JPMorgan Strategic Income Opportunities 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 Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 39.1% | ||
Aerospace & Defense — 0.0% ^ | ||
Wesco Aircraft Holdings, Inc. | ||
9.00%, 11/15/2026 (a) (b) | 1,327 | 182 |
13.13%, 11/15/2027 (a) (b) | 530 | 11 |
193 | ||
Automobile Components — 0.2% | ||
Clarios Global LP | ||
6.75%, 5/15/2025 (a) | 451 | 451 |
6.25%, 5/15/2026 (a) | 928 | 927 |
Cooper-Standard Automotive, Inc. | ||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (c) | 10,097 | 10,795 |
10.63% (PIK), 5/15/2027 (a) (c) | 6,206 | 4,376 |
16,549 | ||
Automobiles — 2.5% | ||
BMW US Capital LLC (Germany) | ||
(SOFRINDX + 0.38%), 5.71%, 8/12/2024 (a) (d) | 58,980 | 58,996 |
(SOFRINDX + 0.84%), 6.21%, 4/1/2025 (a) (d) | 15,661 | 15,735 |
(SOFRINDX + 0.62%), 5.95%, 8/11/2025 (a) (d) | 15,830 | 15,885 |
(SOFRINDX + 0.55%), 5.92%, 4/2/2026 (a) (d) | 22,630 | 22,690 |
Hyundai Capital America (SOFR + 1.32%), 6.67%, 11/3/2025 (a) (d) | 13,250 | 13,354 |
Mercedes-Benz Finance North America LLC (Germany) | ||
(SOFR + 0.93%), 6.30%, 3/30/2025 (a) (d) | 31,166 | 31,343 |
(SOFR + 0.57%), 5.91%, 8/1/2025 (a) (d) | 37,782 | 37,869 |
(SOFR + 0.67%), 6.03%, 1/9/2026 (a) (d) | 31,300 | 31,440 |
Volkswagen Group of America Finance LLC (Germany) (SOFR + 0.83%), 6.22%, 3/20/2026 (a) (d) | 13,500 | 13,540 |
240,852 | ||
Banks — 19.0% | ||
ANZ New Zealand Int'l Ltd. (New Zealand) (SOFR + 0.60%), 5.93%, 2/18/2025 (a) (d) | 12,570 | 12,600 |
Australia & New Zealand Banking Group Ltd. (Australia) | ||
(SOFR + 0.75%), 6.13%, 7/3/2025 (a) (d) | 33,000 | 33,150 |
(SOFR + 0.64%), 6.02%, 10/3/2025 (a) (d) | 17,580 | 17,645 |
(SOFR + 0.56%), 5.94%, 3/18/2026 (a) (d) | 17,920 | 17,962 |
(SOFR + 0.81%), 6.17%, 1/18/2027 (a) (d) | 22,500 | 22,657 |
Banco Santander SA (Spain) (EURIBOR ICE Swap Rate 5 Year + 3.76%), 3.63%, 3/21/2029 (d) (e) (f) (g) (h) | 11,400 | 10,128 |
Bank of America Corp. | ||
(3-MONTH CME TERM SOFR + 1.03%), 6.36%, 2/5/2026 (d) | 28,178 | 28,295 |
(3-MONTH CME TERM SOFR + 1.02%), 6.35%, 9/15/2026 (d) | 6,579 | 6,588 |
Bank of America NA | ||
(SOFR + 0.78%), 6.13%, 8/18/2025 (d) | 23,423 | 23,556 |
(SOFR + 1.02%), 6.35%, 8/18/2026 (d) | 21,950 | 22,215 |
Bank of Montreal (Canada) | ||
(SOFRINDX + 0.32%), 5.68%, 7/9/2024 (d) | 22,460 | 22,462 |
(SOFRINDX + 0.71%), 6.09%, 12/12/2024 (d) | 21,710 | 21,761 |
(SOFRINDX + 1.06%), 6.46%, 6/7/2025 (d) | 21,540 | 21,682 |
(SOFRINDX + 0.95%), 6.32%, 9/25/2025 (d) | 21,505 | 21,644 |
(SOFRINDX + 1.33%), 6.72%, 6/5/2026 (d) | 17,500 | 17,787 |
(SOFRINDX + 0.76%), 6.14%, 6/4/2027 (d) | 13,630 | 13,627 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Bank of Nova Scotia (The) (Canada) | ||
(SOFR + 0.38%), 5.72%, 7/31/2024 (d) | 26,565 | 26,572 |
(SOFRINDX + 0.90%), 6.27%, 4/11/2025 (d) | 25,164 | 25,281 |
(SOFRINDX + 1.09%), 6.47%, 6/12/2025 (d) | 26,330 | 26,523 |
(SOFRINDX + 0.55%), 5.93%, 3/2/2026 (d) | 4,642 | 4,644 |
(SOFRINDX + 0.78%), 6.16%, 6/4/2027 (d) | 9,100 | 9,105 |
Banque Federative du Credit Mutuel SA (France) (SOFRINDX + 1.40%), 6.76%, 7/13/2026 (d) (h) | 5,110 | 5,196 |
Barclays plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.67%), 8.00%, 6/15/2024 (d) (e) (f) (g) | 76,222 | 76,161 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.41%), 4.38%, 3/15/2028 (d) (e) (f) (g) | 19,780 | 16,523 |
BPCE SA (France) (SOFR + 0.57%), 5.93%, 1/14/2025 (a) (d) | 4,470 | 4,475 |
Canadian Imperial Bank of Commerce (Canada) | ||
(SOFRINDX + 0.94%), 6.30%, 4/7/2025 (d) | 17,920 | 18,004 |
(SOFR + 1.22%), 6.59%, 10/2/2026 (d) | 13,200 | 13,373 |
Citibank NA | ||
(SOFR + 0.81%), 6.19%, 9/29/2025 (d) | 14,200 | 14,276 |
(SOFRINDX + 0.59%), 5.93%, 4/30/2026 (d) | 27,300 | 27,336 |
(SOFRINDX + 1.06%), 6.45%, 12/4/2026 (d) | 8,900 | 9,016 |
Citigroup, Inc. | ||
(SOFR + 0.69%), 6.05%, 10/30/2024 (d) | 34,994 | 35,016 |
(SOFR + 0.69%), 6.05%, 1/25/2026 (d) | 15,106 | 15,124 |
(SOFR + 1.53%), 6.93%, 3/17/2026 (d) | 5,633 | 5,676 |
(3-MONTH CME TERM SOFR + 1.51%), 6.81%, 7/1/2026 (d) | 17,800 | 17,972 |
Commonwealth Bank of Australia (Australia) | ||
(SOFR + 0.74%), 6.13%, 3/14/2025 (a) (d) | 1,675 | 1,681 |
(SOFR + 0.63%), 6.01%, 9/12/2025 (a) (d) | 17,570 | 17,642 |
(SOFR + 0.75%), 6.14%, 3/13/2026 (a) (d) | 26,450 | 26,590 |
Cooperatieve Rabobank UA (Netherlands) | ||
(SOFRINDX + 0.70%), 6.06%, 7/18/2025 (d) | 10,000 | 10,039 |
(SOFRINDX + 0.71%), 6.10%, 3/5/2027 (d) | 30,000 | 30,085 |
Credit Agricole SA (France) | ||
(SOFR + 1.29%), 6.66%, 7/5/2026 (a) (d) | 13,125 | 13,320 |
(SOFR + 0.87%), 6.25%, 3/11/2027 (a) (d) | 22,360 | 22,475 |
DBS Group Holdings Ltd. (Singapore) (SOFR + 0.61%), 5.99%, 9/12/2025 (a) (d) | 17,570 | 17,620 |
HSBC USA, Inc. (SOFR + 0.96%), 6.35%, 3/4/2027 (d) | 22,370 | 22,547 |
ING Groep NV (Netherlands) | ||
(SOFRINDX + 1.64%), 7.02%, 3/28/2026 (d) | 30,363 | 30,617 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (d) (e) (f) (g) | 6,150 | 5,239 |
Series NC10, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 4.25%, 5/16/2031 (d) (e) (f) (g) | 22,800 | 17,721 |
KeyBank NA (SOFRINDX + 0.32%), 5.71%, 6/14/2024 (d) | 12,750 | 12,748 |
Lloyds Banking Group plc (United Kingdom) (USD Swap Semi 5 Year + 4.76%), 7.50%, 6/27/2024 (d) (e) (f) (g) | 141,330 | 141,424 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(SOFR + 0.94%), 6.27%, 2/20/2026 (d) | 44,000 | 44,123 |
(SOFR + 1.44%), 6.79%, 4/17/2026 (d) | 17,520 | 17,652 |
Morgan Stanley Bank NA | ||
(SOFR + 0.78%), 6.16%, 7/16/2025 (d) | 28,950 | 29,109 |
(SOFR + 1.17%), 6.52%, 10/30/2026 (d) | 17,700 | 17,975 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
National Australia Bank Ltd. (Australia) | ||
(SOFR + 0.76%), 6.09%, 5/13/2025 (a) (d) | 19,175 | 19,251 |
(SOFR + 0.86%), 6.24%, 6/9/2025 (a) (d) | 1,750 | 1,759 |
(SOFR + 0.65%), 6.03%, 12/10/2025 (a) (d) | 8,325 | 8,352 |
(SOFR + 0.55%), 5.90%, 1/29/2026 (a) (d) | 13,400 | 13,415 |
National Bank of Canada (Canada) | ||
(SOFR + 0.49%), 5.83%, 8/6/2024 (d) | 1,400 | 1,401 |
(SOFRINDX + 0.90%), 6.27%, 3/25/2027 (d) | 18,050 | 18,088 |
NatWest Markets plc (United Kingdom) | ||
(SOFR + 0.53%), 5.86%, 8/12/2024 (a) (d) | 10,080 | 10,084 |
(SOFR + 0.90%), 6.24%, 5/17/2027 (a) (d) | 9,100 | 9,117 |
Nordea Bank Abp (Finland) | ||
(SOFR + 0.96%), 6.36%, 6/6/2025 (a) (d) | 17,270 | 17,381 |
(SOFR + 0.74%), 6.12%, 3/19/2027 (a) (d) | 10,800 | 10,841 |
Royal Bank of Canada (Canada) | ||
(SOFRINDX + 0.36%), 5.71%, 7/29/2024 (d) | 32,180 | 32,186 |
(SOFRINDX + 0.44%), 5.79%, 1/21/2025 (d) | 5,562 | 5,568 |
(SOFRINDX + 0.84%), 6.20%, 4/14/2025 (d) | 2,871 | 2,884 |
(SOFRINDX + 1.08%), 6.45%, 1/12/2026 (d) | 22,000 | 22,206 |
(SOFRINDX + 0.53%), 5.88%, 1/20/2026 (d) | 17,570 | 17,576 |
(SOFRINDX + 0.57%), 5.92%, 4/27/2026 (d) | 1,560 | 1,562 |
(SOFRINDX + 1.08%), 6.43%, 7/20/2026 (d) | 8,780 | 8,879 |
(SOFRINDX + 0.95%), 6.31%, 1/19/2027 (d) | 13,500 | 13,606 |
Skandinaviska Enskilda Banken AB (Sweden) (SOFR + 0.89%), 6.28%, 3/5/2027 (a) (d) | 8,960 | 9,024 |
Societe Generale SA (France) (USD Swap Semi 5 Year + 3.93%), 6.75%, 4/6/2028 (a) (d) (e) (f) (g) | 5,200 | 4,793 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
(SOFR + 1.43%), 6.79%, 1/13/2026 (d) | 26,350 | 26,736 |
(SOFR + 1.30%), 6.66%, 7/13/2026 (d) | 17,550 | 17,796 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
(SOFR + 1.12%), 6.50%, 3/9/2026 (a) (d) | 17,650 | 17,823 |
(SOFR + 1.15%), 6.53%, 9/14/2026 (a) (d) | 10,540 | 10,664 |
Svenska Handelsbanken AB (Sweden) | ||
(SOFR + 1.25%), 6.64%, 6/15/2026 (a) (d) | 13,125 | 13,320 |
(SOFR + 0.66%), 5.98%, 5/28/2027 (a) (d) | 6,370 | 6,372 |
Swedbank AB (Sweden) (SOFRINDX + 1.38%), 6.77%, 6/15/2026 (a) (d) | 17,500 | 17,777 |
Toronto-Dominion Bank (The) (Canada) | ||
(SOFR + 0.35%), 5.73%, 9/10/2024 (d) | 8,265 | 8,266 |
(SOFR + 0.41%), 5.78%, 1/10/2025 (d) | 27,573 | 27,598 |
(SOFR + 1.02%), 6.42%, 6/6/2025 (d) | 22,074 | 22,223 |
(SOFR + 0.48%), 5.85%, 10/10/2025 (d) | 45,360 | 45,435 |
(SOFR + 1.08%), 6.44%, 7/17/2026 (d) | 24,160 | 24,437 |
(SOFR + 0.73%), 6.10%, 4/5/2027 (d) | 22,620 | 22,662 |
Truist Financial Corp. (SOFR + 0.40%), 5.78%, 6/9/2025 (d) | 53,305 | 53,302 |
Wells Fargo & Co. | ||
Series S, 5.90%, 6/17/2024 (f) (g) (i) (j) | 3,520 | 3,513 |
(SOFR + 1.32%), 6.68%, 4/25/2026 (d) | 28,184 | 28,394 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
Wells Fargo Bank NA | ||
(SOFR + 0.80%), 6.15%, 8/1/2025 (d) | 17,560 | 17,621 |
(SOFR + 0.71%), 6.07%, 1/15/2026 (d) | 23,000 | 23,093 |
(SOFR + 1.06%), 6.40%, 8/7/2026 (d) | 17,560 | 17,754 |
(SOFR + 1.07%), 6.45%, 12/11/2026 (d) | 13,883 | 14,062 |
Westpac Banking Corp. (Australia) | ||
(SOFR + 0.72%), 6.06%, 11/17/2025 (d) | 31,706 | 31,871 |
(SOFR + 0.55%), 5.90%, 1/29/2026 (a) (d) | 13,400 | 13,434 |
(SOFR + 0.42%), 5.76%, 4/16/2026 (d) | 18,160 | 18,157 |
1,852,922 | ||
Beverages — 0.9% | ||
Keurig Dr Pepper, Inc. (SOFRINDX + 0.88%), 6.28%, 3/15/2027 (d) | 35,780 | 35,984 |
Pepsico Singapore Financing I Pte. Ltd. (SOFRINDX + 0.56%), 5.90%, 2/16/2027 (d) | 22,350 | 22,441 |
PepsiCo, Inc. | ||
(SOFRINDX + 0.40%), 5.73%, 11/12/2024 (d) | 17,800 | 17,819 |
(SOFRINDX + 0.40%), 5.73%, 2/13/2026 (d) | 14,077 | 14,109 |
90,353 | ||
Broadline Retail — 0.0% ^ | ||
Shutterfly Finance LLC | ||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (c) | 2,585 | 2,070 |
9.75%, 10/1/2027 (a) | 307 | 307 |
2,377 | ||
Capital Markets — 3.5% | ||
Bank of New York Mellon (The) (SOFR + 0.45%), 5.84%, 3/13/2026 (d) | 9,000 | 9,008 |
Deutsche Bank AG (Germany) | ||
Series 2020, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.52%), 6.00%, 10/30/2025 (d) (e) (f) (g) | 3,400 | 3,246 |
(EURIBOR ICE Swap Rate 5 Year + 4.55%), 4.50%, 11/30/2026 (d) (e) (f) (g) (h) | 3,400 | 3,307 |
(EURIBOR ICE Swap Rate 5 Year + 4.75%), 4.63%, 10/30/2027 (d) (e) (f) (g) (h) | 14,000 | 13,272 |
Goldman Sachs Bank USA | ||
(SOFR + 0.77%), 6.15%, 3/18/2027 (d) | 17,920 | 18,036 |
(SOFR + 0.75%), 6.08%, 5/21/2027 (d) | 22,710 | 22,718 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.50%), 5.88%, 9/10/2024 (d) | 33,525 | 33,536 |
(SOFR + 0.49%), 5.84%, 10/21/2024 (d) | 12,670 | 12,677 |
(3-MONTH CME TERM SOFR + 1.43%), 6.75%, 5/15/2026 (d) | 17,800 | 17,931 |
(SOFR + 1.07%), 6.41%, 8/10/2026 (d) | 26,330 | 26,447 |
Macquarie Bank Ltd. (Australia) | ||
(SOFR + 1.24%), 6.63%, 6/15/2026 (a) (d) | 4,450 | 4,502 |
(SOFR + 1.20%), 6.60%, 12/7/2026 (a) (d) | 8,900 | 9,015 |
Macquarie Group Ltd. (Australia) (SOFR + 0.71%), 6.07%, 10/14/2025 (a) (d) | 10,829 | 10,835 |
Morgan Stanley | ||
(SOFR + 0.51%), 5.88%, 1/22/2025 (d) | 2,720 | 2,722 |
(SOFR + 0.95%), 6.30%, 2/18/2026 (d) | 25,617 | 25,709 |
State Street Corp. (SOFRINDX + 0.85%), 6.20%, 8/3/2026 (d) | 21,930 | 22,052 |
UBS AG (Switzerland) | ||
(SOFR + 0.45%), 5.80%, 8/9/2024 (a) (d) | 52,800 | 52,822 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 0.47%), 5.83%, 1/13/2025 (a) (d) | 9,383 | 9,385 |
(SOFRINDX + 1.26%), 6.59%, 2/21/2025 (d) | 3,250 | 3,266 |
(SOFR + 0.93%), 6.31%, 9/11/2025 (d) | 17,570 | 17,685 |
UBS Group AG (Switzerland) | ||
(SOFR + 1.58%), 6.91%, 5/12/2026 (a) (d) | 10,054 | 10,132 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.31%), 4.38%, 2/10/2031 (a) (d) (e) (f) (g) | 12,100 | 9,813 |
338,116 | ||
Chemicals — 0.0% ^ | ||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 112 | 91 |
Consumer Finance — 7.6% | ||
American Express Co. | ||
(SOFR + 0.76%), 6.09%, 2/13/2026 (d) | 29,470 | 29,601 |
(SOFRINDX + 1.35%), 6.69%, 10/30/2026 (d) | 36,875 | 37,290 |
(SOFR + 0.75%), 6.11%, 4/23/2027 (d) | 27,300 | 27,364 |
(SOFRINDX + 1.00%), 6.34%, 2/16/2028 (d) | 17,880 | 17,999 |
American Honda Finance Corp. | ||
(SOFRINDX + 0.70%), 6.04%, 11/22/2024 (d) | 26,500 | 26,563 |
(SOFRINDX + 0.67%), 6.04%, 1/10/2025 (d) | 22,720 | 22,768 |
(SOFR + 0.55%), 5.88%, 2/12/2025 (d) | 22,400 | 22,429 |
(SOFRINDX + 0.78%), 6.13%, 4/23/2025 (d) | 30,920 | 31,024 |
(SOFR + 0.45%), 5.80%, 4/29/2025 (d) | 31,850 | 31,868 |
(SOFR + 0.60%), 5.93%, 8/14/2025 (d) | 26,830 | 26,891 |
(SOFRINDX + 0.79%), 6.17%, 10/3/2025 (d) | 22,730 | 22,839 |
(SOFR + 0.50%), 5.87%, 10/10/2025 (d) | 22,700 | 22,714 |
(SOFR + 0.71%), 6.07%, 1/9/2026 (d) | 13,500 | 13,576 |
(SOFR + 0.77%), 6.16%, 3/12/2027 (d) | 13,450 | 13,537 |
Caterpillar Financial Services Corp. | ||
(SOFR + 0.27%), 5.66%, 9/13/2024 (d) | 1,340 | 1,341 |
(SOFR + 0.45%), 5.78%, 11/14/2024 (d) | 25,260 | 25,295 |
(SOFR + 0.52%), 5.91%, 6/13/2025 (d) | 26,849 | 26,936 |
(SOFR + 0.46%), 5.79%, 8/11/2025 (d) | 11,850 | 11,877 |
(SOFR + 0.46%), 5.78%, 2/27/2026 (d) | 13,630 | 13,675 |
(SOFR + 0.52%), 5.85%, 5/14/2027 (d) | 27,250 | 27,312 |
General Motors Financial Co., Inc. (SOFR + 0.62%), 5.98%, 10/15/2024 (d) | 35,691 | 35,715 |
John Deere Capital Corp. | ||
(SOFR + 0.56%), 5.95%, 3/7/2025 (d) | 26,542 | 26,608 |
(SOFR + 0.57%), 5.92%, 3/3/2026 (d) | 19,360 | 19,451 |
(SOFR + 0.44%), 5.83%, 3/6/2026 (d) | 28,650 | 28,707 |
(SOFRINDX + 0.79%), 6.18%, 6/8/2026 (d) | 17,500 | 17,648 |
(SOFR + 0.60%), 5.95%, 4/19/2027 (d) | 27,250 | 27,301 |
Toyota Motor Credit Corp. | ||
(SOFR + 0.52%), 5.85%, 8/22/2024 (d) | 4,050 | 4,053 |
(SOFR + 0.55%), 5.89%, 10/16/2024 (d) | 7,734 | 7,745 |
(SOFR + 0.32%), 5.68%, 1/13/2025 (d) | 2,126 | 2,128 |
(SOFR + 0.30%), 5.63%, 2/24/2025 (d) | 4,293 | 4,293 |
(SOFR + 0.35%), 5.68%, 4/14/2025 (d) | 32,700 | 32,713 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
(SOFR + 0.65%), 6.03%, 9/11/2025 (d) | 3,133 | 3,145 |
(SOFR + 0.65%), 6.02%, 1/5/2026 (d) | 20,475 | 20,548 |
(SOFR + 0.45%), 5.79%, 5/15/2026 (d) | 18,200 | 18,212 |
(SOFRINDX + 0.89%), 6.22%, 5/18/2026 (d) | 17,950 | 18,076 |
(SOFR + 0.65%), 6.04%, 3/19/2027 (d) | 23,000 | 23,079 |
742,321 | ||
Consumer Staples Distribution & Retail — 0.0% ^ | ||
Rite Aid Corp. | ||
7.50%, 7/1/2025 (a) (b) | 489 | 240 |
8.00%, 11/15/2026 (a) (b) | 1,185 | 592 |
832 | ||
Diversified Telecommunication Services — 1.3% | ||
AT&T, Inc. (3-MONTH CME TERM SOFR + 1.44%), 6.76%, 6/12/2024 (d) | 109,565 | 109,594 |
CCO Holdings LLC 5.00%, 2/1/2028 (a) | 130 | 120 |
Frontier Communications Holdings LLC 5.88%, 11/1/2029 | 485 | 419 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 9,260 | 8,710 |
Verizon Communications, Inc. | ||
(3-MONTH CME TERM SOFR + 1.36%), 6.68%, 5/15/2025 (d) | 2,120 | 2,136 |
(SOFRINDX + 0.79%), 6.18%, 3/20/2026 (d) | 210 | 212 |
121,191 | ||
Electric Utilities — 0.6% | ||
Georgia Power Co. (SOFRINDX + 0.75%), 6.10%, 5/8/2025 (d) | 30,477 | 30,590 |
NextEra Energy Capital Holdings, Inc. (SOFRINDX + 0.76%), 6.11%, 1/29/2026 (d) | 31,250 | 31,325 |
61,915 | ||
Energy Equipment & Services — 0.0% ^ | ||
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 385 | 386 |
Financial Services — 0.7% | ||
National Rural Utilities Cooperative Finance Corp. | ||
Series D, (SOFR + 0.33%), 5.69%, 10/18/2024 (d) | 20,101 | 20,110 |
(SOFR + 0.70%), 6.04%, 5/7/2025 (d) | 26,600 | 26,705 |
(SOFR + 0.80%), 6.14%, 2/5/2027 (d) | 22,330 | 22,470 |
69,285 | ||
Ground Transportation — 0.0% ^ | ||
Hertz Corp. (The), Escrow | ||
5.50%, 10/15/2024 (b) | 4,923 | 160 |
7.13%, 8/1/2026 (b) | 1,035 | 93 |
6.00%, 1/15/2028 (b) | 1,345 | 121 |
374 | ||
Health Care Providers & Services — 0.1% | ||
HCA, Inc. 5.38%, 2/1/2025 | 4,590 | 4,574 |
Hotels, Restaurants & Leisure — 0.0% ^ | ||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 144 | 144 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Insurance — 0.4% | ||
Athene Global Funding (SOFRINDX + 0.56%), 5.89%, 8/19/2024 (a) (d) | 22,130 | 22,145 |
Metropolitan Life Global Funding I | ||
(SOFR + 0.30%), 5.68%, 9/27/2024 (a) (d) | 2,620 | 2,622 |
(SOFRINDX + 0.57%), 5.94%, 4/9/2026 (a) (d) | 18,150 | 18,172 |
42,939 | ||
Machinery — 0.1% | ||
Daimler Truck Finance North America LLC (Germany) (SOFR + 0.75%), 6.13%, 12/13/2024 (a) (d) | 8,290 | 8,313 |
Media — 0.1% | ||
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | 2,980 | 2,815 |
DISH DBS Corp. 5.88%, 11/15/2024 | 3,283 | 3,126 |
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | 1,485 | 1,380 |
7,321 | ||
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) (SOFRINDX + 1.06%), 6.44%, 4/4/2027 (a) (d) | 13,570 | 13,609 |
Multi-Utilities — 0.6% | ||
Dominion Energy, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (d) (f) (g) | 55,858 | 55,610 |
Oil, Gas & Consumable Fuels — 0.3% | ||
Chesapeake Energy Corp., Escrow 5.50%, 9/15/2026 (b) | 5,690 | 122 |
Gulfport Energy Corp. | ||
8.00%, 5/17/2026 | 40 | 40 |
8.00%, 5/17/2026 (a) | 834 | 846 |
TransCanada PipeLines Ltd. (Canada) (SOFRINDX + 1.52%), 6.90%, 3/9/2026 (d) | 23,545 | 23,560 |
24,568 | ||
Personal Care Products — 0.0% ^ | ||
ESC SANCHEZ 8.88%, 3/15/2025 ‡ (b) | 3,888 | — |
Pharmaceuticals — 0.4% | ||
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 2,805 | 2,614 |
Bristol-Myers Squibb Co. (SOFR + 0.49%), 5.82%, 2/20/2026 (d) | 22,370 | 22,464 |
Roche Holdings, Inc. (SOFR + 0.74%), 6.07%, 11/13/2026 (a) (d) | 17,700 | 17,842 |
42,920 | ||
Specialized REITs — 0.4% | ||
Public Storage Operating Co. | ||
(SOFRINDX + 0.60%), 5.96%, 7/25/2025 (d) | 13,473 | 13,510 |
(SOFRINDX + 0.70%), 6.06%, 4/16/2027 (d) | 29,040 | 29,249 |
42,759 | ||
Specialty Retail — 0.1% | ||
Staples, Inc. 7.50%, 4/15/2026 (a) | 4,018 | 4,017 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Wireless Telecommunication Services — 0.2% | ||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | 1,070 | 396 |
Sprint LLC 7.13%, 6/15/2024 | 21,495 | 21,498 |
21,894 | ||
Total Corporate Bonds (Cost $3,786,107) | 3,806,425 | |
Collateralized Mortgage Obligations — 3.1% | ||
Adjustable Rate Mortgage Trust | ||
Series 2005-5, Class 5A1, 5.97%, 9/25/2035 (j) | 1,981 | 1,614 |
Series 2005-10, Class 1A21, 5.55%, 1/25/2036 (j) | 368 | 334 |
Alternative Loan Trust | ||
Series 2004-5CB, Class 2A1, 5.00%, 5/25/2019 | 52 | 50 |
Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | 15 | 14 |
Series 2005-J11, Class 5A1, 5.50%, 11/25/2020 | 172 | 129 |
Series 2006-J3, Class 2A1, 4.75%, 12/25/2020 | 153 | 117 |
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | 87 | 80 |
Series 2006-J2, Class A1, 5.94%, 4/25/2036 (j) | 2,322 | 988 |
Series 2006-24CB, Class A1, 6.00%, 8/25/2036 | 837 | 455 |
Series 2006-24CB, Class A23, 6.00%, 8/25/2036 | 1,509 | 821 |
Series 2006-25CB, Class A9, 6.00%, 10/25/2036 | 2,018 | 1,059 |
Series 2006-28CB, Class A17, 6.00%, 10/25/2036 | 392 | 191 |
Series 2006-31CB, Class A3, 6.00%, 11/25/2036 | 1,325 | 745 |
Series 2006-41CB, Class 2A17, 6.00%, 1/25/2037 | 292 | 147 |
Series 2007-5CB, Class 1A31, 5.50%, 4/25/2037 | 424 | 210 |
American Home Mortgage Assets Trust | ||
Series 2007-4, Class A4, 6.02%, 8/25/2037 (j) | 3,203 | 2,792 |
Series 2006-2, Class 2A1, 5.82%, 9/25/2046 (j) | 738 | 645 |
Angel Oak Mortgage Trust | ||
Series 2020-1, Class A1, 2.47%, 12/25/2059 (a) (j) | 1,747 | 1,645 |
Series 2020-1, Class B1, 3.76%, 12/25/2059 (a) (j) | 2,907 | 2,451 |
Series 2020-3, Class A1, 1.69%, 4/25/2065 (a) (j) | 6,890 | 6,304 |
Series 2022-2, Class A1, 3.35%, 1/25/2067 (a) (j) | 7,613 | 6,956 |
Banc of America Alternative Loan Trust Series 2006-4, Class 2A1, 6.00%, 3/25/2029 | 220 | 200 |
Banc of America Funding Trust | ||
Series 2005-1, Class 1A1, 5.50%, 2/25/2035 | 471 | 443 |
Series 2005-B, Class 3M1, 6.11%, 4/20/2035 (j) | 454 | 453 |
Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | 175 | 146 |
Series 2006-D, Class 5A2, 5.41%, 5/20/2036 (j) | 318 | 272 |
Series 2014-R7, Class 2A1, 5.58%, 9/26/2036 (a) (j) | 53 | 53 |
Series 2015-R4, Class 5A1, 5.58%, 10/25/2036 (a) (j) | 1,142 | 1,136 |
Banc of America Mortgage Trust Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | 1,077 | 849 |
Bear Stearns ARM Trust Series 2005-12, Class 22A1, 7.11%, 2/25/2036 (j) | 1,342 | 1,234 |
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class A1, 5.75%, 10/25/2034 (i) | 1,506 | 1,369 |
BRAVO Residential Funding Trust | ||
Series 2023-NQM1, Class A2, 6.35%, 1/25/2063 (a) (i) | 2,061 | 2,049 |
Series 2023-NQM5, Class A1, 6.50%, 6/25/2063 (a) (i) | 13,568 | 13,598 |
Chase Mortgage Finance Trust Series 2005-S1, Class 1A15, 6.00%, 5/25/2035 | 527 | 494 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
CHL Mortgage Pass-Through Trust | ||
Series 2005-21, Class A2, 5.50%, 10/25/2035 | 249 | 137 |
Series 2006-15, Class A1, 6.25%, 10/25/2036 | 958 | 435 |
Series 2006-20, Class 1A36, 5.75%, 2/25/2037 | 384 | 179 |
Series 2007-5, Class A6, 5.79%, 5/25/2037 (j) | — | — |
Citicorp Mortgage Securities Trust Series 2007-5, Class 1A9, 6.00%, 6/25/2037 | 787 | 678 |
Citigroup Mortgage Loan Trust | ||
Series 2014-10, Class 1A1, 3.34%, 11/25/2036 (a) (j) | 254 | 252 |
Series 2014-10, Class 4A1, 5.60%, 2/25/2037 (a) (j) | 1,315 | 1,301 |
COLT Mortgage Loan Trust Series 2023-3, Class A1, 7.18%, 9/25/2068 (a) (i) | 9,598 | 9,736 |
Connecticut Avenue Securities Trust | ||
Series 2019-R07, Class 1B1, 8.84%, 10/25/2039 (a) (j) | 7,026 | 7,296 |
Series 2020-R02, Class 2B1, 8.44%, 1/25/2040 (a) (j) | 14,927 | 15,384 |
Series 2020-R01, Class 1B1, 8.69%, 1/25/2040 (a) (j) | 13,867 | 14,464 |
Series 2022-R02, Class 2M2, 8.32%, 1/25/2042 (a) (j) | 10,400 | 10,699 |
Series 2022-R04, Class 1M2, 8.42%, 3/25/2042 (a) (j) | 17,385 | 18,118 |
Series 2022-R08, Class 1M1, 7.87%, 7/25/2042 (a) (j) | 8,221 | 8,465 |
Series 2023-R01, Class 1M1, 7.72%, 12/25/2042 (a) (j) | 9,443 | 9,720 |
Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (a) (j) | 11,131 | 11,410 |
Series 2023-R04, Class 1M1, 7.62%, 5/25/2043 (a) (j) | 10,309 | 10,578 |
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) | ||
Series 2005-7, Class 3A1, 5.00%, 8/25/2020 | 7 | 6 |
Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | 579 | 550 |
Series 2005-5, Class 1A1, 5.00%, 5/25/2046 | 6 | 6 |
Deephaven Residential Mortgage Trust Series 2021-3, Class A1, 1.19%, 8/25/2066 (a) (j) | 14,310 | 12,044 |
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2, Class A1, 5.74%, 3/25/2037 (j) | 6,904 | 6,001 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | ||
Series 2005-1, Class 2A1, 3.41%, 2/25/2020 (j) | 56 | 54 |
Series 2005-1, Class 1A1, 5.94%, 2/25/2035 (j) | 567 | 546 |
FHLMC STACR REMIC Trust | ||
Series 2021-HQA3, Class M1, 6.17%, 9/25/2041 (a) (j) | 8,377 | 8,343 |
Series 2021-DNA6, Class M1, 6.12%, 10/25/2041 (a) (j) | 2,147 | 2,145 |
Series 2021-HQA4, Class M1, 6.27%, 12/25/2041 (a) (j) | 9,548 | 9,527 |
Series 2022-DNA3, Class M1B, 8.22%, 4/25/2042 (a) (j) | 9,775 | 10,164 |
FHLMC, REMIC | ||
Series 5136, Class IJ, IO, 2.50%, 2/25/2051 | 31,544 | 3,783 |
Series 5148, Class AI, IO, 2.50%, 10/25/2051 | 37,409 | 4,255 |
FNMA, Connecticut Avenue Securities Series 2021-R02, Class 2M2, 7.32%, 11/25/2041 (a) (j) | 9,655 | 9,740 |
FNMA, REMIC Series 2021-47, Class QI, IO, 2.50%, 10/25/2049 | 38,973 | 5,132 |
GCAT Trust | ||
Series 2019-NQM3, Class A1, 3.69%, 11/25/2059 (a) (j) | 3,450 | 3,256 |
Series 2020-NQM1, Class A1, 3.25%, 1/25/2060 (a) (i) | 3,242 | 3,075 |
Series 2022-NQM4, Class A1, 5.27%, 8/25/2067 (a) (i) | 2,941 | 2,903 |
GNMA | ||
Series 2021-122, Class LI, IO, 2.50%, 7/20/2051 | 20,933 | 2,269 |
Series 2021-138, Class PI, IO, 2.50%, 8/20/2051 | 16,103 | 1,633 |
Series 2021-162, Class PI, IO, 2.50%, 9/20/2051 | 17,837 | 1,781 |
Series 2023-69, Class IH, IO, 2.50%, 10/20/2051 | 17,227 | 1,866 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
GSR Mortgage Loan Trust | ||
Series 2006-2F, Class 2A1, 5.75%, 2/25/2036 | 730 | 588 |
Series 2006-3F, Class 2A7, 5.75%, 3/25/2036 | 546 | 459 |
HarborView Mortgage Loan Trust | ||
Series 2004-9, Class 2A, 7.12%, 12/19/2034 (j) | 17 | 17 |
Series 2006-9, Class 2A1A, 5.85%, 11/19/2036 (j) | 2,179 | 1,851 |
Series 2007-1, Class 2A1A, 5.69%, 3/19/2037 (j) | — | — |
Impac CMB Trust Series 2004-6, Class 1A2, 6.22%, 10/25/2034 (j) | 264 | 257 |
JPMorgan Mortgage Trust Series 2005-S2, Class 4A3, 5.50%, 9/25/2020 | 457 | 294 |
JPMorgan Seasoned Mortgage Trust Series 2014-1, Class A2, 5.94%, 5/25/2033 (a) (j) | 2,750 | 2,672 |
Lehman Mortgage Trust Series 2006-4, Class 3A1, 5.00%, 8/25/2021 | 34 | 28 |
MASTR Alternative Loan Trust | ||
Series 2004-7, Class 10A1, 6.00%, 6/25/2034 | 448 | 402 |
Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | — | — |
Mill City Mortgage Loan Trust Series 2023-NQM1, Class A1, 6.05%, 10/25/2067 (a) (i) | 8,279 | 8,250 |
NACC Reperforming Loan REMIC Trust Series 2004-R1, Class A1, 6.50%, 3/25/2034 (a) | 797 | 681 |
Nomura Resecuritization Trust Series 2015-2R, Class 4A1, 5.58%, 12/26/2036 (a) (j) | 620 | 605 |
OBX Trust Series 2021-NQM1, Class A1, 1.07%, 2/25/2066 (a) (j) | 7,711 | 6,558 |
RALI Trust | ||
Series 2003-QS20, Class CB, 5.00%, 11/25/2018 ‡ | 7 | 4 |
Series 2006-QS18, Class 3A3, 5.75%, 12/25/2036 | 11 | 6 |
Residential Asset Securitization Trust Series 2006-R1, Class A2, 5.84%, 1/25/2046 (j) | — | — |
RFMSI Trust | ||
Series 2005-SA2, Class 2A2, 5.97%, 6/25/2035 (j) | 531 | 506 |
Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | 918 | 683 |
Series 2006-SA4, Class 2A1, 5.52%, 11/25/2036 (j) | 450 | 368 |
Series 2006-S12, Class 3A9, 5.75%, 12/25/2036 | 898 | 697 |
Series 2007-S2, Class A4, 6.00%, 2/25/2037 | 376 | 280 |
SG Residential Mortgage Trust Series 2022-2, Class A2, 5.35%, 8/25/2062 (a) (j) | 4,911 | 4,801 |
Starwood Mortgage Residential Trust Series 2019-INV1, Class A3, 2.92%, 9/27/2049 (a) (j) | 1,821 | 1,756 |
Thornburg Mortgage Securities Trust Series 2002-4, Class 3A, 5.79%, 12/25/2042 (j) | 368 | 347 |
Towd Point Mortgage Trust Series 2019-HY2, Class A1, 6.44%, 5/25/2058 (a) (j) | 4,937 | 5,039 |
Verus Securitization Trust Series 2021-6, Class A1, 1.63%, 10/25/2066 (a) (j) | 9,331 | 7,834 |
Vista Point Securitization Trust Series 2020-2, Class A1, 1.47%, 4/25/2065 (a) (j) | 2,841 | 2,589 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2005-7, Class 1A2, 5.89%, 9/25/2035 (j) | 365 | 300 |
Series 2005-8, Class 1A8, 5.50%, 10/25/2035 | 55 | 48 |
Total Collateralized Mortgage Obligations (Cost $308,178) | 305,894 | |
Asset-Backed Securities — 1.4% | ||
ACE Securities Corp. Home Equity Loan Trust Series 2006-CW1, Class A2D, 5.96%, 7/25/2036 (j) | 7,777 | 6,104 |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-R3, Class M8, 7.57%, 5/25/2035 (j) | 6,973 | 5,389 |
Bear Stearns Asset-Backed Securities Trust Series 2004-SD1, Class M2, 5.82%, 12/25/2042 (i) | 784 | 624 |
Carrington Mortgage Loan Trust | ||
Series 2006-NC1, Class M2, 6.07%, 1/25/2036 (j) | 18,441 | 14,769 |
Series 2006-NC5, Class A3, 5.59%, 1/25/2037 (j) | 12,737 | 10,904 |
Centex Home Equity Loan Trust Series 2005-A, Class M2, 6.19%, 1/25/2035 (j) | 2,651 | 2,587 |
Credit-Based Asset Servicing and Securitization LLC Series 2006-CB8, Class A1, 5.72%, 10/25/2036 (j) | 5,863 | 5,143 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
CWABS Asset-Backed Certificates Trust Series 2007-2, Class 2A3, 5.58%, 8/25/2037 (j) | 206 | 205 |
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 6.26%, 3/25/2034 (j) | 186 | 190 |
Fieldstone Mortgage Investment Trust Series 2006-2, Class 2A3, 5.98%, 7/25/2036 (j) | 2,548 | 1,223 |
First Franklin Mortgage Loan Trust | ||
Series 2006-FF8, Class M1, 5.81%, 7/25/2036 (j) | 5,247 | 4,292 |
Series 2006-FF14, Class A5, 5.60%, 10/25/2036 (j) | 2,671 | 2,628 |
Series 2006-FF13, Class A1, 5.68%, 10/25/2036 (j) | 9,866 | 6,290 |
Fremont Home Loan Trust | ||
Series 2005-1, Class M6, 6.59%, 6/25/2035 (j) | 4,124 | 3,243 |
Series 2006-1, Class 1A1, 5.75%, 4/25/2036 (j) | — | — |
GSAA Home Equity Trust | ||
Series 2005-9, Class M5, 6.41%, 8/25/2035 (j) | 3,878 | 3,514 |
Series 2006-1, Class A2, 5.88%, 1/25/2036 (j) | 3,647 | 1,069 |
Series 2006-19, Class A2, 5.80%, 12/25/2036 (j) | 3,227 | 863 |
Series 2007-4, Class A1, 5.64%, 3/25/2037 (j) | 970 | 260 |
Series 2007-2, Class AF4A, 6.48%, 3/25/2037 (i) | 5,859 | 1,629 |
Series 2007-7, Class 1A2, 5.80%, 7/25/2037 (j) | 570 | 515 |
GSAMP Trust | ||
Series 2005-NC1, Class M2, 6.53%, 2/25/2035 (j) | 5,517 | 5,159 |
Series 2006-FM1, Class A1, 5.76%, 4/25/2036 (j) | 9,753 | 6,884 |
Series 2006-FM3, Class A1, 5.58%, 11/25/2036 (j) | — | — |
Series 2007-HE1, Class A2C, 5.59%, 3/25/2047 (j) | 8,124 | 7,637 |
Home Equity Mortgage Loan Asset-Backed Trust Series 2004-B, Class M2, 4.44%, 11/25/2034 (j) | 429 | 397 |
Long Beach Mortgage Loan Trust Series 2004-3, Class M1, 6.29%, 7/25/2034 (j) | 603 | 590 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2006-RM2, Class A1A, 5.81%, 5/25/2037 (j) | 11,549 | 3,230 |
Series 2006-MLN1, Class A2C, 5.78%, 7/25/2037 (j) | 22,258 | 9,623 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2007-HE1, Class A1, 5.57%, 11/25/2036 (j) | 3,870 | 2,455 |
Series 2007-HE7, Class A2B, 6.44%, 7/25/2037 (j) | 713 | 695 |
New Century Home Equity Loan Trust | ||
Series 2003-5, Class AI7, 4.85%, 11/25/2033 (j) | — | — |
Series 2005-1, Class M6, 6.64%, 3/25/2035 (j) | 3,955 | 3,324 |
Option One Mortgage Loan Trust Series 2004-3, Class M2, 6.29%, 11/25/2034 (j) | 397 | 391 |
RAMP Trust Series 2005-EFC6, Class M4, 6.32%, 11/25/2035 (j) | 2,540 | 2,332 |
Saxon Asset Securities Trust Series 2002-3, Class AF6, 5.41%, 5/25/2031 (i) | 626 | 605 |
Securitized Asset-Backed Receivables LLC Trust | ||
Series 2006-NC3, Class A1, 5.72%, 9/25/2036 (j) | 8,879 | 5,330 |
Series 2006-WM2, Class A2A, 5.76%, 9/25/2036 (j) | — | — |
Series 2007-NC2, Class A2B, 5.72%, 1/25/2037 (j) | 2,613 | 2,177 |
Soundview Home Loan Trust Series 2007-OPT3, Class 2A3, 5.62%, 8/25/2037 (j) | 1,723 | 1,652 |
Specialty Underwriting & Residential Finance Trust Series 2006-BC5, Class A1, 5.72%, 11/25/2037 (j) | 3,232 | 2,519 |
Structured Asset Investment Loan Trust Series 2005-HE3, Class M2, 6.17%, 9/25/2035 (j) | 4,475 | 3,913 |
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC5, Class A4, 5.78%, 12/25/2036 (j) | 378 | 368 |
Terwin Mortgage Trust Series 2006-3, Class 2A2, 5.86%, 4/25/2037 (a) (j) | 1,021 | 982 |
Total Asset-Backed Securities (Cost $154,570) | 131,704 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — 0.9% (d) (k) | ||
Aerospace & Defense — 0.0% ^ | ||
Spirit Aerosystems, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.58%, 1/15/2027 | 237 | 238 |
TransDigm, Inc., 1st Lien Term Loan I (3-MONTH CME TERM SOFR + 2.75%), 8.06%, 8/24/2028 | 430 | 432 |
670 | ||
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 | 576 | 580 |
Truck Hero, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 1/31/2028 | 292 | 292 |
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 8.88%), 14.46%, 5/11/2028 | 90 | 95 |
Wheel Pros, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.50%), 10.09%, 5/11/2028 | 424 | 252 |
1,219 | ||
Beverages — 0.0% ^ | ||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 3/31/2028 | 863 | 861 |
Building Products — 0.0% ^ | ||
Cabinetworks, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.81%, 5/17/2028 | 227 | 192 |
Quikrete Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.58%, 3/19/2029 | 821 | 824 |
1,016 | ||
Capital Markets — 0.0% ^ | ||
Duff & Phelps Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.06%, 4/9/2027 | 765 | 765 |
Chemicals — 0.1% | ||
INEOS Enterprises, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 9.20%, 7/8/2030 | 915 | 918 |
PQ Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.93%, 6/9/2028 | 1,489 | 1,490 |
Venator Materials Corp., 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 2.00%), 7.33%, 1/16/2026 | 194 | 191 |
(3-MONTH SOFR + 10.00%), 15.43%, 10/12/2028 | 559 | 554 |
3,153 | ||
Commercial Services & Supplies — 0.1% | ||
Allied Universal Holdco LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.17%, 5/12/2028 | 741 | 741 |
API Group DE, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 12/18/2028 | 499 | 500 |
Conservice Midco LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.33%, 5/13/2027 | 422 | 423 |
Ensemble RCM, LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.33%, 8/1/2029 | 1,036 | 1,042 |
Garda World Security Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 9.58%, 2/1/2029 | 623 | 628 |
Harsco Corp., Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 7.69%, 3/10/2028 | 468 | 468 |
Intrado Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.81%, 1/31/2030 | 347 | 347 |
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/21/2028 | 1,817 | 1,820 |
Nielsen Holdings plc, Term Loan B-3 (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 3/6/2028 | 410 | 401 |
Prime Security Services Borrower LLC, 1st Lien Term Loan B-1 (3-MONTH CME TERM SOFR + 2.25%), 7.81%, 10/13/2030 | 489 | 490 |
6,860 | ||
Communications Equipment — 0.0% ^ | ||
Ciena Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 7.32%, 10/24/2030 | 535 | 537 |
CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 4/6/2026 | 866 | 774 |
1,311 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Construction & Engineering — 0.0% ^ | ||
Osmose Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/23/2028 | 780 | 776 |
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/21/2028 | 810 | 812 |
1,588 | ||
Consumer Staples Distribution & Retail — 0.1% | ||
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan (3-MONTH SOFR + 11.50%), 16.91%, 6/30/2026 ‡ | 73 | 73 |
Moran Foods LLC, 1st Lien Term Loan | ||
(3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ | 2,530 | 2,077 |
(3-MONTH CME TERM SOFR + 2.00%), 12.66%, 6/30/2026 ‡ | 3,512 | 2,102 |
Utz Quality Foods LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/20/2028 | 211 | 211 |
4,463 | ||
Containers & Packaging — 0.0% ^ | ||
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 8/4/2027 | 1,136 | 1,139 |
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 9/24/2028 | 267 | 268 |
Ring Container Technologies LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 8/12/2028 | 440 | 443 |
Tekni-Plex, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 9.57%, 9/15/2028 | 589 | 590 |
2,440 | ||
Diversified Consumer Services — 0.0% ^ | ||
St. George's University Scholastic Services LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.43%, 2/10/2029 | 769 | 769 |
Diversified Telecommunication Services — 0.0% ^ | ||
Lumen Technologies, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.35%), 7.79%, 4/15/2029 | 320 | 221 |
Lumen Technologies, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.35%), 7.79%, 4/15/2030 | 327 | 220 |
Numericable U.S. LLC, 1st Lien Term Loan B-14 (France) (3-MONTH CME TERM SOFR + 5.50%), 10.83%, 8/15/2028 | 285 | 214 |
655 | ||
Electric Utilities — 0.0% ^ | ||
Astoria Energy LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 12/10/2027 | 318 | 319 |
Carroll County Energy LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.90%, 2/13/2026 | 622 | 620 |
Exelon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 8.11%, 12/15/2027 | 832 | 833 |
1,772 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Ingram Micro, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 8.57%, 6/30/2028 | 511 | 514 |
Entertainment — 0.0% ^ | ||
Banijay Entertainment, 1st Lien Term Loan B (France) (1-MONTH CME TERM SOFR + 3.25%), 8.57%, 3/1/2028 | 590 | 591 |
Delta 2 (Lux) SARL, 1st Lien Term Loan B (Luxembourg) (3-MONTH CME TERM SOFR + 2.25%), 7.56%, 1/15/2030 | 575 | 578 |
WMG Acquisition Corp., 1st Lien Term Loan I (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 1/24/2031 | 1,178 | 1,180 |
2,349 | ||
Food Products — 0.0% ^ | ||
Atkins Nutritionals, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/17/2027 | 770 | 771 |
B&G Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.83%, 10/10/2026 | 442 | 441 |
1,212 | ||
Ground Transportation — 0.0% ^ | ||
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 642 | 643 |
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.00%), 8.56%, 7/21/2028 | 195 | 195 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Ground Transportation — continued | ||
Hertz Corp. (The), 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 6/30/2028 | 671 | 616 |
Hertz Corp. (The), 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.25%), 8.86%, 6/30/2028 | 130 | 119 |
1,573 | ||
Health Care Equipment & Supplies — 0.0% ^ | ||
Avantor Funding, Inc., 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 2.00%), 7.43%, 11/8/2027 | 459 | 461 |
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 5/4/2028 | 1,230 | 1,234 |
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 10/23/2028 | 383 | 385 |
2,080 | ||
Health Care Providers & Services — 0.1% | ||
CVS Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.33%, 4/15/2031 | 754 | 757 |
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 11/15/2028 | 1,025 | 1,030 |
Pathway Vet Alliance LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 3/31/2027 | 744 | 581 |
PCI Pharma Services, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 9.10%, 11/30/2027 | 431 | 432 |
U.S. Renal Care, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 6/20/2028 | 2,188 | 1,915 |
4,715 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
UFC Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 2.75%), 8.34%, 4/29/2026 | 754 | 756 |
Whataburger, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 8/3/2028 | 926 | 927 |
1,683 | ||
Household Durables — 0.0% ^ | ||
KDC US Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.32%, 8/15/2028 | 720 | 722 |
Traeger Grills, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 6/29/2028 | 307 | 293 |
1,015 | ||
Insurance — 0.0% ^ | ||
Asurion LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 7/31/2027 | 344 | 338 |
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 8/19/2028 | 620 | 615 |
Asurion LLC, 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 5.25%), 10.69%, 1/31/2028 | 535 | 502 |
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.57%, 6/20/2030 | 642 | 646 |
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 8.30%, 11/22/2029 | 417 | 418 |
2,519 | ||
Interactive Media & Services — 0.0% ^ | ||
Getty Images, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 9.91%, 2/19/2026 | 348 | 348 |
IT Services — 0.0% ^ | ||
Ancestry.com, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 12/6/2027 | 196 | 189 |
Virtusa Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 2/11/2028 | 437 | 438 |
627 | ||
Leisure Products — 0.0% ^ | ||
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 12.00%, 12/31/2024 ‡ (b) | 2,561 | 240 |
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 12/15/2026 | 1,252 | 1,258 |
1,498 | ||
Life Sciences Tools & Services — 0.0% ^ | ||
ICON, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 7.31%, 7/03/2028 | 201 | 203 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Machinery — 0.1% | ||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%, 3-MONTH CME TERM SOFR + 3.50%), 8.90%, 10/8/2027 | 1,313 | 1,318 |
Gates Global LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/31/2027 | 1,150 | 1,152 |
Gemini HDPE LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.59%, 12/31/2027 | 968 | 970 |
Sundyne, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 3/17/2027 | 907 | 913 |
Thyssenkrupp Elevator, 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 3.50%), 8.79%, 4/30/2030 | 361 | 364 |
4,717 | ||
Media — 0.1% | ||
Altice Financing SA, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 10.33%, 10/28/2027 | 682 | 593 |
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 8/21/2028 | 570 | 572 |
DirectV Financing LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.00%), 10.44%, 8/2/2027 | 104 | 104 |
E.W. Scripps Co., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 1/7/2028 | 1,064 | 944 |
iHeartCommunications, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 5/1/2026 | 1,147 | 901 |
iHeartCommunications, Inc., Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 5/1/2026 | 638 | 492 |
Shutterfly LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 6.00%), 11.35%, 10/1/2027 ‡ | 99 | 99 |
Shutterfly LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 1.00%), 6.30%, 10/1/2027 | 835 | 683 |
Summer (BC) Holdco B SARL, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.50%), 10.11%, 12/4/2026 | 370 | 371 |
4,759 | ||
Oil, Gas & Consumable Fuels — 0.1% | ||
Buckeye Partners LP, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 7.33%, 11/1/2026 | 484 | 484 |
Buckeye Partners, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 2.50%, 11/22/2030 | 255 | 256 |
EPIC Crude Services LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 10.61%, 3/2/2026 | 6,728 | 6,742 |
WhiteWater Whistler Holdings, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 8.05%, 2/15/2030 | 570 | 572 |
8,054 | ||
Personal Care Products — 0.0% ^ | ||
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 5/17/2028 | 596 | 592 |
Pharmaceuticals — 0.0% ^ | ||
Jazz Pharmaceuticals plc, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 5/5/2028 | 520 | 524 |
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 | 1,531 | 1,539 |
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 1/18/2029 | 802 | 804 |
2,343 | ||
Semiconductors & Semiconductor Equipment — 0.0% ^ | ||
Brooks Automation, 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 10.40%, 2/1/2030 | 251 | 246 |
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/2/2027 | 1,163 | 1,167 |
1,413 | ||
Software — 0.1% | ||
Camelot U.S. Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031 | 612 | 612 |
Consilio, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%), 9.44%, 5/12/2028 | 946 | 944 |
DigiCert, Inc., 1st Lien Term Loan | ||
(1-MONTH CME TERM SOFR + 4.00%), 9.33%, 10/16/2026 | 590 | 587 |
(1-MONTH CME TERM SOFR + 7.00%), 12.33%, 2/19/2029 | 445 | 401 |
Genesys Cloud Services Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 12/1/2027 | 915 | 922 |
Netsmart Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%, 10/1/2027 | 621 | 622 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — continued | ||
Software — continued | ||
Project Boost Purchaser LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.94%, 6/1/2026 | 752 | 755 |
Proofpoint, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.68%, 8/31/2028 | 557 | 558 |
RealPage, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.44%, 4/24/2028 | 283 | 279 |
ThoughtWorks, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 7.94%, 3/24/2028 | 187 | 186 |
Ultimate Software Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%, 2/10/2031 | 1,176 | 1,184 |
7,050 | ||
Specialty Retail — 0.1% | ||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 10/19/2027 | 653 | 656 |
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%, 12/18/2026 (l) | 7,308 | 6,906 |
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.19%, 3/9/2028 | 636 | 631 |
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.82%, 3/3/2028 | 545 | 492 |
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 12/28/2027 | 825 | 816 |
Serta Simmons Bedding LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 7.50%), 12.92%, 6/29/2028 | 91 | 78 |
Staples, Inc., 1st Lien Term Loan (3-MONTH SOFR + 5.00%), 10.43%, 4/16/2026 | 1,156 | 1,144 |
10,723 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
Birkenstock, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.84%, 4/28/2028 | 263 | 264 |
Total Loan Assignments (Cost $91,940) | 88,317 | |
Mortgage-Backed Securities — 0.4% | ||
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.00%, 6/25/2054 (m) (Cost $34,413) | 45,085 | 34,775 |
SHARES (000) | ||
Common Stocks — 0.2% | ||
Broadline Retail — 0.0% ^ | ||
Moran Foods Backstop Equity ‡ * | 16,344 | 164 |
MYT Holding LLC ‡ * | 1,412 | 494 |
658 | ||
Chemicals — 0.0% ^ | ||
Venator Materials plc * | — | 229 |
Commercial Services & Supplies — 0.0% ^ | ||
Remington LLC ‡ * | 10,425 | — |
Communications Equipment — 0.0% ^ | ||
Goodman Networks, Inc. ‡ * | 213 | — |
Diversified Telecommunication Services — 0.0% ^ | ||
Windstream Holdings, Inc. ‡ * | — | 5 |
Financial Services — 0.0% ^ | ||
Mallinckrodt plc (Luxembourg) ‡ * | 5 | 260 |
Health Care Providers & Services — 0.0% ^ | ||
Claire's Stores, Inc. ‡ * | 6 | 1,024 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Health Care Providers & Services — continued | ||
Envision Healthcare Corp. ‡ * | 42 | 325 |
International Oncology Care, Inc. ‡ * | 158 | 2,563 |
3,912 | ||
Machinery — 0.0% ^ | ||
SSB Equipment Co., Inc. ‡ * | 22 | — |
Media — 0.0% ^ | ||
iHeartMedia, Inc., Class A * | 71 | 65 |
Specialty Retail — 0.1% | ||
NMG, Inc. ‡ * | 52 | 6,510 |
Serta Simmons Bedding LLC ‡ * | 22 | 167 |
6,677 | ||
Wireless Telecommunication Services — 0.1% | ||
Intelsat SA (Luxembourg) ‡ * | 130 | 4,662 |
Total Common Stocks (Cost $14,011) | 16,468 | |
Convertible Preferred Stocks — 0.1% | ||
Specialty Retail — 0.1% | ||
Claire's Stores, Inc. ‡ * (Cost $1,304) | 5 | 10,505 |
PRINCIPAL AMOUNT ($000) | ||
Commercial Mortgage-Backed Securities — 0.0% ^ | ||
Harvest Commercial Capital Loan Trust Series 2019-1, Class M4, 4.64%, 9/25/2046 (a) (j) (Cost $3,553) | 3,555 | 3,255 |
Convertible Bonds — 0.0% ^ | ||
Media — 0.0% ^ | ||
DISH Network Corp. 3.38%, 8/15/2026 | 1,190 | 762 |
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Gulfport Energy Corp. 10.00% (Cash), 7/8/2024 ‡ * (c) (f) (g) | — | 936 |
Total Convertible Bonds (Cost $1,185) | 1,698 | |
SHARES (000) | ||
Preferred Stocks — 0.0% ^ | ||
Broadline Retail — 0.0% ^ | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | 2,436 | 1,579 |
Communications Equipment — 0.0% ^ | ||
Goodman Networks, Inc. ‡ * | 253 | — |
Total Preferred Stocks (Cost $3,207) | 1,579 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued) INVESTMENTS | NO. OF WARRANTS (000) | VALUE ($000) |
Warrants — 0.0% ^ | ||
Entertainment — 0.0% ^ | ||
Cineworld Group plc expiring 12/23/2025, price 4,149.00 GBP (United Kingdom) * | 67 | — |
Media — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * | 34 | 457 |
Total Warrants (Cost $—) | 457 | |
SHARES (000) | ||
Short-Term Investments — 54.5% | ||
Investment Companies — 53.4% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (n) (o) (Cost $5,204,822) | 5,203,782 | 5,204,822 |
PRINCIPAL AMOUNT ($000) | ||
Repurchase Agreements — 0.7% | ||
BofA Securities, Inc., 5.75%, dated 5/31/2024, due 8/09/2024, repurchase price $65,727, collateralized by Collateralized Mortgage Obligations, 0.00% - 6.29%, due 5/25/2034 - 1/25/2046 and FHLMC, 10.58% - 10.82%, due 3/25/2042 - 5/26/2043, with the value of $70,200. (Cost $65,000) | 65,000 | 65,000 |
U.S. Treasury Obligations — 0.4% | ||
U.S. Treasury Bills, 5.27%, 6/20/2024 (p) (q) (Cost $37,947) | 38,052 | 37,957 |
Total Short-Term Investments (Cost $5,307,769) | 5,307,779 | |
Total Investments — 99.7% (Cost $9,706,237) | 9,708,856 | |
Other Assets Less Liabilities — 0.3% | 27,789 | |
NET ASSETS — 100.0% | 9,736,645 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ABS | Asset-Backed Securities |
CME | Chicago Mercantile Exchange |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GBP | British Pound |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
PIK | Payment In Kind |
REIT | Real Estate Investment Trust |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)REMIC | Real Estate Mortgage Investment Conduit |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(b) | Defaulted security. | |
(c) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of May 31, 2024. | |
(e) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2024 is $301,627 or 3.10% of the Fund’s net assets as of May 31, 2024. | |
(f) | Security is an interest bearing note with preferred security characteristics. | |
(g) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of May 31, 2024. | |
(h) | 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. | |
(i) | 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. | |
(j) | 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. | |
(k) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(l) | Fund is subject to legal or contractual restrictions on the resale of the security. | |
(m) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(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. |
TBA Short Commitments
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA / FHLMC UMBS, Single Family, 30 Year | ||
TBA, 5.00%, 6/25/2054(a) | (180,340 ) | (173,609 ) |
TBA, 5.50%, 6/25/2054(a) | (631,190 ) | (621,149 ) |
TBA, 6.00%, 6/25/2054(a) | (45,085 ) | (45,161 ) |
(Proceeds received of $840,758) | (839,919 ) |
Abbreviations | |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number of contracts):
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 8,114 | 09/30/2024 | USD | 1,653,735 | 1,160 |
U.S. Treasury 5 Year Note | 2,420 | 09/30/2024 | USD | 256,407 | 279 |
1,439 | |||||
Short Contracts | |||||
30 Day Federal Funds | (1,776 ) | 07/31/2024 | USD | (700,614 ) | 1,643 |
30 Day Federal Funds | (3,594 ) | 08/30/2024 | USD | (1,418,396 ) | 3,643 |
U.S. Treasury 10 Year Note | (6,104 ) | 09/19/2024 | USD | (665,145 ) | 74 |
U.S. Treasury Ultra Bond | (2,263 ) | 09/19/2024 | USD | (277,854 ) | 1,201 |
U.S. Treasury 5 Year Note | (17 ) | 09/30/2024 | USD | (1,801 ) | (3 ) |
30 Day Federal Funds | (3,608 ) | 01/31/2025 | USD | (1,428,882 ) | (159 ) |
6,399 | |||||
7,838 |
Abbreviations | |
USD | United States Dollar |
Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts in thousands):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
USD | 16,504 | EUR | 15,179 | State Street Corp. | 7/3/2024 | 12 |
USD | 42,007 | JPY | 6,510,000 | Morgan Stanley | 7/19/2024 | 319 |
Total unrealized appreciation | 331 | |||||
JPY | 2,315,785 | USD | 15,257 | Barclays Bank plc | 7/19/2024 | (427 ) |
JPY | 4,194,215 | USD | 27,629 | Morgan Stanley | 7/19/2024 | (771 ) |
Total unrealized depreciation | (1,198 ) | |||||
Net unrealized depreciation | (867 ) |
Abbreviations | |
EUR | Euro |
JPY | Japanese Yen |
USD | United States Dollar |
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of May 31, 2024 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | 0.68 | USD14,170 | 2,771 | (2,507 ) | 264 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | 0.68 | USD6,970 | 1,309 | (1,179 ) | 130 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Barclays Bank plc | 5/25/2046 | 0.68 | USD13,370 | 3,974 | (3,724 ) | 250 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | 0.68 | USD6,600 | 1,841 | (1,718 ) | 123 |
ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | 0.68 | USD13,380 | 3,404 | (3,154 ) | 250 |
CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 74.00 | USD6,900 | 5,854 | (5,853 ) | 1 |
CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 74.00 | USD10,550 | 8,434 | (8,432 ) | 2 |
27,587 | (26,567 ) | 1,020 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(*) | 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 | |||||||||
ABX | Asset-Backed Securities Index | ||||||||
CMBX | Commercial Mortgage-Backed Securities Index | ||||||||
USD | United States Dollar |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of May 31, 2024 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
Federative Republic of Brazil, 3.75%, 9/12/2031 | 1.00 | Quarterly | 6/20/2029 | 1.43 | USD 90,180 | 2,253 | (715 ) | 1,538 |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD 44,100 | (3,008 ) | (427 ) | (3,435 ) |
CDX.NA.HY.42-V1 | 5.00 | Quarterly | 6/20/2029 | 3.33 | USD 80,000 | (5,430 ) | (801 ) | (6,231 ) |
CDX.NA.IG.41-V1 | 1.00 | Quarterly | 12/20/2028 | 0.44 | USD 449,900 | (9,235 ) | (1,954 ) | (11,189 ) |
CDX.NA.IG.42-V1 | 1.00 | Quarterly | 6/20/2029 | 0.50 | USD 651,630 | (14,082 ) | (1,853 ) | (15,935 ) |
iTraxx.Europe.Main.41-V1 | 1.00 | Quarterly | 6/20/2029 | 0.53 | EUR 152,510 | (3,441 ) | (536 ) | (3,977 ) |
United Mexican States, 4.15%, 3/28/2027 | 1.00 | Quarterly | 6/20/2029 | 0.95 | USD 90,210 | (105 ) | (295 ) | (400 ) |
(35,301 ) | (5,866 ) | (41,167 ) | ||||||
(33,048 ) | (6,581 ) | (39,629 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Abbreviations | |
CDX | Credit Default Swap Index |
EUR | Euro |
USD | United States Dollar |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)Summary of total OTC swap contracts outstanding as of May 31, 2024 (amounts in thousands):
NET UPFRONT PAYMENTS (RECEIPTS) ($) | VALUE ($) | |
Assets | ||
OTC Credit default swap contracts outstanding - buy protection | 27,587 | 1,020 |
JPMorgan Strategic Income Opportunities 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 approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Certain short term investments may be valued using the amortized cost method, provided it approximates the fair market value of the investment. The amortized cost method of valuation involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Fund would receive if it sold the security. The market value of securities in the Fund can generally be expected to vary inversely with changes in prevailing interest rates.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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).
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 | $— | $131,704 | $— | $131,704 |
Collateralized Mortgage Obligations | — | 305,890 | 4 | 305,894 |
Commercial Mortgage-Backed Securities | — | 3,255 | — | 3,255 |
Common Stocks | ||||
Broadline Retail | — | — | 658 | 658 |
Chemicals | 229 | — | — | 229 |
Commercial Services & Supplies | — | — | — (a) | — (a) |
Communications Equipment | — | — | — (a) | — (a) |
Diversified Telecommunication Services | — | — | 5 | 5 |
Financial Services | — | — | 260 | 260 |
Health Care Providers & Services | — | — | 3,912 | 3,912 |
Machinery | — | — | — (a) | — (a) |
Media | 65 | — | — | 65 |
Specialty Retail | — | — | 6,677 | 6,677 |
Wireless Telecommunication Services | — | — | 4,662 | 4,662 |
Total Common Stocks | 294 | — | 16,174 | 16,468 |
Convertible Bonds | ||||
Media | — | 762 | — | 762 |
Oil, Gas & Consumable Fuels | — | — | 936 | 936 |
Total Convertible Bonds | — | 762 | 936 | 1,698 |
Convertible Preferred Stocks | — | — | 10,505 | 10,505 |
Corporate Bonds | ||||
Aerospace & Defense | — | 193 | — | 193 |
Automobile Components | — | 16,549 | — | 16,549 |
Automobiles | — | 240,852 | — | 240,852 |
Banks | — | 1,852,922 | — | 1,852,922 |
Beverages | — | 90,353 | — | 90,353 |
Broadline Retail | — | 2,377 | — | 2,377 |
Capital Markets | — | 338,116 | — | 338,116 |
Chemicals | — | 91 | — | 91 |
Consumer Finance | — | 742,321 | — | 742,321 |
Consumer Staples Distribution & Retail | — | 832 | — | 832 |
Diversified Telecommunication Services | — | 121,191 | — | 121,191 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Electric Utilities | $— | $61,915 | $— | $61,915 |
Energy Equipment & Services | — | 386 | — | 386 |
Financial Services | — | 69,285 | — | 69,285 |
Ground Transportation | — | 374 | — | 374 |
Health Care Providers & Services | — | 4,574 | — | 4,574 |
Hotels, Restaurants & Leisure | — | 144 | — | 144 |
Insurance | — | 42,939 | — | 42,939 |
Machinery | — | 8,313 | — | 8,313 |
Media | — | 7,321 | — | 7,321 |
Metals & Mining | — | 13,609 | — | 13,609 |
Multi-Utilities | — | 55,610 | — | 55,610 |
Oil, Gas & Consumable Fuels | — | 24,568 | — | 24,568 |
Personal Care Products | — | — | —(a ) | —(a ) |
Pharmaceuticals | — | 42,920 | — | 42,920 |
Specialized REITs | — | 42,759 | — | 42,759 |
Specialty Retail | — | 4,017 | — | 4,017 |
Wireless Telecommunication Services | — | 21,894 | — | 21,894 |
Total Corporate Bonds | — | 3,806,425 | — (a) | 3,806,425 |
Loan Assignments | ||||
Aerospace & Defense | — | 670 | — | 670 |
Automobile Components | — | 1,219 | — | 1,219 |
Beverages | — | 861 | — | 861 |
Building Products | — | 1,016 | — | 1,016 |
Capital Markets | — | 765 | — | 765 |
Chemicals | — | 3,153 | — | 3,153 |
Commercial Services & Supplies | — | 6,860 | — | 6,860 |
Communications Equipment | — | 1,311 | — | 1,311 |
Construction & Engineering | — | 1,588 | — | 1,588 |
Consumer Staples Distribution & Retail | — | 211 | 4,252 | 4,463 |
Containers & Packaging | — | 2,440 | — | 2,440 |
Diversified Consumer Services | — | 769 | — | 769 |
Diversified Telecommunication Services | — | 655 | — | 655 |
Electric Utilities | — | 1,772 | — | 1,772 |
Electronic Equipment, Instruments & Components | — | 514 | — | 514 |
Entertainment | — | 2,349 | — | 2,349 |
Food Products | — | 1,212 | — | 1,212 |
Ground Transportation | — | 1,573 | — | 1,573 |
Health Care Equipment & Supplies | — | 2,080 | — | 2,080 |
Health Care Providers & Services | — | 4,715 | — | 4,715 |
Hotels, Restaurants & Leisure | — | 1,683 | — | 1,683 |
Household Durables | — | 1,015 | — | 1,015 |
Insurance | — | 2,519 | — | 2,519 |
Interactive Media & Services | — | 348 | — | 348 |
IT Services | — | 627 | — | 627 |
Leisure Products | — | 1,258 | 240 | 1,498 |
Life Sciences Tools & Services | — | 203 | — | 203 |
Machinery | — | 4,717 | — | 4,717 |
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Media | $— | $4,660 | $99 | $4,759 |
Oil, Gas & Consumable Fuels | — | 8,054 | — | 8,054 |
Personal Care Products | — | 592 | — | 592 |
Pharmaceuticals | — | 524 | — | 524 |
Professional Services | — | 2,343 | — | 2,343 |
Semiconductors & Semiconductor Equipment | — | 1,413 | — | 1,413 |
Software | — | 7,050 | — | 7,050 |
Specialty Retail | — | 10,723 | — | 10,723 |
Textiles, Apparel & Luxury Goods | — | 264 | — | 264 |
Total Loan Assignments | — | 83,726 | 4,591 | 88,317 |
Mortgage-Backed Securities | — | 34,775 | — | 34,775 |
Preferred Stocks | — | — | 1,579 | 1,579 |
Warrants | ||||
Entertainment | — | — (a) | — | — (a) |
Media | — | — | 457 | 457 |
Total Warrants | — | — (a) | 457 | 457 |
Short-Term Investments | ||||
Investment Companies | 5,204,822 | — | — | 5,204,822 |
Repurchase Agreements | — | 65,000 | — | 65,000 |
U.S. Treasury Obligations | — | 37,957 | — | 37,957 |
Total Short-Term Investments | 5,204,822 | 102,957 | — | 5,307,779 |
Total Investments in Securities | $5,205,116 | $4,469,494 | $34,246 | $9,708,856 |
Liabilities | ||||
TBA Short Commitment | $— | $(839,919 ) | $— | $(839,919 ) |
Total Liabilities in Securities Sold Short | $— | $(839,919 ) | $— | $(839,919 ) |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $331 | $— | $331 |
Futures Contracts | 8,000 | — | — | 8,000 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (1,198 ) | — | (1,198 ) |
Futures Contracts | (162 ) | — | — | (162 ) |
Swaps | — | (33,148 ) | — | (33,148 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $7,838 | $(34,015 ) | $— | $(26,177 ) |
(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 $2,528.
There were no significant transfers into or out of level 3 for the period ended May 31, 2024.
B. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer.
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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) | $5,719,111 | $1,346,005 | $1,858,660 | $65 | $(1,699 ) | $5,204,822 | 5,203,782 | $73,800 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of May 31, 2024. |
C. Derivatives— The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
Notes (1) — (3) below describe the various derivatives used by the Fund.
(1). Futures Contracts— The Fund used currency, index, interest rate, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.
The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts— The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
The Fund's forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Swaps — The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
JPMorgan Strategic Income Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2024 (Unaudited) (continued)(Dollar values in thousands)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.