JPMorgan Total Return 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 Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 45.5% | ||
Aerospace & Defense — 0.4% | ||
Airbus SE (France) 3.15%, 4/10/2027 (a) | 250 | 238 |
Boeing Co. (The) 2.20%, 2/4/2026 | 300 | 282 |
Northrop Grumman Corp. 3.85%, 4/15/2045 | 250 | 196 |
Wesco Aircraft Holdings, Inc. | ||
9.00%, 11/15/2026 (a) (b) | 50 | 7 |
13.13%, 11/15/2027 (a) (b) | 20 | — |
723 | ||
Air Freight & Logistics — 0.1% | ||
FedEx Corp. 4.10%, 2/1/2045 | 250 | 196 |
Automobile Components — 0.1% | ||
Clarios Global LP 6.75%, 5/15/2025 (a) | 14 | 14 |
Cooper-Standard Automotive, Inc. | ||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (c) | 62 | 66 |
10.63% (PIK), 5/15/2027 (a) (c) | 38 | 27 |
107 | ||
Automobiles — 0.9% | ||
General Motors Co. 5.00%, 10/1/2028 | 500 | 494 |
Hyundai Capital America 2.65%, 2/10/2025 (a) | 1,000 | 978 |
1,472 | ||
Banks — 10.6% | ||
Banco Santander SA (Spain) (EURIBOR ICE Swap Rate 5 Year + 3.76%), 3.63%, 3/21/2029 (d) (e) (f) (g) (h) | 200 | 178 |
Bank of America Corp. | ||
Series L, 3.95%, 4/21/2025 | 500 | 492 |
(3-MONTH CME TERM SOFR + 1.44%), 3.19%, 7/23/2030 (h) | 600 | 541 |
(3-MONTH CME TERM SOFR + 2.08%), 4.24%, 4/24/2038 (h) | 500 | 441 |
Series N, (SOFR + 1.65%), 3.48%, 3/13/2052 (h) | 300 | 216 |
Barclays plc (United Kingdom) | ||
3.65%, 3/16/2025 | 500 | 492 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.41%), 4.38%, 3/15/2028 (d) (e) (f) (h) | 400 | 334 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 2.67%, 3/10/2032 (h) | 500 | 415 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (h) | 500 | 482 |
(3-MONTH CME TERM SOFR + 1.39%), 2.87%, 4/19/2032 (a) (h) | 500 | 421 |
Canadian Imperial Bank of Commerce (Canada) 1.25%, 6/22/2026 | 500 | 461 |
Citigroup, Inc. | ||
(SOFR + 2.11%), 2.57%, 6/3/2031 (h) | 1,000 | 853 |
(3-MONTH CME TERM SOFR + 2.10%), 4.28%, 4/24/2048 (h) | 300 | 250 |
Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 1.11%, 2/24/2027 (a) (h) | 750 | 694 |
Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (h) | 750 | 721 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.93%), 2.10%, 6/4/2026 (h) | 1,000 | 964 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (h) | 750 | 671 |
(SOFR + 1.95%), 2.36%, 8/18/2031 (h) | 500 | 415 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (h) | 750 | 716 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (h) | 500 | 466 |
Series NC10, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 4.25%, 5/16/2031 (d) (e) (f) (h) | 400 | 311 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (h) | 750 | 694 |
2.05%, 7/17/2030 | 500 | 415 |
Mizuho Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (h) | 750 | 691 |
(3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (h) | 500 | 440 |
Societe Generale SA (France) | ||
1.38%, 7/8/2025 (a) | 1,000 | 957 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (h) | 500 | 411 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
1.47%, 7/8/2025 | 500 | 479 |
3.54%, 1/17/2028 | 500 | 473 |
Truist Financial Corp. 1.13%, 8/3/2027 | 500 | 440 |
Wells Fargo & Co. | ||
3.00%, 2/19/2025 | 500 | 491 |
(SOFR + 2.10%), 2.39%, 6/2/2028 (h) | 750 | 688 |
(SOFR + 2.53%), 3.07%, 4/30/2041 (h) | 300 | 220 |
Westpac Banking Corp. (Australia) 2.65%, 1/16/2030 | 500 | 443 |
17,376 | ||
Beverages — 0.8% | ||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | 500 | 472 |
Coca-Cola Co. (The) 1.65%, 6/1/2030 | 500 | 415 |
Keurig Dr. Pepper, Inc. 3.40%, 11/15/2025 | 500 | 486 |
1,373 | ||
Biotechnology — 0.5% | ||
AbbVie, Inc. 4.25%, 11/21/2049 | 250 | 208 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 750 | 611 |
819 | ||
Broadline Retail — 0.4% | ||
Amazon.com, Inc. | ||
4.80%, 12/5/2034 | 300 | 296 |
4.25%, 8/22/2057 | 400 | 333 |
629 | ||
Building Products — 1.0% | ||
Carrier Global Corp. 2.70%, 2/15/2031 | 500 | 428 |
Johnson Controls International plc 4.50%, 2/15/2047 | 350 | 293 |
Masco Corp. 1.50%, 2/15/2028 | 1,000 | 872 |
1,593 | ||
Capital Markets — 4.1% | ||
Ameriprise Financial, Inc. 3.00%, 4/2/2025 | 1,000 | 979 |
Blue Owl Capital Corp. 4.00%, 3/30/2025 | 1,000 | 982 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Cboe Global Markets, Inc. 3.65%, 1/12/2027 | 500 | 483 |
Deutsche Bank AG (Germany) (EURIBOR ICE Swap Rate 5 Year + 4.75%), 4.63%, 10/30/2027 (d) (e) (f) (g) (h) | 200 | 190 |
Goldman Sachs Group, Inc. (The) | ||
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (h) | 750 | 708 |
5.15%, 5/22/2045 | 650 | 616 |
Lehman Brothers Holdings, Inc. | ||
Zero Coupon, 8/21/2009 (b) | 1,350 | — |
0.00%, 5/25/2049 (b) | 850 | — |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (h) | 500 | 485 |
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (h) | 750 | 711 |
3.97%, 7/22/2038 (i) | 500 | 422 |
Nasdaq, Inc. 5.65%, 6/28/2025 | 500 | 500 |
Nomura Holdings, Inc. (Japan) 3.10%, 1/16/2030 | 500 | 440 |
UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.31%), 4.38%, 2/10/2031 (a) (d) (e) (f) (h) | 200 | 162 |
6,678 | ||
Consumer Finance — 2.1% | ||
American Express Co. | ||
3.95%, 8/1/2025 | 500 | 492 |
3.30%, 5/3/2027 | 500 | 475 |
Capital One Financial Corp. | ||
3.65%, 5/11/2027 | 500 | 477 |
(SOFR + 1.34%), 2.36%, 7/29/2032 (h) | 500 | 390 |
General Motors Financial Co., Inc. 4.00%, 1/15/2025 | 1,000 | 990 |
John Deere Capital Corp. 1.50%, 3/6/2028 | 750 | 661 |
3,485 | ||
Consumer Staples Distribution & Retail — 1.0% | ||
7-Eleven, Inc. 0.95%, 2/10/2026 (a) | 1,000 | 928 |
CVS Pass-Through Trust 7.51%, 1/10/2032 (a) | 419 | 439 |
Rite Aid Corp. | ||
7.50%, 7/1/2025 (a) (b) | 11 | 5 |
8.00%, 11/15/2026 (a) (b) | 20 | 10 |
Target Corp. 2.35%, 2/15/2030 | 250 | 218 |
1,600 | ||
Containers & Packaging — 0.3% | ||
Amcor Flexibles North America, Inc. 3.10%, 9/15/2026 | 500 | 471 |
Diversified Telecommunication Services — 1.9% | ||
AT&T, Inc. 3.55%, 9/15/2055 | 1,000 | 671 |
CCO Holdings LLC 5.13%, 5/1/2027 (a) | 355 | 339 |
Frontier Communications Holdings LLC 5.88%, 11/1/2029 | 17 | 15 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 392 | 369 |
JPMorgan Total Return 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 | ||
Verizon Communications, Inc. | ||
2.10%, 3/22/2028 | 1,000 | 896 |
1.50%, 9/18/2030 | 1,000 | 810 |
3,100 | ||
Electric Utilities — 2.6% | ||
Duke Energy Corp. 2.55%, 6/15/2031 | 500 | 418 |
Eversource Energy | ||
Series M, 3.30%, 1/15/2028 | 500 | 464 |
3.45%, 1/15/2050 | 300 | 205 |
Florida Power & Light Co. Series A, 3.30%, 5/30/2027 | 500 | 474 |
MidAmerican Energy Co. 3.10%, 5/1/2027 | 500 | 475 |
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (a) | 250 | 187 |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | 500 | 422 |
Potomac Electric Power Co. 4.15%, 3/15/2043 | 250 | 207 |
Public Service Co. of Colorado 1.88%, 6/15/2031 | 500 | 400 |
Public Service Electric and Gas Co. 3.00%, 5/15/2027 | 500 | 472 |
Xcel Energy, Inc. 3.35%, 12/1/2026 | 500 | 475 |
4,199 | ||
Energy Equipment & Services — 0.0% ^ | ||
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 15 | 15 |
Financial Services — 1.5% | ||
Mastercard, Inc. 3.65%, 6/1/2049 | 500 | 383 |
National Rural Utilities Cooperative Finance Corp. 1.00%, 6/15/2026 | 750 | 689 |
Shell International Finance BV 2.38%, 11/7/2029 | 750 | 659 |
Siemens Financieringsmaatschappij NV (Germany) 4.20%, 3/16/2047 (a) | 300 | 256 |
Visa, Inc. 4.30%, 12/14/2045 | 500 | 434 |
2,421 | ||
Food Products — 0.8% | ||
Conagra Brands, Inc. 4.85%, 11/1/2028 | 500 | 489 |
Kellanova 3.40%, 11/15/2027 | 500 | 471 |
Mondelez International, Inc. 1.50%, 2/4/2031 | 500 | 398 |
1,358 | ||
Gas Utilities — 0.5% | ||
East Ohio Gas Co. (The) 2.00%, 6/15/2030 (a) | 500 | 410 |
KeySpan Gas East Corp. 2.74%, 8/15/2026 (a) | 500 | 467 |
877 | ||
Ground Transportation — 0.5% | ||
Burlington Northern Santa Fe LLC 5.75%, 5/1/2040 | 250 | 257 |
Hertz Corp. (The), Escrow 6.25%, 10/15/2022 (b) | 290 | 9 |
Norfolk Southern Corp. 3.15%, 6/1/2027 | 500 | 473 |
739 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Health Care Equipment & Supplies — 0.7% | ||
Abbott Laboratories 3.88%, 9/15/2025 | 1,000 | 985 |
Stryker Corp. 1.15%, 6/15/2025 | 250 | 239 |
1,224 | ||
Health Care Providers & Services — 1.5% | ||
Aetna, Inc. 3.50%, 11/15/2024 | 500 | 495 |
CVS Health Corp. | ||
1.75%, 8/21/2030 | 500 | 403 |
5.05%, 3/25/2048 | 250 | 216 |
HCA, Inc. 2.38%, 7/15/2031 | 500 | 408 |
Quest Diagnostics, Inc. 3.50%, 3/30/2025 | 500 | 491 |
UnitedHealth Group, Inc. 4.75%, 7/15/2045 | 500 | 455 |
2,468 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 4 | 4 |
Insurance — 1.8% | ||
Berkshire Hathaway Finance Corp. 2.85%, 10/15/2050 | 500 | 322 |
Chubb INA Holdings LLC 3.15%, 3/15/2025 | 500 | 491 |
MetLife, Inc. 4.05%, 3/1/2045 | 300 | 242 |
Metropolitan Life Global Funding I 0.95%, 7/2/2025 (a) | 750 | 715 |
Principal Life Global Funding II 1.25%, 6/23/2025 (a) | 750 | 717 |
Protective Life Global Funding 1.74%, 9/21/2030 (a) | 500 | 405 |
2,892 | ||
Interactive Media & Services — 0.2% | ||
Alphabet, Inc. | ||
1.90%, 8/15/2040 | 300 | 196 |
2.25%, 8/15/2060 | 250 | 139 |
335 | ||
Life Sciences Tools & Services — 0.4% | ||
Agilent Technologies, Inc. 3.05%, 9/22/2026 | 750 | 713 |
Media — 0.7% | ||
Comcast Corp. | ||
2.94%, 11/1/2056 | 323 | 194 |
2.65%, 8/15/2062 | 500 | 271 |
Discovery Communications LLC 4.13%, 5/15/2029 | 500 | 461 |
DISH DBS Corp. 5.88%, 11/15/2024 | 293 | 279 |
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | 25 | 23 |
1,228 | ||
Multi-Utilities — 0.9% | ||
Consolidated Edison Co. of New York, Inc. 4.45%, 3/15/2044 | 250 | 214 |
Dominion Energy, Inc. Series C, 4.90%, 8/1/2041 | 250 | 221 |
San Diego Gas & Electric Co. Series TTT, 4.10%, 6/15/2049 | 500 | 392 |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 750 | 605 |
1,432 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Office REITs — 0.3% | ||
Boston Properties LP 2.75%, 10/1/2026 | 500 | 466 |
Oil, Gas & Consumable Fuels — 4.1% | ||
BP Capital Markets America, Inc. 2.94%, 6/4/2051 | 250 | 159 |
Chesapeake Energy Corp., Escrow 5.50%, 9/15/2026 (b) | 130 | 3 |
Chevron USA, Inc. 0.69%, 8/12/2025 | 500 | 475 |
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | 2,000 | 1,972 |
Energy Transfer LP 5.15%, 3/15/2045 | 300 | 264 |
Kinder Morgan, Inc. 5.05%, 2/15/2046 | 300 | 262 |
Marathon Petroleum Corp. 3.63%, 9/15/2024 | 1,000 | 993 |
MPLX LP 1.75%, 3/1/2026 | 500 | 468 |
Phillips 66 4.65%, 11/15/2034 | 250 | 232 |
Phillips 66 Co. 3.75%, 3/1/2028 | 500 | 475 |
Reliance Industries Ltd. (India) 4.13%, 1/28/2025 (a) | 500 | 495 |
TransCanada PipeLines Ltd. (Canada) 6.10%, 6/1/2040 | 345 | 350 |
Williams Cos., Inc. (The) 4.00%, 9/15/2025 | 500 | 490 |
6,638 | ||
Personal Care Products — 0.2% | ||
ESC SANCHEZ 8.88%, 3/15/2025 ‡ (b) | 41 | — (j) |
Estee Lauder Cos., Inc. (The) 1.95%, 3/15/2031 | 500 | 408 |
408 | ||
Pharmaceuticals — 0.8% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 325 | 303 |
Johnson & Johnson 2.45%, 9/1/2060 | 500 | 279 |
Merck & Co., Inc. 2.35%, 6/24/2040 | 500 | 339 |
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | 500 | 367 |
1,288 | ||
Residential REITs — 0.1% | ||
AvalonBay Communities, Inc. 2.30%, 3/1/2030 | 250 | 215 |
Semiconductors & Semiconductor Equipment — 0.4% | ||
Broadcom, Inc. 3.14%, 11/15/2035 (a) | 750 | 596 |
Software — 1.0% | ||
Microsoft Corp. | ||
3.13%, 11/3/2025 | 624 | 607 |
2.68%, 6/1/2060 | 500 | 302 |
Oracle Corp. | ||
2.95%, 4/1/2030 | 500 | 442 |
3.60%, 4/1/2050 | 300 | 209 |
1,560 | ||
Specialized REITs — 0.3% | ||
Crown Castle, Inc. 1.35%, 7/15/2025 | 500 | 476 |
Specialty Retail — 0.5% | ||
AutoNation, Inc. 2.40%, 8/1/2031 | 500 | 401 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Specialty Retail — continued | ||
Home Depot, Inc. (The) 3.90%, 6/15/2047 | 350 | 275 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 150 | 150 |
826 | ||
Technology Hardware, Storage & Peripherals — 0.3% | ||
Apple, Inc. | ||
2.65%, 5/11/2050 | 500 | 317 |
2.80%, 2/8/2061 | 250 | 152 |
469 | ||
Tobacco — 0.4% | ||
Altria Group, Inc. 3.88%, 9/16/2046 | 400 | 289 |
BAT Capital Corp. (United Kingdom) | ||
3.56%, 8/15/2027 | 66 | 63 |
2.73%, 3/25/2031 | 400 | 336 |
688 | ||
Wireless Telecommunication Services — 0.8% | ||
T-Mobile USA, Inc. | ||
1.50%, 2/15/2026 | 500 | 468 |
2.55%, 2/15/2031 | 1,000 | 843 |
1,311 | ||
Total Corporate Bonds (Cost $84,268) | 74,468 | |
Mortgage-Backed Securities — 25.2% | ||
FHLMC Gold Pools, 20 Year Pool # G30450, 6.00%, 1/1/2029 | 2 | 2 |
FHLMC Gold Pools, 30 Year | ||
Pool # C80364, 7.00%, 12/1/2025 | — | — |
Pool # C00464, 8.00%, 5/1/2026 | — | — |
Pool # C80409, 8.00%, 6/1/2026 | — | — |
Pool # D78618, 7.50%, 2/1/2027 | 1 | 1 |
Pool # G02125, 6.00%, 2/1/2036 | 1 | 1 |
Pool # A53165, 6.00%, 10/1/2036 | 18 | 18 |
Pool # A56599, 6.00%, 1/1/2037 | 2 | 2 |
Pool # G08205, 6.00%, 6/1/2037 | — | — |
Pool # G03362, 6.00%, 9/1/2037 | 34 | 35 |
Pool # G03819, 6.00%, 1/1/2038 | 5 | 5 |
Pool # G08276, 6.00%, 6/1/2038 | 7 | 7 |
Pool # A80908, 6.00%, 8/1/2038 | 98 | 99 |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 4.00%, 6/25/2054 (k) | 4,500 | 4,084 |
FNMA UMBS, 30 Year | ||
Pool # 505614, 6.50%, 7/1/2029 | — | — |
Pool # 508677, 6.50%, 8/1/2029 | 3 | 3 |
Pool # 787555, 6.50%, 2/1/2035 | 3 | 3 |
Pool # 787556, 7.00%, 2/1/2035 | 10 | 11 |
Pool # 787563, 6.50%, 3/1/2035 | 25 | 26 |
Pool # 787564, 7.00%, 3/1/2035 | 5 | 6 |
Pool # 924041, 6.00%, 5/1/2037 | 85 | 87 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # AY3845, 4.00%, 5/1/2045 | 1,055 | 991 |
Pool # AY8492, 4.00%, 6/1/2045 | 1,167 | 1,095 |
Pool # AZ0913, 4.00%, 6/1/2045 | 675 | 633 |
FNMA/FHLMC UMBS, Single Family, 15 Year | ||
TBA, 2.50%, 6/25/2039 (k) | 3,150 | 2,829 |
TBA, 3.50%, 6/25/2039 (k) | 2,350 | 2,209 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.00%, 6/25/2054 (k) | 385 | 297 |
TBA, 2.50%, 6/25/2054 (k) | 10,000 | 8,073 |
TBA, 3.00%, 6/25/2054 (k) | 10,000 | 8,408 |
TBA, 3.50%, 6/25/2054 (k) | 5,500 | 4,822 |
TBA, 4.50%, 6/25/2054 (k) | 2,200 | 2,060 |
GNMA I, 30 Year Pool # 550851, 7.00%, 9/15/2031 | 35 | 36 |
GNMA II, Single Family, 30 Year | ||
TBA, 2.50%, 6/15/2054 (k) | 2,000 | 1,667 |
TBA, 3.00%, 6/15/2054 (k) | 1,500 | 1,296 |
TBA, 3.50%, 6/15/2054 (k) | 1,500 | 1,338 |
TBA, 4.00%, 6/15/2054 (k) | 650 | 597 |
TBA, 5.50%, 6/15/2054 (k) | 500 | 496 |
Total Mortgage-Backed Securities (Cost $41,620) | 41,237 | |
U.S. Treasury Obligations — 14.1% | ||
U.S. Treasury Bonds | ||
4.50%, 2/15/2036 | 5,850 | 5,898 |
1.13%, 8/15/2040 | 4,050 | 2,429 |
1.75%, 8/15/2041 | 4,850 | 3,163 |
3.88%, 2/15/2043 | 1,200 | 1,073 |
1.25%, 5/15/2050 | 3,150 | 1,534 |
1.38%, 8/15/2050 | 4,500 | 2,263 |
3.63%, 5/15/2053 | 1,600 | 1,340 |
U.S. Treasury Notes 4.75%, 7/31/2025 | 5,400 | 5,377 |
Total U.S. Treasury Obligations (Cost $31,842) | 23,077 | |
Collateralized Mortgage Obligations — 2.3% | ||
Alternative Loan Trust Series 2006-J2, Class A1, 5.94%, 4/25/2036 (i) | 53 | 22 |
Angel Oak Mortgage Trust | ||
Series 2020-1, Class A1, 2.47%, 12/25/2059 (a) (i) | 33 | 31 |
Series 2020-1, Class B1, 3.76%, 12/25/2059 (a) (i) | 143 | 121 |
Series 2020-3, Class A1, 1.69%, 4/25/2065 (a) (i) | 64 | 59 |
Series 2022-2, Class A1, 3.35%, 1/25/2067 (a) (i) | 155 | 142 |
Banc of America Funding Trust | ||
Series 2005-B, Class 3M1, 6.11%, 4/20/2035 (i) | 22 | 22 |
Series 2014-R7, Class 2A1, 5.58%, 9/26/2036 (a) (i) | 1 | 1 |
Series 2015-R4, Class 5A1, 5.58%, 10/25/2036 (a) (i) | 26 | 26 |
Banc of America Mortgage Trust Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | 40 | 32 |
BRAVO Residential Funding Trust Series 2023-NQM5, Class A1, 6.50%, 6/25/2063 (a) (l) | 114 | 114 |
CHL Mortgage Pass-Through Trust Series 2007-5, Class A6, 5.79%, 5/25/2037 (i) | — | — |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Citigroup Mortgage Loan Trust | ||
Series 2014-10, Class 1A1, 3.34%, 11/25/2036 (a) (i) | 4 | 3 |
Series 2014-10, Class 4A1, 5.60%, 2/25/2037 (a) (i) | 14 | 14 |
COLT Mortgage Loan Trust Series 2023-3, Class A1, 7.18%, 9/25/2068 (a) (l) | 92 | 93 |
Connecticut Avenue Securities Trust | ||
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (a) (i) | 97 | 100 |
Series 2020-R02, Class 2B1, 8.44%, 1/25/2040 (a) (i) | 605 | 624 |
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (a) (i) | 276 | 288 |
Series 2022-R02, Class 2M2, 8.32%, 1/25/2042 (a) (i) | 100 | 103 |
Series 2022-R04, Class 1M2, 8.42%, 3/25/2042 (a) (i) | 125 | 130 |
Series 2023-R01, Class 1M1, 7.72%, 12/25/2042 (a) (i) | 82 | 84 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | 54 | 51 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29, Class 7A1, 6.50%, 12/25/2033 | 17 | 17 |
Deephaven Residential Mortgage Trust Series 2021-3, Class A1, 1.19%, 8/25/2066 (a) (i) | 123 | 104 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 1A1, 5.94%, 2/25/2035 (i) | 2 | 2 |
FHLMC STACR REMIC Trust | ||
Series 2021-DNA6, Class M1, 6.12%, 10/25/2041 (a) (i) | 43 | 43 |
Series 2021-HQA4, Class M1, 6.27%, 12/25/2041 (a) (i) | 75 | 74 |
Series 2020-HQA1, Class M2, 7.34%, 1/25/2050 (a) (i) | 221 | 222 |
FHLMC, REMIC | ||
Series 2980, Class QB, 6.50%, 5/15/2035 | 18 | 19 |
Series 5136, Class IJ, IO, 2.50%, 2/25/2051 | 307 | 37 |
Series 5148, Class AI, IO, 2.50%, 10/25/2051 | 353 | 40 |
FNMA Trust, Whole Loan Series 2003-W3, Class 2A5, 5.36%, 6/25/2042 | 8 | 8 |
FNMA, REMIC Series 2021-47, Class QI, IO, 2.50%, 10/25/2049 | 371 | 49 |
GCAT Trust | ||
Series 2019-NQM3, Class A1, 3.69%, 11/25/2059 (a) (i) | 162 | 153 |
Series 2020-NQM1, Class A1, 3.25%, 1/25/2060 (a) (l) | 169 | 160 |
GNMA | ||
Series 2021-122, Class LI, IO, 2.50%, 7/20/2051 | 203 | 22 |
Series 2021-138, Class PI, IO, 2.50%, 8/20/2051 | 158 | 16 |
Series 2021-162, Class PI, IO, 2.50%, 9/20/2051 | 158 | 16 |
Series 2023-69, Class IH, IO, 2.50%, 10/20/2051 | 167 | 18 |
GSR Mortgage Loan Trust Series 2006-3F, Class 2A7, 5.75%, 3/25/2036 | 51 | 43 |
HarborView Mortgage Loan Trust | ||
Series 2004-9, Class 2A, 7.12%, 12/19/2034 (i) | — | — |
Series 2006-9, Class 2A1A, 5.85%, 11/19/2036 (i) | 26 | 22 |
JPMorgan Mortgage Trust Series 2005-S2, Class 4A3, 5.50%, 9/25/2020 | 73 | 47 |
Nomura Resecuritization Trust Series 2015-2R, Class 4A1, 5.58%, 12/26/2036 (a) (i) | 9 | 8 |
RALI Trust Series 2006-QS11, Class 1A1, 6.50%, 8/25/2036 | 314 | 248 |
Residential Asset Securitization Trust | ||
Series 2005-A15, Class 1A7, 6.00%, 2/25/2036 | 64 | 59 |
Series 2006-R1, Class A2, 5.84%, 1/25/2046 (i) | — | — |
SG Residential Mortgage Trust Series 2022-2, Class A2, 5.35%, 8/25/2062 (a) (i) | 47 | 46 |
Starwood Mortgage Residential Trust Series 2019-INV1, Class A3, 2.92%, 9/27/2049 (a) (i) | 93 | 90 |
Verus Securitization Trust Series 2021-6, Class A1, 1.63%, 10/25/2066 (a) (i) | 93 | 78 |
Vista Point Securitization Trust Series 2020-2, Class A1, 1.47%, 4/25/2065 (a) (i) | 53 | 48 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-7, Class 1A2, 5.89%, 9/25/2035 (i) | 3 | 3 |
Total Collateralized Mortgage Obligations (Cost $3,755) | 3,752 | |
Asset-Backed Securities — 2.1% | ||
American Airlines Pass-Through Trust Series 2017-1, Class AA, 3.65%, 2/15/2029 | 331 | 311 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-R3, Class M8, 7.57%, 5/25/2035 (i) | 282 | 218 |
Carrington Mortgage Loan Trust Series 2006-NC5, Class A3, 5.59%, 1/25/2037 (i) | 740 | 633 |
Credit-Based Asset Servicing and Securitization LLC Series 2006-CB8, Class A1, 5.72%, 10/25/2036 (i) | 64 | 56 |
CWABS Asset-Backed Certificates Trust Series 2007-2, Class 2A3, 5.58%, 8/25/2037 (i) | 5 | 5 |
CWABS, Inc. Asset-Backed Certificates | ||
Series 2004-1, Class M1, 6.19%, 3/25/2034 (i) | 28 | 28 |
Series 2004-1, Class M2, 6.26%, 3/25/2034 (i) | 15 | 15 |
Series 2004-1, Class 3A, 6.00%, 4/25/2034 (i) | 10 | 9 |
First Franklin Mortgage Loan Trust | ||
Series 2006-FF8, Class M1, 5.81%, 7/25/2036 (i) | 305 | 249 |
Series 2006-FF14, Class A5, 5.60%, 10/25/2036 (i) | 63 | 62 |
Fremont Home Loan Trust Series 2005-1, Class M6, 6.59%, 6/25/2035 (i) | 261 | 205 |
GSAA Home Equity Trust | ||
Series 2006-1, Class A2, 5.88%, 1/25/2036 (i) | 158 | 46 |
Series 2006-19, Class A2, 5.80%, 12/25/2036 (i) | 155 | 41 |
Series 2007-4, Class A1, 5.64%, 3/25/2037 (i) | 46 | 13 |
Series 2007-2, Class AF4A, 6.48%, 3/25/2037 (l) | 288 | 80 |
Series 2007-7, Class 1A2, 5.80%, 7/25/2037 (i) | 22 | 20 |
GSAMP Trust | ||
Series 2005-NC1, Class M2, 6.53%, 2/25/2035 (i) | 354 | 332 |
Series 2006-FM1, Class A1, 5.76%, 4/25/2036 (i) | 122 | 86 |
Series 2007-HE1, Class A2C, 5.59%, 3/25/2047 (i) | 89 | 84 |
Merrill Lynch Mortgage Investors Trust Series 2006-MLN1, Class A2C, 5.78%, 7/25/2037 (i) | 1,154 | 499 |
Morgan Stanley ABS Capital I, Inc. Trust Series 2007-HE7, Class A2B, 6.44%, 7/25/2037 (i) | 16 | 16 |
New Century Home Equity Loan Trust | ||
Series 2005-1, Class M1, 6.11%, 3/25/2035 (i) | 57 | 58 |
Series 2005-1, Class M6, 6.64%, 3/25/2035 (i) | 254 | 213 |
Securitized Asset-Backed Receivables LLC Trust Series 2006-NC3, Class A1, 5.72%, 9/25/2036 (i) | 80 | 48 |
Soundview Home Loan Trust Series 2007-OPT3, Class 2A3, 5.62%, 8/25/2037 (i) | 61 | 59 |
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC5, Class A4, 5.78%, 12/25/2036 (i) | 9 | 8 |
Total Asset-Backed Securities (Cost $4,058) | 3,394 | |
U.S. Government Agency Securities — 0.6% | ||
FNMA 1.88%, 9/24/2026 (Cost $1,030) | 1,000 | 936 |
Foreign Government Securities — 0.5% | ||
State of Israel Government Bond 3.25%, 1/17/2028 (Cost $997) | 1,000 | 920 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — 0.3% (h) (m) (n) | ||
Specialty Retail — 0.3% | ||
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%, 12/18/2026 (Cost $452) | 475 | 449 |
SHARES (000) | ||
Convertible Preferred Stocks — 0.3% | ||
Specialty Retail — 0.3% | ||
Claire's Stores, Inc. ‡ * (Cost $54) | — | 441 |
Common Stocks — 0.2% | ||
Broadline Retail — 0.0% ^ | ||
MYT Holding LLC ‡ * | 49 | 17 |
Chemicals — 0.0% ^ | ||
Venator Materials plc * | — | 4 |
Financial Services — 0.0% ^ | ||
Mallinckrodt plc (Luxembourg) ‡ * | — | 1 |
Health Care Providers & Services — 0.0% ^ | ||
Claire's Stores, Inc. ‡ * | — | 44 |
Envision Healthcare Corp. ‡ * | — | — |
44 | ||
Specialty Retail — 0.1% | ||
NMG, Inc. ‡ * | 1 | 66 |
Wireless Telecommunication Services — 0.1% | ||
Intelsat SA (Luxembourg) ‡ * | 5 | 196 |
Total Common Stocks (Cost $423) | 328 | |
PRINCIPAL AMOUNT ($000) | ||
Commercial Mortgage-Backed Securities — 0.1% | ||
Harvest Commercial Capital Loan Trust Series 2019-1, Class M4, 4.64%, 9/25/2046 (a) (i) (Cost $145) | 145 | 133 |
SHARES (000) | ||
Preferred Stocks — 0.0% ^ | ||
Broadline Retail — 0.0% ^ | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ (Cost $81) | 84 | 54 |
PRINCIPAL AMOUNT ($000) | ||
Convertible Bonds — 0.0% ^ | ||
Media — 0.0% ^ | ||
DISH Network Corp. 3.38%, 8/15/2026 (Cost $23) | 25 | 16 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | NO. OF WARRANTS (000) | VALUE ($000) |
Warrants — 0.0% ^ | ||
Media — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * (Cost $—) | 1 | 12 |
SHARES (000) | ||
Short-Term Investments — 31.1% | ||
Investment Companies — 30.8% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (o) (p) (Cost $50,472) | 50,462 | 50,472 |
PRINCIPAL AMOUNT ($000) | ||
U.S. Treasury Obligations — 0.3% | ||
U.S. Treasury Bills, 5.27%, 6/20/2024 (q) (r) (Cost $431) | 432 | 431 |
Total Short-Term Investments (Cost $50,903) | 50,903 | |
Total Investments — 122.3% (Cost $219,651) | 200,120 | |
Liabilities in Excess of Other Assets — (22.3)% | (36,466 ) | |
NET ASSETS — 100.0% | 163,654 |
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 |
CME | Chicago Mercantile Exchange |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
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. |
PIK | Payment In Kind |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | 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) | Defaulted security. | |
(c) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(d) | 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 $1,175 or 0.72% of the Fund’s net assets as of May 31, 2024. | |
(e) | Security is an interest bearing note with preferred security characteristics. | |
(f) | 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. | |
(g) | 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. | |
(h) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(i) | 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. | |
(j) | Value is zero. | |
(k) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(l) | 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. | |
(m) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(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. | |
(q) | The rate shown is the effective yield as of May 31, 2024. | |
(r) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. |
TBA Short Commitments
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA / FHLMC UMBS, Single Family, 30 Year | ||
TBA, 5.00%, 6/25/2054(a) | (1,540 ) | (1,482 ) |
TBA, 5.50%, 6/25/2054(a) | (5,390 ) | (5,304 ) |
TBA, 6.00%, 6/25/2054(a) | (385 ) | (386 ) |
(Proceeds received of $7,180) | (7,172 ) |
Abbreviations | |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 19 | 09/19/2024 | USD | 2,070 | 10 |
U.S. Treasury Long Bond | 30 | 09/19/2024 | USD | 3,495 | (11 ) |
U.S. Treasury 2 Year Note | 58 | 09/30/2024 | USD | 11,821 | 8 |
U.S. Treasury 5 Year Note | 69 | 09/30/2024 | USD | 7,311 | 7 |
14 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
30 Day Federal Funds | (16 ) | 07/31/2024 | USD | (6,312 ) | 15 |
30 Day Federal Funds | (32 ) | 08/30/2024 | USD | (12,629 ) | 32 |
U.S. Treasury 10 Year Note | (2 ) | 09/19/2024 | USD | (218 ) | — (a) |
U.S. Treasury Ultra Bond | (20 ) | 09/19/2024 | USD | (2,456 ) | 11 |
U.S. Treasury 5 Year Note | (1 ) | 09/30/2024 | USD | (106 ) | — (a) |
30 Day Federal Funds | (31 ) | 01/31/2025 | USD | (12,277 ) | (1 ) |
57 | |||||
71 |
Abbreviations | |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts in thousands):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
USD | 310 | EUR | 285 | State Street Corp. | 7/3/2024 | — (a) |
USD | 373 | JPY | 57,740 | Morgan Stanley | 7/19/2024 | 3 |
Total unrealized appreciation | 3 | |||||
JPY | 18,910 | USD | 125 | Barclays Bank plc | 7/19/2024 | (4 ) |
JPY | 38,830 | USD | 256 | Morgan Stanley | 7/19/2024 | (7 ) |
Total unrealized depreciation | (11 ) | |||||
Net unrealized depreciation | (8 ) |
Abbreviations | |
EUR | Euro |
JPY | Japanese Yen |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of May 31, 2024 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | 0.68 | USD60 | 12 | (11 ) | 1 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | 0.68 | USD40 | 8 | (7 ) | 1 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Barclays Bank plc | 5/25/2046 | 0.68 | USD60 | 18 | (17 ) | 1 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | 0.68 | USD30 | 8 | (7 ) | 1 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | 0.68 | USD60 | 15 | (14 ) | 1 |
CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 74.00 | USD180 | 153 | (153 ) | —(a ) |
CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 74.00 | USD210 | 168 | (168 ) | —(a ) |
382 | (377 ) | 5 |
(*) | 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. |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(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). | ||||||||
(a) | Amount rounds to less than one thousand. | ||||||||
Abbreviations | |||||||||
ABX | Asset-Backed Securities Index | ||||||||
CMBX | Commercial Mortgage-Backed Securities Index | ||||||||
USD | United States Dollar |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of May 31, 2024 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
Federative Republic of Brazil, 3.75%, 9/12/2031 | 1.00 | Quarterly | 6/20/2029 | 1.43 | USD 780 | 19 | (6 ) | 13 |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD 400 | (27 ) | (4 ) | (31 ) |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD 1,700 | (115 ) | (17 ) | (132 ) |
CDX.NA.IG.41-V1 | 1.00 | Quarterly | 12/20/2028 | 0.44 | USD 4,020 | (82 ) | (18 ) | (100 ) |
CDX.NA.IG.42-V1 | 1.00 | Quarterly | 6/20/2029 | 0.50 | USD 5,550 | (120 ) | (16 ) | (136 ) |
iTraxx.Europe.Main.41-V1 | 1.00 | Quarterly | 6/20/2029 | 0.53 | EUR 1,390 | (31 ) | (5 ) | (36 ) |
United Mexican States, 4.15%, 3/28/2027 | 1.00 | Quarterly | 6/20/2029 | 0.95 | USD 760 | (1 ) | (2 ) | (3 ) |
(376 ) | (62 ) | (438 ) | ||||||
(357 ) | (68 ) | (425 ) |
(*) | 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 |
EUR | Euro |
USD | United States Dollar |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Summary of total OTC swap contracts outstanding as of May 31, 2024 (amounts in thousands):
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |
Assets | ||
OTC Credit default swap contracts outstanding - buy protection | 382 | 5 |
JPMorgan Total Return 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 (“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 Total Return 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 | $— | $3,394 | $— | $3,394 |
Collateralized Mortgage Obligations | — | 3,752 | — | 3,752 |
Commercial Mortgage-Backed Securities | — | 133 | — | 133 |
Common Stocks | ||||
Broadline Retail | — | — | 17 | 17 |
Chemicals | 4 | — | — | 4 |
Financial Services | — | — | 1 | 1 |
Health Care Providers & Services | — | — | 44 | 44 |
Specialty Retail | — | — | 66 | 66 |
Wireless Telecommunication Services | — | — | 196 | 196 |
Total Common Stocks | 4 | — | 324 | 328 |
Convertible Bonds | — | 16 | — | 16 |
Convertible Preferred Stocks | — | — | 441 | 441 |
Corporate Bonds | ||||
Aerospace & Defense | — | 723 | — | 723 |
Air Freight & Logistics | — | 196 | — | 196 |
Automobile Components | — | 107 | — | 107 |
Automobiles | — | 1,472 | — | 1,472 |
Banks | — | 17,376 | — | 17,376 |
Beverages | — | 1,373 | — | 1,373 |
Biotechnology | — | 819 | — | 819 |
Broadline Retail | — | 629 | — | 629 |
Building Products | — | 1,593 | — | 1,593 |
Capital Markets | — | 6,678 | — | 6,678 |
Consumer Finance | — | 3,485 | — | 3,485 |
Consumer Staples Distribution & Retail | — | 1,600 | — | 1,600 |
Containers & Packaging | — | 471 | — | 471 |
Diversified Telecommunication Services | — | 3,100 | — | 3,100 |
Electric Utilities | — | 4,199 | — | 4,199 |
Energy Equipment & Services | — | 15 | — | 15 |
Financial Services | — | 2,421 | — | 2,421 |
Food Products | — | 1,358 | — | 1,358 |
Gas Utilities | — | 877 | — | 877 |
Ground Transportation | — | 739 | — | 739 |
Health Care Equipment & Supplies | — | 1,224 | — | 1,224 |
Health Care Providers & Services | — | 2,468 | — | 2,468 |
Hotels, Restaurants & Leisure | — | 4 | — | 4 |
Insurance | — | 2,892 | — | 2,892 |
Interactive Media & Services | — | 335 | — | 335 |
Life Sciences Tools & Services | — | 713 | — | 713 |
Media | — | 1,228 | — | 1,228 |
Multi-Utilities | — | 1,432 | — | 1,432 |
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Office REITs | $— | $466 | $— | $466 |
Oil, Gas & Consumable Fuels | — | 6,638 | — | 6,638 |
Personal Care Products | — | 408 | — (a) | 408 |
Pharmaceuticals | — | 1,288 | — | 1,288 |
Residential REITs | — | 215 | — | 215 |
Semiconductors & Semiconductor Equipment | — | 596 | — | 596 |
Software | — | 1,560 | — | 1,560 |
Specialized REITs | — | 476 | — | 476 |
Specialty Retail | — | 826 | — | 826 |
Technology Hardware, Storage & Peripherals | — | 469 | — | 469 |
Tobacco | — | 688 | — | 688 |
Wireless Telecommunication Services | — | 1,311 | — | 1,311 |
Total Corporate Bonds | — | 74,468 | — (a) | 74,468 |
Foreign Government Securities | — | 920 | — | 920 |
Loan Assignments | — | 449 | — | 449 |
Mortgage-Backed Securities | — | 41,237 | — | 41,237 |
Preferred Stocks | — | — | 54 | 54 |
U.S. Government Agency Securities | — | 936 | — | 936 |
U.S. Treasury Obligations | — | 23,077 | — | 23,077 |
Warrants | — | — | 12 | 12 |
Short-Term Investments | ||||
Investment Companies | 50,472 | — | — | 50,472 |
U.S. Treasury Obligations | — | 431 | — | 431 |
Total Short-Term Investments | 50,472 | 431 | — | 50,903 |
Total Investments in Securities | $50,476 | $148,813 | $831 * | $200,120 |
Liabilities | ||||
TBA Short Commitment | $— | $(7,172 ) | $— | $(7,172 ) |
Total Liabilities in Securities Sold Short | $— | $(7,172 ) | $— | $(7,172 ) |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $3 | $— | $3 |
Futures Contracts | 83 | — | — | 83 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (11 ) | — | (11 ) |
Futures Contracts | (12 ) | — | — | (12 ) |
Swaps | — | (445 ) | — | (445 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $71 | $(453 ) | $— | $(382 ) |
(a) | Value is zero. |
* | Level 3 securities are valued by brokers and pricing services. At May 31, 2024, the value of these securities was $831. 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 Total Return 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: | |||||||||
Common Stocks | $263 | $— | $61 | $— | $— | $— | $— | $— | $324 |
Convertible Preferred Stocks | 425 | — | 16 | — | — | — | — | — | 441 |
Corporate Bonds | — (a) | — | — | — | — | — | — | — | — (a) |
Preferred Stocks | 47 | — | 7 | — | — | — | — | — | 54 |
Warrants | 13 | — | (1 ) | — | — | — | — | — | 12 |
Total | $748 | $— | $83 | $— | $— | $— | $— | $— | $831 |
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) | Value is zero. |
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 $83.
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 IM Shares, 5.40% (a) (b) | $55,413 | $16,170 | $21,094 | $— (c) | $(17 ) | $50,472 | 50,462 | $734 | $— |
(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) | Amount rounds to less than one thousand. |
C. Derivatives— The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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 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,
JPMorgan Total Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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.