JPMorgan Unconstrained Debt 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 Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 41.2% | ||
Aerospace & Defense — 0.2% | ||
Boeing Co. (The) | ||
6.53%, 5/1/2034 (a) | 115 | 117 |
5.71%, 5/1/2040 | 415 | 381 |
3.85%, 11/1/2048 | 375 | 249 |
3.95%, 8/1/2059 | 435 | 273 |
Bombardier, Inc. (Canada) 7.00%, 6/1/2032 (a) (b) | 39 | 39 |
General Electric Co. 4.13%, 9/19/2035 (c) | 262 | 289 |
Rolls-Royce plc (United Kingdom) | ||
4.63%, 2/16/2026 (c) | 300 | 328 |
4.63%, 2/16/2026 (a) | 110 | 120 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 30 | 32 |
TransDigm, Inc. | ||
6.38%, 3/1/2029 (a) | 51 | 51 |
6.63%, 3/1/2032 (a) | 52 | 52 |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) | 53 | 55 |
1,986 | ||
Automobile Components — 0.7% | ||
Adient Global Holdings Ltd. | ||
3.50%, 8/15/2024 (c) | 44 | 48 |
7.00%, 4/15/2028 (a) | 35 | 36 |
8.25%, 4/15/2031 (a) | 105 | 109 |
Adler Pelzer Holding GmbH (Germany) | ||
9.50%, 4/1/2027 (a) | 206 | 225 |
9.50%, 4/1/2027 (c) | 190 | 208 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (a) | 55 | 53 |
5.88%, 6/1/2029 (a) | 200 | 197 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 190 | 189 |
5.00%, 10/1/2029 | 110 | 100 |
Clarios Global LP 8.50%, 5/15/2027 (a) | 260 | 262 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 115 | 99 |
Forvia SE (France) | ||
3.13%, 6/15/2026 (c) | 910 | 964 |
2.75%, 2/15/2027 (c) | 200 | 207 |
2.38%, 6/15/2027 (c) | 300 | 307 |
Goodyear Tire & Rubber Co. (The) 5.00%, 7/15/2029 | 300 | 276 |
Grupo Antolin-Irausa SA (Spain) 3.50%, 4/30/2028 (a) | 168 | 138 |
IHO Verwaltungs GmbH (Germany) | ||
3.88% (Cash), 5/15/2027 (c) (d) (e) | 380 | 402 |
8.75% (Cash), 5/15/2028 (a) (d) | 185 | 215 |
8.75% (Cash), 5/15/2028 (c) (d) (e) | 330 | 384 |
Schaeffler AG (Germany) 2.88%, 3/26/2027 (c) | 820 | 862 |
TI Automotive Finance plc (China) 3.75%, 4/15/2029 (c) | 380 | 382 |
ZF Europe Finance BV (Germany) | ||
2.00%, 2/23/2026 (c) | 200 | 208 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Automobile Components — continued | ||
2.50%, 10/23/2027 (c) | 1,000 | 1,013 |
ZF Finance GmbH (Germany) 3.75%, 9/21/2028 (c) | 400 | 418 |
7,302 | ||
Automobiles — 0.5% | ||
Hyundai Capital America | ||
1.30%, 1/8/2026 (a) | 430 | 401 |
3.50%, 11/2/2026 (a) | 2,180 | 2,076 |
6.50%, 1/16/2029 (a) | 280 | 291 |
Jaguar Land Rover Automotive plc (United Kingdom) | ||
5.88%, 11/15/2024 (c) | 100 | 109 |
4.50%, 1/15/2026 (c) | 480 | 521 |
Renault SA (France) 2.50%, 6/2/2027 (c) | 1,300 | 1,344 |
Volvo Car AB (Sweden) 2.00%, 1/24/2025 (c) | 300 | 319 |
5,061 | ||
Banks — 11.7% | ||
ABN AMRO Bank NV (Netherlands) | ||
(EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (c) (f) (g) (h) (i) | 400 | 424 |
4.80%, 4/18/2026 (a) | 800 | 784 |
(EUR Swap Annual 5 Year + 3.90%), 4.75%, 9/22/2027 (c) (f) (g) (h) (i) | 700 | 715 |
AIB Group plc (Ireland) | ||
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (c) (f) (g) (h) (i) | 1,900 | 2,062 |
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (i) | 335 | 344 |
(SOFR + 1.91%), 5.87%, 3/28/2035 (a) (i) | 200 | 199 |
Banco Bilbao Vizcaya Argentaria SA (Spain) | ||
Series 9, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.19%), 6.50%, 3/5/2025 (f) (g) (h) (i) | 400 | 397 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (f) (g) (h) (i) | 2,200 | 2,347 |
Banco Santander SA (Spain) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 5.74%, 6/30/2024 (i) | 2,000 | 1,999 |
5.15%, 8/18/2025 | 800 | 793 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (f) (g) (h) (i) | 2,400 | 2,565 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (f) (g) (h) (i) | 1,000 | 1,097 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 1.13%), 2.46%, 10/22/2025 (i) | 6,020 | 5,942 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (i) | 525 | 521 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (i) | 2,485 | 2,310 |
(SOFR + 1.63%), 5.20%, 4/25/2029 (i) | 440 | 438 |
(SOFR + 1.57%), 5.82%, 9/15/2029 (i) | 1,225 | 1,246 |
(SOFR + 1.22%), 2.30%, 7/21/2032 (i) | 399 | 325 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (i) | 2,700 | 2,227 |
(SOFR + 1.84%), 5.87%, 9/15/2034 (i) | 1,100 | 1,125 |
(SOFR + 1.65%), 5.47%, 1/23/2035 (i) | 1,230 | 1,222 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (i) | 740 | 516 |
Bank of Ireland Group plc (Ireland) | ||
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (c) (f) (g) (h) (i) | 1,345 | 1,482 |
(EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (c) (f) (g) (h) (i) | 1,400 | 1,511 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Bank of Nova Scotia (The) (Canada) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (f) (i) | 430 | 386 |
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.63%, 10/27/2081 (f) (i) | 2,100 | 1,720 |
Banque Federative du Credit Mutuel SA (France) 4.75%, 7/13/2027 (a) | 1,245 | 1,224 |
BNP Paribas SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (a) (f) (g) (h) (i) | 2,400 | 2,507 |
(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (c) (f) (g) (h) (i) | 1,000 | 1,153 |
BPCE SA (France) | ||
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (i) | 2,703 | 2,711 |
(SOFR + 1.09%), 2.05%, 10/19/2027 (a) (i) | 300 | 275 |
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (i) | 1,060 | 872 |
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (i) | 2,210 | 2,381 |
CaixaBank SA (Spain) | ||
(SOFR + 2.77%), 6.84%, 9/13/2034 (a) (i) | 1,310 | 1,389 |
(SOFR + 2.26%), 6.04%, 6/15/2035 (a) (i) | 1,460 | 1,465 |
Citigroup, Inc. | ||
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (g) (h) (i) | 550 | 526 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (i) | 1,595 | 1,556 |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (g) (h) (i) | 2,521 | 2,372 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (i) | 1,557 | 1,556 |
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (i) | 1,225 | 1,180 |
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (i) | 3,220 | 3,033 |
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%), 7.13%, 8/15/2029 (g) (h) (i) | 520 | 519 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (i) | 2,260 | 2,146 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (i) | 920 | 754 |
(SOFR + 2.06%), 5.83%, 2/13/2035 (i) | 1,015 | 1,004 |
Commerzbank AG (Germany) (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (c) (i) | 700 | 753 |
Commonwealth Bank of Australia (Australia) 3.78%, 3/14/2032 (a) (f) | 240 | 209 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (a) (i) | 1,225 | 1,153 |
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (c) (f) (g) (h) (i) | 1,600 | 1,661 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (i) | 1,720 | 1,637 |
Credit Agricole SA (France) | ||
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (i) | 302 | 281 |
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (i) | 710 | 732 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (i) | 1,237 | 1,240 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (i) | 701 | 662 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.43%), 3.00%, 3/10/2026 (i) | 3,000 | 2,937 |
(SOFR + 1.54%), 1.65%, 4/18/2026 (i) | 300 | 289 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (i) | 2,565 | 2,541 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (i) | 2,575 | 2,304 |
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (i) | 666 | 620 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (f) (g) (h) (i) | 1,794 | 1,508 |
(SOFR + 2.39%), 6.25%, 3/9/2034 (i) | 720 | 750 |
ING Groep NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (f) (g) (h) (i) | 1,488 | 1,431 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Intesa Sanpaolo SpA (Italy) | ||
7.00%, 11/21/2025 (a) | 256 | 260 |
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (c) (f) (g) (h) (i) | 862 | 967 |
6.63%, 6/20/2033 (a) | 3,845 | 3,976 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (i) | 410 | 308 |
KBC Group NV (Belgium) | ||
(EUR Swap Annual 5 Year + 3.59%), 4.25%, 10/24/2025 (c) (f) (g) (h) (i) | 400 | 421 |
(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (c) (f) (g) (h) (i) | 2,000 | 2,316 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (i) | 440 | 442 |
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (i) | 1,056 | 1,063 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (i) | 1,360 | 1,367 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (f) (g) (h) (i) | 1,256 | 1,227 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (f) (g) (h) (i) | 440 | 446 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (i) | 1,080 | 1,081 |
PNC Financial Services Group, Inc. (The) | ||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (g) (h) (i) | 1,278 | 1,136 |
(SOFR + 1.90%), 5.68%, 1/22/2035 (i) | 255 | 255 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 2.75%), 6.83%, 11/21/2026 (i) | 940 | 954 |
(SOFR + 0.99%), 1.67%, 6/14/2027 (i) | 1,400 | 1,291 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (i) | 2,100 | 2,155 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (a) (f) (g) (h) (i) | 447 | 460 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (a) (f) (g) (h) (i) | 452 | 379 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (i) | 490 | 403 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (a) (i) | 593 | 496 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (a) (i) | 1,365 | 1,426 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (i) | 1,280 | 1,259 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (i) | 700 | 744 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (a) (i) | 338 | 320 |
Svenska Handelsbanken AB (Sweden) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (c) (f) (g) (h) (i) | 2,600 | 2,213 |
Truist Financial Corp. | ||
(SOFR + 2.30%), 6.12%, 10/28/2033 (i) | 245 | 250 |
(SOFR + 1.85%), 5.12%, 1/26/2034 (i) | 1,047 | 997 |
(SOFR + 2.36%), 5.87%, 6/8/2034 (i) | 859 | 862 |
(SOFR + 1.92%), 5.71%, 1/24/2035 (i) | 195 | 194 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (i) | 720 | 669 |
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (c) (i) | 781 | 874 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (a) (i) | 1,660 | 1,402 |
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (i) | 285 | 285 |
Wells Fargo & Co. | ||
(SOFR + 1.51%), 3.53%, 3/24/2028 (i) | 1,410 | 1,341 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.74%), 5.57%, 7/25/2029 (i) | 2,720 | 2,735 |
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (i) | 2,420 | 2,083 |
(SOFR + 1.99%), 5.56%, 7/25/2034 (i) | 155 | 154 |
Westpac Banking Corp. (Australia) (USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (f) (i) | 250 | 241 |
123,480 | ||
Beverages — 0.2% | ||
Constellation Brands, Inc. 2.25%, 8/1/2031 | 1,936 | 1,580 |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 30 | 28 |
1,608 | ||
Biotechnology — 0.7% | ||
AbbVie, Inc. | ||
5.05%, 3/15/2034 | 580 | 574 |
4.70%, 5/14/2045 | 417 | 376 |
4.25%, 11/21/2049 | 2,629 | 2,184 |
5.40%, 3/15/2054 | 940 | 927 |
Amgen, Inc. | ||
5.25%, 3/2/2033 | 651 | 646 |
4.66%, 6/15/2051 | 460 | 393 |
Gilead Sciences, Inc. 5.55%, 10/15/2053 | 1,000 | 992 |
Grifols SA (Spain) | ||
1.63%, 2/15/2025 (c) | 200 | 214 |
2.25%, 11/15/2027 (c) | 650 | 628 |
3.88%, 10/15/2028 (a) | 130 | 118 |
3.88%, 10/15/2028 (c) | 100 | 90 |
4.75%, 10/15/2028 (a) | 200 | 174 |
7,316 | ||
Broadline Retail — 0.0% ^ | ||
Amazon.com, Inc. 2.70%, 6/3/2060 | 350 | 205 |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a) | 65 | 63 |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 100 | 99 |
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (d) | 130 | 104 |
9.75%, 10/1/2027 (a) | 40 | 40 |
511 | ||
Building Products — 0.1% | ||
Builders FirstSource, Inc. 6.38%, 3/1/2034 (a) | 35 | 34 |
EMRLD Borrower LP | ||
6.38%, 12/15/2030 (a) | 143 | 161 |
6.38%, 12/15/2030 (c) | 240 | 270 |
6.63%, 12/15/2030 (a) | 155 | 155 |
Griffon Corp. 5.75%, 3/1/2028 | 405 | 392 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | 55 | 50 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 140 | 133 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 30 | 29 |
1,224 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — 3.5% | ||
Coinbase Global, Inc. 3.38%, 10/1/2028 (a) | 170 | 145 |
Deutsche Bank AG (Germany) (SOFR + 2.26%), 3.74%, 1/7/2033 (i) | 1,206 | 997 |
Goldman Sachs Group, Inc. (The) | ||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (g) (h) (i) | 1,118 | 1,049 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (i) | 2,330 | 2,167 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (i) | 1,270 | 1,180 |
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 7.50%, 2/10/2029 (g) (h) (i) | 910 | 948 |
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%), 7.50%, 5/10/2029 (g) (h) (i) | 1,195 | 1,228 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (i) | 3,130 | 2,612 |
(SOFR + 1.26%), 2.65%, 10/21/2032 (i) | 1,525 | 1,263 |
(SOFR + 1.41%), 3.10%, 2/24/2033 (i) | 2,540 | 2,156 |
(SOFR + 1.55%), 5.85%, 4/25/2035 (i) | 220 | 225 |
Huarong Finance 2017 Co. Ltd. (China) 4.25%, 11/7/2027 (c) | 880 | 811 |
Morgan Stanley | ||
(SOFR + 0.88%), 1.59%, 5/4/2027 (i) | 2,660 | 2,467 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (i) | 288 | 279 |
3.59%, 7/22/2028 (e) | 2,210 | 2,097 |
(SOFR + 1.73%), 5.12%, 2/1/2029 (i) | 4,130 | 4,103 |
(SOFR + 1.59%), 5.16%, 4/20/2029 (i) | 760 | 755 |
(SOFR + 1.63%), 5.45%, 7/20/2029 (i) | 2,860 | 2,870 |
(SOFR + 1.14%), 2.70%, 1/22/2031 (i) | 1,560 | 1,358 |
(SOFR + 1.20%), 2.51%, 10/20/2032 (i) | 159 | 131 |
(SOFR + 1.88%), 5.42%, 7/21/2034 (i) | 940 | 930 |
(SOFR + 1.58%), 5.83%, 4/19/2035 (i) | 260 | 265 |
(SOFR + 1.36%), 2.48%, 9/16/2036 (i) | 360 | 284 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (i) | 405 | 402 |
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 6.70%, 3/15/2029 (g) (h) (i) | 683 | 690 |
UBS Group AG (Switzerland) | ||
4.28%, 1/9/2028 (a) | 2,840 | 2,720 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (f) (g) (h) (i) | 365 | 390 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (f) (g) (h) (i) | 375 | 417 |
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (i) | 1,455 | 1,763 |
36,702 | ||
Chemicals — 0.7% | ||
Alpek SAB de CV (Mexico) 3.25%, 2/25/2031 (c) | 1,180 | 987 |
Ashland Services BV 2.00%, 1/30/2028 (c) | 100 | 100 |
Avient Corp. 7.13%, 8/1/2030 (a) | 20 | 20 |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (c) | 570 | 531 |
CF Industries, Inc. | ||
4.50%, 12/1/2026 (a) | 835 | 813 |
4.95%, 6/1/2043 | 1,313 | 1,156 |
Chemours Co. (The) | ||
4.00%, 5/15/2026 | 200 | 211 |
5.75%, 11/15/2028 (a) | 230 | 211 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 136 | 124 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
Herens Midco SARL (Luxembourg) | ||
5.25%, 5/15/2029 (a) | 138 | 107 |
5.25%, 5/15/2029 (c) | 100 | 77 |
INEOS Finance plc (Luxembourg) | ||
2.13%, 11/15/2025 (c) | 300 | 317 |
6.63%, 5/15/2028 (c) | 250 | 281 |
6.38%, 4/15/2029 (a) | 123 | 137 |
7.50%, 4/15/2029 (a) | 200 | 202 |
INEOS Styrolution Ludwigshafen GmbH (United Kingdom) 2.25%, 1/16/2027 (c) | 650 | 658 |
Lune Holdings SARL (France) 5.63%, 11/15/2028 (a) | 244 | 219 |
Monitchem HoldCo 3 SA (Luxembourg) 8.75%, 5/1/2028 (c) | 100 | 112 |
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (a) | 73 | 70 |
OCP SA (Morocco) 6.88%, 4/25/2044 (c) | 390 | 369 |
Scotts Miracle-Gro Co. (The) | ||
4.50%, 10/15/2029 | 365 | 328 |
4.38%, 2/1/2032 | 230 | 196 |
Syensqo SA (Belgium) (EUR Swap Annual 5 Year + 2.98%), 2.50%, 12/2/2025 (c) (g) (h) (i) | 200 | 209 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 12 | 10 |
7,445 | ||
Commercial Services & Supplies — 0.5% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 580 | 514 |
APi Group DE, Inc. | ||
4.13%, 7/15/2029 (a) | 60 | 54 |
4.75%, 10/15/2029 (a) | 27 | 25 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 225 | 215 |
Elis SA (France) 2.88%, 2/15/2026 (c) | 400 | 425 |
GFL Environmental, Inc. | ||
4.00%, 8/1/2028 (a) | 130 | 119 |
4.75%, 6/15/2029 (a) | 120 | 112 |
Interface, Inc. 5.50%, 12/1/2028 (a) | 55 | 52 |
Madison IAQ LLC 5.88%, 6/30/2029 (a) | 165 | 153 |
Paprec Holding SA (France) | ||
3.50%, 7/1/2028 (a) | 164 | 170 |
3.50%, 7/1/2028 (c) | 240 | 248 |
Q-Park Holding I BV (Netherlands) | ||
5.13%, 3/1/2029 (a) | 209 | 229 |
5.13%, 3/1/2029 (c) | 290 | 318 |
SPIE SA (France) 2.63%, 6/18/2026 (c) | 400 | 423 |
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (c) | 466 | 505 |
Verisure Holding AB (Sweden) | ||
3.25%, 2/15/2027 (c) | 850 | 885 |
5.50%, 5/15/2030 (a) | 192 | 211 |
Verisure Midholding AB (Sweden) | ||
5.25%, 2/15/2029 (c) | 480 | 506 |
5.25%, 2/15/2029 (a) | 119 | 125 |
5,289 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Communications Equipment — 0.0% ^ | ||
Ciena Corp. 4.00%, 1/31/2030 (a) | 65 | 58 |
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 120 | 98 |
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 245 | 219 |
4.75%, 9/1/2029 (a) | 90 | 65 |
440 | ||
Construction & Engineering — 0.2% | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 60 | 56 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 25 | 23 |
Heathrow Funding Ltd. (United Kingdom) | ||
1.13%, 10/8/2030 (c) | 1,400 | 1,279 |
5.88%, 5/13/2041 (c) | 500 | 640 |
1,998 | ||
Construction Materials — 0.1% | ||
Cemex SAB de CV (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.13%, 6/8/2026 (a) (g) (h) (i) | 1,054 | 1,012 |
Consumer Finance — 1.8% | ||
AerCap Ireland Capital DAC (Ireland) | ||
1.65%, 10/29/2024 | 510 | 501 |
1.75%, 1/30/2026 | 1,030 | 967 |
2.45%, 10/29/2026 | 193 | 180 |
5.75%, 6/6/2028 | 750 | 756 |
3.30%, 1/30/2032 | 835 | 711 |
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (g) (h) (i) | 391 | 356 |
Avolon Holdings Funding Ltd. (Ireland) | ||
3.95%, 7/1/2024 (a) | 1,995 | 1,992 |
2.88%, 2/15/2025 (a) | 890 | 869 |
5.50%, 1/15/2026 (a) | 270 | 267 |
2.13%, 2/21/2026 (a) | 100 | 94 |
4.25%, 4/15/2026 (a) | 610 | 591 |
4.38%, 5/1/2026 (a) | 460 | 447 |
3.25%, 2/15/2027 (a) | 255 | 237 |
2.75%, 2/21/2028 (a) | 95 | 85 |
6.38%, 5/4/2028 (a) | 835 | 847 |
5.75%, 3/1/2029 (a) | 3,565 | 3,540 |
5.75%, 11/15/2029 (a) | 1,120 | 1,110 |
Ford Motor Credit Co. LLC | ||
4.39%, 1/8/2026 | 420 | 410 |
4.27%, 1/9/2027 | 1,048 | 1,007 |
4.95%, 5/28/2027 | 760 | 741 |
3.63%, 6/17/2031 | 714 | 610 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 60 | 61 |
4.00%, 9/15/2030 | 15 | 13 |
Volkswagen International Finance NV (Germany) | ||
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (c) (g) (h) (i) | 100 | 107 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
(EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (c) (g) (h) (i) | 1,100 | 1,160 |
Volkswagen Leasing GmbH (Germany) 0.50%, 1/12/2029 (c) | 1,400 | 1,303 |
18,962 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Albertsons Cos., Inc. 4.63%, 1/15/2027 (a) | 190 | 183 |
ELO SACA (France) 6.00%, 3/22/2029 (c) | 200 | 215 |
Performance Food Group, Inc. 4.25%, 8/1/2029 (a) | 95 | 86 |
Rite Aid Corp. | ||
7.50%, 7/1/2025 (a) (j) | 50 | 25 |
8.00%, 11/15/2026 (a) (j) | 140 | 70 |
US Foods, Inc. 4.75%, 2/15/2029 (a) | 355 | 333 |
912 | ||
Containers & Packaging — 0.5% | ||
ARD Finance SA (Luxembourg) 5.00% (Cash), 6/30/2027 (c) (d) (e) | 200 | 48 |
Ardagh Packaging Finance plc | ||
2.13%, 8/15/2026 (c) | 610 | 536 |
4.75%, 7/15/2027 (c) | 100 | 70 |
5.25%, 8/15/2027 (a) | 295 | 173 |
Ball Corp. 1.50%, 3/15/2027 | 330 | 336 |
Berry Global, Inc. 5.80%, 6/15/2031 (a) | 820 | 816 |
Crown European Holdings SA 3.38%, 5/15/2025 (c) | 460 | 494 |
Guala Closures SpA (Italy) 3.25%, 6/15/2028 (c) | 650 | 652 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 40 | 40 |
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a) | 260 | 265 |
OI European Group BV | ||
6.25%, 5/15/2028 (a) | 126 | 142 |
6.25%, 5/15/2028 (c) | 120 | 135 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 275 | 273 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 125 | 117 |
Pro-Gest SpA (Italy) 3.25%, 12/15/2024 (c) | 350 | 97 |
Silgan Holdings, Inc. | ||
3.25%, 3/15/2025 | 180 | 193 |
2.25%, 6/1/2028 | 400 | 399 |
Titan Holdings II BV (Netherlands) 5.13%, 7/15/2029 (c) | 150 | 147 |
Trivium Packaging Finance BV 3.75%, 8/15/2026 (c) (k) | 380 | 404 |
5,337 | ||
Distributors — 0.0% ^ | ||
Ritchie Bros Holdings, Inc. (Canada) 7.75%, 3/15/2031 (a) | 35 | 37 |
Diversified Consumer Services — 0.1% | ||
RAC Bond Co. plc (United Kingdom) | ||
5.25%, 11/4/2027 (a) | 168 | 201 |
5.25%, 11/4/2027 (c) | 240 | 287 |
Service Corp. International 3.38%, 8/15/2030 | 60 | 51 |
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a) | 38 | 39 |
578 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Diversified REITs — 0.1% | ||
VICI Properties LP | ||
3.75%, 2/15/2027 (a) | 60 | 57 |
4.50%, 1/15/2028 (a) | 55 | 52 |
WP Carey, Inc. | ||
2.40%, 2/1/2031 | 180 | 150 |
2.25%, 4/1/2033 | 367 | 279 |
538 | ||
Diversified Telecommunication Services — 1.3% | ||
Altice France SA (France) | ||
5.88%, 2/1/2027 (c) | 200 | 157 |
8.13%, 2/1/2027 (a) | 205 | 158 |
3.38%, 1/15/2028 (c) | 600 | 443 |
AT&T, Inc. 3.50%, 9/15/2053 | 860 | 581 |
CCO Holdings LLC | ||
5.13%, 5/1/2027 (a) | 2,520 | 2,409 |
5.00%, 2/1/2028 (a) | 765 | 706 |
5.38%, 6/1/2029 (a) | 105 | 94 |
4.75%, 3/1/2030 (a) | 210 | 179 |
4.25%, 2/1/2031 (a) | 60 | 48 |
Cellnex Telecom SA (Spain) | ||
2.88%, 4/18/2025 (c) | 300 | 323 |
1.88%, 6/26/2029 (c) | 300 | 295 |
eircom Finance DAC (Ireland) | ||
3.50%, 5/15/2026 (c) | 470 | 495 |
2.63%, 2/15/2027 (c) | 370 | 378 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 110 | 107 |
Iliad Holding SASU (France) | ||
5.63%, 10/15/2028 (a) | 344 | 371 |
5.63%, 10/15/2028 (c) | 560 | 605 |
6.88%, 4/15/2031 (a) | 164 | 181 |
iliad SA (France) 5.38%, 6/14/2027 (c) | 700 | 776 |
Infrastrutture Wireless Italiane SpA (Italy) 1.88%, 7/8/2026 (c) | 560 | 583 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 200 | 188 |
Kaixo Bondco Telecom SA (Spain) 5.13%, 9/30/2029 (c) | 335 | 350 |
Level 3 Financing, Inc. | ||
11.00%, 11/15/2029 (a) | 60 | 62 |
4.50%, 4/1/2030 (a) | 50 | 28 |
Lorca Telecom Bondco SA (Spain) | ||
4.00%, 9/18/2027 (a) | 100 | 106 |
4.00%, 9/18/2027 (c) | 790 | 837 |
Lumen Technologies, Inc. | ||
4.13%, 4/15/2029 (a) | 59 | 38 |
4.13%, 4/15/2030 (a) | 163 | 104 |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | 116 | 98 |
Telecom Italia Finance SA (Italy) 7.75%, 1/24/2033 | 440 | 560 |
Telecom Italia SpA (Italy) | ||
2.88%, 1/28/2026 (c) | 380 | 402 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
3.63%, 5/25/2026 (c) | 380 | 404 |
2.38%, 10/12/2027 (c) | 830 | 835 |
Telefonica Emisiones SA (Spain) 5.21%, 3/8/2047 | 700 | 623 |
Virgin Media Finance plc (United Kingdom) 3.75%, 7/15/2030 (c) | 380 | 352 |
13,876 | ||
Electric Utilities — 2.8% | ||
Alfa Desarrollo SpA (Chile) 4.55%, 9/27/2051 (a) | 934 | 695 |
ContourGlobal Power Holdings SA (United Kingdom) 2.75%, 1/1/2026 (c) | 370 | 386 |
Duke Energy Indiana LLC 5.40%, 4/1/2053 | 125 | 118 |
Duke Energy Ohio, Inc. 5.65%, 4/1/2053 | 44 | 43 |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (a) | 540 | 436 |
EDP - Energias de Portugal SA (Portugal) | ||
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (c) (i) | 900 | 947 |
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (c) (i) | 1,500 | 1,485 |
Electricite de France SA (France) | ||
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/5/2024 (c) (g) (h) (i) | 200 | 216 |
(EUR Swap Annual 12 Year + 3.04%), 5.00%, 1/22/2026 (c) (g) (h) (i) | 700 | 757 |
5.70%, 5/23/2028 (a) | 245 | 248 |
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (c) (g) (h) (i) | 400 | 384 |
Emera US Finance LP (Canada) 2.64%, 6/15/2031 | 1,964 | 1,604 |
Emera, Inc. (Canada) Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (i) | 1,058 | 1,046 |
Enel Finance International NV (Italy) | ||
3.50%, 4/6/2028 (a) | 1,135 | 1,062 |
2.25%, 7/12/2031 (a) (k) | 316 | 258 |
5.00%, 6/15/2032 (a) | 580 | 552 |
Enel SpA (Italy) (EUR Swap Annual 5 Year + 2.68%), 2.25%, 12/10/2026 (c) (g) (h) (i) | 1,800 | 1,829 |
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (i) | 390 | 388 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 385 | 310 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 832 | 780 |
FirstEnergy Pennsylvania Electric Co. 5.20%, 4/1/2028 (a) | 390 | 389 |
FirstEnergy Transmission LLC | ||
2.87%, 9/15/2028 (a) | 1,540 | 1,396 |
4.55%, 4/1/2049 (a) | 663 | 542 |
ITC Holdings Corp. 2.95%, 5/14/2030 (a) | 1,855 | 1,623 |
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (a) | 771 | 634 |
MidAmerican Energy Co. 4.25%, 5/1/2046 | 350 | 289 |
NRG Energy, Inc. | ||
3.75%, 6/15/2024 (a) | 990 | 989 |
3.38%, 2/15/2029 (a) | 165 | 146 |
5.25%, 6/15/2029 (a) | 90 | 86 |
Pacific Gas and Electric Co. | ||
2.95%, 3/1/2026 | 360 | 343 |
6.15%, 1/15/2033 | 1,430 | 1,459 |
6.40%, 6/15/2033 | 1,270 | 1,318 |
5.80%, 5/15/2034 | 970 | 968 |
4.60%, 6/15/2043 | 250 | 204 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia) 4.38%, 2/5/2050 (c) | 366 | 280 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
PG&E Corp. 5.00%, 7/1/2028 | 30 | 29 |
PPL Capital Funding, Inc. Series A, (3-MONTH CME TERM SOFR + 2.93%), 8.24%, 3/30/2067 (i) | 661 | 654 |
Southern California Edison Co. | ||
Series B, 3.65%, 3/1/2028 | 1,220 | 1,152 |
Series 13-A, 3.90%, 3/15/2043 | 214 | 166 |
3.65%, 2/1/2050 | 484 | 345 |
Union Electric Co. 3.90%, 4/1/2052 | 260 | 200 |
Vistra Operations Co. LLC | ||
3.70%, 1/30/2027 (a) | 1,031 | 978 |
4.38%, 5/1/2029 (a) | 192 | 178 |
4.30%, 7/15/2029 (a) | 1,550 | 1,452 |
6.88%, 4/15/2032 (a) | 52 | 52 |
6.00%, 4/15/2034 (a) | 555 | 556 |
29,972 | ||
Electrical Equipment — 0.0% ^ | ||
Energizer Gamma Acquisition BV 3.50%, 6/30/2029 (c) | 270 | 264 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Belden, Inc. 3.88%, 3/15/2028 (c) | 730 | 773 |
Coherent Corp. 5.00%, 12/15/2029 (a) | 431 | 402 |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | 175 | 151 |
1,326 | ||
Energy Equipment & Services — 0.1% | ||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 763 | 693 |
Precision Drilling Corp. (Canada) 6.88%, 1/15/2029 (a) | 50 | 49 |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (a) | 45 | 47 |
Transocean, Inc. 8.25%, 5/15/2029 (a) | 55 | 55 |
844 | ||
Entertainment — 0.8% | ||
Banijay Entertainment SASU (France) | ||
7.00%, 5/1/2029 (a) | 119 | 135 |
7.00%, 5/1/2029 (c) | 310 | 353 |
Cinemark USA, Inc. 5.88%, 3/15/2026 (a) | 150 | 148 |
Live Nation Entertainment, Inc. | ||
6.50%, 5/15/2027 (a) | 70 | 70 |
4.75%, 10/15/2027 (a) | 150 | 142 |
Netflix, Inc. | ||
4.88%, 4/15/2028 | 808 | 801 |
5.38%, 11/15/2029 (a) | 1,351 | 1,360 |
Take-Two Interactive Software, Inc. | ||
3.55%, 4/14/2025 | 180 | 177 |
3.70%, 4/14/2027 | 660 | 633 |
Warnermedia Holdings, Inc. | ||
4.30%, 1/17/2030 | 880 | 954 |
4.28%, 3/15/2032 | 1,372 | 1,201 |
5.05%, 3/15/2042 | 2,100 | 1,735 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Entertainment — continued | ||
WMG Acquisition Corp. | ||
2.75%, 7/15/2028 (c) | 200 | 204 |
2.25%, 8/15/2031 (a) | 110 | 102 |
2.25%, 8/15/2031 (c) | 100 | 93 |
8,108 | ||
Financial Services — 0.4% | ||
Benteler International AG (Austria) 9.38%, 5/15/2028 (c) | 400 | 462 |
Block, Inc. 6.50%, 5/15/2032 (a) | 124 | 125 |
EDP Finance BV (Portugal) 3.63%, 7/15/2024 (a) | 2,150 | 2,144 |
Global Payments, Inc. | ||
2.90%, 5/15/2030 | 400 | 346 |
2.90%, 11/15/2031 | 1,010 | 841 |
Nationstar Mortgage Holdings, Inc. | ||
5.50%, 8/15/2028 (a) | 120 | 114 |
5.13%, 12/15/2030 (a) | 80 | 73 |
7.13%, 2/1/2032 (a) | 25 | 25 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 92 | 99 |
Nexi SpA (Italy) 1.63%, 4/30/2026 (c) | 200 | 207 |
Paysafe Finance plc 3.00%, 6/15/2029 (a) | 169 | 167 |
4,603 | ||
Food Products — 0.3% | ||
Darling Global Finance BV 3.63%, 5/15/2026 (c) | 250 | 268 |
JBS USA Holding Lux SARL | ||
6.75%, 3/15/2034 (a) | 645 | 678 |
4.38%, 2/2/2052 | 397 | 294 |
7.25%, 11/15/2053 (a) | 880 | 963 |
Kraft Heinz Foods Co. 4.88%, 10/1/2049 | 980 | 856 |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 130 | 117 |
Post Holdings, Inc. 5.50%, 12/15/2029 (a) | 320 | 305 |
Sigma Holdco BV (Netherlands) 5.75%, 5/15/2026 (c) | 100 | 104 |
3,585 | ||
Gas Utilities — 0.0% ^ | ||
UGI International LLC | ||
2.50%, 12/1/2029 (a) | 296 | 285 |
2.50%, 12/1/2029 (c) | 240 | 231 |
516 | ||
Ground Transportation — 0.3% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 245 | 235 |
8.00%, 2/15/2031 (a) | 25 | 25 |
Avis Budget Finance plc | ||
7.25%, 7/31/2030 (a) | 252 | 271 |
7.25%, 7/31/2030 (c) | 230 | 247 |
Canadian Pacific Railway Co. (Canada) 3.50%, 5/1/2050 | 340 | 245 |
EC Finance plc (United Kingdom) 3.00%, 10/15/2026 (c) | 470 | 493 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Ground Transportation — continued | ||
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 150 | 116 |
Loxam SAS (France) 4.50%, 2/15/2027 (a) | 171 | 185 |
SMBC Aviation Capital Finance DAC (Ireland) 5.55%, 4/3/2034 (a) | 1,380 | 1,350 |
XPO, Inc. 7.13%, 2/1/2032 (a) | 95 | 97 |
3,264 | ||
Health Care Equipment & Supplies — 0.3% | ||
Avantor Funding, Inc. 3.88%, 7/15/2028 (c) | 750 | 792 |
Baxter International, Inc. 2.54%, 2/1/2032 | 1,980 | 1,608 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 55 | 50 |
6.25%, 4/1/2029 (a) | 50 | 50 |
5.25%, 10/1/2029 (a) | 110 | 104 |
Medtronic Global Holdings SCA 1.50%, 7/2/2039 | 200 | 157 |
2,761 | ||
Health Care Providers & Services — 1.1% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 45 | 44 |
Cencora, Inc. 2.70%, 3/15/2031 | 3,548 | 3,010 |
Cerba Healthcare SACA (France) 3.50%, 5/31/2028 (c) | 500 | 458 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 87 | 87 |
5.25%, 5/15/2030 (a) | 125 | 104 |
4.75%, 2/15/2031 (a) | 120 | 95 |
10.88%, 1/15/2032 (a) (b) | 92 | 95 |
CVS Health Corp. | ||
5.25%, 2/21/2033 | 1,450 | 1,409 |
2.70%, 8/21/2040 | 690 | 458 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 290 | 260 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 155 | 146 |
4.63%, 4/1/2031 | 250 | 226 |
HCA, Inc. | ||
5.20%, 6/1/2028 | 630 | 625 |
4.13%, 6/15/2029 | 1,570 | 1,479 |
5.50%, 6/15/2047 | 66 | 61 |
5.25%, 6/15/2049 | 950 | 843 |
3.50%, 7/15/2051 | 480 | 320 |
4.63%, 3/15/2052 | 2,478 | 1,997 |
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | 65 | 62 |
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 | 75 | 73 |
4.63%, 6/15/2028 | 190 | 181 |
6.75%, 5/15/2031 (a) | 56 | 57 |
12,090 | ||
Health Care REITs — 0.2% | ||
Healthpeak OP LLC 5.25%, 12/15/2032 | 1,350 | 1,324 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Health Care REITs — continued | ||
Welltower OP LLC | ||
2.80%, 6/1/2031 | 700 | 595 |
3.85%, 6/15/2032 | 410 | 368 |
2,287 | ||
Health Care Technology — 0.1% | ||
IQVIA, Inc. | ||
1.75%, 3/15/2026 (c) | 560 | 582 |
2.25%, 1/15/2028 (c) | 550 | 553 |
1,135 | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP 4.50%, 2/15/2029 (a) | 65 | 60 |
Hotels, Restaurants & Leisure — 0.6% | ||
1011778 BC ULC (Canada) 4.00%, 10/15/2030 (a) | 115 | 100 |
888 Acquisitions Ltd. (United Kingdom) | ||
7.56%, 7/15/2027 (a) | 160 | 172 |
7.56%, 7/15/2027 (c) | 140 | 151 |
Acushnet Co. 7.38%, 10/15/2028 (a) | 55 | 57 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 340 | 314 |
Caesars Entertainment, Inc. | ||
8.13%, 7/1/2027 (a) | 280 | 285 |
6.50%, 2/15/2032 (a) | 45 | 45 |
Carnival Corp. 6.00%, 5/1/2029 (a) | 70 | 68 |
Cedar Fair LP 6.50%, 10/1/2028 | 300 | 299 |
Cirsa Finance International Sarl (Spain) 4.50%, 3/15/2027 (c) | 500 | 533 |
eDreams ODIGEO SA (Spain) | ||
5.50%, 7/15/2027 (a) | 183 | 197 |
5.50%, 7/15/2027 (c) | 160 | 172 |
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (c) | 970 | 930 |
International Game Technology plc | ||
3.50%, 6/15/2026 (c) | 470 | 502 |
2.38%, 4/15/2028 (c) | 300 | 305 |
Lottomatica SpA (Italy) | ||
7.13%, 6/1/2028 (a) | 165 | 189 |
7.13%, 6/1/2028 (c) | 160 | 183 |
MGM Resorts International 5.50%, 4/15/2027 | 40 | 39 |
Pinnacle Bidco plc (United Kingdom) | ||
8.25%, 10/11/2028 (a) | 164 | 189 |
8.25%, 10/11/2028 (c) | 260 | 299 |
Punch Finance plc (United Kingdom) 6.13%, 6/30/2026 (c) | 380 | 471 |
Royal Caribbean Cruises Ltd. | ||
8.25%, 1/15/2029 (a) | 15 | 16 |
9.25%, 1/15/2029 (a) | 110 | 117 |
6.25%, 3/15/2032 (a) | 40 | 40 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 240 | 235 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Vail Resorts, Inc. 6.50%, 5/15/2032 (a) | 48 | 48 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 160 | 151 |
6,107 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 285 | 283 |
Newell Brands, Inc. | ||
5.70%, 4/1/2026 (k) | 95 | 94 |
6.63%, 9/15/2029 | 30 | 29 |
7.00%, 4/1/2046 (k) | 50 | 41 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 205 | 184 |
Versuni Group BV (Netherlands) 3.13%, 6/15/2028 (a) | 100 | 97 |
728 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. 5.13%, 2/1/2028 | 80 | 77 |
Energizer Holdings, Inc. 4.75%, 6/15/2028 (a) | 420 | 388 |
Spectrum Brands, Inc. 4.00%, 10/1/2026 (c) | 200 | 214 |
679 | ||
Independent Power and Renewable Electricity Producers — 0.3% | ||
AES Corp. (The) | ||
3.30%, 7/15/2025 (a) | 497 | 483 |
3.95%, 7/15/2030 (a) | 768 | 692 |
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 175 | 178 |
5.60%, 6/15/2042 | 770 | 740 |
6.50%, 10/1/2053 | 604 | 645 |
2,738 | ||
Insurance — 0.5% | ||
Assicurazioni Generali SpA (Italy) (EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (c) (i) | 400 | 450 |
Cloverie plc for Zurich Insurance Co. Ltd. (Switzerland) (3-MONTH SOFR + 4.92%), 5.63%, 6/24/2046 (c) (i) | 1,770 | 1,748 |
MetLife, Inc. | ||
6.40%, 12/15/2036 | 1,340 | 1,350 |
9.25%, 4/8/2038 (a) | 380 | 440 |
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (a) | 620 | 572 |
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.40%), 6.50%, 3/15/2054 (i) | 720 | 722 |
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (a) (i) | 200 | 192 |
5,474 | ||
Interactive Media & Services — 0.0% ^ | ||
Meta Platforms, Inc. 4.45%, 8/15/2052 | 399 | 341 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | 128 | 128 |
469 | ||
IT Services — 0.0% ^ | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 88 | 81 |
Conduent Business Services LLC 6.00%, 11/1/2029 (a) | 155 | 144 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
IT Services — continued | ||
Presidio Holdings, Inc. | ||
4.88%, 2/1/2027 (a) | 76 | 76 |
8.25%, 2/1/2028 (a) | 100 | 102 |
403 | ||
Leisure Products — 0.0% ^ | ||
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a) | 100 | 100 |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 110 | 108 |
208 | ||
Life Sciences Tools & Services — 0.1% | ||
Danaher Corp. 2.80%, 12/10/2051 | 2,205 | 1,382 |
Machinery — 0.1% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 50 | 52 |
Terex Corp. 5.00%, 5/15/2029 (a) | 120 | 113 |
TK Elevator Midco GmbH 4.38%, 7/15/2027 (c) | 240 | 251 |
Trinity Industries, Inc. 7.75%, 7/15/2028 (a) | 35 | 36 |
Wabash National Corp. 4.50%, 10/15/2028 (a) | 410 | 370 |
822 | ||
Media — 1.3% | ||
Altice Financing SA (Luxembourg) 2.25%, 1/15/2025 (c) | 200 | 209 |
Altice Finco SA (Luxembourg) 4.75%, 1/15/2028 (c) | 420 | 275 |
Charter Communications Operating LLC | ||
2.25%, 1/15/2029 | 765 | 650 |
2.80%, 4/1/2031 | 410 | 335 |
3.50%, 6/1/2041 | 1,730 | 1,162 |
5.38%, 5/1/2047 | 958 | 770 |
3.70%, 4/1/2051 | 2,082 | 1,274 |
3.90%, 6/1/2052 | 1,038 | 651 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 241 | 228 |
7.75%, 4/15/2028 (a) | 200 | 173 |
9.00%, 9/15/2028 (a) | 44 | 46 |
7.50%, 6/1/2029 (a) | 60 | 49 |
Comcast Corp. | ||
2.80%, 1/15/2051 | 1,900 | 1,165 |
5.35%, 5/15/2053 | 1,410 | 1,342 |
2.99%, 11/1/2063 | 764 | 446 |
CSC Holdings LLC | ||
5.38%, 2/1/2028 (a) | 200 | 140 |
5.75%, 1/15/2030 (a) | 255 | 110 |
Discovery Communications LLC | ||
3.63%, 5/15/2030 | 100 | 88 |
4.65%, 5/15/2050 | 450 | 334 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 315 | 300 |
5.25%, 12/1/2026 (a) | 440 | 350 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Media — continued | ||
5.75%, 12/1/2028 (a) | 90 | 63 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 475 | 477 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 50 | 47 |
GCI LLC 4.75%, 10/15/2028 (a) | 200 | 182 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 195 | 172 |
10.50%, 7/15/2029 (a) | 150 | 149 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 190 | 145 |
8.38%, 5/1/2027 | 30 | 11 |
5.25%, 8/15/2027 (a) | 100 | 55 |
Outfront Media Capital LLC | ||
5.00%, 8/15/2027 (a) | 59 | 57 |
4.63%, 3/15/2030 (a) | 50 | 44 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 40 | 26 |
Sirius XM Radio, Inc. | ||
4.00%, 7/15/2028 (a) | 90 | 81 |
5.50%, 7/1/2029 (a) | 80 | 74 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 89 | 81 |
Summer BC Holdco A SARL (Luxembourg) 9.25%, 10/31/2027 (c) | 90 | 96 |
Summer BC Holdco B SARL (Luxembourg) 5.75%, 10/31/2026 (c) | 200 | 214 |
Univision Communications, Inc. 6.63%, 6/1/2027 (a) | 205 | 198 |
Virgin Media Vendor Financing Notes III DAC (United Kingdom) 4.88%, 7/15/2028 (c) | 400 | 452 |
Ziggo Bond Co. BV (Netherlands) 3.38%, 2/28/2030 (c) | 1,010 | 914 |
13,635 | ||
Metals & Mining — 1.0% | ||
Anglo American Capital plc (South Africa) 5.50%, 5/2/2033 (a) | 2,640 | 2,602 |
ATI, Inc. 4.88%, 10/1/2029 | 43 | 40 |
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a) | 285 | 267 |
Constellium SE 4.25%, 2/15/2026 (c) | 300 | 324 |
Freeport-McMoRan, Inc. | ||
4.25%, 3/1/2030 | 1,163 | 1,094 |
5.40%, 11/14/2034 | 433 | 422 |
Glencore Funding LLC (Australia) | ||
6.38%, 10/6/2030 (a) | 1,866 | 1,941 |
5.63%, 4/4/2034 (a) | 2,360 | 2,318 |
Indonesia Asahan Aluminium PT (Indonesia) 5.45%, 5/15/2030 (a) | 830 | 810 |
Novelis Sheet Ingot GmbH 3.38%, 4/15/2029 (c) | 370 | 379 |
United States Steel Corp. 6.88%, 3/1/2029 | 31 | 31 |
Vale Overseas Ltd. (Brazil) 6.13%, 6/12/2033 | 309 | 309 |
10,537 | ||
Multi-Utilities — 0.4% | ||
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053 | 151 | 125 |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | 1,015 | 895 |
Dominion Energy, Inc. | ||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%), 7.00%, 6/1/2054 (i) | 140 | 145 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%), 6.88%, 2/1/2055 (i) | 220 | 223 |
NGG Finance plc (United Kingdom) (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (c) (i) | 518 | 517 |
San Diego Gas & Electric Co. Series UUU, 3.32%, 4/15/2050 | 200 | 135 |
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (i) | 680 | 673 |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 482 | 389 |
Veolia Environnement SA (France) (EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (c) (g) (h) (i) | 900 | 909 |
4,011 | ||
Oil, Gas & Consumable Fuels — 3.1% | ||
Aker BP ASA (Norway) 6.00%, 6/13/2033 (a) | 825 | 832 |
Antero Midstream Partners LP | ||
5.75%, 3/1/2027 (a) | 40 | 40 |
5.75%, 1/15/2028 (a) | 175 | 171 |
Antero Resources Corp. 8.38%, 7/15/2026 (a) | 25 | 26 |
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (a) | 15 | 15 |
Baytex Energy Corp. (Canada) | ||
8.50%, 4/30/2030 (a) | 65 | 68 |
7.38%, 3/15/2032 (a) | 80 | 81 |
BP Capital Markets America, Inc. 4.81%, 2/13/2033 | 2,050 | 1,983 |
BP Capital Markets plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (g) (h) (i) | 247 | 242 |
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (c) (g) (h) (i) | 1,300 | 1,372 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (g) (h) (i) | 1,716 | 1,619 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (g) (h) (i) | 930 | 951 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 34 | 34 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 2,380 | 2,262 |
5.95%, 6/30/2033 | 1,625 | 1,639 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 440 | 441 |
Chevron USA, Inc. 2.34%, 8/12/2050 | 200 | 117 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 25 | 25 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 65 | 68 |
8.75%, 7/1/2031 (a) | 100 | 107 |
Columbia Pipelines Operating Co. LLC | ||
5.93%, 8/15/2030 (a) | 2,455 | 2,491 |
6.04%, 11/15/2033 (a) | 655 | 668 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 415 | 401 |
Crescent Energy Finance LLC | ||
9.25%, 2/15/2028 (a) | 90 | 95 |
7.63%, 4/1/2032 (a) | 40 | 41 |
Ecopetrol SA (Colombia) | ||
6.88%, 4/29/2030 | 630 | 601 |
7.38%, 9/18/2043 | 550 | 482 |
Enbridge, Inc. (Canada) Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.25%, 1/15/2084 (i) | 2,220 | 2,302 |
Encino Acquisition Partners Holdings LLC | ||
8.50%, 5/1/2028 (a) | 55 | 56 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
8.75%, 5/1/2031 (a) | 150 | 155 |
Energian Israel Finance Ltd. (Israel) | ||
4.88%, 3/30/2026 (c) | 312 | 296 |
5.38%, 3/30/2028 (c) | 1,375 | 1,241 |
Energy Transfer LP | ||
7.38%, 2/1/2031 (a) | 105 | 109 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (i) | 1,270 | 1,322 |
Eni SpA (Italy) 4.25%, 5/9/2029 (a) | 910 | 870 |
Exxon Mobil Corp. 3.00%, 8/16/2039 | 670 | 508 |
Genesis Energy LP | ||
8.00%, 1/15/2027 | 75 | 76 |
8.25%, 1/15/2029 | 40 | 41 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 280 | 268 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 1,089 | 1,025 |
Greenko Power II Ltd. (India) 4.30%, 12/13/2028 (a) | 732 | 659 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 23 | 23 |
Hess Midstream Operations LP 5.13%, 6/15/2028 (a) | 105 | 101 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 65 | 63 |
KazMunayGas National Co. JSC (Kazakhstan) 5.75%, 4/19/2047 (c) | 998 | 850 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 40 | 39 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (c) | 372 | 365 |
6.50%, 6/30/2027 (c) | 863 | 819 |
6.75%, 6/30/2030 (c) | 232 | 212 |
NuStar Logistics LP 5.63%, 4/28/2027 | 65 | 64 |
Occidental Petroleum Corp. 6.20%, 3/15/2040 | 302 | 304 |
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | 115 | 117 |
Petroleos Mexicanos (Mexico) | ||
6.88%, 8/4/2026 | 1,000 | 975 |
7.69%, 1/23/2050 | 1,380 | 1,002 |
SM Energy Co. 6.63%, 1/15/2027 | 185 | 184 |
Southwestern Energy Co. 5.38%, 3/15/2030 | 60 | 58 |
Summit Midstream Holdings LLC 9.50%, 10/15/2026 (a) (k) | 105 | 108 |
Tallgrass Energy Partners LP | ||
7.38%, 2/15/2029 (a) | 20 | 20 |
6.00%, 9/1/2031 (a) | 100 | 94 |
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050 | 310 | 210 |
Transcanada Trust (Canada) Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (i) | 810 | 792 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 38 | 39 |
9.50%, 2/1/2029 (a) | 41 | 44 |
9.88%, 2/1/2032 (a) | 24 | 26 |
Vital Energy, Inc. 7.88%, 4/15/2032 (a) | 90 | 91 |
32,400 | ||
Paper & Forest Products — 0.1% | ||
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029 | 1,200 | 1,189 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Passenger Airlines — 0.2% | ||
American Airlines, Inc. 5.50%, 4/20/2026 (a) | 50 | 49 |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 1,465 | 1,454 |
Deutsche Lufthansa AG (Germany) 3.00%, 5/29/2026 (c) | 200 | 213 |
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a) | 30 | 27 |
1,743 | ||
Personal Care Products — 0.1% | ||
Coty, Inc. | ||
3.88%, 4/15/2026 (c) | 380 | 410 |
4.75%, 1/15/2029 (a) | 100 | 94 |
Edgewell Personal Care Co. | ||
5.50%, 6/1/2028 (a) | 205 | 199 |
4.13%, 4/1/2029 (a) | 255 | 232 |
Ontex Group NV 3.50%, 7/15/2026 (c) | 450 | 477 |
1,412 | ||
Pharmaceuticals — 0.8% | ||
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 320 | 302 |
5.00%, 1/30/2028 (a) | 90 | 51 |
6.25%, 2/15/2029 (a) | 570 | 305 |
5.25%, 1/30/2030 (a) | 120 | 61 |
Bayer AG (Germany) Series NC5, (EUR Swap Annual 5 Year + 3.43%), 6.63%, 9/25/2083 (c) (i) | 500 | 547 |
Bristol-Myers Squibb Co. | ||
5.20%, 2/22/2034 | 1,310 | 1,301 |
5.55%, 2/22/2054 | 580 | 571 |
5.65%, 2/22/2064 | 370 | 362 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (a) | 40 | 39 |
2.38%, 3/1/2028 (c) | 200 | 208 |
3.13%, 2/15/2029 (a) | 45 | 43 |
Cheplapharm Arzneimittel GmbH (Germany) 3.50%, 2/11/2027 (c) | 660 | 693 |
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (a) | 26 | 27 |
Neopharmed Gentili SpA (Italy) 7.13%, 4/8/2030 (a) | 208 | 231 |
Nidda BondCo GmbH (Germany) 7.25%, 9/30/2025 (c) | 68 | 74 |
Nidda Healthcare Holding GmbH (Germany) 7.50%, 8/21/2026 (c) | 780 | 874 |
Organon & Co. | ||
2.88%, 4/30/2028 (c) | 300 | 305 |
4.13%, 4/30/2028 (a) | 310 | 286 |
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063 | 315 | 296 |
Rossini SARL (Italy) 6.75%, 10/30/2025 (c) | 120 | 130 |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | 1,930 | 1,415 |
8,121 | ||
Professional Services — 0.0% ^ | ||
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (a) | 205 | 191 |
Real Estate Management & Development — 0.0% ^ | ||
Anywhere Real Estate Group LLC 5.25%, 4/15/2030 (a) | 105 | 69 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Real Estate Management & Development — continued | ||
Country Garden Holdings Co. Ltd. (China) | ||
3.13%, 10/22/2025 (c) (j) | 1,072 | 88 |
7.25%, 4/8/2026 (c) (j) | 1,540 | 127 |
284 | ||
Retail REITs — 0.1% | ||
NNN REIT, Inc. 5.50%, 6/15/2034 | 280 | 276 |
Regency Centers LP 2.95%, 9/15/2029 | 320 | 286 |
562 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 5 | 5 |
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 150 | 155 |
Broadcom, Inc. | ||
3.42%, 4/15/2033 (a) | 1,675 | 1,431 |
3.14%, 11/15/2035 (a) | 510 | 405 |
Entegris, Inc. | ||
4.38%, 4/15/2028 (a) | 90 | 84 |
5.95%, 6/15/2030 (a) | 200 | 197 |
Marvell Technology, Inc. 5.95%, 9/15/2033 | 1,515 | 1,555 |
NXP BV (China) 2.50%, 5/11/2031 | 2,968 | 2,466 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 113 | 103 |
Synaptics, Inc. 4.00%, 6/15/2029 (a) | 25 | 22 |
Texas Instruments, Inc. 5.00%, 3/14/2053 | 140 | 131 |
6,554 | ||
Software — 0.2% | ||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 255 | 231 |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 150 | 137 |
Elastic NV 4.13%, 7/15/2029 (a) | 90 | 80 |
NCR Voyix Corp. 5.00%, 10/1/2028 (a) | 350 | 328 |
Oracle Corp. 3.60%, 4/1/2050 | 445 | 310 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 123 | 129 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 205 | 201 |
TeamSystem SpA (Italy) 3.50%, 2/15/2028 (c) | 200 | 206 |
1,622 | ||
Specialized REITs — 0.1% | ||
Crown Castle, Inc. 4.80%, 9/1/2028 | 740 | 722 |
Iron Mountain, Inc. | ||
5.25%, 3/15/2028 (a) | 100 | 96 |
4.50%, 2/15/2031 (a) | 215 | 192 |
1,010 | ||
Specialty Retail — 0.2% | ||
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (a) | 72 | 66 |
Dufry One BV (Switzerland) 2.00%, 2/15/2027 (c) | 200 | 203 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 75 | 65 |
PetSmart, Inc. | ||
4.75%, 2/15/2028 (a) | 350 | 325 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
7.75%, 2/15/2029 (a) | 300 | 287 |
Shiba Bidco SpA (Italy) 4.50%, 10/31/2028 (c) | 400 | 420 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 150 | 135 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 65 | 65 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 350 | 350 |
10.75%, 4/15/2027 (a) | 40 | 35 |
10.75%, 9/1/2029 (a) (b) | 225 | 218 |
2,169 | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
4.09%, 6/1/2029 | 92 | 85 |
8.25%, 12/15/2029 (a) | 31 | 33 |
8.50%, 7/15/2031 (a) | 107 | 114 |
Xerox Holdings Corp. 8.88%, 11/30/2029 (a) | 121 | 117 |
349 | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||
Birkenstock Financing SARL 5.25%, 4/30/2029 (c) | 580 | 632 |
CT Investment GmbH (Germany) 6.38%, 4/15/2030 (a) | 133 | 145 |
Hanesbrands, Inc. 9.00%, 2/15/2031 (a) | 35 | 36 |
813 | ||
Tobacco — 0.5% | ||
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 2,710 | 2,417 |
6.34%, 8/2/2030 | 1,260 | 1,314 |
7.08%, 8/2/2043 | 1,690 | 1,806 |
5,537 | ||
Trading Companies & Distributors — 0.1% | ||
EquipmentShare.com, Inc. | ||
9.00%, 5/15/2028 (a) | 105 | 108 |
8.63%, 5/15/2032 (a) | 95 | 98 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 110 | 108 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 80 | 75 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 95 | 95 |
6.38%, 3/15/2029 (a) | 68 | 68 |
6.63%, 3/15/2032 (a) | 40 | 40 |
592 | ||
Transportation Infrastructure — 0.2% | ||
Abertis Infraestructuras Finance BV (Spain) | ||
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (c) (g) (h) (i) | 600 | 632 |
(EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (c) (g) (h) (i) | 400 | 407 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Transportation Infrastructure — continued | ||
Mundys SpA (Italy) | ||
1.88%, 7/13/2027 (c) | 200 | 202 |
1.88%, 2/12/2028 (c) | 370 | 366 |
1,607 | ||
Wireless Telecommunication Services — 0.8% | ||
Altice France Holding SA (Luxembourg) | ||
8.00%, 5/15/2027 (c) | 141 | 48 |
4.00%, 2/15/2028 (c) | 300 | 85 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 75 | 31 |
Matterhorn Telecom SA (Luxembourg) 3.13%, 9/15/2026 (c) | 300 | 316 |
PLT VII Finance SARL (Luxembourg) | ||
4.63%, 1/5/2026 (c) | 670 | 725 |
6.00%, 6/15/2031 (a) (b) | 552 | 596 |
Telefonica Europe BV (Spain) (EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (c) (g) (h) (i) | 1,300 | 1,467 |
T-Mobile USA, Inc. | ||
2.63%, 2/15/2029 | 177 | 157 |
3.38%, 4/15/2029 | 1,460 | 1,336 |
2.55%, 2/15/2031 | 433 | 365 |
2.25%, 11/15/2031 | 2,586 | 2,098 |
Vodafone Group plc (United Kingdom) | ||
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (c) (i) | 900 | 962 |
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (c) (i) | 200 | 196 |
8,382 | ||
Total Corporate Bonds (Cost $458,124) | 434,159 | |
Asset-Backed Securities — 19.5% | ||
ACC Trust Series 2021-1, Class D, 5.25%, 3/22/2027 (a) | 896 | 638 |
Accelerated LLC | ||
Series 2021-1H, Class A, 1.35%, 10/20/2040 (a) | 123 | 113 |
Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 164 | 150 |
Series 2021-1H, Class C, 2.35%, 10/20/2040 (a) | 718 | 657 |
Affirm Asset Securitization Trust Series 2023-A, Class 1A, 6.61%, 1/18/2028 (a) | 3,085 | 3,096 |
AIMCO CLO Ltd. (Cayman Islands) Series 2019-10A, Class AR, 6.65%, 7/22/2032 (a) (e) | 250 | 250 |
American Credit Acceptance Receivables Trust | ||
Series 2024-1, Class B, 5.60%, 11/12/2027 (a) | 2,000 | 1,993 |
Series 2023-4, Class B, 6.63%, 2/14/2028 (a) | 2,127 | 2,145 |
Series 2022-1, Class E, 3.64%, 3/13/2028 (a) | 1,063 | 1,029 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 2,333 | 2,327 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 884 | 880 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 780 | 780 |
Series 2023-2, Class C, 5.96%, 8/13/2029 (a) | 1,930 | 1,929 |
Series 2023-3, Class C, 6.44%, 10/12/2029 (a) | 1,944 | 1,953 |
Series 2023-3, Class D, 6.82%, 10/12/2029 (a) | 2,300 | 2,322 |
Series 2024-1, Class C, 5.63%, 1/14/2030 (a) | 1,000 | 993 |
Series 2024-2, Class D, 6.53%, 4/12/2030 (a) | 542 | 547 |
Series 2024-1, Class D, 5.86%, 5/13/2030 (a) | 2,975 | 2,944 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2023-4, Class D, 7.65%, 9/12/2030 (a) | 1,400 | 1,447 |
Amur Equipment Finance Receivables LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (a) | 440 | 438 |
Apidos CLO (Cayman Islands) Series 2020-34A, Class A1R, 6.74%, 1/20/2035 (a) (e) | 300 | 301 |
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2004-HE7, Class M2, 7.01%, 10/25/2034 (e) | 45 | 44 |
Avis Budget Rental Car Funding AESOP LLC | ||
Series 2019-2A, Class C, 4.24%, 9/22/2025 (a) | 280 | 279 |
Series 2020-1A, Class C, 3.02%, 8/20/2026 (a) | 2,751 | 2,654 |
Series 2023-1A, Class C, 6.23%, 4/20/2029 (a) | 635 | 630 |
Series 2023-8A, Class C, 7.34%, 2/20/2030 (a) | 1,200 | 1,241 |
Series 2024-3A, Class A, 5.23%, 12/20/2030 (a) | 814 | 801 |
Series 2024-3A, Class B, 5.58%, 12/20/2030 (a) | 384 | 379 |
Series 2024-3A, Class C, 6.11%, 12/20/2030 (a) | 359 | 354 |
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class AR, 6.72%, 4/19/2034 (a) (e) | 1,000 | 1,002 |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2021-4A, Class B, 7.24%, 10/20/2034 (a) (e) | 1,650 | 1,650 |
Ballyrock CLO Ltd. (Cayman Islands) Series 2020-2A, Class A2R, 7.14%, 10/20/2031 (a) (e) | 2,600 | 2,602 |
Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class C, 6.82%, 12/26/2031 (a) (e) | 233 | 233 |
BHG Securitization Trust Series 2021-B, Class A, 0.90%, 10/17/2034 (a) | 69 | 68 |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | 299 | 298 |
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class B, 6.80%, 8/15/2029 | 663 | 673 |
Business Jet Securities LLC Series 2024-1A, Class A, 6.20%, 5/15/2039 (a) | 1,768 | 1,776 |
Buttermilk Park CLO Ltd. (Cayman Islands) | ||
Series 2018-1A, Class B1R, 0.00%, 10/15/2031 (a) (b) (e) | 392 | 392 |
Series 2018-1A, Class CR, 0.00%, 10/15/2031 (a) (b) (e) | 1,413 | 1,413 |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | ||
Series 2015-4A, Class A2RR, 7.17%, 7/20/2032 (a) (e) | 400 | 400 |
Series 2015-4A, Class BRR, 7.77%, 7/20/2032 (a) (e) | 425 | 424 |
CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (a) | 892 | 692 |
CIFC Funding Ltd. (Cayman Islands) Series 2021-4A, Class A, 6.64%, 7/15/2033 (a) (e) | 1,000 | 1,002 |
Commonbond Student Loan Trust | ||
Series 2018-AGS, Class B, 3.58%, 2/25/2044 (a) | 267 | 239 |
Series 2018-AGS, Class C, 3.82%, 2/25/2044 (a) | 47 | 37 |
Conn's Receivables Funding LLC | ||
Series 2022-A, Class B, 9.52%, 12/15/2026 (a) | 107 | 107 |
Series 2023-A, Class A, 8.01%, 1/17/2028 (a) | 135 | 135 |
Countrywide Asset-Backed Certificates | ||
Series 2002-4, Class M1, 6.56%, 12/25/2032 (e) | 318 | 316 |
Series 2004-ECC2, Class M2, 6.41%, 12/25/2034 (e) | 3 | 4 |
Credit Acceptance Auto Loan Trust | ||
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | 404 | 399 |
Series 2024-1A, Class A, 5.68%, 3/15/2034 (a) | 753 | 753 |
Series 2024-1A, Class B, 6.03%, 5/15/2034 (a) | 663 | 664 |
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | 870 | 879 |
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 6.26%, 3/25/2034 (e) | 44 | 45 |
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.51%, 10/15/2030 (a) (e) | 1,262 | 1,264 |
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I, 4.12%, 7/25/2048 (a) | 682 | 665 |
Drive Auto Receivables Trust Series 2024-1, Class C, 5.43%, 11/17/2031 | 2,572 | 2,558 |
Dryden CLO Ltd. (Cayman Islands) Series 2019-68A, Class AR, 6.76%, 7/15/2035 (a) (e) | 3,870 | 3,878 |
Dryden Senior Loan Fund (Cayman Islands) Series 2014-36A, Class AR3, 6.61%, 4/15/2029 (a) (e) | 500 | 501 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
DT Auto Owner Trust | ||
Series 2022-1A, Class D, 3.40%, 12/15/2027 (a) | 969 | 938 |
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a) | 1,000 | 937 |
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | 1,477 | 1,482 |
Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class BR, 7.07%, 7/20/2037 (a) (e) | 1,355 | 1,357 |
Exeter Automobile Receivables Trust | ||
Series 2023-1A, Class B, 5.72%, 4/15/2027 | 533 | 532 |
Series 2023-1A, Class C, 5.82%, 2/15/2028 | 580 | 578 |
Series 2023-3A, Class C, 6.21%, 6/15/2028 | 2,232 | 2,239 |
Series 2023-4A, Class C, 6.51%, 8/15/2028 | 1,840 | 1,855 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 2,100 | 2,111 |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | 1,050 | 1,045 |
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a) | 1,500 | 1,420 |
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a) | 1,553 | 1,542 |
FHF Trust Series 2022-2A, Class A, 6.14%, 12/15/2027 (a) | 825 | 822 |
First Franklin Mortgage Loan Trust Series 2004-FF5, Class A1, 6.16%, 8/25/2034 (e) | — | — |
Flagship Credit Auto Trust | ||
Series 2022-3, Class A3, 4.55%, 4/15/2027 (a) | 1,054 | 1,048 |
Series 2023-1, Class A3, 5.01%, 8/16/2027 (a) | 328 | 325 |
Series 2023-1, Class B, 5.05%, 1/18/2028 (a) | 246 | 243 |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | 2,025 | 1,988 |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 500 | 493 |
Series 2021-3, Class E, 3.32%, 12/15/2028 (a) | 1,700 | 1,405 |
FREED ABS Trust Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 1,465 | 1,465 |
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.56%, 10/15/2030 (a) (e) | 210 | 210 |
GLS Auto Receivables Issuer Trust | ||
Series 2022-3A, Class B, 4.92%, 1/15/2027 (a) | 130 | 129 |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 1,075 | 1,020 |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | 650 | 634 |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (a) | 2,700 | 2,601 |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a) | 1,800 | 1,798 |
Series 2022-3A, Class C, 5.34%, 6/15/2028 (a) | 217 | 215 |
Series 2022-3A, Class D, 6.42%, 6/15/2028 (a) | 160 | 161 |
Series 2021-3A, Class E, 3.20%, 10/16/2028 (a) | 1,130 | 1,053 |
GM Financial Automobile Leasing Trust Series 2023-1, Class A3, 5.16%, 4/20/2026 | 643 | 641 |
Hertz Vehicle Financing LLC | ||
Series 2023-1A, Class A, 5.49%, 6/25/2027 (a) | 1,200 | 1,195 |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a) | 876 | 874 |
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | 1,400 | 1,402 |
Hertz Vehicle Financing LP | ||
Series 2021-2A, Class A, 1.68%, 12/27/2027 (a) | 2,000 | 1,814 |
Series 2021-2A, Class B, 2.12%, 12/27/2027 (a) | 1,393 | 1,260 |
Series 2021-2A, Class C, 2.52%, 12/27/2027 (a) | 1,726 | 1,556 |
JetBlue Pass-Through Trust | ||
Series 2019-1, Class B, 8.00%, 11/15/2027 | 139 | 141 |
Series 2019-1, Class A, 2.95%, 5/15/2028 | 139 | 123 |
Series 2020-1, Class B, 7.75%, 11/15/2028 | 95 | 98 |
KKR Financial CLO Ltd. (Cayman Islands) Series 2013-1A, Class A2R2, 6.77%, 4/15/2029 (a) (e) | 536 | 536 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
KREF Ltd. Series 2021-FL2, Class A, 6.51%, 2/15/2039 (a) (e) | 2,330 | 2,291 |
Lendingpoint Asset Securitization Trust | ||
Series 2021-B, Class C, 3.21%, 2/15/2029 (a) | 1,011 | 957 |
Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 1,000 | 706 |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 144 | 143 |
Series 2022-C, Class B, 7.46%, 2/15/2030 (a) | 926 | 925 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 303 | 296 |
Lendmark Funding Trust Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 270 | 246 |
LL ABS Trust | ||
Series 2020-1A, Class C, 6.54%, 1/17/2028 (a) | 110 | 110 |
Series 2021-1A, Class C, 3.54%, 5/15/2029 (a) | 500 | 470 |
Madison Park Funding Ltd. (Cayman Islands) Series 2020-45A, Class AR, 6.71%, 7/15/2034 (a) (e) | 250 | 250 |
Magnetite Ltd. (Cayman Islands) | ||
Series 2016-17A, Class BR2, 7.27%, 4/20/2037 (a) (e) | 1,932 | 1,936 |
Series 2024-40A, Class B1, 0.00%, 7/15/2037 (a) (b) (e) | 2,300 | 2,300 |
Marlette Funding Trust | ||
Series 2021-2A, Class C, 1.50%, 9/15/2031 (a) | 190 | 188 |
Series 2021-2A, Class D, 2.16%, 9/15/2031 (a) | 300 | 287 |
Series 2023-1A, Class A, 6.07%, 4/15/2033 (a) | 417 | 417 |
Mid-State Capital Corp. Trust Series 2006-1, Class M2, 6.74%, 10/15/2040 (a) | 1,288 | 1,276 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2004-NC7, Class M3, 6.41%, 7/25/2034 (e) | 65 | 65 |
Series 2004-HE7, Class M2, 6.38%, 8/25/2034 (e) | 26 | 25 |
Series 2004-HE8, Class M2, 6.46%, 9/25/2034 (e) | 80 | 80 |
Series 2005-NC1, Class M3, 6.20%, 1/25/2035 (e) | 347 | 329 |
MVW LLC Series 2021-1WA, Class D, 3.17%, 1/22/2041 (a) | 642 | 589 |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.51%, 10/15/2029 (a) (e) | 203 | 203 |
Neuberger Berman CLO Ltd. (Cayman Islands) Series 2016-22A, Class BR2, 7.30%, 4/15/2038 (a) (e) | 480 | 480 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2019-31A, Class AR, 6.63%, 4/20/2031 (a) (e) | 2,400 | 2,405 |
New Century Home Equity Loan Trust | ||
Series 2004-2, Class M2, 6.37%, 8/25/2034 (e) | 30 | 30 |
Series 2004-4, Class M2, 6.23%, 2/25/2035 (e) | 81 | 82 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 711 | 671 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 543 | 509 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 524 | 486 |
OCP CLO Ltd. (Cayman Islands) | ||
Series 2014-6A, Class A2R2, 6.82%, 10/17/2030 (a) (e) | 2,006 | 2,010 |
Series 2014-6A, Class BR2, 7.22%, 10/17/2030 (a) (e) | 618 | 618 |
Series 2018-15A, Class A1, 6.69%, 7/20/2031 (a) (e) | 1,034 | 1,036 |
Octagon Investment Partners Ltd. (Cayman Islands) | ||
Series 2013-1A, Class A1RR, 6.56%, 7/19/2030 (a) (e) | 1,857 | 1,858 |
Series 2018-18A, Class A1A, 6.55%, 4/16/2031 (a) (e) | 1,086 | 1,087 |
Series 2019-1A, Class BR, 7.17%, 10/25/2032 (a) (e) | 2,039 | 2,041 |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | 1,404 | 1,426 |
OneMain Financial Issuance Trust Series 2023-2A, Class A2, 6.82%, 9/15/2036 (a) (e) | 2,738 | 2,783 |
Oportun Issuance Trust | ||
Series 2022-2, Class D, 11.34%, 10/9/2029 | 863 | 837 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2021-B, Class A, 1.47%, 5/8/2031 (a) | 2,538 | 2,398 |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 1,311 | 1,242 |
Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | 2,300 | 2,177 |
Option One Mortgage Loan Trust Series 2004-3, Class M3, 6.41%, 11/25/2034 (e) | 18 | 18 |
Pagaya AI Debt Selection Trust | ||
Series 2021-HG1, Class B, 1.82%, 1/16/2029 (a) | 165 | 157 |
Series 2021-3, Class C, 3.27%, 5/15/2029 (a) | 2,820 | 2,463 |
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.72%, 5/21/2034 (a) (e) | 1,660 | 1,664 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2021-4A, Class A1, 6.39%, 10/15/2029 (a) (e) | 416 | 416 |
Series 2021-4A, Class C, 8.19%, 10/15/2029 (a) (e) | 1,606 | 1,598 |
Series 2024-3A, Class A2, 0.00%, 8/8/2032 (a) (b) (e) | 1,530 | 1,530 |
Series 2024-3A, Class B, 0.00%, 8/8/2032 (a) (b) (e) | 1,600 | 1,600 |
PMT Issuer Trust-FMSR Series 2021-FT1, Class A, 8.44%, 3/25/2026 (a) (e) | 1,940 | 1,960 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (k) | 1,083 | 1,051 |
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (a) (k) | 832 | 751 |
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (a) (k) | 2,500 | 2,316 |
Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (a) (e) | 2,500 | 2,380 |
Series 2024-RN1, Class A1, 7.14%, 3/25/2054 (a) (k) | 777 | 772 |
Series 2024-NPL3, Class A1, 7.52%, 4/27/2054 (a) (k) | 1,100 | 1,102 |
Progress Residential Trust Series 2021-SFR9, Class A, 2.01%, 11/17/2040 (a) | 3,249 | 2,817 |
PRPM LLC | ||
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (k) | 1,644 | 1,598 |
Series 2021-6, Class A2, 3.47%, 7/25/2026 (a) (k) | 275 | 260 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (k) | 1,762 | 1,705 |
Series 2021-11, Class A2, 4.58%, 11/25/2026 (a) (k) | 2,400 | 2,316 |
Renaissance Home Equity Loan Trust | ||
Series 2005-1, Class AF6, 5.47%, 5/25/2035 (k) | 49 | 48 |
Series 2005-2, Class M1, 5.55%, 8/25/2035 (k) | 1,183 | 1,076 |
Republic Finance Issuance Trust | ||
Series 2020-A, Class A, 2.47%, 11/20/2030 (a) | 118 | 117 |
Series 2021-A, Class D, 5.23%, 12/22/2031 (a) | 1,500 | 1,358 |
Santander Drive Auto Receivables Trust | ||
Series 2022-5, Class C, 4.74%, 10/16/2028 | 1,328 | 1,312 |
Series 2022-6, Class C, 4.96%, 11/15/2028 | 323 | 320 |
Series 2023-4, Class B, 5.77%, 12/15/2028 | 894 | 898 |
Series 2022-4, Class C, 5.00%, 11/15/2029 | 3,505 | 3,451 |
Series 2023-3, Class C, 5.77%, 11/15/2030 | 360 | 361 |
Santander Revolving Auto Loan Trust | ||
Series 2019-A, Class A, 2.51%, 1/26/2032 (a) | 820 | 807 |
Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | 2,910 | 2,863 |
SBA Small Business Investment Cos. | ||
Series 2023-10A, Class 1, 5.17%, 3/10/2033 | 2,636 | 2,620 |
Series 2023-10B, Class 1, 5.69%, 9/10/2033 | 1,172 | 1,195 |
Series 2024-10A, Class 1, 5.04%, 3/10/2034 | 2,000 | 1,971 |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a) | 122 | 122 |
Structured Asset Investment Loan Trust Series 2004-8, Class M2, 6.37%, 9/25/2034 (e) | 90 | 83 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-WF2, Class M2, 6.07%, 5/25/2035 (e) | 119 | 118 |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2015-16A, Class B1RR, 7.02%, 10/15/2031 (a) (e) | 976 | 976 |
Series 2020-23A, Class AR, 6.61%, 1/15/2034 (a) (e) | 1,068 | 1,069 |
Theorem Funding Trust Series 2022-2A, Class B, 9.27%, 12/15/2028 (a) | 2,000 | 2,049 |
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 | 498 |
United Airlines Pass-Through Trust Series 2013-1, Class A, 4.30%, 8/15/2025 | 790 | 773 |
Upstart Pass-Through Trust | ||
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | 365 | 354 |
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a) | 97 | 95 |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | 254 | 252 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 240 | 237 |
Upstart Securitization Trust | ||
Series 2021-2, Class C, 3.61%, 6/20/2031 (a) | 823 | 808 |
Series 2021-3, Class C, 3.28%, 7/20/2031 (a) | 1,200 | 1,160 |
Series 2021-5, Class C, 4.15%, 11/20/2031 (a) | 5,476 | 5,177 |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 582 | 580 |
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (a) | 1,877 | 1,736 |
Westlake Automobile Receivables Trust | ||
Series 2020-3A, Class E, 3.34%, 6/15/2026 (a) | 120 | 119 |
Series 2021-2A, Class D, 1.23%, 12/15/2026 (a) | 660 | 637 |
Series 2022-2A, Class C, 4.85%, 9/15/2027 (a) | 1,192 | 1,180 |
Series 2024-1A, Class C, 5.65%, 2/15/2029 (a) | 657 | 654 |
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a) | 1,265 | 1,272 |
Series 2024-1A, Class D, 6.02%, 10/15/2029 (a) | 544 | 543 |
Total Asset-Backed Securities (Cost $209,287) | 205,451 | |
Mortgage-Backed Securities — 14.8% | ||
FHLMC Gold Pools, Other | ||
Pool # WN2453, 4.62%, 5/1/2028 | 2,000 | 1,963 |
Pool # WN2492, 4.93%, 6/1/2028 | 870 | 860 |
Pool # WN2493, 4.94%, 9/1/2028 | 580 | 574 |
FNMA UMBS, 30 Year Pool # MA4783, 4.00%, 10/1/2052 | 10,999 | 9,991 |
FNMA, Other | ||
Pool # BS9065, 4.62%, 7/1/2028 | 1,600 | 1,572 |
Pool # BF0263, 3.50%, 5/1/2058 | 1,002 | 876 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 4.50%, 6/25/2054 (b) | 70,455 | 65,970 |
TBA, 5.50%, 6/25/2054 (b) | 20,864 | 20,526 |
GNMA II, Single Family, 30 Year | ||
TBA, 5.00%, 6/15/2054 (b) | 51,987 | 50,455 |
TBA, 5.50%, 6/15/2054 (b) | 3,500 | 3,472 |
Total Mortgage-Backed Securities (Cost $157,176) | 156,259 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — 7.3% | ||
Arab Republic of Egypt 7.63%, 5/29/2032 (c) | 1,180 | 1,009 |
Czech Republic | ||
4.50%, 11/11/2032 | CZK73,540 | 3,259 |
4.90%, 4/14/2034 | CZK60,550 | 2,760 |
1.95%, 7/30/2037 | CZK74,410 | 2,470 |
Dominican Republic Government Bond | ||
6.88%, 1/29/2026 (c) | 900 | 911 |
5.30%, 1/21/2041 (a) | 790 | 669 |
5.30%, 1/21/2041 (c) | 500 | 423 |
Federal Republic of Nigeria | ||
6.50%, 11/28/2027 (c) | 770 | 719 |
7.38%, 9/28/2033 (a) | 527 | 439 |
Hungary Government Bond | ||
5.50%, 3/26/2036 (a) | 1,233 | 1,174 |
6.75%, 9/25/2052 (a) | 639 | 679 |
Istanbul Metropolitan Municipality | ||
6.38%, 12/9/2025 (c) | 530 | 520 |
10.50%, 12/6/2028 (c) | 480 | 515 |
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (a) | 2,331 | 2,030 |
Lebanese Republic 6.38%, 3/9/2020 (j) | 1,280 | 88 |
Mex Bonos Desarr Fix Rt | ||
7.75%, 5/29/2031 | MXN212,240 | 11,197 |
7.50%, 5/26/2033 | MXN81,000 | 4,125 |
8.00%, 5/24/2035 | MXN120,760 | 6,200 |
Notas do Tesouro Nacional 10.00%, 1/1/2027 | BRL45,000 | 8,370 |
Oriental Republic of Uruguay 5.10%, 6/18/2050 | 136 | 127 |
Republic of Angola | ||
8.00%, 11/26/2029 (c) | 530 | 481 |
8.75%, 4/14/2032 (a) | 561 | 501 |
Republic of Colombia | ||
3.13%, 4/15/2031 | 1,000 | 782 |
7.50%, 2/2/2034 | 730 | 723 |
5.20%, 5/15/2049 | 645 | 451 |
8.75%, 11/14/2053 | 355 | 371 |
Republic of Costa Rica 7.30%, 11/13/2054 (a) | 895 | 937 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (c) | 1,190 | 1,158 |
6.13%, 6/15/2033 (c) | 651 | 579 |
6.88%, 10/17/2040 (a) | EUR1,880 | 1,735 |
Republic of Iraq 5.80%, 1/15/2028 (c) | 935 | 887 |
Republic of North Macedonia 2.75%, 1/18/2025 (c) | EUR1,110 | 1,181 |
Republic of Paraguay | ||
4.95%, 4/28/2031 (a) | 1,160 | 1,101 |
3.85%, 6/28/2033 (a) | 208 | 180 |
5.60%, 3/13/2048 (c) | 820 | 724 |
5.40%, 3/30/2050 (a) | 470 | 402 |
Republic of Poland | ||
6.00%, 10/25/2033 | PLN13,350 | 3,459 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
5.13%, 9/18/2034 | 1,473 | 1,437 |
5.50%, 3/18/2054 | 1,276 | 1,223 |
Republic of Senegal 6.25%, 5/23/2033 (c) | 424 | 359 |
Republic of South Africa | ||
5.00%, 10/12/2046 | 2,560 | 1,722 |
5.75%, 9/30/2049 | 390 | 280 |
Republic of Turkey 7.63%, 5/15/2034 | 726 | 728 |
Romania Government Bond | ||
6.38%, 1/30/2034 (a) | 712 | 710 |
4.63%, 4/3/2049 (a) | EUR997 | 913 |
7.63%, 1/17/2053 (a) | 372 | 403 |
Sultanate of Oman Government Bond 6.25%, 1/25/2031 (c) | 1,900 | 1,947 |
United Arab Emirates Government Bond 4.00%, 7/28/2050 (a) | 1,180 | 754 |
United Mexican States | ||
4.49%, 5/25/2032 | EUR638 | 690 |
6.35%, 2/9/2035 | 628 | 634 |
3.77%, 5/24/2061 | 1,378 | 857 |
3.75%, 4/19/2071 | 1,815 | 1,105 |
Total Foreign Government Securities (Cost $83,211) | 77,098 | |
Commercial Mortgage-Backed Securities — 6.6% | ||
A10 Revolving Asset Financing I LLC 11.59%, 2/10/2028 ‡ (a) (e) | 6,000 | 5,999 |
BANK | ||
Series 2018-BN13, Class C, 4.54%, 8/15/2061 (e) | 509 | 443 |
Series 2019-BN20, Class XA, IO, 0.81%, 9/15/2062 (e) | 3,702 | 126 |
Series 2021-BN35, Class XB, IO, 0.59%, 6/15/2064 (e) | 17,700 | 635 |
BBCMS Mortgage Trust | ||
Series 2022-C15, Class A2, 3.61%, 4/15/2055 | 2,736 | 2,615 |
Series 2022-C15, Class AS, 3.75%, 4/15/2055 (e) | 1,960 | 1,655 |
Benchmark Mortgage Trust | ||
Series 2019-B11, Class C, 3.75%, 5/15/2052 (e) | 1,679 | 1,252 |
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 1,485 | 1,376 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (e) | 3,075 | 3,075 |
BMO Mortgage Trust Series 2024-5C3, Class AS, 6.29%, 2/15/2057 (e) | 2,030 | 2,061 |
Braemar Hotels & Resorts Trust Series 2018-PRME, Class C, 6.74%, 6/15/2035 (a) (e) | 1,200 | 1,184 |
BX Commercial Mortgage Trust | ||
Series 2021-VINO, Class A, 6.08%, 5/15/2038 (a) (e) | 1,788 | 1,775 |
Series 2024-MF, Class A, 6.76%, 2/15/2039 (a) (e) | 2,070 | 2,073 |
BX Trust Series 2022-LBA6, Class A, 6.32%, 1/15/2039 (a) (e) | 3,400 | 3,385 |
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.04%, 2/28/2025 (a) (e) | 4,000 | 3,807 |
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (e) | 152 | 134 |
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (e) | 95 | 73 |
Citigroup Commercial Mortgage Trust Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 1,400 | 1,312 |
Commercial Mortgage Trust | ||
Series 2015-CR26, Class D, 3.46%, 10/10/2048 (e) | 200 | 158 |
Series 2015-PC1, Class C, 4.28%, 7/10/2050 (e) | 1,046 | 954 |
ELM Trust Series 2024-ELM, Class C10, 1.00%, 6/10/2027 ‡ (a) (b) (e) | 680 | 680 |
FHLMC Series 2023-MN7, Class M1, 8.92%, 9/25/2043 (a) (e) | 1,545 | 1,574 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K729, Class X1, IO, 0.33%, 10/25/2024 (e) | 15,266 | 9 |
Series K739, Class X1, IO, 1.20%, 9/25/2027 (e) | 17,951 | 528 |
Series K742, Class X1, IO, 0.77%, 3/25/2028 (e) | 4,964 | 96 |
Series K127, Class X1, IO, 0.33%, 1/25/2031 (e) | 65,703 | 1,082 |
Series K125, Class X1, IO, 0.58%, 1/25/2031 (e) | 18,274 | 550 |
Series K131, Class X3, IO, 2.95%, 9/25/2031 (e) | 767 | 123 |
Series K070, Class X3, IO, 2.04%, 12/25/2044 (e) | 2,152 | 128 |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (e) | 3,940 | 264 |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (e) | 6,650 | 614 |
Series K737, Class X3, IO, 1.77%, 1/25/2048 (e) | 3,150 | 125 |
Series K121, Class X3, IO, 2.77%, 11/25/2048 (e) | 5,100 | 719 |
Series K127, Class X3, IO, 2.65%, 3/25/2049 (e) | 5,100 | 701 |
Series K147, Class X3, IO, 3.80%, 6/25/2050 (e) | 4,600 | 1,045 |
FNMA ACES Series 2019-M1, Class A2, 3.55%, 9/25/2028 (e) | 1,036 | 985 |
FREMF Series 2018-KF46, Class B, 7.39%, 3/25/2028 (a) (e) | 1,066 | 989 |
FREMF Mortgage Trust | ||
Series 2018-KF45, Class B, 7.39%, 3/25/2025 (a) (e) | 93 | 91 |
Series 2018-KF47, Class B, 7.44%, 5/25/2025 (a) (e) | 101 | 99 |
Series 2019-KC03, Class B, 4.37%, 1/25/2026 (a) (e) | 1,500 | 1,431 |
Series 2018-KF48, Class B, 7.49%, 6/25/2028 (a) (e) | 480 | 449 |
GNMA | ||
Series 2012-89, IO, 0.10%, 12/16/2053 (e) | 2,994 | 2 |
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (e) | 9,121 | 452 |
Series 2019-155, IO, 0.53%, 7/16/2061 (e) | 9,671 | 373 |
Series 2021-106, IO, 0.86%, 4/16/2063 (e) | 20,028 | 1,315 |
Series 2021-133, IO, 0.88%, 7/16/2063 (e) | 10,519 | 702 |
GS Mortgage Securities Trust Series 2015-GC30, Class C, 4.07%, 5/10/2050 (e) | 190 | 172 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class B, 4.23%, 7/15/2048 (e) | 1,825 | 1,687 |
Series 2015-C30, Class C, 4.23%, 7/15/2048 (e) | 266 | 211 |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (e) | 124 | 105 |
JPMCC Commercial Mortgage Securities Trust Series 2019-COR4, Class A5, 4.03%, 3/10/2052 | 1,015 | 925 |
JPMDB Commercial Mortgage Securities Trust Series 2018-C8, Class A3, 3.94%, 6/15/2051 | 1,091 | 1,032 |
JPMorgan Chase Commercial Mortgage Securities Trust | ||
Series 2016-JP3, Class C, 3.42%, 8/15/2049 (e) | 276 | 233 |
Series 2016-JP4, Class C, 3.38%, 12/15/2049 (e) | 152 | 121 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (e) | 2,817 | 1,074 |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class C, 4.32%, 5/15/2048 (e) | 190 | 172 |
Morgan Stanley Capital I Trust | ||
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (e) | 147 | 138 |
Series 2019-L2, Class C, 4.97%, 3/15/2052 (e) | 978 | 828 |
Series 2021-L5, Class XA, IO, 1.29%, 5/15/2054 (e) | 10,715 | 621 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | 230 | 144 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (e) | 4,390 | 4,401 |
Series 2023-01, Class M7, 9.32%, 11/25/2053 (a) (e) | 898 | 929 |
SDR Commercial Mortgage Trust Series 2024-DSNY, Class A, 6.69%, 5/15/2039 (a) (e) | 1,705 | 1,707 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Velocity Commercial Capital Loan Trust | ||
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (e) | 649 | 617 |
Series 2019-1, Class A, 3.76%, 3/25/2049 (a) (e) | 322 | 299 |
Series 2019-3, Class A, 3.03%, 10/25/2049 (a) (e) | 711 | 675 |
Series 2020-1, Class AFX, 2.61%, 2/25/2050 (a) (e) | 635 | 572 |
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (e) | 866 | 825 |
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (e) | 2,428 | 2,324 |
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class F, 4.97%, 10/15/2044 (a) (e) | 672 | 30 |
Total Commercial Mortgage-Backed Securities (Cost $75,119) | 69,060 | |
Collateralized Mortgage Obligations — 4.5% | ||
Alternative Loan Trust | ||
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026 | 5 | 5 |
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034 | 88 | 86 |
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035 | 155 | 138 |
Series 2004-28CB, Class 3A1, 6.00%, 1/25/2035 | 337 | 289 |
Series 2005-21CB, Class A17, 6.00%, 6/25/2035 | 645 | 492 |
American Home Mortgage Assets Trust Series 2006-6, Class A1A, 5.63%, 12/25/2046 (e) | 833 | 685 |
Angel Oak Mortgage Trust | ||
Series 2019-5, Class A1, 2.59%, 10/25/2049 (a) (e) | 662 | 640 |
Series 2020-1, Class A1, 2.47%, 12/25/2059 (a) (e) | 158 | 149 |
Series 2021-3, Class A1, 1.07%, 5/25/2066 (a) (e) | 2,568 | 2,132 |
Series 2021-3, Class A2, 1.31%, 5/25/2066 (a) (e) | 1,926 | 1,609 |
Banc of America Alternative Loan Trust Series 2006-2, Class 7A1, 6.00%, 3/25/2021 | 22 | 15 |
Banc of America Funding Trust Series 2006-A, Class 1A1, 5.72%, 2/20/2036 (e) | 121 | 111 |
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 5.63%, 2/25/2034 (e) | 86 | 83 |
Citigroup Mortgage Loan Trust Series 2005-9, Class 2A2, 5.50%, 11/25/2035 | 1 | 1 |
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (a) (k) | 786 | 788 |
COLT Trust Series 2021-RPL1, Class A1, 1.67%, 9/25/2061 (a) (e) | 1,375 | 1,219 |
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (a) (e) | 1,112 | 1,140 |
CSMC Mortgage-Backed Trust Series 2007-2, Class 3A13, 5.50%, 3/25/2037 | 232 | 109 |
CSMC Trust Series 2021-JR1, Class A1, 5.47%, 9/27/2066 (a) (e) | 1,206 | 1,190 |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (e) | 661 | 623 |
FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1B, 8.22%, 4/25/2042 (a) (e) | 580 | 603 |
FHLMC, REMIC | ||
Series 4043, Class PI, IO, 2.50%, 5/15/2027 | 945 | 24 |
Series 4086, Class AI, IO, 3.50%, 7/15/2027 | 308 | 9 |
Series 4120, Class UI, IO, 3.00%, 10/15/2027 | 335 | 11 |
Series 4216, Class MI, IO, 3.00%, 6/15/2028 | 179 | 6 |
Series 4178, Class BI, IO, 3.00%, 3/15/2033 | 569 | 45 |
Series 2936, Class AS, IF, IO, 0.66%, 2/15/2035 (e) | 131 | 5 |
Series 4018, Class HI, IO, 4.50%, 3/15/2041 | 741 | 39 |
Series 4073, Class IQ, IO, 4.00%, 7/15/2042 | 496 | 69 |
Series 4173, Class I, IO, 4.00%, 3/15/2043 | 1,561 | 244 |
Series 4305, Class SK, IF, IO, 1.16%, 2/15/2044 (e) | 745 | 79 |
Series 4612, Class QI, IO, 3.50%, 5/15/2044 | 2,224 | 268 |
Series 4687, Class SG, IF, IO, 0.71%, 1/15/2047 (e) | 2,341 | 264 |
Series 4681, Class SD, IF, IO, 0.71%, 5/15/2047 (e) | 5,263 | 574 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 5023, Class MI, IO, 3.00%, 10/25/2050 | 3,644 | 616 |
FNMA, REMIC | ||
Series 2012-109, Class WI, IO, 2.50%, 10/25/2027 | 440 | 13 |
Series 2012-149, Class MI, IO, 3.00%, 1/25/2028 | 354 | 10 |
Series 2003-130, Class NS, IF, IO, 1.56%, 1/25/2034 (e) | 330 | 22 |
Series 2005-67, Class SI, IF, IO, 1.26%, 8/25/2035 (e) | 266 | 9 |
Series 2005-69, Class AS, IF, IO, 1.26%, 8/25/2035 (e) | 64 | 5 |
Series 2006-24, Class QS, IF, IO, 1.76%, 4/25/2036 (e) | 232 | 16 |
Series 2010-68, Class SJ, IF, IO, 1.11%, 7/25/2040 (e) | 213 | 17 |
Series 2016-39, Class LS, IF, IO, 0.56%, 7/25/2046 (e) | 2,174 | 265 |
Series 2016-74, Class GS, IF, IO, 0.56%, 10/25/2046 (e) | 1,035 | 113 |
Series 2017-6, Class SB, IF, IO, 0.61%, 2/25/2047 (e) | 1,370 | 132 |
Series 2021-86, Class T, 2.50%, 9/25/2048 | 2,880 | 2,477 |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (a) (e) | 473 | 433 |
GCAT Trust | ||
Series 2020-NQM1, Class A1, 3.25%, 1/25/2060 (a) (k) | 297 | 282 |
Series 2021-NQM2, Class A1, 1.04%, 5/25/2066 (a) (e) | 2,288 | 1,895 |
Series 2021-NQM4, Class A1, 1.09%, 8/25/2066 (a) (e) | 1,690 | 1,350 |
GNMA | ||
Series 2014-36, Class WY, 2.00%, 3/16/2044 | 810 | 608 |
Series 2014-181, Class SL, IF, IO, 0.17%, 12/20/2044 (e) | 1,490 | 103 |
Series 2015-110, Class MS, IF, IO, 0.28%, 8/20/2045 (e) | 496 | 39 |
Series 2019-115, Class SD, IF, IO, 0.67%, 9/20/2049 (e) | 440 | 43 |
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | 14,091 | 1,912 |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | 4,523 | 714 |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | 4,997 | 763 |
Series 2021-117, Class ES, IF, IO, 0.87%, 7/20/2051 (e) | 5,775 | 712 |
Series 2015-H13, Class GI, IO, 1.54%, 4/20/2065 (e) | 544 | 12 |
GSR Mortgage Loan Trust Series 2004-15F, Class 1A2, 5.50%, 12/25/2034 | 399 | 284 |
IndyMac INDX Mortgage Loan Trust Series 2005-AR10, Class A1, 5.96%, 6/25/2035 (e) | 573 | 447 |
JPMorgan Mortgage Trust Series 2006-S2, Class 1A19, 6.00%, 7/25/2036 | 288 | 136 |
Lehman Mortgage Trust Series 2005-2, Class 2A5, 5.50%, 12/25/2035 | 211 | 121 |
LHOME Mortgage Trust Series 2024-RTL2, Class A1, 7.13%, 3/25/2029 (a) (k) | 1,025 | 1,029 |
MASTR Alternative Loan Trust Series 2004-12, Class 3A1, 6.00%, 12/25/2034 | 644 | 615 |
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (k) | 850 | 848 |
Morgan Stanley Mortgage Loan Trust | ||
Series 2004-4, Class 2A, 6.29%, 9/25/2034 (e) | 124 | 122 |
Series 2004-9, Class 1A, 5.29%, 11/25/2034 (e) | 63 | 62 |
New Residential Mortgage Loan Trust | ||
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (a) (e) | 619 | 560 |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (e) | 1,262 | 1,161 |
Series 2020-NQM1, Class A1, 2.46%, 1/26/2060 (a) (e) | 479 | 438 |
OBX Trust Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (k) | 1,338 | 1,329 |
PRET LLC Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 (a) (k) | 1,515 | 1,506 |
PRPM LLC | ||
Series 2024-1, Class A1, 6.96%, 2/25/2029 (a) (k) | 442 | 443 |
Series 2024-2, Class A1, 7.03%, 3/25/2029 (a) (k) | 793 | 793 |
Series 2021-RPL2, Class A1, 1.46%, 10/25/2051 (a) (e) | 949 | 846 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
RALI Trust Series 2006-QS4, Class A2, 6.00%, 4/25/2036 | 22 | 17 |
Residential Asset Securitization Trust Series 2005-A8CB, Class A11, 6.00%, 7/25/2035 | 199 | 124 |
Sequoia Mortgage Trust Series 2003-8, Class A1, 6.07%, 1/20/2034 (e) | 130 | 122 |
Starwood Mortgage Residential Trust Series 2020-1, Class A1, 2.27%, 2/25/2050 (a) (e) | 43 | 41 |
TDA CAM 4 FTA (Spain) Series 4, Class A, 3.99%, 6/26/2039 (c) (e) | 103 | 111 |
Verus Securitization Trust | ||
Series 2019-4, Class A1, 3.64%, 11/25/2059 (a) (k) | 370 | 359 |
Series 2019-INV3, Class A1, 3.69%, 11/25/2059 (a) (e) | 803 | 778 |
Series 2020-1, Class A1, 3.42%, 1/25/2060 (a) (k) | 98 | 93 |
Series 2021-6, Class A1, 1.63%, 10/25/2066 (a) (e) | 2,122 | 1,782 |
Series 2022-4, Class A1, 4.47%, 4/25/2067 (a) (k) | 325 | 315 |
Series 2023-2, Class A1, 6.19%, 3/25/2068 (a) (k) | 1,767 | 1,762 |
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (k) | 1,667 | 1,653 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (a) (e) | 3,511 | 3,446 |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-S3, Class 3A2, 5.50%, 5/25/2033 | 76 | 73 |
Total Collateralized Mortgage Obligations (Cost $51,797) | 47,721 | |
Convertible Bonds — 3.9% | ||
Aerospace & Defense — 0.1% | ||
Rocket Lab USA, Inc. 4.25%, 2/1/2029 (a) | 760 | 829 |
Air Freight & Logistics — 0.0% ^ | ||
Air Transport Services Group, Inc. 3.88%, 8/15/2029 (a) | 275 | 227 |
Automobiles — 0.1% | ||
Ford Motor Co. Zero Coupon, 3/15/2026 | 795 | 791 |
Broadline Retail — 0.1% | ||
Etsy, Inc. 0.13%, 10/1/2026 | 640 | 648 |
Communications Equipment — 0.1% | ||
Lumentum Holdings, Inc. 1.50%, 12/15/2029 (a) | 1,176 | 1,045 |
Construction & Engineering — 0.0% ^ | ||
Fluor Corp. 1.13%, 8/15/2029 (a) | 203 | 230 |
Consumer Finance — 0.1% | ||
SoFi Technologies, Inc. 1.25%, 3/15/2029 (a) | 1,240 | 1,175 |
Electric Utilities — 0.2% | ||
PG&E Corp. 4.25%, 12/1/2027 (a) | 1,400 | 1,443 |
Southern Co. (The) 4.50%, 6/15/2027 (a) | 770 | 784 |
2,227 | ||
Electronic Equipment, Instruments & Components — 0.1% | ||
Advanced Energy Industries, Inc. 2.50%, 9/15/2028 (a) | 1,047 | 1,076 |
Entertainment — 0.2% | ||
Eventbrite, Inc. 0.75%, 9/15/2026 | 325 | 284 |
Live Nation Entertainment, Inc. 3.13%, 1/15/2029 | 1,500 | 1,658 |
Sea Ltd. (Singapore) 2.38%, 12/1/2025 | 530 | 562 |
2,504 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Convertible Bonds — continued | ||
Financial Services — 0.1% | ||
Global Payments, Inc. 1.50%, 3/1/2031 (a) | 795 | 730 |
Ground Transportation — 0.1% | ||
Lyft, Inc. 0.63%, 3/1/2029 (a) | 1,040 | 1,067 |
Uber Technologies, Inc. Series 2028, 0.88%, 12/1/2028 (a) | 400 | 441 |
1,508 | ||
Health Care Equipment & Supplies — 0.0% ^ | ||
Integra LifeSciences Holdings Corp. 0.50%, 8/15/2025 | 150 | 140 |
Health Care Providers & Services — 0.0% ^ | ||
PetIQ, Inc. 4.00%, 6/1/2026 | 170 | 177 |
Hotel & Resort REITs — 0.1% | ||
Pebblebrook Hotel Trust 1.75%, 12/15/2026 | 570 | 501 |
Hotels, Restaurants & Leisure — 0.1% | ||
Airbnb, Inc. Zero Coupon, 3/15/2026 | 652 | 592 |
Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026 | 316 | 285 |
877 | ||
Household Products — 0.1% | ||
Spectrum Brands, Inc. 3.38%, 6/1/2029 (a) | 947 | 923 |
Interactive Media & Services — 0.1% | ||
Snap, Inc. | ||
0.75%, 8/1/2026 | 295 | 304 |
Zero Coupon, 5/1/2027 | 279 | 229 |
0.50%, 5/1/2030 (a) | 285 | 275 |
TripAdvisor, Inc. 0.25%, 4/1/2026 | 664 | 602 |
1,410 | ||
IT Services — 0.1% | ||
BigCommerce Holdings, Inc. 0.25%, 10/1/2026 | 1,580 | 1,361 |
Leisure Products — 0.1% | ||
Topgolf Callaway Brands Corp. 2.75%, 5/1/2026 | 745 | 833 |
Machinery — 0.1% | ||
Greenbrier Cos., Inc. (The) 2.88%, 4/15/2028 | 1,045 | 1,187 |
Passenger Airlines — 0.1% | ||
JetBlue Airways Corp. 0.50%, 4/1/2026 | 722 | 633 |
Southwest Airlines Co. 1.25%, 5/1/2025 | 585 | 577 |
1,210 | ||
Retail REITs — 0.1% | ||
Kite Realty Group LP 0.75%, 4/1/2027 (a) | 688 | 665 |
Semiconductors & Semiconductor Equipment — 0.8% | ||
ams-OSRAM AG (Austria) 2.13%, 11/3/2027 (c) | 600 | 513 |
Enphase Energy, Inc. Zero Coupon, 3/1/2028 | 1,220 | 1,057 |
Microchip Technology, Inc. 1.63%, 2/15/2027 | 305 | 845 |
MKS Instruments, Inc. 1.25%, 6/1/2030 (a) | 1,010 | 1,034 |
ON Semiconductor Corp. Zero Coupon, 5/1/2027 | 1,932 | 2,835 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Convertible Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
Veeco Instruments, Inc. 2.88%, 6/1/2029 | 838 | 1,296 |
Wolfspeed, Inc. | ||
0.25%, 2/15/2028 | 609 | 360 |
1.88%, 12/1/2029 | 275 | 153 |
8,093 | ||
Software — 0.7% | ||
Alarm.com Holdings, Inc. | ||
Zero Coupon, 1/15/2026 | 640 | 583 |
2.25%, 6/1/2029 (a) | 680 | 670 |
Bentley Systems, Inc. 0.13%, 1/15/2026 | 1,185 | 1,167 |
Box, Inc. Zero Coupon, 1/15/2026 | 917 | 1,076 |
Dropbox, Inc. Zero Coupon, 3/1/2028 | 1,293 | 1,172 |
Envestnet, Inc. 2.63%, 12/1/2027 | 570 | 625 |
Everbridge, Inc. Zero Coupon, 3/15/2026 | 359 | 353 |
Five9, Inc. 1.00%, 3/15/2029 (a) | 1,107 | 996 |
Nice Ltd. (Israel) Zero Coupon, 9/15/2025 | 709 | 668 |
7,310 | ||
Specialty Retail — 0.2% | ||
Wayfair, Inc. | ||
0.63%, 10/1/2025 | 640 | 600 |
3.25%, 9/15/2027 | 825 | 1,000 |
1,600 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Seagate HDD Cayman 3.50%, 6/1/2028 (a) | 1,155 | 1,455 |
Total Convertible Bonds (Cost $41,187) | 40,732 | |
Loan Assignments — 2.3% (i) (l) | ||
Automobile Components — 0.0% ^ | ||
Holley, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 11/17/2028 | 329 | 328 |
Beverages — 0.0% ^ | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 3/31/2028 | 110 | 110 |
Building Products — 0.1% | ||
Chamberlain Group LLC (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 11/3/2028 | 350 | 350 |
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 5/31/2030 (m) | 75 | 75 |
MIWD Holdco II LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 3.75%), 8.83%, 3/28/2031 | 600 | 604 |
Quikrete Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.58%, 3/19/2029 (m) | 490 | 492 |
1,521 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/21/2028 | 240 | 241 |
Construction & Engineering — 0.1% | ||
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/21/2028 | 132 | 132 |
Zekelman Industries, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.57%, 1/24/2031 (m) | 600 | 601 |
733 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Containers & Packaging — 0.1% | ||
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 9/24/2028 | 515 | 515 |
Tekni-Plex, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 9.57%, 9/15/2028 | 338 | 339 |
854 | ||
Financial Services — 0.1% | ||
GTCR W Merger Sub LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.31%, 1/31/2031 | 509 | 510 |
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.18%, 3/27/2029 (m) | 250 | 252 |
NorthRiver Midstream, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.80%, 8/16/2030 | 585 | 587 |
1,349 | ||
Ground Transportation — 0.1% | ||
First Student Bidco, Inc., Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.40%, 7/21/2028 (m) | 400 | 401 |
Genesee & Wyoming, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.30%, 4/10/2031 (m) | 600 | 601 |
1,002 | ||
Health Care Equipment & Supplies — 0.0% ^ | ||
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 5/4/2028 (m) | 96 | 96 |
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 10/23/2028 | 59 | 59 |
155 | ||
Health Care Providers & Services — 0.1% | ||
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/24/2028 | 600 | 603 |
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 11/15/2028 | 579 | 581 |
Syneos Health,Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.31%, 9/27/2030 | 110 | 110 |
1,294 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Cedar Fair LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.31%, 5/1/2031 (m) | 500 | 502 |
Red Rock Resorts, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.58%, 3/14/2031 (m) | 600 | 601 |
Whataburger, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 8/3/2028 | 499 | 499 |
1,602 | ||
Insurance — 0.1% | ||
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.57%, 6/20/2030 | 600 | 604 |
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.55%, 9/27/2030 | 400 | 400 |
1,004 | ||
IT Services — 0.0% ^ | ||
Ahead DB Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.56%, 2/1/2031 | 39 | 39 |
Modena Buyer LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 4.00%, 4/18/2031 (m) | 260 | 255 |
294 | ||
Leisure Products — 0.1% | ||
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 12/15/2026 | 704 | 708 |
Topgolf Callaway, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 3/15/2030 | 414 | 416 |
1,124 | ||
Machinery — 0.0% ^ | ||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%, 3-MONTH CME TERM SOFR + 3.50% + 3.50%), 8.90%, 10/8/2027 | 393 | 395 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Media — 0.1% | ||
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR + 2.00%), 7.30%, 12/7/2030 | 145 | 144 |
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028 | 402 | 386 |
530 | ||
Oil, Gas & Consumable Fuels — 0.1% | ||
Buckeye Partners, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 2.50%, 11/22/2030 | 598 | 599 |
Medallion Midland Acquisition LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 8.83%, 10/18/2028 | 500 | 503 |
1,102 | ||
Passenger Airlines — 0.1% | ||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.34%, 4/20/2028 | 612 | 635 |
Personal Care Products — 0.1% | ||
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 5/17/2028 | 724 | 719 |
Pharmaceuticals — 0.1% | ||
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.16%, 8/1/2027 | 600 | 599 |
Professional Services — 0.2% | ||
Brookfield WEC Holdings Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.08%, 1/27/2031 | 500 | 502 |
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 1/18/2029 | 600 | 602 |
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.58%, 1/17/2031 | 700 | 703 |
SS&C Technologies Holdings, Inc., 1st Lien Term Loan B-8 (3-MONTH CME TERM SOFR + 2.00%), 7.32%, 5/9/2031 (m) | 490 | 492 |
2,299 | ||
Semiconductors & Semiconductor Equipment — 0.1% | ||
Brooks Automation, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.95%, 2/1/2029 | 403 | 403 |
Brooks Automation, 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 10.40%, 2/1/2030 | 190 | 187 |
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/2/2027 | 499 | 500 |
1,090 | ||
Software — 0.3% | ||
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.58%, 2/15/2029 | 175 | 174 |
Camelot U.S. Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031 | 160 | 160 |
CDK Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 7/6/2029 | 400 | 403 |
Genesys Cloud Services Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 12/1/2027 | 730 | 735 |
Rocket Software, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.75%), 10.08%, 11/28/2028 | 500 | 502 |
Ultimate Software Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 2/10/2031 (m) | 675 | 680 |
2,654 | ||
Specialty Retail — 0.2% | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 10/19/2027 | 185 | 186 |
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%, 12/18/2026 (n) | 823 | 777 |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/9/2028 (m) | 449 | 446 |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.82%, 3/3/2028 | 195 | 176 |
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 12/28/2027 | 597 | 591 |
Serta Simmons Bedding LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 7.50%), 12.92%, 6/29/2028 | 42 | 36 |
2,212 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Wireless Telecommunication Services — 0.0% ^ | ||
Iridium Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 9/20/2030 | 499 | 499 |
Total Loan Assignments (Cost $24,291) | 24,345 | |
SHARES (000) | ||
Exchange-Traded Funds — 1.9% | ||
Fixed Income — 1.9% | ||
Invesco Senior Loan ETF (Cost $19,538) | 925 | 19,531 |
PRINCIPAL AMOUNT ($000) | ||
Supranational — 1.3% | ||
Africa Finance Corp. (Supranational) 3.75%, 10/30/2029 (c) | 1,130 | 997 |
European Union (Supranational) | ||
0.10%, 10/4/2040 (c) | EUR2,990 | 1,955 |
3.00%, 3/4/2053 (c) | EUR10,890 | 10,835 |
Total Supranational (Cost $15,560) | 13,787 | |
SHARES (000) | ||
Convertible Preferred Stocks — 0.2% | ||
Specialty Retail — 0.2% | ||
Claire's Stores, Inc. ‡ * (Cost $226) | 1 | 1,810 |
Common Stocks — 0.0% ^ | ||
Communications Equipment — 0.0% ^ | ||
Goodman Networks, Inc. ‡ * | 6 | — |
Health Care Providers & Services — 0.0% ^ | ||
Claire's Stores, Inc. ‡ * | 1 | 177 |
Machinery — 0.0% ^ | ||
SSB Equipment Co., Inc. ‡ * | 10 | — |
Media — 0.0% ^ | ||
iHeartMedia, Inc., Class A * | 13 | 12 |
Specialty Retail — 0.0% ^ | ||
NMG, Inc. ‡ * | — | 28 |
Serta Simmons Bedding LLC ‡ * | 10 | 79 |
107 | ||
Total Common Stocks (Cost $1,277) | 296 | |
Preferred Stocks — 0.0% ^ | ||
Broadline Retail — 0.0% ^ | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | 298 | 193 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | SHARES (000) | VALUE ($000) |
Preferred Stocks — continued | ||
Communications Equipment — 0.0% ^ | ||
Goodman Networks, Inc. ‡ * | 7 | — |
Total Preferred Stocks (Cost $310) | 193 | |
NO. OF WARRANTS (000) | ||
Warrants — 0.0% ^ | ||
Media — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * (Cost $—) | 14 | 189 |
PRINCIPAL AMOUNT ($000) | ||
U.S. Treasury Obligations — 0.0% ^ | ||
U.S. Treasury Bonds 3.63%, 5/15/2053 (Cost $31) | 35 | 29 |
SHARES (000) | ||
Short-Term Investments — 9.5% | ||
Investment Companies — 9.5% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.31% (o) (p) (Cost $99,771) | 99,754 | 99,774 |
Total Investments — 113.0% (Cost $1,236,905) | 1,190,434 | |
Liabilities in Excess of Other Assets — (13.0)% | (137,192 ) | |
NET ASSETS — 100.0% | 1,053,242 |
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 |
BRL | Brazilian Real |
CIFC | Commercial Industrial Finance Corp. |
CLO | Collateralized Loan Obligations |
CME | Chicago Mercantile Exchange |
CR | Custodial Receipts |
CSMC | Credit Suisse Mortgage Trust |
CZK | Czech Republic Koruna |
ETF | Exchange Traded Fund |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)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 |
MXN | Mexican Peso |
PIK | Payment In Kind |
PLN | Polish Zloty |
PT | Limited liability company |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(c) | 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. | |
(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) | 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. | |
(f) | 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 $32,652 or 3.10% of the Fund’s net assets as of May 31, 2024. | |
(g) | Security is an interest bearing note with preferred security characteristics. | |
(h) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of May 31, 2024. | |
(i) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(j) | Defaulted security. | |
(k) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of May 31, 2024. | |
(l) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(m) | All or a portion of this security is unsettled as of May 31, 2024. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(n) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(o) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(p) | The rate shown is the current yield as of May 31, 2024. |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-Bobl | 160 | 06/06/2024 | EUR | 20,128 | (319 ) |
Euro-BTP | 112 | 06/06/2024 | EUR | 14,172 | (194 ) |
Euro-Bund | 23 | 06/06/2024 | EUR | 3,226 | (61 ) |
Euro-Schatz | 3 | 06/06/2024 | EUR | 342 | (2 ) |
Long Gilt | 195 | 09/26/2024 | GBP | 23,933 | (225 ) |
U.S. Treasury 2 Year Note | 32 | 09/30/2024 | USD | 6,522 | 5 |
U.S. Treasury 5 Year Note | 1,173 | 09/30/2024 | USD | 124,283 | (195 ) |
(991 ) | |||||
Short Contracts | |||||
Euro-Bobl | (9 ) | 06/06/2024 | EUR | (1,132 ) | 7 |
Euro-Buxl 30 Year Bond | (115 ) | 06/06/2024 | EUR | (15,760 ) | 948 |
Euro-Schatz | (89 ) | 06/06/2024 | EUR | (10,136 ) | 69 |
U.S. Treasury 10 Year Note | (473 ) | 09/19/2024 | USD | (51,542 ) | (31 ) |
U.S. Treasury 10 Year Ultra Note | (408 ) | 09/19/2024 | USD | (45,817 ) | (20 ) |
U.S. Treasury Long Bond | (61 ) | 09/19/2024 | USD | (7,107 ) | 28 |
U.S. Treasury Ultra Bond | (153 ) | 09/19/2024 | USD | (18,786 ) | 265 |
Long Gilt | (5 ) | 09/26/2024 | GBP | (614 ) | 4 |
U.S. Treasury 2 Year Note | (704 ) | 09/30/2024 | USD | (143,484 ) | (100 ) |
U.S. Treasury 5 Year Note | (455 ) | 09/30/2024 | USD | (48,209 ) | 70 |
1,240 | |||||
249 |
Abbreviations | |
EUR | Euro |
GBP | British Pound |
USD | United States Dollar |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts in thousands):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
EUR | 201 | USD | 215 | Citibank, NA | 6/5/2024 | 3 |
EUR | 500 | USD | 539 | Merrill Lynch International | 6/5/2024 | 3 |
EUR | 77,045 | USD | 83,308 | Morgan Stanley | 6/5/2024 | 292 |
GBP | 1,268 | USD | 1,613 | HSBC Bank, NA | 6/5/2024 | 3 |
GBP | 202 | USD | 257 | Merrill Lynch International | 6/5/2024 | — (a) |
GBP | 466 | USD | 591 | State Street Corp. | 6/5/2024 | 3 |
USD | 949 | EUR | 874 | Merrill Lynch International | 6/5/2024 | 1 |
BRL | 20,536 | USD | 3,902 | Citibank, NA** | 6/24/2024 | — (a) |
CNY | 28,580 | USD | 3,958 | BNP Paribas** | 6/24/2024 | 59 |
EUR | 225 | USD | 243 | HSBC Bank, NA | 6/24/2024 | 1 |
INR | 291,254 | USD | 3,483 | BNP Paribas** | 6/24/2024 | 6 |
INR | 329,412 | USD | 3,941 | Citigroup Global Markets Holdings, Inc.** | 6/24/2024 | 4 |
KRW | 5,444,044 | USD | 3,938 | BNP Paribas** | 6/24/2024 | 3 |
USD | 1,633 | BRL | 8,409 | Barclays Bank plc** | 6/24/2024 | 35 |
USD | 4,797 | IDR | 77,339,480 | Goldman Sachs International** | 6/24/2024 | 44 |
USD | 22,542 | MXN | 381,238 | Citibank, NA | 6/24/2024 | 145 |
USD | 3,491 | PHP | 201,785 | Goldman Sachs International** | 6/24/2024 | 44 |
USD | 3,981 | THB | 143,162 | Citibank, NA | 6/24/2024 | 83 |
USD | 7,541 | ZAR | 138,528 | Citibank, NA | 6/24/2024 | 180 |
TRY | 81,822 | USD | 1,909 | Barclays Bank plc | 1/22/2025 | 135 |
Total unrealized appreciation | 1,044 | |||||
USD | 82,544 | EUR | 76,871 | Goldman Sachs International | 6/5/2024 | (868 ) |
USD | 2,430 | GBP | 1,936 | HSBC Bank, NA | 6/5/2024 | (36 ) |
CLP | 3,863,251 | USD | 4,215 | Goldman Sachs International** | 6/24/2024 | (8 ) |
KRW | 5,301,886 | USD | 3,920 | Bank of America NA** | 6/24/2024 | (82 ) |
PHP | 225,047 | USD | 3,892 | Goldman Sachs International** | 6/24/2024 | (47 ) |
THB | 137,083 | USD | 3,747 | Goldman Sachs International | 6/24/2024 | (15 ) |
USD | 3,952 | AUD | 5,942 | Citibank, NA | 6/24/2024 | (3 ) |
USD | 3,927 | CLP | 3,609,880 | Citibank, NA** | 6/24/2024 | (3 ) |
USD | 3,947 | CNY | 28,622 | BNP Paribas** | 6/24/2024 | (77 ) |
USD | 3,922 | CNY | 28,331 | Goldman Sachs International** | 6/24/2024 | (61 ) |
USD | 5,324 | CZK | 122,223 | State Street Corp. | 6/24/2024 | (49 ) |
USD | 25,130 | EUR | 23,259 | Citibank, NA | 6/24/2024 | (129 ) |
USD | 308 | GBP | 242 | Merrill Lynch International | 6/24/2024 | (1 ) |
USD | 3,609 | SGD | 4,875 | State Street Corp. | 6/24/2024 | (3 ) |
ZAR | 71,854 | USD | 3,891 | Goldman Sachs International | 6/24/2024 | (72 ) |
EUR | 60 | USD | 65 | HSBC Bank, NA | 7/3/2024 | — (a) |
USD | 82,965 | EUR | 76,629 | Morgan Stanley | 7/3/2024 | (291 ) |
USD | 1,613 | GBP | 1,268 | HSBC Bank, NA | 7/3/2024 | (3 ) |
USD | 1,526 | TRY | 63,205 | Goldman Sachs International | 1/22/2025 | (53 ) |
Total unrealized depreciation | (1,801 ) | |||||
Net unrealized depreciation | (757 ) |
Abbreviations | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CLP | Chile Peso |
CNY | China Yuan |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | Korean Republic Won |
MXN | Mexican Peso |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)PHP | Philippines Peso |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
(a) | Amount rounds to less than one thousand. |
** | Non-deliverable forward. |
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 38,838 | (2,619 ) | (407 ) | (3,026 ) |
(*) | 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 |
Centrally Cleared interest rate swap contracts outstanding as of May 31, 2024 (amounts in thousands):
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
1 day CDI at termination | 11.00 at termination | Pay | 1/4/2027 | BRL12,910 | — | (11 ) | (11 ) |
1 day CDI at termination | 9.64 at termination | Pay | 1/2/2026 | BRL20,002 | — | (89 ) | (89 ) |
1 day CDI at termination | 10.58 at termination | Pay | 1/2/2026 | BRL25,756 | — | (33 ) | (33 ) |
1 day SOFR annually | 4.07 annually | Receive | 2/15/2034 | USD33,730 | (9 ) | (3 ) | (12 ) |
(9 ) | (136 ) | (145 ) |
Abbreviations | |
BRL | Brazilian Real |
CDI | Certificate of interbank deposits |
SOFR | Secured Overnight Financing Rate |
USD | United States Dollar |
(a) | Value of floating rate index at May 31, 2024 was as follows: |
FLOATING RATE INDEX | VALUE |
1 Day CDI | 1.80% |
1 Day SOFR | 5.34 |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)A. Valuation of Investments— Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”), or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from 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, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. 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, excluding exchange-traded funds (“ETFs”) (“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.
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 Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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 | $— | $205,451 | $— | $205,451 |
Collateralized Mortgage Obligations | — | 44,275 | 3,446 | 47,721 |
Commercial Mortgage-Backed Securities | — | 62,381 | 6,679 | 69,060 |
Common Stocks | ||||
Communications Equipment | — | — | — (a) | — (a) |
Health Care Providers & Services | — | — | 177 | 177 |
Machinery | — | — | — (a) | — (a) |
Media | 12 | — | — | 12 |
Specialty Retail | — | — | 107 | 107 |
Total Common Stocks | 12 | — | 284 | 296 |
Convertible Bonds | — | 40,732 | — | 40,732 |
Convertible Preferred Stocks | — | — | 1,810 | 1,810 |
Corporate Bonds | — | 434,159 | — | 434,159 |
Exchange-Traded Funds | 19,531 | — | — | 19,531 |
Foreign Government Securities | — | 77,098 | — | 77,098 |
Loan Assignments | — | 24,345 | — | 24,345 |
Mortgage-Backed Securities | — | 156,259 | — | 156,259 |
Preferred Stocks | — | — | 193 | 193 |
Supranational | — | 13,787 | — | 13,787 |
U.S. Treasury Obligations | — | 29 | — | 29 |
Warrants | — | — | 189 | 189 |
Short-Term Investments | ||||
Investment Companies | 99,774 | — | — | 99,774 |
Total Investments in Securities | $119,317 | $1,058,516 | $12,601 * | $1,190,434 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $1,044 | $— | $1,044 |
Futures Contracts | 1,396 | — | — | 1,396 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (1,801 ) | — | (1,801 ) |
Futures Contracts | (1,147 ) | — | — | (1,147 ) |
Swaps | — | (543 ) | — | (543 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $249 | $(1,300 ) | $— | $(1,051 ) |
(a) | Amount rounds to less than one thousand. |
* | Level 3 securities are valued by brokers and pricing services. At May 31, 2024, the value of these securities was $12,601. The inputs for these securities are not readily available or cannot be reasonably estimated and generally are those inputs described in Note A. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of broker and vendor due diligence, unchanged price review and consideration of macro or security specific events. |
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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 | Balance as of May 31, 2024 | |
Investments in Securities: | |||||||||
Collateralized Mortgage Obligations | $5,758 | $— | $(15 ) | $— (a) | $— | $(239 ) | $— | $(2,058 ) | $3,446 |
Commercial Mortgage-Backed Securities | 6,005 | — | (6 ) | — | 680 | — | — | — | 6,679 |
Common Stocks | 280 | — | 4 | — | — | — | — | — | 284 |
Convertible Preferred Stocks | 1,745 | — | 65 | — | — | — | — | — | 1,810 |
Corporate Bonds | 121 | (27 ) | 30 | 1 | — | (125 ) | — | — | — |
Preferred Stocks | 168 | — | 25 | — | — | — | — | — | 193 |
Warrants | 189 | — | — | — | — | — | — | — | 189 |
Total | $14,266 | $(27 ) | $103 | $1 | $680 | $(364 ) | $— | $(2,058 ) | $12,601 |
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) | 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 $72.
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
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. 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) | $105,967 | $120,375 | $126,544 | $(21 ) | $(3 ) | $99,774 | 99,754 | $1,062 | $— |
(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
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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 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
JPMorgan Unconstrained Debt Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional 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.
Interest Rate Swaps
The Fund entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically based on a fixed interest rate.