
|
438
|
Series K741, Class X1, IO, 0.66%, 12/25/2027 (i)
|
52,374
|
1,236
|
Series K742, Class X1, IO, 0.87%, 3/25/2028 (i)
|
28,984
|
829
|
Series K742, Class X3, IO, 2.69%, 4/25/2028 (i)
|
16,000
|
1,753
|
Series K075, Class X3, IO, 2.20%, 5/25/2028 (i)
|
5,471
|
500
|
Series K080, Class X1, IO, 0.26%, 7/25/2028 (i)
|
83,959
|
648
|
Series K745, Class X1, IO, 0.77%, 8/25/2028 (i)
|
15
|
—
|
Series K086, Class X1, IO, 0.39%, 11/25/2028 (i)
|
31,060
|
412
|
Series K084, Class X3, IO, 2.31%, 11/25/2028 (i)
|
19,450
|
2,076
|
Series K090, Class X1, IO, 0.85%, 2/25/2029 (i)
|
7
|
—
|
Series K096, Class X3, IO, 2.11%, 7/25/2029 (i)
|
48,669
|
4,958
|
Series K100, Class X1, IO, 0.77%, 9/25/2029 (i)
|
177,226
|
6,449
|
Series K101, Class X3, IO, 1.95%, 10/25/2029 (i)
|
101,000
|
10,162
|
Series K090, Class X3, IO, 2.39%, 10/25/2029 (i)
|
152,080
|
17,296
|
Series K109, Class X1, IO, 1.70%, 4/25/2030 (i)
|
17,912
|
1,573
|
Series K111, Class X1, IO, 1.68%, 5/25/2030 (i)
|
19,903
|
1,785
|
Series K115, Class X1, IO, 1.43%, 6/25/2030 (i)
|
4,600
|
355
|
Series K113, Class X1, IO, 1.48%, 6/25/2030 (i)
|
63,766
|
5,131
|
Series K116, Class X1, IO, 1.53%, 7/25/2030 (i)
|
5
|
—
|
Series K121, Class XAM, IO, 1.29%, 11/25/2030 (i)
|
21,236
|
1,608
|
Series K124, Class XAM, IO, 1.03%, 1/25/2031 (i)
|
17,689
|
1,075
|
Series K129, Class XAM, IO, 1.33%, 5/25/2031 (i)
|
23,800
|
1,923
|
Series K129, Class X3, IO, 3.28%, 5/25/2031 (i)
|
34,500
|
6,732
|
Series K130, Class X1, IO, 1.14%, 6/25/2031 (i)
|
5
|
—
|
Series K131, Class X1, IO, 0.83%, 7/25/2031 (i)
|
3
|
—
|
Series K131, Class X3, IO, 3.05%, 9/25/2031 (i)
|
19,369
|
3,583
|
Series K159, Class X1, IO, 0.26%, 11/25/2033 (i)
|
56,333
|
649
|
Series KX04, Class XFX, IO, 1.82%, 1/25/2034 (i)
|
82,014
|
5,853
|
Series K-1511, Class X3, IO, 3.54%, 4/25/2034 (i)
|
10,261
|
2,605
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series K723, Class X3, IO, 1.97%, 10/25/2034 (i)
|
6,842
|
105
|
Series K-1515, Class X1, IO, 1.64%, 2/25/2035 (i)
|
19,911
|
2,396
|
Series K153, Class X3, IO, 3.91%, 4/25/2035 (i)
|
9,945
|
2,392
|
Series K-1516, Class X1, IO, 1.63%, 5/25/2035 (i)
|
9
|
1
|
Series Q012, Class X, IO, 4.13%, 9/25/2035 (i)
|
33,343
|
6,538
|
Series K-1518, Class X1, IO, 0.96%, 10/25/2035 (i)
|
41,045
|
2,964
|
Series K155, Class X3, IO, 3.23%, 5/25/2036 (i)
|
5,560
|
1,246
|
Series K-1521, Class X1, IO, 1.10%, 8/25/2036 (i)
|
17,993
|
1,515
|
Series K-1510, Class X3, IO, 3.52%, 1/25/2037 (i)
|
27,488
|
6,759
|
Series K-1517, Class X3, IO, 3.40%, 8/25/2038 (i)
|
15,750
|
4,115
|
Series K-1518, Class X3, IO, 3.00%, 10/25/2038 (i)
|
26,265
|
6,249
|
Series K-1516, Class X3, IO, 3.57%, 10/25/2038 (i)
|
22,000
|
5,555
|
Series K-1519, Class X3, IO, 2.90%, 12/25/2038 (i)
|
17,700
|
4,088
|
Series K-1520, Class X3, IO, 3.20%, 4/25/2039 (i)
|
19,000
|
4,839
|
Series K-1521, Class X3, IO, 3.47%, 9/25/2039 (i)
|
10,834
|
3,108
|
Series K036, Class X3, IO, 2.18%, 12/25/2041 (i)
|
3,253
|
60
|
Series K041, Class X3, IO, 1.70%, 11/25/2042 (i)
|
4,580
|
119
|
Series K054, Class X3, IO, 1.65%, 4/25/2043 (i)
|
2,745
|
116
|
Series K047, Class X3, IO, 1.55%, 6/25/2043 (i)
|
3,400
|
113
|
Series K050, Class X3, IO, 1.61%, 10/25/2043 (i)
|
5,232
|
188
|
Series K051, Class X3, IO, 1.67%, 10/25/2043 (i)
|
4,995
|
193
|
Series K052, Class X3, IO, 1.67%, 1/25/2044 (i)
|
2,915
|
119
|
Series K726, Class X3, IO, 2.22%, 7/25/2044 (i)
|
36,795
|
1,033
|
Series K067, Class X3, IO, 2.19%, 9/25/2044 (i)
|
8,580
|
691
|
Series K727, Class X3, IO, 2.07%, 10/25/2044 (i)
|
15,000
|
447
|
Series K068, Class X3, IO, 2.13%, 10/25/2044 (i)
|
19,730
|
1,564
|
Series K059, Class X3, IO, 1.98%, 11/25/2044 (i)
|
8,000
|
498
|
Series K729, Class X3, IO, 2.03%, 11/25/2044 (i)
|
21,410
|
683
|
Series K724, Class X3, IO, 1.93%, 12/25/2044 (i)
|
4,930
|
84
|
Series K070, Class X3, IO, 2.11%, 12/25/2044 (i)
|
42,245
|
3,481
|
Series K730, Class X3, IO, 2.10%, 2/25/2045 (i)
|
47,270
|
1,753
|
Series K065, Class X3, IO, 2.26%, 7/25/2045 (i)
|
13,305
|
1,047
|
Series K728, Class X3, IO, 2.02%, 11/25/2045 (i)
|
8,775
|
321
|
Series K071, Class X3, IO, 2.08%, 11/25/2045 (i)
|
12,470
|
1,021
|
Series K072, Class X3, IO, 2.21%, 12/25/2045 (i)
|
20,640
|
1,811
|
Series K089, Class X3, IO, 2.38%, 1/25/2046 (i)
|
132,506
|
15,039
|
Series K087, Class X3, IO, 2.40%, 1/25/2046 (i)
|
89,384
|
9,798
|
Series K091, Class X3, IO, 2.36%, 4/25/2046 (i)
|
81,933
|
9,498
|
Series K078, Class X3, IO, 2.29%, 6/25/2046 (i)
|
2,680
|
264
|
Series K079, Class X3, IO, 2.33%, 7/25/2046 (i)
|
9,000
|
911
|
Series K097, Class X3, IO, 2.09%, 9/25/2046 (i)
|
93,876
|
9,773
|
Series K081, Class X3, IO, 2.31%, 9/25/2046 (i)
|
29,425
|
3,045
|
Series K082, Class X3, IO, 2.29%, 10/25/2046 (i)
|
27,200
|
2,772
|
Series K083, Class X3, IO, 2.37%, 11/25/2046 (i)
|
15,000
|
1,602
|
Series K103, Class X3, IO, 1.91%, 12/25/2046 (i)
|
80,100
|
7,928
|
Series K102, Class X3, IO, 1.96%, 12/25/2046 (i)
|
69,791
|
6,965
|
Series K104, Class X3, IO, 1.96%, 2/25/2047 (i)
|
45,985
|
4,737
|
Series K088, Class X3, IO, 2.43%, 2/25/2047 (i)
|
104,287
|
12,055
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series K735, Class X3, IO, 2.23%, 5/25/2047 (i)
|
40,000
|
2,480
|
Series K093, Class X3, IO, 2.28%, 5/25/2047 (i)
|
136,528
|
15,191
|
Series K092, Class X3, IO, 2.33%, 5/25/2047 (i)
|
91,000
|
10,330
|
Series K094, Class X3, IO, 2.20%, 7/25/2047 (i)
|
35,331
|
3,864
|
Series K095, Class X3, IO, 2.17%, 8/25/2047 (i)
|
91,253
|
9,841
|
Series K736, Class X3, IO, 2.08%, 9/25/2047 (i)
|
89,230
|
5,410
|
Series K116, Class X3, IO, 3.12%, 9/25/2047 (i)
|
23,000
|
3,950
|
Series K099, Class X3, IO, 2.02%, 10/25/2047 (i)
|
49,100
|
4,986
|
Series K098, Class X3, IO, 2.07%, 10/25/2047 (i)
|
145,702
|
14,924
|
Series K740, Class X3, IO, 2.57%, 11/25/2047 (i)
|
21,423
|
2,071
|
Series K737, Class X3, IO, 1.83%, 1/25/2048 (i)
|
74,853
|
4,328
|
Series K106, Class X3, IO, 1.99%, 3/25/2048 (i)
|
100,622
|
10,506
|
Series K105, Class X3, IO, 2.04%, 3/25/2048 (i)
|
118,746
|
12,938
|
Series K111, Class X3, IO, 3.29%, 4/25/2048 (i)
|
52,234
|
9,355
|
Series K108, Class X3, IO, 3.61%, 4/25/2048 (i)
|
75,067
|
14,323
|
Series K738, Class X3, IO, 3.43%, 5/25/2048 (i)
|
71,537
|
8,212
|
Series K109, Class X3, IO, 3.50%, 5/25/2048 (i)
|
17,170
|
3,212
|
Series K110, Class X3, IO, 3.52%, 6/25/2048 (i)
|
28,200
|
5,316
|
Series K112, Class X3, IO, 3.11%, 7/25/2048 (i)
|
47,630
|
7,832
|
Series K114, Class X3, IO, 2.83%, 8/25/2048 (i)
|
10,750
|
1,635
|
Series K130, Class X3, IO, 3.20%, 8/25/2048 (i)
|
7,934
|
1,535
|
Series K117, Class X3, IO, 2.97%, 10/25/2048 (i)
|
36,500
|
6,056
|
Series K120, Class X3, IO, 2.83%, 11/25/2048 (i)
|
38,372
|
6,125
|
Series K121, Class X3, IO, 2.87%, 11/25/2048 (i)
|
48,007
|
7,847
|
Series K739, Class X3, IO, 2.90%, 11/25/2048 (i)
|
39,675
|
4,235
|
Series K122, Class X3, IO, 2.72%, 1/25/2049 (i)
|
36,631
|
5,587
|
Series K743, Class X3, IO, 3.06%, 6/25/2049 (i)
|
5,000
|
640
|
Series Q014, Class X, IO, 2.79%, 10/25/2055 (i)
|
5,541
|
1,047
|
FNMA ACES
|
|
|
Series 2015-M1, Class X2, IO, 0.60%, 9/25/2024 (i)
|
19,516
|
141
|
Series 2016-M12, Class X2, IO, 0.03%, 9/25/2026 (i)
|
72,307
|
41
|
Series 2019-M28, Class XAV3, IO, 1.28%, 2/25/2027 (i)
|
33,450
|
1,000
|
Series 2017-M8, Class X, IO, 0.20%, 5/25/2027 (i)
|
49,053
|
182
|
Series 2020-M10, Class X7, IO, 1.81%, 11/25/2027 (i)
|
40,022
|
2,692
|
Series 2020-M26, Class X3, IO, 1.82%, 1/25/2028 (i)
|
27,892
|
1,572
|
Series 2020-M4, Class 1X2, IO, 0.84%, 2/25/2028 (i)
|
14,300
|
453
|
Series 2020-M4, Class 1X3, IO, 1.12%, 2/25/2028 (i)
|
78,406
|
3,331
|
Series 2020-M33, Class X, IO, 2.00%, 6/25/2028 (i)
|
29,540
|
1,999
|
Series 2019-M30, Class X4, IO, 1.07%, 8/25/2028 (i)
|
40,396
|
964
|
Series 2020-M10, Class X6, IO, 1.50%, 8/25/2028 (i)
|
18,181
|
1,186
|
Series 2019-M31, Class X, IO, 1.42%, 9/25/2028 (i)
|
31,557
|
1,759
|
Series 2019-M30, Class X1, IO, 0.38%, 11/25/2028 (i)
|
91,191
|
1,051
|
Series 2020-M10, Class X3, IO, 1.41%, 11/25/2028 (i)
|
62,186
|
3,710
|
Series 2020-M10, Class X5, IO, 1.55%, 11/25/2028 (i)
|
55,462
|
3,785
|
Series 2019-M12, Class X, IO, 0.70%, 6/25/2029 (i)
|
149,805
|
3,219
|
Series 2019-M19, Class X2, IO, 0.74%, 9/25/2029 (i)
|
86,563
|
2,925
|
Series 2019-M32, Class X2, IO, 1.22%, 10/25/2029 (i)
|
28,499
|
1,598
|
Series 2019-M30, Class X2, IO, 0.18%, 12/25/2029 (i)
|
101,355
|
354
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2020-M3, Class X1, IO, 0.45%, 2/25/2030 (i)
|
17,828
|
380
|
Series 2019-M28, Class XA2, IO, 0.65%, 2/25/2030 (i)
|
23,653
|
678
|
Series 2019-M28, Class XA3, IO, 1.04%, 2/25/2030 (i)
|
42,243
|
1,979
|
Series 2020-M6, Class XD, IO, 1.13%, 2/25/2030 (i)
|
8,121
|
375
|
Series 2020-M19, Class X1, IO, 0.52%, 5/25/2030 (i)
|
29,585
|
696
|
Series 2020-M7, Class X, IO, 1.12%, 7/25/2030 (i)
|
34,753
|
1,817
|
Series 2020-M10, Class X1, IO, 1.91%, 12/25/2030 (i)
|
109,378
|
11,261
|
Series 2021-M16, Class X, IO, 0.77%, 1/1/2031 (i)
|
118,583
|
3,477
|
Series 2019-M21, Class X2, IO, 1.42%, 2/25/2031 (i)
|
73,561
|
5,760
|
Series 2020-M22, Class X, IO, 0.99%, 3/25/2031 (i)
|
76,852
|
3,646
|
Series 2020-M39, Class X2, IO, 1.66%, 8/25/2031 (i)
|
42,628
|
2,858
|
Series 2022-M2, Class X2, IO, 0.30%, 1/25/2032 (i)
|
66,116
|
1,013
|
Series 2020-M21, Class XA, IO, 1.15%, 3/25/2032 (i)
|
71,632
|
4,981
|
Series 2020-M26, Class X1, IO, 0.69%, 4/25/2032 (i)
|
23,387
|
826
|
Series 2020-M47, Class X1, IO, 0.73%, 10/25/2032 (i)
|
64,378
|
1,868
|
Series 2020-M31, Class X1, IO, 0.96%, 10/25/2032 (i)
|
94,273
|
3,362
|
Series 2019-M30, Class X5, IO, 0.42%, 5/25/2033 (i)
|
129,006
|
2,418
|
Series 2019-M31, Class X1, IO, 1.18%, 4/25/2034 (i)
|
40,008
|
2,941
|
Series 2018-M15, Class X, IO, 0.81%, 1/25/2036 (i)
|
8,344
|
303
|
Series 2020-M6, Class XL, IO, 1.21%, 11/25/2049 (i)
|
32,313
|
1,135
|
FNMA, Multi-Family REMIC Trust Series 2020-M37, Class X, IO, 1.13%, 4/25/2032 (i)
|
93,242
|
5,124
|
FREMF Mortgage Trust
|
|
|
Series 2017-KF29, Class B, 7.35%, 2/25/2024 (a) (i)
|
110
|
110
|
Series 2017-KF32, Class B, 6.35%, 5/25/2024 (a) (i)
|
219
|
217
|
Series 2017-KF35, Class B, 6.55%, 8/25/2024 (a) (i)
|
128
|
125
|
Series 2017-KF38, Class B, 6.30%, 9/25/2024 (a) (i)
|
172
|
169
|
Series 2017-KF41, Class B, 6.30%, 11/25/2024 (a) (i)
|
125
|
124
|
Series 2018-KL2B, Class CB, 3.83%, 1/25/2025 (a) (i)
|
15,000
|
14,964
|
Series 2018-KF49, Class B, 5.70%, 6/25/2025 (a) (i)
|
244
|
230
|
Series 2018-KC02, Class B, 4.23%, 7/25/2025 (a) (i)
|
2,520
|
2,329
|
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (i)
|
15,000
|
13,532
|
Series 2018-KF51, Class C, 9.80%, 8/25/2025 (a) (i)
|
5,605
|
5,556
|
Series 2017-KL1P, Class BP, 3.48%, 10/25/2025 (a) (i)
|
11,000
|
10,413
|
Series 2019-KL4F, Class BAS, 4.44%, 10/25/2025 (a) (i)
|
7,998
|
7,378
|
Series 2018-KF53, Class B, 5.85%, 10/25/2025 (i)
|
492
|
488
|
Series 2018-KSL1, Class C, 3.83%, 11/25/2025 (a) (i)
|
15,000
|
13,273
|
Series 2018-KBX1, Class C, 3.69%, 1/25/2026 (a) (i)
|
7,500
|
6,042
|
Series 2019-KC03, Class B, 4.52%, 1/25/2026 (a) (i)
|
7,000
|
6,529
|
Series 2019-KF58, Class B, 5.95%, 1/25/2026 (a) (i)
|
338
|
309
|
Series 2019-KC06, Class B, 3.95%, 9/25/2026 (a) (i)
|
7,609
|
6,740
|
Series 2016-KF24, Class B, 8.80%, 10/25/2026 (a) (i)
|
76
|
77
|
Series 2020-KF74, Class B, 5.95%, 1/25/2027 (a) (i)
|
2,110
|
2,091
|
Series 2017-KL1E, Class BE, 4.04%, 2/25/2027 (a) (i)
|
9,625
|
8,087
|
Series 2017-KF33, Class B, 6.35%, 6/25/2027 (a) (i)
|
3,885
|
4,091
|
Series 2017-KF40, Class B, 6.50%, 11/25/2027 (a) (i)
|
124
|
122
|
Series 2018-KHG1, Class C, 3.94%, 12/25/2027 (a) (i)
|
26,000
|
22,570
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (a)
|
12,000
|
7,942
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (a)
|
140,682
|
486
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (a)
|
16,000
|
70
|
Series 2018-KW06, Class B, 4.38%, 6/25/2028 (a) (i)
|
6,326
|
5,777
|
Series 21K-F116, Class CS, 9.44%, 6/25/2028 (a) (i)
|
42,903
|
43,219
|
Series 2018-KF50, Class B, 5.70%, 7/25/2028 (a) (i)
|
145
|
143
|
Series 2021-KHG3, Class BFX, 2.48%, 9/25/2028 (a) (i)
|
11,071
|
9,033
|
Series 2018-KSW4, Class C, 8.80%, 10/25/2028 (i)
|
4,605
|
4,309
|
Series 2018-KF56, Class B, 6.25%, 11/25/2028 (a) (i)
|
711
|
700
|
Series 2019-KW08, Class B, 4.39%, 1/25/2029 (a) (i)
|
16,320
|
14,850
|
Series 2019-KF57, Class B, 6.05%, 1/25/2029 (a) (i)
|
1,464
|
1,421
|
Series 2019-KBF3, Class C, 8.55%, 1/25/2029 (a) (i)
|
9,049
|
8,467
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)
|
10,000
|
8,496
|
Series 2019-KL05, Class BHG, 4.52%, 2/25/2029 (a) (i)
|
3,600
|
3,190
|
Series 2019-KF59, Class B, 6.15%, 2/25/2029 (a) (i)
|
532
|
514
|
Series 2019-KG01, Class B, 4.31%, 4/25/2029 (a) (i)
|
3,000
|
2,674
|
Series 2019-KF61, Class B, 6.00%, 4/25/2029 (a) (i)
|
2,882
|
2,861
|
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a)
|
258,655
|
1,099
|
Series 2019-KW09, Class B, 4.15%, 5/25/2029 (a) (i)
|
15,670
|
13,731
|
Series 2019-KF63, Class B, 6.15%, 5/25/2029 (a) (i)
|
4,964
|
4,927
|
Series 2019-KW09, Class C, PO, 6/25/2029 (a)
|
22,210
|
13,341
|
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a)
|
20,000
|
96
|
Series 2019-KC05, Class B, 4.30%, 7/25/2029 (a) (i)
|
16,737
|
14,028
|
Series 2019-KF65, Class B, 6.20%, 7/25/2029 (a) (i)
|
3,865
|
3,330
|
Series 2019-KF66, Class B, 6.20%, 7/25/2029 (a) (i)
|
2,712
|
2,648
|
Series 2019-KF67, Class B, 6.05%, 8/25/2029 (a) (i)
|
3,405
|
3,373
|
Series 2019-KF70, Class B, 6.10%, 9/25/2029 (a) (i)
|
1,110
|
1,101
|
Series 2019-KF71, Class B, 6.10%, 10/25/2029 (a) (i)
|
3,725
|
3,557
|
Series 2019-KF73, Class B, 6.25%, 11/25/2029 (a) (i)
|
8,946
|
8,876
|
Series 2020-KF75, Class B, 6.05%, 12/25/2029 (a) (i)
|
2,907
|
2,753
|
Series 2020-KF76, Class B, 6.55%, 1/25/2030 (a) (i)
|
2,247
|
2,143
|
Series 2018-KW07, Class C, PO, 10/25/2031 (a)
|
12,089
|
7,709
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (a)
|
149,115
|
535
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (a)
|
16,500
|
75
|
Series 2018-KW07, Class B, 4.22%, 10/25/2031 (a) (i)
|
1,000
|
817
|
Series 2017-K153, Class B, PO, 4/25/2032 (a)
|
8,000
|
3,643
|
Series 2018-K158, Class B, 4.42%, 10/25/2033 (a) (i)
|
1,750
|
1,521
|
Series 19K-1510, Class X2B, IO, 0.10%, 1/25/2034 (a)
|
81,410
|
609
|
Series 2018-K156, Class X2A, IO, 0.10%, 7/25/2036 (a)
|
148,981
|
1,017
|
Series 2016-K53, Class B, 4.16%, 3/25/2049 (a) (i)
|
69
|
65
|
Series 2017-K61, Class C, 3.82%, 12/25/2049 (a) (i)
|
1,000
|
908
|
Series 2017-K70, Class C, 3.94%, 12/25/2049 (a) (i)
|
3,000
|
2,704
|
Series 2017-K728, Class B, 3.77%, 11/25/2050 (a) (i)
|
250
|
240
|
Series 2017-K728, Class C, 3.77%, 11/25/2050 (a) (i)
|
105
|
100
|
Series 2019-K734, Class C, 4.19%, 2/25/2051 (a) (i)
|
4,150
|
3,867
|
Series 2018-K75, Class D, PO, 4/25/2051 (a)
|
30,000
|
18,992
|
Series 2018-K75, Class X2A, IO, 0.10%, 4/25/2051 (a)
|
486,759
|
1,760
|
Series 2018-K75, Class X2B, IO, 0.10%, 4/25/2051 (a)
|
114,000
|
452
|
Series 2020-K737, Class B, 3.42%, 1/25/2053 (a) (i)
|
3,750
|
3,420
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
FRR Re-REMIC Trust
|
|
|
Series 2018-C1, Class CK43, PO, 2/27/2048 ‡ (a)
|
9,400
|
7,721
|
Series 2018-C1, Class BK43, 2.81%, 2/27/2048 ‡ (a) (i)
|
12,434
|
11,269
|
Series 2018-C1, Class A725, 2.59%, 2/27/2050 (a) (i)
|
1,000
|
936
|
Series 2018-C1, Class B725, 2.95%, 2/27/2050 ‡ (a) (i)
|
2,225
|
2,047
|
GNMA
|
|
|
Series 2012-88, Class DI, IO, 0.50%, 8/16/2046 (i)
|
7,872
|
56
|
Series 2013-72, IO, 0.57%, 11/16/2047 (i)
|
35,156
|
489
|
Series 2014-9, IO, 0.30%, 2/16/2048 (i)
|
10,229
|
78
|
Series 2014-172, IO, 0.44%, 1/16/2049 (i)
|
18,632
|
269
|
Series 2015-48, IO, 0.91%, 2/16/2050 (i)
|
337
|
8
|
Series 2013-15, IO, 0.55%, 8/16/2051 (i)
|
5,832
|
101
|
Series 2013-80, IO, 0.73%, 3/16/2052 (i)
|
6,130
|
93
|
Series 2013-35, IO, 0.33%, 1/16/2053 (i)
|
7,007
|
52
|
Series 2012-125, IO, 0.17%, 2/16/2053 (i)
|
15,545
|
70
|
Series 2013-7, IO, 0.30%, 5/16/2053 (i)
|
51,651
|
425
|
Series 2012-89, IO, 0.15%, 12/16/2053 (i)
|
9,535
|
13
|
Series 2012-115, IO, 0.38%, 4/16/2054 (i)
|
27,204
|
257
|
Series 2014-124, Class IE, IO, 0.36%, 5/16/2054 (i)
|
8,370
|
95
|
Series 2013-48, IO, 0.35%, 7/16/2054 (i)
|
4,752
|
52
|
Series 2014-130, Class IB, IO, 0.24%, 8/16/2054 (i)
|
712
|
7
|
Series 2014-186, IO, 0.37%, 8/16/2054 (i)
|
1,376
|
15
|
Series 2013-194, IO, 0.37%, 9/16/2054 (i)
|
6,008
|
55
|
Series 2015-104, IO, 0.10%, 5/16/2055 (i)
|
7,847
|
76
|
Series 2013-178, IO, 0.04%, 6/16/2055 (i)
|
16,488
|
58
|
Series 2016-102, IO, 0.66%, 10/16/2055 (i)
|
8,339
|
190
|
Series 2014-135, IO, 0.42%, 1/16/2056 (i)
|
31,220
|
579
|
Series 2015-59, IO, 0.89%, 6/16/2056 (i)
|
7,116
|
206
|
Series 2016-97, IO, 0.96%, 7/16/2056 (i)
|
15,937
|
694
|
Series 137, IO, 0.52%, 10/16/2056 (i)
|
7,128
|
208
|
Series 2016-143, IO, 0.86%, 10/16/2056
|
16,106
|
662
|
Series 2017-53, IO, 0.53%, 11/16/2056 (i)
|
19,172
|
645
|
Series 2017-76, IO, 0.79%, 12/16/2056 (i)
|
7,004
|
299
|
Series 2014-110, IO, 0.18%, 1/16/2057 (i)
|
6,468
|
64
|
Series 2014-89, IO, 0.31%, 1/16/2057 (i)
|
10,444
|
144
|
Series 2016-177, IO, 0.52%, 1/16/2057 (i)
|
23,244
|
616
|
Series 2015-114, IO, 0.37%, 3/15/2057 (i)
|
51,817
|
852
|
Series 2015-172, IO, 0.62%, 3/16/2057 (i)
|
6,846
|
156
|
Series 2017-72, IO, 0.63%, 4/16/2057 (i)
|
36,951
|
1,448
|
Series 2016-13, IO, 0.77%, 4/16/2057 (i)
|
8,575
|
269
|
Series 2015-188, IO, 0.30%, 7/16/2057 (i)
|
23,647
|
333
|
Series 2015-115, IO, 0.48%, 7/16/2057 (i)
|
2,675
|
58
|
Series 2016-40, IO, 0.61%, 7/16/2057 (i)
|
20,038
|
469
|
Series 2016-36, IO, 0.69%, 8/16/2057 (i)
|
4,689
|
135
|
Series 2017-146, IO, 0.51%, 9/16/2057 (i)
|
20,130
|
631
|
Series 2017-151, IO, 0.75%, 9/16/2057 (i)
|
10,344
|
415
|
Series 2017-173, IO, 0.81%, 9/16/2057 (i)
|
8,138
|
351
|
Series 2016-105, IO, 0.69%, 10/16/2057 (i)
|
7,592
|
249
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 64, IO, 0.74%, 11/16/2057 (i)
|
28,437
|
1,277
|
Series 2016-157, IO, 0.89%, 11/16/2057 (i)
|
18,462
|
804
|
Series 2016-71, Class QI, IO, 0.94%, 11/16/2057 (i)
|
42,154
|
1,754
|
Series 2016-56, IO, 1.00%, 11/16/2057 (i)
|
15,627
|
660
|
Series 2016-133, IO, 0.75%, 12/16/2057 (i)
|
24,942
|
761
|
Series 2016-96, IO, 0.77%, 12/16/2057 (i)
|
24,155
|
861
|
Series 2016-94, IO, 0.83%, 12/16/2057 (i)
|
1,886
|
63
|
Series 2016-35, IO, 0.71%, 3/16/2058 (i)
|
10,835
|
370
|
Series 2016-130, IO, 0.77%, 3/16/2058 (i)
|
22,547
|
751
|
Series 2016-92, IO, 0.59%, 4/16/2058 (i)
|
398
|
12
|
Series 2016-119, IO, 0.77%, 4/16/2058 (i)
|
71,562
|
2,182
|
Series 2016-151, IO, 0.85%, 6/16/2058 (i)
|
49,152
|
1,909
|
Series 2017-41, IO, 0.60%, 7/16/2058 (i)
|
6,052
|
178
|
Series 2016-87, IO, 0.66%, 8/16/2058 (i)
|
17,382
|
500
|
Series 2017-16, IO, 0.49%, 9/16/2058 (i)
|
14,735
|
348
|
Series 2017-3, IO, 0.55%, 9/16/2058 (i)
|
20,734
|
582
|
Series 2016-175, IO, 0.70%, 9/16/2058 (i)
|
15,560
|
525
|
Series 2017-81, IO, 0.66%, 12/16/2058 (i)
|
4,920
|
182
|
Series 2017-54, IO, 0.68%, 12/16/2058 (i)
|
5,367
|
208
|
Series 2017-70, IO, 0.40%, 2/16/2059 (i)
|
4,625
|
154
|
Series 2018-45, IO, 0.54%, 3/16/2059 (i)
|
14,191
|
533
|
Series 2017-105, IO, 0.53%, 5/16/2059 (i)
|
15,853
|
608
|
Series 2017-23, IO, 0.61%, 5/16/2059 (i)
|
11,293
|
398
|
Series 2017-35, IO, 0.64%, 5/16/2059 (i)
|
8,003
|
307
|
Series 2017-51, IO, 0.65%, 5/16/2059 (i)
|
5,332
|
196
|
Series 2017-86, IO, 0.68%, 5/16/2059 (i)
|
3,528
|
136
|
Series 2017-148, IO, 0.56%, 7/16/2059 (i)
|
13,875
|
479
|
Series 2017-69, IO, 0.67%, 7/16/2059 (i)
|
5,409
|
209
|
Series 2017-126, IO, 0.64%, 8/16/2059 (i)
|
23,751
|
889
|
Series 2017-171, IO, 0.65%, 9/16/2059 (i)
|
2,272
|
90
|
Series 2018-57, IO, 0.44%, 10/16/2059 (i)
|
67,391
|
2,405
|
Series 2018-4, IO, 0.56%, 10/16/2059 (i)
|
4,800
|
176
|
Series 2017-157, IO, 0.50%, 12/16/2059 (i)
|
10,735
|
355
|
Series 2018-9, IO, 0.44%, 1/16/2060 (i)
|
89,958
|
2,883
|
Series 2019-135, IO, 0.75%, 2/16/2060 (i)
|
17,559
|
852
|
Series 2019-67, IO, 0.84%, 2/16/2060 (i)
|
10,166
|
539
|
Series 2018-106, IO, 0.63%, 4/16/2060 (i)
|
6,871
|
334
|
Series 2018-119, IO, 0.66%, 5/16/2060 (i)
|
8,009
|
441
|
Series 2018-85, IO, 0.55%, 7/16/2060 (i)
|
9,074
|
393
|
Series 2018-98, IO, 0.45%, 8/16/2060 (i)
|
37,661
|
1,308
|
Series 2019-9, IO, 0.88%, 8/16/2060 (i)
|
12,705
|
681
|
Series 2020-184, IO, 0.91%, 11/16/2060 (i)
|
9,567
|
633
|
Series 2019-114, IO, 1.08%, 2/16/2061 (i)
|
31,281
|
2,018
|
Series 2021-82, Class TA, IF, IO, 0.33%, 4/16/2061 (i)
|
70,475
|
5,099
|
Series 2019-32, IO, 0.60%, 5/16/2061 (i)
|
51,818
|
2,484
|
Series 2021-95, Class TA, IF, IO, 0.33%, 6/1/2061 (i)
|
55,067
|
4,205
|
Series 2021-123, Class SA, IF, IO, 0.33%, 6/16/2061 (i)
|
47,366
|
2,209
|
Series 2019-53, Class IA, IO, 0.78%, 6/16/2061 (i)
|
4,567
|
252
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2019-155, IO, 0.52%, 7/16/2061 (i)
|
109,798
|
4,859
|
Series 2021-153, Class SA, IF, IO, 0.33%, 8/16/2061 (i)
|
53,759
|
3,998
|
Series 2021-178, Class SA, IF, IO, 0.86%, 10/16/2061 (i)
|
79,646
|
6,629
|
Series 2021-218, IO, 0.96%, 10/16/2061 (i)
|
16,242
|
1,218
|
Series 2020-28, IO, 0.82%, 11/16/2061 (i)
|
18,249
|
1,087
|
Series 2020-56, IO, 0.97%, 11/16/2061 (i)
|
48,486
|
2,943
|
Series 2020-124, IO, 1.01%, 12/16/2061 (i)
|
9,624
|
698
|
Series 2019-130, IO, 0.67%, 1/16/2062 (i)
|
8,897
|
503
|
Series 2019-144, IO, 0.78%, 1/16/2062 (i)
|
15,360
|
930
|
Series 2020-40, IO, 0.88%, 1/16/2062 (i)
|
41,402
|
2,474
|
Series 2020-14, IO, 0.59%, 2/16/2062 (i)
|
95,771
|
4,590
|
Series 2020-2, IO, 0.59%, 3/16/2062 (i)
|
51,874
|
2,349
|
Series 2020-27, IO, 0.69%, 3/16/2062 (i)
|
26,518
|
1,351
|
Series 2020-143, Class IB, IO, 0.87%, 3/16/2062 (i)
|
50,140
|
3,086
|
Series 2020-94, IO, 0.97%, 3/16/2062 (i)
|
68,930
|
4,419
|
Series 2020-110, IO, 1.01%, 3/16/2062 (i)
|
28,846
|
1,865
|
Series 2020-143, IO, 1.12%, 3/16/2062 (i)
|
25,526
|
1,860
|
Series 2020-73, IO, 1.25%, 3/16/2062 (i)
|
28,543
|
2,118
|
Series 2020-10, IO, 0.58%, 4/16/2062 (i)
|
34,947
|
1,630
|
Series 2020-23, IO, 0.66%, 4/16/2062 (i)
|
97,946
|
5,155
|
Series 2020-70, IO, 0.76%, 4/16/2062 (i)
|
49,885
|
2,770
|
Series 2020-38, IO, 0.82%, 4/16/2062 (i)
|
110,382
|
6,385
|
Series 2020-54, IO, 0.92%, 4/16/2062 (i)
|
167,865
|
10,428
|
Series 2020-89, Class IA, IO, 1.17%, 4/16/2062 (i)
|
52,534
|
4,180
|
Series 2020-120, IO, 0.76%, 5/16/2062 (i)
|
8,667
|
520
|
Series 2020-91, Class IU, IO, 0.99%, 5/16/2062 (i)
|
139,444
|
9,054
|
Series 2020-72, IO, 1.03%, 5/16/2062 (i)
|
112,141
|
7,720
|
Series 2020-50, IO, 0.49%, 6/16/2062 (i)
|
46,788
|
2,238
|
Series 2020-106, Class IC, IO, 0.80%, 6/16/2062 (i)
|
158,614
|
9,261
|
Series 2020-108, IO, 0.85%, 6/16/2062 (i)
|
34,692
|
2,122
|
Series 2020-118, IO, 0.89%, 6/16/2062 (i)
|
60,691
|
3,896
|
Series 2020-147, IO, 0.91%, 6/16/2062 (i)
|
176,140
|
11,882
|
Series 2020-169, IO, 0.85%, 7/16/2062 (i)
|
369,498
|
23,506
|
Series 2020-136, IO, 1.01%, 8/16/2062 (i)
|
55,705
|
3,965
|
Series 2020-161, IO, 1.05%, 8/16/2062 (i)
|
21,383
|
1,559
|
Series 2020-111, IO, 0.88%, 9/15/2062 (i)
|
17,450
|
1,070
|
Series 2020-158, IO, 0.77%, 9/16/2062 (i)
|
56,444
|
3,306
|
Series 2021-88, IO, 0.79%, 9/16/2062 (i)
|
281,718
|
17,700
|
Series 2020-114, IO, 0.80%, 9/16/2062 (i)
|
77,820
|
5,007
|
Series 2021-3, IO, 0.87%, 9/16/2062 (i)
|
207,160
|
13,793
|
Series 2020-192, IO, 0.95%, 9/16/2062 (i)
|
64,679
|
4,384
|
Series 2020-172, IO, 1.15%, 9/16/2062 (i)
|
41,716
|
3,239
|
Series 2021-102, IO, 0.84%, 10/16/2062 (i)
|
27,780
|
1,754
|
Series 2021-33, IO, 0.84%, 10/16/2062 (i)
|
187,046
|
12,263
|
Series 2021-71, IO, 0.87%, 10/16/2062 (i)
|
172,666
|
11,502
|
Series 2020-128, IO, 0.91%, 10/16/2062 (i)
|
58,674
|
3,957
|
Series 2020-159, IO, 1.00%, 10/16/2062 (i)
|
28,840
|
2,045
|
Series 2020-190, IO, 1.03%, 11/16/2062 (i)
|
61,861
|
4,654
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-48, Class HT, IF, IO, 0.33%, 12/16/2062 (i)
|
90,656
|
6,196
|
Series 2021-80, IO, 0.90%, 12/16/2062 (i)
|
65,047
|
4,771
|
Series 2020-150, IO, 0.96%, 12/16/2062 (i)
|
86,355
|
5,814
|
Series 2021-62, Class SA, IF, IO, 0.33%, 2/16/2063 (i)
|
118,827
|
1,747
|
Series 2021-40, IO, 0.82%, 2/16/2063 (i)
|
50,735
|
3,344
|
Series 2021-120, IO, 1.00%, 2/16/2063 (i)
|
54,644
|
4,185
|
Series 2020-145, IO, 0.73%, 3/16/2063 (i)
|
35,872
|
2,020
|
Series 2021-101, IO, 0.69%, 4/16/2063 (i)
|
87,536
|
5,066
|
Series 2021-106, IO, 0.86%, 4/16/2063 (i)
|
172,993
|
12,159
|
Series 2021-151, IO, 0.92%, 4/16/2063 (i)
|
107,122
|
7,677
|
Series 2021-168, IO, 0.80%, 5/16/2063 (i)
|
146,507
|
9,484
|
Series 2021-22, IO, 0.97%, 5/16/2063 (i)
|
55,221
|
3,896
|
Series 2021-10, IO, 0.98%, 5/16/2063 (i)
|
70,192
|
5,249
|
Series 2021-170, IO, 0.99%, 5/16/2063 (i)
|
15,488
|
1,165
|
Series 2021-141, Class SA, IF, IO, 0.33%, 6/16/2063 (i)
|
45,331
|
2,191
|
Series 2021-133, IO, 0.88%, 7/16/2063 (i)
|
89,953
|
6,226
|
Series 2021-181, IO, 0.97%, 7/16/2063 (i)
|
213,140
|
15,857
|
Series 2021-61, IO, 1.04%, 8/16/2063 (i)
|
43,318
|
3,162
|
Series 2021-195, Class IX, IO, 1.20%, 8/16/2063 (i)
|
64,078
|
5,554
|
Series 2021-112, IO, 0.95%, 10/16/2063 (i)
|
18,336
|
1,336
|
Series 2021-148, IO, 1.06%, 10/16/2063 (i)
|
67,198
|
5,366
|
Series 2021-110, IO, 0.87%, 11/16/2063 (i)
|
2,881
|
203
|
Series 2021-180, IO, 0.90%, 11/16/2063 (i)
|
20,683
|
1,524
|
Series 2021-150, IO, 1.03%, 11/16/2063 (i)
|
29,210
|
2,294
|
Series 2021-185, IO, 1.10%, 11/16/2063 (i)
|
38,976
|
3,201
|
Series 2021-167, IO, 0.87%, 12/16/2063 (i)
|
65,243
|
4,727
|
Series 2022-7, Class SA, IF, IO, 0.33%, 2/16/2064 (i)
|
64,281
|
4,964
|
Series 2021-224, IO, 0.78%, 4/16/2064 (i)
|
82,692
|
5,638
|
Series 2022-134, IO, 0.51%, 6/16/2064 (i)
|
29,887
|
1,524
|
Series 2022-141, IO, 0.77%, 6/16/2064 (i)
|
20,755
|
1,472
|
GNMA, STRIPS Series 3, Class 23, IO, 1.40%, 9/16/2045
|
33,215
|
2,634
|
GS Mortgage Securities Trust
|
|
|
Series 2012-GCJ9, Class D, 4.63%, 11/10/2045 ‡ (a) (i)
|
400
|
396
|
Series 2013-GC12, Class E, 3.25%, 6/10/2046 ‡ (a)
|
3,550
|
3,330
|
Series 2013-GC12, Class D, 4.56%, 6/10/2046 ‡ (a) (i)
|
4,880
|
4,709
|
Series 2015-GC28, Class D, 4.45%, 2/10/2048 ‡ (a) (i)
|
2,000
|
1,762
|
Series 2015-GC32, Class D, 3.35%, 7/10/2048 ‡
|
4,521
|
3,790
|
Series 2016-GS3, Class C, 4.11%, 10/10/2049 ‡ (i)
|
3,250
|
2,828
|
Series 2017-GS5, Class D, 3.51%, 3/10/2050 ‡ (a) (i)
|
5,547
|
4,069
|
Series 2015-GC30, Class D, 3.38%, 5/10/2050 ‡
|
4,000
|
3,359
|
Series 2019-GC40, Class E, 3.00%, 7/10/2052 ‡ (a)
|
4,950
|
3,199
|
Series 2019-GC42, Class D, 2.80%, 9/1/2052 ‡ (a)
|
11,880
|
8,066
|
Series 2019-GSA1, Class XB, IO, 0.42%, 11/10/2052 (i)
|
39,035
|
729
|
Series 2020-GC45, Class XA, IO, 0.78%, 2/13/2053 (i)
|
74,522
|
2,465
|
Series 2020-GC45, Class D, 2.85%, 2/13/2053 ‡ (a) (i)
|
3,000
|
2,011
|
Series 2020-GC45, Class E, 2.85%, 2/13/2053 ‡ (a) (i)
|
7,000
|
4,345
|
Series 2020-GC47, Class XA, IO, 1.24%, 5/12/2053 (i)
|
80,735
|
5,121
|
Series 2020-GSA2, Class XA, IO, 1.84%, 12/12/2053 (a) (i)
|
186,378
|
17,532
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2020-GSA2, Class D, 2.25%, 12/12/2053 ‡ (a)
|
18,158
|
10,935
|
Series 2020-GSA2, Class E, 2.25%, 12/12/2053 ‡ (a)
|
4,000
|
2,205
|
Harvest Commercial Capital Loan Trust Series 2019-1, Class A, 3.29%, 9/25/2046 (a) (i)
|
3,284
|
3,149
|
Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025 ‡
|
7,000
|
6,790
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class E, 9.73%, 10/15/2039 (a) (i)
|
8,760
|
8,632
|
Jackson Park Trust
|
|
|
Series 2019-LIC, Class E, 3.35%, 10/14/2039 ‡ (a) (i)
|
3,725
|
2,544
|
Series 2019-LIC, Class F, 3.35%, 10/14/2039 ‡ (a) (i)
|
28,015
|
18,377
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
Series 2013-C15, Class E, 3.50%, 11/15/2045 ‡ (a)
|
3,000
|
2,729
|
Series 2014-C26, Class D, 4.02%, 1/15/2048 ‡ (a) (i)
|
1,100
|
929
|
Series 2015-C31, Class B, 4.78%, 8/15/2048 ‡ (i)
|
2,000
|
1,851
|
Series 2015-C31, Class C, 4.78%, 8/15/2048 ‡ (i)
|
5,000
|
4,550
|
Series 2015-C33, Class D2, 4.27%, 12/15/2048 ‡ (a) (i)
|
1,000
|
819
|
Series 2015-C33, Class C, 4.77%, 12/15/2048 (i)
|
3,350
|
2,975
|
Series 2016-C1, Class D1, 4.39%, 3/17/2049 ‡ (a) (i)
|
1,500
|
1,284
|
JPMCC Commercial Mortgage Securities Trust
|
|
|
Series 2017-JP5, Class XB, IO, 0.60%, 3/15/2050 (i)
|
31,917
|
575
|
Series 2017-JP5, Class C, 3.93%, 3/15/2050 ‡ (i)
|
3,000
|
2,392
|
Series 2017-JP5, Class D, 4.68%, 3/15/2050 ‡ (a) (i)
|
4,669
|
3,621
|
Series 2017-JP7, Class D, 4.53%, 9/15/2050 ‡ (a) (i)
|
367
|
290
|
JPMCC Re-REMIC Trust Series 2015-FRR2, Class BK39, PO, 8/27/2047 (a)
|
1,500
|
1,307
|
JPMDB Commercial Mortgage Securities Trust Series 2019-COR6, Class D, 2.50%, 11/13/2052 ‡ (a)
|
9,875
|
6,632
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
Series 2013-C16, Class D, 5.17%, 12/15/2046 ‡ (a) (i)
|
2,750
|
2,592
|
Series 2015-JP1, Class C, 4.88%, 1/15/2049 ‡ (i)
|
1,000
|
903
|
Series 2016-JP3, Class D, 3.54%, 8/15/2049 ‡ (a) (i)
|
8,122
|
5,993
|
KKR Industrial Portfolio Trust Series 2021-KDIP, Class F, 5.93%, 12/15/2037 ‡ (a) (i)
|
3,938
|
3,632
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (i)
|
88
|
38
|
MHC Commercial Mortgage Trust Series 2021-MHC, Class G, 7.08%, 4/15/2038 ‡ (a) (i)
|
9,600
|
8,803
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
Series 2014-C14, Class D, 5.23%, 2/15/2047 ‡ (a) (i)
|
5,350
|
5,067
|
Series 2014-C15, Class D, 5.05%, 4/15/2047 ‡ (a) (i)
|
1,000
|
924
|
Series 2014-C16, Class B, 4.47%, 6/15/2047 ‡ (i)
|
11,000
|
10,403
|
Series 2014-C16, Class C, 4.91%, 6/15/2047 ‡ (i)
|
2,300
|
2,141
|
Series 2014-C17, Class C, 4.64%, 8/15/2047 ‡ (i)
|
4,000
|
3,734
|
Series 2014-C17, Class D, 4.88%, 8/15/2047 ‡ (a) (i)
|
9,393
|
8,512
|
Series 2014-C18, Class D, 3.39%, 10/15/2047 ‡ (a)
|
3,157
|
2,668
|
Series 2015-C27, Class E, 3.24%, 12/15/2047 ‡ (a) (i)
|
2,500
|
1,789
|
Series 2015-C27, Class F, 3.24%, 12/15/2047 ‡ (a) (i)
|
6,334
|
3,743
|
Series 2014-C19, Class D, 3.25%, 12/15/2047 ‡ (a)
|
2,000
|
1,702
|
Series 2014-C19, Class E, 3.25%, 12/15/2047 ‡ (a)
|
6,500
|
4,651
|
Series 2014-C19, Class C, 4.00%, 12/15/2047 ‡
|
3,000
|
2,699
|
Series 2015-C20, Class D, 3.07%, 2/15/2048 ‡ (a)
|
5,086
|
4,388
|
Series 2015-C21, Class XA, IO, 0.99%, 3/15/2048 (i)
|
20,234
|
284
|
Series 2015-C21, Class B, 3.85%, 3/15/2048 ‡ (i)
|
4,000
|
3,537
|
Series 2015-C24, Class D, 3.26%, 5/15/2048 ‡ (a)
|
8,000
|
6,694
|
Series 2015-C26, Class D, 3.06%, 10/15/2048 ‡ (a)
|
4,000
|
3,223
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (i)
|
4,350
|
3,745
|
Series 2016-C31, Class C, 4.41%, 11/15/2049 ‡ (i)
|
1,000
|
814
|
Series 2015-C23, Class D, 4.28%, 7/15/2050 ‡ (a) (i)
|
1,500
|
1,277
|
Morgan Stanley Capital I Series 2017-HR2, Class C, 4.48%, 12/15/2050 ‡ (i)
|
1,200
|
1,037
|
Morgan Stanley Capital I Trust
|
|
|
Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (a) (i)
|
1,000
|
782
|
Series 2016-UB11, Class C, 3.69%, 8/15/2049 ‡ (i)
|
2,000
|
1,713
|
Series 2019-L3, Class D, 2.50%, 11/15/2052 (a)
|
4,500
|
2,958
|
Series 2020-L4, Class D, 2.50%, 2/15/2053 ‡ (a)
|
5,000
|
3,255
|
Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053 (i)
|
19,569
|
1,997
|
Series 2021-L5, Class XB, IO, 0.84%, 5/15/2054 (i)
|
60,000
|
2,910
|
Series 2021-L5, Class E, 2.50%, 5/15/2054 (a)
|
4,234
|
2,264
|
Series 2021-L5, Class C, 3.16%, 5/15/2054 ‡
|
6,000
|
4,200
|
Series 2021-L6, Class D, 2.50%, 6/15/2054 ‡ (a) (i)
|
13,685
|
8,279
|
Series 2021-L6, Class E, 2.50%, 6/15/2054 ‡ (a) (i)
|
5,500
|
3,067
|
Series 2021-L6, Class C, 3.58%, 6/15/2054 ‡ (i)
|
4,500
|
3,334
|
Series 2021-L7, Class E, 2.50%, 10/15/2054 ‡ (a)
|
8,091
|
4,435
|
MRCD MARK Mortgage Trust
|
|
|
Series 2019-PARK, Class G, 2.72%, 12/15/2036 ‡ (a)
|
13,337
|
10,750
|
Series 2019-PARK, Class J, 4.25%, 12/15/2036 ‡ (a)
|
20,000
|
16,417
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
Series 2019-01, Class M10, 7.29%, 10/25/2049 ‡ (a) (i)
|
29,922
|
27,605
|
Series 2020-01, Class M10, 7.79%, 3/25/2050 ‡ (a) (i)
|
37,380
|
34,216
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.67%, 12/18/2051 ‡ (a) (i)
|
8,000
|
6,199
|
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.31%, 4/10/2043 ‡ (a) (i)
|
5,000
|
2,831
|
P4 SFR Series 2019-STL B9.25%, 10/11/2026 ‡
|
7,700
|
7,430
|
SBALR Commercial Mortgage Trust
|
|
|
Series 2020-RR1, Class XA, IO, 1.37%, 2/13/2053 (a) (i)
|
88,325
|
5,598
|
Series 2020-RR1, Class A2, 2.53%, 2/13/2053 (a)
|
1,759
|
1,741
|
Series 2020-RR1, Class B, 3.48%, 2/13/2053 ‡ (a)
|
11,440
|
9,344
|
Series 2020-RR1, Class C, 3.98%, 2/13/2053 ‡ (a) (i)
|
4,750
|
3,768
|
Series 2020-RR1, Class D, 4.19%, 2/13/2053 ‡ (a) (i)
|
9,750
|
7,185
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 ‡
|
2,000
|
1,742
|
UBS Commercial Mortgage Trust
|
|
|
Series 2017-C1, Class C, 4.44%, 6/15/2050 ‡
|
5,330
|
4,437
|
Series 2017-C2, Class C, 4.30%, 8/15/2050 ‡ (i)
|
7,250
|
6,090
|
Series 2018-C11, Class XB, IO, 0.39%, 6/15/2051 (i)
|
100,000
|
1,754
|
Series 2018-C11, Class B, 4.71%, 6/15/2051 ‡ (i)
|
5,000
|
4,456
|
Velocity Commercial Capital Loan Trust
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (i)
|
1,648
|
1,573
|
Series 2018-2, Class M2, 4.51%, 10/26/2048 ‡ (a) (i)
|
125
|
106
|
Series 2018-2, Class M3, 4.72%, 10/26/2048 ‡ (a) (i)
|
230
|
193
|
Series 2019-1, Class A, 3.76%, 3/25/2049 (a) (i)
|
1,772
|
1,646
|
Series 2019-1, Class M1, 3.94%, 3/25/2049 ‡ (a) (i)
|
3,690
|
3,197
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (a) (i)
|
3,476
|
3,278
|
Series 2021-1, Class M1, 1.79%, 5/25/2051 ‡ (a) (i)
|
3,442
|
2,701
|
Series 2021-1, Class M2, 2.26%, 5/25/2051 ‡ (a) (i)
|
2,212
|
1,707
|
Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (i)
|
134
|
111
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-4, Class A, 2.52%, 12/26/2051 (a) (i)
|
3,185
|
2,695
|
Series 2022-2, Class A, 4.67%, 4/25/2052 (a) (i)
|
3,282
|
3,137
|
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (i)
|
5,610
|
5,393
|
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (i)
|
5,947
|
5,740
|
Washington State Housing Finance Commission Series 2021-1, Class X, IO, 0.73%, 12/20/2035 (i)
|
92,950
|
4,801
|
Wells Fargo Commercial Mortgage Trust
|
|
|
Series 2014-LC18, Class D, 3.96%, 12/15/2047 ‡ (a) (i)
|
7,952
|
6,857
|
Series 2015-C26, Class D, 3.59%, 2/15/2048 ‡ (a)
|
3,000
|
2,565
|
Series 2015-C27, Class C, 3.89%, 2/15/2048 ‡
|
3,500
|
3,049
|
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 ‡ (a) (i)
|
9,230
|
7,136
|
Series 2015-C29, Class D, 4.36%, 6/15/2048 ‡ (i)
|
4,000
|
3,456
|
Series 2016-C35, Class D, 3.14%, 7/15/2048 ‡ (a)
|
3,000
|
2,180
|
Series 2016-NXS6, Class B, 3.81%, 11/15/2049 ‡
|
450
|
400
|
Series 2017-RB1, Class D, 3.40%, 3/15/2050 ‡ (a)
|
1,500
|
1,086
|
Series 2017-C38, Class D, 3.00%, 7/15/2050 ‡ (a)
|
4,500
|
3,270
|
Series 2017-C42, Class D, 2.80%, 12/15/2050 ‡ (a) (i)
|
1,185
|
818
|
Series 2018-C44, Class XB, IO, 0.29%, 5/15/2051 (i)
|
70,000
|
622
|
Series 2018-C44, Class D, 3.00%, 5/15/2051 ‡ (a)
|
1,250
|
863
|
Series 2018-C46, Class D, 3.00%, 8/15/2051 ‡ (a)
|
1,890
|
1,181
|
Series 2019-C49, Class C, 4.87%, 3/15/2052 ‡ (i)
|
2,000
|
1,714
|
Series 2019-C52, Class XA, IO, 1.75%, 8/15/2052 (i)
|
15,745
|
1,136
|
Series 2020-C55, Class D, 2.50%, 2/15/2053 ‡ (a)
|
4,500
|
2,913
|
Series 2020-C55, Class E, 2.50%, 2/15/2053 ‡ (a)
|
6,850
|
3,855
|
Series 2021-C59, Class D, 2.50%, 4/15/2054 ‡ (a)
|
2,500
|
1,541
|
Series 2022-C62, Class C, 4.50%, 4/15/2055 (i)
|
3,950
|
2,919
|
Series 2015-NXS3, Class D, 3.15%, 9/15/2057 ‡ (a)
|
2,000
|
1,643
|
Series 2015-NXS2, Class D, 4.42%, 7/15/2058 ‡ (i)
|
2,226
|
1,836
|
Series 2015-LC22, Class D, 4.71%, 9/15/2058 ‡ (i)
|
5,107
|
4,389
|
Series 2016-C32, Class D, 3.79%, 1/15/2059 ‡ (a) (i)
|
4,000
|
3,248
|
WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 4.06%, 9/15/2057 ‡ (a) (i)
|
1,440
|
1,205
|
Total Commercial Mortgage-Backed Securities
(Cost $3,049,468)
|
|
2,545,034
|
Asset-Backed Securities — 24.2%
|
||
ABFC Trust Series 2002-OPT1, Class M1, 5.14%, 5/25/2032 ‡ (i)
|
114
|
113
|
ACC, 0.25%, 12/15/2022 ‡
|
13,198
|
13,125
|
ACC Trust
|
|
|
Series 2019-2, Class C, 5.24%, 10/21/2024 (a)
|
6,937
|
6,901
|
Series 2021-1, Class C, 2.08%, 12/20/2024 (a)
|
4,455
|
4,351
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (a)
|
13,004
|
12,465
|
Series 2022-1, Class D, 6.65%, 10/20/2028 (a)
|
9,131
|
8,740
|
Accelerated Assets LLC
|
|
|
Series 2018-1, Class B, 4.51%, 12/2/2033 ‡ (a)
|
199
|
190
|
Series 2018-1, Class C, 6.65%, 12/2/2033 ‡ (a)
|
432
|
417
|
Accelerated LLC
|
|
|
Series 2021-1H, Class A, 1.35%, 10/20/2040 (a)
|
2,345
|
2,121
|
Series 2021-1H, Class B, 1.90%, 10/20/2040 ‡ (a)
|
2,884
|
2,533
|
Series 2021-1H, Class D, 3.58%, 10/20/2040 ‡ (a)
|
3,968
|
3,471
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Affirm Asset Securitization Trust
|
|
|
Series 2021-Z2, Class A, 1.17%, 11/16/2026 (a)
|
6,826
|
6,516
|
Series 2022-X1, Class CERT, 0.00%, 2/15/2027 ‡ (a)
|
12
|
301
|
Series 2022-A, Class A, 4.30%, 5/17/2027 (a)
|
2,237
|
2,120
|
Series 2022-A, Class 1D, 5.53%, 5/17/2027 ‡ (a)
|
8,505
|
8,031
|
Series 2022-A, Class 1E, 8.04%, 5/17/2027 ‡ (a)
|
9,040
|
8,448
|
Series 2022-A, Class E, 8.04%, 5/17/2027 ‡ (a)
|
7,840
|
7,326
|
Series 2022-Z1, Class A, 4.55%, 6/15/2027 (a)
|
9,330
|
9,080
|
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a)
|
936
|
927
|
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030
|
4,804
|
3,922
|
American Credit Acceptance Receivables Trust
|
|
|
Series 2019-4, Class E, 3.85%, 12/12/2025 (a)
|
13,050
|
12,624
|
Series 2020-1, Class E, 3.32%, 3/13/2026 (a)
|
10,080
|
9,848
|
Series 2019-3, Class F, 5.42%, 5/12/2026 (a)
|
710
|
700
|
Series 2019-2, Class F, 5.81%, 6/12/2026 (a)
|
2,000
|
1,985
|
Series 2020-3, Class E, 3.88%, 8/13/2026 (a)
|
3,000
|
2,896
|
Series 2019-4, Class F, 5.37%, 9/14/2026 (a)
|
5,180
|
4,899
|
Series 2022-4, Class B, 6.75%, 10/13/2026 (a)
|
800
|
802
|
Series 2020-1, Class F, 4.75%, 11/13/2026 (a)
|
13,460
|
13,097
|
Series 2020-4, Class D, 1.77%, 12/14/2026 (a)
|
5,000
|
4,775
|
Series 2021-1, Class E, 2.29%, 3/15/2027 (a)
|
4,500
|
4,236
|
Series 2021-2, Class E, 2.54%, 7/13/2027 (a)
|
17,000
|
15,486
|
Series 2020-4, Class F, 5.22%, 8/13/2027 (a)
|
5,000
|
4,798
|
Series 2021-3, Class E, 2.56%, 11/15/2027 (a)
|
12,406
|
11,138
|
Series 2021-1, Class F, 4.01%, 11/15/2027 (a)
|
900
|
849
|
Series 2021-2, Class F, 3.73%, 1/13/2028 (a)
|
5,425
|
4,843
|
Series 2021-4, Class E, 3.12%, 2/14/2028 (a)
|
14,800
|
12,484
|
Series 2022-1, Class D, 2.46%, 3/13/2028 (a)
|
3,205
|
2,871
|
Series 2022-1, Class E, 3.64%, 3/13/2028 (a)
|
10,316
|
9,046
|
Series 2021-3, Class F, 3.64%, 5/15/2028 (a)
|
10,175
|
9,088
|
Series 2022-2, Class D, 4.85%, 6/13/2028 (a)
|
8,433
|
7,928
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (a)
|
7,853
|
7,115
|
Series 2021-4, Class F, 4.21%, 7/13/2028 (a)
|
5,250
|
4,440
|
Series 2022-3, Class C, 4.86%, 10/13/2028 (a)
|
2,078
|
1,998
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (a)
|
4,333
|
4,161
|
Series 2022-1, Class F, 4.87%, 11/13/2028 (a)
|
4,482
|
3,994
|
Series 2022-4, Class C, 7.86%, 2/15/2029 (a)
|
1,700
|
1,719
|
AMSR Trust
|
|
|
Series 2020-SFR1, Class H, 5.30%, 4/17/2037 ‡ (a)
|
9,960
|
9,243
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 ‡ (a)
|
10,005
|
9,171
|
Series 2020-SFR2, Class H, 5.25%, 7/17/2037 ‡ (a)
|
7,500
|
6,752
|
Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (a)
|
2,325
|
2,048
|
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 ‡ (a)
|
18,177
|
15,866
|
Series 2020-SFR4, Class F, 2.86%, 11/17/2037 ‡ (a)
|
15,556
|
13,480
|
Series 2020-SFR5, Class G, 4.11%, 11/17/2037 ‡ (a)
|
7,300
|
6,502
|
Series 2019-SFR1, Class F, 3.87%, 1/19/2039 ‡ (a)
|
5,310
|
4,622
|
Series 2019-SFR1, Class G, 4.86%, 1/19/2039 ‡ (a)
|
2,125
|
1,891
|
Series 2019-SFR1, Class H, 6.04%, 1/19/2039 ‡ (a)
|
2,125
|
1,927
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2022-SFR1, Class E2, 4.64%, 3/17/2039 ‡ (a)
|
9,913
|
8,728
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 ‡ (a)
|
9,913
|
8,845
|
Amur Equipment Finance Receivables XI LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (a)
|
4,443
|
4,391
|
Applebee's Funding LLC
|
|
|
Series 2019-1A, Class A2I, 4.19%, 6/5/2049 (a)
|
4,697
|
4,445
|
Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (a)
|
8,005
|
7,263
|
Aqua Finance Trust
|
|
|
Series 2019-A, Class C, 4.01%, 7/16/2040 ‡ (a)
|
7,400
|
6,792
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 ‡ (a)
|
4,250
|
3,706
|
AREIT Trust Series 2021-CRE5, Class D, 6.56%, 11/17/2038 ‡ (a) (i)
|
12,500
|
11,756
|
Arivo Acceptance Auto Loan Receivables Trust
|
|
|
Series 2019-1, Class B, 3.37%, 6/15/2025 (a)
|
4,122
|
4,089
|
Series 2019-1, Class C, 4.35%, 6/15/2026 (a)
|
1,500
|
1,482
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
Series 2018-1A, Class C, 4.73%, 9/20/2024 (a)
|
560
|
549
|
Series 2019-2A, Class C, 4.24%, 9/22/2025 (a)
|
3,000
|
2,854
|
Series 2019-3A, Class B, 2.65%, 3/20/2026 (a)
|
3,000
|
2,773
|
Series 2020-1A, Class D, 3.34%, 8/20/2026 (a)
|
20,500
|
17,276
|
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class AR, 5.36%, 4/19/2034 (a) (i)
|
12,000
|
11,630
|
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2020-3A, Class A1R, 5.48%, 10/23/2034 (a) (i)
|
4,300
|
4,117
|
Ballyrock CLO Ltd. (Cayman Islands) Series 2020-2A, Class DR, 10.39%, 10/20/2031 ‡ (a) (i)
|
2,250
|
1,965
|
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (a)
|
937
|
920
|
BSPRT Issuer Ltd. (Cayman Islands)
|
|
|
Series 2021-FL7, Class D, 6.63%, 12/15/2038 ‡ (a) (i)
|
8,700
|
8,022
|
Series 2021-FL7, Class E, 7.28%, 12/15/2038 ‡ (a) (i)
|
225
|
202
|
Business Jet Securities LLC
|
|
|
Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)
|
4,047
|
3,668
|
Series 2020-1A, Class B, 3.97%, 11/15/2035 ‡ (a)
|
3,385
|
3,002
|
Series 2020-1A, Class C, 7.14%, 11/15/2035 ‡ (a)
|
4,110
|
3,855
|
Series 2021-1A, Class B, 2.92%, 4/15/2036 (a)
|
3,020
|
2,453
|
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)
|
2,648
|
2,304
|
BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034 ‡ (a)
|
1,030
|
979
|
Camden, 8.50%, 9/15/2031 ‡
|
7,093
|
6,738
|
Camillo Issuer LLC Series 2017-SFR1, Class A, 5.50%, 6/5/2027 ‡ (a)
|
926
|
913
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (a)
|
5,770
|
5,545
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)
|
2,773
|
2,442
|
CARS-DB4 LP
|
|
|
Series 2020-1A, Class A4, 3.19%, 2/15/2050 (a)
|
3,474
|
3,248
|
Series 2020-1A, Class A5, 3.48%, 2/15/2050 (a)
|
2,978
|
2,607
|
Series 2020-1A, Class B1, 4.17%, 2/15/2050 ‡ (a)
|
3,500
|
3,190
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 ‡ (a)
|
4,290
|
3,721
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 ‡ (a)
|
4,510
|
3,649
|
CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (a)
|
6,022
|
4,738
|
Carvana Auto Receivables Trust
|
|
|
Series 2019-1A, Class D, 3.88%, 10/15/2024 (a)
|
565
|
564
|
Series 2019-1A, Class E, 5.64%, 1/15/2026 (a)
|
500
|
494
|
Series 2019-2A, Class E, 5.01%, 4/15/2026 (a)
|
3,000
|
2,948
|
Series 2019-3A, Class E, 4.60%, 7/15/2026 (a)
|
9,700
|
9,269
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2019-4A, Class E, 4.70%, 10/15/2026 (a)
|
6,990
|
6,547
|
Series 2021-N1, Class C, 1.30%, 1/10/2028
|
3,844
|
3,588
|
Cascade MH Asset Trust Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (i)
|
6,050
|
5,638
|
Centex Home Equity Loan Trust Series 2004-A, Class AF4, 5.01%, 8/25/2032 ‡ (g)
|
147
|
142
|
CFIN Issuer LLC
|
|
|
Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (a)
|
12,000
|
11,460
|
Series 2022-RTL1, Class AB, 5.00%, 2/16/2026 ‡ (a)
|
12,000
|
11,520
|
CIG Auto Receivables Trust Series 2019-1A, Class D, 4.85%, 5/15/2026 (a)
|
1,660
|
1,647
|
Conn's Receivables Funding LLC
|
|
|
Series 2021-A, Class A, 1.05%, 5/15/2026 (a)
|
336
|
335
|
Series 2021-A, Class B, 2.87%, 5/15/2026 ‡ (a)
|
1,980
|
1,942
|
Series 2021-A, Class C, 4.59%, 5/15/2026 ‡ (a)
|
1,800
|
1,704
|
Series 2022-A, Class B, 9.52%, 12/15/2026 ‡ (a)
|
2,900
|
2,872
|
Consumer Loan Underlying Bond Credit Trust
|
|
|
Series 2019-P2, Class C, 4.41%, 10/15/2026 ‡ (a)
|
914
|
906
|
Series 2020-P1, Class C, 4.61%, 3/15/2028 ‡ (a)
|
2,682
|
2,610
|
CoreVest American Finance Trust
|
|
|
Series 2019-1, Class E, 5.79%, 3/15/2052 ‡ (a) (i)
|
1,493
|
1,343
|
Series 2019-2, Class E, 5.42%, 6/15/2052 ‡ (a) (i)
|
5,576
|
4,764
|
Series 2019-3, Class XB, IO, 1.56%, 10/15/2052 (a) (i)
|
53,875
|
3,861
|
Series 2019-3, Class XA, IO, 2.20%, 10/15/2052 (a) (i)
|
26,955
|
816
|
Series 2019-3, Class D, 3.76%, 10/15/2052 ‡ (a)
|
8,689
|
7,115
|
Series 2019-3, Class E, 4.91%, 10/15/2052 ‡ (a) (i)
|
5,810
|
4,813
|
CPS Auto Receivables Trust
|
|
|
Series 2021-A, Class E, 2.53%, 3/15/2028 (a)
|
3,100
|
2,837
|
Series 2021-B, Class E, 3.41%, 6/15/2028 (a)
|
6,750
|
5,955
|
Series 2022-C, Class D, 6.45%, 4/15/2030 (a)
|
4,680
|
4,494
|
Credit Acceptance Auto Loan Trust
|
|
|
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a)
|
808
|
777
|
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a)
|
7,917
|
7,941
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
22,000
|
21,368
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-4, Class M1, 4.76%, 7/25/2034 ‡ (i)
|
558
|
544
|
DataBank Issuer Series 2021-1A, Class C, 4.43%, 2/27/2051 ‡ (a)
|
3,800
|
3,173
|
Diamond Resorts Owner Trust
|
|
|
Series 2018-1, Class D, 5.90%, 1/21/2031 ‡ (a)
|
290
|
282
|
Series 2019-1A, Class D, 5.25%, 2/20/2032 ‡ (a)
|
993
|
957
|
Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039 ‡ (a)
|
29,222
|
26,884
|
Driven Brands Funding LLC
|
|
|
Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a)
|
1,925
|
1,732
|
Series 2020-1A, Class A2, 3.79%, 7/20/2050 (a)
|
489
|
422
|
DRIVEN BRANDS FUNDING LLC Series 2019-2A, Class A2, 3.98%, 10/20/2049 (a)
|
3,851
|
3,416
|
DT Auto Owner Trust
|
|
|
Series 2019-1A, Class D, 3.87%, 11/15/2024 (a)
|
287
|
286
|
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a)
|
9,470
|
9,340
|
Series 2019-2A, Class E, 4.46%, 5/15/2026 (a)
|
2,300
|
2,262
|
Series 2019-4A, Class E, 3.93%, 10/15/2026 (a)
|
13,080
|
12,622
|
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a)
|
2,633
|
2,413
|
Series 2021-2A, Class D, 1.50%, 2/16/2027 (a)
|
2,022
|
1,864
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2020-1A, Class E, 3.48%, 2/16/2027 (a)
|
10,750
|
10,281
|
Series 2020-2A, Class E, 7.17%, 6/15/2027 (a)
|
6,880
|
6,789
|
Series 2020-3A, Class E, 3.62%, 10/15/2027 (a)
|
5,300
|
4,925
|
Series 2021-1A, Class E, 2.38%, 1/18/2028 (a)
|
2,000
|
1,823
|
Series 2021-2A, Class E, 2.97%, 7/17/2028 (a)
|
6,500
|
5,845
|
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a)
|
9,815
|
9,839
|
Series 2021-3A, Class E, 2.65%, 9/15/2028 (a)
|
3,405
|
2,845
|
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a)
|
3,100
|
2,797
|
E3 (Cayman Islands) Series 2019-1, Class C, 5.00%, 9/20/2055 ‡ (a)
|
313
|
301
|
Elara HGV Timeshare Issuer LLC
|
|
|
Series 2019-A, Class C, 3.45%, 1/25/2034 ‡ (a)
|
1,085
|
992
|
Series 2021-A, Class D, 3.32%, 8/27/2035 ‡ (a)
|
3,067
|
2,705
|
Exeter Automobile Receivables Trust
|
|
|
Series 2018-3A, Class D, 4.35%, 6/17/2024 (a)
|
223
|
223
|
Series 2018-3A, Class F, 6.55%, 8/25/2025 (a)
|
5,130
|
5,114
|
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a)
|
3,555
|
3,351
|
Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)
|
36,335
|
35,144
|
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a)
|
35,090
|
33,878
|
Series 2020-2A, Class E, 7.19%, 9/15/2027 (a)
|
10,510
|
10,476
|
Series 2021-4A, Class E, 4.02%, 1/17/2028 (a)
|
17,700
|
15,645
|
Series 2021-1A, Class E, 2.21%, 2/15/2028 (a)
|
33,320
|
30,277
|
Series 2021-2A, Class E, 2.90%, 7/17/2028 (a)
|
28,717
|
24,995
|
Series 2022-2A, Class D, 4.56%, 7/17/2028
|
2,000
|
1,873
|
Series 2022-3A, Class D, 6.76%, 9/15/2028
|
13,600
|
13,228
|
Series 2022-4A, Class D, 5.98%, 12/15/2028
|
1,113
|
1,030
|
Series 2022-6A, Class D, 8.03%, 4/6/2029 (j)
|
4,232
|
4,231
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a)
|
23,000
|
20,749
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
1,138
|
1,042
|
FirstKey Homes Trust
|
|
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a)
|
1,902
|
1,705
|
Series 2020-SFR1, Class F2, 4.28%, 8/17/2037 ‡ (a)
|
9,000
|
8,043
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 ‡ (a)
|
15,000
|
13,018
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 ‡ (a)
|
13,000
|
11,215
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 ‡ (a)
|
7,333
|
6,020
|
Flagship Credit Auto Trust
|
|
|
Series 2019-1, Class D, 4.08%, 2/18/2025 (a)
|
833
|
820
|
Series 2020-1, Class D, 2.48%, 3/16/2026 (a)
|
4,000
|
3,745
|
Series 2019-2, Class E, 4.52%, 12/15/2026 (a)
|
4,500
|
4,179
|
Series 2021-3, Class E, 3.32%, 12/15/2028 (a)
|
6,401
|
5,519
|
Series 2022-3, Class E, 7.95%, 10/15/2029 (a)
|
4,000
|
3,747
|
FMC GMSR Issuer Trust
|
|
|
3.65%, 2/25/2024 (a) (i)
|
29,500
|
28,217
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (i)
|
7,000
|
6,106
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (i)
|
25,000
|
20,361
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 ‡ (a) (i)
|
19,140
|
14,181
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 ‡ (a)
|
10,000
|
8,762
|
Foundation Finance Trust
|
|
|
Series 2019-1A, Class B, 4.22%, 11/15/2034 (a)
|
855
|
814
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2019-1A, Class C, 5.66%, 11/15/2034 ‡ (a)
|
3,055
|
2,926
|
FREED ABS Trust
|
|
|
Series 2020-FP1, Class C, 4.37%, 3/18/2027 ‡ (a)
|
5,278
|
5,272
|
Series 2021-1CP, Class B, 1.41%, 3/20/2028 ‡ (a)
|
1,201
|
1,189
|
Series 2021-1CP, Class C, 2.83%, 3/20/2028 ‡ (a)
|
1,400
|
1,377
|
Series 2021-2, Class C, 1.94%, 6/19/2028 ‡ (a)
|
2,796
|
2,699
|
Series 2021-3FP, Class D, 2.37%, 11/20/2028 ‡ (a)
|
9,524
|
8,632
|
Series 2022-3FP, Class C, 7.05%, 8/20/2029 ‡ (a)
|
8,450
|
8,269
|
Series 2022-4FP, Class B, 7.58%, 12/18/2029 (a)
|
10,000
|
9,989
|
Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (i)
|
10,500
|
10,304
|
FTF, 8.00%, 8/15/2024 ‡
|
6,500
|
5,525
|
Genesis Sales Finance Master Trust Series 2020-AA, Class C, 2.99%, 9/22/2025 (a)
|
1,000
|
912
|
GLS Auto Receivables Issuer Trust
|
|
|
Series 2019-2A, Class D, 4.52%, 2/17/2026 (a)
|
7,950
|
7,826
|
Series 2019-3A, Class D, 3.84%, 5/15/2026 (a)
|
700
|
677
|
Series 2019-4A, Class D, 4.09%, 8/17/2026 (a)
|
8,950
|
8,540
|
Series 2020-4A, Class D, 1.64%, 10/15/2026 (a)
|
3,000
|
2,843
|
Series 2020-1A, Class D, 3.68%, 11/16/2026 (a)
|
15,750
|
15,093
|
Series 2020-3A, Class E, 4.31%, 7/15/2027 (a)
|
3,830
|
3,642
|
Series 2021-4A, Class D, 2.48%, 10/15/2027 (a)
|
245
|
216
|
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a)
|
11,700
|
10,942
|
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a)
|
1,175
|
1,077
|
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a)
|
1,800
|
1,726
|
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a)
|
7,130
|
6,027
|
Series 2022-3A, Class E, 8.35%, 10/15/2029 (a)
|
1,250
|
1,147
|
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 5.36%, 7/20/2031 (a) (i)
|
10,000
|
9,880
|
Goldman Home Improvement Trust Issuer Trust Series 2022-GRN1, Class A, 4.50%, 6/25/2052 (a)
|
1,880
|
1,814
|
HERO Funding II (Cayman Islands) Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)
|
115
|
110
|
Hertz Vehicle Financing III LP Series 2021-2A, Class D, 4.34%, 12/27/2027 (a)
|
12,000
|
9,905
|
Hertz Vehicle Financing LLC
|
|
|
Series 2021-1A, Class C, 2.05%, 12/26/2025 (a)
|
5,000
|
4,464
|
Series 2021-1A, Class D, 3.98%, 12/26/2025 (a)
|
10,000
|
8,969
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a)
|
7,600
|
6,998
|
HIN Timeshare Trust
|
|
|
Series 2020-A, Class B, 2.23%, 10/9/2039 ‡ (a)
|
1,744
|
1,597
|
Series 2020-A, Class D, 5.50%, 10/9/2039 ‡ (a)
|
1,517
|
1,396
|
HINNT LLC
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 ‡ (a)
|
7,715
|
7,277
|
Series 2022-A, Class E, 8.00%, 5/15/2041 ‡ (a)
|
1,453
|
1,340
|
Home Partners of America Trust Series 2021-3, Class F, 4.24%, 1/17/2041 ‡ (a)
|
14,662
|
12,053
|
LendingClub Loan Certificate Issuer Trust
|
|
|
Series 2021-NP1, Class CERT, 0.00%, 12/15/2036 ‡ (a)
|
900
|
13,766
|
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a)
|
855
|
15,862
|
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a)
|
860
|
14,622
|
Series 2022-NP2, Class CERT, 0.00%, 4/15/2037 ‡ (a)
|
800
|
14,812
|
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a)
|
750
|
13,673
|
Series 2022-P3, Class CERT, 11.88%, 5/15/2037 ‡ (a)
|
500
|
10,289
|
Series 2022-NP3, Class CERT, HB, 25.22%, 5/15/2037 ‡ (a)
|
500
|
12,449
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
400
|
12,300
|
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
400
|
9,566
|
Series 2022-P5, Class CERT, 12.86%, 7/15/2037 ‡ (a)
|
800
|
26,664
|
Series 2022-NP6, Class CERT, HB, 25.46%, 7/15/2037 ‡ (a)
|
700
|
23,100
|
Lendingpoint Asset Securitization Trust
|
|
|
Series 2021-A, Class C, 2.75%, 12/15/2028 ‡ (a)
|
8,511
|
8,019
|
Series 2021-A, Class D, 5.73%, 12/15/2028 ‡ (a)
|
11,540
|
10,685
|
Series 2021-B, Class B, 1.68%, 2/15/2029 ‡ (a)
|
12,450
|
11,655
|
Series 2021-B, Class C, 3.21%, 2/15/2029 ‡ (a)
|
27,348
|
24,978
|
Series 2021-B, Class D, 6.12%, 2/15/2029 ‡ (a)
|
2,000
|
1,809
|
Series 2022-A, Class D, 4.54%, 6/15/2029 ‡ (a)
|
32,000
|
26,852
|
Series 2022-B, Class A, 4.77%, 10/15/2029 (a)
|
557
|
543
|
Series 2022-C, Class C, 8.68%, 2/15/2030 ‡ (a)
|
1,577
|
1,571
|
LendingPoint Asset Securitization Trust
|
|
|
Series 2021-1, Class C, 4.94%, 4/15/2027 ‡ (a)
|
10,628
|
10,494
|
Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (a)
|
6,500
|
6,201
|
Lendmark Funding Trust
|
|
|
Series 2019-2A, Class C, 3.72%, 4/20/2028 ‡ (a)
|
3,040
|
2,688
|
Series 2019-2A, Class D, 5.24%, 4/20/2028 ‡ (a)
|
16,710
|
14,491
|
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a)
|
3,729
|
3,143
|
Series 2021-1A, Class B, 2.47%, 11/20/2031 (a)
|
2,919
|
2,369
|
Series 2021-1A, Class C, 3.41%, 11/20/2031 ‡ (a)
|
1,312
|
1,040
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 ‡ (a)
|
14,380
|
10,804
|
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a)
|
1,000
|
799
|
Series 2021-2A, Class C, 3.09%, 4/20/2032 (a)
|
1,100
|
835
|
Series 2021-2A, Class D, 4.46%, 4/20/2032 ‡ (a)
|
15,000
|
10,999
|
LFT CRE Ltd.
|
|
|
Series 2021-FL1, Class D, 6.33%, 6/15/2039 ‡ (a) (i)
|
22,600
|
20,946
|
Series 2021-FL1, Class E, 6.83%, 6/15/2039 ‡ (a) (i)
|
10,000
|
9,165
|
LL ABS Trust
|
|
|
Series 2020-1A, Class C, 6.54%, 1/17/2028 ‡ (a)
|
5,410
|
5,270
|
Series 2021-1A, Class A, 1.07%, 5/15/2029 (a)
|
3,999
|
3,831
|
Series 2021-1A, Class B, 2.17%, 5/15/2029 ‡ (a)
|
2,269
|
2,053
|
Series 2021-1A, Class C, 3.54%, 5/15/2029 ‡ (a)
|
5,120
|
4,503
|
LP LMS Asset Securitization Trust
|
|
|
8.35%, 10/15/2028 ‡
|
10,463
|
9,731
|
Series 2021-2A, Class C, 3.85%, 1/15/2029 ‡ (a)
|
8,895
|
8,071
|
Magnetite Ltd. (Cayman Islands) Series 2020-27A, Class ER, 10.24%, 10/20/2034 ‡ (a) (i)
|
7,000
|
6,109
|
Mariner Finance Issuance Trust
|
|
|
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a)
|
5,120
|
4,530
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 ‡ (a)
|
5,030
|
3,781
|
Marlette Funding Trust
|
|
|
Series 2022-2A, Class D, 7.50%, 8/15/2032 ‡ (a)
|
5,318
|
5,179
|
Series 2022-3A, Class B, 5.95%, 11/15/2032 ‡ (a)
|
2,250
|
2,194
|
Series 2022-3A, Class C, 6.89%, 11/15/2032 ‡ (a)
|
1,096
|
1,075
|
Series 2022-3A, Class D, 7.80%, 11/15/2032 ‡ (a)
|
2,550
|
2,496
|
ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (a)
|
27,276
|
26,417
|
New Economy Assets Phase 1 Sponsor LLC Series 2021-1, Class B1, 2.41%, 10/20/2061 ‡ (a)
|
2,550
|
2,100
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
New Residential Mortgage LLC Series 2020-FNT1, Class A, 5.44%, 6/25/2025 (a)
|
13,809
|
13,055
|
NRZ Excess Spread-Collateralized Notes
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)
|
6,425
|
5,848
|
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a)
|
5,370
|
4,759
|
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)
|
14,289
|
12,640
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a)
|
29,698
|
25,892
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
16,134
|
14,208
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)
|
4,976
|
4,552
|
Octane Receivables Trust Series 2019-1A, Class B, 3.77%, 7/22/2024 ‡ (a)
|
3,954
|
3,940
|
OnDeck Asset Securitization Trust III LLC
|
|
|
Series 2021-1A, Class A, 1.59%, 5/17/2027 (a)
|
2,685
|
2,441
|
Series 2021-1A, Class C, 2.97%, 5/17/2027 ‡ (a)
|
2,500
|
2,206
|
Series 2021-1A, Class D, 4.94%, 5/17/2027 ‡ (a)
|
2,027
|
1,770
|
OneMain Direct Auto Receivables Trust
|
|
|
Series 2022-1A, Class A1, 4.65%, 3/14/2029 (a)
|
6,233
|
6,027
|
Series 2019-1A, Class D, 4.68%, 4/14/2031 (a)
|
4,500
|
4,048
|
OneMain Financial Issuance Trust
|
|
|
Series 2018-2A, Class D, 4.29%, 3/14/2033 ‡ (a)
|
1,500
|
1,407
|
Series 2020-2A, Class A, 1.75%, 9/14/2035 (a)
|
6,822
|
5,954
|
Series 2020-2A, Class B, 2.21%, 9/14/2035 ‡ (a)
|
4,000
|
3,390
|
Oportun Issuance Trust
|
|
|
Series 2022-2, Class D, 11.34%, 10/9/2029 ‡
|
500
|
483
|
Series 2022-3, Class B, 8.53%, 1/8/2030 (a)
|
8,400
|
8,350
|
Series 2021-B, Class C, 3.65%, 5/8/2031 ‡ (a)
|
1,077
|
899
|
Series 2021-B, Class D, 5.41%, 5/8/2031 ‡ (a)
|
1,760
|
1,345
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (a)
|
8,663
|
7,698
|
Orange Lake Timeshare Trust
|
|
|
Series 2018-A, Class C, 3.74%, 11/8/2030 ‡ (a)
|
1,057
|
1,012
|
Series 2019-A, Class D, 4.93%, 4/9/2038 ‡ (a)
|
1,445
|
1,334
|
P2 Series 2021 A1, 3.00%, 12/20/2031 ‡ (a)
|
25,000
|
24,250
|
Pagaya AI Debt Selection Trust
|
|
|
Series 2020-3, Class C, 6.43%, 5/17/2027 ‡ (a)
|
3,396
|
3,320
|
Series 2021-1, Class B, 2.13%, 11/15/2027 ‡ (a)
|
4,998
|
4,665
|
Series 2021-3, Class B, 1.74%, 5/15/2029 (a)
|
11,339
|
10,294
|
Series 2021-3, Class C, 3.27%, 5/15/2029 ‡ (a)
|
37,967
|
31,729
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
Series 2021-4A, Class A1, 4.88%, 10/15/2029 (a) (i)
|
5,227
|
5,151
|
Series 2021-4A, Class C, 6.68%, 10/15/2029 ‡ (a) (i)
|
8,877
|
8,353
|
Series 2021-4A, Class D, 9.08%, 10/15/2029 ‡ (a) (i)
|
12,000
|
10,384
|
Planet Fitness Master Issuer LLC
|
|
|
Series 2018-1A, Class A2II, 4.67%, 9/5/2048 (a)
|
1,378
|
1,287
|
Series 2022-1A, Class A2I, 3.25%, 12/5/2051 (a)
|
6,440
|
5,589
|
PNMAC FMSR ISSUER TRUST Series 2018-FT1, Class A, 6.39%, 4/25/2023 (a) (i)
|
4,626
|
4,359
|
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 7.80%, 5/25/2027 (a) (i)
|
2,000
|
1,880
|
Popular ABS Mortgage Pass-Through Trust Series 2005-3, Class M1, 3.63%, 7/25/2035 ‡ (g)
|
139
|
132
|
PRET LLC
|
|
|
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (a) (g)
|
3,333
|
2,722
|
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 ‡ (a) (g)
|
5,000
|
4,379
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (a) (g)
|
14,000
|
11,497
|
Progress Residential Series 2021-SFR1, Class G, 3.86%, 4/17/2038 ‡ (a)
|
7,000
|
5,987
|
Progress Residential Trust
|
|
|
Series 2020-SFR3, Class F, 2.80%, 10/17/2027 ‡ (a)
|
5,000
|
4,374
|
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 ‡ (a)
|
3,000
|
2,661
|
Series 2019-SFR3, Class E, 3.37%, 9/17/2036 ‡ (a)
|
6,100
|
5,706
|
Series 2021-SFR11, Class F, 4.42%, 1/17/2039 ‡ (a)
|
8,000
|
6,378
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 ‡ (a)
|
10,211
|
8,035
|
Prosper Marketplace Issuance Trust Series 2019-2A, Class C, 5.05%, 9/15/2025 ‡ (a)
|
1,107
|
1,105
|
RAMP Trust Series 2002-RS2, Class AI5, 5.05%, 3/25/2032 ‡ (i)
|
53
|
48
|
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 6.50%, 12/27/2044 (a) (i)
|
6,836
|
6,484
|
Regional Management Issuance Trust
|
|
|
Series 2020-1, Class A, 2.34%, 10/15/2030 (a)
|
6,000
|
5,550
|
Series 2020-1, Class D, 6.77%, 10/15/2030 ‡ (a)
|
2,410
|
2,122
|
Series 2021-1, Class A, 1.68%, 3/17/2031 (a)
|
5,728
|
5,141
|
Series 2021-1, Class B, 2.42%, 3/17/2031 ‡ (a)
|
895
|
770
|
Series 2021-1, Class C, 3.04%, 3/17/2031 (a)
|
2,500
|
2,098
|
Series 2021-1, Class D, 5.07%, 3/17/2031 ‡ (a)
|
2,600
|
2,130
|
Renaissance Home Equity Loan Trust
|
|
|
Series 2003-4, Class M2F, 6.24%, 3/25/2034 ‡ (g)
|
106
|
99
|
Series 2005-2, Class M1, 5.05%, 8/25/2035 ‡ (g)
|
429
|
369
|
Renew (Cayman Islands) Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)
|
107
|
99
|
Repo Buyer Series 2019-PC, 6.85%, 8/15/2024 ‡ (i)
|
3,999
|
3,804
|
Repo Buyer RRI Trust, 3.06%, 4/14/2055 ‡
|
5,961
|
5,216
|
Republic Finance Issuance Trust
|
|
|
Series 2020-A, Class A, 2.47%, 11/20/2030 (a)
|
2,857
|
2,692
|
Series 2021-A, Class D, 5.23%, 12/22/2031 ‡ (a)
|
930
|
733
|
Santander Drive Auto Receivables Trust
|
|
|
Series 2022-2, Class B, 3.44%, 9/15/2027
|
2,940
|
2,829
|
Series 2022-2, Class C, 3.76%, 7/16/2029
|
3,100
|
2,918
|
Series 7, Class C, 6.69%, 3/17/2031
|
493
|
497
|
Santander Revolving Auto Loan Trust
|
|
|
Series 2019-A, Class C, 3.00%, 1/26/2032 (a)
|
880
|
813
|
Series 2019-A, Class D, 3.45%, 1/26/2032 (a)
|
8,085
|
7,324
|
SART
|
|
|
5.64%, 2/15/2024 ‡
|
1,001
|
991
|
5.01%, 4/15/2026 ‡
|
1,526
|
1,498
|
4.60%, 7/15/2026 ‡
|
1,888
|
1,817
|
SART CRR Series 4, Class B, 4.70%, 10/15/2024 ‡
|
2,004
|
1,904
|
SCF Equipment Leasing LLC
|
|
|
Series 2022-1A, Class E, 5.26%, 7/20/2032 ‡ (a)
|
2,354
|
2,015
|
Series 2022-1A, Class F, 6.00%, 7/20/2032 ‡ (a)
|
5,360
|
4,524
|
Series 2021-1A, Class E, 3.56%, 8/20/2032 ‡ (a)
|
3,300
|
2,998
|
Series 2021-1A, Class F, 5.52%, 8/20/2032 ‡ (a)
|
20,757
|
18,901
|
Service Experts Issuer LLC Series 2021-1A, Class A, 2.67%, 2/2/2032 (a)
|
693
|
629
|
Sierra Timeshare Receivables Funding LLC
|
|
|
Series 2019-1A, Class D, 4.75%, 1/20/2036 ‡ (a)
|
260
|
244
|
Series 2019-2A, Class D, 4.54%, 5/20/2036 ‡ (a)
|
724
|
677
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2019-3A, Class D, 4.18%, 8/20/2036 ‡ (a)
|
1,612
|
1,505
|
Series 2020-2A, Class D, 6.59%, 7/20/2037 ‡ (a)
|
4,019
|
3,839
|
Series 2021-2A, Class D, 3.23%, 9/20/2038 ‡ (a)
|
2,147
|
1,941
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 ‡ (a)
|
8,723
|
8,791
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 ‡ (a)
|
5,193
|
5,060
|
Small Business Lending Trust Series 2020-A, Class C, 5.01%, 12/15/2026 ‡ (a)
|
2,551
|
2,471
|
Sonic Capital LLC Series 2021-1A, Class A2II, 2.64%, 8/20/2051 (a)
|
5,354
|
3,878
|
Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025
|
288
|
285
|
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (a) (g)
|
7,500
|
6,293
|
Stratus CLO Ltd. (Cayman Islands) Series 2021-3A, Class E, 9.99%, 12/29/2029 ‡ (a) (i)
|
1,940
|
1,744
|
Structured Asset Investment Loan Trust Series 2004-8, Class M3, 5.02%, 9/25/2034 ‡ (i)
|
2
|
2
|
Tesla Auto Lease Trust
|
|
|
Series 2020-A, Class E, 4.64%, 8/20/2024 (a)
|
4,493
|
4,417
|
Series 2021-A, Class E, 2.64%, 3/20/2025 (a)
|
11,000
|
10,066
|
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (a)
|
5,900
|
5,874
|
Tricolor Auto Securitization Trust
|
|
|
Series 2021-1A, Class E, 3.23%, 9/15/2026 (a)
|
500
|
472
|
Series 2020-1A, Class B, 8.25%, 11/15/2026 (a)
|
6,349
|
6,322
|
Series 2021-1A, Class F, 5.08%, 5/15/2028 (a)
|
500
|
464
|
Tricon JV2 Series 2021-1 PC, 3.00%, 12/13/2023 ‡ (a)
|
4,980
|
4,830
|
United Airlines Pass-Through Trust
|
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
4,248
|
3,729
|
Series 2016-1, Class B, 3.65%, 1/7/2026
|
3,515
|
3,166
|
Upstart Pass-Through Trust
|
|
|
Series 2021-ST4, Class CERT, 0.00%, 7/20/2027 ‡ (a)
|
1,875
|
896
|
Series 2021-ST6, Class CERT, 0.00%, 8/20/2027 ‡ (a)
|
2,900
|
1,664
|
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a)
|
3,021
|
2,808
|
Series 2021-PT1, Class A, HB, 20.86%, 9/20/2027 (a) (i)
|
5,012
|
4,717
|
Series 2021-ST7, Class CERT, 0.00%, 9/20/2029 ‡ (a)
|
3,500
|
2,082
|
Series 2021-ST7, Class A, 1.85%, 9/20/2029 (a)
|
3,008
|
2,795
|
Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 ‡ (a)
|
2,670
|
1,414
|
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a)
|
2,031
|
1,883
|
Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 ‡ (a)
|
2,830
|
1,623
|
Series 2021-PT2, Class A, HB, 21.27%, 11/20/2029 (a) (i)
|
7,419
|
7,030
|
Series 2021-PT3, Class A, HB, 21.56%, 12/20/2029 (a) (i)
|
7,756
|
7,369
|
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a)
|
8,594
|
8,128
|
Series 2021-PT4, Class A, HB, 20.47%, 1/20/2030 (a) (i)
|
2,956
|
2,798
|
Series 2022-PT2, Class A, 18.39%, 2/20/2030 (a) (i)
|
7,871
|
7,979
|
Series 2022-PT1, Class A, 18.43%, 2/20/2030 (a) (i)
|
8,656
|
8,787
|
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a)
|
4,024
|
3,764
|
Series 2022-PT3, Class A, 18.96%, 4/20/2030 (a) (i)
|
6,367
|
6,722
|
Series 2022-PT4, Class A, 17.80%, 5/20/2030 (a) (i)
|
5,468
|
5,556
|
Upstart Securitization Trust
|
|
|
Series 2020-1, Class C, 4.90%, 4/22/2030 ‡ (a)
|
6,100
|
5,957
|
Series 2020-3, Class C, 6.25%, 11/20/2030 ‡ (a)
|
1,000
|
969
|
Series 2021-1, Class C, 4.06%, 3/20/2031 ‡ (a)
|
2,500
|
2,261
|
Series 2021-2, Class C, 3.61%, 6/20/2031 ‡ (a)
|
16,291
|
14,262
|
Series 2021-3, Class C, 3.28%, 7/20/2031 ‡ (a)
|
6,518
|
5,577
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-4, Class C, 3.19%, 9/20/2031 ‡ (a)
|
6,604
|
5,277
|
Series 2021-5, Class C, 4.15%, 11/20/2031 (a)
|
17,436
|
14,453
|
Series 2022-1, Class C, 5.71%, 3/20/2032 ‡ (a)
|
6,474
|
4,921
|
Series 2022-2, Class B, 6.10%, 5/20/2032 ‡ (a)
|
12,700
|
12,136
|
US Auto Funding
|
|
|
Series 2021-1A, Class A, 0.79%, 7/15/2024 (a)
|
706
|
703
|
Series 2021-1A, Class B, 1.49%, 3/17/2025 (a)
|
3,407
|
3,342
|
Series 2021-1A, Class C, 2.20%, 5/15/2026 (a)
|
8,054
|
7,620
|
Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)
|
10,392
|
9,502
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (a)
|
8,126
|
7,989
|
VCAT LLC Series 2021-NPL2, Class A2, 4.21%, 3/27/2051 (a) (g)
|
5,500
|
4,517
|
vMobo, Inc.
|
|
|
7.46%, 7/18/2027 ‡
|
10,257
|
9,641
|
9.46%, 7/18/2027 ‡
|
20,486
|
19,667
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (g)
|
12,488
|
11,052
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (g)
|
4,308
|
4,011
|
Voya CLO Ltd. (Cayman Islands) Series 2016-3A, Class CR, 7.44%, 10/18/2031 ‡ (a) (i)
|
535
|
460
|
Welk Resorts LLC
|
|
|
Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (a)
|
1,773
|
1,696
|
Series 2019-AA, Class D, 4.03%, 6/15/2038 ‡ (a)
|
699
|
671
|
Westgate Resorts LLC Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (a)
|
4,263
|
4,203
|
Westlake Automobile Receivables Trust
|
|
|
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a)
|
1,070
|
995
|
Series 2021-2A, Class D, 1.23%, 12/15/2026 (a)
|
1,380
|
1,259
|
Series 2021-2A, Class E, 2.38%, 3/15/2027 (a)
|
1,700
|
1,517
|
Series 2022-1A, Class D, 3.49%, 3/15/2027 (a)
|
812
|
746
|
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a)
|
5,700
|
4,964
|
Series 2022-2A, Class C, 4.85%, 9/15/2027 (a)
|
2,520
|
2,417
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a)
|
1,920
|
1,815
|
Series 2021-2A, Class F, 3.66%, 12/15/2027 (a)
|
2,975
|
2,613
|
ZAXBY'S FUNDING LLC Series 2021-1A, Class A2, 3.24%, 7/30/2051 (a)
|
6,710
|
5,446
|
Total Asset-Backed Securities
(Cost $2,604,039)
|
|
2,407,028
|
Collateralized Mortgage Obligations — 9.7%
|
||
Adjustable Rate Mortgage Trust Series 2006-2, Class 1A4, 3.23%, 5/25/2036 (i)
|
1,085
|
933
|
AG Mitt Frn, 0.00%, 9/15/2023 ‡ (a) (i)
|
13,158
|
12,829
|
Alternative Loan Trust
|
|
|
Series 2004-18CB, Class 5A1, 6.25%, 9/25/2034
|
20
|
19
|
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
14
|
14
|
Series 2005-23CB, Class A7, 5.25%, 7/25/2035
|
18
|
14
|
Series 2005-23CB, Class A16, 5.50%, 7/25/2035
|
50
|
40
|
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035
|
343
|
298
|
Series 2005-J14, Class A3, 5.50%, 12/25/2035
|
234
|
154
|
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037
|
483
|
265
|
Amden Homes Sf Frn 144a, 7.00%, 4/15/2026 ‡ (a)
|
16,936
|
16,598
|
Angel Oak Mortgage Trust
|
|
|
Series 2019-5, Class M1, 3.30%, 10/25/2049 ‡ (a) (i)
|
8,000
|
6,716
|
Series 2019-5, Class B1, 3.96%, 10/25/2049 ‡ (a) (i)
|
2,470
|
1,941
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2019-6, Class B3, 5.94%, 11/25/2059 ‡ (a) (i)
|
1,250
|
1,043
|
Series 2020-1, Class B1, 3.76%, 12/25/2059 ‡ (a) (i)
|
1,550
|
1,306
|
Angel Oak Mortgage Trust I LLC Series 2018-3, Class B1, 5.04%, 9/25/2048 ‡ (a) (i)
|
1,000
|
894
|
Arroyo Mortgage Trust
|
|
|
Series 2019-3, Class M1, 4.20%, 10/25/2048 ‡ (a) (i)
|
1,000
|
759
|
Series 2019-2, Class A3, 3.80%, 4/25/2049 (a) (i)
|
467
|
433
|
Banc of America Funding Trust Series 2007-5, Class 4A1, 4.41%, 7/25/2037 (i)
|
762
|
532
|
Bear Stearns ALT-A Trust Series 2004-7, Class 2A1, 3.54%, 8/25/2034 (i)
|
84
|
80
|
Bear Stearns Asset-Backed Securities Trust Series 2003-AC4, Class M1, 5.66%, 9/25/2033 ‡ (g)
|
82
|
65
|
Bellemeade Re Ltd. (Bermuda)
|
|
|
Series 2019-1A, Class M2, 6.74%, 3/25/2029 ‡ (a) (i)
|
1,000
|
991
|
Series 2019-3A, Class B1, 6.54%, 7/25/2029 ‡ (a) (i)
|
1,000
|
984
|
Cascade MH Asset Trust Series 2022-MH1, Class A, 4.25%, 8/25/2054 (a) (g)
|
9,862
|
8,617
|
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 4.44%, 4/25/2046 (i)
|
791
|
641
|
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8, Class 1A5, 5.50%, 11/25/2035
|
35
|
31
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
Series 2004-NCM2, Class 3CB2, 6.50%, 8/25/2019 ‡
|
6
|
6
|
Series 2003-1, Class 3A5, 5.25%, 9/25/2033
|
45
|
41
|
Connecticut Avenue Securities Trust
|
|
|
Series 2018-R07, Class 1B1, 8.39%, 4/25/2031 (a) (i)
|
8,186
|
8,253
|
Series 2019-R01, Class 2B1, 8.37%, 7/25/2031 (a) (i)
|
4,606
|
4,480
|
Series 2019-R02, Class 1B1, 8.17%, 8/25/2031 ‡ (a) (i)
|
13,130
|
13,064
|
Series 2019-R04, Class 2B1, 9.29%, 6/25/2039 ‡ (a) (i)
|
4,310
|
4,274
|
Series 2019-R05, Class 1B1, 8.12%, 7/25/2039 ‡ (a) (i)
|
9,622
|
9,398
|
Series 2019-R06, Class 2B1, 7.79%, 9/25/2039 ‡ (a) (i)
|
31,974
|
31,015
|
Series 2019-R07, Class 1B1, 7.42%, 10/25/2039 ‡ (a) (i)
|
29,337
|
28,007
|
Series 2020-R02, Class 2B1, 7.02%, 1/25/2040 ‡ (a) (i)
|
2,834
|
2,395
|
Series 2020-R01, Class 1B1, 7.27%, 1/25/2040 ‡ (a) (i)
|
2,000
|
1,832
|
Series 2020-SBT1, Class 1B1, 10.77%, 2/25/2040 ‡ (a) (i)
|
2,300
|
2,043
|
Series 2021-R01, Class 1B1, 6.62%, 10/25/2041 ‡ (a) (i)
|
2,600
|
2,389
|
Series 2021-R03, Class 1B1, 6.27%, 12/25/2041 ‡ (a) (i)
|
6,000
|
5,344
|
Series 2022-R01, Class 1B1, 6.67%, 12/25/2041 ‡ (a) (i)
|
8,378
|
7,672
|
Series 2021-R03, Class 1B2, 9.02%, 12/25/2041 ‡ (a) (i)
|
3,000
|
2,531
|
Series 2022-R01, Class 1B2, 9.52%, 12/25/2041 ‡ (a) (i)
|
3,813
|
3,257
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4, Class 2A5, 4.59%, 6/25/2035 (i)
|
185
|
130
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-1, Class 3A5, 6.16%, 12/25/2033 (g)
|
94
|
88
|
Eagle RE Ltd. (Bermuda) Series 2019-1, Class M2, 7.34%, 4/25/2029 ‡ (a) (i)
|
6,240
|
5,946
|
FARM Mortgage Trust Series 2021-1, Class B, 3.24%, 7/25/2051 ‡ (a) (i)
|
1,615
|
1,117
|
FHLMC STACR REMIC Trust
|
|
|
Series 2021-DNA5, Class B2, 9.02%, 1/25/2034 (a) (i)
|
3,400
|
2,599
|
Series 2020-HQA3, Class B1, 9.77%, 7/25/2050 (a) (i)
|
10,000
|
10,220
|
Series 2020-DNA4, Class B1, 10.02%, 8/25/2050 (a) (i)
|
10,807
|
11,438
|
Series 2021-DNA1, Class B2, 8.27%, 1/25/2051 ‡ (a) (i)
|
6,400
|
4,729
|
FHLMC STACR Trust
|
|
|
Series 2018-DNA2, Class B1, 7.72%, 12/25/2030 (a) (i)
|
1,000
|
981
|
Series 2018-HQA2, Class B1, 8.27%, 10/25/2048 (a) (i)
|
3,935
|
3,891
|
Series 2019-DNA1, Class B2, 14.77%, 1/25/2049 (a) (i)
|
8,135
|
8,617
|
Series 2019-DNA2, Class B1, 8.37%, 3/25/2049 (a) (i)
|
4,940
|
5,020
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2019-HQA2, Class B2, 15.27%, 4/25/2049 (a) (i)
|
5,000
|
5,151
|
Series 2019-DNA4, Class B2, 10.27%, 10/25/2049 (a) (i)
|
5,000
|
4,444
|
FHLMC Structured Agency Credit Risk Debt Notes
|
|
|
Series 2017-DNA2, Class B1, 9.17%, 10/25/2029 (i)
|
11,000
|
11,563
|
Series 2017-HQA2, Class B1, 8.77%, 12/25/2029 (i)
|
2,500
|
2,533
|
Series 2017-DNA3, Class B1, 8.47%, 3/25/2030 (i)
|
7,100
|
7,259
|
Series 2017-HQA3, Class B1, 8.47%, 4/25/2030 (i)
|
1,000
|
1,006
|
Series 2018-DNA1, Class B1, 7.17%, 7/25/2030 (i)
|
1,680
|
1,630
|
Series 2018-HQA1, Class B1, 8.37%, 9/25/2030 (i)
|
39,415
|
39,125
|
Series 2021-DNA2, Class M2, 5.82%, 8/25/2033 (a) (i)
|
3,400
|
3,285
|
Series 2021-DNA2, Class B2, 9.52%, 8/25/2033 (a) (i)
|
9,500
|
7,743
|
FHLMC, REMIC
|
|
|
Series 4102, Class BI, IO, 3.50%, 8/15/2027
|
1,588
|
98
|
Series 4149, IO, 3.00%, 1/15/2033
|
319
|
28
|
Series 4160, IO, 3.00%, 1/15/2033
|
869
|
75
|
Series 4212, Class MI, IO, 3.00%, 6/15/2033
|
1,209
|
139
|
Series 2916, Class S, IF, IO, 3.38%, 1/15/2035 (i)
|
1,667
|
133
|
Series 3145, Class GI, IF, IO, 2.73%, 4/15/2036 (i)
|
1,649
|
126
|
Series 4116, Class LS, IF, IO, 2.33%, 10/15/2042 (i)
|
234
|
26
|
Series 4495, Class PI, IO, 4.00%, 9/15/2043
|
240
|
22
|
Series 4321, Class PI, IO, 4.50%, 1/15/2044
|
292
|
45
|
Series 4670, Class TI, IO, 4.50%, 1/15/2044
|
371
|
38
|
Series 4550, Class DI, IO, 4.00%, 3/15/2044
|
176
|
18
|
Series 4612, Class QI, IO, 3.50%, 5/15/2044
|
311
|
46
|
Series 4612, Class PI, IO, 3.50%, 6/15/2044
|
29
|
5
|
Series 4657, Class QI, IO, 4.00%, 9/15/2044
|
292
|
28
|
Series 4585, Class JI, IO, 4.00%, 5/15/2045
|
308
|
46
|
Series 4628, Class PI, IO, 4.00%, 7/15/2045
|
202
|
27
|
Series 4599, Class SA, IF, IO, 2.13%, 7/15/2046 (i)
|
203
|
22
|
Series 4681, Class SD, IF, IO, 2.28%, 5/15/2047 (i)
|
424
|
53
|
Series 4694, Class SA, IF, IO, 2.23%, 6/15/2047 (i)
|
706
|
90
|
Series 4689, Class SD, IF, IO, 2.28%, 6/15/2047 (i)
|
626
|
82
|
Series 4707, Class SA, IF, IO, 2.28%, 8/15/2047 (i)
|
645
|
78
|
Series 4714, Class SA, IF, IO, 2.28%, 8/15/2047 (i)
|
499
|
60
|
Series 4746, Class SC, IF, IO, 2.28%, 1/15/2048 (i)
|
7,810
|
964
|
Series 4910, Class PI, IO, 5.00%, 7/25/2049
|
2,023
|
450
|
Series 4919, Class SH, IF, IO, 1.98%, 9/25/2049 (i)
|
10,825
|
978
|
Series 5011, Class MI, IO, 3.00%, 9/25/2050
|
38,944
|
6,278
|
Series 5023, Class HI, IO, 3.00%, 10/25/2050
|
10,951
|
1,771
|
Series 5052, Class EI, IO, 3.00%, 12/25/2050
|
31,428
|
5,136
|
Series 5072, Class BI, IO, 3.00%, 2/25/2051
|
38,558
|
6,208
|
Series 5143, Class PI, IO, 2.50%, 5/25/2051
|
3,185
|
406
|
Series 5143, Class Z, 2.50%, 5/25/2051
|
1,499
|
898
|
Series 5148, Class PI, IO, 2.50%, 10/25/2051
|
9,214
|
1,072
|
Series 5148, Class PZ, 2.50%, 10/25/2051
|
6,053
|
3,868
|
Series 5151, Class KZ, 2.50%, 10/25/2051
|
4,244
|
2,747
|
Series 5154, Class QI, IO, 2.50%, 10/25/2051
|
12,582
|
1,419
|
Series 5154, Class ZQ, 2.50%, 10/25/2051
|
10,142
|
6,685
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 5149, Class ZB, 3.00%, 10/25/2051
|
1,145
|
805
|
Series 4839, Class WS, IF, IO, 2.23%, 8/15/2056 (i)
|
26,542
|
3,330
|
FHLMC, STRIPS
|
|
|
Series 304, Class C32, IO, 3.00%, 12/15/2027
|
153
|
8
|
Series 342, Class S7, IF, IO, 2.24%, 2/15/2045 (i)
|
7,982
|
862
|
FNMA, Connecticut Avenue Securities
|
|
|
Series 2015-C03, Class 1M2, 9.02%, 7/25/2025 ‡ (i)
|
1,143
|
1,158
|
Series 2017-C01, Class 1B1, 9.77%, 7/25/2029 (i)
|
28,205
|
30,286
|
Series 2017-C02, Class 2B1, 9.52%, 9/25/2029 (i)
|
25,784
|
27,587
|
Series 2017-C03, Class 1B1, 8.87%, 10/25/2029 (i)
|
4,577
|
4,743
|
Series 2017-C04, Class 2B1, 9.07%, 11/25/2029 (i)
|
2,500
|
2,580
|
Series 2017-C05, Class 1B1, 7.62%, 1/25/2030 (i)
|
6,260
|
6,170
|
Series 2017-C06, Class 1B1, 8.17%, 2/25/2030 (i)
|
7,255
|
7,385
|
Series 2017-C06, Class 2B1, 8.47%, 2/25/2030 (i)
|
8,015
|
8,175
|
Series 2017-C07, Class 1B1, 8.04%, 5/25/2030 (i)
|
5,700
|
5,757
|
Series 2018-C01, Class 1B1, 7.57%, 7/25/2030 (i)
|
7,870
|
7,803
|
Series 2018-C04, Class 2B1, 8.52%, 12/25/2030 (i)
|
4,250
|
4,175
|
Series 2018-C05, Class 1B1, 8.27%, 1/25/2031 (i)
|
3,000
|
3,033
|
Series 2018-C06, Class 1B1, 7.77%, 3/25/2031 (i)
|
16,560
|
16,275
|
Series 2018-C06, Class 2B1, 8.12%, 3/25/2031 (i)
|
2,860
|
2,839
|
Series 2021-R02, Class 2B1, 6.82%, 11/25/2041 (a) (i)
|
4,983
|
4,469
|
Series 2021-R02, Class 2B2, 9.72%, 11/25/2041 (a) (i)
|
2,032
|
1,657
|
FNMA, REMIC
|
|
|
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031
|
653
|
52
|
Series 2012-93, Class FS, IF, IO, 2.13%, 9/25/2032 (i)
|
2,280
|
164
|
Series 2013-55, Class AI, IO, 3.00%, 6/25/2033
|
1,818
|
190
|
Series 2003-76, Class SB, IF, IO, 3.03%, 8/25/2033 (i)
|
1,625
|
144
|
Series 2021-13, Class DI, IO, 3.50%, 1/25/2036
|
7,548
|
1,000
|
Series 2006-42, Class LI, IF, IO, 2.54%, 6/25/2036 (i)
|
1,359
|
135
|
Series 2011-79, Class SD, IF, IO, 1.88%, 8/25/2041 (i)
|
3,609
|
327
|
Series 2011-78, Class JS, IF, IO, 1.98%, 8/25/2041 (i)
|
1,920
|
140
|
Series 2012-133, Class HS, IF, IO, 2.13%, 12/25/2042 (i)
|
212
|
25
|
Series 2012-133, Class NS, IF, IO, 2.13%, 12/25/2042 (i)
|
929
|
96
|
Series 2012-148, Class US, IF, 0.85%, 1/25/2043 (i)
|
1,016
|
792
|
Series 2016-6, Class KI, IO, 4.00%, 2/25/2044
|
362
|
55
|
Series 2015-35, Class SA, IF, IO, 1.58%, 6/25/2045 (i)
|
8,542
|
613
|
Series 2016-43, Class MI, IO, 4.00%, 10/25/2045
|
338
|
60
|
Series 2016-56, Class ST, IF, IO, 1.98%, 8/25/2046 (i)
|
5,410
|
608
|
Series 2016-63, Class AS, IF, IO, 1.98%, 9/25/2046 (i)
|
106
|
12
|
Series 2016-75, Class SC, IF, IO, 2.08%, 10/25/2046 (i)
|
7,416
|
588
|
Series 2016-95, Class ES, IF, IO, 1.98%, 12/25/2046 (i)
|
1,697
|
198
|
Series 2016-90, Class IN, IO, 3.50%, 12/25/2046
|
345
|
61
|
Series 2017-13, Class AS, IF, IO, 2.03%, 2/25/2047 (i)
|
651
|
76
|
Series 2017-6, Class SB, IF, IO, 2.03%, 2/25/2047 (i)
|
111
|
12
|
Series 2017-16, Class SM, IF, IO, 2.03%, 3/25/2047 (i)
|
3,691
|
444
|
Series 2017-39, Class ST, IF, IO, 2.08%, 5/25/2047 (i)
|
1,371
|
169
|
Series 2017-70, Class SA, IF, IO, 2.13%, 9/25/2047 (i)
|
952
|
106
|
Series 2017-69, Class SH, IF, IO, 2.18%, 9/25/2047 (i)
|
760
|
96
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2017-90, Class SP, IF, IO, 2.13%, 11/25/2047 (i)
|
2,679
|
306
|
Series 2017-112, Class SC, IF, IO, 2.13%, 1/25/2048 (i)
|
3,347
|
384
|
Series 2018-16, Class SN, IF, IO, 2.23%, 3/25/2048 (i)
|
1,567
|
193
|
Series 2018-27, Class SE, IF, IO, 2.18%, 5/25/2048 (i)
|
3,009
|
408
|
Series 2018-67, Class SN, IF, IO, 2.18%, 9/25/2048 (i)
|
6,217
|
746
|
Series 2018-73, Class SC, IF, IO, 2.18%, 10/25/2048 (i)
|
3,762
|
390
|
Series 2019-32, Class PI, IO, 5.00%, 10/25/2048
|
1,006
|
213
|
Series 2019-47, Class QI, IO, 4.50%, 6/25/2049
|
1,806
|
361
|
Series 2019-37, Class CS, IF, IO, 2.03%, 7/25/2049 (i)
|
3,854
|
416
|
Series 2019-42, Class SK, IF, IO, 2.03%, 8/25/2049 (i)
|
6,974
|
771
|
Series 2020-89, Class GI, IO, 3.00%, 12/25/2050
|
58,078
|
10,236
|
Series 2020-100, Class IA, IO, 3.00%, 1/25/2051
|
95,500
|
15,712
|
Series 2021-8, Class GI, IO, 3.00%, 3/25/2051
|
12,830
|
2,006
|
Series 2017-57, Class SA, IF, IO, 2.08%, 8/25/2057 (i)
|
812
|
103
|
FNMA, STRIPS
|
|
|
Series 421, Class 7, IO, 3.50%, 5/25/2030
|
103
|
5
|
Series 421, Class C3, IO, 4.00%, 7/25/2030
|
269
|
21
|
GCAT Trust
|
|
|
Series 2020-NQM1, Class M1, 2.93%, 1/25/2060 ‡ (a) (i)
|
10,871
|
8,978
|
Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 ‡ (a) (i)
|
3,000
|
2,291
|
GMACM Mortgage Loan Trust Series 2004-J2, Class A8, 5.75%, 6/25/2034
|
31
|
30
|
GNMA
|
|
|
Series 2013-182, Class MS, IF, IO, 2.20%, 12/20/2043 (i)
|
8,741
|
980
|
Series 2015-110, Class MS, IF, IO, 1.77%, 8/20/2045 (i)
|
5,141
|
474
|
Series 2016-49, Class SB, IF, IO, 2.11%, 4/20/2046 (i)
|
3,349
|
296
|
Series 2016-83, Class SA, IF, IO, 2.16%, 6/20/2046 (i)
|
2,376
|
276
|
Series 2016-108, Class SN, IF, IO, 2.14%, 8/20/2046 (i)
|
12,188
|
1,418
|
Series 2016-108, Class SM, IF, IO, 2.16%, 8/20/2046 (i)
|
2,922
|
333
|
Series 2016-111, Class SA, IF, IO, 2.16%, 8/20/2046 (i)
|
4,561
|
497
|
Series 2016-120, Class NS, IF, IO, 2.16%, 9/20/2046 (i)
|
3,177
|
403
|
Series 2016-120, Class SA, IF, IO, 2.16%, 9/20/2046 (i)
|
14,669
|
1,662
|
Series 2016-146, Class NS, IF, IO, 2.16%, 10/20/2046 (i)
|
4,037
|
474
|
Series 2016-147, Class AS, IF, IO, 2.16%, 10/20/2046 (i)
|
5,284
|
621
|
Series 2017-36, Class SL, IF, IO, 2.31%, 3/16/2047 (i)
|
6,646
|
903
|
Series 2019-132, Class KI, IO, 3.50%, 3/20/2047
|
393
|
21
|
Series 2017-68, Class DS, IF, IO, 2.21%, 5/20/2047 (i)
|
10,709
|
1,088
|
Series 2017-68, Class SA, IF, IO, 2.21%, 5/20/2047 (i)
|
2,615
|
300
|
Series 2017-80, Class AS, IF, IO, 2.26%, 5/20/2047 (i)
|
2,626
|
316
|
Series 2017-85, Class SA, IF, IO, 2.21%, 6/20/2047 (i)
|
3,408
|
333
|
Series 2017-107, Class KS, IF, IO, 2.26%, 7/20/2047 (i)
|
4,681
|
466
|
Series 2017-120, Class ES, IF, IO, 2.26%, 8/20/2047 (i)
|
4,873
|
580
|
Series 2017-134, Class SB, IF, IO, 2.26%, 9/20/2047 (i)
|
3,185
|
317
|
Series 2017-134, Class SD, IF, IO, 2.26%, 9/20/2047 (i)
|
6,420
|
754
|
Series 2017-155, Class KS, IF, IO, 2.26%, 10/20/2047 (i)
|
3,999
|
386
|
Series 2017-161, Class DS, IF, IO, 2.31%, 10/20/2047 (i)
|
3,352
|
406
|
Series 2017-163, Class HS, IF, IO, 2.26%, 11/20/2047 (i)
|
7,276
|
720
|
Series 2017-180, Class SD, IF, IO, 2.26%, 12/20/2047 (i)
|
4,347
|
431
|
Series 2018-6, Class CS, IF, IO, 2.26%, 1/20/2048 (i)
|
3,654
|
426
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2018-36, Class SG, IF, IO, 2.26%, 3/20/2048 (i)
|
3,109
|
364
|
Series 2018-46, Class AS, IF, IO, 2.26%, 3/20/2048 (i)
|
12,012
|
1,237
|
Series 2018-63, Class BS, IF, IO, 2.26%, 4/20/2048 (i)
|
7,177
|
839
|
Series 2018-63, Class SB, IF, IO, 2.26%, 4/20/2048 (i)
|
3,310
|
381
|
Series 2018-65, Class DS, IF, IO, 2.26%, 5/20/2048 (i)
|
4,046
|
389
|
Series 2018-147, Class SD, IF, IO, 2.21%, 10/20/2048 (i)
|
2,299
|
230
|
Series 2019-33, Class PI, IO, 4.00%, 11/20/2048
|
89
|
21
|
Series 2019-1, Class SG, IF, IO, 2.11%, 1/20/2049 (i)
|
9,145
|
800
|
Series 2019-49, Class SB, IF, IO, 1.60%, 4/20/2049 (i)
|
4,591
|
312
|
Series 2019-42, Class SJ, IF, IO, 2.11%, 4/20/2049 (i)
|
4,763
|
503
|
Series 2019-43, Class LS, IF, IO, 2.11%, 4/20/2049 (i)
|
2,495
|
214
|
Series 2019-65, Class ST, IF, IO, 2.11%, 5/20/2049 (i)
|
10,052
|
821
|
Series 2019-85, Class CS, IF, IO, 2.16%, 7/20/2049 (i)
|
16,603
|
1,349
|
Series 2019-86, Class ST, IF, IO, 2.16%, 7/20/2049 (i)
|
4,932
|
394
|
Series 2019-99, Class SJ, IF, IO, 2.11%, 8/20/2049 (i)
|
7,448
|
651
|
Series 2019-120, Class DS, IF, IO, 2.11%, 9/20/2049 (i)
|
9,366
|
976
|
Series 2019-132, Class SK, IF, IO, 2.11%, 10/20/2049 (i)
|
7,261
|
742
|
Series 2019-138, Class SW, IF, IO, 2.11%, 10/20/2049 (i)
|
2,287
|
216
|
Series 2019-158, Class SG, IF, IO, 2.11%, 12/20/2049 (i)
|
11,381
|
1,068
|
Series 2020-86, Class TS, IF, IO, 1.66%, 6/20/2050 (i)
|
11,688
|
881
|
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051
|
176,634
|
22,990
|
Series 2021-23, Class IA, IO, 2.50%, 2/20/2051
|
87,210
|
11,304
|
Series 2021-81, Class IC, IO, 3.00%, 5/20/2051
|
21,787
|
3,205
|
Series 2021-91, Class CI, IO, 3.00%, 5/20/2051
|
18,745
|
2,734
|
Series 2021-117, Class NI, IO, 3.00%, 7/20/2051
|
60,780
|
8,855
|
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051
|
72,026
|
10,428
|
Series 2021-162, Class NZ, 2.50%, 9/20/2051
|
4,591
|
3,117
|
Series 2021-162, Class Z, 2.50%, 9/20/2051
|
4,709
|
3,210
|
Series 2021-165, Class ZJ, 2.50%, 9/20/2051
|
4,701
|
3,024
|
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051
|
22,677
|
3,292
|
Series 2015-H13, Class GI, IO, 1.43%, 4/20/2065 (i)
|
1,362
|
32
|
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡
|
137
|
127
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (a) (i)
|
159
|
38
|
GSR Mortgage Loan Trust Series 2005-AR6, Class 2A1, 3.60%, 9/25/2035 (i)
|
104
|
97
|
HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 4.30%, 1/25/2047 (i)
|
6,714
|
5,942
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 9.02%, 10/25/2034 ‡ (a) (i)
|
12,500
|
12,147
|
Homeward Opportunities Fund Trust Series 2020-BPL1, Class A2, 5.44%, 8/25/2025 (a) (g)
|
4,088
|
4,078
|
Impac CMB Trust Series 2005-1, Class 1A2, 4.66%, 4/25/2035 (i)
|
170
|
154
|
IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 3.14%, 9/25/2037 (i)
|
13,231
|
9,551
|
JPMorgan Alternative Loan Trust Series 2006-S3, Class A4, 6.81%, 8/25/2036 (g)
|
1,515
|
1,398
|
JPMorgan Mortgage Trust Series 2006-S1, Class 1A1, 6.00%, 4/25/2036
|
33
|
33
|
Lehman Mortgage Trust Series 2007-7, Class 5A7, 6.50%, 8/25/2037
|
11,049
|
5,751
|
LHOME Mortgage Trust Series 2020-RTL1, Class A2, 3.72%, 10/25/2024 (a) (g)
|
4,250
|
4,088
|
MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.90%, 8/25/2033 ‡ (i)
|
42
|
26
|
MASTR Asset Securitization Trust Series 2003-11, Class 7A2, 5.25%, 12/25/2033
|
24
|
20
|
Merrill Lynch Mortgage Investors Trust Series 2003-A5, Class 2A6, 3.31%, 8/25/2033 (i)
|
37
|
34
|
MFA Trust Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (g)
|
3,490
|
3,283
|
Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A2, 3.95%, 4/28/2066 (a) (i)
|
14,000
|
12,409
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
New Residential Mortgage Loan Trust
|
|
|
Series 2019-2A, Class A1IB, IO, 1.00%, 12/25/2057 (a) (i)
|
9,756
|
208
|
Series 2018-3A, Class A1IC, IO, 1.50%, 5/25/2058 (a) (i)
|
23,527
|
829
|
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 ‡ (a) (i)
|
3,042
|
2,448
|
Ocwen Series 2021-GNMSR1, 5.00%, 3/15/2023 ‡
|
15,825
|
15,350
|
PMT Credit Risk Transfer Trust Series 2021-1R, Class A, 6.95%, 2/27/2024 (a) (i)
|
10,293
|
9,816
|
PNMAC FMSR ISSUER TRUST
|
|
|
Series 2018-GT1, Class A, 6.89%, 2/25/2023 (a) (i)
|
4,655
|
4,516
|
Series 2018-GT2, Class A, 6.69%, 8/25/2025 (a) (i)
|
4,320
|
4,123
|
PRET LLC Series 2022-NPL4, Class A1, 6.56%, 8/25/2052 (a) (g)
|
11,342
|
11,149
|
PRPM LLC
|
|
|
Series 2020-4, Class A2, 3.44%, 10/25/2025 ‡ (a) (g)
|
7,000
|
6,703
|
Series 2021-1, Class A2, 3.72%, 1/25/2026 (a) (i)
|
5,000
|
4,476
|
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (g)
|
24,414
|
21,846
|
Series 2021-6, Class A2, 3.47%, 7/25/2026 (a) (g)
|
2,749
|
2,247
|
Series 2021-7, Class A2, 3.67%, 8/25/2026 (a) (g)
|
11,837
|
9,682
|
Series 2021-8, Class A2, 3.60%, 9/25/2026 (a) (i)
|
5,500
|
4,505
|
Series 2021-10, Class A2, 4.83%, 10/25/2026 (a) (g)
|
5,000
|
4,305
|
RAAC Trust Series 2005-SP1, Class 4A1, 7.00%, 9/25/2034
|
50
|
47
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 10.30%, 9/25/2032 ‡ (a) (i)
|
9,000
|
8,585
|
Rillion Capital Iii Frn, 7.25%, 11/15/2024 ‡
|
10,064
|
10,064
|
River Rock Sfr Frn 144a, 9.25%, 10/15/2024 ‡ (a)
|
1,257
|
1,232
|
RSFR Series 2020-1, Class PT, 4.21%, 2/17/2025 (a) (g)
|
19,566
|
18,929
|
SART Series 2017-1, 4.75%, 7/15/2024
|
109
|
107
|
Seasoned Credit Risk Transfer Trust
|
|
|
Series 2017-3, Class A, IO, 0.00%, 7/25/2056 (i)
|
19,583
|
12
|
Series 2021-2, Class BXS, 9.01%, 11/25/2060 ‡ (a) (i)
|
4,998
|
3,836
|
Series RR Trust Series 2015-1, Class B, PO, 4/26/2048 (a)
|
14,737
|
12,378
|
STACR Trust
|
|
|
Series 2018-HRP2, Class M3, 6.42%, 2/25/2047 ‡ (a) (i)
|
12,627
|
12,307
|
Series 2018-HRP2, Class B1, 8.22%, 2/25/2047 (a) (i)
|
2,825
|
2,707
|
Series 2018-DNA3, Class B1, 7.92%, 9/25/2048 ‡ (a) (i)
|
7,685
|
7,611
|
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 6.43%, 10/25/2037 (i)
|
1,887
|
1,640
|
Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1, 4.89%, 5/25/2047 (i)
|
13,468
|
10,453
|
Towd Point Mortgage Trust
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (a) (g)
|
2,710
|
2,549
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
30,000
|
28,163
|
TVC Mortgage Trust Series 2020-RTL1, Class A2, 3.97%, 9/25/2024 (a) (g)
|
5,500
|
5,291
|
Verus Securitization Trust
|
|
|
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 ‡ (a) (i)
|
7,606
|
6,133
|
Series 2019-4, Class B1, 3.86%, 11/25/2059 ‡ (a) (i)
|
2,200
|
1,727
|
Series 2020-1, Class M1, 3.02%, 1/25/2060 ‡ (a) (i)
|
1,990
|
1,434
|
Series 2020-2, Class A1, 2.23%, 5/25/2060 (a) (i)
|
100
|
95
|
Series 2022-4, Class A1, 4.47%, 4/25/2067 (a) (g)
|
970
|
928
|
Visio Trust Series 2019-2, Class B1, 3.91%, 11/25/2054 ‡ (a) (i)
|
820
|
578
|
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (i)
|
12,000
|
11,065
|
WaMu Mortgage Pass-Through Certificates Series 2003-S4, Class 2A2, 5.50%, 6/25/2033
|
63
|
60
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
Series 2003-AR8, Class A, 4.16%, 8/25/2033 (i)
|
95
|
89
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
53
|
51
|
Series 2005-AR7, Class A3, 3.64%, 8/25/2035 (i)
|
58
|
53
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2006-AR8, Class 2A, 2.54%, 10/25/2046 (i)
|
2,264
|
1,821
|
Total Collateralized Mortgage Obligations
(Cost $1,055,807)
|
|
960,492
|
Mortgage-Backed Securities — 8.0%
|
||
FNMA UMBS, 30 Year Pool # MA4847, 6.00%, 11/1/2052
|
1,182
|
1,210
|
GNMA II, 30 Year
|
|
|
Pool # BF2605, 5.50%, 5/20/2048
|
339
|
352
|
Pool # BJ9839, 4.38%, 4/20/2049
|
129
|
126
|
GNMA II, Single Family, 30 Year
|
|
|
TBA, 4.50%, 12/15/2052 (j)
|
258,000
|
252,689
|
TBA, 5.00%, 12/15/2052 (j)
|
423,544
|
423,147
|
TBA, 5.50%, 12/15/2052 (j)
|
116,080
|
117,457
|
Total Mortgage-Backed Securities
(Cost $771,327)
|
|
794,981
|
Foreign Government Securities — 3.5%
|
||
Dominican Republic Government Bond
|
|
|
6.00%, 2/22/2033 (a)
|
753
|
678
|
6.00%, 2/22/2033 (e)
|
8,400
|
7,560
|
6.40%, 6/5/2049 (e)
|
1,600
|
1,296
|
5.88%, 1/30/2060 (a)
|
13,650
|
10,101
|
5.88%, 1/30/2060 (e)
|
13,200
|
9,768
|
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (e)
|
3,129
|
1,913
|
Federal Republic of Nigeria
|
|
|
6.50%, 11/28/2027 (e)
|
5,400
|
4,286
|
6.13%, 9/28/2028 (a)
|
7,847
|
6,032
|
7.14%, 2/23/2030 (e)
|
21,500
|
16,582
|
7.38%, 9/28/2033 (a)
|
4,405
|
3,210
|
7.70%, 2/23/2038 (e)
|
5,700
|
3,962
|
7.63%, 11/28/2047 (e)
|
3,200
|
2,104
|
8.25%, 9/28/2051 (a)
|
4,263
|
2,909
|
Federative Republic of Brazil 3.88%, 6/12/2030
|
2,400
|
2,093
|
Gabonese Republic 7.00%, 11/24/2031 (a)
|
7,600
|
6,257
|
Hashemite Kingdom of Jordan
|
|
|
5.85%, 7/7/2030 (e)
|
5,600
|
4,990
|
7.38%, 10/10/2047 (e)
|
7,600
|
6,346
|
Islamic Republic of Pakistan
|
|
|
8.25%, 9/30/2025 (e)
|
3,100
|
1,411
|
6.00%, 4/8/2026 (a)
|
19,530
|
8,009
|
7.38%, 4/8/2031 (a)
|
8,513
|
3,071
|
Kingdom of Bahrain
|
|
|
6.75%, 9/20/2029 (e)
|
1,700
|
1,688
|
5.45%, 9/16/2032 (a)
|
9,389
|
8,239
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
Republic of Angola
|
|
|
9.50%, 11/12/2025 (e)
|
700
|
713
|
8.25%, 5/9/2028 (e)
|
1,900
|
1,765
|
8.00%, 11/26/2029 (e)
|
11,400
|
10,303
|
8.00%, 11/26/2029 (a)
|
5,720
|
5,169
|
8.75%, 4/14/2032 (a)
|
5,266
|
4,706
|
9.13%, 11/26/2049 (e)
|
5,700
|
4,679
|
Republic of Armenia
|
|
|
3.60%, 2/2/2031 (e)
|
1,200
|
917
|
3.60%, 2/2/2031 (a)
|
5,100
|
3,899
|
Republic of Colombia 8.00%, 4/20/2033 (j)
|
2,010
|
1,997
|
Republic of Costa Rica
|
|
|
6.13%, 2/19/2031 (e)
|
17,500
|
16,931
|
5.63%, 4/30/2043 (e)
|
1,200
|
963
|
7.00%, 4/4/2044 (e)
|
1,000
|
934
|
Republic of Cote d'Ivoire
|
|
|
6.38%, 3/3/2028 (e)
|
16,537
|
15,855
|
5.75%, 12/31/2032 (e) (g)
|
1,920
|
1,856
|
6.13%, 6/15/2033 (e)
|
17,000
|
15,024
|
Republic of Ecuador
|
|
|
5.50%, 7/31/2030 (e) (g)
|
6,170
|
3,736
|
2.50%, 7/31/2035 (e) (g)
|
2,090
|
910
|
Republic of El Salvador
|
|
|
6.38%, 1/18/2027 (e)
|
500
|
204
|
8.63%, 2/28/2029 (e)
|
7,700
|
3,245
|
7.63%, 2/1/2041 (e)
|
4,400
|
1,595
|
7.12%, 1/20/2050 (e)
|
10,900
|
3,938
|
Republic of Ghana
|
|
|
6.38%, 2/11/2027 (e)
|
10,700
|
4,066
|
7.88%, 2/11/2035 (a)
|
7,220
|
2,474
|
8.95%, 3/26/2051 (e)
|
2,000
|
664
|
8.75%, 3/11/2061 (e)
|
8,000
|
2,569
|
8.75%, 3/11/2061 (a)
|
3,300
|
1,060
|
Republic of Guatemala 4.65%, 10/7/2041 (a)
|
2,400
|
1,881
|
Republic of Iraq
|
|
|
6.75%, 3/9/2023 (e)
|
8,400
|
8,273
|
5.80%, 1/15/2028 (e)
|
10,587
|
9,478
|
Republic of Kenya
|
|
|
8.00%, 5/22/2032 (e)
|
10,600
|
9,195
|
6.30%, 1/23/2034 (a)
|
5,093
|
3,992
|
8.25%, 2/28/2048 (e)
|
6,600
|
5,173
|
Republic of Namibia 5.25%, 10/29/2025 (e)
|
4,900
|
4,533
|
Republic of Paraguay
|
|
|
6.10%, 8/11/2044 (e)
|
12,075
|
11,398
|
5.40%, 3/30/2050 (a)
|
3,970
|
3,338
|
Republic of Rwanda 5.50%, 8/9/2031 (a)
|
8,000
|
5,874
|
Republic of Senegal
|
|
|
6.25%, 5/23/2033 (e)
|
11,000
|
9,160
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
6.75%, 3/13/2048 (e)
|
16,800
|
12,031
|
Republic of South Africa
|
|
|
5.00%, 10/12/2046
|
5,100
|
3,644
|
5.75%, 9/30/2049
|
7,406
|
5,628
|
State of Mongolia 4.45%, 7/7/2031 (a)
|
7,800
|
5,617
|
Sultanate of Oman Government Bond
|
|
|
5.38%, 3/8/2027 (e)
|
4,500
|
4,382
|
6.25%, 1/25/2031 (e)
|
900
|
897
|
6.25%, 1/25/2031 (a)
|
6,559
|
6,534
|
7.38%, 10/28/2032 (a)
|
7,291
|
7,838
|
6.50%, 3/8/2047 (e)
|
600
|
536
|
6.75%, 1/17/2048 (e)
|
5,400
|
4,948
|
Tunisian Republic 5.75%, 1/30/2025 (e)
|
6,350
|
4,619
|
Total Foreign Government Securities
(Cost $474,710)
|
|
351,646
|
Loan Assignments — 0.5% (f) (k)
|
||
Auto Components — 0.1%
|
||
Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/10/2028
|
3,484
|
3,436
|
Beverages — 0.0% ^
|
||
Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 3/31/2028
|
1,975
|
1,817
|
Chemicals — 0.0% ^
|
||
Axalta Coating Systems US Holdings, Inc., Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 5.42%, 6/1/2024
|
253
|
252
|
Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/31/2027
|
2,414
|
2,354
|
|
|
2,606
|
Containers & Packaging — 0.1%
|
||
Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.02%, 4/3/2024
|
1,469
|
1,424
|
Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 8/4/2027
|
3,233
|
3,156
|
|
|
4,580
|
Diversified Financial Services — 0.0% ^
|
||
Thor, 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 4.25%), 4.25%, 5/15/2025 ‡
|
383
|
377
|
Electronic Equipment, Instruments & Components — 0.0% ^
|
||
Ingram Micro, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 6/30/2028
|
2,469
|
2,429
|
Food & Staples Retailing — 0.0% ^
|
||
Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038
|
306
|
246
|
Moran Foods LLC, 1st Lien Term Loan B
|
|
|
(ICE LIBOR USD 3 Month + 7.00%), 10.67%, 4/1/2024 ‡
|
2,355
|
1,892
|
Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 10.75%), 14.42%, 10/1/2024
|
93
|
54
|
|
|
2,192
|
Health Care Equipment & Supplies — 0.0% ^
|
||
Medline, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 10/23/2028
|
3,082
|
2,924
|
Health Care Providers & Services — 0.0% ^
|
||
PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.00%, 11/15/2028
|
3,184
|
3,058
|
Leisure Products — 0.0% ^
|
||
FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (h)
|
44
|
5
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Life Sciences Tools & Services — 0.0% ^
|
||
Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 11/8/2027
|
1,077
|
1,068
|
Machinery — 0.0% ^
|
||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.41%, 10/8/2027
|
1,944
|
1,895
|
Media — 0.0% ^
|
||
DIRECTV Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 8/2/2027
|
2,730
|
2,611
|
Personal Products — 0.1%
|
||
Nestle Skin Health SA, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/1/2026
|
7,895
|
7,488
|
Pharmaceuticals — 0.0% ^
|
||
Elanco Animal Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 1.75%), 5.52%, 8/1/2027
|
2,058
|
1,989
|
Road & Rail — 0.1%
|
||
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 4.00%), 7.65%, 7/21/2028
|
280
|
269
|
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 7.65%, 7/21/2028
|
4,030
|
3,869
|
|
|
4,138
|
Specialty Retail — 0.1%
|
||
Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 10.57%, 12/18/2026 (m)
|
12
|
11
|
Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.92%, 3/3/2028
|
2,955
|
2,860
|
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 8.57%, 12/22/2025
|
4,919
|
3,341
|
|
|
6,212
|
Total Loan Assignments
(Cost $51,779)
|
|
48,825
|
|
SHARES
(000)
|
|
Common Stocks — 0.3%
|
||
Diversified Telecommunication Services — 0.0% ^
|
||
Frontier Communications Parent, Inc. *
|
20
|
508
|
Food & Staples Retailing — 0.0% ^
|
||
Moran Foods Backstop Equity ‡ *
|
45
|
113
|
Media — 0.0% ^
|
||
Clear Channel Outdoor Holdings, Inc. *
|
6
|
6
|
iHeartMedia, Inc., Class A *
|
2
|
19
|
|
|
25
|
Oil, Gas & Consumable Fuels — 0.3%
|
||
Chesapeake Energy Corp.
|
41
|
4,226
|
Chord Energy Corp.
|
77
|
11,726
|
EP Energy Corp. ‡ *
|
11
|
76
|
Gulfport Energy Corp. *
|
107
|
8,735
|
|
|
24,763
|
Pharmaceuticals — 0.0% ^
|
||
Mallinckrodt plc *
|
6
|
64
|
Professional Services — 0.0% ^
|
||
NMG, Inc. ‡ *
|
—
|
1
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Common Stocks — continued
|
||
Specialty Retail — 0.0% ^
|
||
Claire's Stores, Inc. ‡ *
|
—
|
3
|
Wireless Telecommunication Services — 0.0% ^
|
||
Intelsat SA (Luxembourg) ‡ *
|
147
|
3,751
|
Total Common Stocks
(Cost $15,301)
|
|
29,228
|
Preferred Stocks — 0.1%
|
||
Electric Utilities — 0.1%
|
||
SCE Trust VI 5.00%, 6/26/2022 ($25 par value) (n)
|
240
|
4,309
|
Southern Co. (The) Series 2020, 4.95%, 1/30/2080 ($25 par value)
|
193
|
3,935
|
|
|
8,244
|
Insurance — 0.0% ^
|
||
MetLife, Inc. Series F, 4.75%, 3/15/2025 ($25 par value) (n)
|
97
|
1,979
|
Internet & Direct Marketing Retail — 0.0% ^
|
||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
14
|
15
|
Total Preferred Stocks
(Cost $12,914)
|
|
10,238
|
|
PRINCIPAL
AMOUNT
($000)
|
|
Convertible Bonds — 0.0% ^
|
||
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
Gulfport Energy Corp. 10.00% (Cash), 11/28/2022 ‡ (b) (c) (d)(Cost $258)
|
—
|
1,576
|
Municipal Bonds — 0.0% (o) ^
|
||
California — 0.0% ^
|
||
Los Angeles Community College District Series E, GO, 6.75%, 8/1/2049
|
100
|
121
|
Orange County Water District Series 2017B, Rev., 4.06%, 8/15/2041
|
290
|
247
|
Regents of the University of California Medical Center Pooled Series F, Rev., 6.58%, 5/15/2049
|
255
|
295
|
University of California, Taxable Build America Series R, Rev., 5.77%, 5/15/2043
|
140
|
151
|
University of California, Taxable Limited Project Series J, Rev., 4.13%, 5/15/2045
|
100
|
87
|
Total California
|
|
901
|
Colorado — 0.0% ^
|
||
Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%, 1/15/2045
|
175
|
158
|
Illinois — 0.0% ^
|
||
Illinois Finance Authority, The University of Chicago Series 2013A, Rev., 4.00%, 4/1/2023 (p)
|
25
|
25
|
Indiana — 0.0% ^
|
||
Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital Series B-2, Rev., 6.12%, 1/15/2040
|
240
|
260
|
Texas — 0.0% ^
|
||
North Texas Tollway Authority, First Tier Series B, Rev., 6.72%, 1/1/2049
|
131
|
157
|
Total Municipal Bonds
(Cost $1,701)
|
|
1,501
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
INVESTMENTS
|
NO. OF
CONTRACTS
|
VALUE
($000)
|
Options Purchased — 0.0% ^
|
||
Call Options Purchased — 0.0% ^
|
||
Foreign Exchange Currency Options — 0.0% ^
|
||
Foreign Exchange USD / TWD
|
|
|
12/19/2022 at USD 32.00, Vanilla, European Style
|
|
|
Notional Amount: USD 374,506
|
|
|
Counterparty: Goldman Sachs International * (Cost $3,271)
|
374,505,500
|
149
|
|
NO. OF
WARRANTS
(000)
|
|
Warrants — 0.0% ^
|
||
Diversified Telecommunication Services — 0.0% ^
|
||
Windstream Holdings, Inc. expiring 12/31/2049, price 11.00 USD ‡ *
|
1
|
7
|
Media — 0.0% ^
|
||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
|
—
|
14
|
Total Warrants
(Cost $—)
|
|
21
|
|
NO. OF RIGHTS
(000)
|
|
Rights — 0.0% ^
|
||
Diversified Telecommunication Services — 0.0% ^
|
||
Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ * (Cost $— )
|
31
|
—
|
|
SHARES
(000)
|
|
Short-Term Investments — 0.7%
|
||
Investment Companies — 0.7%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (q) (r)
(Cost $67,174)
|
67,160
|
67,180
|
Total Investments — 106.4%
(Cost $11,876,837)
|
|
10,571,079
|
Liabilities in Excess of Other Assets — (6.4)%
|
|
(637,657)
|
NET ASSETS — 100.0%
|
|
9,933,422
|
Percentages indicated are based on net assets.
|
||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
Abbreviations
|
|
ABS
|
Asset-Backed Securities
|
ACES
|
Alternative Credit Enhancement Securities
|
CLO
|
Collateralized Loan Obligations
|
CME
|
Chicago Mercantile Exchange
|
CSMC
|
Credit Suisse Mortgage Trust
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
GNMA
|
Government National Mortgage Association
|
GO
|
General Obligation
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
HB
|
High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with
similar features as those
associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high
interest rates result from taking
interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small
principal of the HB class.
|
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, 2022. 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.
|
JSC
|
Joint Stock Company
|
LIBOR
|
London Interbank Offered Rate
|
OYJ
|
Public Limited Company
|
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.
|
PT
|
Limited liability company
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
Rev.
|
Revenue
|
SCA
|
Limited partnership with share capital
|
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.
|
TWD
|
Taiwan Dollar
|
UMBS
|
Uniform Mortgage-Backed Securities
|
USD
|
United States Dollar
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
*
|
Non-income producing security.
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
|
|
(b)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
(c)
|
Security is an interest bearing note with preferred security characteristics.
|
|
(d)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for
a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown
is the rate in
effect as of November 30, 2022.
|
|
(e)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies
to securities
offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as
such may have
restrictions on resale.
|
|
(f)
|
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
November 30, 2022.
|
|
(g)
|
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, 2022.
|
|
(h)
|
Defaulted security.
|
|
(i)
|
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, 2022.
|
|
(j)
|
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
|
|
(k)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
|
|
(l)
|
All or a portion of this security is unsettled as of November 30, 2022. Unless otherwise indicated, the coupon rate is undetermined.
The
coupon rate shown may not be accrued for the entire position.
|
|
(m)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
(n)
|
The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this
security is based
on par value and is in effect as of November 30, 2022.
|
|
(o)
|
The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
|
|
(p)
|
Security is prerefunded or escrowed to maturity.
|
|
(q)
|
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.
|
|
(r)
|
The rate shown is the current yield as of November 30, 2022.
|
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
TBA Short Commitment
SECURITY DESCRIPTION
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 12/25/2052(a)
|
(647,300)
|
(644,468)
|
(Proceeds received of $624,223)
|
|
(644,468)
|
Abbreviations
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
UMBS
|
Uniform Mortgage-Backed Securities
|
(a)
|
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
|
Futures contracts outstanding as of November 30, 2022 (amounts in thousands, except number of contracts):
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
Long Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
225
|
03/22/2023
|
USD
|
25,604
|
200
|
U.S. Treasury 10 Year Ultra Note
|
2,327
|
03/22/2023
|
USD
|
279,713
|
2,577
|
U.S. Treasury Long Bond
|
36
|
03/22/2023
|
USD
|
4,596
|
20
|
U.S. Treasury Ultra Bond
|
68
|
03/22/2023
|
USD
|
9,331
|
114
|
U.S. Treasury 2 Year Note
|
1,459
|
03/31/2023
|
USD
|
299,904
|
1,018
|
U.S. Treasury 5 Year Note
|
22,696
|
03/31/2023
|
USD
|
2,469,254
|
19,760
|
|
|
|
|
|
23,689
|
Short Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(9,254)
|
03/22/2023
|
USD
|
(1,053,076)
|
(8,117)
|
U.S. Treasury 10 Year Ultra Note
|
(775)
|
03/22/2023
|
USD
|
(93,157)
|
(946)
|
U.S. Treasury Long Bond
|
(2)
|
03/22/2023
|
USD
|
(255)
|
(3)
|
U.S. Treasury Ultra Bond
|
(164)
|
03/22/2023
|
USD
|
(22,504)
|
(523)
|
|
|
|
|
|
(9,589)
|
|
|
|
|
|
14,100
|
Abbreviations
|
|
USD
|
United States Dollar
|
Over-the-Counter ("OTC") Credit default swap contracts outstanding — sell protection (**) as of November 30, 2022 (amounts in thousands):
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
COUNTERPARTY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Citibank, NA
|
11/18/2054
|
6.80
|
USD 5,000
|
(267)
|
(449)
|
(716)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
6.80
|
USD 12,500
|
(638)
|
(1,152)
|
(1,790)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
6.80
|
USD 10,000
|
(454)
|
(978)
|
(1,432)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
6.80
|
USD 20,000
|
(768)
|
(2,097)
|
(2,865)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
6.80
|
USD 15,000
|
(510)
|
(1,639)
|
(2,149)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Citibank, NA
|
08/17/2061
|
6.96
|
USD 12,500
|
(1,052)
|
(1,073)
|
(2,125)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Citibank, NA
|
08/17/2061
|
6.96
|
USD 20,000
|
(901)
|
(2,498)
|
(3,399)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Merrill Lynch International
|
08/17/2061
|
6.96
|
USD 5,000
|
(54)
|
(796)
|
(850)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Merrill Lynch International
|
08/17/2061
|
6.96
|
USD 7,500
|
(39)
|
(1,236)
|
(1,275)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Merrill Lynch International
|
08/17/2061
|
6.96
|
USD 5,000
|
(167)
|
(683)
|
(850)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Merrill Lynch International
|
08/17/2061
|
6.96
|
USD 5,000
|
(239)
|
(611)
|
(850)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 5,000
|
(237)
|
(613)
|
(850)
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
COUNTERPARTY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 2,500
|
(119)
|
(306)
|
(425)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 12,500
|
(358)
|
(1,767)
|
(2,125)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 12,500
|
(134)
|
(1,991)
|
(2,125)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 5,500
|
(63)
|
(872)
|
(935)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 8,017
|
(92)
|
(1,271)
|
(1,363)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
6.96
|
USD 12,500
|
(57)
|
(2,068)
|
(2,125)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citibank, NA
|
09/17/2058
|
11.56
|
USD 2,500
|
(280)
|
(207)
|
(487)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citibank, NA
|
09/17/2058
|
11.56
|
USD 10,000
|
(932)
|
(1,018)
|
(1,950)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citibank, NA
|
09/17/2058
|
11.56
|
USD 8,000
|
(628)
|
(932)
|
(1,560)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Merrill Lynch International
|
09/17/2058
|
11.56
|
USD 5,000
|
(559)
|
(416)
|
(975)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 12,500
|
(1,835)
|
(602)
|
(2,437)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 12,500
|
(1,304)
|
(1,133)
|
(2,437)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 7,500
|
(838)
|
(624)
|
(1,462)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 12,500
|
(1,347)
|
(1,090)
|
(2,437)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 7,500
|
(842)
|
(620)
|
(1,462)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
11.56
|
USD 5,000
|
(486)
|
(489)
|
(975)
|
|
|
|
|
|
|
|
(15,200)
|
(29,231)
|
(44,431)
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from
or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation,
as defined under the
terms of individual swap contracts.
|
(a)
|
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
Abbreviations
|
|
USD
|
United States Dollar
|
Centrally Cleared Credit default swap contracts outstanding — sell protection(**) as of November 30, 2022 (amounts in thousands):
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
CDX.NA.HY.39-V1
|
5.00
|
Quarterly
|
12/20/2027
|
4.52
|
USD 69,000
|
(3,368)
|
5,352
|
1,984
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from
or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation,
as defined under the
terms of individual swap contracts.
|
||||||||
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring
that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
||||||||
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
||||||||
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
Abbreviations
|
|
CDX
|
Credit Default Swap Index
|
USD
|
United States Dollar
|
Summary of total OTC swap contracts outstanding as of November 30, 2022 (amounts in thousands):
|
NET UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
VALUE
($)
|
Liabilities
|
|
|
OTC Credit default swap contracts outstanding - sell protection
|
(15,200)
|
(44,431)
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
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.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities
that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate
the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The
Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of Investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the
valuation determinations.
This oversight by the AVC 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 using prices supplied 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 approved affiliated and unaffiliated pricing vendors or
third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize
a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances
where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider
market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics
in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary
exchange on which the instrument is traded before the net asset values ("NAV") of the Fund is calculated on a valuation date.
Certain foreign equity instruments are valued by applying international fair value factors provided by an approved Pricing
Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values ("NAV") 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.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2022.
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.
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
•
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 ("SOI"):
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,293,438
|
$1,113,590
|
$2,407,028
|
Collateralized Mortgage Obligations
|
—
|
674,998
|
285,494
|
960,492
|
Commercial Mortgage-Backed Securities
|
—
|
1,610,039
|
934,995
|
2,545,034
|
Common Stocks
|
|
|
|
|
Diversified Telecommunication Services
|
508
|
—
|
—
|
508
|
Food & Staples Retailing
|
—
|
—
|
113
|
113
|
Media
|
25
|
—
|
—
|
25
|
Oil, Gas & Consumable Fuels
|
24,687
|
—
|
76
|
24,763
|
Pharmaceuticals
|
64
|
—
|
—
|
64
|
Professional Services
|
—
|
—
|
1
|
1
|
Specialty Retail
|
—
|
—
|
3
|
3
|
Wireless Telecommunication Services
|
—
|
—
|
3,751
|
3,751
|
Total Common Stocks
|
25,284
|
—
|
3,944
|
29,228
|
Convertible Bonds
|
—
|
—
|
1,576
|
1,576
|
Corporate Bonds
|
|
|
|
|
Aerospace & Defense
|
—
|
36,078
|
—
|
36,078
|
Airlines
|
—
|
23,175
|
—
|
23,175
|
Auto Components
|
—
|
87,694
|
—
|
87,694
|
Automobiles
|
—
|
764
|
—
|
764
|
Banks
|
—
|
153,937
|
—
|
153,937
|
Beverages
|
—
|
6,866
|
—
|
6,866
|
Biotechnology
|
—
|
4,779
|
—
|
4,779
|
Building Products
|
—
|
35,384
|
—
|
35,384
|
Capital Markets
|
—
|
39,401
|
—
|
39,401
|
Chemicals
|
—
|
108,094
|
—
|
108,094
|
Commercial Services & Supplies
|
—
|
93,172
|
—
|
93,172
|
Communications Equipment
|
—
|
31,687
|
—
|
31,687
|
Construction & Engineering
|
—
|
29,202
|
—
|
29,202
|
Construction Materials
|
—
|
6,717
|
—
|
6,717
|
Consumer Finance
|
—
|
80,626
|
—
|
80,626
|
Containers & Packaging
|
—
|
96,201
|
—
|
96,201
|
Diversified Consumer Services
|
—
|
11,370
|
—
|
11,370
|
Diversified Telecommunication Services
|
—
|
259,067
|
2
|
259,069
|
Electric Utilities
|
—
|
68,318
|
—
|
68,318
|
Electrical Equipment
|
—
|
10,217
|
—
|
10,217
|
Electronic Equipment, Instruments & Components
|
—
|
25,691
|
—
|
25,691
|
Energy Equipment & Services
|
—
|
17,896
|
—
|
17,896
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Entertainment
|
$—
|
$52,164
|
$—
|
$52,164
|
Equity Real Estate Investment Trusts (REITs)
|
—
|
62,603
|
—
|
62,603
|
Food & Staples Retailing
|
—
|
52,293
|
—
|
52,293
|
Food Products
|
—
|
36,955
|
—
|
36,955
|
Gas Utilities
|
—
|
7,721
|
—
|
7,721
|
Health Care Equipment & Supplies
|
—
|
40,063
|
—
|
40,063
|
Health Care Providers & Services
|
—
|
197,528
|
—
|
197,528
|
Health Care Technology
|
—
|
9,152
|
—
|
9,152
|
Hotels, Restaurants & Leisure
|
—
|
174,555
|
—
|
174,555
|
Household Durables
|
—
|
17,238
|
—
|
17,238
|
Household Products
|
—
|
43,268
|
—
|
43,268
|
Independent Power and Renewable Electricity Producers
|
—
|
11,641
|
—
|
11,641
|
Insurance
|
—
|
519
|
—
|
519
|
Internet & Direct Marketing Retail
|
—
|
5,421
|
—
|
5,421
|
IT Services
|
—
|
27,155
|
—
|
27,155
|
Leisure Products
|
—
|
14,758
|
—
|
14,758
|
Machinery
|
—
|
12,327
|
—
|
12,327
|
Marine
|
—
|
5,812
|
—
|
5,812
|
Media
|
—
|
350,122
|
—
|
350,122
|
Metals & Mining
|
—
|
71,057
|
—
|
71,057
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
71,262
|
—
|
71,262
|
Multiline Retail
|
—
|
12,711
|
—
|
12,711
|
Multi-Utilities
|
—
|
7,533
|
—
|
7,533
|
Oil, Gas & Consumable Fuels
|
—
|
341,218
|
12
|
341,230
|
Paper & Forest Products
|
—
|
2,978
|
—
|
2,978
|
Personal Products
|
—
|
25,435
|
—
|
25,435
|
Pharmaceuticals
|
—
|
118,612
|
—
|
118,612
|
Real Estate Management & Development
|
—
|
1,159
|
—
|
1,159
|
Road & Rail
|
—
|
45,672
|
—
|
45,672
|
Semiconductors & Semiconductor Equipment
|
—
|
25,942
|
—
|
25,942
|
Software
|
—
|
49,117
|
—
|
49,117
|
Specialty Retail
|
—
|
87,146
|
—
|
87,146
|
Technology Hardware, Storage & Peripherals
|
—
|
4,005
|
—
|
4,005
|
Thrifts & Mortgage Finance
|
—
|
10,189
|
—
|
10,189
|
Tobacco
|
—
|
2,818
|
—
|
2,818
|
Trading Companies & Distributors
|
—
|
56,998
|
—
|
56,998
|
Transportation Infrastructure
|
—
|
5,343
|
—
|
5,343
|
Wireless Telecommunication Services
|
—
|
66,340
|
—
|
66,340
|
Total Corporate Bonds
|
—
|
3,353,166
|
14
|
3,353,180
|
Foreign Government Securities
|
—
|
351,646
|
—
|
351,646
|
Loan Assignments
|
|
|
|
|
Auto Components
|
—
|
3,436
|
—
|
3,436
|
Beverages
|
—
|
1,817
|
—
|
1,817
|
Chemicals
|
—
|
2,606
|
—
|
2,606
|
Containers & Packaging
|
—
|
4,580
|
—
|
4,580
|
Diversified Financial Services
|
—
|
—
|
377
|
377
|
Electronic Equipment, Instruments & Components
|
—
|
2,429
|
—
|
2,429
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Food & Staples Retailing
|
$—
|
$300
|
$1,892
|
$2,192
|
Health Care Equipment & Supplies
|
—
|
2,924
|
—
|
2,924
|
Health Care Providers & Services
|
—
|
3,058
|
—
|
3,058
|
Leisure Products
|
—
|
—
|
5
|
5
|
Life Sciences Tools & Services
|
—
|
1,068
|
—
|
1,068
|
Machinery
|
—
|
1,895
|
—
|
1,895
|
Media
|
—
|
2,611
|
—
|
2,611
|
Personal Products
|
—
|
7,488
|
—
|
7,488
|
Pharmaceuticals
|
—
|
1,989
|
—
|
1,989
|
Road & Rail
|
—
|
4,138
|
—
|
4,138
|
Specialty Retail
|
—
|
6,212
|
—
|
6,212
|
Total Loan Assignments
|
—
|
46,551
|
2,274
|
48,825
|
Mortgage-Backed Securities
|
—
|
794,981
|
—
|
794,981
|
Municipal Bonds
|
—
|
1,501
|
—
|
1,501
|
Options Purchased
|
|
|
|
|
Call Options Purchased
|
—
|
149
|
—
|
149
|
Preferred Stocks
|
|
|
|
|
Electric Utilities
|
8,244
|
—
|
—
|
8,244
|
Insurance
|
1,979
|
—
|
—
|
1,979
|
Internet & Direct Marketing Retail
|
—
|
—
|
15
|
15
|
Total Preferred Stocks
|
10,223
|
—
|
15
|
10,238
|
Rights
|
—
|
—
|
—(a)
|
—(a)
|
Warrants
|
—
|
—
|
21
|
21
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
67,180
|
—
|
—
|
67,180
|
Total Investments in Securities
|
$102,687
|
$8,126,469
|
$2,341,923
|
$10,571,079
|
Liabilities
|
|
|
|
|
TBA Short Commitment
|
$—
|
$(644,468)
|
$—
|
$(644,468)
|
Total Liabilities in Securities Sold Short
|
$—
|
$(644,468)
|
$—
|
$(644,468)
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Futures Contracts
|
$23,689
|
$—
|
$—
|
$23,689
|
Swaps
|
—
|
5,352
|
—
|
5,352
|
Depreciation in Other Financial Instruments
|
|
|
|
|
Futures Contracts
|
(9,589)
|
—
|
—
|
(9,589)
|
Swaps
|
—
|
(29,231)
|
—
|
(29,231)
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$14,100
|
$(23,879)
|
$—
|
$(9,779)
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair
value:
|
Balance as of
February 28,
2022
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
November 30,
2022
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
|
Balance as of
February 28,
2022
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
November 30,
2022
|
Asset-Backed Securities
|
$886,488
|
$(4,323)
|
$(84,700)
|
$2,260
|
$471,033
|
$(295,374)
|
$117,240
|
$(24,362)
|
$45,328
|
$1,113,590
|
Collateralized Mortgage
Obligations
|
295,028
|
15
|
(16,823)
|
(43)
|
138,125
|
(113,325)
|
95,326
|
(15,911)
|
(96,898)
|
285,494
|
Commercial Mortgage-Backed
Securities
|
1,113,416
|
(44,796)
|
(121,744)
|
3,829
|
54,206
|
(181,546)
|
85,733
|
(25,673)
|
51,570
|
934,995
|
Common Stocks
|
5,112
|
767
|
(1,969)
|
—
|
—
|
(988)
|
1,022
|
—
|
—
|
3,944
|
Convertible Bonds
|
1,340
|
—
|
235
|
—
|
1
|
—
|
—
|
—
|
—
|
1,576
|
Corporate Bonds
|
2
|
—
|
12
|
—(b)
|
155
|
(155)
|
—
|
—
|
—
|
14
|
Loan Assignments
|
2,880
|
—(b)
|
(488)
|
38
|
40
|
(196)
|
—
|
—
|
—
|
2,274
|
Preferred Stocks
|
26
|
—
|
(11)
|
—
|
—
|
—
|
—
|
—
|
—
|
15
|
Rights
|
—(b)
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—(b)
|
Warrants
|
13
|
—
|
8
|
—
|
—
|
—
|
—
|
—
|
—
|
21
|
Total
|
$2,304,305
|
$(48,337)
|
$(225,480)
|
$6,084
|
$663,560
|
$(591,584)
|
$299,321
|
$(65,946)
|
$—
|
$2,341,923
|
|
|||||||||
1
|
Purchases include all purchases of securities and securities received in corporate actions.
|
||||||||
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
|
(a)
|
Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations and Commercial Mortgage-Backed
Securities, Asset-Backed Securities.
|
(b)
|
Amount rounds to less than one thousand.
|
The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2022, which were
valued using significant unobservable inputs (level 3) amounted to $(233,360).
Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which
resulted in a lack or increase of available market inputs to determine the price for the period ended November 30, 2022.
The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally,
a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of
the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable
input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement.
Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default
rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment
Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
|
Fair Value at
November 30, 2022
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted
Average) (a)
|
|
$681,321
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (16.52%)
|
|
|
|
Constant Default Rate
|
0.00% - 4.40% (0.05%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.57% - 18.68% (9.73%)
|
Asset-Backed
Securities
|
681,321
|
|
|
|
|
225,628
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (12.05%)
|
|
|
|
Constant Default Rate
|
0.00% - 1.42% (0.02%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.04% - 14.97% (9.75%)
|
Collateralized Mortgage
Obligations
|
225,628
|
|
|
|
|
779,429
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (0.60%)
|
|
|
|
Constant Default Rate
|
0.00% - 15.00% (0.03%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.47% - 108.41% (11.06%)
|
Commercial Mortgage-
Backed Securities
|
779,429
|
|
|
|
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
|
Fair Value at
November 30, 2022
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted
Average) (a)
|
|
5
|
Terms of Exchange Offer
|
Expected Recovery
|
10.90% (10.90%)
|
|
|
|
|
|
Loan Assignments
|
5
|
|
|
|
Total
|
$1,686,383
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November
30, 2022, the value
of these investments was $655,540. The inputs for these investments are not readily available or cannot be reasonably estimated
and are
generally those inputs described in Note A.
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
(b)
|
Amount rounds to less than one thousand.
|
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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
|
|||||||||
For the period ended November 30, 2022
|
|||||||||
Security Description
|
Value at
February 28,
2022
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2022
|
Shares at
November 30,
2022
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 3.94% (a) (b)
|
$180,356
|
$3,403,959
|
$3,517,159
|
$17
|
$7
|
$67,180
|
67,160
|
$1,225
|
$—
|
|
|
(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, 2022.
|
C. Derivatives — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange 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.
(1). Futures Contracts — The Fund used currency, index, interest rate, treasury or other financial 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.
The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of
futures contracts
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales
of futures contracts will tend to offset both positive and negative market price changes.
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 the market value of open futures contracts are recorded
as change in net unrealized appreciation/depreciation on futures contracts. 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 to manage credit, interest rate (e.g., duration, yield curve), currency, inflation
and total return 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 change in net unrealized
appreciation/depreciation on swaps. 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.
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.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short
position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit
index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents
some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity
dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection
seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In
the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the
duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring,
repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i)
a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of
the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio
up to the notional
JPMorgan Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2022 (Unaudited) (continued)
(Dollar values in thousands)
amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities
under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception
of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.