JPMorgan Tax Aware Real Return Fund
Schedule of Portfolio Investments as of July 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 Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — 91.1% (a) | ||
Alabama — 1.2% | ||
Black Belt Energy Gas District, Gas Project Series 2022C-1, Rev., 5.25%, 12/1/2028 | 1,275 | 1,342 |
County of Jefferson | ||
Rev., 5.00%, 10/1/2035 | 1,000 | 1,116 |
Rev., 5.00%, 10/1/2038 | 2,000 | 2,205 |
Mobile County Industrial Development Authority, Calvert LLC Project Series 2024 A, Rev., AMT, 5.00%, 6/1/2054 | 1,000 | 1,023 |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (b) | 1,000 | 1,074 |
Total Alabama | 6,760 | |
Alaska — 0.1% | ||
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project Rev., 5.00%, 9/1/2024 | 15 | 15 |
Northern Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Senior Capital Appreciation Series 2021 B2 CL 2, Class 2, Rev., Zero Coupon, 6/1/2066 | 3,000 | 396 |
Total Alaska | 411 | |
Arizona — 2.7% | ||
Arizona Board of Regents Series 2024, Rev., 5.00%, 8/1/2043 | 1,060 | 1,188 |
Arizona Industrial Development Authority, Academic of Math and Science Projects | ||
Rev., 5.00%, 7/1/2038 (c) | 250 | 255 |
Rev., 5.25%, 7/1/2043 (c) | 250 | 255 |
City of Glendale Water and Sewer, Senior Lien Rev., 5.00%, 7/1/2035 | 1,000 | 1,163 |
City of Phoenix Civic Improvement Corp., Senior Lien Rev., AMT, 5.00%, 7/1/2030 | 1,475 | 1,554 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (c) | 500 | 505 |
Maricopa County Industrial Development Authority, Valley Christian School Project Series 2023A, Rev., 6.25%, 7/1/2053 (c) | 1,900 | 1,950 |
Maricopa County Unified School District No. 60 Higley | ||
COP, AGM, 5.00%, 6/1/2037 | 170 | 190 |
COP, AGM, 5.00%, 6/1/2038 | 250 | 277 |
Pima County Unified School District No. 1 Tucson, Project of 2023 Series 2024 A, GO, AGM, 5.00%, 7/1/2040 | 1,750 | 1,959 |
Pinal County Electric District No. 3 Rev., 4.00%, 7/1/2034 | 150 | 151 |
Salt Verde Financial Corp. Series 2007-1, Rev., 5.00%, 12/1/2032 | 5,615 | 6,057 |
Total Arizona | 15,504 | |
Arkansas — 0.3% | ||
City of Fort Smith, Water and Sewer Rev., 5.00%, 10/1/2027 | 1,305 | 1,371 |
County of Pulaski, Arkansas Children's Hospital Rev., 5.00%, 3/1/2037 | 500 | 561 |
Total Arkansas | 1,932 | |
California — 5.4% | ||
Burbank-Glendale-Pasadena Airport Authority Brick Campaign Series 2024B, Rev., AMT, 5.25%, 7/1/2044 | 2,000 | 2,186 |
California Community Choice Financing Authority, Clean Energy Project Series 2021B-1, Rev., 4.00%, 8/1/2031 (b) | 4,400 | 4,444 |
California Health Facilities Financing Authority, Adventist Health System Series 2024A, Rev., 5.00%, 12/1/2036 | 3,750 | 4,156 |
California Infrastructure and Economic Development Bank, Brightline West Passenger Rail Project | ||
Series 2020A, Rev., AMT, 3.95%, 8/8/2024 (b) (c) | 1,500 | 1,500 |
Series 2020 A-4, Rev., AMT, 8.00%, 8/8/2024 (b) (c) (d) | 2,200 | 2,230 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (c) | 500 | 554 |
California Statewide Communities Development Authority Series 2009 C-2, Rev., 5.00%, 11/1/2029 (b) | 2,500 | 2,740 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B-2, Rev., Zero Coupon, 6/1/2066 | 5,000 | 574 |
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset-Backed Bonds Series 2015A, Rev., 5.00%, 6/1/2025 (e) | 4,950 | 5,038 |
Lompoc Valley Medical Center GO, 5.00%, 8/1/2024 | 15 | 15 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
California — continued | ||
Los Angeles Community College District, Election of 2008 Series G, GO, 4.00%, 8/1/2024 (e) | 145 | 145 |
Los Angeles Unified School District Series 2024A, GO, 5.00%, 7/1/2034 | 2,230 | 2,650 |
Ontario Public Financing Authority Series 2022A, Rev., AGM, 5.00%, 11/1/2030 | 140 | 157 |
Southern California Public Power Authority Series 2024-1, Rev., 5.00%, 7/1/2044 | 3,325 | 3,792 |
Vista Unified School District Series 2022B, GO, 5.00%, 8/1/2033 | 365 | 423 |
Total California | 30,604 | |
Colorado — 2.2% | ||
Arapahoe County School District No. 5 Cherry Creek GO, 5.00%, 12/15/2037 | 425 | 472 |
Boulder Valley School District No. Re-2 Boulder GO, 4.13%, 12/1/2046 | 3,700 | 3,735 |
City and County of Denver, Airport System | ||
Series 2022D, Rev., AMT, 5.50%, 11/15/2032 | 2,250 | 2,581 |
Series 2022A, Rev., AMT, 5.50%, 11/15/2042 | 2,500 | 2,783 |
Denver Health and Hospital Authority Series 2019A, Rev., 4.00%, 12/1/2037 | 1,000 | 945 |
Dominion Water and Sanitation District Rev., 5.25%, 12/1/2032 | 500 | 510 |
Jefferson County School District R-1 GO, 5.00%, 12/15/2035 | 515 | 552 |
Third Creek Metropolitan District No. 1, Limited Tax Series 2022A-1, GO, 4.50%, 12/1/2037 | 825 | 736 |
Total Colorado | 12,314 | |
Connecticut — 1.1% | ||
City of Norwalk GO, 4.25%, 8/15/2048 | 1,100 | 1,118 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | 1,000 | 972 |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | ||
Series 2022A, Rev., 5.00%, 7/1/2031 | 1,250 | 1,414 |
Series 2022B, Rev., 5.00%, 7/1/2031 | 2,500 | 2,827 |
Total Connecticut | 6,331 | |
District of Columbia — 1.1% | ||
District of Columbia Water and Sewer Authority, Subordinate Lien Series 2024A, Rev., 5.00%, 10/1/2035 | 5,000 | 5,884 |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2019A, Rev., 5.00%, 10/1/2036 | 270 | 287 |
Total District of Columbia | 6,171 | |
Florida — 2.0% | ||
Capital Trust Agency, Inc., Legends Academy Project Series 2021A, Rev., 5.00%, 12/1/2045 (c) | 175 | 136 |
City of Melbourne Water and Sewer Series 2023, Rev., 5.00%, 11/15/2039 | 2,355 | 2,669 |
City of Tallahassee Utility System Series 2024 A, Rev., 5.00%, 10/1/2035 | 1,000 | 1,164 |
Florida Development Finance Corp., Brightline Florida Passenger Rail Project Series 2024, Rev., AMT, 5.50%, 7/1/2053 | 1,000 | 1,039 |
Florida Development Finance Corp., Idea Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | 100 | 101 |
JEA Electric System Series 2017 B, Rev., 5.00%, 10/1/2031 | 4,000 | 4,191 |
Lee County School Board (The) Series 2023A, COP, 5.00%, 8/1/2042 | 1,000 | 1,095 |
Palm Beach County School District COP, 5.00%, 8/1/2036 | 1,000 | 1,146 |
Total Florida | 11,541 | |
Georgia — 3.3% | ||
Brookhaven Urban Redevelopment Agency Series 2023A, Rev., 5.00%, 7/1/2040 | 2,920 | 3,317 |
City of Atlanta Series 2021B, Rev., 4.00%, 7/1/2040 | 1,850 | 1,881 |
Development Authority of Burke County (The) Series 2013-1, Rev., 3.38%, 3/12/2027 (b) | 500 | 500 |
Development Authority of Monroe County (The), Georgia Power Co. Plant Scherer Project Series 2009-2, Rev., 3.88%, 3/6/2026 (b) | 1,250 | 1,261 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Georgia — continued | ||
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project | ||
Rev., RAN, 5.00%, 10/15/2030 | 1,000 | 1,100 |
Rev., RAN, 5.00%, 10/15/2034 | 1,000 | 1,146 |
Georgia Ports Authority Rev., 4.00%, 7/1/2052 | 1,000 | 986 |
Main Street Natural Gas, Inc., Gas Supply | ||
Series 2023B, Rev., 5.00%, 3/1/2030 (b) | 1,000 | 1,066 |
Series 2023A, Rev., 5.00%, 6/1/2030 (b) | 1,300 | 1,375 |
Series 2023E, Subseries E-1, Rev., 5.00%, 6/1/2031 (b) | 3,445 | 3,689 |
Rome Building Authority, Rome City School Project | ||
Series 2023, Rev., 5.00%, 3/1/2037 | 600 | 690 |
Series 2023, Rev., 5.00%, 3/1/2038 | 1,375 | 1,570 |
Series 2023, Rev., 5.00%, 3/1/2039 | 185 | 210 |
Total Georgia | 18,791 | |
Illinois — 5.8% | ||
Chicago Midway International Airport, Senior Lien Series 2023A, Rev., AMT, 5.00%, 1/1/2030 | 4,000 | 4,270 |
Chicago O'Hare International Airport, Senior Lien Series 2023A, Rev., AMT, 5.00%, 1/1/2033 | 4,310 | 4,729 |
City of Chicago, Second Lien Waterworks Project Rev., 5.00%, 11/1/2029 | 1,000 | 1,003 |
Cook County Community Consolidated School District No. 15 Palatine GO, 5.00%, 12/1/2038 | 500 | 554 |
Illinois Finance Authority, University of Chicago Series 2024 A, Rev., 5.00%, 4/1/2034 | 5,350 | 6,235 |
Illinois Housing Development Authority Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 10/1/2054 | 1,000 | 1,087 |
Illinois State Toll Highway Authority Series 2023A, Rev., 5.00%, 1/1/2042 | 1,000 | 1,115 |
State of Illinois | ||
Series 2017D, GO, 5.00%, 11/1/2025 | 5,000 | 5,110 |
Series 2022A, GO, 5.00%, 3/1/2033 | 6,000 | 6,663 |
Series 2024B, GO, 5.25%, 5/1/2047 | 1,000 | 1,091 |
Series 2024B, GO, 5.25%, 5/1/2048 | 1,000 | 1,087 |
Total Illinois | 32,944 | |
Indiana — 1.7% | ||
City of Valparaiso Rev., 5.38%, 12/1/2041 (c) | 200 | 162 |
Fort Wayne Community School Building Corp., Fort Wayne Community Schools Rev., 5.00%, 7/15/2038 | 650 | 725 |
Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project Rev., 5.00%, 2/1/2026 | 1,000 | 1,001 |
Greater Clark County School Building Corp. Series 2024A, Rev., 5.00%, 7/15/2026 | 700 | 725 |
Indiana Finance Authority, CHF- Tippecanoe LLC- Student Housing Project Series 2023A, Rev., 5.00%, 6/1/2043 | 425 | 446 |
Indiana Finance Authority, DePauw University | ||
Series 2022A, Rev., 5.00%, 7/1/2030 | 230 | 244 |
Series 2022A, Rev., 5.00%, 7/1/2031 | 230 | 246 |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 | 2,000 | 2,032 |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 5.00%, 1/1/2026 | 4,050 | 4,056 |
Total Indiana | 9,637 | |
Kansas — 0.2% | ||
City of Topeka, Kansas Health Care Facilities Series 2022B, Rev., 5.13%, 8/1/2024 | 25 | 25 |
City of Wichita Series 2016B, Rev., 4.00%, 10/1/2026 | 125 | 128 |
State of Kansas Department of Transportation Series 2024A, Rev., 5.00%, 9/1/2035 | 1,000 | 1,176 |
Total Kansas | 1,329 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Kentucky — 1.2% | ||
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 | 740 | 736 |
County of Knott, Solid Waste Water Project Series 2024, Rev., AMT, 4.00%, 4/1/2025 (b) (c) | 2,400 | 2,403 |
Kentucky Public Energy Authority Series 2024B, Rev., 5.00%, 8/1/2032 (b) | 3,500 | 3,766 |
Total Kentucky | 6,905 | |
Louisiana — 2.0% | ||
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 4.05%, 7/1/2026 (b) | 3,500 | 3,506 |
State of Louisiana Gasoline and Fuels Tax Series A, Rev., 4.50%, 5/1/2025 (e) | 8,000 | 8,086 |
Total Louisiana | 11,592 | |
Maine — 0.2% | ||
Maine Health and Higher Educational Facilities Authority Series 2023A, Rev., AGM, 5.00%, 7/1/2026 | 200 | 207 |
Maine Municipal Bond Bank Series 2022A, Rev., 5.00%, 11/1/2033 | 800 | 920 |
Total Maine | 1,127 | |
Maryland — 0.7% | ||
County of Howard Series 2021A, GO, 5.00%, 8/15/2024 | 2,370 | 2,372 |
County of Montgomery Series 2022A, GO, 5.00%, 8/1/2026 | 1,020 | 1,063 |
State of Maryland Series 2021-A, GO, 4.00%, 8/1/2036 | 590 | 618 |
Total Maryland | 4,053 | |
Massachusetts — 3.6% | ||
Commonwealth of Massachusetts | ||
Series 2018B, GO, 5.00%, 1/1/2030 | 1,415 | 1,506 |
Series 2024A, GO, 5.00%, 1/1/2041 | 1,000 | 1,130 |
Series 2022 E, GO, 5.00%, 11/1/2049 | 3,030 | 3,274 |
Commonwealth of Massachusetts Transportation Fund Series 2015 A, Rev., 5.00%, 6/1/2028 | 1,000 | 1,015 |
Massachusetts Clean Water Trust (The) | ||
Series 2023, Rev., 5.00%, 2/1/2037 | 250 | 289 |
Series 25B, Rev., 5.00%, 2/1/2037 | 400 | 463 |
Series 2023, Rev., 5.00%, 2/1/2038 | 175 | 202 |
Series 25B, Rev., 5.00%, 2/1/2038 | 300 | 346 |
Series 25B, Rev., 5.00%, 2/1/2039 | 250 | 286 |
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.25%, 7/1/2048 | 1,000 | 1,080 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700 | 689 |
Massachusetts Development Finance Agency, Children's Hospital Corp Obligated Group Series 2024 U-1, Rev., VRDO, LOC : TD Bank NA, 2.50%, 8/1/2024 (b) | 10,000 | 10,000 |
Total Massachusetts | 20,280 | |
Michigan — 0.1% | ||
City of Detroit, Unlimited Tax Series 2021A, GO, 5.00%, 4/1/2037 | 400 | 429 |
Michigan Strategic Fund, Graphic Packaging International, LLC Coated Recycled Board Machine Project Rev., AMT, 4.00%, 10/1/2026 (b) | 125 | 125 |
Total Michigan | 554 | |
Minnesota — 2.1% | ||
Chisholm Independent School District No. 695 Series 2023A, GO, Zero Coupon, 2/1/2039 | 600 | 319 |
County of Hennepin Series 2018 A, GO, 5.00%, 12/1/2029 | 1,010 | 1,082 |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2023C, GO, 4.00%, 3/1/2042 | 4,965 | 5,038 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Minnesota — continued | ||
Minnesota Higher Education Facilities Authority, University of St. Thomas | ||
Series 2022A, Rev., 5.00%, 10/1/2025 | 170 | 173 |
Series 2022A, Rev., 5.00%, 10/1/2027 | 275 | 289 |
Series 2022A, Rev., 5.00%, 10/1/2028 | 290 | 309 |
Series 2022B, Rev., 5.00%, 10/1/2028 | 655 | 698 |
Series 2022A, Rev., 5.00%, 10/1/2029 | 315 | 340 |
Series 2022A, Rev., 5.00%, 10/1/2030 | 225 | 246 |
Series 2022A, Rev., 5.00%, 10/1/2031 | 350 | 383 |
Series 2022A, Rev., 5.00%, 10/1/2032 | 245 | 268 |
Minnesota Housing Finance Agency Series 2024 O, Rev., GNMA / FNMA / FHLMC, 6.25%, 1/1/2055 (d) | 1,000 | 1,122 |
Minnesota Municipal Gas Agency Series Subseries,2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2027 | 1,435 | 1,458 |
Total Minnesota | 11,725 | |
Missouri — 0.4% | ||
Missouri Housing Development Commission, Single Family, First Place Homeownership Loan Program Series 2024 A, Rev., GNMA / FNMA / FHLMC, 5.75%, 5/1/2055 | 1,000 | 1,085 |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series 2015 B, Rev., 5.00%, 7/1/2026 | 1,000 | 1,018 |
Total Missouri | 2,103 | |
Nebraska — 0.2% | ||
Nebraska Public Power District Series C, Rev., 5.00%, 1/1/2029 | 1,040 | 1,065 |
Nevada — 0.5% | ||
County of Clark, Nevada Improvement District No. 158 5.00%, 8/1/2034 | 10 | 11 |
State of Nevada Series 2015B, GO, 5.00%, 11/1/2026 | 2,500 | 2,536 |
Total Nevada | 2,547 | |
New Jersey — 1.9% | ||
Camden County Improvement Authority (The) Rev., GTD, 5.00%, 1/15/2037 | 300 | 338 |
Camden County Improvement Authority (The), Camden Prep High School Project Rev., 5.00%, 7/15/2042 (c) | 585 | 595 |
New Jersey Economic Development Authority, School Facilities Construction Series 2023RRR, Rev., 5.00%, 3/1/2026 | 4,500 | 4,634 |
Tobacco Settlement Financing Corp. Series 2018 A, Rev., 5.00%, 6/1/2034 | 5,000 | 5,247 |
Total New Jersey | 10,814 | |
New Mexico — 0.9% | ||
Albuquerque Municipal School District No. 12, School Building Series 2023A, GO, 5.00%, 8/1/2024 | 750 | 750 |
City of Farmington, San Juan Project Series 2010 B, Rev., 3.88%, 6/1/2029 (b) | 1,250 | 1,267 |
Loving Municipal School District No. 10 | ||
GO, 5.00%, 9/15/2024 | 430 | 431 |
GO, 5.00%, 9/15/2025 (e) | 300 | 307 |
GO, 5.00%, 9/15/2025 | 1,090 | 1,112 |
GO, 5.00%, 9/15/2026 | 360 | 373 |
GO, 5.00%, 9/15/2027 | 340 | 358 |
GO, 5.00%, 9/15/2028 | 300 | 316 |
Total New Mexico | 4,914 | |
New York — 14.7% | ||
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | ||
Rev., 5.00%, 7/1/2030 | 510 | 544 |
Rev., 5.00%, 7/1/2034 | 210 | 225 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New York — continued | ||
Camden Central School District GO, BAN, 4.50%, 6/26/2025 | 1,000 | 1,008 |
City of New York, Fiscal Year 2014 Series 2014D-4, GO, VRDO, LOC : TD Bank NA, 2.55%, 8/1/2024 (b) | 2,500 | 2,500 |
City of New York, Fiscal Year 2021 | ||
Series 2021F Subseries F-1, GO, 5.00%, 3/1/2036 | 1,000 | 1,106 |
Series 2021F, Subseries F-1, GO, 5.00%, 3/1/2037 | 2,000 | 2,205 |
City of New York, Fiscal Year 2024 Series 2024D, GO, 5.00%, 4/1/2036 | 7,000 | 8,033 |
City of Oneida GO, BAN, 4.50%, 3/28/2025 | 4,800 | 4,840 |
Gloversville Enlarged School District GO, BAN, 4.50%, 6/26/2025 | 1,000 | 1,009 |
Hudson Yards Infrastructure Corp., Second Indenture Series 2017 A, Rev., 5.00%, 2/15/2031 | 1,500 | 1,566 |
Metropolitan Transportation Authority Series C-1, Rev., 5.25%, 11/15/2028 | 5,000 | 5,113 |
New York City Municipal Water Finance Authority Series 2024, Subseries BB-2, Rev., 5.25%, 6/15/2047 | 1,000 | 1,118 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020B-1, Rev., 5.00%, 11/1/2025 | 900 | 923 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B, Subseries B-1, Rev., 4.00%, 8/1/2038 | 600 | 611 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2023 Series 2023D, Subseries D-1, Rev., 5.00%, 11/1/2046 | 10,000 | 10,893 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2024 | ||
Series 2024C, Rev., 5.25%, 5/1/2050 | 1,500 | 1,667 |
Series 2024F, Subseries F-1, Rev., 5.25%, 2/1/2053 | 1,000 | 1,110 |
Series 2024F, Subseries F-1, Rev., 4.25%, 2/1/2054 | 1,000 | 993 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2025 Series 2025A, Subseries A-1, Rev., 5.00%, 11/1/2035 | 3,000 | 3,489 |
New York Convention Center Development Corp., Subordinate Lien, Hotel Unit Fee Secured Series B, Rev., AGM-CR, Zero Coupon, 11/15/2049 | 8,770 | 2,604 |
New York Liberty Development Corp., Secured by Port Authority Series 1WTC-2021, Rev., 2.75%, 2/15/2044 | 1,000 | 767 |
New York Liberty Development Corp., World Trade Centre Series 1WTC-2021, Rev., 2.25%, 2/15/2041 | 500 | 364 |
New York Power Authority Series 2020A, Rev., 4.00%, 11/15/2045 | 2,250 | 2,234 |
New York State Dormitory Authority Series 2024A, Rev., 5.50%, 7/1/2054 | 1,500 | 1,715 |
New York State Dormitory Authority, Pace University | ||
Series 2024 A, Rev., 5.25%, 5/1/2031 | 400 | 440 |
Series 2024 A, Rev., 5.25%, 5/1/2039 | 500 | 556 |
New York State Dormitory Authority, Personal Income Tax Series 2017A, Rev., 4.00%, 2/15/2034 | 1,000 | 1,013 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | ||
Series 2021 E, Rev., 4.00%, 3/15/2042 | 2,000 | 2,004 |
Series 2020A, Rev., 4.00%, 3/15/2047 | 1,930 | 1,886 |
New York State Environmental Facilities Corp. | ||
Series 2022B, Rev., 5.00%, 9/15/2031 | 300 | 344 |
Series 2022B, Rev., 5.00%, 9/15/2032 | 400 | 466 |
Series 2022B, Rev., 5.00%, 9/15/2033 | 565 | 654 |
Series 2022B, Rev., 5.00%, 9/15/2034 | 300 | 347 |
Series 2022B, Rev., 5.00%, 9/15/2035 | 1,000 | 1,154 |
Series 2022B, Rev., 5.00%, 9/15/2036 | 950 | 1,092 |
Series 2022B, Rev., 5.00%, 9/15/2037 | 635 | 729 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project | ||
Rev., AMT, 5.00%, 1/1/2028 | 3,500 | 3,633 |
Series 2018, Rev., AMT, 5.00%, 1/1/2031 | 1,000 | 1,033 |
Series 2023, Rev., AMT, 6.00%, 4/1/2035 | 1,000 | 1,128 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New York — continued | ||
New York Transportation Development Corp., JFK International Airport New Terminal One Project Series 2023, Rev., AMT, AGM, 5.00%, 6/30/2049 | 1,200 | 1,242 |
New York Transportation Development Corp., John F. Kennedy International Airport New Terminal One Project Series 2024, Rev., AMT, AGM, 5.00%, 6/30/2049 | 1,000 | 1,044 |
Northeastern Clinton Central School District GO, BAN, 4.50%, 6/26/2025 | 1,000 | 1,009 |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 Series 2015A, Rev., 5.00%, 10/15/2024 (e) | 1,890 | 1,897 |
Sherburne Earlville Central School District GO, 4.50%, 7/18/2025 | 2,000 | 2,018 |
Triborough Bridge and Tunnel Authority Series 2024B, Subseries B-1, Rev., 5.25%, 5/15/2054 | 1,000 | 1,105 |
Triborough Bridge and Tunnel Authority, Payroll Mobility Tax Series 2024C, Rev., 5.00%, 11/15/2035 | 1,000 | 1,172 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc., Project Series 2021A, Rev., 5.00%, 7/1/2041 (c) | 1,000 | 1,014 |
Total New York | 83,617 | |
North Carolina — 1.0% | ||
City of Charlotte Series 2023B, Rev., AMT, 5.00%, 7/1/2048 | 570 | 601 |
City of Wilson Series 2024, Rev., 5.00%, 10/1/2038 | 325 | 371 |
County of Buncombe Series 2024B, Rev., 5.00%, 6/1/2040 | 850 | 972 |
County of Durham Series 2023A, Rev., 5.00%, 6/1/2026 | 1,285 | 1,334 |
County of Wake GO, 5.00%, 4/1/2028 | 1,315 | 1,416 |
North Carolina Housing Finance Agency, Homeownership Series 53-A, Rev., GNMA / FNMA / FHLMC, 6.25%, 1/1/2055 | 1,000 | 1,097 |
Total North Carolina | 5,791 | |
North Dakota — 0.0% ^ | ||
North Dakota Building Authority Series 2020A, Rev., 5.00%, 12/1/2035 | 220 | 242 |
Ohio — 3.0% | ||
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron Series 2022A, Rev., 5.00%, 11/15/2029 | 650 | 708 |
Buckeye Tobacco Settlement Financing Authority | ||
Series 2020B-2, Rev., 5.00%, 6/1/2055 | 1,000 | 926 |
Series 2020B-3, Rev., Zero Coupon, 6/1/2057 | 5,655 | 530 |
Jefferson County Port Authority, JSW Steel USA Ohio, Inc., Project Rev., 5.00%, 12/1/2028 (b) (c) | 2,140 | 2,176 |
North Ridgeville City School District | ||
Series 2024, GO, 5.25%, 12/1/2054 | 1,000 | 1,055 |
Series 2024, GO, 4.50%, 12/1/2061 | 1,335 | 1,338 |
Ohio Water Development Authority, Drinking Water Assistance Series 2024 A, Rev., 5.00%, 12/1/2043 | 1,000 | 1,123 |
Ohio Water Development Authority, Water Pollution Control Loan Fund | ||
Series 2023B, Rev., 5.00%, 12/1/2038 | 1,000 | 1,141 |
Series 2021A, Rev., 4.00%, 12/1/2041 | 1,195 | 1,219 |
Series 2024A, Rev., 5.00%, 12/1/2043 | 1,400 | 1,567 |
Port of Greater Cincinnati Development Authority, Duke Energy Convention Center Project Series 2024B, Rev., 5.00%, 12/1/2040 | 760 | 838 |
State of Ohio | ||
Series Y, GO, 5.00%, 5/1/2038 | 1,000 | 1,150 |
Series 2024 A, Rev., 5.25%, 8/15/2048 | 1,000 | 1,106 |
University of Cincinnati Series 2024A, Rev., 5.25%, 6/1/2049 | 2,000 | 2,201 |
Total Ohio | 17,078 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Oklahoma — 0.8% | ||
Oklahoma Industries Authority, Oklahoma County Independent School District No. 89 Oklahoma City Series 2024, Rev., 5.00%, 4/1/2032 | 1,350 | 1,525 |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2038 | 2,000 | 2,042 |
Oklahoma Water Resources Board Series 2023 C, Rev., 5.00%, 10/1/2037 | 810 | 935 |
Total Oklahoma | 4,502 | |
Oregon — 3.0% | ||
City of Portland, Second Lien Sewer System Series 2014B, Rev., 4.00%, 10/1/2036 | 2,180 | 2,181 |
Hillsboro School District No. 1J GO, 4.00%, 6/15/2035 | 100 | 104 |
Hospital Facilities Authority of Multnomah County Oregon, Terwilliger Plaza, Inc. Series 2021B1, Rev., 1.20%, 6/1/2028 | 1,635 | 1,479 |
Multnomah and Clackamas Counties School District No. 10JT Gresham-Barlow Series SER-B, GO, Zero Coupon, 6/15/2035 | 2,500 | 1,578 |
Oregon State Facilities Authority, Peacehealth Series 2018A, Rev., VRDO, LOC : US Bank NA, 2.75%, 8/1/2024 (b) | 10,000 | 10,000 |
Washington and Multnomah Counties School District No. 48J Beaverton Series B, GO, 5.00%, 6/15/2025 | 1,455 | 1,480 |
Total Oregon | 16,822 | |
Pennsylvania — 2.8% | ||
Allegheny County Airport Authority, Pittsburgh International Airport Series 2023A, Rev., AMT, AGM, 5.50%, 1/1/2043 | 1,500 | 1,668 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||
Rev., 5.00%, 6/1/2025 | 630 | 639 |
Rev., 5.00%, 6/1/2026 | 380 | 393 |
Rev., 5.00%, 6/1/2027 | 500 | 525 |
Rev., 5.00%, 6/1/2028 | 880 | 940 |
Rev., 5.00%, 6/1/2029 | 380 | 406 |
Health Care Facilities Authority of Sayre, Guthrie Clinic (The) Rev., (3-MONTH SOFR + 0.78%), 4.54%, 9/1/2024 (f) | 500 | 500 |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2043 | 2,000 | 1,932 |
Montgomery County Industrial Development Authority, Constellation Energy Generation Series 2023A, Rev., 4.10%, 4/3/2028 (b) | 2,900 | 2,963 |
Pennsylvania Economic Development Financing Authority, Junior Guaranteed, Capitol Region Parking System Series 2024 B, Rev., GTD, 4.25%, 1/1/2050 | 1,000 | 984 |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 | 1,695 | 1,756 |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2024-146A, Rev., 6.25%, 10/1/2054 (d) | 1,000 | 1,107 |
Pennsylvania Turnpike Commission Series 2016A-3, Rev., 5.00%, 12/1/2027 | 1,445 | 1,506 |
Philadelphia Authority for Industrial Development, Holy Family University Rev., 5.00%, 9/1/2029 | 675 | 705 |
Total Pennsylvania | 16,024 | |
Puerto Rico — 0.7% | ||
Puerto Rico Sales Tax Financing Corp. Sales Tax (Puerto Rico) | ||
Series A-1, Rev., Zero Coupon, 7/1/2027 | 3,000 | 2,686 |
Series A-1, Rev., 4.75%, 7/1/2053 | 1,500 | 1,487 |
Total Puerto Rico | 4,173 | |
Rhode Island — 0.4% | ||
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group | ||
Rev., 5.00%, 5/15/2037 | 875 | 967 |
Rev., 5.00%, 5/15/2041 | 1,000 | 1,080 |
Total Rhode Island | 2,047 | |
South Carolina — 1.0% | ||
City of Columbia Waterworks and Sewer System Series 2016 B, Rev., 4.00%, 2/1/2041 | 3,500 | 3,501 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
South Carolina — continued | ||
County of Oconee Series 2023, GO, 5.00%, 4/1/2035 | 1,240 | 1,433 |
Horry County School District Series 2015A, GO, SCSDE, 4.00%, 3/1/2028 | 1,000 | 1,003 |
Total South Carolina | 5,937 | |
Tennessee — 4.8% | ||
City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2051 | 2,000 | 1,966 |
City of Murfreesboro GO, 5.00%, 6/1/2029 | 725 | 796 |
County of Sumner Series 2021, GO, 5.00%, 6/1/2025 | 1,750 | 1,780 |
Knox County Health Educational and Housing Facility Board, University of Tennessee Project Series 2024A-1, Rev., 5.50%, 7/1/2054 | 500 | 546 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Blakeford at Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305 | 1,204 |
Metropolitan Government of Nashville and Davidson County Series 2024 A, Rev., 5.00%, 5/15/2037 | 1,000 | 1,168 |
Metropolitan Nashville Airport Authority (The) | ||
Series 2022B, Rev., AMT, 5.50%, 7/1/2038 | 1,500 | 1,688 |
Series 2022B, Rev., AMT, 5.25%, 7/1/2047 | 1,400 | 1,499 |
Shelby County Health Educational and Housing Facilities Board, Baptism Memorial Health Obligated Group | ||
Series 2024B, Rev., 5.00%, 9/1/2029 (b) | 1,110 | 1,179 |
Series 2024 A, Rev., 5.25%, 9/1/2034 | 2,960 | 3,349 |
Tennergy Corp., Gas Supply Series 2021 A, Rev., 4.00%, 9/1/2028 (b) | 7,265 | 7,299 |
Tennessee Energy Acquisition Corp., Gas Project Series 2023A-1, Rev., 5.00%, 5/1/2028 (b) | 4,685 | 4,879 |
Total Tennessee | 27,353 | |
Texas — 9.8% | ||
Aledo Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 5.00%, 2/15/2042 | 500 | 549 |
GO, PSF-GTD, 5.00%, 2/15/2043 | 2,600 | 2,841 |
GO, PSF-GTD, 5.00%, 2/15/2048 | 2,000 | 2,158 |
Bryan Independent School District GO, PSF-GTD, 4.00%, 2/15/2032 | 1,000 | 1,045 |
Central Texas Turnpike System, First Tier Series 2024 B, Rev., 5.00%, 8/7/2024 (b) (d) | 1,000 | 1,088 |
Central Texas Turnpike System, Second Tier | ||
Series 2024 C, Rev., 5.00%, 8/15/2032 (d) | 2,000 | 2,244 |
Series 2024 C, Rev., 5.00%, 8/15/2034 (d) | 1,250 | 1,427 |
City of Austin, Airport System Rev., AMT, 5.00%, 11/15/2034 | 1,500 | 1,642 |
City of Houston, Combined Utility System, Junior Lien Series 2002A, Rev., AGM, 5.75%, 12/1/2032 (e) | 5,550 | 6,739 |
City of McKinney Series 2024, GO, 4.00%, 8/15/2044 (d) | 3,875 | 3,859 |
City of Mesquite, Waterworks and Sewer System | ||
Rev., 5.00%, 3/1/2029 | 455 | 492 |
Rev., 5.00%, 3/1/2035 | 1,000 | 1,124 |
City of Round Rock GO, 5.00%, 8/15/2027 | 1,240 | 1,312 |
City of San Antonio Electric and Gas Systems Series 2024 B, Rev., 5.00%, 2/1/2039 | 1,000 | 1,135 |
County of Fort Bend Toll Road, Senior Lien Series 2024, Rev., AGM, 5.00%, 3/1/2039 | 1,000 | 1,130 |
County of Tarrant GO, 5.00%, 7/15/2033 | 500 | 564 |
Crandall Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 4.25%, 2/1/2053 | 500 | 500 |
GO, PSF-GTD, 5.25%, 2/1/2053 | 500 | 550 |
Irving Independent School District | ||
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2036 | 2,065 | 2,337 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Texas — continued | ||
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2037 | 1,000 | 1,129 |
Series 2023, GO, PSF-GTD, 5.00%, 2/15/2039 | 1,000 | 1,121 |
Lower Colorado River Authority Series 2024, Rev., 5.00%, 5/15/2037 | 3,750 | 4,198 |
Mansfield Independent School District, Unlimited Tax Series 2024, GO, PSF-GTD, 4.00%, 2/15/2054 | 1,000 | 959 |
McKinney Independent School District GO, PSF-GTD, 5.00%, 2/15/2033 | 2,650 | 2,949 |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2037 | 100 | 84 |
North Texas Tollway Authority, First Tier Series 2023 A, Rev., 5.00%, 1/1/2026 | 1,000 | 1,029 |
North Texas Tollway Authority, North Texas Tollway System Series A, Rev., 5.00%, 1/1/2035 | 600 | 623 |
Northwest Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2044 | 1,000 | 1,101 |
Pearland Independent School District Series 2017, GO, PSF-GTD, 5.00%, 2/15/2026 | 2,000 | 2,059 |
Plano Independent School District, Unlimited Tax GO, 5.00%, 2/15/2041 | 600 | 662 |
Taylor Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 (e) | 1,150 | 1,188 |
Texas A&M University Series 2024A, Rev., 5.00%, 5/15/2040 | 1,465 | 1,665 |
Texas Water Development Board Series 2018B, Rev., 5.00%, 10/15/2029 | 1,000 | 1,076 |
Trinity River Authority, Walker-Calloway System | ||
Rev., 5.00%, 2/1/2030 | 340 | 359 |
Rev., 5.00%, 2/1/2031 | 220 | 232 |
Weslaco Independent School District, Unlimited Tax | ||
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2043 | 1,250 | 1,388 |
Series 2024, GO, PSF-GTD, 5.00%, 2/15/2044 | 1,000 | 1,104 |
Total Texas | 55,662 | |
Utah — 0.1% | ||
Utah Charter School Finance Authority, Wallace Stegner Academy Series 2022A, Rev., 5.63%, 6/15/2042 (c) | 805 | 823 |
Virginia — 2.0% | ||
Henrico County Economic Development Authority, Westminster-Canterbury Corp. Rev., 4.00%, 10/1/2040 | 330 | 326 |
Virginia Public Building Authority Series 2015A, Rev., 4.00%, 8/1/2031 | 1,485 | 1,489 |
Virginia Public School Authority, Prince William County Series 2023, Rev., 4.25%, 10/1/2039 | 5,525 | 5,848 |
Virginia Resources Authority, Virginia Pooled Financing Program | ||
Series 2024 A, Rev., 5.00%, 11/1/2037 | 1,000 | 1,171 |
Series 2024 A, Rev., 5.00%, 11/1/2038 | 2,400 | 2,793 |
Total Virginia | 11,627 | |
Washington — 3.9% | ||
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2039 | 4,610 | 4,724 |
Port of Seattle, Intermediate Lien | ||
Series B, Rev., 5.00%, 3/1/2033 | 3,750 | 3,754 |
Series B, Rev., 5.00%, 3/1/2034 | 1,000 | 1,001 |
State of Washington Series R-2022A, GO, 4.00%, 2/1/2036 | 4,335 | 4,547 |
State of Washington Motor Vehicle Fuel Tax Series 2024 B, GO, 5.00%, 6/1/2045 | 2,000 | 2,199 |
State of Washington, Various Purpose | ||
Series 2023C, GO, 5.00%, 6/1/2041 | 2,000 | 2,235 |
Series 2022C, GO, 5.00%, 2/1/2042 | 2,000 | 2,196 |
Washington State Housing Finance Commission, Bitter Lake Village Associates 1 LP Rev., VRDO, LOC : FNMA, 3.54%, 8/9/2024 (b) | 250 | 250 |
Washington State Housing Finance Commission, Rockwood Retirement Communities Project Series 2020A, Rev., 5.00%, 1/1/2041 (c) | 1,415 | 1,360 |
Total Washington | 22,266 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Wisconsin — 2.2% | ||
Public Finance Authority, Ascend Leadership Academy Project Series 2021A, Rev., 5.00%, 6/15/2041 (c) | 130 | 116 |
Public Finance Authority, Carmelite System, Inc. (The) Rev., 3.25%, 1/1/2029 | 860 | 813 |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.25%, 7/1/2033 | 500 | 564 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | 105 | 97 |
Public Finance Authority, Viticus Group Project Series 2022A, Rev., 4.00%, 12/1/2041 (c) | 290 | 247 |
State of Wisconsin Series 2021A, GO, 5.00%, 5/1/2036 | 3,470 | 3,675 |
University of Wisconsin Hospitals and Clinics Series 2024B, Rev., 5.00%, 10/1/2031 (b) | 1,000 | 1,108 |
Wisconsin Department of Transportation Series 2017-1, Rev., 5.00%, 7/1/2025 | 2,000 | 2,037 |
Wisconsin Health and Educational Facilities Authority, Marquette University Rev., 5.00%, 10/1/2032 | 400 | 431 |
Wisconsin Health and Educational Facilities Authority, Medical College of Wisconsin, Inc., (The) Series 2008B, Rev., VRDO, LOC : TD Bank NA, 2.55%, 8/1/2024 (b) | 2,200 | 2,200 |
Wisconsin Housing and Economic Development Authority Home Ownership Series 2024 A, Rev., GNMA / FNMA / FHLMC, 6.00%, 9/1/2054 | 995 | 1,081 |
Total Wisconsin | 12,369 | |
Total Municipal Bonds (Cost $509,003) | 518,281 | |
SHARES (000) | ||
Short-Term Investments — 8.0% | ||
Investment Companies — 8.0% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.66% (g) (h) (Cost $45,655) | 45,653 | 45,658 |
Total Investments — 99.1% (Cost $554,658) | 563,939 | |
Other Assets Less Liabilities — 0.9% | 4,881 | |
NET ASSETS — 100.0% | 568,820 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
COP | Certificate of Participation |
CR | Custodial Receipts |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
PSF-GTD | Permanent School Fund Guaranteed |
RAN | Revenue Anticipation Note |
Rev. | Revenue |
SCSDE | South Carolina School District Enhancement |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)SOFR | Secured Overnight Financing Rate |
VRDO | Variable Rate Demand Obligation |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | 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 July 31, 2024. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(e) | Security is prerefunded or escrowed to maturity. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of July 31, 2024. | |
(g) | 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. | |
(h) | The rate shown is the current yield as of July 31, 2024. |
Futures contracts outstanding as of July 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 | 225 | 09/30/2024 | USD | 46,274 | 44 |
Short Contracts | |||||
U.S. Treasury Ultra Bond | (42 ) | 09/19/2024 | USD | (5,397 ) | (12 ) |
32 |
Abbreviations | |
USD | United States Dollar |
Centrally Cleared Inflation-linked swap contracts outstanding as of July 31, 2024 (amounts in thousands):
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.39% at termination | Receive | 8/2/2029 | USD11,391 | — | — | — |
CPI-U at termination | 2.45% at termination | Receive | 2/6/2034 | USD25,132 | — | 82 | 82 |
— | 82 | 82 | |||||
CPI-U at termination | 2.00% at termination | Receive | 7/19/2025 | USD36,962 | — | (41 ) | (41 ) |
CPI-U at termination | 2.40% at termination | Receive | 6/12/2025 | USD20,851 | — | (106 ) | (106 ) |
CPI-U at termination | 2.43% at termination | Receive | 6/28/2029 | USD63,601 | — | (201 ) | (201 ) |
CPI-U at termination | 2.44% at termination | Receive | 6/11/2026 | USD10,759 | — | (59 ) | (59 ) |
CPI-U at termination | 2.44% at termination | Receive | 6/12/2026 | USD39,733 | (28 ) | (186 ) | (214 ) |
CPI-U at termination | 2.50% at termination | Receive | 3/22/2034 | USD32,371 | 6 | (56 ) | (50 ) |
CPI-U at termination | 2.51% at termination | Receive | 6/12/2029 | USD175,000 | 89 | (1,284 ) | (1,195 ) |
CPI-U at termination | 2.51% at termination | Receive | 3/18/2034 | USD33,849 | 61 | (143 ) | (82 ) |
CPI-U at termination | 2.52% at termination | Receive | 5/21/2029 | USD10,017 | — | (65 ) | (65 ) |
CPI-U at termination | 2.53% at termination | Receive | 5/7/2026 | USD14,177 | — | (80 ) | (80 ) |
CPI-U at termination | 2.56% at termination | Receive | 11/17/2033 | USD13,201 | — | (101 ) | (101 ) |
CPI-U at termination | 2.58% at termination | Receive | 4/4/2034 | USD2,000 | — | (18 ) | (18 ) |
CPI-U at termination | 2.63% at termination | Receive | 4/19/2026 | USD29,494 | — | (187 ) | (187 ) |
128 | (2,527 ) | (2,399 ) | |||||
128 | (2,445 ) | (2,317 ) |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) | Value of floating rate index at July 31, 2024 was as follows: |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.15% |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 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.
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.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values ("NAV") per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
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 | ||||
Municipal Bonds | $— | $518,281 | $— | $518,281 |
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $45,658 | $— | $— | $45,658 |
Total Investments in Securities | $45,658 | $518,281 | $— | $563,939 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $44 | $— | $— | $44 |
Swaps | — | 82 | — | 82 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (12 ) | — | — | (12 ) |
Swaps | — | (2,527 ) | — | (2,527 ) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $32 | $(2,445 ) | $— | $(2,413 ) |
B. Investment Transactions with Affiliates— The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended July 31, 2024 | |||||||||
Security Description | Value at October 31, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at July 31, 2024 | Shares at July 31, 2024 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.66% (a) (b) | $35,872 | $237,957 | $228,175 | $1 | $3 | $45,658 | 45,653 | $812 | $— |
(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 July 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.
JPMorgan Tax Aware Real Return Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF July 31, 2024 (Unaudited) (continued)(Dollar values in thousands)Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
(1). 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.
Inflation-Linked Swaps
The Fund used inflation-linked swaps to provide inflation protection within its portfolio. These are agreements between counterparties to exchange interest payments based on interest rates over the life of the swap. One cash flow stream will typically be a floating rate payment based upon the Consumer Price Index upon while the other is a pre-determined fixed interest rate. The use of swaps exposes the Fund to interest rate risk.