JPMorgan Income Fund
Schedule of Portfolio Investments as of May 31, 2024
(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., 2024.
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — 31.7%
|
||
Aerospace & Defense — 0.4%
|
||
Bombardier, Inc. (Canada)
|
||
7.88%, 4/15/2027 (a)
|
3,862
|
3,866
|
8.75%, 11/15/2030 (a)
|
4,050
|
4,346
|
7.25%, 7/1/2031 (a)
|
2,149
|
2,194
|
7.00%, 6/1/2032 (a) (b)
|
2,002
|
2,009
|
BWX Technologies, Inc. 4.13%, 6/30/2028 (a)
|
3,904
|
3,597
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
2,746
|
2,946
|
TransDigm, Inc.
|
||
6.38%, 3/1/2029 (a)
|
15,687
|
15,653
|
6.63%, 3/1/2032 (a)
|
3,532
|
3,543
|
Triumph Group, Inc. 9.00%, 3/15/2028 (a)
|
1,374
|
1,418
|
Wesco Aircraft Holdings, Inc.
|
||
8.50%, 11/15/2024 (a) (c)
|
2,471
|
284
|
9.00%, 11/15/2026 (a) (c)
|
5,685
|
782
|
|
|
40,638
|
Automobile Components — 1.1%
|
||
Adient Global Holdings Ltd.
|
||
4.88%, 8/15/2026 (a)
|
3,420
|
3,320
|
7.00%, 4/15/2028 (a)
|
1,650
|
1,685
|
8.25%, 4/15/2031 (a)
|
3,200
|
3,333
|
Allison Transmission, Inc.
|
||
4.75%, 10/1/2027 (a)
|
3,333
|
3,204
|
5.88%, 6/1/2029 (a)
|
8,896
|
8,752
|
3.75%, 1/30/2031 (a)
|
8,712
|
7,549
|
American Axle & Manufacturing, Inc.
|
||
6.50%, 4/1/2027
|
858
|
853
|
6.88%, 7/1/2028
|
4,795
|
4,759
|
5.00%, 10/1/2029
|
8,360
|
7,611
|
Clarios Global LP
|
||
6.75%, 5/15/2025 (a)
|
5,750
|
5,750
|
6.25%, 5/15/2026 (a)
|
10,012
|
10,003
|
8.50%, 5/15/2027 (a)
|
6,715
|
6,758
|
Cooper-Standard Automotive, Inc.
|
||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (d)
|
4,507
|
4,819
|
10.63% (PIK), 5/15/2027 (a) (d)
|
969
|
683
|
Dana, Inc.
|
||
5.38%, 11/15/2027
|
2,775
|
2,697
|
5.63%, 6/15/2028
|
2,777
|
2,687
|
4.25%, 9/1/2030
|
1,744
|
1,515
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a)
|
4,565
|
3,943
|
Goodyear Tire & Rubber Co. (The)
|
||
5.00%, 5/31/2026
|
1,988
|
1,940
|
5.00%, 7/15/2029
|
10,196
|
9,377
|
5.25%, 4/30/2031
|
2,016
|
1,829
|
5.25%, 7/15/2031
|
2,360
|
2,134
|
Icahn Enterprises LP 6.25%, 5/15/2026
|
4,076
|
3,975
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Automobile Components — continued
|
||
IHO Verwaltungs GmbH (Germany) 4.75% (Cash), 9/15/2026 (a) (d)
|
4,960
|
4,798
|
ZF North America Capital, Inc. (Germany) 6.75%, 4/23/2030 (a)
|
2,911
|
2,946
|
|
|
106,920
|
Automobiles — 0.0% ^
|
||
Jaguar Land Rover Automotive plc (United Kingdom) 4.50%, 10/1/2027 (a)
|
1,000
|
943
|
Banks — 0.7%
|
||
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 5.10%),
9.38%, 3/19/2029 (e) (f) (g) (h)
|
4,345
|
4,636
|
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant
Maturity 10 Year + 5.47%), 7.50%,
6/27/2029 (e) (f) (g) (h) (i)
|
9,900
|
9,699
|
Bank of America Corp. Series AA, (3-MONTH CME TERM SOFR + 4.16%), 6.10%, 3/17/2025 (f) (g) (h)
|
716
|
717
|
BNP Paribas SA (France) (SOFR + 1.59%), 5.50%, 5/20/2030 (a) (h)
|
5,030
|
5,008
|
Citigroup, Inc.
|
||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (f) (g) (h)
|
9,905
|
9,774
|
Series P, (3-MONTH CME TERM SOFR + 4.17%), 5.95%, 5/15/2025 (f) (g) (h)
|
4,714
|
4,677
|
Series T, (3-MONTH CME TERM SOFR + 4.78%), 6.25%, 8/15/2026 (f) (g) (h)
|
83
|
83
|
HSBC Holdings plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.65%), 4.60%,
12/17/2030 (e) (f) (g) (h)
|
6,831
|
5,740
|
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
5.63%), 6.00%, 12/29/2025 (e) (f) (g)
(h)
|
12,226
|
11,947
|
Toronto-Dominion Bank (The) (Canada) (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 4.08%), 8.13%,
10/31/2082 (e) (h)
|
5,795
|
6,006
|
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.45%), 3.90%,
3/15/2026 (f) (g) (h)
|
11,821
|
11,172
|
|
|
69,459
|
Beverages — 0.1%
|
||
Central American Bottling Corp. (Guatemala) 5.25%, 4/27/2029 (a)
|
2,727
|
2,554
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
5,690
|
5,258
|
|
|
7,812
|
Biotechnology — 0.1%
|
||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
4,033
|
2,409
|
Grifols SA (Spain) 4.75%, 10/15/2028 (a)
|
6,077
|
5,287
|
|
|
7,696
|
Broadline Retail — 0.3%
|
||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a)
|
14,305
|
14,224
|
Nordstrom, Inc. 4.25%, 8/1/2031
|
2,530
|
2,234
|
Shutterfly Finance LLC
|
||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (d)
|
8,088
|
6,478
|
9.75%, 10/1/2027 (a)
|
961
|
961
|
|
|
23,897
|
Building Products — 0.6%
|
||
Builders FirstSource, Inc.
|
||
4.25%, 2/1/2032 (a)
|
3,418
|
2,985
|
6.38%, 6/15/2032 (a)
|
3,020
|
3,009
|
6.38%, 3/1/2034 (a)
|
2,185
|
2,142
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Building Products — continued
|
||
EMRLD Borrower LP 6.63%, 12/15/2030 (a)
|
12,700
|
12,722
|
James Hardie International Finance DAC 5.00%, 1/15/2028 (a)
|
2,000
|
1,915
|
JELD-WEN, Inc.
|
||
4.63%, 12/15/2025 (a)
|
376
|
368
|
4.88%, 12/15/2027 (a)
|
2,803
|
2,626
|
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a)
|
3,050
|
3,030
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (a)
|
1,850
|
1,686
|
Standard Industries, Inc.
|
||
4.75%, 1/15/2028 (a)
|
11,809
|
11,250
|
4.38%, 7/15/2030 (a)
|
6,414
|
5,724
|
Summit Materials LLC
|
||
6.50%, 3/15/2027 (a)
|
1,145
|
1,140
|
5.25%, 1/15/2029 (a)
|
2,060
|
1,984
|
7.25%, 1/15/2031 (a)
|
1,247
|
1,286
|
|
|
51,867
|
Capital Markets — 0.1%
|
||
Coinbase Global, Inc.
|
||
3.38%, 10/1/2028 (a)
|
1,440
|
1,230
|
3.63%, 10/1/2031 (a)
|
982
|
781
|
Goldman Sachs Group, Inc. (The)
|
||
Series P, (3-MONTH CME TERM SOFR + 3.14%), 8.46%, 7/8/2024 (f) (g) (h)
|
5,070
|
5,045
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%),
7.50%, 2/10/2029 (f) (g) (h)
|
6,225
|
6,485
|
|
|
13,541
|
Chemicals — 1.2%
|
||
Axalta Coating Systems LLC
|
||
4.75%, 6/15/2027 (a)
|
10,742
|
10,368
|
3.38%, 2/15/2029 (a)
|
8,213
|
7,323
|
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a)
|
5,527
|
4,095
|
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a)
|
1,302
|
1,214
|
Chemours Co. (The)
|
||
5.75%, 11/15/2028 (a)
|
9,351
|
8,558
|
4.63%, 11/15/2029 (a)
|
2,107
|
1,797
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
8,441
|
7,681
|
Gates Global LLC 6.25%, 1/15/2026 (a)
|
950
|
949
|
INEOS Finance plc (Luxembourg) 7.50%, 4/15/2029 (a)
|
4,320
|
4,362
|
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a)
|
2,005
|
2,114
|
NOVA Chemicals Corp. (Canada)
|
||
5.25%, 6/1/2027 (a)
|
15,310
|
14,666
|
8.50%, 11/15/2028 (a)
|
2,500
|
2,651
|
4.25%, 5/15/2029 (a)
|
2,720
|
2,386
|
9.00%, 2/15/2030 (a)
|
2,083
|
2,203
|
OCP SA (Morocco)
|
||
5.13%, 6/23/2051 (i)
|
2,500
|
1,853
|
7.50%, 5/2/2054 (a)
|
1,160
|
1,156
|
Sasol Financing USA LLC 5.50%, 3/18/2031
|
1,900
|
1,567
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Chemicals — continued
|
||
Scotts Miracle-Gro Co. (The)
|
||
5.25%, 12/15/2026
|
2,625
|
2,553
|
4.50%, 10/15/2029
|
10,937
|
9,840
|
4.00%, 4/1/2031
|
4,870
|
4,163
|
4.38%, 2/1/2032
|
1,190
|
1,015
|
Trinseo Materials Operating SCA
|
||
5.38%, 9/1/2025 (a)
|
1,212
|
989
|
5.13%, 4/1/2029 (a)
|
11,110
|
4,695
|
WR Grace Holdings LLC
|
||
4.88%, 6/15/2027 (a)
|
10,387
|
9,975
|
5.63%, 8/15/2029 (a)
|
2,981
|
2,743
|
|
|
110,916
|
Commercial Services & Supplies — 0.9%
|
||
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
10,192
|
9,041
|
ADT Security Corp. (The)
|
||
4.13%, 8/1/2029 (a)
|
2,736
|
2,485
|
4.88%, 7/15/2032 (a)
|
5,796
|
5,231
|
Allied Universal Holdco LLC
|
||
6.63%, 7/15/2026 (a)
|
147
|
147
|
4.63%, 6/1/2028 (a)
|
4,979
|
4,491
|
Aramark Services, Inc. 5.00%, 2/1/2028 (a)
|
6,001
|
5,738
|
Brink's Co. (The) 4.63%, 10/15/2027 (a)
|
3,195
|
3,050
|
CoreCivic, Inc. 8.25%, 4/15/2029
|
4,965
|
5,185
|
Garda World Security Corp. (Canada)
|
||
4.63%, 2/15/2027 (a)
|
790
|
751
|
9.50%, 11/1/2027 (a)
|
4,200
|
4,203
|
GFL Environmental, Inc.
|
||
3.75%, 8/1/2025 (a)
|
4,379
|
4,275
|
5.13%, 12/15/2026 (a)
|
2,110
|
2,070
|
4.00%, 8/1/2028 (a)
|
4,628
|
4,232
|
4.75%, 6/15/2029 (a)
|
340
|
316
|
6.75%, 1/15/2031 (a)
|
1,605
|
1,637
|
Madison IAQ LLC
|
||
4.13%, 6/30/2028 (a)
|
13,196
|
12,228
|
5.88%, 6/30/2029 (a)
|
1,254
|
1,162
|
Prime Security Services Borrower LLC
|
||
5.75%, 4/15/2026 (a)
|
6,563
|
6,517
|
3.38%, 8/31/2027 (a)
|
7,569
|
6,945
|
Stericycle, Inc. 3.88%, 1/15/2029 (a)
|
7,595
|
6,896
|
|
|
86,600
|
Communications Equipment — 0.3%
|
||
CommScope Technologies LLC 6.00%, 6/15/2025 (a)
|
2,505
|
2,059
|
CommScope, Inc.
|
||
6.00%, 3/1/2026 (a)
|
13,259
|
11,834
|
8.25%, 3/1/2027 (a)
|
9,416
|
4,387
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Communications Equipment — continued
|
||
4.75%, 9/1/2029 (a)
|
5,807
|
4,181
|
Nokia OYJ (Finland) 4.38%, 6/12/2027
|
2,600
|
2,527
|
|
|
24,988
|
Construction & Engineering — 0.3%
|
||
Aeropuerto Internacional de Tocumen SA (Panama) 5.13%, 8/11/2061 (a)
|
3,830
|
2,779
|
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (i)
|
2,950
|
2,202
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
3,830
|
3,558
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
1,150
|
1,066
|
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (i)
|
8,191
|
8,682
|
MasTec, Inc. 4.50%, 8/15/2028 (a)
|
4,354
|
4,109
|
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (i)
|
4,500
|
3,814
|
Pike Corp. 8.63%, 1/31/2031 (a)
|
1,058
|
1,114
|
|
|
27,324
|
Consumer Finance — 0.9%
|
||
Ford Motor Credit Co. LLC
|
||
2.30%, 2/10/2025
|
2,150
|
2,097
|
4.69%, 6/9/2025
|
16,998
|
16,815
|
3.38%, 11/13/2025
|
5,000
|
4,827
|
4.39%, 1/8/2026
|
5,510
|
5,382
|
6.95%, 6/10/2026
|
6,033
|
6,141
|
4.54%, 8/1/2026
|
5,460
|
5,310
|
4.27%, 1/9/2027
|
14,200
|
13,645
|
4.13%, 8/17/2027
|
10,009
|
9,492
|
2.90%, 2/10/2029
|
3,689
|
3,230
|
7.20%, 6/10/2030
|
1,516
|
1,587
|
OneMain Finance Corp.
|
||
7.13%, 3/15/2026
|
6,102
|
6,192
|
3.88%, 9/15/2028
|
6,360
|
5,657
|
|
|
80,375
|
Consumer Staples Distribution & Retail — 0.5%
|
||
Albertsons Cos., Inc.
|
||
4.63%, 1/15/2027 (a)
|
6,758
|
6,513
|
5.88%, 2/15/2028 (a)
|
8,467
|
8,320
|
3.50%, 3/15/2029 (a)
|
7,029
|
6,269
|
4.88%, 2/15/2030 (a)
|
1,952
|
1,826
|
New Albertsons LP
|
||
6.63%, 6/1/2028
|
8
|
8
|
7.45%, 8/1/2029
|
113
|
119
|
8.00%, 5/1/2031
|
870
|
926
|
Performance Food Group, Inc.
|
||
5.50%, 10/15/2027 (a)
|
4,022
|
3,920
|
4.25%, 8/1/2029 (a)
|
3,411
|
3,100
|
Rite Aid Corp.
|
||
7.50%, 7/1/2025 (a) (c)
|
7,843
|
3,843
|
8.00%, 11/15/2026 (a) (c)
|
7,187
|
3,593
|
Tesco plc (United Kingdom) 6.15%, 11/15/2037 (a)
|
870
|
866
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Consumer Staples Distribution & Retail — continued
|
||
US Foods, Inc.
|
||
6.88%, 9/15/2028 (a)
|
1,303
|
1,326
|
4.75%, 2/15/2029 (a)
|
1,995
|
1,873
|
4.63%, 6/1/2030 (a)
|
2,003
|
1,839
|
|
|
44,341
|
Containers & Packaging — 1.0%
|
||
Ardagh Packaging Finance plc
|
||
4.13%, 8/15/2026 (a)
|
6,380
|
5,425
|
5.25%, 8/15/2027 (a)
|
14,217
|
8,352
|
Berry Global, Inc.
|
||
4.50%, 2/15/2026 (a)
|
1,051
|
1,024
|
4.88%, 7/15/2026 (a)
|
7,076
|
6,958
|
5.63%, 7/15/2027 (a)
|
950
|
938
|
LABL, Inc. 6.75%, 7/15/2026 (a)
|
12,162
|
12,018
|
Mauser Packaging Solutions Holding Co.
|
||
7.88%, 4/15/2027 (a)
|
16,235
|
16,541
|
9.25%, 4/15/2027 (a)
|
6,239
|
6,213
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
3,925
|
3,897
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a)
|
17,830
|
16,641
|
Smurfit Kappa Treasury Funding DAC (Ireland) 7.50%, 11/20/2025
|
950
|
970
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
2,612
|
2,364
|
Trivium Packaging Finance BV (Netherlands)
|
||
5.50%, 8/15/2026 (a) (j)
|
12,897
|
12,715
|
8.50%, 8/15/2027 (a) (j)
|
1,965
|
1,961
|
|
|
96,017
|
Distributors — 0.0% ^
|
||
Ritchie Bros Holdings, Inc. (Canada) 6.75%, 3/15/2028 (a)
|
2,170
|
2,192
|
Diversified Consumer Services — 0.1%
|
||
Service Corp. International
|
||
7.50%, 4/1/2027
|
535
|
550
|
3.38%, 8/15/2030
|
9,661
|
8,282
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
2,638
|
2,703
|
|
|
11,535
|
Diversified REITs — 0.2%
|
||
VICI Properties LP
|
||
3.75%, 2/15/2027 (a)
|
12,996
|
12,304
|
4.63%, 12/1/2029 (a)
|
4,657
|
4,359
|
|
|
16,663
|
Diversified Telecommunication Services — 2.1%
|
||
Altice France SA (France)
|
||
8.13%, 2/1/2027 (a)
|
11,507
|
8,870
|
5.50%, 1/15/2028 (a)
|
3,500
|
2,451
|
5.13%, 1/15/2029 (a)
|
416
|
281
|
5.50%, 10/15/2029 (a)
|
7,300
|
4,897
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Diversified Telecommunication Services — continued
|
||
CCO Holdings LLC
|
||
5.00%, 2/1/2028 (a)
|
6,674
|
6,162
|
5.38%, 6/1/2029 (a)
|
11,784
|
10,556
|
6.38%, 9/1/2029 (a)
|
10,941
|
10,240
|
4.75%, 3/1/2030 (a)
|
43,891
|
37,389
|
4.50%, 8/15/2030 (a)
|
39,028
|
32,429
|
4.25%, 2/1/2031 (a)
|
16,347
|
13,176
|
Embarq Corp. 8.00%, 6/1/2036
|
1,643
|
516
|
Frontier Communications Holdings LLC
|
||
5.88%, 10/15/2027 (a)
|
8,878
|
8,645
|
5.00%, 5/1/2028 (a)
|
9,422
|
8,800
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a)
|
12,599
|
11,851
|
Level 3 Financing, Inc.
|
||
4.88%, 6/15/2029 (a)
|
8,904
|
5,333
|
11.00%, 11/15/2029 (a)
|
3,013
|
3,089
|
4.50%, 4/1/2030 (a)
|
9,630
|
5,465
|
Lumen Technologies, Inc.
|
||
5.13%, 12/15/2026 (a)
|
361
|
228
|
4.00%, 2/15/2027 (a)
|
230
|
118
|
Series G, 6.88%, 1/15/2028
|
17
|
7
|
4.50%, 1/15/2029 (a)
|
6,475
|
1,926
|
4.13%, 4/15/2029 (a)
|
3,075
|
1,977
|
4.13%, 4/15/2030 (a)
|
11,832
|
7,566
|
SES GLOBAL Americas Holdings, Inc. (Luxembourg) 5.30%, 3/25/2044 (a)
|
110
|
81
|
Sitios Latinoamerica SAB de CV (Brazil) 5.38%, 4/4/2032 (a)
|
2,937
|
2,696
|
Telecom Italia Capital SA (Italy)
|
||
6.38%, 11/15/2033
|
623
|
552
|
6.38%, 11/15/2033 (a)
|
3,705
|
3,580
|
7.72%, 6/4/2038
|
1,033
|
946
|
7.72%, 6/4/2038 (a)
|
2,137
|
2,224
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)
|
2,750
|
2,488
|
|
|
194,539
|
Electric Utilities — 0.8%
|
||
Comision Federal de Electricidad (Mexico) 4.68%, 2/9/2051 (a)
|
2,366
|
1,658
|
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a)
|
1,400
|
1,338
|
Eskom Holdings SOC Ltd. (South Africa)
|
||
7.13%, 2/11/2025 (i)
|
6,800
|
6,766
|
8.45%, 8/10/2028 (i)
|
4,400
|
4,378
|
Instituto Costarricense de Electricidad (Costa Rica)
|
||
6.75%, 10/7/2031 (a)
|
8,210
|
8,107
|
6.38%, 5/15/2043 (i)
|
690
|
604
|
NRG Energy, Inc.
|
||
6.63%, 1/15/2027
|
1,256
|
1,255
|
5.75%, 1/15/2028
|
8,962
|
8,791
|
5.25%, 6/15/2029 (a)
|
1,104
|
1,053
|
3.63%, 2/15/2031 (a)
|
6,340
|
5,433
|
PG&E Corp. 5.00%, 7/1/2028
|
1,180
|
1,131
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (a)
|
8,802
|
8,051
|
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (i)
|
1,000
|
972
|
Vistra Operations Co. LLC
|
||
5.50%, 9/1/2026 (a)
|
531
|
522
|
5.63%, 2/15/2027 (a)
|
4,163
|
4,096
|
5.00%, 7/31/2027 (a)
|
12,046
|
11,650
|
4.38%, 5/1/2029 (a)
|
2,146
|
1,987
|
6.88%, 4/15/2032 (a)
|
2,406
|
2,422
|
|
|
70,214
|
Electrical Equipment — 0.2%
|
||
Regal Rexnord Corp.
|
||
6.05%, 4/15/2028
|
4,935
|
5,010
|
6.30%, 2/15/2030
|
2,093
|
2,143
|
6.40%, 4/15/2033
|
2,931
|
3,017
|
Sensata Technologies BV 4.00%, 4/15/2029 (a)
|
11,287
|
10,253
|
|
|
20,423
|
Electronic Equipment, Instruments & Components — 0.2%
|
||
Coherent Corp. 5.00%, 12/15/2029 (a)
|
11,394
|
10,625
|
Sensata Technologies, Inc.
|
||
4.38%, 2/15/2030 (a)
|
4,929
|
4,496
|
3.75%, 2/15/2031 (a)
|
1,165
|
1,005
|
|
|
16,126
|
Energy Equipment & Services — 0.2%
|
||
Archrock Partners LP 6.88%, 4/1/2027 (a)
|
4,791
|
4,810
|
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)
|
4,524
|
4,113
|
Nabors Industries Ltd. 7.25%, 1/15/2026 (a)
|
3,440
|
3,449
|
Precision Drilling Corp. (Canada)
|
||
7.13%, 1/15/2026 (a)
|
2,894
|
2,893
|
6.88%, 1/15/2029 (a)
|
975
|
966
|
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)
|
175
|
174
|
Transocean, Inc.
|
||
8.25%, 5/15/2029 (a)
|
2,480
|
2,480
|
8.75%, 2/15/2030 (a)
|
1,251
|
1,305
|
Yinson Boronia Production BV (Brazil) 8.95%, 7/31/2042 (a)
|
2,257
|
2,277
|
|
|
22,467
|
Entertainment — 0.4%
|
||
Live Nation Entertainment, Inc.
|
||
4.88%, 11/1/2024 (a)
|
1,358
|
1,348
|
5.63%, 3/15/2026 (a)
|
3,148
|
3,103
|
6.50%, 5/15/2027 (a)
|
11,601
|
11,662
|
4.75%, 10/15/2027 (a)
|
13,787
|
13,062
|
3.75%, 1/15/2028 (a)
|
2,340
|
2,150
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Entertainment — continued
|
||
WMG Acquisition Corp.
|
||
3.75%, 12/1/2029 (a)
|
1,593
|
1,411
|
3.88%, 7/15/2030 (a)
|
3,410
|
3,014
|
|
|
35,750
|
Financial Services — 0.3%
|
||
Block, Inc.
|
||
3.50%, 6/1/2031
|
7,300
|
6,253
|
6.50%, 5/15/2032 (a)
|
5,642
|
5,694
|
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a)
|
2,500
|
2,386
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
4,422
|
4,771
|
Rocket Mortgage LLC
|
||
2.88%, 10/15/2026 (a)
|
1,140
|
1,060
|
3.63%, 3/1/2029 (a)
|
6,945
|
6,211
|
|
|
26,375
|
Food Products — 0.3%
|
||
Lamb Weston Holdings, Inc.
|
||
4.13%, 1/31/2030 (a)
|
2,505
|
2,253
|
4.38%, 1/31/2032 (a)
|
803
|
709
|
Minerva Luxembourg SA (Brazil) 8.88%, 9/13/2033 (i)
|
1,700
|
1,774
|
Post Holdings, Inc.
|
||
5.63%, 1/15/2028 (a)
|
2,425
|
2,369
|
5.50%, 12/15/2029 (a)
|
848
|
808
|
4.63%, 4/15/2030 (a)
|
10,215
|
9,276
|
4.50%, 9/15/2031 (a)
|
1,515
|
1,341
|
6.25%, 2/15/2032 (a)
|
6,844
|
6,803
|
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a)
|
3,000
|
2,918
|
|
|
28,251
|
Gas Utilities — 0.1%
|
||
AmeriGas Partners LP
|
||
5.50%, 5/20/2025
|
3,997
|
3,933
|
5.88%, 8/20/2026
|
3,093
|
2,991
|
5.75%, 5/20/2027
|
1,657
|
1,580
|
9.38%, 6/1/2028 (a)
|
2,363
|
2,422
|
|
|
10,926
|
Ground Transportation — 0.6%
|
||
Avis Budget Car Rental LLC
|
||
5.75%, 7/15/2027 (a)
|
2,526
|
2,425
|
4.75%, 4/1/2028 (a)
|
15,500
|
14,090
|
8.00%, 2/15/2031 (a)
|
1,850
|
1,825
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (a)
|
2,655
|
2,393
|
Hertz Corp. (The)
|
||
4.63%, 12/1/2026 (a)
|
1,650
|
1,281
|
5.00%, 12/1/2029 (a)
|
15,721
|
10,382
|
Hertz Corp. (The), Escrow
|
||
6.25%, 10/15/2022 (c)
|
185
|
6
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Ground Transportation — continued
|
||
5.50%, 10/15/2024 (c)
|
5,875
|
191
|
7.13%, 8/1/2026 (c)
|
2,755
|
248
|
6.00%, 1/15/2028 (c)
|
1,450
|
130
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)
|
2,650
|
2,430
|
Uber Technologies, Inc.
|
||
7.50%, 9/15/2027 (a)
|
8,930
|
9,095
|
4.50%, 8/15/2029 (a)
|
4,054
|
3,822
|
XPO, Inc. 6.25%, 6/1/2028 (a)
|
3,375
|
3,365
|
|
|
51,683
|
Health Care Equipment & Supplies — 0.4%
|
||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
9,664
|
9,094
|
Hologic, Inc. 3.25%, 2/15/2029 (a)
|
5,000
|
4,464
|
Medline Borrower LP
|
||
3.88%, 4/1/2029 (a)
|
11,433
|
10,406
|
6.25%, 4/1/2029 (a)
|
3,443
|
3,444
|
5.25%, 10/1/2029 (a)
|
9,482
|
8,938
|
|
|
36,346
|
Health Care Providers & Services — 1.3%
|
||
Acadia Healthcare Co., Inc.
|
||
5.50%, 7/1/2028 (a)
|
2,500
|
2,431
|
5.00%, 4/15/2029 (a)
|
165
|
156
|
Community Health Systems, Inc.
|
||
8.00%, 3/15/2026 (a)
|
10,549
|
10,568
|
5.63%, 3/15/2027 (a)
|
4,295
|
4,068
|
6.00%, 1/15/2029 (a)
|
6,176
|
5,530
|
5.25%, 5/15/2030 (a)
|
2,100
|
1,743
|
4.75%, 2/15/2031 (a)
|
4,300
|
3,395
|
10.88%, 1/15/2032 (a) (b)
|
2,208
|
2,281
|
DaVita, Inc.
|
||
4.63%, 6/1/2030 (a)
|
2,040
|
1,828
|
3.75%, 2/15/2031 (a)
|
14,437
|
12,116
|
Encompass Health Corp.
|
||
5.75%, 9/15/2025
|
1,960
|
1,952
|
4.50%, 2/1/2028
|
7,534
|
7,117
|
4.75%, 2/1/2030
|
3,484
|
3,225
|
4.63%, 4/1/2031
|
5,032
|
4,548
|
Owens & Minor, Inc. 4.50%, 3/31/2029 (a)
|
7,610
|
6,716
|
Tenet Healthcare Corp.
|
||
6.25%, 2/1/2027
|
12,382
|
12,372
|
5.13%, 11/1/2027
|
24,674
|
24,042
|
4.63%, 6/15/2028
|
6,038
|
5,738
|
6.13%, 6/15/2030
|
4,249
|
4,212
|
6.75%, 5/15/2031 (a)
|
5,136
|
5,183
|
|
|
119,221
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Technology — 0.1%
|
||
IQVIA, Inc.
|
||
5.00%, 10/15/2026 (a)
|
1,803
|
1,763
|
5.00%, 5/15/2027 (a)
|
5,787
|
5,621
|
|
|
7,384
|
Hotel & Resort REITs — 0.2%
|
||
RHP Hotel Properties LP
|
||
4.75%, 10/15/2027
|
14,971
|
14,356
|
4.50%, 2/15/2029 (a)
|
1,255
|
1,166
|
|
|
15,522
|
Hotels, Restaurants & Leisure — 1.4%
|
||
1011778 BC ULC (Canada)
|
||
3.88%, 1/15/2028 (a)
|
1,315
|
1,222
|
4.00%, 10/15/2030 (a)
|
4,430
|
3,855
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
4,913
|
4,537
|
Caesars Entertainment, Inc.
|
||
8.13%, 7/1/2027 (a)
|
1,620
|
1,652
|
4.63%, 10/15/2029 (a)
|
4,213
|
3,806
|
7.00%, 2/15/2030 (a)
|
3,000
|
3,032
|
6.50%, 2/15/2032 (a)
|
3,138
|
3,103
|
Carnival Corp.
|
||
5.75%, 3/1/2027 (a)
|
4,000
|
3,926
|
4.00%, 8/1/2028 (a)
|
3,391
|
3,115
|
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a)
|
5,736
|
6,210
|
Cedar Fair LP 5.25%, 7/15/2029
|
4,065
|
3,829
|
Hilton Domestic Operating Co., Inc.
|
||
5.38%, 5/1/2025 (a)
|
3,952
|
3,932
|
5.75%, 5/1/2028 (a)
|
2,245
|
2,224
|
3.75%, 5/1/2029 (a)
|
5,594
|
5,069
|
International Game Technology plc 6.25%, 1/15/2027 (a)
|
3,245
|
3,250
|
Marriott Ownership Resorts, Inc.
|
||
4.75%, 1/15/2028
|
18
|
17
|
4.50%, 6/15/2029 (a)
|
3,496
|
3,170
|
Merlin Entertainments Ltd. (United Kingdom) 5.75%, 6/15/2026 (a)
|
3,050
|
3,007
|
MGM Resorts International
|
||
5.75%, 6/15/2025
|
5,818
|
5,803
|
4.63%, 9/1/2026
|
3,974
|
3,855
|
5.50%, 4/15/2027
|
2,370
|
2,331
|
6.50%, 4/15/2032
|
1,600
|
1,564
|
Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027 (a)
|
500
|
487
|
Royal Caribbean Cruises Ltd.
|
||
8.25%, 1/15/2029 (a)
|
4,657
|
4,901
|
9.25%, 1/15/2029 (a)
|
3,667
|
3,906
|
6.25%, 3/15/2032 (a)
|
2,727
|
2,715
|
Six Flags Entertainment Corp.
|
||
5.50%, 4/15/2027 (a)
|
12,192
|
11,954
|
6.63%, 5/1/2032 (a)
|
2,824
|
2,826
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotels, Restaurants & Leisure — continued
|
||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)
|
1,042
|
1,043
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
4,755
|
4,428
|
Studio City Finance Ltd. (Macau)
|
||
6.50%, 1/15/2028 (i)
|
1,000
|
946
|
5.00%, 1/15/2029 (i)
|
2,550
|
2,221
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
2,157
|
2,171
|
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a)
|
695
|
676
|
Wynn Macau Ltd. 5.63%, 8/26/2028 (i)
|
2,500
|
2,339
|
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a)
|
16,570
|
15,583
|
|
|
128,705
|
Household Durables — 0.4%
|
||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)
|
7,129
|
7,073
|
Newell Brands, Inc.
|
||
4.88%, 6/1/2025
|
2,000
|
1,972
|
5.70%, 4/1/2026 (j)
|
13,400
|
13,231
|
6.87%, 4/1/2036 (j)
|
3,780
|
3,356
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)
|
10,050
|
9,012
|
|
|
34,644
|
Household Products — 0.4%
|
||
Central Garden & Pet Co.
|
||
5.13%, 2/1/2028
|
8,885
|
8,550
|
4.13%, 10/15/2030
|
3,895
|
3,449
|
Energizer Holdings, Inc.
|
||
4.75%, 6/15/2028 (a)
|
11,333
|
10,455
|
4.38%, 3/31/2029 (a)
|
6,037
|
5,367
|
Spectrum Brands, Inc.
|
||
5.00%, 10/1/2029 (a)
|
7,976
|
7,972
|
3.88%, 3/15/2031 (a)
|
3,290
|
3,028
|
|
|
38,821
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
Calpine Corp.
|
||
5.25%, 6/1/2026 (a)
|
5,072
|
5,010
|
4.63%, 2/1/2029 (a)
|
960
|
893
|
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (i)
|
4,620
|
4,646
|
|
|
10,549
|
IT Services — 0.1%
|
||
Gartner, Inc. 4.50%, 7/1/2028 (a)
|
5,202
|
4,954
|
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)
|
2,100
|
2,098
|
|
|
7,052
|
Leisure Products — 0.2%
|
||
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a)
|
3,975
|
3,961
|
Mattel, Inc. 5.88%, 12/15/2027 (a)
|
5,345
|
5,325
|
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a)
|
5,291
|
5,199
|
|
|
14,485
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Machinery — 0.2%
|
||
Chart Industries, Inc. 7.50%, 1/1/2030 (a)
|
6,932
|
7,140
|
Esab Corp. 6.25%, 4/15/2029 (a)
|
2,590
|
2,596
|
Terex Corp. 5.00%, 5/15/2029 (a)
|
3,660
|
3,442
|
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)
|
3,628
|
3,500
|
|
|
16,678
|
Marine Transportation — 0.1%
|
||
MV24 Capital BV (Brazil)
|
||
6.75%, 6/1/2034 (a)
|
3,556
|
3,327
|
6.75%, 6/1/2034 (i)
|
2,419
|
2,263
|
|
|
5,590
|
Media — 3.3%
|
||
Audacy Capital Corp. 6.50%, 5/1/2027 (a) (c)
|
3,678
|
138
|
Clear Channel Outdoor Holdings, Inc.
|
||
5.13%, 8/15/2027 (a)
|
18,662
|
17,630
|
7.75%, 4/15/2028 (a)
|
9,274
|
7,999
|
9.00%, 9/15/2028 (a)
|
2,302
|
2,396
|
CSC Holdings LLC
|
||
5.38%, 2/1/2028 (a)
|
3,100
|
2,177
|
6.50%, 2/1/2029 (a)
|
20,576
|
13,922
|
5.75%, 1/15/2030 (a)
|
5,700
|
2,463
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
12,728
|
11,952
|
DISH DBS Corp.
|
||
5.88%, 11/15/2024
|
55,405
|
52,759
|
7.75%, 7/1/2026
|
19,231
|
12,229
|
5.25%, 12/1/2026 (a)
|
6,035
|
4,806
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
12,636
|
12,678
|
GCI LLC 4.75%, 10/15/2028 (a)
|
7,571
|
6,873
|
Gray Television, Inc.
|
||
7.00%, 5/15/2027 (a)
|
3,999
|
3,529
|
10.50%, 7/15/2029 (a)
|
7,066
|
7,019
|
4.75%, 10/15/2030 (a)
|
7,460
|
4,244
|
5.38%, 11/15/2031 (a)
|
4,388
|
2,437
|
iHeartCommunications, Inc.
|
||
6.38%, 5/1/2026
|
6,821
|
5,220
|
8.38%, 5/1/2027
|
4,104
|
1,483
|
5.25%, 8/15/2027 (a)
|
13,408
|
7,407
|
Lamar Media Corp. 4.88%, 1/15/2029
|
2,131
|
2,030
|
Midcontinent Communications 5.38%, 8/15/2027 (a)
|
1,345
|
1,286
|
News Corp. 3.88%, 5/15/2029 (a)
|
7,242
|
6,571
|
Nexstar Media, Inc.
|
||
5.63%, 7/15/2027 (a)
|
13,163
|
12,424
|
4.75%, 11/1/2028 (a)
|
9,646
|
8,508
|
Outfront Media Capital LLC
|
||
5.00%, 8/15/2027 (a)
|
4,278
|
4,108
|
4.25%, 1/15/2029 (a)
|
2,700
|
2,438
|
Paramount Global (3-MONTH SOFR + 3.90%), 6.25%, 2/28/2057 (h)
|
524
|
457
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
3,220
|
2,068
|
Sinclair Television Group, Inc.
|
||
5.13%, 2/15/2027 (a)
|
3,985
|
3,549
|
4.13%, 12/1/2030 (a)
|
5,070
|
3,438
|
Sirius XM Radio, Inc.
|
||
5.00%, 8/1/2027 (a)
|
11,000
|
10,446
|
4.00%, 7/15/2028 (a)
|
6,725
|
6,020
|
5.50%, 7/1/2029 (a)
|
21,344
|
19,823
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
6,110
|
5,593
|
Sunrise FinCo. I BV (Netherlands) 4.88%, 7/15/2031 (a)
|
3,485
|
3,111
|
Sunrise HoldCo IV BV (Netherlands) 5.50%, 1/15/2028 (a)
|
2,900
|
2,788
|
TEGNA, Inc. 5.00%, 9/15/2029
|
7,917
|
6,957
|
Telenet Finance Luxembourg Notes SARL (Belgium) 5.50%, 3/1/2028 (a)
|
2,400
|
2,264
|
Univision Communications, Inc.
|
||
8.00%, 8/15/2028 (a)
|
12,169
|
11,985
|
7.38%, 6/30/2030 (a)
|
1,520
|
1,440
|
Videotron Ltd. (Canada)
|
||
5.38%, 6/15/2024 (a)
|
190
|
190
|
5.13%, 4/15/2027 (a)
|
9,307
|
9,099
|
VZ Secured Financing BV (Netherlands) 5.00%, 1/15/2032 (a)
|
1,738
|
1,475
|
Ziggo Bond Co. BV (Netherlands) 6.00%, 1/15/2027 (a)
|
1,050
|
1,031
|
Ziggo BV (Netherlands) 4.88%, 1/15/2030 (a)
|
2,750
|
2,451
|
|
|
310,911
|
Metals & Mining — 0.4%
|
||
Alcoa Nederland Holding BV
|
||
5.50%, 12/15/2027 (a)
|
3,890
|
3,845
|
6.13%, 5/15/2028 (a)
|
3,490
|
3,483
|
7.13%, 3/15/2031 (a)
|
4,924
|
5,036
|
ArcelorMittal SA (Luxembourg) 7.00%, 10/15/2039 (j)
|
200
|
217
|
ATI, Inc. 5.88%, 12/1/2027
|
3,085
|
3,029
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
2,951
|
2,940
|
Cleveland-Cliffs, Inc.
|
||
5.88%, 6/1/2027
|
3,900
|
3,864
|
4.88%, 3/1/2031 (a)
|
3,725
|
3,257
|
Constellium SE
|
||
5.88%, 2/15/2026 (a)
|
588
|
584
|
5.88%, 2/15/2026 (i)
|
1,128
|
1,120
|
5.63%, 6/15/2028 (a)
|
700
|
680
|
3.75%, 4/15/2029 (a)
|
1,000
|
899
|
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (i)
|
4,300
|
4,140
|
Novelis Corp.
|
||
4.75%, 1/30/2030 (a)
|
5,810
|
5,368
|
3.88%, 8/15/2031 (a)
|
2,425
|
2,076
|
|
|
40,538
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Mortgage Real Estate Investment Trusts (REITs) — 0.8%
|
||
Arbor Realty Trust, Inc.
|
||
5.00%, 4/30/2026
|
15,000
|
13,987
|
Series QIB, 4.50%, 9/1/2026 (a)
|
14,500
|
13,219
|
Series QIB, 4.50%, 3/15/2027 (a)
|
20,000
|
17,696
|
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a)
|
11,000
|
10,564
|
ReadyCap Holdings LLC Series QIB, 4.50%, 10/20/2026 (a)
|
20,000
|
18,531
|
|
|
73,997
|
Multi-Utilities — 0.0% ^
|
||
Empresas Publicas de Medellin ESP (Colombia) 4.25%, 7/18/2029 (i)
|
2,800
|
2,401
|
Oil, Gas & Consumable Fuels — 3.9%
|
||
AI Candelaria Spain SA (Colombia)
|
||
7.50%, 12/15/2028 (i)
|
1,901
|
1,849
|
5.75%, 6/15/2033 (a)
|
3,974
|
3,139
|
Antero Midstream Partners LP
|
||
5.75%, 3/1/2027 (a)
|
4,269
|
4,220
|
5.75%, 1/15/2028 (a)
|
1,749
|
1,711
|
5.38%, 6/15/2029 (a)
|
7,849
|
7,523
|
Antero Resources Corp.
|
||
8.38%, 7/15/2026 (a)
|
1,801
|
1,855
|
7.63%, 2/1/2029 (a)
|
4,174
|
4,300
|
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (a)
|
500
|
500
|
Bapco Energies BSC Closed (Bahrain) 7.50%, 10/25/2027 (i)
|
2,200
|
2,235
|
Baytex Energy Corp. (Canada)
|
||
8.50%, 4/30/2030 (a)
|
5,560
|
5,798
|
7.38%, 3/15/2032 (a)
|
2,000
|
2,023
|
Blue Racer Midstream LLC
|
||
7.00%, 7/15/2029 (a)
|
1,710
|
1,728
|
7.25%, 7/15/2032 (a)
|
1,190
|
1,212
|
BP Capital Markets plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 4.04%), 4.38%, 6/22/2025 (f) (g)
(h)
|
2,626
|
2,568
|
Buckeye Partners LP
|
||
4.13%, 3/1/2025 (a)
|
2,001
|
1,963
|
3.95%, 12/1/2026
|
3,000
|
2,854
|
4.50%, 3/1/2028 (a)
|
6,537
|
6,109
|
California Resources Corp. 7.13%, 2/1/2026 (a)
|
7,034
|
7,070
|
Chesapeake Energy Corp.
|
||
5.50%, 2/1/2026 (a)
|
1,900
|
1,879
|
6.75%, 4/15/2029 (a)
|
14,392
|
14,430
|
Chord Energy Corp. 6.38%, 6/1/2026 (a)
|
5,451
|
5,442
|
Civitas Resources, Inc.
|
||
8.38%, 7/1/2028 (a)
|
3,635
|
3,815
|
8.63%, 11/1/2030 (a)
|
5,173
|
5,533
|
8.75%, 7/1/2031 (a)
|
4,482
|
4,785
|
Columbia Pipelines Holding Co. LLC 6.04%, 8/15/2028 (a)
|
5,590
|
5,692
|
Comstock Resources, Inc.
|
||
6.75%, 3/1/2029 (a)
|
9,586
|
9,272
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
5.88%, 1/15/2030 (a)
|
3,680
|
3,392
|
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a)
|
8,272
|
8,758
|
DT Midstream, Inc.
|
||
4.13%, 6/15/2029 (a)
|
5,434
|
4,969
|
4.38%, 6/15/2031 (a)
|
4,850
|
4,356
|
Ecopetrol SA (Colombia)
|
||
8.63%, 1/19/2029
|
2,480
|
2,582
|
8.88%, 1/13/2033
|
2,525
|
2,585
|
8.38%, 1/19/2036
|
974
|
948
|
5.88%, 5/28/2045
|
3,645
|
2,601
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)
|
8,656
|
8,825
|
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (i)
|
2,711
|
2,572
|
Energy Transfer LP
|
||
5.75%, 4/1/2025
|
4,949
|
4,946
|
5.63%, 5/1/2027 (a)
|
4,140
|
4,127
|
5.35%, 5/15/2045
|
740
|
663
|
5.30%, 4/15/2047
|
430
|
379
|
EnLink Midstream Partners LP 4.15%, 6/1/2025
|
1,801
|
1,770
|
EQM Midstream Partners LP
|
||
6.00%, 7/1/2025 (a)
|
2,348
|
2,347
|
6.50%, 7/1/2027 (a)
|
1,675
|
1,689
|
5.50%, 7/15/2028
|
3,200
|
3,138
|
4.75%, 1/15/2031 (a)
|
7,248
|
6,656
|
Genesis Energy LP
|
||
8.00%, 1/15/2027
|
4,228
|
4,309
|
7.75%, 2/1/2028
|
2,630
|
2,642
|
8.25%, 1/15/2029
|
997
|
1,021
|
7.88%, 5/15/2032
|
1,537
|
1,540
|
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (i)
|
2,013
|
1,989
|
Gulfport Energy Corp.
|
||
8.00%, 5/17/2026
|
131
|
132
|
8.00%, 5/17/2026 (a)
|
5,245
|
5,317
|
Hess Midstream Operations LP
|
||
5.63%, 2/15/2026 (a)
|
7,775
|
7,726
|
5.13%, 6/15/2028 (a)
|
3,545
|
3,415
|
Howard Midstream Energy Partners LLC 6.75%, 1/15/2027 (a)
|
898
|
899
|
Kinetik Holdings LP 5.88%, 6/15/2030 (a)
|
3,273
|
3,190
|
Leviathan Bond Ltd. (Israel)
|
||
6.13%, 6/30/2025 (i)
|
490
|
480
|
6.50%, 6/30/2027 (i)
|
5,000
|
4,744
|
6.75%, 6/30/2030 (i)
|
1,553
|
1,417
|
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (i)
|
3,086
|
3,018
|
NGL Energy Operating LLC
|
||
8.13%, 2/15/2029 (a)
|
2,553
|
2,599
|
8.38%, 2/15/2032 (a)
|
2,551
|
2,598
|
NuStar Logistics LP
|
||
5.75%, 10/1/2025
|
1,837
|
1,826
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
5.63%, 4/28/2027
|
5,652
|
5,567
|
6.38%, 10/1/2030
|
2,034
|
2,028
|
Permian Resources Operating LLC
|
||
7.75%, 2/15/2026 (a)
|
5,717
|
5,767
|
5.88%, 7/1/2029 (a)
|
2,000
|
1,960
|
9.88%, 7/15/2031 (a)
|
4,850
|
5,366
|
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (i)
|
14,000
|
11,830
|
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a)
|
3,110
|
1,850
|
Petroleos Mexicanos (Mexico)
|
||
6.88%, 8/4/2026
|
3,300
|
3,219
|
5.35%, 2/12/2028
|
10,300
|
9,084
|
5.95%, 1/28/2031
|
14,950
|
12,101
|
10.00%, 2/7/2033
|
2,005
|
2,019
|
6.38%, 1/23/2045
|
5,548
|
3,641
|
6.95%, 1/28/2060
|
10,150
|
6,764
|
Range Resources Corp.
|
||
8.25%, 1/15/2029
|
6,975
|
7,247
|
4.75%, 2/15/2030 (a)
|
1,000
|
928
|
Rockies Express Pipeline LLC 3.60%, 5/15/2025 (a)
|
3,000
|
2,916
|
SM Energy Co.
|
||
5.63%, 6/1/2025
|
800
|
797
|
6.75%, 9/15/2026
|
2,539
|
2,535
|
6.63%, 1/15/2027
|
4,833
|
4,805
|
Southwestern Energy Co.
|
||
5.70%, 1/23/2025 (j)
|
570
|
567
|
8.38%, 9/15/2028
|
285
|
294
|
5.38%, 3/15/2030
|
5,996
|
5,768
|
4.75%, 2/1/2032
|
1,124
|
1,019
|
Sunoco LP
|
||
6.00%, 4/15/2027
|
1,220
|
1,209
|
7.00%, 5/1/2029 (a)
|
1,430
|
1,460
|
4.50%, 5/15/2029
|
3,514
|
3,225
|
Tallgrass Energy Partners LP
|
||
6.00%, 3/1/2027 (a)
|
2,685
|
2,629
|
5.50%, 1/15/2028 (a)
|
2,224
|
2,121
|
6.00%, 12/31/2030 (a)
|
1,720
|
1,621
|
6.00%, 9/1/2031 (a)
|
2,255
|
2,112
|
Targa Resources Partners LP
|
||
6.50%, 7/15/2027
|
4,573
|
4,601
|
6.88%, 1/15/2029
|
2,240
|
2,303
|
Uzbekneftegaz JSC (Uzbekistan) 4.75%, 11/16/2028 (a)
|
2,500
|
2,096
|
Venture Global LNG, Inc.
|
||
8.13%, 6/1/2028 (a)
|
7,048
|
7,203
|
9.50%, 2/1/2029 (a)
|
2,115
|
2,294
|
9.88%, 2/1/2032 (a)
|
2,115
|
2,268
|
Vital Energy, Inc. 7.88%, 4/15/2032 (a)
|
1,809
|
1,837
|
|
|
360,721
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Passenger Airlines — 0.3%
|
||
American Airlines, Inc.
|
||
5.50%, 4/20/2026 (a)
|
13,784
|
13,654
|
5.75%, 4/20/2029 (a)
|
7,390
|
7,147
|
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)
|
1,382
|
1,383
|
United Airlines, Inc.
|
||
4.38%, 4/15/2026 (a)
|
4,822
|
4,646
|
4.63%, 4/15/2029 (a)
|
1,273
|
1,177
|
|
|
28,007
|
Personal Care Products — 0.2%
|
||
Coty, Inc. 5.00%, 4/15/2026 (a)
|
989
|
974
|
Edgewell Personal Care Co.
|
||
5.50%, 6/1/2028 (a)
|
13,250
|
12,881
|
4.13%, 4/1/2029 (a)
|
2,933
|
2,670
|
Prestige Brands, Inc.
|
||
5.13%, 1/15/2028 (a)
|
4,133
|
3,982
|
3.75%, 4/1/2031 (a)
|
2,935
|
2,517
|
|
|
23,024
|
Pharmaceuticals — 0.9%
|
||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)
|
19,477
|
18,147
|
Bausch Health Cos., Inc.
|
||
5.50%, 11/1/2025 (a)
|
14,930
|
14,080
|
5.75%, 8/15/2027 (a)
|
11,808
|
9,328
|
5.00%, 2/15/2029 (a)
|
20,402
|
10,507
|
5.25%, 1/30/2030 (a)
|
2,020
|
1,025
|
Catalent Pharma Solutions, Inc.
|
||
5.00%, 7/15/2027 (a)
|
880
|
861
|
3.13%, 2/15/2029 (a)
|
2,760
|
2,633
|
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (j)
|
7,962
|
8,028
|
Endo DAC 0.00%, 7/31/2027 ‡
|
135
|
4
|
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (a)
|
1,171
|
1,200
|
EndoDesign (Ireland) 0.00%, 10/15/2024 ‡
|
700
|
—
|
GCB144A ENDO (Luxembourg) 0.00%, 4/1/2029 ‡
|
1,520
|
—
|
Mallinckrodt International Finance SA 14.75%, 11/14/2028 (a)
|
5,016
|
5,459
|
Organon & Co.
|
||
4.13%, 4/30/2028 (a)
|
11,132
|
10,283
|
5.13%, 4/30/2031 (a)
|
8,250
|
7,291
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (c)
|
7,330
|
—
|
|
|
88,846
|
Real Estate Management & Development — 0.0% ^
|
||
Anywhere Real Estate Group LLC
|
||
5.75%, 1/15/2029 (a)
|
2,167
|
1,487
|
5.25%, 4/15/2030 (a)
|
690
|
450
|
|
|
1,937
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
5,220
|
5,219
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Semiconductors & Semiconductor Equipment — continued
|
||
Entegris, Inc.
|
||
4.38%, 4/15/2028 (a)
|
3,988
|
3,731
|
4.75%, 4/15/2029 (a)
|
5,470
|
5,190
|
3.63%, 5/1/2029 (a)
|
781
|
694
|
5.95%, 6/15/2030 (a)
|
6,260
|
6,162
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
10,981
|
10,027
|
|
|
31,023
|
Software — 0.5%
|
||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a)
|
605
|
599
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a)
|
4,250
|
3,856
|
Clarivate Science Holdings Corp.
|
||
3.88%, 7/1/2028 (a)
|
5,739
|
5,256
|
4.88%, 7/1/2029 (a)
|
5,863
|
5,347
|
NCR Voyix Corp.
|
||
5.00%, 10/1/2028 (a)
|
7,394
|
6,919
|
5.13%, 4/15/2029 (a)
|
5,377
|
4,993
|
5.25%, 10/1/2030 (a)
|
1,961
|
1,779
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
2,625
|
2,747
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)
|
15,640
|
15,317
|
|
|
46,813
|
Specialized REITs — 0.1%
|
||
Iron Mountain, Inc.
|
||
5.25%, 3/15/2028 (a)
|
4,188
|
4,032
|
5.00%, 7/15/2028 (a)
|
3,567
|
3,384
|
|
|
7,416
|
Specialty Retail — 1.1%
|
||
Asbury Automotive Group, Inc.
|
||
4.50%, 3/1/2028
|
4,455
|
4,208
|
4.63%, 11/15/2029 (a)
|
3,086
|
2,839
|
4.75%, 3/1/2030
|
2,882
|
2,643
|
Bath & Body Works, Inc.
|
||
9.38%, 7/1/2025 (a)
|
843
|
873
|
5.25%, 2/1/2028
|
57
|
56
|
7.50%, 6/15/2029
|
3,289
|
3,377
|
6.75%, 7/1/2036
|
4,560
|
4,538
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
2,115
|
1,830
|
Lithia Motors, Inc. 3.88%, 6/1/2029 (a)
|
9,162
|
8,160
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
6,411
|
5,701
|
PetSmart, Inc.
|
||
4.75%, 2/15/2028 (a)
|
16,715
|
15,523
|
7.75%, 2/15/2029 (a)
|
8,297
|
7,943
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
6,597
|
5,927
|
SRS Distribution, Inc.
|
||
4.63%, 7/1/2028 (a)
|
9,901
|
9,844
|
6.13%, 7/1/2029 (a)
|
845
|
858
|
6.00%, 12/1/2029 (a)
|
2,565
|
2,603
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Specialty Retail — continued
|
||
Staples, Inc.
|
||
7.50%, 4/15/2026 (a)
|
11,113
|
11,111
|
10.75%, 4/15/2027 (a)
|
3,244
|
2,888
|
10.75%, 9/1/2029 (a) (b)
|
10,450
|
10,112
|
|
|
101,034
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
Seagate HDD Cayman
|
||
4.09%, 6/1/2029
|
4,315
|
3,950
|
3.13%, 7/15/2029
|
5,160
|
4,419
|
8.25%, 12/15/2029 (a)
|
3,120
|
3,338
|
8.50%, 7/15/2031 (a)
|
677
|
722
|
Xerox Holdings Corp.
|
||
5.50%, 8/15/2028 (a)
|
3,750
|
3,295
|
8.88%, 11/30/2029 (a)
|
2,735
|
2,649
|
|
|
18,373
|
Tobacco — 0.0% ^
|
||
Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045
|
1,360
|
1,266
|
Trading Companies & Distributors — 0.6%
|
||
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a)
|
7,695
|
7,939
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
8,788
|
8,580
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
17,898
|
16,659
|
United Rentals North America, Inc. 4.88%, 1/15/2028
|
5,000
|
4,813
|
WESCO Distribution, Inc.
|
||
7.13%, 6/15/2025 (a)
|
8,929
|
8,925
|
7.25%, 6/15/2028 (a)
|
5,881
|
5,991
|
6.38%, 3/15/2029 (a)
|
4,649
|
4,666
|
6.63%, 3/15/2032 (a)
|
2,735
|
2,748
|
|
|
60,321
|
Transportation Infrastructure — 0.0% ^
|
||
Prumo Participacoes e Investimentos S/A (Brazil) 7.50%, 12/31/2031 (i)
|
4,328
|
4,278
|
Wireless Telecommunication Services — 0.2%
|
||
Altice France Holding SA (Luxembourg)
|
||
10.50%, 5/15/2027 (a)
|
9,038
|
3,344
|
6.00%, 2/15/2028 (a)
|
2,265
|
705
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
6,092
|
2,482
|
Millicom International Cellular SA (Guatemala)
|
||
5.13%, 1/15/2028 (i)
|
3,240
|
3,074
|
6.25%, 3/25/2029 (a)
|
900
|
874
|
Sprint LLC 7.13%, 6/15/2024
|
6,000
|
6,001
|
United States Cellular Corp. 6.70%, 12/15/2033
|
1,708
|
1,798
|
Vodafone Group plc (United Kingdom) (USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (h)
|
3,300
|
3,400
|
|
|
21,678
|
Total Corporate Bonds
(Cost $3,146,437)
|
|
2,958,059
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — 28.9%
|
||
20 Times Square Trust Series 2018-20TS, Class F, 3.10%, 5/15/2035 (a) (k)
|
600
|
459
|
Acrc 5.25%, 11/15/2026 ‡ (a)
|
32,667
|
29,361
|
Areit Frn 2.75%, 8/17/2026 ‡ (a) (k)
|
29,000
|
28,275
|
BANK
|
|
|
Series 2019-BN16, Class D, 3.00%, 2/15/2052 (a)
|
8,795
|
6,522
|
Series 2019-BN16, Class F, 3.68%, 2/15/2052 (a) (k)
|
3,000
|
1,391
|
Series 2019-BN17, Class D, 3.00%, 4/15/2052 (a)
|
2,800
|
2,123
|
Series 2019-BN17, Class E, 3.00%, 4/15/2052 (a)
|
2,500
|
1,749
|
Series 2019-BN21, Class E, 2.50%, 10/17/2052 (a)
|
8,600
|
4,588
|
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (a)
|
2,841
|
1,316
|
Series 2019-BN23, Class XA, IO, 0.68%, 12/15/2052 (k)
|
38,439
|
1,177
|
Series 2020-BN29, Class D, 2.50%, 11/15/2053 (a)
|
5,000
|
3,430
|
Series 2020-BN29, Class E, 2.50%, 11/15/2053 (a)
|
3,500
|
2,225
|
Series 2020-BN30, Class D, 2.50%, 12/15/2053 (a) (k)
|
5,231
|
3,599
|
Series 2020-BN30, Class E, 2.50%, 12/15/2053 (a) (k)
|
4,145
|
2,658
|
Series 2017-BNK9, Class D, 2.80%, 11/15/2054 (a)
|
2,149
|
1,324
|
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 (a) (k)
|
1,000
|
787
|
Series 2017-BNK5, Class C, 4.19%, 6/15/2060 (k)
|
2,050
|
1,865
|
Series 2017-BNK6, Class D, 3.10%, 7/15/2060 (a)
|
3,195
|
2,445
|
Series 2018-BN14, Class XB, IO, 0.09%, 9/15/2060 (k)
|
132,263
|
482
|
Series 2017-BNK7, Class D, 2.71%, 9/15/2060 (a)
|
3,000
|
1,924
|
Series 2018-BN14, Class F, 3.94%, 9/15/2060 (a)
|
1,000
|
452
|
Series 2018-BN10, Class D, 2.60%, 2/15/2061 (a)
|
1,500
|
1,180
|
Series 2018-BN12, Class D, 3.00%, 5/15/2061 (a)
|
1,250
|
749
|
Series 2018-BN13, Class D, 3.00%, 8/15/2061 (a)
|
2,000
|
1,299
|
Series 2018-BN15, Class E, 3.00%, 11/15/2061 (a)
|
2,000
|
1,356
|
Series 2019-BN18, Class E, 3.00%, 5/15/2062 (a)
|
2,150
|
956
|
Series 2019-BN20, Class XA, IO, 0.81%, 9/15/2062 (k)
|
49,354
|
1,686
|
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (a)
|
6,721
|
4,584
|
Series 2019-BN20, Class E, 2.50%, 9/15/2062 (a)
|
8,600
|
4,886
|
Series 2019-BN24, Class XA, IO, 0.63%, 11/15/2062 (k)
|
98,715
|
2,953
|
Series 2019-BN22, Class D, 2.50%, 11/15/2062 (a)
|
4,250
|
2,973
|
Series 2019-BN24, Class D, 2.50%, 11/15/2062 (a)
|
7,380
|
5,082
|
Series 2020-BN25, Class E, 2.50%, 1/15/2063 (a)
|
4,250
|
2,554
|
Series 2020-BN26, Class D, 2.50%, 3/15/2063 (a)
|
3,250
|
2,278
|
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a)
|
5,520
|
3,085
|
Series 2021-BN33, Class D, 2.50%, 5/15/2064 (a)
|
3,700
|
2,441
|
Series 2021-BN33, Class E, 2.50%, 5/15/2064 (a)
|
3,850
|
2,269
|
Series 2021-BN33, Class C, 3.30%, 5/15/2064
|
7,609
|
5,908
|
Series 2021-BN35, Class XB, IO, 0.59%, 6/15/2064 (k)
|
40,000
|
1,435
|
Series 2021-BN35, Class E, 2.50%, 6/15/2064 (a) (k)
|
5,300
|
3,089
|
BANK5
|
|
|
Series 2023-5YR1, Class A3, 6.26%, 4/15/2056 (k)
|
26,446
|
26,999
|
Series 2023-5YR3, Class A2, 6.26%, 9/15/2056
|
19,634
|
20,071
|
Series 2023-5YR4, Class A3, 6.50%, 12/15/2056
|
6,665
|
6,900
|
Barclays Commercial Mortgage Trust Series 2019-C4, Class D, 3.25%, 8/15/2052 (a)
|
8,451
|
5,912
|
BBCMS Mortgage Trust
|
|
|
Series 2018-TALL, Class E, 7.95%, 3/15/2037 (a) (k)
|
6,000
|
4,610
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2017-C1, Class D, 3.54%, 2/15/2050 (a) (k)
|
1,000
|
748
|
Series 2021-C11, Class XB, IO, 0.96%, 9/15/2054 (k)
|
30,040
|
1,753
|
Series 2021-C11, Class XA, IO, 1.37%, 9/15/2054 (k)
|
159,960
|
10,454
|
Series 2023-C22, Class A5, 6.80%, 11/15/2056 (k)
|
7,100
|
7,836
|
Series 2023-5C23, Class A3, 6.68%, 12/15/2056 (k)
|
15,110
|
15,790
|
Benchmark Mortgage Trust
|
|
|
Series 2018-B1, Class D, 2.75%, 1/15/2051 (a)
|
2,000
|
1,075
|
Series 2018-B1, Class C, 4.18%, 1/15/2051 (k)
|
1,000
|
806
|
Series 2018-B2, Class XA, IO, 0.45%, 2/15/2051 (k)
|
36,307
|
424
|
Series 2018-B8, Class D, 3.00%, 1/15/2052 (a)
|
3,050
|
1,909
|
Series 2019-B9, Class F, 3.74%, 3/15/2052 (a) (k)
|
6,000
|
2,611
|
Series 2019-B11, Class D, 3.00%, 5/15/2052 (a)
|
1,900
|
1,169
|
Series 2020-B16, Class E, 2.50%, 2/15/2053 (a)
|
7,250
|
4,359
|
Series 2020-B21, Class E, 2.00%, 12/17/2053 (a)
|
2,500
|
1,348
|
Series 2023-V3, Class A3, 6.36%, 7/15/2056 (k)
|
278
|
286
|
Series 2024-V5, Class A3, 5.81%, 1/10/2057
|
4,133
|
4,188
|
Series 2019-B14, Class E, 2.50%, 12/15/2062 (a)
|
3,000
|
1,572
|
Series 2019-B15, Class E, 2.75%, 12/15/2072 (a)
|
9,150
|
4,339
|
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (k)
|
18,395
|
18,395
|
BMARK Series 2023-V4, Class A3, 6.84%, 11/15/2056 (k)
|
28,900
|
30,308
|
BMD2 Re-Remic Trust
|
|
|
Series 2019-FRR1, Class 4A, PO, 5/25/2052 ‡ (a)
|
5,000
|
3,434
|
Series 2019-FRR1, Class 1A1, 7.94%, 5/25/2052 (a) (k)
|
2,935
|
2,935
|
Series 2019-FRR1, Class 1A5, 9.64%, 5/25/2052 (a) (k)
|
1,622
|
1,607
|
BMD2 Re-REMIC Trust
|
|
|
Series 2019-FRR1, Class 2B10, PO, 5/25/2052 ‡ (a)
|
22,815
|
21,369
|
Series 2019-FRR1, Class 3AB, PO, 5/25/2052 ‡ (a)
|
10,499
|
7,561
|
BMO Mortgage Trust
|
|
|
Series 2023-C5, Class A5, 5.77%, 6/15/2056
|
17,900
|
18,356
|
Series 2023-5C1, Class A3, 6.53%, 8/15/2056 (k)
|
39,786
|
41,152
|
Series 2023-5C2, Class A3, 7.05%, 11/15/2056 (k)
|
27,530
|
29,242
|
Series 2023-C7, Class A5, 6.16%, 12/15/2056
|
10,900
|
11,496
|
Series 2024-5C3, Class A3, 5.74%, 2/15/2057
|
18,530
|
18,700
|
Series 2024-5C4, Class A3, 6.53%, 5/15/2057 (k)
|
8,500
|
8,872
|
BX
|
|
|
Series 2021-MFM1, Class E, 7.68%, 1/15/2034 (a) (k)
|
2,490
|
2,459
|
Series 2021-MFM1, Class F, 8.43%, 1/15/2034 (a) (k)
|
1,533
|
1,509
|
BX Commercial Mortgage Trust
|
|
|
Series 2024-MF, Class A, 6.76%, 2/15/2039 (a) (k)
|
8,970
|
8,984
|
Series 2024-MF, Class B, 7.01%, 2/15/2039 (a) (k)
|
3,640
|
3,634
|
California Housing Finance Agency Series 2021-2, Class X, IO, 0.82%, 3/25/2035 (k)
|
62,741
|
2,869
|
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E, 2.50%, 11/15/2052 (a)
|
2,300
|
1,578
|
Cascade Funding Mortgage Trust
|
|
|
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a)
|
10,400
|
9,591
|
Series 2021-FRR1, Class CK45, 1.33%, 2/28/2025 (a) (k)
|
12,500
|
11,739
|
Series 2021-FRR1, Class CKW1, 0.00%, 1/29/2026 (a)
|
8,200
|
7,026
|
Series 2021-FRR1, Class BK54, 0.00%, 2/28/2026 (a)
|
20,000
|
17,229
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a)
|
6,700
|
5,677
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a)
|
2,500
|
2,078
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a)
|
6,970
|
4,496
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a)
|
8,000
|
5,325
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a)
|
14,000
|
8,343
|
Series 2021-FRR1, Class BK58, 2.43%, 9/29/2029 (a) (k)
|
11,000
|
9,467
|
CD Mortgage Trust
|
|
|
Series 2016-CD1, Class C, 3.63%, 8/10/2049 (k)
|
3,000
|
2,118
|
Series 2017-CD3, Class D, 3.25%, 2/10/2050 (a)
|
700
|
262
|
Series 2017-CD4, Class D, 3.30%, 5/10/2050 (a)
|
1,550
|
1,227
|
Series 2017-CD5, Class D, 3.35%, 8/15/2050 (a)
|
266
|
203
|
Series 2017-CD6, Class C, 4.23%, 11/13/2050 (k)
|
914
|
785
|
Series 2018-CD7, Class D, 3.09%, 8/15/2051 (a) (k)
|
1,629
|
1,178
|
Series 2019-CD8, Class XB, IO, 0.70%, 8/15/2057 (a) (k)
|
78,512
|
2,416
|
Series 2019-CD8, Class E, 3.00%, 8/15/2057 (a)
|
1,910
|
1,013
|
CFCRE Commercial Mortgage Trust
|
|
|
Series 2016-C6, Class B, 3.80%, 11/10/2049
|
1,000
|
900
|
Series 2016-C6, Class C, 4.17%, 11/10/2049 (k)
|
800
|
693
|
Series 2016-C6, Class D, 4.17%, 11/10/2049 (a) (k)
|
1,900
|
1,358
|
CGMS Commercial Mortgage Trust
|
|
|
Series 2017-B1, Class D, 3.00%, 8/15/2050 (a)
|
4,359
|
3,268
|
Series 2017-B1, Class E, 3.30%, 8/15/2050 (a) (k)
|
809
|
399
|
Citigroup Commercial Mortgage Trust
|
|
|
Series 2012-GC8, Class D, 4.94%, 9/10/2045 (a) (k)
|
1,875
|
1,303
|
Series 2014-GC25, Class D, 3.55%, 10/10/2047 (a)
|
3,750
|
2,813
|
Series 2015-GC29, Class D, 3.11%, 4/10/2048 (a)
|
4,500
|
3,990
|
Series 2015-GC31, Class D, 4.03%, 6/10/2048 (k)
|
3,800
|
2,265
|
Series 2015-P1, Class D, 3.23%, 9/15/2048 (a)
|
2,285
|
2,007
|
Series 2016-P4, Class C, 3.94%, 7/10/2049 (k)
|
3,624
|
3,011
|
Series 2016-C2, Class D, 3.25%, 8/10/2049 (a) (k)
|
1,500
|
1,296
|
Series 2017-C4, Class D, 3.00%, 10/12/2050 (a)
|
5,453
|
4,114
|
Series 2019-GC43, Class E, 3.00%, 11/10/2052 (a)
|
9,287
|
4,495
|
Series 2020-GC46, Class E, 2.60%, 2/15/2053 (a)
|
4,500
|
2,557
|
Series 2019-GC41, Class B, 3.20%, 8/10/2056
|
3,000
|
2,491
|
Series 2015-GC33, Class D, 3.17%, 9/10/2058
|
9,000
|
5,850
|
Series 2015-GC33, Class E, 4.57%, 9/10/2058 (a) (k)
|
4,330
|
1,969
|
Commercial Mortgage Trust
|
|
|
Series 2020-CBM, Class D, 3.63%, 2/10/2037 (a) (k)
|
1,630
|
1,565
|
Series 2020-CBM, Class E, 3.63%, 2/10/2037 (a) (k)
|
2,670
|
2,551
|
Series 2020-CBM, Class F, 3.63%, 2/10/2037 (a) (k)
|
17,870
|
16,892
|
Series 2013-CR8, Class D, 3.54%, 6/10/2046 (a) (k)
|
750
|
714
|
Series 2013-CR13, Class E, 4.95%, 11/10/2046 (a) (k)
|
1,500
|
473
|
Series 2014-CR14, Class C, 3.71%, 2/10/2047 (k)
|
1,000
|
911
|
Series 2014-UBS2, Class D, 4.83%, 3/10/2047 (a) (k)
|
3,210
|
2,553
|
Series 2014-LC15, Class D, 4.80%, 4/10/2047 (a) (k)
|
2,482
|
2,296
|
Series 2014-CR19, Class E, 4.14%, 8/10/2047 (a) (k)
|
6,000
|
5,054
|
Series 2014-CR19, Class D, 4.64%, 8/10/2047 (a) (k)
|
2,500
|
2,235
|
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 (a)
|
4,760
|
3,370
|
Series 2014-LC17, Class D, 3.69%, 10/10/2047 (a)
|
20,708
|
18,709
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2014-CR21, Class D, 3.91%, 12/10/2047 (a) (k)
|
1,735
|
1,592
|
Series 2015-CR22, Class D, 4.07%, 3/10/2048 (a) (k)
|
4,174
|
3,506
|
Series 2015-CR23, Class D, 4.29%, 5/10/2048 (k)
|
1,490
|
1,344
|
Series 2015-LC21, Class E, 3.25%, 7/10/2048 (a)
|
3,000
|
2,337
|
Series 2015-LC21, Class D, 4.31%, 7/10/2048 (k)
|
4,200
|
3,777
|
Series 2015-CR24, Class D, 3.46%, 8/10/2048 (k)
|
1,458
|
1,275
|
Series 2015-CR25, Class D, 3.77%, 8/10/2048 (k)
|
1,000
|
899
|
Series 2015-CR27, Class D, 3.45%, 10/10/2048 (a) (k)
|
2,072
|
1,824
|
Series 2015-LC23, Class D, 3.54%, 10/10/2048 (a) (k)
|
2,000
|
1,815
|
Series 2015-LC23, Class E, 3.54%, 10/10/2048 (a) (k)
|
3,500
|
2,955
|
Series 2016-CR28, Class E, 4.11%, 2/10/2049 (a) (k)
|
3,588
|
2,730
|
Series 2016-DC2, Class C, 4.66%, 2/10/2049 (k)
|
2,500
|
2,362
|
Series 2016-COR1, Class XB, IO, 0.43%, 10/10/2049 (a) (k)
|
27,554
|
226
|
Series 2016-COR1, Class C, 4.32%, 10/10/2049 (k)
|
1,000
|
856
|
Series 2013-CR11, Class D, 4.46%, 8/10/2050 (a) (k)
|
2,862
|
2,642
|
Series 2018-COR3, Class D, 2.81%, 5/10/2051 (a) (k)
|
3,250
|
1,884
|
Series 2019-GC44, Class E, 2.50%, 8/15/2057 (a)
|
8,493
|
4,937
|
CSAIL Commercial Mortgage Trust
|
|
|
Series 2015-C4, Class E, 3.55%, 11/15/2048 (k)
|
3,298
|
2,887
|
Series 2016-C5, Class D, 3.64%, 11/15/2048 (a) (k)
|
2,750
|
2,370
|
Series 2018-CX11, Class C, 4.82%, 4/15/2051 (k)
|
6,734
|
5,989
|
Series 2019-C16, Class C, 4.24%, 6/15/2052 (k)
|
5,500
|
4,614
|
Series 2019-C17, Class D, 2.50%, 9/15/2052 (a)
|
5,500
|
3,579
|
Series 2019-C18, Class XB, IO, 0.16%, 12/15/2052 (k)
|
61,932
|
489
|
Series 2019-C18, Class XA, IO, 1.00%, 12/15/2052 (k)
|
46,756
|
1,825
|
Series 2021-C20, Class E, 2.25%, 3/15/2054 (a)
|
5,659
|
3,158
|
Series 2015-C2, Class B, 4.21%, 6/15/2057 (k)
|
9,468
|
8,935
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a)
|
12,636
|
9,442
|
DBGS Mortgage Trust Series 2018-C1, Class D, 2.90%, 10/15/2051 (a) (k)
|
1,000
|
644
|
DBJPM Mortgage Trust
|
|
|
Series 2016-C3, Class D, 3.48%, 8/10/2049 (a) (k)
|
2,950
|
1,602
|
Series 2016-C3, Class E, 4.23%, 8/10/2049 (a) (k)
|
1,250
|
573
|
Series 2017-C6, Class D, 3.18%, 6/10/2050 (a) (k)
|
1,800
|
1,327
|
ELM Trust Series 2024-ELM, Class C10, 1.00%, 6/10/2027 ‡ (a) (b) (k)
|
12,915
|
12,910
|
FHLMC
|
|
|
Series K-153, Class X1, IO, 0.44%, 12/25/2032 (k)
|
21,998
|
731
|
Series 2023-MN7, Class M1, 8.92%, 9/25/2043 (a) (k)
|
4,135
|
4,216
|
Series 2023-MN7, Class B1, 14.17%, 9/25/2043 (a) (k)
|
6,000
|
6,428
|
Series 2024-MN8, Class M1, 8.17%, 5/25/2044 (a) (k)
|
4,950
|
4,974
|
Series 2024-MN8, Class M2, 9.57%, 5/25/2044 (a) (k)
|
6,525
|
6,589
|
Series 2024-MN8, Class B1, 12.67%, 5/25/2044 (a) (k)
|
3,300
|
3,347
|
FHLMC Multiclass Certificates
|
|
|
Series 2020-RR11, Class BX, IO, 2.44%, 12/27/2028 (k)
|
15,063
|
916
|
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029
|
38,620
|
3,006
|
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (k)
|
31,381
|
4,421
|
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (k)
|
40,000
|
2,844
|
Series 2023-RR21, Class X, IO, 3.28%, 4/27/2036 (k)
|
186,283
|
41,891
|
Series 2021-P011, Class X1, IO, 1.78%, 9/25/2045 (k)
|
9,730
|
1,113
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040 (a) (k)
|
55,689
|
6,443
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
Series 2021-MN2, Class M2, 8.67%, 7/25/2041 (a) (k)
|
14,070
|
13,093
|
Series 2021-MN2, Class B1, 10.82%, 7/25/2041 (a) (k)
|
2,000
|
1,669
|
Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (a) (k)
|
650
|
639
|
Series 2021-MN1, Class M2, 9.07%, 1/25/2051 (a) (k)
|
14,640
|
14,705
|
Series 2021-MN1, Class B1, 13.07%, 1/25/2051 (a) (k)
|
2,100
|
2,284
|
Series 2021-MN3, Class M2, 9.32%, 11/25/2051 (a) (k)
|
18,800
|
18,931
|
Series 2021-MN3, Class B1, 12.17%, 11/25/2051 (a) (k)
|
3,500
|
3,392
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series K729, Class X1, IO, 0.33%, 10/25/2024 (k)
|
13,184
|
7
|
Series KC03, Class X1, IO, 0.47%, 11/25/2024 (k)
|
87,528
|
171
|
Series K731, Class X3, IO, 2.83%, 5/25/2025 (k)
|
11,529
|
174
|
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (k)
|
36,446
|
236
|
Series K734, Class X3, IO, 2.17%, 7/25/2026 (k)
|
30,250
|
1,094
|
Series KC04, Class X1, IO, 1.25%, 12/25/2026 (k)
|
46,809
|
668
|
Series K064, Class X3, IO, 2.14%, 5/25/2027 (k)
|
18,830
|
957
|
Series KC05, Class X1, IO, 1.22%, 6/25/2027 (k)
|
97,869
|
2,361
|
Series K740, Class X1, IO, 0.74%, 9/25/2027 (k)
|
115,221
|
2,337
|
Series K742, Class X1, IO, 0.77%, 3/25/2028 (k)
|
28,793
|
556
|
Series K742, Class X3, IO, 2.59%, 4/25/2028 (k)
|
16,000
|
1,389
|
Series K075, Class X3, IO, 2.13%, 5/25/2028 (k)
|
5,471
|
373
|
Series K080, Class X1, IO, 0.12%, 7/25/2028 (k)
|
141,013
|
814
|
Series K086, Class X1, IO, 0.24%, 11/25/2028 (k)
|
78,630
|
797
|
Series K084, Class X3, IO, 2.24%, 11/25/2028 (k)
|
19,450
|
1,675
|
Series K091, Class X1, IO, 0.56%, 3/25/2029 (k)
|
8,997
|
209
|
Series K096, Class X3, IO, 2.04%, 7/25/2029 (k)
|
48,669
|
4,118
|
Series K100, Class X1, IO, 0.65%, 9/25/2029 (k)
|
232,559
|
6,632
|
Series K101, Class X3, IO, 1.89%, 10/25/2029 (k)
|
81,000
|
6,936
|
Series K090, Class X3, IO, 2.31%, 10/25/2029 (k)
|
147,080
|
14,199
|
Series K119, Class X1, IO, 0.93%, 9/25/2030 (k)
|
34,629
|
1,571
|
Series K124, Class XAM, IO, 0.94%, 1/25/2031 (k)
|
17,689
|
904
|
Series K129, Class X3, IO, 3.16%, 5/25/2031 (k)
|
26,500
|
4,531
|
Series K131, Class X1, IO, 0.73%, 7/25/2031 (k)
|
18,915
|
786
|
Series K131, Class X3, IO, 2.95%, 9/25/2031 (k)
|
19,369
|
3,118
|
Series K159, Class X1, IO, 0.12%, 11/25/2033 (k)
|
52,416
|
519
|
Series KX04, Class XFX, IO, 1.67%, 1/25/2034 (k)
|
75,424
|
3,933
|
Series K-1512, Class X3, IO, 3.16%, 10/25/2034 (k)
|
7,134
|
1,630
|
Series K-1515, Class X1, IO, 1.51%, 2/25/2035 (k)
|
19,827
|
2,148
|
Series Q012, Class X, IO, 4.07%, 9/25/2035 (k)
|
30,576
|
5,043
|
Series K-1521, Class X1, IO, 0.98%, 8/25/2036 (k)
|
17,899
|
1,436
|
Series K-1513, Class X3, IO, 2.93%, 12/25/2037 (k)
|
12,475
|
2,643
|
Series K-1515, Class X3, IO, 3.68%, 3/25/2038 (k)
|
6,000
|
1,642
|
Series K-1516, Class X3, IO, 3.46%, 10/25/2038 (k)
|
2,500
|
652
|
Series K-1521, Class X3, IO, 3.35%, 9/25/2039 (k)
|
10,834
|
2,909
|
Series K044, Class X3, IO, 1.50%, 1/25/2043 (k)
|
73,508
|
636
|
Series K067, Class X3, IO, 2.11%, 9/25/2044 (k)
|
91,000
|
5,458
|
Series K727, Class X3, IO, 2.01%, 10/25/2044 (k)
|
15,000
|
24
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series K070, Class X3, IO, 2.04%, 12/25/2044 (k)
|
42,245
|
2,510
|
Series K724, Class X3, IO, 3.55%, 12/25/2044 (k)
|
359
|
—
|
Series K730, Class X3, IO, 2.03%, 2/25/2045 (k)
|
27,176
|
340
|
Series K065, Class X3, IO, 2.19%, 7/25/2045 (k)
|
13,000
|
768
|
Series K066, Class X3, IO, 2.16%, 8/25/2045 (k)
|
25,000
|
1,516
|
Series K728, Class X3, IO, 1.99%, 11/25/2045 (k)
|
5,013
|
25
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (k)
|
20,640
|
1,383
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (k)
|
132,506
|
12,055
|
Series K087, Class X3, IO, 2.32%, 1/25/2046 (k)
|
89,384
|
7,690
|
Series K091, Class X3, IO, 2.28%, 4/25/2046 (k)
|
81,933
|
7,840
|
Series K078, Class X3, IO, 2.21%, 6/25/2046 (k)
|
2,680
|
203
|
Series K079, Class X3, IO, 2.26%, 7/25/2046 (k)
|
9,000
|
697
|
Series K097, Class X3, IO, 2.02%, 9/25/2046 (k)
|
93,876
|
8,225
|
Series K081, Class X3, IO, 2.24%, 9/25/2046 (k)
|
29,425
|
2,417
|
Series K082, Class X3, IO, 2.21%, 10/25/2046 (k)
|
49,000
|
4,146
|
Series K083, Class X3, IO, 2.29%, 11/25/2046 (k)
|
15,000
|
1,301
|
Series K103, Class X3, IO, 1.85%, 12/25/2046 (k)
|
80,100
|
6,573
|
Series K102, Class X3, IO, 1.89%, 12/25/2046 (k)
|
69,791
|
5,878
|
Series K104, Class X3, IO, 1.90%, 2/25/2047 (k)
|
45,985
|
4,002
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (k)
|
94,987
|
8,767
|
Series K735, Class X3, IO, 2.15%, 5/25/2047 (k)
|
40,000
|
1,553
|
Series K093, Class X3, IO, 2.21%, 5/25/2047 (k)
|
136,528
|
12,246
|
Series K092, Class X3, IO, 2.25%, 5/25/2047 (k)
|
103,000
|
9,648
|
Series K094, Class X3, IO, 2.12%, 7/25/2047 (k)
|
35,331
|
3,154
|
Series K095, Class X3, IO, 2.10%, 8/25/2047 (k)
|
91,253
|
8,232
|
Series K736, Class X3, IO, 2.01%, 9/25/2047 (k)
|
89,230
|
3,514
|
Series K116, Class X3, IO, 3.02%, 9/25/2047 (k)
|
23,000
|
3,372
|
Series K099, Class X3, IO, 1.95%, 10/25/2047 (k)
|
49,100
|
4,109
|
Series K098, Class X3, IO, 2.00%, 10/25/2047 (k)
|
145,702
|
12,154
|
Series K740, Class X3, IO, 2.48%, 11/25/2047 (k)
|
21,423
|
1,474
|
Series K737, Class X3, IO, 1.77%, 1/25/2048 (k)
|
74,853
|
2,971
|
Series K106, Class X3, IO, 1.91%, 3/25/2048 (k)
|
100,622
|
8,689
|
Series K105, Class X3, IO, 1.92%, 3/25/2048 (k)
|
118,746
|
10,909
|
Series K111, Class X3, IO, 3.18%, 4/25/2048 (k)
|
52,234
|
8,012
|
Series K108, Class X3, IO, 3.49%, 4/25/2048 (k)
|
63,492
|
10,128
|
Series K738, Class X3, IO, 3.31%, 5/25/2048 (k)
|
71,537
|
5,477
|
Series K109, Class X3, IO, 3.38%, 5/25/2048 (k)
|
13,770
|
2,220
|
Series K110, Class X3, IO, 3.40%, 6/25/2048 (k)
|
28,200
|
4,451
|
Series K112, Class X3, IO, 3.00%, 7/25/2048 (k)
|
47,630
|
6,950
|
Series K114, Class X3, IO, 2.74%, 8/25/2048 (k)
|
10,750
|
1,398
|
Series K117, Class X3, IO, 2.87%, 10/25/2048 (k)
|
36,500
|
5,152
|
Series K120, Class X3, IO, 2.74%, 11/25/2048 (k)
|
38,372
|
5,224
|
Series K121, Class X3, IO, 2.77%, 11/25/2048 (k)
|
52,192
|
7,358
|
Series K739, Class X3, IO, 2.80%, 11/25/2048 (k)
|
39,675
|
3,000
|
Series K122, Class X3, IO, 2.63%, 1/25/2049 (k)
|
36,631
|
4,823
|
Series K126, Class X3, IO, 2.63%, 1/25/2049 (k)
|
39,727
|
5,520
|
Series K127, Class X3, IO, 2.65%, 3/25/2049 (k)
|
8,066
|
1,108
|
Series K743, Class X3, IO, 2.95%, 6/25/2049 (k)
|
5,000
|
482
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series K147, Class X3, IO, 3.80%, 6/25/2050 (k)
|
15,000
|
3,407
|
Series K148, Class X3, IO, 4.15%, 8/25/2054 (k)
|
18,414
|
4,669
|
Series Q014, Class X, IO, 2.78%, 10/25/2055 (k)
|
5,335
|
807
|
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 0.68%, 2/10/2056 (k)
|
50,950
|
1,106
|
FNMA ACES
|
|
|
Series 2015-M1, Class X2, IO, 0.50%, 9/25/2024 (k)
|
17,956
|
11
|
Series 2016-M12, Class X2, IO, 0.03%, 9/25/2026 (k)
|
65,420
|
23
|
Series 2019-M28, Class XAV3, IO, 1.10%, 2/25/2027 (k)
|
26,108
|
356
|
Series 2017-M8, Class X, IO, 0.09%, 5/25/2027 (k)
|
41,582
|
104
|
Series 2020-M10, Class X7, IO, 1.66%, 11/25/2027 (k)
|
29,706
|
1,218
|
Series 2020-M26, Class X3, IO, 1.73%, 1/25/2028 (k)
|
21,054
|
729
|
Series 2020-M4, Class 1X2, IO, 0.74%, 2/25/2028 (k)
|
13,368
|
296
|
Series 2020-M4, Class 1X3, IO, 1.02%, 2/25/2028 (k)
|
73,296
|
2,188
|
Series 2020-M33, Class X, IO, 2.00%, 6/25/2028 (k)
|
29,022
|
1,212
|
Series 2019-M30, Class X4, IO, 1.10%, 8/25/2028 (k)
|
19,957
|
255
|
Series 2020-M10, Class X6, IO, 1.38%, 8/25/2028 (k)
|
18,059
|
759
|
Series 2019-M31, Class X, IO, 1.30%, 9/25/2028 (k)
|
30,269
|
1,256
|
Series 2019-M30, Class X1, IO, 0.27%, 11/25/2028 (k)
|
84,031
|
710
|
Series 2020-M10, Class X3, IO, 1.30%, 11/25/2028 (k)
|
61,426
|
2,383
|
Series 2020-M10, Class X5, IO, 1.43%, 11/25/2028 (k)
|
54,013
|
2,311
|
Series 2019-M12, Class X, IO, 0.56%, 6/25/2029 (k)
|
142,641
|
2,164
|
Series 2019-M19, Class X2, IO, 0.63%, 9/25/2029 (k)
|
86,219
|
2,203
|
Series 2019-M32, Class X2, IO, 1.10%, 10/25/2029 (k)
|
28,303
|
1,242
|
Series 2019-M30, Class X2, IO, 0.03%, 12/25/2029 (k)
|
99,854
|
261
|
Series 2020-M3, Class X1, IO, 0.35%, 2/25/2030 (k)
|
16,344
|
227
|
Series 2019-M28, Class XA2, IO, 0.41%, 2/25/2030 (k)
|
17,252
|
275
|
Series 2019-M28, Class XA3, IO, 0.79%, 2/25/2030 (k)
|
30,811
|
925
|
Series 2020-M6, Class XD, IO, 1.05%, 2/25/2030 (k)
|
6,996
|
139
|
Series 2020-M19, Class X1, IO, 0.43%, 5/25/2030 (k)
|
29,265
|
540
|
Series 2020-M7, Class X, IO, 1.02%, 7/25/2030 (k)
|
30,770
|
1,239
|
Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (k)
|
105,114
|
7,340
|
Series 2021-M16, Class X, IO, 0.69%, 1/1/2031 (k)
|
116,791
|
2,263
|
Series 2019-M21, Class X2, IO, 1.28%, 2/25/2031 (k)
|
68,894
|
3,297
|
Series 2020-M22, Class X, IO, 0.87%, 3/25/2031 (k)
|
73,240
|
2,558
|
Series 2020-M39, Class X2, IO, 1.55%, 8/25/2031 (k)
|
41,613
|
2,308
|
Series 2022-M2, Class X2, IO, 0.21%, 1/25/2032 (k)
|
66,027
|
802
|
Series 2020-M21, Class XA, IO, 1.03%, 3/25/2032 (k)
|
67,562
|
3,838
|
Series 2020-M26, Class X1, IO, 0.50%, 4/25/2032 (k)
|
21,148
|
486
|
Series 2020-M37, Class X, IO, 1.03%, 4/25/2032 (k)
|
91,093
|
3,993
|
Series 2020-M47, Class X1, IO, 0.61%, 10/25/2032 (k)
|
59,918
|
1,113
|
Series 2020-M31, Class X1, IO, 0.85%, 10/25/2032 (k)
|
92,383
|
2,045
|
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (k)
|
3,000
|
2,893
|
Series 2019-M30, Class X5, IO, 0.35%, 5/25/2033 (k)
|
116,892
|
1,834
|
Series 2019-M31, Class X1, IO, 1.05%, 4/25/2034 (k)
|
39,493
|
2,500
|
Series 2018-M15, Class X, IO, 0.65%, 1/25/2036 (k)
|
7,116
|
191
|
Series 2020-M6, Class XL, IO, 1.07%, 11/25/2049 (k)
|
31,351
|
1,783
|
FREMF Mortgage Trust
|
|
|
Series 2017-KF38, Class B, 7.94%, 9/25/2024 (a) (k)
|
172
|
171
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2017-KF41, Class B, 7.94%, 11/25/2024 (a) (k)
|
125
|
91
|
Series 2018-KL2B, Class CB, 3.71%, 1/25/2025 (a) (k)
|
7,208
|
6,937
|
Series 2018-KF49, Class B, 7.34%, 6/25/2025 (a) (k)
|
222
|
217
|
Series 2018-KC02, Class B, 4.10%, 7/25/2025 (a) (k)
|
2,520
|
2,414
|
Series 2018-KL3W, Class CW, 4.10%, 8/25/2025 (a) (k)
|
15,000
|
14,159
|
Series 2017-KL1P, Class BP, 3.37%, 10/25/2025 (a) (k)
|
11,000
|
10,124
|
Series 2018-KF53, Class B, 7.49%, 10/25/2025 (k)
|
492
|
480
|
Series 2018-KSL1, Class C, 3.86%, 11/25/2025 ‡ (a) (k)
|
15,000
|
14,461
|
Series 2018-KBX1, Class C, 3.61%, 1/25/2026 (a) (k)
|
7,500
|
6,547
|
Series 2019-KC03, Class B, 4.37%, 1/25/2026 (a) (k)
|
7,000
|
6,678
|
Series 2019-KF58, Class B, 7.59%, 1/25/2026 (a) (k)
|
338
|
330
|
Series 2019-KF60, Class B, 7.79%, 2/25/2026 (a) (k)
|
617
|
599
|
Series 2019-KC06, Class B, 3.82%, 9/25/2026 (a) (k)
|
7,609
|
6,985
|
Series 2016-KF24, Class B, 10.44%, 10/25/2026 (a) (k)
|
63
|
61
|
Series 2019-KF72, Class B, 7.54%, 11/25/2026 (a) (k)
|
2,706
|
2,573
|
Series 2020-KF74, Class B, 7.59%, 1/25/2027 (a) (k)
|
742
|
714
|
Series 2017-KL1E, Class BE, 3.91%, 2/25/2027 (a) (k)
|
9,625
|
8,359
|
Series 2017-KF33, Class B, 7.99%, 6/25/2027 (a) (k)
|
3,885
|
3,649
|
Series 2017-KF40, Class B, 8.14%, 11/25/2027 (a) (k)
|
124
|
116
|
Series 2018-KHG1, Class C, 3.82%, 12/25/2027 (a) (k)
|
26,000
|
23,167
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (a)
|
12,000
|
8,931
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (a)
|
129,257
|
325
|
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (a)
|
16,000
|
52
|
Series 2018-KW06, Class B, 4.25%, 6/25/2028 (a) (k)
|
6,326
|
5,821
|
Series 21K-F116, Class CS, 11.73%, 6/25/2028 (a) (k)
|
24,789
|
24,710
|
Series 2018-KF50, Class B, 7.34%, 7/25/2028 (a) (k)
|
145
|
138
|
Series 2021-KHG3, Class BFX, 2.40%, 9/25/2028 (a) (k)
|
11,071
|
9,286
|
Series 2018-KF56, Class B, 7.89%, 11/25/2028 (a) (k)
|
274
|
252
|
Series 2019-KW08, Class B, 4.24%, 1/25/2029 (a) (k)
|
16,320
|
14,922
|
Series 2019-KF57, Class B, 7.69%, 1/25/2029 (a) (k)
|
1,017
|
961
|
Series 2019-KBF3, Class C, 10.19%, 1/25/2029 (a) (k)
|
6,699
|
6,276
|
Series 2019-KL05, Class BHG, 4.37%, 2/25/2029 ‡ (a) (k)
|
3,600
|
3,140
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)
|
10,000
|
8,607
|
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
172,945
|
609
|
Series 2019-KG01, Class B, 4.16%, 4/25/2029 (a) (k)
|
3,000
|
2,567
|
Series 2019-KF61, Class B, 7.64%, 4/25/2029 (a) (k)
|
2,197
|
1,988
|
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a)
|
254,197
|
824
|
Series 2019-KW09, Class B, 4.01%, 5/25/2029 (a) (k)
|
15,670
|
13,886
|
Series 2019-KF63, Class B, 7.79%, 5/25/2029 (a) (k)
|
4,133
|
3,666
|
Series 2019-KW09, Class C, PO, 6/25/2029 (a)
|
22,210
|
14,090
|
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a)
|
20,000
|
76
|
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (a)
|
37,520
|
146
|
Series 2019-KC05, Class B, 4.18%, 7/25/2029 (a) (k)
|
16,737
|
14,314
|
Series 2019-KF65, Class B, 7.84%, 7/25/2029 (a) (k)
|
3,777
|
3,404
|
Series 2019-KF66, Class B, 7.84%, 7/25/2029 (a) (k)
|
1,084
|
1,010
|
Series 2019-KF67, Class B, 7.69%, 8/25/2029 (a) (k)
|
2,877
|
2,712
|
Series 2019-KF67, Class C, 11.44%, 8/25/2029 (a) (k)
|
8,630
|
7,332
|
Series 2019-KF70, Class B, 7.74%, 9/25/2029 (a) (k)
|
920
|
861
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2019-KF71, Class B, 7.74%, 10/25/2029 (a) (k)
|
3,429
|
3,173
|
Series 2019-KF73, Class B, 7.89%, 11/25/2029 (a) (k)
|
6,526
|
6,113
|
Series 2020-KF75, Class B, 7.69%, 12/25/2029 (a) (k)
|
1,860
|
1,711
|
Series 2020-KF76, Class B, 8.19%, 1/25/2030 (a) (k)
|
1,402
|
1,320
|
Series 2018-KW07, Class C, PO, 10/25/2031 (a)
|
12,089
|
7,546
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (a)
|
147,356
|
360
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (a)
|
16,500
|
58
|
Series 2018-KW07, Class B, 4.08%, 10/25/2031 (a) (k)
|
1,000
|
843
|
Series 2022-KF132, Class CS, 11.73%, 2/25/2032 (a) (k)
|
34,156
|
28,709
|
Series 2019-KW10, Class C, PO, 10/25/2032 (a)
|
11,012
|
6,724
|
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (a)
|
125,524
|
472
|
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (a)
|
14,882
|
59
|
Series 2023-KF149, Class CS, 11.48%, 12/25/2032 (a) (k)
|
9,497
|
9,749
|
Series 2018-K158, Class B, 4.27%, 10/25/2033 (a) (k)
|
1,750
|
1,471
|
Series 19K-1510, Class X2B, IO, 0.10%, 1/25/2034 (a)
|
81,410
|
532
|
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (a)
|
288,508
|
1,808
|
Series 2018-K156, Class X2A, IO, 0.10%, 7/25/2036 (a)
|
148,355
|
848
|
Series 2016-K53, Class B, 4.02%, 3/25/2049 (a) (k)
|
69
|
67
|
Series 2017-K728, Class C, 3.72%, 11/25/2050 (a) (k)
|
105
|
104
|
Series 2018-K75, Class D, PO, 4/25/2051 (a)
|
30,000
|
20,503
|
Series 2018-K75, Class X2A, IO, 0.10%, 4/25/2051 (a)
|
470,341
|
1,252
|
Series 2018-K75, Class X2B, IO, 0.10%, 4/25/2051 (a)
|
114,000
|
335
|
Series 2019-K92, Class D, PO, 5/25/2052 (a)
|
16,000
|
10,329
|
Series 2020-K105, Class D, PO, 3/25/2053 (a)
|
33,000
|
18,708
|
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (a)
|
357,886
|
1,440
|
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (a)
|
81,000
|
358
|
FRR Re-REMIC Trust
|
|
|
Series 2018-C1, Class CK43, PO, 2/27/2048 (a)
|
9,400
|
8,820
|
Series 2018-C1, Class BK43, 2.70%, 2/27/2048 (a) (k)
|
12,434
|
11,930
|
GNMA
|
|
|
Series 2012-89, IO, 0.10%, 12/16/2053 (k)
|
8,153
|
4
|
Series 2014-88, Class AJ, 2.99%, 3/16/2055 (k)
|
6,474
|
5,561
|
Series 2015-104, IO, 0.09%, 5/16/2055 (k)
|
6,854
|
24
|
Series 2017-76, IO, 0.77%, 12/16/2056 (k)
|
5,262
|
230
|
Series 2023-127, IO, 0.42%, 7/16/2057 (k)
|
466,968
|
8,197
|
Series 2017-70, IO, 0.38%, 2/16/2059 (k)
|
4,370
|
91
|
Series 2017-105, IO, 0.52%, 5/16/2059 (k)
|
15,078
|
472
|
Series 2023-108, IO, 0.69%, 8/16/2059 (k)
|
227,436
|
8,580
|
Series 2017-171, IO, 0.65%, 9/16/2059 (k)
|
2,181
|
88
|
Series 2018-57, IO, 0.41%, 10/16/2059 (k)
|
56,180
|
1,796
|
Series 2018-4, IO, 0.57%, 10/16/2059 (k)
|
4,126
|
145
|
Series 2018-9, IO, 0.44%, 1/16/2060 (k)
|
76,413
|
2,331
|
Series 2019-67, IO, 0.91%, 2/16/2060 (k)
|
8,218
|
455
|
Series 2018-106, IO, 0.65%, 4/16/2060 (k)
|
6,683
|
327
|
Series 2019-109, IO, 0.80%, 4/16/2060 (k)
|
29,707
|
1,633
|
Series 2018-119, IO, 0.68%, 5/16/2060 (k)
|
7,783
|
421
|
Series 2018-98, IO, 0.45%, 8/16/2060 (k)
|
36,369
|
1,169
|
Series 2019-9, IO, 0.89%, 8/16/2060 (k)
|
12,381
|
663
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2020-184, IO, 0.91%, 11/16/2060 (k)
|
9,237
|
591
|
Series 2021-82, Class TA, IF, IO, 3.64%, 4/16/2061 (k)
|
15,622
|
684
|
Series 2019-32, IO, 0.60%, 5/16/2061 (k)
|
49,817
|
2,346
|
Series 2021-95, Class TA, IF, IO, 3.37%, 6/1/2061 (k)
|
53,298
|
2,043
|
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (k)
|
4,462
|
221
|
Series 2021-147, IO, 0.99%, 6/16/2061 (k)
|
30,611
|
2,197
|
Series 2021-123, Class SA, IF, IO, 3.63%, 6/16/2061 (k)
|
46,045
|
1,603
|
Series 2019-155, IO, 0.53%, 7/16/2061 (k)
|
103,920
|
4,011
|
Series 2021-218, IO, 0.96%, 10/16/2061 (k)
|
15,519
|
1,105
|
Series 2021-178, Class SA, IF, IO, 3.60%, 10/16/2061 (k)
|
75,181
|
4,090
|
Series 2020-28, IO, 0.82%, 11/16/2061 (k)
|
17,652
|
987
|
Series 2020-56, IO, 0.97%, 11/16/2061 (k)
|
46,898
|
2,940
|
Series 2020-124, IO, 0.99%, 12/16/2061 (k)
|
8,731
|
552
|
Series 2019-130, IO, 0.68%, 1/16/2062 (k)
|
8,724
|
436
|
Series 2019-144, IO, 0.79%, 1/16/2062 (k)
|
14,108
|
799
|
Series 2020-40, IO, 0.88%, 1/16/2062 (k)
|
40,153
|
2,357
|
Series 2020-14, IO, 0.59%, 2/16/2062 (k)
|
91,765
|
3,845
|
Series 2020-27, IO, 0.69%, 3/16/2062 (k)
|
25,766
|
1,237
|
Series 2020-143, Class IB, IO, 0.87%, 3/16/2062 (k)
|
48,230
|
2,902
|
Series 2020-10, IO, 0.58%, 4/16/2062 (k)
|
33,965
|
1,394
|
Series 2020-23, IO, 0.66%, 4/16/2062 (k)
|
95,264
|
4,430
|
Series 2020-70, IO, 0.76%, 4/16/2062 (k)
|
48,502
|
2,644
|
Series 2020-38, IO, 0.82%, 4/16/2062 (k)
|
47,675
|
2,738
|
Series 2020-54, IO, 0.92%, 4/16/2062 (k)
|
163,142
|
10,129
|
Series 2020-120, IO, 0.77%, 5/16/2062 (k)
|
8,223
|
479
|
Series 2020-91, Class IU, IO, 0.99%, 5/16/2062 (k)
|
41,017
|
2,785
|
Series 2020-72, IO, 1.04%, 5/16/2062 (k)
|
108,824
|
7,387
|
Series 2020-50, IO, 0.49%, 6/16/2062 (k)
|
45,569
|
1,823
|
Series 2020-106, Class IC, IO, 0.84%, 6/16/2062 (k)
|
71,764
|
4,367
|
Series 2020-108, IO, 0.85%, 6/16/2062 (k)
|
33,579
|
1,927
|
Series 2020-147, IO, 0.91%, 6/16/2062 (k)
|
170,918
|
11,081
|
Series 2020-194, IO, 1.08%, 6/16/2062 (k)
|
12,921
|
921
|
Series 2020-169, IO, 0.85%, 7/16/2062 (k)
|
358,858
|
22,277
|
Series 2020-64, IO, 1.20%, 7/16/2062 (k)
|
32,390
|
2,666
|
Series 2020-161, IO, 1.05%, 8/16/2062 (k)
|
20,663
|
1,451
|
Series 2020-111, IO, 0.88%, 9/15/2062 (k)
|
16,924
|
1,006
|
Series 2020-158, IO, 0.78%, 9/16/2062 (k)
|
54,141
|
3,095
|
Series 2021-88, IO, 0.79%, 9/16/2062 (k)
|
273,752
|
15,999
|
Series 2020-114, IO, 0.80%, 9/16/2062 (k)
|
75,473
|
4,264
|
Series 2021-3, IO, 0.87%, 9/16/2062 (k)
|
200,890
|
12,705
|
Series 2020-192, IO, 0.95%, 9/16/2062 (k)
|
62,775
|
4,229
|
Series 2020-6, IO, 0.70%, 10/16/2062 (k)
|
13,057
|
743
|
Series 2021-33, IO, 0.84%, 10/16/2062 (k)
|
181,435
|
11,407
|
Series 2021-102, IO, 0.85%, 10/16/2062 (k)
|
26,217
|
1,565
|
Series 2021-71, IO, 0.87%, 10/16/2062 (k)
|
167,920
|
10,722
|
Series 2020-128, IO, 0.91%, 10/16/2062 (k)
|
56,977
|
3,722
|
Series 2021-80, IO, 0.90%, 12/16/2062 (k)
|
63,300
|
4,280
|
Series 2020-150, IO, 0.96%, 12/16/2062 (k)
|
83,596
|
5,360
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-48, Class HT, IF, IO, 1.36%, 12/16/2062 (k)
|
85,073
|
2,144
|
Series 2021-40, IO, 0.82%, 2/16/2063 (k)
|
48,543
|
2,957
|
Series 2021-120, IO, 0.99%, 2/16/2063 (k)
|
52,327
|
3,750
|
Series 2021-62, Class SA, IF, IO, 3.37%, 2/16/2063 (k)
|
105,617
|
5,540
|
Series 2020-145, IO, 0.73%, 3/16/2063 (k)
|
34,889
|
1,839
|
Series 2021-101, IO, 0.68%, 4/16/2063 (k)
|
83,861
|
4,348
|
Series 2021-106, IO, 0.86%, 4/16/2063 (k)
|
88,123
|
5,784
|
Series 2021-151, IO, 0.92%, 4/16/2063 (k)
|
104,440
|
7,188
|
Series 2021-168, IO, 0.80%, 5/16/2063 (k)
|
142,286
|
8,492
|
Series 2021-126, IO, 0.85%, 5/16/2063 (k)
|
14,957
|
982
|
Series 2021-22, IO, 0.98%, 5/16/2063 (k)
|
53,445
|
3,668
|
Series 2021-10, IO, 0.99%, 5/16/2063 (k)
|
25,342
|
1,803
|
Series 2021-170, IO, 0.99%, 5/16/2063 (k)
|
14,828
|
1,056
|
Series 2024-32, IO, 0.71%, 6/16/2063 (k)
|
131,211
|
5,734
|
Series 2021-141, Class SA, IF, IO, 3.65%, 6/16/2063 (k)
|
46,934
|
1,689
|
Series 2021-133, IO, 0.88%, 7/16/2063 (k)
|
87,659
|
5,849
|
Series 2021-181, IO, 0.97%, 7/16/2063 (k)
|
148,546
|
10,458
|
Series 2021-61, IO, 1.04%, 8/16/2063 (k)
|
41,832
|
3,036
|
Series 2023-15, Class AB, 4.00%, 8/16/2063 (k)
|
8,860
|
8,237
|
Series 2023-179, IO, 0.61%, 9/16/2063 (k)
|
252,042
|
10,522
|
Series 2021-164, IO, 0.95%, 10/16/2063 (k)
|
14,260
|
1,026
|
Series 2021-112, IO, 0.96%, 10/16/2063 (k)
|
17,915
|
1,288
|
Series 2021-148, IO, 1.06%, 10/16/2063 (k)
|
66,052
|
5,301
|
Series 2021-110, IO, 0.87%, 11/16/2063 (k)
|
2,803
|
185
|
Series 2021-180, IO, 0.91%, 11/16/2063 (k)
|
19,495
|
1,351
|
Series 2021-185, IO, 1.10%, 11/16/2063 (k)
|
38,461
|
3,144
|
Series 2021-167, IO, 0.87%, 12/16/2063 (k)
|
64,179
|
4,499
|
Series 2022-7, Class SA, IF, IO, 3.37%, 2/16/2064 (k)
|
60,957
|
2,687
|
Series 2021-224, IO, 0.78%, 4/16/2064 (k)
|
80,989
|
5,149
|
Series 2022-149, IO, 0.45%, 6/16/2064 (k)
|
48,939
|
2,104
|
Series 2022-134, IO, 0.51%, 6/16/2064 (k)
|
29,314
|
1,308
|
Series 2022-52, IO, 0.77%, 6/16/2064 (k)
|
149,760
|
8,122
|
Series 2022-141, IO, 0.78%, 6/16/2064 (k)
|
11,794
|
801
|
Series 2022-210, IO, 0.70%, 7/16/2064 (k)
|
35,408
|
2,168
|
Series 2022-199, IO, 0.76%, 7/16/2064 (k)
|
32,460
|
2,048
|
Series 2023-15, IO, 0.92%, 8/16/2064 (k)
|
32,274
|
2,356
|
Series 2023-28, IO, 0.86%, 2/16/2065 (k)
|
24,911
|
1,733
|
Series 2023-26, IO, 0.97%, 4/16/2065 (k)
|
59,311
|
4,143
|
Series 2023-126, IO, 0.88%, 7/16/2065 (k)
|
63,691
|
4,610
|
Series 2023-46, IO, 1.15%, 7/16/2065 (k)
|
20,000
|
1,590
|
Series 2024-56, IO, 1.04%, 11/16/2065 (k)
|
10,992
|
859
|
GNMA, STRIPS Series 3, Class 23, IO, 1.40%, 9/16/2045
|
31,880
|
2,283
|
GS Mortgage Securities Trust
|
|
|
Series 2012-GCJ9, Class D, 4.60%, 11/10/2045 (a) (k)
|
329
|
300
|
Series 2015-GC28, Class D, 4.31%, 2/10/2048 (a) (k)
|
2,000
|
1,859
|
Series 2015-GC32, Class D, 3.35%, 7/10/2048
|
4,521
|
4,056
|
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (k)
|
5,547
|
2,666
|
Series 2015-GC30, Class D, 3.38%, 5/10/2050
|
4,000
|
3,276
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a)
|
4,950
|
3,006
|
Series 2019-GC42, Class D, 2.80%, 9/10/2052 (a)
|
11,880
|
8,086
|
Series 2019-GSA1, Class XB, IO, 0.29%, 11/10/2052 (k)
|
39,035
|
604
|
Series 2020-GC45, Class XA, IO, 0.66%, 2/13/2053 (k)
|
73,630
|
2,003
|
Series 2020-GC45, Class D, 2.85%, 2/13/2053 (a) (k)
|
3,000
|
2,092
|
Series 2020-GC45, Class E, 2.85%, 2/13/2053 (a) (k)
|
7,000
|
4,348
|
Series 2020-GC47, Class XA, IO, 1.13%, 5/12/2053 (k)
|
80,533
|
4,195
|
Series 2020-GSA2, Class XA, IO, 1.71%, 12/12/2053 (a) (k)
|
184,288
|
14,444
|
Series 2020-GSA2, Class D, 2.25%, 12/12/2053 (a)
|
18,158
|
11,063
|
Series 2020-GSA2, Class E, 2.25%, 12/12/2053 (a)
|
4,000
|
2,054
|
Harvest Commercial Capital Loan Trust Series 2019-1, Class A, 3.29%, 9/25/2046 (a) (k)
|
1,202
|
1,187
|
Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025 ‡
|
7,000
|
6,698
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class E, 11.26%, 10/15/2039 (a) (k)
|
8,760
|
8,436
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
Series 2013-C15, Class E, 3.50%, 11/15/2045 (a)
|
3,000
|
2,370
|
Series 2015-C31, Class B, 4.62%, 8/15/2048 (k)
|
2,000
|
1,796
|
Series 2015-C31, Class C, 4.62%, 8/15/2048 (k)
|
5,000
|
4,247
|
Series 2015-C33, Class D2, 4.14%, 12/15/2048 (a) (k)
|
1,000
|
871
|
Series 2015-C33, Class C, 4.64%, 12/15/2048 (k)
|
3,350
|
3,070
|
Series 2016-C1, Class D1, 4.20%, 3/17/2049 (a) (k)
|
1,500
|
1,271
|
JPMCC Commercial Mortgage Securities Trust
|
|
|
Series 2017-JP5, Class XB, IO, 0.43%, 3/15/2050 (k)
|
31,917
|
373
|
Series 2017-JP5, Class C, 3.75%, 3/15/2050 (k)
|
1,550
|
1,268
|
Series 2017-JP5, Class D, 4.50%, 3/15/2050 (a) (k)
|
4,669
|
3,670
|
Series 2017-JP7, Class D, 4.37%, 9/15/2050 (a) (k)
|
367
|
288
|
JPMCC Re-REMIC Trust Series 2015-FRR2, Class BK39, PO, 8/27/2047 ‡ (a)
|
1,500
|
1,479
|
JPMDB Commercial Mortgage Securities Trust Series 2019-COR6, Class D, 2.50%, 11/13/2052 (a)
|
9,875
|
4,965
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
Series 2013-C16, Class D, 4.89%, 12/15/2046 (a) (k)
|
2,052
|
1,811
|
Series 2015-JP1, Class C, 4.72%, 1/15/2049 (k)
|
4,647
|
4,089
|
Series 2016-JP3, Class D, 3.42%, 8/15/2049 (a) (k)
|
8,122
|
5,760
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (k)
|
88
|
33
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
Series 2014-C16, Class B, 4.33%, 6/15/2047 (k)
|
11,000
|
10,444
|
Series 2014-C16, Class C, 4.76%, 6/15/2047 (k)
|
2,300
|
1,982
|
Series 2014-C17, Class C, 4.40%, 8/15/2047 (k)
|
4,000
|
3,934
|
Series 2014-C17, Class D, 4.64%, 8/15/2047 (a) (k)
|
9,393
|
9,099
|
Series 2015-C27, Class E, 3.24%, 12/15/2047 (a) (k)
|
2,500
|
1,907
|
Series 2015-C27, Class F, 3.24%, 12/15/2047 (a) (k)
|
6,334
|
4,413
|
Series 2014-C19, Class D, 3.25%, 12/15/2047 (a)
|
2,000
|
1,740
|
Series 2014-C19, Class E, 3.25%, 12/15/2047 (a)
|
6,500
|
5,428
|
Series 2014-C19, Class C, 4.00%, 12/15/2047
|
3,000
|
2,879
|
Series 2015-C20, Class D, 3.07%, 2/15/2048 (a)
|
5,086
|
4,528
|
Series 2015-C21, Class XA, IO, 0.83%, 3/15/2048 (k)
|
18,742
|
39
|
Series 2015-C21, Class B, 3.85%, 3/15/2048 (k)
|
4,000
|
3,787
|
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a)
|
8,000
|
6,966
|
Series 2015-C26, Class D, 3.06%, 10/15/2048 (a)
|
4,000
|
3,143
|
Series 2016-C31, Class B, 3.88%, 11/15/2049 (k)
|
4,350
|
3,838
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2016-C31, Class C, 4.26%, 11/15/2049 (k)
|
1,000
|
840
|
Series 2015-C23, Class D, 4.14%, 7/15/2050 (a) (k)
|
1,500
|
1,385
|
Morgan Stanley Capital I Series 2017-HR2, Class C, 4.32%, 12/15/2050 (k)
|
1,200
|
1,068
|
Morgan Stanley Capital I Trust
|
|
|
Series 2018-MP, Class D, 4.28%, 7/11/2040 (a) (k)
|
1,000
|
696
|
Series 2016-UB11, Class C, 3.69%, 8/15/2049 (k)
|
2,000
|
1,822
|
Series 2019-L3, Class D, 2.50%, 11/15/2052 (a)
|
4,500
|
3,112
|
Series 2020-L4, Class D, 2.50%, 2/15/2053 (a)
|
7,175
|
4,915
|
Series 2020-HR8, Class XA, IO, 1.83%, 7/15/2053 (k)
|
19,399
|
1,644
|
Series 2021-L5, Class XB, IO, 0.71%, 5/15/2054 (k)
|
60,000
|
2,548
|
Series 2021-L5, Class E, 2.50%, 5/15/2054 (a)
|
4,234
|
2,635
|
Series 2021-L5, Class C, 3.16%, 5/15/2054
|
6,000
|
4,815
|
Series 2021-L6, Class D, 2.50%, 6/15/2054 (a) (k)
|
13,685
|
8,848
|
Series 2021-L6, Class E, 2.50%, 6/15/2054 (a) (k)
|
5,500
|
3,110
|
Series 2021-L7, Class E, 2.50%, 10/15/2054 (a)
|
8,091
|
4,501
|
MRCD MARK Mortgage Trust
|
|
|
Series 2019-PARK, Class G, 2.72%, 12/15/2036 (a)
|
13,337
|
7,206
|
Series 2019-PARK, Class J, 4.25%, 12/15/2036 (a)
|
20,000
|
7,294
|
MSWF Commercial Mortgage Trust Series 2023-2, Class A5, 6.01%, 12/15/2056 (k)
|
37,272
|
38,919
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
Series 2019-01, Class M10, 8.69%, 10/25/2049 (a) (k)
|
49,544
|
49,497
|
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (k)
|
70,668
|
70,837
|
Series 2023-01, Class M7, 9.32%, 11/25/2053 (a) (k)
|
3,491
|
3,611
|
Series 2023-01, Class M10, 11.82%, 11/25/2053 (a) (k)
|
8,375
|
9,129
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.65%, 12/18/2051 (a) (k)
|
8,000
|
6,253
|
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.21%, 4/10/2043 (a) (k)
|
5,000
|
1,868
|
P -stlb Series 2019-STL B9.25%, 10/11/2026 ‡
|
7,700
|
7,376
|
SBALR Commercial Mortgage Trust
|
|
|
Series 2020-RR1, Class XA, IO, 1.23%, 2/13/2053 (a) (k)
|
81,929
|
4,298
|
Series 2020-RR1, Class B, 3.48%, 2/13/2053 (a)
|
11,440
|
9,238
|
Series 2020-RR1, Class C, 3.98%, 2/13/2053 (a) (k)
|
4,750
|
3,594
|
Series 2020-RR1, Class D, 4.06%, 2/13/2053 (a) (k)
|
9,750
|
6,571
|
SDR Commercial Mortgage Trust
|
|
|
Series 2024-DSNY, Class A, 6.69%, 5/15/2039 (a) (k)
|
15,540
|
15,555
|
Series 2024-DSNY, Class B, 7.04%, 5/15/2039 (a) (k)
|
10,267
|
10,263
|
Series RR Trust Series 2015-1, Class B, PO, 4/26/2048 (a)
|
14,737
|
13,748
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048
|
2,000
|
1,796
|
UBS Commercial Mortgage Trust
|
|
|
Series 2017-C1, Class C, 4.44%, 6/15/2050
|
5,330
|
4,593
|
Series 2017-C2, Class C, 4.30%, 8/15/2050 (k)
|
7,250
|
6,290
|
Series 2018-C11, Class XB, IO, 0.25%, 6/15/2051 (k)
|
100,000
|
1,250
|
Series 2018-C11, Class B, 4.71%, 6/15/2051 (k)
|
5,000
|
4,327
|
Velocity Commercial Capital Loan Trust
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (k)
|
1,179
|
1,122
|
Series 2018-2, Class M2, 4.51%, 10/26/2048 (a) (k)
|
89
|
80
|
Series 2018-2, Class M3, 4.72%, 10/26/2048 (a) (k)
|
163
|
142
|
Series 2019-1, Class A, 3.76%, 3/25/2049 (a) (k)
|
1,284
|
1,191
|
Series 2019-1, Class M1, 3.94%, 3/25/2049 (a) (k)
|
2,696
|
2,404
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2019-3, Class A, 3.03%, 10/25/2049 (a) (k)
|
2,591
|
2,459
|
Series 2021-1, Class M1, 1.79%, 5/25/2051 (a) (k)
|
2,809
|
2,258
|
Series 2021-1, Class M2, 2.26%, 5/25/2051 (a) (k)
|
1,904
|
1,514
|
Series 2022-2, Class A, 4.67%, 4/25/2052 (a) (k)
|
2,780
|
2,543
|
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (k)
|
4,723
|
4,502
|
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (k)
|
4,937
|
4,726
|
Washington State Housing Finance Commission Series 2021-1, Class X, IO, 0.73%, 12/20/2035 (k)
|
90,758
|
3,947
|
Wells Fargo Commercial Mortgage Trust
|
|
|
Series 2014-LC18, Class D, 3.96%, 12/15/2047 (a) (k)
|
7,952
|
7,340
|
Series 2015-C26, Class D, 3.59%, 2/15/2048 (a)
|
3,000
|
2,848
|
Series 2015-C27, Class C, 3.89%, 2/15/2048
|
3,500
|
3,084
|
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 (a) (k)
|
9,230
|
7,726
|
Series 2015-C29, Class D, 4.22%, 6/15/2048 (k)
|
4,000
|
3,506
|
Series 2017-RB1, Class D, 3.40%, 3/15/2050 (a)
|
1,500
|
844
|
Series 2017-C38, Class D, 3.00%, 7/15/2050 (a)
|
4,500
|
3,311
|
Series 2018-C44, Class XB, IO, 0.17%, 5/15/2051 (k)
|
70,000
|
468
|
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a)
|
1,250
|
873
|
Series 2018-C46, Class D, 3.00%, 8/15/2051 (a)
|
1,890
|
1,304
|
Series 2019-C52, Class XA, IO, 1.59%, 8/15/2052 (k)
|
15,082
|
906
|
Series 2020-C55, Class D, 2.50%, 2/15/2053 (a)
|
4,500
|
2,968
|
Series 2020-C55, Class E, 2.50%, 2/15/2053 (a)
|
6,850
|
3,671
|
Series 2021-C59, Class D, 2.50%, 4/15/2054 (a)
|
2,500
|
1,616
|
Series 2022-C62, Class C, 4.35%, 4/15/2055 (k)
|
2,500
|
2,003
|
Series 2015-NXS3, Class D, 3.15%, 9/15/2057 (a)
|
2,000
|
1,815
|
Series 2015-NXS2, Class D, 4.27%, 7/15/2058 (k)
|
2,226
|
1,354
|
Series 2015-LC22, Class D, 4.54%, 9/15/2058 (k)
|
5,107
|
4,666
|
Series 2016-C32, Class D, 3.79%, 1/15/2059 (a) (k)
|
4,000
|
3,565
|
WFRBS Commercial Mortgage Trust
|
|
|
Series 2014-C21, Class D, 3.50%, 8/15/2047 (a)
|
6,153
|
4,905
|
Series 2014-C22, Class D, 3.89%, 9/15/2057 (a) (k)
|
1,440
|
721
|
Total Commercial Mortgage-Backed Securities
(Cost $3,035,078)
|
|
2,704,290
|
Asset-Backed Securities — 18.2%
|
||
ABFC Trust Series 2002-OPT1, Class M1, 6.53%, 5/25/2032 (k)
|
94
|
95
|
ACC, 0.00%, 6/15/2026 ‡
|
15,881
|
794
|
ACC Trust
|
|
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (a)
|
10,501
|
7,477
|
Series 2022-1, Class D, 6.65%, 10/20/2028 (a)
|
9,131
|
—
|
Accelerated Assets LLC
|
|
|
Series 2018-1, Class B, 4.51%, 12/2/2033 (a)
|
115
|
113
|
Series 2018-1, Class C, 6.65%, 12/2/2033 (a)
|
248
|
245
|
Accelerated LLC
|
|
|
Series 2021-1H, Class A, 1.35%, 10/20/2040 (a)
|
1,378
|
1,258
|
Series 2021-1H, Class B, 1.90%, 10/20/2040 (a)
|
1,694
|
1,549
|
Series 2021-1H, Class D, 3.58%, 10/20/2040 (a)
|
2,331
|
2,124
|
ACHV ABS TRUST Series 2023-2PL, Class B, 6.88%, 5/20/2030 (a)
|
1,174
|
1,176
|
Affirm Asset Securitization Trust
|
|
|
Series 2022-X1, Class CERT, 0.00%, 2/15/2027 ‡ (a)
|
12
|
80
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (a)
|
3,735
|
3,748
|
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a)
|
568
|
576
|
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030
|
4,155
|
3,808
|
American Credit Acceptance Receivables Trust
|
|
|
Series 2023-4, Class B, 6.63%, 2/14/2028 (a)
|
3,226
|
3,253
|
Series 2022-1, Class E, 3.64%, 3/13/2028 (a)
|
6,316
|
6,114
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (a)
|
12,853
|
12,673
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (a)
|
4,333
|
4,322
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (a)
|
5,575
|
5,574
|
Series 2024-1, Class C, 5.63%, 1/14/2030 (a)
|
3,450
|
3,426
|
Series 2024-2, Class D, 6.53%, 4/12/2030 (a)
|
9,856
|
9,948
|
Series 2024-1, Class D, 5.86%, 5/13/2030 (a)
|
2,500
|
2,474
|
Series 2023-4, Class D, 7.65%, 9/12/2030 (a)
|
6,700
|
6,923
|
AMSR Trust
|
|
|
Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a)
|
9,960
|
9,676
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a)
|
10,005
|
9,686
|
Series 2020-SFR2, Class H, 5.25%, 7/17/2037 (a)
|
7,500
|
7,206
|
Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 (a)
|
2,325
|
2,184
|
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (a)
|
18,177
|
17,138
|
Series 2020-SFR4, Class F, 2.86%, 11/17/2037 (a)
|
15,556
|
14,672
|
Series 2020-SFR5, Class G, 4.11%, 11/17/2037 (a)
|
7,300
|
6,919
|
Series 2019-SFR1, Class F, 3.87%, 1/19/2039 (a)
|
5,310
|
4,946
|
Series 2019-SFR1, Class G, 4.86%, 1/19/2039 (a)
|
2,125
|
1,992
|
Series 2019-SFR1, Class H, 6.04%, 1/19/2039 (a)
|
2,125
|
2,030
|
Series 2022-SFR1, Class E2, 4.64%, 3/17/2039 (a)
|
9,913
|
9,132
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a)
|
9,913
|
9,103
|
Aqua Finance Trust
|
|
|
Series 2019-A, Class C, 4.01%, 7/16/2040 (a)
|
4,983
|
4,541
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (a)
|
4,250
|
3,837
|
AREIT Trust Series 2021-CRE5, Class D, 8.09%, 11/17/2038 ‡ (a) (k)
|
12,500
|
11,850
|
Ares CLO Ltd. (Cayman Islands) Series 2017-43A, Class BR, 7.29%, 7/15/2034 (a) (k)
|
13,600
|
13,630
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
Series 2020-1A, Class D, 3.34%, 8/20/2026 (a)
|
10,500
|
10,037
|
Series 2023-4A, Class C, 7.24%, 6/20/2029 (a)
|
3,530
|
3,624
|
Series 2024-1A, Class A, 5.36%, 6/20/2030 (a)
|
4,545
|
4,509
|
Series 2024-1A, Class B, 5.85%, 6/20/2030 (a)
|
2,115
|
2,112
|
Series 2024-1A, Class C, 6.48%, 6/20/2030 (a)
|
2,500
|
2,505
|
Series 2024-3A, Class A, 5.23%, 12/20/2030 (a)
|
5,380
|
5,292
|
Series 2024-3A, Class B, 5.58%, 12/20/2030 (a)
|
2,625
|
2,590
|
Series 2024-3A, Class C, 6.11%, 12/20/2030 (a)
|
2,450
|
2,414
|
Ballyrock CLO Ltd. (Cayman Islands)
|
|
|
Series 2020-2A, Class A2R, 7.14%, 10/20/2031 (a) (k)
|
4,420
|
4,424
|
Series 2020-2A, Class DR, 11.74%, 10/20/2031 (a) (k)
|
2,250
|
2,235
|
Bayview Opportunity Master Fund LLC
|
|
|
Series 2024-CAR1, Class C, 6.82%, 12/26/2031 (a) (k)
|
1,840
|
1,845
|
Series 2024-CAR1, Class D, 7.37%, 12/26/2031 (a) (k)
|
466
|
467
|
Series 2024-CAR1, Class E, 8.92%, 12/26/2031 (a) (k)
|
1,397
|
1,401
|
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class B, 6.80%, 8/15/2029
|
4,814
|
4,889
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%,
11/15/2028 (a)
|
723
|
753
|
BSPRT Issuer Ltd. (Cayman Islands)
|
|
|
Series 2021-FL7, Class D, 8.18%, 12/15/2038 (a) (k)
|
8,700
|
8,290
|
Series 2021-FL7, Class E, 8.83%, 12/15/2038 (a) (k)
|
225
|
212
|
Business Jet Securities LLC
|
|
|
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (a)
|
1,830
|
1,721
|
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)
|
1,204
|
1,168
|
Series 2024-1A, Class A, 6.20%, 5/15/2039 (a)
|
15,375
|
15,439
|
Series 2024-1A, Class C, 9.13%, 5/15/2039 (a)
|
2,584
|
2,601
|
Buttermilk Park CLO Ltd. (Cayman Islands)
|
|
|
Series 2018-1A, Class B1R, 0.00%, 10/15/2031 (a) (b) (k)
|
2,007
|
2,007
|
Series 2018-1A, Class CR, 0.00%, 10/15/2031 (a) (b) (k)
|
11,688
|
11,688
|
BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034 (a)
|
579
|
564
|
Camden, 8.50%, 9/15/2031 ‡
|
10,216
|
9,786
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
Series 2012-3A, Class BR2, 7.79%, 1/14/2032 (a) (k)
|
1,000
|
999
|
Series 2015-4A, Class A2RR, 7.17%, 7/20/2032 (a) (k)
|
6,000
|
6,004
|
Series 2015-4A, Class BRR, 7.77%, 7/20/2032 (a) (k)
|
8,000
|
7,984
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (a)
|
5,770
|
5,500
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)
|
2,752
|
2,453
|
CARS-DB4 LP
|
|
|
Series 2020-1A, Class A4, 3.19%, 2/15/2050 (a)
|
3,448
|
3,356
|
Series 2020-1A, Class A5, 3.48%, 2/15/2050 (a)
|
2,956
|
2,706
|
Series 2020-1A, Class B1, 4.17%, 2/15/2050 (a)
|
3,500
|
3,409
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 (a)
|
4,290
|
3,928
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 (a)
|
4,510
|
3,842
|
CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (a)
|
5,912
|
4,586
|
Carvana Auto Receivables Trust
|
|
|
Series 2019-3A, Class E, 4.60%, 7/15/2026 (a)
|
3,879
|
3,868
|
Series 2019-4A, Class E, 4.70%, 10/15/2026 (a)
|
4,353
|
4,335
|
Cascade MH Asset Trust
|
|
|
Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (k)
|
5,160
|
4,746
|
Series 2022-MH1, Class A, 4.25%, 8/25/2054 (a) (j)
|
9,072
|
8,196
|
Centex Home Equity Loan Trust Series 2004-A, Class AF4, 5.01%, 8/25/2032 (j)
|
147
|
145
|
CFIN Issuer LLC
|
|
|
Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (a)
|
5,145
|
4,990
|
Series 2022-RTL1, Class AB, 5.00%, 2/16/2026 ‡ (a)
|
5,145
|
5,042
|
CIFC Funding Ltd. (Cayman Islands) Series 2014-5A, Class BR2, 7.38%, 10/17/2031 (a) (k)
|
500
|
501
|
Conn's Receivables Funding LLC
|
|
|
Series 2022-A, Class B, 9.52%, 12/15/2026 (a)
|
124
|
124
|
Series 2023-A, Class B, 10.00%, 1/17/2028 (a)
|
1,390
|
1,405
|
CoreVest American Finance Trust
|
|
|
Series 2019-1, Class E, 5.52%, 3/15/2052 (a) (k)
|
1,493
|
1,399
|
Series 2019-2, Class E, 5.20%, 6/15/2052 (a) (k)
|
5,576
|
4,880
|
Series 2019-3, Class XB, IO, 1.37%, 10/15/2052 (a) (k)
|
53,875
|
3,230
|
Series 2019-3, Class XA, IO, 2.01%, 10/15/2052 (a) (k)
|
19,369
|
206
|
Series 2019-3, Class D, 3.76%, 10/15/2052 (a)
|
8,689
|
7,539
|
Series 2019-3, Class E, 4.72%, 10/15/2052 (a) (k)
|
5,810
|
4,959
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Credit Acceptance Auto Loan Trust
|
|
|
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a)
|
808
|
798
|
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a)
|
7,917
|
7,956
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
22,000
|
22,338
|
Series 2023-2A, Class A, 5.92%, 5/16/2033 (a)
|
2,000
|
2,001
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a)
|
2,295
|
2,348
|
Series 2023-5A, Class A, 6.13%, 12/15/2033 (a)
|
7,750
|
7,816
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
3,866
|
3,932
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (a)
|
6,805
|
6,807
|
Series 2024-1A, Class B, 6.03%, 5/15/2034 (a)
|
5,988
|
5,997
|
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a)
|
7,860
|
7,938
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-4, Class M1, 6.16%, 7/25/2034 (k)
|
316
|
316
|
DataBank Issuer Series 2021-1A, Class C, 4.43%, 2/27/2051 (a)
|
3,800
|
3,435
|
Diversified ABS Phase LLC Series 2024-1A, Class A2, 7.67%, 5/30/2044 (a)
|
14,350
|
14,350
|
Dryden CLO Ltd. (Cayman Islands) Series 2017-53A, Class C, 7.29%, 1/15/2031 (a) (k)
|
1,000
|
998
|
Dryden Senior Loan Fund (Cayman Islands)
|
|
|
Series 2016-42A, Class BR, 7.14%, 7/15/2030 (a) (k)
|
2,000
|
1,998
|
Series 2016-45A, Class BR, 7.29%, 10/15/2030 (a) (k)
|
2,000
|
2,001
|
DT Auto Owner Trust
|
|
|
Series 2023-1A, Class B, 5.19%, 10/16/2028 (a)
|
1,067
|
1,061
|
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a)
|
11,700
|
10,958
|
Elara HGV Timeshare Issuer LLC
|
|
|
Series 2019-A, Class C, 3.45%, 1/25/2034 (a)
|
645
|
616
|
Series 2021-A, Class D, 3.32%, 8/27/2035 (a)
|
1,710
|
1,554
|
Elmwood CLO Ltd.
|
|
|
Series 2024-3A, Class A, 6.85%, 4/18/2037 (a) (k)
|
18,700
|
18,690
|
Series 2021-3A, Class BR, 7.07%, 7/20/2037 (a) (k)
|
8,847
|
8,857
|
Series 2021-3A, Class CR, 7.52%, 7/20/2037 (a) (k)
|
5,420
|
5,413
|
Exeter Automobile Receivables Trust
|
|
|
Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)
|
11,000
|
10,952
|
Series 2023-1A, Class C, 5.82%, 2/15/2028
|
3,100
|
3,090
|
Series 2023-4A, Class C, 6.51%, 8/15/2028
|
3,520
|
3,550
|
Series 2021-3A, Class E, 3.04%, 12/15/2028 (a)
|
2,845
|
2,667
|
Series 2022-6A, Class D, 8.03%, 4/6/2029
|
4,232
|
4,379
|
Series 2023-2A, Class D, 6.32%, 8/15/2029
|
3,000
|
3,008
|
Series 2022-1A, Class E, 5.02%, 10/15/2029 (a)
|
1,330
|
1,251
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a)
|
19,500
|
18,463
|
Series 2023-4A, Class D, 6.95%, 12/17/2029
|
5,000
|
5,097
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
1,138
|
1,130
|
Series 2023-1A, Class E, 12.07%, 9/16/2030 (a)
|
4,350
|
4,820
|
FirstKey Homes Trust
|
|
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a)
|
1,902
|
1,821
|
Series 2020-SFR1, Class F2, 4.28%, 8/17/2037 (a)
|
9,000
|
8,661
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a)
|
15,000
|
14,224
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a)
|
13,000
|
12,293
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a)
|
7,333
|
6,615
|
Flagship Credit Auto Trust
|
|
|
Series 2019-2, Class E, 4.52%, 12/15/2026 (a)
|
4,500
|
4,442
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-3, Class E, 3.32%, 12/15/2028 (a)
|
6,401
|
5,290
|
Series 2022-3, Class E, 7.95%, 10/15/2029 (a)
|
4,000
|
3,810
|
FMC GMSR Issuer Trust
|
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (k)
|
7,000
|
6,466
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (k)
|
25,000
|
22,205
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (k)
|
19,140
|
16,460
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (k)
|
15,000
|
14,642
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a)
|
10,000
|
9,435
|
Foundation Finance Trust
|
|
|
Series 2019-1A, Class B, 4.22%, 11/15/2034 (a)
|
855
|
834
|
Series 2019-1A, Class C, 5.66%, 11/15/2034 (a)
|
3,055
|
2,956
|
FREED ABS Trust Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a)
|
7,282
|
7,282
|
FTF, 8.00%, 8/15/2024 ‡
|
2,779
|
2,251
|
GLS Auto Receivables Issuer Trust
|
|
|
Series 2023-1A, Class D, 7.01%, 1/16/2029 (a)
|
3,261
|
3,308
|
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a)
|
10,680
|
10,097
|
Series 2023-1A, Class E, 11.42%, 3/15/2030 (a)
|
1,000
|
1,093
|
HERO Funding II (Cayman Islands) Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)
|
30
|
29
|
Hertz Vehicle Financing III LLC Series 2023-4A, Class D, 9.44%, 3/25/2030 (a)
|
3,200
|
3,193
|
Hertz Vehicle Financing LLC
|
|
|
Series 2021-1A, Class C, 2.05%, 12/26/2025 (a)
|
5,000
|
4,910
|
Series 2021-1A, Class D, 3.98%, 12/26/2025 (a)
|
10,000
|
9,830
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a)
|
5,700
|
5,539
|
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a)
|
3,990
|
3,981
|
Series 2023-1A, Class D, 9.13%, 6/25/2027 (a)
|
15,000
|
14,922
|
Series 2023-3A, Class D, 9.43%, 2/25/2028 (a)
|
4,450
|
4,440
|
Series 2023-2A, Class D, 9.40%, 9/25/2029 (a)
|
4,600
|
4,593
|
Hertz Vehicle Financing LP Series 2021-2A, Class D, 4.34%, 12/27/2027 (a)
|
12,000
|
10,759
|
HIN Timeshare Trust
|
|
|
Series 2020-A, Class B, 2.23%, 10/9/2039 (a)
|
1,139
|
1,048
|
Series 2020-A, Class D, 5.50%, 10/9/2039 (a)
|
991
|
929
|
HINNT LLC
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 (a)
|
4,472
|
4,260
|
Series 2022-A, Class E, 8.00%, 5/15/2041 (a)
|
842
|
809
|
Home Partners of America Trust Series 2021-3, Class F, 4.24%, 1/17/2041 (a)
|
14,309
|
12,260
|
KKR CLO Ltd. (Cayman Islands) Series 40A, Class BR, 7.03%, 10/20/2034 (a) (b) (k)
|
5,300
|
5,300
|
KKR Financial CLO Ltd. (Cayman Islands) Series 2013-1A, Class A2R2, 6.77%, 4/15/2029 (a) (k)
|
4,933
|
4,933
|
LendingClub Loan Certificate Issuer Trust
|
|
|
Series 2021-NP1, Class CERT, 0.00%, 12/15/2036 ‡ (a)
|
900
|
5,609
|
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a)
|
855
|
6,483
|
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a)
|
860
|
5,776
|
Series 2022-NP2, Class CERT, 0.00%, 4/15/2037 ‡ (a)
|
800
|
6,444
|
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a)
|
750
|
5,461
|
Series 2022-P3, Class CERT, 11.88%, 5/15/2037 ‡ (a)
|
500
|
4,566
|
Series 2022-NP3, Class CERT, HB, 25.22%, 5/15/2037 ‡ (a)
|
500
|
5,705
|
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
400
|
5,863
|
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
400
|
4,193
|
Series 2022-P5, Class CERT, 12.86%, 7/15/2037 ‡ (a)
|
800
|
12,776
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2022-NP6, Class CERT, HB, 25.46%, 7/15/2037 ‡ (a)
|
700
|
10,685
|
Lendingpoint Asset Securitization Trust
|
|
|
Series 2021-A, Class C, 2.75%, 12/15/2028 (a)
|
2,226
|
2,196
|
Series 2021-A, Class D, 5.73%, 12/15/2028 (a)
|
6,540
|
5,671
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (a)
|
18,426
|
17,442
|
Series 2021-B, Class D, 6.12%, 2/15/2029 (a)
|
2,000
|
788
|
Series 2022-A, Class D, 4.54%, 6/15/2029 (a)
|
33,860
|
23,896
|
Series 2022-B, Class A, 4.77%, 10/15/2029 (a)
|
121
|
120
|
Series 2022-C, Class C, 8.68%, 2/15/2030 (a)
|
1,277
|
1,233
|
LendingPoint Asset Securitization Trust Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (a)
|
6,500
|
4,383
|
Lendmark Funding Trust
|
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a)
|
4,500
|
3,935
|
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a)
|
1,000
|
867
|
Series 2021-2A, Class C, 3.09%, 4/20/2032 (a)
|
1,100
|
943
|
Series 2024-1A, Class A, 5.53%, 6/21/2032 (a)
|
3,050
|
3,047
|
LFT CRE Ltd.
|
|
|
Series 2021-FL1, Class D, 7.88%, 6/15/2039 (a) (k)
|
22,600
|
21,575
|
Series 2021-FL1, Class E, 8.38%, 6/15/2039 (a) (k)
|
10,000
|
9,395
|
LL ABS Trust Series 2021-1A, Class C, 3.54%, 5/15/2029 (a)
|
5,120
|
4,813
|
LP LMS Asset Securitization Trust
|
|
|
8.35%, 10/15/2028 ‡
|
8,911
|
8,682
|
Series 2021-2A, Class C, 3.85%, 1/15/2029 (a)
|
8,895
|
8,598
|
Madison Park Funding Ltd. (Cayman Islands) Series 2018-28A, Class C, 7.44%, 7/15/2030 (a) (k)
|
1,000
|
998
|
Magnetite Ltd.
|
|
|
Series 2023-39A, Class B, 7.47%, 10/25/2033 (a) (k)
|
4,900
|
4,900
|
Series 2020-27A, Class ER, 11.59%, 10/20/2034 (a) (k)
|
7,000
|
7,027
|
Series 2016-17A, Class AR2, 6.82%, 4/20/2037 (a) (k)
|
6,500
|
6,522
|
Series 2016-17A, Class BR2, 7.27%, 4/20/2037 (a) (k)
|
6,164
|
6,178
|
Mariner Finance Issuance Trust
|
|
|
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a)
|
4,207
|
4,191
|
Series 2023-AA, Class E, 11.12%, 10/22/2035 (a)
|
8,400
|
8,459
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a)
|
5,030
|
4,213
|
Marlette Funding Trust
|
|
|
Series 2022-2A, Class D, 7.50%, 8/15/2032 (a)
|
3,823
|
3,741
|
Series 2022-3A, Class C, 6.89%, 11/15/2032 (a)
|
1,096
|
1,104
|
Series 2022-3A, Class D, 7.80%, 11/15/2032 (a)
|
2,550
|
2,506
|
Series 2023-1A, Class B, 6.50%, 4/15/2033 (a)
|
4,300
|
4,312
|
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a)
|
1,150
|
1,164
|
MNR ABS Issuer I LLC, 12.44%, 12/15/2038 ‡
|
9,207
|
9,394
|
Neuberger Berman CLO Ltd. (Cayman Islands) Series 2016-22A, Class BR2, 7.30%, 4/15/2038 (a) (k)
|
4,505
|
4,505
|
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands)
|
|
|
Series 2017-26A, Class C, 7.34%, 10/18/2030 (a) (k)
|
2,250
|
2,245
|
Series 2018-29A, Class B1R, 7.13%, 10/19/2031 (a) (k)
|
6,428
|
6,431
|
New Economy Assets Phase Sponsor LLC Series 2021-1, Class B1, 2.41%, 10/20/2061 (a)
|
2,550
|
2,174
|
New Residential Mortgage LLC Series 2020-FNT1, Class A, 5.44%, 6/25/2025 (a)
|
8,376
|
8,245
|
NRZ Excess Spread-Collateralized Notes
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)
|
3,966
|
3,818
|
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a)
|
3,207
|
3,027
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)
|
8,886
|
8,381
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a)
|
13,926
|
13,055
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
5,969
|
5,533
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)
|
2,350
|
2,273
|
OCP CLO Ltd. (Cayman Islands)
|
|
|
Series 2014-6A, Class A2R2, 6.82%, 10/17/2030 (a) (k)
|
11,339
|
11,362
|
Series 2014-6A, Class BR2, 7.22%, 10/17/2030 (a) (k)
|
10,013
|
10,017
|
Octagon Investment Partners Ltd. (Cayman Islands)
|
|
|
Series 2019-1A, Class BR, 7.17%, 10/25/2032 (a) (k)
|
9,332
|
9,339
|
Series 2019-1A, Class CR, 7.77%, 10/25/2032 (a) (k)
|
11,200
|
11,186
|
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a)
|
4,680
|
4,752
|
OneMain Financial Issuance Trust Series 2018-2A, Class D, 4.29%, 3/14/2033 (a)
|
1,500
|
1,474
|
Oportun Issuance Trust
|
|
|
Series 2022-2, Class D, 11.34%, 10/9/2029
|
500
|
485
|
Series 2022-3, Class B, 8.53%, 1/8/2030 (a)
|
7,489
|
7,516
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (a)
|
1,077
|
1,031
|
Series 2021-B, Class D, 5.41%, 5/8/2031 (a)
|
1,760
|
1,629
|
P2 Series 2021 A1, 3.00%, 12/20/2031 ‡ (a)
|
25,000
|
24,725
|
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a)
|
34,967
|
30,536
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
Series 2021-4A, Class C, 8.19%, 10/15/2029 (a) (k)
|
8,877
|
8,834
|
Series 2021-4A, Class D, 10.59%, 10/15/2029 (a) (k)
|
12,000
|
11,920
|
Series 2022-3A, Class BR, 7.33%, 4/15/2031 (a) (k)
|
8,462
|
8,468
|
Series 2022-4A, Class A2, 7.62%, 7/24/2031 (a) (k)
|
5,300
|
5,301
|
Series 2024-3A, Class A2, 0.00%, 8/8/2032 (a) (b) (k)
|
13,862
|
13,862
|
Series 2024-3A, Class B, 0.00%, 8/8/2032 (a) (b) (k)
|
14,500
|
14,500
|
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 9.57%, 5/25/2027 (a) (k)
|
2,000
|
2,027
|
Popular ABS Mortgage Pass-Through Trust Series 2005-3, Class M1, 3.48%, 7/25/2035 (j)
|
85
|
82
|
PRET LLC
|
|
|
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (a) (j)
|
3,333
|
3,009
|
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (a) (j)
|
5,000
|
4,632
|
Series 2024-RN1, Class A1, 7.14%, 3/25/2054 (a) (j)
|
7,143
|
7,091
|
Series 2024-NPL3, Class A1, 7.52%, 4/27/2054 (a) (j)
|
20,000
|
20,028
|
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (a) (j)
|
14,068
|
12,851
|
Progress Residential Series 2021-SFR1, Class G, 3.86%, 4/17/2038 (a)
|
7,000
|
6,365
|
Progress Residential Trust
|
|
|
Series 2020-SFR3, Class F, 2.80%, 10/17/2027 (a)
|
5,000
|
4,708
|
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a)
|
3,000
|
2,853
|
Series 2021-SFR11, Class F, 4.42%, 1/17/2039 (a)
|
8,000
|
6,960
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (a)
|
10,211
|
8,841
|
PRPM LLC
|
|
|
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (j)
|
11,080
|
10,769
|
Series 2021-6, Class A2, 3.47%, 7/25/2026 (a) (j)
|
2,749
|
2,604
|
Series 2021-8, Class A2, 3.60%, 9/25/2026 (a) (k)
|
5,500
|
5,111
|
Series 2021-10, Class A2, 4.83%, 10/25/2026 (a) (j)
|
5,000
|
4,945
|
RAMP Trust Series 2002-RS2, Class AI5, 4.77%, 3/25/2032 (k)
|
36
|
34
|
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 8.00%, 12/27/2044 (a) (k)
|
3,560
|
3,566
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Regional Management Issuance Trust
|
|
|
Series 2020-1, Class D, 6.77%, 10/15/2030 (a)
|
2,410
|
2,287
|
Series 2021-1, Class D, 5.07%, 3/17/2031 (a)
|
2,600
|
2,409
|
Renaissance Home Equity Loan Trust
|
|
|
Series 2003-4, Class M2F, 6.24%, 3/25/2034 (j)
|
106
|
88
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (j)
|
383
|
349
|
Renew (Cayman Islands) Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)
|
56
|
54
|
Repo Buyer RRI Trust, Zero Coupon, 4/14/2055 ‡
|
5,069
|
4,283
|
Republic Finance Issuance Trust Series 2021-A, Class D, 5.23%, 12/22/2031 (a)
|
930
|
842
|
River Rock SFR Frn, 9.25%, 10/15/2024 ‡ (a)
|
18,070
|
17,708
|
RSFR Series 2020-1, Class PT, 7.21%, 2/17/2025 ‡ (a) (j)
|
18,743
|
17,766
|
Santander Drive Auto Receivables Trust
|
|
|
Series 2023-3, Class C, 5.77%, 11/15/2030
|
1,600
|
1,605
|
Series 2022-7, Class C, 6.69%, 3/17/2031
|
493
|
501
|
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a)
|
8,085
|
7,955
|
SART
|
|
|
Series 2018-1, 4.76%, 6/15/2025 ‡
|
41
|
41
|
4.60%, 7/15/2026 ‡
|
930
|
925
|
SART CRR Series 4, Class B, 4.70%, 10/15/2024 ‡
|
1,376
|
1,366
|
SCF Equipment Leasing LLC
|
|
|
Series 2022-1A, Class E, 5.26%, 7/20/2032 (a)
|
2,354
|
2,229
|
Series 2022-1A, Class F, 6.00%, 7/20/2032 (a)
|
5,360
|
4,845
|
Series 2021-1A, Class E, 3.56%, 8/20/2032 (a)
|
3,300
|
3,132
|
Series 2021-1A, Class F, 5.52%, 8/20/2032 (a)
|
20,757
|
19,846
|
Sierra Timeshare Receivables Funding LLC
|
|
|
Series 2019-2A, Class D, 4.54%, 5/20/2036 (a)
|
348
|
346
|
Series 2019-3A, Class D, 4.18%, 8/20/2036 (a)
|
797
|
786
|
Series 2020-2A, Class D, 6.59%, 7/20/2037 (a)
|
2,016
|
1,976
|
Series 2021-2A, Class D, 3.23%, 9/20/2038 (a)
|
1,002
|
929
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a)
|
4,145
|
4,263
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a)
|
2,341
|
2,356
|
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a)
|
244
|
244
|
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (a) (j)
|
7,500
|
6,661
|
Subway Funding LLC Series 2024-1A, Class A23, 6.51%, 7/30/2054 (a) (b)
|
2,578
|
2,578
|
Symphony CLO Ltd. (Cayman Islands)
|
|
|
Series 2018-19A, Class C, 7.34%, 4/16/2031 (a) (k)
|
1,000
|
998
|
Series 2015-16A, Class B1RR, 7.02%, 10/15/2031 (a) (k)
|
8,224
|
8,224
|
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (a)
|
1,865
|
1,877
|
Tricolor Auto Securitization Trust
|
|
|
Series 2021-1A, Class E, 3.23%, 9/15/2026 (a)
|
155
|
154
|
Series 2021-1A, Class F, 5.08%, 5/15/2028 (a)
|
500
|
497
|
United Airlines Pass-Through Trust
|
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
3,294
|
3,186
|
Series 2016-1, Class B, 3.65%, 1/7/2026
|
2,781
|
2,674
|
Upstart Pass-Through Trust
|
|
|
Series 2021-ST4, Class CERT, 0.00%, 7/20/2027 ‡ (a)
|
1,875
|
230
|
Series 2021-ST6, Class CERT, 0.00%, 8/20/2027 ‡ (a)
|
2,900
|
517
|
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a)
|
749
|
737
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-PT1, Class A, 19.99%, 9/20/2027 ‡ (a) (k)
|
1,639
|
1,375
|
Series 2021-ST7, Class CERT, 0.00%, 9/20/2029 ‡ (a)
|
3,500
|
1,435
|
Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 ‡ (a)
|
2,670
|
776
|
Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 ‡ (a)
|
2,830
|
960
|
Series 2021-PT2, Class A, HB, 22.19%, 11/20/2029 ‡ (a) (k)
|
2,826
|
2,342
|
Series 2021-PT3, Class A, HB, 21.56%, 12/20/2029 ‡ (a) (k)
|
2,844
|
2,401
|
Series 2021-PT4, Class A, HB, 20.47%, 1/20/2030 ‡ (a) (k)
|
1,135
|
952
|
Series 2022-PT2, Class A, 19.52%, 2/20/2030 ‡ (a) (k)
|
2,978
|
2,978
|
Series 2022-PT1, Class A, HB, 21.62%, 2/20/2030 ‡ (a) (k)
|
3,364
|
3,364
|
Series 2022-PT3, Class A, HB, 20.43%, 4/20/2030 ‡ (a) (k)
|
2,557
|
2,541
|
Series 2022-PT4, Class A, 19.08%, 5/20/2030 ‡ (a) (k)
|
2,392
|
2,392
|
Upstart Securitization Trust
|
|
|
Series 2021-2, Class C, 3.61%, 6/20/2031 (a)
|
5,265
|
5,170
|
Series 2021-3, Class C, 3.28%, 7/20/2031 (a)
|
6,518
|
6,300
|
Series 2021-4, Class C, 3.19%, 9/20/2031 (a)
|
6,604
|
6,217
|
Series 2021-5, Class C, 4.15%, 11/20/2031 (a)
|
17,436
|
16,485
|
Series 2022-1, Class C, 5.71%, 3/20/2032 (a)
|
6,474
|
3,658
|
US Auto Funding
|
|
|
Series 2021-1A, Class C, 2.20%, 5/15/2026 (a)
|
5,463
|
5,050
|
Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)
|
10,392
|
1,054
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (a)
|
1,820
|
1,789
|
VCAT LLC Series 2021-NPL2, Class A2, 4.21%, 3/27/2051 (a) (j)
|
5,558
|
5,432
|
vMobo, Inc.
|
|
|
7.46%, 7/18/2027 ‡
|
9,997
|
9,373
|
9.46%, 7/18/2027 ‡
|
20,000
|
18,710
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (j)
|
6,678
|
6,590
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (j)
|
2,370
|
2,344
|
Welk Resorts LLC
|
|
|
Series 2019-AA, Class C, 3.34%, 6/15/2038 (a)
|
991
|
936
|
Series 2019-AA, Class D, 4.03%, 6/15/2038 (a)
|
390
|
371
|
Westgate Resorts LLC Series 2020-1A, Class C, 6.21%, 3/20/2034 (a)
|
665
|
662
|
Westlake Automobile Receivables Trust
|
|
|
Series 2023-1A, Class B, 5.41%, 1/18/2028 (a)
|
375
|
373
|
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a)
|
404
|
403
|
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a)
|
438
|
445
|
Series 2024-1A, Class C, 5.65%, 2/15/2029 (a)
|
2,688
|
2,676
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a)
|
3,795
|
3,817
|
Series 2024-1A, Class D, 6.02%, 10/15/2029 (a)
|
2,304
|
2,302
|
Total Asset-Backed Securities
(Cost $1,806,539)
|
|
1,699,793
|
Mortgage-Backed Securities — 12.6%
|
||
FHLMC Gold Pools, Other
|
|
|
Pool # WN1250, 4.40%, 5/1/2028
|
19,200
|
18,626
|
Pool # WN2492, 4.93%, 6/1/2028
|
8,000
|
7,908
|
Pool # WN2493, 4.94%, 9/1/2028
|
5,500
|
5,443
|
Pool # WN2435, 3.99%, 7/1/2030
|
31,000
|
29,520
|
Pool # WN2184, 2.50%, 4/1/2032
|
9,600
|
8,076
|
Pool # WN2266, 3.55%, 10/1/2032
|
5,570
|
5,005
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # WN2326, 4.45%, 12/1/2032
|
2,160
|
2,068
|
FNMA, Other
|
|
|
Pool # BS7094, 4.78%, 11/1/2029
|
23,000
|
22,682
|
Pool # BS3390, 1.69%, 10/1/2031
|
11,371
|
9,278
|
Pool # BS3377, 1.72%, 10/1/2031
|
2,190
|
1,755
|
Pool # BS4789, 2.17%, 2/1/2032
|
5,100
|
4,191
|
Pool # BS4294, 1.97%, 1/1/2034
|
2,400
|
1,876
|
GNMA II, 30 Year
|
|
|
Pool # BF2605, 5.50%, 5/20/2048
|
266
|
272
|
Pool # BJ9839, 4.38%, 4/20/2049
|
125
|
118
|
Pool # MA8152, 5.00%, 7/20/2052
|
—
|
—
|
Pool # MA8432, 7.00%, 11/20/2052
|
75
|
77
|
Pool # MA8882, 7.00%, 5/20/2053
|
180
|
184
|
Pool # MA9110, 7.50%, 8/20/2053
|
2,828
|
2,893
|
Pool # MA9425, 6.50%, 1/20/2054
|
10,652
|
10,822
|
Pool # MA9608, 7.00%, 4/20/2054
|
48,035
|
49,072
|
GNMA II, Other
|
|
|
Pool # CX7724, 7.00%, 9/20/2063
|
376
|
382
|
Pool # CX7728, 7.00%, 10/20/2063
|
322
|
326
|
GNMA II, Single Family, 30 Year
|
|
|
TBA, 5.50%, 6/15/2054 (b)
|
390,228
|
387,077
|
TBA, 6.00%, 6/15/2054 (b)
|
369,000
|
371,259
|
TBA, 6.50%, 6/15/2054 (b)
|
197,385
|
200,356
|
TBA, 7.00%, 6/15/2054 (b)
|
34,000
|
34,676
|
Total Mortgage-Backed Securities
(Cost $1,175,308)
|
|
1,173,942
|
Collateralized Mortgage Obligations — 10.5%
|
||
Adjustable Rate Mortgage Trust Series 2006-2, Class 1A4, 4.85%, 5/25/2036 (k)
|
908
|
769
|
Alternative Loan Trust
|
|
|
Series 2004-18CB, Class 5A1, 6.25%, 9/25/2034
|
17
|
17
|
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
12
|
12
|
Series 2005-23CB, Class A7, 5.25%, 7/25/2035
|
16
|
12
|
Series 2005-23CB, Class A16, 5.50%, 7/25/2035
|
44
|
35
|
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035
|
277
|
236
|
Series 2005-J14, Class A3, 5.50%, 12/25/2035
|
215
|
131
|
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037
|
464
|
225
|
Anchor Mortgage Trust
|
|
|
8.23%, 3/25/2031 ‡ (k)
|
5,000
|
5,000
|
10.14%, 3/25/2031 ‡ (k)
|
7,500
|
7,500
|
Angel Oak Mortgage Trust
|
|
|
Series 2019-5, Class M1, 3.30%, 10/25/2049 (a) (k)
|
8,000
|
7,351
|
Series 2019-5, Class B1, 3.96%, 10/25/2049 (a) (k)
|
2,470
|
2,196
|
Series 2019-6, Class B3, 5.89%, 11/25/2059 (a) (k)
|
1,250
|
1,056
|
Series 2020-1, Class B1, 3.76%, 12/25/2059 (a) (k)
|
1,550
|
1,307
|
Angel Oak Mortgage Trust I LLC
|
|
|
Series 2018-3, Class B1, 5.04%, 9/25/2048 (a) (k)
|
1,000
|
906
|
Series 2019-4, Class B2, 5.66%, 7/26/2049 (a) (k)
|
4,700
|
4,300
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Arroyo Mortgage Trust
|
|
|
Series 2019-3, Class M1, 4.20%, 10/25/2048 (a) (k)
|
1,000
|
858
|
Series 2019-2, Class A3, 3.80%, 4/25/2049 (a) (k)
|
342
|
325
|
Banc of America Funding Trust Series 2007-5, Class 4A1, 5.81%, 7/25/2037 (k)
|
641
|
421
|
Bear Stearns ALT-A Trust Series 2004-7, Class 2A1, 5.79%, 8/25/2034 (k)
|
66
|
62
|
Bear Stearns Asset-Backed Securities Trust Series 2003-AC4, Class M1, 5.66%, 9/25/2033 (j)
|
71
|
60
|
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.84%, 4/25/2046 (k)
|
722
|
589
|
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8,
Class 1A5, 5.50%, 11/25/2035
|
33
|
30
|
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
|
41
|
38
|
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (a) (j)
|
2,574
|
2,581
|
Connecticut Avenue Securities Trust
|
|
|
Series 2018-R07, Class 1B1, 9.79%, 4/25/2031 (a) (k)
|
7,980
|
8,587
|
Series 2019-R04, Class 2B1, 10.69%, 6/25/2039 (a) (k)
|
10,298
|
10,995
|
Series 2019-R05, Class 1B1, 9.54%, 7/25/2039 (a) (k)
|
7,990
|
8,372
|
Series 2019-R06, Class 2B1, 9.19%, 9/25/2039 (a) (k)
|
27,730
|
28,917
|
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (a) (k)
|
32,471
|
33,719
|
Series 2019-HRP1, Class B1, 14.69%, 11/25/2039 (a) (k)
|
17,955
|
20,004
|
Series 2020-R02, Class 2B1, 8.44%, 1/25/2040 (a) (k)
|
2,834
|
2,921
|
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (a) (k)
|
10,860
|
11,327
|
Series 2021-R01, Class 1B1, 8.42%, 10/25/2041 (a) (k)
|
2,600
|
2,674
|
Series 2021-R03, Class 1B1, 8.07%, 12/25/2041 (a) (k)
|
6,000
|
6,122
|
Series 2023-R01, Class 1M1, 7.72%, 12/25/2042 (a) (k)
|
6,952
|
7,155
|
Series 2023-R02, Class 1M2, 8.67%, 1/25/2043 (a) (k)
|
11,850
|
12,544
|
Series 2023-R02, Class 1B1, 10.87%, 1/25/2043 (a) (k)
|
7,600
|
8,385
|
Series 2023-R04, Class 1M1, 7.62%, 5/25/2043 (a) (k)
|
6,886
|
7,065
|
Series 2023-R04, Class 1M2, 8.87%, 5/25/2043 (a) (k)
|
5,000
|
5,361
|
Series 2023-R06, Class 1M2, 8.02%, 7/25/2043 (a) (k)
|
2,960
|
3,078
|
Series 2023-R07, Class 2M2, 8.57%, 9/25/2043 (a) (k)
|
1,682
|
1,763
|
Series 2024-R02, Class 1M1, 6.42%, 2/25/2044 (a) (k)
|
3,998
|
4,005
|
Series 2024-R02, Class 1M2, 7.12%, 2/25/2044 (a) (k)
|
3,160
|
3,185
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4, Class 2A5, 5.50%, 6/25/2035 (k)
|
170
|
116
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-1, Class 3A5, 6.16%,
12/25/2033 (j)
|
61
|
57
|
FARM Mortgage Trust Series 2021-1, Class B, 3.24%, 7/25/2051 ‡ (a) (k)
|
1,498
|
1,065
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
Series 2017-3, Class A, IO, 0.00%, 7/25/2056 (k)
|
18,138
|
12
|
Series 2021-2, Class BXS, 16.63%, 11/25/2060 (a) (k)
|
4,982
|
3,906
|
FHLMC STACR REMIC Trust
|
|
|
Series 2022-DNA3, Class M1B, 8.22%, 4/25/2042 (a) (k)
|
9,998
|
10,396
|
Series 2022-DNA5, Class M2, 12.07%, 6/25/2042 (a) (k)
|
12,000
|
13,628
|
Series 2023-DNA1, Class M1A, 7.42%, 3/25/2043 (a) (k)
|
1,618
|
1,651
|
Series 2023-DNA2, Class M1A, 7.42%, 4/25/2043 (a) (k)
|
6,243
|
6,377
|
Series 2024-DNA1, Class M2, 7.27%, 2/25/2044 (a) (k)
|
8,500
|
8,604
|
Series 2020-DNA4, Class B1, 11.44%, 8/25/2050 (a) (k)
|
8,614
|
9,874
|
FHLMC STACR Trust
|
|
|
Series 2018-DNA2, Class B1, 9.14%, 12/25/2030 (a) (k)
|
1,000
|
1,057
|
Series 2018-DNA3, Class B1, 9.34%, 9/25/2048 (a) (k)
|
7,685
|
8,476
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2018-HQA2, Class B1, 9.69%, 10/25/2048 (a) (k)
|
3,935
|
4,313
|
Series 2019-DNA1, Class B2, 16.19%, 1/25/2049 (a) (k)
|
8,135
|
10,346
|
Series 2019-HQA2, Class B2, 16.69%, 4/25/2049 (a) (k)
|
3,500
|
4,331
|
Series 2019-DNA4, Class B2, 11.69%, 10/25/2049 (a) (k)
|
5,000
|
5,549
|
FHLMC STACR, Whole Loan
|
|
|
Series 2017-DNA2, Class B1, 10.59%, 10/25/2029 (k)
|
11,000
|
12,010
|
Series 2017-DNA3, Class B1, 9.89%, 3/25/2030 (k)
|
10,800
|
11,603
|
Series 2017-HQA3, Class B1, 9.89%, 4/25/2030 (k)
|
1,000
|
1,077
|
Series 2018-HQA1, Class B1, 9.79%, 9/25/2030 (k)
|
34,415
|
37,102
|
FHLMC, REMIC
|
|
|
Series 4102, Class BI, IO, 3.50%, 8/15/2027
|
910
|
35
|
Series 4149, IO, 3.00%, 1/15/2033
|
219
|
16
|
Series 4160, IO, 3.00%, 1/15/2033
|
673
|
50
|
Series 4212, Class MI, IO, 3.00%, 6/15/2033
|
940
|
91
|
Series 3145, Class GI, IF, IO, 1.16%, 4/15/2036 (k)
|
1,279
|
88
|
Series 4495, Class PI, IO, 4.00%, 9/15/2043
|
176
|
13
|
Series 4321, Class PI, IO, 4.50%, 1/15/2044
|
235
|
40
|
Series 4670, Class TI, IO, 4.50%, 1/15/2044
|
243
|
18
|
Series 4550, Class DI, IO, 4.00%, 3/15/2044
|
131
|
11
|
Series 4612, Class QI, IO, 3.50%, 5/15/2044
|
236
|
28
|
Series 4612, Class PI, IO, 3.50%, 6/15/2044
|
22
|
3
|
Series 4657, Class QI, IO, 4.00%, 9/15/2044
|
215
|
16
|
Series 4585, Class JI, IO, 4.00%, 5/15/2045
|
244
|
32
|
Series 4628, Class PI, IO, 4.00%, 7/15/2045
|
160
|
19
|
Series 4681, Class SD, IF, IO, 0.71%, 5/15/2047 (k)
|
365
|
40
|
Series 4694, Class SA, IF, IO, 0.66%, 6/15/2047 (k)
|
627
|
62
|
Series 4689, Class SD, IF, IO, 0.71%, 6/15/2047 (k)
|
534
|
59
|
Series 4746, Class SC, IF, IO, 0.71%, 1/15/2048 (k)
|
6,423
|
736
|
Series 5164, Class J, 2.50%, 5/25/2049
|
10,213
|
8,661
|
Series 4910, Class PI, IO, 5.00%, 7/25/2049
|
1,767
|
389
|
Series 4919, Class SH, IF, IO, 0.56%, 9/25/2049 (k)
|
9,470
|
746
|
Series 5011, Class MI, IO, 3.00%, 9/25/2050
|
33,025
|
5,403
|
Series 5052, Class EI, IO, 3.00%, 12/25/2050
|
27,125
|
4,588
|
Series 5072, Class BI, IO, 3.00%, 2/25/2051
|
34,052
|
5,782
|
Series 5143, Class PI, IO, 2.50%, 5/25/2051
|
2,842
|
368
|
Series 5143, Class Z, 2.50%, 5/25/2051
|
1,559
|
833
|
Series 5148, Class PI, IO, 2.50%, 10/25/2051
|
8,238
|
962
|
Series 5148, Class PZ, 2.50%, 10/25/2051
|
6,297
|
3,657
|
Series 5151, Class KZ, 2.50%, 10/25/2051
|
4,415
|
2,600
|
Series 5154, Class QI, IO, 2.50%, 10/25/2051
|
11,289
|
1,069
|
Series 5154, Class ZQ, 2.50%, 10/25/2051
|
10,552
|
6,345
|
Series 5149, Class ZB, 3.00%, 10/25/2051
|
1,143
|
693
|
Series 5387, Class KB, 6.00%, 3/25/2054
|
9,907
|
10,167
|
FHLMC, STRIPS
|
|
|
Series 304, Class C32, IO, 3.00%, 12/15/2027
|
72
|
3
|
Series 342, Class S7, IF, IO, 0.67%, 2/15/2045 (k)
|
6,564
|
658
|
FNMA, Connecticut Avenue Securities
|
|
|
Series 2017-C02, Class 2B1, 10.94%, 9/25/2029 (k)
|
28,544
|
31,610
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2017-C03, Class 1B1, 10.29%, 10/25/2029 (k)
|
7,377
|
8,006
|
Series 2017-C05, Class 1B1, 9.04%, 1/25/2030 (k)
|
11,760
|
12,326
|
Series 2017-C06, Class 1B1, 9.59%, 2/25/2030 (k)
|
7,255
|
7,722
|
Series 2017-C06, Class 2B1, 9.89%, 2/25/2030 (k)
|
8,015
|
8,651
|
Series 2017-C07, Class 1B1, 9.44%, 5/25/2030 (k)
|
5,700
|
6,205
|
Series 2018-C01, Class 1B1, 8.99%, 7/25/2030 (k)
|
4,870
|
5,234
|
Series 2018-C03, Class 1B1, 9.19%, 10/25/2030 (k)
|
16,054
|
17,481
|
Series 2018-C04, Class 2B1, 9.94%, 12/25/2030 (k)
|
4,250
|
4,646
|
Series 2018-C05, Class 1B1, 9.69%, 1/25/2031 (k)
|
3,000
|
3,308
|
Series 2018-C06, Class 1B1, 9.19%, 3/25/2031 (k)
|
16,560
|
18,052
|
Series 2018-C06, Class 2B1, 9.54%, 3/25/2031 (k)
|
2,860
|
3,155
|
Series 2021-R02, Class 2B1, 8.62%, 11/25/2041 (a) (k)
|
4,983
|
5,132
|
FNMA, REMIC
|
|
|
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031
|
442
|
28
|
Series 2012-93, Class FS, IF, IO, 0.71%, 9/25/2032 (k)
|
1,698
|
109
|
Series 2013-55, Class AI, IO, 3.00%, 6/25/2033
|
1,403
|
127
|
Series 2003-76, Class SB, IF, IO, 1.61%, 8/25/2033 (k)
|
1,263
|
97
|
Series 2021-13, Class DI, IO, 3.50%, 1/25/2036
|
5,854
|
678
|
Series 2006-42, Class LI, IF, IO, 1.12%, 6/25/2036 (k)
|
1,069
|
90
|
Series 2011-79, Class SD, IF, IO, 0.46%, 8/25/2041 (k)
|
3,026
|
249
|
Series 2011-78, Class JS, IF, IO, 0.56%, 8/25/2041 (k)
|
1,423
|
91
|
Series 2012-133, Class HS, IF, IO, 0.71%, 12/25/2042 (k)
|
174
|
15
|
Series 2012-148, Class US, IF, 6.71%, 1/25/2043 (k)
|
1,016
|
754
|
Series 2016-6, Class KI, IO, 4.00%, 2/25/2044
|
264
|
36
|
Series 2016-43, Class MI, IO, 4.00%, 10/25/2045
|
272
|
46
|
Series 2016-56, Class ST, IF, IO, 0.56%, 8/25/2046 (k)
|
4,592
|
477
|
Series 2016-95, Class ES, IF, IO, 0.56%, 12/25/2046 (k)
|
1,422
|
155
|
Series 2016-90, Class IN, IO, 3.50%, 12/25/2046
|
285
|
50
|
Series 2017-6, Class SB, IF, IO, 0.61%, 2/25/2047 (k)
|
96
|
9
|
Series 2017-39, Class ST, IF, IO, 0.66%, 5/25/2047 (k)
|
1,146
|
130
|
Series 2017-90, Class SP, IF, IO, 0.71%, 11/25/2047 (k)
|
2,229
|
239
|
Series 2017-112, Class SC, IF, IO, 0.71%, 1/25/2048 (k)
|
2,907
|
314
|
Series 2021-86, Class T, 2.50%, 9/25/2048
|
17,128
|
14,725
|
Series 2019-32, Class PI, IO, 5.00%, 10/25/2048
|
796
|
161
|
Series 2019-47, Class QI, IO, 4.50%, 6/25/2049
|
1,437
|
301
|
Series 2019-37, Class CS, IF, IO, 0.61%, 7/25/2049 (k)
|
3,189
|
324
|
Series 2020-89, Class GI, IO, 3.00%, 12/25/2050
|
50,410
|
8,569
|
Series 2020-100, Class IA, IO, 3.00%, 1/25/2051
|
84,632
|
14,403
|
Series 2024-25, Class ZA, 6.00%, 9/25/2053
|
13,065
|
12,996
|
Series 2024-25, Class ZB, 5.50%, 3/25/2054
|
9,744
|
9,271
|
FNMA, STRIPS
|
|
|
Series 421, Class 7, IO, 3.50%, 5/25/2030
|
35
|
1
|
Series 421, Class C3, IO, 4.00%, 7/25/2030
|
172
|
10
|
G Mitt Frn, 9.38%, 7/15/2024 ‡ (a)
|
9,918
|
9,918
|
GCAT Trust
|
|
|
Series 2020-NQM1, Class M1, 2.93%, 1/25/2060 (a) (k)
|
10,871
|
9,261
|
Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 (a) (k)
|
3,000
|
2,338
|
GMACM Mortgage Loan Trust Series 2004-J2, Class A8, 5.75%, 6/25/2034
|
26
|
25
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
GNMA
|
|
|
Series 2013-182, Class MS, IF, IO, 0.71%, 12/20/2043 (k)
|
7,411
|
695
|
Series 2015-110, Class MS, IF, IO, 0.28%, 8/20/2045 (k)
|
4,381
|
345
|
Series 2016-108, Class SN, IF, IO, 0.65%, 8/20/2046 (k)
|
10,560
|
1,095
|
Series 2016-108, Class SM, IF, IO, 0.67%, 8/20/2046 (k)
|
2,492
|
261
|
Series 2016-147, Class AS, IF, IO, 0.67%, 10/20/2046 (k)
|
4,512
|
482
|
Series 2017-36, Class SL, IF, IO, 0.77%, 3/16/2047 (k)
|
5,957
|
663
|
Series 2019-132, Class KI, IO, 3.50%, 3/20/2047
|
279
|
7
|
Series 2019-33, Class PI, IO, 4.00%, 11/20/2048
|
77
|
17
|
Series 2019-65, Class ST, IF, IO, 0.62%, 5/20/2049 (k)
|
8,683
|
647
|
Series 2019-86, Class ST, IF, IO, 0.67%, 7/20/2049 (k)
|
4,514
|
318
|
Series 2019-120, Class DS, IF, IO, 0.62%, 9/20/2049 (k)
|
8,092
|
774
|
Series 2019-132, Class SK, IF, IO, 0.62%, 10/20/2049 (k)
|
6,614
|
553
|
Series 2020-86, Class TS, IF, IO, 0.17%, 6/20/2050 (k)
|
10,199
|
1,028
|
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051
|
154,999
|
21,032
|
Series 2021-23, Class IA, IO, 2.50%, 2/20/2051
|
76,744
|
10,133
|
Series 2021-81, Class IC, IO, 3.00%, 5/20/2051
|
19,055
|
2,983
|
Series 2021-91, Class CI, IO, 3.00%, 5/20/2051
|
16,437
|
2,583
|
Series 2021-117, Class NI, IO, 3.00%, 7/20/2051
|
53,580
|
8,442
|
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051
|
63,268
|
10,043
|
Series 2021-162, Class NZ, 2.50%, 9/20/2051
|
4,776
|
2,891
|
Series 2021-162, Class Z, 2.50%, 9/20/2051
|
4,899
|
2,992
|
Series 2021-165, Class ZJ, 2.50%, 9/20/2051
|
4,891
|
2,794
|
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051
|
19,974
|
3,165
|
Series 2023-102, Class BG, 5.50%, 7/20/2053
|
2,519
|
2,457
|
Series 2024-27, Class GB, 5.00%, 2/20/2054
|
2,000
|
1,866
|
Series 2015-H13, Class GI, IO, 1.54%, 4/20/2065 (k)
|
580
|
13
|
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡
|
69
|
66
|
Grene 2023-Senior, 5.50%, 1/17/2061 ‡
|
2,356
|
2,278
|
Grene Energy Senio, 11.00%, 1/25/2026 ‡
|
204
|
173
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (a) (k)
|
157
|
19
|
GSR Mortgage Loan Trust Series 2005-AR6, Class 2A1, 5.06%, 9/25/2035 (k)
|
82
|
76
|
HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 5.79%, 1/25/2047 (k)
|
5,996
|
5,445
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 10.82%, 10/25/2034 (a) (k)
|
12,500
|
13,375
|
Impac CMB Trust Series 2005-1, Class 1A2, 6.06%, 4/25/2035 (k)
|
130
|
120
|
IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 3.91%, 9/25/2037 (k)
|
11,859
|
7,432
|
JPMorgan Alternative Loan Trust Series 2006-S3, Class A4, 6.81%, 8/25/2036 (j)
|
1,082
|
1,006
|
JPMorgan Mortgage Trust Series 2006-S1, Class 1A1, 6.00%, 4/25/2036
|
29
|
28
|
Lehman Mortgage Trust Series 2007-7, Class 5A7, 6.50%, 8/25/2037
|
11,015
|
4,936
|
LHOME Mortgage Trust
|
|
|
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (j)
|
23,380
|
23,546
|
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (j)
|
2,750
|
2,785
|
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (a) (j)
|
10,000
|
10,153
|
Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (j)
|
2,925
|
2,930
|
Series 2024-RTL2, Class A1, 7.13%, 3/25/2029 (a) (j)
|
3,825
|
3,840
|
MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.87%, 8/25/2033 (k)
|
30
|
17
|
MASTR Asset Securitization Trust Series 2003-11, Class 7A2, 5.25%, 12/25/2033
|
22
|
20
|
Merrill Lynch Mortgage Investors Trust Series 2003-A5, Class 2A6, 6.03%, 8/25/2033 (k)
|
30
|
28
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
MFA Trust
|
|
|
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (j)
|
9,557
|
9,464
|
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (j)
|
3,030
|
3,021
|
Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A2, 3.95%, 4/28/2066 ‡ (a) (k)
|
14,000
|
12,343
|
New Residential Mortgage Loan Trust
|
|
|
Series 2019-2A, Class A1IB, IO, 1.00%, 12/25/2057 (a) (k)
|
7,488
|
242
|
Series 2018-3A, Class A1IC, IO, 1.50%, 5/25/2058 (a) (k)
|
18,427
|
814
|
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (a) (k)
|
3,042
|
2,521
|
OBX Trust
|
|
|
Series 2023-NQM7, Class A1, 6.84%, 4/25/2063 (a) (j)
|
6,070
|
6,132
|
Series 2023-NQM6, Class A1, 6.52%, 7/25/2063 (a) (j)
|
3,332
|
3,347
|
PHH GMSR Frn, 9.00%, 5/25/2025 ‡ (a)
|
15,000
|
14,944
|
PRET LLC Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 (a) (j)
|
13,396
|
13,322
|
PRPM LLC
|
|
|
Series 2020-4, Class A2, 8.19%, 10/25/2025 (a) (j)
|
7,373
|
7,378
|
Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (j)
|
1,813
|
1,805
|
Series 2024-1, Class A1, 6.96%, 2/25/2029 (a) (j)
|
6,396
|
6,399
|
Series 2024-2, Class A1, 7.03%, 3/25/2029 (a) (j)
|
6,520
|
6,523
|
RAAC Trust Series 2005-SP1, Class 4A1, 7.00%, 9/25/2034
|
32
|
30
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 12.07%, 9/25/2032 (a) (k)
|
9,000
|
9,675
|
STACR Trust Series 2018-HRP2, Class B1, 9.64%, 2/25/2047 (a) (k)
|
2,825
|
3,182
|
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a)
|
1,150
|
885
|
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 7.24%, 10/25/2037 (k)
|
1,672
|
1,475
|
Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1, 6.29%,
5/25/2047 (k)
|
12,716
|
9,989
|
Towd Point Mortgage Trust
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (a) (j)
|
1,651
|
1,554
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
30,000
|
23,575
|
Verus Securitization Trust
|
|
|
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 (a) (k)
|
7,606
|
6,614
|
Series 2019-4, Class B1, 3.86%, 11/25/2059 (a) (k)
|
2,200
|
2,008
|
Series 2020-1, Class M1, 3.02%, 1/25/2060 (a) (k)
|
1,990
|
1,756
|
Series 2020-2, Class A1, 3.23%, 5/25/2060 (a) (k)
|
25
|
25
|
Series 2022-4, Class A1, 4.47%, 4/25/2067 (a) (j)
|
820
|
795
|
Series 2023-1, Class A1, 5.85%, 12/25/2067 (a) (j)
|
1,088
|
1,080
|
Series 2023-2, Class A1, 6.19%, 3/25/2068 (a) (j)
|
7,145
|
7,128
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (j)
|
6,564
|
6,512
|
Visio Trust Series 2019-2, Class B1, 3.91%, 11/25/2054 (a) (k)
|
820
|
611
|
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (k)
|
11,387
|
11,072
|
WaMu Mortgage Pass-Through Certificates Series 2003-S4, Class 2A2, 5.50%, 6/25/2033
|
54
|
52
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
Series 2003-AR8, Class A, 5.52%, 8/25/2033 (k)
|
71
|
66
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
42
|
41
|
Series 2005-AR7, Class A3, 5.34%, 8/25/2035 (k)
|
46
|
45
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2006-AR8,
Class 2A, 5.96%, 10/25/2046 (k)
|
2,002
|
1,617
|
Total Collateralized Mortgage Obligations
(Cost $994,199)
|
|
980,152
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — 3.9%
|
||
Arab Republic of Egypt
|
|
|
7.60%, 3/1/2029 (i)
|
3,200
|
2,979
|
7.63%, 5/29/2032 (i)
|
1,600
|
1,368
|
7.30%, 9/30/2033 (i)
|
1,100
|
904
|
8.50%, 1/31/2047 (i)
|
2,300
|
1,791
|
8.88%, 5/29/2050 (i)
|
1,700
|
1,373
|
Banque Centrale de Tunisie 5.75%, 1/30/2025 (i)
|
2,765
|
2,600
|
Benin Government Bond 7.96%, 2/13/2038 (a)
|
4,660
|
4,371
|
Dominican Republic Government Bond
|
|
|
7.05%, 2/3/2031 (a)
|
1,230
|
1,264
|
6.00%, 2/22/2033 (a)
|
753
|
729
|
6.00%, 2/22/2033 (i)
|
8,400
|
8,132
|
6.40%, 6/5/2049 (i)
|
1,600
|
1,493
|
5.88%, 1/30/2060 (a)
|
11,450
|
9,652
|
5.88%, 1/30/2060 (i)
|
13,200
|
11,128
|
Federal Republic of Nigeria
|
|
|
6.50%, 11/28/2027 (i)
|
5,400
|
5,041
|
6.13%, 9/28/2028 (a)
|
6,347
|
5,636
|
7.14%, 2/23/2030 (i)
|
19,000
|
16,730
|
7.38%, 9/28/2033 (a)
|
4,405
|
3,669
|
7.70%, 2/23/2038 (i)
|
4,700
|
3,717
|
8.25%, 9/28/2051 (a)
|
3,263
|
2,574
|
Federative Republic of Brazil 7.13%, 5/13/2054
|
2,605
|
2,544
|
Gabonese Republic
|
|
|
6.95%, 6/16/2025 (i)
|
1,500
|
1,414
|
7.00%, 11/24/2031 (a)
|
1,143
|
910
|
Hashemite Kingdom of Jordan
|
|
|
5.85%, 7/7/2030 (i)
|
4,600
|
4,233
|
7.38%, 10/10/2047 (i)
|
7,600
|
6,617
|
Islamic Republic of Pakistan
|
|
|
8.25%, 9/30/2025 (i)
|
3,100
|
2,947
|
6.00%, 4/8/2026 (a)
|
15,085
|
13,647
|
7.38%, 4/8/2031 (a)
|
5,013
|
4,103
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
2,870
|
3,078
|
Kingdom of Bahrain
|
|
|
6.75%, 9/20/2029 (i)
|
1,700
|
1,722
|
5.45%, 9/16/2032 (a)
|
9,389
|
8,649
|
Kingdom of Morocco 6.50%, 9/8/2033 (i)
|
900
|
918
|
Republic of Angola
|
|
|
8.25%, 5/9/2028 (i)
|
1,900
|
1,791
|
8.00%, 11/26/2029 (a)
|
3,620
|
3,289
|
8.00%, 11/26/2029 (i)
|
11,400
|
10,357
|
8.75%, 4/14/2032 (a)
|
5,266
|
4,703
|
8.75%, 4/14/2032 (i)
|
800
|
714
|
9.13%, 11/26/2049 (i)
|
5,700
|
4,755
|
Republic of Armenia 3.60%, 2/2/2031 (a)
|
2,960
|
2,416
|
Republic of Colombia
|
|
|
8.00%, 4/20/2033
|
2,010
|
2,069
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
7.50%, 2/2/2034
|
1,860
|
1,843
|
8.75%, 11/14/2053
|
4,568
|
4,776
|
Republic of Costa Rica
|
|
|
6.13%, 2/19/2031 (i)
|
4,200
|
4,202
|
6.55%, 4/3/2034 (a)
|
3,300
|
3,374
|
5.63%, 4/30/2043 (i)
|
1,200
|
1,071
|
7.00%, 4/4/2044 (i)
|
1,000
|
1,016
|
7.30%, 11/13/2054 (a)
|
4,403
|
4,608
|
Republic of Cote d'Ivoire
|
|
|
6.38%, 3/3/2028 (i)
|
16,537
|
16,096
|
6.13%, 6/15/2033 (i)
|
15,000
|
13,333
|
8.25%, 1/30/2037 (a)
|
1,488
|
1,447
|
Republic of El Salvador
|
|
|
6.38%, 1/18/2027 (i)
|
296
|
260
|
8.63%, 2/28/2029 (i)
|
4,669
|
4,066
|
0.25%, 4/17/2030 (a)
|
9,300
|
279
|
9.25%, 4/17/2030 (a)
|
9,300
|
8,155
|
7.63%, 2/1/2041 (i)
|
2,900
|
1,952
|
7.12%, 1/20/2050 (i)
|
6,900
|
4,369
|
Republic of Ghana
|
|
|
6.38%, 2/11/2027 (c) (i)
|
7,700
|
3,920
|
7.88%, 2/11/2035 (a) (c)
|
3,720
|
1,915
|
8.75%, 3/11/2061 (c) (i)
|
3,500
|
1,800
|
Republic of Guatemala
|
|
|
6.60%, 6/13/2036 (a)
|
1,420
|
1,423
|
4.65%, 10/7/2041 (a)
|
1,400
|
1,095
|
Republic of Honduras 6.25%, 1/19/2027 (i)
|
3,000
|
2,870
|
Republic of Iraq 5.80%, 1/15/2028 (i)
|
7,700
|
7,304
|
Republic of Kenya
|
|
|
9.75%, 2/16/2031 (a)
|
2,066
|
2,064
|
8.00%, 5/22/2032 (i)
|
3,500
|
3,189
|
8.25%, 2/28/2048 (i)
|
2,600
|
2,173
|
Republic of Montenegro 7.25%, 3/12/2031 (a)
|
4,923
|
4,952
|
Republic of Namibia 5.25%, 10/29/2025 (i)
|
4,900
|
4,828
|
Republic of Paraguay, 6.10%, 8/11/2044 (i)
|
12,075
|
11,460
|
Republic of Rwanda 5.50%, 8/9/2031 (a)
|
8,000
|
6,471
|
Republic of Senegal
|
|
|
6.25%, 5/23/2033 (i)
|
11,000
|
9,305
|
6.75%, 3/13/2048 (i)
|
13,100
|
9,547
|
Republic of Serbia 6.50%, 9/26/2033 (a)
|
2,800
|
2,800
|
Republic of South Africa
|
|
|
5.00%, 10/12/2046
|
5,100
|
3,430
|
5.75%, 9/30/2049
|
7,406
|
5,323
|
Republic of Turkey
|
|
|
9.38%, 3/14/2029
|
5,000
|
5,440
|
9.38%, 1/19/2033
|
1,741
|
1,940
|
7.63%, 5/15/2034
|
6,763
|
6,779
|
Republic of Uzbekistan International Bond 7.85%, 10/12/2028 (a)
|
1,494
|
1,545
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
Romania Government Bond 6.38%, 1/30/2034 (a)
|
1,574
|
1,569
|
State of Mongolia 4.45%, 7/7/2031 (a)
|
5,600
|
4,734
|
Sultanate of Oman Government Bond
|
|
|
7.38%, 10/28/2032 (a)
|
7,291
|
8,026
|
6.50%, 3/8/2047 (i)
|
600
|
590
|
6.75%, 1/17/2048 (i)
|
5,400
|
5,413
|
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a)
|
2,803
|
2,925
|
Total Foreign Government Securities
(Cost $409,798)
|
|
361,704
|
Loan Assignments — 0.5% (h) (l)
|
||
Automobile Components — 0.0% ^
|
||
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031
|
2,741
|
2,761
|
Beverages — 0.0% ^
|
||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%),
8.81%, 3/31/2028
|
1,945
|
1,941
|
Chemicals — 0.0% ^
|
||
Venator Materials Corp., 1st Lien Term Loan
|
|
|
(3-MONTH CME TERM SOFR + 2.00%), 7.33%, 1/16/2026
|
744
|
733
|
(3-MONTH SOFR + 10.00%), 15.43%, 10/12/2028
|
2,145
|
2,126
|
|
|
2,859
|
Consumer Staples Distribution & Retail — 0.1%
|
||
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan (3-MONTH SOFR + 11.50%),
16.91%, 6/30/2026 ‡
|
3,031
|
3,031
|
Moran Foods LLC, 1st Lien Term Loan
|
|
|
(3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡
|
2,604
|
2,138
|
(3-MONTH CME TERM SOFR + 2.00%), 12.66%, 6/30/2026 ‡
|
66
|
40
|
|
|
5,209
|
Electronic Equipment, Instruments & Components — 0.0% ^
|
||
Ingram Micro, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 8.57%, 6/30/2028
|
1,825
|
1,834
|
Financial Services — 0.0% ^
|
||
OL SP LLC, 1st Lien Term Loan C, 4.25%, 5/15/2025
|
194
|
193
|
Ground Transportation — 0.1%
|
||
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.40%, 7/21/2028
|
3,979
|
3,985
|
Health Care Equipment & Supplies — 0.0% ^
|
||
Avantor Funding, Inc., 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 2.00%), 7.43%,
11/8/2027
|
557
|
560
|
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%,
10/23/2028
|
2,766
|
2,782
|
|
|
3,342
|
Health Care Providers & Services — 0.1%
|
||
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%,
11/15/2028
|
3,635
|
3,654
|
IT Services — 0.0% ^
|
||
Ahead DB Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.16%,
2/1/2031
|
3,468
|
3,482
|
Leisure Products — 0.0% ^
|
||
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 12.00%, 12/31/2024 ‡ (c)
|
43
|
4
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Machinery — 0.1%
|
||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%,
3-MONTH CME TERM SOFR +
3.50%), 8.90%, 10/8/2027
|
1,692
|
1,698
|
Gates Global LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/31/2027
|
2,199
|
2,202
|
|
|
3,900
|
Media — 0.1%
|
||
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028
|
3,476
|
3,339
|
DirectV Financing LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.00%), 10.44%,
8/2/2027
|
1,127
|
1,130
|
|
|
4,469
|
Passenger Airlines — 0.0% ^
|
||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%),
10.34%, 4/20/2028 (m)
|
1,741
|
1,807
|
Pharmaceuticals — 0.0% ^
|
||
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%),
7.16%, 8/1/2027
|
1,998
|
1,995
|
Software — 0.0% ^
|
||
Rocket Software, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%), 10.08%,
11/28/2028
|
3,535
|
3,547
|
Specialty Retail — 0.0% ^
|
||
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%,
12/18/2026 (n)
|
12
|
11
|
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.82%,
3/3/2028
|
3,315
|
2,993
|
|
|
3,004
|
Total Loan Assignments
(Cost $47,914)
|
|
47,986
|
|
SHARES
(000)
|
|
Common Stocks — 0.3%
|
||
Broadline Retail — 0.0% ^
|
||
Moran Foods Backstop Equity ‡ *
|
7,198
|
72
|
Chemicals — 0.1%
|
||
Venator Materials plc *
|
7
|
5,447
|
Diversified Telecommunication Services — 0.0% ^
|
||
Frontier Communications Parent, Inc. *
|
5
|
125
|
Windstream Holdings, Inc. ‡ *
|
—
|
7
|
|
|
132
|
Financial Services — 0.0% ^
|
||
Mallinckrodt plc (Luxembourg) ‡ *
|
65
|
3,501
|
Health Care Providers & Services — 0.0% ^
|
||
Claire's Stores, Inc. ‡ *
|
—
|
2
|
Endo, Inc. ‡ *
|
102
|
2,903
|
Envision Healthcare Corp. ‡ *
|
1
|
7
|
|
|
2,912
|
Media — 0.0% ^
|
||
Clear Channel Outdoor Holdings, Inc. *
|
6
|
8
|
iHeartMedia, Inc., Class A *
|
2
|
2
|
|
|
10
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Common Stocks — continued
|
||
Oil, Gas & Consumable Fuels — 0.1%
|
||
Chesapeake Energy Corp.
|
41
|
3,713
|
Gulfport Energy Corp. *
|
31
|
4,962
|
|
|
8,675
|
Pharmaceuticals — 0.0% ^
|
||
Endo, Inc. ‡ * (a)
|
41
|
1,178
|
Specialty Retail — 0.0% ^
|
||
NMG, Inc. ‡ *
|
—
|
1
|
Wireless Telecommunication Services — 0.1%
|
||
Intelsat SA (Luxembourg) ‡ *
|
147
|
5,307
|
Total Common Stocks
(Cost $16,097)
|
|
27,235
|
|
PRINCIPAL
AMOUNT
($000)
|
|
Municipal Bonds — 0.1% (o)
|
||
California — 0.1%
|
||
California Infrastructure and Economic Development Bank, Brightline West Passenger
Rail Project Series 2020A-3, Rev., AMT,
8.00%, 8/15/2024 (a) (k)
|
9,200
|
9,503
|
Los Angeles Community College District Series 2010E, GO, 6.75%, 8/1/2049
|
100
|
114
|
Orange County Water District Series 2017B, Rev., 4.06%, 8/15/2041
|
290
|
252
|
Regents of the University of California, Medical Center Pooled Series 2009F, Rev.,
6.58%, 5/15/2049
|
255
|
278
|
University of California, Taxable Limited Project Series 2015J, Rev., 4.13%, 5/15/2045
|
100
|
90
|
Total California
|
|
10,237
|
Colorado — 0.0% ^
|
||
Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%,
1/15/2045
|
175
|
160
|
Indiana — 0.0% ^
|
||
Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital
Series 2010B-2, Rev., 6.12%,
1/15/2040
|
240
|
248
|
Texas — 0.0% ^
|
||
North Texas Tollway Authority, First Tier Series 2009B, Rev., 6.72%, 1/1/2049
|
131
|
147
|
Total Municipal Bonds
(Cost $10,699)
|
|
10,792
|
|
SHARES
(000)
|
|
Preferred Stocks — 0.0% ^
|
||
Broadline Retail — 0.0% ^
|
||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
14
|
9
|
Electric Utilities — 0.0% ^
|
||
SCE Trust VI 5.00%, 7/8/2024 ($25 par value) (p)
|
199
|
3,874
|
Total Preferred Stocks
(Cost $4,678)
|
|
3,883
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Convertible Bonds — 0.0% ^
|
||
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
Gulfport Energy Corp. 10.00% (Cash), 7/8/2024 ‡ * (d) (f) (g)
(Cost $258)
|
—
|
3,144
|
|
NO. OF
WARRANTS
(000)
|
|
Warrants — 0.0% ^
|
||
Media — 0.0% ^
|
||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
(Cost $—)
|
—
|
4
|
|
SHARES
(000)
|
|
Short-Term Investments — 3.4%
|
||
Investment Companies — 3.4%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.31% (q) (r)
(Cost $318,752)
|
318,689
|
318,752
|
Total Investments — 110.1%
(Cost $10,965,757)
|
|
10,289,736
|
Liabilities in Excess of Other Assets — (10.1)%
|
|
(941,257
)
|
NET ASSETS — 100.0%
|
|
9,348,479
|
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
|
AMT
|
Alternative Minimum Tax
|
CIFC
|
Commercial Industrial Finance Corp.
|
CLO
|
Collateralized Loan Obligations
|
CME
|
Chicago Mercantile Exchange
|
CR
|
Custodial Receipts
|
CSMC
|
Credit Suisse Mortgage Trust
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
FRN
|
Floating Rate Note
|
GNMA
|
Government National Mortgage Association
|
GO
|
General Obligation
|
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.
|
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 May 31, 2024. 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
|
OYJ
|
Public Limited Company
|
PIK
|
Payment In Kind
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
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.
|
REIT
|
Real Estate Investment Trust
|
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.
|
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)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(c)
|
Defaulted security.
|
|
(d)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
(e)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2024 is $38,028 or 0.41% of the Fund’s net assets
as of May 31, 2024.
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
(g)
|
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 May 31, 2024.
|
|
(h)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2024.
|
|
(i)
|
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.
|
|
(j)
|
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 May 31, 2024.
|
|
(k)
|
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
May 31, 2024.
|
|
(l)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
(m)
|
All or a portion of this security is unsettled as of May 31, 2024. Unless otherwise
indicated, the coupon rate is undetermined. The coupon
rate shown may not be accrued for the entire position.
|
|
(n)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
(o)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
(p)
|
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 May 31, 2024.
|
|
(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 May 31, 2024.
|
|
TBA Short Commitments
SECURITY DESCRIPTION
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
FNMA / FHLMC UMBS, Single Family, 30 Year
|
|
|
TBA, 4.00%, 6/25/2054(a)
|
(301,200
)
|
(273,419
)
|
TBA, 5.00%, 6/25/2054(a)
|
(193,000
)
|
(185,797
)
|
GNMA II, Single Family, 30 Year
|
|
|
TBA, 4.00%, 6/15/2054(a)
|
(129,000
)
|
(118,613
)
|
TBA, 4.50%, 6/15/2054(a)
|
(89,000
)
|
(84,172
)
|
(Proceeds received of $663,609)
|
|
(662,001
)
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
Abbreviations
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
GNMA
|
Government National Mortgage Association
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
UMBS
|
Uniform Mortgage-Backed Securities
|
(a)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number
of contracts):
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
Long Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
290
|
09/19/2024
|
USD
|
31,601
|
2
|
U.S. Treasury 10 Year Ultra Note
|
5,588
|
09/19/2024
|
USD
|
627,515
|
(2,671
)
|
U.S. Treasury Long Bond
|
22
|
09/19/2024
|
USD
|
2,563
|
(10
)
|
U.S. Treasury Ultra Bond
|
53
|
09/19/2024
|
USD
|
6,507
|
(92
)
|
U.S. Treasury 2 Year Note
|
6,297
|
09/30/2024
|
USD
|
1,283,407
|
1,028
|
U.S. Treasury 5 Year Note
|
15,965
|
09/30/2024
|
USD
|
1,691,542
|
2,120
|
|
|
|
|
|
377
|
Short Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(5,004
)
|
09/19/2024
|
USD
|
(545,280
)
|
(12
)
|
U.S. Treasury 10 Year Ultra Note
|
(4,340
)
|
09/19/2024
|
USD
|
(487,368
)
|
56
|
U.S. Treasury Long Bond
|
(2,897
)
|
09/19/2024
|
USD
|
(337,501
)
|
692
|
U.S. Treasury Ultra Bond
|
(1,716
)
|
09/19/2024
|
USD
|
(210,693
)
|
2,985
|
U.S. Treasury 5 Year Note
|
(359
)
|
09/30/2024
|
USD
|
(38,037
)
|
(55
)
|
|
|
|
|
|
3,666
|
|
|
|
|
|
4,043
|
Abbreviations
|
|
USD
|
United States Dollar
|
Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts
in thousands):
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
EUR
|
1
|
USD
|
1
|
HSBC Bank, NA
|
6/5/2024
|
—
(a)
|
Total unrealized appreciation
|
—
(a)
|
|||||
USD
|
1
|
EUR
|
1
|
HSBC Bank, NA
|
6/5/2024
|
—
(a)
|
JPY
|
13,886,223
|
USD
|
90,513
|
HSBC Bank, NA
|
6/17/2024
|
(2,038
)
|
Total unrealized depreciation
|
(2,038
)
|
|||||
Net unrealized depreciation
|
(2,038
)
|
Abbreviations
|
|
EUR
|
Euro
|
JPY
|
Japanese Yen
|
USD
|
United States Dollar
|
(a)
|
Amount rounds to less than one thousand.
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of May 31, 2024 (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
($)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
12/20/2027
|
0.37
|
USD39,851
|
281
|
(1,186
)
|
(905
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD31,878
|
266
|
(1,031
)
|
(765
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD31,878
|
114
|
(879
)
|
(765
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD15,942
|
34
|
(417
)
|
(383
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD7,971
|
28
|
(220
)
|
(192
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD15,935
|
68
|
(451
)
|
(383
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD7,721
|
83
|
(268
)
|
(185
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD44,000
|
298
|
(1,354
)
|
(1,056
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Morgan Stanley
|
6/20/2028
|
0.41
|
USD4,770
|
40
|
(155
)
|
(115
)
|
|
|
|
|
|
|
|
1,212
|
(5,961
)
|
(4,749
)
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic
payments and may also pay or receive an upfront premium
to or from the protection seller, in exchange for the right to receive 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
|
|
|
|
|
|
|
|
|
Over-the-Counter ("OTC") Credit default swap contracts outstanding — sell protection (**) as of May 31, 2024 (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
|
Citigroup Global Markets, Inc.
|
11/18/2054
|
7.74
|
USD5,000
|
(255
)
|
(391
)
|
(646
)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
7.74
|
USD12,500
|
(608
)
|
(1,007
)
|
(1,615
)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
7.74
|
USD10,000
|
(433
)
|
(860
)
|
(1,293
)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
7.74
|
USD20,000
|
(731
)
|
(1,854
)
|
(2,585
)
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
7.74
|
USD15,000
|
(486
)
|
(1,453
)
|
(1,939
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Citigroup Global Markets, Inc.
|
08/17/2061
|
9.10
|
USD7,500
|
(607
)
|
(857
)
|
(1,464
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD5,000
|
(228
)
|
(748
)
|
(976
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD2,500
|
(114
)
|
(374
)
|
(488
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD12,500
|
(344
)
|
(2,096
)
|
(2,440
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD12,500
|
(128
)
|
(2,312
)
|
(2,440
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD5,500
|
(60
)
|
(1,013
)
|
(1,073
)
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.10
|
USD8,017
|
(88
)
|
(1,477
)
|
(1,565
)
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
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
|
9.10
|
USD12,500
|
(54
)
|
(2,386
)
|
(2,440
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigroup Global Markets, Inc.
|
09/17/2058
|
17.38
|
USD2,500
|
(269
)
|
(146
)
|
(415
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigroup Global Markets, Inc.
|
09/17/2058
|
17.38
|
USD10,000
|
(893
)
|
(768
)
|
(1,661
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigroup Global Markets, Inc.
|
09/17/2058
|
17.38
|
USD8,000
|
(601
)
|
(728
)
|
(1,329
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
17.38
|
USD12,500
|
(1,758
)
|
(318
)
|
(2,076
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
17.38
|
USD7,500
|
(803
)
|
(443
)
|
(1,246
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
17.38
|
USD7,500
|
(807
)
|
(439
)
|
(1,246
)
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
17.38
|
USD5,000
|
(465
)
|
(366
)
|
(831
)
|
|
|
|
|
|
|
|
(9,732
)
|
(20,036
)
|
(29,768
)
|
(**)
|
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
|
|
CMBX
|
Commercial Mortgage-Backed Securities Index
|
USD
|
United States Dollar
|
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of May 31, 2024 (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.42-V1
|
5.00
|
Quarterly
|
6/20/2029
|
3.33
|
USD 402,000
|
(28,128
)
|
(3,185
)
|
(31,313
)
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic
payments and may also pay or receive an upfront premium to or from
the protection seller, in exchange for the right to receive 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
|
|
CDX
|
Credit Default Swap Index
|
USD
|
United States Dollar
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
Summary of total OTC swap contracts outstanding as of May 31, 2024 (amounts in thousands):
|
NET UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
VALUE
($)
|
Liabilities
|
|
|
OTC Credit default swap contracts outstanding - buy protection
|
1,212
|
(4,749
)
|
OTC Credit default swap contracts outstanding - sell protection
|
(9,732
)
|
(29,768
)
|
Total OTC swap contracts outstanding
|
(8,520
)
|
(34,517
)
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
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 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 are 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 NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Swaps and forward foreign currency exchange contracts 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 May 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes
in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments
are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices
for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment
speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances,
to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO 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:
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,447,059
|
$252,734
|
$1,699,793
|
Collateralized Mortgage Obligations
|
—
|
915,793
|
64,359
|
980,152
|
Commercial Mortgage-Backed Securities
|
—
|
2,568,226
|
136,064
|
2,704,290
|
Common Stocks
|
|
|
|
|
Broadline Retail
|
—
|
—
|
72
|
72
|
Chemicals
|
5,447
|
—
|
—
|
5,447
|
Diversified Telecommunication Services
|
125
|
—
|
7
|
132
|
Financial Services
|
—
|
—
|
3,501
|
3,501
|
Health Care Providers & Services
|
—
|
—
|
2,912
|
2,912
|
Media
|
10
|
—
|
—
|
10
|
Oil, Gas & Consumable Fuels
|
8,675
|
—
|
—
|
8,675
|
Pharmaceuticals
|
—
|
—
|
1,178
|
1,178
|
Specialty Retail
|
—
|
—
|
1
|
1
|
Wireless Telecommunication Services
|
—
|
—
|
5,307
|
5,307
|
Total Common Stocks
|
14,257
|
—
|
12,978
|
27,235
|
Convertible Bonds
|
—
|
—
|
3,144
|
3,144
|
Corporate Bonds
|
|
|
|
|
Aerospace & Defense
|
—
|
40,638
|
—
|
40,638
|
Automobile Components
|
—
|
106,920
|
—
|
106,920
|
Automobiles
|
—
|
943
|
—
|
943
|
Banks
|
—
|
69,459
|
—
|
69,459
|
Beverages
|
—
|
7,812
|
—
|
7,812
|
Biotechnology
|
—
|
7,696
|
—
|
7,696
|
Broadline Retail
|
—
|
23,897
|
—
|
23,897
|
Building Products
|
—
|
51,867
|
—
|
51,867
|
Capital Markets
|
—
|
13,541
|
—
|
13,541
|
Chemicals
|
—
|
110,916
|
—
|
110,916
|
Commercial Services & Supplies
|
—
|
86,600
|
—
|
86,600
|
Communications Equipment
|
—
|
24,988
|
—
|
24,988
|
Construction & Engineering
|
—
|
27,324
|
—
|
27,324
|
Consumer Finance
|
—
|
80,375
|
—
|
80,375
|
Consumer Staples Distribution & Retail
|
—
|
44,341
|
—
|
44,341
|
Containers & Packaging
|
—
|
96,017
|
—
|
96,017
|
Distributors
|
—
|
2,192
|
—
|
2,192
|
Diversified Consumer Services
|
—
|
11,535
|
—
|
11,535
|
Diversified REITs
|
—
|
16,663
|
—
|
16,663
|
Diversified Telecommunication Services
|
—
|
194,539
|
—
|
194,539
|
Electric Utilities
|
—
|
70,214
|
—
|
70,214
|
Electrical Equipment
|
—
|
20,423
|
—
|
20,423
|
Electronic Equipment, Instruments & Components
|
—
|
16,126
|
—
|
16,126
|
Energy Equipment & Services
|
—
|
22,467
|
—
|
22,467
|
Entertainment
|
—
|
35,750
|
—
|
35,750
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Financial Services
|
$—
|
$26,375
|
$—
|
$26,375
|
Food Products
|
—
|
28,251
|
—
|
28,251
|
Gas Utilities
|
—
|
10,926
|
—
|
10,926
|
Ground Transportation
|
—
|
51,683
|
—
|
51,683
|
Health Care Equipment & Supplies
|
—
|
36,346
|
—
|
36,346
|
Health Care Providers & Services
|
—
|
119,221
|
—
|
119,221
|
Health Care Technology
|
—
|
7,384
|
—
|
7,384
|
Hotel & Resort REITs
|
—
|
15,522
|
—
|
15,522
|
Hotels, Restaurants & Leisure
|
—
|
128,705
|
—
|
128,705
|
Household Durables
|
—
|
34,644
|
—
|
34,644
|
Household Products
|
—
|
38,821
|
—
|
38,821
|
Independent Power and Renewable Electricity Producers
|
—
|
10,549
|
—
|
10,549
|
IT Services
|
—
|
7,052
|
—
|
7,052
|
Leisure Products
|
—
|
14,485
|
—
|
14,485
|
Machinery
|
—
|
16,678
|
—
|
16,678
|
Marine Transportation
|
—
|
5,590
|
—
|
5,590
|
Media
|
—
|
310,911
|
—
|
310,911
|
Metals & Mining
|
—
|
40,538
|
—
|
40,538
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
73,997
|
—
|
73,997
|
Multi-Utilities
|
—
|
2,401
|
—
|
2,401
|
Oil, Gas & Consumable Fuels
|
—
|
360,721
|
—
|
360,721
|
Passenger Airlines
|
—
|
28,007
|
—
|
28,007
|
Personal Care Products
|
—
|
23,024
|
—
|
23,024
|
Pharmaceuticals
|
—
|
88,842
|
4
|
88,846
|
Real Estate Management & Development
|
—
|
1,937
|
—
|
1,937
|
Semiconductors & Semiconductor Equipment
|
—
|
31,023
|
—
|
31,023
|
Software
|
—
|
46,813
|
—
|
46,813
|
Specialized REITs
|
—
|
7,416
|
—
|
7,416
|
Specialty Retail
|
—
|
101,034
|
—
|
101,034
|
Technology Hardware, Storage & Peripherals
|
—
|
18,373
|
—
|
18,373
|
Tobacco
|
—
|
1,266
|
—
|
1,266
|
Trading Companies & Distributors
|
—
|
60,321
|
—
|
60,321
|
Transportation Infrastructure
|
—
|
4,278
|
—
|
4,278
|
Wireless Telecommunication Services
|
—
|
21,678
|
—
|
21,678
|
Total Corporate Bonds
|
—
|
2,958,055
|
4
|
2,958,059
|
Foreign Government Securities
|
—
|
361,704
|
—
|
361,704
|
Loan Assignments
|
|
|
|
|
Automobile Components
|
—
|
2,761
|
—
|
2,761
|
Beverages
|
—
|
1,941
|
—
|
1,941
|
Chemicals
|
—
|
2,859
|
—
|
2,859
|
Consumer Staples Distribution & Retail
|
—
|
—
|
5,209
|
5,209
|
Electronic Equipment, Instruments & Components
|
—
|
1,834
|
—
|
1,834
|
Financial Services
|
—
|
193
|
—
|
193
|
Ground Transportation
|
—
|
3,985
|
—
|
3,985
|
Health Care Equipment & Supplies
|
—
|
3,342
|
—
|
3,342
|
Health Care Providers & Services
|
—
|
3,654
|
—
|
3,654
|
IT Services
|
—
|
3,482
|
—
|
3,482
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Leisure Products
|
$—
|
$—
|
$4
|
$4
|
Machinery
|
—
|
3,900
|
—
|
3,900
|
Media
|
—
|
4,469
|
—
|
4,469
|
Passenger Airlines
|
—
|
1,807
|
—
|
1,807
|
Pharmaceuticals
|
—
|
1,995
|
—
|
1,995
|
Software
|
—
|
3,547
|
—
|
3,547
|
Specialty Retail
|
—
|
3,004
|
—
|
3,004
|
Total Loan Assignments
|
—
|
42,773
|
5,213
|
47,986
|
Mortgage-Backed Securities
|
—
|
1,173,942
|
—
|
1,173,942
|
Municipal Bonds
|
—
|
10,792
|
—
|
10,792
|
Preferred Stocks
|
|
|
|
|
Broadline Retail
|
—
|
—
|
9
|
9
|
Electric Utilities
|
3,874
|
—
|
—
|
3,874
|
Total Preferred Stocks
|
3,874
|
—
|
9
|
3,883
|
Warrants
|
—
|
—
|
4
|
4
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
318,752
|
—
|
—
|
318,752
|
Total Investments in Securities
|
$336,883
|
$9,478,344
|
$474,509
|
$10,289,736
|
Liabilities
|
|
|
|
|
TBA Short Commitment
|
$—
|
$(662,001
)
|
$—
|
$(662,001
)
|
Total Liabilities in Securities Sold Short
|
$—
|
$(662,001
)
|
$—
|
$(662,001
)
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$—
(a)
|
$—
|
$—
(a)
|
Futures Contracts
|
6,883
|
—
|
—
|
6,883
|
Depreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
—
|
(2,038
)
|
—
|
(2,038
)
|
Futures Contracts
|
(2,840
)
|
—
|
—
|
(2,840
)
|
Swaps
|
—
|
(29,182
)
|
—
|
(29,182
)
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$4,043
|
$(31,220
)
|
$—
|
$(27,177
)
|
|
|
(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 29,
2024
|
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
May 31,
2024
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$338,802
|
$—
|
$2,471
|
$(30
)
|
$735
|
$(83,301
)
|
$2,415
|
$(8,358
)
|
$—
|
$252,734
|
Collateralized Mortgage Obligations
|
63,376
|
—
|
800
|
1
|
32,326
|
(16,529
)
|
5,168
|
(20,783
)
|
—
|
64,359
|
Commercial Mortgage-Backed
Securities
|
75,443
|
—
|
1,669
|
30
|
13,238
|
(2,333
)
|
16,906
|
—
|
31,111
|
136,064
|
Common Stocks
|
6,618
|
—
|
3,874
|
—
|
2,486
|
—
|
—
|
—
|
—
|
12,978
|
Convertible Bonds
|
2,759
|
—
|
385
|
—
|
—
|
—
|
—
|
—
|
—
|
3,144
|
Corporate Bonds
|
47,491
|
(4,481
)
|
4,914
|
41
|
—
(b)
|
(11,998
)
|
—
|
(4,852
)
|
(31,111
)
|
4
|
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Balance as of
February 29,
2024
|
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
May 31,
2024
|
Loan Assignments
|
$6,156
|
$—
|
$(35
)
|
$23
|
$70
|
$(47
)
|
$—
|
$(954
)
|
$—
|
$5,213
|
Preferred Stocks
|
8
|
—
|
1
|
—
|
—
|
—
|
—
|
—
|
—
|
9
|
Warrants
|
4
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
4
|
Total
|
$540,657
|
$(4,481
)
|
$14,079
|
$65
|
$48,855
|
$(114,208
)
|
$24,489
|
$(34,947
)
|
$—
|
$474,509
|
|
|||||||||
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 Corporate Bonds and Commercial
Mortgage-Backed Securities.
|
(b)
|
Amount rounds to less than one thousand.
|
The changes in net unrealized appreciation (depreciation) attributable to securities
owned at May 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $6,399.
There were no significant transfers into or out of level 3 for the period ended May
31, 2024.
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
May 31, 2024
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
$25,704
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 10.00% (0.01%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.13% - 25.00% (11.86%)
|
Asset-Backed Securities
|
25,704
|
|
|
|
|
3,144
|
Terms of Restructuring
|
Liquidation Preference
|
71.43x (71.43x)
|
|
|
|
|
|
Convertible Bonds
|
3,144
|
|
|
|
|
72
|
Pending Distribution Amount
|
Expected Recovery
|
$0.01 ($0.01)
|
|
|
|
|
|
Common Stocks
|
72
|
|
|
|
|
3,035
|
Terms of Exchange Offer
|
Expected Recovery
|
9.35% - 100.00% (99.88%)
|
|
2,178
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
20.65% - 38.74% (20.98%)
|
|
|
|
|
|
Loan Assignments
|
5,213
|
|
|
|
Total
|
$34,133
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2024, the value of
these investments was $440,376. 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. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is
under common control with the Fund may be considered an affiliate. The Fund assumes the
issuer listed in the table below to be an affiliated issuer.
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment
amounts are included in the purchases at cost amounts in the table below.
|
|||||||||
For the period ended May 31, 2024
|
|||||||||
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.31% (a) (b)
|
$201,517
|
$658,755
|
$541,508
|
$(25
)
|
$13
|
$318,752
|
318,689
|
$1,441
|
$—
|
|
|
(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 May 31, 2024.
|
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.
Notes (1) — (3) below describe the various derivatives used by 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 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
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
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). Forward Foreign Currency Exchange Contracts— The Fund is exposed to foreign currency risks associated with some or all of the
portfolio investments and used forward foreign currency exchange contracts to hedge
or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts
to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency
on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange
contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based
on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation
or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a
realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward
foreign currency exchange contract with the same counterparty.
The Fund's forward foreign currency exchange contracts are subject to master netting
arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward
foreign currency exchange contracts.
(3). 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.
JPMorgan Income Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
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 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.