JPMorgan Short Duration Core Plus 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 Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 35.6% | ||
Aerospace & Defense — 0.2% | ||
Boeing Co. (The) 6.30%, 5/1/2029 (a) | 4,635 | 4,673 |
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a) | 1,390 | 1,367 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 329 | 353 |
TransDigm, Inc. | ||
6.38%, 3/1/2029 (a) | 349 | 348 |
6.63%, 3/1/2032 (a) | 348 | 349 |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (b) | 942 | 130 |
7,220 | ||
Automobile Components — 0.2% | ||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | 1,335 | 1,296 |
Allison Transmission, Inc. | ||
5.88%, 6/1/2029 (a) | 855 | 841 |
3.75%, 1/30/2031 (a) | 575 | 498 |
American Axle & Manufacturing, Inc. 6.50%, 4/1/2027 | 1,320 | 1,313 |
Clarios Global LP 6.25%, 5/15/2026 (a) | 1,232 | 1,231 |
Dana, Inc. | ||
5.63%, 6/15/2028 | 425 | 411 |
4.50%, 2/15/2032 | 770 | 653 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 7/15/2029 | 145 | 133 |
5.25%, 7/15/2031 | 1,455 | 1,316 |
Icahn Enterprises LP 5.25%, 5/15/2027 | 1,230 | 1,129 |
8,821 | ||
Automobiles — 0.1% | ||
Hyundai Capital America 3.00%, 2/10/2027 (a) | 4,606 | 4,317 |
Banks — 16.7% | ||
ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a) | 16,158 | 15,911 |
AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (c) | 16,690 | 17,160 |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (c) | 17,400 | 17,387 |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | 3,600 | 3,396 |
Banco Santander SA (Spain) | ||
5.15%, 8/18/2025 | 3,200 | 3,172 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | 16,000 | 14,619 |
6.61%, 11/7/2028 | 4,600 | 4,823 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 0.90%), 2.02%, 2/13/2026 (c) | 7,825 | 7,622 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (c) | 11,420 | 11,338 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | 11,829 | 10,923 |
(SOFR + 1.99%), 6.20%, 11/10/2028 (c) | 9,600 | 9,873 |
(SOFR + 1.57%), 5.82%, 9/15/2029 (c) | 9,680 | 9,844 |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (c) | 18,735 | 17,216 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (c) | 27,945 | 25,761 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
BNP Paribas SA (France) | ||
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (c) | 4,862 | 4,534 |
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (c) | 6,450 | 6,422 |
BPCE SA (France) | ||
4.50%, 3/15/2025 (a) | 8,687 | 8,575 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c) | 26,976 | 25,483 |
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (c) | 3,080 | 3,089 |
CaixaBank SA (Spain) | ||
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (c) | 15,990 | 16,280 |
(SOFR + 1.78%), 5.67%, 3/15/2030 (a) (c) | 5,719 | 5,696 |
Canadian Imperial Bank of Commerce (Canada) 5.26%, 4/8/2029 | 6,080 | 6,061 |
Citigroup, Inc. | ||
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | 12,730 | 12,450 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (c) | 25,390 | 25,380 |
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | 8,730 | 8,120 |
Cooperatieve Rabobank UA (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.66%, 8/22/2028 (a) (c) | 10,450 | 10,188 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (c) | 7,230 | 7,244 |
Credit Agricole SA (France) | ||
4.38%, 3/17/2025 (a) | 24,035 | 23,693 |
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | 19,033 | 18,292 |
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.18%), 6.26%, 9/22/2026 (a) (c) | 6,860 | 6,905 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (c) | 3,170 | 3,173 |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (c) | 11,650 | 11,687 |
Federation des Caisses Desjardins du Quebec (Canada) 5.70%, 3/14/2028 (a) | 8,075 | 8,151 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.54%), 1.65%, 4/18/2026 (c) | 6,255 | 6,034 |
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c) | 13,295 | 13,050 |
(SOFR + 1.46%), 5.55%, 3/4/2030 (c) | 9,570 | 9,571 |
ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 6,355 | 5,927 |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (c) | 13,760 | 13,835 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (c) | 20,510 | 20,736 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | 11,845 | 10,919 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.35%, 9/13/2028 (c) | 11,000 | 10,996 |
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | 14,165 | 13,046 |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c) | 9,818 | 9,066 |
NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (a) | 7,125 | 7,104 |
Santander UK Group Holdings plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c) | 7,000 | 6,646 |
(SOFR + 2.75%), 6.83%, 11/21/2026 (c) | 9,665 | 9,805 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (c) | 3,530 | 3,444 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c) | 15,685 | 14,449 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (c) | 13,285 | 13,565 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 5.52%, 1/13/2028 | 12,115 | 12,238 |
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a) | 10,000 | 10,030 |
Toronto-Dominion Bank (The) (Canada) 5.52%, 7/17/2028 | 9,975 | 10,064 |
UBS AG (Switzerland) 5.00%, 7/9/2027 | 3,000 | 2,966 |
Wells Fargo & Co. | ||
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (c) | 5,080 | 4,956 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (c) | 2,600 | 2,558 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (c) | 12,760 | 12,132 |
(SOFR + 1.74%), 5.57%, 7/25/2029 (c) | 14,415 | 14,497 |
(SOFR + 1.79%), 6.30%, 10/23/2029 (c) | 5,640 | 5,836 |
623,938 | ||
Biotechnology — 0.0% ^ | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 633 | 378 |
Grifols SA (Spain) 4.75%, 10/15/2028 (a) | 1,150 | 1,001 |
1,379 | ||
Broadline Retail — 0.1% | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 1,205 | 1,198 |
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (d) | 739 | 592 |
9.75%, 10/1/2027 (a) | 88 | 88 |
1,878 | ||
Building Products — 0.1% | ||
Griffon Corp. 5.75%, 3/1/2028 | 1,062 | 1,027 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 855 | 801 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 1,048 | 998 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 1,225 | 1,180 |
4,006 | ||
Capital Markets — 4.5% | ||
Deutsche Bank AG (Germany) | ||
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | 3,335 | 3,158 |
(SOFR + 1.22%), 2.31%, 11/16/2027 (c) | 1,915 | 1,760 |
(SOFR + 2.51%), 6.82%, 11/20/2029 (c) | 14,360 | 14,906 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.91%), 1.95%, 10/21/2027 (c) | 12,799 | 11,769 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 29,050 | 26,999 |
Macquarie Group Ltd. (Australia) | ||
(SOFR + 2.21%), 5.11%, 8/9/2026 (a) (c) | 10,000 | 9,942 |
(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (c) | 5,680 | 5,297 |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (c) | 10,310 | 9,410 |
Morgan Stanley | ||
(SOFR + 0.72%), 0.99%, 12/10/2026 (c) | 7,750 | 7,223 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (c) | 18,405 | 16,943 |
(SOFR + 2.24%), 6.30%, 10/18/2028 (c) | 9,600 | 9,875 |
(SOFR + 1.73%), 5.12%, 2/1/2029 (c) | 8,665 | 8,608 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Nomura Holdings, Inc. (Japan) 1.65%, 7/14/2026 | 17,065 | 15,717 |
UBS AG (Switzerland) 7.50%, 2/15/2028 | 15,000 | 16,024 |
UBS Group AG (Switzerland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (a) (c) | 2,865 | 2,664 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (c) | 7,500 | 7,354 |
167,649 | ||
Chemicals — 0.3% | ||
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (e) | 3,250 | 2,722 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | 1,836 | 1,680 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 1,000 | 910 |
NOVA Chemicals Corp. (Canada) | ||
5.25%, 6/1/2027 (a) | 998 | 956 |
9.00%, 2/15/2030 (a) | 405 | 429 |
Rain CII Carbon LLC 7.25%, 4/1/2025 (a) | 20 | 20 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 2,081 | 1,872 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 306 | 250 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 824 | 791 |
5.63%, 8/15/2029 (a) | 497 | 457 |
10,087 | ||
Commercial Services & Supplies — 0.6% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 1,040 | 923 |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | 1,200 | 1,080 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 1,030 | 985 |
Element Fleet Management Corp. (Canada) 3.85%, 6/15/2025 (a) | 14,380 | 14,085 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 975 | 927 |
GFL Environmental, Inc. 4.00%, 8/1/2028 (a) | 1,802 | 1,648 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 1,439 | 1,333 |
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a) | 1,959 | 1,945 |
Williams Scotsman, Inc. 4.63%, 8/15/2028 (a) | 705 | 658 |
23,584 | ||
Communications Equipment — 0.1% | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 1,523 | 1,359 |
8.25%, 3/1/2027 (a) | 905 | 422 |
4.75%, 9/1/2029 (a) | 506 | 364 |
2,145 | ||
Construction & Engineering — 0.1% | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 1,170 | 1,087 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 1,330 | 1,233 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 850 | 778 |
3,098 | ||
Consumer Finance — 1.7% | ||
AerCap Ireland Capital DAC (Ireland) | ||
3.50%, 1/15/2025 | 155 | 153 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
6.45%, 4/15/2027 | 10,625 | 10,876 |
Ally Financial, Inc. 5.75%, 11/20/2025 | 525 | 523 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.50%, 1/15/2026 (a) | 5,000 | 4,947 |
5.75%, 3/1/2029 (a) | 11,575 | 11,494 |
Capital One Financial Corp. (SOFR + 2.08%), 5.47%, 2/1/2029 (c) | 19,895 | 19,735 |
Ford Motor Credit Co. LLC | ||
4.13%, 8/17/2027 | 4,430 | 4,201 |
5.11%, 5/3/2029 | 1,212 | 1,167 |
4.00%, 11/13/2030 | 1,220 | 1,081 |
General Motors Financial Co., Inc. 5.55%, 7/15/2029 | 7,540 | 7,507 |
Navient Corp. 5.88%, 10/25/2024 | 525 | 524 |
OneMain Finance Corp. 7.13%, 3/15/2026 | 1,773 | 1,799 |
64,007 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 2,696 | 2,598 |
3.50%, 3/15/2029 (a) | 258 | 230 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 755 | 736 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) (b) | 1,309 | 655 |
4,219 | ||
Containers & Packaging — 0.3% | ||
Ardagh Packaging Finance plc | ||
4.13%, 8/15/2026 (a) | 810 | 689 |
5.25%, 8/15/2027 (a) | 940 | 552 |
Canpack SA (Poland) 3.88%, 11/15/2029 (a) | 580 | 509 |
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a) | 705 | 664 |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 2,925 | 2,704 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 1,165 | 1,151 |
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a) | 1,675 | 1,707 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 1,150 | 1,142 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (f) | 1,335 | 1,316 |
10,434 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 3.38%, 8/15/2030 | 705 | 604 |
Diversified Telecommunication Services — 0.5% | ||
Altice France SA (France) 5.50%, 10/15/2029 (a) | 1,197 | 803 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 728 | 672 |
4.75%, 3/1/2030 (a) | 3,000 | 2,556 |
4.25%, 2/1/2031 (a) | 6,826 | 5,502 |
4.75%, 2/1/2032 (a) | 615 | 495 |
4.50%, 6/1/2033 (a) | 1,029 | 794 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 1,094 | 1,065 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 1,698 | 1,597 |
JPMorgan Short Duration Core Plus 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 | ||
Lumen Technologies, Inc. | ||
4.13%, 4/15/2029 (a) | 1,728 | 1,111 |
4.13%, 4/15/2030 (a) | 2,414 | 1,544 |
Telecom Italia Capital SA (Italy) | ||
6.38%, 11/15/2033 | 103 | 91 |
6.38%, 11/15/2033 (a) | 607 | 587 |
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a) | 975 | 882 |
17,699 | ||
Electric Utilities — 1.1% | ||
EnfraGen Energia Sur SA (Colombia) 5.38%, 12/30/2030 (e) | 2,200 | 1,843 |
Eskom Holdings SOC Ltd. (South Africa) 7.13%, 2/11/2025 (e) | 2,000 | 1,990 |
Evergy, Inc. 2.45%, 9/15/2024 | 1,300 | 1,288 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 13,680 | 12,829 |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | 1,350 | 1,333 |
Jersey Central Power & Light Co. 4.30%, 1/15/2026 (a) | 230 | 225 |
NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | 4,290 | 4,297 |
NRG Energy, Inc. | ||
3.75%, 6/15/2024 (a) | 10,148 | 10,141 |
5.75%, 1/15/2028 | 1,400 | 1,373 |
5.25%, 6/15/2029 (a) | 1,185 | 1,130 |
PG&E Corp. 5.00%, 7/1/2028 | 1,249 | 1,197 |
Vistra Operations Co. LLC | ||
5.63%, 2/15/2027 (a) | 1,200 | 1,181 |
4.38%, 5/1/2029 (a) | 367 | 340 |
39,167 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 950 | 886 |
Energy Equipment & Services — 0.2% | ||
Archrock Partners LP 6.88%, 4/1/2027 (a) | 800 | 803 |
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 1,610 | 1,463 |
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 675 | 677 |
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 510 | 526 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 432 | 432 |
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (a) | 725 | 752 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 167 | 175 |
USA Compression Partners LP 6.88%, 9/1/2027 | 970 | 970 |
5,798 | ||
Entertainment — 0.1% | ||
Cinemark USA, Inc. 5.25%, 7/15/2028 (a) | 1,160 | 1,083 |
Live Nation Entertainment, Inc. 4.75%, 10/15/2027 (a) | 1,785 | 1,691 |
2,774 | ||
Financial Services — 0.5% | ||
Block, Inc. | ||
2.75%, 6/1/2026 | 419 | 395 |
3.50%, 6/1/2031 | 404 | 346 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Financial Services — continued | ||
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a) | 630 | 653 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 1,070 | 1,055 |
Nationwide Building Society (United Kingdom) (SOFR + 1.91%), 6.56%, 10/18/2027 (a) (c) | 13,625 | 13,895 |
NCR Atleos Corp. 9.50%, 4/1/2029 (a) | 403 | 435 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 912 | 848 |
3.63%, 3/1/2029 (a) | 591 | 528 |
18,155 | ||
Food Products — 0.8% | ||
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | 10,338 | 9,863 |
Post Holdings, Inc. 4.63%, 4/15/2030 (a) | 1,559 | 1,415 |
Viterra Finance BV (Netherlands) | ||
2.00%, 4/21/2026 (a) | 14,555 | 13,556 |
4.90%, 4/21/2027 (a) | 3,820 | 3,752 |
28,586 | ||
Ground Transportation — 0.1% | ||
Avis Budget Car Rental LLC 5.75%, 7/15/2027 (a) | 1,325 | 1,272 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 1,945 | 1,510 |
XPO, Inc. | ||
6.25%, 6/1/2028 (a) | 325 | 324 |
7.13%, 6/1/2031 (a) | 330 | 337 |
3,443 | ||
Health Care Equipment & Supplies — 0.1% | ||
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 1,161 | 1,057 |
6.25%, 4/1/2029 (a) | 340 | 340 |
5.25%, 10/1/2029 (a) | 852 | 803 |
2,200 | ||
Health Care Providers & Services — 0.6% | ||
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 610 | 593 |
5.00%, 4/15/2029 (a) | 100 | 94 |
Community Health Systems, Inc. | ||
5.63%, 3/15/2027 (a) | 2,398 | 2,271 |
6.00%, 1/15/2029 (a) | 1,644 | 1,472 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 1,780 | 1,595 |
Encompass Health Corp. 4.75%, 2/1/2030 | 1,630 | 1,509 |
HCA, Inc. 5.20%, 6/1/2028 | 10,840 | 10,756 |
Tenet Healthcare Corp. | ||
6.25%, 2/1/2027 | 1,371 | 1,370 |
4.63%, 6/15/2028 | 455 | 432 |
4.25%, 6/1/2029 | 923 | 854 |
6.13%, 6/15/2030 | 1,210 | 1,199 |
22,145 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Hotel & Resort REITs — 0.0% ^ | ||
RHP Hotel Properties LP 4.75%, 10/15/2027 | 1,464 | 1,404 |
Hotels, Restaurants & Leisure — 0.5% | ||
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | 1,304 | 1,211 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 1,248 | 1,153 |
Caesars Entertainment, Inc. | ||
4.63%, 10/15/2029 (a) | 1,455 | 1,315 |
6.50%, 2/15/2032 (a) | 311 | 308 |
Carnival Corp. | ||
4.00%, 8/1/2028 (a) | 1,083 | 995 |
6.00%, 5/1/2029 (a) | 1,119 | 1,094 |
Cedar Fair LP 5.25%, 7/15/2029 | 1,115 | 1,050 |
Hilton Domestic Operating Co., Inc. | ||
3.75%, 5/1/2029 (a) | 1,030 | 933 |
4.00%, 5/1/2031 (a) | 126 | 111 |
Marriott Ownership Resorts, Inc. | ||
4.75%, 1/15/2028 | 390 | 364 |
4.50%, 6/15/2029 (a) | 690 | 626 |
MGM Resorts International | ||
5.75%, 6/15/2025 | 629 | 627 |
5.50%, 4/15/2027 | 1,192 | 1,172 |
Royal Caribbean Cruises Ltd. | ||
8.25%, 1/15/2029 (a) | 647 | 681 |
9.25%, 1/15/2029 (a) | 647 | 689 |
7.25%, 1/15/2030 (a) | 335 | 346 |
6.25%, 3/15/2032 (a) | 270 | 269 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 806 | 790 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 1,290 | 1,201 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 1,900 | 1,787 |
16,722 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 1,607 | 1,594 |
Newell Brands, Inc. 6.38%, 9/15/2027 | 940 | 923 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 1,892 | 1,697 |
4,214 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. 5.13%, 2/1/2028 | 1,010 | 972 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 1,350 | 1,245 |
4.38%, 3/31/2029 (a) | 294 | 261 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 840 | 840 |
3,318 | ||
Independent Power and Renewable Electricity Producers — 0.2% | ||
Calpine Corp. | ||
4.50%, 2/15/2028 (a) | 580 | 545 |
5.13%, 3/15/2028 (a) | 665 | 634 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Independent Power and Renewable Electricity Producers — continued | ||
Constellation Energy Generation LLC 5.60%, 3/1/2028 | 6,570 | 6,629 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (e) | 1,190 | 1,197 |
9,005 | ||
Insurance — 0.2% | ||
Athene Global Funding 1.45%, 1/8/2026 (a) | 6,929 | 6,477 |
HUB International Ltd. 7.25%, 6/15/2030 (a) | 910 | 925 |
7,402 | ||
IT Services — 0.1% | ||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 1,100 | 960 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 1,233 | 1,232 |
2,192 | ||
Leisure Products — 0.0% ^ | ||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 1,000 | 983 |
Machinery — 0.1% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 1,045 | 1,076 |
Hillenbrand, Inc. 6.25%, 2/15/2029 | 940 | 935 |
Trinity Industries, Inc. 4.55%, 10/1/2024 | 520 | 519 |
2,530 | ||
Media — 0.9% | ||
Altice Financing SA (Luxembourg) 5.00%, 1/15/2028 (a) | 900 | 711 |
Charter Communications Operating LLC 6.15%, 11/10/2026 | 9,150 | 9,221 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 2,540 | 2,400 |
7.75%, 4/15/2028 (a) | 322 | 278 |
CSC Holdings LLC 6.50%, 2/1/2029 (a) | 3,655 | 2,473 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 721 | 677 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 1,524 | 1,451 |
7.75%, 7/1/2026 | 950 | 604 |
5.25%, 12/1/2026 (a) | 2,380 | 1,895 |
5.75%, 12/1/2028 (a) | 1,045 | 728 |
Gray Television, Inc. | ||
10.50%, 7/15/2029 (a) | 305 | 303 |
5.38%, 11/15/2031 (a) | 1,068 | 593 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 1,315 | 1,006 |
8.38%, 5/1/2027 | 370 | 134 |
5.25%, 8/15/2027 (a) | 430 | 238 |
News Corp. 3.88%, 5/15/2029 (a) | 428 | 388 |
Nexstar Media, Inc. 4.75%, 11/1/2028 (a) | 1,705 | 1,504 |
Outfront Media Capital LLC 4.25%, 1/15/2029 (a) | 1,060 | 957 |
Scripps Escrow II, Inc. 5.38%, 1/15/2031 (a) | 565 | 231 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 455 | 296 |
Sinclair Television Group, Inc. 5.13%, 2/15/2027 (a) | 1,495 | 1,331 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Media — continued | ||
Sirius XM Radio, Inc. | ||
4.00%, 7/15/2028 (a) | 3,583 | 3,207 |
5.50%, 7/1/2029 (a) | 908 | 843 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 1,238 | 1,133 |
Summer BC Bidco B LLC 5.50%, 10/31/2026 (a) | 360 | 351 |
TEGNA, Inc. | ||
4.63%, 3/15/2028 | 162 | 147 |
5.00%, 9/15/2029 | 676 | 594 |
Univision Communications, Inc. 7.38%, 6/30/2030 (a) | 1,365 | 1,294 |
34,988 | ||
Metals & Mining — 0.2% | ||
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (a) | 1,225 | 1,222 |
ATI, Inc. 5.88%, 12/1/2027 | 1,312 | 1,288 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 540 | 539 |
Cleveland-Cliffs, Inc. 5.88%, 6/1/2027 | 670 | 664 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (e) | 3,150 | 3,033 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | 815 | 774 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 1,005 | 929 |
8,449 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% ^ | ||
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a) | 675 | 671 |
Multi-Utilities — 0.1% | ||
Puget Energy, Inc. 2.38%, 6/15/2028 | 4,515 | 4,003 |
Oil, Gas & Consumable Fuels — 1.9% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (a) | 10,999 | 10,204 |
Antero Midstream Partners LP 5.38%, 6/15/2029 (a) | 572 | 548 |
Antero Resources Corp. 7.63%, 2/1/2029 (a) | 675 | 695 |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | 3,088 | 3,051 |
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a) | 660 | 675 |
Buckeye Partners LP | ||
4.13%, 12/1/2027 | 530 | 492 |
4.50%, 3/1/2028 (a) | 725 | 678 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 1,579 | 1,583 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 505 | 504 |
Civitas Resources, Inc. | ||
8.38%, 7/1/2028 (a) | 869 | 912 |
8.75%, 7/1/2031 (a) | 348 | 372 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 1,461 | 1,413 |
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 860 | 910 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 1,471 | 1,345 |
Ecopetrol SA (Colombia) | ||
8.63%, 1/19/2029 | 820 | 854 |
8.38%, 1/19/2036 | 407 | 396 |
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (e) | 1,363 | 1,293 |
JPMorgan Short Duration Core Plus 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 | ||
EQM Midstream Partners LP | ||
4.50%, 1/15/2029 (a) | 1,252 | 1,167 |
4.75%, 1/15/2031 (a) | 527 | 484 |
Genesis Energy LP 7.75%, 2/1/2028 | 1,215 | 1,220 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 14,782 | 14,154 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 1,947 | 1,832 |
Gulfport Energy Corp. | ||
8.00%, 5/17/2026 | 25 | 25 |
8.00%, 5/17/2026 (a) | 514 | 521 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (e) | 1,200 | 1,176 |
6.50%, 6/30/2027 (e) | 1,850 | 1,755 |
Matador Resources Co. 6.50%, 4/15/2032 (a) | 410 | 409 |
NGL Energy Operating LLC | ||
8.13%, 2/15/2029 (a) | 252 | 257 |
8.38%, 2/15/2032 (a) | 252 | 257 |
Northriver Midstream Finance LP (Canada) 5.63%, 2/15/2026 (a) | 130 | 128 |
NuStar Logistics LP | ||
5.63%, 4/28/2027 | 1,010 | 995 |
6.38%, 10/1/2030 | 172 | 171 |
Permian Resources Operating LLC | ||
7.75%, 2/15/2026 (a) | 400 | 403 |
5.88%, 7/1/2029 (a) | 965 | 946 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (e) | 2,300 | 1,943 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 1,800 | 1,767 |
4.50%, 1/23/2026 | 2,800 | 2,649 |
6.88%, 8/4/2026 | 3,950 | 3,853 |
6.49%, 1/23/2027 | 3,600 | 3,425 |
Range Resources Corp. 4.75%, 2/15/2030 (a) | 680 | 631 |
SM Energy Co. 6.63%, 1/15/2027 | 675 | 671 |
Southwestern Energy Co. | ||
5.38%, 2/1/2029 | 815 | 784 |
4.75%, 2/1/2032 | 337 | 305 |
Sunoco LP 4.50%, 5/15/2029 | 1,249 | 1,146 |
Tallgrass Energy Partners LP 6.00%, 12/31/2030 (a) | 1,170 | 1,103 |
Venture Global LNG, Inc. | ||
8.13%, 6/1/2028 (a) | 431 | 440 |
9.50%, 2/1/2029 (a) | 1,675 | 1,817 |
72,359 | ||
Passenger Airlines — 0.1% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 1,950 | 1,932 |
5.75%, 4/20/2029 (a) | 1,050 | 1,015 |
United Airlines, Inc. 4.38%, 4/15/2026 (a) | 776 | 748 |
3,695 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Personal Care Products — 0.0% ^ | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 1,082 | 1,052 |
Pharmaceuticals — 0.2% | ||
Bausch Health Cos., Inc. | ||
5.75%, 8/15/2027 (a) | 2,645 | 2,089 |
5.00%, 1/30/2028 (a) | 1,724 | 977 |
4.88%, 6/1/2028 (a) | 4,298 | 3,148 |
5.25%, 2/15/2031 (a) | 420 | 210 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 425 | 393 |
5.13%, 4/30/2031 (a) | 537 | 475 |
7,292 | ||
Real Estate Management & Development — 0.0% ^ | ||
Anywhere Real Estate Group LLC 5.75%, 1/15/2029 (a) | 905 | 621 |
Semiconductors & Semiconductor Equipment — 0.6% | ||
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a) | 550 | 568 |
Entegris, Inc. 4.38%, 4/15/2028 (a) | 1,145 | 1,071 |
Microchip Technology, Inc. 4.25%, 9/1/2025 | 20,000 | 19,684 |
21,323 | ||
Software — 0.1% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 1,355 | 1,241 |
Elastic NV 4.13%, 7/15/2029 (a) | 605 | 541 |
NCR Voyix Corp. 5.13%, 4/15/2029 (a) | 1,653 | 1,535 |
RingCentral, Inc. 8.50%, 8/15/2030 (a) | 385 | 403 |
3,720 | ||
Specialized REITs — 0.0% ^ | ||
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | 689 | 665 |
Specialty Retail — 0.3% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 825 | 779 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 430 | 418 |
7.50%, 6/15/2029 | 895 | 919 |
6.88%, 11/1/2035 | 1,190 | 1,200 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 1,010 | 874 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 1,036 | 946 |
Lithia Motors, Inc. | ||
4.63%, 12/15/2027 (a) | 274 | 261 |
3.88%, 6/1/2029 (a) | 1,030 | 917 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 1,131 | 1,050 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 1,275 | 1,268 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 907 | 907 |
10.75%, 4/15/2027 (a) | 750 | 668 |
10.75%, 9/1/2029 (a) (g) | 1,040 | 1,006 |
11,213 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
8.25%, 12/15/2029 (a) | 304 | 325 |
4.13%, 1/15/2031 | 1,060 | 931 |
8.50%, 7/15/2031 (a) | 76 | 81 |
1,337 | ||
Tobacco — 0.3% | ||
BAT Capital Corp. (United Kingdom) 2.79%, 9/6/2024 | 9,615 | 9,537 |
Trading Companies & Distributors — 0.5% | ||
Air Lease Corp. | ||
2.30%, 2/1/2025 | 12,700 | 12,401 |
3.38%, 7/1/2025 | 3,960 | 3,863 |
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (a) | 650 | 671 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 795 | 776 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 860 | 800 |
United Rentals North America, Inc. | ||
4.88%, 1/15/2028 | 614 | 591 |
5.25%, 1/15/2030 | 500 | 480 |
WESCO Distribution, Inc. 7.13%, 6/15/2025 (a) | 739 | 739 |
20,321 | ||
Wireless Telecommunication Services — 0.0% ^ | ||
Altice France Holding SA (Luxembourg) 6.00%, 2/15/2028 (a) | 1,805 | 562 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 1,181 | 481 |
1,043 | ||
Total Corporate Bonds (Cost $1,384,511) | 1,328,298 | |
Asset-Backed Securities — 18.2% | ||
ACC Trust Series 2022-1, Class B, 2.55%, 2/20/2025 (a) | 2,107 | 2,072 |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 1,655 | 1,513 |
ACM Auto Trust Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | 1,185 | 1,186 |
American Credit Acceptance Receivables Trust | ||
Series 2021-2, Class D, 1.34%, 7/13/2027 (a) | 5,641 | 5,543 |
Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | 2,109 | 2,125 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 2,000 | 2,000 |
Series 2024-2, Class C, 6.24%, 4/12/2030 (a) | 5,091 | 5,099 |
AMSR Trust | ||
Series 2021-SFR1, Class C, 2.35%, 6/17/2038 (a) | 581 | 504 |
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 2,700 | 2,450 |
Series 2021-SFR3, Class E2, 2.43%, 10/17/2038 (a) | 5,500 | 4,973 |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | 1,821 | 1,626 |
Series 2023-SFR2, Class B, 3.95%, 6/17/2040 (a) | 1,500 | 1,386 |
Amur Equipment Finance Receivables LLC Series 2022-1A, Class D, 2.91%, 8/21/2028 (a) | 3,210 | 3,072 |
Aqua Finance Trust | ||
Series 2020-AA, Class A, 1.90%, 7/17/2046 (a) | 618 | 573 |
Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | 2,187 | 1,802 |
AREIT Trust Series 2021-CRE5, Class C, 7.69%, 11/17/2038 ‡ (a) (h) | 20,131 | 19,377 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 6.67%, 4/22/2031 (a) (h) | 3,936 | 3,939 |
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class D, 6.36%, 7/16/2029 (a) | 1,500 | 1,500 |
BOF Funding Trust Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | 1,006 | 981 |
Bridgecrest Lending Auto Securitization Trust | ||
Series 2024-1, Class C, 5.65%, 4/16/2029 | 4,000 | 3,986 |
Series 2023-1, Class C, 7.10%, 8/15/2029 | 1,750 | 1,792 |
Series 2024-1, Class D, 6.03%, 11/15/2029 | 3,500 | 3,496 |
Business Jet Securities LLC | ||
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 4,672 | 4,393 |
Series 2024-1A, Class B, 6.92%, 5/15/2039 (a) | 1,958 | 1,974 |
BXMT Ltd. | ||
Series 2021-FL4, Class A, 6.49%, 5/15/2038 (a) (h) | 2,889 | 2,775 |
Series 2021-FL4, Class C, 7.19%, 5/15/2038 (a) (h) | 1,750 | 1,485 |
CarNow Auto Receivables Trust | ||
Series 2021-2A, Class D, 2.25%, 3/15/2027 (a) | 6,696 | 6,550 |
Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | 6,145 | 5,919 |
CARS-DB4 LP | ||
Series 2020-1A, Class A4, 3.19%, 2/15/2050 (a) | 1,478 | 1,438 |
Series 2020-1A, Class B1, 4.17%, 2/15/2050 (a) | 1,500 | 1,461 |
Carvana Auto Receivables Trust Series 2024-N1, Class C, 5.80%, 5/10/2030 (a) | 2,750 | 2,753 |
Cascade MH Asset Trust Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (h) | 3,035 | 2,792 |
CF Hippolyta Issuer LLC Series 2021-1A, Class B1, 1.98%, 3/15/2061 (a) | 2,243 | 1,990 |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | 3,100 | 2,998 |
CPS Auto Receivables Trust | ||
Series 2020-A, Class E, 4.09%, 12/15/2025 (a) | 894 | 893 |
Series 2020-C, Class D, 2.41%, 11/16/2026 (a) | 358 | 357 |
Series 2021-A, Class D, 1.16%, 12/15/2026 (a) | 1,354 | 1,332 |
Series 2020-C, Class E, 4.22%, 5/17/2027 (a) | 18,450 | 18,215 |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | 15,550 | 15,052 |
Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | 11,479 | 10,979 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-2A, Class C, 1.64%, 6/17/2030 (a) | 1,553 | 1,550 |
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 2,500 | 2,457 |
Series 2023-2A, Class B, 6.61%, 7/15/2033 (a) | 2,250 | 2,275 |
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a) | 6,500 | 6,684 |
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a) | 1,050 | 1,085 |
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a) | 1,334 | 1,357 |
Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | 3,150 | 3,235 |
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | 3,450 | 3,484 |
Diamond Resorts Owner Trust Series 2021-1A, Class C, 2.70%, 11/21/2033 (a) | 288 | 273 |
Driven Brands Funding LLC Series 2021-1A, Class A2, 2.79%, 10/20/2051 (a) | 5,154 | 4,476 |
DT Auto Owner Trust | ||
Series 2020-3A, Class D, 1.84%, 6/15/2026 (a) | 1,750 | 1,715 |
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | 1,567 | 1,521 |
Series 2021-2A, Class D, 1.50%, 2/16/2027 (a) | 3,611 | 3,508 |
Series 2020-1A, Class E, 3.48%, 2/16/2027 (a) | 10,000 | 9,944 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 18,750 | 17,746 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 7,714 | 7,267 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Elara HGV Timeshare Issuer LLC Series 2021-A, Class B, 1.74%, 8/27/2035 (a) | 2,015 | 1,851 |
Exeter Automobile Receivables Trust | ||
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a) | 4,203 | 4,118 |
Series 2019-4A, Class E, 3.56%, 10/15/2026 (a) | 13,000 | 12,944 |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | 865 | 858 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 13,533 | 12,974 |
Series 2021-4A, Class D, 1.96%, 1/17/2028 | 15,065 | 14,390 |
First Investors Auto Owner Trust | ||
Series 2021-1A, Class C, 1.17%, 3/15/2027 (a) | 1,754 | 1,724 |
Series 2023-1A, Class B, 6.55%, 12/17/2029 (a) | 3,264 | 3,316 |
FirstKey Homes Trust Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | 6,000 | 5,443 |
Flagship Credit Auto Trust Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | 4,361 | 4,098 |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 6,454 | 5,845 |
FRTKL | ||
Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 6,762 | 6,090 |
Series 2021-SFR1, Class E1, 2.37%, 9/17/2038 (a) | 3,750 | 3,335 |
Galaxy CLO Ltd. (Cayman Islands) Series 2018-26A, Class BR, 7.93%, 11/22/2031 (a) (h) | 6,376 | 6,376 |
GLS Auto Receivables Issuer Trust | ||
Series 2020-4A, Class D, 1.64%, 10/15/2026 (a) | 1,917 | 1,889 |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 9,800 | 9,301 |
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | 5,768 | 5,429 |
Granite Park Equipment Leasing LLC Series 2023-1A, Class D, 7.00%, 8/22/2033 (a) | 1,000 | 980 |
Hilton Grand Vacations Trust Series 2024-2A, Class C, 5.99%, 3/25/2038 (a) | 5,011 | 5,016 |
Home Partners of America Trust | ||
Series 2021-2, Class E1, 2.85%, 12/17/2026 (a) | 9,610 | 8,651 |
Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | 456 | 392 |
Lendbuzz Securitization Trust | ||
Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | 2,017 | 1,972 |
Series 2022-1A, Class A, 4.22%, 5/17/2027 (a) | 979 | 964 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | 4,530 | 4,503 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | 2,966 | 2,954 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 591 | 578 |
Lendmark Funding Trust | ||
Series 2021-1A, Class B, 2.47%, 11/20/2031 (a) | 2,750 | 2,430 |
Series 2021-2A, Class A, 2.00%, 4/20/2032 (a) | 4,444 | 4,014 |
Series 2023-1A, Class D, 8.69%, 5/20/2033 (a) | 2,100 | 2,155 |
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (a) | 3,244 | 3,252 |
Magnetite Ltd. (Cayman Islands) Series 2020-25A, Class A, 6.79%, 1/25/2032 (a) (h) | 1,896 | 1,902 |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 6,885 | 6,333 |
Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | 4,366 | 4,385 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 5,767 | 5,808 |
Morgan Stanley ABS Capital I, Inc. Trust Series 2004-SD1, Class A, 6.24%, 8/25/2034 (h) | 140 | 137 |
MVW LLC Series 2024-1A, Class B, 5.51%, 2/20/2043 (a) | 2,026 | 2,014 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2018-29A, Class B1R, 7.13%, 10/19/2031 (a) (h) | 5,769 | 5,772 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 2,730 | 2,443 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 7,114 | 6,709 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 2,532 | 2,348 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
OCP CLO Ltd. (Cayman Islands) Series 2014-6A, Class A2R2, 6.82%, 10/17/2030 (a) (h) | 6,923 | 6,937 |
Octagon Investment Partners Ltd. (Cayman Islands) Series 2017-1A, Class A2R, 7.04%, 3/17/2030 (a) (h) | 2,580 | 2,577 |
Octane Receivables Trust Series 2023-1A, Class C, 6.37%, 9/20/2029 (a) | 1,709 | 1,718 |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | 3,744 | 3,802 |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 1,397 | 1,354 |
Oportun Issuance Trust | ||
Series 2021-B, Class A, 1.47%, 5/8/2031 (a) | 4,384 | 4,143 |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 2,665 | 2,525 |
Series 2022-A, Class B, 5.25%, 6/9/2031 (a) | 1,900 | 1,848 |
Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | 4,500 | 4,260 |
Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | 2,461 | 2,415 |
Pagaya AI Debt Trust Series 2023-1, Class A, 7.56%, 7/15/2030 (a) | 526 | 528 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2022-2A, Class A2, 7.23%, 10/15/2030 (a) (h) | 9,220 | 9,238 |
Series 2024-3A, Class A2, 0.00%, 8/8/2032 (a) (g) (h) | 8,561 | 8,561 |
Pawneee Equipment Receivables LLC Series 2021-1, Class B, 1.82%, 7/15/2027 (a) | 2,066 | 1,998 |
PowerPay Issuance Trust Series 2024-1A, Class A, 6.53%, 2/18/2039 (a) | 1,554 | 1,551 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (f) | 3,091 | 3,000 |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (f) | 1,869 | 1,826 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (h) | 4,020 | 3,918 |
Pretium Mortgage Credit Partners I LLC | ||
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (f) | 4,476 | 4,376 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (f) | 6,509 | 6,347 |
Progress Residential Series 2021-SFR1, Class D, 1.81%, 4/17/2038 (a) | 3,171 | 2,932 |
Progress Residential Trust | ||
Series 2021-SFR6, Class C, 1.86%, 7/17/2038 (a) | 6,250 | 5,712 |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 6,500 | 5,852 |
Series 2022-SFR6, Class C, 5.20%, 7/20/2039 (a) | 2,000 | 1,950 |
Series 2024-SFR1, Class D, 3.75%, 2/17/2041 (a) | 3,375 | 3,020 |
PRPM LLC | ||
Series 2021-2, Class A1, 5.11%, 3/25/2026 (a) (h) | 1,834 | 1,818 |
Series 2021-4, Class A1, 4.87%, 4/25/2026 (a) (f) | 8,132 | 8,056 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (f) | 3,286 | 3,180 |
Series 2021-8, Class A1, 1.74%, 9/25/2026 (a) (h) | 4,901 | 4,707 |
Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (f) | 1,578 | 1,547 |
Purchasing Power Funding LLC | ||
Series 2024-A, Class B, 6.43%, 8/15/2028 (a) | 750 | 748 |
Series 2024-A, Class C, 6.80%, 8/15/2028 (a) | 2,700 | 2,695 |
Regional Management Issuance Trust Series 2021-1, Class A, 1.68%, 3/17/2031 (a) | 4,279 | 4,156 |
Republic Finance Issuance Trust Series 2021-A, Class B, 2.80%, 12/22/2031 (a) | 1,000 | 931 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class D, 1.57%, 1/15/2027 (a) | 1,500 | 1,422 |
Santander Drive Auto Receivables Trust | ||
Series 2022-6, Class D, 5.69%, 2/18/2031 | 7,000 | 6,967 |
Series 2023-5, Class C, 6.43%, 2/18/2031 | 2,000 | 2,052 |
Series 2023-4, Class C, 6.04%, 12/15/2031 | 8,700 | 8,794 |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | 2,390 | 2,352 |
SCF Equipment Leasing LLC Series 2022-2A, Class C, 6.50%, 8/20/2032 (a) | 2,250 | 2,270 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Sierra Timeshare Receivables Funding LLC | ||
Series 2021-1A, Class B, 1.34%, 11/20/2037 (a) | 341 | 323 |
Series 2021-1A, Class C, 1.79%, 11/20/2037 (a) | 303 | 287 |
Series 2024-1A, Class B, 5.35%, 1/20/2043 (a) | 2,657 | 2,632 |
Stonepeak ABS Series 2021-1A, 3.82%, 2/28/2033 ‡ (a) | 2,484 | 2,268 |
Symphony CLO Ltd. (Cayman Islands) Series 2015-16A, Class B1RR, 7.02%, 10/15/2031 (a) (h) | 5,822 | 5,822 |
Tricon Residential Trust Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | 3,760 | 3,430 |
Upstart Pass-Through Trust | ||
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | 666 | 652 |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 1,814 | 1,782 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 2,408 | 2,372 |
Upstart Securitization Trust | ||
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | 5,219 | 5,150 |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | 10,422 | 10,295 |
Vantage Data Centers Issuer LLC Series 2019-1A, Class A2, 3.19%, 7/15/2044 (a) | 597 | 594 |
VCAT LLC | ||
Series 2021-NPL3, Class A1, 4.74%, 5/25/2051 (a) (f) | 6,088 | 5,904 |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (f) | 4,227 | 4,151 |
Venture CLO Ltd. (Cayman Islands) Series 2019-36A, Class A1AR, 6.72%, 4/20/2032 (a) (h) | 11,936 | 11,945 |
Verdant Receivables LLC Series 2024-1A, Class A2, 5.68%, 12/12/2031 (a) | 5,383 | 5,385 |
Veros Auto Receivables Trust | ||
Series 2024-1, Class A, 6.28%, 11/15/2027 (a) | 1,786 | 1,786 |
Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | 7,250 | 7,476 |
Series 2022-1, Class D, 7.23%, 7/16/2029 (a) | 1,000 | 988 |
VFI ABS LLC Series 2023-1A, Class A, 7.27%, 3/26/2029 (a) | 1,885 | 1,891 |
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (a) (f) | 2,451 | 2,380 |
VOLT CI LLC Series 2021-NP10, Class A1, 4.99%, 5/25/2051 (a) (f) | 4,093 | 3,987 |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (f) | 2,611 | 2,520 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (f) | 5,316 | 5,139 |
VOLT CVI LLC Series 2021-NP12, Class A1, 2.73%, 12/26/2051 (a) (f) | 3,427 | 3,314 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 4.89%, 2/27/2051 (a) (f) | 1,463 | 1,432 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (a) (f) | 5,791 | 5,677 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (f) | 4,139 | 4,084 |
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (f) | 3,746 | 3,705 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (f) | 2,397 | 2,364 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (f) | 3,207 | 3,165 |
VStrong Auto Receivables Trust Series 2023-A, Class B, 7.11%, 2/15/2030 (a) | 2,500 | 2,552 |
Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a) | 115 | 115 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 5,000 | 4,802 |
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a) | 13,000 | 12,538 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 3,000 | 3,046 |
Total Asset-Backed Securities (Cost $699,659) | 678,657 | |
U.S. Treasury Obligations — 16.9% | ||
U.S. Treasury Notes | ||
3.25%, 8/31/2024 | 1,420 | 1,412 |
4.13%, 6/15/2026 | 3,010 | 2,967 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — continued | ||
4.50%, 7/15/2026 | 51,670 | 51,315 |
4.38%, 8/15/2026 | 49,485 | 49,019 |
4.63%, 9/15/2026 | 6,865 | 6,838 |
4.38%, 12/15/2026 | 10,255 | 10,164 |
4.00%, 1/15/2027 | 143,150 | 140,595 |
4.13%, 2/15/2027 | 174,160 | 171,589 |
4.25%, 3/15/2027 | 5,940 | 5,871 |
4.50%, 4/15/2027 | 85,845 | 85,429 |
4.50%, 5/15/2027 | 56,175 | 55,912 |
3.25%, 6/30/2027 | 2,140 | 2,055 |
4.13%, 10/31/2027 | 214 | 211 |
3.50%, 1/31/2028 | 1,690 | 1,628 |
4.00%, 6/30/2028 | 33,625 | 32,924 |
4.63%, 9/30/2028 | 8,230 | 8,252 |
4.38%, 11/30/2028 | 1,695 | 1,684 |
3.75%, 12/31/2028 | 3,290 | 3,184 |
Total U.S. Treasury Obligations (Cost $634,642) | 631,049 | |
Mortgage-Backed Securities — 11.2% | ||
FHLMC | ||
Pool # 841360, ARM, 5.94%, 11/1/2046 (h) | 18,580 | 18,855 |
Pool # 841368, ARM, 6.96%, 9/1/2047 (h) | 5,944 | 6,050 |
FHLMC Gold Pools, 15 Year Pool # G18528, 3.50%, 10/1/2029 | 1,722 | 1,660 |
FHLMC Gold Pools, 20 Year Pool # C91649, 3.00%, 4/1/2033 | 26 | 24 |
FHLMC Gold Pools, 30 Year Pool # G61879, 4.50%, 3/1/2047 | 152 | 146 |
FHLMC UMBS, 10 Year | ||
Pool # RD5034, 2.00%, 9/1/2030 | 20,765 | 19,253 |
Pool # RD5053, 2.00%, 3/1/2031 | 13,469 | 12,423 |
FHLMC UMBS, 15 Year | ||
Pool # SB0041, 3.50%, 7/1/2034 | 1,943 | 1,846 |
Pool # SB0725, 4.00%, 8/1/2037 | 19,913 | 19,168 |
Pool # SB8184, 4.00%, 10/1/2037 | 9,869 | 9,469 |
Pool # SB8189, 4.00%, 11/1/2037 | 17,677 | 16,960 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1703, 4.00%, 1/1/2049 | 11,294 | 10,436 |
Pool # SD8233, 5.00%, 7/1/2052 | 7,347 | 7,083 |
Pool # SD8343, 6.00%, 7/1/2053 | 36,878 | 36,940 |
FNMA UMBS, 15 Year | ||
Pool # BM4202, 3.50%, 12/1/2029 | 2,745 | 2,646 |
Pool # AL9552, 3.50%, 8/1/2031 | 200 | 192 |
Pool # AS9697, 3.50%, 5/1/2032 | 70 | 66 |
Pool # FM1156, 2.50%, 4/1/2033 | 5,533 | 5,148 |
Pool # CB1216, 2.50%, 7/1/2036 | 9,110 | 8,199 |
Pool # FS1563, 2.50%, 7/1/2036 | 3,284 | 2,956 |
Pool # MA4640, 3.50%, 6/1/2037 | 8,994 | 8,455 |
Pool # FS2930, 4.00%, 9/1/2037 | 10,399 | 9,977 |
Pool # MA4776, 4.00%, 10/1/2037 | 7,694 | 7,382 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
FNMA UMBS, 20 Year | ||
Pool # MA1446, 3.50%, 5/1/2033 | 125 | 118 |
Pool # MA1527, 3.00%, 8/1/2033 | 82 | 76 |
Pool # MA1921, 3.50%, 6/1/2034 | 4,411 | 4,161 |
Pool # FM3933, 3.00%, 6/1/2037 | 20,119 | 18,473 |
Pool # CA1791, 3.50%, 2/1/2038 | 8,183 | 7,700 |
Pool # FM3075, 3.50%, 11/1/2039 | 23,113 | 21,352 |
Pool # CA8310, 2.50%, 12/1/2040 | 12,823 | 11,067 |
FNMA UMBS, 30 Year | ||
Pool # AB1463, 4.00%, 9/1/2040 | 5,071 | 4,774 |
Pool # FM2972, 4.00%, 12/1/2044 | 25,772 | 23,999 |
Pool # AL7453, 4.00%, 2/1/2045 | 3,291 | 3,102 |
Pool # FS2237, 4.00%, 10/1/2046 | 26,490 | 24,803 |
Pool # FS1847, 4.00%, 1/1/2049 | 7,834 | 7,261 |
Pool # FS1891, 4.00%, 1/1/2050 | 25,572 | 23,628 |
Pool # FS0085, 4.00%, 11/1/2050 | 13,509 | 12,484 |
Pool # MA4842, 5.50%, 12/1/2052 | 7,801 | 7,677 |
FNMA, Other | ||
Pool # BF0125, 4.00%, 7/1/2056 | 8,435 | 7,672 |
Pool # BF0144, 3.50%, 10/1/2056 | 4,905 | 4,290 |
Pool # BF0184, 4.00%, 2/1/2057 | 2,542 | 2,312 |
Pool # BF0263, 3.50%, 5/1/2058 | 4,941 | 4,321 |
GNMA II, 30 Year | ||
Pool # MA8201, 4.50%, 8/20/2052 | 3,463 | 3,278 |
Pool # MA8429, 5.50%, 11/20/2052 | 19,462 | 19,325 |
Total Mortgage-Backed Securities (Cost $441,479) | 417,207 | |
Commercial Mortgage-Backed Securities — 7.2% | ||
Ashford Hospitality Trust Series 2018-KEYS, Class B, 6.94%, 6/15/2035 (a) (h) | 600 | 591 |
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (a) (h) | 500 | 500 |
BX | ||
Series 2021-MFM1, Class D, 6.93%, 1/15/2034 (a) (h) | 1,533 | 1,515 |
Series 2021-MFM1, Class E, 7.68%, 1/15/2034 (a) (h) | 1,951 | 1,926 |
BX Commercial Mortgage Trust Series 2024-MF, Class B, 7.01%, 2/15/2039 (a) (h) | 800 | 799 |
Citigroup Commercial Mortgage Trust | ||
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | 3,900 | 3,812 |
Series 2015-GC27, Class C, 4.42%, 2/10/2048 (h) | 10,337 | 9,869 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (h) | 3,600 | 3,379 |
Series 2015-GC31, Class C, 4.03%, 6/10/2048 (h) | 530 | 373 |
Series 2015-GC33, Class B, 4.57%, 9/10/2058 (h) | 3,500 | 3,216 |
Commercial Mortgage Trust | ||
Series 2020-CBM, Class D, 3.63%, 2/10/2037 (a) (h) | 3,370 | 3,235 |
Series 2014-CR14, Class B, 3.71%, 2/10/2047 (h) | 2,556 | 2,427 |
Series 2014-UBS3, Class B, 4.31%, 6/10/2047 | 2,000 | 1,797 |
Series 2014-CR19, Class D, 4.64%, 8/10/2047 (a) (h) | 3,291 | 2,942 |
Series 2014-UBS5, Class C, 4.57%, 9/10/2047 (h) | 2,750 | 2,522 |
Series 2014-CR20, Class C, 4.45%, 11/10/2047 (h) | 1,000 | 975 |
Series 2014-CR21, Class D, 3.91%, 12/10/2047 (a) (h) | 2,665 | 2,446 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-CR23, Class D, 4.29%, 5/10/2048 (h) | 2,000 | 1,804 |
Series 2015-LC21, Class D, 4.31%, 7/10/2048 (h) | 1,000 | 899 |
Series 2015-CR25, Class B, 4.52%, 8/10/2048 (h) | 5,899 | 5,727 |
Series 2015-CR26, Class B, 4.46%, 10/10/2048 (h) | 2,550 | 2,435 |
Series 2015-PC1, Class B, 4.28%, 7/10/2050 (h) | 3,150 | 2,980 |
CSAIL Commercial Mortgage Trust Series 2015-C4, Class E, 3.55%, 11/15/2048 (h) | 2,973 | 2,602 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 7.32%, 1/25/2051 (a) (h) | 414 | 407 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KC03, Class X1, IO, 0.47%, 11/25/2024 (h) | 51,204 | 100 |
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (h) | 34,862 | 226 |
Series K734, Class X3, IO, 2.17%, 7/25/2026 (h) | 35,700 | 1,291 |
Series KC05, Class X1, IO, 1.22%, 6/25/2027 (h) | 26,375 | 636 |
Series K068, Class X1, IO, 0.42%, 8/25/2027 (h) | 230,452 | 2,729 |
Series K739, Class X1, IO, 1.20%, 9/25/2027 (h) | 63,352 | 1,862 |
Series K078, Class X1, IO, 0.08%, 6/25/2028 (h) | 48,608 | 219 |
Series K090, Class X3, IO, 2.31%, 10/25/2029 (h) | 32,598 | 3,147 |
Series K112, Class X1, IO, 1.43%, 5/25/2030 (h) | 24,812 | 1,693 |
Series Q012, Class X, IO, 4.07%, 9/25/2035 (h) | 12,069 | 1,991 |
Series K061, Class X3, IO, 1.98%, 12/25/2044 (h) | 2,775 | 115 |
Series K070, Class X3, IO, 2.04%, 12/25/2044 (h) | 16,537 | 983 |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (h) | 1,200 | 80 |
Series K087, Class X3, IO, 2.32%, 1/25/2046 (h) | 14,050 | 1,209 |
Series K097, Class X3, IO, 2.02%, 9/25/2046 (h) | 20,477 | 1,794 |
Series K104, Class X3, IO, 1.90%, 2/25/2047 (h) | 25,300 | 2,202 |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (h) | 9,575 | 884 |
Series K735, Class X3, IO, 2.15%, 5/25/2047 (h) | 40,532 | 1,573 |
Series K093, Class X3, IO, 2.21%, 5/25/2047 (h) | 50,000 | 4,485 |
Series K095, Class X3, IO, 2.10%, 8/25/2047 (h) | 25,000 | 2,255 |
Series K736, Class X3, IO, 2.01%, 9/25/2047 (h) | 50,000 | 1,969 |
Series K099, Class X3, IO, 1.95%, 10/25/2047 (h) | 13,745 | 1,150 |
Series K105, Class X3, IO, 1.92%, 3/25/2048 (h) | 40,058 | 3,680 |
Series K111, Class X3, IO, 3.18%, 4/25/2048 (h) | 15,644 | 2,400 |
Series K110, Class X3, IO, 3.40%, 6/25/2048 (h) | 15,544 | 2,454 |
Series K114, Class X3, IO, 2.74%, 8/25/2048 (h) | 10,750 | 1,398 |
Series K115, Class X3, IO, 2.96%, 9/25/2048 (h) | 21,273 | 3,037 |
Series K125, Class X3, IO, 2.65%, 2/25/2049 (h) | 15,690 | 2,161 |
FNMA ACES | ||
Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (h) | 46,514 | 3,248 |
Series 2019-M21, Class X2, IO, 1.28%, 2/25/2031 (h) | 28,596 | 1,369 |
Series 2020-M37, Class X, IO, 1.03%, 4/25/2032 (h) | 69,322 | 3,039 |
FREMF Series 2018-KF46, Class B, 7.39%, 3/25/2028 (a) (h) | 151 | 140 |
FREMF Mortgage Trust | ||
Series 2017-KF34, Class B, 8.14%, 8/25/2024 (a) (h) | 2,974 | 2,969 |
Series 2017-KF38, Class B, 7.94%, 9/25/2024 (a) (h) | 59 | 59 |
Series 2017-KF39, Class B, 7.94%, 11/25/2024 (a) (h) | 99 | 98 |
Series 2018-KF42, Class B, 7.64%, 12/25/2024 (a) (h) | 968 | 958 |
Series 2018-KF53, Class B, 7.49%, 10/25/2025 (h) | 369 | 360 |
Series 2019-KC03, Class B, 4.37%, 1/25/2026 (a) (h) | 5,000 | 4,770 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2019-KF60, Class B, 7.79%, 2/25/2026 (a) (h) | 970 | 942 |
Series 2019-KF62, Class B, 7.49%, 4/25/2026 (a) (h) | 212 | 201 |
Series 2019-KC06, Class B, 3.82%, 9/25/2026 (a) (h) | 7,600 | 6,977 |
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a) | 98,803 | 323 |
Series 2018-K82, Class D, PO, 10/25/2028 (a) | 9,393 | 6,396 |
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a) | 24,695 | 88 |
Series 2017-K68, Class D, PO, 10/25/2049 (a) | 8,000 | 5,908 |
GS Mortgage Securities Trust | ||
Series 2013-GC10, Class C, 4.29%, 2/10/2046 (a) (h) | 2,174 | 2,044 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (h) | 2,250 | 1,081 |
Series 2015-GC30, Class C, 4.07%, 5/10/2050 (h) | 3,695 | 3,338 |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | 3,500 | 3,293 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class C, 4.23%, 7/15/2048 (h) | 7,732 | 6,138 |
Series 2015-C31, Class B, 4.62%, 8/15/2048 (h) | 4,410 | 3,959 |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (h) | 3,360 | 2,854 |
Series 2016-C1, Class D1, 4.20%, 3/17/2049 (a) (h) | 4,600 | 3,898 |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.50%, 3/15/2050 (a) (h) | 3,725 | 2,928 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 4.89%, 12/15/2046 (a) (h) | 869 | 767 |
Life Mortgage Trust Series 2021-BMR, Class C, 6.53%, 3/15/2038 (a) (h) | 2,757 | 2,695 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 7.03%, 4/15/2038 (a) (h) | 1,887 | 1,876 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C17, Class C, 4.40%, 8/15/2047 (h) | 5,411 | 5,322 |
Series 2014-C17, Class D, 4.64%, 8/15/2047 (a) (h) | 2,000 | 1,937 |
Series 2014-C18, Class B, 4.37%, 10/15/2047 (h) | 6,000 | 5,905 |
Series 2014-C18, Class C, 4.41%, 10/15/2047 (h) | 4,366 | 4,195 |
Series 2015-C20, Class C, 4.42%, 2/15/2048 (h) | 5,400 | 5,158 |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | 3,150 | 2,743 |
Series 2015-C24, Class C, 4.32%, 5/15/2048 (h) | 2,060 | 1,866 |
Series 2016-C31, Class B, 3.88%, 11/15/2049 (h) | 2,577 | 2,274 |
Series 2015-C23, Class D, 4.14%, 7/15/2050 (a) (h) | 2,000 | 1,846 |
Morgan Stanley Capital I Trust | ||
Series 2018-SUN, Class B, 6.82%, 7/15/2035 (a) (h) | 250 | 250 |
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (h) | 5,450 | 5,122 |
Series 2020-HR8, Class XA, IO, 1.83%, 7/15/2053 (h) | 20,975 | 1,778 |
MRCD MARK Mortgage Trust | ||
Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a) | 6,960 | 6,198 |
Series 2019-PARK, Class B, 2.72%, 12/15/2036 (a) | 6,000 | 4,968 |
Series 2019-PARK, Class D, 2.72%, 12/15/2036 (a) | 2,000 | 1,356 |
Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | 7,500 | 4,709 |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 275 | 247 |
STWD Mortgage Trust (Cayman Islands) | ||
Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (h) | 3,600 | 3,568 |
Series 2021-LIH, Class C, 7.39%, 11/15/2036 (a) (h) | 2,200 | 2,172 |
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (h) | 835 | 795 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-C27, Class C, 3.89%, 2/15/2048 | 2,500 | 2,203 |
Series 2015-C29, Class C, 4.22%, 6/15/2048 (h) | 3,750 | 3,426 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2018-C43, Class A3, 3.75%, 3/15/2051 | 831 | 785 |
Series 2015-LC22, Class D, 4.54%, 9/15/2058 (h) | 10,106 | 9,233 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11, Class B, 3.71%, 3/15/2045 (h) | 45 | 42 |
Series 2014-C22, Class C, 3.75%, 9/15/2057 (h) | 8,583 | 7,043 |
Series 2014-C22, Class D, 3.89%, 9/15/2057 (a) (h) | 1,000 | 501 |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (h) | 3,000 | 2,680 |
Total Commercial Mortgage-Backed Securities (Cost $298,621) | 267,939 | |
Collateralized Mortgage Obligations — 5.9% | ||
Alternative Loan Trust Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 130 | 113 |
Angel Oak Mortgage Trust | ||
Series 2019-5, Class A3, 2.92%, 10/25/2049 (a) (h) | 323 | 313 |
Series 2019-5, Class B1, 3.96%, 10/25/2049 (a) (h) | 1,060 | 943 |
Angel Oak Mortgage Trust I LLC Series 2018-3, Class B1, 5.04%, 9/25/2048 (a) (h) | 4,000 | 3,625 |
Arroyo Mortgage Trust | ||
Series 2019-1, Class A1, 3.80%, 1/25/2049 (a) (h) | 67 | 63 |
Series 2019-2, Class A3, 3.80%, 4/25/2049 (a) (h) | 158 | 150 |
CFMT LLC Series 2024-HB13, Class M1, 3.00%, 5/25/2034 (a) (h) | 826 | 739 |
CHL Mortgage Pass-Through Trust | ||
Series 2005-J2, Class 3A8, 5.50%, 8/25/2035 | 510 | 310 |
Series 2006-HYB2, Class 2A1B, 4.49%, 4/20/2036 (h) | 70 | 61 |
CIM Trust Series 2019-INV2, Class A11, 6.39%, 5/25/2049 (a) (h) | 70 | 67 |
Connecticut Avenue Securities Trust Series 2021-R03, Class 1M2, 6.97%, 12/25/2041 (a) (h) | 9,450 | 9,514 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9, Class 1A2, 5.25%, 10/25/2035 | 739 | 638 |
CSMC Trust Series 2021-RPL1, Class A1, 4.05%, 9/27/2060 (a) (h) | 4,126 | 4,000 |
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3, Class 2A1, 6.19%, 10/25/2047 (h) | 612 | 460 |
FHLMC, REMIC | ||
Series 3036, Class NE, 5.00%, 9/15/2035 | 79 | 78 |
Series 3294, Class NE, 5.50%, 3/15/2037 | 166 | 168 |
Series 3878, Class PL, 4.50%, 11/15/2040 | 9,823 | 9,595 |
Series 4012, Class GS, IF, IO, 1.06%, 3/15/2042 (h) | 4,162 | 451 |
Series 5182, Class D, 2.50%, 11/25/2043 | 12,055 | 10,844 |
Series 4338, Class SA, IF, IO, 0.56%, 5/15/2044 (h) | 3,746 | 366 |
Series 4477, Class SA, IF, IO, 0.71%, 5/15/2045 (h) | 3,698 | 382 |
Series 4505, Class SA, IF, IO, 0.71%, 8/15/2045 (h) | 3,119 | 303 |
Series 4681, Class SD, IF, IO, 0.71%, 5/15/2047 (h) | 282 | 31 |
Series 5194, Class H, 2.50%, 10/25/2047 | 36,023 | 31,695 |
Series 4925, Class SH, IF, IO, 0.66%, 10/25/2049 (h) | 6,938 | 609 |
Series 4954, Class SB, IF, IO, 0.61%, 2/25/2050 (h) | 7,052 | 696 |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | 23,893 | 4,015 |
Series 4632, Class MA, 4.00%, 8/15/2054 | 4,980 | 4,730 |
Series 4634, Class MD, 5.00%, 11/15/2054 | 8,404 | 8,204 |
Series 4630, Class MA, 4.00%, 1/15/2055 | 6,688 | 6,480 |
Series 4839, Class WS, IF, IO, 0.66%, 8/15/2056 (h) | 11,753 | 1,346 |
FHLMC, STRIPS | ||
Series 267, Class S5, IF, IO, 0.56%, 8/15/2042 (h) | 3,105 | 216 |
Series 342, Class S7, IF, IO, 0.67%, 2/15/2045 (h) | 1,313 | 132 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
FNMA, Connecticut Avenue Securities Series 2021-R02, Class 2M2, 7.32%, 11/25/2041 (a) (h) | 6,500 | 6,557 |
FNMA, REMIC | ||
Series 2013-55, Class AI, IO, 3.00%, 6/25/2033 | 791 | 72 |
Series 2015-85, Class SA, IF, IO, 0.18%, 11/25/2045 (h) | 3,144 | 234 |
Series 2016-74, Class GS, IF, IO, 0.56%, 10/25/2046 (h) | 1,569 | 171 |
Series 2017-31, Class SG, IF, IO, 0.66%, 5/25/2047 (h) | 7,573 | 792 |
Series 2019-31, Class S, IF, IO, 0.61%, 7/25/2049 (h) | 3,827 | 366 |
Series 2024-20, Class MA, 5.00%, 11/25/2049 | 30,115 | 29,472 |
Series 2022-42, Class EA, 3.75%, 6/25/2052 | 59,334 | 55,337 |
Series 2022-43, Class P, 4.00%, 7/25/2052 | 9,383 | 8,785 |
GNMA | ||
Series 2012-39, Class MI, IO, 4.00%, 3/16/2042 | 257 | 46 |
Series 2015-123, Class SE, IF, IO, 0.29%, 9/20/2045 (h) | 3,895 | 351 |
Series 2016-108, Class SM, IF, IO, 0.67%, 8/20/2046 (h) | 692 | 72 |
Series 2018-139, Class SB, IF, IO, 0.72%, 10/20/2048 (h) | 5,670 | 641 |
New Residential Mortgage Loan Trust | ||
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (f) | 2,355 | 2,372 |
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (a) (h) | 3,041 | 2,520 |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (f) | 4,178 | 4,038 |
PRET LLC Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 (a) (f) | 5,680 | 5,649 |
Structured Asset Mortgage Investments II Trust Series 2006-AR6, Class 2A1, 5.82%, 7/25/2046 (h) | 908 | 616 |
Verus Securitization Trust Series 2019-4, Class B1, 3.86%, 11/25/2059 (a) (h) | 600 | 548 |
WaMu Mortgage Pass-Through Certificates Trust Series 2005-AR5, Class A6, 5.82%, 5/25/2035 (h) | 53 | 51 |
Total Collateralized Mortgage Obligations (Cost $234,480) | 220,027 | |
Foreign Government Securities — 1.1% | ||
Arab Republic of Egypt 7.60%, 3/1/2029 (e) | 3,700 | 3,445 |
Benin Government Bond 7.96%, 2/13/2038 (a) | 1,420 | 1,332 |
Dominican Republic Government Bond | ||
4.50%, 1/30/2030 (a) | 5,540 | 5,019 |
7.05%, 2/3/2031 (a) | 1,140 | 1,171 |
Federal Republic of Nigeria 6.50%, 11/28/2027 (e) | 3,800 | 3,548 |
Gabonese Republic 6.95%, 6/16/2025 (e) | 2,000 | 1,885 |
Hashemite Kingdom of Jordan | ||
4.95%, 7/7/2025 (e) | 1,800 | 1,766 |
6.13%, 1/29/2026 (e) | 2,800 | 2,749 |
Islamic Republic of Pakistan | ||
6.88%, 12/5/2027 (e) | 1,000 | 875 |
7.38%, 4/8/2031 (a) | 800 | 655 |
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a) | 2,330 | 2,499 |
Lebanese Republic 6.38%, 3/9/2020 (b) | 4,362 | 299 |
Republic of Angola | ||
9.50%, 11/12/2025 (e) | 900 | 918 |
8.25%, 5/9/2028 (e) | 2,000 | 1,885 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (e) | 4,600 | 4,477 |
5.75%, 12/31/2032 (e) (f) | 251 | 234 |
7.63%, 1/30/2033 (a) | 1,890 | 1,850 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Republic of Ecuador 6.00%, 7/31/2030 (e) (f) | 1,350 | 903 |
Republic of El Salvador 8.63%, 2/28/2029 (e) | 1,600 | 1,394 |
Republic of Iraq 5.80%, 1/15/2028 (e) | 2,075 | 1,968 |
Republic of Senegal 6.25%, 5/23/2033 (e) | 2,000 | 1,692 |
Total Foreign Government Securities (Cost $45,585) | 40,564 | |
Loan Assignments — 0.5% (c) (i) | ||
Automobile Components — 0.0% ^ | ||
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031 | 705 | 710 |
Beverages — 0.1% | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 3/31/2028 | 1,925 | 1,921 |
Building Products — 0.0% ^ | ||
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 5/31/2030 (j) | 1,087 | 1,094 |
Containers & Packaging — 0.0% ^ | ||
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 8/4/2027 | 1,178 | 1,182 |
Ground Transportation — 0.1% | ||
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 1,766 | 1,768 |
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 537 | 538 |
2,306 | ||
Health Care Providers & Services — 0.0% ^ | ||
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 11/15/2028 | 1,087 | 1,093 |
IT Services — 0.1% | ||
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.58%, 5/3/2028 | 2,002 | 2,004 |
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%), 8.90%, 10/8/2027 | 1,057 | 1,061 |
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 | 847 | 879 |
United Airlines, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.25%), 10.73%, 6/21/2027 | 1,060 | 1,084 |
1,963 | ||
Professional Services — 0.0% ^ | ||
Brookfield WEC Holdings Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.08%, 1/27/2031 | 1,350 | 1,357 |
Semiconductors & Semiconductor Equipment — 0.0% ^ | ||
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/2/2027 | 1,062 | 1,065 |
Software — 0.1% | ||
CDK Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 7/6/2029 | 700 | 706 |
Genesys Cloud Services Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 12/1/2027 | 2,032 | 2,045 |
Ultimate Software Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 2/10/2031 | 995 | 1,002 |
3,753 | ||
Specialty Retail — 0.0% ^ | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 10/19/2027 | 1,062 | 1,066 |
Total Loan Assignments (Cost $20,518) | 20,575 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — 0.1% (h) (k) | ||
California — 0.1% | ||
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 11/20/2035 (Cost $2,463) | 52,439 | 2,502 |
SHARES (000) | ||
Common Stocks — 0.0% ^ | ||
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Gulfport Energy Corp. * | 1 | 140 |
Wireless Telecommunication Services — 0.0% ^ | ||
Intelsat SA (Luxembourg) ‡ * | 15 | 536 |
Total Common Stocks (Cost $497) | 676 | |
PRINCIPAL AMOUNT ($000) | ||
Convertible Bonds — 0.0% ^ | ||
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Gulfport Energy Corp. 10.00% (Cash), 7/8/2024 ‡ * (d) (l) (m) (Cost $46) | — | 566 |
SHARES (000) | ||
Short-Term Investments — 3.4% | ||
Investment Companies — 3.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (n) (o) (Cost $120,136) | 120,115 | 120,139 |
PRINCIPAL AMOUNT ($000) | ||
U.S. Treasury Obligations — 0.2% | ||
U.S. Treasury Bills, 5.18%, 8/8/2024 (p) (q) (Cost $9,153) | 9,241 | 9,152 |
Total Short-Term Investments (Cost $129,289) | 129,291 | |
Total Investments — 100.1% (Cost $3,891,790) | 3,737,351 | |
Liabilities in Excess of Other Assets — (0.1)% | (3,415 ) | |
NET ASSETS — 100.0% | 3,733,936 |
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 |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2024. |
CLO | Collateralized Loan Obligations |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
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. |
PIK | Payment In Kind |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
UMBS | Uniform Mortgage-Backed Securities |
^ | 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) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(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) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(f) | 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. | |
(g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(h) | 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. | |
(i) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(j) | 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. | |
(k) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(l) | Security is an interest bearing note with preferred security characteristics. | |
(m) | 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. | |
(n) | 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. | |
(o) | The rate shown is the current yield as of May 31, 2024. | |
(p) | The rate shown is the effective yield as of May 31, 2024. | |
(q) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
JPMorgan Short Duration Core Plus 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) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 267 | 09/30/2024 | USD | 54,418 | (3 ) |
U.S. Treasury 5 Year Note | 6,274 | 09/30/2024 | USD | 664,750 | 829 |
826 | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (1,202 ) | 09/19/2024 | USD | (130,980 ) | (3 ) |
U.S. Treasury 10 Year Ultra Note | (841 ) | 09/19/2024 | USD | (94,442 ) | 11 |
U.S. Treasury Long Bond | (182 ) | 09/19/2024 | USD | (21,203 ) | 43 |
U.S. Treasury Ultra Bond | (31 ) | 09/19/2024 | USD | (3,806 ) | 54 |
105 | |||||
931 |
Abbreviations | |
USD | United States Dollar |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of May 31, 2024 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD 30,750 | (2,079 ) | (316 ) | (2,395 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Short Duration Core Plus 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 are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2024.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
JPMorgan Short Duration Core Plus 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 | $— | $652,619 | $26,038 | $678,657 |
Collateralized Mortgage Obligations | — | 220,027 | — | 220,027 |
Commercial Mortgage-Backed Securities | — | 267,939 | — | 267,939 |
Common Stocks | ||||
Oil, Gas & Consumable Fuels | 140 | — | — | 140 |
Wireless Telecommunication Services | — | — | 536 | 536 |
Total Common Stocks | 140 | — | 536 | 676 |
Convertible Bonds | — | — | 566 | 566 |
Corporate Bonds | — | 1,328,298 | — | 1,328,298 |
Foreign Government Securities | — | 40,564 | — | 40,564 |
Loan Assignments | — | 20,575 | — | 20,575 |
Mortgage-Backed Securities | — | 417,207 | — | 417,207 |
Municipal Bonds | — | 2,502 | — | 2,502 |
U.S. Treasury Obligations | — | 631,049 | — | 631,049 |
Short-Term Investments | ||||
Investment Companies | 120,139 | — | — | 120,139 |
U.S. Treasury Obligations | — | 9,152 | — | 9,152 |
Total Short-Term Investments | 120,139 | 9,152 | — | 129,291 |
Total Investments in Securities | $120,279 | $3,589,932 | $27,140 | $3,737,351 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $937 | $— | $— | $937 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (6 ) | — | — | (6 ) |
Swaps | — | (316 ) | — | (316 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $931 | $(316 ) | $— | $615 |
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: | |||||||||
Asset-Backed Securities | $27,964 | $— | $244 | $— (a) | $— | $(2,170 ) | $— | $— | $26,038 |
Collateralized Mortgage Obligations | 5,988 | — | — | — | — | — | — | (5,988 ) | — |
Common Stocks | 410 | — | 126 | — | — | — | — | — | 536 |
Convertible Bonds | 497 | — | 69 | — | — | — | — | — | 566 |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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 | |
Corporate Bonds | $2,642 | $(1,129 ) | $1,388 | $1 | $— | $(2,902 ) | $— | $— | $— |
Total | $37,501 | $(1,129 ) | $1,827 | $1 | $— | $(5,072 ) | $— | $(5,988 ) | $27,140 |
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 $411.
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at May 31, 2024 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$6,661 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.23% - 7.72% (6.74%) | |
Asset-Backed Securities | 6,661 | |||
566 | Term of Restructuring | Liquidation Preference | 71.43x (71.43x) | |
Convertible Bonds | 566 | |||
Total | $7,227 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2024, the value of these investments was $19,913. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
B. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. 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) | $84,447 | $309,801 | $274,070 | $(24 ) | $(15 ) | $120,139 | 120,115 | $1,626 | $— |
(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. |
JPMorgan Short Duration Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)C. Derivatives— The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes (1) — (2) 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). 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 Short Duration Core Plus 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.