UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-23117
JPMorgan Trust IV
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800)480-4111
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2019 through February 29, 2020
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1).
Annual Report
J.P. Morgan Money Market Funds
February 29, 2020
JPMorgan Prime Money Market Fund
JPMorgan Institutional Tax Free Money Market Fund
JPMorgan Securities Lending Money Market Fund
JPMorgan Liquid Assets Money Market Fund
JPMorgan U.S. Government Money Market Fund
JPMorgan U.S. Treasury Plus Money Market Fund
JPMorgan Federal Money Market Fund
JPMorgan 100% U.S. Treasury Securities Money Market Fund
JPMorgan Tax Free Money Market Fund
JPMorgan Municipal Money Market Fund
JPMorgan California Municipal Money Market Fund
JPMorgan New York Municipal Money Market Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
CONTENTS
The following disclosure applies to the JPMorgan Liquid Assets Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund.
You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.
The following disclosure applies to the JPMorgan Prime Money Market Fund, JPMorgan Institutional Tax Free Money Market Fund and JPMorgan Securities Lending Money Market Fund.
You could lose money by investing in a Fund. Because the share price of each Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. A Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.
Any gain resulting from the sale or exchange of Fund shares will be taxable as long-term or short-term gain, depending upon how long you have held your shares.
The following disclosure applies to the JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund and the JPMorgan 100% U.S. Treasury Securities Money Market Fund.
You could lose money by investing in a Fund. Although each Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in a Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds’ sponsor has no legal obligation to provide financial support to the Funds, and you should not expect that the sponsor will provide financial support to the Funds at any time.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
LETTER TO SHAREHOLDERS
April 3, 2020 (Unaudited)
Dear Shareholders,
Amid the unprecedented global response to theCOVID-19 pandemic, all of us at J.P. Morgan Asset Management sincerely hope that you and your loved ones are safe and healthy. We continue to closely monitor the situation globally and implement protocols and processes based on recommendations from relevant authorities aimed at protecting our clients, shareholders, employees, businesses and the broader public health.
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 | | “Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.”
— Andrea L. Lisher |
We want to assure you that J.P. Morgan Asset Management is deeply committed to protecting and serving our clients and shareholders through this crisis. We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test
our resiliency capabilities and core functions. Past events, such as hurricanes or other emergencies, have helped to prepare us for rare events, includingmulti-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and digital channels.
Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 1 | |
J.P. Morgan Money Market Funds
FUNDS COMMENTARY
April 15, 2020
Dear Shareholders,
We are dealing with an extraordinary global COVID-19 crisis and an unprecedented financial markets environment. Throughout our history, JPMorgan Asset Management Global Liquidity has helped clients navigate shifting market environments while drawing on JPMorgan’s global resources and expertise to deliver effective short-term fixed income strategies. This current, extraordinary environment is no different.
Subsequent to the twelve month reporting period ended February 29, 2020, a global erosion in equity prices, government bond yields dropping to historical lows and oil prices collapsing led to industry-wide large redemptions from prime money market funds, which typically invest in short-term taxable commercial debt securities. Investor concerns that liquidity would evaporate in the market for these funds drove a sharp increase in asset outflows in the first two weeks of March 2020. Conversely, U.S. government and U.S. Treasury money market funds saw significant asset inflows during this time. JPMorgan government and Treasury money market funds have seen large net asset inflows and assets under management in the JPMorgan U.S. Government Money Market Fund have swelled to more than $200 billion from about $150 billion at the end of 2019.1
The U.S. Federal Reserve (the “Fed”) responded swiftly in March, taking aggressive actions, including reducing its target range for the fed funds interest rate by 100 basis points (bps), to its effective lower bound of 0-25 bps; restarting its quantitative easing program, committing to purchase an unlimited amount of U.S. Treasury bonds and mortgage-backed securities; lowering the primary credit rate at the discount window by 15 bps to 0.25%; and lowering required bank reserved ratios to zero. In the following weeks, prime money markets largely stabilized but by the end of the month an estimated $157 billion in assets — roughly 14% of industry-wide money market assets under management — had been redeemed by investors in prime money market funds.2
Fed policy actions included other measures designed to support market liquidity and the flow of credit. The central bank created the Commercial Paper Funding Facility and the Money Market Fund Liquidity Facility and reinstated its Term Asset-Backed Securities Lending Facility in addition to interest rate reductions. These actions — plus a $2.3 trillion stimulus package from the U.S. Congress — resulted in improved liquidity for front-end fixed income markets. By April 15, JPMorgan’s prime
money market funds had recorded net inflows of about $20 billion, recovering about 70% of assets under management that had flowed out of our prime funds from March 12 to March 31.3 We believe the experience and knowledge of the JPMorgan Asset Management Global Liquidity team and JPMorgan’s standing as one of the largest global providers of prime money market funds provides us with the expertise and scale to continue to serve our fund shareholders in the face of the global impact of COVID-19.
In the larger picture, market data have displayed some uncanny similarities in directionality and magnitude between the current global crisis and the financial crisis of 2008-09. The market data for both periods show sizable declines in equity prices, indicating a significant weakening of corporate profitability. In addition, in both periods we can see a greater widening in front-end credit spreads than in long-term credit spreads, indicating a pronounced lack of liquidity in the short-term fixed income markets. Furthermore, the current monetary response is also similar to actions taken in 2008-09, with the Fed implementing a zero interest rate policy and making large-scale asset purchases.
Notable differences, from a markets perspective, include the depth of the labor market stress, the size and speed of the U.S. government’s fiscal response and the health of the U.S. financial system. Recent initial weekly jobless claims have hit record highs, which indicates there will likely be more short-term stress on the average consumer in the current downturn than during the 2008-09 financial crisis and recession that followed it. However, the U.S. Congress’s fiscal rescue response now totals nearly double what it approved during the 2008-09 financial crisis and it appears that there is Congressional support to do more, if necessary. Additionally, the banking system today remains relatively strong, which should enable the Fed to funnel capital to those segments of the economy that need it most.
Over the long term, our significant and long standing investments in both talent and technology allow JPMorgan Global Liquidity to continue to provide our shareholders with opportunities and solutions throughout market cycles and global turmoil. We thank you for your continued partnership and trust in our company and our products.
John T. Donohue
CEO of Asset Management Americas, Head and CIO of the Global Liquidity Business
| 1 | | Cranedata.com, April 15, 2020. |
| 2 | | Cranedata.com, March 31, 2020. |
| 3 | | Cranedata.com, April 15, 2020. |
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| 2 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Prime Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks current income while seeking to maintain liquidity and a low volatility of principal |
| Primary Investments | | High quality, short-term, U.S. dollar-denominated money market instruments |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Class C, Academy^, Agency, Capital, IM, Institutional Class, Morgan, Premier and Reserve |
| Net Assets as of February 29, 2020 | | $63.0 Billion |
| Weighted Average Maturity^^ | | 31 calendar days |
| Weighted Average Life^^^ | | 81 calendar days |
| | | | |
MATURITY SCHEDULE*^^ | |
| 2–7 calendar days | | | 47.4 | % |
| 8–30 calendar days | | | 18.5 | |
| 31–60 calendar days | | | 17.4 | |
| 61–90 calendar days | | | 8.2 | |
| 91–180 calendar days | | | 7.5 | |
| 181+ calendar days | | | 1.0 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Class C Shares | | | 0.87 | % |
| Academy Shares | | | 1.67 | |
| Agency Shares | | | 1.59 | |
| Capital Shares | | | 1.67 | |
| IM Shares | | | 1.68 | |
| Institutional Class Shares | | | 1.64 | |
| Morgan Shares | | | 1.33 | |
| Premier Shares | | | 1.39 | |
| Reserve Shares | | | 1.14 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | Commenced operations on May 15, 2019. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Class C Shares, Academy Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (2.60)%, 1.50%, 1.54%, 1.64%, 1.68%, 1.58%, 1.33%, 1.37% and 0.95% for Class C Shares, Academy Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Prime Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 3 | |
JPMorgan Institutional Tax Free Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Aims to provide current income, while seeking to maintain liquidity and a low volatility of principal |
| Primary Investments | | High quality short-term municipal securities, the interest on which is excluded from federal income taxes |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency, Capital, IM and Institutional Class |
| Net Assets as of February 29, 2020 | | $970.4 Million |
| Weighted Average Maturity^ | | 30 calendar days |
| Weighted Average Life^^ | | 34 calendar days |
| | | | |
MATURITY SCHEDULE*^ | |
| 2–7 calendar days | | | 73.5 | % |
| 8–30 calendar days | | | 4.8 | |
| 31–60 calendar days | | | 2.9 | |
| 61–90 calendar days | | | 9.3 | |
| 91–180 calendar days | | | 7.2 | |
| 181+ calendar days | | | 2.3 | |
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7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 0.92 | % |
| Capital Shares | | | 1.01 | |
| IM Shares | | | 1.03 | |
| Institutional Class Shares | | | 0.98 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information pleasecall 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Capital Shares, IM Shares and Institutional Class Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.83%, 0.95%, 1.00% and 0.90% for Agency Shares, Capital Shares, IM Shares and Institutional Class Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Institutional Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
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| 4 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Securities Lending Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks current income while seeking to maintain liquidity and a low volatility of principal |
| Primary Investments | | High quality, short-term, U.S. dollar-denominated money market instruments |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency SL |
| Net Assets as of February 29, 2020 | | $3.5 Billion |
| Weighted Average Maturity^ | | 24 calendar days |
| Weighted Average Life^^ | | 56 calendar days |
| | | | |
MATURITY SCHEDULE*^ | |
| 2–7 calendar days | | | 53.2 | % |
| 8–30 calendar days | | | 20.2 | |
| 31–60 calendar days | | | 10.3 | |
| 61–90 calendar days | | | 11.6 | |
| 91–180 calendar days | | | 4.7 | |
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7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency SL Shares | | | 1.75 | % |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information pleasecall 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yield for Agency SL Shares reflects the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yield would have been 1.65% for Agency SL Shares. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Securities Lending Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 5 | |
JPMorgan Liquid Assets Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks current income with liquidity and stability of principal |
| Primary Investments | | High quality, short-term instruments including corporate notes, U.S. government securities, asset-backed securities, repurchase agreements, commercial paper, funding agreements, certificates of deposit, municipal obligations and bank obligations |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Class C, Agency, Capital, E*Trade^, Institutional Class, Investor, Morgan, Premier and Reserve Shares |
| Net Assets as of February 29, 2020 | | $10.8 Billion |
| Weighted Average Maturity^^ | | 29 calendar days |
| Weighted Average Life^^^ | | 68 calendar days |
| | | | |
MATURITY SCHEDULE*^^ | |
| 2–7 calendar days | | | 53.9 | % |
| 8–30 calendar days | | | 15.9 | |
| 31–60 calendar days | | | 13.7 | |
| 61–90 calendar days | | | 7.4 | |
| 91–180 calendar days | | | 8.6 | |
| 181+ calendar days | | | 0.5 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Class C Shares | | | 0.87 | % |
| Agency Shares | | | 1.59 | |
| Capital Shares | | | 1.67 | |
| Institutional Class Shares | | | 1.64 | |
| Investor Shares | | | 1.33 | |
| Morgan Shares | | | 1.25 | |
| Premier Shares | | | 1.39 | |
| Reserve Shares | | | 1.14 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | E*Trade Shares had no assets from the close of business on October 19, 2016. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.69%, 1.55%, 1.65%, 1.60%, 1.31%, 1.24%, 1.39% and 1.14% for Class C Shares, Agency Shares, Capital Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Liquid Assets Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
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| 6 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan U.S. Government Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks high current income with liquidity and stability of principal |
| Primary Investments | | High quality, short-term securities issued or guaranteed by the U.S. government or by U.S. government agencies or instrumentalities and repurchase agreements collateralized by such obligations |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Academy^, Agency, Capital, E*Trade, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares |
| Net Assets as of February 29, 2020 | | $159.2 Billion |
| Weighted Average Maturity^^ | | 27 calendar days |
| Weighted Average Life^^^ | | 91 calendar days |
| | | | |
MATURITY SCHEDULE*^^ | |
| 2–7 calendar days | | | 68.1 | % |
| 8–30 calendar days | | | 12.0 | |
| 31–60 calendar days | | | 5.5 | |
| 61–90 calendar days | | | 3.2 | |
| 91–180 calendar days | | | 7.5 | |
| 181+ calendar days | | | 3.7 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Academy Shares | | | 1.48 | % |
| Agency Shares | | | 1.40 | |
| Capital Shares | | | 1.48 | |
| E*Trade Shares | | | 0.66 | |
| IM Shares | | | 1.52 | |
| Institutional Class Shares | | | 1.45 | |
| Investor Shares | | | 1.17 | |
| Morgan Shares | | | 1.07 | |
| Premier Shares | | | 1.22 | |
| Reserve Shares | | | 0.97 | |
| Service Shares | | | 0.61 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | Commenced operations on May 15, 2019. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 1.47%, 1.37%, 1.47%, 0.62%, 1.52%, 1.42%, 1.17%, 1.07%, 1.22%, 0.97% and 0.61% for Academy Shares, Agency Shares, Capital Shares, E*Trade Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan U.S. Government Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 7 | |
JPMorgan U.S. Treasury Plus Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks current income with liquidity and stability of principal |
| Primary Investments | | Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury and repurchase agreements collateralized by U.S. Treasury securities |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Class C, Agency, Capital, IM, Institutional Class, Investor, Morgan, Premier and Reserve Shares |
| Net Assets as of February 29, 2020 | | $31.1 Billion |
| Weighted Average Maturity^ | | 34 calendar days |
| Weighted Average Life^^ | | 62 calendar days |
| | | | |
MATURITY SCHEDULE*^ | |
| 2–7 calendar days | | | 65.4 | % |
| 8–30 calendar days | | | 14.7 | |
| 31–60 calendar days | | | 4.6 | |
| 61–90 calendar days | | | 1.6 | |
| 91–180 calendar days | | | 4.2 | |
| 181+ calendar days | | | 9.5 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Class C Shares | | | 0.66 | % |
| Agency Shares | | | 1.38 | |
| Capital Shares | | | 1.46 | |
| IM Shares | | | 1.49 | |
| Institutional Class Shares | | | 1.43 | |
| Investor Shares | | | 1.14 | |
| Morgan Shares | | | 1.04 | |
| Premier Shares | | | 1.19 | |
| Reserve Shares | | | 0.94 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.49%, 1.34%, 1.44%, 1.49%, 1.40%, 1.13%, 1.04%, 1.19% and 0.94% for Class C Shares, Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan U.S. Treasury Plus Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Federal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Aims to provide current income while still preserving capital and maintaining liquidity |
| Primary Investments | | Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as debt obligations issued or guaranteed by U.S. government agencies or instrumentalities |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency, Institutional Class, Morgan and Premier Shares |
| Net Assets as of February 29, 2020 | | $3.1 Billion |
| Weighted Average Maturity^ | | 43 calendar days |
| Weighted Average Life^^ | | 80 calendar days |
| | | | |
MATURITY SCHEDULE*^ | |
| 2–7 calendar days | | | 20.3 | % |
| 8–30 calendar days | | | 26.8 | |
| 31–60 calendar days | | | 29.4 | |
| 61–90 calendar days | | | 13.9 | |
| 91–180 calendar days | | | 6.3 | |
| 181+ calendar days | | | 3.3 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 1.37 | % |
| Institutional Class Shares | | | 1.42 | |
| Morgan Shares | | | 1.04 | |
| Premier Shares | | | 1.19 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Institutional Class Shares, Morgan Shares and Premier Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 1.34%, 1.39%, 1.03% and 1.19% for Agency Shares, Institutional Class Shares, Morgan Shares and Premier Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Federal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 9 | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Aims to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal |
| Primary Investments | | Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency, Capital, IM^, Institutional Class, Morgan, Premier and Reserve Shares |
| Net Assets as of February 29, 2020 | | $66.1 Billion |
| Weighted Average Maturity^^ | | 45 calendar days |
| Weighted Average Life^^^ | | 96 calendar days |
| | | | |
MATURITY SCHEDULE*^^ | |
| 2–7 calendar days | | | 20.0 | % |
| 8–30 calendar days | | | 36.4 | |
| 31–60 calendar days | | | 24.3 | |
| 61–90 calendar days | | | 7.4 | |
| 91–180 calendar days | | | 3.0 | |
| 181+ calendar days | | | 8.9 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 1.37 | % |
| Capital Shares | | | 1.45 | |
| IM Shares | | | 1.48 | |
| Institutional Class Shares | | | 1.42 | |
| Morgan Shares | | | 1.04 | |
| Premier Shares | | | 1.18 | |
| Reserve Shares | | | 0.93 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | Commenced operations on January 15, 2020. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 1.32%, 1.42%, 1.48%, 1.37%, 1.02%, 1.18% and 0.92% for Agency Shares, Capital Shares, IM Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Tax Free Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Aims to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity* |
| Primary Investments | | High quality short-term municipal securities, the interest on which is excluded from federal income taxes |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency, Institutional Class, Morgan, Premier and Reserve Shares |
| Net Assets as of February 29, 2020 | | $12.5 Billion |
| Weighted Average Maturity^ | | 27 calendar days |
| Weighted Average Life^^ | | 27 calendar days |
| | | | |
MATURITY SCHEDULE**^ | |
| 2–7 calendar days | | | 81.7 | % |
| 8–30 calendar days | | | 1.3 | |
| 31–60 calendar days | | | 2.0 | |
| 61–90 calendar days | | | 5.4 | |
| 91–180 calendar days | | | 5.4 | |
| 181+ calendar days | | | 4.2 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 0.92 | % |
| Institutional Class Shares | | | 0.97 | |
| Morgan Shares | | | 0.58 | |
| Premier Shares | | | 0.73 | |
| Reserve Shares | | | 0.48 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.89%, 0.94%, 0.55%, 0.73% and 0.48% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Tax Free Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 11 | |
JPMorgan Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
| Objective† | | Seeks as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal* |
| Primary Investments | | High quality short-term municipal securities, the interest on which is excluded from federal income taxes |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency, E*Trade^, Institutional Class, Morgan, Premier and Service Shares |
| Net Assets as of February 29, 2020 | | $2.0 Billion |
| Weighted Average Maturity^^ | | 31 calendar days |
| Weighted Average Life^^^ | | 33 calendar days |
| | | | |
MATURITY SCHEDULE**^^ | |
| 1 calendar day | | | 0.0 | %*** |
| 2–7 calendar days | | | 82.2 | |
| 8–30 calendar days | | | 2.1 | |
| 31–60 calendar days | | | 1.5 | |
| 61–90 calendar days | | | 1.8 | |
| 91–180 calendar days | | | 6.3 | |
| 181+ calendar days | | | 6.1 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 0.97 | % |
| Institutional Class Shares | | | 1.02 | |
| Morgan Shares | | | 0.64 | |
| Premier Shares | | | 0.78 | |
| Service Shares | | | 0.18 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | E*Trade Shares had no assets from the close of business on September 21, 2016. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages indicated are based upon total investments as of February 29, 2020. |
| *** | Amount rounds to less than 0.05%. |
| (1) | The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.88%, 0.93%, 0.58%, 0.73% and 0.13% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan California Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
|
| Objective† | | Aims to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity* |
| Primary Investment | | California short-term municipal obligations |
| Suggested investment time frame | | Short-term |
| Share classes offered | | Agency^, E*Trade^^, Institutional Class^, Morgan, Premier and Service |
| Net Assets as of February 29, 2020 | | $576.7 Million |
| Weighted Average Maturity^^^ | | 27 calendar days |
| Weighted Average Life^^^^ | | 28 calendar days |
| | | | |
MATURITY SCHEDULE**^^^ | |
| 2–7 calendar days | | | 75.8 | % |
| 31–60 calendar days | | | 5.7 | |
| 61–90 calendar days | | | 8.3 | |
| 91–180 calendar days | | | 8.5 | |
| 181+ calendar days | | | 1.7 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 0.84 | % |
| Institutional Class Shares | | | 0.89 | |
| Morgan Shares | | | 0.51 | |
| Premier Shares | | | 0.65 | |
| Service Shares | | | 0.05 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | Commenced operations on March 1, 2019. |
| ^^ | E*Trade Shares had no assets from the close of business on September 21, 2016. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.75%, 0.80%, 0.45%, 0.61% and 0.01% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Service Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan California Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 13 | |
JPMorgan New York Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | |
|
| Objective† | | Aims to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity* |
| Primary Investment | | New York short-term municipal obligations |
| Suggested investment time frame. | | Short-term |
| Share classes offered | | Agency^, E*Trade^^, Institutional Class^, Morgan, Premier, Reserve and Service |
| Net Assets as of February 29, 2020 | | $2.7 Billion |
| Weighted Average Maturity^^^ | | 23 calendar days |
| Weighted Average Life^^^^ | | 24 calendar days |
| | | | |
MATURITY SCHEDULE**^^^ | |
| 2–7 calendar days | | | 86.4 | % |
| 8–30 calendar days | | | 0.8 | |
| 31–60 calendar days | | | 0.2 | |
| 61–90 calendar days | | | 1.1 | |
| 91–180 calendar days | | | 9.1 | |
| 181+ calendar days | | | 2.4 | |
| | | | |
7-DAY SEC YIELDAS OF FEBRUARY 29, 2020(1) | |
| Agency Shares | | | 0.92 | % |
| Institutional Class Shares | | | 0.97 | |
| Morgan Shares | | | 0.59 | |
| Premier Shares | | | 0.73 | |
| Reserve Shares | | | 0.48 | |
| Service Shares | | | 0.13 | |
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although the Fund strives to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| † | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| ^ | Commenced operations on March 1, 2019. |
| ^^ | E*Trade Shares had no assets from the close of business on September 21, 2016. |
| ^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages indicated are based upon total investments as of February 29, 2020. |
| (1) | The yields for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.85%, 0.90%, 0.55%, 0.70%, 0.45% and 0.09% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| | An unaudited, uncertified list ofprior-day portfolio holdings of the JPMorgan New York Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — 28.7% | |
| | |
Barclays Capital, Inc., 1.83%, dated 2/28/2020, due 4/3/2020, repurchase price $400,710, collateralized by Collateralized Mortgage Obligations, 0.00% - 27.77%, due 10/25/2021 - 5/11/2063, FHLMC, 5.88% - 12.63%, due 10/25/2029 - 1/25/2050 and FNMA Connecticut Avenue Securities, 0.00% - 7.38%, due 7/25/2029 - 1/25/2040, with a value of $432,000. | | | 400,000 | | | | 400,000 | |
| | |
Barclays Capital, Inc., 1.86%, dated 2/28/2020, due 4/3/2020, repurchase price $190,343, collateralized by Collateralized Mortgage Obligations, 0.00% - 4.58%, due 12/15/2021 - 2/18/2053 and FHLMC, 5.38% - 6.46%, due 5/25/2043 - 2/25/2050, with a value of $205,200. | | | 190,000 | | | | 190,000 | |
| | |
BMO Capital Markets Corp., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $52,007, collateralized by Asset-Backed Securities, 1.67% - 4.43%, due 12/20/2022 - 1/15/2069, Collateralized Mortgage Obligations, 4.09%, due 10/13/2048, Corporate Bonds, 2.20% - 8.13%, due 3/18/2021 - 6/15/2048, Corporate Notes, 2.15%, due 4/29/2021 and Sovereign Government Securities, 2.38%, due 1/29/2021, with a value of $67,726. | | | 52,000 | | | | 52,000 | |
| | |
BMO Capital Markets Corp., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $110,015, collateralized by Asset-Backed Securities, 1.74% - 4.74%, due 6/21/2021 - 8/15/2068, Corporate Bonds, 2.20% - 8.63%, due 3/15/2020 - 2/24/2050, Corporate Notes, 2.25% - 3.65%, due 2/12/2021 - 6/12/2024, FHLMC, 2.54% - 3.16%, due 5/25/2025 - 7/25/2026, FNMA, 9.12%, due 6/25/2037 and Sovereign Government Securities, 2.38%, due 1/29/2021, with a value of $117,024. | | | 110,000 | | | | 110,000 | |
| | |
BMO Capital Markets Corp., 1.70%, dated 2/28/2020, due 3/6/2020, repurchase price $25,008, collateralized by Asset-Backed Securities, 2.05% - 8.99%, due 3/13/2026 - 2/15/2050, Collateralized Mortgage Obligations, 2.81% - 4.41%, due 8/17/2046 - 3/11/2050, Corporate Bonds, 1.88% - 5.25%, due 3/27/2020 - 2/15/2030, Corporate Notes, 2.45%, due 1/9/2030 and FHLMC, 4.00%, due 5/1/2046, with a value of $27,040. | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
BMO Capital Markets Corp., 1.85%, dated 2/28/2020, due 3/6/2020, repurchase price $45,016, collateralized by Asset-Backed Securities, 0.00% - 8.99%, due 1/16/2024 - 6/26/2056, Collateralized Mortgage Obligations, 0.11% - 5.53%, due 4/25/2032 - 8/25/2055, Corporate Bonds, 2.05% - 8.63%, due 5/21/2021 - 1/1/2999, Corporate Notes, 2.65%, due 6/12/2024, FHLMC, 2.50% - 4.00%, due 6/25/2027 - 2/1/2050 and GNMA, 3.00% - 5.00%, due 1/20/2050 - 2/20/2050, with a value of $48,516. | | | 45,000 | | | | 45,000 | |
| | |
BMO Capital Markets Corp., 1.86%, dated 2/28/2020, due 3/6/2020, repurchase price $100,036, collateralized by Asset-Backed Securities, 0.00% - 3.69%, due 11/18/2021 - 6/26/2056, Collateralized Mortgage Obligations, 0.02% - 1.24%, due 6/10/2038 - 1/15/2049, Corporate Bonds, 2.13% - 10.88%, due 5/18/2020 - 5/15/2050, Corporate Notes, 1.88% - 2.75%, due 2/12/2021 - 5/19/2022, Municipal Debt Securities, 2.13% - 2.64%, due 8/25/2031 - 10/25/2037 and Sovereign Government Securities, 2.38%, due 1/29/2021, with a value of $106,664. | | | 100,000 | | | | 100,000 | |
| | |
BNP Paribas SA, 1.74%, dated 2/28/2020, due 3/3/2020, repurchase price $175,034, collateralized by Asset-Backed Securities, 2.01% - 9.84%, due 5/15/2025 - 8/15/2042, Collateralized Mortgage Obligations, 3.98% - 5.40%, due 1/25/2050 - 5/25/2057, Corporate Bonds, 0.00% - 8.63%, due 8/15/2020 - 1/1/2999, Sovereign Government Securities, 4.88% - 8.75%, due 1/22/2021 - 1/23/2050 and U.S. Treasury Securities, 0.63% - 1.50%, due 1/31/2022 - 4/15/2023, with a value of $186,594. | | | 175,000 | | | | 175,000 | |
| | |
Bofa Securities, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $400,056, collateralized by Common Stocks, 0.00%, due 1/1/2999 and Preferred Stocks, 3.36% - 8.25%, due 5/1/2029 - 1/1/2999, with a value of $432,000. | | | 400,000 | | | | 400,000 | |
| | |
Bofa Securities, Inc., 1.93%, dated 2/28/2020, due 4/3/2020, repurchase price $841,576, collateralized by Corporate Bonds, 2.63% - 5.95%, due 6/4/2020 - 12/1/2086 and Corporate Notes, 2.63% - 4.75%, due 2/4/2021 - 4/15/2058, with a value of $882,001. | | | 840,000 | | | | 840,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 15 | |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | |
| | |
Bofa Securities, Inc., 1.98%, dated 2/28/2020, due 4/3/2020, repurchase price $175,337, collateralized by Corporate Bonds, 2.60% - 7.50%, due 1/19/2022 - 1/26/2050 and Corporate Notes, 3.46% - 3.65%, due 5/24/2021 - 9/1/2049, with a value of $183,750. | | | 175,000 | | | | 175,000 | |
| | |
Bofa Securities, Inc., 1.98%, dated 2/28/2020, due 4/3/2020, repurchase price $303,383, collateralized by Commercial Paper, 0.00%, due 3/2/2020 - 5/19/2020, Corporate Bonds, 0.00% - 14.00%, due 3/15/2020 - 1/1/2999, Corporate Notes, 0.00% - 8.63%, due 3/25/2020 - 6/19/2032 and FNMA, 2.50%, due 12/1/2049, with a value of $322,261. | | | 302,800 | | | | 302,800 | |
| | |
Citigroup Global Markets Holdings, Inc., 1.97%, dated 2/28/2020, due 3/5/2020, repurchase price $227,274, collateralized by Asset-Backed Securities, 2.00% - 9.15%, due 12/16/2024 - 10/25/2069, Collateralized Mortgage Obligations, 1.25% - 5.42%, due 6/15/2034 - 12/16/2072, FHLMC, 3.75% - 4.75%, due 12/26/2030 - 11/26/2057 and FNMA Connecticut Avenue Securities, 3.66% - 6.26%, due 3/25/2031 - 1/25/2040, with a value of $246,354. | | | 227,200 | | | | 227,200 | |
| | |
Citigroup Global Markets Holdings, Inc., 1.82%, dated 2/28/2020, due 4/18/2020, repurchase price $223,362, collateralized by Asset-Backed Securities, 0.00% - 7.26%, due 9/15/2021 - 10/28/2064, Collateralized Mortgage Obligations, 0.00% - 5.16%, due 7/15/2030 - 6/30/2053, Corporate Bonds, 0.00% - 11.50%, due 3/6/2020 - 1/1/2999, Corporate Notes, 0.00% - 8.75%, due 3/2/2020 - 1/1/2999, FNMA Connecticut Avenue Securities, 2.31%, due 10/25/2030 and Municipal Debt Securities, 0.00%, due 7/1/2046, with a value of $238,737. | | | 222,800 | | | | 222,800 | |
| | |
Credit Suisse Securities USA LLC, 1.78%, dated 2/28/2020, due 3/6/2020, repurchase price $90,031, collateralized by Asset-Backed Securities, 0.00% - 6.50%, due 8/15/2026 - 10/15/2116 and Collateralized Mortgage Obligations, 0.00% - 9.72%, due 7/20/2020 - 8/25/2045, with a value of $98,517. | | | 90,000 | | | | 90,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $5,500,729, collateralized by U.S. Treasury Securities, 0.13% - 3.00%, due 1/15/2023 - 2/15/2047, with a value of $5,610,000. | | | 5,500,000 | | | | 5,500,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 2.00% - 2.25%, due 4/30/2024 - 5/31/2024, with a value of $1,020,000. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 0.38% - 3.00%, due 7/15/2025 - 9/30/2025, with a value of $1,020,002. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $3,000,400, collateralized by U.S. Treasury Securities, 0.25% - 4.38%, due 11/15/2027 - 5/15/2040, with a value of $3,060,004. | | | 3,000,000 | | | | 3,000,000 | |
| | |
HSBC Securities USA, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $20,003, collateralized by Asset-Backed Securities, 2.22% - 3.03%, due 6/15/2039 - 1/15/2043 and Municipal Debt Securities, 0.00%, due 8/1/2031, with a value of $21,203. | | | 20,000 | | | | 20,000 | |
| | |
HSBC Securities USA, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $60,008, collateralized by Corporate Bonds, 2.40% - 6.63%, due 1/14/2022 - 4/15/2049, Corporate Notes, 2.82% - 4.67%, due 9/21/2023 - 3/6/2038 and Sovereign Government Securities, 3.25%, due 4/16/2030, with a value of $63,009. | | | 60,000 | | | | 60,000 | |
| | |
HSBC Securities USA, Inc., 1.83%, dated 2/28/2020, due 3/2/2020, repurchase price $51,008, collateralized by Corporate Bonds, 4.00% - 7.75%, due 12/15/2025 - 11/15/2029, with a value of $55,088. | | | 51,000 | | | | 51,000 | |
| | |
ING Financial Markets LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $189,027, collateralized by Corporate Bonds, 3.20% - 8.20%, due 1/27/2025 - 11/21/2029 and Sovereign Government Securities, 4.63% - 6.88%, due 1/13/2028 - 3/17/2036, with a value of $204,149. | | | 189,000 | | | | 189,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | |
| | |
ING Financial Markets LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $300,043, collateralized by Corporate Bonds, 3.20% - 5.30%, due 1/27/2025 - 11/21/2029 and Sovereign Government Securities, 3.95% - 6.75%, due 1/22/2021 - 2/17/2045, with a value of $322,933. | | | 300,000 | | | | 300,000 | |
| | |
ING Financial Markets LLC, 1.75%, dated 2/28/2020, due 3/10/2020, repurchase price $200,107, collateralized by Corporate Bonds, 5.30%, due 1/27/2025 and Sovereign Government Securities, 4.63% - 6.49%, due 1/22/2021 - 1/13/2028, with a value of $213,156. | | | 200,000 | | | | 200,000 | |
| | |
Mitsubishi UFJ Trust & Banking Corp., 1.78%, dated 2/28/2020, due 3/4/2020, repurchase price $500,124, collateralized by Corporate Bonds, 0.00% - 4.15%, due 5/13/2022 - 5/1/2030 and Corporate Notes, 2.45%, due 1/9/2030, with a value of $522,125. | | | 500,000 | | | | 500,000 | |
| | |
Societe Generale SA, 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $200,028, collateralized by Commercial Paper, 0.00%, due 3/31/2020, Corporate Bonds, 1.74% - 6.95%, due 5/5/2020 - 7/1/2054, Corporate Notes, 2.00% - 5.25%, due 2/22/2021 - 11/17/2045 and Sovereign Government Securities, 2.04% - 7.88%, due 3/29/2021 - 1/31/2050, with a value of $210,029. | | | 200,000 | | | | 200,000 | |
| | |
Societe Generale SA, 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $300,042, collateralized by Commercial Paper, 0.00%, due 3/31/2020, Corporate Bonds, 1.88% - 8.60%, due 3/30/2020 - 1/1/2999, Corporate Notes, 2.00% - 5.90%, due 11/16/2020 - 1/1/2999 and Sovereign Government Securities, 1.75% - 7.88%, due 3/15/2022 - 1/31/2050, with a value of $315,103. | | | 300,000 | | | | 300,000 | |
| | |
Societe Generale SA, 1.75%, dated 2/28/2020, due 3/2/2020, repurchase price $587,086, collateralized by Asset-Backed Securities, 1.78% - 6.90%, due 2/25/2036 - 11/15/2039, Collateralized Mortgage Obligations, 1.87% - 5.91%, due 7/17/2034 - 7/17/2047, Corporate Bonds, 3.09% - 11.13%, due 3/15/2020 - 2/28/2057, Corporate Notes, 3.12% - 8.00%, due 3/25/2020 - 1/20/2023 and Sovereign Government Securities, 4.25% - 8.75%, due 3/9/2020 - 1/1/2999, with a value of $633,991. | | | 587,000 | | | | 587,000 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Societe Generale SA, 1.88%, dated 2/28/2020, due 3/2/2020, repurchase price $200,031, collateralized by Asset-Backed Securities, 2.11% - 4.68%, due 7/25/2035 - 2/15/2048, Collateralized Mortgage Obligations, 3.81% - 5.62%, due 10/15/2036 - 11/25/2039, Corporate Bonds, 3.38% - 10.75%, due 3/15/2020 - 8/15/2047, Corporate Notes, 6.72% - 8.00%, due 3/25/2020 - 12/1/2022 and Sovereign Government Securities, 2.70% - 11.88%, due 4/15/2024 - 2/17/2045, with a value of $215,564. | | | 200,000 | | | | 200,000 | |
| | |
Societe Generale SA, 1.78%, dated 2/28/2020, due 3/3/2020, repurchase price $250,049, collateralized by Corporate Bonds, 2.60% - 12.00%, due 12/15/2022 - 2/7/2030, Corporate Notes, 2.18% - 3.12%, due 11/16/2020 - 1/20/2023 and Sovereign Government Securities, 4.50% - 10.13%, due 4/15/2024 - 5/11/2047, with a value of $268,764. | | | 250,000 | | | | 250,000 | |
| | |
Societe Generale SA, 1.68%, dated 2/28/2020, due 3/4/2020, repurchase price $205,048, collateralized by Asset-Backed Securities, 4.15% - 4.68%, due 2/25/2033 - 2/15/2048, Corporate Bonds, 1.80% - 6.76%, due 11/3/2020 - 2/21/2050 and Corporate Notes, 1.95% - 4.05%, due 11/16/2020 - 9/25/2034, with a value of $215,458. | | | 205,000 | | | | 205,000 | |
| | |
Societe Generale SA, 1.78%, dated 2/28/2020, due 3/4/2020, repurchase price $22,005, collateralized by Asset-Backed Securities, 2.11%, due 7/25/2035, Corporate Bonds, 9.50% - 9.70%, due 5/14/2024 - 12/30/2024 and Sovereign Government Securities, 6.00% - 6.75%, due 4/7/2026 - 5/30/2040, with a value of $23,768. | | | 22,000 | | | | 22,000 | |
| | |
Societe Generale SA, 1.88%, dated 2/28/2020, due 3/31/2020, repurchase price $370,618, collateralized by Asset-Backed Securities, 1.80%, due 4/25/2037, Collateralized Mortgage Obligations, 3.60%, due 7/17/2047, Corporate Bonds, 3.63% - 10.50%, due 8/15/2022 - 10/7/2079, Corporate Notes, 3.50% - 6.35%, due 12/1/2021 - 2/20/2024 and Sovereign Government Securities, 4.25% - 11.88%, due 2/4/2021 - 1/1/2999, with a value of $400,205. | | | 370,000 | | | | 370,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 17 | |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | |
| | |
UBS Securities LLC, 1.78%, dated 2/28/2020, due 3/6/2020, repurchase price $300,104, collateralized by Asset-Backed Securities, 2.48%, due 11/9/2020, Corporate Bonds, 2.20% - 10.75%, due 6/8/2020 - 1/1/2999, Corporate Notes, 2.35% - 7.30%, due 3/26/2020 - 6/26/2048 and Certificates of Deposit, 1.90%, due 4/30/2020, with a value of $320,647. | | | 300,000 | | | | 300,000 | |
| | |
Wells Fargo Securities LLC, 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $150,021, collateralized by Commercial Paper, 0.00%, due 3/3/2020 - 3/12/2020, with a value of $157,522. | | | 150,000 | | | | 150,000 | |
| | |
Wells Fargo Securities LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $100,014, collateralized by Common Stocks, 0.00%, due 1/1/2999 and Preferred Stocks, 3.00% - 8.50%, due 1/1/2999, with a value of $108,016. | | | 100,000 | | | | 100,000 | |
| | |
Wells Fargo Securities LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $154,022, collateralized by Commercial Paper, 0.00%, due 3/12/2020 - 5/5/2020 and Certificates of Deposit, 0.00%, due 3/16/2020 - 11/13/2020, with a value of $161,754. | | | 154,000 | | | | 154,000 | |
| | |
Wells Fargo Securities LLC, 1.73%, dated 2/28/2020, due 3/4/2020, repurchase price $100,024, collateralized by Commercial Paper, 0.00%, due 3/3/2020 - 3/25/2020, with a value of $105,035. | | | 100,000 | | | | 100,000 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(Cost $18,112,800) | | | | | | | 18,112,800 | |
| | | | | | | | |
Corporate Notes — 1.6% | |
| | |
Banks — 1.1% | | | | | | | | |
| | |
Bank of America NA (US Federal Funds Effective Rate (continuous series) + 0.16%), 1.74%, 3/2/2020 (b) | | | 50,000 | | | | 50,011 | |
| |
Barclays Bank plc (United Kingdom) | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.70%, 3/13/2020 (b) (c) | | | 200,000 | | | | 200,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.68%, 3/24/2020 (b) (c) | | | 420,000 | | | | 420,000 | |
| | | | | | | | |
| | |
| | | | | | | 670,011 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Consumer Finance — 0.5% | |
| | |
Toyota Motor Credit Corp. (ICE LIBOR USD 3 Month + 0.09%), 1.98%, 3/16/2020 (b) | | | 300,000 | | | | 300,144 | |
| | | | | | | | |
| | |
Total Corporate Notes
(Cost $970,000) | | | | | | | 970,155 | |
| | | | | | | | |
U.S. Treasury Obligations — 1.0% | |
| | |
U.S. Treasury Floating Rate Notes (US Treasury 3 Month Bill Money Market Yield + 0.12%), 1.63%, 3/2/2020 (b)
(Cost $649,875) | | | 650,000 | | | | 650,335 | |
| | | | | | | | |
Municipal Bonds — 0.2% | |
|
Alaska — 0.1% | |
| | |
Alaska Housing Finance Corp., State Capital Project Series 2018A, Rev., VRDO, 1.62%, 3/6/2020 (d) | | | 52,100 | | | | 52,100 | |
| | | | | | | | |
|
California — 0.0% (e) | |
| | |
City & County of San Francisco, Multifamily Housing, Transbay Block 8 Tower Apartments | | | | | | | | |
| | |
SeriesH-4, Rev., VRDO, LOC: Bank of China, 1.68%, 3/6/2020 (d) | | | 14,160 | | | | 14,160 | |
| | |
SeriesH-3, Rev., VRDO, LOC: Bank of China, 1.70%, 3/6/2020 (d) | | | 8,945 | | | | 8,945 | |
| | | | | | | | |
| | |
| | | | | | | 23,105 | |
| | | | | | | | |
|
Michigan — 0.1% | |
| | |
Michigan Finance Authority Series 2019D, Rev., VRDO, LOC: PNC Bank NA, 1.65%, 3/6/2020 (d) | | | 65,000 | | | | 65,000 | |
| | | | | | | | |
| |
Total Municipal Bonds
(Cost $140,205) | | | | 140,205 | |
| | | | | |
Short-Term Investments — 68.2% | |
|
Certificates of Deposit — 41.0% | |
| | |
Agricultural Bank of China Ltd. (China) 2.30%, 3/10/2020 | | | 75,000 | | | | 75,016 | |
| | |
Banco del Estado de Chile (Chile) 1.92%, 4/6/2020 | | | 50,000 | | | | 50,018 | |
| | |
Bank of Montreal (Canada)
2.00%, 3/18/2020 | | | 500,000 | | | | 500,113 | |
| | |
1.72%, 5/6/2020 (f) | | | 50,000 | | | | 49,860 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.33%), 1.91%, 3/2/2020 (b) | | | 100,000 | | | | 100,109 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.84%, 3/6/2020 (b) | | | 55,000 | | | | 55,016 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.84%, 3/10/2020 (b) | | | 50,000 | | | | 50,015 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | |
|
Certificates of Deposit — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.01%, 4/6/2020 (b) | | | 110,000 | | | | 110,055 | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.02%, 4/6/2020 (b) | | | 60,000 | | | | 60,035 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.92%, 4/8/2020 (b) | | | 60,000 | | | | 60,018 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.95%, 4/8/2020 (b) | | | 180,000 | | | | 180,060 | |
| | |
1.95%, 4/16/2020 | | | 150,000 | | | | 150,101 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.85%, 4/28/2020 (b) | | | 85,000 | | | | 85,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.87%, 5/6/2020 (b) | | | 150,000 | | | | 150,121 | |
| | |
BNP Paribas SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.94%, 3/2/2020 (b) | | | 150,000 | | | | 150,175 | |
| | |
(ICE LIBOR USD 1 Month + 0.32%), 1.99%, 3/7/2020 (b) | | | 108,000 | | | | 108,113 | |
| | |
(ICE LIBOR USD 1 Month + 0.21%), 1.88%, 3/9/2020 (b) | | | 70,000 | | | | 70,026 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.99%, 4/3/2020 (b) | | | 180,000 | | | | 180,074 | |
| | |
(ICE LIBOR USD 3 Month + 0.15%), 2.02%, 4/7/2020 (b) | | | 108,000 | | | | 108,060 | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (b) | | | 115,000 | | | | 115,052 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/6/2020 (b) | | | 66,000 | | | | 66,019 | |
| | |
Chiba Bank Ltd. (Japan) 1.86%, 3/6/2020 | | | 50,003 | | | | 50,003 | |
| | |
China Construction Bank Corp. (China)
1.62%, 3/3/2020 | | | 150,000 | | | | 150,000 | |
| | |
2.30%, 3/9/2020 | | | 100,000 | | | | 100,018 | |
| | |
2.31%, 3/13/2020 | | | 40,000 | | | | 40,011 | |
| | |
2.30%, 3/30/2020 | | | 125,000 | | | | 125,069 | |
| | |
2.25%, 4/7/2020 | | | 100,000 | | | | 100,066 | |
| | |
Commonwealth Bank of Australia (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.83%, 3/5/2020 (b) | | | 75,000 | | | | 75,018 | |
| | |
(ICE LIBOR USD 1 Month + 0.22%), 1.83%, 3/27/2020 (b) | | | 50,000 | | | | 50,010 | |
| | |
(ICE LIBOR USD 3 Month + 0.06%), 1.90%, 4/17/2020 (b) | | | 99,997 | | | | 99,997 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
|
| |
|
Certificates of Deposit — continued | |
| | |
Cooperatieve Rabobank UA (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.84%, 3/20/2020 (b) | | | 250,000 | | | | 250,077 | |
| | |
1.66%, 6/15/2020 (f) | | | 150,000 | | | | 149,328 | |
| | |
Credit Agricole Corporate and Investment Bank (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.96%, 4/10/2020 (b) | | | 75,000 | | | | 75,037 | |
| | |
1.79%, 7/28/2020 (f) | | | 250,000 | | | | 248,538 | |
| | |
Credit Agricole SA (France)
1.77%, 7/24/2020 (f) | | | 150,000 | | | | 149,143 | |
| | |
1.76%, 8/3/2020 (f) | | | 125,000 | | | | 124,242 | |
| | |
1.79%, 8/3/2020 (f) | | | 275,000 | | | | 273,334 | |
| | |
Credit Industriel Desjardins, Inc. (Canada) 1.73%, 11/16/2020 (f) | | | 195,000 | | | | 193,026 | |
| | |
Credit Industriel et Commercial (France) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (b) | | | 200,000 | | | | 200,096 | |
| | |
2.25%, 3/24/2020 (f) | | | 200,000 | | | | 199,789 | |
| | |
(ICE LIBOR USD 3 Month + 0.04%), 1.95%, 4/6/2020 (b) | | | 100,000 | | | | 100,020 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.98%, 4/6/2020 (b) | | | 150,000 | | | | 150,062 | |
| | |
1.92%, 5/12/2020 (f) | | | 150,000 | | | | 149,544 | |
| | |
2.00%, 5/26/2020 (f) | | | 400,000 | | | | 398,577 | |
| | |
1.85%, 9/10/2020 (f) | | | 450,000 | | | | 446,474 | |
| | |
Credit Suisse AG (Switzerland) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.31%), 1.96%, 3/3/2020 (b) | | | 350,000 | | | | 350,386 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.04%, 4/1/2020 (b) | | | 100,000 | | | | 100,036 | |
| | |
(ICE LIBOR USD 3 Month + 0.17%), 2.01%, 4/16/2020 (b) | | | 395,000 | | | | 395,277 | |
| | |
1.96%, 4/20/2020 (f) | | | 500,000 | | | | 498,888 | |
| | |
DZ Bank AG (Germany)
2.28%, 3/13/2020 (f) | | | 185,000 | | | | 184,885 | |
| | |
1.90%, 4/27/2020 (f) | | | 350,000 | | | | 349,102 | |
| | |
1.89%, 5/14/2020 (f) | | | 250,000 | | | | 249,184 | |
| | |
1.92%, 5/15/2020 (f) | | | 145,000 | | | | 144,520 | |
| | |
1.78%, 7/24/2020 (f) | | | 100,000 | | | | 99,407 | |
| | |
1.76%, 7/30/2020 (f) | | | 145,000 | | | | 144,110 | |
| | |
HSBC Bank USA NA (ICE LIBOR USD 3 Month + 0.02%), 1.83%, 4/23/2020 (b) | | | 210,000 | | | | 210,032 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 19 | |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | |
|
Certificates of Deposit — continued | |
| | |
Industrial & Commercial Bank of China Ltd. (China)
2.31%, 3/20/2020 | | | 100,000 | | | | 100,035 | |
| | |
2.32%, 3/31/2020 | | | 250,000 | | | | 250,128 | |
| | |
ING Bank NV (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.33%), 2.00%, 3/12/2020 (b) | | | 165,000 | | | | 165,153 | |
| | |
(ICE LIBOR USD 3 Month + 0.12%), 1.99%, 4/8/2020 (b) | | | 583,000 | | | | 583,277 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 1.84%, 5/5/2020 (b) | | | 331,000 | | | | 331,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.82%, 5/6/2020 (b) | | | 185,000 | | | | 185,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.18%), 1.91%, 5/10/2020 (b) | | | 295,000 | | | | 295,101 | |
| | |
1.93%, 7/27/2020 | | | 95,000 | | | | 95,161 | |
| | |
1.91%, 7/31/2020 | | | 150,000 | | | | 150,255 | |
| | |
KBC Bank NV (Ireland) 2.02%, 3/9/2020 (f) | | | 257,000 | | | | 256,888 | |
| | |
Mitsubishi UFJ Trust & Banking Corp. (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.12%), 1.74%, 3/26/2020 (b) | | | 20,000 | | | | 20,005 | |
| | |
1.97%, 4/20/2020 (f) | | | 140,000 | | | | 139,666 | |
| | |
1.78%, 4/23/2020 (f) | | | 100,000 | | | | 99,749 | |
| | |
1.76%, 4/30/2020 (f) | | | 85,000 | | | | 84,760 | |
| | |
Mizuho Bank Ltd. (Japan)
1.98%, 3/4/2020 (f) | | | 100,000 | | | | 99,978 | |
| | |
(ICE LIBOR USD 1 Month + 0.10%), 1.77%, 3/10/2020 (b) | | | 150,000 | | | | 150,052 | |
| | |
2.12%, 3/10/2020 (f) | | | 100,000 | | | | 99,952 | |
| | |
(ICE LIBOR USD 1 Month + 0.07%), 1.73%, 3/12/2020 (b) | | | 200,000 | | | | 200,038 | |
| | |
(ICE LIBOR USD 1 Month + 0.27%), 1.94%, 3/12/2020 (b) | | | 125,000 | | | | 125,073 | |
| | |
1.94%, 3/20/2020 (f) | | | 300,000 | | | | 299,728 | |
| | |
(ICE LIBOR USD 1 Month + 0.14%), 1.75%, 3/27/2020 (b) | | | 175,000 | | | | 175,104 | |
| | |
1.94%, 7/20/2020 | | | 200,000 | | | | 200,441 | |
| | |
1.81%, 7/23/2020 (f) | | | 225,000 | | | | 223,676 | |
| | |
Mizuho International plc (United Kingdom) 2.00%, 4/14/2020 (f) | | | 50,000 | | | | 49,901 | |
| | |
MUFG Bank Ltd. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/12/2020 (b) | | | 50,000 | | | | 50,005 | |
| | |
2.23%, 3/13/2020 | | | 160,000 | | | | 160,041 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | |
| | | | | | | | |
|
Certificates of Deposit — continued | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.90%, 3/13/2020 (b) | | | 100,000 | | | | 100,051 | |
| | |
2.23%, 3/19/2020 (f) | | | 100,000 | | | | 99,914 | |
| | |
1.95%, 5/5/2020 | | | 75,000 | | | | 75,059 | |
| | |
1.97%, 5/15/2020 (f) | | | 150,000 | | | | 149,509 | |
| | |
1.97%, 7/24/2020 | | | 300,000 | | | | 300,718 | |
| | |
1.93%, 7/28/2020 | | | 75,000 | | | | 75,173 | |
| | |
1.66%, 8/14/2020 (f) | | | 100,000 | | | | 99,271 | |
| | |
National Australia Bank Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.86%, 3/3/2020 (b) | | | 210,000 | | | | 210,081 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/10/2020 (b) | | | 255,000 | | | | 255,124 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.81%, 5/25/2020 (b) | | | 325,000 | | | | 325,407 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.77%, 5/27/2020 (b) | | | 245,000 | | | | 245,309 | |
| | |
Natixis SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.01%, 3/4/2020 (b) | | | 175,000 | | | | 175,087 | |
| | |
2.25%, 3/18/2020 | | | 195,000 | | | | 195,070 | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.02%, 4/2/2020 (b) | | | 300,000 | | | | 300,191 | |
| | |
2.00%, 4/8/2020 | | | 385,000 | | | | 385,203 | |
| | |
1.96%, 6/5/2020 | | | 145,000 | | | | 145,219 | |
| | |
1.98%, 6/5/2020 | | | 85,000 | | | | 85,133 | |
| | |
1.72%, 8/3/2020 | | | 150,000 | | | | 150,057 | |
| | |
Nordea Bank AB (Finland) (ICE LIBOR USD 3 Month + 0.05%), 1.93%, 4/9/2020 (b) | | | 95,000 | | | | 95,009 | |
| | |
Norinchukin Bank (The) (Japan)
1.90%, 3/11/2020 | | | 175,000 | | | | 175,019 | |
| | |
1.85%, 4/7/2020 | | | 50,000 | | | | 50,017 | |
| | |
1.94%, 4/9/2020 | | | 30,000 | | | | 30,014 | |
| | |
1.95%, 4/14/2020 (f) | | | 100,000 | | | | 99,788 | |
| | |
1.96%, 4/28/2020 (f) | | | 200,000 | | | | 199,455 | |
| | |
1.90%, 5/5/2020 | | | 140,000 | | | | 140,120 | |
| | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) 2.26%, 3/13/2020 (f) | | | 175,000 | | | | 174,885 | |
| | |
Rabobank International (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/2/2020 (b) | | | 375,000 | | | | 375,089 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/8/2020 (b) | | | 240,000 | | | | 240,127 | |
| | |
(ICE LIBOR USD 1 Month + 0.22%), 1.83%, 3/27/2020 (b) | | | 100,000 | | | | 100,013 | |
| | |
Royal Bank of Canada (Canada) (ICE LIBOR USD 1 Month + 0.17%), 1.82%, 3/14/2020 (b) | | | 100,000 | | | | 100,035 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | | | | | | | | |
|
Certificates of Deposit — continued | |
| | |
Skandinaviska Enskilda Banken AB (Sweden) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.88%, 3/2/2020 (b) | | | 220,000 | | | | 220,223 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.96%, 3/2/2020 (b) | | | 50,000 | | | | 50,010 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.96%, 4/6/2020 (b) | | | 200,000 | | | | 200,041 | |
| | |
1.91%, 6/5/2020 | | | 137,000 | | | | 137,194 | |
| | |
1.80%, 6/8/2020 | | | 125,000 | | | | 125,150 | |
| | |
1.90%, 7/24/2020 | | | 300,000 | | | | 300,700 | |
| | |
Standard Chartered Bank (United Kingdom) | | | | | | | | |
| | |
2.05%, 3/2/2020 | | | 125,000 | | | | 125,004 | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.94%, 3/18/2020 (b) | | | 150,000 | | | | 150,095 | |
| | |
(ICE LIBOR USD 3 Month + 0.06%), 1.96%, 4/14/2020 (b) | �� | | 150,000 | | | | 150,043 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 1.79%, 5/20/2020 (b) | | | 75,000 | | | | 75,021 | |
| | |
1.72%, 8/7/2020 (f) | | | 175,000 | | | | 173,879 | |
| | |
1.69%, 8/14/2020 (f) | | | 165,000 | | | | 163,904 | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.27%), 1.92%, 3/2/2020 (b) | | | 150,000 | | | | 150,071 | |
| | |
(ICE LIBOR USD 1 Month + 0.26%), 1.93%, 3/8/2020 (b) | | | 100,000 | | | | 100,027 | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.92%, 3/9/2020 (b) | | | 50,000 | | | | 50,033 | |
| | |
(ICE LIBOR USD 1 Month + 0.14%), 1.75%, 3/27/2020 (b) | | | 350,000 | | | | 350,139 | |
| | |
(ICE LIBOR USD 1 Month + 0.12%), 1.72%, 3/28/2020 (b) | | | 325,000 | | | | 325,110 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.96%, 4/2/2020 (b) | | | 150,000 | | | | 150,030 | |
| | |
(ICE LIBOR USD 3 Month + 0.00%), 1.85%, 4/14/2020 (b) | | | 200,000 | | | | 200,014 | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.08%), 1.74%, 3/4/2020 (b) | | | 30,000 | | | | 30,004 | |
| | |
(ICE LIBOR USD 3 Month + 0.00%), 1.85%, 4/14/2020 (b) | | | 150,000 | | | | 150,011 | |
| | |
1.81%, 5/18/2020 (f) | | | 50,000 | | | | 49,830 | |
| | |
Sumitomo Mitsui Trust International Ltd. (Japan) | | | | | | | | |
| | |
1.99%, 4/9/2020 (f) | | | 75,000 | | | | 74,868 | |
| | |
1.75%, 5/11/2020 (f) | | | 200,000 | | | | 199,379 | |
| | |
Sumitomo Trust & Banking Co., Ltd. (Japan) 1.99%, 4/14/2020 (f) | | | 100,000 | | | | 99,803 | |
| | |
Svenska Handelsbanken AB (Sweden) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.86%, 3/5/2020 (b) | | | 105,000 | | | | 105,036 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Certificates of Deposit — continued | |
| | |
(ICE LIBOR USD 1 Month + 0.10%), 1.77%, 3/10/2020 (b) | | | 200,000 | | | | 200,076 | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.98%, 4/2/2020 (b) | | | 110,000 | | | | 110,045 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.81%, 3/2/2020 (b) | | | 75,000 | | | | 75,051 | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/2/2020 (b) | | | 126,000 | | | | 126,072 | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.85%, 3/2/2020 (b) | | | 175,000 | | | | 175,155 | |
| | |
(ICE LIBOR USD 1 Month + 0.24%), 1.86%, 3/27/2020 (b) | | | 150,000 | | | | 150,127 | |
| | |
(ICE LIBOR USD 3 Month + 0.19%), 2.06%, 4/7/2020 (b) | | | 216,000 | | | | 216,243 | |
| | |
1.90%, 4/14/2020 (f) | | | 350,000 | | | | 349,331 | |
| | |
Wells Fargo Bank NA | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.36%), 1.94%, 3/2/2020 (b) | | | 375,000 | | | | 375,452 | |
| | |
(ICE LIBOR USD 1 Month + 0.34%), 2.01%, 3/7/2020 (b) | | | 165,000 | | | | 165,241 | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.85%, 3/9/2020 (b) | | | 233,000 | | | | 233,045 | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.02%, 4/6/2020 (b) | | | 555,000 | | | | 555,092 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.94%, 4/14/2020 (b) | | | 175,000 | | | | 175,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.90%, 4/22/2020 (b) | | | 199,999 | | | | 199,999 | |
| | | | | | | | |
| | |
Total Certificates of Deposit
(Cost $25,832,354) | | | | | | | 25,849,224 | |
| | | | | | | | |
|
Commercial Paper — 18.4% | |
| | |
Albion Capital Corp., SA (Luxembourg) 1.98%, 3/16/2020 (f) | | | 40,000 | | | | 39,971 | |
| | |
Alpine Securitization LLC (Switzerland)
1.92%, 5/4/2020 (c) (f) | | | 125,000 | | | | 124,618 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.81%, 5/21/2020 (b) (c) | | | 35,000 | | | | 35,000 | |
| | |
Atlantic Asset Securitization LLC 1.89%, 3/13/2020 (c) (f) | | | 50,000 | | | | 49,968 | |
| | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.03%), 1.96%, 4/6/2020 (b) (c) | | | 95,000 | | | | 95,013 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.76%, 5/27/2020 (b) (c) | | | 255,000 | | | | 255,111 | |
| | |
Banco del Estado de Chile (Chile) 1.88%, 3/30/2020 (c) (f) | | | 1,311 | | | | 1,311 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 21 | |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | |
|
Commercial Paper — continued | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.34%), 1.95%, 3/2/2020 (b) (c) | | | 100,000 | | | | 100,107 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.85%, 3/14/2020 (b) (c) | | | 175,000 | | | | 175,061 | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.95%, 4/14/2020 (b) (c) | | | 100,000 | | | | 100,017 | |
| | |
Banque et Caisse d Epargne de l Etat (Luxembourg) | | | | | | | | |
| | |
2.17%, 4/3/2020 (f) | | | 40,000 | | | | 39,942 | |
| | |
1.91%, 6/2/2020 (f) | | | 40,000 | | | | 39,847 | |
| | |
Barclays Bank plc (United Kingdom) | | | | | | | | |
| | |
1.73%, 5/1/2020 (c) (f) | | | 200,000 | | | | 199,429 | |
| | |
1.72%, 5/12/2020 (c) (f) | | | 170,000 | | | | 169,432 | |
| | |
Barton Capital LLC 1.73%, 5/8/2020 (c) (f) | | | 100,000 | | | | 99,679 | |
| | |
Bedford Row Funding Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.15%), 1.80%, 3/26/2020 (b) (c) | | | 60,000 | | | | 60,009 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 2.02%, 4/7/2020 (b) (c) | | | 100,000 | | | | 100,034 | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.97%, 4/8/2020 (b) (c) | | | 50,000 | | | | 50,006 | |
| | |
BNG Bank NV (Netherlands) | | | | | | | | |
| | |
1.58%, 3/4/2020 (c) (f) | | | 250,000 | | | | 249,944 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.87%, 3/9/2020 (b) (c) | | | 150,000 | | | | 150,027 | |
| | |
BNP Paribas SA (France) 1.56%, 3/2/2020 (f) | | | 1,000 | | | | 1,000 | |
| | |
Canadian Imperial Bank of Commerce (Canada) (ICE LIBOR USD 1 Month + 0.22%), 1.92%, 3/8/2020 (b) (c) | | | 200,000 | | | | 200,135 | |
| | |
Cedar Springs Capital Co. LLC | | | | | | | | |
| | |
1.62%, 3/6/2020 (c) (f) | | | 60,100 | | | | 60,079 | |
| | |
1.65%, 3/11/2020 (c) (f) | | | 35,000 | | | | 34,980 | |
| | |
Commonwealth Bank of Australia (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.12%), 2.04%, 3/4/2020 (b) (c) | | | 200,000 | | | | 200,149 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.95%, 4/6/2020 (b) (c) | | | 40,000 | | | | 40,017 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.85%, 4/22/2020 (b) | | | 35,000 | | | | 35,000 | |
| | |
Cooperatieve Rabobank UA (ICE LIBOR USD 1 Month + 0.00%), 1.77%, 3/3/2020 (b) | | | 100,000 | | | | 100,014 | |
| | |
Credit Industriel et Commercial (France) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.21%), 1.89%, 3/13/2020 (b) (c) | | | 30,000 | | | | 30,013 | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.88%, 3/26/2020 (b) (c) | | | 175,000 | | | | 175,148 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
|
| |
|
Commercial Paper — continued | |
| | |
Credit Suisse AG (Switzerland) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.34%), 1.95%, 3/2/2020 (b) | | | 245,000 | | | | 245,182 | |
| | |
DBS Bank Ltd. (Singapore) 1.93%, 4/13/2020 (c) (f) | | | 160,000 | | | | 159,686 | |
| | |
DNB Bank ASA (Norway) (ICE LIBOR USD 1 Month + 0.19%), 1.84%, 3/27/2020 (b) (c) | | | 250,000 | | | | 250,069 | |
| | |
Erste Finance Delaware LLC (Austria)
1.58%, 3/2/2020 (c) (f) | | | 30,890 | | | | 30,886 | |
| | |
1.89%, 3/10/2020 (c) (f) | | | 170,000 | | | | 169,922 | |
| | |
Fairway Finance Co. LLC | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.90%, 3/9/2020 (b) (c) | | | 85,000 | | | | 85,018 | |
| | |
(ICE LIBOR USD 1 Month + 0.22%), 1.90%, 3/13/2020 (b) (c) | | | 100,000 | | | | 100,041 | |
| | |
Federation des caisses Desjardins du Quebec (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.02%, 3/11/2020 (b) (c) | | | 25,000 | | | | 25,012 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 2.04%, 3/23/2020 (b) (c) | | | 100,000 | | | | 100,033 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.95%, 4/15/2020 (b) (c) | | | 150,000 | | | | 150,060 | |
| | |
First Abu Dhabi Bank PJSC (United Arab Emirates) | | | | | | | | |
| | |
1.84%, 4/14/2020 (c) (f) | | | 400,000 | | | | 399,224 | |
| | |
1.71%, 5/12/2020 (c) (f) | | | 440,000 | | | | 438,651 | |
| | |
1.69%, 5/15/2020 (c) (f) | | | 300,000 | | | | 299,046 | |
| | |
Gotham Funding Corp. 1.90%, 3/11/2020 (c) (f) | | | 85,000 | | | | 84,954 | |
| | |
HSBC Bank plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.06%), 2.00%, 3/3/2020 (b) (c) | | | 85,000 | | | | 85,020 | |
| | |
ING US Funding LLC (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.15%), 2.11%, 3/16/2020 (b) | | | 50,000 | | | | 50,037 | |
| | |
(ICE LIBOR USD 3 Month + 0.15%), 2.11%, 3/18/2020 (b) (c) | | | 200,000 | | | | 200,140 | |
| | |
Kells Funding LLC 1.66%, 6/4/2020 (c) (f) | | | 150,000 | | | | 149,374 | |
| | |
Lloyds Bank plc (United Kingdom) 1.78%, 3/27/2020 | | | 150,000 | | | | 150,064 | |
| | |
LMA-Americas LLC
2.00%, 4/7/2020 (c) (f) | | | 40,000 | | | | 39,932 | |
| | |
1.98%, 5/11/2020 (c) (f) | | | 25,000 | | | | 24,919 | |
| | |
1.70%, 5/18/2020 (c) (f) | | | 70,000 | | | | 69,751 | |
| | |
1.91%, 6/1/2020 (c) (f) | | | 80,000 | | | | 79,666 | |
| | |
1.91%, 6/2/2020 (f) | | | 60,000 | | | | 59,747 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | |
|
Commercial Paper — continued | |
| | |
Macquarie Bank Ltd. (Australia) 1.91%, 3/16/2020 (c) | | | 80,000 | | | | 80,027 | |
| | |
Matchpoint Finance plc (Ireland) | | | | | | | | |
| | |
Series A, 1.89%, 3/11/2020 (c) (f) | | | 100,000 | | | | 99,946 | |
| | |
Series A, 1.98%, 4/13/2020 (c) (f) | | | 77,000 | | | | 76,844 | |
| | |
Series A, 1.91%, 5/5/2020 (c) (f) | | | 100,000 | | | | 99,706 | |
| | |
Series A, 1.90%, 6/1/2020 (c) (f) | | | 90,000 | | | | 89,632 | |
| | |
MetLife Short Term Funding LLC 1.91%, 6/26/2020 (c) (f) | | | 25,000 | | | | 24,876 | |
| | |
MUFG Bank Ltd. (Japan) 2.24%, 3/13/2020 (f) | | | 15,000 | | | | 14,991 | |
| | |
National Australia Bank Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.14%), 1.84%, 3/4/2020 (b) (c) | | | 160,000 | | | | 160,115 | |
| | |
National Bank of Canada (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.22%), 1.86%, 3/27/2020 (b) (c) | | | 130,000 | | | | 130,026 | |
| | |
(ICE LIBOR USD 3 Month + 0.00%), 1.87%, 4/16/2020 (b) (c) | | | 120,000 | | | | 120,009 | |
| | |
Natixis SA (France) (ICE LIBOR USD 3 Month + 0.03%), 1.86%, 4/23/2020 (b) | | | 130,000 | | | | 130,016 | |
| | |
Nederlandse Waterschapsbank NV (Netherlands) 1.65%, 6/12/2020 (c) (f) | | | 350,000 | | | | 348,433 | |
| | |
Old Line Funding LLC (US Federal Funds Effective Rate (continuous series) + 0.35%), 1.96%, 3/2/2020 (b) (c) | | | 100,000 | | | | 100,120 | |
| | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 2.00%, 4/10/2020 (b) (c) | | | 65,000 | | | | 65,032 | |
| | |
1.95%, 4/16/2020 (c) (f) | | | 200,000 | | | | 199,572 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.73%, 5/28/2020 (b) (c) | | | 40,000 | | | | 40,020 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.36%), 1.97%, 3/2/2020 (b) (c) | | | 177,000 | | | | 177,220 | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.87%, 3/3/2020 (b) (c) | | | 125,000 | | | | 125,040 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.90%, 3/12/2020 (b) (c) | | | 100,000 | | | | 100,061 | |
| | |
(ICE LIBOR USD 3 Month + 0.06%), 1.93%, 4/17/2020 (b) (c) | | | 300,000 | | | | 300,037 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.88%, 4/28/2020 (b) (c) | | | 100,000 | | | | 100,009 | |
| | |
Sheffield Receivables Co. LLC (United Kingdom)
1.90%, 3/4/2020 (c) (f) | | | 150,000 | | | | 149,965 | |
| | |
1.90%, 3/10/2020 (c) (f) | | | 102,000 | | | | 101,948 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| |
|
Commercial Paper — continued | |
| | |
Sinopec Century Bright 1.70%, 3/2/2020 (f) | | | 45,000 | | | | 44,994 | |
| | |
Skandinaviska Enskilda Banken AB (Sweden) | | | | | | | | |
| | |
1.88%, 7/21/2020 (c) (f) | | | 100,000 | | | | 99,474 | |
| | |
1.89%, 7/24/2020 (c) (f) | | | 150,000 | | | | 149,197 | |
| | |
Societe Generale SA (France) (ICE LIBOR USD 3 Month + 0.02%), 1.90%, 4/14/2020 (b) (c) | | | 75,000 | | | | 75,011 | |
| | |
Starbird Funding Corp. 1.98%, 4/7/2020 (c) (f) | | | 50,000 | | | | 49,912 | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.81%, 4/29/2020 (c) (f) | | | 40,000 | | | | 39,897 | |
| | |
Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 1 Month + 0.10%), 1.80%, 3/10/2020 (b) (c) | | | 50,000 | | | | 50,019 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.14%), 1.84%, 3/4/2020 (b) (c) | | | 65,000 | | | | 65,041 | |
| | |
(ICE LIBOR USD 1 Month + 0.15%), 1.85%, 3/5/2020 (b) (c) | | | 150,000 | | | | 150,109 | |
| | |
(ICE LIBOR USD 3 Month + 0.19%), 2.17%, 3/27/2020 (b) (c) | | | 200,000 | | | | 200,215 | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.97%, 4/7/2020 (b) (c) | | | 175,000 | | | | 175,058 | |
| | |
Toyota Credit de Puerto Rico Corp. 1.72%, 7/1/2020 (f) | | | 50,000 | | | | 49,737 | |
| | |
Toyota Finance Australia Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.23%), 1.93%, 3/9/2020 (b) | | | 100,000 | | | | 100,040 | |
| | |
Toyota Motor Finance Netherlands BV (Japan) (ICE LIBOR USD 3 Month + 0.12%), 1.99%, 4/10/2020 (b) | | | 60,000 | | | | 60,027 | |
| | |
UBS AG (Switzerland) | | | | | | | | |
| | |
2.24%, 3/13/2020 (c) (f) | | | 400,000 | | | | 399,748 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.04%, 4/3/2020 (b) (c) | | | 200,000 | | | | 200,047 | |
| | |
(ICE LIBOR USD 3 Month + 0.04%), 1.88%, 4/23/2020 (b) (c) | | | 60,000 | | | | 60,000 | |
| | |
Versailles Commercial Paper LLC | | | | | | | | |
| | |
1.89%, 3/9/2020 (c) (f) | | | 50,000 | | | | 49,977 | |
| | |
1.90%, 3/12/2020 (c) (f) | | | 50,000 | | | | 49,971 | |
| | |
1.81%, 4/7/2020 (c) (f) | | | 45,000 | | | | 44,921 | |
| | |
Victory Receivables Corp. 1.60%, 3/2/2020 (c) (f) | | | 100,000 | | | | 99,986 | |
| | |
Westpac Securities NZ Ltd. (New Zealand) (ICE LIBOR USD 3 Month + 0.06%), 1.99%, 4/6/2020 (b) (c) | | | 77,000 | | | | 77,018 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $11,577,063) | | | | | | | 11,581,539 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 23 | |
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | |
|
Time Deposits — 7.9% | |
| | |
Australia & New Zealand Banking Group Ltd. | | | | | | | | |
| | |
1.60%, 3/3/2020 | | | 750,000 | | | | 750,000 | |
| | |
1.60%, 3/6/2020 | | | 300,000 | | | | 300,000 | |
| | |
Chiba Bank Ltd. 1.60%, 3/2/2020 | | | 100,000 | | | | 100,000 | |
| | |
Citibank NA 1.60%, 3/3/2020 | | | 800,000 | | | | 800,000 | |
| | |
Credit Agricole Corporate and Investment Bank 1.63%, 3/5/2020 | | | 800,000 | | | | 800,000 | |
| | |
DBS Bank Ltd. (Singapore) 1.61%, 3/2/2020 | | | 200,000 | | | | 200,000 | |
| | |
First Abu Dhabi Bank PJSC 1.58%, 3/2/2020 | | | 320,947 | | | | 320,947 | |
| | |
Mizuho Bank Ltd. | | | | | | | | |
| | |
1.59%, 3/2/2020 | | | 900,000 | | | | 900,000 | |
| | |
1.59%, 3/2/2020 | | | 500,000 | | | | 500,000 | |
| | |
Nordea Bank AB 1.57%, 3/2/2020 | | | 300,000 | | | | 300,000 | |
| | | | | | | | |
| | |
Total Time Deposits
(Cost $4,970,947) | | | | | | | 4,970,947 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
U.S. Treasury Obligations — 0.9% | |
| | |
U.S. Treasury Bills | | | | | | | | |
| | |
1.89%, 3/19/2020(f)
(Cost $549,482) | | | 550,000 | | | | 549,630 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $42,929,846) | | | | | | | 42,951,340 | |
| | | | | | | | |
Total Investments — 99.7%
(Cost $62,802,726) | | | | | | | 62,824,835 | |
Other Assets Less Liabilities — 0.3% | | | | | | | 216,293 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 63,041,128 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| LOC | | Letter of Credit |
| PJSC | | Public Joint Stock Company |
| Rev. | | Revenue |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (d) | | 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 February 29, 2020. |
| (e) | | Amount rounds to less than 0.1% of net assets. |
| (f) | | The rate shown is the effective yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Institutional Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 68.5% | |
|
Alabama — 0.7% | |
| | |
Mobile Downtown Redevelopment Authority, Gulf Opportunity Zone, Austal USA LLC Project Series B, Rev., VRDO, LOC: Societe Generale, 1.19%, 3/6/2020 (b) (c) | | | 7,055 | | | | 7,055 | |
| | | | | | | | |
|
Alaska — 2.5% | |
| | |
Alaska Housing Finance Corp. Series D, Rev., VRDO, LIQ: FHLB, 1.15%, 3/6/2020 (b) | | | 10,625 | | | | 10,625 | |
| | |
City of Valdez, Exxon Pipeline Co. Project | | | | | | | | |
| | |
Series1993-C, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 6,650 | | | | 6,650 | |
| | |
Series B, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 7,225 | | | | 7,225 | |
| | | | | | | | |
| | |
| | | | | | | 24,500 | |
| | | | | | | | |
|
Arizona — 0.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XF0848, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 2,250 | | | | 2,250 | |
| | |
Series 2019-XG0231, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 4,065 | | | | 4,065 | |
| | | | | | | | |
| | |
| | | | | | | 6,315 | |
| | | | | | | | |
|
California — 1.9% | |
| | |
City & County of San Francisco, Multifamily Housing, Transbay Block 8 Tower Apartments | | | | | | | | |
| | |
SeriesH-1, Rev., VRDO, LOC: Bank of China, 1.19%, 3/6/2020 (b) | | | 7,125 | | | | 7,125 | |
| | |
SeriesH-2, Rev., VRDO, LOC: Bank of China, 1.20%, 3/6/2020 (b) | | | 6,795 | | | | 6,795 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates SeriesG-26, Rev., VRDO, LOC: Royal Bank of Canada, 1.30%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
| | |
| | | | | | | 18,920 | |
| | | | | | | | |
|
Colorado — 0.6% | |
| | |
State of Colorado, General Fund Tax | | | | | | | | |
| | |
Rev., TRAN, 3.00%, 6/26/2020 | | | 760 | | | | 765 | |
| | |
Rev., TRAN, 5.00%, 6/26/2020 | | | 715 | | | | 724 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XG0195, COP, VRDO, LIQ: Bank of America NA, 1.24%, 3/6/2020 (b) (c) | | | 4,925 | | | | 4,925 | |
| | | | | | | | |
| | |
| | | | | | | 6,414 | |
| | | | | | | | |
|
Connecticut — 2.1% | |
| | |
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Series2020A-3, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Connecticut — continued | | | | | | | | |
| | |
Tender Option Bond Trust Receipts/Certificates Series2019-G-110, Rev., VRDO, LOC: Royal Bank of Canada, 1.33%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Town of Waterford GO, BAN, 2.25%, 7/23/2020 | | | 5,600 | | | | 5,627 | |
| | | | | | | | |
| | |
| | | | | | | 20,627 | |
| | | | | | | | |
|
District of Columbia — 2.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XG0267, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 14,130 | | | | 14,130 | |
| | |
Series 2019-BAML8002, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 10,445 | | | | 10,445 | |
| | | | | | | | |
| | |
| | | | | | | 24,575 | |
| | | | | | | | |
|
Florida — 6.5% | |
| | |
City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 1.21%, 3/2/2020 (b) | | | 11,400 | | | | 11,400 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series2018-G-41, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/2/2020 (b) (c) | | | 5,665 | | | | 5,665 | |
| | |
Series 2018-ZM0615, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | |
Series 2019-XF2808, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | |
Series 2019-XL0107, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 2,650 | | | | 2,650 | |
| | |
Series 2019-XF0776, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2019-XF0749, Rev., VRDO, LIQ: Royal Bank of Canada, 1.20%, 3/6/2020 (b) (c) | | | 7,735 | | | | 7,735 | |
| | |
Series 2019-XG0252, Rev., VRDO, AMBAC, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 9,600 | | | | 9,600 | |
| | |
Series 2019-XG0241, Rev., VRDO, LIQ: Bank of America NA, 1.21%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2019-G113, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/6/2020 (b) (c) | | | 12,000 | | | | 12,000 | |
| | | | | | | | |
| | |
| | | | | | | 63,050 | |
| | | | | | | | |
|
Georgia — 1.0% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2020-ZF0871, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/6/2020 (b) (c) | | | 4,765 | | | | 4,765 | |
| | |
Series 2020-ZF0872, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2020-ZF0873, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | | | | | | | |
| | |
| | | | | | | 9,765 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 25 | |
JPMorgan Institutional Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Idaho — 0.1% | |
| | |
State of Idaho GO, TAN, 3.00%, 6/30/2020 | | | 890 | | | | 896 | |
| | | | | | | | |
|
Illinois — 0.7% | |
| | |
County of Kane, Glenwood School for Boys Rev., VRDO, LOC: Northern Trust Co., 1.20%, 3/6/2020 (b) | | | 3,450 | | | | 3,450 | |
| | |
Illinois Finance Authority, The University of Chicago Medical Center Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.18%, 3/6/2020 (b) | | | 1,980 | | | | 1,980 | |
| | |
Illinois Housing Development Authority, Homeowner Mortgage Series2018-A-2, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: FHLB, 1.17%, 3/6/2020 (b) | | | 1,325 | | | | 1,325 | |
| | | | | | | | |
| | |
| | | | | | | 6,755 | |
| | | | | | | | |
|
Indiana — 0.8% | |
| | |
Indiana Finance Authority, Parkview Health System Obligated Group Series 2009B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.20%, 3/2/2020 (b) | | | 2,225 | | | | 2,225 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XF0756, Rev., VRDO, LIQ: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 1,875 | | | | 1,875 | |
| | |
Series 2019-XG0242, Rev., VRDO, LIQ: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 3,500 | | | | 3,500 | |
| | | | | | | | |
| | |
| | | | | | | 7,600 | |
| | | | | | | | |
|
Iowa — 4.5% | |
| | |
Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project Rev., VRDO, 1.18%, 3/6/2020 (b) | | | 31,980 | | | | 31,980 | |
| | |
Iowa Finance Authority, Wellness Facility, Community of Marshall Town Project Rev., VRDO, LOC: Northern Trust Co., 1.21%, 3/6/2020 (b) | | | 7,225 | | | | 7,225 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZM0582, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 3,750 | | | | 3,750 | |
| | | | | | | | |
| | |
| | | | | | | 42,955 | |
| | | | | | | | |
|
Kentucky — 0.5% | |
| | |
RBC Municipal Products, Inc. Trust Series G116, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
|
Louisiana — 0.5% | |
| | |
East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone Series 2010B, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 2,300 | | | | 2,300 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Louisiana — continued | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-XM0738, Rev., VRDO, LOC: Royal Bank of Canada, 1.19%, 3/6/2020 (b) (c) | | | 3,245 | | | | 3,245 | |
| | | | | | | | |
| | |
| | | | | | | 5,545 | |
| | | | | | | | |
| | |
Maine — 1.4% | | | | | | | | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZF2749, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 1,785 | | | | 1,785 | |
| | |
Town of Yarmouth GO, BAN, 1.75%, 4/30/2020 | | | 11,800 | | | | 11,814 | |
| | | | | | | | |
| | |
| | | | | | | 13,599 | |
| | | | | | | | |
|
Maryland — 3.2% | |
| | |
City of Baltimore Series 2015-ZF2095, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.23%, 3/6/2020 (b) (c) | | | 6,665 | | | | 6,665 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates SeriesG-28, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/6/2020 (b) (c) | | | 7,615 | | | | 7,615 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZM0618, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 3,350 | | | | 3,350 | |
| | |
Series 2018-XG0177, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 3,750 | | | | 3,750 | |
| | |
Series 2018-ZM0621, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.20%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Series2018-G-42, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
| | |
| | | | | | | 30,380 | |
| | | | | | | | |
|
Massachusetts — 0.1% | |
| | |
City of Quincy GO, BAN, 2.25%, 7/10/2020 | | | 1,135 | | | | 1,140 | |
| | | | | | | | |
|
Michigan — 4.7% | |
| | |
Kent Hospital Finance Authority, Spectrum Health System Series C, Rev., VRDO, LOC: Bank of New York Mellon, 1.15%, 3/6/2020 (b) | | | 5,990 | | | | 5,990 | |
| | |
L’Anse Creuse Public Schools GO, VRDO,Q-SBLF, LOC: TD Bank NA, 1.13%, 3/6/2020 (b) | | | 14,850 | | | | 14,850 | |
| | |
Michigan Finance Authority, CHE Trinity Health Credit Group SeriesMI-1, Rev., VRDO, 1.12%, 6/1/2020 (b) | | | 11,500 | | | | 11,500 | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage Series D, Rev., LIQ: Industrial & Commercial Bank of China, 1.24%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Rib Floater Trust Various States Series2018-009, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 4,200 | | | | 4,200 | |
| | | | | | | | |
| | |
| | | | | | | 46,540 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Mississippi — 3.4% | |
| | |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project | | | | | | | | |
| | |
Series 2010 H, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 2,545 | | | | 2,545 | |
| | |
Series C, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
Mississippi Development Bank, Industrial Water System Project Series 2009, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 10,385 | | | | 10,385 | |
| | | | | | | | |
| | |
| | | | | | | 32,930 | |
| | | | | | | | |
|
Missouri — 1.4% | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates Series C17, Rev., VRDO, LOC: Royal Bank of Canada, 1.19%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XG0184, Rev., VRDO, LOC: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
SeriesC-16, Rev., VRDO, LOC: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 4,950 | | | | 4,950 | |
| | | | | | | | |
| | |
| | | | | | | 13,950 | |
| | | | | | | | |
|
Nebraska — 0.8% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF2558, Rev., VRDO, LIQ: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 8,000 | | | | 8,000 | |
| | | | | | | | |
|
Nevada — 1.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZF2733, GO, VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | | | | | | | |
| | |
New Jersey — 2.0% | | | | | | | | |
| | |
Borough of Beachwood Series 2020A, GO, BAN, 2.00%, 3/4/2021 | | | 5,000 | | | | 5,055 | |
| | |
Passaic County Improvement Authority, City of Paterson Project Rev., BAN, GTD, 3.00%, 8/25/2020 | | | 5,625 | | | | 5,681 | |
| | |
Township of East Windsor GO, BAN, 2.00%, 12/4/2020 | | | 8,700 | | | | 8,768 | |
| | | | | | | | |
| | |
| | | | | | | 19,504 | |
| | | | | | | | |
|
New York — 6.6% | |
| | |
City of New York, Fiscal Year 2012 | | | | | | | | |
| | |
Series G, SubseriesG-7, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.19%, 3/2/2020 (b) | | | 6,400 | | | | 6,400 | |
| | |
Series D, SubseriesD-3A, GO, VRDO, LIQ: Bank of New York Mellon, 1.21%, 3/2/2020 (b) | | | 2,300 | | | | 2,300 | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
SeriesA-1, Rev., VRDO, LOC: TD Bank NA, 1.18%, 3/2/2020 (b) | | | 1,125 | | | | 1,125 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
Series2005E-3, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020��(b) | | | 784 | | | | 784 | |
| | |
Series2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 2,700 | | | | 2,700 | |
| | |
Series 2018B, Subseries2018-B-1, Rev., BAN, 5.00%, 5/15/2020 | | | 4,805 | | | | 4,844 | |
| | |
Series2018B-1, Rev., BAN, 5.00%, 5/15/2020 | | | 250 | | | | 252 | |
| | |
Series2018B-1A, Rev., BAN, 5.00%, 5/15/2020 | | | 795 | | | | 802 | |
| | |
Series2018B-1C, Rev., BAN, 5.00%, 5/15/2020 | | | 1,930 | | | | 1,946 | |
| | |
Series2018B-1E, Rev., BAN, 5.00%, 5/15/2020 | | | 2,840 | | | | 2,863 | |
| | |
Series 2019C, Rev., BAN, 4.00%, 7/1/2020 | | | 950 | | | | 960 | |
| | |
Series2019D-2, Rev., BAN, 4.00%, 7/1/2020 | | | 3,045 | | | | 3,076 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 Series AA, SubseriesAA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 14,150 | | | | 14,150 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured | | | | | | | | |
| | |
Subseries C4, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.21%, 3/2/2020 (b) | | | 5,075 | | | | 5,075 | |
| | |
SeriesD-4, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.25%, 3/2/2020 (b) | | | 2,725 | | | | 2,725 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 SubseriesD-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.22%, 3/2/2020 (b) | | | 4,055 | | | | 4,055 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF0238, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
| | | | | | | 64,057 | |
| | | | | | | | |
|
North Carolina — 1.9% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-ZF2813, Rev., VRDO, LIQ: Barclays Bank plc, 1.20%, 3/6/2020 (b) (c) | | | 3,415 | | | | 3,415 | |
| | |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.23%, 3/2/2020 (b) | | | 14,400 | | | | 14,400 | |
| | | | | | | | |
| | |
| | | | | | | 17,815 | |
| | | | | | | | |
|
Ohio — 0.9% | |
| | |
State of Ohio, University Hospitals Health System, Inc. Series2018-B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 2,320 | | | | 2,320 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 27 | |
JPMorgan Institutional Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Ohio — continued | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZF0670, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series2018-XF2613-1, Rev., VRDO, LIQ: Citibank NA, 1.23%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | | | | | | | |
| | |
| | | | | | | 8,320 | |
| | | | | | | | |
| | |
Pennsylvania —2.1% | | | | | | | | |
| | |
Pennsylvania Turnpike Commission Series 2nd, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 10,150 | | | | 10,150 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XG0201, Rev., VRDO, GTD
, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
| | | | | | | 20,150 | |
| | | | | | | | |
|
Rhode Island — 1.8% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZF2712, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Morgan Stanley Bank, 1.19%, 3/6/2020 (b) (c) | | | 3,700 | | | | 3,700 | |
| | |
Series 2019-ZF2826, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 3,570 | | | | 3,570 | |
| | |
Series 2018-ZM0631, Rev., VRDO, LIQ: Royal Bank of Canada, 1.20%, 3/6/2020 (b) (c) | | | 6,035 | | | | 6,035 | |
| | |
Series 2018-ZM0632, Rev., VRDO, LIQ: Royal Bank of Canada, 1.20%, 3/6/2020 (b) (c) | | | 4,050 | | | | 4,050 | |
| | | | | | | | |
| | |
| | | | | | | 17,355 | |
| | | | | | | | |
|
South Carolina — 1.9% | |
| | |
County of Richland GO, BAN, 3.00%, 2/25/2021 | | | 5,000 | | | | 5,101 | |
| | |
South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 1.26%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series2019-G-109, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Town of Lexington, Combined Waterworks and Sewer System Rev., BAN, 2.50%, 10/27/2020 | | | 3,330 | | | | 3,365 | |
| | | | | | | | |
| | |
| | | | | | | 18,466 | |
| | | | | | | | |
|
Texas — 5.8% | |
| | |
Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project | | | | | | | | |
| | |
Series A, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 250 | | | | 250 | |
| | |
SeriesA-2, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 1,170 | | | | 1,170 | |
| | |
SubseriesA-3, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 300 | | | | 300 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Texas — continued | |
| | |
State of Texas Rev., TRAN, 4.00%, 8/27/2020 | | | 15,000 | | | | 15,232 | |
| | |
State of Texas, Veterans | | | | | | | | |
| | |
GO, VRDO, LIQ: TD Bank NA, 1.16%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
Series 2010C, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 8,270 | | | | 8,270 | |
| | |
Series A, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 4,025 | | | | 4,025 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF0645, Rev., VRDO, LIQ: TD Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Series 2018-XF0648, GO, VRDO,PSF-GTD, LIQ: TD Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 3,745 | | | | 3,745 | |
| | |
Series 2018-ZF2570, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 5,995 | | | | 5,995 | |
| | |
Series 2018-ZF2662, GO, VRDO,PSF-GTD, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 3,840 | | | | 3,840 | |
| | |
Series 2018-ZF2721, GO, VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 3,335 | | | | 3,335 | |
| | | | | | | | |
| | |
| | | | | | | 55,162 | |
| | | | | | | | |
|
Utah — 0.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZM0652, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.19%, 3/6/2020 (b) (c) | | | 3,425 | | | | 3,425 | |
| | |
Series 2018-XG0171, Rev., VRDO, LIQ: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | | | | | | | |
| | |
| | | | | | | 6,425 | |
| | | | | | | | |
|
Virginia — 0.4% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XL0069, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 4,230 | | | | 4,230 | |
| | | | | | | | |
|
Washington — 0.1% | |
| | |
Washington State Housing Finance Commission, The Overlake School Project Rev., VRDO, LOC: Wells Fargo Bank NA, 1.15%, 3/6/2020 (b) | | | 865 | | | | 865 | |
| | | | | | | | |
|
West Virginia — 1.2% | |
| | |
West Virginia Hospital Finance Authority, University Health System Rev., VRDO, LOC: TD Bank NA, 1.14%, 3/6/2020 (b) | | | 11,895 | | | | 11,895 | |
| | | | | | | | |
|
Wisconsin — 1.0% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2541, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 3,400 | | | | 3,400 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Wisconsin — continued | |
| | |
Series 2018-XF2634, Rev., VRDO, LIQ: Credit Suisse, 1.18%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2018-XG0174, Rev., VRDO, LIQ: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | | | | | | | |
| | |
| | | | | | | 9,400 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $665,058) | | | | | | | 665,155 | |
| | | | | |
| | |
| | | SHARES
(000) | | | | |
Variable Rate Demand Preferred Shares — 9.3% | |
|
New York — 1.0% | |
| | |
Nuveen New YorkAMT-Free Quality Municipal Income Fund Series 3, LIQ: Citibank NA, 1.19%, 3/6/2020 # (c) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
|
Other — 8.3% | |
| | |
NuveenAMT-Free Municipal Credit Income Fund | | | | | | | | |
| | |
Series 1, LIQ: Citibank NA, 1.21%, 3/6/2020 # (c) | | | 11,000 | | | | 11,000 | |
| | |
Series 5, LIQ: Societe Generale, 1.21%, 3/6/2020 #(c) | | | 20,000 | | | | 20,000 | |
| | |
Series 6, LIQ: Sumitomo Mitsui Banking Corp., 1.21%, 3/6/2020 # (c) | | | 9,000 | | | | 9,000 | |
| | |
NuveenAMT-Free Quality Municipal Income Fund | | | | | | | | |
| | |
Series 3, LIQ: TD Bank NA, 1.20%, 3/6/2020 # (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 4, LIQ: Barclays Bank plc, 1.21%, 3/6/2020 # (c) | | | 30,000 | | | | 30,000 | |
| | |
Series 5, LOC: Sumitomo Mitsui Banking Corp., 1.21%, 3/6/2020 # (c) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
| | |
| | | | | | | 80,000 | |
| | | | | | | | |
| | |
Total Variable Rate Demand Preferred Shares
(Cost $90,000) | | | | | | | 90,000 | |
| | | | | |
| | |
| | | PRINCIPAL
AMOUNT
($000) | | | | |
Short-Term Investments — 21.7% | |
|
Commercial Paper — 21.7% | |
| | |
City of Dallas 1.10%, 3/3/2020 | | | 6,350 | | | | 6,350 | |
| | |
City of Garland 1.25%, 3/4/2020 | | | 4,625 | | | | 4,625 | |
| | |
1.12%, 5/6/2020 | | | 5,000 | | | | 4,999 | |
| | |
1.20%, 5/6/2020 | | | 10,000 | | | | 10,000 | |
| | |
City of Houston SeriesE-1, 1.10%, 3/19/2020 | | | 10,000 | | | | 10,000 | |
| | |
County of Harris | | | | | | | | |
| | |
Series B, 1.10%, 5/7/2020 | | | 3,561 | | | | 3,560 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
Series C, 1.12%, 5/7/2020 | | | 3,065 | | | | 3,065 | |
| | |
Series C, 1.07%, 6/4/2020 | | | 3,000 | | | | 2,999 | |
| | |
County of Hillsborough, Capital Improvement Program | | | | | | | | |
| | |
Series A, 1.03%, 3/12/2020 | | | 3,600 | | | | 3,600 | |
| | |
Series A, 1.17%, 4/30/2020 | | | 6,000 | | | | 6,000 | |
| | |
County of York, National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
| | |
Series 00B3, 1.07%, 3/2/2020 | | | 10,200 | | | | 10,200 | |
| | |
Dallas Area Rapid Transit, Senior Lien | | | | | | | | |
| | |
Series I, 1.07%, 3/25/2020 | | | 6,000 | | | | 5,999 | |
| | |
District of Columbia 1.05%, 3/12/2020 | | | 6,300 | | | | 6,300 | |
| | |
Harris County Toll Road Authority (The) | | | | | | | | |
| | |
SeriesE-1, 1.08%, 3/12/2020 | | | 7,645 | | | | 7,645 | |
| | |
SeriesE-1, 1.19%, 3/12/2020 | | | 7,500 | | | | 7,500 | |
| | |
Health and Educational Facilities Authority of the State of Missouri Series14-C, 1.18%, 6/11/2020 | | | 5,000 | | | | 4,999 | |
| | |
Illinois Finance Authority 1.11%, 3/4/2020 Series12-H, 1.21%, 5/7/2020 | |
| 10,000
5,600 |
| |
| 10,000
5,600 |
|
| | |
Indiana Finance Authority SeriesD-2, 1.12%, 7/7/2020 | | | 7,710 | | | | 7,707 | |
| | |
Jacksonville Health Care Authority 1.17%, 8/10/2020 | | | 5,000 | | | | 4,999 | |
| | |
Las Vegas Valley Water District Series04-B, 1.00%, 3/3/2020 | | | 5,000 | | | | 5,000 | |
| | |
Louisville and Jefferson County Metropolitan Sewer District SeriesA-1, 1.05%, 5/20/2020 | | | 5,000 | | | | 4,999 | |
| | |
Lower Colorado River Authority Series B, 0.98%, 5/20/2020 | | | 4,477 | | | | 4,471 | |
| | |
Massachusetts Bay Transportation Authority | | | | | | | | |
| | |
Series A, 1.00%, 3/5/2020 | | | 7,000 | | | | 7,000 | |
| | |
Series A, 1.15%, 4/2/2020 | | | 5,000 | | | | 5,000 | |
| | |
Omaha Public Power District | | | | | | | | |
| | |
Series A, 1.15%, 3/9/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 1.06%, 4/2/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 1.10%, 5/20/2020 | | | 4,975 | | | | 4,973 | |
| | |
Southwestern Illinois Development Authority | | | | | | | | |
| | |
Series17-B, 1.10%, 4/6/2020 | | | 4,870 | | | | 4,869 | |
| | |
Series17-B, 1.21%, 5/7/2020 | | | 4,500 | | | | 4,500 | |
| | |
Texas Public Finance Authority 1.10%, 5/5/2020 | | | 5,000 | | | | 4,999 | |
| | |
University of Houston Series A, 1.20%, 6/10/2020 | | | 679 | | | | 679 | |
| | |
University of Missouri Series A, 1.20%, 3/6/2020 | | | 2,200 | | | | 2,200 | |
| | |
University of Texas System (The) | | | | | | | | |
| | |
Series A, 1.24%, 3/31/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 1.06%, 4/2/2020 | | | 8,000 | | | | 7,999 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 29 | |
JPMorgan Institutional Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-term Investments — continued | | | | | | | | |
| | |
Commercial Paper —continued | | | | | | | | |
| | |
Series A, 1.25%, 5/4/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 1.25%, 5/14/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 0.99%, 6/5/2020 | | | 2,500 | | | | 2,497 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $210,349) | | | | | | | 210,333 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $210,349) | | | | | | | 210,333 | |
| | | | | | | | |
Total Investments — 99.5%
(Cost $965,407) | | | | | | | 965,488 | |
Other Assets Less Liabilities — 0.5% | | | | | | | 4,880 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 970,368 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AMBAC | | Insured by American Municipal Bond Assurance Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| COP | | Certificate of Participation |
| FHLB | | Federal Home Loan Bank |
| 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 |
| Q-SBLF | | Qualified School Bond Loan Fund |
| Rev. | | Revenue |
| TAN | | Tax Anticipation Note |
| TRAN | | Tax & Revenue Anticipation Note |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| # | | Variable Rate Demand Preferred Shares of aclosed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Securities Lending Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — 15.7% | |
| | |
Bofa Securities, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $100,014, collateralized by Common Stocks, 0.00%, due 1/1/2999 and Preferred Stocks, 3.50% - 7.60%, due 1/1/2999, with a value of $108,000. | | | 100,000 | | | | 100,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $300,040, collateralized by U.S. Treasury Securities, 2.00%, due 5/31/2024, with a value of $306,001. | | | 300,000 | | | | 300,000 | |
| | |
HSBC Securities USA, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $15,002, collateralized by Corporate Bonds, 3.52% - 5.70%, due 10/27/2028 -11/1/2047, Corporate Notes, 2.63% -4.43%, due 4/19/2021 - 7/23/2030 and Sovereign Government Securities, 3.13% -7.13%, due 9/6/2023 - 1/29/2026, with a value of $15,752. | | | 15,000 | | | | 15,000 | |
| | |
HSBC Securities USA, Inc., 1.83%, dated 2/28/2020, due 3/2/2020, repurchase price $15,002, collateralized by Corporate Bonds, 5.38% - 10.50%, due 6/15/2025 -11/1/2026, with a value of $16,203. | | | 15,000 | | | | 15,000 | |
| | |
Societe Generale SA, 1.68%, dated 2/28/2020, due 3/4/2020, repurchase price $25,006, collateralized by Asset-Backed Securities, 1.81% - 6.94%, due 11/18/2028 - 5/25/2046, Collateralized Mortgage Obligations, 3.60% - 4.31%, due 10/15/2036 - 7/17/2047, Corporate Bonds, 3.38% - 9.50%, due 12/30/2024 -2/21/2050 and Sovereign Government Securities, 4.50%, due 1/30/2030, with a value of $27,009. | | | 25,000 | | | | 25,000 | |
| | |
Societe Generale SA, 1.78%, dated 2/28/2020, due 3/4/2020, repurchase price $76,019, collateralized by Asset-Backed Securities, 1.81% - 5.52%, due 11/15/2026 - 4/25/2037, Collateralized Mortgage Obligations, 4.31% - 5.91%, due 8/15/2034 - 11/14/2039, Corporate Bonds, 4.63% - 11.13%, due 8/15/2022 -2/28/2030, Corporate Notes, 6.72%, due 12/1/2022 and Sovereign Government Securities, 4.75% - 7.63%, due 9/20/2022 - 3/17/2036, with a value of $82,108. | | | 76,000 | | | | 76,000 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Societe Generale SA, 1.88%, dated 2/28/2020, due 3/31/2020, repurchase price $10,017, collateralized by FNMA Connecticut Avenue Securities, 3.66%, due 1/25/2040 and Sovereign Government Securities, 6.63% - 11.88%, due 1/15/2030 - 2/17/2045, with a value of $10,817. | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(Cost $541,000) | | | | | | | 541,000 | |
| | | | | |
Municipal Bonds — 0.8% | |
|
Michigan — 0.6% | |
| | |
Michigan Finance Authority | | | | | | | | |
| | |
Series 2019D, Rev., VRDO, LOC: PNC Bank NA, 1.65%, 3/6/2020(b) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
|
New York — 0.2% | |
| | |
New York State Housing Finance Agency, 222 East 44th Street Housing Series 2017A, Rev., VRDO, LOC: Bank of China, 1.70%, 3/2/2020(b) | | | 7,500 | | | | 7,500 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $27,500) | | | | | | | 27,500 | |
| | | | | | | | |
Short-Term Investments — 83.8% | |
|
Commercial Paper — 41.8% | |
| | |
ABN AMRO Funding USA LLC (Netherlands) 1.88%, 5/6/2020 (c) (d) | | | 4,000 | | | | 3,988 | |
| | |
American Honda Finance Corp. 1.67%, 5/21/2020 (d) | | | 19,875 | | | | 19,807 | |
| | |
Antalis SA (France) 1.72%, 5/4/2020 (c) (d) | | | 11,710 | | | | 11,676 | |
| | |
Atlantic Asset Securitization LLC 1.95%, 3/10/2020 (c) (d) | | | 55,000 | | | | 54,973 | |
| | |
Banco del Estado de Chile (Chile) | | | | | | | | |
| | |
Series A, 1.71%, 5/7/2020 (c) (d) | | | 50,000 | | | | 49,837 | |
| | |
Series A, 1.68%, 5/26/2020 (c) (d) | | | 43,000 | | | | 42,819 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.12%), 1.84%, 5/19/2020 (c) (e) | | | 40,000 | | | | 40,031 | |
| | |
Banque et Caisse d Epargne de I Etat (Luxembourg) 1.92%, 5/27/2020 (d) | | | 40,000 | | | | 39,856 | |
| | |
Barclays Bank plc (United Kingdom) 1.59%, 3/2/2020 (c) (d) | | | 80,000 | | | | 79,993 | |
| | |
1.72%, 5/12/2020 (c) (d) | | | 20,000 | | | | 19,933 | |
| | |
Barton Capital LLC 1.60%, 3/2/2020 (c) (d) | | | 49,000 | | | | 48,993 | |
| | |
BNP Paribas SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.98%, 4/9/2020 (e) | | | 75,000 | | | | 75,027 | |
| | |
China Construction Bank Corp. (China) 1.59%, 3/2/2020 (c) (d) | | | 130,000 | | | | 129,989 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 31 | |
JPMorgan Securities Lending Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
Concord Minutemen Capital Co., LLC Series A, 1.65%, 3/9/2020 (c) (d) | | | 25,000 | | | | 24,988 | |
| | |
CRC Funding LLC 1.68%, 5/5/2020 (c) (d) | | | 15,000 | | | | 14,955 | |
| | |
Credit Suisse AG (Switzerland) (US Federal Funds Effective Rate (continuous series) + 0.34%), 1.95%, 3/2/2020 (e) | | | 20,000 | | | | 20,015 | |
| | |
First Abu Dhabi Bank PJSC (United Arab Emirates) 1.83%, 4/14/2020 (c) (d) | | | 47,500 | | | | 47,408 | |
| | |
1.80%, 4/15/2020 (c) (d) | | | 55,000 | | | | 54,891 | |
| | |
HSBC Bank plc (United Kingdom) (ICE LIBOR USD 1 Month + 0.24%), 1.93%, 3/12/2020 (c) (e) | | | 60,000 | | | | 60,023 | |
| | |
Industrial & Commercial Bank of China Ltd. (China) 1.59%, 3/2/2020 (c) (d) | | | 14,860 | | | | 14,858 | |
| | |
Intercontinental Exchange, Inc. 1.71%, 5/14/2020 (c) (d) | | | 15,000 | | | | 14,947 | |
| | |
Matchpoint Finance plc (Ireland) Series A, 1.62%, 3/2/2020 (c) (d) | | | 60,000 | | | | 59,995 | |
| | |
MUFG Bank Ltd. (Japan) 2.35%, 3/2/2020 (d) | | | 16,000 | | | | 15,998 | |
| | |
2.26%, 3/5/2020 (d) | | | 5,000 | | | | 4,999 | |
| | |
National Australia Bank Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.16%), 1.82%, 3/24/2020 (c) (e) | | | 6,000 | | | | 6,000 | |
| | |
Natixis SA (France) 1.71%, 8/3/2020 (d) | | | 3,652 | | | | 3,631 | |
| | |
1.71%, 8/7/2020 (d) | | | 2,762 | | | | 2,745 | |
| | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) (ICE LIBOR USD 3 Month + 0.10%), 2.02%, 3/10/2020 (c) (e) | | | 50,000 | | | | 50,023 | |
| | |
Pfizer, Inc. 2.00%, 3/12/2020 (c) (d) | | | 50,000 | | | | 49,972 | |
| | |
1.65%, 6/9/2020 (c) (d) | | | 17,000 | | | | 16,928 | |
| | |
Royal Bank of Canada (Canada) (ICE LIBOR USD 3 Month + 0.08%), 1.85%, 5/5/2020 (c) (e) | | | 100,000 | | | | 100,034 | |
| | |
Sheffield Receivables Co. LLC (United Kingdom) 1.91%, 3/2/2020 (c) (d) | | | 20,000 | | | | 19,997 | |
| | |
1.90%, 3/10/2020 (c) (d) | | | 20,000 | | | | 19,990 | |
| | |
1.70%, 5/11/2020 (c) (d) | | | 9,000 | | | | 8,971 | |
| | |
1.65%, 5/20/2020 (c) (d) | | | 19,945 | | | | 19,873 | |
| | |
Sinopec Century Bright 1.70%, 3/2/2020 (d) | | | 30,000 | | | | 29,996 | |
| | |
State of the Netherlands (Netherlands) 1.60%, 3/2/2020 (c) (d) | | | 100,000 | | | | 99,991 | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.90%, 3/4/2020 (c) (d) | | | 5,000 | | | | 4,999 | |
| | |
Toyota Motor Credit Corp. 1.90%, 6/4/2020 (d) | | | 35,000 | | | | 34,856 | |
| | |
Victory Receivables Corp. 1.65%, 4/15/2020 (c) (d) | | | 28,000 | | | | 27,941 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $1,445,709) | | | | | | | 1,445,946 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Certificates of Deposit — 29.4% | | | | | | | | |
| | |
Banco del Estado de Chile (Chile) 1.85%, 4/8/2020 | | | 10,000 | | | | 10,003 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.33%), 1.91%, 3/2/2020 (e) | | | 60,000 | | | | 60,065 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.82%, 3/13/2020 (e) | | | 45,000 | | | | 45,016 | |
| | |
BNP Paribas SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.21%), 1.88%, 3/9/2020 (e) | | | 30,000 | | | | 30,011 | |
| | |
Canadian Imperial Bank of Commerce (Canada) (US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (e) | | | 25,000 | | | | 25,011 | |
| | |
Chiba Bank Ltd. (Japan) 1.90%, 3/3/2020 | | | 30,000 | | | | 30,001 | |
| | |
2.00%, 3/4/2020 | | | 4,197 | | | | 4,197 | |
| | |
2.00%, 3/11/2020 | | | 9,810 | | | | 9,811 | |
| | |
2.00%, 3/12/2020 | | | 5,582 | | | | 5,583 | |
| | |
1.72%, 4/9/2020 | | | 19,000 | | | | 19,001 | |
| | |
Credit Industriel et Commercial (France) (US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (e) | | | 43,000 | | | | 43,026 | |
| | |
Credit Suisse AG (Switzerland) (ICE LIBOR USD 3 Month + 0.17%), 2.01%, 4/16/2020 (e) | | | 40,000 | | | | 40,028 | |
| | |
Mizuho Bank Ltd. (Japan) 1.94%, 7/20/2020 | | | 60,000 | | | | 60,132 | |
| | |
MUFG Bank Ltd. (Japan) 1.97%, 5/15/2020 (d) | | | 15,000 | | | | 14,951 | |
| | |
National Australia Bank Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.86%, 3/3/2020 (e) | | | 40,000 | | | | 40,015 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/10/2020 (e) | | | 30,000 | | | | 30,015 | |
| | |
Natixis SA (France) 2.33%, 3/6/2020 | | | 15,000 | | | | 15,002 | |
| | |
1.98%, 6/5/2020 | | | 14,000 | | | | 14,022 | |
| | |
1.72%, 8/3/2020 | | | 30,000 | | | | 30,012 | |
| | |
Norinchukin Bank (The) (Japan) 2.03%, 3/10/2020 | | | 45,000 | | | | 45,006 | |
| | |
2.03%, 3/12/2020 | | | 16,000 | | | | 16,003 | |
| | |
Rabobank International (Netherlands) (ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/8/2020 (e) | | | 25,000 | | | | 25,013 | |
| | |
Royal Bank of Canada (Canada) (US Federal Funds Effective Rate (continuous series) + 0.18%), 1.76%, 3/2/2020 (e) | | | 30,000 | | | | 30,000 | |
| | |
Shizuoka Bank (Japan) 1.82%, 3/13/2020 | | | 28,000 | | | | 28,002 | |
| | |
1.73%, 4/9/2020 | | | 36,000 | | | | 36,006 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — continued | | | | | | | | |
| | |
Certificates of Deposit — continued | | | | | | | | |
| | |
1.70%, 4/20/2020 | | | 4,000 | | | | 4,001 | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) (ICE LIBOR USD 1 Month + 0.25%), 1.92%, 3/9/2020 (e) | | | 50,000 | | | | 50,033 | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.94%, 4/22/2020 | | | 35,000 | | | | 35,021 | |
| | |
Svenska Handelsbanken AB (Sweden) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.86%, 3/5/2020 (e) | | | 45,000 | | | | 45,015 | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.87%, 3/26/2020 (e) | | | 30,000 | | | | 30,023 | |
| | |
Toronto-Dominion Bank (The) (Canada) (ICE LIBOR USD 1 Month + 0.24%), 1.86%, 3/27/2020 (e) | | | 40,000 | | | | 40,034 | |
| | |
Wells Fargo Bank NA | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.83%, 3/3/2020 (e) | | | 70,000 | | | | 70,022 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.96%, 3/9/2020 (e) | | | 30,000 | | | | 30,011 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.90%, 4/22/2020 (e) | | | 7,000 | | | | 7,000 | |
| | | | | | | | |
| | |
Total Certificates of Deposit
(Cost $1,016,529) | | | | | | | 1,017,092 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Time Deposits — 11.2% | |
| | |
Credit Agricole Corporate and Investment Bank 1.58%, 3/2/2020 | | | 36,765 | | | | 36,765 | |
| | |
Erste Group Bank AG 1.58%, 3/2/2020 | | | 170,000 | | | | 170,000 | |
| | |
First Abu Dhabi Bank PJSC 1.58%, 3/2/2020 | | | 69,000 | | | | 69,000 | |
| | |
Mizuho Bank Ltd. 1.59%, 3/2/2020 | | | 110,000 | | | | 110,000 | |
| | | | | | | | |
| | |
Total Time Deposits
(Cost $385,765) | | | | | | | 385,765 | |
| | | | | | | | |
|
U.S. Treasury Obligations — 1.4% | |
| | |
U.S. Treasury Bills 1.88%, 3/19/2020 (d)
(Cost $49,953) | | | 50,000 | | | | 49,967 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $2,897,956) | | | | | | | 2,898,770 | |
| | | | | | | | |
Total Investments — 100.3%
(Cost $3,466,456) | | | | | | | 3,467,270 | |
Liabilities in Excess of
Other Assets — (0.3)% | | | | | | | (11,446 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 3,455,824 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
Abbreviations | | |
| FNMA | | Federal National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| LOC | | Letter of Credit |
| PJSC | | Public Joint Stock Company |
| Rev. | | Revenue |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (d) | | The rate shown is the effective yield as of February 29, 2020. |
| (e) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 33 | |
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — 26.8% | |
| | |
Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 1.61%, dated 2/28/2020, due 3/2/20, repurchase price $355,454.[2] | | | 355,406 | | | | 355,406 | |
| | |
Barclays Capital, Inc., 1.82%, dated 2/28/2020, due 4/3/2020, repurchase price $30,053, collateralized by Asset-Backed Securities, 0.00% - 6.21%, due 11/10/2025 - 4/15/2033, with a value of $33,000. | | | 30,000 | | | | 30,000 | |
| | |
Barclays Capital, Inc., 1.86%, dated 2/28/2020, due 4/3/2020, repurchase price $10,018, collateralized by Asset-Backed Securities, 4.48% - 6.07%, due 2/25/2023 - 7/16/2040, with a value of $11,000. | | | 10,000 | | | | 10,000 | |
| | |
BMO Capital Markets Corp., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $65,009, collateralized by Asset-Backed Securities, 0.00% - 7.63%, due 11/18/2021 - 3/25/2067, Collateralized Mortgage Obligations, 0.00% - 1.11%, due 2/18/2030 - 1/18/2045, Corporate Bonds, 2.05% - 8.50%, due 5/21/2021 -1/31/2051, Corporate Notes, 2.10% -6.35%, due 2/12/2021 - 1/30/2026, FHLMC, 2.54% - 2.89%, due 7/25/2026 -6/25/2027, FNMA, 6.30%, due 10/17/2038 and Sovereign Government Securities, 2.00% - 3.13%, due 5/17/2022 - 9/25/2023, with a value of $69,156. | | | 65,000 | | | | 65,000 | |
| | |
BMO Capital Markets Corp., 1.86%, dated 2/28/2020, due 3/6/2020, repurchase price $25,009, collateralized by Asset-Backed Securities, 2.06% - 3.69%, due 8/15/2028 - 6/26/2056, Corporate Bonds, 2.20% - 6.25%, due 6/27/2022 -6/15/2048, Corporate Notes, 2.65%, due 2/12/2021 and FHLMC, 2.54%, due 7/25/2026, with a value of $26,378. | | | 25,000 | | | | 25,000 | |
| | |
BNP Paribas SA, 1.74%, dated 2/28/2020, due 3/3/2020, repurchase price $90,017, collateralized by Asset-Backed Securities, 1.63% - 9.10%, due 1/15/2021 -1/28/2070, Corporate Bonds, 0.00% -7.75%, due 10/1/2020 - 6/1/2021, Corporate Notes, 0.00%, due 5/15/2021 and Sovereign Government Securities, 8.75%, due 3/9/2024, with a value of $98,941. | | | 90,000 | | | | 90,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Bofa Securities, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $100,014, collateralized by Common Stocks, 0.00%, due 1/1/2999 and Preferred Stocks, 3.50% - 7.60%, due 1/1/2999, with a value of $108,000. | | | 100,000 | | | | 100,000 | |
| | |
Bofa Securities, Inc., 1.93%, dated 2/28/2020, due 4/3/2020, repurchase price $175,328, collateralized by Asset-Backed Securities, 0.00% - 4.25%, due 9/15/2023 - 3/25/2066 and Collateralized Mortgage Obligations, 2.66% - 5.34%, due 3/17/2036 - 5/25/2057, with a value of $187,381. | | | 175,000 | | | | 175,000 | |
| | |
Bofa Securities, Inc., 1.98%, dated 2/28/2020, due 4/3/2020, repurchase price $25,048, collateralized by Corporate Bonds, 3.15% - 3.70%, due 1/22/2021 -10/14/2025, with a value of $26,251. | | | 25,000 | | | | 25,000 | |
| | |
Bofa Securities, Inc., 1.98%, dated 2/28/2020, due 4/3/2020, repurchase price $75,144, collateralized by Collateralized Mortgage Obligations, 0.00% - 6.18%, due 8/15/2031 -5/20/2046 and Corporate Bonds, 3.13% -7.88%, due 1/15/2021 -1/27/2041, with a value of $81,001. | | | 75,000 | | | | 75,000 | |
| | |
Credit Suisse Securities USA LLC, 1.78%, dated 2/28/2020, due 3/6/2020, repurchase price $10,003, collateralized by Asset-Backed Securities, 4.11%, due 9/25/2057, with a value of $11,004. | | | 10,000 | | | | 10,000 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $200,027, collateralized by U.S. Treasury Securities, 1.75%, due 12/31/2020, with a value of $204,000. | | | 200,000 | | | | 200,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 0.38% - 2.25%, due 1/15/2027 - 11/15/2027, with a value of $1,020,005. | | | 1,000,000 | | | | 1,000,000 | |
| | |
HSBC Securities USA, Inc., 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $25,004, collateralized by Corporate Bonds, 1.95% - 4.54%, due 4/12/2021 -7/15/2049 and Corporate Notes, 2.38% -4.45%, due 1/11/2023 - 3/1/2047, with a value of $26,254. | | | 25,000 | | | | 25,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | | | | | | | | |
| | |
HSBC Securities USA, Inc., 1.83%, dated 2/28/2020, due 3/2/2020, repurchase price $34,005, collateralized by Corporate Bonds, 5.13% - 9.75%, due 11/1/2023 -8/1/2027 and Municipal Debt Securities, 0.00%, due 8/1/2031, with a value of $36,726. | | | 34,000 | | | | 34,000 | |
| | |
ING Financial Markets LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $100,014, collateralized by Corporate Bonds, 3.20% - 9.35%, due 6/6/2022 - 1/1/2999, with a value of $108,016. | | | 100,000 | | | | 100,000 | |
| | |
Societe Generale SA, 1.75%, dated 2/28/2020, due 3/2/2020, repurchase price $181,026, collateralized by Asset-Backed Securities, 1.73% - 7.23%, due 1/27/2026 - 11/15/2039, Collateralized Mortgage Obligations, 1.82% - 6.00%, due 7/17/2034 - 11/13/2047, Corporate Bonds, 3.96% - 10.75%, due 3/15/2020 -12/29/2049, Corporate Notes, 3.30%, due 11/27/2022, FHLMC, 3.48%, due 9/27/2049 and Sovereign Government Securities, 4.25% - 8.25%, due 3/25/2022 - 1/30/2030, with a value of $195,509. | | | 181,000 | | | | 181,000 | |
| | |
Societe Generale SA, 1.68%, dated 2/28/2020, due 3/4/2020, repurchase price $70,016, collateralized by Asset-Backed Securities, 4.13% - 4.15%, due 11/15/2026 - 2/25/2033, Commercial Paper, 0.00%, due 3/4/2020 - 4/6/2020, Corporate Bonds, 1.55% - 8.35%, due 11/3/2020 - 1/1/2999, Corporate Notes, 1.70% - 6.10%, due 2/22/2021 -1/14/2042 and Sovereign Government Securities, 2.63% - 4.38%, due 2/28/2024 - 4/29/2053, with a value of $73,597. | | | 70,000 | | | | 70,000 | |
| | |
Societe Generale SA, 1.78%, dated 2/28/2020, due 3/4/2020, repurchase price $53,013, collateralized by Asset-Backed Securities, 1.86% - 4.13%, due 11/15/2026 - 4/25/2037, Corporate Bonds, 2.55% - 9.70%, due 5/14/2024 -2/1/2030 and Sovereign Government Securities, 2.63% - 4.25%, due 1/5/2023 - 1/7/2025, with a value of $57,260. | | | 53,000 | | | | 53,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Societe Generale SA, 1.88%, dated 2/28/2020, due 3/31/2020, repurchase price $70,117, collateralized by Commercial Paper, 0.00%, due 4/6/2020, Corporate Bonds, 3.00% — 8.25%, due 10/1/2022 - 1/1/2999, Corporate Notes, 2.18%, due 11/16/2020, FNMA Connecticut Avenue Securities, 3.66%, due 1/25/2040, Sovereign Government Securities, 3.00% - 11.88%, due 3/9/2020 — 9/30/2049 and U.S. Treasury Securities, 0.38%, due 7/15/2023, with a value of $74,759. | | | 70,000 | | | | 70,000 | |
| | |
Wells Fargo Securities LLC, 1.68%, dated 2/28/2020, due 3/2/2020, repurchase price $100,014, collateralized by Sovereign Government Securities, 1.50% -7.69%, due 4/20/2020 — 1/23/2050, with a value of $105,015. | | | 100,000 | | | | 100,000 | |
| | |
Wells Fargo Securities LLC, 1.73%, dated 2/28/2020, due 3/2/2020, repurchase price $42,006, collateralized by Sovereign Government Securities, 1.50% - 5.95%, due 4/20/2020 — 1/28/2031, with a value of $44,148. | | | 42,000 | | | | 42,000 | |
| | |
Wells Fargo Securities LLC, 1.73%, dated 2/28/2020, due 3/3/2020, repurchase price $55,011, collateralized by Sovereign Government Securities, 1.63% - 3.90%, due 7/15/2020 - 1/19/2027, with a value of $57,769. | | | 55,000 | | | | 55,000 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(Cost $2,890,406) | | | | | | | 2,890,406 | |
| | | | | |
Corporate Notes — 0.5% | |
|
Banks — 0.5% | |
| | |
Bank of America NA (US Federal Funds Effective Rate (continuous series) + 0.16%), 1.74%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
Barclays Bank plc (United Kingdom) (ICE LIBOR USD 1 Month + 0.05%), 1.68%, 3/24/2020 (b) (c) | | | 30,000 | | | | 30,000 | |
| | | | | | | | |
| | |
Total Corporate Notes
(Cost $55,000) | | | | | | | 55,000 | |
| | | | | |
Municipal Bonds — 0.5% | |
|
California — 0.0% (d) | |
| | |
City & County of San Francisco, Multifamily Housing, Transbay Block 8 Tower Apartments | | | | | | | | |
| | |
SeriesH-4, Rev., VRDO, LOC: Bank of China, 1.68%, 3/6/2020 (e) | | | 1,170 | | | | 1,170 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 35 | |
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
California — continued | |
| | |
SeriesH-3, Rev., VRDO, LOC: Bank of China, 1.70%, 3/6/2020 (e) | | | 1,175 | | | | 1,175 | |
| | | | | | | | |
| | |
| | | | | | | 2,345 | |
| | | | | | | | |
|
Michigan — 0.3% | |
| | |
Michigan Finance Authority Series 2019C, Rev., VRDO, LOC: Bank of America NA, 1.61%, 3/7/2020 (e) | | | 29,000 | | | | 29,000 | |
| | | | | | | | |
|
New York — 0.2% | |
| | |
New York State Housing Finance Agency, 222 East 44th Street Housing Series 2017A, Rev., VRDO, LOC: Bank of China, 1.70%, 3/2/2020 (e) | | | 21,390 | | | | 21,390 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $52,735) | | | | | | | 52,735 | |
| | | | | |
Short-term Investments — 72.7% | |
|
Certificates Of Deposit — 34.1% | |
| | |
Agricultural Bank of China Ltd. (China) 2.30%, 3/10/2020 | | | 25,000 | | | | 25,000 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.33%), 1.91%, 3/2/2020 (b) | | | 40,000 | | | | 40,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.84%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.01%, 4/6/2020 (b) | | | 17,000 | | | | 17,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.85%, 4/28/2020 (b) | | | 14,000 | | | | 14,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.87%, 5/6/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.12%), 1.81%, 5/19/2020 (b) | | | 40,000 | | | | 40,000 | |
| | |
BNP Paribas SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.94%, 3/2/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.32%), 1.99%, 3/7/2020 (b) | | | 16,000 | | | | 16,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.21%), 1.88%, 3/9/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.99%, 4/3/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.15%), 2.02%, 4/7/2020 (b) | | | 16,000 | | | | 16,000 | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Certificates Of Deposit — continued | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Chiba Bank Ltd. (Japan) 1.69%, 4/17/2020 | | | 50,000 | | | | 50,000 | |
| | |
China Construction Bank Corp. (China) | | | | | | | | |
| | |
2.30%, 3/9/2020 | | | 30,000 | | | | 30,000 | |
| | |
2.30%, 3/27/2020 | | | 100,000 | | | | 100,000 | |
| | |
Commonwealth Bank of Australia (Australia) (ICE LIBOR USD 1 Month + 0.18%), 1.83%, 3/5/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
Cooperatieve Rabobank UA (Netherlands) (ICE LIBOR USD 1 Month + 0.19%), 1.84%, 3/20/2020 (b) | | | 75,000 | | | | 75,000 | |
| | |
Credit Agricole Corporate and Investment Bank (France) 1.79%, 7/28/2020 (f) | | | 75,000 | | | | 74,446 | |
| | |
Credit Agricole SA (France) | | | | | | | | |
| | |
1.77%, 7/24/2020 (f) | | | 50,000 | | | | 49,645 | |
| | |
1.79%, 8/3/2020 (f) | | | 50,000 | | | | 49,616 | |
| | |
Credit Industriel Desjardins, Inc. (Canada) 1.73%, 11/16/2020 (f) | | | 25,000 | | | | 24,692 | |
| | |
Credit Industriel et Commercial (France) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (b) | | | 26,000 | | | | 26,000 | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.31%), 1.89%, 3/2/2020 (b) | | | 18,000 | | | | 18,000 | |
| | |
2.33%, 3/11/2020 (f) | | | 25,000 | | | | 24,984 | |
| | |
2.25%, 3/24/2020 (f) | | | 20,000 | | | | 19,971 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.98%, 4/6/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
1.95%, 4/14/2020 (f) | | | 65,000 | | | | 64,845 | |
| | |
1.92%, 5/12/2020 (f) | | | 50,000 | | | | 49,809 | |
| | |
1.84%, 8/20/2020 (f) | | | 50,000 | | | | 49,563 | |
| | |
Credit Suisse AG (Switzerland) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.31%), 1.96%, 3/3/2020 (b) | | | 60,000 | | | | 60,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.17%), 2.01%, 4/16/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
DZ Bank AG (Germany) 2.28%, 3/13/2020 (f) | | | 25,000 | | | | 24,981 | |
| | |
1.90%, 4/27/2020 (f) | | | 50,000 | | | | 49,850 | |
| | |
1.92%, 5/15/2020 (f) | | | 15,000 | | | | 14,940 | |
| | |
1.78%, 7/24/2020 (f) | | | 50,000 | | | | 49,645 | |
| | |
1.76%, 7/30/2020 (f) | | | 23,000 | | | | 22,831 | |
| | |
HSBC Bank USA NA | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.02%), 1.83%, 4/23/2020 (b) | | | 25,000 | | | | 25,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-term Investments — continued | | | | | | | | |
|
Certificates Of Deposit — continued | |
| | |
Industrial & Commercial Bank of China Ltd. (China) 2.32%, 3/31/2020 | | | 100,000 | | | | 100,000 | |
| | |
ING Bank NV (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.33%), 2.00%, 3/12/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.12%), 1.99%, 4/8/2020 (b) | | | 80,000 | | | | 80,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 1.84%, 5/5/2020 (b) | | | 39,000 | | | | 39,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.82%, 5/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.18%), 1.91%, 5/10/2020 (b) | | | 45,000 | | | | 45,000 | |
| | |
1.93%, 7/27/2020 | | | 90,000 | | | | 90,000 | |
| | |
1.91%, 7/31/2020 | | | 25,000 | | | | 25,000 | |
| | |
KBC Bank NV (Ireland) 2.02%, 3/9/2020 (f) | | | 20,000 | | | | 19,991 | |
| | |
Mitsubishi UFJ Trust & Banking Corp. (United Kingdom) | | | | | | | | |
| | |
1.94%, 3/19/2020 (f) | | | 50,000 | | | | 49,952 | |
| | |
1.97%, 4/20/2020 (f) | | | 60,000 | | | | 59,836 | |
| | |
Mizuho Bank Ltd. (Japan) | | | | | | | | |
| | |
2.12%, 3/6/2020 (f) | | | 50,000 | | | | 49,985 | |
| | |
2.12%, 3/10/2020 (f) | | | 25,000 | | | | 24,987 | |
| | |
(ICE LIBOR USD 1 Month + 0.14%), 1.75%, 3/27/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
1.61%, 5/28/2020 | | | 70,000 | | | | 70,000 | |
| | |
1.94%, 7/20/2020 | | | 25,000 | | | | 25,000 | |
| | |
1.78%, 7/23/2020 (f) | | | 25,000 | | | | 24,824 | |
| | |
MUFG Bank Ltd. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/12/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
2.23%, 3/13/2020 | | | 9,000 | | | | 9,000 | |
| | |
1.93%, 7/28/2020 | | | 25,000 | | | | 25,000 | |
| | |
National Australia Bank Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.86%, 3/3/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.87%, 3/10/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.81%, 5/25/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.77%, 5/27/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Natixis SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.01%, 3/4/2020 (b) | | | 75,000 | | | | 75,000 | |
| | |
2.25%, 3/18/2020 | | | 60,000 | | | | 60,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Certificates Of Deposit — continued | |
| | |
2.00%, 4/8/2020 | | | 60,000 | | | | 60,000 | |
| | |
1.96%, 6/5/2020 | | | 21,000 | | | | 21,000 | |
| | |
1.98%, 6/5/2020 | | | 25,000 | | | | 25,000 | |
| | |
2.02%, 6/12/2020 | | | 20,000 | | | | 20,000 | |
| | |
Nordea Bank AB (Finland) 2.30%, 3/9/2020 | | | 50,000 | | | | 50,000 | |
| | |
Norinchukin Bank (The) (Japan) | | | | | | | | |
| | |
1.90%, 3/11/2020 | | | 25,000 | | | | 25,000 | |
| | |
1.97%, 4/17/2020 (f) | | | 25,000 | | | | 24,936 | |
| | |
1.90%, 5/5/2020 | | | 25,000 | | | | 25,000 | |
| | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) | | | | | | | | |
| | |
2.26%, 3/13/2020 (f) | | | 25,000 | | | | 24,981 | |
| | |
(ICE LIBOR USD 3 Month + 0.28%), 2.18%, 3/19/2020 (b) | | | 50,000 | | | | 50,028 | |
| | |
Rabobank International (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.18%), 1.76%, 3/2/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Skandinaviska Enskilda Banken AB (Sweden) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.88%, 3/2/2020 (b) | | | 35,000 | | | | 35,000 | |
| | |
1.91%, 6/5/2020 | | | 17,000 | | | | 17,000 | |
| | |
1.91%, 7/23/2020 | | | 50,000 | | | | 50,000 | |
| | |
Standard Chartered Bank (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.30%), 1.97%, 3/9/2020 (b) | | | 3,850 | | | | 3,850 | |
| | |
(ICE LIBOR USD 1 Month + 0.28%), 1.94%, 3/18/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
1.72%, 8/7/2020 (f) | | | 30,000 | | | | 29,774 | |
| | |
1.69%, 8/14/2020 (f) | | | 30,000 | | | | 29,768 | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.27%), 1.92%, 3/2/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.27%), 1.94%, 3/5/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.26%), 1.93%, 3/8/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.25%), 1.92%, 3/9/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.12%), 1.72%, 3/28/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.05%), 1.96%, 4/2/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
Sumitomo Mitsui Trust International Ltd. (Japan) 1.99%, 4/9/2020 (f) | | | 25,000 | | | | 24,946 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 37 | |
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-term Investments — continued | | | | | | | | |
| | |
Certificates Of Deposit — continued | | | | | | | | |
| | |
Sumitomo Trust & Banking Co., Ltd. (Japan) 1.99%, 4/14/2020 (f) | | | 25,000 | | | | 24,939 | |
| | |
Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 3 Month + 0.07%), 1.98%, 4/2/2020 (b) | | | 17,000 | | | | 17,000 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.19%), 1.85%, 3/2/2020 (b) | | | 17,000 | | | | 17,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.24%), 1.86%, 3/27/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.19%), 2.06%, 4/7/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Wells Fargo Bank NA | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.36%), 1.94%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.34%), 2.01%, 3/7/2020 (b) | | | 24,000 | | | | 24,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.85%, 3/9/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.11%), 2.02%, 4/6/2020 (b) | | | 90,000 | | | | 90,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.94%, 4/14/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.09%), 1.90%, 4/22/2020 (b) | | | 75,000 | | | | 75,000 | |
| | |
Westpac Banking Corp. (Australia) (ICE LIBOR USD 1 Month + 0.15%), 1.81%, 3/3/2020 (b) | | | 50,000 | | | | 50,000 | |
| | | | | | | | |
| | |
Total Certificates of Deposit
(Cost $3,670,615) | | | | | | | 3,670,615 | |
| | | | | | | | |
|
Commercial Paper — 24.2% | |
| | |
Alpine Securitization LLC (Switzerland) (ICE LIBOR USD 3 Month + 0.08%), 1.81%, 5/21/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
Antalis SA (France) (ICE LIBOR USD 1 Month + 5.25%; ICE LIBOR USD 3 Month + 5.25%), 1.61%, 9/1/2020 (c) (f) | | | 27,440 | | | | 27,216 | |
| | |
Australia & New Zealand Banking Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 0.03%), 1.96%, 4/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
Bank of Nova Scotia (The) (Canada) (US Federal Funds Effective Rate (continuous series) + 0.34%), 1.95%, 3/2/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | |
Banque et Caisse d Epargne de l Etat (Luxembourg) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 2.75%; ICE LIBOR USD 2 Month + 2.75%), 2.17%, 4/3/2020 (f) | | | 5,000 | | | | 4,990 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
(ICE LIBOR USD 2 Month + 4.00%; ICE LIBOR USD 3 Month + 4.00%), 1.91%, 6/2/2020 (f) | | | 25,000 | | | | 24,877 | |
| | |
Barclays Bank plc (United Kingdom) 1.72%, 5/12/2020 (c) (f) | | | 40,000 | | | | 39,863 | |
| | |
Barton Capital LLC 1.71%, 5/15/2020 (c) (f) | | | 55,000 | | | | 54,805 | |
| | |
Bedford Row Funding Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.80%, 3/28/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.07%), 1.97%, 4/8/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.06%), 1.83%, 5/1/2020 (b) (c) | | | 22,000 | | | | 22,000 | |
| | |
BNG Bank NV (Netherlands)
1.98%, 3/3/2020 (c) (f) | | | 40,000 | | | | 39,995 | |
| | |
1.58%, 3/4/2020 (c) (f) | | | 200,000 | | | | 199,974 | |
| | |
(ICE LIBOR USD 1 Month + 0.17%), 1.87%, 3/9/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
BNP Paribas SA (France) (ICE LIBOR USD 3 Month + 0.10%), 1.81%, 5/25/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
China Construction Bank Corp. (China) 1.59%, 3/2/2020 (c) (f) | | | 1,000 | | | | 1,000 | |
| | |
Credit Suisse AG (Switzerland) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.34%), 1.95%, 3/2/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.17%), 2.14%, 3/16/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
1.98%, 7/2/2020 (f) | | | 25,000 | | | | 24,832 | |
| | |
DBS Bank Ltd. (Singapore)
1.93%, 4/7/2020 (f) | | | 10,000 | | | | 9,980 | |
| | |
1.93%, 4/13/2020 (c) (f) | | | 10,000 | | | | 9,977 | |
| | |
Dexia Credit Local SA (France) 1.89%, 4/1/2020 (f) | | | 75,000 | | | | 74,878 | |
| | |
DNB Bank ASA (Norway) (ICE LIBOR USD 1 Month + 0.19%), 1.84%, 3/27/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
First Abu Dhabi Bank PJSC (United Arab Emirates) 1.84%, 4/13/2020 (c) (f) | | | 60,000 | | | | 59,868 | |
| | |
1.80%, 4/15/2020 (c) (f) | | | 59,656 | | | | 59,522 | |
| | |
1.69%, 5/15/2020 (c) (f) | | | 27,000 | | | | 26,905 | |
| | |
1.65%, 5/27/2020 (c) (f) | | | 30,000 | | | | 29,881 | |
| | |
HSBC Bank plc (United Kingdom) (ICE LIBOR USD 3 Month + 0.06%), 2.00%, 3/3/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
Kells Funding LLC
2.00%, 3/11/2020 (c) (f) | | | 50,000 | | | | 49,972 | |
| | |
1.95%, 4/9/2020 (c) (f) | | | 40,000 | | | | 39,916 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-term Investments — continued | | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
1.89%, 4/17/2020 (c) (f) | | | 25,000 | | | | 24,938 | |
| | |
Lexington Parker Capital Co., LLC 1.65%, 4/13/2020 (c) (f) | | | 25,000 | | | | 24,951 | |
| | |
Lloyds Bank plc (United Kingdom) (ICE LIBOR USD 3 Month + 0.06%), 1.99%, 4/6/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
LMA-Americas LLC
2.00%, 4/8/2020 (c) (f) | | | 30,000 | | | | 29,937 | |
| | |
1.91%, 5/4/2020 (c) (f) | | | 50,100 | | | | 49,931 | |
| | |
1.91%, 6/2/2020 (f) | | | 43,100 | | | | 42,888 | |
| | |
Matchpoint Finance plc (Ireland) Series A, 1.89%, 3/3/2020 (c) (f) | | | 75,000 | | | | 74,992 | |
| | |
MUFG Bank Ltd. (Japan)
2.26%, 3/5/2020 (f) | | | 61,000 | | | | 60,985 | |
| | |
2.24%, 3/6/2020 (f) | | | 45,000 | | | | 44,986 | |
| | |
National Australia Bank Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.18%), 1.87%, 3/2/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.14%), 1.84%, 3/4/2020 (b) (c) | | | 30,000 | | | | 30,000 | |
| | |
Old Line Funding LLC | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.35%), 1.96%, 3/2/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.21%), 1.86%, 3/26/2020 (b) (c) | | | 75,000 | | | | 75,000 | |
| | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) (ICE LIBOR USD 3 Month + 0.09%), 1.73%, 5/28/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
PSP Capital, Inc. (Canada) (SOFR + 0.18%), 1.79%, 3/2/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | |
Ridgefield Funding Co. LLC (ICE LIBOR USD 1 Month + 0.07%), 1.73%, 3/24/2020 (b) (c) | | | 30,000 | | | | 30,000 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.36%), 1.97%, 3/2/2020 (b) (c) | | | 23,000 | | | | 23,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.20%), 1.90%, 3/12/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.08%), 1.85%, 5/5/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
Sheffield Receivables Co. LLC (United Kingdom)
1.90%, 3/9/2020 (c) (f) | | | 120,000 | | | | 119,949 | |
| | |
1.70%, 5/11/2020 (c) (f) | | | 5,000 | | | | 4,984 | |
| | |
Sinopec Century Bright 1.70%, 3/2/2020 (f) | | | 49,998 | | | | 49,998 | |
| | |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.68%, 4/14/2020 (c) (f) | | | 30,000 | | | | 29,938 | |
| | |
Suncorp-Metway Ltd. (Australia) 1.80%, 7/15/2020 (f) | | | 60,000 | | | | 59,594 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 1 Month + 0.10%), 1.80%, 3/10/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 1 Month + 0.15%), 1.85%, 3/5/2020 (b) (c) | | | 30,000 | | | | 30,000 | |
| | |
1.99%, 3/24/2020 (c) (f) | | | 50,000 | | | | 49,936 | |
| | |
(ICE LIBOR USD 3 Month + 0.19%), 2.17%, 3/27/2020 (b) (c) | | | 100,000 | | | | 100,000 | |
| | |
2.01%, 6/18/2020 (c) (f) | | | 100,000 | | | | 99,395 | |
| | |
Toyota Finance Australia Ltd. (Australia) (ICE LIBOR USD 1 Month + 0.23%), 1.93%, 3/9/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
Toyota Motor Finance Netherlands BV (Japan) (ICE LIBOR USD 3 Month + 0.12%), 1.99%, 4/10/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
UBS AG (Switzerland) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.10%), 2.04%, 4/3/2020 (b) (c) | | | 30,000 | | | | 30,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.04%), 1.88%, 4/23/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
Versailles Commercial Paper LLC 1.89%, 3/9/2020 (c) (f) | | | 50,000 | | | | 49,979 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $2,600,832) | | | | | | | 2,600,832 | |
| | | | | | | | |
|
Time Deposits — 13.5% | |
| | |
Australia & New Zealand Banking Group Ltd.
1.60%, 3/3/2020 | | | 250,000 | | | | 250,000 | |
| | |
1.60%, 3/6/2020 | | | 200,000 | | | | 200,000 | |
| | |
Credit Agricole Corporate and Investment Bank 1.58%, 3/2/2020 | | | 59,905 | | | | 59,905 | |
| | |
Erste Group Bank AG 1.58%, 3/2/2020 | | | 316,071 | | | | 316,071 | |
| | |
KBC Bank NV 1.58%, 3/2/2020 | | | 475,000 | | | | 475,000 | |
| | |
Swedbank AB 1.58%, 3/2/2020 | | | 150,000 | | | | 150,000 | |
| | | | | | | | |
| | |
Total Time Deposits
(Cost $1,450,976) | | | | | | | 1,450,976 | |
| | | | | | | | |
|
U.S. Treasury Obligations — 0.9% | |
| | |
U.S. Treasury Bills 1.89%, 3/19/2020 (f)
(Cost $99,906) | | | 100,000 | | | | 99,906 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $7,822,329) | | | | | | | 7,822,329 | |
| | | | | | | | |
Total Investments —100.5%
(Cost $10,820,470)* | | | | | | | 10,820,470 | |
Liabilities in Excess of
Other Assets — (0.5)% | | | | | | | (53,810 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 10,766,660 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 39 | |
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | |
| Abbreviations | | |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| LOC | | Letter of Credit |
| PJSC | | Public Joint Stock Company |
| Rev. | | Revenue |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (d) | | Amount rounds to less than 0.1% of net assets. |
| (e) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2020. |
| (f) | | The rate shown is the effective yield as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
Additional Investment Information:
[2] Agency Joint Trading Account II — At February 29, 2020, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan Liquid Assets Money Market Fund | | $355,406 | | $ | 355,454 | | | $ | 362,514 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
Liquid Assets Money
Market Fund | |
Bofa Securities, Inc. | | | 1.61 | % | | $ | 246,491 | |
Citibank NA | | | 1.61 | % | | | 51,591 | |
Citigroup Global Markets Holdings, Inc. | | | 1.61 | % | | | 57,324 | |
| | | | | | | | |
Total | | | | | | $ | 355,406 | |
| | | | | | | | |
At February 29, 2020, the Agency Joint Trading Account II was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
FHLB | | | 4.63% - 4.63% | | | | 6/12/2020 - 6/12/2020 | |
FHLMC | | | 2.50% - 10.50% | | | | 4/1/2020 - 2/1/2050 | |
FNMA | | | 2.00% - 8.50% | | | | 3/25/2020 - 10/1/2056 | |
GNMA | | | 2.00% - 9.00% | | | | 10/15/2021 - 10/20/2069 | |
U.S. Treasury Securities | | | 0.00% - 3.13% | | | | 5/15/2020 - 8/15/2046 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — 52.9% | | | | | | | | |
| | |
Agency Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 1.61%, dated 2/28/2020, due 3/2/20, repurchase price $4,400,590. [1] | | | 4,400,000 | | | | 4,400,000 | |
| | |
Agency Joint Trading Account II, J.P. Morgan Investment Management Inc., as agent, 1.61%, dated 2/28/2020, due 3/2/20, repurchase price $458,354. [2] | | | 458,293 | | | | 458,293 | |
| | |
Agency Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 1.61%, dated 2/28/2020, due 3/2/20, repurchase price $89,823. [3] | | | 89,811 | | | | 89,811 | |
| | |
Bank of America Corp., 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $750,101, collateralized by GNMA, 3.50% - 4.00%, due 9/20/2041 - 12/20/2045, with a value of $765,000. | | | 750,000 | | | | 750,000 | |
| | |
Bank of Montreal, 1.56%, dated 2/28/2020, due 3/6/2020, repurchase price $500,152, collateralized by U.S. Treasury Securities, 1.63% - 3.13%, due 9/30/2026 - 5/15/2045, with a value of $511,370. | | | 500,000 | | | | 500,000 | |
| | |
Bank of Nova Scotia (The), 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $250,670, collateralized by U.S. Treasury Securities, 0.13% - 8.00%, due 11/15/2021 - 11/15/2048, with a value of $255,650. | | | 250,637 | | | | 250,637 | |
| | |
Bank of Nova Scotia (The), 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $1,650,221, collateralized by FHLMC, 2.57% - 4.00%, due 1/1/2043 - 2/1/2050, FNMA, 2.33% - 6.50%, due 10/1/2027 - 2/1/2050 and GNMA, 3.00% - 4.00%, due 3/20/2047 - 11/20/2049, with a value of $1,683,000. | | | 1,650,000 | | | | 1,650,000 | |
| | |
BMO Capital Markets Corp., 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $400,054, collateralized by FHLMC, 1.38% - 9.00%, due 5/1/2020 - 3/25/2050, FNMA, 2.08% - 9.12%, due 12/25/2021 - 3/25/2050 and GNMA, 1.91% - 5.50%, due 3/20/2031 - 1/20/2070, with a value of $408,790. | | | 400,000 | | | | 400,000 | |
| | |
BMO Capital Markets Corp., 1.61%, dated 2/28/2020, due 3/6/2020, repurchase price $625,196, collateralized by FHLMC, 1.75% - 9.00%, due 4/1/2020 - 12/15/2050, FNMA, 1.75% - 6.30%, due 12/25/2021 - 3/25/2050 and GNMA, 1.85% - 7.00%, due 3/20/2031 - 1/20/2070, with a value of $642,578. | | | 625,000 | | | | 625,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
BMO Capital Markets Corp., 1.62%, dated 2/28/2020, due 3/6/2020, repurchase price $500,158, collateralized by FHLMC, 2.50% - 5.33%, due 9/25/2020 - 3/25/2050, FNMA, 2.08% - 6.50%, due 9/1/2020 - 3/1/2050 and GNMA, 1.00% - 7.50%, due 6/20/2023 - 1/20/2070, with a value of $513,990. | | | 500,000 | | | | 500,000 | |
| | |
BNP Paribas SA, 1.58%, dated 2/28/2020, due 3/2/2020, repurchase price $500,066, collateralized by U.S. Treasury Securities, 0.00% - 8.75%, due 4/14/2020 - 8/15/2048, with a value of $510,090. | | | 500,000 | | | | 500,000 | |
| | |
BNP Paribas SA, 1.64%, dated 2/28/2020, due 3/3/2020, repurchase price $1,500,273, collateralized by FFCB, 3.46% - 3.98%, due 1/25/2038 - 4/5/2038, FHLB, 2.79% - 5.25%, due 12/9/2022 - 8/8/2036, FHLMC, 0.00% - 7.00%, due 5/15/2024 - 1/1/2050, FNMA, 0.00% - 7.50%, due 2/1/2023 - 10/1/2056, GNMA, 2.00% - 6.50%, due 4/15/2029 - 1/20/2050 and U.S. Treasury Securities, 0.00% - 8.75%, due 3/10/2020 - 8/15/2048, with a value of $1,536,744. | | | 1,500,000 | | | | 1,500,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $1,000,311, collateralized by FHLB, 3.90%, due 2/25/2036, FHLMC, 2.16% - 6.42%, due 8/1/2028 - 12/1/2049, FNMA, 0.00% - 6.50%, due 3/23/2028 - 12/1/2049, GNMA, 0.50% - 5.00%, due 7/15/2024 - 1/20/2050 and U.S. Treasury Securities, 0.00% - 8.75%, due 4/7/2020 - 2/15/2048, with a value of $1,024,835. | | | 1,000,000 | | | | 1,000,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $1,000,311, collateralized by FHLMC, 2.09% - 4.50%, due 5/15/2036 - 1/1/2050, FNMA, 2.50% - 7.00%, due 1/1/2027 - 2/1/2050, GNMA, 3.00% - 6.50%, due 3/15/2034 - 10/15/2049 and U.S. Treasury Securities, 0.00% - 8.75%, due 3/17/2020 - 5/15/2049, with a value of $1,025,406. | | | 1,000,000 | | | | 1,000,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 41 | |
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | | | | | | | | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $1,000,311, collateralized by FHLB, 1.70%, due 11/30/2020, FHLMC, 3.00% - 7.50%, due 4/1/2028 - 2/1/2050, FNMA, 2.50% - 5.50%, due 7/1/2029 - 10/1/2056, GNMA, 3.00% - 6.50%, due 11/20/2029 - 12/20/2049 and U.S. Treasury Securities, 0.00% - 8.00%, due 3/31/2020 - 8/15/2048, with a value of $1,025,440. | | | 1,000,000 | | | | 1,000,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $1,000,311, collateralized by FHLMC, 3.50% - 4.00%, due 1/1/2036 - 1/1/2050, FNMA, 3.50% - 7.50%, due 4/1/2027 - 9/1/2049, GNMA, 2.50% - 5.00%, due 11/20/2041 - 11/20/2049 and U.S. Treasury Securities, 0.00% - 3.88%, due 3/5/2020 - 2/15/2049, with a value of $1,025,531. | | | 1,000,000 | | | | 1,000,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $1,000,311, collateralized by FHLMC, 2.22% - 4.50%, due 11/15/2042 - 2/1/2050, FNMA, 3.00% - 5.00%, due 9/1/2026 - 2/1/2050, GNMA, 2.50% - 5.00%, due 12/20/2045 - 2/20/2050 and U.S. Treasury Securities, 0.00% - 2.88%, due 3/31/2020 - 2/15/2047, with a value of $1,026,830. | | | 1,000,000 | | | | 1,000,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $2,000,622, collateralized by FHLMC, 2.16% - 7.00%, due 5/15/2024 - 2/1/2050, FNMA, 2.13% - 7.50%, due 10/1/2028 - 2/1/2050, GNMA, 2.28% - 7.00%, due 12/15/2026 - 2/20/2050 and U.S. Treasury Securities, 0.00% - 8.75%, due 3/10/2020 - 2/15/2050, with a value of $2,053,364. | | | 2,000,000 | | | | 2,000,000 | |
| | |
Bofa Securities, Inc., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by FHLMC, 3.00% - 4.00%, due 8/1/2045 - 9/1/2049 and FNMA, 3.00% - 4.00%, due 6/1/2047 - 2/1/2050, with a value of $1,020,000. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Citigroup Global Markets Holdings, Inc., 1.58%, dated 2/28/2020, due 3/2/2020, repurchase price $600,079, collateralized by U.S. Treasury Securities, 0.13% - 2.25%, due 7/31/2021 - 1/15/2022, with a value of $612,000. | | | 600,000 | | | | 600,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Credit Agricole Corporate and Investment Bank, 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $379,729, collateralized by U.S. Treasury Securities, 2.50% - 5.38%, due 2/15/2022 - 2/15/2031, with a value of $387,273. | | | 379,679 | | | | 379,679 | |
| | |
Daiwa Capital Markets America. Inc., 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $3,000,403, collateralized by FFCB, 1.43% - 1.60%, due 1/23/2023 - 2/14/2024, FHLB, 0.00% - 2.75%, due 3/4/2020 - 2/25/2025, FHLMC, 2.21% - 5.50%, due 7/1/2024 - 2/1/2050, FNMA, 1.86% - 7.00%, due 6/1/2020 - 3/1/2052, GNMA, 1.95% - 6.00%, due 7/20/2033 - 2/20/2050 and U.S. Treasury Securities, 0.00% - 3.13%, due 3/5/2020 - 5/15/2048, with a value of $3,061,221. | | | 3,000,000 | | | | 3,000,000 | |
| | |
Deutsche Bank Securities, Inc., 1.55%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,129, collateralized by U.S. Treasury Securities, 0.00% - 6.25%, due 5/31/2020 - 2/15/2050, with a value of $1,020,000. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Deutsche Bank Securities, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $998,952, collateralized by U.S. Treasury Securities, 0.00% - 5.25%, due 5/14/2020 - 11/15/2044, with a value of $1,018,796. | | | 998,820 | | | | 998,820 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $3,300,437, collateralized by U.S. Treasury Securities, 0.13% - 4.38%, due 1/15/2021 - 2/15/2050, with a value of $3,366,000. | | | 3,300,000 | | | | 3,300,000 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $6,250,828, collateralized by U.S. Treasury Securities, 0.13% - 3.13%, due 1/15/2022 - 5/15/2048, with a value of $6,375,000. | | | 6,250,000 | | | | 6,250,000 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $7,500,994, collateralized by U.S. Treasury Securities, 0.13% - 4.38%, due 4/15/2020 - 5/15/2040, with a value of $7,650,000. | | | 7,500,000 | | | | 7,500,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $3,500,467, collateralized by U.S. Treasury Securities, 2.75% - 4.38%, due 5/15/2040 - 5/15/2044, with a value of $3,570,006. | | | 3,500,000 | | | | 3,500,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | | | | | | | | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $5,700,760, collateralized by U.S. Treasury Securities, 0.13% - 2.75%, due 5/31/2024 - 3/31/2025, with a value of $5,814,003. | | | 5,700,000 | | | | 5,700,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $7,000,933, collateralized by U.S. Treasury Securities, 1.38% - 3.00%, due 9/30/2025 - 12/31/2026, with a value of $7,140,005. | | | 7,000,000 | | | | 7,000,000 | |
| | |
Goldman Sachs & Co. LLC, 1.50%, dated 2/28/2020, due 3/2/2020, repurchase price $500,063, collateralized by U.S. Treasury Securities, 0.00% - 8.13%, due 5/15/2021 - 11/15/2049, with a value of $510,000. | | | 500,000 | | | | 500,000 | |
| | |
Goldman Sachs & Co. LLC, 1.60%, dated 2/28/2020, due 3/3/2020, repurchase price $1,500,267, collateralized FHLMC, 2.00% - 7.50%, due 6/1/2025 - 10/1/2049, FNMA, 2.00% - 7.00%, due 12/1/2025 - 11/1/2049 and GNMA, 2.50% - 6.00%, due 2/15/2029 - 2/20/2050, with a value of $1,530,000. | | | 1,500,000 | | | | 1,500,000 | |
| | |
ING Financial Markets LLC, 1.62%, dated 2/28/2020, due 3/2/2020, repurchase price $150,020, collateralized by FHLMC, 3.00% - 4.50%, due 6/1/2042 - 9/1/2049, FNMA, 2.50% - 4.50%, due 11/1/2027 - 5/1/2058 and GNMA, 5.00%, due 11/20/2048, with a value of $153,145. | | | 150,000 | | | | 150,000 | |
| | |
ING Financial Markets LLC, 1.62%, dated 2/28/2020, due 3/6/2020, repurchase price $100,032, collateralized by FHLMC, 2.50% - 5.50%, due 5/1/2035 - 1/1/2050, FNMA, 2.50% - 4.00%, due 2/1/2027 - 9/1/2057 and GNMA, 5.00%, due 11/20/2048, with a value of $102,142. | | | 100,000 | | | | 100,000 | |
| | |
ING Financial Markets LLC, 1.60%, dated 2/28/2020, due 3/13/2020, repurchase price $250,156, collateralized by FHLMC, 2.31% - 5.50%, due 11/1/2039 - 11/1/2049 and FNMA, 2.50% - 6.50%, due 4/1/2026 - 5/1/2058, with a value of $255,680. | | | 250,000 | | | | 250,000 | |
| | |
ING Financial Markets LLC, 1.60%, dated 2/28/2020, due 3/16/2020, repurchase price $200,151, collateralized by FHLMC, 2.44% - 5.00%, due 9/1/2029 - 11/1/2049 and FNMA, 2.50% - 6.00%, due 2/1/2027 - 9/1/2057, with a value of $204,544. | | | 200,000 | | | | 200,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
ING Financial Markets LLC, 1.61%, dated 2/28/2020, due 3/23/2020, repurchase price $250,268, collateralized by FHLMC, 3.00% - 7.00%, due 9/1/2029 - 11/1/2049 and FNMA, 3.00% - 5.00%, due 11/1/2024 - 5/1/2058, with a value of $255,354. | | | 250,000 | | | | 250,000 | |
| | |
ING Financial Markets LLC, 1.64%, dated 2/28/2020, due 4/3/2020, repurchase price $100,159, collateralized by FHLMC, 3.03% - 5.00%, due 8/1/2040 - 7/1/2048 and FNMA, 2.55% - 3.96%, due 10/1/2027 - 2/1/2050, with a value of $102,270. | | | 100,000 | | | | 100,000 | |
| | |
ING Financial Markets LLC, 1.64%, dated 2/28/2020, due 4/6/2020, repurchase price $100,173, collateralized by FHLMC, 2.31% - 4.62%, due 11/1/2029 - 11/1/2049 and FNMA, 2.50% - 6.50%, due 4/1/2027 - 5/1/2058, with a value of $102,279. | | | 100,000 | | | | 100,000 | |
| | |
ING Financial Markets LLC, 1.64%, dated 2/28/2020, due 4/14/2020, repurchase price $425,891, collateralized by FHLMC, 3.00% - 4.00%, due 7/1/2048 - 8/1/2049, FNMA, 2.50% - 4.50%, due 6/1/2031 - 2/1/2050 and GNMA, 5.00%, due 11/20/2048, with a value of $434,685. | | | 425,000 | | | | 425,000 | |
| | |
Metropolitan Life, 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $700,093, collateralized by U.S. Treasury Securities, 0.00%, due 11/15/2027 - 8/15/2047, with a value of $714,032. | | | 700,000 | | | | 700,000 | |
| | |
Mitsubishi UFJ Trust & Banking Corp., 1.59%, dated 2/28/2020, due 3/6/2020, repurchase price $1,100,340, collateralized by GNMA, 3.00% - 5.00%, due 8/15/2038 - 7/20/2049, with a value of $1,119,432. | | | 1,100,000 | | | | 1,100,000 | |
| | |
Natwest Markets Securities, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $1,650,219, collateralized by U.S. Treasury Securities, 0.00% - 6.25%, due 4/7/2020 - 2/15/2050, with a value of $1,683,223. | | | 1,650,000 | | | | 1,650,000 | |
| | |
Nomura Securities Co. Ltd., 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $4,000,537, collateralized by FFCB, 2.35% - 2.70%, due 2/12/2021 - 12/12/2034, FHLMC, 1.13% - 9.00%, due 3/15/2020 - 2/1/2050, FNMA, 1.25% - 8.00%, due 5/1/2020 - 1/1/2058, GNMA, 1.50% - 8.00%, due 9/20/2023 - 11/20/2069 and U.S. Treasury Securities, 0.63% - 0.75%, due 1/15/2026 - 2/15/2045, with a value of $4,080,547. | | | 4,000,000 | | | | 4,000,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 43 | |
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | | | | | | | | |
| | |
Norinchukin Bank (The), 1.67%, dated 2/28/2020, due 3/4/2020, repurchase price $200,046, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $203,846. | | | 200,000 | | | | 200,000 | |
| | |
Norinchukin Bank (The), 1.68%, dated 2/28/2020, due 3/10/2020, repurchase price $650,334, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $662,500. | | | 650,000 | | | | 650,000 | |
| | |
Norinchukin Bank (The), 1.60%, dated 2/28/2020, due 4/14/2020, repurchase price $250,511, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $254,808. | | | 250,000 | | | | 250,000 | |
| | |
Norinchukin Bank (The), 1.68%, dated 2/28/2020, due 5/15/2020, repurchase price $451,617, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $458,654. | | | 450,000 | | | | 450,000 | |
| | |
Norinchukin Bank (The), 1.63%, dated 2/28/2020, due 5/27/2020, repurchase price $301,209, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $305,769. | | | 300,000 | | | | 300,000 | |
| | |
Norinchukin Bank (The), 1.43%, dated 2/28/2020, due 6/2/2020, repurchase price $552,075, collateralized by U.S. Treasury Securities, 0.38% - 3.63%, due 1/15/2021 - 4/15/2028, with a value of $560,577. | | | 550,000 | | | | 550,000 | |
| | |
RBC Capital Markets LLC, 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,500,200, collateralized by FHLMC, 2.02% - 3.35%, due 1/25/2023 - 10/25/2039, FNMA, 2.18% - 6.05%, due 4/25/2029 - 12/25/2049, and GNMA, 1.93% - 4.00%, due 7/20/2049 - 11/20/2069, with a value of $1,545,000. | | | 1,500,000 | | | | 1,500,000 | |
| | |
RBC Capital Markets LLC, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $2,000,622, collateralized by FHLMC, 2.10% - 3.40%, due 1/25/2027 - 5/15/2043, FNMA, 1.50% - 6.50%, due 7/1/2020 - 3/25/2043, GNMA, 2.50% - 6.00%, due 4/16/2034 - 1/20/2050, Tennessee Valley Authority, 1.88%, due 8/15/2022 and U.S. Treasury Securities, 0.00% - 6.13%, due 3/10/2020 - 2/15/2050 with a value of $2,043,874. | | | 2,000,000 | | | | 2,000,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Royal Bank of Canada, 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $2,000,267, collateralized by FHLMC, 2.21% - 2.50%, due 12/15/2037 - 10/25/2048, FNMA, 1.86% - 3.50%, due 7/25/2035 - 6/25/2049, GNMA, 2.10% - 4.00%, due 10/20/2044 - 2/20/2049 and U.S. Treasury Securities, 1.13% - 2.88%, due 1/15/2021 - 8/15/2028, with a value of $2,041,779. | | | 2,000,000 | | | | 2,000,000 | |
| | |
Societe Generale SA, 1.57%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,131, collateralized by U.S. Treasury Securities, 0.00% - 8.75%, due 3/26/2020 - 2/15/2050, with a value of $1,020,000. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Societe Generale SA, 1.61%, dated 2/28/2020, due 4/24/2020, repurchase price $751,878, collateralized by U.S. Treasury Securities, 0.00% - 8.00%, due 2/29/2020 - 2/15/2049, with a value of $765,000. | | | 750,000 | | | | 750,000 | |
| | |
Sumitomo Mitsui Banking Corp., 1.61%, dated 2/28/2020, due 3/2/2020, repurchase price $3,000,403, collateralized by GNMA, 3.00% - 5.00%, due 6/20/2041 - 5/20/2048, with a value of $3,063,658. | | | 3,000,000 | | | | 3,000,000 | |
| | |
Treasury Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 1.59%, dated 2/28/2020, due 3/2/20, repurchase price $14,381.[4] | | | 14,379 | | | | 14,379 | |
| | |
Treasury Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 1.59%, dated 2/28/2020, due 3/2/20, repurchase price $645,753.[5] | | | 645,667 | | | | 645,667 | |
| | |
Wells Fargo Securities LLC, 1.60%, dated 2/28/2020, due 3/3/2020, repurchase price $1,000,178, collateralized by FNMA, 3.00% - 4.00%, due 9/1/2049 - 12/1/2049, with a value of $1,020,317. | | | 1,000,000 | | | | 1,000,000 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(Cost $84,187,286) | | | | | | | 84,187,286 | |
| | | | | | | | |
U.S. Government Agency Securities — 35.0% | |
| | |
FFCB | | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.06%), 1.57%, 3/2/2020 (b) | | | 275,000 | | | | 275,000 | |
| | |
(SOFR + 0.07%), 1.64%, 3/2/2020 (b) | | | 105,000 | | | | 105,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.04%), 1.69%, 3/2/2020 (b) | | | 450,000 | | | | 450,000 | |
| | |
(Federal Reserve Bank Prime Loan Rate US - 2.93%), 1.82%, 3/2/2020 (b) | | | 325,000 | | | | 325,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
U.S. Government Agency Securities — continued | |
| | |
(ICE LIBOR USD 1 Month + 0.03%), 1.69%, 3/3/2020 (b) | | | 349,999 | | | | 349,999 | |
| | |
(ICE LIBOR USD 1 Month - 0.02%), 1.65%, 3/4/2020 (b) | | | 300,000 | | | | 300,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.72%, 3/5/2020 (b) | | | 450,000 | | | | 449,992 | |
| | |
(ICE LIBOR USD 1 Month + 0.35%), 2.02%, 3/5/2020 (b) | | | 50,000 | | | | 50,141 | |
| | |
(ICE LIBOR USD 1 Month + 0.00%), 1.67%, 3/6/2020 (b) | | | 400,000 | | | | 400,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.03%), 1.64%, 3/7/2020 (b) | | | 275,000 | | | | 275,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.00%), 1.67%, 3/7/2020 (b) | | | 90,000 | | | | 89,989 | |
| | |
(ICE LIBOR USD 1 Month + 0.04%), 1.71%, 3/7/2020 (b) | | | 400,000 | | | | 400,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.09%), 1.76%, 3/8/2020 (b) | | | 550,000 | | | | 549,983 | |
| | |
(ICE LIBOR USD 1 Month - 0.01%), 1.65%, 3/14/2020 (b) | | | 250,000 | | | | 249,986 | |
| | |
(ICE LIBOR USD 1 Month - 0.01%), 1.65%, 3/15/2020 (b) | | | 200,000 | | | | 199,975 | |
| | |
(ICE LIBOR USD 1 Month + 0.06%), 1.71%, 3/15/2020 (b) | | | 375,000 | | | | 374,988 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.70%, 3/16/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.06%), 1.69%, 3/23/2020 (b) | | | 275,000 | | | | 275,009 | |
| | |
(ICE LIBOR USD 1 Month + 0.00%), 1.63%, 3/24/2020 (b) | | | 300,000 | | | | 299,990 | |
| | |
(ICE LIBOR USD 1 Month + 0.04%), 1.67%, 3/24/2020 (b) | | | 550,000 | | | | 550,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.01%), 1.64%, 3/25/2020 (b) | | | 400,000 | | | | 400,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.68%, 3/25/2020 (b) | | | 125,000 | | | | 125,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.04%), 1.65%, 3/27/2020 (b) | | | 185,000 | | | | 184,994 | |
| | |
(ICE LIBOR USD 1 Month + 0.07%), 1.67%, 3/28/2020 (b) | | | 20,001 | | | | 20,001 | |
| | |
(ICE LIBOR USD 1 Month + 0.03%), 1.68%, 3/30/2020 (b) | | | 250,000 | | | | 250,000 | |
| | |
FHLB | | | | | | | | |
| | |
DN, 1.55%, 3/2/2020 (c) | | | 1,000,000 | | | | 999,957 | |
| | |
(SOFR + 0.02%), 1.60%, 3/2/2020 (b) | | | 27,000 | | | | 27,000 | |
| | |
(SOFR + 0.03%), 1.60%, 3/2/2020 (b) | | | 310,000 | | | | 310,000 | |
| | |
(SOFR + 0.03%), 1.61%, 3/2/2020 (b) | | | 380,000 | | | | 380,000 | |
| | |
(SOFR + 0.03%), 1.61%, 3/2/2020 (b) | | | 287,000 | | | | 287,000 | |
| | |
(SOFR + 0.03%), 1.61%, 3/2/2020 (b) | | | 274,000 | | | | 274,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
(SOFR + 0.04%), 1.62%, 3/2/2020 (b) | | | 505,000 | | | | 505,000 | |
| | |
(SOFR + 0.06%), 1.64%, 3/2/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(SOFR + 0.06%), 1.64%, 3/2/2020 (b) | | | 330,000 | | | | 330,000 | |
| | |
(SOFR + 0.07%), 1.64%, 3/2/2020 (b) | | | 1,110,000 | | | | 1,110,000 | |
| | |
(SOFR + 0.10%), 1.68%, 3/2/2020 (b) | | | 450,000 | | | | 450,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.04%), 1.69%, 3/2/2020 (b) | | | 900,000 | | | | 900,000 | |
| | |
(SOFR + 0.12%), 1.70%, 3/2/2020 (b) | | | 515,000 | | | | 515,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.71%, 3/2/2020 (b) | | | 150,000 | | | | 150,000 | |
| | |
(SOFR + 0.17%), 1.75%, 3/2/2020 (b) | | | 487,000 | | | | 487,000 | |
| | |
DN, 1.55%, 3/3/2020 (c) | | | 500,000 | | | | 499,957 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/3/2020 (b) | | | 1,500,000 | | | | 1,500,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.02%), 1.64%, 3/4/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.02%), 1.64%, 3/4/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/5/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.72%, 3/5/2020 (b) | | | 1,000,000 | | | | 1,000,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.00%), 1.67%, 3/10/2020 (b) | | | 225,000 | | | | 225,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.06%), 1.60%, 3/11/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.06%), 1.61%, 3/11/2020 (b) | | | 1,500,000 | | | | 1,500,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/12/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.00%), 1.65%, 3/14/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/15/2020 (b) | | | 1,150,000 | | | | 1,150,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.04%), 1.62%, 3/16/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/16/2020 (b) | | | 350,000 | | | | 350,000 | |
| | |
1.92%, 3/19/2020 | | | 999,999 | | | | 999,999 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.71%, 3/23/2020 (b) | | | 700,000 | | | | 700,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.03%), 1.60%, 3/24/2020 (b) | | | 250,000 | | | | 250,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.03%), 1.60%, 3/24/2020 (b) | | | 625,000 | | | | 625,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.03%), 1.59%, 3/26/2020 (b) | | | 250,000 | | | | 250,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.03%), 1.59%, 3/26/2020 (b) | | | 500,000 | | | | 500,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 45 | |
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
U.S. Government Agency Securities — continued | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.67%, 3/26/2020 (b) | | | 1,500,000 | | | | 1,500,000 | |
| | |
(ICE LIBOR USD 1 Month + 0.05%), 1.67%, 3/26/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.02%), 1.59%, 3/27/2020 (b) | | | 1,000,000 | | | | 1,000,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.01%), 1.59%, 3/28/2020 (b) | | | 1,000,000 | | | | 1,000,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.22%), 1.67%, 3/30/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
2.38%, 3/30/2020 | | | 579,000 | | | | 579,224 | |
| | |
(ICE LIBOR USD 3 Month - 0.09%), 1.82%, 4/4/2020 (b) | | | 500,000 | | | | 500,000 | |
| | |
1.70%, 4/9/2020 | | | 250,000 | | | | 249,993 | |
| | |
(ICE LIBOR USD 3 Month - 0.10%), 1.78%, 4/9/2020 (b) | | | 1,300,000 | | | | 1,300,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.10%), 1.75%, 4/13/2020 (b) | | | 700,000 | | | | 700,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.13%), 1.71%, 4/14/2020 (b) | | | 100,000 | | | | 100,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.12%), 1.72%, 4/14/2020 (b) | | | 600,000 | | | | 600,000 | |
| | |
1.61%, 4/20/2020 | | | 1,000,000 | | | | 999,971 | |
| | |
1.61%, 4/24/2020 | | | 1,000,000 | | | | 999,968 | |
| | |
(ICE LIBOR USD 3 Month - 0.18%), 1.62%, 4/28/2020 (b) | | | 1,250,000 | | | | 1,250,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.12%), 1.63%, 5/5/2020 (b) | | | 1,000,000 | | | | 1,000,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.20%), 1.65%, 5/16/2020 (b) | | | 1,800,000 | | | | 1,800,000 | |
| | |
(ICE LIBOR USD 3 Month - 0.20%), 1.65%, 5/16/2020 (b) | | | 1,000,000 | | | | 1,000,000 | |
| | |
1.93%, 6/11/2020 | | | 1,500,000 | | | | 1,500,000 | |
| | |
1.93%, 6/12/2020 | | | 1,000,000 | | | | 1,000,000 | |
| | |
1.98%, 6/16/2020 | | | 1,425,000 | | | | 1,425,000 | |
| | |
1.63%, 6/30/2020 | | | 750,000 | | | | 749,958 | |
| | |
1.68%, 7/30/2020 | | | 1,250,000 | | | | 1,249,980 | |
| | |
1.69%, 7/30/2020 | | | 1,000,000 | | | | 1,000,000 | |
| | |
2.63%, 10/1/2020 | | | 204,930 | | | | 206,083 | |
| | |
FHLMC | | | | | | | | |
| | |
(SOFR + 0.02%), 1.60%, 3/2/2020 (b) | | | 1,500,000 | | | | 1,500,000 | |
| | |
(SOFR + 0.02%), 1.60%, 3/2/2020 (b) | | | 1,180,000 | | | | 1,180,000 | |
| | |
(SOFR + 0.02%), 1.60%, 3/2/2020 (b) | | | 645,000 | | | | 645,000 | |
| | |
(SOFR + 0.03%), 1.61%, 3/2/2020 (b) | | | 875,000 | | | | 875,000 | |
| | |
(SOFR + 0.04%), 1.62%, 3/2/2020 (b) | | | 925,000 | | | | 925,000 | |
| | |
(SOFR + 0.04%), 1.62%, 3/2/2020 (b) | | | 650,000 | | | | 650,000 | |
| | | | | | | | |
| | |
Total U.S. Government Agency Securities (Cost $55,760,137) | | | | | | | 55,760,137 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
U.S. Treasury Obligations — 8.1% | |
| | |
U.S. Treasury Floating Rate Notes | | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 1.65%, 3/2/2020 (b) | | | 1,775,450 | | | | 1,775,339 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%), 1.81%, 3/2/2020 (b) | | | 1,150,000 | | | | 1,150,095 | |
| | |
U.S. Treasury Notes 1.38%, 4/30/2020 | | | 390,000 | | | | 389,698 | |
| | |
1.38%, 5/31/2020 | | | 200,000 | | | | 199,733 | |
| | |
1.50%, 5/31/2020 | | | 500,000 | | | | 499,550 | |
| | |
1.63%, 6/30/2020 | | | 300,000 | | | | 299,733 | |
| | |
2.50%, 6/30/2020 | | | 700,000 | | | | 701,522 | |
| | |
1.50%, 7/15/2020 | | | 788,000 | | | | 787,056 | |
| | |
2.63%, 7/31/2020 | | | 1,499,832 | | | | 1,504,719 | |
| | |
1.38%, 8/31/2020 | | | 359,000 | | | | 358,555 | |
| | |
2.13%, 8/31/2020 | | | 345,665 | | | | 346,515 | |
| | |
2.63%, 8/31/2020 | | | 250,000 | | | | 251,232 | |
| | |
1.38%, 9/15/2020 | | | 150,000 | | | | 149,800 | |
| | |
2.00%, 9/30/2020 | | | 500,000 | | | | 501,047 | |
| | |
1.63%, 10/15/2020 | | | 357,214 | | | | 357,177 | |
| | |
1.38%, 10/31/2020 | | | 691,000 | | | | 689,700 | |
| | |
1.75%, 10/31/2020 | | | 672,000 | | | | 672,399 | |
| | |
2.88%, 10/31/2020 | | | 359,000 | | | | 361,864 | |
| | |
1.75%, 11/15/2020 | | | 62,000 | | | | 62,039 | |
| | |
2.63%, 11/15/2020 | | | 645,000 | | | | 649,373 | |
| | |
1.63%, 11/30/2020 | | | 330,000 | | | | 329,952 | |
| | |
2.00%, 11/30/2020 | | | 100,000 | | | | 100,266 | |
| | |
2.75%, 11/30/2020 | | | 285,000 | | | | 287,328 | |
| | |
1.88%, 12/15/2020 | | | 395,000 | | | | 395,712 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $12,820,404) | | | | | | | 12,820,404 | |
| | | | | | | | |
Total Investments — 96.0%
(Cost $152,767,827)* | | | | | | | 152,767,827 | |
Other Assets Less Liabilities — 4.0% | | | | | | | 6,434,265 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 159,202,092 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
Abbreviations
| | |
| DN | | Discount Notes |
| FFCB | | Federal Farm Credit Bank |
| FHLB | | Federal Home Loan Bank |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | The rate shown is the effective yield as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
Additional Investment Information:
[1] Agency Joint Trading Account I — At February 29, 2020, certain Funds had undivided interests in the Agency Joint Trading Account I with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Government Money Market Fund | | $4,400,000 | | $ | 4,400,590 | | | $ | 4,489,171 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account I were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Government Money
Market Fund | |
BNP Paribas SA | | | 1.61 | % | | $ | 1,400,000 | |
TD Securities (USA) LLC | | | 1.61 | % | | | 1,000,000 | |
Wells Fargo Securities LLC | | | 1.61 | % | | | 2,000,000 | |
| | | | | | | | |
Total | | | | | | $ | 4,400,000 | |
| | | | | | | | |
At February 29, 2020, the Agency Joint Trading Account I was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
FFCB | | | 1.59% - 3.98% | | | | 3/20/2020 - 4/5/2038 | |
FHLB | | | 0.00% - 4.10% | | | | 3/4/2020 - 3/16/2037 | |
FHLMC | | | 0.00% - 7.00% | | | | 5/1/2020 - 10/15/2058 | |
FNMA | | | 0.00% - 7.50% | | | | 10/30/2020 - 8/1/2058 | |
GNMA | | | 2.00% - 8.00% | | | | 9/15/2024 - 2/20/2050 | |
Tennessee Valley Authority | | | 1.88% - 7.13% | | | | 3/15/2020 - 9/15/2065 | |
U.S. Treasury Securities | | | 0.00% - 8.75% | | | | 5/15/2020 - 11/15/2046 | |
[2] Agency Joint Trading Account II — At February 29, 2020, certain Funds had undivided interests in the Agency Joint Trading Account II with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Government Money Market Fund | | $458,293 | | $ | 458,354 | | | $ | 467,459 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account II were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Government Money
Market Fund | |
Citibank NA | | | 1.61 | % | | $ | 66,526 | |
Citigroup Global Markets Holdings, Inc. | | | 1.61 | % | | | 73,919 | |
Bofa Securities, Inc. | | | 1.61 | % | | | 317,848 | |
| | | | | | | | |
Total | | | | | | $ | 458,293 | |
| | | | | | | | |
At February 29, 2020, the Agency Joint Trading Account II was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
FHLB | | | 4.63% - 4.63% | | | | 6/12/2020 - 6/12/2020 | |
FHLMC | | | 2.50% - 10.50% | | | | 4/1/2020 - 2/1/2050 | |
FNMA | | | 2.00% - 8.50% | | | | 3/25/2020 - 10/1/2056 | |
GNMA | | | 2.00% - 9.00% | | | | 10/15/2021 - 10/20/2069 | |
U.S. Treasury Securities | | | 0.00% - 3.13% | | | | 5/15/2020 - 8/15/2046 | |
[3] Agency Joint Trading Account III — At February 29, 2020, certain Funds had undivided interests in the Agency Joint Trading Account III with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Government Money Market Fund | | $89,811 | | $ | 89,823 | | | $ | 91,644 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 47 | |
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Agency Joint Trading Account III were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Government Money
Market Fund | |
BNP Paribas SA | | | 1.61 | % | | $ | 89,811 | |
At February 29, 2020, the Agency Joint Trading Account III was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
FHLMC | | | 2.09% - 7.00% | | | | 3/15/2029 - 2/1/2050 | |
FNMA | | | 2.13% - 7.00% | | | | 9/1/2022 - 12/25/2049 | |
[4] Treasury Joint Trading Account I — At February 29, 2020, certain Funds had undivided interests in the Treasury Joint Trading Account I with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Government Money Market Fund | | $14,379 | | $ | 14,381 | | | $ | 14,668 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Treasury Joint Trading Account I were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Government Money
Market Fund | |
BNP Paribas SA | | | 1.59 | % | | $ | 5,478 | |
Citibank NA | | | 1.59 | % | | | 685 | |
Wells Fargo Securities LLC | | | 1.59 | % | | | 8,216 | |
| | | | | | | | |
Total | | | | | | $ | 14,379 | |
| | | | | | | | |
At February 29, 2020, the Treasury Joint Trading Account I was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
U.S. Treasury Securities | | | 0.00% - 8.75% | | | | 2/29/2020 - 11/15/2049 | |
[5] Treasury Joint Trading Account III — At February 29, 2020, certain Funds had undivided interests in the Treasury Joint Trading Account III with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Government Money Market Fund | | $645,667 | | $ | 645,753 | | | $ | 658,580 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Treasury Joint Trading Account III were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Government Money
Market Fund | |
Credit Agricole Corporate and Investment Bank | | | 1.59 | % | | $ | 383,910 | |
Societe Generale SA | | | 1.59 | % | | | 261,757 | |
| | | | | | | | |
Total | | | | | | $ | 645,667 | |
| | | | | | | | |
At February 29, 2020, the Treasury Joint Trading Account III was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
U.S. Treasury Securities | | | 0.00% - 5.25% | | | | 3/3/2020 - 2/15/2049 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan U.S. Treasury Plus Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — 59.4% | | | | | | | | |
| | |
Bank of Montreal, 1.60%, dated 2/28/2020, due 3/6/2020, repurchase price $250,078, collateralized by U.S. Treasury Securities, 0.00% - 3.13%, due 8/20/2020 - 5/15/2048, with a value of $256,020. | | | 250,000 | | | | 250,000 | |
| | |
BNP Paribas SA, 1.63%, dated 2/28/2020, due 3/3/2020, repurchase price $1,000,181, collateralized by U.S. Treasury Securities, 0.00% - 7.50%, due 3/12/2020 - 8/15/2049, with a value of $1,024,203. | | | 1,000,000 | | | | 1,000,000 | |
| | |
BNP Paribas SA, 1.60%, dated 2/28/2020, due 4/14/2020, repurchase price $250,511, collateralized by U.S. Treasury Securities, 0.00% - 8.75%, due 4/14/2020 - 8/15/2049, with a value of $256,031. | | | 250,000 | | | | 250,000 | |
| | |
Bofa Securities, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 0.00% - 5.00%, due 5/31/2020 - 8/15/2048, with a value of $1,020,000. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Citigroup Global Markets Holdings, Inc., 1.57%, dated 2/28/2020, due 3/6/2020, repurchase price $950,290, collateralized by U.S. Treasury Securities, 0.75% - 3.63%, due 1/31/2021 - 2/15/2047, with a value of $969,000. | | | 950,000 | | | | 950,000 | |
| | |
Deutsche Bank Securities, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $499,804, collateralized by U.S. Treasury Securities, 0.00%, due 5/15/2020 - 11/15/2049, with a value of $509,733. | | | 499,738 | | | | 499,738 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $750,099, collateralized by U.S. Treasury Securities, 0.13% - 3.00%, due 7/15/2026 - 8/15/2046, with a value of $765,000. | | | 750,000 | | | | 750,000 | |
| | |
Fixed Income Clearing Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $1,500,199, collateralized by U.S. Treasury Securities, 1.50% - 3.13%, due 2/15/2021 - 2/15/2046, with a value of $1,530,000. | | | 1,500,000 | | | | 1,500,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $500,067, collateralized by U.S. Treasury Securities, 0.38% - 1.75%, due 12/31/2026 - 1/15/2027, with a value of $510,003. | | | 500,000 | | | | 500,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $750,100, collateralized by U.S. Treasury Securities, 3.13% - 3.38%, due 5/15/2044 - 8/15/2044, with a value of $765,002. | | | 750,000 | | | | 750,000 | |
| | |
Fixed Income Clearing Corp., 1.60%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 0.38% - 2.88%, due 3/31/2025 - 7/15/2025, with a value of $1,020,005. | | | 1,000,000 | | | | 1,000,000 | |
| | |
HSBC Securities USA, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $265,035, collateralized by U.S. Treasury Securities, 0.00% - 4.50%, due 8/15/2039 - 11/15/2045, with a value of $270,336. | | | 265,000 | | | | 265,000 | |
| | |
HSBC Securities USA, Inc., 1.59%, dated 2/28/2020, due 3/6/2020, repurchase price $500,155, collateralized by U.S. Treasury Securities, 0.00% - 4.50%, due 9/30/2022 - 2/15/2050, with a value of $510,158. | | | 500,000 | | | | 500,000 | |
| | |
J.P. Morgan Securities LLC, 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $250,033, collateralized by U.S. Treasury Securities, 0.00% - 4.75%, due 7/15/2020 - 11/15/2048, with a value of $255,034. | | | 250,000 | | | | 250,000 | |
| | |
Natixis SA, 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $1,000,133, collateralized by U.S. Treasury Securities, 0.00% - 5.50%, due 3/19/2020 - 2/15/2050, with a value of $1,020,135. | | | 1,000,000 | | | | 1,000,000 | |
| | |
Natixis SA, 1.57%, dated 2/28/2020, due 3/6/2020, repurchase price $1,700,519, collateralized by U.S. Treasury Securities, 0.00% - 5.50%, due 3/19/2020 - 2/15/2050, with a value of $1,740,882. | | | 1,700,000 | | | | 1,700,000 | |
| | |
Natwest Markets Securities, Inc., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $350,046, collateralized by U.S. Treasury Securities, 1.50% - 8.75%, due 8/15/2020 - 9/30/2024, with a value of $357,047. | | | 350,000 | | | | 350,000 | |
| | |
Norinchukin Bank (The), 1.68%, dated 2/28/2020, due 3/10/2020, repurchase price $200,103, collateralized by U.S. Treasury Securities, 2.00% - 3.63%, due 11/15/2026 - 4/15/2028, with a value of $202,868. | | | 200,000 | | | | 200,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 49 | |
JPMorgan U.S. Treasury Plus Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Repurchase Agreements — continued | | | | | | | | |
| | |
Norinchukin Bank (The), 1.70%, dated 2/28/2020, due 3/23/2020, repurchase price $250,283, collateralized by U.S. Treasury Securities, 2.00% - 3.63%, due 11/15/2026 - 4/15/2028, with a value of $253,585. | | | 250,000 | | | | 250,000 | |
| | |
Norinchukin Bank (The), 1.60%, dated 2/28/2020, due 4/14/2020, repurchase price $250,511, collateralized by U.S. Treasury Securities, 2.00% - 3.63%, due 11/15/2026 - 4/15/2028, with a value of $253,585. | | | 250,000 | | | | 250,000 | |
| | |
Societe Generale SA, 1.60%, dated 2/28/2020, due 4/9/2020, repurchase price $300,547, collateralized by U.S. Treasury Securities, 0.00% - 8.00%, due 3/3/2020 - 2/15/2050, with a value of $306,000. | | | 300,000 | | | | 300,000 | |
| | |
Sumitomo Mitsui Banking Corp., 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $2,500,331, collateralized by U.S. Treasury Securities, 1.50% - 2.88%, due 10/31/2020 - 8/31/2025, with a value of $2,554,144. | | | 2,500,000 | | | | 2,500,000 | |
| | |
Treasury Joint Trading Account I, J.P. Morgan Investment Management Inc., as agent, 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $1,935,256. [1] | | | 1,935,000 | | | | 1,935,000 | |
| | |
Treasury Joint Trading Account III, J.P. Morgan Investment Management Inc., as agent, 1.59%, dated 2/28/2020, due 3/2/2020, repurchase price $538,143.[3] | | | 538,072 | | | | 538,072 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(Cost $18,487,810) | | | | | | | 18,487,810 | |
| | | | | | | | |
U.S. Treasury Obligations — 21.8% | |
| | |
U.S. Treasury Floating Rate Notes | | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.12%), 1.63%, 3/2/2020 (b) | | | 800,000 | | | | 799,938 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 1.65%, 3/2/2020 (b) | | | 700,000 | | | | 699,790 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.22%), 1.73%, 3/2/2020 (b) | | | 400,000 | | | | 399,814 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%), 1.81%, 3/2/2020 (b) | | | 150,000 | | | | 150,000 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
2.25%, 3/31/2020 | | | 200,000 | | | | 200,058 | |
| | |
1.13%, 4/30/2020 | | | 48,000 | | | | 47,944 | |
| | |
1.38%, 4/30/2020 | | | 67,000 | | | | 66,923 | |
| | |
2.38%, 4/30/2020 | | | 346,000 | | | | 346,299 | |
| | |
1.50%, 7/15/2020 | | | 100,000 | | | | 99,880 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| |
| | |
1.63%, 7/31/2020 | | �� | 50,000 | | | | 49,990 | |
| | |
2.00%, 7/31/2020 | | | 585,000 | | | | 585,875 | |
| | |
2.63%, 7/31/2020 | | | 518,000 | | | | 519,740 | |
| | |
1.38%, 8/31/2020 | | | 350,000 | | | | 349,219 | |
| | |
2.13%, 8/31/2020 | | | 100,000 | | | | 100,246 | |
| | |
1.38%, 9/15/2020 | | | 541,000 | | | | 540,301 | |
| | |
1.63%, 10/15/2020 | | | 375,469 | | | | 375,430 | |
| | |
1.38%, 10/31/2020 | | | 171,000 | | | | 170,675 | |
| | |
1.75%, 10/31/2020 | | | 122,000 | | | | 122,079 | |
| | |
1.75%, 11/15/2020 | | | 150,000 | | | | 150,095 | |
| | |
2.63%, 11/15/2020 | | | 691,000 | | | | 695,708 | |
| | |
1.63%, 11/30/2020 | | | 27,998 | | | | 27,998 | |
| | |
2.00%, 11/30/2020 | | | 170,000 | | | | 170,430 | |
| | |
2.75%, 11/30/2020 | | | 116,000 | | | | 116,938 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $6,785,370) | | | | | | | 6,785,370 | |
| | | | | | | | |
Short-Term Investments — 13.6% | |
|
U.S. Treasury Obligations — 13.6% | |
| | |
U.S. Treasury Bills 1.55%, 3/10/2020 (c) | | | 2,133,000 | | | | 2,132,172 | |
| | |
1.59%, 3/12/2020 (c) | | | 1,744,000 | | | | 1,743,153 | |
| | |
1.69%, 4/9/2020 (c) | | | 350,000 | | | | 349,360 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $4,224,685) | | | | | | | 4,224,685 | |
| | | | | | | | |
| | |
Total Short-term Investments
(Cost $4,224,685) | | | | | | | 4,224,685 | |
| | | | | | | | |
Total Investments — 94.8%
(Cost $29,497,865)* | | | | | | | 29,497,865 | |
Other Assets Less Liabilities — 5.2% | | | | | | | 1,619,835 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 31,117,700 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | The rate shown is the effective yield as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
Additional Investment Information:
[1] Treasury Joint Trading Account I — At February 29, 2020, certain Funds had undivided interests in the Treasury Joint Trading Account I with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Treasury Plus Money Market Fund | | $1,935,000 | | $ | 1,935,256 | | | $ | 1,973,949 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Treasury Joint Account I were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Treasury Plus Money
Market Fund | |
BNP Paribas SA | | | 1.59 | % | | $ | 737,143 | |
Citibank NA | | | 1.59 | % | | | 92,143 | |
Wells Fargo Securities LLC | | | 1.59 | % | | | 1,105,714 | |
| | | | | | | | |
Total | | | | | | $ | 1,935,000 | |
| | | | | | | | |
At February 29, 2020, the Treasury Joint Account I was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
U.S. Treasury Securities | | | 0.00% - 8.75% | | | | 2/29/2020 - 11/15/2049 | |
[3] Treasury Joint Trading Account III — At February 29, 2020, certain Funds had undivided interests in the Treasury Joint Trading Account III with a maturity date of March 2, 2020, as follows (amounts in thousands):
| | | | | | | | | | |
| | | |
| Fund | | Principal
Amount | | Repurchase
Price | | | Collateral
Value
Allocation | |
JPMorgan U.S. Treasury Plus Money Market Fund | | $538,072 | | $ | 538,143 | | | $ | 548,833 | |
Repurchase Agreements — At February 29, 2020, the Principal Amounts of certain Funds’ interests in the Treasury Joint Account III were as follows (amounts in thousands):
| | | | | | | | |
| | |
| Counterparty | | Interest
Rate | | | JPMorgan
U.S. Treasury Plus Money
Market Fund | |
Credit Agricole Corporate and Investment Bank | | | 1.59 | % | | $ | 319,935 | |
Societe Generale SA | | | 1.59 | % | | | 218,137 | |
| | | | | | | | |
Total | | | | | | $ | 538,072 | |
| | | | | | | | |
At February 29, 2020, the Treasury Joint Account III was fully collateralized by:
| | | | | | | | |
| | |
| Issuer | | Interest Rates | | | Maturity Dates | |
U.S. Treasury Securities | | | 0.00% - 5.25% | | | | 3/3/2020 - 2/15/2049 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 51 | |
JPMorgan Federal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | Value
($000) | |
| | | | | | | | |
U.S. Government Agency Securities — 70.5% | |
| | |
FFCB | | | | | | | | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.11%), 1.69%, 3/2/2020 (b) | | | 42,000 | | | | 41,997 | |
| | |
(US Federal Funds Effective Rate (continuous series) + 0.13%), 1.71%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(Federal Reserve Bank Prime Loan Rate US - 2.96%), 1.79%, 3/2/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%), 1.81%, 3/2/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
(Federal Reserve Bank Prime Loan Rate US - 2.93%), 1.82%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(ICE LIBOR USD 1 Month - 0.01%), 1.65%,
3/15/2020 (b) | | | 50,000 | | | | 49,994 | |
| | |
FHLB | | | | | | | | |
| | |
(SOFR + 0.02%), 1.60%, 3/2/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
(SOFR + 0.03%), 1.60%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
(SOFR + 0.10%), 1.68%, 3/2/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
DN, 1.55%, 3/5/2020 (c) | | | 100,000 | | | | 99,983 | |
| | |
DN, 1.55%, 3/6/2020 (c) | | | 136,280 | | | | 136,251 | |
| | |
DN, 1.55%, 3/11/2020 (c) | | | 54,771 | | | | 54,747 | |
| | |
DN, 1.54%, 3/13/2020 (c) | | | 15,000 | | | | 14,992 | |
| | |
DN, 1.57%, 3/16/2020 (c) | | | 100,000 | | | | 99,935 | |
| | |
DN, 1.56%, 3/18/2020 (c) | | | 99,100 | | | | 99,027 | |
| | |
DN, 1.56%, 3/25/2020 (c) | | | 100,000 | | | | 99,896 | |
| | |
DN, 1.56%, 4/3/2020 (c) | | | 150,000 | | | | 149,786 | |
| | |
DN, 1.56%, 4/8/2020 (c) | | | 100,000 | | | | 99,836 | |
| | |
DN, 1.56%, 4/13/2020 (c) | | | 179,850 | | | | 179,516 | |
| | |
DN, 1.57%, 4/15/2020 (c) | | | 26,400 | | | | 26,348 | |
| | |
DN, 1.57%, 4/17/2020 (c) | | | 89,650 | | | | 89,467 | |
| | |
DN, 1.56%, 4/22/2020 (c) | | | 103,702 | | | | 103,469 | |
| | |
DN, 1.57%, 4/27/2020 (c) | | | 100,000 | | | | 99,751 | |
| | |
DN, 1.57%, 5/1/2020 (c) | | | 100,000 | | | | 99,734 | |
| | |
DN, 1.57%, 5/6/2020 (c) | | | 100,000 | | | | 99,712 | |
| | |
DN, 1.58%, 5/8/2020 (c) | | | 100,000 | | | | 99,703 | |
| | |
DN, 1.57%, 5/13/2020 (c) | | | 74,500 | | | | 74,264 | |
| | |
(ICE LIBOR USD 3 Month - 0.20%), 1.65%,
5/16/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
DN, 1.57%, 6/10/2020 (c) | | | 19,000 | | | | 18,917 | |
| | |
1.93%, 6/11/2020 | | | 25,000 | | | | 25,000 | |
| | |
1.98%, 6/16/2020 | | | 50,000 | | | | 50,000 | |
| | | | | | | | |
| |
Total U.S. Government Agency Securities
(Cost $2,162,325) | | | | 2,162,325 | |
| | | | | |
U.S. Treasury Obligations — 11.1% | |
| | |
U.S. Treasury Floating Rate Notes | | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.04%), 1.55%, 3/2/2020 (b) | | | 25,000 | | | | 24,993 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
| | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.12%), 1.63%, 3/2/2020 (b) | | | 75,000 | | | | 74,992 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.22%), 1.73%, 3/2/2020 (b) | | | 40,000 | | | | 40,003 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
1.63%, 6/30/2020 | | | 50,000 | | | | 50,003 | |
| | |
1.63%, 7/31/2020 | | | 50,000 | | | | 49,990 | |
| | |
2.63%, 8/31/2020 | | | 25,000 | | | | 25,118 | |
| | |
2.00%, 9/30/2020 | | | 25,000 | | | | 25,054 | |
| | |
2.63%, 11/15/2020 | | | 50,000 | | | | 50,343 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $340,496) | | | | 340,496 | |
| | | | | |
Short-Term Investments — 17.9% | |
|
U.S. Treasury Obligations — 17.9% | |
| | |
U.S. Treasury Bills | | | | | | | | |
| | |
1.54%, 3/10/2020 (c) | | | 300,000 | | | | 299,884 | |
| | |
1.50%, 3/24/2020 (c) | | | 100,000 | | | | 99,904 | |
| | |
1.53%, 3/31/2020 (c) | | | 100,000 | | | | 99,873 | |
| | |
1.56%, 4/14/2020 (c) | | | 50,000 | | | | 49,905 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $549,566) | | | | 549,566 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $549,566) | | | | | | | 549,566 | |
| | | | | | | | |
Total Investments — 99.5%
(Cost $3,052,387)* | | | | 3,052,387 | |
Other Assets Less Liabilities — 0.5% | | | | 16,294 | |
| | | | | |
NET ASSETS — 100.0% | | | | 3,068,681 | |
| | | | | |
Percentages indicated are based on net assets.
| | |
Abbreviations | | |
| DN | | Discount Notes |
| FFCB | | Federal Farm Credit Bank |
| FHLB | | Federal Home Loan Bank |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | The rate shown is the effective yield as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan 100% U.S. Treasury Securities Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
U.S. Treasury Obligations — 30.5% | |
| | |
U.S. Treasury Floating Rate Notes | | | | | | | | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.03%), 1.54%, 3/2/2020 (b) | | | 1,593,400 | | | | 1,593,386 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.04%), 1.55%, 3/2/2020 (b) | | | 1,207,775 | | | | 1,207,761 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.05%), 1.56%, 3/2/2020 (b) | | | 1,625,000 | | | | 1,624,753 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.12%), 1.63%, 3/2/2020 (b) | | | 1,974,400 | | | | 1,974,154 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 1.65%, 3/2/2020 (b) | | | 1,750,000 | | | | 1,749,619 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.15%), 1.67%, 3/2/2020 (b) | | | 710,000 | | | | 709,916 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.22%), 1.73%, 3/2/2020 (b) | | | 1,400,000 | | | | 1,399,919 | |
| | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%), 1.81%, 3/2/2020 (b) | | | 300,000 | | | | 300,000 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
1.38%, 3/31/2020 | | | 1,000,000 | | | | 999,622 | |
| | |
2.25%, 3/31/2020 | | | 570,000 | | | | 570,068 | |
| | |
1.50%, 5/31/2020 | | | 200,000 | | | | 199,924 | |
| | |
1.88%, 6/30/2020 | | | 262,000 | | | | 262,035 | |
| | |
2.50%, 6/30/2020 | | | 242,000 | | | | 242,527 | |
| | |
1.50%, 7/15/2020 | | | 86,000 | | | | 85,945 | |
| | |
1.63%, 7/31/2020 | | | 100,000 | | | | 99,981 | |
| | |
2.00%, 7/31/2020 | | | 110,000 | | | | 110,147 | |
| | |
2.63%, 8/15/2020 | | | 1,007,500 | | | | 1,011,862 | |
| | |
1.38%, 8/31/2020 | | | 300,657 | | | | 300,226 | |
| | |
2.13%, 8/31/2020 | | | 682,800 | | | | 684,409 | |
| | |
2.63%, 8/31/2020 | | | 1,083,610 | | | | 1,088,751 | |
| | |
1.38%, 9/30/2020 | | | 170,000 | | | | 169,736 | |
| | |
2.00%, 9/30/2020 | | | 125,000 | | | | 125,271 | |
| | |
1.38%, 10/31/2020 | | | 400,000 | | | | 399,290 | |
| | |
2.88%, 10/31/2020 | | | 835,000 | | | | 841,708 | |
| | |
1.75%, 11/15/2020 | | | 100,000 | | | | 100,073 | |
| | |
2.63%, 11/15/2020 | | | 1,330,000 | | | | 1,339,063 | |
| | |
1.63%, 11/30/2020 | | | 196,772 | | | | 196,728 | |
| | |
2.00%, 11/30/2020 | | | 522,000 | | | | 523,324 | |
| | |
1.75%, 12/31/2020 | | | 249,000 | | | | 249,224 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $20,159,422) | | | | 20,159,422 | |
| | | | | |
Short-Term Investments — 71.8% | |
|
U.S. Treasury Obligations — 71.8% | |
| | |
U.S. Treasury Bills | | | | | | | | |
| | |
1.55%, 3/3/2020 (c) | | | 2,950,000 | | | | 2,949,747 | |
| | |
1.54%, 3/10/2020 (c) | | | 10,700,000 | | | | 10,695,884 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
| | | | | | | | |
| | |
1.83%, 3/12/2020 (c) | | | 3,075,000 | | | | 3,073,279 | |
| | |
1.55%, 3/17/2020 (c) | | | 5,000,000 | | | | 4,996,565 | |
| | |
1.57%, 3/24/2020 (c) | | | 5,500,000 | | | | 5,494,489 | |
| | |
1.77%, 3/26/2020 (c) | | | 400,000 | | | | 399,509 | |
| | |
1.10%, 3/31/2020 (c) | | | 8,430,000 | | | | 8,419,345 | |
| | |
1.55%, 4/7/2020 (c) | | | 5,000,000 | | | | 4,992,035 | |
| | |
1.56%, 4/9/2020 (c) | | | 1,000,000 | | | | 998,313 | |
| | |
1.56%, 4/14/2020 (c) | | | 500,000 | | | | 499,049 | |
| | |
1.55%, 5/14/2020 (c) | | | 5,000,000 | | | | 4,984,069 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $47,502,284) | | | | 47,502,284 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $47,502,284) | | | | | | | 47,502,284 | |
| | | | | | | | |
Total Investments — 102.3%
(Cost $67,661,706)* | | | | 67,661,706 | |
Liabilities in Excess of Other Assets — (2.3)% | | | | (1,544,037 | ) |
| | | | | |
NET ASSETS — 100.0% | | | | 66,117,669 | |
| | | | | |
Percentages indicated are based on net assets.
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | The rate shown is the effective yield as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 53 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 69.9% | |
|
Alabama — 0.4% | |
| | |
East Alabama Health Care Authority, Health Care Facilities Series B, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 29,369 | | | | 29,369 | |
| | |
Mobile County IDA, PCR, ExxonMobil Project Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 1,425 | | | | 1,425 | |
| | |
Mobile Downtown Redevelopment Authority, Gulf Opportunity Zone, Austal USA LLC Project | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 6,970 | | | | 6,970 | |
| | |
Series B, Rev., VRDO, LOC: Societe Generale, 1.19%, 3/6/2020 (b) (c) | | | 4,970 | | | | 4,970 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZF2770, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 9,000 | | | | 9,000 | |
| | | | | | | | |
| | |
| | | | | | | 51,734 | |
| | | | | | | | |
|
Alaska — 0.4% | |
| | |
Alaska Housing Finance Corp., Home Mortgage | | | | | | | | |
| | |
Series A, Rev., VRDO, LIQ: FHLB, 1.13%, 3/6/2020 (b) | | | 14,085 | | | | 14,085 | |
| | |
Series B, Rev., VRDO, LIQ: FHLB, 1.13%, 3/6/2020 (b) | | | 14,085 | | | | 14,085 | |
| | |
Alaska Housing Finance Corp., Various, Governmental Purpose Series A, Rev., VRDO, LIQ: FHLB, 1.15%, 3/6/2020 (b) | | | 22,885 | | | | 22,885 | |
| | |
City of Valdez, Exxonmobil Project | | | | | | | | |
| | |
Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 2,750 | | | | 2,750 | |
| | | | | | | | |
| | |
| | | | | | | 53,805 | |
| | | | | | | | |
|
Arizona — 0.7% | |
| | |
Arizona Health Facilities Authority, Catholic Healthcare West Loan 2008 Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/6/2020 (b) | | | 3,680 | | | | 3,680 | |
| | |
Arizona State University Series A, Rev., VRDO, 1.10%, 3/6/2020 (b) | | | 14,750 | | | | 14,750 | |
| | |
Maricopa County Industrial Development Authority, Banner Health Series 2019E, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 35,800 | | | | 35,800 | |
| | |
Salt River Pima-Maricopa Indian Community Rev., VRDO, LOC: Bank of America NA, 1.19%, 3/6/2020 (b) | | | 30,330 | | | | 30,330 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-BAML8004, Rev., VRDO, LIQ: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | | | | | | | |
| | |
| | | | | | | 99,560 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
California — 1.2% | |
| | |
California Pollution Control Financing Authority, Solid Waste Disposal, Recology, Inc. Project Series A, Rev., VRDO, LOC: Bank of America NA, 1.18%, 3/6/2020 (b) | | | 10,185 | | | | 10,185 | |
| | |
City and County of San Francisco, Multi-Family Housing, Transbay Block 8 Tower Apartments | | | | | | | | |
| | |
Series H-1, Rev., VRDO, LOC: Bank of China, 1.19%, 3/6/2020 (b) | | | 4,640 | | | | 4,640 | |
| | |
Series H-2, Rev., VRDO, LOC: Bank of China, 1.20%, 3/6/2020 (b) | | | 73,145 | | | | 73,145 | |
| | |
County of Sacramento, Special Facilities Apartment, Cessna Aircraft Co. Project Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) | | | 5,800 | | | | 5,800 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XG0248, Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series XF0568, Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/6/2020 (b) (c) | | | 9,000 | | | | 9,000 | |
| | |
Series 2016-XF2322, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | |
Series 2018-BAML0005, Rev., VRDO, FHLMC, LIQ: Bank of America NA, 1.25%, 3/6/2020 (b) (c) | | | 35,480 | | | | 35,480 | |
| | | | | | | | |
| | |
| | | | | | | 148,750 | |
| | | | | | | | |
|
Colorado — 2.2% | |
| | |
City of Colorado Springs, Utilities System | | | | | | | | |
| | |
Series C, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 17,250 | | | | 17,250 | |
| | |
Series A, Rev., VRDO, LIQ: U.S. Bank NA, 1.18%, 3/6/2020 (b) | | | 11,445 | | | | 11,445 | |
| | |
Colorado Educational and Cultural Facilities Authority, Nature Conservancy Project Series 2012, Rev., VRDO, 1.18%, 3/6/2020 (b) | | | 42,080 | | | | 42,080 | |
| | |
Colorado Housing and Finance Authority, Single Family Mortgage Series 2019 D, Class I, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 22,500 | | | | 22,500 | |
| | |
Colorado State Education Loan Program Series 2019A, Rev., TRAN, 3.00%, 6/29/2020 | | | 45,000 | | | | 45,257 | |
| | |
County of Arapahoe, Multi-Family Rental Housing, Hunter’s Run Rev., VRDO, FHLMC, LOC: FHLMC, 1.18%, 3/6/2020 (b) | | | 13,765 | | | | 13,765 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Colorado — continued | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries G-24, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 12,500 | | | | 12,500 | |
| | |
University of Colorado Hospital Authority | | | | | | | | |
| | |
Series 2018-C, Rev., VRDO, LIQ: TD Bank NA, 1.10%, 3/6/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 38,380 | | | | 38,380 | |
| | |
Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 44,500 | | | | 44,500 | |
| | | | | | | | |
| | |
| | | | | | | 277,677 | |
| | | | | | | | |
|
Connecticut — 1.5% | |
| | |
Connecticut Housing Finance Authority | | | | | | | | |
| | |
Subseries F2, Rev., VRDO, LIQ: State Street Bank & Trust, 1.15%, 3/6/2020 (b) | | | 13,000 | | | | 13,000 | |
| | |
Series A,Subseries A-2, Rev., VRDO, AMT, LIQ: U.S. Bank NA, 1.17%, 3/6/2020 (b) | | | 9,200 | | | | 9,200 | |
| | |
Connecticut Housing Finance Authority, Housing Mortgage Finance Program | | | | | | | | |
| | |
Subseries B-3, Rev., VRDO, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Subseries F-5, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.16%, 3/6/2020 (b) | | | 48,200 | | | | 48,200 | |
| | |
Subseries A-3, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.20%, 3/6/2020 (b) | | | 20,335 | | | | 20,335 | |
| | |
Series D,Subseries D-3, Rev., VRDO, AMT, LIQ: Sumitomo Mitsui Banking Corp., 1.26%, 3/6/2020 (b) | | | 32,930 | | | | 32,930 | |
| | |
Subseries D-3, Rev., VRDO, AMT, LIQ: Sumitomo Mitsui Banking Corp., 1.26%, 3/6/2020 (b) | | | 20,615 | | | | 20,615 | |
| | |
State of Connecticut, Health and Educational Facilities Authority, Yale New Haven Hospital Issue | | | | | | | | |
| | |
Series O, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 21,000 | | | | 21,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series G-3, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
| | |
| | | | | | | 180,280 | |
| | | | | | | | |
|
District of Columbia — 2.7% | |
| | |
District of Columbia, Georgetown University | | | | | | | | |
| | |
Series 2007C-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 22,525 | | | | 22,525 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
District of Columbia — continued | |
| | |
Series C, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.15%, 3/6/2020 (b) | | | 33,055 | | | | 33,055 | |
| | |
District of Columbia, Medlantic/Helix Issue, Tranche II Series A, Rev., VRDO, LOC: TD Bank NA, 1.08%, 3/6/2020 (b) | | | 21,610 | | | | 21,610 | |
| | |
District of Columbia, The Pew Charitable Trust Series A, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 92,755 | | | | 92,755 | |
| | |
District of Columbia, Water and Sewer Authority, Public Utility Subordinated Lien Multimodal, Weekly Rate Period Series B,Subseries B-1, Rev., VRDO, LIQ: TD Bank NA, 1.16%, 3/6/2020 (b) | | | 22,510 | | | | 22,510 | |
| | |
Metropolitan Washington Airports Authority, Airport System | | | | | | | | |
| | |
Series A,Subseries A-1, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.18%, 3/6/2020 (b) | | | 50,215 | | | | 50,215 | |
| | |
Series D,Subseries D-2, Rev., VRDO, LOC: TD Bank NA, 1.18%, 3/6/2020 (b) | | | 12,625 | | | | 12,625 | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries E-108, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 50,000 | | | | 50,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XF0853, Rev., VRDO, LOC: TD Bank NA, 1.19%, 3/6/2020 (b) (c) | | | 25,690 | | | | 25,690 | |
| | |
Series 2019-XG0267, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 10,110 | | | | 10,110 | |
| | | | | | | | |
| | |
| | | | | | | 341,095 | |
| | | | | | | | |
|
Florida — 1.3% | |
| | |
City of Jacksonville, Florida Power and Light Co., Project Rev., VRDO, 1.21%, 3/2/2020 (b) | | | 17,290 | | | | 17,290 | |
| | |
County of Miami-Dade, Juvenile Courthouse Series B, Rev., VRDO, AMBAC, LOC: TD Bank NA, 1.08%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
County of Miami-Dade, Seaport Department Series A, Rev., VRDO, LOC: PNC Bank NA, 1.18%, 3/6/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
Florida Gulf Coast University Financing Corp., Housing Project Series A, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 15,465 | | | | 15,465 | |
| | |
Highlands County Health Facilities Authority, Adventist Health System Series A, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 14,350 | | | | 14,350 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 55 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Florida — continued | |
| | |
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group | | | | | | | | |
| | |
Series I-2, Rev., VRDO, 1.12%, 3/6/2020 (b) | | | 27,800 | | | | 27,800 | |
| | |
Series 2012I, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 30,300 | | | | 30,300 | |
| | |
Series I-1, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 25,665 | | | | 25,665 | |
| | |
Palm Beach County Multi-Family Housing Finance Authority, Renaissance Apartments Series A, Rev., VRDO, AMT, FNMA, LOC: FNMA, 1.17%, 3/6/2020 (b) | | | 8,380 | | | | 8,380 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-XF2817, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 6,400 | | | | 6,400 | |
| | | | | | | | |
| | |
| | | | | | | 170,650 | |
| | | | | | | | |
|
Georgia — 1.5% | |
| | |
Brookhaven Development Authority, Children’s Healthcare Series D, Rev., VRDO, LIQ: PNC Bank NA, 1.17%, 3/6/2020 (b) | | | 43,000 | | | | 43,000 | |
| | |
Development Authority of Burke County (The), Oglethorpe Power Corp. Vogtle ProjectSeries 2010-A, Rev., VRDO, LOC: Bank of America NA, 1.18%, 3/6/2020 (b) | | | 17,115 | | | | 17,115 | |
| | |
Development Authority of Monroe County (The), Florida Power and Light Co., Project | | | | | | | | |
| | |
Rev., VRDO, AMT, 1.22%, 3/2/2020 (b) | | | 20,925 | | | | 20,925 | |
| | |
Rev., VRDO, AMT, 1.27%, 3/2/2020 (b) | | | 48,340 | | | | 48,340 | |
| | |
Fulton County Development Authority, Children’s Healthcare | | | | | | | | |
Rev., VRDO, LIQ: PNC Bank NA, 1.17%, 3/6/2020 (b) | | | 43,750 | | | | 43,750 | |
| | |
Georgia Municipal Electric Authority, Project OneSeries 2008-B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 13,250 | | | | 13,250 | |
| | |
Griffin-Spaulding County Development Authority, Industrial Development, Norcom, Inc. Project Rev., VRDO, LOC: Bank of America NA, 1.25%, 3/6/2020 (b) | | | 1,490 | | | | 1,490 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2017-ZF0589, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 3,750 | | | | 3,750 | |
| | |
Series 2018-ZF0656, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | | | | | | | |
| | |
| | | | | | | 199,120 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hawaii — 0.1% | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries G-13, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
|
Idaho — 0.4% | |
| | |
City of Coeur d’Alene Rev., VRDO, LOC: Bank of America NA, 1.25%, 3/6/2020 (b) | | | 2,475 | | | | 2,475 | |
| | |
State of Idaho GO, TAN, 3.00%, 6/30/2020 | | | 50,000 | | | | 50,278 | |
| | | | | | | | |
| | |
| | | | | | | 52,753 | |
| | | | | | | | |
|
Illinois — 3.9% | |
| | |
Chicago O’Hare International Airport, Third Lien Series 2005D, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/6/2020 (b) | | | 77,200 | | | | 77,200 | |
| | |
City of Galesburg, Knox College Project Series 1996, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 4,300 | | | | 4,300 | |
| | |
County of Lake, A L Hansen Manufacturing Co. Project Rev., VRDO, LOC: BMO Harris Bank NA, 1.20%, 3/6/2020 (b) | | | 730 | | | | 730 | |
| | |
County of Lake, Multi-Family Housing, Whispering Oaks Apartments Project Rev., VRDO, FHLMC, LIQ: FHLMC, 1.17%, 3/6/2020 (b) | | | 21,500 | | | | 21,500 | |
| | |
Illinois Educational Facilities Authority, Columbia College Chicago Rev., VRDO, LOC: BMO Harris Bank NA, 1.15%, 3/6/2020 (b) | | | 3,890 | | | | 3,890 | |
| | |
Illinois Educational Facilities Authority, The Adler Planetarium Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 8,000 | | | | 8,000 | |
| | |
Illinois Finance Authority, Advocate Healthcare NetworkSubseries C-3A, Rev., VRDO, LIQ: Northern Trust Co., 1.17%, 3/6/2020 (b) | | | 17,150 | | | | 17,150 | |
| | |
Illinois Finance Authority, Bradley University | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 28,385 | | | | 28,385 | |
| | |
Series B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 12,790 | | | | 12,790 | |
| | |
Illinois Finance Authority, Chicago Historical Society Rev., VRDO, LOC: BMO Harris Bank NA, 1.18%, 3/6/2020 (b) | | | 47,025 | | | | 47,025 | |
| | |
Illinois Finance Authority, Chicago Symphony Orchestra Series 2008, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 73,015 | | | | 73,015 | |
| | |
Illinois Finance Authority, College 2005 Rev., VRDO, LOC: U.S. Bank NA, 1.13%, 3/6/2020 (b) | | | 4,370 | | | | 4,370 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Illinois — continued | |
| | |
Illinois Finance Authority, Hospital Sisters Services, Inc., Obligated GroupSeries 2012-G, Rev., VRDO, LOC: Bank of Montreal, 1.15%, 3/6/2020 (b) | | | 20,945 | | | | 20,945 | |
| | |
Illinois Finance Authority, Mccormick TheologicalSeries 2001-B, Rev., VRDO, LOC: Northern Trust Co., 1.14%, 3/6/2020 (b) | | | 15,250 | | | | 15,250 | |
| | |
Illinois Finance Authority, Northwestern Memorial Hospital | | | | | | | | |
| | |
Series 2007A-2, Rev., VRDO, LIQ: U.S. Bank NA, 1.16%, 3/2/2020 (b) | | | 5,595 | | | | 5,595 | |
| | |
Series 2007A-4, Rev., VRDO, LIQ: U.S. Bank NA, 1.16%, 3/2/2020 (b) | | | 7,700 | | | | 7,700 | |
| | |
Series A-1, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Illinois Finance Authority, St. Ignatius College Preparation Project Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 13,000 | | | | 13,000 | |
| | |
Illinois Finance Authority, The University of Chicago Medical Center Series 2011B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.18%, 3/6/2020 (b) | | | 38,820 | | | | 38,820 | |
| | |
Illinois Finance Authority, The Wbez Alliance, Inc., Project Rev., VRDO, LOC: BMO Harris Bank NA, 1.15%, 3/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Illinois Housing Development Authority, Alden Gardens Bloomingdale Rev., VRDO, LOC: BMO Harris Bank NA, 1.15%, 3/6/2020 (b) | | | 7,570 | | | | 7,570 | |
| | |
Illinois Housing Development Authority, Homeowner Mortgage | | | | | | | | |
| | |
Series 2018-A-2, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: FHLB, 1.17%, 3/6/2020 (b) | | | 12,500 | | | | 12,500 | |
| | |
Series C-3, Rev., VRDO, AMT, LIQ: FHLB, 1.30%, 3/6/2020 (b) | | | 5,200 | | | | 5,200 | |
| | |
Illinois Housing Development Authority, Multi-Family Housing, Prairie Station Apartments Rev., VRDO, FNMA, LIQ: FNMA, 1.21%, 3/6/2020 (b) | | | 17,900 | | | | 17,900 | |
| | |
Jackson-Union Counties Regional Port District, Port Facility, Enron Transportation Services Rev., VRDO, LOC: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) | | | 21,300 | | | | 21,300 | |
| | |
Village of Justice, Multi-Family Housing, Candlewood Apartments Project Rev., VRDO, FNMA, LOC: FNMA, 1.21%, 3/6/2020 (b) | | | 9,000 | | | | 9,000 | |
| | | | | | | | |
| | |
| | | | | | | 503,135 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Indiana — 0.9% | |
| | |
Indiana Finance Authority, Ascension Health Senior Credit Group | | | | | | | | |
| | |
Rev., VRDO, 1.13%, 3/6/2020 (b) | | | 19,750 | | | | 19,750 | |
| | |
Series 2008E-8, Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 15,450 | | | | 15,450 | |
| | |
Indiana Finance Authority, Duke Energy Indiana, Inc., ProjectSeries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.20%, 3/6/2020 (b) | | | 30,610 | | | | 30,610 | |
| | |
Indiana Finance Authority, Educational Facilities, Depauw University Project Series A, Rev., VRDO, LOC: BMO Harris Bank NA, 1.12%, 3/6/2020 (b) | | | 4,910 | | | | 4,910 | |
| | |
Indiana Finance Authority, Stadium ProjectSeries 2005A-1, Rev., VRDO, LIQ: Bank of America NA, 1.21%, 3/6/2020 (b) | | | 21,645 | | | | 21,645 | |
| | |
Indiana Health and Educational Facilities Financing Authority, Community Hospital Lagrange County Series A, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 16,185 | | | | 16,185 | |
| | |
Indiana State Finance Authority, Lease Appropriation, Stadium Project Series A, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 13,620 | | | | 13,620 | |
| | | | | | | | |
| | |
| | | | | | | 122,170 | |
| | | | | | | | |
|
Iowa — 1.1% | |
| | |
Iowa Finance Authority, Midwestern Disaster Area, Archer-Daniels-Midland Co. Project | | | | | | | | |
| | |
Rev., VRDO, 1.18%, 3/6/2020 (b) | | | 48,015 | | | | 48,015 | |
| | |
Rev., VRDO, 1.18%, 3/6/2020 (b) | | | 36,750 | | | | 36,750 | |
| | |
Iowa Finance Authority, Midwestern Disaster Area, Chrisbro III, Inc. Project Series 2011, Rev., VRDO, LOC: Great Western Bank, 1.17%, 3/6/2020 (b) | | | 5,890 | | | | 5,890 | |
| | |
Iowa Finance Authority, Multi-Family Housing Series A, Rev., VRDO, AMT, LIQ: Wells Fargo Bank NA, 1.20%, 3/6/2020 (b) | | | 11,130 | | | | 11,130 | |
| | |
Iowa Finance Authority, Single Family Mortgage-Backed Securities Program | | | | | | | | |
| | |
Series 2020B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 7,500 | | | | 7,500 | |
| | |
Series B, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: U.S. Bank NA, 1.13%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Iowa Finance Authority, Solid Waste Facilities, Midamerican Energy Co. Project Rev., VRDO, AMT, 1.18%, 3/6/2020 (b) | | | 17,500 | | | | 17,500 | |
| | |
Iowa Finance Authority, Trinity Health Series D, Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 6,740 | | | | 6,740 | |
| | | | | | | | |
| | |
| | | | | | | 143,525 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 57 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Kansas — 0.6% | |
| | |
City of Wichita Series 298, GO, 4.00%, 10/15/2020 | | | 64,390 | | | | 65,459 | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries G-23, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 12,500 | | | | 12,500 | |
| | | | | | | | |
| | |
| | | | | | | 77,959 | |
| | | | | | | | |
|
Kentucky — 0.9% | |
| | |
Boyle County, Centre College Project Series A, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 34,035 | | | | 34,035 | |
| | |
Louisville and Jefferson County Metropolitan Sewer and Drainage District Rev., BAN, 3.00%, 10/23/2020 | | | 35,000 | | | | 35,363 | |
| | |
Louisville Regional Airport Authority, Special Facilities, UPS Worldwide Forwarding Series A, Rev., VRDO, 1.31%, 3/2/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Inc. Series 2013C, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 20,900 | | | | 20,900 | |
| | | | | | | | |
| | |
| | | | | | | 105,298 | |
| | | | | | | | |
|
Louisiana — 0.5% | |
| | |
East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobile Project, Gulf Opportunity Zone Series 2010B, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 19,400 | | | | 19,400 | |
| | |
Louisiana Public Facilities Authority, Multi-Family Housing, River View Rev., VRDO, FHLMC, LOC: FHLMC, 1.16%, 3/6/2020 (b) | | | 11,200 | | | | 11,200 | |
| | |
State of Louisiana, Gas and Fuels Tax Series 2016-XG0035, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 7,240 | | | | 7,240 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-BAML7002, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | | | | | | | |
| | |
| | | | | | | 52,840 | |
| | | | | | | | |
|
Maine — 0.2% | |
| | |
Maine State Housing Authority | | | | | | | | |
| | |
Series B2, Rev., VRDO, AMT, LIQ: Bank of America NA, 1.22%, 3/6/2020 (b) | | | 14,000 | | | | 14,000 | |
| | |
Series G, Rev., VRDO, AMT, LIQ: Bank of America NA, 1.22%, 3/6/2020 (b) | | | 10,165 | | | | 10,165 | |
| | | | | | | | |
| | |
| | | | | | | 24,165 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Maryland — 1.0% | |
| | |
County of Montgomery, CHE Trinity Health Credit Group Series MD, Rev., VRDO, 1.12%, 6/1/2020 (b) | | | 18,000 | | | | 18,000 | |
| | |
Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family, Monteverde Apartments Series E, Rev., VRDO, AMT, FHLMC, LOC: FHLMC, 1.18%, 3/6/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family, Walker Series A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.21%, 3/6/2020 (b) | | | 11,700 | | | | 11,700 | |
| | |
Maryland Health and Higher Educational Facilities Authority, Pooled Loan Program Series D, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) | | | 1,254 | | | | 1,254 | |
| | |
Maryland Stadium Authority, Sports Facilities, Football Stadium Issue Series 2007, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.13%, 3/6/2020 (b) | | | 20,325 | | | | 20,325 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2581, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 19,460 | | | | 19,460 | |
| | |
Series 2018-XF2763, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
Series 2019-ZF2799, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 13,485 | | | | 13,485 | |
| | |
Series 2018-XF0605, Rev., VRDO, LIQ: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 3,300 | | | | 3,300 | |
| | |
Series 2018-ZM0596, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.20%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | | | | | | | |
| | |
| | | | | | | 117,024 | |
| | | | | | | | |
|
Massachusetts — 2.8% | |
| | |
City of Quincy | | | | | | | | |
| | |
Series A, GO, BAN, 3.00%, 6/12/2020 | | | 39,699 | | | | 39,882 | |
| | |
GO, BAN, 2.25%, 7/10/2020 | | | 50,000 | | | | 50,159 | |
| | |
Commonwealth of Massachusetts | | | | | | | | |
| | |
Series 2019A, GO, RAN, 4.00%, 4/23/2020 | | | 50,000 | | | | 50,203 | |
| | |
Series 2019B, GO, RAN, 4.00%, 5/21/2020 | | | 40,000 | | | | 40,250 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Massachusetts — continued | | | | | | | | |
| | |
Massachusetts Bay Transportation Authority, General Transportation SystemSeries A-1, Rev., VRDO, LIQ: Barclays Bank plc, 1.14%, 3/6/2020 (b) | | | 25,490 | | | | 25,490 | |
| | |
Massachusetts Development Finance Agency, First Mortgage Brookhaven Series B, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) | | | 1,500 | | | | 1,500 | |
| | |
Massachusetts Health and Educational Facilities Authority, Capital Asset Program | | | | | | | | |
| | |
Series M-2, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) | | | 5,495 | | | | 5,495 | |
| | |
Series M-4A, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) | | | 1,635 | | | | 1,635 | |
| | |
Massachusetts Health and Educational Facilities Authority, Museum of Fine ArtsSeries 2007A-1, Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/2/2020 (b) | | | 85,400 | | | | 85,400 | |
| | |
Massachusetts Housing Finance Agency, Single Family Housing Series 208, Rev., VRDO, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 3,400 | | | | 3,400 | |
| | |
Rib Floater Trust Various States | | | | | | | | |
| | |
Series 2018-012, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 11,870 | | | | 11,870 | |
| | |
Series 2019-004, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 38,000 | | | | 38,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF2692, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 4,190 | | | | 4,190 | |
| | | | | | | | |
| | |
| | | | | | | 357,474 | |
| | | | | | | | |
|
Michigan — 1.4% | |
| | |
Kent Hospital Finance Authority, Spectrum Health System Series C, Rev., VRDO, LOC: Bank of New York Mellon, 1.15%, 3/6/2020 (b) | | | 890 | | | | 890 | |
| | |
Michigan State Housing Development Authority, Rental Housing | | | | | | | | |
| | |
Series D, Rev., VRDO, AMT, LIQ: Bank of America NA, 1.20%, 3/6/2020 (b) | | | 51,535 | | | | 51,535 | |
| | |
Series C, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 1.23%, 3/6/2020 (b) | | | 32,130 | | | | 32,130 | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., VRDO, AMT, LIQ: Industrial & Commercial Bank of China, 1.29%, 3/6/2020 (b) | | | 44,765 | | | | 44,765 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Michigan — continued | | | | | | | | |
| | |
Rib Floater Trust Various StatesSeries 2018-009, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 6,000 | | | | 6,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2016-XF0394, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/6/2020 (b) (c) | | | 11,580 | | | | 11,580 | |
| | |
Series 2017-XG0158, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/6/2020 (b) (c) | | | 4,075 | | | | 4,075 | |
| | |
Series 2018-XG0186, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/6/2020 (b) (c) | | | 21,540 | | | | 21,540 | |
| | | | | | | | |
| | |
| | | | | | | 172,515 | |
| | | | | | | | |
|
Minnesota — 1.0% | |
| | |
City of Oak Park Heights, Multi-Family Housing, Boutwells Landing Rev., VRDO, FHLMC, LIQ: FHLMC, 1.14%, 3/6/2020 (b) | | | 21,400 | | | | 21,400 | |
| | |
City of Rochester, Health Care Facilities, Mayo Clinic Series A, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 19,160 | | | | 19,160 | |
| | |
Midwest Consortium of Municipal Utilities, Draw Down Association Financing Project Series B, Rev., VRDO, LOC: U.S. Bank NA, 1.14%, 3/6/2020 (b) | | | 6,940 | | | | 6,940 | |
| | |
Minnesota Housing Finance Agency, Residential Housing Finance | | | | | | | | |
| | |
Series F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 37,800 | | | | 37,800 | |
| | |
Series F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: FHLB, 1.20%, 3/6/2020 (b) | | | 37,535 | | | | 37,535 | |
| | | | | | | | |
| | |
| | | | | | | 122,835 | |
| | | | | | | | |
|
Mississippi — 3.5% | |
| | |
County of Jackson, Pollution Control, Chevron USA, Inc., Project Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 21,105 | | | | 21,105 | |
| | |
County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 1.23%, 3/2/2020 (b) | | | 53,650 | | | | 53,650 | |
| | |
Mississippi Business Finance Corp., Chevron USA, Inc., Project Series 2007D, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 3,525 | | | | 3,525 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 59 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Mississippi — continued | | | | | | | | |
| | |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project | | | | | | | | |
| | |
Series 2007A, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 32,270 | | | | 32,270 | |
| | |
Series 2010J, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 16,000 | | | | 16,000 | |
| | |
Series 2011 F, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 5,200 | | | | 5,200 | |
| | |
Series 2007C, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 11,560 | | | | 11,560 | |
| | |
Series 2007E, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 7,750 | | | | 7,750 | |
| | |
Series 2009A, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 7,690 | | | | 7,690 | |
| | |
Series 2009E, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 3,700 | | | | 3,700 | |
| | |
Series 2009F, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 500 | | | | 500 | |
| | |
Series 2010 H, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 10,035 | | | | 10,035 | |
| | |
Series 2010 I, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 21,450 | | | | 21,450 | |
| | |
Series 2010G, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 4,855 | | | | 4,855 | |
| | |
Series 2011 G, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 16,570 | | | | 16,570 | |
| | |
Series 2011A, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 17,625 | | | | 17,625 | |
| | |
Series C, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 2,680 | | | | 2,680 | |
| | |
Series C, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 3,140 | | | | 3,140 | |
| | |
Series D, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 15,925 | | | | 15,925 | |
| | |
Series G, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 21,340 | | | | 21,340 | |
| | |
Series K, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 60,410 | | | | 60,410 | |
| | |
Series 2009B, Rev., VRDO, 1.23%, 3/2/2020 (b) | | | 3,800 | | | | 3,800 | |
| | |
Series A, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 27,925 | | | | 27,925 | |
| | |
Series C, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 24,125 | | | | 24,125 | |
| | |
Mississippi Development Bank, Industrial Water System Project Series 2009, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 7,895 | | | | 7,895 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Mississippi — continued | | | | | | | | |
| | |
Mississippi Hospital Equipment and Facilities Authority, North Mississippi Health Services | | | | | | | | |
| | |
Series 1, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 31,725 | | | | 31,725 | |
| | |
Series 1997-1, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 7,305 | | | | 7,305 | |
| | | | | | | | |
| | |
| | | | | | | 439,755 | |
| | | | | | | | |
|
Missouri — 2.9% | |
| | |
City of Kansas City, ROE Bartle Series E, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 59,075 | | | | 59,075 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System | | | | | | | | |
| | |
Series C, Rev., VRDO, LIQ: BJC Health System, 1.12%, 3/6/2020 (b) | | | 17,835 | | | | 17,835 | |
| | |
Series A, Rev., VRDO, LIQ: U.S. Bank NA, 1.14%, 3/6/2020 (b) | | | 76,950 | | | | 76,950 | |
| | |
Series B, Rev., VRDO, LIQ: BJC Health System, 1.14%, 3/6/2020 (b) | | | 77,295 | | | | 77,295 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Series F, Rev., VRDO, 1.33%, 3/2/2020 (b) | | | 4,275 | | | | 4,275 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Series 2014G, Rev., VRDO, 1.12%, 3/6/2020 (b) | | | 8,370 | | | | 8,370 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Healthcare Series D, Rev., VRDO, 1.13%, 3/6/2020 (b) | | | 35,915 | | | | 35,915 | |
| | |
Missouri Development Finance Board, Cultural Facilities, Kauffman Center For The Performing Arts Project Series A, Rev., VRDO, LIQ: PNC Bank NA, 1.15%, 3/2/2020 (b) | | | 25,900 | | | | 25,900 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates Series C17, Rev., VRDO, LOC: Royal Bank of Canada, 1.19%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XM0575, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 8,000 | | | | 8,000 | |
| | |
Series C-16, Rev., VRDO, LOC: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 25,050 | | | | 25,050 | |
| | | | | | | | |
| | |
| | | | | | | 348,665 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Nevada — 0.9% | |
| | |
City of Reno, Hospital, Renown Regional Medical Center Project Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.15%, 3/6/2020 (b) | | | 32,175 | | | | 32,175 | |
| | |
Clark County, Department of Aviation, Nevada Airport System, Subordinate LienSeries C-3, Rev., VRDO, AMT, LOC: Sumitomo Mitsui Banking Corp., 1.20%, 3/6/2020 (b) | | | 8,730 | | | | 8,730 | |
| | |
Clark County, Industrial Development, Southwest Gas Corp. Project Series A, Rev., VRDO, LOC: Bank of America NA, 1.16%, 3/6/2020 (b) | | | 16,555 | | | | 16,555 | |
| | |
County of Clark Department of Aviation, Sub LienSeries 2008D-2A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.13%, 3/6/2020 (b) | | | 21,940 | | | | 21,940 | |
| | |
Nevada Housing Division, Multi-Unit Housing Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.27%, 3/6/2020 (b) | | | 7,550 | | | | 7,550 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF0612, GO, VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 6,840 | | | | 6,840 | |
| | |
Series 2019-G98, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,750 | | | | 4,750 | |
| | | | | | | | |
| | |
| | | | | | | 98,540 | |
| | | | | | | | |
|
New Jersey — 0.5% | |
| | |
Borough of Beachwood Series 2020A, GO, BAN, 2.00%, 3/4/2021 | | | 10,039 | | | | 10,148 | |
| | |
Rib Floater Trust Various States | | | | | | | | |
| | |
Series 2018-019, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 15,820 | | | | 15,820 | |
| | |
Series 2018-020, Rev., VRDO, LIQ: Barclays Bank plc, 1.22%, 3/6/2020 (b) (c) | | | 22,210 | | | | 22,210 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XG0168, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 15,450 | | | | 15,450 | |
| | |
Series 2018-XX1091, Rev., VRDO,NATL-RE, LOC: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 9,000 | | | | 9,000 | |
| | |
Series 2018-XX1093, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 3,600 | | | | 3,600 | |
| | | | | | | | |
| | |
| | | | | | | 76,228 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — 12.1% | |
| | |
Albany City School District Series B, GO, BAN, 2.00%, 7/31/2020 | | | 27,217 | | | | 27,290 | |
| | |
City of New York | | | | | | | | |
| | |
Series F,Subseries F-3, GO, VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 25,200 | | | | 25,200 | |
| | |
Subseries L-5, GO, VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 16,100 | | | | 16,100 | |
| | |
Subseries 2008L-4, GO, VRDO, LOC: U.S. Bank NA, 1.25%, 3/2/2020 (b) | | | 15,295 | | | | 15,295 | |
| | |
City of New York, Fiscal Year 2006 Series I,Subseries I-8, GO, VRDO, LIQ: State Street Bank & Trust, 1.19%, 3/2/2020 (b) | | | 6,960 | | | | 6,960 | |
| | |
City of New York, Fiscal Year 2008Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thueringen, 1.21%, 3/2/2020 (b) | | | 28,950 | | | | 28,950 | |
| | |
City of New York, Fiscal Year 2012 | | | | | | | | |
| | |
Series G,Subseries G-7, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.19%, 3/2/2020 (b) | | | 22,115 | | | | 22,115 | |
| | |
Series D,Subseries D-3A, GO, VRDO, LIQ: Bank of New York Mellon, 1.21%, 3/2/2020 (b) | | | 42,405 | | | | 42,405 | |
| | |
City of New York, Fiscal Year 2013 | | | | | | | | |
| | |
Series A,Subseries A-2, GO, VRDO, LIQ: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 70,600 | | | | 70,600 | |
| | |
Series A,Subseries A-3, GO, VRDO, LOC: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 44,705 | | | | 44,705 | |
| | |
City of New York, Fiscal Year 2014 | | | | | | | | |
| | |
Subseries D-4, GO, VRDO, LOC: TD Bank NA, 1.18%, 3/2/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Series D,Subseries D-5, GO, VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 51,550 | | | | 51,550 | |
| | |
City of New York, Fiscal Year 2017 Series A,Subseries A-6, GO, VRDO, LIQ: Landesbank Hessen-Thueringen, 1.21%, 3/2/2020 (b) | | | 35,345 | | | | 35,345 | |
| | |
City of New York, Fiscal Year 2019 Series D,Subseries D-4, GO, VRDO, LIQ: Barclays Bank plc, 1.17%, 3/2/2020 (b) | | | 30,825 | | | | 30,825 | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
Subseries E-3, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 1,340 | | | | 1,340 | |
| | |
Subseries E-1, Rev., VRDO, LOC: U.S. Bank NA, 1.18%, 3/2/2020 (b) | | | 1,615 | | | | 1,615 | |
| | |
Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 60,455 | | | | 60,455 | |
| | |
Subseries E-1, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 9,580 | | | | 9,580 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 61 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
Subseries E-4, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 25,775 | | | | 25,775 | |
| | |
Series 2018B-1F, Rev., BAN, 5.00%, 5/15/2020 | | | 11,815 | | | | 11,908 | |
| | |
Series 2018B-1G, Rev., BAN, 5.00%, 5/15/2020 | | | 22,785 | | | | 22,964 | |
| | |
Series 2018B-1H, Rev., BAN, 5.00%, 5/15/2020 | | | 12,875 | | | | 12,975 | |
| | |
Series 2019D-2, Rev., BAN, 4.00%, 7/1/2020 | | | 52,000 | | | | 52,467 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing Series 2001A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 24,800 | | | | 24,800 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, Brittany Development Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 6,200 | | | | 6,200 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 10,630 | | | | 10,630 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, Westport Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
New York City Housing Development Corp., Multi-Family, 88 Murray Street Series A, Rev., VRDO, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 11,700 | | | | 11,700 | |
| | |
New York City Housing Development Corp., Multi-Family, Manhattan Court Series A, Rev., VRDO, LOC: Citibank NA, 1.18%, 3/6/2020 (b) | | | 15,945 | | | | 15,945 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Fiscal Year 2008 | | | | | | | | |
| | |
Series BB-5, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/2/2020 (b) | | | 3,765 | | | | 3,765 | |
| | |
Subseries B-1A, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 50,000 | | | | 50,000 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Fiscal Year 2012 | | | | | | | | |
| | |
Series 2012A-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.17%, 3/2/2020 (b) | | | 10,400 | | | | 10,400 | |
| | |
Series B,Subseries B-1, Rev., VRDO, LIQ: U.S. Bank NA, 1.18%, 3/2/2020 (b) | | | 11,100 | | | | 11,100 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
Series B,Subseries B-4, Rev., VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/2/2020 (b) | | | 5,240 | | | | 5,240 | |
| | |
Series B,Subseries B-2, Rev., VRDO, LIQ: State Street Bank & Trust, 1.25%, 3/2/2020 (b) | | | 4,205 | | | | 4,205 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution | | | | | | | | |
| | |
Series 2009BB-2, Rev., VRDO, LIQ: Landesbank Hessen- Thueringen, 1.19%, 3/2/2020 (b) | | | 32,195 | | | | 32,195 | |
| | |
Series BB, Rev., VRDO, LIQ: State Street Bank & Trust, 1.21%, 3/2/2020 (b) | | | 39,485 | | | | 39,485 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2001Subseries F-1, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.15%, 3/2/2020 (b) | | | 67,715 | | | | 67,715 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 | | | | | | | | |
| | |
Subseries 2014AA-3, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 8,850 | | | | 8,850 | |
| | |
Series AA,Subseries AA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 21,530 | | | | 21,530 | |
| | |
Subseries AA-4, Rev., VRDO, LIQ: Bank of Montreal, 1.24%, 3/2/2020 (b) | | | 22,440 | | | | 22,440 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2015 | | | | | | | | |
| | |
Subseries BB-1, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 31,720 | | | | 31,720 | |
| | |
Series 2015-BB-2, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.20%, 3/2/2020 (b) | | | 45,605 | | | | 45,605 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2019 Rev., VRDO, LIQ: Industrial & Commercial Bank of China, 1.20%, 3/6/2020 (b) | | | 40,050 | | | | 40,050 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured Subseries C4, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.21%, 3/2/2020 (b) | | | 1,100 | | | | 1,100 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2001 Series C, Rev., VRDO, LIQ: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 40,510 | | | | 40,510 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003Subseries A-4, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 8,515 | | | | 8,515 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013Subseries A-6, Rev., VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/2/2020 (b) | | | 8,350 | | | | 8,350 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2016Subseries A-4, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 29,700 | | | | 29,700 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018Subseries C-6, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.20%, 3/6/2020 (b) | | | 36,000 | | | | 36,000 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, New York City Recovery | | | | | | | | |
| | |
Subseries 2-F, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.20%, 3/6/2020 (b) | | | 6,910 | | | | 6,910 | |
| | |
Series 1, Subseries 1A, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.22%, 3/6/2020 (b) | | | 1,105 | | | | 1,105 | |
| | |
New York City Transitional Finance Authority, New York City Recovery Series 3,Subseries 3-G, Rev., VRDO, LIQ: Bank of New York Mellon, 1.14%, 3/6/2020 (b) | | | 9,245 | | | | 9,245 | |
| | |
New York State Dormitory Authority, Court Facilities Lease Series B, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.25%, 3/6/2020 (b) | | | 59,525 | | | | 59,525 | |
| | |
New York State Energy Research and Development Authority | | | | | | | | |
| | |
Series 2010A-1, Rev., VRDO, LOC:Bank of Nova Scotia, 1.16%, 3/6/2020 (b) | | | 24,000 | | | | 24,000 | |
| | |
Series C,Subseries C-2, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.16%, 3/6/2020 (b) | | | 1,010 | | | | 1,010 | |
| | |
New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project Series A,Subseries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.15%, 3/6/2020 (b) | | | 920 | | | | 920 | |
| | |
New York State Housing Finance Agency | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 18,100 | | | | 18,100 | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 1,700 | | | | 1,700 | |
| | |
New York State Housing Finance Agency, 360 West 43rd Street Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 2,400 | | | | 2,400 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
New York State Housing Finance Agency, Weyant Green Apartments Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.25%, 3/6/2020 (b) | | | 100 | | | | 100 | |
| | |
New York State Housing Finance Agency, Worth Street | | | | | | | | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 3,400 | | | | 3,400 | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 2,100 | | | | 2,100 | |
| | |
RBC Municipal Products, Inc. TrustSeries E-118, GO, VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries E-99, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 27,000 | | | | 27,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series E-111, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 49,370 | | | | 49,370 | |
| | |
Series 2018-E-126, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 35,000 | | | | 35,000 | |
| | |
Series 2018-E-129, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 35,000 | | | | 35,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,516,054 | |
| | | | | | | | |
|
North Carolina — 1.2% | |
| | |
Buncombe County Metropolitan Sewerage District Series A, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.15%, 3/6/2020 (b) | | | 23,165 | | | | 23,165 | |
| | |
Charlotte-Mecklenburg Hospital Authority, Health Care Series E, Rev., VRDO, AGM, LOC: TD Bank NA, 1.19%, 3/6/2020 (b) | | | 27,805 | | | | 27,805 | |
| | |
City of Raleigh, Downtown Improvement Projects | | | | | | | | |
| | |
Series B-1, COP, VRDO, LIQ: Wells Fargo Bank NA, 1.12%, 3/6/2020 (b) | | | 10,350 | | | | 10,350 | |
| | |
Series B-2, COP, VRDO, LIQ: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 29,625 | | | | 29,625 | |
| | |
City of Raleigh, Enterprise System Series 2008A, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/6/2020 (b) | | | 16,440 | | | | 16,440 | |
| | |
Forsyth County Series A, GO, VRDO, LIQ: Wells Fargo Bank NA, 1.14%, 3/6/2020 (b) | | | 4,525 | | | | 4,525 | |
| | |
North Carolina Medical Care Commission, Moses Cone Health System Series 2004A, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 31,770 | | | | 31,770 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 63 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
North Carolina — continued | | | | | | | | |
| | |
Person County Industrial Facilities and Pollution Control Financing Authority, Recovery Zone Facility, CertainTeed Gypsum NC, Inc. Series 2010, Rev., VRDO, LOC: Credit Industriel et Commercial, 1.17%, 3/6/2020 (b) | | | 14,800 | | | | 14,800 | |
| | |
University of North Carolina, University Hospital at Chapel Hill Series B, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.20%, 3/2/2020 (b) | | | 375 | | | | 375 | |
| | | | | | | | |
| | |
| | | | | | | 158,855 | |
| | | | | | | | |
|
Ohio — 1.7% | |
| | |
City of Blue Ash, Economic Development, Ursuline Academy of Cincinnati Project Series 2008, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 200 | | | | 200 | |
| | |
Cleveland-Cuyahoga County, Port Authority Cultural Facility, Museum of Art Project Series B, Rev., VRDO, LIQ: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
Columbus Regional Airport Authority, Flightsafety International Inc., Project Series B, Rev., VRDO, AMT, 1.20%, 3/6/2020 (b) | | | 15,040 | | | | 15,040 | |
| | |
County of Hamilton, Cincinnati Children’s Hospital Medical Center Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 27,950 | | | | 27,950 | |
| | |
County of Hamilton, Hospital Facilities, The Elizabeth Gamble Deaconess Home Association | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: Northern Trust Co., 1.15%, 3/6/2020 (b) | | | 13,250 | | | | 13,250 | |
| | |
Series B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 9,500 | | | | 9,500 | |
| | |
County of Montgomery, Hospital Facilities, Premier Health Partners Obligated Group Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 29,425 | | | | 29,425 | |
| | |
Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health SystemSeries 2013-B-2, Rev., VRDO, LIQ: Bank of New York Mellon, 1.26%, 3/2/2020 (b) | | | 20,025 | | | | 20,025 | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries E-119, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
State of Ohio, Cleveland Clinic Health System | | | | | | | | |
| | |
Series 2019E, Rev., VRDO, LIQ: PNC Bank NA, 1.25%, 3/2/2020 (b) | | | 16,235 | | | | 16,235 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Ohio — continued | | | | | | | | |
| | |
Series 2019 D2, Rev., VRDO, 1.14%, 3/6/2020 (b) | | | 8,400 | | | | 8,400 | |
| | |
State of Ohio, University Hospitals Health System, Inc.Series 2018-B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 5,470 | | | | 5,470 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-E132, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
Series 2019-E-134, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 12,800 | | | | 12,800 | |
| | |
Series 2020-XL0126, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 4,800 | | | | 4,800 | |
| | | | | | | | |
| | |
| | | | | | | 223,095 | |
| | | | | | | | |
| | | | | | | | |
| | |
Oregon — 0.1% | | | | | | | | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZM0637, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | | | | | | | |
| | |
Other — 1.3% | | | | | | | | |
| | |
EagleTax-Exempt Trust Series 0055F, Class A, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 1.19%, 3/6/2020 (b) (c) | | | 35,335 | | | | 35,335 | |
| | |
FHLMC, Multi-Family Housing | | | | | | | | |
| | |
Series M020, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.19%, 3/6/2020 (b) (c) | | | 16,890 | | | | 16,890 | |
| | |
Series M021, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.19%, 3/6/2020 (b) (c) | | | 38,425 | | | | 38,425 | |
| | |
Series M015, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.20%, 3/6/2020 (b) (c) | | | 5,085 | | | | 5,085 | |
| | |
Series M019, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.20%, 3/6/2020 (b) (c) | | | 32,547 | | | | 32,547 | |
| | |
Series M025, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.22%, 3/6/2020 (b) (c) | | | 19,430 | | | | 19,430 | |
| | |
Series M026, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.22%, 3/6/2020 (b) (c) | | | 10,895 | | | | 10,895 | |
| | |
SunAmerica Taxable Trust, Various States Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.21%, 3/6/2020 (b) | | | 690 | | | | 690 | |
| | | | | | | | |
| | |
| | | | | | | 159,297 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Pennsylvania — 3.7% | |
| | |
Allegheny County Higher Education Building Authority, Carnegie Mellon UniversitySeries 2008-A, Rev., VRDO, LIQ: Bank of New York Mellon, 1.25%, 3/2/2020 (b) | | | 3,450 | | | | 3,450 | |
| | |
Bucks County IDA, Grand View Hospital | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 400 | | | | 400 | |
| | |
Series B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 19,200 | | | | 19,200 | |
| | |
County of Allegheny | | | | | | | | |
| | |
Series C, GO, VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 33,775 | | | | 33,775 | |
| | |
Series C-51, GO, VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 12,000 | | | | 12,000 | |
| | |
Fayette County Hospital Authority, Regional Health System Series A, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 25,030 | | | | 25,030 | |
| | |
Montgomery County Redevelopment Authority, Multi-Family Housing, Brookside Manors Apartments Project | | | | | | | | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 18,910 | | | | 18,910 | |
| | |
Series A-T2, Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 690 | | | | 690 | |
| | |
Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.21%, 3/6/2020 (b) | | | 17,080 | | | | 17,080 | |
| | |
Pennsylvania Higher Educational Facilities Authority, Susquehanna University Project Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 2,200 | | | | 2,200 | |
| | |
Philadelphia Gas Works Co., 1998 General Ordinance | | | | | | | | |
| | |
Series B, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 18,115 | | | | 18,115 | |
| | |
Series E, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 24,770 | | | | 24,770 | |
| | |
Series D, Rev., VRDO, LOC: Royal Bank of Canada, 1.13%, 3/6/2020 (b) | | | 12,300 | | | | 12,300 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates | | | | | | | | |
| | |
Series E-110, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 15,000 | | | | 15,000 | |
| | |
Series E-111, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 160,095 | | | | 160,095 | |
| | |
Series E-101, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 72,250 | | | | 72,250 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Pennsylvania — continued | | | | | | | | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-ZF2779, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 5,070 | | | | 5,070 | |
| | |
Series 2018-XG0201, Rev., VRDO, GTD, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
| | |
| | | | | | | 460,335 | |
| | | | | | | | |
| | |
Rhode Island — 0.3% | | | | | | | | |
| | |
Rhode Island Health and Educational Building Corp., Educational Institution, International Institute of Rhode Island Rev., VRDO, LOC: Bank of America NA, 1.19%, 3/6/2020 (b) | | | 1,390 | | | | 1,390 | |
| | |
Rhode Island Health and Educational Building Corp., Higher Education Facility, Rhode Island School of Design Issue Series 2008 B, Rev., VRDO, LOC: TD Bank NA, 1.08%, 3/6/2020 (b) | | | 7,045 | | | | 7,045 | |
| | |
Rhode Island Housing and Mortgage Finance Corp., Multi-Family Housing, Sutterfield Project Rev., VRDO, AMT, FHLMC, LOC: FHLMC, 1.30%, 3/6/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
Rhode Island Industrial Facilities Corp., Marine Terminal, ExxonMobil Project Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 450 | | | | 450 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF2559, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 9,000 | | | | 9,000 | |
| | | | | | | | |
| | |
| | | | | | | 24,885 | |
| | | | | | | | |
| | |
South Carolina — 1.2% | | | | | | | | |
| | |
County of Richland GO, BAN, 3.00%, 2/25/2021 | | | 83,800 | | | | 85,494 | |
| | |
South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 1.26%, 3/6/2020 (b) | | | 40,000 | | | | 40,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-BAML5004, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 30,725 | | | | 30,725 | |
| | | | | | | | |
| | |
| | | | | | | 156,219 | |
| | | | | | | | |
| | |
South Dakota — 0.1% | | | | | | | | |
| | |
South Dakota Housing Development Authority Series 2020B, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 16,500 | | | | 16,500 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 65 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Tennessee — 1.0% | | | | | | | | |
| | |
Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/2/2020 (b) | | | 12,400 | | | | 12,400 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Arbor Knoll Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 13,400 | | | | 13,400 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2576, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 15,390 | | | | 15,390 | |
| | |
Series 2018-BAML5001, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 72,455 | | | | 72,455 | |
| | | | | | | | |
| | |
| | | | | | | 113,645 | |
| | | | | | | | |
| | |
Texas — 7.4% | | | | | | | | |
| | |
Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 7,800 | | | | 7,800 | |
| | |
City of Austin, Texas Hotel Occupancy Tax, Subordinate Lien Series A, Rev., VRDO, LOC: Citibank NA, 1.15%, 3/6/2020 (b) | | | 16,340 | | | | 16,340 | |
| | |
City of Houston, Combined Utility System, First Lien | | | | | | | | |
| | |
Series 2004B-3, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 10,600 | | | | 10,600 | |
| | |
Series B-2, Rev., VRDO, LOC: Citibank NA, 1.15%, 3/6/2020 (b) | | | 21,000 | | | | 21,000 | |
| | |
County of Harris, Industrial Development Corp., Exxon Corp., Project Series B, Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 7,100 | | | | 7,100 | |
| | |
Gulf Coast Waste Disposal Authority, Environmental Facilities, American Acryl LP Project Series 2003, Rev., VRDO, AMT, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.19%, 3/6/2020 (b) | | | 12,000 | | | | 12,000 | |
| | |
Gulf Coast Waste Disposal Authority, Pollution Control, Exxon Project Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 12,400 | | | | 12,400 | |
| | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | | | | | | | | |
| | |
Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
Series D, Rev., VRDO, 1.16%, 3/6/2020 (b) | | | 18,500 | | | | 18,500 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Texas — continued | | | | | | | | |
| | |
Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project | | | | | | | | |
| | |
Series A-2, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 1,300 | | | | 1,300 | |
| | |
Subseries A-3, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 100 | | | | 100 | |
| | |
North Texas Tollway Authority System Series 2016-XG0036, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 6,750 | | | | 6,750 | |
| | |
RBC Municipal Products, Inc. Trust Series E141, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 25,000 | | | | 25,000 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates | | | | | | | | |
| | |
Series G-20, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Series G-34, GO, VRDO,PSF-GTD, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 5,400 | | | | 5,400 | |
| | |
State of Texas Rev., TRAN, 4.00%, 8/27/2020 | | | 270,410 | | | | 273,977 | |
| | |
State of Texas, Transportation Commission, Multi Mode Mobility Fund Series 2006B, GO, VRDO, LIQ: Texas Comptroller of Public Accounts, 1.16%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
State of Texas, Veterans | | | | | | | | |
| | |
Series 2011C, GO, VRDO, LIQ: FHLB, 1.15%, 3/6/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
GO, VRDO, LIQ: TD Bank NA, 1.16%, 3/6/2020 (b) | | | 70,000 | | | | 70,000 | |
| | |
Series 2010C, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 12,790 | | | | 12,790 | |
| | |
Series A, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 9,775 | | | | 9,775 | |
| | |
State of Texas, Veterans Housing Assistance Program | | | | | | | | |
| | |
Series 2001-C2, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 23,250 | | | | 23,250 | |
| | |
Series 2004-A, GO, VRDO, AMT, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 19,680 | | | | 19,680 | |
| | |
Series 2007-A, GO, VRDO, AMT, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 26,360 | | | | 26,360 | |
| | |
Series 2008-A, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 27,770 | | | | 27,770 | |
| | |
Series 2008-B, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 26,150 | | | | 26,150 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Texas — continued | | | | | | | | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Health Care System Project Rev., VRDO, LOC: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 9,990 | | | | 9,990 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Christus HealthSeries C-2, Rev., VRDO, LOC: Bank of New York Mellon, 1.15%, 3/6/2020 (b) | | | 20,200 | | | | 20,200 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System | | | | | | | | |
| | |
Series 2008-C, Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 35,900 | | | | 35,900 | |
| | |
Series 2012-B, Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 24,000 | | | | 24,000 | |
| | |
Series A, Rev., VRDO, 1.17%, 3/6/2020 (b) | | | 47,580 | | | | 47,580 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XM0685, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 34,815 | | | | 34,815 | |
| | |
Series 2018-G-84, GO, VRDO,PSF-GTD, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 7,125 | | | | 7,125 | |
| | |
Series 2018-G-85, GO, VRDO,PSF-GTD, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 6,175 | | | | 6,175 | |
| | |
Series 2018-XF2669, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 17,820 | | | | 17,820 | |
| | |
Series 2018-XG0193, Rev., VRDO, GNMA COLL, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Series G-21, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 2015-XM0071, Rev., VRDO, AGM, LIQ: Bank of America NA, 1.21%, 3/6/2020 (b) (c) | | | 1,360 | | | | 1,360 | |
| | |
Texas Department of Housing and Community Affairs, Single Family Mortgage Series D, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, LIQ: Texas Comptroller of Public Accounts, 1.18%, 3/6/2020 (b) | | | 11,645 | | | | 11,645 | |
| | | | | | | | |
| | |
| | | | | | | 919,652 | |
| | | | | | | | |
| | |
Utah — 0.9% | | | | | | | | |
| | |
Central Utah Water Conservancy District, Limited Tax Series A, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.18%, 3/6/2020 (b) | | | 20,800 | | | | 20,800 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Utah — continued | | | | | | | | |
| | |
County of Utah Hospital, IHC Health Services, Inc. | | | | | | | | |
| | |
Series C, Rev., VRDO, LIQ: BMO Harris Bank NA, 1.10%, 3/6/2020 (b) | | | 37,340 | | | | 37,340 | |
| | |
Series B, Rev., VRDO, LIQ: U.S. Bank NA, 1.14%, 3/6/2020 (b) | | | 8,725 | | | | 8,725 | |
| | |
Series C, Rev., VRDO, LIQ: U.S. Bank NA, 1.14%, 3/6/2020 (b) | | | 13,215 | | | | 13,215 | |
| | |
County of Weber, IHC Health Services, Inc. Series B, Rev., VRDO, LIQ: U.S. Bank NA, 1.10%, 3/6/2020 (b) | | | 2,340 | | | | 2,340 | |
| | |
Utah Water Finance AgencySeries B-2, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.18%, 3/6/2020 (b) | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| | |
| | | | | | | 107,420 | |
| | | | | | | | |
| | |
Vermont — 0.1% | | | | | | | | |
| | |
Vermont Educational and Health Buildings Financing Agency, Fletcher Allen Health Series A, Rev., VRDO, LOC: TD Bank NA, 1.14%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
Virginia — 1.2% | | | | | | | | |
| | |
Albermarle County Economic Development Authority, Sentara Martha Jefferson HospitalSeries 2018A-B, Rev., VRDO, LIQ: TD Bank NA, 1.15%, 3/2/2020 (b) | | | 5,605 | | | | 5,605 | |
| | |
Albermarle County Economic Development Authority, Virginia Hospital Facilities, Sentara Martha Jefferson Hospital Series A, Rev., VRDO, LIQ: TD Bank NA, 1.15%, 3/6/2020 (b) | | | 15,705 | | | | 15,705 | |
| | |
Loudoun County Economic Development Authority, Howard Huges Medical Institute Series E, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 20,500 | | | | 20,500 | |
| | |
Loudoun County Sanitation Authority, Water and Sewer System Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/6/2020 (b) | | | 5,425 | | | | 5,425 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XL0069, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 8,170 | | | | 8,170 | |
| | |
Series 2018-ZF2713, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | |
Series 2018-ZF2714, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 7,000 | | | | 7,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 67 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Virginia — continued | | | | | | | | |
| | |
Series 2018-XF0606, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 8,500 | | | | 8,500 | |
| | |
Series 2018-ZM0583, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 5,415 | | | | 5,415 | |
| | |
Virginia Small Business Financing Authority, Carilion Clinic Obligated Group Series 2008B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.15%, 3/6/2020 (b) | | | 58,445 | | | | 58,445 | |
| | | | | | | | |
| | |
| | | | | | | 142,265 | |
| | | | | | | | |
| | |
Washington — 1.7% | | | | | | | | |
| | |
Chelan County Public Utility District No.1 Series B, Rev., VRDO, LIQ: Barclays Bank plc, 1.19%, 3/6/2020 (b) | | | 17,360 | | | | 17,360 | |
| | |
County of King, Junior Lien, Sewer Series B, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.18%, 3/6/2020 (b) | | | 22,000 | | | | 22,000 | |
| | |
Port of Seattle, Subordinate Lien Series 1997, Rev., VRDO, LOC: Bank of America NA, 1.19%, 3/6/2020 (b) | | | 28,280 | | | | 28,280 | |
| | |
Port of Tacoma, Subordinate Lien | | | | | | | | |
| | |
Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) | | | 19,000 | | | | 19,000 | |
| | |
Rev., VRDO, AMT, LOC: PNC Bank NA, 1.23%, 3/6/2020 (b) | | | 14,300 | | | | 14,300 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2718, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 8,800 | | | | 8,800 | |
| | |
Series 2018-ZF2682, Rev., VRDO, GTD, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 7,000 | | | | 7,000 | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, Queen Anne Project Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 27,180 | | | | 27,180 | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, Seasons Apartments Project Rev., VRDO, AMT, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 13,065 | | | | 13,065 | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, The New Haven Apartments Project Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 17,400 | | | | 17,400 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Washington — continued | | | | | | | | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, Urban Center Apartments Project Series 2012, Rev., VRDO, FHLMC, LOC: FHLMC, 1.14%, 3/6/2020 (b) | | | 23,860 | | | | 23,860 | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, Vintage Spokane Project Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 15,095 | | | | 15,095 | |
| | | | | | | | |
| | |
| | | | | | | 213,340 | |
| | | | | | | | |
| | |
West Virginia — 0.1% | | | | | | | | |
| | |
West Virginia Hospital Finance Authority, HospitalSeries 2018-D, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 8,190 | | | | 8,190 | |
| | | | | | | | |
| | |
Wisconsin — 0.7% | | | | | | | | |
| | |
City of Milwaukee Series 2019 R2, Rev., RAN, 4.00%, 5/7/2020 | | | 55,000 | | | | 55,230 | |
| | |
Public Finance Authority Series 2019 C, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/2/2020 (b) | | | 6,000 | | | | 6,000 | |
| | |
Wisconsin Housing and Economic Development Authority, Home Ownership | | | | | | | | |
| | |
Series 2019 B, Rev., VRDO, FNMA COLL, LIQ: FHLB, 1.15%, 3/6/2020 (b) | | | 8,000 | | | | 8,000 | |
| | |
Series C, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 11,205 | | | | 11,205 | |
| | | | | | | | |
| | |
| | | | | | | 80,435 | |
| | | | | | | | |
| | |
Wyoming — 0.6% | | | | | | | | |
| | |
County of Sublette, Wyoming Pollution Control, Exxonmobile Project Rev., VRDO, 1.18%, 3/2/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
County of Uinta, Pollution Control, Chevron USA, Inc. Project Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 45,185 | | | | 45,185 | |
| | |
Wyoming Community Development Authority | | | | | | | | |
| | |
Series 2, Rev., VRDO, LIQ: RBC Capital Markets, 1.15%, 3/6/2020 (b) | | | 9,000 | | | | 9,000 | |
| | |
Series 2, Rev., VRDO, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) | | | 9,750 | | | | 9,750 | |
| | |
Rev., VRDO, LIQ: Bank of America NA, 1.16%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
| | | | | | | 78,935 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $8,754,174) | | | | | | | 8,754,174 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS (a) | |
SHARES
(000) | | | VALUE
($000) | |
Variable Rate Demand Preferred Shares — 9.2% | |
|
California — 2.1% | |
| | |
Nuveen CaliforniaAMT-Free Quality Municipal Income Fund Series 6, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 # (c) | | | 5,000 | | | | 5,000 | |
| | |
Nuveen California Quality Municipal Income Fund | | | | | | | | |
| | |
Series 3, LIQ: TD Bank NA, 1.24%, 3/6/2020 # (c) | | | 26,800 | | | | 26,800 | |
| | |
Series 4, LIQ: Royal Bank of Canada, 1.26%,
3/6/2020 # (c) | | | 58,500 | | | | 58,500 | |
| | |
Series 7, LIQ: Royal Bank of Canada, 1.26%,
3/6/2020 # (c) | | | 21,000 | | | | 21,000 | |
| | |
Series 1, LIQ: Societe Generale, 1.27%, 3/6/2020 # (c) | | | 59,200 | | | | 59,200 | |
| | |
Series 2, LIQ: Citibank NA, 1.27%, 3/6/2020 # (c) | | | 27,500 | | | | 27,500 | |
| | |
Series 6, LIQ: Citibank NA, 1.27%, 3/6/2020 # (c) | | | 67,600 | | | | 67,600 | |
| | | | | | | | |
| | |
| | | | | | | 265,600 | |
| | | | | | | | |
|
New York — 0.5% | |
| | |
Nuveen New YorkAMT-Free Quality Municipal Income Fund | | | | | | | | |
| | |
Series 1, LIQ: Citibank NA, 1.19%, 3/6/2020 # (c) | | | 18,600 | | | | 18,600 | |
| | |
Series 5, LIQ: TD Bank NA, 1.19%, 3/6/2020 # (c) | | | 40,000 | | | | 40,000 | |
| | | | | | | | |
| | |
| | | | | | | 58,600 | |
| | | | | | | | |
|
Other — 6.6% | |
| | |
BlackRock MuniYield Investment Fund LIQ: TD Bank NA, 1.27%, 3/6/2020 # (c) | | | 27,400 | | | | 27,400 | |
| | |
NuveenAMT-Free Municipal Credit Income Fund | | | | | | | | |
| | |
Series 1, LIQ: Citibank NA, 1.21%, 3/6/2020 # (c) | | | 24,000 | | | | 24,000 | |
| | |
Series 5, LIQ: Societe Generale, 1.21%, 3/6/2020 # (c) | | | 127,000 | | | | 127,000 | |
| | |
Series 6, LIQ: Sumitomo Mitsui Banking Corp., 1.21%, 3/6/2020 # (c) | | | 124,300 | | | | 124,300 | |
| | |
NuveenAMT-Free Quality Municipal Income Fund | | | | | | | | |
| | |
Series 3, LIQ: TD Bank NA, 1.20%, 3/6/2020 # (c) | | | 173,500 | | | | 173,500 | |
| | |
Series 2, LIQ: Citibank NA, 1.21%, 3/6/2020 # (c) | | | 92,000 | | | | 92,000 | |
| | |
Series 4, LIQ: Barclays Bank plc, 1.21%, 3/6/2020 # (c) | | | 28,600 | | | | 28,600 | |
| | |
Series 5, LOC: Sumitomo Mitsui Banking Corp., 1.21%, 3/6/2020 # (c) | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| INVESTMENTS (a) | |
SHARES
(000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other — continued | |
| | |
Nuveen Quality Municipal Income Fund | | | | | | | | |
| | |
Series 1, LIQ: Barclays Bank plc, 1.29%,
3/6/2020 # (c) | | | 51,600 | | | | 51,600 | |
| | |
Series 2, LIQ: Barclays Bank plc, 1.29%,
3/6/2020 # (c) | | | 151,900 | | | | 151,900 | |
| | | | | | | | |
| | |
| | | | | | | 825,300 | |
| | | | | | | | |
| | |
Total Variable Rate Demand Preferred Shares
(Cost $1,149,500) | | | | | | | 1,149,500 | |
| | | | | |
| | |
| | | PRINCIPAL
AMOUNT
($000) | | | | |
Short-Term Investments — 14.3% | |
|
Commercial Paper — 14.3% | |
| | |
Alachua County Health Facilities AuthoritySeries 08-A, 1.10%, 4/2/2020 | | | 31,240 | | | | 31,240 | |
| | |
City of Dallas 1.10%, 3/3/2020 | | | 50,000 | | | | 50,000 | |
| | |
City of Garland 1.12%, 5/6/2020 | | | 6,000 | | | | 6,000 | |
| | |
City of Rochester | | | | | | | | |
| | |
Series 08-C, 1.22%, 3/4/2020 | | | 88,000 | | | | 88,000 | |
| | |
1.12%, 5/21/2020 | | | 100,000 | | | | 100,000 | |
| | |
1.17%, 8/10/2020 | | | 50,000 | | | | 50,000 | |
| | |
County of Harris Series C, 1.12%, 5/7/2020 | | | 27,000 | | | | 27,000 | |
| | |
County of Miami-Dade 1.12%, 3/17/2020 | | | 13,000 | | | | 13,000 | |
| | |
County of York Series 00B2, 1.07%, 3/2/2020 | | | 34,000 | | | | 34,000 | |
| | |
County of York, National Rural Utilities Cooperative Finance Corp. Series 00B3, 1.07%, 3/2/2020 | | | 10,600 | | | | 10,600 | |
| | |
District of Columbia 1.05%, 3/12/2020 | | | 45,000 | | | | 45,000 | |
| | |
Harris County Toll Road Authority (The)Series E-1, 1.08%, 3/12/2020 | | | 35,000 | | | | 35,000 | |
| | |
Health & Educational Facilities Authority of the State of MissouriSeries 14-B, 1.20%, 3/3/2020 | | | 35,000 | | | | 35,000 | |
| | |
Health and Educational Facilities Authority of the State of Missouri | | | | | | | | |
| | |
Series 14-D, 1.05%, 5/7/2020 | | | 50,000 | | | | 50,000 | |
| | |
Series 14-E, 1.05%, 5/7/2020 | | | 50,000 | | | | 50,000 | |
| | |
Series 14-C, 1.18%, 6/11/2020 | | | 45,000 | | | | 45,000 | |
| | |
Illinois Finance Authority | | | | | | | | |
| | |
1.11%, 3/4/2020 | | | 64,040 | | | | 64,040 | |
| | |
Series 12-H, 1.21%, 5/7/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series 12-I, 1.21%, 5/21/2020 | | | 28,760 | | | | 28,760 | |
| | |
Indiana Finance AuthoritySeries D-2, 1.12%, 7/7/2020 | | | 60,000 | | | | 60,000 | |
| | |
Jacksonville Health Care Authority 1.17%, 8/10/2020 | | | 115,000 | | | | 115,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 69 | |
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-term Investments — continued | | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
Las Vegas Valley Water DistrictSeries 04-B, 1.00%, 3/3/2020 | | | 145,000 | | | | 145,000 | |
| | |
Lower Colorado River Authority Series B, 0.98%, 5/20/2020 | | | 50,000 | | | | 49,938 | |
| | |
Maryland Health and Higher Educational Facilities Authority Series B, 1.05%, 4/2/2020 | | | 26,690 | | | | 26,690 | |
| | |
Massachusetts Health and Educational Facilities Authority | | | | | | | | |
| | |
Series H-2, 1.20%, 3/5/2020 | | | 19,585 | | | | 19,585 | |
| | |
Series H-2, 1.20%, 4/2/2020 | | | 18,340 | | | | 18,340 | |
| | |
Series H-2, 1.08%, 4/6/2020 | | | 13,835 | | | | 13,835 | |
| | |
Series H-2, 1.10%, 4/7/2020 | | | 10,750 | | | | 10,750 | |
| | |
Omaha Public Power District | | | | | | | | |
| | |
Series A, 1.15%, 3/9/2020 | | | 10,000 | | | | 10,000 | |
| | |
Series A, 1.02%, 3/10/2020 | | | 10,050 | | | | 10,050 | |
| | |
Series A, 1.02%, 3/11/2020 | | | 14,300 | | | | 14,300 | |
| | |
Series A, 1.13%, 6/5/2020 | | | 10,000 | | | | 10,000 | |
| | |
Regents of the University of Michigan Series B, 1.20%, 3/5/2020 | | | 49,760 | | | | 49,760 | |
| | |
Regents of the University of MinnesotaSeries 05-A, 1.09%, 3/4/2020 | | | 38,000 | | | | 38,000 | |
| | |
Southwestern Illinois Development Authority | | | | | | | | |
| | |
Series 17-B, 1.10%, 4/6/2020 | | | 45,000 | | | | 45,000 | |
| | |
Series 17-B, 1.21%, 5/7/2020 | | | 8,000 | | | | 8,000 | |
| | |
State of Wisconsin | | | | | | | | |
| | |
Series 06-A, 1.07%, 3/6/2020 | | | 19,574 | | | | 19,574 | |
| | |
Series 16-A, 1.07%, 3/6/2020 | | | 24,515 | | | | 24,515 | |
| | | | | | | | |
| INVESTMENTS (a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Commercial Paper — continued | | | | | | | | |
| | |
The Harris County Toll Road AuthoritySeries E-2, 1.20%, 3/12/2020 | | | 23,770 | | | | 23,770 | |
| | |
University of Texas System (The) | | | | | | | | |
| | |
Series A, 1.24%, 3/31/2020 | | | 20,000 | | | | 20,000 | |
| | |
Series A, 1.06%, 4/2/2020 | | | 12,500 | | | | 12,500 | |
| | |
Series A, 1.25%, 5/4/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series A, 1.25%, 5/4/2020 | | | 15,000 | | | | 15,000 | |
| | |
Series A, 1.25%, 5/5/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series A, 1.25%, 5/14/2020 | | | 20,000 | | | | 20,000 | |
| | |
Series A, 1.24%, 5/18/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series A, 1.29%, 5/26/2020 | | | 17,000 | | | | 17,000 | |
| | |
Series A, 1.29%, 5/29/2020 | | | 15,000 | | | | 15,000 | |
| | |
Series A, 0.99%, 6/5/2020 | | | 22,500 | | | | 22,475 | |
| | |
Series A, 1.15%, 7/10/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series A, 1.15%, 7/10/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series A, 1.20%, 9/10/2020 | | | 20,000 | | | | 20,000 | |
| | |
Wisconsin Health and Educational Facilities AuthoritySeries 13-A, 1.07%, 3/6/2020 | | | 29,415 | | | | 29,415 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $1,796,137) | | | | | | | 1,796,137 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $1,796,137) | | | | | | | 1,796,137 | |
| | | | | | | | |
Total Investments — 93.4%
(Cost $11,699,811) * | | | | | | | 11,699,811 | |
Other Assets Less Liabilities — 6.6% | | | | | | | 821,768 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 12,521,579 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | | Insured by American Municipal Bond Assurance Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| COLL | | Collateral |
| COP | | Certificate of Participation |
| FHLB | | Federal Home Loan Bank |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| GO | | General Obligation |
| GTD | | Guaranteed |
| IDA | | Industrial Development Authority |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PCR | | Pollution Control Revenue |
| PSF-GTD | | Permanent School Fund Guaranteed |
| RAN | | Revenue Anticipation Note |
| | |
| RE | | Reinsured |
| Rev. | | Revenue |
| TAN | | Tax Anticipation Note |
| TRAN | | Tax & Revenue Anticipation Note |
| VRDO | | Variable Rate Demand Obligation |
| |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| # | | Variable Rate Demand Preferred Shares of aclosed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 70 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 58.3% | |
|
Alabama — 0.4% | |
| | |
Alabama Housing Finance Authority, Multi-Family Housing, Alison Apartments Project Series2007-B, Rev., VRDO, LOC: U.S. Bank NA, 1.20%, 3/6/2020 (b) | | | 7,855 | | | | 7,855 | |
| | | | | | | | |
|
Arizona — 0.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZF2758, Rev., VRDO, LIQ: Barclays Bank plc, 1.21%, 3/6/2020 (b) (c) | | | 3,125 | | | | 3,125 | |
| | |
Series 2018-ZM0615, Rev., VRDO, LIQ: Royal Bank of Canada, 1.23%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | | | | | | | |
| | |
| | | | | | | 10,625 | |
| | | | | | | | |
|
California — 1.5% | |
| | |
Alameda County IDA, Plyproperties Project Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.19%, 3/6/2020 (b) | | | 3,475 | | | | 3,475 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2724, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.20%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Series 2018-BAML0005, Rev., VRDO, FHLMC, LIQ: Bank of America NA, 1.25%, 3/6/2020 (b) (c) | | | 7,000 | | | | 7,000 | |
| | |
Series 2019-BAML8003, Rev., VRDO, LOC: Bank of America NA, 1.25%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | |
| | | | | | | 30,475 | |
| | | | | | | | |
|
Colorado — 3.2% | |
| | |
Colorado State Education Loan Program Series 2019A, Rev., TRAN, 3.00%, 6/29/2020 | | | 5,000 | | | | 5,029 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2016-ZF0467, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/6/2020 (b) (c) | | | 52,895 | | | | 52,895 | |
| | |
Series 2018-XG0197, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 3,250 | | | | 3,250 | |
| | |
Series 2019-XF0757, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 4,780 | | | | 4,780 | |
| | | | | | | | |
| | |
| | | | | | | 65,954 | |
| | | | | | | | |
|
District of Columbia — 0.6% | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-ZM0610, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 4,365 | | | | 4,365 | |
| | |
Series 2019-XM0792, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
District of Columbia — continued | | | | | | | | |
| | |
Series 2019-XF2794, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.20%, 3/6/2020 (b) (c) | | | 3,100 | | | | 3,100 | |
| | |
Series 2017-ZM0554, Rev., VRDO, LIQ: Citibank NA, 1.21%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | | | | | | | |
| | |
| | | | | | | 13,965 | |
| | | | | | | | |
|
Florida — 6.6% | |
| | |
Alachua County Housing Finance Authority, Multi-Family, Santa Fe Apartments Rev., VRDO, LOC: Citibank NA, 1.18%, 3/6/2020 (b) | | | 3,130 | | | | 3,130 | |
| | |
Collier County Housing Finance Authority, Multi-Family Housing-Sawgrass Pines Apartments Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 5,900 | | | | 5,900 | |
| | |
County of Broward, Florida Power and Light Co., Project | | | | | | | | |
| | |
Rev., VRDO, 1.27%, 3/2/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Series 2018A, Rev., VRDO, AMT, 1.27%, 3/2/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
Florida Housing Finance Corp., Multi-Family Mortgage, Boynton Bay Apartments Series I, Rev., VRDO, LOC: Citibank NA, 1.21%, 3/6/2020 (b) | | | 13,960 | | | | 13,960 | |
| | |
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group SeriesI-2, Rev., VRDO, 1.12%, 3/6/2020 (b) | | | 14,150 | | | | 14,150 | |
| | |
Hillsborough County, Housing Finance Authority, Multi-Family Housing, Brandywine Apartments Rev., VRDO, LOC: Citibank NA, 1.18%, 3/6/2020 (b) | | | 5,935 | | | | 5,935 | |
| | |
Lee County Industrial Development Authority, Florida Power and Light Co., Project Rev., VRDO, AMT, 1.27%, 3/2/2020 (b) | | | 19,120 | | | | 19,120 | |
| | |
RBC Municipal Products, Inc. TrustSeries G-115, Rev., VRDO, LOC: Royal Bank of Canada, 1.40%, 9/1/2020 (b) (c) | | | 6,000 | | | | 6,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2019-XX1109, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 3,890 | | | | 3,890 | |
| | |
Series 2017-ZF2503, Rev., VRDO, LIQ: Citibank NA, 1.21%, 3/6/2020 (b) (c) | | | 3,750 | | | | 3,750 | |
| | |
Series 2018-XM0701, Rev., VRDO, LIQ: Citibank NA, 1.21%, 3/6/2020 (b) (c) | | | 3,400 | | | | 3,400 | |
| | |
Series 2019-ZF0826, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/6/2020 (b) (c) | | | 2,800 | | | | 2,800 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 71 | |
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Florida — continued | |
| | |
Series 2019-XM0804, Rev., VRDO, LIQ: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 4,445 | | | | 4,445 | |
| | |
Series 2020-XF0861, Rev., VRDO, LIQ: TD Bank NA, 1.23%, 3/6/2020 (b) (c) | | | 3,970 | | | | 3,970 | |
| | |
Volusia County Housing Finance Authority, Saxon Trace Apartments Rev., VRDO, FNMA, LOC: FNMA, 1.17%, 3/6/2020 (b) | | | 6,500 | | | | 6,500 | |
| | | | | | | | |
| | |
| | | | | | | 133,950 | |
| | | | | | | | |
|
Georgia — 0.6% | |
| | |
Development Authority of Monroe County (The), Florida Power and Light Co., Project Rev., VRDO, AMT, 1.22%, 3/2/2020 (b) | | | 3,575 | | | | 3,575 | |
| | |
Fulton County Development Authority, Airport Facility, FlightSafety International, Inc. Series B, Rev., VRDO, 1.26%, 3/6/2020 (b) | | | 6,850 | | | | 6,850 | |
| | |
Valdosta-Lowndes County Industrial Development Authority, Steeda Autosports Project Rev., VRDO, LOC: Bank of America NA, 1.24%, 3/6/2020 (b) | | | 1,705 | | | | 1,705 | |
| | | | | | | | |
| | |
| | | | | | | 12,130 | |
| | | | | | | | |
|
Illinois — 0.6% | |
| | |
County of Will, ExxonMobil Project Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 8,040 | | | | 8,040 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XM0686, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 4,160 | | | | 4,160 | |
| | | | | | | | |
| | |
| | | | | | | 12,200 | |
| | | | | | | | |
|
Indiana — 0.5% | |
| | |
City of Indianapolis, Multi-Family Housing, Nora Commons Class B, Rev., VRDO, LOC: U.S. Bank NA, 1.23%, 3/6/2020 (b) | | | 620 | | | | 620 | |
| | |
Indiana Finance Authority, Parkview Health System Obligated Group Series 2009D, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.20%, 3/2/2020 (b) | | | 2,115 | | | | 2,115 | |
| | |
Indiana Finance Authority, Solid Waste Disposal, Four-Leaf Clover Dairy LLC Rev., VRDO, LOC: Bank of America NA, 1.24%, 3/6/2020 (b) | | | 4,100 | | | | 4,100 | |
| | |
Indiana Finance Authority, Solid Waste Disposal, New Holland Dairy Leasing Rev., VRDO, LOC: Bank of America NA, 1.25%, 3/6/2020 (b) | | | 1,860 | | | | 1,860 | |
| | |
Tender Option Bond Trust Receipts/Certificates
Series 2016-ZF0280, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | | | | | | | |
| | |
| | | | | | | 11,195 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Iowa — 0.2% | |
| | |
Iowa Finance Authority, Solid Waste Facilities, Midamerican Energy Co. Project Rev., VRDO, AMT, 1.18%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
|
Kansas — 1.0% | |
| | |
City of Mission, Multi-Family Housing, The Falls Apartments Project Rev., VRDO, LOC: U.S. Bank NA, 1.21%, 3/6/2020 (b) | | | 7,750 | | | | 7,750 | |
| | |
City of Wichita Series 298, GO, 4.00%, 10/15/2020 | | | 12,000 | | | | 12,199 | |
| | | | | | | | |
| | |
| | | | | | | 19,949 | |
| | | | | | | | |
|
Kentucky — 3.7% | |
| | |
Kenton County Airport Board, Flight Safety International, Inc. Series A, Rev., VRDO, 1.26%, 3/6/2020 (b) | | | 13,600 | | | | 13,600 | |
| | |
Louisville Regional Airport Authority Series A, Rev., VRDO, 1.21%, 3/2/2020 (b) | | | 22,600 | | | | 22,600 | |
| | |
Louisville Regional Airport Authority, Special Facilities, UPS Worldwide Forwarding | | | | | | | | |
| | |
Series C, Rev., VRDO, 1.30%, 3/2/2020 (b) | | | 18,100 | | | | 18,100 | |
| | |
Series A, Rev., VRDO, 1.31%, 3/2/2020 (b) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
| | |
| | | | | | | 74,300 | |
| | | | | | | | |
|
Louisiana — 1.0% | |
| | |
Parish of St Bernard, Mobil Oil Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 8,000 | | | | 8,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates
Series 2019-BAML7003, Rev., VRDO, LOC: Bank of America NA, 1.33%, 8/12/2020 (b) (c) | | | 12,450 | | | | 12,450 | |
| | | | | | | | |
| | |
| | | | | | | 20,450 | |
| | | | | | | | |
|
Maryland — 1.2% | |
| | |
Maryland Community Development Administration, Department of Housing and Community Development, Residential Series G, Rev., VRDO, AMT, LIQ: State Street Bank & Trust, 1.28%, 3/6/2020 (b) | | | 17,270 | | | | 17,270 | |
| | |
Montgomery County Housing Opportunities Commission, Single Family Mortgage Series B, Rev., VRDO, AMT, LOC: PNC Bank NA, 1.18%, 3/6/2020 (b) | | | 8,450 | | | | 8,450 | |
| | | | | | | | |
| | |
| | | | | | | 25,720 | |
| | | | | | | | |
|
Massachusetts — 0.7% | |
| | |
City of Lynn GO, BAN, 2.00%, 9/1/2020 | | | 8,102 | | | | 8,132 | |
| | |
Greater Attleboro-Taunton Regional Transit Authority Rev., RAN, 2.00%, 8/21/2020 | | | 5,000 | | | | 5,015 | |
| | |
Nashoba Valley Technical High School District GO, BAN, 2.00%, 9/11/2020 | | | 2,000 | | | | 2,005 | |
| | | | | | | | |
| | |
| | | | | | | 15,152 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Michigan — 1.0% | |
| | |
L’Anse Creuse Public Schools GO, VRDO,Q-SBLF, LOC: TD Bank NA, 1.13%, 3/6/2020 (b) | | | 3,950 | | | | 3,950 | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage | | | | | | | | |
| | |
Series D, Rev., LIQ: Industrial & Commercial Bank of China, 1.24%, 3/6/2020 (b) | | | 4,890 | | | | 4,890 | |
| | |
Series B, Rev., VRDO, AMT, LIQ: Industrial & Commercial Bank of China, 1.29%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2017-XF0597, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | | | | | | | |
| | |
| | | | | | | 21,840 | |
| | | | | | | | |
|
Mississippi — 2.8% | |
| | |
County of Jackson, Chevron USA, Inc. Project Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 180 | | | | 180 | |
| | |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project | | | | | | | | |
| | |
Series 2007E, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 43,650 | | | | 43,650 | |
| | |
Series 2009E, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 13,380 | | | | 13,380 | |
| | |
Mississippi Development Bank, Industrial Water System Project Series 2009, Rev., VRDO, 1.20%, 3/2/2020 (b) | | | 130 | | | | 130 | |
| | | | | | | | |
| | |
| | | | | | | 57,340 | |
| | | | | | | | |
|
Missouri — 1.0% | |
| | |
Rib Floater Trust Various StatesSeries 2017-010, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
St. Charles County Industrial Development Authority, Remington Apartments Project Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 10,700 | | | | 10,700 | |
| | | | | | | | |
| | |
| | | | | | | 20,700 | |
| | | | | | | | |
|
Nebraska — 0.5% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF2551, Rev., VRDO, LIQ: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 9,635 | | | | 9,635 | |
| | | | | | | | |
|
Nevada — 0.2% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-ZM0633, GO, VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,100 | | | | 4,100 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New Jersey — 2.7% | |
| | |
Borough of Butler GO, BAN, 2.00%, 9/11/2020 | | | 7,233 | | | | 7,260 | |
| | |
Borough of Palisades Park GO, BAN, 2.00%, 3/20/2020 | | | 3,280 | | | | 3,281 | |
| | |
Borough of Paulsboro GO, BAN, 2.00%, 8/31/2020 | | | 4,902 | | | | 4,919 | |
| | |
Borough of Roselle GO, BAN, 2.00%, 11/18/2020 | | | 10,000 | | | | 10,048 | |
| | |
Borough of Somerville GO, BAN, 1.75%, 11/5/2020 | | | 4,157 | | | | 4,170 | |
| | |
Borough of Wood-Ridge GO, BAN, 2.00%, 11/6/2020 | | | 2,149 | | | | 2,159 | |
| | |
Essex County Improvement Authority Rev., AMT, GTD, 3.00%, 11/1/2020 | | | 400 | | | | 404 | |
| | |
Township of Lyndhurst | | | | | | | | |
| | |
GO, BAN, 2.75%, 3/13/2020 | | | 400 | | | | 400 | |
| | |
GO, BAN, 1.88%, 9/10/2020 | | | 900 | | | | 903 | |
| | |
Township of Mount Olive GO, BAN, 2.00%, 12/11/2020 | | | 3,374 | | | | 3,392 | |
| | |
Township of Teaneck GO, BAN, 2.00%, 6/26/2020 | | | 9,750 | | | | 9,773 | |
| | |
Township of Vernon GO, BAN, 2.00%, 9/4/2020 | | | 7,366 | | | | 7,393 | |
| | | | | | | | |
| | |
| | | | | | | 54,102 | |
| | | | | | | | |
|
New York — 6.9% | |
| | |
Binghamton City School District GO, BAN, 2.00%, 10/2/2020 | | | 6,500 | | | | 6,522 | |
| | |
City of Syracuse, City Purposes Series 2019B, GO, RAN, 2.00%, 7/7/2020 | | | 5,000 | | | | 5,012 | |
| | |
Herricks Union Free School District GO, TAN, 2.00%, 6/19/2020 | | | 3,000 | | | | 3,006 | |
| | |
Liverpool Central School District GO, BAN, 2.00%, 6/26/2020 | | | 2,000 | | | | 2,004 | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
Series2018B-1E, Rev., BAN, 5.00%, 5/15/2020 | | | 2,000 | | | | 2,015 | |
| | |
Series2019D-2, Rev., BAN, 4.00%, 7/1/2020 | | | 4,500 | | | | 4,540 | |
| | |
New York City Industrial Development Agency, Empowerment Zone, Tiago Holdings, LLC Project Rev., VRDO, LOC: TD Bank NA, 1.15%, 3/6/2020 (b) | | | 32,000 | | | | 32,000 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured SeriesD-4, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.25%, 3/2/2020 (b) | | | 465 | | | | 465 | |
| | |
New York State Housing Finance Agency, 350 West 43rd Street Housing | | | | | | | | |
| | |
Series 2004A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.32%, 3/2/2020 (b) | | | 5,000 | | | | 5,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 73 | |
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
New York — continued | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.32%, 3/2/2020 (b) | | | 13,635 | | | | 13,635 | |
| | |
Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.32%, 3/2/2020 (b) | | | 2,230 | | | | 2,230 | |
| | |
New York State Housing Finance Agency, 455 West 37th Street Housing Series A, Rev., VRDO, AMT, LOC: Landesbank Hessen-Thueringen, 1.32%, 3/2/2020 (b) | | | 55,050 | | | | 55,050 | |
| | |
Palmyra Macedon Central School District GO, BAN, 2.00%, 7/21/2020 | | | 4,500 | | | | 4,512 | |
| | |
State of New York Mortgage Agency, Homeowner Mortgage Series 135, Rev., VRDO, AMT, LIQ: Barclays Bank plc, 1.27%, 3/2/2020 (b) | | | 2,500 | | | | 2,500 | |
| | |
Town of Eastchester GO, BAN, 2.00%, 9/4/2020 | | | 2,183 | | | | 2,190 | |
| | | | | | | | |
| | |
| | | | | | | 140,681 | |
| | | | | | | | |
|
North Carolina — 0.1% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XG0170, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | | | | | | | |
|
Ohio — 1.1% | |
| | |
City of Brecksville, Various Purpose Improvement, Limited Tax GO, BAN, 2.00%, 2/25/2021 | | | 4,875 | | | | 4,918 | |
| | |
City of Twinsburg, Gleneagles Clubhouse Improvements, Limited Tax GO, BAN, 2.00%, 2/25/2021 | | | 2,300 | | | | 2,315 | |
| | |
Finneytown Local School District GO, BAN, 2.25%, 4/15/2020 | | | 4,000 | | | | 4,005 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates SeriesG-30, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,905 | | | | 3,905 | |
| | |
Sycamore Community City School District GO, BAN, 2.25%, 4/15/2020 | | | 8,000 | | | | 8,010 | |
| | | | | | | | |
| | |
| | | | | | | 23,153 | |
| | | | | | | | |
|
Oregon — 1.9% | |
| | |
Marion County Housing Authority, Residence At Marian Rev., VRDO, LOC: U.S. Bank NA, 1.22%, 3/6/2020 (b) | | | 235 | | | | 235 | |
| | |
Port of Portland, Oregon International Airport, Multimodal Variable Rate | | | | | | | | |
| | |
Subseries 18A, Rev., VRDO, AMT, LOC: Industrial & Commercial Bank of China, 1.30%, 3/6/2020 (b) | | | 26,350 | | | | 26,350 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Oregon — continued | | | | | | | | |
| | |
Subseries 18B, Rev., VRDO, AMT, LOC: Industrial & Commercial Bank of China, 1.30%, 3/6/2020 (b) | | | 7,615 | | | | 7,615 | |
| | |
Port of Portland, Special Obligation, Horizon Air Industries, Inc. Rev., VRDO, LOC: Bank of America NA, 1.22%, 3/2/2020 (b) | | | 3,600 | | | | 3,600 | |
| | | | | | | | |
| | |
| | | | | | | 37,800 | |
| | | | | | | | |
|
Other — 2.7% | |
| | |
EagleTax-Exempt Trust Series 0055F, Class A, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 1.19%, 3/6/2020 (b) (c) | | | 7,665 | | | | 7,665 | |
| | |
FHLMC, Multi-Family Housing | | | | | | | | |
| | |
Series M017, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.19%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Series M021, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.19%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Series M015, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.20%, 3/6/2020 (b) (c) | | | 13,785 | | | | 13,785 | |
| | |
Series M025, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.22%, 3/6/2020 (b) (c) | | | 4,490 | | | | 4,490 | |
| | |
Series M026, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.22%, 3/6/2020 (b) (c) | | | 5,840 | | | | 5,840 | |
| | |
SunAmerica Taxable Trust, Various States Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.21%, 3/6/2020 (b) | | | 1,310 | | | | 1,310 | |
| | | | | | | | |
| | |
| | | | | | | 53,090 | |
| | | | | | | | |
|
Pennsylvania — 0.6% | |
| | |
City of Philadelphia, Water and Wastewater Series B, Rev., VRDO, LOC: TD Bank NA, 1.08%, 3/6/2020 (b) | | | 1,540 | | | | 1,540 | |
| | |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series2006-93B, Rev., VRDO, AMT, LIQ: Wells Fargo Bank NA, 1.19%, 3/6/2020 (b) | | | 3,120 | | | | 3,120 | |
| | |
Southeastern Pennsylvania Transportation Authority Rev., 3.00%, 3/1/2020 | | | 30 | | | | 30 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF0702, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2018-XL0061, Rev., VRDO, LOC: Citibank NA, 1.21%, 3/6/2020 (b) (c) | | | 4,490 | | | | 4,490 | |
| | | | | | | | |
| | |
| | | | | | | 11,180 | |
| | | | | | | | |
|
Rhode Island — 0.5% | |
| | |
Rhode Island Housing and Mortgage Finance Corp., Multi-Family Housing, University Heights Project Rev., VRDO, AMT, FHLMC, LOC: FHLMC, 1.30%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 74 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
South Carolina — 0.5% | |
| | |
South Carolina Public Service Authority Series 2019A, Rev., VRDO, LOC: Bank of America NA, 1.26%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2019-ZF0824, Rev., VRDO, LOC: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 2,325 | | | | 2,325 | |
| | |
Town of Lexington, Combined Waterworks and Sewer System Rev., BAN, 2.50%, 10/27/2020 | | | 3,000 | | | | 3,024 | |
| | | | | | | | |
| | |
| | | | | | | 10,349 | |
| | | | | | | | |
|
Tennessee — 1.0% | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Arbor Crest Rev., VRDO, FNMA, LOC: FNMA, 1.15%, 3/6/2020 (b) | | | 12,750 | | | | 12,750 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XL0062, Rev., VRDO, LOC: Citibank NA, 1.21%, 3/6/2020 (b) (c) | | | 4,420 | | | | 4,420 | |
| | |
Series 2019-XG0268, Rev., VRDO, LOC: Bank of America NA, 1.22%, 3/6/2020 (b) (c) | | | 3,475 | | | | 3,475 | |
| | | | | | | | |
| | |
| | | | | | | 20,645 | |
| | | | | | | | |
|
Texas — 10.0% | |
| | |
Dallas-Fort Worth International Airport Facility Improvement Corp., Flight Safety Project Series 1999, Rev., VRDO, 1.26%, 3/6/2020 (b) | | | 12,900 | | | | 12,900 | |
| | |
Gulf Coast Waste Disposal Authority, Environmental Facilities, ExxonMobil Project | | | | | | | | |
| | |
Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 8,275 | | | | 8,275 | |
| | |
Series B, Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 5,245 | | | | 5,245 | |
| | |
Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project | | | | | | | | |
| | |
Series B, Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 25,100 | | | | 25,100 | |
| | |
SubseriesB-4, Rev., VRDO, 1.24%, 3/2/2020 (b) | | | 2,475 | | | | 2,475 | |
| | |
Port of Port Arthur Navigation District, Fina Oil and Chemical Co. Project Rev., VRDO, 1.22%, 3/6/2020 (b) | | | 3,425 | | | | 3,425 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates SeriesG-31, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
State of Texas Rev., TRAN, 4.00%, 8/27/2020 | | | 40,000 | | | | 40,523 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Texas — continued | | | | | | | | |
| | |
State of Texas, Veterans | | | | | | | | |
| | |
Series 2010C, GO, VRDO, LIQ: State Street Bank & Trust, | | | | | | | | |
| | |
1.18%, 3/6/2020 (b) | | | 170 | | | | 170 | |
| | |
Series A, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/6/2020 (b) | | | 5,165 | | | | 5,165 | |
| | |
GO, VRDO, AMT, LIQ: State Street Bank & Trust, 1.23%, 3/6/2020 (b) | | | 11,915 | | | | 11,915 | |
| | |
State of Texas, Veterans Housing Assistance Program Series2007-B, GO, VRDO, AMT, LIQ: State Street Bank & Trust, 1.23%, 3/6/2020 (b) | | | 27,445 | | | | 27,445 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Christus Health SeriesC-2, Rev., VRDO, LOC: Bank of New York Mellon, 1.15%, 3/6/2020 (b) | | | 3,200 | | | | 3,200 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Methodist Hospitals of Dallas Project Series A, Rev., VRDO, LOC: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 8,015 | | | | 8,015 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2016-ZF0465, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/6/2020 (b) (c) | | | 48,605 | | | | 48,605 | |
| | | | | | | | |
| | |
| | | | | | | 205,458 | |
| | | | | | | | |
|
Virginia — 0.8% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-BAML0004, Rev., VRDO, FHLMC, LIQ: Bank of America NA, 1.25%, 3/6/2020 (b) (c) | | | 15,190 | | | | 15,190 | |
| | | | | | | | |
|
Washington — 0.3% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XF0658, Rev., VRDO, LIQ: Bank of America NA, 1.23%, 3/6/2020 (b) (c) | | | 5,610 | | | | 5,610 | |
| | | | | | | | |
|
West Virginia — 0.5% | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2020-XL0130, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 11,085 | | | | 11,085 | |
| | | | | | | | |
|
Wyoming — 0.8% | |
| | |
County of Laramie, Industrial Development, Cheyenne Light Fuel and Power Co. Project Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.21%, 3/6/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
County of Lincoln, Wyoming Pollution Control, ExxonMobile Project Series 2014, Rev., VRDO, AMT, 1.22%, 3/2/2020 (b) | | | 9,615 | | | | 9,615 | |
| | | | | | | | |
| | |
| | | | | | | 16,615 | |
| | | | | | | | |
| |
Total Municipal Bonds
(Cost $1,190,493) | | | | 1,190,493 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 75 | |
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | |
SHARES
(000) | | | VALUE
($000) | |
Variable Rate Demand Preferred Shares — 4.1% | |
|
California — 0.5% | |
| | |
Nuveen California Quality Municipal Income Fund Series 4, LIQ: Royal Bank of Canada, 1.26%, 3/6/2020 # (c) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
|
Other — 3.6% | |
| | |
BlackRock MuniYield Quality Fund III, Inc. LIQ: Citibank NA, 1.29%, 3/6/2020 # (c) | | | 30,000 | | | | 30,000 | |
| | |
Nuveen Quality Municipal Income Fund | | | | | | | | |
| | |
Series 2, LIQ: Barclays Bank plc, 1.29%, 3/6/2020 # (c) | | | 20,000 | | | | 20,000 | |
| | |
Series 3, LIQ: Barclays Bank plc, 1.29%, 3/6/2020 # (c) | | | 24,200 | | | | 24,200 | |
| | | | | | | | |
| | |
| | | | | | | 74,200 | |
| | | | | | | | |
| |
Total Variable Rate Demand Preferred Shares
(Cost $84,200) | | | | 84,200 | |
| | | | | |
| | |
| | | PRINCIPAL
AMOUNT
($000) | | | | |
Short-Term Investments — 3.0% | |
|
Commercial Paper — 3.0% | |
| | |
City of Atlanta SeriesK-4, 1.50%, 3/23/2020 | | | 2,500 | | | | 2,500 | |
| | |
County of Harris | | | | | | | | |
| | |
SeriesA-1, 1.15%, 3/5/2020 | | | 450 | | | | 450 | |
| | |
Series B, 1.15%, 3/5/2020 | | | 100 | | | | 100 | |
| | |
Series C, 1.15%, 3/5/2020 | | | 250 | | | | 250 | |
| | |
1.20%, 3/12/2020 | | | 950 | | | | 950 | |
| | |
SeriesA-1, 1.12%, 5/7/2020 | | | 1,785 | | | | 1,785 | |
| | |
SeriesA-1, 1.07%, 6/4/2020 | | | 1,250 | | | | 1,250 | |
| | |
County of Hillsborough, Capital Improvement Program Series A, 1.17%, 4/30/2020 | | | 3,000 | | | | 3,000 | |
| | |
County of Miami-Dade SeriesA-1, 1.12%, 3/17/2020 | | | 15,000 | | | | 15,000 | |
| | |
Harris County Toll Road Authority (The) | | | | | | | | |
| | |
SeriesE-2, 1.08%, 3/12/2020 | | | 3,950 | | | | 3,950 | |
| | |
SeriesE-1, 1.20%, 3/12/2020 | | | 1,830 | | | | 1,830 | |
| | |
Indiana Finance Authority SeriesD-2, 1.12%, 7/7/2020 | | | 3,000 | | | | 3,000 | |
| | |
Massachusetts Bay Transportation Authority Series A, 1.15%, 4/2/2020 | | | 4,700 | | | | 4,700 | |
| | |
Omaha Public Power District Series A, 1.06%, 4/2/2020 | | | 3,700 | | | | 3,700 | |
| | |
Southwestern Illinois Development Authority Series17-B, 1.21%, 5/7/2020 | | | 2,500 | | | | 2,500 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| |
|
Commercial Paper — continued | |
| | |
University of Texas System (The) | | | | | | | | |
| | |
Series A, 1.25%, 5/4/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A, 1.29%, 5/29/2020 | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| |
Total Commercial Paper
(Cost $59,965) | | | | 59,965 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $59,965) | | | | | | | 59,965 | |
| | | | | | | | |
Total Investments — 65.4%
(Cost $1,334,658)* | | | | 1,334,658 | |
Other Assets Less Liabilities — 34.6% | | | | 705,466 | |
| | | | | |
NET ASSETS — 100.0% | | | | 2,040,124 | |
| | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| COLL | | Collateral |
| FHLB | | Federal Home Loan Bank |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GO | | General Obligation |
| GTD | | Guaranteed |
| IDA | | Industrial Development Authority |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| Q-SBLF | | Qualified School Bond Loan Fund |
| RAN | | Revenue Anticipation Note |
| Rev. | | Revenue |
| TAN | | Tax Anticipation Note |
| TRAN | | Tax & Revenue Anticipation Note |
| VRDO | | Variable Rate Demand Obligation |
| |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| # | | Variable Rate Demand Preferred Shares of aclosed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
JPMorgan California Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 73.6% | |
|
California — 73.6% | |
| | |
Alameda Public Financing Authority, Multi-Family Housing, Eagle Village/Parrot Village Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.08%, 3/6/2020 (b) | | | 200 | | | | 200 | |
| | |
California Certificate Series 2016-XF2252, GO, VRDO, LIQ: Citibank NA, 1.11%, 3/6/2020 (b) (c) | | | 6,240 | | | | 6,240 | |
| | |
California Infrastructure and Economic Development Bank, Industrial Development, Silva Corks USA LLC Project Rev., VRDO, LOC: Bank of America NA, 1.33%, 3/6/2020 (b) | | | 1,690 | | | | 1,690 | |
| | |
California Municipal Finance Authority, Chevron USA, Inc., Project Rev., VRDO, 1.10%, 3/2/2020 (b) | | | 1,250 | | | | 1,250 | |
| | |
California Municipal Finance Authority, Recovery Zone Facility, Chevron USA, Inc., Project | | | | | | | | |
| | |
Series 2010A, Rev., VRDO, 1.05%, 3/2/2020 (b) | | | 7,400 | | | | 7,400 | |
| | |
Series 2010-A, Rev., VRDO, 1.10%, 3/2/2020 (b) | | | 17,060 | | | | 17,060 | |
| | |
California Pollution Control Financing Authority, Solid Waste Disposal, Recology, Inc. Project Series A, Rev., VRDO, LOC: Bank of America NA, 1.18%, 3/6/2020 (b) | | | 2,200 | | | | 2,200 | |
| | |
California Public Finance Authority, Sharp Healthcare Series 2017B, Rev., VRDO, LOC: Barclays Bank plc, 1.10%, 3/2/2020 (b) | | | 9,400 | | | | 9,400 | |
| | |
California State Public Works Board, Capital Projects Series 2019C, Rev., 5.00%, 11/1/2020 | | | 1,495 | | | | 1,534 | |
| | |
California Statewide Communities Development Authority, Rady Children’s Hospital Series 2008B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.05%, 3/2/2020 (b) | | | 10,090 | | | | 10,090 | |
| | |
City and County of San Francisco, Multi-Family Housing, Transbay Block 8 Tower ApartmentsSeries H-1, Rev., VRDO, LOC: Bank of China, 1.19%, 3/6/2020 (b) | | | 13,250 | | | | 13,250 | |
| | |
City and County of San Francisco, Multiple Capital Appreciation Projects COP, 5.00%, 4/1/2020 | | | 6,000 | | | | 6,020 | |
| | |
City of Irvine, Reassessment DistrictNo. 93-14 VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.09%, 3/2/2020 (b) | | | 25,366 | | | | 25,366 | |
| | |
City of Los Angeles | | | | | | | | |
| | |
Rev., TRAN, 5.00%, 6/25/2020 | | | 13,340 | | | | 13,506 | |
| | |
Series 2017B, GO, 5.00%, 9/1/2020 | | | 400 | | | | 408 | |
| | |
City of Los Angeles Department of Airports, Private Activity Rev., AMT, 5.00%, 5/15/2020 | | | 1,000 | | | | 1,008 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
California — continued | |
| | |
City of Los Angeles, Harbor Department Series A, Rev., AMT, 5.00%, 8/1/2020 | | | 500 | | | | 508 | |
| | |
City of Los Angeles, Queen Portfolio Apartments Series 2007D, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.30%, 3/6/2020 (b) | | | 700 | | | | 700 | |
| | |
City of San Jose, Multi-Family Housing, Almaden Lake Village Apartments | | | | | | | | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 8,500 | | | | 8,500 | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 2,000 | | | | 2,000 | |
| | |
Coast Community College District Series A, GO, 5.00%, 8/1/2020 | | | 310 | | | | 315 | |
| | |
County of Los Angeles Rev., TRAN, 5.00%, 6/30/2020 | | | 2,200 | | | | 2,228 | |
| | |
County of Riverside | | | | | | | | |
| | |
Rev., TRAN, 5.00%, 6/30/2020 | | | 5,565 | | | | 5,636 | |
| | |
Series 2019A, Rev., 1.38%, 10/22/2020 | | | 5,500 | | | | 5,510 | |
| | |
Daly City Housing Development Finance Agency, Multi-Family, Serramonte Del Rey Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.10%, 3/6/2020 (b) | | | 8,000 | | | | 8,000 | |
| | |
Fremont Public Financing Authority Rev., 5.00%, 10/1/2020 | | | 2,180 | | | | 2,231 | |
| | |
Los Angeles Department of Water & Power System | | | | | | | | |
| | |
Series 2019A-3, Rev., VRDO, LIQ: Citibank NA, 1.05%, 3/2/2020 (b) | | | 1,255 | | | | 1,255 | |
| | |
Series A-2, Rev., VRDO, LIQ: TD Bank NA, 1.05%, 3/2/2020 (b) | | | 8,770 | | | | 8,770 | |
| | |
Series B-3, Rev., VRDO, LIQ: Barclays Bank plc, 1.05%, 3/2/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Los Angeles Department of Water and Power System | | | | | | | | |
| | |
SubseriesB-4, Rev., VRDO, LIQ: Citibank NA, 1.16%, 3/2/2020 (b) | | | 15,000 | | | | 15,000 | |
| | |
Series A-6, Rev., VRDO, LIQ: Bank of America NA, 1.19%, 3/2/2020 (b) | | | 8,510 | | | | 8,510 | |
| | |
Series 2013B, Rev., 5.00%, 7/1/2020 | | | 315 | | | | 319 | |
| | |
Metropolitan Water District of Southern California | | | | | | | | |
| | |
Series 2018A-1, Rev., VRDO, LIQ: TD Bank NA, 1.16%, 3/2/2020 (b) | | | 7,420 | | | | 7,420 | |
| | |
Series 2017A, Rev., VRDO, LIQ: Citibank NA, 1.19%, 3/2/2020 (b) | | | 12,990 | | | | 12,990 | |
| | |
Modesto Public Financing Authority Rev., VRDO, LOC: Bank of the West, 1.00%, 3/6/2020 (b) | | | 11,165 | | | | 11,165 | |
| | |
RBC Municipal Products, Inc. Trust VRDO, LOC: Royal Bank of Canada, 1.30%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 77 | |
JPMorgan California Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
California — continued | |
| | |
RBC Municipal Products, Inc. Trust, Floater CertificatesSeries G-6, GO, VRDO, LOC: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 6,000 | | | | 6,000 | |
| | |
Regents of the University of CaliforniaSeries 2013AL-3, Rev., VRDO, 1.16%, 3/2/2020 (b) | | | 11,000 | | | | 11,000 | |
| | |
Regents of the University of California Medical Center Pooled Series 2013K, Rev., VRDO, 1.10%, 3/2/2020 (b) | | | 4,765 | | | | 4,765 | |
| | |
Regents of the University of California, Medical Center PooledSeries 2007B-1, Rev., VRDO, 1.10%, 3/2/2020 (b) | | | 5,300 | | | | 5,300 | |
| | |
San Diego Unified School District Series A, Rev., TRAN, 5.00%, 6/30/2020 | | | 660 | | | | 668 | |
| | |
San Marcos Unified School DistrictSeries 2016-ZF2390, GO, VRDO, LIQ: Citibank NA, 1.12%, 3/6/2020 (b) (c) | | | 7,760 | | | | 7,760 | |
| | |
Sonoma County Junior College District Series 2014B, GO, 4.00%, 8/1/2020 | | | 8,800 | | | | 8,909 | |
| | |
State of California Series 2005B5, GO, VRDO, LOC: MUFG Union Bank NA, 1.18%, 3/2/2020 (b) | | | 4,000 | | | | 4,000 | |
| | |
State of California, Kindergarten University Public Education FacilitiesSeries 2004B-5, GO, VRDO, LOC: U.S. Bank NA, 1.18%, 3/2/2020 (b) | | | 6,125 | | | | 6,125 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XF2534, GO, VRDO, LIQ: Citibank NA, 1.11%, 3/6/2020 (b) (c) | | | 920 | | | | 920 | |
| | |
Series 2018-YX1098, Rev., VRDO, LIQ: Barclays Bank plc, 1.13%, 3/6/2020 (b) (c) | | | 3,500 | | | | 3,500 | |
| | |
Series 2019-XL0109, Rev., VRDO, LIQ: Barclays Bank plc, 1.13%, 3/6/2020 (b) (c) | | | 1,250 | | | | 1,250 | |
| | |
Series 2017-XF0607, Rev., VRDO, LIQ: TD Bank NA, 1.15%, 3/6/2020 (b) (c) | | | 3,330 | | | | 3,330 | |
| | |
Series 2018-G-92, GO, VRDO, LOC: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 1,500 | | | | 1,500 | |
| | |
Series 2018-XF0727, Rev., VRDO, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 1,500 | | | | 1,500 | |
| | |
Series 2018-XG0182, Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/6/2020 (b) (c) | | | 6,030 | | | | 6,030 | |
| | |
Series 2018-XL0059, Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series 2018-XM0696, Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/6/2020 (b) (c) | | | 2,295 | | | | 2,295 | |
| | |
Series 2019-XF0753, GO, VRDO, LIQ: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2019-XL0117, Rev., VRDO, LOC: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
California — continued | |
| | |
Series 2020-XF0862, GO, VRDO, LIQ: TD Bank NA, 1.15%, 3/6/2020 (b) (c) | | | 7,650 | | | | 7,650 | �� |
| | |
Series E-67, Rev., VRDO, LOC: Royal Bank of Canada, 1.15%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series XF0568, Rev., VRDO, LIQ: Bank of America NA, 1.15%, 3/6/2020 (b) (c) | | | 5,400 | | | | 5,400 | |
| | |
Series 2018-XG0181, GO, VRDO, LIQ: Bank of America NA, 1.16%, 3/6/2020 (b) (c) | | | 4,985 | | | | 4,985 | |
| | |
Series 2018-XM0712, GO, VRDO, LIQ: Morgan Stanley Bank, 1.16%, 3/6/2020 (b) (c) | | | 2,230 | | | | 2,230 | |
| | |
Series 2018-ZF2771, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.16%, 3/6/2020 (b) (c) | | | 4,750 | | | | 4,750 | |
| | |
Series 2020-XF0863, GO, VRDO, LIQ: Bank of America NA, 1.16%, 3/6/2020 (b) (c) | | | 11,460 | | | | 11,460 | |
| | |
Series 2018-ZF0679, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 7,615 | | | | 7,615 | |
| | |
Series 2018-ZF2744, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 6,900 | | | | 6,900 | |
| | |
Series 2019-XL0112, Rev., VRDO, LIQ: Barclays Bank plc, 1.17%, 3/6/2020 (b) (c) | | | 1,050 | | | | 1,050 | |
| | |
Series 2018-ZM0585, GO, VRDO, LIQ: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 3,750 | | | | 3,750 | |
| | |
Series 2019-XM0741, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 7,785 | | | | 7,785 | |
| | |
Series 2016-ZF2386, GO, VRDO, LIQ: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 5,340 | | | | 5,340 | |
| | |
Series 2017-XF0578, GO, VRDO, LIQ: TD Bank NA, 1.20%, 3/6/2020 (b) (c) | | | 1,190 | | | | 1,190 | |
| | |
Series 2018-XF2724, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.20%, 3/6/2020 (b) (c) | | | 10,000 | | | | 10,000 | |
| | |
Series 2019-XM0750, Rev., VRDO, LIQ: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 2,250 | | | | 2,250 | |
| | |
Series 2017-ZF0581, Rev., VRDO, LIQ: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 2,375 | | | | 2,375 | |
| | |
Series 2017-ZM0473, Rev., VRDO, LIQ: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 2,600 | | | | 2,600 | |
| | |
Series 2017-ZM0487, Rev., VRDO, LIQ: Royal Bank of Canada, 1.21%, 3/6/2020 (b) (c) | | | 1,465 | | | | 1,465 | |
| | |
Series 2019-BAML8003, Rev., VRDO, LOC: Bank of America NA, 1.25%, 3/6/2020 (b) (c) | | | 15,870 | | | | 15,870 | |
| | | | | | | | |
| |
Total Municipal Bonds
(Cost $424,196) | | | | 424,196 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | |
SHARES
(000) | | | VALUE
($000) | |
Variable Rate Demand Preferred Shares — 7.6% | |
|
California — 7.6% | |
| | |
BlackRock MuniYield California Quality Fund, Inc.Series W-7, LIQ: TD Bank NA, 1.24%, 3/6/2020 # (c) | | | 5,000 | | | | 5,000 | |
| | |
Nuveen CaliforniaAMT-Free Quality Municipal Income Fund Series 6, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 # (c) | | | 20,000 | | | | 20,000 | |
| | |
Nuveen California Quality Municipal Income Fund | | | | | | | | |
| | |
Series 4, LIQ: Royal Bank of Canada, 1.26%, 3/6/2020 # (c) | | | 7,000 | | | | 7,000 | |
| | |
Series 1, LIQ: Societe Generale, 1.27%, 3/6/2020 # (c) | | | 7,000 | | | | 7,000 | |
| | |
Series 6, LIQ: Citibank NA, 1.27%, 3/6/2020 # (c) | | | 5,100 | | | | 5,100 | |
| | | | | | | | |
| | |
Total Variable Rate Demand Preferred Shares
(Cost $44,100) | | | | | | | 44,100 | |
| | | | | |
| | |
| | | PRINCIPAL
AMOUNT
($000) | | | | |
Short-Term Investments — 18.6% | |
|
Commercial Paper — 18.6% | |
| | |
California State University Institute | | | | | | | | |
| | |
Series A, 0.95%, 5/6/2020 | | | 5,900 | | | | 5,900 | |
| | |
California Statewide Communities Development Authority | | | | | | | | |
| | |
Series 08-C, 1.20%, 3/5/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series D, 1.10%, 6/11/2020 | | | 12,000 | | | | 12,000 | |
| | |
Series 09-D, 0.95%, 7/8/2020 | | | 5,000 | | | | 5,000 | |
| | |
City of San Diego Series A, 0.89%, 5/12/2020 | | | 6,000 | | | | 6,000 | |
| | |
Los Angeles County Capital Asset Leasing Corp. 1.05%, 4/8/2020 | | | 1,700 | | | | 1,700 | |
| | |
1.09%, 5/14/2020 | | | 5,000 | | | | 5,000 | |
| | |
1.10%, 5/19/2020 | | | 1,400 | | | | 1,400 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Commercial Paper — continued | |
| | |
Municipal Improvement Corp. of Los Angeles | | | | | | | | |
| | |
Series A-1, 0.91%, 3/5/2020 | | | 9,605 | | | | 9,605 | |
| | |
Series A-3, 1.10%, 5/12/2020 | | | 2,500 | | | | 2,500 | |
| | |
San Diego County Water Authority Series 10, 1.13%, 5/13/2020 | | | 5,000 | | | | 5,000 | |
| | |
San Diego Public Facilities Financing Authority Series B, 0.83%, 4/2/2020 | | | 5,704 | | | | 5,704 | |
| | |
San Francisco City & County Public Utilities Commission WastewaterSeries A-2, 0.89%, 4/1/2020 | | | 2,740 | | | | 2,740 | |
| | |
State of California | | | | | | | | |
| | |
Series 11A5, 0.89%, 4/6/2020 | | | 4,000 | | | | 4,000 | |
| | |
Series A, 0.90%, 4/22/2020 | | | 5,000 | | | | 5,000 | |
| | |
Series A-1, 1.08%, 5/12/2020 | | | 2,500 | | | | 2,500 | |
| | |
Series 11A5, 1.10%, 5/12/2020 | | | 3,750 | | | | 3,750 | |
| | |
State of California Department of Water Resources 1.07%, 4/7/2020 | | | 7,615 | | | | 7,615 | |
| | |
University of California | | | | | | | | |
| | |
Series A, 1.10%, 5/12/2020 | | | 4,000 | | | | 4,000 | |
| | |
Series A, 1.10%, 5/13/2020 | | | 8,500 | | | | 8,500 | |
| | |
Series A, 1.12%, 5/13/2020 | | | 2,000 | | | | 2,000 | |
| | |
West Basin Financing Corp. 0.90%, 3/4/2020 | | | 2,500 | | | | 2,500 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $107,414) | | | | | | | 107,414 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $107,414) | | | | | | | 107,414 | |
| | | | | | | | |
Total Investments — 99.8%
(Cost $575,710)* | | | | | | | 575,710 | |
Other Assets Less Liabilities — 0.2% | | | | | | | 1,007 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 576,717 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AMT | | Alternative Minimum Tax |
| COP | | Certificate of Participation |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GO | | General Obligation |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| Rev. | | Revenue |
| TRAN | | Tax & Revenue Anticipation Note |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| # | | Variable Rate Demand Preferred Shares of aclosed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 79 | |
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 83.7% | | | | | | | | |
|
New York — 83.7% | |
| | |
Addison Central School District GO, BAN, 2.00%, 7/17/2020 | | | 10,200 | | | | 10,228 | |
| | |
Albany Industrial Development Agency, Civic Facility, Living Resources Corp. Project Series A, Rev., VRDO, LOC: HSBC Bank USA NA, 1.18%, 3/6/2020 (b) | | | 2,490 | | | | 2,490 | |
| | |
Allegany-Limestone Central School District GO, BAN, 2.00%, 6/26/2020 | | | 5,000 | | | | 5,011 | |
| | |
Amherst Development Corp., Student Housing Facility, South Lake Village Project Series 2010B, Rev., VRDO, LOC: HSBC Bank USA NA, 1.24%, 3/6/2020 (b) | | | 12,620 | | | | 12,620 | |
| | |
Battery Park City Authority, Junior | | | | | | | | |
| | |
Series D-1, Rev., VRDO, LIQ: TD Bank NA, 1.11%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Series D-2, Rev., VRDO, LIQ: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 5,000 | | | | 5,000 | |
| | |
Berlin Central School District Series 2019B, GO, BAN, 2.00%, 7/24/2020 | | | 8,250 | | | | 8,271 | |
| | |
Binghamton City School District GO, BAN, 2.00%, 10/2/2020 | | | 10,000 | | | | 10,034 | |
| | |
Brighton Central School District GO, BAN, 2.00%, 6/30/2020 | | | 10,000 | | | | 10,024 | |
| | |
Build NYC Resource Corp., The Asia Society Project Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 1,860 | | | | 1,860 | |
| | |
Center Moriches Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 6,400 | | | | 6,413 | |
| | |
Cheektowaga-Maryvale Union Free School District GO, BAN, 2.00%, 7/14/2020 | | | 5,500 | | | | 5,515 | |
| | |
City of Kingston Series B, GO, BAN, 2.00%, 8/26/2020 | | | 9,732 | | | | 9,769 | |
| | |
City of New York, Fiscal Year 2012 | | | | | | | | |
| | |
Series G, SubseriesG-7, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.19%, 3/2/2020 (b) | | | 11,715 | | | | 11,715 | |
| | |
Series D, SubseriesD-3A, GO, VRDO, LIQ: Bank of New York Mellon, 1.21%, 3/2/2020 (b) | | | 3,350 | | | | 3,350 | |
| | |
City of New York, Fiscal Year 2013 Series A, SubseriesA-3, GO, VRDO, LOC: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 10,650 | | | | 10,650 | |
| | |
City of New York, Fiscal Year 2014 Series D, SubseriesD-5, GO, VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 12,200 | | | | 12,200 | |
| | |
City of New York, Fiscal Year 2017 Series A, SubseriesA-7, GO, VRDO, LOC: Bank of the West, 1.23%, 3/2/2020 (b) | | | 22,290 | | | | 22,290 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
City of New York, Fiscal Year 2018Subseries E-5, GO, VRDO, LOC: TD Bank NA, 1.18%, 3/2/2020 (b) | | | 13,175 | | | | 13,175 | |
| | |
City of Rome Series B, GO, BAN, 2.00%, 6/17/2020 | | | 4,141 | | | | 4,149 | |
| | |
City of Syracuse, City Purposes Series 2019B, GO, RAN, 2.00%, 7/7/2020 | | | 10,000 | | | | 10,025 | |
| | |
Cold Spring Harbor Central School District GO, TAN, 2.00%, 6/25/2020 | | | 3,820 | | | | 3,827 | |
| | |
County of Broome GO, TAN, 1.75%, 3/4/2020 | | | 6,750 | | | | 6,750 | |
| | |
County of Livingston GO, BAN, 2.00%, 9/10/2020 | | | 2,576 | | | | 2,585 | |
| | |
County of Montgomery GO, BAN, 2.00%, 10/9/2020 | | | 7,470 | | | | 7,496 | |
| | |
East Quogue Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 3,000 | | | | 3,007 | |
| | |
East Williston Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 3,500 | | | | 3,508 | |
| | |
Elmont Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 5,000 | | | | 5,011 | |
| | |
Erie County Industrial Development Agency (The), Canisius High School Series 2008, Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 1.25%, 3/6/2020 (b) | | | 10,820 | | | | 10,820 | |
| | |
Erie County Industrial Development Agency (The), Our Lady Victory Corp. Series A, Rev., VRDO, LOC: HSBC Bank USA NA, 1.25%, 3/6/2020 (b) | | | 2,000 | | | | 2,000 | |
| | |
Fayetteville-Manlius Central School District | | | | | | | | |
| | |
Series 2020A, GO, BAN, 1.75%, 7/17/2020 | | | 7,834 | | | | 7,851 | |
| | |
Series 2019B, GO, BAN, 2.00%, 7/30/2020 | | | 3,200 | | | | 3,210 | |
| | |
Franklin County Civic Development Corp., Alice Hyde Medical Center Project Series A, Rev., VRDO, LOC: HSBC Bank USA NA, 1.25%, 3/6/2020 (b) | | | 4,220 | | | | 4,220 | |
| | |
Greenport Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 2,900 | | | | 2,907 | |
| | |
Hammondsport Central School District GO, BAN, 1.75%, 6/26/2020 | | | 2,400 | | | | 2,404 | |
| | |
Hannibal Central School District GO, BAN, 2.00%, 7/31/2020 | | | 900 | | | | 902 | |
| | |
Hendrick Hudson Central School District GO, BAN, 2.50%, 5/14/2020 | | | 4,000 | | | | 4,010 | |
| | |
Herricks Union Free School District GO, TAN, 2.00%, 6/19/2020 | | | 3,000 | | | | 3,006 | |
| | |
Lafayette Central School District GO, BAN, 2.00%, 6/26/2020 | | | 5,400 | | | | 5,413 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 80 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
Liverpool Central School District Series 2019A, GO, BAN, 2.00%, 9/25/2020 | | | 3,867 | | | | 3,879 | |
| | |
Marion Central School District GO, BAN, 2.00%, 6/26/2020 | | | 2,000 | | | | 2,005 | |
| | |
Mattituck-Cutchogue Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 8,500 | | | | 8,518 | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
SubseriesE-3, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 2,000 | | | | 2,000 | |
| | |
Series A-1, Rev., VRDO, LOC: TD Bank NA, 1.18%, 3/2/2020 (b) | | | 19,160 | | | | 19,160 | |
| | |
SubseriesB-1, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.14%, 3/6/2020 (b) | | | 17,040 | | | | 17,040 | |
| | |
Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 25,000 | | | | 25,000 | |
| | |
Series 2008A-2B, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 17,300 | | | | 17,300 | |
| | |
SubseriesE-1, Rev., VRDO, LOC: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 34,185 | | | | 34,185 | |
| | |
Series 2018B, Subseries2018-B-1, Rev., BAN, 5.00%, 5/15/2020 | | | 2,500 | | | | 2,519 | |
| | |
Series 2018B-1A, Rev., BAN, 5.00%, 5/15/2020 | | | 2,290 | | | | 2,307 | |
| | |
Series 2018B-1C, Rev., BAN, 5.00%, 5/15/2020 | | | 7,410 | | | | 7,464 | |
| | |
Series 2018B-1E, Rev., BAN, 5.00%, 5/15/2020 | | | 3,500 | | | | 3,526 | |
| | |
Series 2019C, Rev., BAN, 4.00%, 7/1/2020 | | | 1,090 | | | | 1,100 | |
| | |
Series 2019D-2, Rev., BAN, 4.00%, 7/1/2020 | | | 23,320 | | | | 23,529 | |
| | |
Monticello Central School District GO, BAN, 2.00%, 9/18/2020 | | | 10,010 | | | | 10,051 | |
| | |
Nassau County Industrial Development Housing Agency Rev., VRDO, LOC: FNMA, 1.18%, 3/6/2020 (b) | | | 13,500 | | | | 13,500 | |
| | |
Nassau County Interim Finance Authority, Sales Tax Secured Series B, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.10%, 3/6/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Nassau Health Care Corp., Nassau County Guaranteed | | | | | | | | |
| | |
Series 2009C-2, Rev., VRDO, GTD, LOC: Bank of America NA, 1.14%, 3/6/2020 (b) | | | 19,460 | | | | 19,460 | |
| | |
Series 2009D-1, Rev., VRDO, GTD, LOC: Bank of America NA, 1.14%, 3/6/2020 (b) | | | 4,490 | | | | 4,490 | |
| | |
Series 2009D-2, Rev., VRDO, GTD, LOC: Bank of America NA, 1.14%, 3/6/2020 (b) | | | 17,360 | | | | 17,360 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
Subseries C1, Rev., VRDO, GTD, LOC: Bank of America NA, 1.14%, 3/6/2020 (b) | | | 17,620 | | | | 17,620 | |
| | |
SubseriesB-1, Rev., VRDO, GTD, LOC: Bank of America NA, 1.15%, 3/6/2020 (b) | | | 28,170 | | | | 28,170 | |
| | |
New York City Health & Hospital Corp., Health System Series C, Rev., VRDO, LOC: TD Bank NA, 1.14%, 3/6/2020 (b) | | | 14,125 | | | | 14,125 | |
| | |
New York City Housing Development Corp., Multi-Family Housing Series 2009A, Rev., VRDO, LOC: FHLMC, 1.13%, 3/6/2020 (b) | | | 8,700 | | | | 8,700 | |
| | |
New York City Housing Development Corp., Multi-Family Housing, Ogden Avenue Apartments Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 4,660 | | | | 4,660 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, 1405 Fifth Avenue Apartments Series A, Rev., VRDO, LOC: Citibank NA, 1.18%, 3/6/2020 (b) | | | 9,790 | | | | 9,790 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, 500 East 165th Street Apartments Series 2006 A, Rev., VRDO, LOC: Bank of America NA, 1.20%, 3/6/2020 (b) | | | 6,500 | | | | 6,500 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Bathgate Avenue Apartments Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 3,225 | | | | 3,225 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Boricua Village Apartments Site Series C, Rev., VRDO, LOC: Citibank NA, 1.23%, 3/6/2020 (b) | | | 6,665 | | | | 6,665 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Bruckner by the Bridge Series A, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 1.14%, 3/6/2020 (b) | | | 13,990 | | | | 13,990 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Elliott Chelsea Development Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.15%, 3/6/2020 (b) | | | 17,145 | | | | 17,145 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Markham Gardens Apartments Series 2006 A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.19%, 3/6/2020 (b) | | | 5,800 | | | | 5,800 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, Reverend Ruben Diaz Rev., VRDO, FHLMC, LIQ: FHLMC, 1.19%, 3/6/2020 (b) | | | 2,305 | | | | 2,305 | |
| | |
New York City Housing Development Corp., Multi-Family Mortgage, West 26th Street Development Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.13%, 3/6/2020 (b) | | | 10,170 | | | | 10,170 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 81 | |
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing Series 2001A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 7,900 | | | | 7,900 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, 90 Washington Street Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.14%, 3/6/2020 (b) | | | 22,045 | | | | 22,045 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, Brittany Development Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 29,400 | | | | 29,400 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, Gold Street Series A, Rev., VRDO, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 20,000 | | | | 20,000 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, Lexington Courts Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 1.15%, 3/6/2020 (b) | | | 8,270 | | | | 8,270 | |
| | |
New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 2,300 | | | | 2,300 | |
| | |
New York City Housing Development Corp., Multi-Family, Pearl LLC Series 2006A, Rev., VRDO, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 6,100 | | | | 6,100 | |
| | |
New York City Industrial Development Agency, 123 Washington LLC Project Series 2007, Rev., VRDO, LOC: Bank of China, 1.22%, 3/2/2020 (b) | | | 27,255 | | | | 27,255 | |
| | |
New York City Industrial Development Agency, Civic Facility, New York Congregational Nursing Center Project Series A, Rev., VRDO, LOC: HSBC Bank USA NA, 1.25%, 3/6/2020 (b) | | | 300 | | | | 300 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2009 SubseriesBB-1, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.22%, 3/2/2020 (b) | | | 15,050 | | | | 15,050 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 | | | | | | | | |
| | |
Subseries 2014AA-3, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 16,285 | | | | 16,285 | |
| | |
Series AA, SubseriesAA-5, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.19%, 3/2/2020 (b) | | | 28,200 | | | | 28,200 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2015Series 2015-BB-2, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.20%, 3/2/2020 (b) | | | 10,160 | | | | 10,160 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2016Series AA-2, Rev., VRDO, LIQ: PNC Bank NA, 1.25%, 3/2/2020 (b) | | | 500 | | | | 500 | |
| | |
New York City Transitional Finance Authority Future Tax Secured SubseriesC-5, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 5,015 | | | | 5,015 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2001 Series C, Rev., VRDO, LIQ: PNC Bank NA, 1.15%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 SubseriesA-4, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (b) | | | 19,850 | | | | 19,850 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2010 SubseriesF-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 3,855 | | | | 3,855 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 SubseriesC-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.13%, 3/6/2020 (b) | | | 3,230 | | | | 3,230 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 SubseriesD-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.22%, 3/2/2020 (b) | | | 9,700 | | | | 9,700 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 SubseriesA-3, Rev., VRDO, LIQ: Mizuho Bank Ltd., 1.22%, 3/2/2020 (b) | | | 7,850 | | | | 7,850 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2016 SubseriesA-4, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/2/2020 (b) | | | 5,100 | | | | 5,100 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, New York City Recovery Series 1, Subseries 1D, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.22%, 3/2/2020 (b) | | | 5,195 | | | | 5,195 | |
| | |
New York City Trust for Cultural Resources, American Museum Series 2014B2, Rev., VRDO, 1.15%, 3/6/2020 (b) | | | 8,000 | | | | 8,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 82 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
New York City Trust for Cultural Resources, Metropolitan Museum of Art | | | | | | | | |
| | |
SubseriesA-1, Rev., VRDO, 1.12%, 3/6/2020 (b) | | | 21,825 | | | | 21,825 | |
| | |
SubseriesA-2, Rev., VRDO, 1.12%, 3/6/2020 (b) | | | 13,230 | | | | 13,230 | |
| | |
New York City Water and Sewer System, Second General ResolutionSeries CC-1, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/6/2020 (b) | | | 980 | | | | 980 | |
| | |
New York State Dormitory Authority, Blythedale Children’s Hospital Rev., VRDO, LOC: TD Bank NA, 1.19%, 3/6/2020 (b) | | | 2,090 | | | | 2,090 | |
| | |
New York State Dormitory Authority, Catholic Health System Series 2019 B, Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 1.15%, 3/6/2020 (b) | | | 17,000 | | | | 17,000 | |
| | |
New York State Dormitory Authority, City University System, CONS Fifth General Resolution | | | | | | | | |
| | |
Series D, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 30,000 | | | | 30,000 | |
| | |
Series C, Rev., VRDO, LOC: Bank of America NA, 1.15%, 3/6/2020 (b) | | | 17,465 | | | | 17,465 | |
| | |
New York State Dormitory Authority, Court Facilities Lease Series B, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.25%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
New York State Dormitory Authority, Highland Community Development Corp. Series B, Rev., VRDO, LOC: HSBC Bank USA NA, 1.11%, 3/6/2020 (b) | | | 2,735 | | | | 2,735 | |
| | |
New York State Dormitory Authority, Metropolitan Museum of Art Series B, Rev., VRDO, 1.00%, 3/6/2020 (b) | | | 80 | | | | 80 | |
| | |
New York State Dormitory Authority, Northern Westchester Hospital Series 2009, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/6/2020 (b) | | | 2,270 | | | | 2,270 | |
| | |
New York State Dormitory Authority, Remarketing | | | | | | | | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.14%, 3/6/2020 (b) | | | 43,260 | | | | 43,260 | |
| | |
Series B-1, Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/6/2020 (b) | | | 1,825 | | | | 1,825 | |
| | |
New York State Dormitory Authority, St. John’s University | | | | | | | | |
| | |
Series 2008B-1, Rev., VRDO, LOC: Bank of America NA, 1.12%, 3/6/2020 (b) | | | 1,105 | | | | 1,105 | |
| | |
Series B-2, Rev., VRDO, LOC: U.S. Bank NA, 1.12%, 3/6/2020 (b) | | | 5,035 | | | | 5,035 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
New York State Dormitory Authority, State Personal Income Tax Series C, Rev., 5.00%, 3/15/2020 | | | 500 | | | | 501 | |
| | |
New York State Dormitory Authority, Teresian House Rev., VRDO, LOC: Manufacturers & Trader Trust Co., 1.18%, 3/6/2020 (b) | | | 13,200 | | | | 13,200 | |
| | |
New York State Dormitory Authority, University of RochesterSeries 2006A-1, Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/6/2020 (b) | | | 10,205 | | | | 10,205 | |
| | |
New York State Energy Research and Development Authority | | | | | | | | |
| | |
Series 2010A-1, Rev., VRDO, LOC:Bank of Nova Scotia, 1.16%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
| | |
Series 2004C-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.23%, 3/6/2020 (b) | | | 15,700 | | | | 15,700 | |
| | |
New York State Energy Research and Development Authority, Consolidated Edison Co., Inc. Project Series A, SubseriesA-1, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.15%, 3/6/2020 (b) | | | 29,600 | | | | 29,600 | |
| | |
New York State Housing Finance Agency | | | | | | | | |
| | |
Series 2002A, Rev., VRDO, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 5,500 | | | | 5,500 | |
| | |
Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.20%, 3/6/2020 (b) | | | 7,050 | | | | 7,050 | |
| | |
New York State Housing Finance Agency, 10 Barclay Street Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.18%, 3/6/2020 (b) | | | 8,055 | | | | 8,055 | |
| | |
New York State Housing Finance Agency, 222 East 44th Street Housing | | | | | | | | |
| | |
Series A, Rev., VRDO, LOC: Bank of China, 1.20%, 3/6/2020 (b) | | | 23,300 | | | | 23,300 | |
| | |
Series A, Rev., VRDO, LOC: Bank of China, 1.20%, 3/6/2020 (b) | | | 23,250 | | | | 23,250 | |
| | |
New York State Housing Finance Agency, 330 West 39th Street Housing Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.12%, 3/6/2020 (b) | | | 63,500 | | | | 63,500 | |
| | |
New York State Housing Finance Agency, 363 West 30th Street Series A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.19%, 3/6/2020 (b) | | | 9,985 | | | | 9,985 | |
| | |
New York State Housing Finance Agency, 42nd and 10th Housing | | | | | | | | |
| | |
Series A, Rev., VRDO, AMT, FHLMC, LOC: FHLMC, 1.12%, 3/6/2020 (b) | | | 14,000 | | | | 14,000 | |
| | |
Series A, Rev., VRDO, AMT, LIQ: FHLMC, 1.17%, 3/6/2020 (b) | | | 10,000 | | | | 10,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 83 | |
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
New York State Housing Finance Agency, 42nd West 10th Street Housing Series A, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 1.12%, 3/6/2020 (b) | | | 37,205 | | | | 37,205 | |
| | |
New York State Housing Finance Agency, 505 East 37th Street Housing | | | | | | | | |
| | |
Series 2009A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.22%, 3/2/2020 (b) | | | 7,050 | | | | 7,050 | |
| | |
Series 2009B, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.22%, 3/2/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
New York State Housing Finance Agency, 600 West 42nd Street Housing Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.14%, 3/6/2020 (b) | | | 8,400 | | | | 8,400 | |
| | |
New York State Housing Finance Agency, Clarkstown Maplewood Gardens Housing Series 2009A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.15%, 3/6/2020 (b) | | | 455 | | | | 455 | |
| | |
New York State Housing Finance Agency, Clinton Park Housing Series 2010A, Rev., VRDO, LIQ: FHLMC, 1.14%, 3/6/2020 (b) | | | 11,120 | | | | 11,120 | |
| | |
New York State Housing Finance Agency, College Arms Series 2008A, Rev., VRDO, LIQ: FHLMC, 1.14%, 3/6/2020 (b) | | | 7,090 | | | | 7,090 | |
| | |
New York State Housing Finance Agency, Historic Front Street Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.16%, 3/6/2020 (b) | | | 5,650 | | | | 5,650 | |
| | |
New York State Housing Finance Agency, Housing, 160 Madison Avenue Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.20%, 3/2/2020 (b) | | | 36,925 | | | | 36,925 | |
| | |
New York State Housing Finance Agency, Liberty Street Realty LLC Series 2003 A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.14%, 3/6/2020 (b) | | | 7,000 | | | | 7,000 | |
| | |
New York State Housing Finance Agency, Service ContractSeries M-1, Rev., VRDO, LOC: Bank of America NA, 1.13%, 3/6/2020 (b) | | | 2,050 | | | | 2,050 | |
| | |
New York State Housing Finance Agency, Theater Row, Tower Housing Series A, Rev., VRDO, FHLMC, LOC: FHLMC, 1.23%, 3/6/2020 (b) | | | 11,300 | | | | 11,300 | |
| | |
New York State Housing Finance Agency, Tribeca Green Series A, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.17%, 3/6/2020 (b) | | | 39,560 | | | | 39,560 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
New York State Housing Finance Agency, Union Square South HousingSeries 1996-A, Rev., VRDO, FNMA, LOC: FNMA, 1.19%, 3/6/2020 (b) | | | 39,850 | | | | 39,850 | |
| | |
New York State Housing Finance Agency, Worth Street Series A, Rev., VRDO, FNMA, LOC: FNMA, 1.23%, 3/6/2020 (b) | | | 1,600 | | | | 1,600 | |
| | |
North Shore Central School District GO, TAN, 2.00%, 6/25/2020 | | | 5,000 | | | | 5,010 | |
| | |
North Syracuse Central School District GO, BAN, 2.00%, 8/7/2020 | | | 10,800 | | | | 10,835 | |
| | |
Onondaga County Industrial Development Agency, Civic Facility, Syracuse Home Association Project Series 2007, Rev., VRDO, LOC: HSBC Bank USA NA, 1.25%, 3/6/2020 (b) | | | 4,250 | | | | 4,250 | |
| | |
OysterBay-East Norwich Central School District GO, TAN, 2.00%, 6/23/2020 | | | 5,200 | | | | 5,211 | |
| | |
PortChester-Rye Union Free School District GO, BAN, 2.50%, 6/12/2020 | | | 9,700 | | | | 9,733 | |
| | |
Putnam Valley Central School District GO, BAN, 2.00%, 7/17/2020 | | | 2,000 | | | | 2,005 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates (Canada) | | | | | | | | |
| | |
Series 2018-G5, GO, VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 6,000 | | | | 6,000 | |
| | |
Series E-137, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 23,000 | | | | 23,000 | |
| | |
Sag Harbor Union Free School District Series 2019A, GO, BAN, 2.50%, 6/5/2020 | | | 2,000 | | | | 2,006 | |
| | |
Schalmont Central School District GO, BAN, 2.00%, 9/3/2020 | | | 1,297 | | | | 1,302 | |
| | |
Seaford Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 5,000 | | | | 5,012 | |
| | |
Shenendehowa Central School District GO, BAN, 1.95%, 6/26/2020 | | | 3,000 | | | | 3,006 | |
| | |
Skaneateles Central School District GO, BAN, 2.00%, 7/23/2020 | | | 4,900 | | | | 4,913 | |
| | |
South Glens Falls Central School District Series 2019A, GO, BAN, 2.00%, 7/24/2020 | | | 1,145 | | | | 1,148 | |
| | |
State of New York Mortgage Agency, Homeowner Mortgage | | | | | | | | |
| | |
Series 207, Rev., VRDO, LIQ: Royal Bank of Canada, 1.17%, 3/6/2020 (b) | | | 14,000 | | | | 14,000 | |
| | |
Series 129, Rev., VRDO, AMT, LIQ: Royal Bank of Canada, 1.21%, 3/6/2020 (b) | | | 5,500 | | | | 5,500 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series E-118, GO, VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 38,950 | | | | 38,950 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 84 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
Series E-120, Rev., VRDO, LOC: Royal Bank of Canada, 1.22%, 3/2/2020 (b) (c) | | | 12,200 | | | | 12,200 | |
| | |
Series 2015-ZF0264, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 6,265 | | | | 6,265 | |
| | |
Series 2016-ZF0381, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 4,015 | | | | 4,015 | |
| | |
Series 2017-XF0564, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series 2018-XF0238, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 13,815 | | | | 13,815 | |
| | |
Series 2018-XF0634, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 7,440 | | | | 7,440 | |
| | |
Series 2018-XF0635, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 6,185 | | | | 6,185 | |
| | |
Series 2018-XF0636, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 13,985 | | | | 13,985 | |
| | |
Series 2018-XF0697, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 5,355 | | | | 5,355 | |
| | |
Series 2018-XF2646, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 4,540 | | | | 4,540 | |
| | |
Series 2018-XF2656, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 2,400 | | | | 2,400 | |
| | |
Series 2018-XF2704, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Series 2018-XF2757, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 11,000 | | | | 11,000 | |
| | |
Series 2018-XM0695, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | |
Series 2018-ZF2769, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | |
Series 2018-ZF2772, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 9,785 | | | | 9,785 | |
| | |
Series 2018-ZM0682, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 2019-XF0838, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 1,600 | | | | 1,600 | |
| | |
Series 2019-XF0858, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,800 | | | | 2,800 | |
| | |
Series 2019-XL0102, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 10,225 | | | | 10,225 | |
| | |
Series 2019-XL0122, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,940 | | | | 2,940 | |
| | |
Series 2019-XM0783, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 1,215 | | | | 1,215 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
Series 2019-XM0784, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 3,330 | | | | 3,330 | |
| | |
Series 2019-ZF0831, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,450 | | | | 2,450 | |
| | |
Series 2019-ZF0832, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 945 | | | | 945 | |
| | |
Series 2019-ZF2777, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 6,000 | | | | 6,000 | |
| | |
Series 2019-ZF2778, Rev., VRDO, LIQ: Citibank NA, 1.17%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 2020-XF0865, Rev., VRDO, AGM, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 5,330 | | | | 5,330 | |
| | |
Series 2020-XF0880, Rev., VRDO, LIQ: TD Bank NA, 1.17%, 3/6/2020 (b) (c) | | | 9,035 | | | | 9,035 | |
| | |
Series 2020-XF2852, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 2020-XG0272, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 8,120 | | | | 8,120 | |
| | |
Series 2020-XG0273, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2020-XG0276, Rev., VRDO, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 16,370 | | | | 16,370 | |
| | |
Series 2020-XG0277, Rev., VRDO, AGM, LOC: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 13,260 | | | | 13,260 | |
| | |
Series 2020-ZM0807, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 5,950 | | | | 5,950 | |
| | |
Series 2020-ZM0808, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.17%, 3/6/2020 (b) (c) | | | 10,430 | | | | 10,430 | |
| | |
Series ZM0544, Rev., VRDO, LIQ: Bank of America NA, 1.17%, 3/6/2020 (b) (c) | | | 2,220 | | | | 2,220 | |
| | |
Series 2016-XF2282, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 7,400 | | | | 7,400 | |
| | |
Series 2016-XM0438, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 4,000 | | | | 4,000 | |
| | |
Series 2016-ZM0129, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,240 | | | | 4,240 | |
| | |
Series 2016-ZM0138, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | |
Series 2016-ZM0139, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,500 | | | | 3,500 | |
| | |
Series 2017-XF0593, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 4,355 | | | | 4,355 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 85 | |
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New York — continued | |
| | |
Series 2017-XF0598, Rev., VRDO, LIQ: TD Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series 2017-XG0112, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 5,600 | | | | 5,600 | |
| | |
Series 2017-XM0505, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 8,961 | | | | 8,960 | |
| | |
Series 2017-ZM0513, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | |
Series 2018-XF0685, Rev., VRDO, LIQ: TD Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 20,000 | | | | 20,000 | |
| | |
Series 2018-XF2529, Rev., VRDO, LIQ: Citibank NA, 1.18%, 3/6/2020 (b) (c) | | | 2,625 | | | | 2,625 | |
| | |
Series 2018-XM0692, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 8,000 | | | | 8,000 | |
| | |
Series 2018-ZF0271, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,170 | | | | 3,170 | |
| | |
Series 2018-ZF2740, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 2,600 | | | | 2,600 | |
| | |
Series 2018-ZM0600, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.18%, 3/6/2020 (b) (c) | | | 7,500 | | | | 7,500 | |
| | |
Series 2018-ZM0661, Rev., VRDO, LIQ: Morgan Stanley Bank, 1.18%, 3/6/2020 (b) (c) | | | 5,000 | | | | 5,000 | |
| | |
Series 2019-XF0829, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 6,600 | | | | 6,600 | |
| | |
Series 2019-XF0839, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series 2019-XF0847, Rev., VRDO, LOC: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 22,230 | | | | 22,230 | |
| | |
Series 2019-XF0849, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | |
Series 2019-XM0724, Rev., VRDO, LIQ: Royal Bank of Canada, 1.18%, 3/6/2020 (b) (c) | | | 3,000 | | | | 3,000 | |
| | |
Series 2019-BAML-5009, Rev., VRDO, LOC: Bank of America NA, 1.19%, 3/6/2020 (b) (c) | | | 20,024 | | | | 20,024 | |
| | |
Series 2019-XL0110, Rev., VRDO, LIQ: Royal Bank of Canada, 1.19%, 3/6/2020 (b) (c) | | | 5,230 | | | | 5,230 | |
| | |
Series XF2481, Rev., VRDO, LOC: Barclays Bank plc, 1.19%, 3/6/2020 (b) (c) | | | 2,160 | | | | 2,160 | |
| | |
Series 2016-ZF0464, Rev., VRDO, LOC: Royal Bank of Canada, 1.20%, 3/6/2020 (b) (c) | | | 23,000 | | | | 23,000 | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — continued | |
| | |
Series 2017-XF2488, Rev., VRDO, LIQ: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 2,500 | | | | 2,500 | |
| | |
Series 2018-XM0616, Rev., VRDO, LIQ: Citibank NA, 1.20%, 3/6/2020 (b) (c) | | | 10,425 | | | | 10,425 | |
| | |
Series 2019-XG0265, Rev., VRDO, LIQ: Bank of America NA, 1.20%, 3/6/2020 (b) (c) | | | 12,080 | | | | 12,080 | |
| | |
Series 2016-Zf0269, Rev., VRDO, LIQ: TD Bank NA, 1.22%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Series 2018-XF0683, Rev., VRDO, LIQ: TD Bank NA, 1.22%, 3/6/2020 (b) (c) | | | 2,000 | | | | 2,000 | |
| | |
Town of Aurora Series 2019A, GO, BAN, 1.50%, 4/2/2020 | | | 4,400 | | | | 4,401 | |
| | |
Town of Greece GO, BAN, 2.00%, 10/16/2020 | | | 2,500 | | | | 2,509 | |
| | |
Town of Huntington GO, BAN, 2.00%, 9/24/2020 | | | 1,000 | | | | 1,004 | |
| | |
Town of Islip Series 2019A, GO, BAN, 2.00%, 5/15/2020 | | | 2,600 | | | | 2,604 | |
| | |
Town of Lansing GO, BAN, 2.00%, 9/10/2020 | | | 2,153 | | | | 2,161 | |
| | |
Town of North Hempstead Series 2019B, GO, BAN, 2.00%, 9/25/2020 | | | 1,013 | | | | 1,016 | |
| | |
Town of Orchard Park GO, BAN, 2.00%, 8/21/2020 | | | 5,215 | | | | 5,235 | |
| | |
Town of Southold GO, BAN, 2.00%, 9/24/2020 | | | 9,279 | | | | 9,315 | |
| | |
Town of Victor GO, BAN, 2.00%, 7/30/2020 | | | 3,586 | | | | 3,598 | |
| | |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Subseries2005B-3, Rev., VRDO, LOC: State Street Bank & Trust, 1.18%, 3/2/2020 (b) | | | 14,000 | | | | 14,000 | |
| | |
Union Endicott Central School District GO, BAN, 2.00%, 10/22/2020 | | | 1,393 | | | | 1,398 | |
| | |
Victor Central School District Series 2019B, GO, BAN, 2.00%, 9/18/2020 | | | 2,536 | | | | 2,546 | |
| | |
Village of Kings Point | | | | | | | | |
| | |
GO, BAN, 2.00%, 7/24/2020 | | | 2,905 | | | | 2,914 | |
| | |
Series 2019B, GO, BAN, 2.00%, 7/24/2020 | | | 3,160 | | | | 3,168 | |
| | |
Village of Pelham Series 2019A, GO, BAN, 2.00%, 9/18/2020 | | | 3,265 | | | | 3,278 | |
| | |
Warrensburg Central School District GO, BAN, 2.00%, 6/25/2020 | | | 4,000 | | | | 4,009 | |
| | |
Waterloo Central School District GO, BAN, 2.25%, 6/26/2020 | | | 4,000 | | | | 4,012 | |
| | |
West Hempstead Union Free School District GO, 2.00%, 6/25/2020 | | | 4,900 | | | | 4,910 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $2,259,898) | | | | | | | 2,259,898 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 86 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS(a) | |
SHARES
(000) | | | VALUE
($000) | |
Variable Rate Demand Preferred Shares — 6.1% | |
|
New York — 6.1% | |
| | |
BlackRock MuniYield New York Quality Fund, Inc.Series W-7, LIQ: Citibank NA, 1.27%, 3/6/2020 # (c) | | | 50,000 | | | | 50,000 | |
| | |
Nuveen New YorkAMT-Free Quality Municipal Income Fund | | | | | | | | |
| | |
Series 1, LIQ: Citibank NA, 1.19%, 3/6/2020 # (c) | | | 10,000 | | | | 10,000 | |
| | |
Series 2, LIQ: Citibank NA, 1.19%, 3/6/2020 # (c) | | | 51,600 | | | | 51,600 | |
| | |
Series 3, LIQ: Citibank NA, 1.19%, 3/6/2020 # (c) | | | 33,200 | | | | 33,200 | |
| | |
Nuveen New York Quality Municipal Income Fund Series 1, LIQ: TD Bank NA, 1.26%, 3/6/2020 # (c) | | | 20,300 | | | | 20,300 | |
| | | | | | | | |
| | |
Total Variable Rate Demand Preferred Shares
(Cost $165,100) | | | | | | | 165,100 | |
| | | | | |
| | | | | | | | |
| INVESTMENTS(a) | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Short-Term Investments — 0.8% | |
|
Commercial Paper — 0.8% | |
| | |
Port Authority of New York and New Jersey | | | | | | | | |
| | |
1.15%, 3/11/2020 | | | 19,070 | | | | 19,070 | |
| | |
Series B, 1.16%, 5/13/2020 | | | 4,040 | | | | 4,040 | |
| | | | | | | | |
| | |
Total Commercial Paper
(Cost $23,110) | | | | | | | 23,110 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $23,110) | | | | | | | 23,110 | |
| | | | | | | | |
Total Investments — 90.6%
(Cost $2,448,108)* | | | | | | | 2,448,108 | |
Other Assets Less Liabilities — 9.4% | | | | | | | 254,419 | |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 2,702,527 | |
| | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| CONS | | Consolidated Bonds |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GO | | General Obligation |
| GTD | | Guaranteed |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| MTA | | Metropolitan Transportation Authority |
| RAN | | Revenue Anticipation Note |
| Rev. | | Revenue |
| TAN | | Tax Anticipation Note |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the next put date, next demand 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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| # | | Variable Rate Demand Preferred Shares of aclosed-end investment company which has a weekly demand feature. The interest rate shown is the rate in effect as of February 29, 2020. |
| * | | The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 87 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | JPMorgan
Prime Money
Market Fund | | |
JPMorgan
Institutional
Tax Free Money
Market Fund | | | JPMorgan
Securities
Lending Money
Market Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 44,712,035 | | | $ | 965,488 | | | $ | 2,926,270 | |
Repurchase agreements, at value | | | 18,112,800 | | | | — | | | | 541,000 | |
Cash | | | 585,848 | | | | — | | | | — | (a) |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | — | | | | 26,982 | | | | — | |
Interest fromnon-affiliates | | | 74,862 | | | | 2,416 | | | | 3,639 | |
| | | | | | | | | | | | |
Total Assets | | | 63,485,545 | | | | 994,886 | | | | 3,470,909 | |
| | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | (a) | | | — | |
Distributions | | | 62,051 | | | | 808 | | | | 4,808 | |
Investment securities purchased | | | 370,000 | | | | 23,532 | | | | 10,000 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 4,079 | | | | 54 | | | | 60 | |
Administration fees | | | 2,808 | | | | 37 | | | | 44 | |
Distribution fees | | | 3 | | | | — | | | | — | |
Service fees | | | 2,419 | | | | 20 | | | | — | |
Custodian and accounting fees | | | 431 | | | | 32 | | | | 52 | |
Trustees’ and Chief Compliance Officer’s fees | | | 12 | | | | — | | | | — | (a) |
Registration fees | | | 1,714 | | | | — | | | | 71 | |
Other | | | 900 | | | | 35 | | | | 50 | |
| | | | | | | | | | | | |
Total Liabilities | | | 444,417 | | | | 24,518 | | | | 15,085 | |
| | | | | | | | | | | | |
Net Assets | | $ | 63,041,128 | | | $ | 970,368 | | | $ | 3,455,824 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 88 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Prime Money
Market Fund | | |
JPMorgan
Institutional
Tax Free Money
Market Fund | | | JPMorgan
Securities
Lending Money
Market Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 63,019,523 | | | $ | 970,284 | | | $ | 3,455,003 | |
Total distributable earnings (loss) | | | 21,605 | | | | 84 | | | | 821 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 63,041,128 | | | $ | 970,368 | | | $ | 3,455,824 | |
| | | | | | | | | | | | |
Net Assets: | |
Class C | | $ | 806 | | | $ | — | | | $ | — | |
Academy | | | 150,519 | | | | — | | | | — | |
Agency | | | 2,517,667 | | | | 41,696 | | | | — | |
Agency SL | | | — | | | | — | | | | 3,455,824 | |
Capital | | | 33,683,247 | | | | 228,168 | | | | — | |
IM | | | 5,541,728 | | | | 391,386 | | | | — | |
Institutional Class | | | 15,607,982 | | | | 309,118 | | | | — | |
Morgan | | | 2,880,586 | | | | — | | | | — | |
Premier | | | 2,646,576 | | | | — | | | | — | |
Reserve | | | 12,017 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total | | $ | 63,041,128 | | | $ | 970,368 | | | $ | 3,455,824 | |
| | | | | | | | | | | | |
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class C | | | 806 | | | | — | | | | — | |
Academy | | | 150,432 | | | | — | | | | — | |
Agency | | | 2,515,932 | | | | 41,694 | | | | — | |
Agency SL | | | — | | | | — | | | | 3,455,145 | |
Capital | | | 33,665,946 | | | | 228,159 | | | | — | |
IM | | | 5,538,605 | | | | 391,382 | | | | — | |
Institutional Class | | | 15,599,645 | | | | 309,104 | | | | — | |
Morgan | | | 2,878,315 | | | | — | | | | — | |
Premier | | | 2,645,084 | | | | — | | | | — | |
Reserve | | | 12,008 | | | | — | | | | — | |
Net Asset Value offering and redemption price per share | | | | | | | | | | | | |
Class C | | $ | 1.0005 | | | $ | — | | | $ | — | |
Academy | | | 1.0006 | | | | — | | | | — | |
Agency | | | 1.0007 | | | | 1.0001 | | | | — | |
Agency SL | | | — | | | | — | | | | 1.0002 | |
Capital | | | 1.0005 | | | | 1.0000 | | | | — | |
IM | | | 1.0006 | | | | 1.0000 | | | | — | |
Institutional Class | | | 1.0005 | | | | 1.0000 | | | | — | |
Morgan | | | 1.0008 | | | | — | | | | — | |
Premier | | | 1.0006 | | | | — | | | | — | |
Reserve | | | 1.0007 | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 44,689,926 | | | $ | 965,407 | | | $ | 2,925,456 | |
Cost of repurchase agreements | | | 18,112,800 | | | | — | | | | 541,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 89 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | JPMorgan
Liquid
Assets Money
Market Fund | | | JPMorgan
U.S. Government
Money
Market Fund | | |
JPMorgan
U.S. Treasury
Plus Money
Market Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 7,930,064 | | | $ | 68,580,541 | | | $ | 11,010,055 | |
Repurchase agreements, at value | | | 2,890,406 | | | | 84,187,286 | | | | 18,487,810 | |
Cash | | | 14,970 | | | | 6,160,416 | | | | 754,117 | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | — | | | | 167,141 | | | | 847,910 | |
Fund shares sold | | | — | | | | 2,628 | | | | — | |
Interest fromnon-affiliates | | | 11,947 | | | | 228,557 | | | | 40,937 | |
| | | | | | | | | | | | |
Total Assets | | | 10,847,387 | | | | 159,326,569 | | | | 31,140,829 | |
| | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Distributions | | | 7,933 | | | | 92,847 | | | | 16,896 | |
Investment securities purchased | | | 70,000 | | | | — | | | | — | |
Fund shares redeemed | | | — | | | | 872 | | | | — | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 677 | | | | 9,946 | | | | 1,957 | |
Administration fees | | | 464 | | | | 6,813 | | | | 1,341 | |
Distribution fees | | | 49 | | | | 741 | | | | 230 | |
Service fees | | | 1,163 | | | | 7,805 | | | | 1,860 | |
Custodian and accounting fees | | | 79 | | | | 655 | | | | 154 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | (a) | | | 18 | | | | 3 | |
Registration fees | | | 112 | | | | 2,604 | | | | 2 | |
Other | | | 250 | | | | 2,176 | | | | 686 | |
| | | | | | | | | | | | |
Total Liabilities | | | 80,727 | | | | 124,477 | | | | 23,129 | |
| | | | | | | | | | | | |
Net Assets | | $ | 10,766,660 | | | $ | 159,202,092 | | | $ | 31,117,700 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 90 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Liquid
Assets Money
Market Fund | | | JPMorgan
U.S. Government
Money
Market Fund | | |
JPMorgan
U.S. Treasury
Plus Money
Market Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 10,766,866 | | | $ | 159,207,765 | | | $ | 31,118,658 | |
Total distributable earnings (loss) | | | (206 | ) | | | (5,673 | ) | | | (958 | ) |
| | | | | | | | | | | | |
Total Net Assets | | $ | 10,766,660 | | | $ | 159,202,092 | | | $ | 31,117,700 | |
| | | | | | | | | | | | |
Net Assets: | |
Class C | | $ | 18,423 | | | $ | — | | | $ | 292,824 | |
Academy | | | — | | | | 85,026 | | | | — | |
Agency | | | 1,452,745 | | | | 14,132,125 | | | | 1,744,289 | |
Capital | | | 2,295,874 | | | | 86,263,432 | | | | 9,945,933 | |
E*Trade | | | — | | | | 298,348 | | | | — | |
IM | | | — | | | | 7,443,910 | | | | 37,429 | |
Institutional Class | | | 3,412,753 | | | | 43,246,064 | | | | 16,887,054 | |
Investor | | | 7,904 | | | | 684,791 | | | | 29,937 | |
Morgan | | | 543,317 | | | | 2,064,159 | | | | 734,856 | |
Premier | | | 3,031,847 | | | | 4,095,749 | | | | 1,439,412 | |
Reserve | | | 3,797 | | | | 20,829 | | | | 5,966 | |
Service | | | — | | | | 867,659 | | | | — | |
| | | | | | | | | | | | |
Total | | $ | 10,766,660 | | | $ | 159,202,092 | | | $ | 31,117,700 | |
| | | | | | | | | | | | |
|
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class C | | | 18,425 | | | | — | | | | 292,833 | |
Academy | | | — | | | | 85,026 | | | | — | |
Agency | | | 1,452,747 | | | | 14,132,404 | | | | 1,744,352 | |
Capital | | | 2,295,873 | | | | 86,266,738 | | | | 9,946,178 | |
E*Trade | | | — | | | | 298,355 | | | | — | |
IM | | | — | | | | 7,444,143 | | | | 37,429 | |
Institutional Class | | | 3,412,769 | | | | 43,247,691 | | | | 16,887,616 | |
Investor | | | 7,904 | | | | 684,833 | | | | 29,938 | |
Morgan | | | 543,323 | | | | 2,064,159 | | | | 734,884 | |
Premier | | | 3,031,855 | | | | 4,095,848 | | | | 1,439,459 | |
Reserve | | | 3,797 | | | | 20,829 | | | | 5,966 | |
Service | | | — | | | | 867,719 | | | | — | |
Net Asset Value offering and redemption price per share (all classes) | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 7,930,064 | | | $ | 68,580,541 | | | $ | 11,010,055 | |
Cost of repurchase agreements | | | 2,890,406 | | | | 84,187,286 | | | | 18,487,810 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 91 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | JPMorgan
Federal Money
Market Fund | | | JPMorgan
100% U.S.
Treasury
Securities Money
Market Fund | | | JPMorgan
Tax Free
Money
Market Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 3,052,387 | | | $ | 67,661,706 | | | $ | 11,699,811 | |
Cash | | | 15,756 | | | | 1,092,430 | | | | 18 | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | 14,113 | | | | — | | | | 901,355 | |
Investment securities sold—delayed delivery securities | | | — | | | | — | | | | 2,270 | |
Fund shares sold | | | 3,803 | | | | — | | | | — | |
Interest fromnon-affiliates | | | 2,004 | | | | 56,909 | | | | 29,340 | |
| | | | | | | | | | | | |
Total Assets | | | 3,088,063 | | | | 68,811,045 | | | | 12,632,794 | |
| | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | 14,113 | | | | — | | | | — | �� |
Distributions | | | 2,160 | | | | 52,746 | | | | 7,306 | |
Investment securities purchased | | | — | | | | 2,627,364 | | | | 100,653 | |
Fund shares redeemed | | | 2,234 | | | | — | | | | — | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 195 | | | | 4,197 | | | | 797 | |
Administration fees | | | 134 | | | | 2,875 | | | | 546 | |
Distribution fees | | | 3 | | | | 586 | | | | 345 | |
Service fees | | | 230 | | | | 3,361 | | | | 1,192 | |
Custodian and accounting fees | | | 17 | | | | 293 | | | | 72 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | 2 | | | | 1 | |
Registration fees | | | 4 | | | | 1,551 | | | | 147 | |
Other | | | 292 | | | | 401 | | | | 156 | |
| | | | | | | | | | | | |
Total Liabilities | | | 19,382 | | | | 2,693,376 | | | | 111,215 | |
| | | | | | | | | | | | |
Net Assets | | $ | 3,068,681 | | | $ | 66,117,669 | | | $ | 12,521,579 | |
| | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 92 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Federal Money
Market Fund | | | JPMorgan
100% U.S.
Treasury
Securities Money
Market Fund | | | JPMorgan
Tax Free
Money
Market Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 3,068,849 | | | $ | 66,118,477 | | | $ | 12,521,853 | |
Total distributable earnings (loss) | | | (168 | ) | | | (808 | ) | | | (274 | ) |
| | | | | | | | | | | | |
Total Net Assets | | $ | 3,068,681 | | | $ | 66,117,669 | | | $ | 12,521,579 | |
| | | | | | | | | | | | |
Net Assets: | |
Agency | | $ | 242,716 | | | $ | 4,197,262 | | | $ | 782,269 | |
Capital | | | — | | | | 32,963,549 | | | | — | |
IM | | | — | | | | 11,885 | | | | — | |
Institutional Class | | | 2,572,379 | | | | 22,282,460 | | | | 9,173,460 | |
Morgan | | | 34,728 | | | | 2,023,440 | | | | 10,842 | |
Premier | | | 218,858 | | | | 2,537,050 | | | | 847,483 | |
Reserve | | | — | | | | 2,102,023 | | | | 1,707,525 | |
| | | | | | | | | | | | |
Total | | $ | 3,068,681 | | | $ | 66,117,669 | | | $ | 12,521,579 | |
| | | | | | | | | | | | |
|
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Agency | | | 242,753 | | | | 4,197,300 | | | | 782,276 | |
Capital | | | — | | | | 32,963,904 | | | | — | |
IM | | | — | | | | 11,885 | | | | — | |
Institutional Class | | | 2,572,766 | | | | 22,282,738 | | | | 9,173,408 | |
Morgan | | | 34,735 | | | | 2,023,462 | | | | 10,842 | |
Premier | | | 218,889 | | | | 2,537,069 | | | | 847,431 | |
Reserve | | | — | | | | 2,102,029 | | | | 1,707,442 | |
Net Asset Value offering and redemption price per share (all classes) | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 3,052,387 | | | $ | 67,661,706 | | | $ | 11,699,811 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 93 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | JPMorgan
Municipal Money
Market Fund | | | JPMorgan
California
Municipal Money
Market Fund | | |
JPMorgan
New York
Municipal Money
Market Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 1,334,658 | | | $ | 575,710 | | | $ | 2,448,108 | |
Receivables: | | | | | | | | | | | | |
Due from custodian | | | — | | | | 8,510 | | | | — | |
Investment securities sold | | | 701,430 | | | | — | | | | 250,029 | |
Investment securities sold—delayed delivery securities | | | 495 | | | | — | | | | 1,450 | |
Interest fromnon-affiliates | | | 4,811 | | | | 1,570 | | | | 6,147 | |
| | | | | | | | | | | | |
Total Assets | | | 2,041,394 | | | | 585,790 | | | | 2,705,734 | |
| | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | 1 | | | | — | | | | 24 | |
Distributions | | | 453 | | | | 265 | | | | 1,405 | |
Investment securities purchased | | | — | | | | 8,516 | | | | 1,031 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 89 | | | | 24 | | | | 124 | |
Administration fees | | | 62 | | | | 17 | | | | 85 | |
Distribution fees | | | 36 | | | | 14 | | | | 10 | |
Service fees | | | 145 | | | | 78 | | | | 276 | |
Custodian and accounting fees | | | 19 | | | | 12 | | | | 17 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | (a) | | | — | |
Registration fees | | | 363 | | | | 41 | | | | 174 | |
Other | | | 102 | | | | 106 | | | | 61 | |
| | | | | | | | | | | | |
Total Liabilities | | | 1,270 | | | | 9,073 | | | | 3,207 | |
| | | | | | | | | | | | |
Net Assets | | $ | 2,040,124 | | | $ | 576,717 | | | $ | 2,702,527 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 94 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Municipal Money
Market Fund | | | JPMorgan
California
Municipal Money
Market Fund | | |
JPMorgan
New York
Municipal Money
Market Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 2,040,132 | | | $ | 576,722 | | | $ | 2,702,344 | |
Total distributable earnings (loss) | | | (8 | ) | | | (5 | ) | | | 183 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 2,040,124 | | | $ | 576,717 | | | $ | 2,702,527 | |
| | | | | | | | | | | | |
Net Assets: | |
Agency | | $ | 112,747 | | | $ | 24,892 | | | $ | 262,677 | |
E*Trade | | | — | | | | — | | | | — | |
Institutional Class | | | 1,688,150 | | | | 287,724 | | | | 1,625,406 | |
Morgan | | | 35,473 | | | | 2,447 | | | | 62,178 | |
Premier | | | 135,261 | | | | 233,249 | | | | 742,781 | |
Reserve | | | — | | | | — | | | | 1,122 | |
Service | | | 68,493 | | | | 28,405 | | | | 8,363 | |
| | | | | | | | | | | | |
Total | | $ | 2,040,124 | | | $ | 576,717 | | | $ | 2,702,527 | |
| | | | | | | | | | | | |
|
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Agency | | | 112,746 | | | | 24,889 | | | | 262,654 | |
E*Trade | | | — | | | | — | | | | — | |
Institutional Class | | | 1,688,155 | | | | 287,670 | | | | 1,625,300 | |
Morgan | | | 35,473 | | | | 2,447 | | | | 62,169 | |
Premier | | | 135,261 | | | | 233,216 | | | | 742,714 | |
Reserve | | | — | | | | — | | | | 1,122 | |
Service | | | 68,488 | | | | 28,400 | | | | 8,361 | |
Net Asset Value offering and redemption price per share (all classes) | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 1,334,658 | | | $ | 575,710 | | | $ | 2,448,108 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 95 | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 2020
(Amounts in thousands)
| | | | | | | | | | | | |
| | | JPMorgan
Prime Money
Market Fund | | | JPMorgan
Institutional
Tax Free Money
Market Fund | | |
JPMorgan
Securities
Lending Money
Market Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 1,255,993 | | | $ | 13,642 | | | $ | 77,388 | |
Interest income from affiliates | | | 8,220 | | | | — | (a) | | | — | (a) |
| | | | | | | | | | | | |
Total investment income | | | 1,264,213 | | | | 13,642 | | | | 77,388 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 44,495 | | | | 783 | | | | 2,740 | |
Administration fees | | | 31,966 | | | | 562 | | | | 1,972 | |
Distribution fees (See Note 4) | | | 36 | | | | — | | | | — | |
Service fees (See Note 4) | | | 48,376 | | | | 482 | | | | — | |
Custodian and accounting fees | | | 1,693 | | | | 141 | | | | 218 | |
Interest expense to affiliates | | | 1 | | | | — | (a) | | | — | (a) |
Professional fees | | | 701 | | | | 57 | | | | 85 | |
Trustees’ and Chief Compliance Officer’s fees | | | 228 | | | | 28 | | | | 38 | |
Printing and mailing costs | | | 24 | | | | — | (a) | | | 8 | |
Registration and filing fees | | | 2,847 | | | | 98 | | | | 155 | |
Transfer agency fees (See Note 2.G.) | | | 1,710 | | | | 130 | | | | 107 | |
Offering costs (See Note 2.E.) | | | — | | | | — | (a) | | | 25 | |
Other | | | 377 | | | | 18 | | | | 27 | |
| | | | | | | | | | | | |
Total expenses | | | 132,454 | | | | 2,299 | | | | 5,375 | |
| | | | | | | | | | | | |
Less fees waived | | | (12,571 | ) | | | (478 | ) | | | (3,295 | ) |
Less expense reimbursements | | | (45 | ) | | | (11 | ) | | | (25 | ) |
| | | | | | | | | | | | |
Net expenses | | | 119,838 | | | | 1,810 | | | | 2,055 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 1,144,375 | | | | 11,832 | | | | 75,333 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from investments innon-affiliates | | | 218 | | | | 51 | | | | 10 | |
Change in net unrealized appreciation/depreciation on investments innon-affiliates | | | 13,052 | | | | 114 | | | | 331 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 13,270 | | | | 165 | | | | 341 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 1,157,645 | | | $ | 11,997 | | | $ | 75,674 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 96 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Liquid
Assets Money
Market Fund | | | JPMorgan
U.S. Government
Money
Market Fund | | |
JPMorgan
U.S. Treasury
Plus Money
Market Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 177,300 | | | $ | 3,082,363 | | | $ | 608,358 | |
Interest income from affiliates | | | 311 | | | | 73,504 | | | | 13,299 | |
Income from interfund lending (net) | | | 194 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total investment income | | | 177,805 | | | | 3,155,867 | | | | 621,657 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 6,364 | | | | 120,612 | | | | 23,822 | |
Administration fees | | | 4,556 | | | | 86,774 | | | | 17,155 | |
Distribution fees (See Note 4) | | | 559 | | | | 16,690 | | | | 3,136 | |
Service fees (See Note 4) | | | 12,978 | | | | 130,526 | | | | 31,402 | |
Custodian and accounting fees | | | 301 | | | | 2,406 | | | | 633 | |
Professional fees | | | 146 | | | | 1,686 | | | | 395 | |
Trustees’ and Chief Compliance Officer’s fees | | | 52 | | | | 591 | | | | 139 | |
Printing and mailing costs | | | 60 | | | | 281 | | | | 15 | |
Registration and filing fees | | | 1,025 | | | | 6,030 | | | | 333 | |
Transfer agency fees (See Note 2.G.) | | | 258 | | | | 3,070 | | | | 702 | |
Other | | | 2 | | | | 865 | | | | 190 | |
| | | | | | | | | | | | |
Total expenses | | | 26,301 | | | | 369,531 | | | | 77,922 | |
| | | | | | | | | | | | |
Less fees waived | | | (2,755 | ) | | | (34,334 | ) | | | (8,669 | ) |
| | | | | | | | | | | | |
Net expenses | | | 23,546 | | | | 335,197 | | | | 69,253 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 154,259 | | | | 2,820,670 | | | | 552,404 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from investments innon-affiliates | | | 25 | | | | (82 | ) | | | (198 | ) |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 154,284 | | | $ | 2,820,588 | | | $ | 552,206 | |
| | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 97 | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 2020 (continued)
(Amounts in thousands)
| | | | | | | | | | | | |
| | | JPMorgan
Federal Money
Market Fund | | | JPMorgan
100% U.S.
Treasury
Securities Money
Market Fund | | | JPMorgan
Tax Free
Money
Market Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 57,924 | | | $ | 1,191,087 | | | $ | 200,164 | |
Interest income from affiliates | | | 493 | | | | 22,200 | | | | — | (a) |
| | | | | | | | | | | | |
Total investment income | | | 58,417 | | | | 1,213,287 | | | | 200,164 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 2,232 | | | | 47,817 | | | | 11,172 | |
Administration fees | | | 1,610 | | | | 34,359 | | | | 8,071 | |
Distribution fees (See Note 4) | | | 35 | | | | 7,119 | | | | 4,354 | |
Service fees (See Note 4) | | | 3,326 | | | | 60,703 | | | | 19,775 | |
Custodian and accounting fees | | | 75 | | | | 1,161 | | | | 354 | |
Interest expense to affiliates | | | 2 | | | | — | | | | 13 | |
Professional fees | | | 65 | | | | 686 | | | | 224 | |
Trustees’ and Chief Compliance Officer’s fees | | | 35 | | | | 241 | | | | 80 | |
Printing and mailing costs | | | 54 | | | | 181 | | | | 26 | |
Registration and filing fees | | | 94 | | | | 2,544 | | | | 336 | |
Transfer agency fees (See Note 2.G.) | | | 109 | | | | 1,335 | | | | 308 | |
Other | | | 24 | | | | 308 | | | | 151 | |
| | | | | | | | | | | | |
Total expenses | | | 7,661 | | | | 156,454 | | | | 44,864 | |
| | | | | | | | | | | | |
Less fees waived | | | (1,153 | ) | | | (14,691 | ) | | | (4,338 | ) |
| | | | | | | | | | | | |
Net expenses | | | 6,508 | | | | 141,763 | | | | 40,526 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 51,909 | | | | 1,071,524 | | | | 159,638 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from investments innon-affiliates | | | 119 | | | | 711 | | | | 33 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 52,028 | | | $ | 1,072,235 | | | $ | 159,671 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 98 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
Municipal Money
Market Fund | | | JPMorgan
California
Municipal Money
Market Fund | | |
JPMorgan
New York
Municipal Money
Market Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 38,299 | | | $ | 7,137 | | | $ | 29,046 | |
| | | | | | | | | | | | |
Total investment income | | | 38,299 | | | | 7,137 | | | | 29,046 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 2,089 | | | | 442 | | | | 1,725 | |
Administration fees | | | 1,511 | | | | 318 | | | | 1,235 | |
Distribution fees (See Note 4) | | | 1,295 | | | | 422 | | | | 260 | |
Service fees (See Note 4) | | | 3,571 | | | | 1,200 | | | | 4,307 | |
Custodian and accounting fees | | | 100 | | | | 59 | | | | 87 | |
Interest expense to affiliates | | | 5 | | | | 5 | | | | 3 | |
Professional fees | | | 85 | | | | 48 | | | | 71 | |
Trustees’ and Chief Compliance Officer’s fees | | | 35 | | | | 27 | | | | 32 | |
Printing and mailing costs | | | 132 | | | | — | (a) | | | — | (a) |
Registration and filing fees | | | 954 | | | | 163 | | | | 332 | |
Transfer agency fees (See Note 2.G.) | | | 64 | | | | 16 | | | | 64 | |
Other | | | 18 | | | | 14 | | | | 18 | |
| | | | | | | | | | | | |
Total expenses | | | 9,859 | | | | 2,714 | | | | 8,134 | |
| | | | | | | | | | | | |
Less fees waived | | | (1,945 | ) | | | (358 | ) | | | (809 | ) |
| | | | | | | | | | | | |
Net expenses | | | 7,914 | | | | 2,356 | | | | 7,325 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 30,385 | | | | 4,781 | | | | 21,721 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from investments innon-affiliates | | | 113 | | | | 248 | | | | 242 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 30,498 | | | $ | 5,029 | | | $ | 21,963 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 99 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | JPMorgan Prime Money Market Fund | | |
JPMorgan Institutional Tax Free Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended February 28, 2019 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 1,144,375 | | | $ | 884,549 | | | $ | 11,832 | | | $ | 7,858 | |
Net realized gain (loss) | | | 218 | | | | 131 | | | | 51 | | | | 14 | |
Change in net unrealized appreciation/depreciation | | | 13,052 | | | | 8,894 | | | | 114 | | | | (33 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 1,157,645 | | | | 893,574 | | | | 11,997 | | | | 7,839 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class C | | | (13 | ) | | | (21 | ) | | | — | | | | — | |
Academy (b) | | | (457 | ) | | | — | | | | — | | | | — | |
Agency | | | (49,744 | ) | | | (40,387 | ) | | | (618 | ) | | | (83 | ) |
Capital | | | (597,060 | ) | | | (535,595 | ) | | | (2,326 | ) | | | (263 | ) |
IM | | | (117,603 | ) | | | (40,957 | ) | | | (5,287 | ) | | | (5,663 | ) |
Institutional Class | | | (289,111 | ) | | | (212,564 | ) | | | (3,653 | ) | | | (1,859 | ) |
Morgan | | | (48,418 | ) | | | (28,290 | ) | | | — | | | | — | |
Premier | | | (41,832 | ) | | | (26,502 | ) | | | — | | | | — | |
Reserve | | | (183 | ) | | | (346 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (1,144,421 | ) | | | (884,662 | ) | | | (11,884 | ) | | | (7,868 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 15,946,055 | | | | 8,474,416 | | | | 26,906 | | | | 943,378 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 15,959,279 | | | | 8,483,328 | | | | 27,019 | | | | 943,349 | |
Beginning of period | | | 47,081,849 | | | | 38,598,521 | | | | 943,349 | | | | — | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 63,041,128 | | | $ | 47,081,849 | | | $ | 970,368 | | | $ | 943,349 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was March 1, 2018. |
| (b) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan Prime Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 100 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Securities Lending Money
Market Fund | | | JPMorgan Liquid Assets Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 75,333 | | | $ | 15,410 | | | $ | 154,259 | | | $ | 64,681 | |
Net realized gain (loss) | | | 10 | | | | 1 | | | | 25 | | | | 6 | |
Change in net unrealized appreciation/depreciation | | | 331 | | | | 483 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 75,674 | | | | 15,894 | | | | 154,284 | | | | 64,687 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class C | | | — | | | | — | | | | (277 | ) | | | (279 | ) |
Agency | | | — | | | | — | | | | (16,604 | ) | | | (6,245 | ) |
Agency SL | | | (75,337 | ) | | | (15,410 | ) | | | — | | | | — | |
Capital | | | — | | | | — | | | | (30,328 | ) | | | (5,669 | ) |
Institutional Class | | | — | | | | — | | | | (62,194 | ) | | | (35,769 | ) |
Investor | | | — | | | | — | | | | (127 | ) | | | (179 | ) |
Morgan | | | — | | | | — | | | | (6,659 | ) | | | (3,399 | ) |
Premier | | | — | | | | — | | | | (38,021 | ) | | | (13,059 | ) |
Reserve | | | — | | | | — | | | | (65 | ) | | | (87 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (75,337 | ) | | | (15,410 | ) | | | (154,275 | ) | | | (64,686 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 589,948 | | | | 2,865,055 | | | | 5,465,305 | | | | 3,508,402 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 590,285 | | | | 2,865,539 | | | | 5,465,314 | | | | 3,508,403 | |
Beginning of period | | | 2,865,539 | | | | — | | | | 5,301,346 | | | | 1,792,943 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 3,455,824 | | | $ | 2,865,539 | | | $ | 10,766,660 | | | $ | 5,301,346 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was September 19, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 101 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan U.S. Government Money
Market Fund | | | JPMorgan U.S. Treasury Plus Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 2,820,670 | | | $ | 2,578,969 | | | $ | 552,404 | | | $ | 506,910 | |
Net realized gain (loss) | | | (82 | ) | | | (3,877 | ) | | | (198 | ) | | | (176 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 2,820,588 | | | | 2,575,092 | | | | 552,206 | | | | 506,734 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class C | | | — | | | | — | | | | (3,629 | ) | | | (4,095 | ) |
Academy (a) | | | (216 | ) | | | — | | | | — | | | | — | |
Agency | | | (230,142 | ) | | | (222,066 | ) | | | (38,568 | ) | | | (25,590 | ) |
Capital | | | (1,543,302 | ) | | | (1,466,420 | ) | | | (146,413 | ) | | | (103,670 | ) |
Eagle Class (b) | | | (16,148 | ) | | | (37,312 | ) | | | — | | | | — | |
Eagle Private Wealth Class (c) | | | — | (d) | | | — | (d) | | | — | | | | — | |
E*Trade | | | (3,113 | ) | | | (3,012 | ) | | | — | | | | — | |
IM | | | (130,326 | ) | | | (89,246 | ) | | | (10,160 | ) | | | (48,958 | ) |
Institutional Class | | | (768,011 | ) | | | (635,300 | ) | | | (322,365 | ) | | | (304,942 | ) |
Investor | | | (15,053 | ) | | | (14,298 | ) | | | (518 | ) | | | (622 | ) |
Morgan | | | (28,533 | ) | | | (21,441 | ) | | | (11,478 | ) | | | (6,356 | ) |
Premier | | | (64,204 | ) | | | (67,583 | ) | | | (19,186 | ) | | | (12,497 | ) |
Reserve | | | (268 | ) | | | (542 | ) | | | (88 | ) | | | (180 | ) |
Service | | | (21,354 | ) | | | (21,750 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (2,820,670 | ) | | | (2,578,970 | ) | | | (552,405 | ) | | | (506,910 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 13,842,318 | | | | (6,980,523 | ) | | | 1,434,312 | | | | 7,326,156 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 13,842,236 | | | | (6,984,401 | ) | | | 1,434,113 | | | | 7,325,980 | |
Beginning of period | | | 145,359,856 | | | | 152,344,257 | | | | 29,683,587 | | | | 22,357,607 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 159,202,092 | | | $ | 145,359,856 | | | $ | 31,117,700 | | | $ | 29,683,587 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (b) | Liquidated on November 25, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (c) | Liquidated on December 9, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (d) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 102 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Federal Money Market Fund | | |
JPMorgan 100% U.S. Treasury Securities
Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 51,909 | | | $ | 58,381 | | | $ | 1,071,524 | | | $ | 746,543 | |
Net realized gain (loss) | | | 119 | | | | 13 | | | | 711 | | | | (222 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 52,028 | | | | 58,394 | | | | 1,072,235 | | | | 746,321 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Agency | | | (3,685 | ) | | | (2,217 | ) | | | (66,255 | ) | | | (41,806 | ) |
Capital | | | — | | | | — | | | | (546,192 | ) | | | (376,988 | ) |
IM (a) | | | — | | | | — | | | | (25 | ) | | | — | |
Institutional Class | | | (45,076 | ) | | | (52,791 | ) | | | (364,514 | ) | | | (258,873 | ) |
Morgan | | | (515 | ) | | | (433 | ) | | | (29,187 | ) | | | (27,970 | ) |
Premier | | | (2,733 | ) | | | (2,945 | ) | | | (38,642 | ) | | | (24,668 | ) |
Reserve | | | — | | | | — | | | | (27,410 | ) | | | (16,269 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (52,009 | ) | | | (58,386 | ) | | | (1,072,225 | ) | | | (746,574 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | (681,168 | ) | | | 691,739 | | | | 16,533,512 | | | | 14,571,405 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | (681,149 | ) | | | 691,747 | | | | 16,533,522 | | | | 14,571,152 | |
Beginning of period | | | 3,749,830 | | | | 3,058,083 | | | | 49,584,147 | | | | 35,012,995 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 3,068,681 | | | $ | 3,749,830 | | | $ | 66,117,669 | | | $ | 49,584,147 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective January 15, 2020 for JPMorgan 100% U.S. Treasury Securities Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 103 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Tax Free Money Market Fund | | | JPMorgan Municipal Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 159,638 | | | $ | 196,826 | | | $ | 30,385 | | | $ | 33,600 | |
Net realized gain (loss) | | | 33 | | | | 1,154 | | | | 113 | | | | 255 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 159,671 | | | | 197,980 | | | | 30,498 | | | | 33,855 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Agency | | | (9,975 | ) | | | (12,956 | ) | | | (1,494 | ) | | | (2,215 | ) |
Eagle Class (a) | | | — | | | | — | | | | (1,387 | ) | | | (4,615 | ) |
Institutional Class | | | (128,036 | ) | | | (156,952 | ) | | | (25,445 | ) | | | (24,246 | ) |
Morgan | | | (91 | ) | | | (96 | ) | | | (185 | ) | | | (157 | ) |
Premier | | | (9,288 | ) | | | (10,954 | ) | | | (1,279 | ) | | | (1,365 | ) |
Reserve | | | (12,603 | ) | | | (16,694 | ) | | | — | | | | — | |
Service | | | — | | | | — | | | | (749 | ) | | | (1,260 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (159,993 | ) | | | (197,652 | ) | | | (30,539 | ) | | | (33,858 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | (4,045,909 | ) | | | (315,886 | ) | | | (1,058,068 | ) | | | 421,121 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | (4,046,231 | ) | | | (315,558 | ) | | | (1,058,109 | ) | | | 421,118 | |
Beginning of period | | | 16,567,810 | | | | 16,883,368 | | | | 3,098,233 | | | | 2,677,115 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 12,521,579 | | | $ | 16,567,810 | | | $ | 2,040,124 | | | $ | 3,098,233 | |
| | | | | | | | | | | | | | | | |
| (a) | Liquidated on November 25, 2019 for JPMorgan Municipal Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 104 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan California Municipal Money
Market Fund | | | JPMorgan New York Municipal Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 4,781 | | | $ | 2,933 | | | $ | 21,721 | | | $ | 8,056 | |
Net realized gain (loss) | | | 248 | | | | 148 | | | | 242 | | | | 6 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 5,029 | | | | 3,081 | | | | 21,963 | | | | 8,062 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Agency (a) | | | (124 | ) | | | — | | | | (2,365 | ) | | | — | |
Eagle Class (b) | | | (24 | ) | | | (88 | ) | | | (60 | ) | | | (191 | ) |
Institutional Class (a) | | | (2,358 | ) | | | — | | | | (10,243 | ) | | | — | |
Morgan | | | (18 | ) | | | (17 | ) | | | (1,002 | ) | | | (1,189 | ) |
Premier | | | (2,220 | ) | | | (2,469 | ) | | | (7,987 | ) | | | (6,521 | ) |
Reserve | | | — | | | | — | | | | (10 | ) | | | (13 | ) |
Service | | | (270 | ) | | | (518 | ) | | | (91 | ) | | | (177 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (5,014 | ) | | | (3,092 | ) | | | (21,758 | ) | | | (8,091 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 187,235 | | | | 84,390 | | | | 1,727,911 | | | | 295,217 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 187,250 | | | | 84,379 | | | | 1,728,116 | | | | 295,188 | |
Beginning of period | | | 389,467 | | | | 305,088 | | | | 974,411 | | | | 679,223 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 576,717 | | | $ | 389,467 | | | $ | 2,702,527 | | | $ | 974,411 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective March 1, 2019. |
| (b) | Liquidated on November 25, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 105 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | JPMorgan Prime Money Market Fund | | |
JPMorgan Institutional Tax Free Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended February 28, 2019 (a) | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | 6 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 13 | | | | 21 | | | | — | | | | — | |
Cost of shares redeemed | | | (425 | ) | | | (821 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (412 | ) | | $ | (794 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Academy(b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 150,020 | | | $ | — | | | $ | — | | | $ | — | |
Distributions reinvested | | | 457 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Academy capital transactions | | $ | 150,477 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 214,440,317 | | | $ | 208,462,873 | | | $ | 141,665 | | | $ | 34,694 | |
Distributions reinvested | | | 6,895 | | | | 5,212 | | | | — | (c) | | | 1 | |
Cost of shares redeemed | | | (214,403,768 | ) | | | (207,488,850 | ) | | | (117,118 | ) | | | (17,546 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | 43,444 | | | $ | 979,235 | | | $ | 24,547 | | | $ | 17,149 | |
| | | | | | | | | | | | | | | | |
Capital | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 203,523,806 | | | $ | 192,273,369 | | | $ | 1,037,579 | | | $ | 113,212 | |
Distributions reinvested | | | 212,739 | | | | 212,051 | | | | 14 | | | | 10 | |
Cost of shares redeemed | | | (196,787,160 | ) | | | (190,418,265 | ) | | | (882,404 | ) | | | (40,287 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Capital capital transactions | | $ | 6,949,385 | | | $ | 2,067,155 | | | $ | 155,189 | | | $ | 72,935 | |
| | | | | | | | | | | | | | | | |
IM | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 53,762,592 | | | $ | 10,849,841 | | | $ | 5,668,758 | | | $ | 4,979,384 | |
Distributions reinvested | | | 2,352 | | | | 775 | | | | — | (c) | | | 145 | |
Cost of shares redeemed | | | (50,121,236 | ) | | | (10,986,734 | ) | | | (5,752,779 | ) | | | (4,504,146 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from IM capital transactions | | $ | 3,643,708 | | | $ | (136,118 | ) | | $ | (84,021 | ) | | $ | 475,383 | |
| | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 85,497,068 | | | $ | 55,247,913 | | | $ | 2,757,931 | | | $ | 835,339 | |
Distributions reinvested | | | 48,602 | | | | 41,157 | | | | 1 | | | | 219 | |
Cost of shares redeemed | | | (81,633,030 | ) | | | (52,166,752 | ) | | | (2,826,741 | ) | | | (457,647 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | 3,912,640 | | | $ | 3,122,318 | | | $ | (68,809 | ) | | $ | 377,911 | |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 613,721,690 | | | $ | 307,090,167 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 3,561 | | | | 3,741 | | | | — | | | | — | |
Cost of shares redeemed | | | (613,239,003 | ) | | | (305,439,466 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | 486,248 | | | $ | 1,654,442 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 69,228,079 | | | $ | 40,290,030 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1,244 | | | | 1,477 | | | | — | | | | — | |
Cost of shares redeemed | | | (68,467,754 | ) | | | (39,500,495 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | 761,569 | | | $ | 791,012 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,424,770 | | | $ | 4,012,689 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 23 | | | | 73 | | | | — | | | | — | |
Cost of shares redeemed | | | (2,425,797 | ) | | | (4,015,596 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | (1,004 | ) | | $ | (2,834 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 15,946,055 | | | $ | 8,474,416 | | | $ | 26,906 | | | $ | 943,378 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was March 1, 2018. |
| (b) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan Prime Money Market Fund. |
| (c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 106 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Prime Money Market Fund | | |
JPMorgan Institutional Tax Free Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended February 28, 2019 (a) | |
SHARE TRANSACTIONS: | |
Class C | |
Issued | | | — | | | | 6 | | | | — | | | | — | |
Reinvested | | | 13 | | | | 21 | | | | — | | | | — | |
Redeemed | | | (425 | ) | | | (821 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (412 | ) | | | (794 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Academy(b) | |
Issued | | | 149,975 | | | | — | | | | — | | | | — | |
Reinvested | | | 457 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Academy Shares | | | 150,432 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Agency | |
Issued | | | 214,348,639 | | | | 208,425,101 | | | | 141,661 | | | | 34,693 | |
Reinvested | | | 6,892 | | | | 5,212 | | | | — | (c) | | | 1 | |
Redeemed | | | (214,312,930 | ) | | | (207,450,783 | ) | | | (117,115 | ) | | | (17,546 | ) |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | 42,601 | | | | 979,530 | | | | 24,546 | | | | 17,148 | |
| | | | | | | | | | | | | | | | |
Capital | |
Issued | | | 203,471,472 | | | | 192,248,217 | | | | 1,037,557 | | | | 113,211 | |
Reinvested | | | 212,670 | | | | 212,014 | | | | 14 | | | | 10 | |
Redeemed | | | (196,736,156 | ) | | | (190,393,300 | ) | | | (882,346 | ) | | | (40,287 | ) |
| | | | | | | | | | | | | | | | |
Change in Capital Shares | | | 6,947,986 | | | | 2,066,931 | | | | 155,225 | | | | 72,934 | |
| | | | | | | | | | | | | | | | |
IM | |
Issued | | | 53,745,178 | | | | 10,848,505 | | | | 5,668,624 | | | | 4,979,388 | |
Reinvested | | | 2,351 | | | | 775 | | | | — | (c) | | | 145 | |
Redeemed | | | (50,104,592 | ) | | | (10,985,420 | ) | | | (5,752,627 | ) | | | (4,504,148 | ) |
| | | | | | | | | | | | | | | | |
Change in IM Shares | | | 3,642,937 | | | | (136,140 | ) | | | (84,003 | ) | | | 475,385 | |
| | | | | | | | | | | | | | | | |
Institutional Class | |
Issued | | | 85,474,302 | | | | 55,241,965 | | | | 2,757,820 | | | | 835,334 | |
Reinvested | | | 48,585 | | | | 41,149 | | | | 1 | | | | 219 | |
Redeemed | | | (81,611,351 | ) | | | (52,161,197 | ) | | | (2,826,628 | ) | | | (457,642 | ) |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | 3,911,536 | | | | 3,121,917 | | | | (68,807 | ) | | | 377,911 | |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | 613,432,479 | | | | 307,042,558 | | | | — | | | | — | |
Reinvested | | | 3,560 | | | | 3,740 | | | | — | | | | — | |
Redeemed | | | (612,952,228 | ) | | | (305,391,593 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | 483,811 | | | | 1,654,705 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | 69,204,821 | | | | 40,284,169 | | | | — | | | | — | |
Reinvested | | | 1,244 | | | | 1,477 | | | | — | | | | — | |
Redeemed | | | (68,444,952 | ) | | | (39,494,691 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | 761,113 | | | | 790,955 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | 2,423,689 | | | | 4,012,072 | | | | — | | | | — | |
Reinvested | | | 23 | | | | 73 | | | | — | | | | — | |
Redeemed | | | (2,424,725 | ) | | | (4,014,969 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | (1,013 | ) | | | (2,824 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was March 1, 2018. |
| (b) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan Prime Money Market Fund. |
| (c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 107 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Securities Lending Money
Market Fund | | | JPMorgan Liquid Assets Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 13,606 | | | $ | 17,379 | |
Distributions reinvested | | | — | | | | — | | | | 275 | | | | 279 | |
Cost of shares redeemed | | | — | | | | — | | | | (17,530 | ) | | | (17,852 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | — | | | $ | — | | | $ | (3,649 | ) | | $ | (194 | ) |
| | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 2,393,073 | | | $ | 946,895 | |
Distributions reinvested | | | — | | | | — | | | | 2,765 | | | | 295 | |
Cost of shares redeemed | | | — | | | | — | | | | (1,485,097 | ) | | | (563,714 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | — | | | $ | — | | | $ | 910,741 | | | $ | 383,476 | |
| | | | | | | | | | | | | | | | |
Agency SL | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 24,507,300 | | | $ | 7,082,500 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 1 | | | | 145 | | | | — | | | | — | |
Cost of shares redeemed | | | (23,917,353 | ) | | | (4,217,590 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency SL capital transactions | | $ | 589,948 | | | $ | 2,865,055 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Capital | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 3,670,986 | | | $ | 1,101,524 | |
Distributions reinvested | | | — | | | | — | | | | 12,365 | | | | 660 | |
Cost of shares redeemed | | | — | | | | — | | | | (1,945,970 | ) | | | (642,507 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Capital capital transactions | | $ | — | | | $ | — | | | $ | 1,737,381 | | | $ | 459,677 | |
| | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 4,691,517 | | | $ | 3,885,697 | |
Distributions reinvested | | | — | | | | — | | | | 21,795 | | | | 12,958 | |
Cost of shares redeemed | | | — | | | | — | | | | (4,018,108 | ) | | | (2,169,444 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | — | | | $ | — | | | $ | 695,204 | | | $ | 1,729,211 | |
| | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 3,928 | | | $ | 19,039 | |
Distributions reinvested | | | — | | | | — | | | | 127 | | | | 173 | |
Cost of shares redeemed | | | — | | | | — | | | | (4,298 | ) | | | (19,681 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Investor capital transactions | | $ | — | | | $ | — | | | $ | (243 | ) | | $ | (469 | ) |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 622,663 | | | $ | 316,847 | |
Distributions reinvested | | | — | | | | — | | | | 6,392 | | | | 3,328 | |
Cost of shares redeemed | | | — | | | | — | | | | (393,322 | ) | | | (168,640 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | — | | | $ | — | | | $ | 235,733 | | | $ | 151,535 | |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 4,742,192 | | | $ | 1,950,030 | |
Distributions reinvested | | | — | | | | — | | | | 11,491 | | | | 141 | |
Cost of shares redeemed | | | — | | | | — | | | | (2,862,793 | ) | | | (1,163,026 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | — | | | $ | — | | | $ | 1,890,890 | | | $ | 787,145 | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 410 | | | $ | 1,161 | |
Distributions reinvested | | | — | | | | — | | | | 64 | | | | 87 | |
Cost of shares redeemed | | | — | | | | — | | | | (1,226 | ) | | | (3,227 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | — | | | $ | — | | | $ | (752 | ) | | $ | (1,979 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 589,948 | | | $ | 2,865,055 | | | $ | 5,465,305 | | | $ | 3,508,402 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was September 19, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 108 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Securities Lending Money
Market Fund | | | JPMorgan Liquid Assets Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | |
Class C | |
Issued | | | — | | | | — | | | | 13,606 | | | | 17,379 | |
Reinvested | | | — | | | | — | | | | 275 | | | | 279 | |
Redeemed | | | — | | | | — | | | | (17,530 | ) | | | (17,852 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | — | | | | — | | | | (3,649 | ) | | | (194 | ) |
| | | | | | | | | | | | | | | | |
Agency | |
Issued | | | — | | | | — | | | | 2,393,073 | | | | 946,895 | |
Reinvested | | | — | | | | — | | | | 2,765 | | | | 295 | |
Redeemed | | | — | | | | — | | | | (1,485,097 | ) | | | (563,714 | ) |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | — | | | | — | | | | 910,741 | | | | 383,476 | |
| | | | | | | | | | | | | | | | |
Agency SL | |
Issued | | | 24,504,701 | | | | 7,082,844 | | | | — | | | | — | |
Reinvested | | | 1 | | | | 145 | | | | — | | | | — | |
Redeemed | | | (23,914,801 | ) | | | (4,217,745 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Agency SL Shares | | | 589,901 | | | | 2,865,244 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Capital | |
Issued | | | — | | | | — | | | | 3,670,986 | | | | 1,101,524 | |
Reinvested | | | — | | | | — | | | | 12,365 | | | | 660 | |
Redeemed | | | — | | | | — | | | | (1,945,970 | ) | | | (642,507 | ) |
| | | | | | | | | | | | | | | | |
Change in Capital Shares | | | — | | | | — | | | | 1,737,381 | | | | 459,677 | |
| | | | | | | | | | | | | | | | |
Institutional Class | |
Issued | | | — | | | | — | | | | 4,691,517 | | | | 3,885,697 | |
Reinvested | | | — | | | | — | | | | 21,795 | | | | 12,958 | |
Redeemed | | | — | | | | — | | | | (4,018,108 | ) | | | (2,169,444 | ) |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | — | | | | — | | | | 695,204 | | | | 1,729,211 | |
| | | | | | | | | | | | | | | | |
Investor | |
Issued | | | — | | | | — | | | | 3,928 | | | | 19,039 | |
Reinvested | | | — | | | | — | | | | 127 | | | | 173 | |
Redeemed | | | — | | | | — | | | | (4,298 | ) | | | (19,681 | ) |
| | | | | | | | | | | | | | | | |
Change in Investor Shares | | | — | | | | — | | | | (243 | ) | | | (469 | ) |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | — | | | | — | | | | 622,661 | | | | 316,846 | |
Reinvested | | | — | | | | — | | | | 6,392 | | | | 3,328 | |
Redeemed | | | — | | | | — | | | | (393,322 | ) | | | (168,639 | ) |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | — | | | | — | | | | 235,731 | | | | 151,535 | |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | — | | | | — | | | | 4,742,192 | | | | 1,950,030 | |
Reinvested | | | — | | | | — | | | | 11,491 | | | | 141 | |
Redeemed | | | — | | | | — | | | | (2,862,793 | ) | | | (1,163,026 | ) |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | — | | | | — | | | | 1,890,890 | | | | 787,145 | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | — | | | | — | | | | 410 | | | | 1,161 | |
Reinvested | | | — | | | | — | | | | 64 | | | | 87 | |
Redeemed | | | — | | | | — | | | | (1,226 | ) | | | (3,227 | ) |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | — | | | | — | | | | (752 | ) | | | (1,979 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was September 19, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 109 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan U.S. Government Money
Market Fund | | | JPMorgan U.S. Treasury Plus Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 222,137 | | | $ | 178,940 | |
Distributions reinvested | | | — | | | | — | | | | 3,629 | | | | 4,094 | |
Cost of shares redeemed | | | — | | | | — | | | | (308,170 | ) | | | (224,858 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | — | | | $ | — | | | $ | (82,404 | ) | | $ | (41,824 | ) |
| | | | | | | | | | | | | | | | |
Academy(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 85,020 | | | $ | — | | | $ | — | | | $ | — | |
Distributions reinvested | | | 6 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Academy capital transactions | | $ | 85,026 | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,276,267,711 | | | $ | 1,353,183,882 | | | $ | 170,809,933 | | | $ | 124,453,173 | |
Distributions reinvested | | | 9,104 | | | | 6,868 | | | | 3,887 | | | | 2,907 | |
Cost of shares redeemed | | | (1,273,257,104 | ) | | | (1,355,984,012 | ) | | | (171,083,496 | ) | | | (123,372,740 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | 3,019,711 | | | $ | (2,793,262 | ) | | $ | (269,676 | ) | | $ | 1,083,340 | |
| | | | | | | | | | | | | | | | |
Capital | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,239,463,988 | | | $ | 1,198,580,018 | | | $ | 76,540,607 | | | $ | 54,777,524 | |
Distributions reinvested | | | 689,238 | | | | 666,003 | | | | 33,856 | | | | 27,610 | |
Cost of shares redeemed | | | (1,227,280,092 | ) | | | (1,218,601,159 | ) | | | (73,053,662 | ) | | | (51,881,006 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Capital capital transactions | | $ | 12,873,134 | | | $ | (19,355,138 | ) | | $ | 3,520,801 | | | $ | 2,924,128 | |
| | | | | | | | | | | | | | | | |
Eagle Class(b) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 543,448 | | | $ | 4,923,912 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 14,518 | | | | 36,954 | | | | — | | | | — | |
Cost of shares redeemed | | | (4,416,056 | ) | | | (2,275,477 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Eagle Class capital transactions | | $ | (3,858,090 | ) | | $ | 2,685,389 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Eagle Private Wealth Class(c) | | | | | | | | | | | | | | | | |
Distributions reinvested | | $ | — | (d) | | $ | — | (d) | | $ | — | | | $ | — | |
Cost of shares redeemed | | | (21 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Eagle Private Wealth Class capital transactions | | $ | (21 | ) | | $ | — | (d) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
E*Trade | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 228,719 | | | $ | 279,841 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 3,113 | | | | 3,012 | | | | — | | | | — | |
Cost of shares redeemed | | | (208,477 | ) | | | (299,680 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from E*Trade capital transactions | | $ | 23,355 | | | $ | (16,827 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
IM | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 53,182,765 | | | $ | 36,187,070 | | | $ | 1,226,373 | | | $ | 10,181,348 | |
Distributions reinvested | | | 40,503 | | | | 40,933 | | | | 6,783 | | | | 28,953 | |
Cost of shares redeemed | | | (51,888,343 | ) | | | (32,612,636 | ) | | | (2,647,217 | ) | | | (11,810,374 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from IM capital transactions | | $ | 1,334,925 | | | $ | 3,615,367 | | | $ | (1,414,061 | ) | | $ | (1,600,073 | ) |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 110 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan U.S. Government Money
Market Fund | | | JPMorgan U.S. Treasury Plus Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: (continued) | | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 358,725,290 | | | $ | 373,572,925 | | | $ | 89,228,169 | | | $ | 111,302,840 | |
Distributions reinvested | | | 510,121 | | | | 324,296 | | | | 221,403 | | | | 190,534 | |
Cost of shares redeemed | | | (357,857,934 | ) | | | (364,571,713 | ) | | | (90,328,833 | ) | | | (107,227,739 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | 1,377,477 | | | $ | 9,325,508 | | | $ | (879,261 | ) | | $ | 4,265,635 | |
| | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 317,919 | | | $ | 990,064 | | | $ | 170,196 | | | $ | 133,947 | |
Distributions reinvested | | | 15,053 | | | | 14,298 | | | | 11 | | | | 8 | |
Cost of shares redeemed | | | (775,851 | ) | | | (624,967 | ) | | | (168,853 | ) | | | (154,190 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Investor capital transactions | | $ | (442,879 | ) | | $ | 379,395 | | | $ | 1,354 | | | $ | (20,235 | ) |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 311,978,401 | | | $ | 208,722,801 | | | $ | 166,379,043 | | | $ | 80,166,283 | |
Distributions reinvested | | | 7,869 | | | | 7,865 | | | | 855 | | | | 761 | |
Cost of shares redeemed | | | (311,582,589 | ) | | | (208,301,366 | ) | | | (166,279,543 | ) | | | (79,816,151 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | 403,681 | | | $ | 429,300 | | | $ | 100,355 | | | $ | 350,893 | |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 163,482,618 | | | $ | 164,890,575 | | | $ | 27,622,521 | | | $ | 15,269,775 | |
Distributions reinvested | | | 5,220 | | | | 3,317 | | | | 6,993 | | | | 3,317 | |
Cost of shares redeemed | | | (162,337,604 | ) | | | (167,448,259 | ) | | | (27,171,290 | ) | | | (14,903,539 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | 1,150,234 | | | $ | (2,554,367 | ) | | $ | 458,224 | | | $ | 369,553 | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 13,945 | | | $ | 1,561,266 | | | $ | 1,498 | | | $ | 1,360,549 | |
Distributions reinvested | | | 268 | | | | 451 | | | | 87 | | | | 103 | |
Cost of shares redeemed | | | (12,851 | ) | | | (1,601,583 | ) | | | (2,605 | ) | | | (1,365,913 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | 1,362 | | | $ | (39,866 | ) | | $ | (1,020 | ) | | $ | (5,261 | ) |
| | | | | | | | | | | | | | | | |
Service | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 335,160 | | | $ | 2,999,804 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 21,353 | | | | 21,750 | | | | — | | | | — | |
Cost of shares redeemed | | | (2,482,110 | ) | | | (1,677,576 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Service capital transactions | | $ | (2,125,597 | ) | | $ | 1,343,978 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 13,842,318 | | | $ | (6,980,523 | ) | | $ | 1,434,312 | | | $ | 7,326,156 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (b) | Liquidated on November 25, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (c) | Liquidated on December 9, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (d) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 111 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan U.S. Government Money
Market Fund | | | JPMorgan U.S. Treasury Plus Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | |
Class C | |
Issued | | | — | | | | — | | | | 222,129 | | | | 178,940 | |
Reinvested | | | — | | | | — | | | | 3,629 | | | | 4,094 | |
Redeemed | | | — | | | | — | | | | (308,159 | ) | | | (224,858 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | — | | | | — | | | | (82,401 | ) | | | (41,824 | ) |
| | | | | | | | | | | | | | | | |
Academy(a) | |
Issued | | | 85,020 | | | | — | | | | — | | | | — | |
Reinvested | | | 6 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Academy Shares | | | 85,026 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Agency | |
Issued | | | 1,276,267,274 | | | | 1,353,183,800 | | | | 170,809,890 | | | | 124,453,173 | |
Reinvested | | | 9,104 | | | | 6,868 | | | | 3,887 | | | | 2,907 | |
Redeemed | | | (1,273,256,883 | ) | | | (1,355,984,012 | ) | | | (171,083,444 | ) | | | (123,372,736 | ) |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | 3,019,495 | | | | (2,793,344 | ) | | | (269,667 | ) | | | 1,083,344 | |
| | | | | | | | | | | | | | | | |
Capital | |
Issued | | | 1,239,463,766 | | | | 1,198,580,023 | | | | 76,540,547 | | | | 54,777,524 | |
Reinvested | | | 689,238 | | | | 666,003 | | | | 33,856 | | | | 27,610 | |
Redeemed | | | (1,227,279,800 | ) | | | (1,218,600,907 | ) | | | (73,053,452 | ) | | | (51,881,006 | ) |
| | | | | | | | | | | | | | | | |
Change in Capital Shares | | | 12,873,204 | | | | (19,354,881 | ) | | | 3,520,951 | | | | 2,924,128 | |
| | | | | | | | | | | | | | | | |
Eagle Class(b) | |
Issued | | | 543,315 | | | | 4,923,910 | | | | — | | | | — | |
Reinvested | | | 14,518 | | | | 36,954 | | | | — | | | | — | |
Redeemed | | | (4,416,055 | ) | | | (2,275,477 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Eagle Class Shares | | | (3,858,222 | ) | | | 2,685,387 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Eagle Private Wealth Class(c) | |
Reinvested | | | — | (d) | | | — | (d) | | | — | | | | — | |
Redeemed | | | (20 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Eagle Private Wealth Class Shares | | | (20 | ) | | | — | (d) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
E*Trade | |
Issued | | | 228,715 | | | | 279,832 | | | | — | | | | — | |
Reinvested | | | 3,114 | | | | 3,012 | | | | — | | | | — | |
Redeemed | | | (208,471 | ) | | | (299,680 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in E*Trade Shares | | | 23,358 | | | | (16,836 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
IM | |
Issued | | | 53,182,729 | | | | 36,187,065 | | | | 1,226,280 | | | | 10,181,266 | |
Reinvested | | | 40,503 | | | | 40,933 | | | | 6,783 | | | | 28,953 | |
Redeemed | | | (51,888,257 | ) | | | (32,612,636 | ) | | | (2,647,216 | ) | | | (11,810,374 | ) |
| | | | | | | | | | | | | | | | |
Change in IM Shares | | | 1,334,975 | | | | 3,615,362 | | | | (1,414,153 | ) | | | (1,600,155 | ) |
| | | | | | | | | | | | | | | | |
Institutional Class | |
Issued | | | 358,725,178 | | | | 373,572,906 | | | | 89,227,998 | | | | 111,302,840 | |
Reinvested | | | 510,121 | | | | 324,296 | | | | 221,403 | | | | 190,534 | |
Redeemed | | | (357,857,535 | ) | | | (364,571,713 | ) | | | (90,328,769 | ) | | | (107,227,661 | ) |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | 1,377,764 | | | | 9,325,489 | | | | (879,368 | ) | | | 4,265,713 | |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 112 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan U.S. Government Money
Market Fund | | | JPMorgan U.S. Treasury Plus Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: (continued) | | | | | | | | | | | | | | | | |
Investor | |
Issued | | | 317,915 | | | | 990,065 | | | | 170,195 | | | | 133,947 | |
Reinvested | | | 15,053 | | | | 14,298 | | | | 11 | | | | 8 | |
Redeemed | | | (775,846 | ) | | | (624,961 | ) | | | (168,852 | ) | | | (154,190 | ) |
| | | | | | | | | | | | | | | | |
Change in Investor Shares | | | (442,878 | ) | | | 379,402 | | | | 1,354 | | | | (20,235 | ) |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | 311,978,292 | | | | 208,722,785 | | | | 166,379,004 | | | | 80,166,283 | |
Reinvested | | | 7,869 | | | | 7,865 | | | | 855 | | | | 761 | |
Redeemed | | | (311,582,523 | ) | | | (208,301,364 | ) | | | (166,279,491 | ) | | | (79,816,151 | ) |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | 403,638 | | | | 429,286 | | | | 100,368 | | | | 350,893 | |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | 163,482,569 | | | | 164,890,457 | | | | 27,622,517 | | | | 15,269,775 | |
Reinvested | | | 5,220 | | | | 3,317 | | | | 6,993 | | | | 3,317 | |
Redeemed | | | (162,337,574 | ) | | | (167,448,259 | ) | | | (27,171,261 | ) | | | (14,903,539 | ) |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | 1,150,215 | | | | (2,554,485 | ) | | | 458,249 | | | | 369,553 | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | 13,945 | | | | 1,561,264 | | | | 1,498 | | | | 1,360,549 | |
Reinvested | | | 267 | | | | 451 | | | | 87 | | | | 103 | |
Redeemed | | | (12,851 | ) | | | (1,601,583 | ) | | | (2,605 | ) | | | (1,365,913 | ) |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | 1,361 | | | | (39,868 | ) | | | (1,020 | ) | | | (5,261 | ) |
| | | | | | | | | | | | | | | | |
Service | |
Issued | | | 335,116 | | | | 2,999,798 | | | | — | | | | — | |
Reinvested | | | 21,353 | | | | 21,750 | | | | — | | | | — | |
Redeemed | | | (2,482,066 | ) | | | (1,677,576 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Service Shares | | | (2,125,597 | ) | | | 1,343,972 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective May 15, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (b) | Liquidated on November 25, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (c) | Liquidated on December 9, 2019 for JPMorgan U.S. Government Money Market Fund. |
| (d) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 113 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | JPMorgan Federal Money Market Fund | | |
JPMorgan 100% U.S. Treasury Securities
Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,960,215 | | | $ | 1,456,233 | | | $ | 388,303,998 | | | $ | 290,643,445 | |
Distributions reinvested | | | 686 | | | | 347 | | | | 7,638 | | | | 7,057 | |
Cost of shares redeemed | | | (2,866,309 | ) | | | (1,435,910 | ) | | | (386,681,435 | ) | | | (290,064,493 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | 94,592 | | | $ | 20,670 | | | $ | 1,630,201 | | | $ | 586,009 | |
| | | | | | | | | | | | | | | | |
Capital | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 298,441,950 | | | $ | 229,066,272 | |
Distributions reinvested | | | — | | | | — | | | | 225,598 | | | | 188,850 | |
Cost of shares redeemed | | | — | | | | — | | | | (289,232,259 | ) | | | (224,935,268 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Capital capital transactions | | $ | — | | | $ | — | | | $ | 9,435,289 | | | $ | 4,319,854 | |
| | | | | | | | | | | | | | | | |
IM(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 18,801 | | | $ | — | |
Distributions reinvested | | | — | | | | — | | | | 25 | | | | — | |
Cost of shares redeemed | | | — | | | | — | | | | (6,941 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from IM capital transactions | | $ | — | | | $ | — | | | $ | 11,885 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 9,696,291 | | | $ | 10,425,426 | | | $ | 71,922,177 | | | $ | 61,988,985 | |
Distributions reinvested | | | 15,541 | | | | 16,645 | | | | 68,397 | | | | 66,667 | |
Cost of shares redeemed | | | (10,556,887 | ) | | | (9,693,272 | ) | | | (67,566,674 | ) | | | (55,295,514 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | (845,055 | ) | | $ | 748,799 | | | $ | 4,423,900 | | | $ | 6,760,138 | |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 50,871 | | | $ | 86,809 | | | $ | 84,584,237 | | | $ | 53,209,341 | |
Distributions reinvested | | | 480 | | | | 389 | | | | 21,565 | | | | 20,549 | |
Cost of shares redeemed | | | (45,913 | ) | | | (90,133 | ) | | | (84,591,494 | ) | | | (52,838,733 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | 5,438 | | | $ | (2,935 | ) | | $ | 14,308 | | | $ | 391,157 | |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,131,836 | | | $ | 822,795 | | | $ | 20,764,723 | | | $ | 21,201,215 | |
Distributions reinvested | | | 765 | | | | 456 | | | | 7,211 | | | | 8,063 | |
Cost of shares redeemed | | | (1,068,744 | ) | | | (898,046 | ) | | | (20,294,193 | ) | | | (19,998,870 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | 63,857 | | | $ | (74,795 | ) | | $ | 477,741 | | | $ | 1,210,408 | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 18,891,281 | | | $ | 9,672,898 | |
Distributions reinvested | | | — | | | | — | | | | 437 | | | | 120 | |
Cost of shares redeemed | | | — | | | | — | | | | (18,351,530 | ) | | | (8,369,179 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | — | | | $ | — | | | $ | 540,188 | | | $ | 1,303,839 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (681,168 | ) | | $ | 691,739 | | | $ | 16,533,512 | | | $ | 14,571,405 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective January 15, 2020 for JPMorgan 100% U.S. Treasury Securities Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 114 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Federal Money Market Fund | | |
JPMorgan 100% U.S. Treasury Securities
Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | |
Agency | |
Issued | | | 2,960,176 | | | | 1,456,230 | | | | 388,303,998 | | | | 290,643,445 | |
Reinvested | | | 686 | | | | 347 | | | | 7,638 | | | | 7,057 | |
Redeemed | | | (2,866,254 | ) | | | (1,435,900 | ) | | | (386,681,435 | ) | | | (290,064,493 | ) |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | 94,608 | | | | 20,677 | | | | 1,630,201 | | | | 586,009 | |
| | | | | | | | | | | | | | | | |
Capital | |
Issued | | | — | | | | — | | | | 298,441,950 | | | | 229,066,272 | |
Reinvested | | | — | | | | — | | | | 225,598 | | | | 188,850 | |
Redeemed | | | — | | | | — | | | | (289,232,259 | ) | | | (224,935,268 | ) |
| | | | | | | | | | | | | | | | |
Change in Capital Shares | | | — | | | | — | | | | 9,435,289 | | | | 4,319,854 | |
| | | | | | | | | | | | | | | | |
IM(a) | |
Issued | | | — | | | | — | | | | 18,794 | | | | — | |
Reinvested | | | — | | | | — | | | | 32 | | | | — | |
Redeemed | | | — | | | | — | | | | (6,941 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in IM Shares | | | — | | | | — | | | | 11,885 | | | | — | |
| | | | | | | | | | | | | | | | |
Institutional Class | |
Issued | | | 9,696,225 | | | | 10,425,417 | | | | 71,922,177 | | | | 61,988,985 | |
Reinvested | | | 15,541 | | | | 16,645 | | | | 68,397 | | | | 66,667 | |
Redeemed | | | (10,556,853 | ) | | | (9,693,266 | ) | | | (67,566,674 | ) | | | (55,295,514 | ) |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | (845,087 | ) | | | 748,796 | | | | 4,423,900 | | | | 6,760,138 | |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | 50,870 | | | | 86,804 | | | | 84,584,237 | | | | 53,209,341 | |
Reinvested | | | 480 | | | | 389 | | | | 21,565 | | | | 20,549 | |
Redeemed | | | (45,908 | ) | | | (90,132 | ) | | | (84,591,494 | ) | | | (52,838,733 | ) |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | 5,442 | | | | (2,939 | ) | | | 14,308 | | | | 391,157 | |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | 1,131,835 | | | | 822,779 | | | | 20,764,723 | | | | 21,201,215 | |
Reinvested | | | 765 | | | | 456 | | | | 7,211 | | | | 8,063 | |
Redeemed | | | (1,068,731 | ) | | | (898,030 | ) | | | (20,294,193 | ) | | | (19,998,870 | ) |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | 63,869 | | | | (74,795 | ) | | | 477,741 | | | | 1,210,408 | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | — | | | | — | | | | 18,891,281 | | | | 9,672,898 | |
Reinvested | | | — | | | | — | | | | 437 | | | | 120 | |
Redeemed | | | — | | | | — | | | | (18,351,530 | ) | | | (8,369,179 | ) |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | — | | | | — | | | | 540,188 | | | | 1,303,839 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective January 15, 2020 for JPMorgan 100% U.S. Treasury Securities Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 115 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | JPMorgan Tax Free Money Market Fund | | |
JPMorgan Municipal Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 871,757 | | | $ | 1,881,247 | | | $ | 212,906 | | | $ | 327,541 | |
Distributions reinvested | | | 330 | | | | 926 | | | | 160 | | | | 205 | |
Cost of shares redeemed | | | (1,153,739 | ) | | | (1,649,384 | ) | | | (227,454 | ) | | | (341,416 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | (281,652 | ) | | $ | 232,789 | | | $ | (14,388 | ) | | $ | (13,670 | ) |
| | | | | | | | | | | | | | | | |
Eagle Class(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 142,010 | | | $ | 654,485 | |
Distributions reinvested | | | — | | | | — | | | | 1,270 | | | | 4,571 | |
Cost of shares redeemed | | | — | | | | — | | | | (708,765 | ) | | | (642,629 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Eagle Class capital transactions | | $ | — | | | $ | — | | | $ | (565,485 | ) | | $ | 16,427 | |
| | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 33,994,016 | | | $ | 47,004,898 | | | $ | 10,468,155 | | | $ | 12,422,726 | |
Distributions reinvested | | | 14,858 | | | | 13,824 | | | | 18,565 | | | | 14,148 | |
Cost of shares redeemed | | | (37,237,476 | ) | | | (46,587,179 | ) | | | (10,802,030 | ) | | | (12,008,484 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | (3,228,602 | ) | | $ | 431,543 | | | $ | (315,310 | ) | | $ | 428,390 | |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 8,331 | | | $ | 8,505 | | | $ | 34,138 | | | $ | 16,338 | |
Distributions reinvested | | | 90 | | | | 93 | | | | 185 | | | | 156 | |
Cost of shares redeemed | | | (7,463 | ) | | | (8,268 | ) | | | (14,749 | ) | | | (14,389 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | 958 | | | $ | 330 | | | $ | 19,574 | | | $ | 2,105 | |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,170,039 | | | $ | 2,529,757 | | | $ | 167,754 | | | $ | 238,003 | |
Distributions reinvested | | | 189 | | | | 111 | | | | 95 | | | | 39 | |
Cost of shares redeemed | | | (1,385,434 | ) | | | (3,027,490 | ) | | | (161,846 | ) | | | (225,100 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | (215,206 | ) | | $ | (497,622 | ) | | $ | 6,003 | | | $ | 12,942 | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 10,411,802 | | | $ | 11,795,597 | | | $ | — | | | $ | — | |
Distributions reinvested | | | 17 | | | | 27 | | | | — | | | | — | |
Cost of shares redeemed | | | (10,733,226 | ) | | | (12,278,550 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | (321,407 | ) | | $ | (482,926 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Service | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 36,138 | | | $ | 202,460 | |
Distributions reinvested | | | — | | | | — | | | | 749 | | | | 1,260 | |
Cost of shares redeemed | | | — | | | | — | | | | (225,349 | ) | | | (228,793 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Service capital transactions | | $ | — | | | $ | — | | | $ | (188,462 | ) | | $ | (25,073 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (4,045,909 | ) | | $ | (315,886 | ) | | $ | (1,058,068 | ) | | $ | 421,121 | |
| | | | | | | | | | | | | | | | |
| (a) | Liquidated on November 25, 2019 for JPMorgan Municipal Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 116 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Tax Free Money Market Fund | | |
JPMorgan Municipal Money Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | |
Agency | |
Issued | | | 871,757 | | | | 1,881,247 | | | | 212,902 | | | | 327,541 | |
Reinvested | | | 330 | | | | 926 | | | | 160 | | | | 205 | |
Redeemed | | | (1,153,739 | ) | | | (1,649,384 | ) | | | (227,454 | ) | | | (341,416 | ) |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | (281,652 | ) | | | 232,789 | | | | (14,392 | ) | | | (13,670 | ) |
| | | | | | | | | | | | | | | | |
Eagle Class (a) | |
Issued | | | — | | | | — | | | | 142,010 | | | | 654,485 | |
Reinvested | | | — | | | | — | | | | 1,270 | | | | 4,571 | |
Redeemed | | | — | | | | — | | | | (708,738 | ) | | | (642,629 | ) |
| | | | | | | | | | | | | | | | |
Change in Eagle Class Shares | | | — | | | | — | | | | (565,458 | ) | | | 16,427 | |
| | | | | | | | | | | | | | | | |
Institutional Class | |
Issued | | | 33,994,016 | | | | 47,004,898 | | | | 10,468,118 | | | | 12,422,726 | |
Reinvested | | | 14,858 | | | | 13,824 | | | | 18,565 | | | | 14,148 | |
Redeemed | | | (37,237,476 | ) | | | (46,587,179 | ) | | | (10,802,030 | ) | | | (12,008,484 | ) |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | (3,228,602 | ) | | | 431,543 | | | | (315,347 | ) | | | 428,390 | |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | 8,331 | | | | 8,505 | | | | 34,138 | | | | 16,338 | |
Reinvested | | | 90 | | | | 93 | | | | 185 | | | | 156 | |
Redeemed | | | (7,463 | ) | | | (8,268 | ) | | | (14,748 | ) | | | (14,389 | ) |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | 958 | | | | 330 | | | | 19,575 | | | | 2,105 | |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | 1,170,039 | | | | 2,529,757 | | | | 167,753 | | | | 238,003 | |
Reinvested | | | 189 | | | | 111 | | | | 95 | | | | 39 | |
Redeemed | | | (1,385,434 | ) | | | (3,027,490 | ) | | | (161,846 | ) | | | (225,100 | ) |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | (215,206 | ) | | | (497,622 | ) | | | 6,002 | | | | 12,942 | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | 10,411,802 | | | | 11,795,597 | | | | — | | | | — | |
Reinvested | | | 17 | | | | 27 | | | | — | | | | — | |
Redeemed | | | (10,733,226 | ) | | | (12,278,550 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | (321,407 | ) | | | (482,926 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Service | |
Issued | | | — | | | | — | | | | 36,138 | | | | 202,460 | |
Reinvested | | | — | | | | — | | | | 749 | | | | 1,260 | |
Redeemed | | | — | | | | — | | | | (225,334 | ) | | | (228,793 | ) |
| | | | | | | | | | | | | | | | |
Change in Service Shares | | | — | | | | — | | | | (188,447 | ) | | | (25,073 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Liquidated on November 25, 2019 for JPMorgan Municipal Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 117 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | | JPMorgan California Municipal Money
Market Fund | | | JPMorgan New York Municipal Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Agency(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 66,539 | | | $ | — | | | $ | 715,020 | | | $ | — | |
Distributions reinvested | | | — | (b) | | | — | | | | — | (b) | | | — | |
Cost of shares redeemed | | | (41,639 | ) | | | — | | | | (452,366 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Agency capital transactions | | $ | 24,900 | | | $ | — | | | $ | 262,654 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Eagle Class(c) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 8,563 | | | $ | 23,392 | | | $ | 18,662 | | | $ | 132,491 | |
Distributions reinvested | | | 22 | | | | 88 | | | | 56 | | | | 191 | |
Cost of shares redeemed | | | (18,855 | ) | | | (25,066 | ) | | | (53,610 | ) | | | (105,940 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Eagle Class capital transactions | | $ | (10,270 | ) | | $ | (1,586 | ) | | $ | (34,892 | ) | | $ | 26,742 | |
| | | | | | | | | | | | | | | | |
Institutional Class(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 996,142 | | | $ | — | | | $ | 4,204,905 | | | $ | — | |
Distributions reinvested | | | — | (b) | | | — | | | | 145 | | | | — | |
Cost of shares redeemed | | | (708,396 | ) | | | — | | | | (2,579,748 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Institutional Class capital transactions | | $ | 287,746 | | | $ | — | | | $ | 1,625,302 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Morgan | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,313 | | | $ | 3,229 | | | $ | 32,103 | | | $ | 16,699 | |
Distributions reinvested | | | 18 | | | | 16 | | | | 959 | | | | 1,132 | |
Cost of shares redeemed | | | (1,474 | ) | | | (2,965 | ) | | | (103,021 | ) | | | (20,094 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Morgan capital transactions | | $ | 857 | | | $ | 280 | | | $ | (69,959 | ) | | $ | (2,263 | ) |
| | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 1,046,355 | | | $ | 1,170,244 | | | $ | 2,924,871 | | | $ | 3,564,732 | |
Distributions reinvested | | | 996 | | | | 1,264 | | | | 4,126 | | | | 4,057 | |
Cost of shares redeemed | | | (1,073,578 | ) | | | (1,078,331 | ) | | | (2,955,568 | ) | | | (3,284,847 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Premier capital transactions | | $ | (26,227 | ) | | $ | 93,177 | | | $ | (26,571 | ) | | $ | 283,942 | |
| | | | | | | | | | | | | | | | |
Reserve | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | — | | | $ | — | | | $ | 3,749 | | | $ | 2,960 | |
Distributions reinvested | | | — | | | | — | | | | 10 | | | | 13 | |
Cost of shares redeemed | | | — | | | | — | | | | (4,206 | ) | | | (3,689 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Reserve capital transactions | | $ | — | | | $ | — | | | $ | (447 | ) | | $ | (716 | ) |
| | | | | | | | | | | | | | | | |
Service | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 23,376 | | | $ | 178,362 | | | $ | 21,226 | | | $ | 53,898 | |
Distributions reinvested | | | 269 | | | | 517 | | | | 91 | | | | 176 | |
Cost of shares redeemed | | | (113,416 | ) | | | (186,360 | ) | | | (49,493 | ) | | | (66,562 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Service capital transactions | | $ | (89,771 | ) | | $ | (7,481 | ) | | $ | (28,176 | ) | | $ | (12,488 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 187,235 | | | $ | 84,390 | | | $ | 1,727,911 | | | $ | 295,217 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective March 1, 2019. |
| (b) | Amount rounds to less than one thousand. |
| (c) | Liquidated on November 25, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 118 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan California Municipal Money
Market Fund | | | JPMorgan New York Municipal Money
Market Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | |
Agency(a) | |
Issued | | | 66,522 | | | | — | | | | 715,020 | | | | — | |
Reinvested | | | — | (b) | | | — | | | | — | (b) | | | — | |
Redeemed | | | (41,633 | ) | | | — | | | | (452,366 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Agency Shares | | | 24,889 | | | | — | | | | 262,654 | | | | — | |
| | | | | | | | | | | | | | | | |
Eagle Class(c) | |
Issued | | | 8,557 | | | | 23,392 | | | | 18,661 | | | | 132,491 | |
Reinvested | | | 22 | | | | 88 | | | | 56 | | | | 191 | |
Redeemed | | | (18,844 | ) | | | (25,061 | ) | | | (53,610 | ) | | | (105,940 | ) |
| | | | | | | | | | | | | | | | |
Change in Eagle Class Shares | | | (10,265 | ) | | | (1,581 | ) | | | (34,893 | ) | | | 26,742 | |
| | | | | | | | | | | | | | | | |
Institutional Class(a) | |
Issued | | | 995,953 | | | | — | | | | 4,204,902 | | | | — | |
Reinvested | | | — | (b) | | | — | | | | 145 | | | | — | |
Redeemed | | | (708,283 | ) | | | — | | | | (2,579,747 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Change in Institutional Class Shares | | | 287,670 | | | | — | | | | 1,625,300 | | | | — | |
| | | | | | | | | | | | | | | | |
Morgan | |
Issued | | | 2,312 | | | | 3,229 | | | | 32,103 | | | | 16,699 | |
Reinvested | | | 18 | | | | 16 | | | | 959 | | | | 1,132 | |
Redeemed | | | (1,473 | ) | | | (2,965 | ) | | | (103,008 | ) | | | (20,094 | ) |
| | | | | | | | | | | | | | | | |
Change in Morgan Shares | | | 857 | | | | 280 | | | | (69,946 | ) | | | (2,263 | ) |
| | | | | | | | | | | | | | | | |
Premier | |
Issued | | | 1,046,255 | | | | 1,170,201 | | | | 2,924,859 | | | | 3,564,732 | |
Reinvested | | | 996 | | | | 1,264 | | | | 4,126 | | | | 4,057 | |
Redeemed | | | (1,073,445 | ) | | | (1,078,317 | ) | | | (2,955,566 | ) | | | (3,284,847 | ) |
| | | | | | | | | | | | | | | | |
Change in Premier Shares | | | (26,194 | ) | | | 93,148 | | | | (26,581 | ) | | | 283,942 | |
| | | | | | | | | | | | | | | | |
Reserve | |
Issued | | | — | | | | — | | | | 3,749 | | | | 2,960 | |
Reinvested | | | — | | | | — | | | | 10 | | | | 13 | |
Redeemed | | | — | | | | — | | | | (4,206 | ) | | | (3,689 | ) |
| | | | | | | | | | | | | | | | |
Change in Reserve Shares | | | — | | | | — | | | | (447 | ) | | | (716 | ) |
| | | | | | | | | | | | | | | | |
Service | |
Issued | | | 23,339 | | | | 178,349 | | | | 21,226 | | | | 53,898 | |
Reinvested | | | 269 | | | | 517 | | | | 91 | | | | 176 | |
Redeemed | | | (113,330 | ) | | | (186,320 | ) | | | (49,493 | ) | | | (66,562 | ) |
| | | | | | | | | | | | | | | | |
Change in Service Shares | | | (89,722 | ) | | | (7,454 | ) | | | (28,176 | ) | | | (12,488 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective March 1, 2019. |
| (b) | Amount rounds to less than one thousand. |
| (c) | Liquidated on November 25, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 119 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Prime Money Market Fund* | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.0003 | | | $ | 0.0134 | | | $ | 0.0002 | | | $ | 0.0136 | | | $ | (0.0134 | ) | | $ | — | (d) | | $ | (0.0134 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0133 | | | | 0.0002 | | | | 0.0135 | | | | (0.0133 | ) | | | — | (d) | | | (0.0133 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0039 | (e) | | | — | (d) | | | 0.0039 | | | | (0.0042 | ) | | | — | (d) | | | (0.0042 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0001 | (e) | | | 0.0006 | | | | 0.0007 | | | | (0.0003 | ) | | | — | (d) | | | (0.0003 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Academy | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
May 15, 2019 (g) through February 29, 2020 | | | 1.0003 | | | | 0.0162 | | | | 0.0003 | | | | 0.0165 | | | | (0.0162 | ) | | | — | | | | (0.0162 | ) |
| | | | | | | |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0205 | | | | 0.0004 | | | | 0.0209 | | | | (0.0205 | ) | | | — | (d) | | | (0.0205 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0204 | | | | 0.0002 | | | | 0.0206 | | | | (0.0204 | ) | | | — | (d) | | | (0.0204 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0114 | (e) | | | (0.0004 | ) | | | 0.0110 | | | | (0.0113 | ) | | | — | (d) | | | (0.0113 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0036 | (e) | | | 0.0016 | | | | 0.0052 | | | | (0.0048 | ) | | | — | (d) | | | (0.0048 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0213 | | | | 0.0002 | | | | 0.0215 | | | | (0.0213 | ) | | | — | (d) | | | (0.0213 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0212 | | | | 0.0002 | | | | 0.0214 | | | | (0.0212 | ) | | | — | (d) | | | (0.0212 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0122 | (e) | | | (0.0004 | ) | | | 0.0118 | | | | (0.0121 | ) | | | — | (d) | | | (0.0121 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0047 | (e) | | | 0.0014 | | | | 0.0061 | | | | (0.0057 | ) | | | — | (d) | | | (0.0057 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
IM | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0216 | | | | 0.0003 | | | | 0.0219 | | | | (0.0216 | ) | | | — | (d) | | | (0.0216 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0215 | | | | 0.0002 | | | | 0.0217 | | | | (0.0215 | ) | | | — | (d) | | | (0.0215 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0124 | (e) | | | (0.0004 | ) | | | 0.0120 | | | | (0.0123 | ) | | | — | (d) | | | (0.0123 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0055 | (e) | | | 0.0007 | | | | 0.0062 | | | | (0.0058 | ) | | | — | (d) | | | (0.0058 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0210 | | | | 0.0002 | | | | 0.0212 | | | | (0.0210 | ) | | | — | (d) | | | (0.0210 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0209 | | | | 0.0002 | | | | 0.0211 | | | | (0.0209 | ) | | | — | (d) | | | (0.0209 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0119 | (e) | | | (0.0004 | ) | | | 0.0115 | | | | (0.0118 | ) | | | — | (d) | | | (0.0118 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0044 | (e) | | | 0.0014 | | | | 0.0058 | | | | (0.0054 | ) | | | — | (d) | | | (0.0054 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Morgan | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0180 | | | | 0.0005 | | | | 0.0185 | | | | (0.0180 | ) | | | — | (d) | | | (0.0180 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0179 | | | | 0.0002 | | | | 0.0181 | | | | (0.0179 | ) | | | — | (d) | | | (0.0179 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0089 | (e) | | | (0.0005 | ) | | | 0.0084 | | | | (0.0087 | ) | | | — | (d) | | | (0.0087 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0014 | (e) | | | 0.0012 | | | | 0.0026 | | | | (0.0022 | ) | | | — | (d) | | | (0.0022 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | Amount rounds to less than $0.00005. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Commencement of offering of class of shares. |
| * | The JPMorgan Prime Money Market Fund began utilizing a floating NAV calculated to four decimal places on October 3, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 120 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (b) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (c) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.0005 | | | | 1.37 | % | | $ | 806 | | | | 0.97 | % | | | 1.38 | % | | | 3.88 | % |
| | 1.0003 | | | | 1.36 | | | | 1,218 | | | | 0.97 | | | | 1.30 | | | | 2.80 | |
| | 1.0001 | | | | 0.39 | | | | 2,012 | | | | 0.97 | | | | 0.39 | | | | 2.27 | |
| | 1.0004 | | | | 0.07 | | | | 4,289 | | | | 0.60 | | | | 0.01 | | | | 1.20 | |
| | 1.00 | | | | 0.01 | | | | 39,558 | | | | 0.34 | | | | 0.01 | | | | 1.18 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0006 | | | | 1.66 | | | | 150,519 | | | | 0.18 | | | | 1.69 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0007 | | | | 2.11 | | | | 2,517,667 | | | | 0.26 | | | | 2.05 | | | | 0.30 | |
| | 1.0003 | | | | 2.08 | | | | 2,474,137 | | | | 0.26 | | | | 2.09 | | | | 0.31 | |
| | 1.0001 | | | | 1.10 | | | | 1,494,001 | | | | 0.26 | | | | 1.14 | | | | 0.31 | |
| | 1.0004 | | | | 0.52 | | | | 1,002,964 | | | | 0.26 | | | | 0.36 | | | | 0.31 | |
| | 1.00 | | | | 0.07 | | | | 8,141,439 | | | | 0.26 | | | | 0.07 | | | | 0.31 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0005 | | | | 2.17 | | | | 33,683,247 | | | | 0.18 | | | | 2.09 | | | | 0.20 | |
| | 1.0003 | | | | 2.16 | | | | 26,725,832 | | | | 0.18 | | | | 2.13 | | | | 0.21 | |
| | 1.0001 | | | | 1.18 | | | | 24,654,174 | | | | 0.18 | | | | 1.22 | | | | 0.21 | |
| | 1.0004 | | | | 0.61 | | | | 20,091,103 | | | | 0.17 | | | | 0.47 | | | | 0.21 | |
| | 1.00 | | | | 0.14 | | | | 64,690,852 | | | | 0.18 | | | | 0.14 | | | | 0.21 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0006 | | | | 2.21 | | | | 5,541,728 | | | | 0.15 | | | | 2.12 | | | | 0.15 | |
| | 1.0003 | | | | 2.19 | | | | 1,896,262 | | | | 0.16 | | | | 2.13 | | | | 0.16 | |
| | 1.0001 | | | | 1.21 | | | | 2,032,079 | | | | 0.16 | | | | 1.24 | | | | 0.16 | |
| | 1.0004 | | | | 0.62 | | | | 2,010,581 | | | | 0.16 | | | | 0.55 | | | | 0.17 | |
| | 1.00 | | | | 0.17 | | | | 2,628,508 | | | | 0.16 | | | | 0.16 | | | | 0.16 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0005 | | | | 2.14 | | | | 15,607,982 | | | | 0.21 | | | | 2.07 | | | | 0.25 | |
| | 1.0003 | | | | 2.13 | | | | 11,691,618 | | | | 0.21 | | | | 2.12 | | | | 0.26 | |
| | 1.0001 | | | | 1.15 | | | | 8,567,374 | | | | 0.21 | | | | 1.19 | | | | 0.26 | |
| | 1.0004 | | | | 0.58 | | | | 6,081,787 | | | | 0.20 | | | | 0.44 | | | | 0.26 | |
| | 1.00 | | | | 0.11 | | | | 20,011,248 | | | | 0.21 | | | | 0.10 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0008 | | | | 1.87 | | | | 2,880,586 | | | | 0.51 | | | | 1.78 | | | | 0.51 | |
| | 1.0003 | | | | 1.82 | | | | 2,395,205 | | | | 0.52 | | | | 1.88 | | | | 0.53 | |
| | 1.0001 | | | | 0.84 | | | | 739,866 | | | | 0.52 | | | | 0.89 | | | | 0.56 | |
| | 1.0004 | | | | 0.26 | | | | 534,288 | | | | 0.52 | | | | 0.14 | | | | 0.54 | |
| | 1.00 | | | | 0.01 | | | | 1,877,099 | | | | 0.31 | | | | 0.01 | | | | 0.52 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 121 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Prime Money Market Fund* (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.0003 | | | $ | 0.0186 | | | $ | 0.0003 | | | $ | 0.0189 | | | $ | (0.0186 | ) | | $ | — | (d) | | $ | (0.0186 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0185 | | | | 0.0002 | | | | 0.0187 | | | | (0.0185 | ) | | | — | (d) | | | (0.0185 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0096 | (e) | | | (0.0005 | ) | | | 0.0091 | | | | (0.0094 | ) | | | — | (d) | | | (0.0094 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0020 | (e) | | | 0.0013 | | | | 0.0033 | | | | (0.0029 | ) | | | — | (d) | | | (0.0029 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Reserve | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0003 | | | | 0.0161 | | | | 0.0004 | | | | 0.0165 | | | | (0.0161 | ) | | | — | (d) | | | (0.0161 | ) |
Year Ended February 28, 2019 | | | 1.0001 | | | | 0.0160 | | | | 0.0002 | | | | 0.0162 | | | | (0.0160 | ) | | | — | (d) | | | (0.0160 | ) |
Year Ended February 28, 2018 | | | 1.0004 | | | | 0.0062 | (e) | | | 0.0004 | | | | 0.0066 | | | | (0.0069 | ) | | | — | (d) | | | (0.0069 | ) |
Year Ended February 28, 2017 | | | 1.0000 | | | | 0.0003 | (e) | | | 0.0013 | | | | 0.0016 | | | | (0.0012 | ) | | | — | (d) | | | (0.0012 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e)(f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | Amount rounds to less than $0.00005. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Commencement of offering of class of shares. |
| * | The JPMorgan Prime Money Market Fund began utilizing a floating NAV calculated to four decimal places on October 3, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 122 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (b) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (c) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.0006 | | | | 1.91 | % | | $ | 2,646,576 | | | | 0.45 | % | | | 1.83 | % | | | 0.45 | % |
| | 1.0003 | | | | 1.89 | | | | 1,884,553 | | | | 0.45 | | | | 1.90 | | | | 0.46 | |
| | 1.0001 | | | | 0.91 | | | | 1,093,169 | | | | 0.45 | | | | 0.96 | | | | 0.46 | |
| | 1.0004 | | | | 0.33 | | | | 687,368 | | | | 0.45 | | | | 0.20 | | | | 0.46 | |
| | 1.00 | | | | 0.02 | | | | 2,030,985 | | | | 0.30 | | | | 0.02 | | | | 0.46 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0007 | | | | 1.66 | | | | 12,017 | | | | 0.70 | | | | 1.59 | | | | 0.94 | |
| | 1.0003 | | | | 1.64 | | | | 13,024 | | | | 0.70 | | | | 1.57 | | | | 0.85 | |
| | 1.0001 | | | | 0.66 | | | | 15,846 | | | | 0.70 | | | | 0.62 | | | | 0.76 | |
| | 1.0004 | | | | 0.16 | | | | 99,446 | | | | 0.58 | | | | 0.03 | | | | 0.71 | |
| | 1.00 | | | | 0.01 | | | | 930,188 | | | | 0.31 | | | | 0.01 | | | | 0.71 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 123 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Institutional Tax Free Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.0000 | | | $ | 0.0117 | | | $ | 0.0001 | (d) | | $ | 0.0118 | | | $ | (0.0117 | ) | | $ | — | (e) | | $ | (0.0117 | ) |
March 1, 2018 (f) through February 28, 2019 | | | 1.0000 | | | | 0.0123 | | | | — | (e) | | | 0.0123 | | | | (0.0123 | ) | | | — | (e) | | | (0.0123 | ) |
| | | | | | | |
Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0000 | | | | 0.0125 | | | | — | (e) | | | 0.0125 | | | | (0.0125 | ) | | | — | (e) | | | (0.0125 | ) |
March 1, 2018 (f) through February 28, 2019 | | | 1.0000 | | | | 0.0131 | | | | — | (e) | | | 0.0131 | | | | (0.0131 | ) | | | — | (e) | | | (0.0131 | ) |
| | | | | | | |
IM | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0000 | | | | 0.0127 | | | | — | (e) | | | 0.0127 | | | | (0.0127 | ) | | | — | (e) | | | (0.0127 | ) |
March 1, 2018 (f) through February 28, 2019 | | | 1.0000 | | | | 0.0133 | | | | — | (e) | | | 0.0133 | | | | (0.0133 | ) | | | — | (e) | | | (0.0133 | ) |
| | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.0000 | | | | 0.0122 | | | | — | (e) | | | 0.0122 | | | | (0.0122 | ) | | | — | (e) | | | (0.0122 | ) |
March 1, 2018 (f) through February 28, 2019 | | | 1.0000 | | | | 0.0128 | | | | — | (e) | | | 0.0128 | | | | (0.0128 | ) | | | — | (e) | | | (0.0128 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | Net realized and unrealized gains (losses) on investments may appear disproportionate in relation to the classes due to rounding. |
| (e) | Amount rounds to less than $0.00005. |
| (f) | Commencement of operations. |
| (g) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 124 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (b) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (c) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.0001 | | | | 1.19 | % | | $ | 41,696 | | | | 0.26 | % | | | 1.15 | % | | | 0.38 | % |
| | 1.0000 | | | | 1.24 | | | | 17,148 | | | | 0.26 | (g) | | | 1.36 | (g) | | | 2.96 | (g) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0000 | | | | 1.26 | | | | 228,168 | | | | 0.18 | | | | 1.18 | | | | 0.24 | |
| | 1.0000 | | | | 1.32 | | | | 72,933 | | | | 0.18 | (g) | | | 1.42 | (g) | | | 0.40 | (g) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0000 | | | | 1.28 | | | | 391,386 | | | | 0.16 | | | | 1.24 | | | | 0.18 | |
| | 1.0000 | | | | 1.34 | | | | 475,368 | | | | 0.16 | (g) | | | 1.32 | (g) | | | 0.23 | (g) |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.0000 | | | | 1.23 | | | | 309,118 | | | | 0.21 | | | | 1.20 | | | | 0.28 | |
| | 1.0000 | | | | 1.29 | | | | 377,900 | | | | 0.21 | (g) | | | 1.40 | (g) | | | 0.37 | (g) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 125 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) | | | Net realized
and unrealized
gains (losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Securities Lending Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Agency SL | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.0001 | | | $ | 0.0222 | | | $ | 0.0001 | | | $ | 0.0223 | | | $ | (0.0222 | )�� | | $ | — | (d) | | $ | (0.0222 | ) |
September 19, 2018 (e) through February 28, 2019 | | | 1.0000 | | | | 0.0109 | | | | 0.0001 | | | | 0.0110 | | | | (0.0109 | ) | | | — | | | | (0.0109 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | Amount rounds to less than $0.00005. |
| (e) | Commencement of operations. |
| (f) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 126 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (b) | | | Net assets,
end of
period
(000’s) | | | Net
expenses
(c) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.0002 | | | | 2.25 | % | | $ | 3,455,824 | | | | 0.06 | % | | | 2.20 | % | | | 0.16 | % |
| | 1.0001 | | | | 1.10 | | | | 2,865,539 | | | | 0.06 | (f) | | | 2.53 | (f) | | | 0.23 | (f) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 127 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Liquid Assets Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (e) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | (e) | | $ | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
E*Trade(f) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the Period Ended October 19, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Morgan | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
| (f) | E*Trade Shares had no assets from the close of business on October 19, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 128 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.34 | % | | $ | 18,423 | | | | 0.97 | % | | | 1.35 | % | | | 1.18 | % |
| | 1.00 | | | | 1.34 | | | | 22,073 | | | | 0.97 | | | | 1.34 | | | | 1.19 | |
| | 1.00 | | | | 0.40 | | | | 22,267 | | | | 0.97 | | | | 0.38 | | | | 1.20 | |
| | 1.00 | | | | 0.04 | | | | 33,104 | | | | 0.55 | | | | 0.01 | | | | 1.18 | |
| | 1.00 | | | | 0.01 | | | | 505,609 | | | | 0.33 | | | | 0.01 | | | | 1.18 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 2.07 | | | | 1,452,745 | | | | 0.26 | | | | 1.94 | | | | 0.31 | |
| | 1.00 | | | | 2.06 | | | | 542,003 | | | | 0.26 | | | | 2.13 | | | | 0.33 | |
| | 1.00 | | | | 1.11 | | | | 158,527 | | | | 0.26 | | | | 1.16 | | | | 0.34 | |
| | 1.00 | | | | 0.45 | | | | 36,107 | | | | 0.26 | | | | 0.39 | | | | 0.35 | |
| | 1.00 | | | | 0.08 | | | | 71,741 | | | | 0.26 | | | | 0.07 | | | | 0.33 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 2.15 | | | | 2,295,874 | | | | 0.18 | | | | 2.01 | | | | 0.21 | |
| | 1.00 | | | | 2.14 | | | | 558,492 | | | | 0.18 | | | | 2.16 | | | | 0.23 | |
| | 1.00 | | | | 1.19 | | | | 98,814 | | | | 0.18 | | | | 1.36 | | | | 0.24 | |
| | 1.00 | | | | 0.53 | | | | 105,366 | | | | 0.18 | | | | 0.38 | | | | 0.22 | |
| | 1.00 | | | | 0.16 | | | | 2,071,483 | | | | 0.18 | | | | 0.15 | | | | 0.22 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.01 | | | | — | | | | 0.54 | | | | 0.01 | | | | 1.08 | |
| | 1.00 | | | | 0.01 | | | | 1,758,478 | | | | 0.30 | | | | 0.01 | | | | 1.07 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 2.12 | | | | 3,412,753 | | | | 0.21 | | | | 2.07 | | | | 0.26 | |
| | 1.00 | | | | 2.11 | | | | 2,717,544 | | | | 0.21 | | | | 2.17 | | | | 0.28 | |
| | 1.00 | | | | 1.16 | | | | 988,333 | | | | 0.21 | | | | 1.21 | | | | 0.29 | |
| | 1.00 | | | | 0.50 | | | | 286,502 | | | | 0.21 | | | | 0.37 | | | | 0.28 | |
| | 1.00 | | | | 0.13 | | | | 6,630,618 | | | | 0.21 | | | | 0.13 | | | | 0.28 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.81 | | | | 7,904 | | | | 0.51 | | | | 1.78 | | | | 0.52 | |
| | 1.00 | | | | 1.81 | | | | 8,147 | | | | 0.51 | | | | 1.79 | | | | 0.54 | |
| | 1.00 | | | | 0.86 | | | | 8,616 | | | | 0.51 | | | | 0.89 | | | | 0.55 | |
| | 1.00 | | | | 0.21 | | | | 3,933 | | | | 0.51 | | | | 0.07 | | | | 0.53 | |
| | 1.00 | | | | 0.02 | | | | 117,816 | | | | 0.32 | | | | 0.01 | | | | 0.53 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.73 | | | | 543,317 | | | | 0.59 | | | | 1.69 | | | | 0.63 | |
| | 1.00 | | | | 1.73 | | | | 307,584 | | | | 0.59 | | | | 1.76 | | | | 0.68 | |
| | 1.00 | | | | 0.78 | | | | 156,049 | | | | 0.59 | | | | 0.78 | | | | 0.70 | |
| | 1.00 | | | | 0.16 | | | | 144,168 | | | | 0.54 | | | | 0.04 | | | | 0.64 | |
| | 1.00 | | | | 0.01 | | | | 1,609,448 | | | | 0.33 | | | | 0.01 | | | | 0.63 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 129 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Liquid Assets Money Market Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.02 | | | $ | — | (e) | | $ | 0.02 | | | $ | (0.02 | ) | | $ | — | (e) | | $ | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Reserve | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e)�� | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 130 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.87 | % | | $ | 3,031,847 | | | | 0.45 | % | | | 1.77 | % | | | 0.46 | % |
| | 1.00 | | | | 1.87 | | | | 1,140,955 | | | | 0.45 | | | | 1.93 | | | | 0.48 | |
| | 1.00 | | | | 0.92 | | | | 353,810 | | | | 0.45 | | | | 0.95 | | | | 0.49 | |
| | 1.00 | | | | 0.26 | | | | 156,136 | | | | 0.45 | | | | 0.18 | | | | 0.48 | |
| | 1.00 | | | | 0.02 | | | | 132,337 | | | | 0.32 | | | | 0.02 | | | | 0.48 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.62 | | | | 3,797 | | | | 0.70 | | | | 1.62 | | | | 0.84 | |
| | 1.00 | | | | 1.61 | | | | 4,548 | | | | 0.70 | | | | 1.59 | | | | 0.74 | |
| | 1.00 | | | | 0.67 | | | | 6,527 | | | | 0.70 | | | | 0.65 | | | | 0.74 | |
| | 1.00 | | | | 0.12 | | | | 7,672 | | | | 0.55 | | | | 0.02 | | | | 0.73 | |
| | 1.00 | | | | 0.01 | | | | 189,404 | | | | 0.33 | | | | 0.01 | | | | 0.73 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 131 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan U.S. Government Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Academy | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
May 15, 2019 (e) through February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (f) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | | | $ | (0.01 | ) |
| | | | | | | |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
E*Trade | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
March 9, 2016 (e) through February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
IM | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Morgan | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Commencement of offering of class of shares. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 132 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.47 | % | | $ | 85,026 | | | | 0.18 | % | | | 1.49 | % | | | 0.21 | % |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.87 | | | | 14,132,125 | | | | 0.26 | | | | 1.84 | | | | 0.30 | |
| | 1.00 | | | | 1.82 | | | | 11,112,454 | | | | 0.26 | | | | 1.79 | | | | 0.31 | |
| | 1.00 | | | | 0.81 | | | | 13,906,062 | | | | 0.26 | | | | 0.80 | | | | 0.31 | |
| | 1.00 | | | | 0.22 | | | | 12,887,975 | | | | 0.25 | | | | 0.22 | | | | 0.31 | |
| | 1.00 | | | | 0.02 | | | | 7,594,151 | | | | 0.15 | | | | 0.02 | | | | 0.31 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.95 | | | | 86,263,432 | | | | 0.18 | | | | 1.91 | | | | 0.20 | |
| | 1.00 | | | | 1.90 | | | | 73,390,258 | | | | 0.18 | | | | 1.87 | | | | 0.21 | |
| | 1.00 | | | | 0.89 | | | | 92,747,537 | | | | 0.18 | | | | 0.88 | | | | 0.21 | |
| | 1.00 | | | | 0.33 | | | | 86,200,153 | | | | 0.14 | | | | 0.35 | | | | 0.21 | |
| | 1.00 | | | | 0.04 | | | | 28,046,995 | | | | 0.14 | | | | 0.04 | | | | 0.21 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.12 | | | | 298,348 | | | | 1.00 | | | | 1.10 | | | | 1.05 | |
| | 1.00 | | | | 1.07 | | | | 274,993 | | | | 1.00 | | | | 1.04 | | | | 1.06 | |
| | 1.00 | | | | 0.13 | | | | 291,828 | | | | 0.97 | | | | 0.17 | | | | 1.06 | |
| | 1.00 | | | | 0.02 | | | | 66,010 | | | | 0.56 | | | | 0.01 | | | | 1.07 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.99 | | | | 7,443,910 | | | | 0.15 | | | | 1.90 | | | | 0.15 | |
| | 1.00 | | | | 1.92 | | | | 6,108,975 | | | | 0.16 | | | | 1.95 | | | | 0.16 | |
| | 1.00 | | | | 0.91 | | | | 2,493,731 | | | | 0.16 | | | | 0.96 | | | | 0.16 | |
| | 1.00 | | | | 0.33 | | | | 589,694 | | | | 0.14 | | | | 0.34 | | | | 0.16 | |
| | 1.00 | | | | 0.05 | | | | 648,289 | | | | 0.13 | | | | 0.05 | | | | 0.16 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.92 | | | | 43,246,064 | | | | 0.21 | | | | 1.89 | | | | 0.25 | |
| | 1.00 | | | | 1.87 | | | | 41,868,607 | | | | 0.21 | | | | 1.88 | | | | 0.26 | |
| | 1.00 | | | | 0.86 | | | | 32,544,047 | | | | 0.21 | | | | 0.85 | | | | 0.26 | |
| | 1.00 | | | | 0.30 | | | | 36,869,073 | | | | 0.17 | | | | 0.33 | | | | 0.26 | |
| | 1.00 | | | | 0.04 | | | | 8,704,148 | | | | 0.15 | | | | 0.03 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.63 | | | | 684,791 | | | | 0.50 | | | | 1.68 | | | | 0.50 | |
| | 1.00 | | | | 1.57 | | | | 1,127,675 | | | | 0.50 | | | | 1.60 | | | | 0.50 | |
| | 1.00 | | | | 0.56 | | | | 748,306 | | | | 0.51 | | | | 0.54 | | | | 0.51 | |
| | 1.00 | | | | 0.03 | | | | 919,604 | | | | 0.42 | | | | 0.02 | | | | 0.51 | |
| | 1.00 | | | | 0.01 | | | | 3,856,545 | | | | 0.18 | | | | 0.01 | | | | 0.51 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.54 | | | | 2,064,159 | | | | 0.59 | | | | 1.50 | | | | 0.60 | |
| | 1.00 | | | | 1.48 | | | | 1,660,477 | | | | 0.59 | | | | 1.49 | | | | 0.61 | |
| | 1.00 | | | | 0.48 | | | | 1,231,217 | | | | 0.59 | | | | 0.44 | | | | 0.61 | |
| | 1.00 | | | | 0.02 | | | | 2,460,361 | | | | 0.46 | | | | 0.02 | | | | 0.61 | |
| | 1.00 | | | | 0.01 | | | | 2,229,161 | | | | 0.17 | | | | 0.01 | | | | 0.61 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 133 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan U.S. Government Money Market Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.02 | | | $ | — | (f) | | $ | 0.02 | | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (f) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Reserve | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| | | | | | | |
Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Commencement of offering of class of shares. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 134 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.68 | % | | $ | 4,095,749 | | | | 0.45 | % | | | 1.64 | % | | | 0.45 | % |
| | 1.00 | | | | 1.62 | | | | 2,945,521 | | | | 0.45 | | | | 1.59 | | | | 0.46 | |
| | 1.00 | | | | 0.62 | | | | 5,500,002 | | | | 0.45 | | | | 0.60 | | | | 0.46 | |
| | 1.00 | | | | 0.06 | | | | 7,765,009 | | | | 0.42 | | | | 0.06 | | | | 0.46 | |
| | 1.00 | | | | 0.01 | | | | 7,570,828 | | | | 0.18 | | | | 0.01 | | | | 0.46 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.42 | | | | 20,829 | | | | 0.70 | | | | 1.41 | | | | 0.71 | |
| | 1.00 | | | | 1.37 | | | | 19,468 | | | | 0.70 | | | | 1.28 | | | | 0.71 | |
| | 1.00 | | | | 0.37 | | | | 59,334 | | | | 0.70 | | | | 0.33 | | | | 0.71 | |
| | 1.00 | | | | 0.01 | | | | 119,542 | | | | 0.49 | | | | 0.01 | | | | 0.71 | |
| | 1.00 | | | | 0.01 | | | | 16,298 | | | | 0.12 | | | | 0.01 | | | | 0.71 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.07 | | | | 867,659 | | | | 1.05 | | | | 1.19 | | | | 1.05 | |
| | 1.00 | | | | 1.02 | | | | 2,993,274 | | | | 1.05 | | | | 1.08 | | | | 1.05 | |
| | 1.00 | | | | 0.09 | | | | 1,649,354 | | | | 0.93 | | | | 0.08 | | | | 1.06 | |
| | 1.00 | | | | 0.01 | | | | 2,439,027 | | | | 0.50 | | | | 0.01 | | | | 1.06 | |
| | 1.00 | | | | 0.01 | | | | 395,656 | | | | 0.15 | | | | 0.01 | | | | 1.06 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 135 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan U.S. Treasury Plus Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (e) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | | | $ | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Agency | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | | | | — | (e) |
| | | | | | | |
Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
September 22, 2017 (g) through February 28, 2018 | | | 1.00 | | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
IM | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Investor | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Morgan | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
| (f) | Amount rounds to less than 0.005%. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 136 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.13 | % | | $ | 292,824 | | | | 0.97 | % | | | 1.16 | % | | | 1.15 | % |
| | 1.00 | | | | 1.11 | | | | 375,230 | | | | 0.97 | | | | 1.09 | | | | 1.16 | |
| | 1.00 | | | | 0.15 | | | | 417,056 | | | | 0.90 | | | | 0.13 | | | | 1.16 | |
| | 1.00 | | | | 0.00 | (f) | | | 578,579 | | | | 0.48 | | | | 0.00 | (f) | | | 1.16 | |
| | 1.00 | | | | 0.00 | (f) | | | 154,988 | | | | 0.15 | | | | 0.00 | (f) | | | 1.16 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.85 | | | | 1,744,289 | | | | 0.26 | | | | 1.85 | | | | 0.30 | |
| | 1.00 | | | | 1.83 | | | | 2,013,982 | | | | 0.26 | | | | 1.90 | | | | 0.30 | |
| | 1.00 | | | | 0.81 | | | | 930,654 | | | | 0.26 | | | | 0.82 | | | | 0.31 | |
| | 1.00 | | | | 0.18 | | | | 837,723 | | | | 0.26 | | | | 0.17 | | | | 0.31 | |
| | 1.00 | | | | 0.01 | | | | 956,921 | | | | 0.15 | | | | 0.01 | | | | 0.31 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.94 | | | | 9,945,933 | | | | 0.18 | | | | 1.89 | | | | 0.20 | |
| | 1.00 | | | | 1.91 | | | | 6,425,187 | | | | 0.18 | | | | 1.92 | | | | 0.20 | |
| | 1.00 | | | | 0.47 | | | | 3,501,095 | | | | 0.18 | | | | 1.17 | | | | 0.21 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.97 | | | | 37,429 | | | | 0.15 | | | | 2.26 | | | | 0.15 | |
| | 1.00 | | | | 1.93 | | | | 1,451,488 | | | | 0.15 | | | | 1.87 | | | | 0.15 | |
| | 1.00 | | | | 0.90 | | | | 3,051,574 | | | | 0.16 | | | | 0.81 | | | | 0.16 | |
| | 1.00 | | | | 0.28 | | | | 7,449,646 | | | | 0.16 | | | | 0.29 | | | | 0.16 | |
| | 1.00 | | | | 0.04 | | | | 4,788,250 | | | | 0.12 | | | | 0.04 | | | | 0.16 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.90 | | | | 16,887,054 | | | | 0.21 | | | | 1.88 | | | | 0.25 | |
| | 1.00 | | | | 1.88 | | | | 17,766,429 | | | | 0.21 | | | | 1.89 | | | | 0.25 | |
| | 1.00 | | | | 0.86 | | | | 13,500,900 | | | | 0.21 | | | | 0.84 | | | | 0.26 | |
| | 1.00 | | | | 0.23 | | | | 14,813,061 | | | | 0.21 | | | | 0.24 | | | | 0.26 | |
| | 1.00 | | | | 0.02 | | | | 8,736,623 | | | | 0.13 | | | | 0.02 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.61 | | | | 29,937 | | | | 0.50 | | | | 1.60 | | | | 0.50 | |
| | 1.00 | | | | 1.58 | | | | 28,583 | | | | 0.51 | | | | 1.57 | | | | 0.51 | |
| | 1.00 | | | | 0.55 | | | | 48,818 | | | | 0.51 | | | | 0.52 | | | | 0.51 | |
| | 1.00 | | | | 0.02 | | | | 71,303 | | | | 0.42 | | | | 0.02 | | | | 0.51 | |
| | 1.00 | | | | 0.00 | (f) | | | 89,016 | | | | 0.14 | | | | 0.00 | (f) | | | 0.51 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.52 | | | | 734,856 | | | | 0.59 | | | | 1.49 | | | | 0.60 | |
| | 1.00 | | | | 1.49 | | | | 634,508 | | | | 0.59 | | | | 1.55 | | | | 0.61 | |
| | 1.00 | | | | 0.47 | | | | 283,619 | | | | 0.59 | | | | 0.48 | | | | 0.62 | |
| | 1.00 | | | | 0.00 | (f) | | | 244,830 | | | | 0.43 | | | | 0.00 | (f) | | | 0.61 | |
| | 1.00 | | | | 0.00 | (f) | | | 706,209 | | | | 0.15 | | | | 0.00 | (f) | | | 0.61 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 137 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan U.S. Treasury Plus Money Market Fund (continued) | | | | | | | | | | | | | | | | | | | | | |
Premier | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.02 | | | $ | — | (e) | | $ | 0.02 | | | $ | (0.02 | ) | | $ | — | | | $ | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| | | | | | | |
Reserve | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
| (f) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 138 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.66 | % | | $ | 1,439,412 | | | | 0.45 | % | | | 1.60 | % | | | 0.45 | % |
| | 1.00 | | | | 1.63 | | | | 981,194 | | | | 0.45 | | | | 1.68 | | | | 0.45 | |
| | 1.00 | | | | 0.61 | | | | 611,645 | | | | 0.45 | | | | 0.61 | | | | 0.46 | |
| | 1.00 | | | | 0.03 | | | | 640,584 | | | | 0.41 | | | | 0.04 | | | | 0.46 | |
| | 1.00 | | | | 0.00 | (f) | | | 244,258 | | | | 0.14 | | | | 0.00 | (f) | | | 0.46 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.41 | | | | 5,966 | | | | 0.70 | | | | 1.41 | | | | 0.73 | |
| | 1.00 | | | | 1.38 | | | | 6,986 | | | | 0.70 | | | | 1.34 | | | | 0.71 | |
| | 1.00 | | | | 0.37 | | | | 12,246 | | | | 0.70 | | | | 0.28 | | | | 0.71 | |
| | 1.00 | | | | 0.00 | (f) | | | 109,454 | | | | 0.40 | | | | 0.00 | (f) | | | 0.71 | |
| | 1.00 | | | | 0.00 | (f) | | | 679,587 | | | | 0.15 | | | | 0.00 | (f) | | | 0.71 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 139 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (a) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Federal Money Market Fund | |
Agency | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.02 | | | $ | — | (c) | | $ | 0.02 | | | $ | (0.02 | ) | | $ | — | (c) | | $ | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (c) | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
|
Institutional Class | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (c) | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (c) | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
|
Morgan | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | 0.01 | | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
|
Premier | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (c) | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (c) | | | 0.02 | | | | (0.02 | ) | | | — | (c) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (c) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 140 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets | |
Net asset
value,
end of
period | | | Total return | | | Net assets,
end of
period
(000’s) | | | Net
expenses (b) | | |
Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.85 | % | | $ | 242,716 | | | | 0.26 | % | | | 1.79 | % | | | 0.30 | % |
| | 1.00 | | | | 1.80 | | | | 148,122 | | | | 0.26 | | | | 1.82 | | | | 0.31 | |
| | 1.00 | | | | 0.80 | | | | 127,451 | | | | 0.26 | | | | 0.77 | | | | 0.33 | |
| | 1.00 | | | | 0.20 | | | | 133,227 | | | | 0.26 | | | | 0.19 | | | | 0.35 | |
| | 1.00 | | | | 0.02 | | | | 233,955 | | | | 0.16 | | | | 0.02 | | | | 0.33 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.90 | | | | 2,572,379 | | | | 0.21 | | | | 1.90 | | | | 0.25 | |
| | 1.00 | | | | 1.85 | | | | 3,417,418 | | | | 0.21 | | | | 1.85 | | | | 0.26 | |
| | 1.00 | | | | 0.85 | | | | 2,668,613 | | | | 0.21 | | | | 0.84 | | | | 0.28 | |
| | 1.00 | | | | 0.25 | | | | 2,767,271 | | | | 0.21 | | | | 0.25 | | | | 0.30 | |
| | 1.00 | | | | 0.03 | | | | 3,615,992 | | | | 0.13 | | | | 0.03 | | | | 0.28 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.51 | | | | 34,728 | | | | 0.59 | | | | 1.48 | | | | 0.67 | |
| | 1.00 | | | | 1.46 | | | | 29,289 | | | | 0.59 | | | | 1.45 | | | | 0.70 | |
| | 1.00 | | | | 0.46 | | | | 32,224 | | | | 0.59 | | | | 0.44 | | | | 0.69 | |
| | 1.00 | | | | 0.02 | | | | 53,090 | | | | 0.42 | | | | 0.01 | | | | 0.67 | |
| | 1.00 | | | | 0.01 | | | | 131,723 | | | | 0.16 | | | | 0.01 | | | | 0.65 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.65 | | | | 218,858 | | | | 0.45 | | | | 1.58 | | | | 0.45 | |
| | 1.00 | | | | 1.60 | | | | 155,001 | | | | 0.45 | | | | 1.54 | | | | 0.47 | |
| | 1.00 | | | | 0.60 | | | | 229,795 | | | | 0.45 | | | | 0.65 | | | | 0.48 | |
| | 1.00 | | | | 0.04 | | | | 109,282 | | | | 0.41 | | | | 0.04 | | | | 0.50 | |
| | 1.00 | | | | 0.01 | | | | 171,808 | | | | 0.14 | | | | 0.01 | | | | 0.49 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 141 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and
unrealized gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund | |
Agency | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.02 | | | $ | — | (e) | | $ | 0.02 | | | $ | (0.02 | ) | | $ | — | (e) | | $ | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
|
Capital | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
|
IM | |
January 15, 2020 (f) through February 29, 2020 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | | | | — | (e) |
|
Institutional Class | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
|
Morgan | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
|
Premier | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.02 | | | | — | (e) | | | 0.02 | | | | (0.02 | ) | | | — | (e) | | | (0.02 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
|
Reserve | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 142 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | |
Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.82 | % | | $ | 4,197,262 | | | | 0.26 | % | | | 1.76 | % | | | 0.30 | % |
| | 1.00 | | | | 1.79 | | | | 2,567,061 | | | | 0.26 | | | | 1.81 | | | | 0.31 | |
| | 1.00 | | | | 0.79 | | | | 1,981,066 | | | | 0.26 | | | | 0.80 | | | | 0.31 | |
| | 1.00 | | | | 0.15 | | | | 1,848,739 | | | | 0.26 | | | | 0.15 | | | | 0.31 | |
| | 1.00 | | | | 0.01 | | | | 1,895,744 | | | | 0.10 | | | | 0.01 | | | | 0.31 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.90 | | | | 32,963,549 | | | | 0.18 | | | | 1.85 | | | | 0.20 | |
| | 1.00 | | | | 1.88 | | | | 23,528,259 | | | | 0.18 | | | | 1.88 | | | | 0.21 | |
| | 1.00 | | | | 0.87 | | | | 19,208,530 | | | | 0.18 | | | | 0.89 | | | | 0.21 | |
| | 1.00 | | | | 0.23 | | | | 11,630,048 | | | | 0.18 | | | | 0.23 | | | | 0.21 | |
| | 1.00 | | | | 0.02 | | | | 9,678,309 | | | | 0.08 | | | | 0.01 | | | | 0.21 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.18 | | | | 11,885 | | | | 0.15 | | | | 1.46 | | | | 0.15 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.87 | | | | 22,282,460 | | | | 0.21 | | | | 1.83 | | | | 0.25 | |
| | 1.00 | | | | 1.84 | | | | 17,858,556 | | | | 0.21 | | | | 1.87 | | | | 0.26 | |
| | 1.00 | | | | 0.84 | | | | 11,098,506 | | | | 0.21 | | | | 0.83 | | | | 0.26 | |
| | 1.00 | | | | 0.20 | | | | 9,414,776 | | | | 0.21 | | | | 0.21 | | | | 0.26 | |
| | 1.00 | | | | 0.01 | | | | 7,378,773 | | | | 0.08 | | | | 0.01 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.49 | | | | 2,023,440 | | | | 0.59 | | | | 1.47 | | | | 0.60 | |
| | 1.00 | | | | 1.46 | | | | 2,009,129 | | | | 0.59 | | | | 1.45 | | | | 0.61 | |
| | 1.00 | | | | 0.45 | | | | 1,617,985 | | | | 0.59 | | | | 0.46 | | | | 0.61 | |
| | 1.00 | | | | 0.00 | (g) | | | 1,148,892 | | | | 0.40 | | | | 0.00 | (g) | | | 0.61 | |
| | 1.00 | | | | 0.00 | (g) | | | 1,990,677 | | | | 0.10 | | | | 0.00 | (g) | | | 0.61 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.63 | | | | 2,537,050 | | | | 0.45 | | | | 1.62 | | | | 0.45 | |
| | 1.00 | | | | 1.60 | | | | 2,059,307 | | | | 0.45 | | | | 1.65 | | | | 0.46 | |
| | 1.00 | | | | 0.59 | | | | 848,906 | | | | 0.45 | | | | 0.59 | | | | 0.46 | |
| | 1.00 | | | | 0.02 | | | | 857,883 | | | | 0.38 | | | | 0.02 | | | | 0.46 | |
| | 1.00 | | | | 0.00 | (g) | | | 1,219,310 | | | | 0.10 | | | | 0.00 | (g) | | | 0.46 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.38 | | | | 2,102,023 | | | | 0.70 | | | | 1.34 | | | | 0.70 | |
| | 1.00 | | | | 1.35 | | | | 1,561,835 | | | | 0.70 | | | | 1.42 | | | | 0.71 | |
| | 1.00 | | | | 0.35 | | | | 258,002 | | | | 0.70 | | | | 0.41 | | | | 0.71 | |
| | 1.00 | | | | 0.00 | (g) | | | 75,190 | | | | 0.41 | | | | 0.00 | | | | 0.71 | |
| | 1.00 | | | | 0.00 | (g) | | | 108,109 | | | | 0.14 | | | | 0.00 | (g) | | | 0.71 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 143 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | | | | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (a) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Tax Free Money Market Fund | | | | | |
Agency | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (c) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | (c) | | $ | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| |
Institutional Class | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| |
Morgan | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| |
Premier | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| |
Reserve | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (c) | | | 0.01 | | | | (0.01 | ) | | | — | (c) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) | | | — | (c) |
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (c) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 144 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets | |
Net asset
value,
end of
period | | | Total return | | | Net assets,
end of period
(000’s) | | | Net
expenses (b) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.17 | % | | $ | 782,269 | | | | 0.26 | % | | | 1.17 | % | | | 0.30 | % |
| | 1.00 | | | | 1.24 | | | | 1,063,941 | | | | 0.26 | | | | 1.23 | | | | 0.31 | |
| | 1.00 | | | | 0.68 | | | | 831,137 | | | | 0.26 | | | | 0.70 | | | | 0.31 | |
| | 1.00 | | | | 0.27 | | | | 437,689 | | | | 0.25 | | | | 0.26 | | | | 0.31 | |
| | 1.00 | | | | 0.03 | | | | 344,578 | | | | 0.05 | | | | 0.01 | | | | 0.31 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.22 | | | | 9,173,460 | | | | 0.21 | | | | 1.23 | | | | 0.25 | |
| | 1.00 | | | | 1.29 | | | | 12,402,297 | | | | 0.21 | | | | 1.27 | | | | 0.26 | |
| | 1.00 | | | | 0.73 | | | | 11,970,538 | | | | 0.21 | | | | 0.73 | | | | 0.26 | |
| | 1.00 | | | | 0.32 | | | | 10,567,571 | | | | 0.20 | | | | 0.31 | | | | 0.26 | |
| | 1.00 | | | | 0.03 | | | | 10,007,028 | | | | 0.04 | | | | 0.01 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.84 | | | | 10,842 | | | | 0.59 | | | | 0.83 | | | | 0.64 | |
| | 1.00 | | | | 0.90 | | | | 9,884 | | | | 0.59 | | | | 0.89 | | | | 0.68 | |
| | 1.00 | | | | 0.35 | | | | 9,555 | | | | 0.59 | | | | 0.34 | | | | 0.66 | |
| | 1.00 | | | | 0.05 | | | | 11,468 | | | | 0.44 | | | | 0.04 | | | | 0.62 | |
| | 1.00 | | | | 0.03 | | | | 111,381 | | | | 0.04 | | | | 0.01 | | | | 0.62 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.98 | | | | 847,483 | | | | 0.45 | | | | 0.99 | | | | 0.45 | |
| | 1.00 | | | | 1.04 | | | | 1,062,712 | | | | 0.45 | | | | 1.03 | | | | 0.46 | |
| | 1.00 | | | | 0.49 | | | | 1,560,291 | | | | 0.45 | | | | 0.48 | | | | 0.46 | |
| | 1.00 | | | | 0.12 | | | | 1,713,414 | | | | 0.38 | | | | 0.10 | | | | 0.46 | |
| | 1.00 | | | | 0.03 | | | | 2,984,160 | | | | 0.04 | | | | 0.01 | | | | 0.46 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.73 | | | | 1,707,525 | | | | 0.70 | | | | 0.72 | | | | 0.70 | |
| | 1.00 | | | | 0.79 | | | | 2,028,976 | | | | 0.70 | | | | 0.78 | | | | 0.71 | |
| | 1.00 | | | | 0.24 | | | | 2,511,847 | | | | 0.70 | | | | 0.23 | | | | 0.71 | |
| | 1.00 | | | | 0.02 | | | | 2,650,165 | | | | 0.47 | | | | 0.02 | | | | 0.71 | |
| | 1.00 | | | | 0.03 | | | | 4,220,927 | | | | 0.04 | | | | 0.01 | | | | 0.71 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 145 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | | | | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Municipal Money Market Fund | | | | | |
Agency | | | | | |
Year Ended February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (e) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | (e) | | $ | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| |
E*Trade(f) | | | | | |
For the Period Ended September 21, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| |
Institutional Class | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| |
Morgan | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| |
Premier | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | 0.01 | | | | — | (e) | | | 0.01 | | | | (0.01 | ) | | | — | (e) | | | (0.01 | ) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| |
Service | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2019 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Amount rounds to less than $0.005. |
| (f) | E*Trade Shares had no assets from the close of business on September 21, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 146 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.20 | % | | $ | 112,747 | | | | 0.26 | % | | | 1.20 | % | | | 0.34 | % |
| | 1.00 | | | | 1.26 | | | | 127,136 | | | | 0.26 | | | | 1.25 | | | | 0.33 | |
| | 1.00 | | | | 0.73 | | | | 140,809 | | | | 0.26 | | | | 0.76 | | | | 0.35 | |
| | 1.00 | | | | 0.33 | | | | 35,608 | | | | 0.23 | | | | 0.20 | | | | 0.33 | |
| | 1.00 | | | | 0.01 | | | | 193,260 | | | | 0.08 | | | | 0.01 | | | | 0.32 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.01 | | | | — | | | | 0.41 | | | | 0.01 | | | | 1.07 | |
| | 1.00 | | | | 0.01 | | | | 1,935,318 | | | | 0.08 | | | | 0.01 | | | | 1.07 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.25 | | | | 1,688,150 | | | | 0.21 | | | | 1.24 | | | | 0.29 | |
| | 1.00 | | | | 1.31 | | | | 2,003,502 | | | | 0.21 | | | | 1.30 | | | | 0.28 | |
| | 1.00 | | | | 0.78 | | | | 1,575,116 | | | | 0.21 | | | | 0.83 | | | | 0.31 | |
| | 1.00 | | | | 0.37 | | | | 303,233 | | | | 0.21 | | | | 0.39 | | | | 0.30 | |
| | 1.00 | | | | 0.01 | | | | 132,605 | | | | 0.08 | | | | 0.01 | | | | 0.27 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.87 | | | | 35,473 | | | | 0.59 | | | | 0.84 | | | | 0.66 | |
| | 1.00 | | | | 0.93 | | | | 15,899 | | | | 0.59 | | | | 0.92 | | | | 0.65 | |
| | 1.00 | | | | 0.40 | | | | 13,794 | | | | 0.59 | | | | 0.28 | | | | 0.63 | |
| | 1.00 | | | | 0.08 | | | | 312,787 | | | | 0.49 | | | | 0.07 | | | | 0.64 | |
| | 1.00 | | | | 0.01 | | | | 387,521 | | | | 0.08 | | | | 0.01 | | | | 0.62 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.01 | | | | 135,261 | | | | 0.45 | | | | 1.00 | | | | 0.50 | |
| | 1.00 | | | | 1.07 | | | | 129,260 | | | | 0.45 | | | | 1.06 | | | | 0.48 | |
| | 1.00 | | | | 0.54 | | | | 116,319 | | | | 0.45 | | | | 0.57 | | | | 0.51 | |
| | 1.00 | | | | 0.16 | | | | 31,528 | | | | 0.41 | | | | 0.12 | | | | 0.49 | |
| | 1.00 | | | | 0.01 | | | | 28,451 | | | | 0.08 | | | | 0.01 | | | | 0.47 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.41 | | | | 68,493 | | | | 1.05 | | | | 0.48 | | | | 1.09 | |
| | 1.00 | | | | 0.47 | | | | 256,953 | | | | 1.05 | | | | 0.46 | | | | 1.08 | |
| | 1.00 | | | | 0.07 | | | | 282,024 | | | | 0.91 | | | | 0.05 | | | | 1.09 | |
| | 1.00 | | | | 0.03 | | | | 363,754 | | | | 0.54 | | | | 0.01 | | | | 1.09 | |
| | 1.00 | | | | 0.01 | | | | 515,523 | | | | 0.08 | | | | 0.01 | | | | 1.07 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 147 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | | | | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan California Municipal Money Market Fund | | | | | |
Agency | | | | | |
March 1, 2019 (e) through February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (f) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | (f) | | $ | (0.01 | ) |
| |
E*Trade(g) | | | | | |
For the Period Ended September 21, 2016 | | | 1.00 | | | | — | (f) | | | — | | | | — | (f) | | | — | (f) | | | — | | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Institutional Class | | | | | |
March 1, 2019 (e) through February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
| |
Morgan | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Premier | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
March 9, 2016 (e) through February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Service | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2019 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Commencement of offering of class of shares. |
| (f) | Amount rounds to less than $0.005. |
| (g) | E*Trade Shares had no assets from the close of business on September 21, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 148 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.11 | % | | $ | 24,892 | | | | 0.26 | % | | | 0.87 | % | | | 0.35 | % |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.01 | | | | — | | | | 0.38 | | | | 0.01 | | | | 1.07 | |
| | 1.00 | | | | 0.02 | | | | 1,061,361 | | | | 0.06 | | | | 0.01 | | | | 1.07 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.15 | | | | 287,724 | | | | 0.21 | | | | 1.03 | | | | 0.30 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.77 | | | | 2,447 | | | | 0.59 | | | | 0.70 | | | | 0.69 | |
| | 1.00 | | | | 0.86 | | | | 1,591 | | | | 0.59 | | | | 0.85 | | | | 0.72 | |
| | 1.00 | | | | 0.38 | | | | 1,310 | | | | 0.59 | | | | 0.27 | | | | 0.75 | |
| | 1.00 | | | | 0.08 | | | | 7,314 | | | | 0.41 | | | | 0.04 | | | | 0.64 | |
| | 1.00 | | | | 0.02 | | | | 307,260 | | | | 0.06 | | | | 0.01 | | | | 0.62 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.91 | | | | 233,249 | | | | 0.45 | | | | 0.87 | | | | 0.50 | |
| | 1.00 | | | | 1.00 | | | | 259,463 | | | | 0.45 | | | | 0.97 | | | | 0.52 | |
| | 1.00 | | | | 0.52 | | | | 166,312 | | | | 0.45 | | | | 0.49 | | | | 0.55 | |
| | 1.00 | | | | 0.15 | | | | 139,487 | | | | 0.45 | | | | 0.21 | | | | 0.57 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.32 | | | | 28,405 | | | | 1.05 | | | | 0.37 | | | | 1.10 | |
| | 1.00 | | | | 0.41 | | | | 118,146 | | | | 1.04 | | | | 0.37 | | | | 1.12 | |
| | 1.00 | | | | 0.08 | | | | 125,615 | | | | 0.89 | | | | 0.04 | | | | 1.15 | |
| | 1.00 | | | | 0.04 | | | | 167,422 | | | | 0.50 | | | | 0.01 | | | | 1.11 | |
| | 1.00 | | | | 0.02 | | | | 229,647 | | | | 0.05 | | | | 0.01 | | | | 1.07 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 149 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | | | | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan New York Municipal Money Market Fund | | | | | |
Agency | | | | | |
March 1, 2019 (e) through February 29, 2020 | | $ | 1.00 | | | $ | 0.01 | | | $ | — | (f) | | $ | 0.01 | | | $ | (0.01 | ) | | $ | — | (f) | | $ | (0.01 | ) |
| |
E*Trade(g) | | | | | |
For the Period Ended September 21, 2016 | | | 1.00 | | | | — | (f) | | | — | | | | — | (f) | | | — | (f) | | | — | | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Institutional Class | | | | | |
March 1, 2019 (e) through February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
| |
Morgan | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Premier | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
March 9, 2016 (e) through February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Reserve | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2019 | | | 1.00 | | | | 0.01 | | | | — | (f) | | | 0.01 | | | | (0.01 | ) | | | — | (f) | | | (0.01 | ) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| |
Service | | | | | |
Year Ended February 29, 2020 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2019 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2018 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 28, 2017 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
Year Ended February 29, 2016 | | | 1.00 | | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) | | | — | (f) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Commencement of offering of class of shares. |
| (f) | Amount rounds to less than $0.005. |
| (g) | E*Trade Shares had no assets from the close of business on September 21, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 150 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | |
Net asset
value,
end of
period | | | Total return (c) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (d) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1.00 | | | | 1.15 | % | | $ | 262,677 | | | | 0.26 | % | | | 1.06 | % | | | 0.31 | % |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.01 | | | | — | | | | 0.40 | | | | 0.01 | | | | 1.08 | |
| | 1.00 | | | | 0.01 | | | | 395,863 | | | | 0.08 | | | | 0.01 | | | | 1.08 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 1.20 | | | | 1,625,406 | | | | 0.21 | | | | 1.09 | | | | 0.26 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.82 | | | | 62,178 | | | | 0.59 | | | | 0.84 | | | | 0.63 | |
| | 1.00 | | | | 0.89 | | | | 132,127 | | | | 0.59 | | | | 0.88 | | | | 0.66 | |
| | 1.00 | | | | 0.36 | | | | 134,395 | | | | 0.59 | | | | 0.31 | | | | 0.67 | |
| | 1.00 | | | | 0.06 | | | | 303,713 | | | | 0.47 | | | | 0.06 | | | | 0.66 | |
| | 1.00 | | | | 0.01 | | | | 491,120 | | | | 0.08 | | | | 0.01 | | | | 0.63 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.96 | | | | 742,781 | | | | 0.45 | | | | 0.95 | | | | 0.47 | |
| | 1.00 | | | | 1.03 | | | | 769,285 | | | | 0.45 | | | | 1.03 | | | | 0.49 | |
| | 1.00 | | | | 0.50 | | | | 485,365 | | | | 0.45 | | | | 0.58 | | | | 0.51 | |
| | 1.00 | | | | 0.13 | | | | 102,091 | | | | 0.46 | | | | 0.22 | | | | 0.53 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.70 | | | | 1,122 | | | | 0.70 | | | | 0.71 | | | | 0.72 | |
| | 1.00 | | | | 0.78 | | | | 1,569 | | | | 0.70 | | | | 0.75 | | | | 0.74 | |
| | 1.00 | | | | 0.25 | | | | 2,285 | | | | 0.70 | | | | 0.24 | | | | 0.78 | |
| | 1.00 | | | | 0.02 | | | | 2,607 | | | | 0.39 | | | | 0.01 | | | | 0.73 | |
| | 1.00 | | | | 0.01 | | | | 137,761 | | | | 0.08 | | | | 0.01 | | | | 0.73 | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 1.00 | | | | 0.36 | | | | 8,363 | | | | 1.05 | | | | 0.45 | | | | 1.08 | |
| | 1.00 | | | | 0.43 | | | | 36,537 | | | | 1.04 | | | | 0.43 | | | | 1.09 | |
| | 1.00 | | | | 0.06 | | | | 49,027 | | | | 0.90 | | | | 0.05 | | | | 1.11 | |
| | 1.00 | | | | 0.02 | | | | 57,064 | | | | 0.53 | | | | 0.01 | | | | 1.10 | |
| | 1.00 | | | | 0.01 | | | | 78,992 | | | | 0.08 | | | | 0.01 | | | | 1.08 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 151 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004, November 12, 2004 and November 11, 2015, respectively, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004, November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), asopen-end management investment companies.
The following are 12 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| | | | | | |
| | | Classes Offered | | Trust | | Diversification
Classification |
| JPMorgan Prime Money Market Fund | | Class C, Academy(1), Agency, Capital, IM, Institutional Class, Morgan, Premier and Reserve | | JPM I | | Diversified |
| JPMorgan Institutional Tax Free Money Market Fund(2) | | Agency, Capital, IM and Institutional Class | | JPM IV | | Diversified |
| JPMorgan Securities Lending Money Market Fund(3) | | Agency SL | | JPM IV | | Diversified |
| JPMorgan Liquid Assets Money Market Fund | | Class C, Agency, Capital, E*Trade(4), Institutional Class, Investor, Morgan, Premier and Reserve | | JPM II | | Diversified |
| JPMorgan U.S. Government Money Market Fund | | Academy(1), Agency, Capital, Direct(5), Eagle Class(6), Eagle Private Wealth Class(7), E*Trade, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service | | JPM II | | Diversified |
| JPMorgan U.S. Treasury Plus Money Market Fund | | Class C, Agency, Capital, Direct(5), IM, Institutional Class, Investor, Morgan, Premier and Reserve | | JPM II | | Diversified |
| JPMorgan Federal Money Market Fund | | Agency, Institutional Class, Morgan and Premier | | JPM I | | Diversified |
| JPMorgan 100% U.S. Treasury Securities Money Market Fund | | Agency, Capital, IM(8), Institutional Class, Morgan, Premier and Reserve | | JPM I | | Diversified |
| JPMorgan Tax Free Money Market Fund | | Agency, Institutional Class, Morgan, Premier and Reserve | | JPM I | | Diversified |
| JPMorgan Municipal Money Market Fund | | Agency, Eagle Class(6), E*Trade(10), Institutional Class, Morgan, Premier and Service | | JPM II | | Diversified |
| JPMorgan California Municipal Money Market Fund | | Agency(9), Eagle Class(6), E*Trade(10), Institutional Class(9), Morgan, Premier and Service | | JPM I | | Diversified |
| JPMorgan New York Municipal Money Market Fund | | Agency(9), Eagle Class(6), E*Trade(10), Institutional Class(9), Morgan, Premier, Reserve and Service | | JPM I | | Diversified |
| (1) | Commenced operations on May 15, 2019. |
| (2) | The JPMorgan Institutional Tax Free Money Market Fund commenced operations on March 1, 2018. |
| (3) | The JPMorgan Securities Lending Money Market Fund commenced operations on September 19, 2018. |
| (4) | E*Trade Shares of JPMorgan Liquid Assets Money Market Fund had no assets from the close of business on October 19, 2016. |
| (5) | On November 25, 2019, Direct Shares of JPMorgan U.S. Government Money Market Fund and JPMorgan U.S. Treasury Plus Money Market Fund liquidated. |
| (6) | On November 25, 2019, the Eagle Class Shares of JPMorgan U.S. Government Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund liquidated. |
| (7) | On December 9, 2019, the Eagle Private Wealth Class of JPMorgan U.S. Government Money Market Fund liquidated. |
| (8) | Commenced operations on January 15, 2020. |
| (9) | Commenced operations on March 1, 2019. |
| (10) | E*Trade Shares of JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund had no assets from the close of business on September 21, 2016. |
The investment objective of JPMorgan Prime Money Market Fund (“Prime Money Market Fund”) and JPMorgan Securities Lending Money Market Fund (“Securities Lending Money Market Fund”) is to seek current income while seeking to maintain liquidity and a low volatility of principal.
The investment objective of JPMorgan Institutional Tax Free Money Market Fund (“Institutional Tax Free Money Market Fund”) is to aim to provide current income, while seeking to maintain liquidity and a low volatility of principal.
The investment objective of JPMorgan Liquid Assets Money Market Fund (“Liquid Assets Money Market Fund”) and JPMorgan U.S. Treasury Plus Money Market Fund (“U.S. Treasury Plus Money Market Fund”) is to seek current income with liquidity and stability of principal.
The investment objective of JPMorgan U.S. Government Money Market Fund (“U.S. Government Money Market Fund”) is to seek high current income with liquidity and stability of principal.
The investment objective of JPMorgan Federal Money Market Fund (“Federal Money Market Fund”) is to aim to provide current income while still preserving capital and maintaining liquidity.
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The investment objective of JPMorgan 100% U.S. Treasury Securities Money Market Fund (“100% U.S. Treasury Securities Money Market Fund”) is to aim to provide the highest possible level of current income while still maintaining liquidity and providing maximum safety of principal.
The investment objective of JPMorgan Tax Free Money Market Fund (“Tax Free Money Market Fund”) is to aim to provide the highest possible level of current income which is excluded from gross income, while still preserving capital and maintaining liquidity.
The investment objective of JPMorgan Municipal Money Market Fund (“Municipal Money Market Fund”) is to seek as high a level of current interest income exempt from federal income tax as is consistent with liquidity and stability of principal.
The investment objective of JPMorgan California Municipal Money Market Fund (“California Municipal Money Market Fund”) is to aim to provide the highest possible level of current income which is exempt from federal and California personal income taxes, while still preserving capital and maintaining liquidity.
The investment objective of JPMorgan New York Municipal Money Market Fund (“New York Municipal Money Market Fund”) is to aim to provide the highest possible level of current income which is excluded from gross income and exempt from New York State and New York City personal income taxes, while still preserving capital and maintaining liquidity.
The Liquid Assets Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund seek to qualify as retail money market funds in accordance with criteria established by the Securities and Exchange Commission (“SEC”). Under applicable SEC rules, these Funds are ordinarily permitted to utilize amortized cost accounting to value their portfolio securities and transact at a stable $1.00 share price. These Funds have adopted policies and procedures that allow the Boards of Trustees of the Trusts (the “Boards”) to impose a liquidity fee and/or redemption gate in the event that their weekly liquid assets fall below a designated threshold.
The Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund do not seek to qualify as retail or government money market funds and transact utilizing a floating net asset value (“NAV”) calculated to four decimal places. The Funds have adopted policies and procedures that allow the Boards to impose a liquidity fee and/or redemption gate in the event that their weekly liquid assets fall below a designated threshold.
The U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund, Federal Money Market Fund and 100% U.S. Treasury Securities Money Market Fund seek to qualify as government money market funds in accordance with criteria established by the SEC. Under applicable SEC rules, these Funds are ordinarily permitted to utilize amortized cost accounting to value their portfolio securities and transact at a stable $1.00 share price.
Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to the Academy, Agency, Agency SL, Capital, Direct, Eagle Class, Eagle Private Wealth Class, E*Trade, IM, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards, which established the following approach to valuation, as described more fully below: securities and other debt instruments held by money market funds pursuant to Rule2a-7 under the 1940 Act shall be valued using the amortized cost method provided that certain conditions are met, with the exception of the Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund.
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 each Fund would receive if it sold the security. The market value of securities in the Funds can generally be expected to vary inversely with changes in prevailing interest rates.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 153 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This 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. This includes also monitoring on a daily basis that the amortized cost valuation method fairly reflects the market-based net asset value (“NAV”) of the Funds. 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 Boards.
For the Prime Money Market Fund, Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund, fixed income instruments for which market quotations are not readily available are fair 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.
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 Funds’ investments are summarized into the three broad levels listed below.
| • | | Level 1 — Quoted prices in active markets for identical securities. |
| • | | Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
| • | | Level 3 — Significant unobservable inputs (including the Funds’ own 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 securities are not necessarily an indication of the risk associated with investing in those securities. For example, certain money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as level 2.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Prime Money Market Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 62,824,835 | | | $ | — | | | $ | 62,824,835 | |
| | | | | | | | | | | | | | | | |
| |
| Institutional Tax Free Money Market Fund | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 965,488 | | | $ | — | | | $ | 965,488 | |
| | | | | | | | | | | | | | | | |
| |
| Securities Lending Money Market Fund | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 3,467,270 | | | $ | — | | | $ | 3,467,270 | |
| | | | | | | | | | | | | | | | |
The following is a summary of the inputs used as of February 29, 2020, in valuing the Funds’ assets and liabilities carried at amortized cost which approximates fair value (amounts in thousands):
| | | | | | | | | | | | | | | | |
Liquid Assets Money Market Fund | | | | | |
| | | Level 1
Quoted
prices | | | Level 2
Other
significant
observable
inputs | | | Level 3
Significant
unobservable
inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 10,820,470 | | | $ | — | | | $ | 10,820,470 | |
| | | | | | | | | | | | | | | | |
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| 154 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| U.S. Government Money Market Fund | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 152,767,827 | | | $ | — | | | $ | 152,767,827 | |
| | | | | | | | | | | | | | | | |
| | | | |
| U.S. Treasury Plus Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 29,497,865 | | | $ | — | | | $ | 29,497,865 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Federal Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 3,052,387 | | | $ | — | | | $ | 3,052,387 | |
| | | | | | | | | | | | | | | | |
| | | |
| 100% U.S. Treasury Securities Money Market Fund | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 67,661,706 | | | $ | — | | | $ | 67,661,706 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Tax Free Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 11,699,811 | | | $ | — | | | $ | 11,699,811 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Municipal Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | — | | | $ | 1,334,658 | | | $ | — | | | $ | 1,334,658 | |
| | | | | | | | | | | | | | | | |
| | | | |
| California Municipal Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | — | | | $ | 575,710 | | | $ | — | | | $ | 575,710 | |
| | | | | | | | | | | | | | | | |
| | | | |
| New York Municipal Money Market Fund | | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | — | | | $ | 2,448,108 | | | $ | — | | | $ | 2,448,108 | |
| | | | | | | | | | | | | | | | |
| (a) | All portfolio holdings designated as level 2 are disclosed individually on the SOIs. Please refer to the SOIs for specifics of the major categories of portfolio holdings. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset values of the Funds.
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 155 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
As of February 29, 2020, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.
C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan. The Prime Money Market Fund, Liquid Assets Money Market Fund, U.S. Government Money Market Fund and U.S. Treasury Plus Money Market Fund or their affiliates may transfer uninvested cash into joint accounts, which are utilized by multiple accounts or funds managed by the Adviser or its affiliates, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintainpro-rata credit exposure to the underlying repurchase agreements’ counterparties and collateral.
The Funds’ repurchase agreements are not subject to master netting arrangements.
D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Tax Free Money Market Fund, Municipal Money Market Fund and New York Municipal Money Market Fund purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
The Tax Free Money Market Fund, Municipal Money Market Fund and New York Municipal Money Market Fund had delayed delivery securities outstanding as of February 29, 2020, which are shown as a Receivable for Investment securities sold — delayed delivery securities on the Statements of Assets and Liabilities.
E. Offering and Organization Costs — Total offering costs of approximately $119,000 and $44,000 paid in connection with the offering of shares of Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund, respectively, were amortized on a straight line basis over 12 months from the date the fund commenced operations. Costs paid in connection with the organization of Institutional Tax Free Money Fund and Securities Lending Money Market Fund, if any, were recorded as an expense at the time it commenced operations. For the year ended February 29, 2020, total offering costs amortized rounds to less than $1,000 and approximately $25,000 for the Institutional Tax Free Money Market Fund and Securities Lending Money Market Fund, respectively.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.
G. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
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| 156 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended February 29, 2020 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Prime
Money
Market
Fund | | | Institutional
Tax Free
Money
Market
Fund | | | Securities
Lending
Money
Market
Fund | | | Liquid
Assets
Money
Market
Fund | | | U.S.
Government
Money
Market
Fund | | | U.S.
Treasury
Plus
Money
Market
Fund | | | Federal
Money
Market
Fund | | | 100%
U.S.
Treasury
Securities
Money
Market
Fund | | | Tax
Free
Money
Market
Fund | | | Municipal
Money
Market
Fund | | | California
Municipal
Money
Market
Fund | | | New York
Municipal
Money
Market
Fund | |
Class C | | $ | 26 | | | | n/a | | | | n/a | | | $ | 3 | | | | n/a | | | $ | 8 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Academy | | | 21 | | | | n/a | | | | n/a | | | | n/a | | | $ | 2 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Agency | | | 94 | | | $ | 29 | | | | n/a | | | | 18 | | | | 237 | | | | 52 | | | $ | 4 | | | $ | 77 | | | $ | 19 | | | $ | 4 | | | $ | — | (a) | | $ | 4 | |
Agency SL | | | n/a | | | | n/a | | | $ | 107 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Capital | | | 623 | | | | 31 | | | | n/a | | | | 17 | | | | 1,572 | | | | 181 | | | | n/a | | | | 606 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Eagle Class | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 31 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 3 | | | | — | (a) | | | — | (a) |
Eagle Private Wealth Class | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | — | (a) | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
E*Trade | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 6 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
IM | | | 150 | | | | 35 | | | | n/a | | | | n/a | | | | 143 | | | | 19 | | | | n/a | | | | — | (a) | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Institutional Class | | | 361 | | | | 35 | | | | n/a | | | | 83 | | | | 850 | | | | 379 | | | | 77 | | | | 473 | | | | 232 | | | | 41 | | | | 5 | | | | 15 | |
Investor | | | n/a | | | | n/a | | | | n/a | | | | 1 | | | | 21 | | | | 1 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Morgan | | | 318 | | | | n/a | | | | n/a | | | | 89 | | | | 89 | | | | 33 | | | | 23 | | | | 81 | | | | 5 | | | | 3 | | | | 1 | | | | 23 | |
Premier | | | 89 | | | | n/a | | | | n/a | | | | 42 | | | | 66 | | | | 27 | | | | 5 | | | | 56 | | | | 18 | | | | 9 | | | | 8 | | | | 19 | |
Reserve | | | 28 | | | | n/a | | | | n/a | | | | 5 | | | | 2 | | | | 2 | | | | n/a | | | | 42 | | | | 34 | | | | n/a | | | | n/a | | | | — | (a) |
Service | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 51 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 4 | | | | 2 | | | | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,710 | | | $ | 130 | | | $ | 107 | | | $ | 258 | | | $ | 3,070 | | | $ | 702 | | | $ | 109 | | | $ | 1,335 | | | $ | 308 | | | $ | 64 | | | $ | 16 | | | $ | 64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 29, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
I. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared daily and paid monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| | | | | | | | | | | | |
| | | Paid-in-Capital | | | Accumulated
undistributed
(distributions
in excess of)
net investment
income | | | Accumulated
net realized
gains (losses) | |
100% U.S. Treasury Securities Money Market Fund | | $ | — | | | $ | — | (a) | | $ | — | (a) |
| (a) | Amount rounds to less than one thousand. |
The reclassifications for the Funds relate primarily to redesignation of distributions.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and generally paid monthly at an annual rate of 0.08% of each Fund’s average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.07% of the first $150 billion
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 157 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex covered by the Administration Agreement, plus 0.05% of the average daily net assets between $150 billion and $300 billion, plus 0.03% of the average daily net assets between $300 billion and $400 billion, plus 0.01% of the average daily net assets in excess of $400 billion. For the year ended February 29, 2020, the effective rate was 0.06% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMCB serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class C, Eagle Class, E*Trade, Morgan, Reserve and Service Shares of the Funds, as applicable, pursuant to Rule12b-1 under the 1940 Act. The Academy, Agency, Agency SL, Capital, Direct, Eagle Private Wealth Class, IM, Institutional Class, Investor and Premier Shares of the Funds do not participate in the Distribution Plan. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class C | | | Eagle Class | | | E*Trade | | | Morgan | | | Reserve | | | Service | |
Prime Money Market Fund | | | 0.75 | % | | | n/a | | | | n/a | | | | n/a | | | | 0.25 | % | | | n/a | |
Institutional Tax Free Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Securities Lending Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Liquid Assets Money Market Fund | | | 0.75 | | | | n/a | | | | 0.60 | % | | | 0.10 | % | | | 0.25 | | | | n/a | |
U.S. Government Money Market Fund | | | n/a | | | | 0.25 | % | | | 0.60 | | | | 0.10 | | | | 0.25 | | | | 0.60 | % |
U.S. Treasury Plus Money Market Fund | | | 0.75 | | | | n/a | | | | n/a | | | | 0.10 | | | | 0.25 | | | | n/a | |
Federal Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | 0.10 | | | | n/a | | | | n/a | |
100% U.S. Treasury Securities Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | 0.10 | | | | 0.25 | | | | n/a | |
Tax Free Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | 0.10 | | | | 0.25 | | | | n/a | |
Municipal Money Market Fund | | | n/a | | | | 0.25 | | | | 0.60 | | | | 0.10 | | | | n/a | | | | 0.60 | |
California Municipal Money Market Fund | | | n/a | | | | 0.25 | | | | 0.60 | | | | 0.10 | | | | n/a | | | | 0.60 | |
New York Municipal Money Market Fund | | | n/a | | | | 0.25 | | | | 0.60 | | | | 0.10 | | | | 0.25 | | | | 0.60 | |
JPMDS waived distribution fees as outlined in Note 3.F.
In addition, JPMDS is entitled to receive the CDSC from redemptions of Class C Shares. For the year ended February 29, 2020, JPMDS retained the following amounts (in thousands):
| | | | |
| | | CDSC | |
Liquid Assets Money Market Fund | | | $1 | |
U.S. Treasury Plus Money Market Fund | | | — | (a) |
| (a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Agency SL and IM Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class C | | | Academy | | | Agency | | | Capital | | | Direct | | | Eagle Class | | | Eagle
Private Wealth
Class | |
Prime Money Market Fund | | | 0.25 | % | | | 0.05 | % | | | 0.15 | % | | | 0.05 | % | | | n/a | | | | n/a | | | | n/a | |
Institutional Tax Free Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | 0.05 | | | | n/a | | | | n/a | | | | n/a | |
Securities Lending Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Liquid Assets Money Market Fund | | | 0.25 | | | | n/a | | | | 0.15 | | | | 0.05 | | | | n/a | | | | n/a | | | | n/a | |
U.S. Government Money Market Fund | | | n/a | | | | 0.05 | | | | 0.15 | | | | 0.05 | | | | 0.15 | % | | | 0.30 | % | | | 0.15 | % |
U.S. Treasury Plus Money Market Fund | | | 0.25 | | | | n/a | | | | 0.15 | | | | 0.05 | | | | 0.15 | | | | n/a | | | | n/a | |
Federal Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
100% U.S. Treasury Securities Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | 0.05 | | | | n/a | | | | n/a | | | | n/a | |
Tax Free Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | n/a | | | | n/a | | | | 0.30 | | | | n/a | |
California Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | n/a | | | | n/a | | | | 0.30 | | | | n/a | |
New York Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.15 | | | | n/a | | | | n/a | | | | 0.30 | | | | n/a | |
| | | | | | |
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| 158 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | E*Trade | | | Institutional
Class | | | Investor | | | Morgan | | | Premier | | | Reserve | | | Service | |
Prime Money Market Fund | | | n/a | | | | 0.10 | % | | | n/a | | | | 0.35 | % | | | 0.30 | % | | | 0.30 | % | | | n/a | |
Institutional Tax Free Money Market Fund | | | n/a | | | | 0.10 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Securities Lending Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Liquid Assets Money Market Fund | | | 0.30 | % | | | 0.10 | | | | 0.35 | % | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | n/a | |
U.S. Government Money Market Fund | | | 0.30 | | | | 0.10 | | | | 0.35 | | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | 0.30 | % |
U.S. Treasury Plus Money Market Fund | | | n/a | | | | 0.10 | | | | 0.35 | | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | n/a | |
Federal Money Market Fund | | | n/a | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | n/a | | | | n/a | |
100% U.S. Treasury Securities Money Market Fund | | | n/a | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | n/a | |
Tax Free Money Market Fund | | | n/a | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | n/a | |
Municipal Money Market Fund | | | 0.30 | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | n/a | | | | 0.30 | |
California Municipal Money Market Fund | | | 0.30 | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | n/a | | | | 0.30 | |
New York Municipal Money Market Fund | | | 0.30 | | | | 0.10 | | | | n/a | | | | 0.35 | | | | 0.30 | | | | 0.30 | | | | 0.30 | |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and JPMDS have contractually agreed to waive fees and/or reimburse the Funds, except IM Shares of the Prime Money Market Fund, U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund and the 100% U.S Treasury Securities Money Market Fund, to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class C | | | Academy | | | Agency | | | Agency
SL | | | Capital | | | Direct | | | Eagle Class | | | Eagle
Private
Wealth
Class | |
Prime Money Market Fund | | | 0.97 | % | | | 0.18 | % | | | 0.26 | % | | | n/a | | | | 0.18 | % | | | n/a | | | | n/a | | | | n/a | |
Institutional Tax Free Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | 0.18 | | | | n/a | | | | n/a | | | | n/a | |
Securities Lending Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | 0.06 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Liquid Assets Money Market Fund | | | 0.97 | | | | n/a | | | | 0.26 | | | | n/a | | | | 0.18 | | | | n/a | | | | n/a | | | | n/a | |
U.S. Government Money Market Fund | | | n/a | | | | 0.18 | | | | 0.26 | | | | n/a | | | | 0.18 | | | | 0.30 | % | | | 0.70 | % | | | 0.30 | % |
U.S. Treasury Plus Money Market Fund | | | 0.97 | | | | n/a | | | | 0.26 | | | | n/a | | | | 0.18 | | | | 0.30 | | | | n/a | | | | n/a | |
Federal Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
100% U.S. Treasury Securities Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | 0.18 | | | | n/a | | | | n/a | | | | n/a | |
Tax Free Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | n/a | | | | n/a | | | | 0.70 | | | | n/a | |
California Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | n/a | | | | n/a | | | | 0.70 | | | | n/a | |
New York Municipal Money Market Fund | | | n/a | | | | n/a | | | | 0.26 | | | | n/a | | | | n/a | | | | n/a | | | | 0.70 | | | | n/a | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 159 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | E*Trade | | | IM | | | Institutional
Class | | | Investor | | | Morgan | | | Premier | | | Reserve | | | Service | |
Prime Money Market Fund | | | n/a | | | | n/a | | | | 0.21 | % | | | n/a | | | | 0.52 | % | | | 0.45 | % | | | 0.70 | % | | | n/a | |
Institutional Tax Free Money Market Fund | | | n/a | | | | 0.16 | % | | | 0.21 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Securities Lending Money Market Fund | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
Liquid Assets Money Market Fund | | | 1.00 | % | | | n/a | | | | 0.21 | | | | 0.51 | % | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | n/a | |
U.S. Government Money Market Fund | | | 1.00 | | | | n/a | | | | 0.21 | | | | 0.51 | | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | 1.05 | % |
U.S. Treasury Plus Money Market Fund | | | n/a | | | | n/a | | | | 0.21 | | | | 0.51 | | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | n/a | |
Federal Money Market Fund | | | n/a | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | n/a | | | | n/a | |
100% U.S. Treasury Securities Money Market Fund | | | n/a | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | n/a | |
Tax Free Money Market Fund | | | n/a | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | n/a | |
Municipal Money Market Fund | | | 1.00 | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | n/a | | | | 1.05 | |
California Municipal Money Market Fund | | | 1.00 | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | n/a | | | | 1.05 | |
New York Municipal Money Market Fund | | | 1.00 | | | | n/a | | | | 0.21 | | | | n/a | | | | 0.59 | | | | 0.45 | | | | 0.70 | | | | 1.05 | |
The expense limitation agreements were in effect for the year ended February 29, 2020, and are in place until at least June 30, 2020. In addition, the Funds’ service providers have voluntarily waived fees during the year ended February 29, 2020. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended February 29, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | | | | | | | | | | | | | | | | | | | |
| | | Contractual Waivers | | | | |
| | | Investment
Advisory
Fees | | | Administration
Fees | | | Service
Fees | | | Total | | | Contractual
Reimbursements | |
Prime Money Market Fund | | $ | 34 | | | $ | — | | | $ | 12,537 | | | $ | 12,571 | | | $ | 45 | |
Institutional Tax Free Money Market Fund | | | 123 | | | | 82 | | | | 273 | | | | 478 | | | | 11 | |
Securities Lending Money Market Fund | | | 1,977 | | | | 1,318 | | | | — | | | | 3,295 | | | | 25 | |
Liquid Assets Money Market Fund | | | 122 | | | | 78 | | | | 2,555 | | | | 2,755 | | | | — | |
U.S. Government Money Market Fund | | | 95 | | | | — | | | | 34,239 | | | | 34,334 | | | | — | |
U.S. Treasury Plus Money Market Fund | | | 18 | | | | — | | | | 8,651 | | | | 8,669 | | | | — | |
Federal Money Market Fund | | | 95 | | | | 63 | | | | 995 | | | | 1,153 | | | | — | |
100% U.S. Treasury Securities Money Market Fund | | | 38 | | | | — | | | | 14,653 | | | | 14,691 | | | | — | |
Tax Free Money Market Fund | | | — | | | | — | | | | 4,338 | | | | 4,338 | | | | — | |
Municipal Money Market Fund | | | 629 | | | | 419 | | | | 892 | | | | 1,940 | | | | — | |
California Municipal Money Market Fund | | | 155 | | | | 103 | | | | 95 | | | | 353 | | | | — | |
New York Municipal Money Market Fund | | | 162 | | | | 106 | | | | 540 | | | | 808 | | | | — | |
| | | | |
| | | Voluntary Waivers | |
| | | Distribution Fees | |
Municipal Money Market Fund | | $ | 5 | |
California Municipal Money Market Fund | | | 5 | |
New York Municipal Money Market Fund | | | 1 | |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
Certain Funds earn interest on certain uninvested cash balances held at the custodian, which is included in the Interest income from affiliates on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 29, 2020, Tax Free Money Market Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The SEC has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| | | | | | |
| | | |
| 160 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
The Funds are permitted to effect purchase and sale transactions with affiliated Funds under procedures adopted by the Board. The procedures have been designed to seek to ensure that any such security transaction complies with certain conditions of Rule17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. Pursuant to these procedures, for the year ended February 29, 2020, the Funds below engaged in such transactions in the following amounts (amounts in thousands):
| | | | | | | | | | | | |
| | | Purchases | | | Sales | | | Realized
Gain
(Loss) | |
Institutional Tax Free Money Market Fund | | $ | 813,401 | | | $ | 2,108,485 | | | $ | — | |
Tax Free Money Market Fund | | | 2,811,695 | | | | 2,072,343 | | | | — | |
Municipal Money Market Fund | | | 772,736 | | | | 1,313,286 | | | | — | |
California Municipal Money Market Fund | | | 233,034 | | | | 172,134 | | | | — | |
New York Municipal Money Market Fund | | | 1,782,115 | | | | 746,735 | | | | — | |
4. Class-Specific Expenses
The Funds’ class specific gross expenses for the year ended February 29, 2020 were as follows (amounts in thousands):
| | | | | | | | |
| | | Distribution | | | Service | |
Prime Money Market Fund | | | | | | | | |
Class C | | $ | 7 | | | $ | 2 | |
Academy | | | — | | | | 14 | |
Agency | | | — | | | | 3,648 | |
Capital | | | — | | | | 14,299 | |
Institutional Class | | | — | | | | 13,964 | |
Morgan | | | — | | | | 9,543 | |
Premier | | | — | | | | 6,872 | |
Reserve | | | 29 | | | | 34 | |
| | | | | | | | |
| | $ | 36 | | | $ | 48,376 | |
| | | | | | | | |
Institutional Tax Free Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 80 | |
Capital | | | — | | | | 98 | |
Institutional Class | | | — | | | | 304 | |
| | | | | | | | |
| | $ | — | | | $ | 482 | |
| | | | | | | | |
Liquid Assets Money Market Fund | | | | | | | | |
Class C | | $ | 154 | | | $ | 51 | |
Agency | | | — | | | | 1,289 | |
Capital | | | — | | | | 755 | |
Institutional Class | | | — | | | | 3,007 | |
Investor | | | — | | | | 25 | |
Morgan | | | 395 | | | | 1,383 | |
Premier | | | — | | | | 6,456 | |
Reserve | | | 10 | | | | 12 | |
| | | | | | | | |
| | $ | 559 | | | $ | 12,978 | |
| | | | | | | | |
U.S. Government Money Market Fund | | | | | | | | |
Academy | | $ | — | | | $ | 7 | |
Agency | | | — | | | | 18,782 | |
Capital | | | — | | | | 40,478 | |
Eagle Class | | | 2,275 | | | | 2,730 | |
Eagle Private Wealth Class | | | — | | | | — | (a) |
E*Trade | | | 1,696 | | | | 848 | |
Institutional Class | | | — | | | | 40,685 | |
Investor | | | — | | | | 3,147 | |
Morgan | | | 1,902 | | | | 6,657 | |
Premier | | | — | | | | 11,750 | |
Reserve | | | 47 | | | | 57 | |
Service | | | 10,770 | | | | 5,385 | |
| | | | | | | | |
| | $ | 16,690 | | | $ | 130,526 | |
| | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 161 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| | | Distribution | | | Service | |
U.S. Treasury Plus Money Market Fund | | | | | | | | |
Class C | | $ | 2,347 | | | $ | 782 | |
Agency | | | — | | | | 3,132 | |
Capital | | | — | | | | 3,875 | |
Institutional Class | | | — | | | | 17,158 | |
Investor | | | — | | | | 114 | |
Morgan | | | 773 | | | | 2,706 | |
Premier | | | — | | | | 3,616 | |
Reserve | | | 16 | | | | 19 | |
| | | | | | | | |
| | $ | 3,136 | | | $ | 31,402 | |
| | | | | | | | |
Federal Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 308 | |
Institutional Class | | | — | | | | 2,376 | |
Morgan | | | 35 | | | | 122 | |
Premier | | | — | | | | 520 | |
| | | | | | | | |
| | $ | 35 | | | $ | 3,326 | |
| | | | | | | | |
100% U.S. Treasury Securities Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 5,643 | |
Capital | | | — | | | | 14,804 | |
Institutional Class | | | — | | | | 19,967 | |
Morgan | | | 1,984 | | | | 6,944 | |
Premier | | | — | | | | 7,183 | |
Reserve | | | 5,135 | | | | 6,162 | |
| | | | | | | | |
| | $ | 7,119 | | | $ | 60,703 | |
| | | | | | | | |
Tax Free Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 1,276 | |
Institutional Class | | | — | | | | 10,425 | |
Morgan | | | 11 | | | | 39 | |
Premier | | | — | | | | 2,824 | |
Reserve | | | 4,343 | | | | 5,211 | |
| | | | | | | | |
| | $ | 4,354 | | | $ | 19,775 | |
| | | | | | | | |
Municipal Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 186 | |
Eagle Class | | | 349 | | | | 419 | |
Institutional Class | | | — | | | | 2,044 | |
Morgan | | | 22 | | | | 77 | |
Premier | | | — | | | | 383 | |
Service | | | 924 | | | | 462 | |
| | | | | | | | |
| | $ | 1,295 | | | $ | 3,571 | |
| | | | | | | | |
California Municipal Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 20 | |
Eagle Class | | | 7 | | | | 8 | |
Institutional Class | | | — | | | | 219 | |
Morgan | | | 3 | | | | 9 | |
Premier | | | — | | | | 738 | |
Service | | | 412 | | | | 206 | |
| | | | | | | | |
| | $ | 422 | | | $ | 1,200 | |
| | | | | | | | |
| | | | | | |
| | | |
| 162 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| | | Distribution | | | Service | |
New York Municipal Money Market Fund | | | | | | | | |
Agency | | $ | — | | | $ | 334 | |
Eagle Class | | | 15 | | | | 19 | |
Institutional Class | | | — | | | | 943 | |
Morgan | | | 119 | | | | 416 | |
Premier | | | — | | | | 2,530 | |
Reserve | | | 4 | | | | 4 | |
Service | | | 122 | | | | 61 | |
| | | | | | | | |
| | $ | 260 | | | $ | 4,307 | |
| | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 29, 2020 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
Prime Money Market Fund | | $ | 62,802,726 | | | $ | 22,188 | | | $ | 79 | | | $ | 22,109 | |
Institutional Tax Free Money Market Fund | | | 965,407 | | | | 97 | | | | 16 | | | | 81 | |
Securities Lending Money Market Fund | | | 3,466,456 | | | | 862 | | | | 48 | | | | 814 | |
U.S. Government Money Market Fund | | | 152,767,852 | | | | 33,464 | | | | 33,489 | | | | (25 | ) |
U.S. Treasury Plus Money Market Fund | | | 29,498,043 | | | | 249 | | | | 427 | | | | (178 | ) |
100% U.S. Treasury Securities Money Market Fund | | | 67,661,830 | | | | 1,066 | | | | 1,190 | | | | (124 | ) |
Estimated tax cost and unrealized appreciation (depreciation) in value of investments for funds not listed equals their books’ cost and unrealized appreciation (depreciation) in value of investments.
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended February 29, 2020 was as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Ordinary
Income* | | | Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total
Distributions
Paid | |
Prime Money Market Fund | | $ | 1,144,421 | | | $ | — | | | $ | — | | | $ | 1,144,421 | |
Institutional Tax Free Money Market Fund | | | 93 | | | | — | | | | 11,791 | | | | 11,884 | |
Securities Lending Money Market Fund | | | 75,337 | | | | — | | | | — | | | | 75,337 | |
Liquid Assets Money Market Fund | | | 154,275 | | | | — | | | | — | | | | 154,275 | |
U.S. Government Money Market Fund | | | 2,820,670 | | | | — | | | | — | | | | 2,820,670 | |
U.S. Treasury Plus Money Market Fund | | | 552,405 | | | | — | | | | — | | | | 552,405 | |
Federal Money Market Fund | | | 52,009 | | | | — | | | | — | | | | 52,009 | |
100% U.S. Treasury Securities Money Market Fund | | | 1,072,186 | | | | 39 | | | | — | | | | 1,072,225 | |
Tax Free Money Market Fund | | | 246 | | | | 356 | | | | 159,391 | | | | 159,993 | |
Municipal Money Market Fund | | | 77 | | | | 79 | | | | 30,383 | | | | 30,539 | |
California Municipal Money Market Fund | | | 154 | | | | 90 | | | | 4,770 | | | | 5,014 | |
New York Municipal Money Market Fund | | | 265 | | | | 20 | | | | 21,473 | | | | 21,758 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 163 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The tax character of distributions paid during the year ended February 28, 2019 was as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Ordinary
Income* | | | Net
Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total
Distributions
Paid | |
Prime Money Market Fund | | $ | 884,662 | | | $ | — | | | $ | — | | | $ | 884,662 | |
Institutional Tax Free Money Market Fund | | | 47 | | | | — | | | | 7,821 | | | | 7,868 | |
Securities Lending Money Market Fund | | | 15,410 | | | | — | | | | — | | | | 15,410 | |
Liquid Assets Money Market Fund | | | 64,686 | | | | — | | | | — | | | | 64,686 | |
U.S. Government Money Market Fund | | | 2,578,970 | | | | — | | | | — | | | | 2,578,970 | |
U.S. Treasury Plus Money Market Fund | | | 506,910 | | | | — | | | | — | | | | 506,910 | |
Federal Money Market Fund | | | 58,386 | | | | — | | | | — | | | | 58,386 | |
100% U.S. Treasury Securities Money Market Fund | | | 746,574 | | | | — | | | | — | | | | 746,574 | |
Tax Free Money Market Fund | | | 1,060 | | | | 326 | | | | 196,266 | | | | 197,652 | |
Municipal Money Market Fund | | | 57 | | | | 206 | | | | 33,595 | | | | 33,858 | |
California Municipal Money Market Fund | | | 51 | | | | 109 | | | | 2,932 | | | | 3,092 | |
New York Municipal Money Market Fund | | | 6 | | | | 37 | | | | 8,048 | | | | 8,091 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 29, 2020, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Current
Distributable
Ordinary
Income | | | Current
Distributable
Long-Term
Capital Gain
(Tax Basis
Capital
Loss Carryover) | | | Tax Exempt
Income | | | Unrealized
Appreciation
(Depreciation) | |
Prime Money Market Fund | | $ | 64,619 | | | $ | — | | | $ | — | | | $ | 22,109 | |
Institutional Tax Free Money Market Fund | | | 3 | | | | — | | | | 824 | | | | 81 | |
Securities Lending Money Market Fund | | | 4,830 | | | | — | | | | — | | | | 814 | |
Liquid Assets Money Market Fund | | | 8,106 | | | | — | | | | — | | | | — | |
U.S. Government Money Market Fund | | | 92,933 | | | | (2,409 | ) | | | — | | | | (25 | ) |
U.S. Treasury Plus Money Market Fund | | | 16,890 | | | | (191 | ) | | | — | | | | (178 | ) |
Federal Money Market Fund | | | 2,187 | | | | — | | | | — | | | | — | |
100% U.S. Treasury Securities Money Market Fund | | | 52,768 | | | | — | | | | — | | | | (124 | ) |
Tax Free Money Market Fund | | | — | | | | 6 | | | | 7,633 | | | | — | |
Municipal Money Market Fund | | | 2 | | | | — | | | | 543 | | | | — | |
California Municipal Money Market Fund | | | 16 | | | | — | | | | 291 | | | | — | |
New York Municipal Money Market Fund | | | 174 | | | | 32 | | | | 1,481 | | | | — | |
The cumulative timing differences primarily consist of distributions payable.
As of February 29, 2020, the following Funds had the following net capital loss carryforwards (amounts in thousands):
| | | | | | | | |
| | | Capital Loss
Carryforward Character | |
| | | Short-Term | | | Long-Term | |
U.S. Government Money Market Fund | | $ | 2,409 | | | $ | — | |
U.S. Treasury Plus Money Market Fund | | | 191 | | | | — | |
Net capital losses incurred after October 31 within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. As of February 29, 2020, the following Funds deferred to March 1, 2020 the following net capital losses of (amounts in thousands):
| | | | | | | | | | | | |
| | | Net Capital Losses (Gains) | | | Late Year Ordinary
Loss Deferral | |
| | | Short-Term | | | Long-Term | |
U.S. Government Money Market Fund | | $ | — | | | $ | 1,880 | | | $ | — | |
U.S. Treasury Plus Money Market Fund | | | (343 | ) | | | 406 | | | | — | |
100% U.S. Treasury Securities Money Market Fund | | | 36 | | | | 56 | | | | — | |
California Municipal Money Market Fund | | | — | | | | — | | | | — | (a) |
| (a) | Amount rounds to less than one thousand. |
| | | | | | |
| | | |
| 164 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
During the year ended February 29, 2020, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Utilized | |
| | | Short-Term | | | Long-Term | |
U.S. Government Money Market Fund | | $ | 83 | | | $ | 9 | |
100% U.S. Treasury Securities Money Market Fund | | | 118 | | | | — | |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
As of February 29, 2020, the Funds had no outstanding loans to another fund. Average loans made to another fund under the Facility for the year ended February 29, 2020, were as follows (amounts in thousands, except number of days outstanding):
| | | | | | | | | | | | |
| | | Average
Loans | | | Number of
Days Outstanding | | | Interest
Earned | |
Liquid Assets Money Market Fund | | $ | 20,093 | | | | 96 | | | $ | 194 | |
Interest earned as a result of lending money to another fund for the year ended February 29, 2020, if any, is included in Income from interfund lending (net) on the Statements of Operations.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 29, 2020.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of February 29, 2020, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | | | | | | | | | |
| | | Number of
individual
shareholder
and/or
Affiliated
Omnibus
Accounts | | | % of
the
Fund | | | Number of
individual
shareholder
and/or
Non-Affiliated
Omnibus
Accounts | | | % of
the
Fund | |
Prime Money Market Fund | | | 1 | | | | 64.6 | % | | | — | | | | — | |
Institutional Tax Free Money Market Fund | | | 1 | | | | 99.8 | | | | — | | | | — | |
Securities Lending Money Market Fund | | | — | | | | — | | | | 1 | | | | 100.0 | % |
Liquid Assets Money Market Fund | | | 1 | | | | 57.2 | | | | — | | | | — | |
U.S. Government Money Market Fund | | | 1 | | | | 30.3 | | | | — | | | | — | |
U.S. Treasury Plus Money Market Fund | | | 1 | | | | 17.6 | | | | 3 | | | | 49.9 | |
Federal Money Market Fund | | | 1 | | | | 61.3 | | | | 1 | | | | 20.5 | |
100% U.S. Treasury Securities Money Market Fund | | | 1 | | | | 46.0 | | | | — | | | | — | |
Tax Free Money Market Fund | | | 1 | | | | 45.6 | | | | 1 | | | | 43.1 | |
Municipal Money Market Fund | | | 1 | | | | 30.0 | | | | 1 | | | | 61.3 | |
California Municipal Money Market Fund | | | 2 | | | | 80.2 | | | | 1 | | | | 11.7 | |
New York Municipal Money Market Fund | | | 2 | | | | 96.1 | | | | — | | | | — | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 165 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
The Institutional Tax Free Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund invest primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. The California Municipal Money Market Fund and New York Municipal Money Market Fund primarily invest in issuers in the States of California and New York, respectively. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Institutional Tax Free Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund’s ability to collect principal and interest, in the event of an issuer’s default, may be limited if the private insurer does not have the wherewithal to satisfy its obligation.
The profitability of banks depends largely on the availability and cost of funds, which can change depending upon economic conditions. Banks are also exposed to losses if borrowers cannot repay their loans.
The Institutional Tax Free Money Market Fund, Tax Free Money Market Fund, Municipal Money Market Fund, California Municipal Money Market Fund and New York Municipal Money Market Fund invest in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
The London InterBank Offered Rate (“LIBOR”) is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Subsequent Event
Subsequent to February 29, 2020, Municipal Money Market Fund and New York Municipal Money Market Fund had net redemptions of $513,079,000 and $791,053,000, which represented 25% and 29%, respectively, of the Funds’ net assets as of February 29, 2020.
| | | | | | |
| | | |
| 166 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Boards of Trustees of JPMorgan Trust I, JPMorgan Trust II and JPMorgan Trust IV and Shareholders of JPMorgan Prime Money Market Fund, JPMorgan Institutional Tax Free Money Market Fund, JPMorgan Securities Lending Money Market Fund, JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund.
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Prime Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund (six of the funds constituting JPMorgan Trust I), JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund and JPMorgan Municipal Money Market Fund (four of the funds constituting JPMorgan Trust II) and JPMorgan Institutional Tax Free Money Market Fund and JPMorgan Securities Lending Money Market Fund (two of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations for the year ended February 29, 2020 and the statements of changes in net assets and the financial highlights for each of the periods indicated in the table below, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations for the year then ended and the changes in each of their net assets and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | |
JPMorgan Prime Money Market Fund, JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan U.S. Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Municipal Money Market Fund, JPMorgan California Municipal Money Market Fund and JPMorgan New York Municipal Money Market Fund | | Statements of changes in net assets for each of the two years in the period ended February 29, 2020 and the financial highlights for each of the periods indicated therein |
JPMorgan Institutional Tax Free Money Market Fund | | Statement of changes in net assets and the financial highlights for the year ended February 29, 2020 and the period March 1, 2018 (commencement of operations) through February 28, 2019 |
JPMorgan Securities Lending Money Market Fund | | Statement of changes in net assets and the financial highlights for the year ended February 29, 2020 and the period September 19, 2018 (commencement of operations) through February 28, 2019 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
April 28, 2020
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 167 | |
TRUSTEES
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| | | | | | |
Name (Year of Birth); Positions With the Funds(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees | | |
| | | |
| John F. Finn (1947); Chairman since 2020; Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles1974-present). | | 127 | | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH)(1994-2014). |
| | | |
| Stephen P. Fisher (1959); Trustee of Trusts since 2018. | | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent)(2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust(2007-2017), MainStay DefinedTerm Municipal Opportunities Fund(2011-2017) and MainStay Funds Trust(2007-2017) (registered investment companies). | | 127 | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York(2017-present). |
| | | |
| Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | 127 | | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, Fiduciary Solutions, State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). |
| | | |
| Dennis P. Harrington* (1950); Trustee of Trusts since 2017. | | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | | 127 | | None |
| | | |
| Frankie D. Hughes (1952); Trustee of Trusts since 2008. | | President, Ashland Hughes Properties (property management)(2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management)(1993-2014). | | 127 | | None |
| | | | | | |
| | | |
| 168 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | |
Name (Year of Birth); Positions With the Funds(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | | |
| | | |
Raymond Kanner** (1953); Trustee of Trusts since 2017. | | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds(2007-2016). | | 127 | | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
| | | |
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | | Self-employed business consultant
(2002-present). | | 127 | | None |
| | | |
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management)(2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management)(2003-2007); President, Excelsior Funds (registered investment companies)(2004-2005). | | 127 | | None |
| | | |
| Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | | Vice President of Administration and Planning, Northwestern University(1985-present). | | 127 | | None |
| | | |
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (serving in various roles 1981-2006). | | 127 | | Director, Sun Life Financial (SLF) (financial services and insurance)(2007-2013). |
| | | |
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | | 127 | | Trustee and Vice Chair, Trout Unlimited(2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). |
| | | |
| Marian U. Pardo*** (1946); Trustee of Trusts since 2013. | | Managing Director and Founder, Virtual Capital Management LLC (investment consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | | 127 | | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 169 | |
TRUSTEES
(Unaudited) (continued)
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (127 funds). |
| * | Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
| ** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
| *** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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| 170 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
OFFICERS
(Unaudited)
| | |
Name (Year of Birth), Positions Held with the Trusts (Since) | | Principal Occupations During Past 5 Years |
| |
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016) | | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014). |
| |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. |
| |
Gregory S. Samuels (1980),
Secretary (2019) (formerly Assistant Secretary since 2010)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. |
| |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005) | | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
| |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. |
| |
Jessica K. Ditullio (1962),
Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
| |
Anthony Geron (1971),
Assistant Secretary (2018)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
| |
Carmine Lekstutis (1980),
Assistant Secretary (2011)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. |
| |
Keri E. Riemer (1976),
Assistant Secretary (2019)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016). |
| |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. |
| |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2012) | | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. |
| |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2012. |
| |
Shannon Gaines (1977),
Assistant Treasurer (2018)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. |
| |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. |
| |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. |
| |
Joseph Parascondola (1963),
Assistant Treasurer (2011)* | | Executive Director, J.P. Morgan Investment Management, Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from August 2006 to January 2020. |
| |
Gillian I. Sands (1969),
Assistant Treasurer (2012)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| ** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 171 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, September 1, 2019, and continued to hold your shares at the end of the reporting period, February 29, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
JPMorgan Prime Money Market Fund | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,005.40 | | | $ | 4.84 | | | | 0.97 | % |
Hypothetical* | | | 1,000.00 | | | | 1,020.04 | | | | 4.87 | | | | 0.97 | |
Academy | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.40 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.10 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.40 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
IM | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.60 | | | | 0.75 | | | | 0.15 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.12 | | | | 0.75 | | | | 0.15 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.20 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.80 | | | | 2.55 | | | | 0.51 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.33 | | | | 2.56 | | | | 0.51 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.10 | | | | 2.25 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.90 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
| | | | | | |
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| 172 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
JPMorgan Institutional Tax Free Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,004.90 | | | $ | 1.30 | | | | 0.26 | % |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.20 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
IM | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.30 | | | | 0.80 | | | | 0.16 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.07 | | | | 0.81 | | | | 0.16 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.10 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
| | | | |
JPMorgan Securities Lending Money Market Fund | | | | | | | | | | | | | | | | |
Agency SL | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.80 | | | | 0.05 | | | | 0.01 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.81 | | | | 0.05 | | | | 0.01 | |
| | | | |
JPMorgan Liquid Assets Money Market Fund | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.20 | | | | 4.84 | | | | 0.97 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.04 | | | | 4.87 | | | | 0.97 | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.80 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.20 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,009.00 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Investor | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.50 | | | | 2.55 | | | | 0.51 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.33 | | | | 2.56 | | | | 0.51 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.10 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.80 | | | | 2.25 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.60 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
| | | | |
JPMorgan U.S. Government Money Market Fund | | | | | | | | | | | | | | | | |
Academy | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.10 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.70 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.10 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 173 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
JPMorgan U.S. Government Money Market Fund (continued) | | | | | | | | | | | | | | | | |
E*Trade | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,004.00 | | | $ | 4.98 | | | | 1.00 | % |
Hypothetical* | | | 1,000.00 | | | | 1,019.89 | | | | 5.02 | | | | 1.00 | |
IM | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.30 | | | | 0.75 | | | | 0.15 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.12 | | | | 0.75 | | | | 0.15 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.00 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Investor | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.50 | | | | 2.49 | | | | 0.50 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.38 | | | | 2.51 | | | | 0.50 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.10 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.80 | | | | 2.25 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.50 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
Service | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.80 | | | | 5.23 | | | | 1.05 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.64 | | | | 5.27 | | | | 1.05 | |
| | | | |
JPMorgan U.S. Treasury Plus Money Market Fund | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.00 | | | | 4.83 | | | | 0.97 | |
Hypothetical* | | | 1,000.00 | | | | 1,020.04 | | | | 4.87 | | | | 0.97 | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.60 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.00 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
IM | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,008.20 | | | | 0.70 | | | | 0.14 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.17 | | | | 0.70 | | | | 0.14 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.90 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Investor | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.40 | | | | 2.49 | | | | 0.50 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.38 | | | | 2.51 | | | | 0.50 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.90 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.70 | | | | 2.20 | | | | 0.44 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.68 | | | | 2.21 | | | | 0.44 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.40 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
| | | | | | |
| | | |
| 174 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
JPMorgan Federal Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,007.70 | | | $ | 1.30 | | | | 0.26 | % |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.90 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.00 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.70 | | | | 2.25 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
| | | | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.50 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Capital | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.90 | | | | 0.90 | | | | 0.18 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.97 | | | | 0.91 | | | | 0.18 | |
IM | | | | | | | | | | | | | | | | |
Actual** | | | 1,000.00 | | | | 1,001.80 | | | | 0.19 | | | | 0.15 | |
Hypothetical* | | | 1,000.00 | | | | 1,024.12 | | | | 0.75 | | | | 0.15 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,007.80 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.80 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,006.60 | | | | 2.25 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.30 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
| | | | |
JPMorgan Tax Free Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.90 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.10 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.20 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.00 | | | | 2.24 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,002.70 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
| | | | |
JPMorgan Municipal Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.10 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 175 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period | | | Annualized
Expense
Ratio | |
JPMorgan Municipal Money Market Fund (continued) | | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | $ | 1,000.00 | | | $ | 1,005.30 | | | $ | 1.05 | | | | 0.21 | % |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.40 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.10 | | | | 2.24 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Service | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,001.20 | | | | 5.17 | | | | 1.04 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.69 | | | | 5.22 | | | | 1.04 | |
| | | | |
JPMorgan California Municipal Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.80 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.00 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.10 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.80 | | | | 2.24 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Service | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,001.00 | | | | 5.12 | | | | 1.03 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.74 | | | | 5.17 | | | | 1.03 | |
| | | | |
JPMorgan New York Municipal Money Market Fund | | | | | | | | | | | | | | | | |
Agency | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,004.80 | | | | 1.30 | | | | 0.26 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.57 | | | | 1.31 | | | | 0.26 | |
Institutional Class | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,005.00 | | | | 1.05 | | | | 0.21 | |
Hypothetical* | | | 1,000.00 | | | | 1,023.82 | | | | 1.06 | | | | 0.21 | |
Morgan | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.10 | | | | 2.94 | | | | 0.59 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.93 | | | | 2.97 | | | | 0.59 | |
Premier | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,003.80 | | | | 2.24 | | | | 0.45 | |
Hypothetical* | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Reserve | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,002.60 | | | | 3.49 | | | | 0.70 | |
Hypothetical* | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
Service | | | | | | | | | | | | | | | | |
Actual* | | | 1,000.00 | | | | 1,000.90 | | | | 5.17 | | | | 1.04 | |
Hypothetical* | | | 1,000.00 | | | | 1,019.69 | | | | 5.22 | | | | 1.04 | |
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 46/366 (to reflect the one-half year period). Commencement of operations was January 15, 2020. |
| | | | | | |
| | | |
| 176 | | | | J.P. MORGAN MONEY MARKET FUNDS | | FEBRUARY 29, 2020 |
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2020. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2020. The information necessary to complete your income tax returns for the calendar year ending December 31, 2020 will be provided under separate cover.
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 29, 2020 (amounts in thousands):
| | | | |
| | | Long-Term Capital Gain
Distribution | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund | | $ | 39 | |
JPMorgan Tax Free Money Market Fund | | | 356 | |
JPMorgan Municipal Money Market Fund | | | 79 | |
JPMorgan California Municipal Money Market Fund | | | 90 | |
JPMorgan New York Municipal Money Market Fund | | | 20 | |
Qualified Interest Income (QII) and Short Term Capital Gain
Each fund listed below paid the following amount, or maximum allowable amount, of ordinary distributions treated as qualified interest income and short-term capital gains for the fiscal year ended February 29, 2020 (amounts in thousands):
| | | | | | | | |
| | | Qualified
Interest
Income | | | Short-Term Capital Gain | |
JPMorgan Prime Money Market Fund | | $ | 628,367 | | | $ | 45 | |
JPMorgan Liquid Assets Money Market Fund | | | 87,101 | | | | 14 | |
JPMorgan U.S. Government Money Market Fund | | | 2,820,670 | | | | — | |
JPMorgan U.S. Treasury Plus Money Market Fund | | | 552,405 | | | | — | |
JPMorgan Federal Money Market Fund | | | 51,911 | | | | 98 | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund | | | 1,071,522 | | | | 664 | |
Tax-Exempt Income
Each fund listed below had the following amount, or maximum allowable amount, of dividends paid from investment income exempt from federal income tax for the fiscal year ended February 29, 2020 (amounts in thousands):
| | | | |
| | | Exempt
Distributions
Paid | |
JPMorgan Institutional Tax Free Money Market Fund | | $ | 11,791 | |
JPMorgan Tax Free Money Market Fund | | | 159,391 | |
JPMorgan Municipal Money Market Fund | | | 30,383 | |
JPMorgan California Municipal Money Market Fund | | | 4,770 | |
JPMorgan New York Municipal Money Market Fund | | | 21,473 | |
Treasury Income
Each fund listed below had the following percentage, or maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2020:
| | | | |
| | | Income
from U.S.
Treasury
Obligations | |
JPMorgan Prime Money Market Fund | | | 2.2 | % |
JPMorgan Securities Lending Money Market Fund | | | 2.3 | |
JPMorgan Liquid Assets Money Market Fund | | | 1.8 | |
JPMorgan U.S. Government Money Market Fund | | | 10.7 | |
JPMorgan U.S. Treasury Plus Money Market Fund | | | 37.4 | |
JPMorgan Federal Money Market Fund | | | 22.4 | |
JPMorgan 100% U.S. Treasury Securities Money Market Fund | | | 98.0 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MONEY MARKET FUNDS | | | | | 177 | |
Rev. January 2011
| | |
| | |
| FACTS | | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| | |
| Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| | |
| What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number and account balances ◾ transaction history and account transactions ◾ checking account information and wire transfer instructions When you areno longer our customer, we continue to share your information as described in this notice. |
| | |
| How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| | | | |
| | | |
| Reasons we can share your personal information | | Does J.P. Morgan
Funds share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
For marketing purposes — to offer our products and services to you | | Yes | | No |
| For joint marketing with other financial companies | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| | |
| | |
| Questions? | | Call1-800-480-4111 or go to www.jpmorganfunds.com |
| | |
| |
| Who we are |
| Who is providing this notice? | | J.P. Morgan Funds |
| | |
| |
| What we do |
| How does J.P. Morgan Funds protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | | We collect your personal information, for example, when you: ◾ open an account or provide contact information ◾ give us your account information or pay us by check ◾ make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies. |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
| | |
| |
| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with our affiliates. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. |
| Joint Marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ◾ J.P. Morgan Funds doesn’t jointly market. |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 (retail investors) or1-800-766-7722 (institutional investors) and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| | | | |
| | © JPMorgan Chase & Co., 2020. All rights reserved. February 2020. | | AN-MMKT-220 |
Annual Report
J.P. Morgan SMA Funds
February 29, 2020
JPMorgan Core Focus SMA Fund
CONTENTS
Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.
Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-766-7722 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
LETTER TO SHAREHOLDERS
April 3, 2020 (Unaudited)
Dear Shareholders,
Amid the unprecedented global response to theCOVID-19 pandemic, all of us at J.P. Morgan Asset Management sincerely hope that you and your loved ones are safe and healthy. We continue to closely monitor the situation globally and implement protocols and processes based on recommendations from relevant authorities aimed at protecting our clients, shareholders, employees, businesses and the broader public health.
| | |
 | | “Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.”
— Andrea L. Lisher |
We want to assure you that J.P. Morgan Asset Management is deeply committed to protecting and serving our clients and shareholders through this crisis. We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test
our resiliency capabilities and core functions. Past events, such as hurricanes or other emergencies, have helped to prepare us for rare events, includingmulti-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and digital channels.
Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 1 | |
JPMorgan Core Focus SMA Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund* | | | 9.73% | |
| Bloomberg Barclays U.S. Aggregate Index | | | 11.68% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) | | $ | 28,481,412 | |
| Duration as of 2/29/2020 | | | 4.0 Years | |
INVESTMENT OBJECTIVE**
The JPMorgan Core Focus SMA Fund (the “Fund”) seeks to maximize total return.
HOW DID THE MARKET PERFORM?
Overall, interest rates declined during the reporting period amid slowing but still positive growth in the U.S. economy. Financial markets largely rallied in the first months of the reporting period, but investor concerns about slowing global economic growth and an increase in U.S.-China trade tensions drove an increase in market volatility and weighed down asset prices toward the middle of the period.
Amid market volatility, investors flocked to longer-dated U.S. Treasury bonds in August, which drove the yields on the30-year U.S. Treasury bond below 2% for the first time. More notably, yields on10-year U.S. Treasury bonds fell below yields ontwo-year U.S. Treasury bonds for the first time since 2007.
By late 2019 and into early 2020, financial markets strengthened on the back of positive developments in U.S.-China trade negotiations. However, in the final weeks of the reporting period those trade concerns were replaced by investor worries about the impact ofCOVID-19. Global bond and equity markets experienced sharp declines in late February 2020.
U.S. Treasury bonds generally benefitted as investors sought a perceived safe haven amid volatile markets. By the end of the reporting period, demand for10-year Treasury bonds had pushed their yield to a record low 1.1%. For the twelve months ended February 29, 2020, the Bloomberg Barclays U.S. Aggregate Index returned 11.68%.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays US Aggregate Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s underweight allocation to the20-to-30 year portion of the yield curve, which benefitted the most from falling interest rates during the period, was a leading detractor from performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
The Fund’s overweight allocations to asset-backed securities,non-agency mortgage-backed securities and commercial mortgage-backed securities were leading contributors to relative performance amid investor demand for asset classes with relatively attractive yields.
HOW WAS THE FUND POSITIONED?
The Fund was invested primarily in a diversified portfolio of corporate bonds, U.S. government and agency securities, asset-backed securities, and mortgage-related and mortgage-backed securities.
| | | | |
PORTFOLIO COMPOSITION*** | |
| Asset-Backed Securities | | | 29.5 | % |
| Collateralized Mortgage Obligations | | | 27.2 | |
| Corporate Bonds | | | 23.8 | |
| Commercial Mortgage-Backed Securities | | | 6.4 | |
| U.S. Treasury Obligations | | | 2.5 | |
| Mortgage-Backed Securities | | | 1.5 | |
| Short-Term Investments | | | 9.1 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
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| 2 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | |
| | | INCEPTION DATE OF
FUND | | | 1 YEAR | | | SINCE INCEPTION | |
JPMORGAN CORE FOCUS SMA FUND | | | March 1, 2018 | | | | 9.73 | % | | | 6.77 | % |
LIFE OF FUND PERFORMANCE (3/1/18 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-766-7722.
The Fund commenced operations on March 1, 2018.
The graph illustrates comparative performance for $10,000 invested in the JPMorgan Core Focus SMA Fund and the Bloomberg Barclays U.S. Aggregate Index from March 1, 2018 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable and dollar denominated. The Bloomberg Barclays U.S. Aggregate Index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
The Fund is offered as a component of the JPMorgan Core Focus SMA Managed Account Strategy (“SMA Strategy”) to participants in separately managed account programs. The SMA Strategy consists of a separately managed account that holds both the Fund and other securities and investments directly for the SMA clients. As a result, the Fund will not hold all of the core bond investments of the SMA Strategy but rather will invest in certain securities and investments that can be traded more efficiently if held by an investment company rather than directly. Since the Fund will be used as part of a SMA Strategy, it is not intended to be a stand-alone core bond investment strategy.
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| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 3 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Asset-Backed Securities — 29.4% | |
| |
American Credit Acceptance Receivables Trust | | | | | |
| | |
Series2016-3, Class C, 4.26%, 8/12/2022 (a) | | | 28,884 | | | | 28,951 | |
| | |
Series2019-3, Class A, 2.44%, 12/12/2022 (a) | | | 67,002 | | | | 67,219 | |
| | |
Series2017-1, Class D, 3.54%, 3/13/2023 (a) | | | 201,942 | | | | 203,752 | |
| | |
Series2020-1, Class B, 2.08%, 12/13/2023 (a) | | | 94,000 | | | | 94,437 | |
| | |
AmeriCredit Automobile ReceivablesSeries 2015-4, Class D, 3.72%, 12/8/2021 | | | 225,000 | | | | 225,865 | |
| | |
B2R Mortgage Trust Series2015-2, Class A, 3.34%, 11/15/2048 (a) | | | 19,839 | | | | 19,902 | |
| |
Business Jet Securities LLC | | | | | |
| | |
Series2018-2, Class A, 4.45%, 6/15/2033 (a) | | | 141,850 | | | | 145,662 | |
| | |
Series2018-2, Class B, 5.44%, 6/15/2033 (a) | | | 146,633 | | | | 150,968 | |
| | |
Series2019-1, Class A, 4.21%, 7/15/2034 (a) | | | 115,569 | | | | 118,933 | |
| | |
CarMax Auto Owner Trust Series2020-1, Class B, 2.21%, 9/15/2025 | | | 112,000 | | | | 114,644 | |
| | |
CoreVest American Finance TrustSeries 2019-2, Class B, 3.42%, 6/15/2052 ‡ (a) | | | 250,000 | | | | 269,278 | |
| | |
CPS Auto Receivables Trust | | | | | | | | |
| | |
Series2015-B, Class C, 4.20%, 5/17/2021 (a) | | | 89,673 | | | | 90,189 | |
| | |
Series2018-B, Class B, 3.23%, 7/15/2022 (a) | | | 83,704 | | | | 84,016 | |
| | |
Series2019-C, Class B, 2.63%, 8/15/2023 (a) | | | 130,000 | | | | 131,791 | |
| |
Credit Acceptance Auto Loan Trust | | | | | |
| | |
Series2018-2A, Class A, 3.47%, 5/17/2027 (a) | | | 250,000 | | | | 254,099 | |
| | |
Series2020-1A, Class A, 2.01%, 2/15/2029 (a) | | | 250,000 | | | | 252,261 | |
| |
DT Auto Owner Trust | | | | | |
| | |
Series2017-1A, Class D, 3.55%, 11/15/2022 (a) | | | 95,297 | | | | 95,924 | |
| | |
Series2018-1A, Class D, 3.81%, 12/15/2023 (a) | | | 88,000 | | | | 89,741 | |
| | |
Series2020-1A, Class B, 2.16%, 5/15/2024 (a) | | | 50,000 | | | | 50,427 | |
| | |
Series2019-1A, Class C, 3.61%, 11/15/2024 (a) | | | 90,000 | | | | 92,230 | |
| | |
Series2019-2A, Class C, 3.18%, 2/18/2025 (a) | | | 190,000 | | | | 194,581 | |
| |
Exeter Automobile Receivables Trust | | | | | |
| | |
Series2018-2A, Class B, 3.27%, 5/16/2022 (a) | | | 25,712 | | | | 25,750 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | |
Series2019-4A, Class A, 2.18%, 1/17/2023 (a) | | | 145,969 | | | | 146,379 | |
| | |
Series2019-3A, Class B, 2.58%, 8/15/2023 (a) | | | 195,000 | | | | 197,393 | |
| | |
Series2020-1A, Class B, 2.26%, 4/15/2024 (a) | | | 40,000 | | | | 40,482 | |
| |
First Investors Auto Owner Trust | | | | | |
| | |
Series2016-2A, Class C, 2.53%, 7/15/2022 (a) | | | 200,000 | | | | 200,733 | |
| | |
Series2018-1A, Class A2, 3.22%, 1/17/2023 (a) | | | 45,000 | | | | 45,177 | |
| | |
Series2019-1A, Class B, 3.02%, 3/17/2025 (a) | | | 120,000 | | | | 123,580 | |
| |
Flagship Credit Auto Trust | | | | | |
| | |
Series2016-2, Class C, 6.22%, 9/15/2022 (a) | | | 100,000 | | | | 102,596 | |
| | |
Series2017-2, Class B, 2.57%, 4/15/2023 (a) | | | 64,104 | | | | 64,235 | |
| | |
Series2018-2, Class B, 3.56%, 5/15/2023 (a) | | | 150,000 | | | | 153,374 | |
| | |
Series2019-1, Class A, 3.11%, 8/15/2023 (a) | | | 166,984 | | | | 169,027 | |
| | |
Series2019-2, Class A, 2.83%, 10/16/2023 (a) | | | 205,923 | | | | 208,260 | |
| | |
Series2017-4, Class C, 2.92%, 11/15/2023 (a) | | | 400,000 | | | | 406,979 | |
| | |
Series2019-3, Class B, 2.48%, 8/15/2024 (a) | | | 225,000 | | | | 228,984 | |
| | |
Series2019-1, Class D, 4.08%, 2/18/2025 (a) | | | 167,000 | | | | 177,225 | |
| |
FREED ABS Trust | | | | | |
| | |
Series2018-2, Class A, 3.99%, 10/20/2025 (a) | | | 35,333 | | | | 35,654 | |
| | |
Series2020-FP1, Class A, 2.52%, 3/18/2027 (a) | | | 115,000 | | | | 115,405 | |
| |
GLS Auto Receivables Issuer Trust | | | | | |
| | |
Series2019-1A, Class A, 3.37%, 1/17/2023 (a) | | | 29,796 | | | | 30,035 | |
| | |
Series2019-2A, Class A, 3.06%, 4/17/2023 (a) | | | 51,685 | | | | 52,109 | |
| | |
Series2019-3A, Class A, 2.58%, 7/17/2023 (a) | | | 102,239 | | | | 102,986 | |
| |
GLS Auto Receivables Trust | | | | | |
| | |
Series2018-3A, Class A, 3.35%, 8/15/2022 (a) | | | 35,415 | | | | 35,594 | |
| | |
Series2018-3A, Class B, 3.78%, 8/15/2023 (a) | | | 125,000 | | | | 127,668 | |
| | |
Goodgreen (Cayman Islands)Series 2018-1A, Class A, 3.93%, 10/15/2053 (a) (b) | | | 138,256 | | | | 148,439 | |
SEE NOTES TO FINANCIAL STATEMENTS.
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| 4 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
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| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Asset-Backed Securities — continued | |
| | |
HERO Funding (Cayman Islands)Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a) | | | 77,286 | | | | 81,320 | |
| | |
Hyundai Auto Lease Securitization Trust Series2019-A, Class A3, 2.98%, 7/15/2022 (a) | | | 150,000 | | | | 152,494 | |
| | |
Lendmark Funding Trust Series2019-1A, Class A, 3.00%, 12/20/2027 (a) | | | 175,000 | | | | 179,416 | |
| |
Marlette Funding Trust | | | | | |
| | |
Series2018-2A, Class A, 3.06%, 7/17/2028 (a) | | | 2,925 | | | | 2,927 | |
| | |
Series2019-1A, Class A, 3.44%, 4/16/2029 (a) | | | 152,773 | | | | 154,616 | |
| | |
Series2020-1A, Class A, 2.24%, 3/15/2030 (a) | | | 200,000 | | | | 200,917 | |
| | |
OnDeck Asset Securitization Trust LLCSeries 2018-1A, Class A, 3.50%, 4/18/2022 (a) | | | 104,000 | | | | 104,327 | |
| | |
OneMain Direct Auto Receivables TrustSeries 2017-2A, Class B, 2.55%, 11/14/2023 (a) | | | 85,709 | | | | 85,828 | |
| | |
OneMain Financial Issuance TrustSeries 2016-1A, Class A, 3.66%, 2/20/2029 (a) | | | 5,281 | | | | 5,288 | |
| | |
Progress Residential Trust Series 2015-SFR3, Class A, 3.07%, 11/12/2032 ‡ (a) | | | 98,694 | | | | 98,761 | |
| |
Prosper Marketplace Issuance Trust | | | | | |
| | |
Series2018-2A, Class A, 3.35%, 10/15/2024 (a) | | | 14,264 | | | | 14,292 | |
| | |
Series2019-3A, Class A, 3.19%, 7/15/2025 (a) | | | 85,178 | | | | 85,730 | |
| |
Santander Drive Auto Receivables Trust | | | | | |
| | |
Series2017-1, Class C, 2.58%, 5/16/2022 | | | 22,627 | | | | 22,660 | |
| | |
Series2018-1, Class B, 2.63%, 7/15/2022 | | | 37,823 | | | | 37,851 | |
| | |
Series2017-3, Class C, 2.76%, 12/15/2022 | | | 33,223 | | | | 33,358 | |
| | |
Series2019-1, Class B, 3.21%, 9/15/2023 | | | 90,000 | | | | 90,939 | |
| | |
Santander Retail Auto Lease TrustSeries 2018-A, Class D, 3.75%, 12/20/2022 (a) | | | 200,000 | | | | 202,674 | |
| |
SoFi Consumer Loan Program LLC | | | | | |
| | |
Series2016-3, Class A, 3.05%, 12/26/2025 (a) | | | 19,828 | | | | 19,882 | |
| | |
Series2017-1, Class A, 3.28%, 1/26/2026 (a) | | | 28,424 | | | | 28,560 | |
| | |
Series2017-2, Class A, 3.28%, 2/25/2026 (a) | | | 30,625 | | | | 30,831 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | |
Springleaf Funding Trust Series2015-BA, Class B, 3.80%, 5/15/2028 ‡ (a) | | | 100,000 | | | | 102,533 | |
| | |
Tesla Auto Lease Trust Series2018-B, Class A, 3.71%, 8/20/2021 (a) | | | 45,453 | | | | 46,189 | |
| | |
Tidewater Auto Receivables TrustSeries 2018-AA, Class C, 3.84%, 11/15/2024 (a) | | | 250,000 | | | | 255,495 | |
| | |
Towd Point Mortgage Trust Series2017-6, Class A1, 2.75%, 10/25/2057 ‡ (a) (b) | | | 71,474 | | | | 73,270 | |
| |
Vericrest Opportunity Loan Trust | | | | | |
| | |
Series 2019-NPL4, Class A1A, 3.35%, 8/25/2049 ‡ (a) (c) | | | 119,881 | | | | 119,906 | |
| | |
Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050 ‡ (a) (c) | | | 150,000 | | | | 150,941 | |
| | |
Westgate Resorts LLC | | | | | | | | |
| | |
Series2018-1A, Class A, 3.38%, 12/20/2031 (a) | | | 138,824 | | | | 141,230 | |
| | |
Series2018-1A, Class B, 3.58%, 12/20/2031 ‡ (a) | | | 138,824 | | | | 141,214 | |
| | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $8,227,294) | | | | 8,376,383 | |
| | | | | |
Collateralized Mortgage Obligations — 27.1% | |
| |
FHLMC, REMIC | | | | | |
| | |
Series 2488, Class GM, 6.00%, 8/15/2032 | | | 31,738 | | | | 35,347 | |
| | |
Series 4151, Class YC, 2.50%, 1/15/2033 | | | 230,088 | | | | 234,752 | |
| | |
Series 2740, Class PE, 5.50%, 1/15/2034 | | | 115,830 | | | | 134,456 | |
| | |
Series 2943, Class ZC, 5.00%, 2/15/2034 | | | 42,450 | | | | 48,169 | |
| | |
Series 2768, Class PK, 5.00%, 3/15/2034 | | | 37,345 | | | | 40,752 | |
| | |
Series 3237, Class CE, 5.50%, 11/15/2036 | | | 50,000 | | | | 63,186 | |
| | |
Series 3249, Class CB, 4.25%, 12/15/2036 | | | 43,401 | | | | 47,959 | |
| | |
Series 3258, Class XX, 5.50%, 12/15/2036 | | | 53,000 | | | | 61,765 | |
| | |
Series 4031, Class AB, 5.50%, 6/15/2037 | | | 137,729 | | | | 160,459 | |
| | |
Series 3404, Class DC, 5.50%, 1/15/2038 | | | 50,000 | | | | 63,312 | |
| | |
Series 3601, Class HB, 5.00%, 11/15/2039 | | | 25,000 | | | | 30,141 | |
| | |
Series 3626, Class ME, 5.00%, 1/15/2040 | | | 29,000 | | | | 34,577 | |
| | |
Series 3680, Class ZA, 4.50%, 6/15/2040 | | | 144,544 | | | | 161,850 | |
| | |
Series 3777, Class WA, 4.00%, 12/15/2040 | | | 134,412 | | | | 147,409 | |
SEE NOTES TO FINANCIAL STATEMENTS.
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| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 5 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Collateralized Mortgage Obligations — continued | |
| | |
Series 3772, Class NE, 4.50%, 12/15/2040 | | | 180,000 | | | | 223,435 | |
| | |
Series 3939, Class AZ, 4.00%, 3/15/2041 | | | 195,579 | | | | 211,549 | |
| | |
Series 4240, Class DK, 4.00%, 11/15/2042 | | | 72,384 | | | | 79,789 | |
| | |
Series 4283, Class EW, 4.50%, 12/15/2043 (b) | | | 121,273 | | | | 133,278 | |
| |
FNMA, REMIC | | | | | |
| | |
Series2013-17, Class YM, 4.00%, 3/25/2033 | | | 98,452 | | | | 109,683 | |
| | |
Series2003-32, Class UJ, 5.50%, 5/25/2033 | | | 26,309 | | | | 30,040 | |
| | |
Series2003-82, Class Z, 5.50%, 8/25/2033 | | | 44,004 | | | | 50,759 | |
| | |
Series2004-17, Class H, 5.50%, 4/25/2034 | | | 103,992 | | | | 121,812 | |
| | |
Series2004-31, Class MZ, 4.25%, 5/25/2034 | | | 29,259 | | | | 36,444 | |
| | |
Series2004-36, Class CB, 5.00%, 5/25/2034 | | | 28,000 | | | | 31,915 | |
| | |
Series2004-91, Class BR, 5.50%, 12/25/2034 | | | 36,898 | | | | 42,340 | |
| | |
Series2009-13, Class PM, 4.00%, 4/25/2035 | | | 103,618 | | | | 107,833 | |
| | |
Series2005-29, Class WQ, 5.50%, 4/25/2035 | | | 123,740 | | | | 144,199 | |
| | |
Series2005-109, Class GD, 6.00%, 10/25/2035 | | | 18,750 | | | | 20,678 | |
| | |
Series2015-65, Class LD, 3.50%, 1/25/2036 | | | 80,000 | | | | 90,827 | |
| | |
Series2005-122, Class PY, 6.00%, 1/25/2036 | | | 71,000 | | | | 86,221 | |
| | |
Series2006-24, Class Z, 5.50%, 4/25/2036 | | | 120,615 | | | | 136,856 | |
| | |
Series2007-36, Class PH, 5.50%, 4/25/2037 | | | 34,948 | | | | 40,957 | |
| | |
Series2007-60, Class ZB, 4.75%, 5/25/2037 | | | 258,916 | | | | 293,336 | |
| | |
Series2009-42, Class TZ, 4.50%, 3/25/2039 | | | 219,599 | | | | 249,494 | |
| | |
Series2009-66, Class KE, 4.00%, 9/25/2039 | | | 65,755 | | | | 71,217 | |
| | |
Series2009-105, Class DB, 4.50%, 12/25/2039 | | | 25,000 | | | | 30,678 | |
| | |
Series2010-43, Class EM, 5.00%, 5/25/2040 | | | 20,600 | | | | 26,825 | |
| | |
Series2010-87, Class PJ, 3.50%, 6/25/2040 | | | 30,889 | | | | 32,037 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | |
Series2010-59, Class EB, 5.00%, 6/25/2040 | | | 300,000 | | | | 399,333 | |
| | |
Series2011-146, Class LX, 3.50%, 10/25/2040 | | | 200,000 | | | | 213,935 | |
| | |
Series2011-1, Class QA, 4.50%, 10/25/2040 | | | 91,636 | | | �� | 97,738 | |
| | |
Series2010-133, Class GP, 4.00%, 11/25/2040 | | | 250,000 | | | | 292,311 | |
| | |
Series2010-123, Class KU, 4.50%, 11/25/2040 | | | 123,589 | | | | 147,929 | |
| | |
Series2010-129, Class PZ, 4.50%, 11/25/2040 | | | 240,818 | | | | 276,706 | |
| | |
Series2010-136, Class CY, 4.00%, 12/25/2040 | | | 290,000 | | | | 336,371 | |
| | |
Series2010-141, Class AL, 4.00%, 12/25/2040 | | | 188,708 | | | | 208,302 | |
| | |
Series2010-154, Class KZ, 4.50%, 1/25/2041 | | | 44,228 | | | | 61,030 | |
| | |
Series2011-55, Class BZ, 3.50%, 6/25/2041 | | | 169,715 | | | | 187,917 | |
| | |
Series2011-115, Class UC, 4.00%, 11/25/2041 | | | 70,000 | | | | 86,479 | |
| | |
Series2013-114, Class LM, 4.00%, 3/25/2042 | | | 200,000 | | | | 229,414 | |
| | |
Series2012-120, Class PA, 3.50%, 10/25/2042 | | | 86,840 | | | | 93,734 | |
| | |
Series2014-19, Class Z, 4.50%, 4/25/2044 | | | 260,882 | | | | 316,749 | |
| | |
Series2015-61, Class PV, 3.50%, 5/25/2044 | | | 21,592 | | | | 23,454 | |
| | |
Series2016-32, Class PA, 3.00%, 12/25/2045 | | | 148,235 | | | | 158,676 | |
| |
GNMA | | | | | |
| | |
Series2003-46, Class HA, 4.50%, 6/20/2033 | | | 94,171 | | | | 102,330 | |
| | |
Series2004-55, Class MC, 5.50%, 7/20/2034 | | | 22,666 | | | | 25,990 | |
| | |
Series2005-16, Class CA, 5.00%, 2/20/2035 | | | 29,000 | | | | 33,196 | |
| | |
Series2005-17, Class GE, 5.00%, 2/20/2035 | | | 163,009 | | | | 184,690 | |
| | |
Series2008-25, Class AD, 4.50%, 3/20/2038 | | | 116,529 | | | | 127,452 | |
| | |
Series2009-16, Class ZD, 6.00%, 3/20/2039 | | | 155,655 | | | | 181,837 | |
| | |
Series2009-58, Class PA, 4.50%, 7/20/2039 | | | 190,160 | | | | 210,100 | |
| | |
Series2010-69, Class ME, 3.00%, 4/20/2040 | | | 66,471 | | | | 67,703 | |
| | | | | | | | |
| |
Total Collateralized Mortgage Obligations
(Cost $7,048,275) | | | | 7,729,712 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — 23.7% | |
|
Aerospace & Defense — 0.4% | |
| | |
Boeing Co. (The) 3.95%, 8/1/2059 | | | 10,000 | | | | 10,949 | |
| | |
Northrop Grumman Corp. | | | | | | | | |
| | |
3.20%, 2/1/2027 | | | 30,000 | | | | 32,263 | |
| | |
3.85%, 4/15/2045 | | | 20,000 | | | | 22,707 | |
| | |
United Technologies Corp. 4.63%, 11/16/2048 | | | 40,000 | | | | 53,714 | |
| | | | | | | | |
| | |
| | | | | | | 119,633 | |
| | | | | | | | |
|
Automobiles — 0.4% | |
| | |
General Motors Co. 5.15%, 4/1/2038 | | | 30,000 | | | | 30,606 | |
| | |
Hyundai Capital America 3.45%, 3/12/2021 (a) | | | 30,000 | | | | 30,544 | |
| | |
Nissan Motor Acceptance Corp. 3.15%, 3/15/2021 (a) | | | 60,000 | | | | 60,832 | |
| | | | | | | | |
| | |
| | | | | | | 121,982 | |
| | | | | | | | |
|
Banks — 3.4% | |
| | |
Bank of America Corp. (ICE LIBOR USD 3 Month + 0.93%), | | | | | | | | |
| | |
2.82%, 7/21/2023 (d) | | | 65,000 | | | | 66,813 | |
| | |
4.20%, 8/26/2024 | | | 60,000 | | | | 65,866 | |
| | |
5.00%, 1/21/2044 | | | 55,000 | | | | 74,586 | |
| | |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (d) | | | 15,000 | | | | 18,139 | |
| | |
Citigroup, Inc. | | | | | | | | |
| | |
3.75%, 6/16/2024 | | | 41,000 | | | | 44,246 | |
| | |
3.20%, 10/21/2026 | | | 19,000 | | | | 20,228 | |
| | |
8.13%, 7/15/2039 | | | 30,000 | | | | 52,047 | |
| | |
Citizens Financial Group, Inc. 2.38%, 7/28/2021 | | | 50,000 | | | | 50,490 | |
| | |
Commonwealth Bank of Australia (Australia) 3.45%, 3/16/2023 (a) | | | 70,000 | | | | 74,264 | |
| | |
Fifth Third Bancorp 3.65%, 1/25/2024 | | | 35,000 | | | | 37,509 | |
| | |
Huntington Bancshares, Inc. 2.30%, 1/14/2022 | | | 50,000 | | | | 50,480 | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
| | |
3.46%, 3/2/2023 | | | 45,000 | | | | 47,329 | |
| | |
3.78%, 3/2/2025 | | | 45,000 | | | | 49,303 | |
| | |
3.74%, 3/7/2029 | | | 15,000 | | | | 16,819 | |
| | |
Regions Financial Corp. 2.75%, 8/14/2022 | | | 40,000 | | | | 41,076 | |
| | |
Santander UK Group Holdings plc (United Kingdom) 3.13%, 1/8/2021 | | | 30,000 | | | | 30,361 | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
| | |
3.10%, 1/17/2023 | | | 25,000 | | | | 26,083 | |
| | |
3.36%, 7/12/2027 | | | 25,000 | | | | 27,345 | |
| | |
Wells Fargo & Co. | | | | | | | | |
| | |
Series M, 3.45%, 2/13/2023 | | | 70,000 | | | | 73,393 | |
| | |
4.65%, 11/4/2044 | | | 30,000 | | | | 36,503 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
Westpac Banking Corp. (Australia) 2.85%, 5/13/2026 | | | 65,000 | | | | 68,530 | |
| | | | | | | | |
| | |
| | | | | | | 971,410 | |
| | | | | | | | |
|
Beverages — 0.6% | |
| | |
Anheuser-Busch Cos. LLC (Belgium) | | | | | | | | |
| | |
3.65%, 2/1/2026 | | | 30,000 | | | | 32,699 | |
| | |
4.90%, 2/1/2046 | | | 25,000 | | | | 30,891 | |
| | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.90%, 2/1/2046 | | | 10,000 | | | | 12,255 | |
| | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | | | | | | | |
| | |
4.00%, 4/13/2028 | | | 15,000 | | | | 16,912 | |
| | |
4.95%, 1/15/2042 | | | 30,000 | | | | 37,670 | |
| | |
Keurig Dr Pepper, Inc. | | | | | | | | |
| | |
4.60%, 5/25/2028 | | | 15,000 | | | | 17,289 | |
| | |
5.09%, 5/25/2048 | | | 5,000 | | | | 6,355 | |
| | |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | | | 15,000 | | | | 15,579 | |
| | | | | | | | |
| | |
| | | | | | | 169,650 | |
| | | | | | | | |
|
Biotechnology — 0.5% | |
| | |
AbbVie, Inc. | | | | | | | | |
| | |
3.60%, 5/14/2025 | | | 50,000 | | | | 53,936 | |
| | |
4.70%, 5/14/2045 | | | 15,000 | | | | 17,690 | |
| | |
4.88%, 11/14/2048 | | | 15,000 | | | | 18,459 | |
| | |
Gilead Sciences, Inc. | | | | | | | | |
| | |
3.70%, 4/1/2024 | | | 30,000 | | | | 32,282 | |
| | |
4.80%, 4/1/2044 | | | 15,000 | | | | 19,199 | |
| | | | | | | | |
| | |
| | | | | | | 141,566 | |
| | | | | | | | |
|
Building Products — 0.1% | |
| | |
Masco Corp. 4.45%, 4/1/2025 | | | 25,000 | | | | 27,851 | |
| | | | | | | | |
|
Capital Markets — 1.3% | |
| | |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | | | 15,000 | | | | 22,778 | |
| | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
| | |
4.00%, 3/3/2024 | | | 50,000 | | | | 54,352 | |
| | |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (d) | | | 65,000 | | | | 74,139 | |
| | |
Macquarie Group Ltd. (Australia) | | | | | | | | |
| | |
6.25%, 1/14/2021 (a) | | | 30,000 | | | | 31,188 | |
| | |
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (a) (d) | | | 20,000 | | | | 21,955 | |
| | |
Morgan Stanley | | | | | | | | |
| | |
4.00%, 7/23/2025 | | | 90,000 | | | | 99,931 | |
| | |
3.13%, 7/27/2026 | | | 35,000 | | | | 37,301 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 7 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | |
|
Capital Markets — continued | |
| | |
3.95%, 4/23/2027 | | | 25,000 | | | | 27,522 | |
| | | | | | | | |
| | |
| | | | | | | 369,166 | |
| | | | | | | | |
|
Chemicals — 0.6% | |
| | |
DuPont de Nemours, Inc. 4.49%, 11/15/2025 | | | 100,000 | | | | 112,729 | |
| | |
Mosaic Co. (The) | | | | | | | | |
| | |
3.25%, 11/15/2022 | | | 10,000 | | | | 10,398 | |
| | |
4.05%, 11/15/2027 | | | 10,000 | | | | 10,575 | |
| | |
Nutrien Ltd. (Canada) | | | | | | | | |
| | |
3.00%, 4/1/2025 | | | 20,000 | | | | 21,066 | |
| | |
6.13%, 1/15/2041 | | | 20,000 | | | | 26,656 | |
| | | | | | | | |
| | |
| | | | | | | 181,424 | |
| | | | | | | | |
|
Construction Materials — 0.1% | |
| | |
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | | | 30,000 | | | | 32,259 | |
| | | | | | | | |
|
Consumer Finance — 0.5% | |
| | |
American Express Co. 2.50%, 8/1/2022 | | | 30,000 | | | | 30,587 | |
| | |
Capital One Financial Corp. | | | | | | | | |
| | |
4.20%, 10/29/2025 | | | 15,000 | | | | 16,280 | |
| | |
3.75%, 3/9/2027 | | | 25,000 | | | | 27,310 | |
| | |
General Motors Financial Co., Inc. | | | | | | | | |
| | |
4.20%, 3/1/2021 | | | 25,000 | | | | 25,591 | |
| | |
3.25%, 1/5/2023 | | | 20,000 | | | | 20,610 | |
| | |
HSBC Finance Corp. 6.68%, 1/15/2021 | | | 30,000 | | | | 31,182 | |
| | | | | | | | |
| | |
| | | | | | | 151,560 | |
| | | | | | | | |
|
Diversified Financial Services — 0.3% | |
| | |
ORIX Corp. (Japan) 3.70%, 7/18/2027 | | | 30,000 | | | | 33,004 | |
| | |
Shell International Finance BV (Netherlands) 5.50%, 3/25/2040 | | | 25,000 | | | | 34,800 | |
| | |
Voya Financial, Inc. 3.65%, 6/15/2026 | | | 20,000 | | | | 22,126 | |
| | | | | | | | |
| | |
| | | | | | | 89,930 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 1.0% | |
| | |
AT&T, Inc. | | | | | | | | |
| | |
3.00%, 6/30/2022 | | | 25,000 | | | | 25,793 | |
| | |
3.40%, 5/15/2025 | | | 30,000 | | | | 32,007 | |
| | |
5.35%, 9/1/2040 | | | 65,000 | | | | 81,654 | |
| | |
Telefonica Emisiones SA (Spain) | | | | | | | | |
| | |
5.13%, 4/27/2020 | | | 10,000 | | | | 10,047 | |
| | |
7.05%, 6/20/2036 | | | 15,000 | | | | 21,643 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
4.33%, 9/21/2028 | | | 41,000 | | | | 48,128 | |
| | |
4.86%, 8/21/2046 | | | 55,000 | | | | 73,186 | |
| | | | | | | | |
| | |
| | | | | | | 292,458 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
|
Electric Utilities — 1.0% | |
| | |
Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036 | | | 20,000 | | | | 27,280 | |
| | |
Duke Energy Corp.
2.65%, 9/1/2026 | | | 25,000 | | | | 26,041 | |
| | |
3.75%, 9/1/2046 | | | 25,000 | | | | 27,740 | |
| | |
Emera US Finance LP (Canada) | | | | | | | | |
| | |
3.55%, 6/15/2026 | | | 10,000 | | | | 10,858 | |
| | |
4.75%, 6/15/2046 | | | 20,000 | | | | 23,492 | |
| | |
Entergy Louisiana LLC | | | | | | | | |
| | |
4.00%, 3/15/2033 | | | 40,000 | | | | 48,327 | |
| | |
Fortis, Inc. (Canada) | | | | | | | | |
| | |
3.06%, 10/4/2026 | | | 19,000 | | | | 20,160 | |
| | |
Indiana Michigan Power Co. | | | | | | | | |
| | |
Series K, 4.55%, 3/15/2046 | | | 15,000 | | | | 19,235 | |
| | |
Metropolitan Edison Co. | | | | | | | | |
| | |
3.50%, 3/15/2023 (a) | | | 15,000 | | | | 15,824 | |
| | |
PNM Resources, Inc. | | | | | | | | |
| | |
3.25%, 3/9/2021 | | | 15,000 | | | | 15,213 | |
| | |
PPL Capital Funding, Inc. | | | | | | | | |
| | |
3.10%, 5/15/2026 | | | 20,000 | | | | 21,204 | |
| | |
Southern Co. (The) | | | | | | | | |
| | |
3.25%, 7/1/2026 | | | 30,000 | | | | 32,229 | |
| | | | | | | | |
| | |
| | | | | | | 287,603 | |
| | | | | | | | |
|
Electrical Equipment — 0.1% | |
| | |
Eaton Corp. | | | | | | | | |
| | |
3.10%, 9/15/2027 | | | 25,000 | | | | 27,265 | |
| | | | | | | | |
|
Electronic Equipment, Instruments & Components — 0.3% | |
| | |
Arrow Electronics, Inc. | | | | | | | | |
| | |
3.25%, 9/8/2024 | | | 15,000 | | | | 15,571 | |
| | |
3.88%, 1/12/2028 | | | 15,000 | | | | 15,825 | |
| | |
Corning, Inc. | | | | | | | | |
| | |
5.35%, 11/15/2048 | | | 20,000 | | | | 25,832 | |
| | |
4.38%, 11/15/2057 | | | 15,000 | | | | 16,363 | |
| | | | | | | | |
| | |
| | | | | | | 73,591 | |
| | | | | | | | |
|
Energy Equipment & Services — 0.3% | |
| | |
Halliburton Co. | | | | | | | | |
| | |
3.80%, 11/15/2025 | | | 25,000 | | | | 27,419 | |
| | |
4.50%, 11/15/2041 | | | 10,000 | | | | 10,637 | |
| | |
Schlumberger Holdings Corp. | | | | | | | | |
| | |
4.00%, 12/21/2025 (a) | | | 15,000 | | | | 16,485 | |
| | |
4.30%, 5/1/2029 (a) | | | 30,000 | | | | 33,307 | |
| | | | | | | | |
| | |
| | | | | | | 87,848 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | |
|
Equity Real Estate Investment Trusts (REITs) — 1.6% | |
| | |
American Tower Corp. | | | | | | | | |
| | |
5.00%, 2/15/2024 | | | 30,000 | | | | 33,645 | |
| | |
3.95%, 3/15/2029 | | | 15,000 | | | | 16,694 | |
| | |
Boston Properties LP 3.40%, 6/21/2029 | | | 25,000 | | | | 27,311 | |
| | |
Brixmor Operating Partnership LP 3.65%, 6/15/2024 | | | 25,000 | | | | 26,842 | |
| | |
EPR Properties 5.25%, 7/15/2023 | | | 15,000 | | | | 16,379 | |
| | |
Healthpeak Properties, Inc. 3.25%, 7/15/2026 | | | 50,000 | | | | 53,941 | |
| | |
Host Hotels & Resorts LP 3.88%, 4/1/2024 | | | 15,000 | | | | 16,181 | |
| | |
Liberty Property LP 4.40%, 2/15/2024 | | | 35,000 | | | | 38,956 | |
| | |
Life Storage LP 4.00%, 6/15/2029 | | | 5,000 | | | | 5,585 | |
| | |
National Retail Properties, Inc. | | | | | | | | |
| | |
3.80%, 10/15/2022 | | | 20,000 | | | | 21,191 | |
| | |
4.00%, 11/15/2025 | | | 20,000 | | | | 22,201 | |
| | |
Realty Income Corp. 3.65%, 1/15/2028 | | | 25,000 | | | | 28,048 | |
| | |
Simon Property Group LP 4.75%, 3/15/2042 | | | 10,000 | | | | 12,568 | |
| | |
UDR, Inc. | | | | | | | | |
| | |
4.40%, 1/26/2029 | | | 20,000 | | | | 23,007 | |
| | |
3.20%, 1/15/2030 | | | 10,000 | | | | 10,562 | |
| | |
3.00%, 8/15/2031 | | | 20,000 | | | | 20,898 | |
| | |
VEREIT Operating Partnership LP 4.88%, 6/1/2026 | | | 10,000 | | | | 11,415 | |
| | |
Welltower, Inc. | | | | | | | | |
| | |
4.00%, 6/1/2025 | | | 25,000 | | | | 27,557 | |
| | |
4.13%, 3/15/2029 | | | 20,000 | | | | 22,798 | |
| | |
6.50%, 3/15/2041 | | | 10,000 | | | | 14,825 | |
| | | | | | | | |
| | |
| | | | | | | 450,604 | |
| | | | | | | | |
|
Food & Staples Retailing — 0.1% | |
| | |
Kroger Co. (The) 5.15%, 8/1/2043 | | | 20,000 | | | | 25,071 | |
| | | | | | | | |
|
Food Products — 0.2% | |
| | |
Campbell Soup Co. 3.65%, 3/15/2023 | | | 6,000 | | | | 6,326 | |
| | |
Conagra Brands, Inc. 5.30%, 11/1/2038 | | | 5,000 | | | | 6,069 | |
| | |
Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044 | | | 20,000 | | | | 25,571 | |
| | |
Tyson Foods, Inc. | | | | | | | | |
| | |
3.95%, 8/15/2024 | | | 15,000 | | | | 16,372 | |
| | |
5.15%, 8/15/2044 | | | 10,000 | | | | 12,852 | |
| | | | | | | | |
| | |
| | | | | | | 67,190 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.5% | |
| | |
Abbott Laboratories | | | | | | | | |
| | |
3.75%, 11/30/2026 | | | 17,000 | | | | 19,175 | |
| | |
4.75%, 11/30/2036 | | | 15,000 | | | | 19,612 | |
| | |
5.30%, 5/27/2040 | | | 15,000 | | | | 21,274 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
|
Health Care Equipment & Supplies — continued | |
| | |
Becton Dickinson and Co. | | | | | | | | |
| | |
2.89%, 6/6/2022 | | | 10,000 | | | | 10,267 | |
| | |
3.70%, 6/6/2027 | | | 10,000 | | | | 11,045 | |
| | |
Boston Scientific Corp. | | | | | | | | |
| | |
3.85%, 5/15/2025 | | | 13,000 | | | | 14,321 | |
| | |
4.70%, 3/1/2049 | | | 10,000 | | | | 13,049 | |
| | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
| | |
3.70%, 3/19/2023 | | | 6,000 | | | | 6,348 | |
| | |
3.55%, 4/1/2025 | | | 10,000 | | | | 10,735 | |
| | | | | | | | |
| | |
| | | | | | | 125,826 | |
| | | | | | | | |
|
Health Care Providers & Services — 0.8% | |
| | |
Aetna, Inc. | | | | | | | | |
| | |
2.80%, 6/15/2023 | | | 35,000 | | | | 35,931 | |
| | |
Anthem, Inc. | | | | | | | | |
| | |
3.35%, 12/1/2024 | | | 15,000 | | | | 15,959 | |
| | |
4.63%, 5/15/2042 | | | 20,000 | | | | 23,157 | |
| | |
CVS Health Corp. | | | | | | | | |
| | |
3.70%, 3/9/2023 | | | 30,000 | | | | 31,706 | |
| | |
4.30%, 3/25/2028 | | | 41,000 | | | | 45,881 | |
| | |
4.78%, 3/25/2038 | | | 27,000 | | | | 31,843 | |
| | |
HCA, Inc. | | | | | | | | |
| | |
4.50%, 2/15/2027 | | | 20,000 | | | | 22,115 | |
| | |
5.25%, 6/15/2049 | | | 15,000 | | | | 17,438 | |
| | | | | | | | |
| | |
| | | | | | | 224,030 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — 0.2% | |
| | |
McDonald’s Corp. 3.80%, 4/1/2028 | | | 35,000 | | | | 39,008 | |
| | |
Starbucks Corp. 4.45%, 8/15/2049 | | | 15,000 | | | | 18,115 | |
| | | | | | | | |
| | |
| | | | | | | 57,123 | |
| | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.2% | |
| | |
Exelon Generation Co. LLC 5.75%, 10/1/2041 | | | 45,000 | | | | 53,320 | |
| | | | | | | | |
|
Industrial Conglomerates — 0.4% | |
| | |
General Electric Co. | | | | | | | | |
| | |
3.38%, 3/11/2024 | | | 20,000 | | | | 21,114 | |
| | |
6.75%, 3/15/2032 | | | 45,000 | | | | 60,454 | |
| | |
4.13%, 10/9/2042 | | | 23,000 | | | | 24,576 | |
| | | | | | | | |
| | |
| | | | | | | 106,144 | |
| | | | | | | | |
|
Insurance — 1.3% | |
| | |
American Financial Group, Inc. 3.50%, 8/15/2026 | | | 20,000 | | | | 21,773 | |
| | |
American International Group, Inc. | | | | | | | | |
| | |
3.75%, 7/10/2025 | | | 20,000 | | | | 21,820 | |
| | |
3.88%, 1/15/2035 | | | 25,000 | | | | 28,523 | |
| | |
4.38%, 1/15/2055 | | | 15,000 | | | | 17,145 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 9 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | |
|
Insurance — continued | |
| | |
Athene Global Funding | | | | | | | | |
| | |
3.00%, 7/1/2022 (a) | | | 25,000 | | | | 25,841 | |
| | |
2.95%, 11/12/2026 (a) | | | 30,000 | | | | 31,596 | |
| | |
Athene Holding Ltd. 4.13%, 1/12/2028 | | | 10,000 | | | | 10,645 | |
| | |
Cincinnati Financial Corp. 6.92%, 5/15/2028 | | | 20,000 | | | | 26,984 | |
| | |
Lincoln National Corp. | | | | | | | | |
| | |
4.20%, 3/15/2022 | | | 15,000 | | | | 15,831 | |
| | |
3.63%, 12/12/2026 | | | 15,000 | | | | 16,488 | |
| | |
4.35%, 3/1/2048 | | | 20,000 | | | | 22,847 | |
| | |
Markel Corp. | | | | | | | | |
| | |
3.50%, 11/1/2027 | | | 20,000 | | | | 21,819 | |
| | |
5.00%, 5/20/2049 | | | 15,000 | | | | 18,889 | |
| | |
Marsh & McLennan Cos., Inc. 4.38%, 3/15/2029 | | | 30,000 | | | | 34,962 | |
| | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | | 5,000 | | | | 5,689 | |
| | |
Prudential Financial, Inc. 3.88%, 3/27/2028 | | | 30,000 | | | | 33,882 | |
| | | | | | | | |
| | |
| | | | | | | 354,734 | |
| | | | | | | | |
|
Media — 0.8% | |
| | |
Charter Communications Operating LLC 5.75%, 4/1/2048 | | | 10,000 | | | | 11,925 | |
| | |
Comcast Corp. | | | | | | | | |
| | |
3.38%, 2/15/2025 | | | 30,000 | | | | 32,401 | |
| | |
3.15%, 3/1/2026 | | | 30,000 | | | | 32,337 | |
| | |
3.20%, 7/15/2036 | | | 40,000 | | | | 43,280 | |
| | |
6.40%, 5/15/2038 | | | 30,000 | | | | 44,516 | |
| | |
4.50%, 1/15/2043 | | | 15,000 | | | | 18,770 | |
| | |
Cox Communications, Inc. | | | | | | | | |
| | |
3.15%, 8/15/2024 (a) | | | 25,000 | | | | 26,342 | |
| | |
4.60%, 8/15/2047 (a) | | | 15,000 | | | | 17,572 | |
| | | | | | | | |
| | |
| | | | | | | 227,143 | |
| | | | | | | | |
|
Metals & Mining — 0.1% | |
| | |
Glencore Funding LLC (Switzerland) | | | | | | | | |
| | |
4.63%, 4/29/2024 (a) | | | 15,000 | | | | 16,178 | |
| | | | | | | | |
|
Multiline Retail — 0.0%(e) | |
| | |
Dollar General Corp. | | | | | | | | |
| | |
4.13%, 5/1/2028 | | | 5,000 | | | | 5,746 | |
| | | | | | | | |
|
Multi-Utilities — 0.3% | |
| | |
Dominion Energy, Inc. | | | | | | | | |
| | |
Series D, 2.85%, 8/15/2026 | | | 25,000 | | | | 26,287 | |
| | |
Series C, 4.05%, 9/15/2042 | | | 20,000 | | | | 22,513 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
|
Multi-Utilities — continued | |
| | |
Sempra Energy | | | | | | | | |
| | |
2.40%, 3/15/2020 | | | 20,000 | | | | 20,000 | |
| | |
3.80%, 2/1/2038 | | | 25,000 | | | | 28,015 | |
| | | | | | | | |
| | |
| | | | | | | 96,815 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 3.2% | |
| | |
Apache Corp. | | | | | | | | |
| | |
4.38%, 10/15/2028 | | | 20,000 | | | | 21,036 | |
| | |
4.25%, 1/15/2044 | | | 25,000 | | | | 22,154 | |
| | |
APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a) | | | 30,000 | | | | 33,327 | |
| | |
Boardwalk Pipelines LP 5.95%, 6/1/2026 | | | 20,000 | | | | 23,086 | |
| | |
Buckeye Partners LP 5.85%, 11/15/2043 | | | 10,000 | | | | 9,200 | |
| | |
Canadian Natural Resources Ltd. (Canada) | | | | | | | | |
| | |
3.80%, 4/15/2024 | | | 15,000 | | | | 15,940 | |
| | |
6.45%, 6/30/2033 | | | 15,000 | | | | 20,098 | |
| | |
Cenovus Energy, Inc. (Canada) 3.00%, 8/15/2022 | | | 25,000 | | | | 25,753 | |
| | |
Enbridge, Inc. (Canada) | | | | | | | | |
| | |
4.25%, 12/1/2026 | | | 20,000 | | | | 22,307 | |
| | |
4.50%, 6/10/2044 | | | 15,000 | | | | 17,381 | |
| | |
Energy Transfer Operating LP 6.25%, 4/15/2049 | | | 15,000 | | | | 17,288 | |
| | |
Energy Transfer Partners LP 5.88%, 3/1/2022 | | | 15,000 | | | | 16,014 | |
| | |
Enterprise Products Operating LLC | | | | | | | | |
| | |
3.75%, 2/15/2025 | | | 30,000 | | | | 32,667 | |
| | |
3.13%, 7/31/2029 | | | 15,000 | | | | 15,684 | |
| | |
5.10%, 2/15/2045 | | | 35,000 | | | | 41,972 | |
| | |
Kinder Morgan Energy Partners LP 3.95%, 9/1/2022 | | | 25,000 | | | | 26,179 | |
| | |
Magellan Midstream Partners LP 4.20%, 10/3/2047 | | | 10,000 | | | | 11,255 | |
| | |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | | | 15,000 | | | | 20,239 | |
| | |
MPLX LP | | | | | | | | |
| | |
4.88%, 6/1/2025 | | | 10,000 | | | | 11,110 | |
| | |
4.13%, 3/1/2027 | | | 15,000 | | | | 16,083 | |
| | |
4.50%, 4/15/2038 | | | 10,000 | | | | 10,107 | |
| | |
5.20%, 3/1/2047 | | | 15,000 | | | | 15,810 | |
| | |
Nexen, Inc. (China) 5.88%, 3/10/2035 | | | 20,000 | | | | 27,444 | |
| | |
Noble Energy, Inc. | | | | | | | | |
| | |
3.85%, 1/15/2028 | | | 15,000 | | | | 15,527 | |
| | |
5.05%, 11/15/2044 | | | 30,000 | | | | 30,775 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
2.90%, 8/15/2024 | | | 20,000 | | | | 20,270 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
3.20%, 8/15/2026 | | | 20,000 | | | | 20,363 | |
| | |
3.50%, 8/15/2029 | | | 20,000 | | | | 20,180 | |
| | |
4.50%, 7/15/2044 | | | 15,000 | | | | 14,323 | |
| | |
ONEOK, Inc. | | | | | | | | |
| | |
3.40%, 9/1/2029 | | | 30,000 | | | | 31,012 | |
| | |
4.45%, 9/1/2049 | | | 15,000 | | | | 15,391 | |
| | |
Petroleos Mexicanos (Mexico) 6.50%, 1/23/2029 | | | 13,000 | | | | 13,371 | |
| | |
Phillips 66 4.88%, 11/15/2044 | | | 20,000 | | | | 24,069 | |
| | |
Plains All American Pipeline LP 3.55%, 12/15/2029 | | | 30,000 | | | | 29,513 | |
| | |
Spectra Energy Partners LP 4.50%, 3/15/2045 | | | 20,000 | | | | 22,350 | |
| | |
Suncor Energy, Inc. (Canada) 5.35%, 7/15/2033 | | | 20,000 | | | | 26,305 | |
| | |
Sunoco Logistics Partners Operations LP | | | | | | | | |
| | |
4.00%, 10/1/2027 | | | 10,000 | | | | 10,467 | |
| | |
5.35%, 5/15/2045 | | | 30,000 | | | | 30,973 | |
| | |
TransCanada PipeLines Ltd. (Canada) | | | | | | | | |
| | |
4.88%, 1/15/2026 | | | 25,000 | | | | 28,371 | |
| | |
4.63%, 3/1/2034 | | | 15,000 | | | | 17,534 | |
| | |
4.75%, 5/15/2038 | | | 20,000 | | | | 23,250 | |
| | |
5.00%, 10/16/2043 | | | 10,000 | | | | 12,449 | |
| | |
Williams Cos., Inc. (The) 3.90%, 1/15/2025 | | | 20,000 | | | | 21,489 | |
| | | | | | | | |
| | |
| | | | | | | 900,116 | |
| | | | | | | | |
|
Pharmaceuticals — 0.5% | |
| | |
Allergan Funding SCS | | | | | | | | |
| | |
3.80%, 3/15/2025 | | | 15,000 | | | | 16,390 | |
| | |
4.55%, 3/15/2035 | | | 10,000 | | | | 11,938 | |
| | |
4.85%, 6/15/2044 | | | 15,000 | | | | 18,291 | |
| | |
Bristol-Myers Squibb Co. 4.63%, 5/15/2044 (a) | | | 10,000 | | | | 13,010 | |
| | |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | | | 50,000 | | | | 53,630 | |
| | |
Zoetis, Inc. | | | | | | | | |
| | |
4.50%, 11/13/2025 | | | 15,000 | | | | 17,184 | |
| | |
4.70%, 2/1/2043 | | | 15,000 | | | | 19,369 | |
| | | | | | | | |
| | |
| | | | | | | 149,812 | |
| | | | | | | | |
|
Road & Rail — 0.6% | |
| | |
Burlington Northern Santa Fe LLC 4.40%, 3/15/2042 | | | 30,000 | | | | 36,791 | |
| | |
CSX Corp. 4.30%, 3/1/2048 | | | 20,000 | | | | 24,164 | |
| | |
ERAC USA Finance LLC 5.63%, 3/15/2042 (a) | | | 30,000 | | | | 40,661 | |
| | |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | | | 40,000 | | | | 44,450 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
|
Road & Rail — continued | |
| | |
Norfolk Southern Corp. 4.65%, 1/15/2046 | | | 10,000 | | | | 12,856 | |
| | | | | | | | |
| | |
| | | | | | | 158,922 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.2% | |
| | |
Broadcom Corp. | | | | | | | | |
| | |
2.65%, 1/15/2023 | | | 20,000 | | | | 20,363 | |
| | |
3.88%, 1/15/2027 | | | 25,000 | | | | 26,218 | |
| | | | | | | | |
| | |
| | | | | | | 46,581 | |
| | | | | | | | |
|
Software — 0.5% | |
| | |
Microsoft Corp. 4.20%, 11/3/2035 | | | 60,000 | | | | 75,543 | |
| | |
Oracle Corp. 3.85%, 7/15/2036 | | | 60,000 | | | | 69,541 | |
| | | | | | | | |
| | |
| | | | | | | 145,084 | |
| | | | | | | | |
|
Specialty Retail — 0.1% | |
| | |
Advance Auto Parts, Inc. 4.50%, 12/1/2023 | | | 25,000 | | | | 27,475 | |
| | |
Lowe’s Cos., Inc. | | | | | | | | |
| | |
4.65%, 4/15/2042 | | | 10,000 | | | | 12,292 | |
| | | | | | | | |
| | |
| | | | | | | 39,767 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 0.2% | |
| | |
Apple, Inc. 4.65%, 2/23/2046 | | | 30,000 | | | | 39,903 | |
| | |
Dell International LLC 4.42%, 6/15/2021 (a) | | | 25,000 | | | | 25,752 | |
| | | | | | | | |
| | |
| | | | | | | 65,655 | |
| | | | | | | | |
|
Tobacco — 0.3% | |
| | |
BAT Capital Corp. (United Kingdom) | | | | | | | | |
| | |
3.22%, 8/15/2024 | | | 15,000 | | | | 15,751 | |
| | |
3.56%, 8/15/2027 | | | 20,000 | | | | 21,113 | |
| | |
Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045 | | | 35,000 | | | | 41,867 | |
| | | | | | | | |
| | |
| | | | | | | 78,731 | |
| | | | | | | | |
|
Trading Companies & Distributors — 0.5% | |
| | |
Air Lease Corp. | | | | | | | | |
| | |
3.50%, 1/15/2022 | | | 25,000 | | | | 25,701 | |
| | |
3.25%, 3/1/2025 | | | 10,000 | | | | 10,455 | |
| | |
3.25%, 10/1/2029 | | | 20,000 | | | | 20,299 | |
| | |
Aviation Capital Group LLC | | | | | | | | |
| | |
2.88%, 1/20/2022 (a) | | | 30,000 | | | | 30,554 | |
| | |
3.50%, 11/1/2027 (a) | | | 20,000 | | | | 20,745 | |
| | |
International Lease Finance Corp. | | | | | | | | |
| | |
4.63%, 4/15/2021 | | | 35,000 | | | | 36,047 | |
| | | | | | | | |
| | |
| | | | | | | 143,801 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 11 | |
JPMorgan Core Focus SMA Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | |
|
Wireless Telecommunication Services — 0.2% | |
| | |
Vodafone Group plc (United Kingdom) | | | | | | | | |
| | |
3.75%, 1/16/2024 | | | 20,000 | | | | 21,480 | |
| | |
4.38%, 5/30/2028 | | | 25,000 | | | | 28,757 | |
| | |
5.00%, 5/30/2038 | | | 11,000 | | | | 13,480 | |
| | | | | | | | |
| | |
| | | | | | | 63,717 | |
| | | | | | | | |
| | |
Total Corporate Bonds
(Cost $6,160,714) | | | | | | | 6,747,306 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 6.4% | |
| | |
20 Times Square Trust | | | | | | | | |
| | |
Series 2018-20TS, Class D, 3.10%, 5/15/2035 (a) (b) | | | 100,000 | | | | 101,927 | |
| | |
Series 2018-20TS, Class E, 3.10%, 5/15/2035 ‡ (a) (b) | | | 100,000 | | | | 100,854 | |
| | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
| | |
Series 2013-GC11, Class A3, 2.82%, 4/10/2046 | | | 23,593 | | | | 24,407 | |
| | |
Series 2014-GC19, Class A3, 3.75%, 3/10/2047 | | | 8,323 | | | | 8,947 | |
| | |
Series 2014-GC23, Class A3, 3.36%, 7/10/2047 | | | 12,593 | | | | 13,470 | |
| | |
Commercial Mortgage Trust | | | | | | | | |
| | |
Series 2014-UBS2, Class A4, 3.69%, 3/10/2047 | | | 15,000 | | | | 16,066 | |
| | |
Series 2014-CR17, Class A4, 3.70%, 5/10/2047 | | | 29,158 | | | | 31,363 | |
| | |
Series 2014-UBS3, Class A3, 3.55%, 6/10/2047 | | | 23,871 | | | | 25,538 | |
| | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | | | | | | | |
| | |
Series K731, Class AM, 3.60%, 2/25/2025 (b) | | | 200,000 | | | | 217,058 | |
| | |
Series K090, Class A2, 3.42%, 2/25/2029 | | | 120,000 | | | | 136,419 | |
| | |
FREMF Mortgage Trust Series2013-K26, Class B, 3.60%, 12/25/2045 (a) (b) | | | 99,000 | | | | 103,905 | |
| | |
GPMT Ltd. (Cayman Islands) Series2018-FL1, Class AS, 2.83%, 11/21/2035 ‡ (a) (b) | | | 150,000 | | | | 149,954 | |
| |
GS Mortgage Securities Trust | | | | | |
| | |
Series 2013-GC16, Class AS, 4.65%, 11/10/2046 | | | 111,000 | | | | 122,022 | |
| | |
Series 2013-GC16, Class B, 5.16%, 11/10/2046 (b) | | | 50,000 | | | | 55,569 | |
| | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series 2013-LC11, Class A4, 2.69%, 4/15/2046 | | | 13,593 | | | | 14,059 | |
| | |
Series2011-C5, Class B, 5.42%, 8/15/2046 (a) (b) | | | 169,000 | | | | 177,036 | |
| | |
JPMBB Commercial Mortgage Securities Trust Series2013-C15, Class C, 5.20%, 11/15/2045 (b) | | | 30,000 | | | | 32,983 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | |
| | | | | | | | |
| | |
JPMCCRe-REMIC Trust Series 2014-FRR1, Class BK10, 2.44%, 11/27/2049 ‡ (a) (b) | | | 180,000 | | | | 178,842 | |
| | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
| | |
Series2014-C18, Class A2, 3.19%, 10/15/2047 | | | 4,670 | | | | 4,667 | |
| | |
Series2015-C27, Class A3, 3.47%, 12/15/2047 | | | 130,000 | | | | 140,843 | |
| | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS4, Class A3, 3.45%, 12/15/2048 | | | 130,000 | | | | 141,552 | |
| | |
WFRBS Commercial Mortgage TrustSeries 2013-C13, Class A3, 2.75%, 5/15/2045 | | | 26,291 | | | | 27,249 | |
| | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities
(Cost $1,716,918) | | | | 1,824,730 | |
| | | | | |
U.S. Treasury Obligations — 2.5% | |
| | |
U.S. Treasury Bonds | | | | | | | | |
| | |
3.75%, 11/15/2043 | | | 7,000 | | | | 9,920 | |
| | |
2.38%, 11/15/2049 | | | 65,000 | | | | 75,875 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
2.63%, 2/28/2023 | | | 265,000 | | | | 278,581 | |
| | |
2.75%, 2/15/2028 | | | 230,000 | | | | 259,388 | |
| | |
2.88%, 5/15/2028 | | | 17,600 | | | | 20,070 | |
| | |
1.75%, 11/15/2029 | | | 70,000 | | | | 73,910 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $657,986) | | | | 717,744 | |
| | | | | |
Mortgage-Backed Securities — 1.5% | |
| |
FNMA, Other | | | | | |
| | |
Pool # AM4660, 3.77%, 12/1/2025 | | | 132,569 | | | | 147,669 | |
| | |
Pool # AM5940, 3.24%, 6/1/2026 | | | 67,780 | | | | 74,098 | |
| | |
Pool # AM6428, 3.58%, 8/1/2029 | | | 86,667 | | | | 99,300 | |
| | |
Pool # AM6430, 3.58%, 8/1/2029 | | | 86,667 | | | | 99,300 | |
| | | | | | | | |
| |
Total Mortgage-Backed Securities
(Cost $379,411) | | | | 420,367 | |
| | | | | |
| | |
| | | SHARES | | | | |
Short-Term Investments — 9.1% | |
|
Investment Companies — 9.1% | |
| | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.62% (f) (g)
(Cost $2,582,210) | | | 2,581,635 | | | | 2,582,926 | |
| | | | | | | | |
Total Investments — 99.7%
(Cost $26,772,808) | | | | | | | 28,399,168 | |
Other Assets Less Liabilities — 0.3% | | | | | | | 82,244 | |
| | | | | |
NET ASSETS — 100.0% | | | | 28,481,412 | |
| | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | |
Abbreviations |
| |
| ABS | | Asset-backed securities |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| REMIC | | Real Estate Mortgage Investment Conduit |
| USD | | United States Dollar |
| |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (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 February 29, 2020. |
| | |
| (c) | | 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 February 29, 2020. |
| (d) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (e) | | Amount rounds to less than 0.1% of net assets. |
| (f) | | 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. |
| (g) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 13 | |
STATEMENT OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020
| | | | |
| |
| | |
JPMorgan
Core Focus
SMA Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 25,816,242 | |
Investments in affiliates, at value | | | 2,582,926 | |
Cash | | | 3,748 | |
Receivables: | | | | |
Interest fromnon-affiliates | | | 114,573 | |
Dividends from affiliates | | | 3,633 | |
Due from Adviser | | | 16,174 | |
| | | | |
Total Assets | | | 28,537,296 | |
| | | | |
|
LIABILITIES: | |
Accrued liabilities: | | | | |
Custodian and accounting fees | | | 10,033 | |
Printing and mailing costs | | | 3,084 | |
Audit fees | | | 40,779 | |
Other | | | 1,988 | |
| | | | |
Total Liabilities | | | 55,884 | |
| | | | |
Net Assets | | $ | 28,481,412 | |
| | | | |
|
NET ASSETS: | |
Paid-in-Capital | | $ | 26,837,907 | |
Total distributable earnings (loss) | | | 1,643,505 | |
| | | | |
Total Net Assets | | $ | 28,481,412 | |
| | | | |
| |
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | | | 2,680,648 | |
| |
Net asset value, offering and redemption price per share (a) | | $ | 10.62 | |
| |
Cost of investments innon-affiliates | | $ | 24,190,598 | |
Cost of investments in affiliates | | | 2,582,210 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 2020
| | | | |
| |
| | |
JPMorgan
Core Focus
SMA Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 891,860 | |
Interest income from affiliates | | | 3,631 | |
Dividend income from affiliates | | | 39,516 | |
| | | | |
Total investment income | | | 935,007 | |
| | | | |
|
EXPENSES: | |
Administration fees | | | 20,470 | |
Custodian and accounting fees | | | 59,365 | |
Interest expense to affiliates | | | 13 | |
Professional fees | | | 83,759 | |
Trustees’ and Chief Compliance Officer’s fees | | | 25,197 | |
Printing and mailing costs | | | 10,332 | |
Registration and filing fees | | | 614 | |
Transfer agency fees | | | 262 | |
Other | | | 2,453 | |
| | | | |
Total expenses | | | 202,465 | |
| | | | |
Less fees waived | | | (20,482 | ) |
Less expense reimbursements | | | (181,983 | ) |
| | | | |
Net expenses | | | — | |
| | | | |
Net investment income (loss) | | | 935,007 | |
| | | | |
|
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | | | | |
Investments innon-affiliates | | | 55,681 | |
Investments in affiliates | | | 57 | |
| | | | |
Net realized gain (loss) | | | 55,738 | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments innon-affiliates | | | 1,526,059 | |
Investments in affiliates | | | 527 | |
| | | | |
Change in net unrealized appreciation/depreciation | | | 1,526,586 | |
| | | | |
Net realized/unrealized gains (losses) | | | 1,582,324 | |
| | | | |
Change in net assets resulting from operations | | $ | 2,517,331 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 15 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| | | | | | | | |
| | | JPMorgan Core Focus SMA Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | |
Net investment income (loss) | | $ | 935,007 | | | $ | 892,368 | |
Net realized gain (loss) | | | 55,738 | | | | (25,308 | ) |
Distributions of capital gains received from investment company affiliates | | | — | | | | 44 | |
Change in net unrealized appreciation/depreciation | | | 1,526,586 | | | | 96,977 | |
| | | | | | | | |
Change in net assets resulting from operations | | | 2,517,331 | | | | 964,081 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Total distributions to shareholders | | | (946,315 | ) | | | (888,795 | ) |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | | — | | | | 25,000,000 | |
Distributions reinvested | | | 946,315 | | | | 888,795 | |
| | | | | | | | |
Change in net assets resulting from capital transactions | | | 946,315 | | | | 25,888,795 | |
| | | | | | | | |
| |
NET ASSETS: | | | | | |
Change in net assets | | | 2,517,331 | | | | 25,964,081 | |
Beginning of period | | | 25,964,081 | | | | — | |
| | | | | | | | |
End of period | | $ | 28,481,412 | | | $ | 25,964,081 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | — | | | | 2,500,000 | |
Reinvested | | | 91,450 | | | | 89,198 | |
| | | | | | | | |
Change in Shares | | | 91,450 | | | | 2,589,198 | |
| | | | | | | | |
| (a) | Commencement of operations was March 1, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 17 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Core Focus SMA Fund | |
Year Ended February 29, 2020 | | $ | 10.03 | | | $ | 0.36 | | | $ | 0.59 | | | $ | 0.95 | | | $ | (0.36 | ) | | $ | — | (g) | | $ | (0.36 | ) |
March 1, 2018 (h) through February 28, 2019 | | | 10.00 | | | | 0.35 | | | | 0.03 | | | | 0.38 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | The Fund’s expenses have been contractually capped at 0.00%. See Note 3.E. in the Notes to Financial Statements. The Fund is an integral part of a “separately managed account” strategy offered through programs sponsored by investment advisors and/or broker-dealers, some of which are unaffiliated with the Fund and the Investment Adviser. Participants in these programs pay a fee to the sponsor of the program. |
| (g) | Amount rounds to less than $0.005. |
| (h) | Commencement of operations. |
| (i) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period | | | Net
expenses (e)(f) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.62 | | | | 9.62 | % | | $ | 28,481,412 | | | | — | % | | | 3.43 | % | | | 0.74 | % | | | 25 | % |
| | 10.03 | | | | 3.88 | | | | 25,964,081 | | | | — | (i) | | | 3.53 | (i) | | | 0.85 | (i) | | | 38 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 19 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020
1. Organization
JPMorgan Trust IV (the “Trust”) was formed on November 11, 2015, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 11, 2015 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company.
The following is a separate fund of the Trust (the “Fund”) covered by this report:
| | | | |
| | | | | Diversification Classification |
| JPMorgan Core Focus SMA Fund(1) | | | | Diversified |
| (1) | Commenced operations on March 1, 2018. |
The investment objective of the Fund is to seek to maximize total return.
Shares of the Fund may be purchased only by or on behalf of separately managed accounts where J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), serves as the investment adviser,sub-adviser or model portfolio provider for the account with the separately managed account sponsor or directly with the client. The Fund’s shares may not be purchased directly by individuals.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with 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.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This 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 by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments inopen-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset value (“NAV”) per share as of the report date.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at February 29, 2020.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
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 by sector 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 | | $ | — | | | $ | 7,420,480 | | | $ | 955,903 | | | $ | 8,376,383 | |
Collateralized Mortgage Obligations | | | — | | | | 7,729,712 | | | | — | | | | 7,729,712 | |
Commercial Mortgage-Backed Securities | | | – | | | | 1,395,080 | | | | 429,650 | | | | 1,824,730 | |
Corporate Bonds | | | — | | | | 6,747,306 | | | | — | | | | 6,747,306 | |
Mortgage-Backed Securities | | | — | | | | 420,367 | | | | — | | | | 420,367 | |
U.S. Treasury Obligations | | | — | | | | 717,744 | | | | — | | | | 717,744 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 2,582,926 | | | | — | | | | — | | | | 2,582,926 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 2,582,926 | | | $ | 24,430,689 | | | $ | 1,385,553 | | | $ | 28,399,168 | |
| | | | | | | | | | | | | | | | |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Balance as of
February 28,
2019 | | | Realized
gain (loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Net
accretion
(amortization) | | | Purchases1 | | | Sales2 | | | Transfers
into Level 3 | | | Transfers
out of Level 3 | | | Balance as of
February 29,
2020 | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | 1,018,884 | | | $ | — | (a) | | $ | 28,997 | | | $ | 129 | | | $ | 534,986 | | | $ | (627,093 | ) | | $ | — | | | $ | — | | | $ | 955,903 | |
Commercial Mortgage-Backed Securities | | | 865,834 | | | | — | | | | 10,260 | | | | 484 | | | | — | | | | (351,441 | ) | | | — | | | | (95,487 | ) | | | 429,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,884,718 | | | $ | — | (a) | | $ | 39,257 | | | $ | 613 | | | $ | 534,986 | | | $ | (978,534 | ) | | $ | — | | | $ | (95,487 | ) | | $ | 1,385,553 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
| (a) | Amount rounds to less than one. |
There were no significant transfers into or out of level 3 for the year ended February 29, 2020.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 21 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The change in net unrealized appreciation (depreciation) attributable to securities owned at February 29, 2020, which were valued using significant unobservable inputs (level 3) amounted to $41,206. This amount is included in Change in net unrealized appreciation/depreciation of investments innon-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements#
(Amounts in thousands)
| | | | | | | | | | | | |
| | | Fair Value at
February 29, 2020 | | | Valuation Technique(s) | | Unobservable Input | | Range (Weighted Average) (a) | |
| | $ | 955,903 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 0.00% - 40.00% (12.31%) | |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | 1.55% - 3.35% (2.49%) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | | 955,903 | | | | | | | | | |
| |
| | | 279,696 | | | Discounted Cash Flow | | Yield (Discount Rate of Cash Flows) | | | 2.49% - 2.84% (2.62%) | |
| | | | | | | | | | | | |
| Commercial Mortgage-Backed Securities | | | 279,696 | | | | | | | | | |
| |
| Total | | $ | 1,235,599 | | | | | | | | | |
| |
| # | The table above does not include certain level 3 securities that are valued by brokers and pricing services. At February 29, 2020, the value of these securities was $149,954. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Fund.
As of February 29, 2020, the Fund had no investments in restricted securities other than securities sold to the Fund under Rule 144A and/or Regulation S under the Securities Act.
C. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at
Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.62% (a) (b) | | $ | 983,692 | | | $ | 7,135,889 | | | $ | 5,537,239 | | | $ | 57 | | | $ | 527 | | | $ | 2,582,926 | | | | 2,581,635 | | | $ | 39,516 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 February 29, 2020. |
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on theex-dividend date or when the Fund first learns of the dividend.
E. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
F. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of February 29, 2020, no liability for Federal income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions from net investment income, are generally declared daily and paid monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by the Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| | | | | | | | | | | | |
| | | Paid-in-Capital | | | Accumulated
undistributed
(distributions
in excess of)
net investment
income | | | Accumulated
net realized
gains (losses) | |
| | $ | 2,797 | | | $ | (2,690 | ) | | $ | (107 | ) |
The reclassifications for the Fund relate primarily to callable bonds.
H. Recent Accounting Pronouncement — In March 2017, the FASB issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Fund has adopted and applied ASU2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU2017-08, as of March 1, 2019, the amortized cost basis of investments was reduced by $2,797 and unrealized appreciation of investments was increased by $2,797. The adoption of ASU2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser does not charge an advisory fee to the Fund. It should be understood, however, that the Fund is an integral part of separately managed account programs. Participants in these programs pay a fee to the sponsor of the program. The Adviser is compensated by the separately managed account sponsors.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Fund’s average daily net assets, plus 0.050% of the Fund’s average daily net assets between $10 billion and $20 billion, plus 0.025% of the Fund’s average daily net assets between $20 billion and $25 billion, plus 0.01% of the Fund’s respective average daily net assets in excess of $25 billion. For the year February 29, 2020, the effective rate was 0.08% of the Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.E. JPMorgan Chase Bank N.A. (“JPMCB”) serves as the Fund’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Fund’s exclusive underwriter and promotes and arranges for the sale of the Fund’s shares. JPMDS receives no compensation in its capacity as the Fund’s underwriter.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Fund. For performing these services, the Fund pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amount paid directly to JPMCB by the Fund for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 23 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
E. Waivers and Reimbursements — No expenses or fees (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) are borne by the Fund pursuant to contractual arrangements with the Adviser through June 30, 2020.
For the year ended February 29, 2020, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and reimbursed expenses in future years.
| | | | | | | | |
| | | Contractual Waivers
Administration Fees | | | Contractual
Reimbursements | |
| | $ | 20,470 | | | $ | 181,983 | |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Fund’s investment in such affiliated money market fund.
The amount of these waivers resulting from investments in these money market funds for the year ended February 29, 2020 was $12.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule38a-1 under the 1940 Act. The Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 29, 2020, the Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 29, 2020, purchases and sales of investments (excluding short-term investments) were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases
(excluding
U.S. Government) | | | Sales
(excluding
U.S. Government) | | | Purchases
of U.S.
Government | | | Sales
of U.S.
Government | |
| | $ | 6,169,518 | | | $ | 6,904,331 | | | $ | 139,284 | | | $ | — | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 29, 2020 were as follows:
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
| | $ | 26,776,774 | | | $ | 1,628,296 | | | $ | 5,902 | | | $ | 1,622,394 | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bonds.
The tax character of distributions paid during the year ended February 29, 2020 was as follows:
| | | | | | | | | | | | |
| | | Ordinary
Income* | | | Net Long-Term
Capital Gains | | | Total
Distributions
Paid | |
| | $ | 944,347 | | | $ | 1,968 | | | $ | 946,315 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
The tax character of distributions paid during the year ended February 28, 2019 was as follows:
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 29, 2020, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Current
Distributable
Ordinary
Income | | | Current
Distributable
Long-Term
Capital Gain
(Tax Basis
Capital Loss
Carryover) | | | Unrealized
Appreciation
(Depreciation) | |
| | $ | 9,815 | | | $ | 28,399 | | | $ | 1,619,597 | |
The cumulative timing differences primarily consist of trustee deferred compensation.
During the year ended February 29, 2020, the Fund utilized capital loss carryforwards as follows:
| | | | | | | | |
| | | Capital Loss Utilized | |
| | | Short-Term | | | Long-Term | |
| | $ | 6,050 | | | $ | — | |
6. Borrowings
The Fund relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Fund to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Fund because the Fund and the series of JPMorgan Trust II are both investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Fund had no borrowings outstanding from another fund during the year ended February 29, 2020.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Fund. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Fund had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 29, 2020.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month London InterBank Offered rate (‘LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Fund did not utilize the Credit Facility during the year ended February 29, 2020.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 25 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
As of February 29, 2020 the Fund had one individual shareholder and/or affiliated omnibus account that owned 100% of the Fund’s outstanding shares.
Significant shareholder transactions by this shareholder may impact the Fund’s performance.
The Fund is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Fund could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Fund may face a heightened level of interest rate risk due to certain changes in monetary policy. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region.
The Fund is subject to risks associated with securities with contractual cash flows including asset-backed securities. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Fund is subject to the risk that should the Fund decide to sell an illiquid investment when a ready buyer is not available at a price the Fund deems to be representative of its value, the value of the Fund’s net assets could be adversely affected.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of the Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Fund is subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Fund’s investments, increase the Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Fund and negatively impact broad segments of businesses and populations. The Fund’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TotheBoard of Trustees of JPMorgan Trust IV and Shareholders of JPMorgan Core Focus SMA Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Core Focus SMA Fund (one of the funds constituting JPMorgan Trust IV, referred to hereafter as the “Fund”) as of February 29, 2020, the related statement of operations for the year ended February 29, 2020 and the statements of changes in net assets and the financial highlights for the year ended February 29, 2020 and for the period March 1, 2018 (commencement of operations) through February 28, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 29, 2020, the results of its operations for the year ended February 29, 2020, and the changes in its net assets and the financial highlights for the year ended February 29, 2020 and for the period March 1, 2018 (commencement of operations) through February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
April 28, 2020
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 27 | |
TRUSTEES
(Unaudited)
The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| | | | | | |
Name (Year of Birth); Positions With the Fund(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees | | |
| | | |
| John F. Finn (1947); Chairman since 2020; Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | 127 | | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). |
| | | |
| Stephen P. Fisher (1959); Trustee of Trust since 2018. | | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | 127 | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
| | | |
| Kathleen M. Gallagher (1958); Trustee of Trust since 2018. | | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | 127 | | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, Fiduciary Solutions, State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). |
| | | |
| Dennis P. Harrington* (1950); Trustee of Trust since 2017. | | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | | 127 | | None |
| | | |
| Frankie D. Hughes (1952); Trustee of Trust since 2008. | | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | 127 | | None |
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
| | | | | | |
Name (Year of Birth); Positions With the Fund(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | | |
| | | |
Raymond Kanner** (1953); Trustee of Trust since 2017. | | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | | 127 | | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board(2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA)(2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator)(2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
| | | |
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | | Self-employed business consultant
(2002-present). | | 127 | | None |
| | | |
| Mary E. Martinez (1960); Trustee of Trust since 2013. | | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | 127 | | None |
| | | |
| Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | | Vice President of Administration and Planning, Northwestern University (1985-present). | | 127 | | None |
| | | |
| Mitchell M. Merin (1953); Trustee of Trust since 2013. | | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (serving in various roles 1981-2006). | | 127 | | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). |
| | | |
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | | 127 | | Trustee and Vice Chair, Trout Unlimited(2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo(1999-2014). |
| | | |
| Marian U. Pardo*** (1946); Trustee of Trust since 2013. | | Managing Director and Founder, Virtual Capital Management LLC (investment consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | | 127 | | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 29 | |
TRUSTEES
(Unaudited) (continued)
| (1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (127 funds). |
| * | Two family members of Mr. Harrington are partner and managing director, respectively, of the Fund’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Fund’s financial statements and do not provide other services to the Fund. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
| ** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
| *** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
OFFICERS
(Unaudited)
| | |
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years |
| |
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016) | | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014). |
| |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. |
| |
Gregory S. Samuels (1980),
Secretary (2019) (formerly Assistant Secretary since 2010)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. |
| |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005) | | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
| |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. |
| |
Jessica K. Ditullio (1962),
Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
| |
Anthony Geron (1971),
Assistant Secretary (2018)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
| |
Carmine Lekstutis (1980),
Assistant Secretary (2011)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. |
| |
Keri E. Riemer (1976),
Assistant Secretary (2019)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016). |
| |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. |
| |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2012) | | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. |
| |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2012. |
| |
Shannon Gaines (1977),
Assistant Treasurer (2018)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. |
| |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. |
| |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. |
| |
Joseph Parascondola (1963),
Assistant Treasurer (2011)* | | Executive Director, J.P. Morgan Investment Management, Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from August 2006 to January 2020. |
| |
Gillian I. Sands (1969),
Assistant Treasurer (2012)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| ** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 31 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Fund at the beginning of the reporting period, September 1, 2019, and continued to hold your shares at the end of the reporting period, February 29, 2020.
Actual Expenses
For the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
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| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period†* | | | Annualized
Expense
Ratio | |
JPMorgan Core Focus SMA Fund | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,029.40 | | | $ | 0.00 | | | | 0.00 | % |
Hypothetical | | | 1,000.00 | | | | 1,024.86 | | | | 0.00 | | | | 0.00 | |
| † | Reflects the fact that no fees or expenses are borne by the Fund. The Fund is an integral part of “separately managed accounts” programs sponsored by investment advisers and/or broker-dealers unaffiliated with the Fund and the Adviser. Participants in these programs pay a fee to the sponsor of the program. |
| * | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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| 32 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
The Fund has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review the Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether the Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for the Fund (and, for J.P. Morgan Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether the Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether the Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage the Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to the Fund during the Program Reporting Period.
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| FEBRUARY 29, 2020 | | J.P. MORGAN SMA FUNDS | | | | | 33 | |
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended February 29, 2020. The information and distributions reported in this letter may differ
from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2020. The information necessary to complete your income tax returns for the calendar year ending December 31, 2020 will be provided under separate cover.
Long Term Capital Gain
The Fund distributed $1,968, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 29, 2020.
Treasury Income
The Fund had 1.50% or the maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2020.
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| 34 | | | | J.P. MORGAN SMA FUNDS | | FEBRUARY 29, 2020 |
Rev. January 2011
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| FACTS | | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
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| Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| | |
| What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number and account balances ◾ transaction history and account transactions ◾ checking account information and wire transfer instructions When you areno longer our customer, we continue to share your information as described in this notice. |
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| How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
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| Reasons we can share your personal information | | Does J.P. Morgan
Funds share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
For marketing purposes — to offer our products and services to you | | Yes | | No |
| For joint marketing with other financial companies | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
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| Questions? | | Call1-800-480-4111 or go to www.jpmorganfunds.com |
| | |
| |
| Who we are |
| Who is providing this notice? | | J.P. Morgan Funds |
| | |
| |
| What we do |
| How does J.P. Morgan Funds protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | | We collect your personal information, for example, when you: ◾ open an account or provide contact information ◾ give us your account information or pay us by check ◾ make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies. |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
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| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with our affiliates. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. |
| Joint Marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ◾ J.P. Morgan Funds doesn’t jointly market. |
FOR MORE INFORMATION:
INVESTMENT ADVISER
J.P. Morgan Investment Management Inc.
277 Park Avenue
New York, New York 10172
PLACEMENT AGENT
JPMorgan Institutional Investments, Inc.
277 Park Avenue
New York, New York 10172
This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds’ Confidential Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each Fund’s Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-343-1113 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Fund’s voting record is available on the SEC’s website at www.sec.gov. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
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| | © JPMorgan Chase & Co., 2020. All rights reserved. February 2020. | | AN-CFSMA-220 |
Annual Report
J.P. Morgan Municipal Bond Funds
February 29, 2020
JPMorgan High Yield Municipal Fund
JPMorgan Municipal Income Fund
JPMorgan Short-Intermediate Municipal Bond Fund
JPMorgan Tax Free Bond Fund
JPMorgan Ultra-Short Municipal Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websitewww.jpmorganfunds.comand you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going towww.jpmorganfunds.com/edelivery.
You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us atfunds.website.support@jpmorganfunds.comor call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
LETTER TO SHAREHOLDERS
April 3, 2020
(Unaudited)
Dear Shareholders,
Amid the unprecedented global response to theCOVID-19 pandemic, all of us at J.P. Morgan Asset Management sincerely hope that you and your loved ones are safe and healthy. We continue to closely monitor the situation globally and implement protocols and processes based on recommendations from relevant authorities aimed at protecting our clients, shareholders, employees, businesses and the broader public health.
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 | | “Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.”
— Andrea L. Lisher |
We want to assure you that J.P. Morgan Asset Management is deeply committed to protecting and serving our clients and shareholders through this crisis. We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test
our resiliency capabilities and core functions. Past events, such as hurricanes or other emergencies, have helped to prepare us for rare events, includingmulti-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and digital channels.
Our detailed planning and investments in technology have allowed us to maintain our high level of service to our clients and shareholders and help them navigate the current uncertainty even as our people have transitioned to working from home and ensuring the well-being of their own households.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 1 | |
J.P. Morgan Municipal Bond Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
Overall, interest rates declined during the reporting period amid slowing but still positive growth in the U.S. economy. Financial markets largely rallied in the first months of the reporting period, but investor concerns about slowing global economic growth and an increase in U.S.-China trade tensions drove an increase in market volatility and weighed down asset prices toward the middle of the period.
Amid market volatility, investors flocked to longer-dated U.S. Treasury bonds in August, which drove the yields on the 30-year U.S. Treasury bond below 2% for the first time. More notably, yields on 10-year U.S. Treasury bonds fell below yields on two-year U.S. Treasury bonds for the first time since 2007.
By late 2019 and into early 2020, financial markets strengthened on the back of positive developments in U.S.-China trade negotiations. However, in the final weeks of the reporting period those trade concerns were replaced by investor worries about the impact of COVID-19. Global bond and equity markets experienced sharp declines in late February 2020.
U.S. Treasury bonds generally benefitted as investors sought a perceived safe haven amid volatile markets. By the end of the reporting period, demand for 10-year Treasury bonds had pushed their yield to a record low 1.1%. For the twelve months ended February 29, 2020, the Bloomberg Barclays US Municipal Index returned 9.46%.
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| 2 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan High Yield Municipal Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 13.02% | |
| Bloomberg Barclays U.S. Municipal Index | | | 9.46% | |
| Bloomberg Barclays High Yield Municipal Bond Index | | | 14.40% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) . | | $ | 534,756 | |
| Duration as of 2/29/2020 | | | 7.0 years | |
INVESTMENT OBJECTIVE**
The JPMorgan High Yield Municipal Fund (the “Fund”) seeks a high level of current income exempt from federal income taxes.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 29, 2020, the Fund’s Class I Shares outperformed the Bloomberg Barclays US Municipal Bond Index (the “Benchmark”) and underperformed Bloomberg Barclays High Yield Municipal Index.
Relative to the Benchmark, the Fund’s longer overall duration was a leading contributor to performance. Generally, bonds with longer duration will experience a larger increase in price when interest rates fall. The Fund’s overweight allocation to bonds rated BBB and BB also contributed to performance relative to the Benchmark. The Fund’s overweight positions in the health care and education sectors also helped relative performance.
The Fund’s underweight positions in the transportation, industrial development revenue/pollution control revenue and housing sectors were leading detractors from relative performance during the reporting period.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s assets were invested in municipal bonds, with a small allocation to loan assignments.
The Fund’s largest allocations were to bonds rated BBB and BB, while its smallest allocations were in bonds rated AAA and single-A. At the end of the reporting period, the Fund’s overall duration was 7.0 years compared with 5.0 years for the Benchmark.
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CREDIT QUALITY ALLOCATIONS*** | |
AAA | | | 8.8 | % |
AA | | | 12.4 | |
A | | | 9.1 | |
BBB | | | 31.0 | |
BB | | | 13.5 | |
B | | | 0.6 | |
NR | | | 24.6 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 3 | |
JPMorgan High Yield Municipal Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | | |
| | | INCEPTION DATE OF
CLASS | | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | | September 17, 2007 | | | | | | | | | | | | | |
With Sales Charge* | | | | | | | 8.61 | % | | | 3.67 | % | | | 4.21 | % |
Without Sales Charge | | | | | | | 12.81 | | | | 4.46 | | | | 4.61 | |
CLASS C SHARES | | | September 17, 2007 | | | | | | | | | | | | | |
With CDSC** | | | | | | | 11.29 | | | | 3.93 | | | | 4.09 | |
Without CDSC | | | | | | | 12.29 | | | | 3.93 | | | | 4.09 | |
CLASS I SHARES | | | September 17, 2007 | | | | 13.02 | | | | 4.57 | | | | 4.72 | |
CLASS R6 SHARES | | | November 1, 2018 | | | | 13.12 | | | | 4.60 | | | | 4.73 | |
| * | | Sales Charge for Class A Shares is 3.75%. |
| ** | | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(2/28/10 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information pleasecall 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan High Yield Municipal Fund, the Bloomberg Barclays U.S. Municipal Index and the Bloomberg Barclays High Yield Municipal Bond Index from February 28, 2010 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. Municipal Index and the Bloomberg Barclays High Yield Municipal Bond Index does not reflect the deduction of expenses or a sales charge
associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The Bloomberg Barclays U.S. Municipal Index is a total return performance benchmark for the long-term, investment-gradetax-exempt bond market. The Bloomberg Barclays High Yield Municipal Bond Index is an unmanaged index made up of bonds that arenon-investment grade, unrated, or rated below Ba1 by Moody’s Investors Service with a remaining maturity of at least one year. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
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| 4 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Municipal Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* . | | | 7.36% | |
| Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index | | | 7.65% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) | | $ | 285,420 | |
| Duration as of 2/29/2020 | | | 4.7 years | |
INVESTMENT OBJECTIVE**
The JPMorgan Municipal Income Fund (the “Fund”) seeks current income exempt from federal income taxes.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 29, 2020, the Fund’s Class I Shares underperformed the Bloomberg Barclays U.S.1-15 Year Blend (1-17) Municipal Bond Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s overweight position and shorter duration in housing sector bonds was a leading detractor from performance. Generally, bonds with shorter duration experience a smaller increase in price compared with longer duration bonds when interest rates fall. The Fund’s overweight position in bonds rated AAA and its underweight positions in the industrial development revenue/pollution control revenue and transportation sectors also detracted from relative performance.
The Fund’s overweight positions in the hospital and leasing sectors were leading contributors to relative performance. The Fund’s underweight positions in pre-refunded bonds and bonds rated AA also helped relative performance.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to emphasize higher yielding sectors, particularly the housing sector. At the end of the twelve month period, the Fund’s overall duration was generally in line with that of the Benchmark.
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CREDIT QUALITY ALLOCATIONS*** | |
AAA | | | 29.5 | % |
AA | | | 42.2 | |
A | | | 21.2 | |
BBB | | | 4.3 | |
NR | | | 2.8 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 5 | |
JPMorgan Municipal Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | INCEPTION DATE OF
CLASS | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | February 23, 1993 | | | | | | | | | | | | |
With Sales Charge* | | | | | 3.05 | % | | | 2.04 | % | | | 2.77 | % |
Without Sales Charge | | | | | 7.04 | | | | 2.81 | | | | 3.17 | |
CLASS C SHARES | | November 4, 1997 | | | | | | | | | | | | |
With CDSC** | | | | | 5.52 | | | | 2.25 | | | | 2.59 | |
Without CDSC | | | | | 6.52 | | | | 2.25 | | | | 2.59 | |
CLASS I SHARES | | February 9, 1993 | | | 7.36 | | | | 3.07 | | | | 3.44 | |
CLASS R6 SHARES | | November 6, 2017 | | | 7.36 | | | | 3.10 | | | | 3.45 | |
| * | | Sales Charge for Class A Shares is 3.75%. |
| ** | | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(2/28/10 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-date,month-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Municipal Income Fund and the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index from February 28, 2010 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. 1-15 Year Blend (1-17) Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg Barclays
U.S.1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years. Investors cannot invest directly in an index.
Capital gain distributions are subject to federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Short-Intermediate Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 5.12% | |
| Bloomberg Barclays U.S. 1-5 Year Blend (1-6) Municipal Bond Index | | | 4.24% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) | | $ | 1,661,367 | |
| Duration as of 2/29/2020 | | | 3.6 years | |
INVESTMENT OBJECTIVE**
The JPMorgan Short-Intermediate Municipal Bond Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For twelve months ended February 29, 2020, the Fund outperformed the Bloomberg Barclays U.S. 1-5 Year Blend (1-6) Municipal Bond Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s overall longer duration was a leading contributor to performance. Generally, bonds of longer duration will experience a larger increase in price when interest rates fall. The Fund’s overweight positions in the hospital and leasing sectors and its underweight position in pre-refunded bonds also helped relative performance. The Fund’s overweight positions in bonds rate single-A and BBB also contributed to relative performance.
The Fund’s overweight positions in the electric and local general obligation bond sectors were leading detractors from relative performance. The Fund’s underweight position in the industrial development revenue/pollution control revenue sector and its overweight position in California bonds also detracted from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund employed a bottom-up, security selection-based investment approach. The Fund’s portfolio managers sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk while maintaining the Fund’s bias toward higher quality issuances.
| | | | |
CREDIT QUALITY ALLOCATIONS*** | |
AAA | | | 17.3 | % |
AA | | | 49.8 | |
A | | | 20.4 | |
BBB | | | 7.9 | |
| B | | | 0.0 | (a) |
NR | | | 4.6 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
| (a) | | Amount rounds to less than 0.05%. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 7 | |
JPMorgan Short-Intermediate Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | | |
| | | INCEPTION DATE OF
CLASS | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | May 4, 1998 | | | | | | | | | | | | |
With Sales Charge* | | | | | 2.77 | % | | | 1.29 | % | | | 1.14 | % |
Without Sales Charge | | | | | 5.12 | | | | 1.74 | | | | 1.36 | |
CLASS C SHARES | | November 1, 2001 | | | | | | | | | | | | |
With CDSC** | | | | | 3.52 | | | | 1.24 | | | | 0.86 | |
Without CDSC | | | | | 4.52 | | | | 1.24 | | | | 0.86 | |
CLASS I SHARES | | June 19, 2009 | | | 5.56 | | | | 2.23 | | | | 1.86 | |
CLASS R6 SHARES | | October 1, 2018 | | | 5.61 | | | | 2.22 | | | | 1.86 | |
| * | | Sales Charge for Class A Shares is 2.25%. |
| ** | | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/10 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-date,month-end performance information pleasecall 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Short-Intermediate Municipal Bond Fund and the Bloomberg Barclays U.S. 1-5 Year Blend (1-6) Municipal Bond Index from February 28, 2010 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. 1-5 Year Blend (1-6) Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of
the securities included in the benchmark, if applicable. The Bloomberg Barclays U.S.1-5 Year Blend(1-6) Municipal Bond Index is an unmanaged index of investment gradetax-exempt municipal bonds with maturities of 1–5.999 years. Investors cannot invest directly in an index.
Capital gain distributions are subject to federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.
Class A Shares have a $1,000 minimum initial investment and carry a 2.25% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Tax Free Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class A Shares, without a sales charge)* | | | 10.37% | |
| Bloomberg Barclays US Municipal Index | | | 9.46% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) | | | $551,778 | |
| Duration as of 2/29/2020 | | | 6.5 years | |
INVESTMENT OBJECTIVE**
The JPMorgan Tax Free Bond Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 29, 2020, the Fund outperformed the Bloomberg Barclays US Municipal Index (the “Benchmark”).
Relative to the Benchmark, the Fund’s longer overall duration was a leading contributor to performance. Generally, bonds with longer duration will experience a larger increase in price when interest rates fall. The Fund’s underweight positions in bonds rated AA and higher and its overweight positions in bonds rated single-A and lower also contributed to relative performance. The Fund’s overweight positions in the hospital and leasing sectors also helped relative performance.
The Fund’s overweight position in the electric sector and its underweight positions in the transportation and special tax sectors were leading detractors from relative performance. The Fund’s underweight allocation to bonds issued by California also detracted from relative performance.
HOW WAS THE FUND POSITIONED?
The Fund continued to employ a bottom-up, security selection-based investment approach and sought to take advantage of opportunities stemming from increased volatility, supply pressures and headline credit risk.
| | | | |
CREDIT QUALITY ALLOCATIONS*** | |
AAA | | | 16.3 | % |
AA | | | 49.2 | |
A | | | 19.7 | |
BBB | | | 13.8 | |
NR | | | 1.0 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 9 | |
JPMorgan Tax Free Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | INCEPTION DATE OF
CLASS | | 1 YEAR | | | 5 YEAR | | | 10 YEAR | |
CLASS A SHARES | | March 1, 1988 | | | | | | | | | | | | |
With Sales Charge* | | | | | 6.22 | % | | | 3.01 | % | | | 3.71 | % |
Without Sales Charge | | | | | 10.37 | | | | 3.79 | | | | 4.11 | |
CLASS C SHARES | | July 1, 2008 | | | | | | | | | | | | |
With CDSC** | | | | | 8.73 | | | | 3.15 | | | | 3.43 | |
Without CDSC | | | | | 9.73 | | | | 3.15 | | | | 3.43 | |
CLASS I SHARES | | February 1, 1995 | | | 10.66 | | | | 4.02 | | | | 4.31 | |
CLASS R6 SHARES | | October 1, 2018 | | | 10.72 | | | | 4.04 | | | | 4.32 | |
| * | | Sales Charge for Class A Shares is 3.75%. |
| ** | | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE(2/28/10 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-date,month-end performance information please call1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Tax Free Bond Fund and the Bloomberg Barclays U.S. Municipal Index from February 28, 2010 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Bloomberg Barclays U.S. Municipal Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg Barclays
U.S. Municipal Index is a total return performance benchmark for the long-term, investment-gradetax-exempt bond market. Investors cannot invest directly in an index.
Capital gain distributions are subject to federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.
Class A Shares have a $1,000 minimum initial investment and carry a 3.75% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Ultra-Short Municipal Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | |
| Fund (Class I Shares)* | | | 1.96% | |
| Bloomberg Barclays 1 Year Municipal Bond Index | | | 2.48% | |
| |
| Net Assets as of 2/29/2020 (In Thousands) | | | $4,157,511 | |
| Duration as of 2/29/2020 | | | 0.8 years | |
INVESTMENT OBJECTIVE**
The JPMorgan Ultra-Short Municipal Fund (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays 1 Year Municipal Bond Index (the “Benchmark”).
The Fund’s out-of-Benchmark exposure to floating rate notes, which were used tactically to maintain liquidity in the portfolio and typically do not experience price appreciation when interest rates fall, detracted from performance relative to the Benchmark. The Fund’s overweight allocation to local general obligation bonds and its underweight allocation to bonds rated single-A and BBB also detracted from relative performance.
The Fund’s out-of-Benchmark allocation to bonds with maturities of two years or longer was a leading contributor to relative performance. The Fund’s underweight allocation to bonds issued by California and its overweight allocations to bonds issued by Illinois and New Jersey also contributed to relative performance. The Fund’s underweight allocation to pre-refunded bonds also helped relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund sought to maintain an average weighted maturity of two years or less, and the Fund’s investment adviser used a risk/reward analysis to identify investments that it believed would perform well over market cycles.
| | | | |
CREDIT QUALITY ALLOCATIONS*** | |
AAA | | | 11.0 | % |
AA | | | 45.1 | |
A | | | 14.5 | |
BBB | | | 4.5 | |
BB | | | 0.2 | |
NR | | | 24.7 | |
| * | | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages indicated are based on total investments as of February 29, 2020. The Fund’s portfolio composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 11 | |
JPMorgan Ultra-Short Municipal Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 | |
| | | |
| | | INCEPTION DATE OF
CLASS | | 1 YEAR | | | SINCE
INCEPTION | |
CLASS A SHARES | | May 31, 2016 | | | | | | | | |
With Sales Charge* | | | | | (0.52 | )% | | | 0.48 | % |
Without Sales Charge | | | | | 1.76 | | | | 1.09 | |
CLASS I SHARES | | May 31, 2016 | | | 1.96 | | | | 1.29 | |
| * | | Sales Charge for Class A Shares is 2.25%. |
LIFE OF FUND PERFORMANCE (5/31/16 TO 2/29/20)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.
The Fund commenced operations on May 31, 2016.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Ultra-Short Municipal Fund and the Bloomberg Barclays 1 Year Municipal Bond Index from May 31, 2016 to February 29, 2020. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays 1 Year Municipal Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The Bloomberg Barclays 1 Year Municipal Bond Index is an unmanaged index that includes bonds with a minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, and have maturities of 1 to 2 years. Investors cannot invest directly in an index.
Capital gain distributions are subject to federal income tax; a portion of the Fund’s income distributions may be subject to the alternative minimum tax and some investors may be subject to certain state and local taxes.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception of the Fund on May 31, 2016 until August 31, 2016, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 94.7% (a) | |
|
Alabama — 0.4% | |
|
Utility — 0.4% | |
| | |
Black Belt Energy Gas District, Gas Supply Series 2016A, Rev., LIQ: Royal Bank of Canada, 4.00%, 6/1/2021 (b) | | | 2,000 | | | | 2,074 | |
| | | | | | | | |
|
Alaska — 0.5% | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.5% | |
| | |
Alaska Industrial Development and Export Authority, Providence Health and Services Series 2011A, Rev., 5.50%, 10/1/2041 | | | 325 | | | | 345 | |
| | |
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 4.00%, 10/1/2036 | | | 2,000 | | | | 2,329 | |
| | | | | | | | |
| | |
| | | | | | | 2,674 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 2,674 | |
| | | | | | | | |
|
Arizona — 6.2% | |
|
Education — 2.5% | |
| | |
Arizona Industrial Development Authority, Academics of Math and Science Projects | | | | | | | | |
| | |
Rev., 4.00%, 7/1/2029 (c) | | | 400 | | | | 443 | |
| | |
Rev., 5.00%, 7/1/2039 (c) | | | 1,000 | | | | 1,161 | |
| | |
Arizona Industrial Development Authority, Cadence Campus Project | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 7/15/2030 (c) | | | 500 | | | | 560 | |
| | |
Series 2020A, Rev., 4.00%, 7/15/2040 (c) | | | 800 | | | | 877 | |
| | |
Arizona Industrial Development Authority, Equitable School Revolving Funds | | | | | | | | |
| | |
Series A, Rev., 5.00%, 11/1/2044 | | | 750 | | | | 930 | |
| | |
Series A, Rev., 4.00%, 11/1/2049 | | | 1,000 | | | | 1,138 | |
| | |
Arizona Industrial Development Authority, Fire MESA and Red Rock Campus Projects | | | | | | | | |
| | |
Series 2019A, Rev., 3.55%, 7/15/2029 (c) | | | 1,360 | | | | 1,459 | |
| | |
Series 2019A, Rev., 5.00%, 7/15/2039 (c) | | | 1,325 | | | | 1,509 | |
| | |
Series 2019A, Rev., 5.00%, 7/15/2049 (c) | | | 1,675 | | | | 1,883 | |
| | |
Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC – Arizona State University Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2032 | | | 350 | | | | 434 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2033 | | | 150 | | | | 185 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2037 | | | 200 | | | | 245 | |
| | |
La Paz County Industrial Development Authority, Charter School Solutions-Harmony Public Schools Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 2/15/2028 | | | 200 | | | | 233 | |
| | |
Series 2018A, Rev., 5.00%, 2/15/2038 | | | 405 | | | | 480 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Maricopa County Industrial Development Authority, Arizona Autism Charter Schools Project | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 7/1/2030 (c) | | | 320 | | | | 359 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2040 (c) | | | 620 | | | | 721 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2050 (c) | | | 780 | | | | 892 | |
| | | | | | | | |
| | |
| | | | | | | 13,509 | |
| | | | | | | | |
|
Hospital — 1.5% | |
| | |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2044 | | | 7,000 | | | | 8,127 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 2.1% | |
| | |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2029 | | | 1,500 | | | | 1,837 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2037 | | | 1,000 | | | | 1,203 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2038 | | | 1,000 | | | | 1,196 | |
| | |
Series 2019A, Rev., 4.25%, 1/1/2039 | | | 1,000 | | | | 1,116 | |
| | |
Series 2019A, Rev., 4.50%, 1/1/2049 | | | 2,000 | | | | 2,202 | |
| | |
Arizona Industrial Development Authority, Pinecrest Academy, Horizon, Inspirada and St. Rose Campus Projects | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 7/15/2028 (c) | | | 1,000 | | | | 1,157 | |
| | |
Series 2018A, Rev., 5.75%, 7/15/2038 (c) | | | 1,000 | | | | 1,197 | |
| | |
Glendale Industrial Development Authority, Terraces of Phoenix Project | | | | | | | | |
| | |
Series 2018A, Rev., 4.00%, 7/1/2028 | | | 450 | | | | 484 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2033 | | | 600 | | | | 669 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2038 | | | 300 | | | | 332 | |
| | | | | | | | |
| | |
| | | | | | | 11,393 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Mesa, Utility System | | | | | | | | |
| | |
Rev., AGM, 5.25%, 7/1/2029 (d) | | | 160 | | | | 221 | |
| | |
Rev., AGM, 5.25%, 7/1/2029 | | | 40 | | | | 55 | |
| | | | | | | | |
| | |
| | | | | | | 276 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 33,305 | |
| | | | | | | | |
|
California — 2.1% | |
|
Education — 0.9% | |
| | |
California Community College Financing Authority, Orange Coast Properties LLC — Orange Coast College Project | | | | | | | | |
| | |
Rev., 5.00%, 5/1/2037 | | | 750 | | | | 916 | |
| | |
Rev., 5.00%, 5/1/2038 | | | 400 | | | | 487 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 13 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
California Municipal Finance Authority, John Adams Academies Lincoln Project | | | | | | | | |
| | |
Series 2019A, Rev., 4.00%, 10/1/2029 (c) | | | 410 | | | | 432 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2039 (c) | | | 900 | | | | 992 | |
| | |
California Public Finance Authority, Laverne Elementary Preparatory Academy | | | | | | | | |
| | |
Series 2019A, Rev., 4.25%, 6/15/2029 (c) | | | 795 | | | | 825 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2039 (c) | | | 785 | | | | 819 | |
| | |
California School Facilities Financing Authority, Capital Appreciation, Azusa Unified School District | | | | | | | | |
| | |
Series 2018A, Rev., AGM, Zero Coupon, 8/1/2030 | | | 200 | | | | 165 | |
| | | | | | | | |
| | |
| | | | | | | 4,636 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Pomona Unified School District Series C, GO, 6.00%, 8/1/2029 (d) | | | 160 | | | | 233 | |
| | |
San Mateo Union High School District, Capital Appreciation, Election of 2006 Series A, GO, Zero Coupon, 9/1/2028 | | | 100 | | | | 72 | |
| | |
Sunnyvale Elementary School District, Election 2004 Series C, GO, 5.50%, 9/1/2034 | | | 175 | | | | 264 | |
| | | | | | | | |
| | |
| | | | | | | 569 | |
| | | | | | | | |
|
Hospital — 0.7% | |
| | |
California Health Facilities Financing Authority, Children’s Hospital Series 2017A, Rev., 5.00%, 8/15/2047 | | | 500 | | | | 603 | |
| | |
California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2047 | | | 200 | | | | 238 | |
| | |
California Public Finance Authority, Henry Mayo Newhall Hospital Rev., 5.00%, 10/15/2029 | | | 200 | | | | 239 | |
| | |
California Statewide Communities Development Authority, Adventist Health System Series 2018A, Rev., 3.50%, 3/1/2038 | | | 2,000 | | | | 2,189 | |
| | |
Palomar Health Rev., 5.00%, 11/1/2039 | | | 500 | | | | 590 | |
| | | | | | | | |
| | |
| | | | | | | 3,859 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
California Municipal Finance Authority, Linxs Apartments Project, Senior Lien | | | | | | | | |
| | |
Series 2018A, Rev., AMT, AGM, 3.25%, 12/31/2032 | | | 245 | | | | 269 | |
| | |
Series 2018A, Rev., AMT, AGM, 3.50%, 12/31/2035 | | | 240 | | | | 266 | |
| | | | | | | | |
| | |
| | | | | | | 535 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
California Pollution Control Financing Authority, Solid Waste Disposal, Waste Management, Inc. ProjectSeries 2015B-2, Rev., AMT, 3.13%, 11/3/2025 (b) | | | 250 | | | | 275 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
California Municipal Finance Authority, San Antonio Gardens Project Rev., 5.00%, 11/15/2039 | | | 850 | | | | 1,036 | |
| | |
Los Angeles Department of Water and Power System Series A, Rev., 5.25%, 7/1/2039 | | | 250 | | | | 259 | |
| | | | | | | | |
| | |
| | | | | | | 1,295 | |
| | | | | | | | |
| | |
Total California | | | | | | | 11,169 | |
| | | | | | | | |
|
Colorado — 8.8% | |
|
Certificate of Participation/Lease — 0.9% | |
| | |
South Suburban Park & Recreation District | | | | | | | | |
| | |
COP, 4.00%, 12/15/2035 | | | 2,015 | | | | 2,363 | |
| | |
COP, 4.00%, 12/15/2036 | | | 1,350 | | | | 1,579 | |
| | |
COP, 4.00%, 12/15/2037 | | | 500 | | | | 582 | |
| | | | | | | | |
| | |
| | | | | | | 4,524 | |
| | | | | | | | |
|
Education — 0.3% | |
| | |
Colorado Educational and Cultural Facilities Authority, Stargate Charter School Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 12/1/2032 | | | 500 | | | | 631 | |
| | |
Series 2018A, Rev., 5.00%, 12/1/2033 | | | 500 | | | | 630 | |
| | |
Series 2018A, Rev., 4.00%, 12/1/2048 | | | 500 | | | | 558 | |
| | | | | | | | |
| | |
| | | | | | | 1,819 | |
| | | | | | | | |
|
General Obligation — 4.6% | |
| | |
Aviation Station, North Metropolitan District No. 2 Series A, GO, 5.00%, 12/1/2039 | | | 750 | | | | 820 | |
| | |
Bradburn Metropolitan District No. 2 | | | | | | | | |
| | |
Series 2018A, GO, 5.00%, 12/1/2038 | | | 500 | | | | 561 | |
| | |
Series 2018B, GO, 7.25%, 12/15/2047 | | | 500 | | | | 518 | |
| | |
Copperleaf Metropolitan District No. 4, Limited Tax, Convertible to Unlimited Tax | | | | | | | | |
| | |
Series 2020A, GO, 5.00%, 12/1/2039 | | | 775 | | | | 842 | |
| | |
Series 2020A, GO, 5.00%, 12/1/2049 | | | 1,000 | | | | 1,077 | |
| | |
Cottonwood Highlands Metropolitan District No. 1 Series 2019A, GO, 5.00%, 12/1/2049 | | | 900 | | | | 977 | |
| | |
Cross Creek Metropolitan District No. 2, Unlimited Tax GO, AGM, 4.00%, 12/1/2045 | | | 1,000 | | | | 1,154 | |
| | |
DIATC Metropolitan District | | | | | | | | |
| | |
GO, 3.25%, 12/1/2029 (c) | | | 590 | | | | 606 | |
| | |
GO, 5.00%, 12/1/2039 (c) | | | 1,240 | | | | 1,361 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
Lanterns Metropolitan District No. 1 Series A, GO, 5.00%, 12/1/2039 | | | 1,375 | | | | 1,493 | |
| | |
Mirabelle Metropolitan District No. 2, Limited Tax | | | | | | | | |
| | |
Series 2020A, GO, 5.00%, 12/1/2039 | | | 700 | | | | 767 | |
| | |
Series 2020A, GO, 5.00%, 12/1/2049 | | | 1,250 | | | | 1,354 | |
| | |
Painted Prairie Metropolitan District No. 2 GO, 5.25%, 12/1/2048 | | | 2,000 | | | | 2,129 | |
| | |
STC Metropolitan District No. 2 | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 12/1/2025 | | | 555 | | | | 568 | |
| | |
Series 2019A, GO, 4.00%, 12/1/2029 | | | 1,000 | | | | 1,080 | |
| | |
Series 2019A, GO, 5.00%, 12/1/2038 | | | 1,700 | | | | 1,880 | |
| | |
Thompson Crossing Metropolitan District No. 4 | | | | | | | | |
| | |
GO, 5.00%, 12/1/2039 | | | 1,400 | | | | 1,535 | |
| | |
GO, 5.00%, 12/1/2049 | | | 1,500 | | | | 1,632 | |
| | |
Trails at Crowfoot Metropolitan District No. 3 | | | | | | | | |
| | |
Series A, GO, 4.38%, 12/1/2030 | | | 620 | | | | 658 | |
| | |
Series A, GO, 5.00%, 12/1/2039 | | | 1,000 | | | | 1,081 | |
| | |
Vauxmont Metropolitan District, Senior Limited Tax, Convertible to Unlimited Tax GO, AGM, 5.00%, 12/1/2050 (e) | | | 1,500 | | | | 1,812 | |
| | |
Willow Bend Metropolitan District Series A, GO, 5.00%, 12/1/2039 | | | 600 | | | | 656 | |
| | | | | | | | |
| | |
| | | | | | | 24,561 | |
| | | | | | | | |
|
Hospital — 1.9% | |
| | |
Colorado Health Facilities Authority, Christian Living Neighborhoods | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2023 | | | 620 | | | | 658 | |
| | |
Rev., 4.00%, 1/1/2025 | | | 660 | | | | 726 | |
| | |
Rev., 4.00%, 1/1/2026 | | | 520 | | | | 580 | |
| | |
Rev., 4.00%, 1/1/2028 | | | 500 | | | | 570 | |
| | |
Rev., 4.00%, 1/1/2038 | | | 550 | | | | 603 | |
| | |
Rev., 5.00%, 1/1/2038 | | | 1,550 | | | | 1,803 | |
| | |
Colorado Health Facilities Authority, Commonspirit HealthSeries A-1, Rev., 4.00%, 8/1/2044 | | | 2,000 | | | | 2,307 | |
| | |
Colorado Health Facilities Authority, Frasier Meadows Retirement Community Project Series A, Rev., 5.25%, 5/15/2028 | | | 1,000 | | | | 1,205 | |
| | |
Denver Health and Hospital Authority, Healthcare Series 2019A, Rev., 4.00%, 12/1/2037 | | | 1,250 | | | | 1,461 | |
| | | | | | | | |
| | |
| | | | | | | 9,913 | |
| | | | | | | | |
|
Other Revenue — 1.1% | |
| | |
Copper Ridge Metropolitan District | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2029 | | | 1,000 | | | | 1,057 | |
| | |
Rev., 5.00%, 12/1/2039 | | | 1,000 | | | | 1,083 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Other Revenue — continued | | | | | | | | |
| | |
Painted Prairie Public Improvement Authority | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2029 | | | 1,000 | | | | 1,038 | |
| | |
Rev., 5.00%, 12/1/2039 | | | 2,500 | | | | 2,677 | |
| | | | | | | | |
| | |
| | | | | | | 5,855 | |
| | | | | | | | |
|
Utility — 0.0% (f) | |
| | |
Public Authority for Colorado Energy, Natural Gas Purchase Series 2008, Rev., 6.13%, 11/15/2023 | | | 90 | | | | 100 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 46,772 | |
| | | | | | | | |
|
Connecticut — 1.4% | |
|
Education — 0.8% | |
| | |
Connecticut State Health and Educational Facilities Authority, Mary Wade Home Issue | | | | | | | | |
| | |
Series A-1, Rev., 5.00%, 10/1/2029 (c) | | | 400 | | | | 453 | |
| | |
Series A-1, Rev., 4.50%, 10/1/2034 (c) | | | 2,350 | | | | 2,584 | |
| | |
Series A-1, Rev., 5.00%, 10/1/2039 (c) | | | 1,000 | | | | 1,114 | |
| | |
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series A, Rev., 5.25%, 11/15/2024 | | | 200 | | | | 206 | |
| | | | | | | | |
| | |
| | | | | | | 4,357 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
State of Connecticut Series A, GO, 5.00%, 4/15/2037 | | | 1,000 | | | | 1,257 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Connecticut State Health and Educational Facilities Authority, The Griffin Hospital IssueSeries G-1, Rev., 5.00%, 7/1/2034 (c) | | | 225 | | | | 276 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Town of Hamden, Whitney Center Project Rev., 5.00%, 1/1/2030 | | | 1,500 | | | | 1,706 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 7,596 | |
| | | | | | | | |
|
Delaware — 0.2% | |
|
Housing — 0.0% (f) | |
| | |
Delaware State Housing Authority, Senior Single Family MortgageSeries A-1, Rev., AMT, 4.90%, 7/1/2029 | | | 140 | | | | 143 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Delaware Economic Development Authority, Acts Retirement-Life Communities, Inc. Obligated GroupSeries 2018-B, Rev., 5.00%, 11/15/2048 | | | 700 | | | | 824 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 967 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 15 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
District of Columbia — 0.2% | |
|
Education — 0.2% | |
| | |
District of Columbia, International School Issue Rev., 5.00%, 7/1/2039 | | | 650 | | | | 816 | |
| | | | | | | | |
|
Other Revenue — 0.0% (f) | |
| | |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 | | | 200 | | | | 229 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 1,045 | |
| | | | | | | | |
|
Florida — 8.8% | |
|
Education — 4.9% | |
| | |
Capital Trust Agency, Inc., Advantage Academy of Hillsborough Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 12/15/2029 | | | 405 | | | | 464 | |
| | |
Series A, Rev., 5.00%, 12/15/2039 | | | 1,775 | | | | 1,995 | |
| | |
Capital Trust Agency, Inc., Franklin Academy Project | | | | | | | | |
| | |
Rev., 4.00%, 12/15/2025 (c) | | | 300 | | | | 327 | |
| | |
Rev., 5.00%, 12/15/2026 (c) | | | 300 | | | | 345 | |
| | |
Rev., 5.00%, 12/15/2027 (c) | | | 330 | | | | 377 | |
| | |
Rev., 5.00%, 12/15/2028 (c) | | | 345 | | | | 392 | |
| | |
Rev., 5.00%, 12/15/2029 (c) | | | 365 | | | | 412 | |
| | |
Rev., 5.00%, 12/15/2030 (c) | | | 510 | | | | 572 | |
| | |
Rev., 5.00%, 12/15/2035 (c) | | | 1,080 | | | | 1,191 | |
| | |
Rev., 5.00%, 12/15/2040 (c) | | | 1,200 | | | | 1,312 | |
| | |
Capital Trust Agency, Inc., Imagine School at Land O’Lakes Project | | | | | | | | |
| | |
Series 2020A, Rev., 3.00%, 12/15/2029 (c) | | | 420 | | | | 441 | |
| | |
Series 2020A, Rev., 5.00%, 12/15/2039 (c) | | | 640 | | | | 766 | |
| | |
County of Lake, Imagine South Lake Charter School Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 1/15/2029 (c) | | | 500 | | | | 571 | |
| | |
Series A, Rev., 5.00%, 1/15/2039 (c) | | | 550 | | | | 625 | |
| | |
Series A, Rev., 5.00%, 1/15/2049 (c) | | | 825 | | | | 925 | |
| | |
County of Palm Beach, Atlantic University | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2029 (c) | | | 400 | | | | 463 | |
| | |
Rev., 5.00%, 4/1/2039 (c) | | | 900 | | | | 1,041 | |
| | |
Florida Development Finance Corp., Imagine School at Broward Project | | | | | | | | |
| | |
Series A, Rev., 4.00%, 12/15/2029 (c) | | | 260 | | | | 294 | |
| | |
Series A, Rev., 5.00%, 12/15/2034 (c) | | | 525 | | | | 639 | |
| | |
Series A, Rev., 5.00%, 12/15/2039 (c) | | | 305 | | | | 366 | |
| | |
Florida Development Finance Corp., Pepin Academies of Pasco County, Inc. Project Series 2020A, Rev., 5.00%, 1/1/2040 (c) | | | 2,430 | | | | 2,639 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Florida Higher Educational Facilities Financial Authority, Ringling College Project | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2034 | | | 385 | | | | 485 | |
| | |
Rev., 5.00%, 3/1/2035 | | | 1,165 | | | | 1,464 | |
| | |
Rev., 5.00%, 3/1/2036 | | | 1,230 | | | | 1,541 | |
| | |
Rev., 5.00%, 3/1/2037 | | | 1,130 | | | | 1,413 | |
| | |
Rev., 5.00%, 3/1/2044 | | | 2,000 | | | | 2,459 | |
| | |
Florida Higher Educational Facilities Financial Authority, St. Leo University Project Series 2019, Rev., 5.00%, 3/1/2039 | | | 750 | | | | 891 | |
| | |
Lakeland Educational Facilities, Southern College Project Series 2012A, Rev., 5.00%, 9/1/2025 | | | 500 | | | | 545 | |
| | |
Pinellas County Educational Facilities Authority, Pinellas Academy of Math and Science Project Series 2018A, Rev., 4.13%, 12/15/2028 (c) | | | 1,060 | | | | 1,165 | |
| | | | | | | | |
| | |
| | | | | | | 26,120 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Miami Beach Health Facilities Authority, Mount Sinai Medical Center Rev., 5.00%, 11/15/2029 | | | 545 | | | | 636 | |
| | |
Sarasota County Health Facilities Authority, Sunnyside Village Project Rev., 5.00%, 5/15/2038 | | | 1,050 | | | | 1,218 | |
| | | | | | | | |
| | |
| | | | | | | 1,854 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.8% | |
| | |
Lee County Industrial Development Authority, Shell Point/Waterside Health Project Rev., 5.00%, 11/15/2039 | | | 1,340 | | | | 1,621 | |
| | |
Polk County Industrial Development Authority, Retirement Facilities, Carpenter’s Home Estates | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2029 | | | 440 | | | | 511 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2039 | | | 400 | | | | 456 | |
| | |
Seminole County Industrial Development Authority, Legacy Pointe at UCF Project | | | | | | | | |
| | |
Series 2019B-2, Rev., 3.75%, 11/15/2025 | | | 2,000 | | | | 2,027 | |
| | |
Series 2019B-1, Rev., 4.25%, 11/15/2026 | | | 2,000 | | | | 2,027 | |
| | |
Series 2019A, Rev., 5.00%, 11/15/2029 | | | 1,000 | | | | 1,053 | |
| | |
Series 2019A, Rev., 5.25%, 11/15/2039 | | | 2,000 | | | | 2,102 | |
| | | | | | | | |
| | |
| | | | | | | 9,797 | |
| | | | | | | | |
|
Other Revenue — 0.4% | |
| | |
City of Venice, Village on the Isle Project | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2037 | | | 1,000 | | | | 1,158 | |
| | |
Rev., 5.00%, 1/1/2047 | | | 1,000 | | | | 1,138 | |
| | | | | | | | |
| | |
| | | | | | | 2,296 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.0% (f) | |
| | |
Charlotte County, Utility System Rev., AGM, 5.25%, 10/1/2024 (d) | | | 70 | | | | 75 | |
| | | | | | | | |
|
Transportation — 0.7% | |
| | |
County of Broward, Airport System Series 2019A, Rev., AMT, 4.00%, 10/1/2044 | | | 3,000 | | | | 3,515 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
Charlotte County, Utility System Rev., AGM, 5.25%, 10/1/2024 | | | 130 | | | | 139 | |
| | |
County of Palm Beach, Tuscan Gardens of Delray Beach Project | | | | | | | | |
| | |
Series 2018-A, Rev., 4.25%, 4/2/2022 (b) | | | 1,000 | | | | 1,008 | |
| | |
Series 2018C, Rev., VRDO, 6.25%, 4/2/2022 (b) | | | 1,000 | | | | 1,000 | |
| | |
JEA Electric System Series B, Rev., 5.00%, 10/1/2034 | | | 25 | | | | 27 | |
| | |
Pinellas County Industrial Development Authority, Drs. Kiran & Pallavi Patel 2017 Foundation For Global Understanding, Inc., Project | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2029 | | | 625 | | | | 756 | |
| | |
Tampa Bay Water Utility System, Revenue Refunding and Improvement Series A, Rev., NATL-RE, 6.00%, 10/1/2029 | | | 500 | | | | 719 | |
| | | | | | | | |
| | |
| | | | | | | 3,649 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 47,306 | |
| | | | | | | | |
|
Georgia — 0.2% | |
|
Hospital — 0.1% | |
| | |
Glynn-Brunswick Memorial Hospital Authority, Health System Project Rev., 4.00%, 8/1/2036 | | | 375 | | | | 445 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Georgia Housing and Finance Authority, Single Family Mortgage Series B, Rev., AMT, 4.00%, 12/1/2029 | | | 10 | | | | 10 | |
| | | | | | | | |
|
Other Revenue — 0.0% (f) | |
| | |
Downtown Smyrna Development Authority Rev., 5.25%, 2/1/2028 | | | 240 | | | | 287 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Atlanta, Airport Series 2012C, Rev., 5.00%, 1/1/2042 | | | 500 | | | | 531 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 1,273 | |
| | | | | | | | |
|
Idaho — 0.0% (f) | |
|
Education — 0.0% (f) | |
| | |
Idaho Housing and Finance Association, Compass Public Charter School, Inc. Project Series A, Rev., 4.63%, 7/1/2029 (c) | | | 180 | | | | 201 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Illinois — 6.3% | |
|
Education — 0.6% | |
| | |
Illinois Finance Authority, University of Illinois, Champaign Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2036 | | | 300 | | | | 386 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2037 | | | 400 | | | | 513 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2038 | | | 400 | | | | 511 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2039 | | | 350 | | | | 446 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2044 | | | 1,000 | | | | 1,261 | |
| | | | | | | | |
| | |
| | | | | | | 3,117 | |
| | | | | | | | |
|
General Obligation — 2.4% | |
| | |
Grundy and Will Counties Community Unit School District No. 1 Coal City GO, 5.00%, 2/1/2027 | | | 600 | | | | 735 | |
| | |
Metropolitan Water Reclamation District of Greater Chicago Series C, GO, 5.25%, 12/1/2027 | | | 50 | | | | 65 | |
| | |
State of Illinois | | | | | | | | |
| | |
Series 2012, GO, 4.13%, 3/1/2028 | | | 170 | | | | 178 | |
| | |
Series 2017A, GO, 4.00%, 12/1/2033 | | | 5,000 | | | | 5,712 | |
| | |
State of Illinois, Rebuild Illinois Program Series 2019B, GO, 4.00%, 11/1/2035 | | | 5,000 | | | | 5,839 | |
| | | | | | | | |
| | |
| | | | | | | 12,529 | |
| | | | | | | | |
|
Hospital — 0.8% | |
| | |
Upper Illinois River Valley Development Authority, Morris Hospital | | | | | | | | |
| | |
Series 2018, Rev., 5.00%, 12/1/2027 | | | 1,145 | | | | 1,384 | |
| | |
Series 2018, Rev., 5.00%, 12/1/2028 | | | 1,050 | | | | 1,289 | |
| | |
Series 2018, Rev., 5.00%, 12/1/2029 | | | 875 | | | | 1,069 | |
| | |
Series 2018, Rev., 5.00%, 12/1/2033 | | | 250 | | | | 301 | |
| | |
Series 2018, Rev., 5.00%, 12/1/2034 | | | 20 | | | | 24 | |
| | | | | | | | |
| | |
| | | | | | | 4,067 | |
| | | | | | | | |
|
Housing — 0.9% | |
| | |
Illinois Finance Authority, Lutheran Life Communities Obligated Group | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2029 | | | 1,590 | | | | 1,811 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2030 | | | 1,940 | | | | 2,201 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2035 | | | 900 | | | | 1,010 | |
| | | | | | | | |
| | |
| | | | | | | 5,022 | |
| | | | | | | | |
|
Other Revenue — 1.0% | |
| | |
Metropolitan Pier and Exposition Authority, Mccormick Place Expansion Project Series 2012B, Rev., 5.00%, 12/15/2028 | | | 1,610 | | | | 1,730 | |
| | |
Sales Tax Securitization Corp., Second Lien | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 1/1/2037 | | | 1,800 | | | | 2,345 | |
| | |
Series 2020A, Rev., 4.00%, 1/1/2040 | | | 1,095 | | | | 1,291 | |
| | | | | | | | |
| | |
| | | | | | | 5,366 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 17 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.0% (f) | |
| | |
Lake County Community Consolidated School District No. 50 Woodland Series C, GO, 5.25%, 1/1/2024 (d) | | | 150 | | | | 156 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
Chicago O’Hare International Airport, Transportation Infrastructure Properties LLC (TRIPS) Obligated Group Rev., AMT, 5.00%, 7/1/2038 | | | 500 | | | | 609 | |
| | |
Illinois State Toll Highway Authority Series A, Rev., 4.00%, 1/1/2037 | | | 2,000 | | | | 2,395 | |
| | |
Regional Transportation Authority Series A, Rev., NATL-RE, 6.00%, 7/1/2024 | | | 250 | | | | 302 | |
| | | | | | | | |
| | |
| | | | | | | 3,306 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (f) | |
| | |
City of Chicago, Waterworks, Second Lien Rev., AMBAC, BHAC-CR, 5.75%, 11/1/2030 | | | 150 | | | | 195 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 33,758 | |
| | | | | | | | |
|
Indiana — 2.1% | |
|
Education — 0.5% | |
| | |
City of Anderson, Economic Development, Anderson University Rev., 6.00%, 10/1/2042 | | | 1,500 | | | | 1,583 | |
| | |
Indiana Finance Authority, Marian University Project Series A, Rev., 4.00%, 9/15/2044 | | | 1,090 | | | | 1,216 | |
| | | | | | | | |
| | |
| | | | | | | 2,799 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Indiana Finance Authority, Goshen Health | | | | | | | | |
| | |
Series A, Rev., 5.00%, 11/1/2035 | | | 665 | | | | 845 | |
| | |
Series A, Rev., 4.00%, 11/1/2036 | | | 235 | | | | 272 | |
| | |
Series A, Rev., 4.00%, 11/1/2037 | | | 330 | | | | 379 | |
| | |
Series A, Rev., 4.00%, 11/1/2038 | | | 340 | | | | 390 | |
| | |
Series A, Rev., 4.00%, 11/1/2039 | | | 360 | | | | 412 | |
| | | | | | | | |
| | |
| | | | | | | 2,298 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Indiana Housing and Community Development Authority, Home First Mortgage | | | | | | | | |
| | |
Series C, Rev., GNMA/FNMA/FHLMC, 4.50%, 12/1/2027 | | | 25 | | | | 26 | |
| | |
Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 6/1/2028 | | | 10 | | | | 10 | |
| | | | | | | | |
| | |
| | | | | | | 36 | |
| | | | | | | | |
|
Other Revenue — 0.9% | |
| | |
City of Franklin, Otterbeit Homes | | | | | | | | |
| | |
Series B, Rev., 4.00%, 7/1/2036 | | | 870 | | | | 996 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Other Revenue — continued | | | | | | | | |
| | |
Series B, Rev., 4.00%, 7/1/2037 | | | 905 | | | | 1,034 | |
| | |
Series B, Rev., 4.00%, 7/1/2038 | | | 940 | | | | 1,071 | |
| | |
Series B, Rev., 4.00%, 7/1/2039 | | | 750 | | | | 852 | |
| | |
Series B, Rev., 4.00%, 7/1/2040 | | | 500 | | | | 566 | |
| | | | | | | | |
| | |
| | | | | | | 4,519 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
Indiana Finance Authority, Marquette Project Series A, Rev., 5.00%, 3/1/2030 | | | 1,000 | | | | 1,142 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Indiana State Finance Authority, Wastewater Utility, First Lien Series 2101A, Rev., 5.25%, 10/1/2031 | | | 250 | | | | 267 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 11,061 | |
| | | | | | | | |
|
Iowa — 0.6% | |
|
Education — 0.1% | |
| | |
Iowa Student Loan Liquidity Corp., Student Loan Series A, Rev., AMT, 3.75%, 12/1/2033 | | | 550 | | | | 590 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Iowa Finance Authority, Northcrest Inc. Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 3/1/2028 | | | 890 | | | | 1,003 | |
| | |
Series 2018A, Rev., 5.00%, 3/1/2038 | | | 250 | | | | 278 | |
| | | | | | | | |
| | |
| | | | | | | 1,281 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
Iowa Finance Authority, Phs Council Bluffs, Inc. Project | | | | | | | | |
| | |
Rev., 3.95%, 8/1/2023 | | | 150 | | | | 154 | |
| | |
Rev., 4.45%, 8/1/2028 | | | 250 | | | | 265 | |
| | |
Rev., 5.00%, 8/1/2033 | | | 485 | | | | 522 | |
| | |
Rev., 5.00%, 8/1/2038 | | | 370 | | | | 395 | |
| | | | | | | | |
| | |
| | | | | | | 1,336 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 3,207 | |
| | | | | | | | |
|
Kansas — 0.5% | |
|
Hospital — 0.5% | |
| | |
City of Lenexa, Kansas Health Care Facility, Lakeview Village, Inc. | | | | | | | | |
| | |
Series A, Rev., 5.00%, 5/15/2032 | | | 500 | | | | 576 | |
| | |
Series A, Rev., 5.00%, 5/15/2039 | | | 850 | | | | 968 | |
| | |
City of Wichita, Health Care Facilities, Presbyterian Manors, Inc. | | | | | | | | |
| | |
Series 2018 I, Rev., 5.00%, 5/15/2033 | | | 500 | | | | 564 | |
| | |
Series I, Rev., 5.00%, 5/15/2038 | | | 500 | | | | 560 | |
| | | | | | | | |
| | |
| | | | | | | 2,668 | |
| | | | | | | | |
| | |
Total Kansas | | | | | | | 2,668 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Kentucky — 0.3% | |
|
Hospital — 0.3% | |
| | |
City of Ashland, Kings Daughters Medical Center | | | | | | | | |
| | |
Series 2016A, Rev., 4.00%, 2/1/2036 | | | 1,000 | | | | 1,083 | |
| | |
Series 2016A, Rev., 5.00%, 2/1/2040 | | | 500 | | | | 575 | |
| | | | | | | | |
| | |
| | | | | | | 1,658 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 1,658 | |
| | | | | | | | |
|
Louisiana — 0.8% | |
|
Education — 0.6% | |
| | |
Louisiana Public Facilities Authority, Young Audiences Charter School Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/1/2030 (c) | | | 525 | | | | 579 | |
| | |
Series A, Rev., 5.00%, 4/1/2039 (c) | | | 1,425 | | | | 1,532 | |
| | |
Series A, Rev., 5.00%, 4/1/2049 (c) | | | 1,135 | | | | 1,204 | |
| | | | | | | | |
| | |
| | | | | | | 3,315 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2042 | | | 500 | | | | 609 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
East Baton Rouge Mortgage Finance Authority, Single Family Mortgage, Mortgage-Backed Securities ProgramSeries 2009A-2, Rev., GNMA/FNMA/FHLMC, 4.75%, 10/1/2029 | | | 40 | | | | 40 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
New Orleans Aviation Board, General Airport, North Terminal Project Series B, Rev., AMT, 5.00%, 1/1/2048 | | | 250 | | | | 296 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 4,260 | |
| | | | | | | | |
|
Maine — 0.0% (f) | |
|
Prerefunded — 0.0% (f) | |
| | |
Maine Health and Higher Educational Facilities Authority Series A, Rev., 5.00%, 7/1/2025 (d) | | | 25 | | | | 28 | |
| | | | | | | | |
|
Maryland — 0.7% | |
|
Education — 0.7% | |
| | |
County of Frederick, Educational Facilities, Mount St. Mary’s University Series A, Rev., 5.00%, 9/1/2037 (c) | | | 1,500 | | | | 1,743 | |
| | |
Maryland Economic Development Corp., Bowie State University Project | | | | | | | | |
| | |
Rev., 4.00%, 7/1/2040 | | | 300 | | | | 343 | |
| | |
Rev., 4.00%, 7/1/2050 | | | 1,500 | | | | 1,689 | |
| | | | | | | | |
| | |
| | | | | | | 3,775 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation��— 0.0% (f) | |
| | |
Maryland Economic Development Corp. Series A, Rev., 5.13%, 6/1/2020 (d) | | | 40 | | | | 41 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 3,816 | |
| | | | | | | | |
|
Massachusetts — 1.9% | |
|
Education — 1.0% | |
| | |
Massachusetts Development Finance Agency, Emerson College | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2037 | | | 500 | | | | 618 | |
| | |
Rev., 5.00%, 1/1/2038 | | | 405 | | | | 499 | |
| | |
Rev., 5.00%, 1/1/2043 | | | 500 | | | | 610 | |
| | |
Massachusetts Development Finance Agency, Emmanuel College Series 2016A, Rev., 5.00%, 10/1/2043 | | | 500 | | | | 594 | |
| | |
Massachusetts Development Finance Agency, Suffolk University | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2036 | | | 450 | | | | 571 | |
| | |
Rev., 5.00%, 7/1/2037 | | | 605 | | | | 767 | |
| | |
Massachusetts Educational Financing Authority Series B, Rev., AMT, 3.63%, 7/1/2034 | | | 1,000 | | | | 1,124 | |
| | |
Massachusetts State College Building Authority Series B, Rev., AGC, 5.50%, 5/1/2028 | | | 350 | | | | 445 | |
| | | | | | | | |
| | |
| | | | | | | 5,228 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Massachusetts Development Finance Agency, Newbridge On the Charles, Inc. Rev., 4.13%, 10/1/2042 (c) | | | 2,000 | | | | 2,157 | |
| | |
Massachusetts Development Finance Agency, Orchid Cove, Inc. | | | | | | | | |
| | |
Rev., 4.00%, 10/1/2029 | | | 925 | | | | 1,040 | |
| | |
Rev., 4.00%, 10/1/2039 | | | 500 | | | | 547 | |
| | |
Rev., 5.00%, 10/1/2039 | | | 250 | | | | 289 | |
| | | | | | | | |
| | |
| | | | | | | 4,033 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Massachusetts Bay Transportation Authority Series B, Rev., NATL-RE, 5.50%, 7/1/2028 | | | 300 | | | | 409 | |
| | |
Massachusetts Port Authority Series A, Rev., 5.00%, 7/1/2044 | | | 500 | | | | 580 | |
| | | | | | | | |
| | |
| | | | | | | 989 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (f) | |
| | |
Massachusetts Water Resources Authority Series B, Rev., AGM, 5.25%, 8/1/2032 | | | 100 | | | | 146 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 10,396 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 19 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Michigan — 3.0% | |
|
Education — 0.2% | |
| | |
Michigan Finance Authority, Universal Learning Academy Rev., 6.00%, 11/1/2032 | | | 750 | | | | 861 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
City of Detroit | | | | | | | | |
| | |
GO, 5.00%, 4/1/2035 | | | 500 | | | | 583 | |
| | |
GO, 5.00%, 4/1/2036 | | | 500 | | | | 582 | |
| | |
GO, 5.00%, 4/1/2037 | | | 500 | | | | 580 | |
| | | | | | | | |
| | |
| | | | | | | 1,745 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Kentwood Economic Development Corp., Holland Home Obligated Group Rev., 5.00%, 11/15/2032 | | | 1,390 | | | | 1,645 | |
| | |
Saginaw County Economic Development Corp., BGI South LLC-Recovery Zone Rev., 5.00%, 12/1/2020 | | | 40 | | | | 41 | |
| | | | | | | | |
| | |
| | | | | | | 1,686 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
Michigan Strategic Fund, Holland Home Obligated Group | | | | | | | | |
| | |
Rev., 5.00%, 11/15/2034 | | | 1,900 | | | | 2,240 | |
| | |
Rev., 5.00%, 11/15/2043 | | | 750 | | | | 870 | |
| | | | | | | | |
| | |
| | | | | | | 3,110 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Wayne County Airport Authority, Detroit Metropolitan Airport Series B, Rev., AMT, 5.00%, 12/1/2021 | | | 400 | | | | 428 | |
| | | | | | | | |
|
Utility — 1.5% | |
| | |
Kalamazoo Economic Development Corp., Heritage Community of Kalamazoo Project | | | | | | | | |
| | |
Rev., 5.00%, 5/15/2032 | | | 2,000 | | | | 2,331 | |
| | |
Rev., 5.00%, 5/15/2037 | | | 1,230 | | | | 1,419 | |
| | |
Michigan Strategic Fund, I-75 Improvement Project Rev., AMT, AGM, 4.13%, 6/30/2035 | | | 2,500 | | | | 2,892 | |
| | |
Michigan Strategic Fund, United Methodist Retirement Communities, Inc. Project Rev., 5.00%, 11/15/2034 | | | 1,280 | | | | 1,544 | |
| | | | | | | | |
| | |
| | | | | | | 8,186 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 16,016 | |
| | | | | | | | |
|
Minnesota — 0.7% | |
|
Hospital — 0.2% | |
| | |
City of Minneapolis, Health Care System, Fairview Health Services Series A, Rev., 4.00%, 11/15/2038 | | | 750 | | | | 875 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.5% | |
| | |
City of Apple Valley, Minnesota Senior Housing, Orchard Path Project Rev., 4.25%, 9/1/2038 | | | 750 | | | | 791 | |
| | |
City of Wayzata, Folkestone Senior Living Community | | | | | | | | |
| | |
Rev., 5.00%, 8/1/2032 | | | 100 | | | | 114 | |
| | |
Rev., 5.00%, 8/1/2033 | | | 200 | | | | 228 | |
| | |
Rev., 5.00%, 8/1/2035 | | | 200 | | | | 227 | |
| | |
Rev., 3.75%, 8/1/2036 | | | 250 | | | | 268 | |
| | |
Rev., 3.75%, 8/1/2037 | | | 500 | | | | 535 | |
| | |
Rev., 4.00%, 8/1/2038 | | | 350 | | | | 377 | |
| | |
Rev., 4.00%, 8/1/2039 | | | 250 | | | | 269 | |
| | |
Minneapolis/St. Paul Housing Finance Board, Single Family Mortgage, Mortgage-Backed Securities Program, City Living Home Programs | | | | | | | | |
| | |
Series A-1, Rev., GNMA/FNMA/FHLMC, 5.25%, 12/1/2040 | | | 4 | | | | 4 | |
| | |
Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041 | | | 70 | | | | 71 | |
| | |
Minnesota Housing Finance Agency, Residential Housing Finance Series D, Rev., AMT, GNMA/FNMA/FHLMC, 4.00%, 7/1/2040 | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 2,889 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 3,764 | |
| | | | | | | | |
|
Mississippi — 0.6% | |
|
Hospital — 0.5% | |
| | |
Mississippi Hospital Equipment and Facilities Authority, Forrest County General Hospital Refunding Project | | | | | | | | |
| | |
Series A, Rev., 4.00%, 1/1/2039 | | | 1,250 | | | | 1,443 | |
| | |
Series A, Rev., 4.00%, 1/1/2040 | | | 1,000 | | | | 1,151 | |
| | | | | | | | |
| | |
| | | | | | | 2,594 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Mississippi Development Bank, Harrison County, Coliseum and Convention Center | | | | | | | | |
| | |
Series A, Rev., GTD, 5.25%, 1/1/2030 | | | 160 | | | | 215 | |
| | |
Series 2010A, Rev., GTD, 5.25%, 1/1/2034 | | | 100 | | | | 139 | |
| | | | | | | | |
| | |
| | | | | | | 354 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 2,948 | |
| | | | | | | | |
|
Missouri — 1.9% | |
|
Education — 0.6% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 2/1/2029 | | | 550 | | | | 638 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 2/1/2034 | | | 1,010 | | | | 1,163 | |
| | |
Series 2019A, Rev., 5.00%, 2/1/2042 | | | 1,000 | | | | 1,141 | |
| | | | | | | | |
| | |
| | | | | | | 2,942 | |
| | | | | | | | |
|
General Obligation — 0.0% (f) | |
| | |
Independence School District, Direct Deposit Program Series A, GO, 5.25%, 3/1/2031 | | | 250 | | | | 261 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Missouri Housing Development Commission, Single Family Mortgage, Special Homeownership Loan Program | | | | | | | | |
| | |
Series E-3, Rev., GNMA/FNMA/FHLMC, 4.63%, 5/1/2028 | | | 30 | | | | 31 | |
| | |
Series E-4, Rev., AMT, GNMA/FNMA/FHLMC, 4.25%, 11/1/2030 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 51 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
St. Louis County Industrial Development Authority, Friendship Village Series 2018A, Rev., 5.00%, 9/1/2028 | | | 630 | | | | 739 | |
| | | | | | | | |
|
Other Revenue — 1.1% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects | | | | | | | | |
| | |
Series 2019C, Rev., 4.00%, 2/1/2032 | | | 390 | | | | 448 | |
| | |
Series 2019C, Rev., 4.00%, 2/1/2033 | | | 865 | | | | 987 | |
| | |
Series 2019C, Rev., 4.00%, 2/1/2034 | | | 1,000 | | | | 1,138 | |
| | |
Series 2019C, Rev., 5.00%, 2/1/2042 | | | 2,500 | | | | 3,101 | |
| | | | | | | | |
| | |
| | | | | | | 5,674 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Bi-State Development Agency, Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2025 | | | 400 | | | | 487 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 10,154 | |
| | | | | | | | |
|
Montana — 0.1% | |
|
General Obligation — 0.1% | |
| | |
Cascade County Elementary School District No. 1 Great Falls, School Building GO, 3.63%, 7/1/2038 | | | 335 | | | | 375 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Montana Board of Housing, Single Family HomeownershipSeries A-2, Rev., AMT, 4.00%, 12/1/2038 | | | 110 | | | | 115 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — 0.0% (f) | |
| | |
City of Billings, Airport Series 2010A, Rev., AMT, 5.00%, 7/1/2020 | | | 100 | | | | 101 | |
| | | | | | | | |
| | |
Total Montana | | | | | | | 591 | |
| | | | | | | | |
|
Nebraska — 0.4% | |
|
Hospital — 0.4% | |
| | |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Obligated Group | | | | | | | | |
| | |
Series 2019A, Rev., 4.00%, 1/1/2034 | | | 1,000 | | | | 1,135 | |
| | |
Series 2019A, Rev., 4.00%, 1/1/2037 | | | 1,000 | | | | 1,130 | |
| | | | | | | | |
| | |
| | | | | | | 2,265 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 2,265 | |
| | | | | | | | |
|
Nevada — 0.1% | |
|
Other Revenue — 0.0% (f) | |
| | |
City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 6/15/2024 (c) | | | 215 | | | | 220 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Reno, Sales Tax, Senior Lien, ReTrac-Reno Transportation Rail Access Corridor Project Series B, Rev., AGM, 4.00%, 6/1/2048 | | | 375 | | | | 428 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 648 | |
| | | | | | | | |
|
New Hampshire — 0.3% | |
|
Education — 0.0% (f) | |
| | |
City of Manchester, School Facilities Rev., NATL-RE, 5.50%, 6/1/2027 | | | 100 | | | | 130 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
New Hampshire Housing Finance Authority, Single Family Mortgage Series 2011A, Rev., AMT, 5.25%, 7/1/2028 | | | 15 | | | | 16 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
New Hampshire Business Finance Authority, The Vista Project | | | | | | | | |
| | |
Series A, Rev., 5.25%, 7/1/2039 (c) | | | 200 | | | | 221 | |
| | |
Series A, Rev., 5.63%, 7/1/2046 (c) | | | 1,000 | | | | 1,117 | |
| | | | | | | | |
| | |
| | | | | | | 1,338 | |
| | | | | | | | |
| | |
Total New Hampshire | | | | | | | 1,484 | |
| | | | | | | | |
|
New Jersey — 4.8% | |
|
Education — 1.4% | |
| | |
New Jersey Economic Development Authority, School Facilities Construction Series EEE, Rev., 5.00%, 6/15/2043 | | | 4,000 | | | | 4,895 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 21 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan | | | | | | | | |
| | |
Series 2018A, Rev., AMT, 3.75%, 12/1/2031 | | | 750 | | | | 849 | |
| | |
Series 2018A, Rev., AMT, 4.00%, 12/1/2032 | | | 400 | | | | 461 | |
| | |
Series A, Rev., AMT, 4.00%, 12/1/2033 | | | 500 | | | | 575 | |
| | |
Series 2018A, Rev., AMT, 4.00%, 12/1/2034 | | | 300 | | | | 344 | |
| | |
Series A, Rev., AMT, 4.00%, 12/1/2035 | | | 200 | | | | 229 | |
| | | | | | | | |
| | |
| | | | | | | 7,353 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
New Jersey Health Care Facilities Financing Authority, St. Josephs Healthcare System Rev., 5.00%, 7/1/2041 | | | 1,500 | | | | 1,750 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.0% | |
| | |
New Jersey Economic Development Authority, Black House EHT Urban Renewal LLC Project Series 2019A, Rev., 5.00%, 10/1/2039 (c) | | | 2,000 | | | | 2,068 | |
| | |
New Jersey Economic Development Authority, Charter School, Golden Door Charter School Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.13%, 11/1/2029 (c) | | | 210 | | | | 235 | |
| | |
Series 2018-A, Rev., 6.25%, 11/1/2038 (c) | | | 525 | | | | 620 | |
| | |
New Jersey Economic Development Authority, Charter School, Marion P. Thomas Charter School, Inc. ProjectSeries 2018-A, Rev., 5.00%, 10/1/2033 (c) | | | 1,000 | | | | 1,107 | |
| | |
New Jersey Economic Development Authority, State House Project Series 2017B, Rev., 4.13%, 6/15/2039 | | | 1,200 | | | | 1,399 | |
| | | | | | | | |
| | |
| | | | | | | 5,429 | |
| | | | | | | | |
|
Transportation — 1.5% | |
| | |
New Jersey Economic Development Authority, Motor Vehicle Surplus Series A, Rev., NATL-RE, 5.25%, 7/1/2024 | | | 380 | | | | 444 | |
| | |
New Jersey Economic Development Authority, Transit Transportation Project | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 11/1/2037 | | | 1,500 | | | | 1,746 | |
| | |
Series 2020A, Rev., 4.00%, 11/1/2038 | | | 750 | | | | 870 | |
| | |
Series 2020A, Rev., 4.00%, 11/1/2039 | | | 2,000 | | | | 2,313 | |
| | |
New Jersey Transportation Trust Fund Authority Series 2019BB, Rev., 4.00%, 6/15/2036 | | | 1,000 | | | | 1,156 | |
| | |
New Jersey Transportation Trust Fund Authority, Transportation Program Series AA, Rev., 5.25%, 6/15/2033 | | | 1,335 | | | | 1,492 | |
| | | | | | | | |
| | |
| | | | | | | 8,021 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Utility — 0.6% | |
| | |
New Jersey Economic Development Authority, White Horse HMT Urban Renewal LLC Project Rev., 5.00%, 1/1/2040 (c) | | | 3,000 | | | | 3,070 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 25,623 | |
| | | | | | | | |
|
New Mexico — 0.6% | |
|
Housing — 0.0% (f) | |
| | |
New Mexico Mortgage Finance Authority, Single Family Mortgage Program | | | | | | | | |
| | |
Series 2011B, Class I, Rev., GNMA/FNMA/FHLMC, 5.00%, 3/1/2028 | | | 60 | | | | 61 | |
| | |
Series A, Class I, Rev., GNMA/FNMA/FHLMC, 5.00%, 9/1/2030 | | | 10 | | | | 10 | |
| | | | | | | | |
| | |
| | | | | | | 71 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Santa Fe, El Castillo Retirement Residences Project Series 2019A, Rev., 5.00%, 5/15/2034 | | | 650 | | | | 756 | |
| | | | | | | | |
|
Utility — 0.4% | |
| | |
New Mexico Hospital Equipment Loan Council, Haverland Carter Lifestyle Group – La Vida Llena Expansion Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2033 | | | 360 | | | | 425 | |
| | |
Series A, Rev., 5.00%, 7/1/2034 | | | 375 | | | | 442 | |
| | |
Series A, Rev., 5.00%, 7/1/2039 | | | 1,225 | | | | 1,436 | |
| | | | | | | | |
| | |
| | | | | | | 2,303 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 3,130 | |
| | | | | | | | |
|
New York — 3.5% | |
|
Education — 1.7% | |
| | |
Build Resource Corp., Inwood Academy for Leadership Charter School Project | | | | | | | | |
| | |
Series 2018A, Rev., 4.88%, 5/1/2031 (c) | | | 500 | | | | 588 | |
| | |
Series 2018A, Rev., 5.13%, 5/1/2038 (c) | | | 250 | | | | 295 | |
| | |
New York State Dormitory Authority, Montefiore Obligated Group | | | | | | | | |
| | |
Series 2020A, Rev., AGM, 3.00%, 9/1/2050 | | | 1,850 | | | | 1,985 | |
| | |
Series 2020A, Rev., 4.00%, 9/1/2050 | | | 3,600 | | | | 4,172 | |
| | |
Onondaga Civic Development Corp., Le Moyne College Project | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2037 | | | 300 | | | | 370 | |
| | |
Rev., 5.00%, 1/1/2038 | | | 200 | | | | 246 | |
| | |
Rev., 5.00%, 1/1/2043 | | | 500 | | | | 611 | |
| | |
Yonkers Economic Development Corp., Charter School of Educational Excellence Project | | | | | | | | |
| | |
Series 2019A, Rev., 4.00%, 10/15/2029 | | | 200 | | | | 225 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/15/2039 | | | 315 | | | | 371 | |
| | | | | | | | |
| | |
| | | | | | | 8,863 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Jefferson County Civic Facility Development Corp., Samaritan Medical Center Project Series 2017A, Rev., 4.00%, 11/1/2042 | | | 1,000 | | | | 1,082 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Westchester County Local Development Corp., Miriam Osborn Memorial Home Association Project Series 2019, Rev., 5.00%, 7/1/2042 | | | 365 | | | | 428 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.0% | |
| | |
Monroe County Industrial Development Corp., St. Anns Community Project | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2030 | | | 2,000 | | | | 2,212 | |
| | |
Rev., 5.00%, 1/1/2040 | | | 2,145 | | | | 2,426 | |
| | |
Suffolk County Economic Development Corp., Peconic Landing at Southold Project, Inc. Rev., 5.00%, 12/1/2029 (e) | | | 750 | | | | 871 | |
| | | | | | | | |
| | |
| | | | | | | 5,509 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
New York Liberty Development Corp., Goldman Sachs Headquarters Rev., 5.25%, 10/1/2035 | | | 525 | | | | 758 | |
| | |
New York State Environmental Facilities Corp., Revolving Funds, Pooled Financing Series 2005B, Rev., 5.50%, 10/15/2030 (d) | | | 390 | | | | 558 | |
| | | | | | | | |
| | |
| | | | | | | 1,316 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Series BB, Rev., 5.25%, 6/15/2044 (d) | | | 250 | | | | 271 | |
| | |
New York City Water and Sewer System Series 2011EE, Rev., 5.38%, 6/15/2043 (d) | | | 290 | | | | 300 | |
| | | | | | | | |
| | |
| | | | | | | 571 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia Airport Terminals C&D Redevelopment Project | | | | | | | | |
| | |
Rev., AMT, 4.00%, 1/1/2036 | | | 500 | | | | 568 | |
| | |
Rev., AMT, 5.00%, 1/1/2036 | | | 375 | | | | 463 | |
| | | | | | | | |
| | |
| | | | | | | 1,031 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (f) | |
| | |
New York City Water and Sewer System Series EE, Rev., 5.38%, 6/15/2043 | | | 150 | | | | 155 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 18,955 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
North Carolina — 0.6% | |
|
Hospital — 0.6% | |
| | |
North Carolina Medical Care Commission, Retirement Facilities First Mortgage | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2029 | | | 560 | | | | 674 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2030 | | | 655 | | | | 787 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2031 | | | 625 | | | | 749 | |
| | |
North Carolina Medical Care Commission, Retirement Facilities First Mortgage, Davidson Project Series 2019A, Rev., 5.00%, 1/1/2034 | | | 1,000 | | | | 1,150 | |
| | | | | | | | |
| | |
| | | | | | | 3,360 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 3,360 | |
| | | | | | | | |
|
North Dakota — 0.1% | |
|
Housing — 0.0% (f) | |
| | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2012A, Rev., 3.75%, 7/1/2042 | | | 50 | | | | 52 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
McLean County, Solid Waste Facilities, Great River Energy Project Series A, Rev., 4.88%, 7/1/2026 | | | 210 | | | | 212 | |
| | | | | | | | |
| | |
Total North Dakota | | | | | | | 264 | |
| | | | | | | | |
|
Ohio — 4.4% | |
|
Education — 2.5% | |
| | |
Ohio Higher Educational Facility Commission, The Cleveland Institute of Art 2018 Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2028 | | | 500 | | | | 590 | |
| | |
Rev., 5.00%, 12/1/2033 | | | 270 | | | | 314 | |
| | |
Rev., 5.00%, 12/1/2038 | | | 685 | | | | 786 | |
| | |
Ohio Higher Educational Facility Commission, Tiffin University 2019 Project | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2034 | | | 2,875 | | | | 3,467 | |
| | |
Rev., 5.00%, 11/1/2039 | | | 4,890 | | | | 5,826 | |
| | |
Ohio Higher Educational Facility Commission, University of Findlay 2019 Project Rev., 5.00%, 3/1/2034 | | | 2,000 | | | | 2,390 | |
| | | | | | | | |
| | |
| | | | | | | 13,373 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
County of Hamilton, Cincinnati City School District, Board of Education, Classroom Facilities Construction and Improvement | | | | | | | | |
| | |
GO, NATL-RE, 5.25%, 12/1/2025 | | | 185 | | | | 230 | |
| | |
Greene County Series 2007A, GO, AMBAC, 5.25%, 12/1/2028 | | | 45 | | | | 58 | |
| | | | | | | | |
| | |
| | | | | | | 288 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 23 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — 0.7% | |
| | |
City of Centerville, Graceworks Lutheran Services Rev., 5.00%, 11/1/2027 | | | 380 | | | | 444 | |
| | |
County of Ross, Adena Health System Rev., 5.00%, 12/1/2039 | | | 1,000 | | | | 1,269 | |
| | |
County of Warren, Otterbein Homes | | | | | | | | |
| | |
Series A, Rev., 4.00%, 7/1/2037 | | | 1,000 | | | | 1,154 | |
| | |
Series A, Rev., 4.00%, 7/1/2039 | | | 500 | | | | 574 | |
| | |
Franklin County Health Care Improvement, Presbyterian Services Series 2010A, Rev., 5.00%, 7/1/2020 | | | 100 | | | | 100 | |
| | | | | | | | |
| | |
| | | | | | | 3,541 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Ohio Housing Finance Agency, Single Family Mortgage Series 2011 2, Rev., GNMA/FNMA/FHLMC, 4.50%, 11/1/2028 | | | 20 | | | | 20 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Buckeye Tobacco Settlement Financing AuthoritySeries 2020A-2, Class I, Rev., 4.00%, 6/1/2048 | | | 3,210 | | | | 3,677 | |
| | | | | | | | |
|
Transportation — 0.4% | |
| | |
Cleveland-Cuyahoga County, Port Authority Cultural Facility, Playhouse Square Foundation Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2033 | | | 1,000 | | | | 1,191 | |
| | |
Rev., 5.25%, 12/1/2038 | | | 500 | | | | 597 | |
| | |
Rev., 5.50%, 12/1/2043 | | | 500 | | | | 601 | |
| | | | | | | | |
| | |
| | | | | | | 2,389 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 23,288 | |
| | | | | | | | |
|
Oklahoma — 0.9% | |
|
Hospital — 0.2% | |
| | |
Oklahoma Development Finance Authority, Health System, Ou Medicine Project Series B, Rev., 5.00%, 8/15/2038 | | | 1,000 | | | | 1,227 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
Oklahoma Development Finance Authority (The), Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023 | | | 2,380 | | | | 2,396 | |
| | |
Tulsa Airports Improvement Trust | | | | | | | | |
| | |
Series A, Rev., AMT, 5.00%, 6/1/2024 | | | 300 | | | | 346 | |
| | |
Series A, Rev., AMT, 5.00%, 6/1/2025 | | | 420 | | | | 487 | |
| | | | | | | | |
| | |
| | | | | | | 3,229 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Oklahoma City Water Utilities Trust, Water and Sewer System Rev., 5.38%, 7/1/2040 | | | 220 | | | | 233 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 4,689 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Oregon — 0.4% | |
|
General Obligation — 0.1% | |
| | |
Clackamas County School District No. 7J, Lake Oswego GO, AGM, 5.25%, 6/1/2025 | | | 165 | | | | 202 | |
| | |
Linn County Community School District No. 9 Lebanon GO, NATL-RE, 5.50%, 6/15/2030 | | | 20 | | | | 28 | |
| | | | | | | | |
| | |
| | | | | | | 230 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Clackamas County Hospital Facility Authority, Mary’s Woods at Marylhurst Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 5/15/2038 | | | 220 | | | | 250 | |
| | |
Series 2018A, Rev., 5.00%, 5/15/2043 | | | 310 | | | | 349 | |
| | |
Salem Hospital Facility Authority, Capital Manor Project Rev., 5.00%, 5/15/2038 | | | 1,000 | | | | 1,189 | |
| | | | | | | | |
| | |
| | | | | | | 1,788 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Oregon State Housing and Community Services Department, Single Family Mortgage Program Series B, Rev., AMT, 5.00%, 7/1/2030 | | | 25 | | | | 26 | |
| | | | | | | | |
|
Prerefunded — 0.0% (f) | |
| | |
State of Oregon, University Systems Projects Series G, GO, 5.25%, 8/1/2031 (d) | | | 105 | | | | 112 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 2,156 | |
| | | | | | | | |
|
Pennsylvania — 9.1% | |
|
Education — 1.3% | |
| | |
Allegheny County Higher Education Building Authority, Duquesne University Series 2011A, Rev., 5.00%, 3/1/2020 | | | 160 | | | | 160 | |
| | |
Dallas Area Municipal Authority, Misericordia University Project | | | | | | | | |
| | |
Rev., 3.25%, 5/1/2023 | | | 200 | | | | 205 | |
| | |
Rev., 5.00%, 5/1/2029 | | | 650 | | | | 792 | |
| | |
Rev., 5.00%, 5/1/2039 | | | 1,100 | | | | 1,298 | |
| | |
Montgomery County Higher Education and Health Authority, Arcadia University | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2034 | | | 275 | | | | 353 | |
| | |
Rev., 4.00%, 4/1/2035 | | | 205 | | | | 239 | |
| | |
Rev., 4.00%, 4/1/2036 | | | 520 | | | | 604 | |
| | |
Rev., 4.00%, 4/1/2037 | | | 545 | | | | 632 | |
| | |
Rev., 4.00%, 4/1/2038 | | | 695 | | | | 803 | |
| | |
Rev., 4.00%, 4/1/2039 | | | 725 | | | | 835 | |
| | |
Philadelphia Authority for Industrial Development, Independence Charter School | | | | | | | | |
| | |
Rev., 4.00%, 6/15/2029 | | | 360 | | | | 380 | |
| | |
Rev., 5.00%, 6/15/2039 | | | 500 | | | | 544 | |
| | | | | | | | |
| | |
| | | | | | | 6,845 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — 2.6% | |
| | |
Aliquippa School District | | | | | | | | |
| | |
GO, 3.75%, 12/1/2033 | | | 2,000 | | | | 2,270 | |
| | |
GO, 3.88%, 12/1/2037 | | | 1,250 | | | | 1,414 | |
| | |
Allentown City School District | | | | | | | | |
| | |
Series C, GO, 4.00%, 2/1/2034 | | | 1,580 | | | | 1,853 | |
| | |
Series B, GO, 5.00%, 2/1/2034 | | | 1,300 | | | | 1,665 | |
| | |
Series C, GO, 4.00%, 2/1/2035 | | | 1,000 | | | | 1,171 | |
| | |
The School Board of Philadelphia County Series B, GO, AGM, 4.00%, 9/1/2043 | | | 1,250 | | | | 1,433 | |
| | |
West Mifflin School District | | | | | | | | |
| | |
GO, 3.00%, 4/1/2034 | | | 1,000 | | | | 1,077 | |
| | |
GO, 3.00%, 4/1/2038 | | | 1,400 | | | | 1,492 | |
| | |
Wilkes-Barre Area School District | | | | | | | | |
| | |
Series 2019, GO, 3.50%, 4/15/2038 | | | 370 | | | | 412 | |
| | |
Series 2019, GO, 3.50%, 4/15/2039 | | | 230 | | | | 255 | |
| | |
Series 2019, GO, 3.75%, 4/15/2044 | | | 1,000 | | | | 1,122 | |
| | | | | | | | |
| | |
| | | | | | | 14,164 | |
| | | | | | | | |
|
Hospital — 2.2% | |
| | |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 4.00%, 4/1/2038 | | | 500 | | | | 574 | |
| | |
Allegheny County Hospital Development Authority, Medical Center Series 2019A, Rev., 4.00%, 7/15/2037 | | | 2,000 | | | | 2,375 | |
| | |
Berks County Industrial Development Authority, Healthcare Facilities | | | | | | | | |
| | |
Rev., 5.00%, 5/15/2033 | | | 500 | | | | 579 | |
| | |
Series 2017A, Rev., 5.00%, 5/15/2037 | | | 250 | | | | 296 | |
| | |
Rev., 5.00%, 5/15/2038 | | | 500 | | | | 577 | |
| | |
Berks County Industrial Development Authority, Tower Health Project Rev., 5.00%, 11/1/2037 | | | 1,000 | | | | 1,231 | |
| | |
Lancaster County Hospital Authority, Health Care Facilities, Moravian Manors, Inc. Project | | | | | | | | |
| | |
Series 2019B, Rev., 2.88%, 12/15/2023 | | | 1,000 | | | | 1,001 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2032 | | | 545 | | | | 641 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2033 | | | 570 | | | | 669 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2038 | | | 1,110 | | | | 1,290 | |
| | |
Lancaster County Hospital Authority, Saint Anne’s Retirement Community, Incorporated Project | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2040 | | | 250 | | | | 292 | |
| | |
Rev., 5.00%, 3/1/2045 | | | 500 | | | | 578 | |
| | |
Rev., 5.00%, 3/1/2050 | | | 500 | | | | 576 | |
| | |
West Cornwall Township Municipal Authority, Pleasant View Retirement Community Project Rev., 5.00%, 12/15/2038 | | | 750 | | | | 849 | |
| | | | | | | | |
| | |
| | | | | | | 11,528 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
Pennsylvania Housing Finance Agency, Single Family MortgageSeries 2011- 112, Rev., AMT, 5.00%, 4/1/2028 | | | 20 | | | | 20 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.2% | |
| | |
Bucks County Industrial Development Authority, St. Luke’s University Health Network Project Rev., 4.00%, 8/15/2044 | | | 2,475 | | | | 2,797 | |
| | |
Luzerne County Industrial Development Authority Rev., AGM, 5.00%, 12/15/2024 | | | 70 | | | | 82 | |
| | |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 12/1/2034 | | | 170 | | | | 193 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2035 | | | 175 | | | | 198 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2036 | | | 175 | | | | 198 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2037 | | | 100 | | | | 113 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2038 | | | 100 | | | | 113 | |
| | |
Series 2019, Rev., 5.00%, 12/1/2044 | | | 350 | | | | 418 | |
| | |
Series 2019, Rev., 5.00%, 12/1/2049 | | | 500 | | | | 595 | |
| | |
Northampton County Industrial Development Authority, Morningstar Senior Living, Inc. Project Rev., 5.00%, 11/1/2039 | | | 1,000 | | | | 1,150 | |
| | |
Philadelphia Authority for Industrial Development, International Education and Community Initiatives ProjectSeries 2018-A, Rev., 4.50%, 6/1/2029 (c) | | | 700 | | | | 760 | |
| | | | | | | | |
| | |
| | | | | | | 6,617 | |
| | | | | | | | |
|
Other Revenue — 1.2% | |
| | |
Allentown Neighborhood Improvement Zone Development Authority, City Center Project | | | | | | | | |
| | |
Rev., 5.00%, 5/1/2033 (c) | | | 250 | | | | 304 | |
| | |
Rev., 5.00%, 5/1/2042 (c) | | | 250 | | | | 297 | |
| | |
Cumberland County Municipal Authority, Asbury Pennsylvania Obligated Group | | | | | | | | |
| | |
Rev., 3.00%, 1/1/2024 | | | 1,000 | | | | 1,018 | |
| | |
Rev., 3.38%, 1/1/2029 | | | 4,545 | | | | 4,670 | |
| | | | | | | | |
| | |
| | | | | | | 6,289 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Allegheny County Airport Authority, Pittsburgh International AirportSeries 2012A-1, Rev., 5.00%, 1/1/2026 (d) | | | 350 | | | | 375 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
Franklin County Industrial Development Authority, Haven Inc. Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2029 | | | 195 | | | | 222 | |
| | |
Rev., 5.00%, 12/1/2039 | | | 385 | | | | 430 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 25 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Utility — continued | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2049 | | | 500 | | | | 553 | |
| | |
Lancaster Industrial Development Authority, Willow Valley Communities Project Rev., 5.00%, 12/1/2044 | | | 1,425 | | | | 1,701 | |
| | | | | | | | |
| | |
| | | | | | | 2,906 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 48,744 | |
| | | | | | | | |
|
Rhode Island — 0.1% | |
|
Education — 0.0% (f) | |
| | |
Rhode Island Student Loan Authority, Senior Series 2017A, Rev., AMT, 5.00%, 12/1/2024 | | | 100 | | | | 117 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Rhode Island Commerce Corp. Series B, Rev., 5.00%, 7/1/2022 | | | 250 | | | | 272 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 389 | |
| | | | | | | | |
|
South Carolina — 1.6% | |
|
Education — 1.0% | |
| | |
South Carolina Jobs-Economic Development Authority, Lowcountry Leadership Charter School Project | | | | | | | | |
| | |
Series A, Rev., 4.00%, 12/1/2029 (c) | | | 1,130 | | | | 1,281 | |
| | |
Series A, Rev., 5.00%, 12/1/2034 (c) | | | 1,405 | | | | 1,708 | |
| | |
Series A, Rev., 5.00%, 12/1/2039 (c) | | | 1,795 | | | | 2,149 | |
| | | | | | | | |
| | |
| | | | | | | 5,138 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.5% | |
| | |
South Carolina Jobs-Economic Development Authority, South Carolina Episcopal Home at Still Homes Series 2018A, Rev., 5.00%, 4/1/2033 | | | 1,485 | | | | 1,668 | |
| | |
South Carolina Jobs-Economic Development Authority, Woodlands at Furman Project | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 11/15/2028 | | | 210 | | | | 247 | |
| | |
Series 2020A, Rev., 5.00%, 11/15/2029 | | | 110 | | | | 130 | |
| | |
Series 2020A, Rev., 5.00%, 11/15/2042 | | | 580 | | | | 661 | |
| | | | | | | | |
| | |
| | | | | | | 2,706 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
South Carolina Jobs-Economic Development Authority, Bishop Gadsden Episcopal Retirement Community Series 2019A, Rev., 4.00%, 4/1/2034 | | | 605 | | | | 691 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 8,535 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
South Dakota — 0.1% | |
|
Education — 0.1% | |
| | |
South Dakota Health and Educational Facilities Authority, Sanford Health Rev., 5.00%, 11/1/2045 | | | 500 | | | | 580 | |
| | | | | | | | |
|
Housing — 0.0% (f) | |
| | |
South Dakota Housing Development Authority, Homeownership Mortgage Series 2012A, Rev., AMT, 4.50%, 5/1/2031 | | | 45 | | | | 47 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 627 | |
| | | | | | | | |
|
Tennessee — 1.6% | |
|
Hospital — 1.4% | |
| | |
Chattanooga Health Educational & Housing Facility Board, Commonspirit HealthSeries A-1, Rev., 4.00%, 8/1/2044 | | | 1,000 | | | | 1,154 | |
| | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2029 | | | 1,350 | | | | 1,392 | |
| | |
Series 2019A, Rev., 5.50%, 10/1/2034 | | | 2,850 | | | | 3,000 | |
| | |
Series 2019A, Rev., 5.75%, 10/1/2054 | | | 1,000 | | | | 1,037 | |
| | |
Series 2019A, Rev., 5.75%, 10/1/2059 | | | 1,000 | | | | 1,024 | |
| | | | | | | | |
| | |
| | | | | | | 7,607 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Nashville Metropolitan Development and Housing Agency, Tax Increment, Fifth Broadway Development Project | | | | | | | | |
| | |
Rev., 4.50%, 6/1/2028 (c) | | | 500 | | | | 555 | |
| | |
Rev., 5.13%, 6/1/2036 (c) | | | 425 | | | | 491 | |
| | |
Tennessee Housing Development Agency, Homeownership Program | | | | | | | | |
| | |
Series A, Rev., AMT, 4.50%, 7/1/2031 | | | 25 | | | | 26 | |
| | |
Series 1A, Rev., AMT, 4.50%, 1/1/2038 | | | 65 | | | | 67 | |
| | | | | | | | |
| | |
| | | | | | | 1,139 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 8,746 | |
| | | | | | | | |
|
Texas — 4.4% | |
|
Education — 3.2% | |
| | |
Arlington Higher Education Finance Corp., Winfree Academy Charter Schools | | | | | | | | |
| | |
Series 2019A, Rev., 5.15%, 8/15/2029 | | | 450 | | | | 500 | |
| | |
Series 2019A, Rev., 5.75%, 8/15/2043 | | | 1,000 | | | | 1,154 | |
| | |
Danbury Higher Education Authority, Inc., Golden Rule Schools, Inc. Series 2019A, Rev., 5.00%, 8/15/2039 | | | 3,000 | | | | 3,200 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
New Hope Cultural Education Facilities Finance Corp. Series 2020A, Rev., 5.00%, 1/1/2030 | | | 1,075 | | | | 1,237 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Beta Academy | | | | | | | | |
| | |
Series A, Rev., 3.38%, 8/15/2029 (c) | | | 300 | | | | 308 | |
| | |
Series A, Rev., 4.00%, 8/15/2029 (c) | | | 330 | | | | 364 | |
| | |
Series A, Rev., 5.00%, 8/15/2039 (c) | | | 1,035 | | | | 1,152 | |
| | |
Series A, Rev., 5.00%, 8/15/2049 (c) | | | 670 | | | | 716 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Legacy Midtown Park Project Series A, Rev., 5.50%, 7/1/2054 | | | 1,000 | | | | 1,071 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 1/1/2035 | | | 865 | | | | 987 | |
| | |
Series 2020A, Rev., 5.00%, 1/1/2040 | | | 790 | | | | 894 | |
| | |
Series 2020A, Rev., 5.00%, 1/1/2055 | | | 2,000 | | | | 2,246 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Presbyterian Village North Project Rev., 5.00%, 10/1/2039 | | | 1,000 | | | | 1,123 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Wesleyan Homes, Inc. Project | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2029 | | | 300 | | | | 320 | |
| | |
Rev., 5.00%, 1/1/2039 | | | 205 | | | | 226 | |
| | |
Newark Higher Education Finance Corp., Austin Achieve Public Schools, Inc. | | | | | | | | |
| | |
Rev., 4.25%, 6/15/2028 | | | 150 | | | | 157 | |
| | |
Rev., 5.00%, 6/15/2033 | | | 150 | | | | 159 | |
| | |
Rev., 5.00%, 6/15/2038 | | | 250 | | | | 264 | |
| | |
Permanent University Fund — Texas A&M University System | | | | | | | | |
| | |
Series B, Rev., 5.25%, 7/1/2028 | | | 140 | | | | 188 | |
| | |
Series B, Rev., 5.25%, 7/1/2030 | | | 395 | | | | 553 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Hospital, Cook Children’s Medical Center Series A, Rev., 5.25%, 12/1/2039 | | | 170 | | | | 194 | |
| | | | | | | | |
| | |
| | | | | | | 17,013 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
North East Independent School District GO, PSF-GTD, 5.25%, 2/1/2027 | | | 200 | | | | 257 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Bexar County Health Facilities Development Corp., Army Retirement Residence Foundation Project Rev., 4.00%, 7/15/2045 | | | 940 | | | | 1,008 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
New Hope Cultural Education Facilities Finance Corp., Quality Senior Housing Foundation of East TexasSeries A-1, Rev., 5.00%, 12/1/2039 | | | 1,420 | | | | 1,606 | |
| | |
Texas Department of Housing and Community Affairs, Residential Mortgage Series A, Rev., GNMA/FNMA/FHLMC, 5.00%, 7/1/2029 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 1,632 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Temple, Reinvestment Zone Series A, Rev., 5.00%, 8/1/2028 (c) | | | 940 | | | | 1,072 | |
| | | | | | | | |
|
Transportation — 0.0% (f) | |
| | |
Dallas Area Rapid Transit, Senior Lien Rev., AMBAC, 5.25%, 12/1/2029 | | | 130 | | | | 179 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
Matagorda County Navigation District No. 1, Central Power and Light Co. Project Rev., 2.60%, 11/1/2029 | | | 1,000 | | | | 1,081 | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
City of Houston, Combined Utility System, Capital Appreciation Series A, Rev., AGM, Zero Coupon, 12/1/2027 (d) | | | 30 | | | | 28 | |
| | |
Texas Water Development Board, State Water Implementation Series 2019A, Rev., 4.00%, 10/15/2044 | | | 900 | | | | 1,074 | |
| | | | | | | | |
| | |
| | | | | | | 1,102 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 23,344 | |
| | | | | | | | |
|
Utah — 1.3% | |
|
Education — 0.7% | |
| | |
Utah Charter School Finance Authority | | | | | | | | |
| | |
Series A, Rev., 4.00%, 4/15/2032 | | | 250 | | | | 295 | |
| | |
Series A, Rev., 4.00%, 4/15/2033 | | | 260 | | | | 304 | |
| | |
Series A, Rev., 5.00%, 4/15/2034 | | | 235 | | | | 302 | |
| | |
Series A, Rev., 5.00%, 4/15/2039 | | | 700 | | | | 888 | |
| | |
Utah Charter School Finance Authority, Mountain West Montessori Academy Project | | | | | | | | |
| | |
Series 2020A, Rev., 3.13%, 6/15/2029 (c) | | | 750 | | | | 762 | |
| | |
Series 2020A, Rev., 5.00%, 6/15/2039 (c) | | | 475 | | | | 539 | |
| | |
Series 2020A, Rev., 5.00%, 6/15/2049 (c) | | | 825 | | | | 920 | |
| | | | | | | | |
| | |
| | | | | | | 4,010 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Utah Transit Authority, Sales Tax | | | | | | | | |
| | |
Series C, Rev., AGM, 5.25%, 6/15/2025 | | | 40 | | | | 48 | |
| | |
Series 2006C, Rev., AGM, 5.25%, 6/15/2032 | | | 450 | | | | 628 | |
| | | | | | | | |
| | |
| | | | | | | 676 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 27 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Transportation — 0.5% | | | | | | | | |
| | |
Utah Infrastructure Agency | | | | | | | | |
| | |
Rev., 4.00%, 10/15/2033 | | | 500 | | | | 559 | |
| | |
Rev., 4.00%, 10/15/2036 | | | 500 | | | | 558 | |
| | |
Rev., 4.00%, 10/15/2039 | | | 700 | | | | 771 | |
| | |
Rev., 4.00%, 10/15/2042 | | | 475 | | | | 520 | |
| | | | | | | | |
| | |
| | | | | | | 2,408 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 7,094 | |
| | | | | | | | |
|
Vermont — 0.1% | |
|
Education — 0.1% | |
| | |
Vermont Student Assistance Corp., Education Loan | | | | | | | | |
| | |
Series A, Rev., AMT, 4.00%, 6/15/2032 | | | 200 | | | | 220 | |
| | |
Series A, Rev., AMT, 4.00%, 6/15/2033 | | | 250 | | | | 275 | |
| | |
Series 2018A, Rev., AMT, 4.00%, 6/15/2034 | | | 200 | | | | 219 | |
| | | | | | | | |
| | |
| | | | | | | 714 | |
| | | | | | | | |
| | |
Total Vermont | | | | | | | 714 | |
| | | | | | | | |
|
Virginia — 3.9% | |
|
Education — 0.2% | |
| | |
Danville Industrial Development Authority, Averett University Series A, Rev., 4.75%, 10/1/2032 | | | 760 | | | | 834 | |
| | | | | | | | |
|
Hospital — 1.2% | |
| | |
Chesapeake Hospital Authority, Regional Medical Center | | | | | | | | |
| | |
Rev., 4.00%, 7/1/2035 | | | 1,000 | | | | 1,193 | |
| | |
Rev., 4.00%, 7/1/2036 | | | 1,175 | | | | 1,385 | |
| | |
Rev., 4.00%, 7/1/2037 | | | 1,205 | | | | 1,417 | |
| | |
Roanoke Economic Development Authority, Carilion Clinic Obligated Group Series 2020A, Rev., 5.00%, 7/1/2047 (e) | | | 1,550 | | | | 2,434 | |
| | | | | | | | |
| | |
| | | | | | | 6,429 | |
| | | | | | | | |
|
Housing — 0.8% | |
| | |
Norfolk Redevelopment and Housing Authority, Harbors Edge Project | | | | | | | | |
| | |
Series 2019B, Rev., 4.00%, 1/1/2025 | | | 2,000 | | | | 2,001 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2034 | | | 1,000 | | | | 1,109 | |
| | |
Series 2019A, Rev., 4.38%, 1/1/2039 | | | 1,250 | | | | 1,355 | |
| | | | | | | | |
| | |
| | | | | | | 4,465 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.1% | |
| | |
Roanoke County Economic Development Authority, Residential Care Facility, Richfield Living | | | | | | | | |
| | |
Series 2019A, Rev., 4.75%, 9/1/2029 | | | 1,000 | | | | 1,066 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — continued | |
| | |
Series 2019A, Rev., 5.00%, 9/1/2034 | | | 2,000 | | | | 2,128 | |
| | |
Roanoke Economic Development Authority, Richfield Living | | | | | | | | |
| | |
Rev., 4.30%, 9/1/2030 | | | 770 | | | | 783 | |
| | |
Rev., 5.00%, 9/1/2040 | | | 1,640 | | | | 1,708 | |
| | | | | | | | |
| | |
| | | | | | | 5,685 | |
| | | | | | | | |
|
Prerefunded — 0.0% (f) | |
| | |
Virginia Resources Authority, Infrastructure, Pooled Financing Program Series 2011A, Rev., 5.00%, 11/1/2025 (d) | | | 70 | | | | 75 | |
| | | | | | | | |
|
Utility — 0.6% | |
| | |
Fredericksburg Economic Development Authority, Stadium Project | | | | | | | | |
| | |
Series B, Rev., 6.13%, 9/1/2029 (c) | | | 2,000 | | | | 2,075 | |
| | |
Series B, Rev., 7.00%, 9/1/2044 (c) | | | 1,000 | | | | 1,051 | |
| | | | | | | | |
| | |
| | | | | | | 3,126 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 20,614 | |
| | | | | | | | |
|
Washington — 2.5% | |
|
General Obligation — 0.5% | |
| | |
Pend Oreille County, Public Hospital District No. 1 | | | | | | | | |
| | |
GO, 5.00%, 12/1/2033 | | | 1,000 | | | | 1,195 | |
| | |
GO, 5.00%, 12/1/2038 | | | 1,255 | | | | 1,485 | |
| | | | | | | | |
| | |
| | | | | | | 2,680 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Washington Health Care Facilities Authority, Commonspirit HealthSeries A-1, Rev., 4.00%, 8/1/2044 | | | 1,000 | | | | 1,154 | |
| | | | | | | | |
|
Housing — 0.9% | |
| | |
Washington State Housing Finance Commission, Homeownership Program Series A, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 4/1/2029 | | | 20 | | | | 20 | |
| | |
Washington State Housing Finance Commission, The Heart Stone Project | | | | | | | | |
| | |
Series 2018A, Rev., 4.50%, 7/1/2028 (c) | | | 965 | | | | 1,060 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2038 (c) | | | 825 | | | | 910 | |
| | |
Washington State Housing Finance Commission, Transforming Age Projects | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2034 (c) | | | 745 | | | | 873 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2039 (c) | | | 1,495 | | | | 1,733 | |
| | | | | | | | |
| | |
| | | | | | | 4,596 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Washington State Housing Finance Commission, Judson Park Project | | | | | | | | |
| | |
Rev., 4.00%, 7/1/2028 (c) | | | 535 | | | | 576 | |
| | |
Rev., 5.00%, 7/1/2033 (c) | | | 535 | | | | 597 | |
| | |
Rev., 5.00%, 7/1/2038 (c) | | | 300 | | | | 331 | |
| | | | | | | | |
| | |
| | | | | | | 1,504 | |
| | | | | | | | |
|
Utility — 0.6% | |
| | |
Pend Oreille County, Public Utility District No. 1, Box Canyon Production System Rev., 5.00%, 1/1/2039 | | | 2,605 | | | | 3,160 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 13,094 | |
| | | | | | | | |
|
West Virginia — 0.6% | |
|
Hospital — 0.6% | |
| | |
West Virginia Hospital Finance Authority, Charleston Area Medical Center, Inc. | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 9/1/2038 | | | 1,250 | | | | 1,583 | |
| | |
Series 2019A, Rev., 5.00%, 9/1/2039 | | | 1,400 | | | | 1,766 | |
| | | | | | | | |
| | |
| | | | | | | 3,349 | |
| | | | | | | | |
| | |
Total West Virginia | | | | | | | 3,349 | |
| | | | | | | | |
|
Wisconsin — 5.0% | |
|
Education — 3.9% | |
| | |
Public Finance Authority, Community School of Davidson Project | | | | | | | | |
| | |
Rev., 3.75%, 10/1/2023 | | | 300 | | | | 308 | |
| | |
Rev., 5.00%, 10/1/2033 | | | 775 | | | | 891 | |
| | |
Public Finance Authority, Coral Academy of Sciences | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 6/1/2029 (c) | | | 370 | | | | 422 | |
| | |
Series 2019A, Rev., 5.00%, 6/1/2039 (c) | | | 710 | | | | 790 | |
| | |
Public Finance Authority, Minnesota College of Osteopathic Medicine | | | | | | | | |
| | |
Series 2019A-1, Rev., 5.50%, 12/1/2048 (c) | | | 17 | | | | 17 | |
| | |
Series 2019A-2, Rev., 7.25%, 12/1/2048 (c) | | | 46 | | | | 46 | |
| | |
Public Finance Authority, Piedmont Community Charter School | | | | | | | | |
| | |
Rev., 5.00%, 6/15/2027 | | | 160 | | | | 195 | |
| | |
Rev., 5.00%, 6/15/2028 | | | 505 | | | | 622 | |
| | |
Rev., 5.00%, 6/15/2034 | | | 215 | | | | 265 | |
| | |
Rev., 5.00%, 6/15/2039 | | | 390 | | | | 473 | |
| | |
Rev., 5.00%, 6/15/2049 | | | 1,000 | | | | 1,194 | |
| | |
Public Finance Authority, Roseman University of Health Sciences Project | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2030 (c) (e) | | | 500 | | | | 625 | |
| | |
Rev., 5.00%, 4/1/2040 (c) (e) | | | 1,155 | | | | 1,402 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2050 (c) (e) | | | 1,000 | | | | 1,196 | |
| | |
Public Finance Authority, Ultimate Medical Academy Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2028 (c) | | | 2,000 | | | | 2,384 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2029 (c) | | | 1,850 | | | | 2,232 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2034 (c) | | | 500 | | | | 598 | |
| | |
Public Finance Authority, Wilson Preparatory Academy | | | | | | | | |
| | |
Series 2019A, Rev., 4.13%, 6/15/2029 (c) | | | 545 | | | | 581 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2039 (c) | | | 500 | | | | 537 | |
| | |
Series 2019A, Rev., 5.00%, 6/15/2049 (c) | | | 1,100 | | | | 1,173 | |
| | |
Wisconsin Health and Educational Facilities Authority, Lawrence University of Wisconsin Rev., 4.00%, 2/1/2045 (e) | | | 675 | | | | 772 | |
| | |
Wisconsin Health and Educational Facilities Authority, St. Camillus Health System | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2026 | | | 355 | | | | 405 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2027 | | | 370 | | | | 427 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2028 | | | 470 | | | | 543 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2029 | | | 315 | | | | 363 | |
| | |
Series 2019A, Rev., 5.00%, 11/1/2030 | | | 515 | | | | 590 | |
| | |
Wisconsin Health and Educational Facilities Authority, St. John’s Communities, Inc. Project Series A, Rev., 4.25%, 9/15/2035 | | | 1,500 | | | | 1,571 | |
| | | | | | | | |
| | |
| | | | | | | 20,622 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Wisconsin Health and Educational Facilities Authority, Rogers Memorial Hospital, Inc. | | | | | | | | |
| | |
Series B, Rev., 5.00%, 7/1/2038 | | | 150 | | | | 181 | |
| | |
Series A, Rev., 5.00%, 7/1/2044 | | | 210 | | | | 251 | |
| | |
Series A, Rev., 5.00%, 7/1/2049 | | | 750 | | | | 895 | |
| | | | | | | | |
| | |
| | | | | | | 1,327 | |
| | | | | | | | |
|
Other Revenue — 0.9% | |
| | |
Public Finance Authority Rev., 4.25%, 10/1/2038 (c) | | | 2,000 | | | | 2,058 | |
| | |
Public Finance Authority, Cedars Obligated Group Rev., 4.25%, 5/1/2029 (c) | | | 1,000 | | | | 1,030 | |
| | |
Public Finance Authority, The Evergreens Obligated Group Rev., 5.00%, 11/15/2044 | | | 1,565 | | | | 1,831 | |
| | | | | | | | |
| | |
| | | | | | | 4,919 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 26,868 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $475,518) | | | | | | | 506,687 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 29 | |
JPMorgan High Yield Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | SHARES
(000) | | | VALUE
($000) | |
|
Common Stocks — 0.0% (f) | |
|
Oil, Gas & Consumable Fuels — 0.0% (f) | |
| | |
Southcross Holdco Equity ‡
(Cost $12) | | | — | (g) | | | 3 | |
| | | | | | | | |
Short-Term Investments — 8.4% | |
|
Investment Companies — 8.4% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (h) (i)
(Cost $44,883) | | | 44,883 | | | | 44,883 | |
| | | | | | | | |
Total Investments — 103.1%
(Cost $520,413) | | | | | | | 551,573 | |
Liabilities in Excess of
Other Assets — (3.1)% | | | | | | | (16,817 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 534,756 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
Abbreviations | | |
| AGC | | Insured by Assured Guaranty Corp. |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | | Insured by American Municipal Bond Assurance Corp. |
| AMT | | Alternative Minimum Tax |
| BHAC | | Insured by Berkshire Hathaway Assurance Corp. |
| CHESLA | | Connecticut Higher Education Supplemental Loan Authority |
| 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 |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | | Permanent School Fund Guaranteed |
| RE | | Reinsured |
| Rev. | | Revenue |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (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 February 29, 2020. |
| (c) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (d) | | Security is prerefunded or escrowed to maturity. |
| (e) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (f) | | Amount rounds to less than 0.1% of net assets. |
| (g) | | Amount rounds to less than one thousand. |
| (h) | | 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. |
| (i) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 97.1% (a) | |
|
Alabama — 0.5% | |
|
Utility — 0.5% | |
| | |
The Lower Alabama Gas District, Gas Project Series 2016A, Rev., 5.00%, 9/1/2031 | | | 1,000 | | | | 1,318 | |
| | | | | | | | |
|
Alaska — 0.3% | |
|
Housing — 0.3% | |
| | |
Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046 | | | 695 | | | | 737 | |
| | | | | | | | |
|
Arizona — 2.7% | |
|
Education — 0.7% | |
| | |
University of Arizona (The), Stimulus Plan for Economic and Educational Development | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 8/1/2025 | | | 250 | | | | 305 | |
| | |
Series 2020A, Rev., 5.00%, 8/1/2026 | | | 700 | | | | 876 | |
| | |
Series 2020A, Rev., 5.00%, 8/1/2027 | | | 750 | | | | 964 | |
| | | | | | | | |
| | |
| | | | | | | 2,145 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Maricopa County Industrial Development Authority, HonorHealth Series 2019A, Rev., 5.00%, 9/1/2032 | | | 200 | | | | 256 | |
| | | | | | | | |
|
Water & Sewer — 1.9% | |
| | |
City of Scottsdale, Water and Sewer Rev., 5.25%, 7/1/2022 | | | 2,645 | | | | 2,919 | |
| | |
City of Tucson, Water System Rev., 5.00%, 7/1/2024 | | | 2,150 | | | | 2,532 | |
| | | | | | | | |
| | |
| | | | | | | 5,451 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 7,852 | |
| | | | | | | | |
|
California — 0.4% | |
|
Hospital — 0.2% | |
| | |
California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2026 | | | 410 | | | | 502 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
State of California, Department of Veterans Affairs Series B, Rev., 3.50%, 12/1/2045 | | | 545 | | | | 579 | |
| | | | | | | | |
| | |
Total California | | | | | | | 1,081 | |
| | | | | | | | |
|
Colorado — 3.4% | |
|
Certificate of Participation/Lease — 0.3% | |
| | |
Aspen Fire Protection District | | | | | | | | |
| | |
COP, 4.00%, 12/1/2034 | | | 200 | | | | 237 | |
| | |
COP, 4.00%, 12/1/2035 | | | 225 | | | | 266 | |
| | |
COP, 4.00%, 12/1/2036 | | | 350 | | | | 413 | |
| | | | | | | | |
| | |
| | | | | | | 916 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — 0.7% | |
| | |
Colorado Educational and Cultural Facilities Authority, University Corp. for Atmospheric Research Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2020 | | | 450 | | | | 457 | |
| | |
Rev., 5.00%, 9/1/2022 | | | 470 | | | | 516 | |
| | |
Colorado School of Mines Series A, Rev., (ICE LIBOR USD 1 Month + 0.50%), 1.56%, 4/1/2020 (b) | | | 970 | | | | 966 | |
| | | | | | | | |
| | |
| | | | | | | 1,939 | |
| | | | | | | | |
|
General Obligation — 1.4% | |
| | |
Pueblo City Schools District No. 60 GO, 5.00%, 12/15/2031 | | | 3,000 | | | | 4,051 | |
| | | | | | | | |
|
Housing — 1.0% | |
| | |
Colorado Housing and Finance Authority Series 2020B, Rev., 3.75%, 5/1/2050 | | | 2,150 | | | | 2,387 | |
| | |
Colorado Housing and Finance Authority, Single Family Mortgage Series 2019F, Rev., GNMA COLL, 4.25%, 11/1/2049 | | | 295 | | | | 332 | |
| | | | | | | | |
| | |
| | | | | | | 2,719 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 9,625 | |
| | | | | | | | |
|
Connecticut — 3.9% | |
|
Education — 1.8% | |
| | |
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program | | | | | | | | |
| | |
Series 2010A, Rev., 5.25%, 11/15/2023 | | | 1,560 | | | | 1,609 | |
| | |
Series A, Rev., 5.25%, 11/15/2024 | | | 1,500 | | | | 1,549 | |
| | |
Series 2019B, Rev., AMT, 5.00%, 11/15/2027 | | | 250 | | | | 312 | |
| | |
University of Connecticut Series 2019A, Rev., 5.00%, 11/1/2035 | | | 1,250 | | | | 1,596 | |
| | | | | | | | |
| | |
| | | | | | | 5,066 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Connecticut State Health and Educational Facilities Authority, Yale New Haven Series B, Rev., 1.80%, 7/1/2024 (c) | | | 225 | | | | 232 | |
| | | | | | | | |
|
Housing — 2.0% | |
| | |
Connecticut Housing Finance Authority, Home Mortgage Finance Program | | | | | | | | |
| | |
Series D-1, Rev., 1.35%, 5/15/2022 | | | 175 | | | | 177 | |
| | |
Series D-1, Rev., 1.45%, 5/15/2023 | | | 1,020 | | | | 1,033 | |
| | |
Series D-1, Rev., 1.50%, 11/15/2023 | | | 1,220 | | | | 1,238 | |
| | |
Connecticut Housing Finance Authority, Housing Mortgage Finance Program | | | | | | | | |
| | |
Series 2020A-1, Rev., 3.50%, 11/15/2045 | | | 1,360 | | | | 1,519 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 31 | |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Housing — continued | |
| | |
Series A-1, Rev., 4.00%, 11/15/2045 | | | 300 | | | | 318 | |
| | |
Series D, Subseries D-1, Rev., GNMA/FNMA/FHLMC, 4.00%, 11/15/2047 | | | 1,025 | | | | 1,107 | |
| | |
SubseriesA-1, Rev., 4.00%, 11/15/2047 | | | 345 | | | | 372 | |
| | | | | | | | |
| | |
| | | | | | | 5,764 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 11,062 | |
| | | | | | | | |
|
Delaware — 1.0% | |
|
Hospital — 1.0% | |
| | |
Delaware State Health Facilities Authority, Beebe Medical Center Project Rev., 5.00%, 6/1/2034 | | | 2,200 | | | | 2,744 | |
| | | | | | | | |
|
Housing — 0.0% (d) | |
| | |
Delaware State Housing Authority, Senior Single Family MortgageSeries A-1, Rev., AMT, 4.90%, 7/1/2029 | | | 165 | | | | 169 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 2,913 | |
| | | | | | | | |
|
District of Columbia — 1.1% | |
|
Transportation — 0.4% | |
| | |
Washington Metropolitan Area Transit Authority, Gross Transit Bonds Series 2017B, Rev., 5.00%, 7/1/2025 | | | 1,000 | | | | 1,218 | |
| | | | | | | | |
|
Water & Sewer — 0.7% | |
| | |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien, Green Bonds Series A, Rev., 5.00%, 10/1/2045 | | | 1,500 | | | | 1,796 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 3,014 | |
| | | | | | | | |
|
Florida — 8.2% | |
|
Certificate of Participation/Lease — 2.7% | |
| | |
Polk County School District Series 2019B, COP, 5.00%, 1/1/2026 | | | 515 | | | | 635 | |
| | |
School Board of Miami-Dade County (The) Series 2015D, COP, 5.00%, 2/1/2027 | | | 3,000 | | | | 3,661 | |
| | |
South Florida Water Management District COP, 5.00%, 10/1/2032 | | | 2,250 | | | | 2,731 | |
| | |
St. Johns County School Board Series 2019A, COP, 5.00%, 7/1/2031 | | | 570 | | | | 754 | |
| | | | | | | | |
| | |
| | | | | | | 7,781 | |
| | | | | | | | |
|
Hospital — 0.9% | |
| | |
Lee Memorial Health SystemSeries 2019A-1, Rev., 5.00%, 4/1/2036 | | | 1,000 | | | | 1,280 | |
| | |
Palm Beach County Health Facilities Authority, Hospital, BRRH Corp. Obligated Group Rev., 5.00%, 12/1/2021 (e) | | | 1,100 | | | | 1,178 | |
| | | | | | | | |
| | |
| | | | | | | 2,458 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.0% (d) | |
| | |
Florida Housing Finance Corp., Homeowner Mortgage, Special Program Series B, Rev., GNMA/FNMA/FHLMC, 4.50%, 1/1/2029 | | | 85 | | | | 86 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Broward County Fuel System, Fort Lauderdale Fuel Facilities LLC Project Series A, Rev., AMT, AGM, 5.00%, 4/1/2024 | | | 835 | | | | 928 | |
| | | | | | | | |
|
Other Revenue — 0.8% | |
| | |
Miami Beach Redevelopment Agency, Historic Convention Village Series A, Rev., 5.00%, 2/1/2027 | | | 2,000 | | | | 2,296 | |
| | | | | | | | |
|
Utility — 2.1% | |
| | |
City of Port St. Lucie, Utility Systems Rev., NATL-RE, 5.25%, 9/1/2024 | | | 5,000 | | | | 5,941 | |
| | | | | | | | |
|
Water & Sewer — 1.4% | |
| | |
Broward County, Water and Sewer Utility Series 2019A, Rev., 5.00%, 10/1/2038 | | | 3,000 | | | | 3,942 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 23,432 | |
| | | | | | | | |
|
Georgia — 1.2% | |
|
Hospital — 0.6% | |
| | |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Series 2019B, Rev., 5.00%, 7/1/2029 (c) | | | 500 | | | | 649 | |
| | |
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc. Project Series A, Rev., 5.00%, 2/15/2026 | | | 860 | | | | 1,040 | |
| | | | | | | | |
| | |
| | | | | | | 1,689 | |
| | | | | | | | |
|
Housing — 0.6% | |
| | |
Georgia Housing and Finance Authority, Single Family Mortgage | | | | | | | | |
| | |
Series A, Rev., 4.00%, 12/1/2047 | | | 565 | | | | 608 | |
| | |
Series B, Rev., 4.00%, 12/1/2047 | | | 1,050 | | | | 1,136 | |
| | | | | | | | |
| | |
| | | | | | | 1,744 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 3,433 | |
| | | | | | | | |
|
Guam — 0.3% | |
|
Water & Sewer — 0.3% | |
| | |
Guam Government Waterworks Authority, Water and Wastewater System (Guam) | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2023 | | | 375 | | | | 419 | |
| | |
Rev., 5.00%, 7/1/2024 | | | 300 | | | | 345 | |
| | | | | | | | |
| | |
| | | | | | | 764 | |
| | | | | | | | |
| | |
Total Guam | | | | | | | 764 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Illinois — 3.7% | |
|
General Obligation — 1.8% | |
| | |
Peoria City School District No. 150 Series 2020A, GO, AGM, 4.00%, 12/1/2027 | | | 505 | | | | 592 | |
| | |
Will County Forest Preserve District, Limited Tax | | | | | | | | |
| | |
GO, 5.00%, 12/15/2035 | | | 1,170 | | | | 1,515 | |
| | |
GO, 5.00%, 12/15/2036 | | | 1,460 | | | | 1,885 | |
| | |
GO, 4.00%, 12/15/2037 | | | 1,000 | | | | 1,191 | |
| | | | | | | | |
| | |
| | | | | | | 5,183 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Illinois Finance Authority, Healthcare Enterprises, Inc. Series C, Rev., 5.00%, 3/1/2033 | | | 365 | | | | 440 | |
| | | | | | | | |
|
Housing — 1.1% | |
| | |
City of Aurora, Single Family Mortgage | | | | | | | | |
| | |
Series B, Rev., GNMA/FNMA/FHLMC, 5.45%, 12/1/2039 | | | 92 | | | | 94 | |
| | |
Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.50%, 12/1/2039 | | | 109 | | | | 111 | |
| | |
Illinois Housing Development Authority Series C, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 10/1/2049 | | | 1,950 | | | | 2,176 | |
| | |
Illinois Housing Development Authority, Homeowner Mortgage Series C, Rev., 3.50%, 8/1/2046 | | | 835 | | | | 895 | |
| | | | | | | | |
| | |
| | | | | | | 3,276 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
Southwestern Illinois Development Authority, Southwestern Flood Prevention District Council Project | | | | | | | | |
| | |
Rev., 5.00%, 4/15/2026 | | | 250 | | | | 306 | |
| | |
Rev., 5.00%, 4/15/2027 | | | 365 | | | | 457 | |
| | |
Rev., 5.00%, 4/15/2028 | | | 390 | | | | 500 | |
| | |
Rev., 5.00%, 4/15/2029 | | | 290 | | | | 378 | |
| | | | | | | | |
| | |
| | | | | | | 1,641 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 10,540 | |
| | | | | | | | |
|
Indiana — 3.6% | |
|
Hospital — 0.7% | |
| | |
Indiana Health Facility Financing Authority, Ascension Health Credit GroupSeries A-1, Rev., 5.00%, 11/15/2034 | | | 1,670 | | | | 2,021 | |
| | | | | | | | |
|
Housing — 0.5% | |
| | |
Indiana Housing and Community Development Authority, Home First Mortgage Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 6/1/2028 | | | 140 | | | | 143 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — continued | |
| | |
Indiana Housing and Community Development Authority, Single Family Mortgage Series 2020A, Rev., 3.75%, 1/1/2049 | | | 1,000 | | | | 1,117 | |
| | | | | | | | |
| | |
| | | | | | | 1,260 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.8% | |
| | |
County of St. Joseph, Economic Development, St. Mary’s College Project Series A, Rev., 5.00%, 4/1/2026 | | | 1,880 | | | | 2,281 | |
| | | | | | | | |
|
Other Revenue — 1.1% | |
| | |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2019F, Rev., 5.00%, 1/1/2037 | | | 2,500 | | | | 3,228 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
Indiana Finance Authority, First Lien Wastewater Utility, CWA Authority Project Series 2012A, Rev., 5.00%, 10/1/2030 | | | 1,250 | | | | 1,377 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 10,167 | |
| | | | | | | | |
|
Iowa — 1.1% | |
|
Education — 0.5% | |
| | |
Iowa Student Loan Liquidity Corp. Series 2019B, Rev., AMT, 5.00%, 12/1/2029 | | | 300 | | | | 400 | |
| | |
Iowa Student Loan Liquidity Corp., Student Loan Series A, Rev., AMT, 5.00%, 12/1/2025 | | | 1,000 | | | | 1,192 | |
| | | | | | | | |
| | |
| | | | | | | 1,592 | |
| | | | | | | | |
|
Housing — 0.6% | |
| | |
Iowa Finance Authority, Single Family Mortgage-Backed Securities Program Series C, Rev., GNMA/FNMA/FHLMC, 3.50%, 1/1/2047 | | | 1,570 | | | | 1,678 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 3,270 | |
| | | | | | | | |
|
Kentucky — 1.1% | |
|
Education — 0.2% | |
| | |
Kentucky Higher Education Student Loan Corp. Series A, Rev., AMT, 5.00%, 6/1/2020 | | | 515 | | | | 519 | |
| | | | | | | | |
|
Hospital — 0.9% | |
| | |
Louisville/Jefferson County Metropolitan Government, Health System, Norton Healthcare, Inc. Series 2020C, Rev., 5.00%, 3/10/2020 (c) (f) | | | 2,000 | | | | 2,501 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 3,020 | |
| | | | | | | | |
|
Louisiana — 0.3% | |
|
Housing — 0.0% (d) | |
| | |
East Baton Rouge Mortgage Finance Authority, Single Family Mortgage, Mortgage-Backed Securities ProgramSeries 2009A-2, Rev., GNMA/FNMA/FHLMC, 5.25%, 10/1/2039 | | | 13 | | | | 13 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 33 | |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2028 | | | 670 | | | | 866 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 879 | |
| | | | | | | | |
|
Maine — 0.5% | |
|
Housing — 0.3% | |
| | |
Maine State Housing Authority | | | | | | | | |
| | |
Series A-1, Rev., AMT, 4.50%, 11/15/2028 | | | 110 | | | | 114 | |
| | |
Series B, Rev., AMT, 4.00%, 11/15/2043 | | | 100 | | | | 103 | |
| | |
Series A, Rev., 4.00%, 11/15/2045 | | | 605 | | | | 641 | |
| | | | | | | | |
| | |
| | | | | | | 858 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Portland, General Airport Rev., 5.00%, 1/1/2031 | | | 370 | | | | 488 | |
| | | | | | | | |
| | |
Total Maine | | | | | | | 1,346 | |
| | | | | | | | |
|
Maryland — 1.2% | |
|
Housing — 0.5% | |
| | |
Montgomery County Housing Opportunities Commission, Single Family Mortgage Series 2017A, Rev., 4.00%, 7/1/2048 | | | 1,150 | | | | 1,249 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
County of Baltimore, Mcdonogh School Facility | | | | | | | | |
| | |
Series 2019B, Rev., 3.00%, 9/1/2024 | | | 320 | | | | 335 | |
| | |
Series 2019B, Rev., 3.00%, 9/1/2025 | | | 475 | | | | 497 | |
| | |
County of Baltimore, Riderwood Village, Inc. Project | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2032 | | | 475 | | | | 556 | |
| | |
Rev., 4.00%, 1/1/2033 | | | 600 | | | | 700 | |
| | | | | | | | |
| | |
| | | | | | | 2,088 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 3,337 | |
| | | | | | | | |
|
Massachusetts — 5.1% | |
|
Education — 0.8% | |
| | |
Massachusetts Educational Financing Authority, Education Loan Rev., AMT, 5.00%, 7/1/2021 | | | 1,000 | | | | 1,053 | |
| | |
Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series L, Rev., 5.25%, 7/1/2033 | | | 820 | | | | 1,221 | |
| | | | | | | | |
| | |
| | | | | | | 2,274 | |
| | | | | | | | |
|
Housing — 0.6% | |
| | |
Massachusetts Housing Finance Agency, Single Family Housing | | | | | | | | |
| | |
Series 169, Rev., 4.00%, 12/1/2044 | | | 125 | | | | 130 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — continued | |
| | |
Series 183, Rev., 3.50%, 12/1/2046 | | | 245 | | | | 258 | |
| | |
Series 214, Rev., GNMA/FNMA/FHLMC, 3.75%, 12/1/2049 | | | 1,250 | | | | 1,395 | |
| | | | | | | | |
| | |
| | | | | | | 1,783 | |
| | | | | | | | |
|
Water & Sewer — 3.7% | |
| | |
Massachusetts Clean Water Trust (The), Pool Program Rev., 5.25%, 8/1/2024 | | | 3,000 | | | | 3,586 | |
| | |
Massachusetts Water Resources Authority | | | | | | | | |
| | |
Series B, Rev., AGM, 5.25%, 8/1/2028 | | | 3,000 | | | | 4,040 | |
| | |
Series B, Rev., AGM, 5.25%, 8/1/2029 | | | 2,000 | | | | 2,754 | |
| | | | | | | | |
| | |
| | | | | | | 10,380 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 14,437 | |
| | | | | | | | |
|
Michigan — 0.9% | |
|
Education — 0.3% | |
| | |
Eastern Michigan University Series A, Rev., 5.00%, 3/1/2030 | | | 575 | | | | 716 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., AMT, 3.50%, 6/1/2047 | | | 845 | | | | 900 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Michigan Strategic Fund, The Detroit Edison Company Pollution Control Bonds Project Series CC, Rev., 1.45%, 9/1/2021 (c) | | | 570 | | | | 572 | |
| | |
Saginaw County Economic Development Corp., BGI South LLC-Recovery Zone Rev., 5.00%, 12/1/2020 | | | 380 | | | | 388 | |
| | | | | | | | |
| | |
| | | | | | | 960 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 2,576 | |
| | | | | | | | |
|
Minnesota — 2.2% | |
|
Education — 0.1% | |
| | |
Minnesota Office of Higher Education, Supplemental Student Loan Program Rev., AMT, 5.00%, 11/1/2027 (f) | | | 300 | | | | 379 | |
| | | | | | | | |
|
General Obligation — 0.0% (d) | |
| | |
State of Minnesota Series A, GO, 5.00%, 10/1/2021 (e) | | | 35 | | | | 37 | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
City of Rochester, Health Care Facilities, Mayo Clinic Series B, Rev., 5.00%, 11/15/2029 | | | 965 | | | | 1,300 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Housing — 1.6% | |
| | |
Dakota County Community Development Agency, Single Family Mortgage, Mortgage-Backed Securities Program | | | | | | | | |
| | |
Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 6/1/2035 | | | 155 | | | | 159 | |
| | |
Series A, Rev., GNMA/FNMA/FHLMC, 5.13%, 12/1/2040 | | | 113 | | | | 114 | |
| | |
Minneapolis/St. Paul Housing Finance Board, Single Family Mortgage, Mortgage-Backed Securities Program, City Living Home Programs | | | | | | | | |
| | |
Series A-1, Rev., GNMA/FNMA/FHLMC, 5.25%, 12/1/2040 | | | 50 | | | | 50 | |
| | |
Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041 | | | 220 | | | | 222 | |
| | |
Minnesota Housing Finance Agency, Homeownership Finance, Mortgage-Backed Securities Program Series D, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 7/1/2034 | | | 60 | | | | 62 | |
| | |
Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation | | | | | | | | |
| | |
Rev., 5.25%, 8/1/2024 | | | 1,015 | | | | 1,078 | |
| | |
Rev., 5.25%, 8/1/2025 | | | 1,070 | | | | 1,136 | |
| | |
Rev., 5.25%, 8/1/2026 | | | 825 | | | | 876 | |
| | |
Minnesota Housing Finance Agency, Residential Housing Finance | | | | | | | | |
| | |
Series D, Rev., AMT, GNMA/FNMA/FHLMC, 4.00%, 7/1/2040 | | | 75 | | | | 76 | |
| | |
Series B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 4.00%, 7/1/2047 | | | 690 | | | | 744 | |
| | | | | | | | |
| | |
| | | | | | | 4,517 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 6,233 | |
| | | | | | | | |
|
Mississippi — 0.8% | |
|
Hospital — 0.2% | |
| | |
Mississippi Hospital Equipment and Facilities Authority, Baptist Memorial Health Care Series B2, Rev., VRDO, 1.07%, 6/1/2020 (c) | | | 665 | | | | 665 | |
| | | | | | | | |
|
Housing — 0.6% | |
| | |
Mississippi Home Corp., Home Ownership Mortgage Series A, Rev., GNMA COLL, 4.50%, 12/1/2031 | | | 50 | | | | 50 | |
| | |
Mississippi Home Corp., Single Family Mortgage Series 2019A, Rev., GNMA/FNMA/FHLMC, 4.00%, 12/1/2048 | | | 1,515 | | | | 1,679 | |
| | | | | | | | |
| | |
| | | | | | | 1,729 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 2,394 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Missouri — 1.7% | |
|
Hospital — 0.5% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series A, Rev., 5.00%, 6/1/2031 | | | 1,000 | | | | 1,305 | |
| | | | | | | | |
|
Housing — 1.2% | |
| | |
Missouri Housing Development Commission, First Place Homeownership Loan Program Series 2020A, Rev., GNMA/FNMA/FHLMC, 3.50%, 11/1/2050 | | | 2,000 | | | | 2,214 | |
| | |
Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program Series 2106B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 5/1/2041 | | | 1,280 | | | | 1,350 | |
| | | | | | | | |
| | |
| | | | | | | 3,564 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 4,869 | |
| | | | | | | | |
|
Nebraska — 0.7% | |
|
Hospital — 0.7% | |
| | |
Madison County Hospital Authority No. 1, Faith Regional Health Services Project | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2030 | | | 1,020 | | | | 1,193 | |
| | |
Rev., 5.00%, 7/1/2031 | | | 720 | | | | 840 | |
| | | | | | | | |
| | |
| | | | | | | 2,033 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 2,033 | |
| | | | | | | | |
|
Nevada — 0.5% | |
|
Hospital — 0.5% | |
| | |
City of Carson, Carson Tahoe Regional Healthcare Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2026 | | | 555 | | | | 680 | |
| | |
Rev., 5.00%, 9/1/2029 | | | 620 | | | | 769 | |
| | | | | | | | |
| | |
| | | | | | | 1,449 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 1,449 | |
| | | | | | | | |
|
New Hampshire — 1.9% | |
|
Education — 1.9% | |
| | |
City of Manchester, School Facilities | | | | | | | | |
| | |
Rev., NATL-RE, 5.50%, 6/1/2024 | | | 3,545 | | | | 4,219 | |
| | |
Rev., NATL-RE, 5.50%, 6/1/2027 | | | 900 | | | | 1,170 | |
| | | | | | | | |
| | |
| | | | | | | 5,389 | |
| | | | | | | | |
| | |
Total New Hampshire | | | | | | | 5,389 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 35 | |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New Jersey — 4.4% | |
|
Education — 1.5% | |
| | |
New Jersey Educational Facilities Authority, Green Bonds | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2033 (f) | | | 350 | | | | 471 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2034 (f) | | | 280 | | | | 375 | |
| | |
New Jersey Higher Education Student Assistance Authority Series A, Rev., 5.00%, 12/1/2024 | | | 1,100 | | | | 1,304 | |
| | |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan Series 1A, Rev., AMT, 5.00%, 12/1/2024 | | | 1,750 | | | | 2,056 | |
| | | | | | | | |
| | |
| | | | | | | 4,206 | |
| | | | | | | | |
|
General Obligation — 0.9% | |
| | |
City of Englewood GO, 2.00%, 3/27/2020 | | | 1,000 | | | | 1,001 | |
| | |
Egg Harbor Township School District GO, AGM, 5.75%, 7/15/2024 | | | 1,215 | | | | 1,466 | |
| | | | | | | | |
| | |
| | | | | | | 2,467 | |
| | | | | | | | |
|
Hospital — 1.1% | |
| | |
New Jersey Health Care Facilities Financing Authority, University Hospital Issue | | | | | | | | |
| | |
Series A, Rev., AGM, 5.00%, 7/1/2022 | | | 1,000 | | | | 1,090 | |
| | |
Series A, Rev., AGM, 5.00%, 7/1/2023 | | | 820 | | | | 922 | |
| | |
Series A, Rev., AGM, 5.00%, 7/1/2026 | | | 1,095 | | | | 1,304 | |
| | | | | | | | |
| | |
| | | | | | | 3,316 | |
| | | | | | | | |
|
Housing — 0.9% | |
| | |
New Jersey Housing and Mortgage Finance Agency, Multi-Family, Riverside Senior Apartments Project Series 2019D, Rev., 1.35%, 6/1/2022 (c) | | | 1,000 | | | | 1,006 | |
| | |
New Jersey Housing and Mortgage Finance Agency, Oceanport Gardens Series C, Rev., 1.58%, 6/1/2020 (c) | | | 365 | | | | 366 | |
| | |
New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048 | | | 1,105 | | | | 1,242 | |
| | | | | | | | |
| | |
| | | | | | | 2,614 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 12,603 | |
| | | | | | | | |
|
New Mexico — 0.5% | |
|
Housing — 0.5% | |
| | |
New Mexico Mortgage Finance Authority, Single Family Mortgage Program Series 2019C, Class I, Rev., GNMA/FNMA/FHLMC, 4.00%, 1/1/2050 | | | 1,230 | | | | 1,370 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — 4.9% | |
|
Education — 0.6% | |
| | |
New York State Dormitory Authority, Montefiore Obligated Group Series 2020A, Rev., 5.00%, 9/1/2027 | | | 1,325 | | | | 1,694 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
Johnson City Central School District GO, BAN, 2.00%, 8/7/2020 | | | 1,000 | | | | 1,004 | |
| | |
Tioga Central School District GO, BAN, 2.00%, 8/14/2020 | | | 1,000 | | | | 1,004 | |
| | | | | | | | |
| | |
| | | | | | | 2,008 | |
| | | | | | | | |
|
Housing — 0.9% | |
| | |
New York Mortgage Agency Rev., AMT, 5.00%, 4/1/2028 | | | 65 | | | | 66 | |
| | |
New York Mortgage Agency, Homeowner Mortgage | | | | | | | | |
| | |
Series 197, Rev., 3.50%, 10/1/2044 | | | 1,145 | | | | 1,212 | |
| | |
Series 195, Rev., 4.00%, 10/1/2046 | | | 1,120 | | | | 1,193 | |
| | | | | | | | |
| | |
| | | | | | | 2,471 | |
| | | | | | | | |
|
Transportation — 1.2% | |
| | |
Metropolitan Transportation Authority, Dedicated Tax Fund Series A, Rev., 5.00%, 11/15/2029 | | | 1,000 | | | | 1,110 | |
| | |
Port Authority of New York and New Jersey, Consolidated, 194th Series Rev., 5.00%, 10/15/2030 | | | 2,000 | | | | 2,446 | |
| | | | | | | | |
| | |
| | | | | | | 3,556 | |
| | | | | | | | |
|
Water & Sewer — 1.5% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series FF, Rev., 5.00%, 6/15/2031 | | | 1,000 | | | | 1,213 | |
| | |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution Series 2011B, Rev., 5.00%, 6/15/2028 | | | 3,000 | | | | 3,162 | |
| | | | | | | | |
| | |
| | | | | | | 4,375 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 14,104 | |
| | | | | | | | |
|
North Carolina — 1.1% | |
|
Education — 0.4% | |
| | |
University of North Carolina at Charlotte (The) | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 10/1/2025 | | | 85 | | | | 104 | |
| | |
Series 2020A, Rev., 5.00%, 10/1/2026 | | | 500 | | | | 631 | |
| | |
Series 2020A, Rev., 5.00%, 10/1/2027 | | | 200 | | | | 259 | |
| | | | | | | | |
| | |
| | | | | | | 994 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Housing — 0.3% | |
| | |
North Carolina Housing Finance Agency Series 43, Rev., GNMA/FNMA/FHLMC, 4.00%, 7/1/2050 | | | 670 | | | | 756 | |
| | | | | | | | |
|
Other Revenue — 0.4% | |
| | |
County of Randolph, Limited Obligation Series B, Rev., 5.00%, 10/1/2026 | | | 1,000 | | | | 1,262 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 3,012 | |
| | | | | | | | |
|
North Dakota — 1.8% | |
|
Housing — 1.1% | |
| | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program | | | | | | | | |
| | |
Series F, Rev., AMT, 4.50%, 1/1/2035 | | | 85 | | | | 86 | |
| | |
Series 2016D, Rev., 3.50%, 7/1/2046 | | | 390 | | | | 417 | |
| | |
Series D, Rev., 4.00%, 7/1/2046 | | | 1,155 | | | | 1,231 | |
| | |
Series 2017D, Rev., FHA, 4.00%, 1/1/2048 | | | 1,210 | | | | 1,316 | |
| | | | | | | | |
| | |
| | | | | | | 3,050 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
McLean County, Solid Waste Facilities, Great River Energy Project Series A, Rev., 4.88%, 7/1/2026 | | | 2,000 | | | | 2,024 | |
| | | | | | | | |
| | |
Total North Dakota | | | | | | | 5,074 | |
| | | | | | | | |
|
Ohio — 4.7% | |
|
Education — 0.7% | |
| | |
Ohio Higher Educational Facility Commission, Case Western Reserve University Project | | | | | | | | |
| | |
Series 2019C, Rev., 1.63%, 12/1/2026 (c) | | | 500 | | | | 516 | |
| | |
Series 2019B, Rev., 5.00%, 12/1/2031 | | | 750 | | | | 994 | |
| | |
University of Akron (The) Series 2019A, Rev., 5.00%, 1/1/2030 | | | 310 | | | | 410 | |
| | | | | | | | |
| | |
| | | | | | | 1,920 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
Lakota Local School District Series A, GO, NATL-RE, 5.25%, 12/1/2025 | | | 1,500 | | | | 1,866 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
Ohio Housing Finance Agency, Single Family Mortgage Series 2016D, Rev., GNMA/FNMA/FHLMC, 4.00%, 3/1/2047 | | | 860 | | | | 928 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.9% | |
| | |
Ohio Water Development Authority, Water Pollution Control Loan Fund | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 6/1/2029 | | | 2,645 | | | | 3,552 | |
| | |
Series B, Rev., 5.00%, 12/1/2029 | | | 1,615 | | | | 1,984 | |
| | | | | | | | |
| | |
| | | | | | | 5,536 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — 0.4% | |
| | |
Ohio Housing Finance Agency, Mortgage-Backed Securities Program Series 2020A, Rev., GNMA/FNMA/FHLMC, 3.75%, 9/1/2050 | | | 1,000 | | | | 1,130 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2020A, Rev., 5.00%, 2/15/2026 | | | 855 | | | | 1,055 | |
| | |
American Municipal Power, Inc., Solar Electricity Prepayment Project Series 2019A, Rev., 5.00%, 2/15/2035 | | | 825 | | | | 1,055 | |
| | | | | | | | |
| | |
| | | | | | | 2,110 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 13,490 | |
| | | | | | | | |
|
Oklahoma — 0.2% | |
|
Housing — 0.2% | |
| | |
Oklahoma County Home Finance Authority, Single Family Mortgage-Backed Securities Program Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.40%, 10/1/2038 | | | 275 | | | | 275 | |
| | |
Oklahoma Housing Finance Agency Rev., 1.60%, 1/1/2022 (c) | | | 200 | | | | 201 | |
| | | | | | | | |
| | |
| | | | | | | 476 | |
| | | | | | | | |
|
Other Revenue — 0.0% (d) | |
| | |
IDK Partners III Trust, Mortgage Pass-Through Certificates Series 1999A, Class A, Rev., 5.10%, 8/1/2023 ‡ | | | 7 | | | | 7 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 483 | |
| | | | | | | | |
|
Oneida Tribe of Indians of Wisconsin — 0.3% | |
|
Housing — 0.3% | |
| | |
Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments Series 8, Rev., 5.95%, 11/1/2023 (c) | | | 980 | | | | 981 | |
| | | | | | | | |
|
Oregon — 0.1% | |
|
Housing — 0.1% | |
| | |
Oregon State Housing and Community Services Department, Single Family Mortgage Program Series B, Rev., AMT, 5.00%, 7/1/2030 | | | 385 | | | | 398 | |
| | | | | | | | |
|
Pennsylvania — 3.6% | |
|
Education — 0.0% (d) | |
| | |
Pennsylvania Higher Educational Facilities Authority Rev., 4.00%, 8/15/2034 | | | 175 | | | | 212 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Allegheny County Hospital Development Authority, Medical Center Series 2019A, Rev., 5.00%, 7/15/2033 | | | 600 | | | | 785 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 37 | |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Housing — 0.6% | |
| | |
Pennsylvania Housing Finance Agency, Single Family Mortgage | | | | | | | | |
| | |
Series 121, Rev., 3.50%, 10/1/2046 | | | 1,175 | | | | 1,238 | |
| | |
Series 122, Rev., AMT, 4.00%, 10/1/2046 | | | 375 | | | | 403 | |
| | | | | | | | |
| | |
| | | | | | | 1,641 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 2.7% | |
| | |
Chester County Industrial Development Authority, Longwood Gardens Project | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2023 | | | 500 | | | | 560 | |
| | |
Rev., 4.00%, 12/1/2024 | | | 345 | | | | 396 | |
| | |
Rev., 4.00%, 12/1/2025 | | | 250 | | | | 294 | |
| | |
Rev., 4.00%, 12/1/2026 | | | 250 | | | | 300 | |
| | |
Rev., 5.00%, 12/1/2027 | | | 200 | | | | 260 | |
| | |
Rev., 5.00%, 12/1/2035 | | | 175 | | | | 228 | |
| | |
Rev., 5.00%, 12/1/2036 | | | 185 | | | | 240 | |
| | |
Rev., 5.00%, 12/1/2037 | | | 200 | | | | 259 | |
| | |
Philadelphia Authority for Industrial Development, City Service Agreement, Affordable Housing Preservation Programs Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2023 | | | 2,020 | | | | 2,308 | |
| | |
Rev., AGM, 5.00%, 12/1/2026 | | | 1,550 | | | | 1,935 | |
| | |
Rev., AGM, 5.00%, 12/1/2027 | | | 680 | | | | 856 | |
| | | | | | | | |
| | |
| | | | | | | 7,636 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 10,274 | |
| | | | | | | | |
|
South Carolina — 0.8% | |
|
Housing — 0.4% | |
| | |
South Carolina State Housing Finance and Development Authority | | | | | | | | |
| | |
Series A, Rev., 4.00%, 1/1/2047 | | | 305 | | | | 327 | |
| | |
Series B, Rev., FHA, GNMA/FNMA/FHLMC, 4.00%, 7/1/2047 | | | 750 | | | | 812 | |
| | | | | | | | |
| | |
| | | | | | | 1,139 | |
| | | | | | | | |
|
Other Revenue — 0.4% | |
| | |
Town of Hilton Head Island, Beach Preservation Fee Pledge Rev., 5.00%, 8/1/2026 | | | 1,000 | | | | 1,214 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 2,353 | |
| | | | | | | | |
|
South Dakota — 2.2% | |
|
Housing — 2.2% | |
| | |
South Dakota Housing Development Authority Series 2020A, Rev., 3.75%, 11/1/2050 | | | 2,500 | | | | 2,796 | |
| | |
South Dakota Housing Development Authority, Homeownership Mortgage | | | | | | | | |
| | |
Series 2015D, Rev., 4.00%, 11/1/2045 | | | 1,315 | | | | 1,402 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Housing — continued | | | | | | | | |
| | |
Series A, Rev., 4.00%, 5/1/2049 | | | 2,020 | | | | 2,236 | |
| | | | | | | | |
| | |
| | | | | | | 6,434 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 6,434 | |
| | | | | | | | |
|
Tennessee — 0.6% | |
|
Housing — 0.6% | |
| | |
Tennessee Housing Development Agency, Residential Finance Program | | | | | | | | |
| | |
Series 2B, Rev., AMT, 4.00%, 7/1/2043 | | | 155 | | | | 163 | |
| | |
Rev., 3.50%, 1/1/2048 | | | 1,525 | | | | 1,632 | |
| | | | | | | | |
| | |
| | | | | | | 1,795 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 1,795 | |
| | | | | | | | |
|
Texas — 10.4% | |
|
Education — 3.3% | |
| | |
Brazos Higher Education Authority, Inc., Student Loan Program | | | | | | | | |
| | |
Series 2020-1A, Rev., AMT, 5.00%, 4/1/2025 | | | 350 | | | | 413 | |
| | |
Series 2020-1A, Rev., AMT, 5.00%, 4/1/2026 | | | 500 | | | | 605 | |
| | |
Clifton Higher Education Finance Corp., Idea Public Schools Rev., PSF-GTD, 4.00%, 8/15/2030 | | | 1,300 | | | | 1,596 | |
| | |
University of Texas (The), Board of Regents, Financing System Series 2019A, Rev., 5.00%, 8/15/2033 | | | 5,000 | | | | 6,647 | |
| | | | | | | | |
| | |
| | | | | | | 9,261 | |
| | | | | | | | |
|
General Obligation — 3.5% | |
| | |
Boerne School District GO, PSF-GTD, 5.00%, 2/1/2029 | | | 1,000 | | | | 1,333 | |
| | |
Clear Creek Independent School District Series B, GO, PSF-GTD, 1.35%, 8/15/2022 (c) | | | 500 | | | | 504 | |
| | |
Northside Independent School District GO,PSF-GTD, 1.60%, 8/1/2024 (c) | | | 350 | | | | 357 | |
| | |
Pasadena Independent School District Series B, GO, PSF-GTD, 1.50%, 8/15/2024 (c) | | | 750 | | | | 765 | |
| | |
Pflugerville Independent School District Series A, GO, PSF-GTD, 2.25%, 8/15/2022 (c) | | | 1,200 | | | | 1,236 | |
| | |
Socorro Independent School District Series A, GO, PSF-GTD, 5.00%, 8/15/2024 | | | 2,000 | | | | 2,357 | |
| | |
State of Texas GO, VRDO, LIQ: FHLB, 1.20%, 3/10/2020 (c) | | | 2,945 | | | | 2,945 | |
| | |
State of Texas, Water Financial Assistance Series 2015D, GO, 5.00%, 5/15/2033 | | | 450 | | | | 542 | |
| | | | | | | | |
| | |
| | | | | | | 10,039 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Hospital — 0.3% | |
| | |
Irving Hospital Authority, Baylor Scott and White Medical Center | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 10/15/2026 | | | 250 | | | | 304 | |
| | |
Series 2017A, Rev., 5.00%, 10/15/2027 | | | 500 | | | | 607 | |
| | | | | | | | |
| | |
| | | | | | | 911 | |
| | | | | | | | |
|
Housing — 0.5% | |
| | |
Texas Department of Housing and Community Affairs, Residential Mortgage Series A, Rev., GNMA/FNMA/FHLMC, 5.00%, 7/1/2029 | | | 175 | | | | 181 | |
| | |
Texas State Affordable Housing Corp., Single Family Mortgage, Heroes Home Loan Program Series 2019A, Rev., GNMA COLL, 4.25%, 3/1/2049 | | | 1,210 | | | | 1,358 | |
| | | | | | | | |
| | |
| | | | | | | 1,539 | |
| | | | | | | | |
|
Other Revenue — 0.4% | |
| | |
Midtown Redevelopment Authority, Tax Increment | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2031 (f) | | | 365 | | | | 447 | |
| | |
Rev., 4.00%, 1/1/2032 (f) | | | 500 | | | | 607 | |
| | | | | | | | |
| | |
| | | | | | | 1,054 | |
| | | | | | | | |
|
Transportation — 1.6% | |
| | |
Central Texas Regional Mobility Authority Rev., 5.00%, 1/1/2046 | | | 1,000 | | | | 1,184 | |
| | |
Dallas Area Rapid Transit, Senior Lien Series A, Rev., 5.00%, 12/1/2032 | | | 2,800 | | | | 3,419 | |
| | | | | | | | |
| | |
| | | | | | | 4,603 | |
| | | | | | | | |
|
Water & Sewer — 0.8% | |
| | |
City of Austin, Water and Wastewater System Rev., 5.00%, 11/15/2027 | | | 665 | | | | 860 | |
| | |
Texas Water Development Board, State Water Implementation Series 2019A, Rev., 5.00%, 4/15/2023 | | | 1,300 | | | | 1,468 | |
| | | | | | | | |
| | |
| | | | | | | 2,328 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 29,735 | |
| | | | | | | | |
|
Utah — 2.9% | |
|
Housing — 1.7% | |
| | |
Utah Housing Corp., Single Family MortgageSeries D-2, Class III, Rev., FHA, 4.00%, 1/1/2045 | | | 1,125 | | | | 1,211 | |
| | |
Utah State Board of Regents, Student Fee and Housing System Rev., NATL-RE, 5.25%, 4/1/2023 | | | 3,245 | | | | 3,625 | |
| | | | | | | | |
| | |
| | | | | | | 4,836 | |
| | | | | | | | |
|
Other Revenue — 0.5% | |
| | |
Utah Transit Authority, Sales Tax Series C, Rev., AGM, 5.25%, 6/15/2029 | | | 970 | | | | 1,299 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
Utah Associated Municipal Power System, Horse Butte Wind Project Series 2017B, Rev., 5.00%, 9/1/2033 | | | 1,700 | | | | 2,144 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 8,279 | |
| | | | | | | | |
|
Vermont — 2.3% | |
|
Education — 1.9% | |
| | |
Vermont Student Assistance Corp., Education Loan | | | | | | | | |
| | |
Series A, Rev., AMT, 5.00%, 6/15/2023 | | | 1,000 | | | | 1,118 | |
| | |
Series 2016A, Rev., AMT, 5.00%, 6/15/2024 | | | 1,400 | | | | 1,612 | |
| | |
Series A, Rev., AMT, 5.00%, 6/15/2025 | | | 2,150 | | | | 2,542 | |
| | | | | | | | |
| | |
| | | | | | | 5,272 | |
| | | | | | | | |
|
Housing — 0.4% | |
| | |
Vermont Housing Finance Agency, Multiple Purpose | | | | | | | | |
| | |
Series B, Rev., AMT, 4.13%, 11/1/2042 | | | 70 | | | | 71 | |
| | |
Series B, Rev., AMT, 3.75%, 11/1/2045 | | | 1,065 | | | | 1,114 | |
| | | | | | | | |
| | |
| | | | | | | 1,185 | |
| | | | | | | | |
| | |
Total Vermont | | | | | | | 6,457 | |
| | | | | | | | |
|
Washington — 4.8% | |
|
Education — 0.3% | |
| | |
Washington Higher Education Facilities Authority, Seattle Pacific University Project Series 2020A, Rev., 5.00%, 10/1/2035 | | | 710 | | | | 927 | |
| | | | | | | | |
|
Hospital — 0.8% | |
| | |
Washington Health Care Facilities Authority, Multicare Health System Series B, Rev., 5.00%, 8/15/2035 | | | 1,850 | | | | 2,353 | |
| | | | | | | | |
|
Housing — 1.5% | |
| | |
King County Housing Authority, Highland Village Project | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2027 | | | 125 | | | | 155 | |
| | |
Rev., 5.00%, 1/1/2028 | | | 125 | | | | 160 | |
| | |
Rev., 5.00%, 1/1/2029 | | | 125 | | | | 161 | |
| | |
Rev., 4.00%, 1/1/2031 | | | 330 | | | | 396 | |
| | |
Rev., 4.00%, 1/1/2034 | | | 500 | | | | 594 | |
| | |
Washington State Housing Finance Commission, Single Family Program | | | | | | | | |
| | |
Series 2A-R, Rev., AMT, 3.50%, 12/1/2046 | | | 300 | | | | 314 | |
| | |
Series 2N, Rev., GNMA/FNMA/FHLMC, 3.50%, 6/1/2047 | | | 2,300 | | | | 2,442 | |
| | | | | | | | |
| | |
| | | | | | | 4,222 | |
| | | | | | | | |
|
Other Revenue — 2.2% | |
| | |
FYI Properties, State of Washington District Project — Green Bonds Rev., 5.00%, 6/1/2039 | | | 5,000 | | | | 6,272 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 13,774 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 39 | |
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Wisconsin — 2.9% | |
|
Education — 2.2% | |
| | |
Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2022 | | | 520 | | | | 563 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2023 | | | 550 | | | | 613 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2024 | | | 580 | | | | 664 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2025 | | | 235 | | | | 275 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2026 | | | 385 | | | | 461 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2027 | | | 785 | | | | 957 | |
| | |
Wisconsin Health and Educational Facilities Authority, Lawrence University of Wisconsin | | | | | | | | |
| | |
Rev., 4.00%, 2/1/2021 (f) | | | 425 | | | | 436 | |
| | |
Rev., 4.00%, 2/1/2022 (f) | | | 280 | | | | 296 | |
| | |
Rev., 4.00%, 2/1/2023 (f) | | | 280 | | | | 304 | |
| | |
Wisconsin Health and Educational Facilities Authority, Marshfield Clinic Health System, Inc. | | | | | | | | |
| | |
Series C, Rev., 5.00%, 2/15/2027 | | | 400 | | | | 503 | |
| | |
Series C, Rev., 5.00%, 2/15/2028 | | | 575 | | | | 715 | |
| | |
Series C, Rev., 5.00%, 2/15/2029 | | | 375 | | | | 465 | |
| | | | | | | | |
| | |
| | | | | | | 6,252 | |
| | | | | | | | |
|
Hospital — 0.7% | |
| | |
Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc. | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2024 | | | 250 | | | | 291 | |
| | |
Rev., 5.00%, 7/1/2025 | | | 250 | | | | 300 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — continued | |
| | |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service Rev., 5.00%, 4/1/2035 | | | 1,165 | | | | 1,487 | |
| | | | | | | | |
| | |
| | | | | | | 2,078 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 8,330 | |
| | | | | | | | |
|
Wyoming — 0.3% | |
|
Other Revenue — 0.3% | |
| | |
Wyoming Community Development Authority Series 5, Rev., 4.00%, 12/1/2046 | | | 855 | | | | 925 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $261,855) | | | | | | | 277,041 | |
| | | | | | | | |
| INVESTMENTS | |
SHARES
(000) | | | VALUE
($000) | |
Short-Term Investments — 4.8% | |
|
Investment Companies — 4.8% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (g) (h)
(Cost $13,683) | | | 13,683 | | | | 13,683 | |
| | | | | | | | |
Total Investments — 101.9%
(Cost $275,538) | | | | | | | 290,724 | |
Liabilities in Excess of
Other Assets — (1.9)% | | | | | | | (5,304 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 285,420 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| BRRH | | Boca Raton Regional Hospital |
| CHESLA | | Connecticut Higher Education Supplemental Loan Authority |
| COLL | | Collateral |
| COP | | Certificate of Participation |
| FHA | | Federal Housing Administration |
| FHLB | | Federal Home Loan Bank |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| GO | | General Obligation |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| LIQ | | Liquidity Agreement |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | | Permanent School Fund Guaranteed |
| RE | | Reinsured |
| Rev. | | Revenue |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| | |
| (a) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | 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 February 29, 2020. |
| (d) | | Amount rounds to less than 0.1% of net assets. |
| (e) | | Security is prerefunded or escrowed to maturity. |
| (f) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (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 February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 98.6% (a) | |
|
Alabama — 1.6% | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Selma Industrial Development Board, International Paper Co. Project Series 2019A, Rev., 2.00%, 10/1/2024 (b) | | | 3,625 | | | | 3,718 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Montgomery County Public Building Authority, Warrants, Facilities Project Rev., 5.00%, 3/1/2023 | | | 500 | | | | 560 | |
| | | | | | | | |
|
Utility — 1.4% | |
| | |
Black Belt Energy Gas District, Gas PrepaySeries 2018B-2, Rev., VRDO, 1.77%, 3/10/2020 (b) | | | 7,500 | | | | 7,500 | |
| | |
Black Belt Energy Gas District, Gas Supply Series 2016A, Rev., LIQ: Royal Bank of Canada, 4.00%, 6/1/2021 (b) | | | 8,320 | | | | 8,627 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 1 | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/1/2021 | | | 2,865 | | | | 2,987 | |
| | |
Series A, Rev., 5.00%, 4/1/2022 | | | 3,220 | | | | 3,473 | |
| | | | | | | | |
| | |
| | | | | | | 22,587 | |
| | | | | | | | |
| | |
Total Alabama | | | | | | | 26,865 | |
| | | | | | | | |
|
Alaska — 0.1% | |
|
General Obligation — 0.1% | |
| | |
State of Alaska Series A, GO, 5.00%, 8/1/2029 | | | 1,300 | | | | 1,566 | |
| | | | | | | | |
|
Utility — 0.0% (c) | |
| | |
City of Anchorage, Electric Utilities, Senior Lien Series 2014A, Rev., 5.00%, 12/1/2023 | | | 500 | | | | 573 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 2,139 | |
| | | | | | | | |
|
Arizona — 1.9% | |
|
General Obligation — 0.5% | |
| | |
City of Scottsdale GO, 5.00%, 7/1/2022 | | | 2,550 | | | | 2,799 | |
| | |
Maricopa County Elementary School District No. 6 Washington, School Improvement, Project of 2016 Series 2019B, GO, 5.00%, 7/1/2029 | | | 3,950 | | | | 5,159 | |
| | | | | | | | |
| | |
| | | | | | | 7,958 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Arizona Health Facilities Authority, Scottsdale Lincoln Hospitals Series 2014A, Rev., 5.00%, 12/1/2025 | | | 3,540 | | | | 4,200 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.1% | |
| | |
Maricopa County Industrial Development Authority, Banner Health | | | | | | | | |
| | |
Series B, Rev., 5.00%, 10/18/2022 (b) | | | 7,370 | | | | 8,156 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — continued | |
| | |
Series C, Rev., 5.00%, 10/18/2024 (b) | | | 9,000 | | | | 10,649 | |
| | | | | | | | |
| | |
| | | | | | | 18,805 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Town of Marana, Excise Tax | | | | | | | | |
| | |
Series B, Rev., 4.00%, 7/1/2020 | | | 75 | | | | 76 | |
| | |
Series 2017B, Rev., 5.00%, 7/1/2021 | | | 100 | | | | 105 | |
| | | | | | | | |
| | |
| | | | | | | 181 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 31,144 | |
| | | | | | | | |
|
Arkansas — 0.8% | |
|
Education — 0.3% | |
| | |
University of Arkansas, UAMS Campus | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2020 | | | 535 | | | | 535 | |
| | |
Rev., 5.00%, 3/1/2025 | | | 500 | | | | 603 | |
| | |
Rev., 5.00%, 3/1/2026 | | | 1,000 | | | | 1,201 | |
| | |
University of Central Arkansas, Student Housing System | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 11/1/2021 | | | 1,600 | | | | 1,704 | |
| | |
Series 2019C, Rev., AGM, 4.00%, 11/1/2025 | | | 110 | | | | 127 | |
| | |
Series 2019C, Rev., AGM, 4.00%, 11/1/2026 | | | 240 | | | | 279 | |
| | |
Series 2019C, Rev., AGM, 4.00%, 11/1/2027 | | | 180 | | | | 209 | |
| | | | | | | | |
| | |
| | | | | | | 4,658 | |
| | | | | | | | |
|
Other Revenue — 0.5% | |
| | |
Arkansas Development Finance Authority, Department of Community Correction Project Rev., 5.00%, 11/1/2026 | | | 325 | | | | 407 | |
| | |
City of Little Rock, Hotel and Restaurant Rev., 5.00%, 7/1/2020 | | | 580 | | | | 588 | |
| | |
City of Rogers Series B, Rev., 5.00%, 11/1/2027 | | | 3,855 | | | | 4,847 | |
| | |
County of Sharp | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2024 | | | 595 | | | | 679 | |
| | |
Rev., 5.00%, 3/1/2025 | | | 600 | | | | 704 | |
| | |
Rev., 5.00%, 3/1/2026 | | | 685 | | | | 824 | |
| | | | | | | | |
| | |
| | | | | | | 8,049 | |
| | | | | | | | |
| | |
Total Arkansas | | | | | | | 12,707 | |
| | | | | | | | |
|
California — 17.6% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
City of Chula Vista, Police Facility Project | | | | | | | | |
| | |
COP, 5.00%, 10/1/2021 | | | 360 | | | | 385 | |
| | |
COP, 5.00%, 10/1/2022 | | | 465 | | | | 517 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 41 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | |
|
Certificate of Participation/Lease — continued | |
| | |
COP, 5.00%, 10/1/2023 | | | 1,000 | | | | 1,156 | |
| | |
Goleta Water District Series A, COP, AGM, 5.00%, 12/1/2020 | | | 140 | | | | 145 | |
| | | | | | | | |
| | |
| | | | | | | 2,203 | |
| | | | | | | | |
|
Education — 1.0% | |
| | |
California Educational Facilities Authority, Claremont McKenna College Series 2015A, Rev., 4.00%, 1/1/2024 | | | 1,675 | | | | 1,885 | |
| | |
California Municipal Finance Authority, California Lutheran University | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2025 | | | 275 | | | | 331 | |
| | |
Rev., 5.00%, 10/1/2026 | | | 150 | | | | 185 | |
| | |
Rev., 5.00%, 10/1/2027 | | | 150 | | | | 189 | |
| | |
Regents of the University of California Series AK, Rev., 5.00%, 5/15/2023 (b) | | | 11,505 | | | | 13,060 | |
| | | | | | | | |
| | |
| | | | | | | 15,650 | |
| | | | | | | | |
|
General Obligation — 7.2% | |
| | |
Allan Hancock Joint Community College District GO, 5.00%, 8/1/2022 | | | 1,050 | | | | 1,161 | |
| | |
City and County of San Francisco Series 2014A, GO, 5.00%, 6/15/2025 | | | 5,310 | | | | 5,834 | |
| | |
County of Sacramento, San Juan Unified School District, Election of 2002 GO, 5.00%, 8/1/2020 | | | 775 | | | | 789 | |
| | |
County of Santa Clara, Moreland School District | | | | | | | | |
| | |
GO, 5.00%, 8/1/2021 | | | 1,000 | | | | 1,062 | |
| | |
Grossmont Healthcare District | | | | | | | | |
| | |
Series D, GO, 5.00%, 7/15/2026 | | | 1,225 | | | | 1,504 | |
| | |
Series D, GO, 5.00%, 7/15/2027 | | | 1,285 | | | | 1,573 | |
| | |
Grossmont Healthcare District, Election of 2006 Series 2015C, GO, 5.00%, 7/15/2026 | | | 1,000 | | | | 1,228 | |
| | |
Los Angeles Community College District Series C, GO, 5.00%, 6/1/2026 | | | 5,000 | | | | 6,331 | |
| | |
Novato Unified School District | | | | | | | | |
| | |
Series A, GO, 4.00%, 2/1/2022 | | | 535 | | | | 570 | |
| | |
Series A, GO, 5.00%, 2/1/2023 | | | 685 | | | | 773 | |
| | |
Series A, GO, 5.00%, 8/1/2025 | | | 1,500 | | | | 1,789 | |
| | |
Series A, GO, 5.00%, 8/1/2026 | | | 1,800 | | | | 2,146 | |
| | |
Oak Grove School District GO, 5.00%, 8/1/2023 | | | 1,200 | | | | 1,380 | |
| | |
Placentia-Yorba Linda Unified School District GO, 5.00%, 8/1/2025 | | | 1,770 | | | | 2,185 | |
| | |
Salinas Union High School District GO, BAN, Zero Coupon, 8/1/2020 | | | 2,000 | | | | 1,984 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
San Francisco Bay Area Rapid Transit District, Election of 2004 | | | | | | | | |
| | |
Series D, GO, 3.00%, 8/1/2022 | | | 2,735 | | | | 2,894 | |
| | |
Series 2015D, GO, 5.00%, 8/1/2027 | | | 1,500 | | | | 1,848 | |
| | |
Series 2015D, GO, 5.00%, 8/1/2028 | | | 1,685 | | | | 2,072 | |
| | |
San Francisco Unified School District, Proposition A, Election of 2011 Series B, GO, 5.00%, 6/15/2024 | | | 5,190 | | | | 5,700 | |
| | |
San Mateo County Community College District GO, 5.00%, 9/1/2026 | | | 1,095 | | | | 1,304 | |
| | |
Santa Barbara Unified School District | | | | | | | | |
| | |
Series A, GO, 4.00%, 8/1/2022 | | | 30 | | | | 32 | |
| | |
Series B, GO, 5.00%, 8/1/2026 | | | 50 | | | | 64 | |
| | |
State of California, Various Purpose | | | | | | | | |
| | |
Series B, GO, 5.00%, 9/1/2023 | | | 2,810 | | | | 3,223 | |
| | |
GO, 5.00%, 11/1/2023 | | | 3,560 | | | | 4,108 | |
| | |
GO, 5.00%, 3/1/2026 | | | 13,210 | | | | 15,919 | |
| | |
GO, 5.00%, 9/1/2026 | | | 4,900 | | | | 6,195 | |
| | |
GO, 4.00%, 8/1/2028 | | | 4,000 | | | | 4,773 | |
| | |
GO, 5.00%, 9/1/2028 | | | 2,500 | | | | 2,655 | |
| | |
GO, 4.00%, 8/1/2029 | | | 4,180 | | | | 4,973 | |
| | |
GO, 5.00%, 8/1/2029 | | | 7,830 | | | | 9,846 | |
| | |
GO, 4.00%, 8/1/2030 | | | 10,000 | | | | 11,856 | |
| | |
Whittier Union School District GO, 5.00%, 8/1/2023 | | | 10,495 | | | | 12,059 | |
| | | | | | | | |
| | |
| | | | | | | 119,830 | |
| | | | | | | | |
|
Hospital — 1.8% | |
| | |
California Health Facilities Financing Authority, Adventist Health System Series 2011A, Rev., 3.00%, 3/1/2024 (b) | | | 9,850 | | | | 10,510 | |
| | |
California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2025 | | | 1,850 | | | | 2,304 | |
| | |
California Health Facilities Financing Authority, Providence Health and Services | | | | | | | | |
| | |
Series 2014A, Rev., 5.00%, 10/1/2021 | | | 750 | | | | 802 | |
| | |
Series 2014A, Rev., 5.00%, 10/1/2022 | | | 1,500 | | | | 1,667 | |
| | |
California Health Facilities Financing Authority, St. Joseph Health System Series 2013D, Rev., 5.00%, 10/15/2020 (b) | | | 12,870 | | | | 13,193 | |
| | |
California Municipal Finance Authority, NorthBay Healthcare Group | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 11/1/2023 | | | 500 | | | | 566 | |
| | |
Series 2017A, Rev., 5.00%, 11/1/2024 | | | 800 | | | | 930 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Hospital — continued | | | | | | | | |
| | |
California Statewide Communities Development Authority, Marin General Hospital Project Series 2018A, Rev., 5.00%, 8/1/2028 | | | 250 | | | | 324 | |
| | | | | | | | |
| | |
| | | | | | | 30,296 | |
| | | | | | | | |
|
Other Revenue — 2.2% | |
| | |
Alameda County Transport Authority, Sales Tax | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2020 | | | 1,240 | | | | 1,240 | |
| | |
Rev., 4.00%, 3/1/2022 | | | 5,000 | | | | 5,340 | |
| | |
California Infrastructure and Economic Development Bank, The J. Paul Getty Trust | | | | | | | | |
| | |
Series 2013A-2, Rev., (ICE LIBOR USD 1 Month + 0.33%), 1.44%, 4/1/2020 (d) | | | 3,250 | | | | 3,261 | |
| | |
Series 2011A-3, Rev., (ICE LIBOR USD 3 Month + 0.37%), 1.48%, 4/1/2020 (d) | | | 8,000 | | | | 8,002 | |
| | |
Series 2011A-4, Rev., (ICE LIBOR USD 3 Month + 0.37%), 1.48%, 4/1/2020 (d) | | | 7,000 | | | | 7,002 | |
| | |
California Municipal Finance Authority, Biola University Rev., 5.00%, 10/1/2021 | | | 370 | | | | 393 | |
| | |
Contra Costa County Transportation Authority, Sales Tax | | | | | | | | |
| | |
Series A, Rev., 5.00%, 3/1/2023 | | | 2,420 | | | | 2,735 | |
| | |
Series A, Rev., 5.00%, 3/1/2024 | | | 2,000 | | | | 2,347 | |
| | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Series 2015A, Rev., 5.00%, 6/1/2021 | | | 1,000 | | | | 1,053 | |
| | |
San Diego County Regional Transportation Commission, Sales Tax | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/1/2021 | | | 250 | | | | 262 | |
| | |
Series A, Rev., 5.00%, 4/1/2022 | | | 100 | | | | 109 | |
| | |
San Francisco State Building Authority and Oakland State Building Authority, Elihu M. Harris State Office Building Series A, Rev., 5.00%, 12/1/2022 | | | 1,700 | | | | 1,901 | |
| | |
Sonoma County Transportation Authority, Sales Tax Rev., 5.00%, 12/1/2024 | | | 1,000 | | | | 1,206 | |
| | |
Stockton Public Financing Authority | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2027 | | | 630 | | | | 789 | |
| | |
Rev., 5.00%, 3/1/2029 | | | 465 | | | | 608 | |
| | | | | | | | |
| | |
| | | | | | | 36,248 | |
| | | | | | | | |
|
Prerefunded — 0.3% | |
| | |
Anaheim Housing and Public Improvements Authority, Electric Utility Distribution System Series 2016A, Rev., 5.00%, 10/1/2032 (e) | | | 1,275 | | | | 1,361 | |
| | |
California State Public Works Board, California State University, Davidson Library at Santa Barbara Series 2013C, Rev., 5.00%, 3/1/2038 (e) | | | 2,820 | | | | 3,188 | |
| | | | | | | | |
| | |
| | | | | | | 4,549 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — 2.4% | |
| | |
Bay Area Toll Authority, Toll Bridge, San Francisco Bay AreaSeries S-7, Rev., 4.00%, 4/1/2029 | | | 20,000 | | | | 24,301 | |
| | |
City of Los Angeles, Department of Airports | | | | | | | | |
| | |
Series A, Rev., AMT, 5.00%, 5/15/2021 | | | 1,590 | | | | 1,669 | |
| | |
Series C, Rev., 5.00%, 5/15/2022 | | | 750 | | | | 821 | |
| | |
Series D, Rev., AMT, 5.00%, 5/15/2022 | | | 3,380 | | | | 3,688 | |
| | |
Series B, Rev., 4.00%, 5/15/2024 | | | 365 | | | | 416 | |
| | |
Series C, Rev., 5.00%, 5/15/2024 | | | 700 | | | | 825 | |
| | |
Series D, Rev., AMT, 5.00%, 5/15/2027 | | | 2,700 | | | | 3,251 | |
| | |
Series D, Rev., AMT, 5.00%, 5/15/2028 | | | 1,950 | | | | 2,342 | |
| | |
Series D, Rev., AMT, 5.00%, 5/15/2029 | | | 2,550 | | | | 3,054 | |
| | | | | | | | |
| | |
| | | | | | | 40,367 | |
| | | | | | | | |
|
Utility — 1.3% | |
| | |
Los Angeles Department of Water and Power System Series A, Rev., 5.00%, 7/1/2025 | | | 100 | | | | 122 | |
| | |
Sacramento Municipal Utility District, Electric | | | | | | | | |
| | |
Series E, Rev., 5.00%, 8/15/2022 | | | 2,740 | | | | 3,030 | |
| | |
Series E, Rev., 5.00%, 8/15/2027 | | | 105 | | | | 137 | |
| | |
San Francisco City and County Public Utilities Commission Water, Green Bonds Series 2018C, Rev., 2.13%, 10/1/2023 (b) | | | 10,000 | | | | 10,374 | |
| | |
Southern California Public Power Authority, Canyon Power Project Series 2016A, Rev., 5.00%, 7/1/2026 | | | 1,000 | | | | 1,056 | |
| | |
Southern California Public Power Authority, Magnolia Power Project Series 1, Rev., 2.00%, 7/1/2020 (b) | | | 7,000 | | | | 7,006 | |
| | |
Walnut Energy Center Authority Series A, Rev., 5.00%, 1/1/2023 | | | 400 | | | | 448 | |
| | | | | | | | |
| | |
| | | | | | | 22,173 | |
| | | | | | | | |
|
Water & Sewer — 1.3% | |
| | |
Burlingame Financing Authority Water and Wastewater Rev., 4.00%, 4/1/2020 | | | 250 | | | | 251 | |
| | |
California State Department of Water Resources, Central Valley Project, Water System Series AU, Rev., (SIFMA Municipal Swap Index Yield + 0.22%), 1.37%, 3/10/2020 (d) | | | 10,000 | | | | 10,007 | |
| | |
City of Los Angeles, Wastewater SystemSeries 2015-A, Rev., 5.00%, 6/1/2022 | | | 2,750 | | | | 3,017 | |
| | |
East Bay Municipal Utility District, Wastewater System Series A, Rev., 5.00%, 6/1/2020 | | | 3,000 | | | | 3,032 | |
| | |
Eastern Municipal Water District, Water and Wastewater | | | | | | | | |
| | |
Series C, Rev., 5.00%, 7/1/2021 | | | 2,530 | | | | 2,678 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 43 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| |
Water & Sewer — continued | | | | | |
| | |
Series C, Rev., 5.00%, 7/1/2022 | | | 1,700 | | | | 1,872 | |
| | | | | | | | |
| | |
| | | | | | | 20,857 | |
| | | | | | | | |
| | |
Total California | | | | | | | 292,173 | |
| | | | | | | | |
|
Colorado — 2.0% | |
|
Certificate of Participation/Lease — 0.2% | |
| | |
City of Aurora | | | | | | | | |
| | |
COP, 3.00%, 12/1/2020 | | | 125 | | | | 127 | |
| | |
COP, 4.00%, 12/1/2022 | | | 375 | | | | 407 | |
| | |
City of Longmont | | | | | | | | |
| | |
Series A, COP, 5.00%, 12/1/2021 | | | 100 | | | | 107 | |
| | |
Series A, COP, 5.00%, 12/1/2022 | | | 100 | | | | 111 | |
| | |
Series A, COP, 5.00%, 12/1/2024 | | | 100 | | | | 115 | |
| | |
Colorado Department of Transportation Headquarters Facilities, Headquarters Facilities Lease Purchase Agreement | | | | | | | | |
| | |
COP, 3.00%, 6/15/2020 | | | 250 | | | | 252 | |
| | |
COP, 3.00%, 6/15/2021 | | | 1,000 | | | | 1,028 | |
| | |
County of Boulder, Flood Reconstruction Projects | | | | | | | | |
| | |
COP, 5.00%, 12/1/2022 | | | 720 | | | | 742 | |
| | |
COP, 5.00%, 12/1/2023 | | | 500 | | | | 515 | |
| | |
COP, 5.00%, 12/1/2025 | | | 500 | | | | 515 | |
| | |
County of Eagle COP, 5.00%, 12/1/2022 | | | 200 | | | | 222 | |
| | | | | | | | |
| | |
| | | | | | | 4,141 | |
| | | | | | | | |
|
Education — 0.3% | |
| | |
University of Colorado, Enterprise SystemSeries A-2, Rev., 5.00%, 6/1/2022 | | | 1,080 | | | | 1,180 | |
| | |
University of Colorado, University Enterprise Series A, Rev., 5.00%, 6/1/2022 | | | 3,150 | | | | 3,441 | |
| | | | | | | | |
| | |
| | | | | | | 4,621 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Counties of Gunnison, Watershed School District No. 1 | | | | | | | | |
| | |
Series 2014A, GO, 4.00%, 12/1/2022 | | | 300 | | | | 326 | |
| | |
Series 2014A, GO, 5.00%, 12/1/2026 | | | 500 | | | | 597 | |
| | | | | | | | |
| | |
| | | | | | | 923 | |
| | | | | | | | |
|
Hospital — 0.8% | |
| | |
Colorado Health Facilities Authority, Commonspirit HealthSeries B-2, Rev., 5.00%, 8/1/2026 (b) | | | 10,000 | | | | 12,124 | |
| | |
Colorado Health Facilities Authority, Parkview Medical Center, Inc. Project Rev., 5.00%, 9/1/2022 | | | 150 | | | | 164 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — continued | |
| | |
Colorado Health Facilities Authority, Valley View Hospital Association Project Rev., 2.80%, 5/15/2023 (b) | | | 1,120 | | | | 1,167 | |
| | | | | | | | |
| | |
| | | | | | | 13,455 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Denver Convention Center Hotel Authority Rev., 4.00%, 12/1/2020 | | | 500 | | | | 510 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Regional Transportation District | | | | | | | | |
| | |
Series A, COP, 5.00%, 6/1/2023 (e) | | | 2,000 | | | | 2,021 | |
| | |
Series A, COP, 5.00%, 6/1/2025 (e) | | | 1,700 | | | | 1,717 | |
| | | | | | | | |
| | |
| | | | | | | 3,738 | |
| | | | | | | | |
|
Transportation — 0.4% | |
| | |
Colorado Bridge Enterprise Series 2019A, Rev., 4.00%, 12/1/2027 | | | 5,000 | | | | 6,111 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 33,499 | |
| | | | | | | | |
|
Connecticut — 1.4% | |
|
Hospital — 0.6% | |
| | |
Connecticut State Health and Educational Facilities Authority, Hartford Healthcare IssueSeries 2020B-2, Rev., 5.00%, 1/1/2027 (b) | | | 7,750 | | | | 9,653 | |
| | | | | | | | |
|
Housing — 0.0% (c) | |
| | |
Connecticut Housing Finance Authority Series E, SubseriesE-3, Rev., 1.63%, 11/15/2022 (b) | | | 750 | | | | 753 | |
| | | | | | | | |
|
Special Tax — 0.8% | |
| | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes Series C, Rev., 5.00%, 10/1/2026 | | | 10,000 | | | | 12,461 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 22,867 | |
| | | | | | | | |
|
District of Columbia — 0.2% | |
|
Hospital — 0.0% (c) | |
| | |
District of Columbia Children’s Hospital Rev., 5.00%, 7/15/2021 | | | 500 | | | | 528 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Metropolitan Washington Airports Authority, Airport System Series 2013C, Rev., 5.00%, 10/1/2021 | | | 1,475 | | | | 1,571 | |
| | |
Washington Metropolitan Area Transit Authority Series B, Rev., 5.00%, 7/1/2029 | | | 1,120 | | | | 1,440 | |
| | | | | | | | |
| | |
| | | | | | | 3,011 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 3,539 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Florida — 2.2% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
School Board of Duval County Series B, COP, 5.00%, 7/1/2021 | | | 750 | | | | 791 | |
| | |
Seminole County School Board Series A, COP, 5.00%, 7/1/2020 | | | 210 | | | | 213 | |
| | | | | | | | |
| | |
| | | | | | | 1,004 | |
| | | | | | | | |
|
Education — 0.8% | |
| | |
Board of Governors of the University of Florida, Student Activity Rev., 5.00%, 7/1/2020 | | | 1,660 | | | | 1,683 | |
| | |
Florida Higher Educational Facilities Financial Authority, Institute of Technology | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2022 | | | 115 | | | | 126 | |
| | |
Rev., 5.00%, 10/1/2023 | | | 125 | | | | 140 | |
| | |
State of Florida, State Board of Education, Lottery Series B, Rev., 5.00%, 7/1/2027 | | | 8,540 | | | | 10,726 | |
| | | | | | | | |
| | |
| | | | | | | 12,675 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Miami-Dade County Expressway Authority, Toll System | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 1,550 | | | | 1,570 | |
| | |
Series 2014A, Rev., 5.00%, 7/1/2022 | | | 625 | | | | 681 | |
| | | | | | | | |
| | |
| | | | | | | 2,251 | |
| | | | | | | | |
|
Utility — 1.2% | |
| | |
City of Gainesville, Utilities System Series B, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/10/2020 (b) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (c) | |
| | |
JEA Water and Sewer System Series A, Rev., 5.00%, 10/1/2025 | | | 250 | | | | 304 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 36,234 | |
| | | | | | | | |
|
Georgia — 1.9% | |
|
Education — 0.3% | |
| | |
Development Authority for Fulton County, Tech Athletic Association, Inc. | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2022 (e) | | | 4,855 | | | | 5,370 | |
| | |
Rev., 5.00%, 10/1/2022 | | | 145 | | | | 160 | |
| | | | | | | | |
| | |
| | | | | | | 5,530 | |
| | | | | | | | |
|
General Obligation — 1.3% | |
| | |
Cook County School District, Sales Tax GO, 5.00%, 10/1/2021 | | | 1,495 | | | | 1,591 | |
| | |
State of Georgia | | | | | | | | |
| | |
Series I, GO, 5.00%, 7/1/2021 | | | 8,165 | | | | 8,621 | |
| | |
Series 2016E, GO, 5.00%, 12/1/2025 | | | 6,750 | | | | 8,356 | |
| | |
Series F, GO, 5.00%, 7/1/2028 | | | 2,000 | | | | 2,547 | |
| | | | | | | | |
| | |
| | | | | | | 21,115 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Atlanta Development Authority, New Downtown Atlanta Stadium Project, Senior Lien | | | | | | | | |
| | |
Series 2015A-1, Rev., 5.00%, 7/1/2027 | | | 1,000 | | | | 1,210 | |
| | |
Series 2015A-1, Rev., 5.00%, 7/1/2028 | | | 1,000 | | | | 1,208 | |
| | |
Dahlonega Downtown Development Authority, North Georgia MAC, LLC Project | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 7/1/2023 | | | 325 | | | | 368 | |
| | |
Series 2017, Rev., 5.00%, 7/1/2025 | | | 250 | | | | 302 | |
| | |
Series 2017, Rev., 5.00%, 7/1/2026 | | | 275 | | | | 343 | |
| | |
Series 2017, Rev., 5.00%, 7/1/2028 | | | 375 | | | | 476 | |
| | |
Series 2017, Rev., 4.00%, 7/1/2032 | | | 1,000 | | | | 1,155 | |
| | | | | | | | |
| | |
| | | | | | | 5,062 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 31,707 | |
| | | | | | | | |
|
Hawaii — 0.6% | |
|
General Obligation — 0.6% | |
| | |
City and County of Honolulu, Rail Transit Project Series 2017H, GO, VRDO, 1.45%, 3/10/2020 (b) | | | 2,200 | | | | 2,200 | |
| | |
State of Hawaii Series EF, GO, 5.00%, 11/1/2021 | | | 7,640 | | | | 8,171 | |
| | | | | | | | |
| | |
| | | | | | | 10,371 | |
| | | | | | | | |
| | |
Total Hawaii | | | | | | | 10,371 | |
| | | | | | | | |
|
Illinois — 8.5% | |
|
Education — 1.1% | |
| | |
Illinois Finance Authority, DePaul University | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2023 | | | 200 | | | | 228 | |
| | |
Rev., 5.00%, 10/1/2025 | | | 300 | | | | 363 | |
| | |
Rev., 5.00%, 10/1/2028 | | | 250 | | | | 308 | |
| | |
Illinois Finance Authority, Downers Grove Community High School District Number 99 Project | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 12/15/2032 | | | 1,300 | | | | 1,595 | |
| | |
Series 2020A, Rev., 4.00%, 12/15/2033 | | | 3,740 | | | | 4,537 | |
| | |
Series 2020A, Rev., 4.00%, 12/15/2034 | | | 1,700 | | | | 2,054 | |
| | |
Series 2020A, Rev., 4.00%, 12/15/2035 | | | 1,340 | | | | 1,610 | |
| | |
Illinois Finance Authority, Lake Zurich Community Unit School District No. 95 Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 1/15/2030 | | | 1,960 | | | | 2,351 | |
| | |
Series 2019, Rev., 4.00%, 1/15/2032 | | | 2,120 | | | | 2,517 | |
| | |
University of Illinois, Auxiliary Facilities System Series A, Rev., 5.00%, 4/1/2024 | | | 2,500 | | | | 2,793 | |
| | | | | | | | |
| | |
| | | | | | | 18,356 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 45 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — 4.6% | |
| | |
Champaign County Community Unit School District No. 4 Champaign | | | | | | | | |
| | |
GO, 4.00%, 6/1/2028 | | | 1,255 | | | | 1,527 | |
| | |
GO, 4.00%, 6/1/2029 | | | 1,000 | | | | 1,231 | |
| | |
GO, 4.00%, 6/1/2030 | | | 1,285 | | | | 1,560 | |
| | |
GO, 4.00%, 6/1/2031 | | | 1,250 | | | | 1,499 | |
| | |
GO, 4.00%, 6/1/2032 | | | 1,000 | | | | 1,183 | |
| | |
Champaign County Community Unit School District No. 4 Champaign, Capital Appreciation | | | | | | | | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2025 | | | 960 | | | | 898 | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2027 | | | 385 | | | | 346 | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2028 | | | 570 | | | | 501 | |
| | |
City of Chicago | | | | | | | | |
| | |
Series 2015C, GO, 5.00%, 1/1/2022 (e) | | | 3,335 | | | | 3,586 | |
| | |
Series 2015C, GO, 5.00%, 1/1/2022 | | | 1,665 | | | | 1,773 | |
| | |
City of Waukegan | | | | | | | | |
| | |
Series B, GO, AGM, 5.00%, 12/30/2025 | | | 1,075 | | | | 1,292 | |
| | |
Series B, GO, AGM, 5.00%, 12/30/2026 | | | 1,125 | | | | 1,384 | |
| | |
Series B, GO, AGM, 5.00%, 12/30/2027 | | | 1,185 | | | | 1,483 | |
| | |
Cook County Community Consolidated School District No. 65 Evanston GO, 4.00%, 12/1/2030 | | | 1,225 | | | | 1,464 | |
| | |
Cook County Community School District No. 97 Oak Park | | | | | | | | |
| | |
GO, 4.00%, 1/1/2028 | | | 500 | | | | 605 | |
| | |
GO, 4.00%, 1/1/2029 | | | 375 | | | | 452 | |
| | |
GO, 4.00%, 1/1/2030 | | | 285 | | | | 342 | |
| | |
Cook County High School District No. 207 Maine Township | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 12/1/2027 | | | 1,915 | | | | 2,448 | |
| | |
Series 2019A, GO, 5.00%, 12/1/2028 | | | 1,930 | | | | 2,514 | |
| | |
Series 2019A, GO, 4.00%, 12/1/2029 | | | 1,945 | | | | 2,363 | |
| | |
Cook County School District No. 69, Skokie, Limited Tax | | | | | | | | |
| | |
GO, 4.00%, 12/1/2026 (f) | | | 470 | | | | 557 | |
| | |
GO, 4.00%, 12/1/2027 (f) | | | 490 | | | | 590 | |
| | |
GO, 4.00%, 12/1/2028 (f) | | | 545 | | | | 665 | |
| | |
GO, 4.00%, 12/1/2029 (f) | | | 515 | | | | 624 | |
| | |
GO, 4.00%, 12/1/2030 (f) | | | 200 | | | | 241 | |
| | |
GO, 4.00%, 12/1/2031 (f) | | | 820 | | | | 984 | |
| | |
GO, 4.00%, 12/1/2033 (f) | | | 1,530 | | | | 1,820 | |
| | |
Cook County School District No. 99 Cicero | | | | | | | | |
| | |
Series 2019B, GO, 5.00%, 12/1/2024 | | | 505 | | | | 589 | |
| | |
Series 2019B, GO, 5.00%, 12/1/2025 | | | 515 | | | | 615 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
Cook County, Proviso Township High School District No. 209 | | | | | | | | |
| | |
GO, 5.00%, 12/1/2022 | | | 2,975 | | | | 3,276 | |
| | |
GO, 5.00%, 12/1/2023 | | | 2,350 | | | | 2,665 | |
| | |
County of Cook, Township High School District No. 205 Series 2016A, GO, 5.00%, 12/1/2023 | | | 5 | | | | 6 | |
| | |
County of DuPage, Courthouse Project GO, 5.00%, 1/1/2024 | | | 335 | | | | 385 | |
| | |
DuPage County School District No. 2 Bensenville, Alternate Revenue Source | | | | | | | | |
| | |
GO, 4.00%, 5/1/2032 | | | 615 | | | | 736 | |
| | |
GO, 4.00%, 5/1/2033 | | | 1,280 | | | | 1,524 | |
| | |
Effingham Community Unit School District No. 40 Series 2019A, GO, 4.00%, 12/1/2028 | | | 565 | | | | 671 | |
| | |
Glenview Park District | | | | | | | | |
| | |
GO, 5.00%, 12/1/2026 | | | 300 | | | | 374 | |
| | |
GO, 5.00%, 12/1/2029 | | | 350 | | | | 443 | |
| | |
Grundy and Kendall Counties Consolidated Grade School DistrictNo. 60-C | | | | | | | | |
| | |
GO, 4.00%, 2/1/2030 | | | 1,145 | | | | 1,351 | |
| | |
GO, 4.00%, 2/1/2031 | | | 1,190 | | | | 1,396 | |
| | |
GO, 4.00%, 2/1/2032 | | | 620 | | | | 724 | |
| | |
Kane and DeKalb Counties Community Unit School District No. 301 GO, 5.00%, 1/1/2027 | | | 355 | | | | 441 | |
| | |
Kane County School District No. 131 Aurora East Side | | | | | | | | |
| | |
Series 2020A, GO, AGM, 5.00%, 12/1/2026 (f) | | | 115 | | | | 143 | |
| | |
Series 2020B, GO, AGM, 5.00%, 12/1/2026 (f) | | | 210 | | | | 261 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2027 (f) | | | 105 | | | | 126 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2028 (f) | | | 65 | | | | 79 | |
| | |
Series 2020B, GO, AGM, 4.00%, 12/1/2028 (f) | | | 135 | | | | 164 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2029 (f) | | | 65 | | | | 79 | |
| | |
Series 2020B, GO, AGM, 4.00%, 12/1/2029 (f) | | | 40 | | | | 48 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2030 (f) | | | 80 | | | | 96 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2031 (f) | | | 100 | | | | 119 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2032 (f) | | | 110 | | | | 131 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2033 (f) | | | 125 | | | | 148 | |
| | |
Lincoln Land Community College District No. 526 | | | | | | | | |
| | |
GO, 5.00%, 12/15/2021 | | | 305 | | | | 327 | |
| | |
GO, 4.00%, 12/15/2022 | | | 440 | | | | 465 | |
| | |
Madison-Macoupin Etc Counties Community College District No. 536, Lewis and Clark Community | | | | | | | | |
| | |
GO, AGM, 4.00%, 5/1/2025 | | | 400 | | | | 452 | |
| | |
GO, AGM, 4.00%, 5/1/2026 | | | 200 | | | | 230 | |
| | |
GO, AGM, 4.00%, 5/1/2028 | | | 350 | | | | 413 | |
| | |
GO, AGM, 4.00%, 5/1/2029 | | | 1,000 | | | | 1,157 | |
| | |
McHenry County, Woodstock Community Unit School District No. 200 GO, 5.00%, 1/15/2021 | | | 300 | | | | 311 | |
| | |
Peoria County Community Unit School District No. 309 Brimfield | | | | | | | | |
| | |
GO, AGM, 4.00%, 4/1/2026 | | | 750 | | | | 860 | |
| | |
GO, AGM, 4.00%, 4/1/2027 | | | 780 | | | | 910 | |
| | |
GO, AGM, 4.00%, 4/1/2028 | | | 410 | | | | 485 | |
| | |
GO, AGM, 4.00%, 4/1/2029 | | | 240 | | | | 288 | |
| | |
GO, AGM, 4.00%, 4/1/2030 | | | 375 | | | | 448 | |
| | |
GO, AGM, 4.00%, 4/1/2031 | | | 410 | | | | 488 | |
| | |
State of Illinois | | | | | | | | |
| | |
Series D, GO, 5.00%, 11/1/2020 | | | 10,000 | | | | 10,264 | |
| | |
Series D, GO, 5.00%, 11/1/2023 | | | 5,000 | | | | 5,680 | |
| | |
Will County Forest Preservation District GO, 5.00%, 12/15/2027 | | | 805 | | | | 1,038 | |
| | |
Will County Township High School District No. 204 Joliet | | | | | | | | |
| | |
GO, 4.00%, 1/1/2028 | | | 500 | | | | 595 | |
| | |
GO, 4.00%, 1/1/2029 | | | 250 | | | | 295 | |
| | |
GO, 4.00%, 1/1/2030 | | | 1,420 | | | | 1,669 | |
| | | | | | | | |
| | |
| | | | | | | 76,897 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Illinois Finance Authority, Ascension Health Alliance Senior Credit GroupSeries E-2, Rev., 1.75%, 4/1/2021 (b) | | | 3,750 | | | | 3,780 | |
| | |
Illinois Finance Authority, Silver Cross Hospital and Medical Centers | | | | | | | | |
| | |
Series C, Rev., 5.00%, 8/15/2021 | | | 150 | | | | 158 | |
| | |
Series 2015C, Rev., 5.00%, 8/15/2022 | | | 500 | | | | 544 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Hospital — continued | | | | | | | | |
| | |
Southwestern Illinois Development Authority, Hospital Sisters Services, Inc. Obligated Group Series A, Rev., 5.00%, 2/15/2027 | | | 2,000 | | | | 2,523 | |
| | | | | | | | |
| | |
| | | | | | | 7,005 | |
| | | | | | | | |
|
Other Revenue — 1.9% | |
| | |
Peoria Public Building Commission | | | | | | | | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2025 | | | 700 | | | | 804 | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2026 | | | 1,000 | | | | 1,163 | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2027 | | | 1,270 | | | | 1,501 | |
| | |
Series A, Rev., AGM, 5.00%, 12/1/2028 | | | 1,200 | | | | 1,523 | |
| | |
Series A, Rev., AGM, 5.00%, 12/1/2029 | | | 2,400 | | | | 3,035 | |
| | |
Sales Tax Securitization Corp. | | | | | | | | |
| | |
Series C, Rev., 5.00%, 1/1/2024 | | | 3,000 | | | | 3,443 | |
| | |
Series C, Rev., 5.00%, 1/1/2025 | | | 4,250 | | | | 5,026 | |
| | |
State of Illinois, Sales Tax, Junior Obligation | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 6/15/2021 | | | 4,600 | | | | 4,826 | |
| | |
Series A, Rev., 5.00%, 6/15/2022 | | | 4,600 | | | | 4,999 | |
| | |
Series A, Rev., 5.00%, 6/15/2023 | | | 4,600 | | | | 5,154 | |
| | | | | | | | |
| | |
| | | | | | | 31,474 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
City of Waukegan, First Lien, Water and Sewer System | | | | | | | | |
| | |
Series C, Rev., AGM, 5.00%, 12/30/2023 | | | 535 | | | | 611 | |
| | |
Series C, Rev., AGM, 5.00%, 12/30/2026 | | | 680 | | | | 838 | |
| | |
Series C, Rev., AGM, 5.00%, 12/30/2027 | | | 710 | | | | 889 | |
| | |
Illinois Finance Authority, State Clean Water Revolving Funds Series 1998B, Rev., 5.00%, 1/1/2029 | | | 4,000 | | | | 4,950 | |
| | | | | | | | |
| | |
| | | | | | | 7,288 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 141,020 | |
| | | | | | | | |
|
Indiana — 1.0% | |
|
Education — 0.1% | |
| | |
New Albany Floyd County School Building Corp. | | | | | | | | |
| | |
Rev., 5.00%, 7/15/2021 | | | 700 | | | | 739 | |
| | |
Rev., 5.00%, 7/15/2022 | | | 835 | | | | 915 | |
| | |
Purdue University, Student Fee | | | | | | | | |
| | |
Series DD, Rev., 5.00%, 7/1/2025 | | | 870 | | | | 1,058 | |
| | |
Series DD, Rev., 5.00%, 7/1/2027 | | | 10 | | | | 13 | |
| | | | | | | | |
| | |
| | | | | | | 2,725 | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
Indiana Finance Authority, Health Obligation | | | | | | | | |
| | |
Series C, Rev., 5.00%, 12/1/2021 | | | 2,355 | | | | 2,524 | |
| | |
Series B, Rev., 2.25%, 7/1/2025 (b) | | | 5,000 | | | | 5,339 | |
| | | | | | | | |
| | |
| | | | | | | 7,863 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 47 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Fort Wayne Redevelopment Authority Lease Rental, Harrison Square Project Rev., 5.00%, 8/1/2023 | | | 1,000 | | | | 1,140 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
City of Rockport, Indiana Michigan Power Company Project Series 2009B, Rev., 3.05%, 6/1/2025 | | | 5,000 | | | | 5,462 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 17,190 | |
| | | | | | | | |
|
Iowa — 0.8% | |
|
Hospital — 0.8% | |
| | |
Iowa Finance Authority, Health Systems Rev., VRDO, 1.72%, 3/10/2020 (b) (g) | | | 13,100 | | | | 13,100 | |
| | | | | | | | |
|
Kansas — 1.2% | |
|
General Obligation — 0.3% | |
| | |
Butler County, Unified School District No. 375 GO, 4.00%, 9/1/2024 | | | 200 | | | | 215 | |
| | |
Seward County Unified School District No. 480 LiberalSeries 2017-B, GO, 5.00%, 9/1/2025 | | | 1,750 | | | | 2,133 | |
| | |
Wyandotte County Unified School District No. 202 | | | | | | | | |
| | |
Series 2019A, GO, AGM, 5.00%, 9/1/2025 | | | 400 | | | | 482 | |
| | |
Series 2019A, GO, AGM, 5.00%, 9/1/2026 | | | 220 | | | | 273 | |
| | |
Series 2019A, GO, AGM, 5.00%, 9/1/2027 | | | 325 | | | | 412 | |
| | |
Series 2019A, GO, AGM, 5.00%, 9/1/2028 | | | 400 | | | | 512 | |
| | |
Series 2019A, GO, AGM, 5.00%, 9/1/2029 | | | 375 | | | | 479 | |
| | | | | | | | |
| | |
| | | | | | | 4,506 | |
| | | | | | | | |
|
Hospital — 0.0% (c) | |
| | |
University of Kansas Hospital Authority, Health System Series 2017A, Rev., 5.00%, 3/1/2024 | | | 275 | | | | 319 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
City of Wichita, Sales Tax, River District Stadium Star Bond Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2025 | | | 300 | | | | 365 | |
| | |
Rev., 5.00%, 9/1/2026 | | | 465 | | | | 582 | |
| | |
Overland Park Development Corp., Overland Park Convention Center | | | | | | | | |
| | |
Rev., 4.00%, 3/1/2022 | | | 1,455 | | | | 1,538 | |
| | |
Rev., 5.00%, 3/1/2023 | | | 1,520 | | | | 1,693 | |
| | | | | | | | |
| | |
| | | | | | | 4,178 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
Kansas Development Finance Authority, State of Kansas Project Series F, Rev., 4.00%, 11/1/2029 | | | 6,820 | | | | 8,115 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Wichita, Water and Sewer Utility System Series 2014A, Rev., 5.00%, 10/1/2022 | | | 2,200 | | | | 2,434 | |
| | | | | | | | |
| | |
Total Kansas | | | | | | | 19,552 | |
| | | | | | | | |
|
Kentucky — 1.6% | |
|
Education — 0.1% | |
| | |
Northern Kentucky University Series A, Rev., 5.00%, 9/1/2024 | | | 1,310 | | | | 1,512 | |
| | | | | | | | |
|
Hospital — 1.2% | |
| | |
City of Ashland, Ashland Hospital Corp. DBA King’s Daughters Medical Center | | | | | | | | |
| | |
Rev., 5.00%, 2/1/2025 | | | 625 | | | | 727 | |
| | |
Rev., 5.00%, 2/1/2026 | | | 1,085 | | | | 1,292 | |
| | |
Rev., 5.00%, 2/1/2027 | | | 1,310 | | | | 1,596 | |
| | |
Rev., 4.00%, 2/1/2033 | | | 580 | | | | 658 | |
| | |
Rev., 4.00%, 2/1/2034 | | | 500 | | | | 565 | |
| | |
Louisville/Jefferson County Metropolitan Government, Health System, Norton Healthcare, Inc. Series 2020D, Rev., 5.00%, 3/10/2020��(b) (f) | | | 10,500 | | | | 14,037 | |
| | | | | | | | |
| | |
| | | | | | | 18,875 | |
| | | | | | | | |
|
Prerefunded — 0.0% (c) | |
| | |
Carter County Kentucky School District Finance Corp. Rev., 4.50%, 2/1/2026 (e) | | | 250 | | | | 259 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL-RE, 5.00%, 9/1/2023 | | | 240 | | | | 271 | |
| | |
Kentucky Public Energy Authority, Gas Supply Series A, Rev., 4.00%, 4/1/2024 (b) | | | 2,500 | | | | 2,780 | |
| | |
Louisville/Jefferson County Metropolitan Government, Kentucky Pollution Control, Louisville Gas and Electric Company Project Series B, Rev., AMT, 2.55%, 5/3/2021 (b) | | | 2,250 | | | | 2,288 | |
| | | | | | | | |
| | |
| | | | | | | 5,339 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 25,985 | |
| | | | | | | | |
|
Louisiana — 1.4% | |
|
Hospital — 0.6% | |
| | |
Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Project Rev., (SIFMA Municipal Swap Index Yield + 0.65%), 1.80%, 3/10/2020 (d) | | | 10,000 | | | | 10,032 | |
| | | | | | | | |
|
Other Revenue — 0.5% | |
| | |
Jefferson Sales Tax District Series 2019B, Rev., AGM, 4.00%, 12/1/2032 | | | 5,815 | | | | 7,078 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Other Revenue — continued | | | | | | | | |
| | |
Louisiana Public Facilities Authority, Tulane University Project | | | | | | | | |
| | |
Rev., 5.00%, 12/15/2022 | | | 230 | | | | 256 | |
| | |
Rev., 5.00%, 12/15/2025 | | | 250 | | | | 304 | |
| | | | | | | | |
| | |
| | | | | | | 7,638 | |
| | | | | | | | |
|
Water & Sewer — 0.3% | |
| | |
City of Shreveport, Water and Sewer, Junior Lien | | | | | | | | |
| | |
Series C, Rev., 3.00%, 12/1/2021 | | | 175 | | | | 181 | |
| | |
Series C, Rev., 5.00%, 12/1/2022 | | | 270 | | | | 299 | |
| | |
Series 2018C, Rev., 5.00%, 12/1/2023 | | | 365 | | | | 418 | |
| | |
Series 2019B, Rev., AGM, 4.00%, 12/1/2025 | | | 400 | | | | 463 | |
| | |
Series 2018C, Rev., 5.00%, 12/1/2025 | | | 915 | | | | 1,111 | |
| | |
Series 2018C, Rev., 5.00%, 12/1/2026 | | | 500 | | | | 622 | |
| | |
Series 2019B, Rev., AGM, 5.00%, 12/1/2026 | | | 360 | | | | 448 | |
| | |
Series 2019B, Rev., AGM, 5.00%, 12/1/2027 | | | 600 | | | | 762 | |
| | |
Series 2019B, Rev., AGM, 5.00%, 12/1/2028 | | | 500 | | | | 650 | |
| | |
Series 2019B, Rev., AGM, 5.00%, 12/1/2029 | | | 300 | | | | 393 | |
| | | | | | | | |
| | |
| | | | | | | 5,347 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 23,017 | |
| | | | | | | | |
|
Maryland — 0.8% | |
|
General Obligation — 0.8% | |
| | |
State of Maryland, State and Local Facilities Loan of 2013 Series A, GO, 5.00%, 8/1/2020 | | | 12,795 | | | | 13,017 | |
| | | | | | | | |
|
Massachusetts — 2.9% | |
|
Education — 0.2% | |
| | |
Massachusetts Development Finance Agency, Suffolk University | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2025 | | | 525 | | | | 629 | |
| | |
Rev., 5.00%, 7/1/2026 | | | 435 | | | | 534 | |
| | |
Rev., 5.00%, 7/1/2027 | | | 420 | | | | 527 | |
| | |
Rev., 5.00%, 7/1/2028 | | | 525 | | | | 670 | |
| | | | | | | | |
| | |
| | | | | | | 2,360 | |
| | | | | | | | |
|
General Obligation — 1.3% | |
| | |
City of Boston Series 2014A, GO, 5.00%, 3/1/2023 | | | 7,360 | | | | 8,301 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Commonwealth of Massachusetts | | | | | | | | |
| | |
Series A, GO, (ICE LIBOR USD 3 Month + 0.55%), 1.73%, 5/1/2020 (d) | | | 3,000 | | | | 3,006 | |
| | |
Series D, GO, 4.00%, 9/1/2030 | | | 8,290 | | | | 9,641 | |
| | | | | | | | |
| | |
| | | | | | | 20,948 | |
| | | | | | | | |
|
Hospital — 0.6% | |
| | |
Massachusetts Development Finance Agency, Partners Healthcare System Series 2017S, Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 1.65%, 3/10/2020 (d) | | | 10,000 | | | | 10,016 | |
| | | | | | | | |
|
Prerefunded — 0.0% (c) | |
| | |
Massachusetts Development Finance Agency, Lahey Health System Series F, Rev., 5.00%, 8/15/2026 (e) | | | 500 | | | | 509 | |
| | | | | | | | |
|
Transportation — 0.3% | |
| | |
Massachusetts Port AuthoritySeries 2019-A, Rev., AMT, 5.00%, 7/1/2023 | | | 4,840 | | | | 5,482 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
Massachusetts Clean Water Trust (The), Revolving Funds Rev., 5.00%, 8/1/2025 | | | 6,775 | | | | 8,296 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 47,611 | |
| | | | | | | | |
|
Michigan — 2.1% | |
|
Education — 0.7% | |
| | |
University of Michigan Series 2019C, Rev., 4.00%, 4/1/2024 (b) | | | 10,000 | | | | 11,215 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
Avondale School District Series 2020A, GO,Q-SBLF, 5.00%, 5/1/2029 | | | 1,835 | | | | 2,441 | |
| | |
City of Royal Oak, Capital Improvement | | | | | | | | |
| | |
GO, 5.00%, 4/1/2027 | | | 625 | | | | 792 | |
| | |
GO, 5.00%, 4/1/2028 | | | 245 | | | | 317 | |
| | |
Grosse Pointe Public School System GO, 4.00%, 5/1/2027 | | | 765 | | | | 917 | |
| | |
Jackson Public Schools, Unlimited Tax | | | | | | | | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2025 | | | 570 | | | | 654 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2026 | | | 885 | | | | 1,036 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2027 | | | 1,090 | | | | 1,301 | |
| | |
Kalamazoo Public Schools GO, 5.00%, 5/1/2022 | | | 1,000 | | | | 1,087 | |
| | |
Northville Public Schools, School Building and Site | | | | | | | | |
| | |
Series II, GO, 5.00%, 5/1/2027 | | | 375 | | | | 477 | |
| | |
Series II, GO, 5.00%, 5/1/2028 | | | 600 | | | | 780 | |
| | |
Series II, GO, 5.00%, 5/1/2029 | | | 250 | | | | 332 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 49 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Troy School District, School Building and Site | | | | | | | | |
| | |
GO, Q-SBLF, 5.00%, 5/1/2020 | | | 500 | | | | 503 | |
| | |
GO, Q-SBLF, 5.00%, 5/1/2021 | | | 550 | | | | 577 | |
| | |
GO, Q-SBLF, 5.00%, 5/1/2022 | | | 500 | | | | 545 | |
| | | | | | | | |
| | |
| | | | | | | 11,759 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Michigan State Hospital Finance Authority, Ascension Health Credit GroupSeries B-4, Rev., 5.00%, 11/15/2027 | | | 2,250 | | | | 2,714 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Michigan Strategic Fund, The Detroit Edison Company Pollution Control Bonds Project Series CC, Rev., 1.45%, 9/1/2021 (b) | | | 2,600 | | | | 2,607 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Michigan Finance Authority, Local Government Loan Program Series B, Rev., 4.00%, 11/1/2020 | | | 455 | | | | 464 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Gerald R Ford International Airport Authority, Limited Tax | | | | | | | | |
| | |
Rev., GTD, 5.00%, 1/1/2023 | | | 1,560 | | | | 1,741 | |
| | |
Rev., GTD, 5.00%, 1/1/2024 | | | 1,400 | | | | 1,618 | |
| | | | | | | | |
| | |
| | | | | | | 3,359 | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
City of Grand Rapids, Sanitary Sewer System Improvement Rev., 5.00%, 1/1/2022 | | | 350 | | | | 376 | |
| | |
Michigan Finance Authority, Clean Water Revolving Fund Rev., 5.00%, 10/1/2021 | | | 2,250 | | | | 2,397 | |
| | | | | | | | |
| | |
| | | | | | | 2,773 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 34,891 | |
| | | | | | | | |
|
Minnesota — 0.5% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
Duluth Independent School District No. 709 | | | | | | | | |
| | |
Series 2019B, COP, 5.00%, 2/1/2024 | | | 210 | | | | 241 | |
| | |
Series 2019C, COP, 5.00%, 2/1/2024 | | | 295 | | | | 338 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2025 | | | 185 | | | | 219 | |
| | |
Series 2019C, COP, 5.00%, 2/1/2025 | | | 310 | | | | 366 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2026 | | | 195 | | | | 237 | |
| | |
Series 2019C, COP, 5.00%, 2/1/2026 | | | 320 | | | | 389 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2027 | | | 185 | | | | 230 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2028 | | | 175 | | | | 222 | |
| | |
Series 2019C, COP, 5.00%, 2/1/2028 | | | 350 | | | | 444 | |
| | | | | | | | |
| | |
| | | | | | | 2,686 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Minnesota Higher Education Facilities Authority Series L, Rev., 4.00%, 4/1/2020 | | | 350 | | | | 351 | |
| | |
Minnesota Higher Education Facilities Authority, College of St. Scholastica, Inc. | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2024 | | | 100 | | | | 112 | |
| | |
Rev., 4.00%, 12/1/2025 | | | 185 | | | | 210 | |
| | |
Rev., 4.00%, 12/1/2026 | | | 185 | | | | 213 | |
| | |
Rev., 4.00%, 12/1/2027 | | | 195 | | | | 228 | |
| | |
Rev., 4.00%, 12/1/2028 | | | 240 | | | | 284 | |
| | | | | | | | |
| | |
| | | | | | | 1,398 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Minneapolis-St Paul Metropolitan Airports Commission, Subordinate Airport Series A, Rev., 5.00%, 1/1/2022 | | | 1,000 | | | | 1,076 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
Western Minnesota Municipal Power Agency, Power Supply | | | | | | | | |
| | |
Series A, Rev., 5.00%, 1/1/2023 | | | 1,500 | | | | 1,674 | |
| | |
Series 2014A, Rev., 5.00%, 1/1/2024 | | | 1,000 | | | | 1,157 | |
| | | | | | | | |
| | |
| | | | | | | 2,831 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 7,991 | |
| | | | | | | | |
|
Mississippi — 0.9% | |
|
Education — 0.2% | |
| | |
Medical Center Educational Building Corp. Rev., 5.00%, 6/1/2031 | | | 3,105 | | | | 4,070 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
County of Harrison | | | | | | | | |
| | |
Series A, GO, 5.00%, 10/1/2027 | | | 800 | | | | 1,023 | |
| | |
Series A, GO, 5.00%, 10/1/2028 | | | 345 | | | | 451 | |
| | | | | | | | |
| | |
| | | | | | | 1,474 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Mississippi Business Finance Corp., Pollution Control Series 2002, Rev., 3.20%, 9/1/2028 | | | 4,000 | | | | 4,182 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Mississippi Development Bank, Rankin County Project Rev., 5.00%, 3/1/2023 | | | 750 | | | | 840 | |
| | |
State of Mississippi Series 2019A, Rev., 5.00%, 10/15/2028 | | | 1,400 | | | | 1,833 | |
| | | | | | | | |
| | |
| | | | | | | 2,673 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 0.1% | |
| | |
Mississippi Development Bank, Rankin County, Mississippi General Obligation Bond Project | | | | | | | | |
| | |
Rev., 5.00%, 8/1/2026 | | | 350 | | | | 437 | |
| | |
Rev., 5.00%, 8/1/2027 | | | 350 | | | | 446 | |
| | |
Rev., 5.00%, 8/1/2028 | | | 525 | | | | 684 | |
| | |
Rev., 5.00%, 8/1/2029 | | | 425 | | | | 565 | |
| | | | | | | | |
| | |
| | | | | | | 2,132 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 14,531 | |
| | | | | | | | |
|
Missouri — 0.9% | |
|
Certificate of Participation/Lease — 0.4% | |
| | |
City of Chesterfield COP, 5.00%, 12/1/2021 | | | 1,000 | | | | 1,073 | |
| | |
City of St. Peters | | | | | | | | |
| | |
COP, 4.00%, 5/1/2026 | | | 705 | | | | 828 | |
| | |
COP, 4.00%, 5/1/2027 | | | 730 | | | | 874 | |
| | |
COP, 4.00%, 5/1/2028 | | | 760 | | | | 925 | |
| | |
COP, 4.00%, 5/1/2029 | | | 760 | | | | 937 | |
| | |
COP, 4.00%, 5/1/2030 | | | 545 | | | | 681 | |
| | |
COP, 4.00%, 5/1/2031 | | | 550 | | | | 693 | |
| | | | | | | | |
| | |
| | | | | | | 6,011 | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Health and Educational Facilities Authority of the State of Missouri | | | | | | | | |
| | |
Rev., 4.00%, 10/1/2020 | | | 300 | | | | 305 | |
| | |
Rev., 4.00%, 10/1/2021 | | | 300 | | | | 314 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System Rev., 5.00%, 1/1/2021 | | | 225 | | | | 233 | |
| | | | | | | | |
| | |
| | | | | | | 852 | |
| | | | | | | | |
|
General Obligation — 0.0% (c) | |
| | |
County of Clay, North Kansas City School District 74, Refunding and Improvement, Missouri Direct Deposit Program | | | | | | | | |
| | |
GO, 5.00%, 3/1/2022 | | | 350 | | | | 379 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (c) | |
| | |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series B, Rev., 5.00%, 7/1/2023 | | | 550 | | | | 569 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
County of Greene, Special Obligation | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2028 | | | 300 | | | | 366 | |
| | |
Rev., 4.00%, 12/1/2029 | | | 200 | | | | 248 | |
| | |
County of Jackson, Harry S. Truman Sports Complex Project Rev., 5.00%, 12/1/2022 | | | 3,000 | | | | 3,329 | |
| | | | | | | | |
| | |
| | | | | | | 3,943 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
St. Louis Lambert International Airport | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2021 | | | 1,575 | | | | 1,661 | |
| | |
Rev., 5.00%, 7/1/2022 | | | 1,000 | | | | 1,096 | |
| | |
Rev., 5.00%, 7/1/2023 | | | 1,080 | | | | 1,228 | |
| | | | | | | | |
| | |
| | | | | | | 3,985 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 15,739 | |
| | | | | | | | |
|
Montana — 0.2% | |
|
General Obligation — 0.2% | |
| | |
Gallatin County High School District No. 7 Bozeman, School Building Series 2017A, GO, 5.00%, 12/1/2023 | | | 515 | | | | 595 | |
| | |
Missoula County Elementary School District No. 1, School Building GO, 5.00%, 7/1/2024 | | | 520 | | | | 612 | |
| | |
State of Montana, Long-Range Building Program | | | | | | | | |
| | |
GO, 5.00%, 8/1/2021 | | | 690 | | | | 731 | |
| | |
GO, 5.00%, 8/1/2022 | | | 1,000 | | | | 1,101 | |
| | |
Yellowstone County, School District No. 2 Billings, School Building GO, 5.00%, 6/15/2020 | | | 650 | | | | 658 | |
| | | | | | | | |
| | |
| | | | | | | 3,697 | |
| | | | | | | | |
| | |
Total Montana | | | | | | | 3,697 | |
| | | | | | | | |
|
Nebraska — 0.1% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
Southeast Community College | | | | | | | | |
| | |
COP, 5.00%, 12/15/2021 | | | 200 | | | | 215 | |
| | |
COP, 5.00%, 12/15/2026 | | | 275 | | | | 350 | |
| | |
COP, 5.00%, 12/15/2027 | | | 495 | | | | 643 | |
| | |
COP, 5.00%, 12/15/2028 | | | 540 | | | | 713 | |
| | | | | | | | |
| | |
| | | | | | | 1,921 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 1,921 | |
| | | | | | | | |
|
New Hampshire — 0.5% | |
|
General Obligation — 0.2% | |
| | |
State of New Hampshire Series A, GO, 5.00%, 3/1/2026 | | | 2,880 | | | | 3,467 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
New Hampshire Municipal Bond Bank | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 2/15/2029 | | | 1,870 | | | | 2,514 | |
| | |
Series 2020A, Rev., 4.00%, 2/15/2031 | | | 1,240 | | | | 1,536 | |
| | |
Series 2020A, Rev., 4.00%, 2/15/2032 | | | 1,300 | | | | 1,600 | |
| | | | | | | | |
| | |
| | | | | | | 5,650 | |
| | | | | | | | |
| | |
Total New Hampshire | | | | | | | 9,117 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 51 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
New Jersey — 3.7% | |
|
Education — 0.4% | |
| | |
New Jersey Economic Development Authority, School Facilities Construction | | | | | | | | |
| | |
Series DDD, Rev., 5.00%, 6/15/2025 | | | 1,500 | | | | 1,777 | |
| | |
Series DDD, Rev., 5.00%, 6/15/2026 | | | 1,840 | | | | 2,239 | |
| | |
New Jersey Institute of Technology, Tax-Exempt | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2027 | | | 175 | | | | 224 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2028 | | | 200 | | | | 262 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2029 | | | 270 | | | | 361 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2030 | | | 415 | | | | 551 | |
| | |
Series 2020A, Rev., 5.00%, 7/1/2032 | | | 725 | | | | 955 | |
| | | | | | | | |
| | |
| | | | | | | 6,369 | |
| | | | | | | | |
|
General Obligation — 0.9% | |
| | |
County of Passaic GO, 5.00%, 2/1/2021 | | | 90 | | | | 93 | |
| | |
State of New Jersey Series Q, GO, 5.00%, 8/15/2020 | | | 10,075 | | | | 10,260 | |
| | |
State of New Jersey, Various Purpose GO, 4.00%, 6/1/2026 | | | 3,870 | | | | 4,242 | |
| | |
Township of South Brunswick GO, 5.00%, 9/1/2022 | | | 425 | | | | 467 | |
| | | | | | | | |
| | |
| | | | | | | 15,062 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
New Jersey Housing and Mortgage Finance Agency, Multi-Family Conduit, Georgia King Village ProjectSeries 2018-E, Rev., 2.45%, 10/1/2020 (b) | | | 3,000 | | | | 3,024 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Bergen County Improvement Authority (The) Rev., GTD, 4.00%, 10/15/2031 | | | 1,190 | | | | 1,507 | |
| | |
Bergen County Improvement Authority (The), Fort Lee Project Rev., GTD, 4.00%, 10/15/2030 | | | 475 | | | | 604 | |
| | |
Monmouth County Improvement Authority (The) | | | | | | | | |
| | |
Series 2019B, Rev., GTD, 4.00%, 12/1/2033 | | | 1,000 | | | | 1,258 | |
| | |
Series 2019B, Rev., GTD, 4.00%, 12/1/2034 | | | 790 | | | | 992 | |
| | | | | | | | |
| | |
| | | | | | | 4,361 | |
| | | | | | | | |
|
Transportation — 2.0% | |
| | |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/15/2028 | | | 3,000 | | | | 3,620 | |
| | |
Series A, Rev., 5.00%, 6/15/2029 | | | 5,350 | | | | 6,439 | |
| | |
Series A, Rev., 5.00%, 6/15/2031 | | | 4,750 | | | | 5,682 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — continued | |
| | |
New Jersey Turnpike AuthoritySeries C-6, Rev., (ICE LIBOR USD 1 Month + 0.75%), 1.86%, 4/1/2020 (d) | | | 10,000 | | | | 10,069 | |
| | |
South Jersey Transportation Authority | | | | | | | | |
| | |
Series 2019A, Rev., AGM, 5.00%, 11/1/2029 | | | 1,700 | | | | 2,244 | |
| | |
Series 2019A, Rev., AGM, 5.00%, 11/1/2030 | | | 1,500 | | | | 1,971 | |
| | |
Series 2019A, Rev., AGM, 5.00%, 11/1/2031 | | | 1,500 | | | | 1,965 | |
| | |
Series 2019A, Rev., AGM, 5.00%, 11/1/2032 | | | 1,000 | | | | 1,307 | |
| | | | | | | | |
| | |
| | | | | | | 33,297 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 62,113 | |
| | | | | | | | |
|
New Mexico — 0.2% | |
|
General Obligation — 0.2% | |
| | |
County of Sandoval | | | | | | | | |
| | |
GO, 5.00%, 8/1/2024 | | | 1,100 | | | | 1,297 | |
| | |
GO, 5.00%, 8/1/2025 | | | 500 | | | | 610 | |
| | |
GO, 5.00%, 8/1/2026 | | | 650 | | | | 815 | |
| | | | | | | | |
| | |
| | | | | | | 2,722 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
New Mexico Finance Authority, Senior Lien Public Project Series 2103B, Rev., 5.00%, 6/1/2021 | | | 800 | | | | 842 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 3,564 | |
| | | | | | | | |
|
New York — 9.2% | |
|
Education — 0.7% | |
| | |
New York State Dormitory Authority Series 2019A, Rev., 5.00%, 7/1/2027 | | | 4,630 | | | | 6,012 | |
| | |
New York State Dormitory Authority, Columbia University Series 2015B, Rev., 5.00%, 10/1/2021 | | | 585 | | | | 625 | |
| | |
New York State Dormitory Authority, Montefiore Obligated Group Series 2018A, Rev., 5.00%, 8/1/2027 | | | 3,225 | | | | 4,115 | |
| | |
New York State Dormitory Authority, The New School Series 2015A, Rev., 5.00%, 7/1/2024 | | | 1,100 | | | | 1,284 | |
| | | | | | | | |
| | |
| | | | | | | 12,036 | |
| | | | | | | | |
|
General Obligation — 1.3% | |
| | |
Bedford Central School District GO, 5.00%, 11/15/2022 | | | 2,410 | | | | 2,685 | |
| | |
City of Jamestown, Public Improvement GO, 5.00%, 6/1/2025 | | | 540 | | | | 650 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
City of New York, Fiscal Year 2012 SubseriesG-1, GO, 5.00%, 4/1/2020 (e) | | | 3,860 | | | | 3,873 | |
| | |
County of Orange, Public Improvement | | | | | | | | |
| | |
Series B, GO, 5.00%, 3/1/2021 | | | 1,510 | | | | 1,576 | |
| | |
GO, 5.00%, 2/1/2023 | | | 1,000 | | | | 1,123 | |
| | |
County of Suffolk, Longwood Central School District | | | | | | | | |
| | |
GO, 5.00%, 6/15/2026 | | | 365 | | | | 462 | |
| | |
GO, 5.00%, 6/15/2027 | | | 795 | | | | 1,007 | |
| | |
Hampton Bays Union Free School District GO, 5.00%, 9/15/2022 | | | 2,025 | | | | 2,238 | |
| | |
State of New York Series 2019A, GO, 5.00%, 3/1/2026 | | | 3,250 | | | | 4,079 | |
| | |
Town of East Hampton | | | | | | | | |
| | |
GO, 5.00%, 5/15/2021 | | | 1,000 | | | | 1,053 | |
| | |
GO, 5.00%, 5/15/2023 | | | 1,000 | | | | 1,140 | |
| | |
White Plains City School District GO, 5.00%, 5/15/2024 | | | 1,550 | | | | 1,833 | |
| | | | | | | | |
| | |
| | | | | | | 21,719 | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
Build Resource Corp., The New York Methodist Hospital Project Rev., 5.00%, 7/1/2021 | | | 550 | | | | 579 | |
| | |
Nassau County Local Economic Assistance Corp., Catholic Health Services, Long Island Obligated Group Project Series 2014B, Rev., 5.00%, 7/1/2023 | | | 800 | | | | 905 | |
| | |
New York State Dormitory Authority, Memorial Sloan, Kettering Cancer Center Series 1, Rev., 4.00%, 7/1/2031 | | | 4,255 | | | | 5,400 | |
| | |
New York State Dormitory Authority, Memorial Sloan-Kettering Cancer CenterSeries 2017-1, Rev., 5.00%, 7/1/2026 | | | 1,000 | | | | 1,262 | |
| | | | | | | | |
| | |
| | | | | | | 8,146 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
New York State Energy Research and Development Authority, Pollution Control, Electric and Gas Corp., Project Series C, Rev., 2.00%, 5/1/2020 (b) | | | 3,000 | | | | 3,005 | |
| | | | | | | | |
|
Other Revenue — 1.9% | |
| | |
Brooklyn Arena Local Development Corp., Pilot Refunding, Barclays Center Series 2016A, Rev., 5.00%, 7/15/2020 | | | 500 | | | | 507 | |
| | |
City of Troy Capital Resources Corp., Rensselaer Polytechnic Institute Project Rev., 5.00%, 8/1/2020 | | | 500 | | | | 508 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 Series A, SubseriesA-1, Rev., 5.00%, 11/1/2020 | | | 3,700 | | | | 3,804 | |
| | |
New York Convention Center Development Corp., Hotel Unit fee Secured Rev., 5.00%, 11/15/2026 | | | 5,000 | | | | 6,154 | |
| | |
New York State Dormitory Authority, State Sales Tax | | | | | | | | |
| | |
Series A, Rev., 5.00%, 3/15/2021 | | | 2,000 | | | | 2,088 | |
| | |
Series 2017A, Rev., 5.00%, 3/15/2024 | | | 6,135 | | | | 7,165 | |
| | |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 | | | | | | | | |
| | |
Series 2015A, Rev., 5.00%, 10/15/2022 | | | 4,800 | | | | 5,341 | |
| | |
Series 2015A, Rev., 5.00%, 10/15/2025 | | | 4,500 | | | | 5,381 | |
| | |
Schenectady County Capital Resource Corp., Union College Project Rev., 5.00%, 1/1/2025 | | | 400 | | | | 479 | |
| | | | | | | | |
| | |
| | | | | | | 31,427 | |
| | | | | | | | |
|
Special Tax — 0.1% | |
| | |
New York State Dormitory Authority, Personal Income Tax Series 2011G, Rev., 5.00%, 8/15/2021 | | | 1,110 | | | | 1,178 | |
| | | | | | | | |
|
Transportation — 3.2% | |
| | |
Buffalo and Fort Erie Public Bridge Authority, Toll Bridge System Rev., 5.00%, 1/1/2021 | | | 815 | | | | 844 | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
Series D-1, Rev., (ICE LIBOR USD 1 Month + 0.65%), 1.71%, 4/1/2020 (d) | | | 4,790 | | | | 4,794 | |
| | |
SubseriesA-1, Rev., 5.00%, 11/15/2020 | | | 1,435 | | | | 1,476 | |
| | |
Subseries C-1, Rev., 5.00%, 11/15/2024 | | | 3,000 | | | | 3,555 | |
| | |
Metropolitan Transportation Authority, Green BondsSeries B-2, Rev., 4.00%, 11/15/2032 | | | 4,000 | | | | 4,768 | |
| | |
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia Airport Terminals C&D Redevelopment Project Rev., AMT, 5.00%, 1/1/2023 | | | 9,200 | | | | 10,123 | |
| | |
Niagara Frontier Transportation Authority, Buffalo Niagara International Airport | | | | | | | | |
| | |
Series 2019A, Rev., AMT, 5.00%, 4/1/2028 | | | 265 | | | | 334 | |
| | |
Series 2019A, Rev., AMT, 5.00%, 4/1/2029 | | | 265 | | | | 341 | |
| | |
Port Authority of New York and New Jersey Series 207, Rev., AMT, 5.00%, 9/15/2023 | | | 4,325 | | | | 4,921 | |
|
Triborough Bridge and Tunnel Authority | |
| | |
Subseries 2005B-2, Rev., VRDO, LOC: Citibank NA, 1.21%, 3/2/2020 (b) | | | 19,400 | | | | 19,400 | |
| | |
Series A, Rev., 5.00%, 11/15/2024 | | | 3,290 | | | | 3,735 | |
| | | | | | | | |
| | |
| | | | | | | 54,291 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 53 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 0.1% | |
| | |
Long Island Power Authority, Electric System | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 9/1/2025 | | | 500 | | | | 608 | |
| | |
Series 2017, Rev., 5.00%, 9/1/2027 | | | 500 | | | | 641 | |
| | |
Series 2017, Rev., 5.00%, 9/1/2028 | | | 750 | | | | 961 | |
| | | | | | | | |
| | |
| | | | | | | 2,210 | |
| | | | | | | | |
|
Water & Sewer — 1.2% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2006 Series B, Rev., VRDO, LIQ: State Street Bank & Trust, 1.23%, 3/2/2020 (b) | | | 19,500 | | | | 19,500 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 153,512 | |
| | | | | | | | |
|
North Carolina — 1.9% | |
|
Education — 0.4% | |
| | |
University of North Carolina, Chapel Hill Series B, Rev., VRDO, 1.46%, 4/1/2020 (b) | | | 5,750 | | | | 5,750 | |
| | |
Winston-Salem State University Foundation LLC, The Board of Governors of The University of North Carolina Rev., AGM, 5.00%, 10/1/2023 | | | 445 | | | | 507 | |
| | | | | | | | |
| | |
| | | | | | | 6,257 | |
| | | | | | | | |
|
General Obligation — 0.6% | |
| | |
State of North Carolina Series D, GO, 4.00%, 6/1/2020 | | | 9,670 | | | | 9,747 | |
| | | | | | | | |
|
Hospital — 0.9% | |
| | |
North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2019C, Rev., 2.55%, 6/1/2026 (b) | | | 13,805 | | | | 14,783 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
State of North Carolina Series 2017B, Rev., 5.00%, 5/1/2022 | | | 700 | | | | 763 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 31,550 | |
| | | | | | | | |
|
Ohio — 2.8% | |
|
Education — 0.1% | |
| | |
Ohio Higher Educational Facility Commission, Oberlin College Rev., 5.00%, 10/1/2020 | | | 1,000 | | | | 1,024 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
City of Dublin, Various Purpose GO, 4.00%, 12/1/2028 | | | 200 | | | | 233 | |
| | |
Cuyahoga Ohio Community College District, Facilities Construction and Improvement Bonds | | | | | | | | |
| | |
GO, 5.00%, 12/1/2028 | | | 2,300 | | | | 2,875 | |
| | |
Series 2018, GO, 4.00%, 12/1/2032 | | | 1,250 | | | | 1,453 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Lexington Local School District, School Facilities Construction and Improvement Series A, GO, 4.00%, 10/1/2031 | | | 1,050 | | | | 1,277 | |
| | | | | | | | |
| | |
| | | | | | | 5,838 | |
| | | | | | | | |
|
Hospital — 1.3% | |
| | |
Akron, Bath and Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2021 | | | 375 | | | | 400 | |
| | |
County of Allen, Hospital Facilities, Mercy Health Series B, Rev., (SIFMA Municipal Swap Index Yield + 0.75%), 1.90%, 3/10/2020 (d) | | | 10,800 | | | | 10,806 | |
| | |
County of Lake, Hospital Facilities, Lake Hospital System, Inc. | | | | | | | | |
| | |
Rev., 5.00%, 8/15/2023 | | | 1,445 | | | | 1,628 | |
| | |
Rev., 5.00%, 8/15/2024 | | | 1,655 | | | | 1,923 | |
| | |
Franklin County, Hospital Facilities, OhioHealth Corp. Series B, Rev., (SIFMA Municipal Swap Index Yield + 0.43%), 1.58%, 3/10/2020 (d) | | | 4,000 | | | | 4,006 | |
| | |
State of Ohio, University Hospitals Health System, Inc. Series B, Rev., VRDO, 1.36%, 3/2/2020 (b) | | | 2,500 | | | | 2,500 | |
| | | | | | | | |
| | |
| | | | | | | 21,263 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
| | |
Series 2020A-2, Class I, Rev., 5.00%, 6/1/2029 | | | 4,000 | | | | 5,346 | |
| | |
Series 2020A-2, Class I, Rev., 5.00%, 6/1/2030 | | | 2,130 | | | | 2,892 | |
| | |
City of Cleveland, Subordinate Lien, Public Facilities Improvements | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 10/1/2025 | | | 150 | | | | 183 | |
| | |
Series 2018A, Rev., 5.00%, 10/1/2027 | | | 250 | | | | 320 | |
| | |
Series 2018A, Rev., 5.00%, 10/1/2028 | | | 250 | | | | 323 | |
| | |
Franklin County Convention Facilities Authority, Greater Columbus Convention Center Hotel Expansion Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2025 | | | 250 | | | | 300 | |
| | |
Rev., 5.00%, 12/1/2026 | | | 625 | | | | 768 | |
| | |
Rev., 5.00%, 12/1/2029 | | | 800 | | | | 1,030 | |
| | | | | | | | |
| | |
| | | | | | | 11,162 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (b) | | | 5,000 | | | | 5,089 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Hamilton County, Sewer System, Metropolitan Sewer District of Greater Cincinnati Series A, Rev., 5.00%, 12/1/2021 | | | 1,375 | | | | 1,476 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 45,852 | |
| | | | | | | | |
|
Oklahoma — 1.7% | |
|
Education — 1.7% | |
| | |
Bryan County School Finance Authority, Durant Public Schools Project | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2028 | | | 385 | | | | 468 | |
| | |
Rev., 4.00%, 12/1/2029 | | | 415 | | | | 511 | |
| | |
Rev., 4.00%, 12/1/2030 | | | 435 | | | | 533 | |
| | |
Carter County Public Facilities Authority, Educational Facilities Lease, Ardmore City Schools Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2025 | | | 365 | | | | 436 | |
| | |
Rev., 5.00%, 9/1/2026 | | | 820 | | | | 1,003 | |
| | |
Rev., 5.00%, 9/1/2027 | | | 1,250 | | | | 1,559 | |
| | |
Cleveland County Educational Facilities Authority, Norman Public Schools Project Series 2019, Rev., 5.00%, 6/1/2025 | | | 3,050 | | | | 3,659 | |
| | |
Custer County Economic Development Authority, Thomas Fay Public Schools | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2025 | | | 700 | | | | 808 | |
| | |
Rev., 4.00%, 12/1/2027 | | | 1,255 | | | | 1,481 | |
| | |
Grady County School Finance Authority, Educational Facilities Lease, Minco Public Schools Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2028 | | | 375 | | | | 483 | |
| | |
Rev., 5.00%, 9/1/2029 | | | 1,175 | | | | 1,513 | |
| | |
Grady County School Finance Authority, Tuttle Public Schools Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2029 | | | 300 | | | | 371 | |
| | |
Rev., 4.00%, 9/1/2030 | | | 430 | | | | 528 | |
| | |
Muskogee Industrial Trust, Educational Facilities, Muskogee Public Schools Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2024 | | | 890 | | | | 1,030 | |
| | |
Rev., 5.00%, 9/1/2025 | | | 850 | | | | 1,009 | |
| | |
Rev., 5.00%, 9/1/2026 | | | 1,800 | | | | 2,183 | |
| | |
Rev., 5.00%, 9/1/2027 | | | 480 | | | | 594 | |
| | |
Rev., 4.00%, 9/1/2028 | | | 2,500 | | | | 2,952 | |
| | |
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2022 | | | 500 | | | | 551 | |
| | |
Rev., 5.00%, 10/1/2023 | | | 355 | | | | 405 | |
| | |
Rev., 5.00%, 10/1/2025 | | | 1,000 | | | | 1,216 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
Tulsa County Industrial Authority Educational Facilities Lease, Jenks Public Schools Project Rev., 5.00%, 9/1/2021 | | | 2,000 | | | | 2,123 | |
| | |
Wagoner County School Development Authority, Wagoner Public Schools Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2025 | | | 625 | | | | 714 | |
| | |
Rev., 4.00%, 9/1/2027 | | | 725 | | | | 855 | |
| | |
Rev., 4.00%, 9/1/2028 | | | 300 | | | | 360 | |
| | | | | | | | |
| | |
| | | | | | | 27,345 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Cleveland County Justice Authority, Sales Tax, Detention Facility Project Rev., 4.00%, 3/1/2020 | | | 500 | | | | 500 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 27,845 | |
| | | | | | | | |
|
Oregon — 0.2% | |
|
Transportation — 0.2% | |
| | |
Port of Portland, International Airport | | | | | | | | |
| | |
Series 23, Rev., 5.00%, 7/1/2023 | | | 1,000 | | | | 1,136 | |
| | |
Series 23, Rev., 5.00%, 7/1/2024 | | | 1,595 | | | | 1,875 | |
| | | | | | | | |
| | |
| | | | | | | 3,011 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (c) | |
| | |
City of Portland, Sewer System, First Lien Series 2014A, Rev., 5.00%, 10/1/2023 | | | 40 | | | | 46 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 3,057 | |
| | | | | | | | |
|
Pennsylvania — 6.1% | |
|
Education — 0.7% | |
| | |
Pennsylvania Higher Educational Facilities Authority, Trustees of the University Series 2015C, Rev., 5.00%, 10/1/2022 | | | 5,055 | | | | 5,601 | |
| | |
State Public School Building Authority, Community College of Philadelphia Project | | | | | | | | |
| | |
Rev., 5.00%, 6/15/2021 | | | 2,760 | | | | 2,897 | |
| | |
Rev., 5.00%, 6/15/2024 | | | 2,625 | | | | 3,035 | |
| | | | | | | | |
| | |
| | | | | | | 11,533 | |
| | | | | | | | |
|
General Obligation — 2.6% | |
| | |
Commonwealth of Pennsylvania Series 2011, GO, 4.00%, 11/15/2028 | | | 5,000 | | | | 5,265 | |
| | |
County of Chester GO, 4.00%, 7/15/2028 | | | 2,500 | | | | 3,119 | |
| | |
County of Northampton | | | | | | | | |
| | |
Series A, GO, 4.00%, 10/1/2026 | | | 750 | | | | 888 | |
| | |
Series A, GO, 4.00%, 10/1/2027 | | | 1,565 | | | | 1,851 | |
| | |
Series A, GO, 4.00%, 10/1/2028 | | | 920 | | | | 1,085 | |
| | |
County of Westmoreland Series A, GO, 5.00%, 8/15/2028 | | | 3,000 | | | | 3,932 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 55 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Panther Valley School District | | | | | | | | |
| | |
GO, 2.00%, 10/15/2026 | | | 750 | | | | 764 | |
| | |
GO, 2.00%, 10/15/2027 | | | 680 | | | | 689 | |
| | |
GO, 2.00%, 10/15/2028 | | | 300 | | | | 303 | |
| | |
GO, 2.00%, 10/15/2029 | | | 300 | | | | 302 | |
| | |
Penn Hills School District | | | | | | | | |
| | |
GO, 5.00%, 10/1/2026 | | | 4,845 | | | | 5,989 | |
| | |
GO, 5.00%, 10/1/2027 | | | 3,585 | | | | 4,536 | |
| | |
GO, 5.00%, 10/1/2028 | | | 3,585 | | | | 4,635 | |
| | |
GO, 5.00%, 10/1/2029 | | | 3,815 | | | | 5,021 | |
| | |
Quaker Valley School District | | | | | | | | |
| | |
GO, 5.00%, 10/1/2028 (f) | | | 350 | | | | 460 | |
| | |
GO, 5.00%, 10/1/2029 (f) | | | 425 | | | | 571 | |
| | |
GO, 5.00%, 10/1/2030 (f) | | | 250 | | | | 338 | |
| | |
GO, 5.00%, 10/1/2031 (f) | | | 325 | | | | 437 | |
| | |
GO, 5.00%, 10/1/2032 (f) | | | 350 | | | | 469 | |
| | |
GO, 5.00%, 10/1/2033 (f) | | | 325 | | | | 434 | |
| | |
GO, 5.00%, 10/1/2034 (f) | | | 400 | | | | 533 | |
| | |
GO, 5.00%, 10/1/2035 (f) | | | 350 | | | | 465 | |
| | |
Schuylkill Valley School District GO, 5.00%, 4/1/2022 | | | 350 | | | | 379 | |
| | |
Upper St. Clair Township School District | | | | | | | | |
| | |
Series 2019B, GO, 4.00%, 10/1/2028 | | | 575 | | | | 685 | |
| | |
Series 2019B, GO, 4.00%, 10/1/2029 | | | 420 | | | | 498 | |
| | | | | | | | |
| | |
| | | | | | | 43,648 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Berks County Industrial Development Authority, Tower Health Project | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2023 | | | 1,000 | | | | 1,140 | |
| | |
Rev., 5.00%, 11/1/2024 | | | 1,000 | | | | 1,176 | |
| | |
Chester County Health and Education Facilities Authority, Main Line Health System | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 9/1/2026 | | | 250 | | | | 314 | |
| | |
Series 2020A, Rev., 5.00%, 9/1/2027 | | | 200 | | | | 259 | |
| | |
Series 2020A, Rev., 5.00%, 9/1/2028 | | | 175 | | | | 231 | |
| | |
Series 2020A, Rev., 5.00%, 9/1/2029 | | | 175 | | | | 236 | |
| | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 5.00%, 9/1/2024 | | | 1,000 | | | | 1,175 | |
| | |
Southcentral General Authority, Hanover Hospital, Inc. Rev., 5.00%, 12/1/2026 | | | 1,400 | | | | 1,696 | |
| | |
Southcentral General Authority, Wellspan Health Obligation Group Series 2014A, Rev., 5.00%, 6/1/2024 | | | 380 | | | | 444 | |
| | | | | | | | |
| | |
| | | | | | | 6,671 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.4% | |
| | |
Lehigh County Industrial Development Authority, Pollution Control | | | | | | | | |
| | |
Series 2016B, Rev., 1.80%, 8/15/2022 (b) | | | 4,000 | | | | 4,070 | |
| | |
Series 2016A, Rev., 1.80%, 9/1/2022 (b) | | | 2,500 | | | | 2,534 | |
| | | | | | | | |
| | |
| | | | | | | 6,604 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Series 2018, Rev., 5.00%, 6/1/2022 | | | 555 | | | | 604 | |
| | |
Cumberland County Municipal Authority, AICUP Financing Program-Messiah College Project Rev., 2.00%, 4/30/2020 (b) | | | 1,000 | | | | 1,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,604 | |
| | | | | | | | |
|
Transportation — 0.8% | |
| | |
Pennsylvania Turnpike Commission | | | | | | | | |
| | |
Series A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 1.75%, 3/10/2020 (d) | | | 13,000 | | | | 13,115 | |
| | |
Series A, Rev., 5.00%, 12/1/2021 | | | 655 | | | | 702 | |
| | | | | | | | |
| | |
| | | | | | | 13,817 | |
| | | | | | | | |
|
Water & Sewer — 1.1% | |
| | |
Allegheny County Sanitary Authority, Sewer | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2021 | | | 3,500 | | | | 3,750 | |
| | |
Rev., 5.00%, 12/1/2022 | | | 3,000 | | | | 3,336 | |
| | |
Rev., 5.00%, 12/1/2023 | | | 4,000 | | | | 4,609 | |
| | |
Charleroi Borough Authority, Water System | | | | | | | | |
| | |
Rev., AGM, 4.00%, 12/1/2024 | | | 175 | | | | 198 | |
| | |
Rev., AGM, 4.00%, 12/1/2025 | | | 150 | | | | 174 | |
| | |
Rev., AGM, 4.00%, 12/1/2026 | | | 100 | | | | 118 | |
| | |
Rev., AGM, 4.00%, 12/1/2027 | | | 125 | | | | 149 | |
| | |
City of Philadelphia, Water and Wastewater | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2022 | | | 1,510 | | | | 1,656 | |
| | |
Series 2014A, Rev., 5.00%, 7/1/2024 | | | 2,595 | | | | 3,053 | |
| | |
Pittsburgh Water and Sewer Authority Series A, Rev., 5.00%, 9/1/2023 | | | 270 | | | | 307 | |
| | | | | | | | |
| | |
| | | | | | | 17,350 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 101,227 | |
| | | | | | | | |
|
Rhode Island — 0.1% | |
|
General Obligation — 0.1% | |
| | |
State of Rhode Island and Providence Plantations, Consolidated Capital Development Loan of 2019 Series 2019C, GO, 4.00%, 1/15/2034 | | | 1,000 | | | | 1,201 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — 0.0% (c) | |
| | |
Rhode Island Commerce Corp., Department of TransportationSeries 2016-A, Rev., GRAN, 5.00%, 6/15/2022 | | | 25 | | | | 27 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 1,228 | |
| | | | | | | | |
|
South Dakota — 0.1% | |
|
Education — 0.1% | |
| | |
South Dakota Health and Educational Facilities Authority | | | | | | | | |
| | |
Series B, Rev., 4.00%, 11/1/2020 | | | 625 | | | | 638 | |
| | |
Series B, Rev., 4.00%, 11/1/2021 | | | 500 | | | | 525 | |
| | |
Series B, Rev., 5.00%, 11/1/2022 | | | 375 | | | | 414 | |
| | | | | | | | |
| | |
| | | | | | | 1,577 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
South Dakota State Building Authority Series B, Rev., 5.00%, 6/1/2021 | | | 485 | | | | 510 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 2,087 | |
| | | | | | | | |
|
Tennessee — 0.7% | |
|
General Obligation — 0.5% | |
| | |
County of Rutherford Series A, GO, 5.00%, 4/1/2026 | | | 1,165 | | | | 1,406 | |
| | |
State of Tennessee Series A, GO, 4.00%, 8/1/2025 | | | 7,000 | | | | 7,543 | |
| | | | | | | | |
| | |
| | | | | | | 8,949 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Metropolitan Government of Nashville and Davidson, County Sports Authority, Public Improvement Rev., 5.00%, 7/1/2020 | | | 5 | | | | 5 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
Tennessee Energy Acquisition Corp., Gas Project | | | | | | | | |
| | |
Series A, Rev., 4.00%, 5/1/2022 | | | 1,460 | | | | 1,548 | |
| | |
Series A, Rev., 4.00%, 5/1/2023 | | | 1,400 | | | | 1,518 | |
| | | | | | | | |
| | |
| | | | | | | 3,066 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 12,020 | |
| | | | | | | | |
|
Texas — 10.7% | |
|
Education — 1.0% | |
| | |
Arlington Higher Education Finance Corp., Uplift Education Series 2017A, Rev., PSF-GTD, 4.00%, 12/1/2029 | | | 1,000 | | | | 1,182 | |
| | |
Austin Community College District Public Facility Corp., Lease, Highland Campus Parking Garage Project | | | | | | | | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2026 | | | 250 | | | | 312 | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2027 | | | 200 | | | | 256 | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2029 | | | 325 | | | | 414 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Austin Community College District, Combined Fee Series 2014A, Rev., 5.00%, 2/1/2021 | | | 790 | | | | 820 | |
| | |
County of Harris, Cultural Education Facilities Finance Corp., Children’s Hospital Series 3, Rev., (ICE LIBOR USD 1 Month + 0.85%), 1.94%, 3/10/2020 (d) | | | 7,500 | | | | 7,503 | |
| | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System Series 2014A, Rev., 5.00%, 12/1/2026 | | | 1,910 | | | | 2,262 | |
| | |
Southwest Higher Education Authority, Inc., Southern Methodist University Project | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 10/1/2021 | | | 425 | | | | 453 | |
| | |
Series 2017, Rev., 5.00%, 10/1/2022 | | | 400 | | | | 442 | |
| | |
Series 2017, Rev., 5.00%, 10/1/2023 | | | 400 | | | | 458 | |
| | |
Texas State University System Series 2019A, Rev., 4.00%, 3/15/2034 | | | 2,250 | | | | 2,685 | |
| | | | | | | | |
| | |
| | | | | | | 16,787 | |
| | | | | | | | |
|
General Obligation — 3.6% | |
| | |
Abilene Independent School District, Unlimited Tax School Building GO, PSF-GTD, 4.00%, 2/15/2029 | | | 2,000 | | | | 2,429 | |
| | |
City of Abilene GO, 5.00%, 2/15/2021 | | | 475 | | | | 494 | |
| | |
City of Colony GO, 5.00%, 8/15/2020 | | | 610 | | | | 622 | |
| | |
City of Denton GO, 5.00%, 2/15/2023 | | | 1,045 | | | | 1,171 | |
| | |
City of El Paso, Refunding and Improvement | | | | | | | | |
| | |
GO, 5.00%, 8/15/2021 | | | 530 | | | | 562 | |
| | |
GO, 5.00%, 8/15/2025 | | | 4,035 | | | | 4,887 | |
| | |
City of Galveston GO, 4.00%, 5/1/2024 | | | 635 | | | | 712 | |
| | |
City of Houston, Public Improvement | | | | | | | | |
| | |
Series A, GO, 5.00%, 3/1/2021 | | | 3,000 | | | | 3,125 | |
| | |
Series A, GO, 5.00%, 3/1/2025 | | | 1,195 | | | | 1,436 | |
| | |
College of the Mainland GO, 4.00%, 8/15/2034 | | | 2,860 | | | | 3,400 | |
| | |
Counties of Harris and Fort Bend, Houston Community College System, Limited Tax GO, 5.00%, 2/15/2026 | | | 1,000 | | | | 1,121 | |
| | |
County of Kaufman | | | | | | | | |
| | |
Series 2020A, GO, 5.00%, 2/15/2028 (f) | | | 270 | | | | 350 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2029 (f) | | | 285 | | | | 377 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2030 (f) | | | 300 | | | | 395 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2031 (f) | | | 630 | | | | 825 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2032 (f) | | | 660 | | | | 862 | |
| | |
Series 2020A, GO, 4.00%, 2/15/2033 (f) | | | 345 | | | | 416 | |
| | |
Series 2020A, GO, 4.00%, 2/15/2034 (f) | | | 360 | | | | 431 | |
| | |
Series 2020A, GO, 4.00%, 2/15/2035 (f) | | | 375 | | | | 447 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 57 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
County of Kaufman, Unlimited Tax Road | | | | | | | | |
| | |
GO, 5.00%, 2/15/2030 (f) | | | 665 | | | | 876 | |
| | |
GO, 5.00%, 2/15/2031 (f) | | | 205 | | | | 268 | |
| | |
GO, 5.00%, 2/15/2032 (f) | | | 425 | | | | 556 | |
| | |
GO, 4.00%, 2/15/2033 (f) | | | 300 | | | | 362 | |
| | |
GO, 4.00%, 2/15/2034 (f) | | | 465 | | | | 558 | |
| | |
GO, 4.00%, 2/15/2035 (f) | | | 300 | | | | 359 | |
| | |
Forney Independent School District, School Building GO, PSF-GTD, 5.00%, 8/15/2024 | | | 1,310 | | | | 1,544 | |
| | |
Galveston County, Unlimited Tax Road | | | | | | | | |
| | |
Series 2017, GO, 4.00%, 2/1/2024 | | | 980 | | | | 1,095 | |
| | |
Series 2017, GO, 4.00%, 2/1/2025 | | | 800 | | | | 917 | |
| | |
Georgetown Independent School District | | | | | | | | |
| | |
Series C, GO, PSF-GTD, 4.00%, 8/15/2032 | | | 2,165 | | | | 2,611 | |
| | |
Series C, GO, PSF-GTD, 4.00%, 8/15/2033 | | | 2,315 | | | | 2,786 | |
| | |
Series C, GO, PSF-GTD, 4.00%, 8/15/2034 | | | 1,465 | | | | 1,759 | |
| | |
Harris County Fresh Water Supply District No. 61 Series 2019, GO, AGM, 3.00%, 9/1/2025 | | | 530 | | | | 578 | |
| | |
Hereford Independent School District, School Building | | | | | | | | |
| | |
GO, PSF-GTD, 4.00%, 2/15/2028 | | | 1,420 | | | | 1,687 | |
| | |
GO, PSF-GTD, 4.00%, 2/15/2029 | | | 1,480 | | | | 1,760 | |
| | |
GO, PSF-GTD, 4.00%, 2/15/2030 | | | 1,000 | | | | 1,177 | |
| | |
GO, PSF-GTD, 4.00%, 2/15/2031 | | | 700 | | | | 818 | |
| | |
Katy Independent School District, School Building GO, PSF-GTD, 4.00%, 2/15/2027 | | | 290 | | | | 316 | |
| | |
Klein Independent School District, Unlimited Tax Series B, GO, 5.00%, 8/1/2029 | | | 525 | | | | 639 | |
| | |
Lewisville Independent School District, School Building | | | | | | | | |
| | |
GO, PSF-GTD, 5.00%, 8/15/2025 | | | 750 | | | | 858 | |
| | |
GO, PSF-GTD, 5.00%, 8/15/2026 | | | 750 | | | | 856 | |
| | |
GO, PSF-GTD, 5.00%, 8/15/2027 | | | 650 | | | | 741 | |
| | |
New Braunfels Independent School District, Unlimited Tax, School Building Bonds GO, PSF-GTD, 4.00%, 2/1/2034 | | | 1,000 | | | | 1,184 | |
| | |
Pasadena Independent School District Series A, GO, PSF-GTD, 5.00%, 2/15/2028 | | | 1,000 | | | | 1,160 | |
| | |
Pharr San Juan Alamo Independent School District Series 2015ISD, GO, PSF-GTD, 4.00%, 2/1/2030 | | | 4,000 | | | | 4,507 | |
| | |
Richardson Independent School District Series 2019, GO, PSF-GTD, 5.00%, 2/15/2029 | | | 3,165 | | | | 4,115 | |
| | |
S & S Consolidated Independent School District GO, PSF-GTD, 4.00%, 2/15/2028 | | | 580 | | | | 703 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Southside Independent School District, School Building GO, PSF-GTD, 5.00%, 8/15/2022 | | | 250 | | | | 275 | |
| | | | | | | | |
| | |
| | | | | | | 59,127 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Irving Hospital Authority, Baylor Scott and White Medical Center | | | | | | | | |
| | |
Series 2017B, Rev., (SIFMA Municipal Swap Index Yield + 1.10%), 2.25%, 3/10/2020 (d) | | | 1,750 | | | | 1,771 | |
| | |
Series 2017A, Rev., 5.00%, 10/15/2022 | | | 250 | | | | 274 | |
| | |
Series 2017A, Rev., 5.00%, 10/15/2028 | | | 250 | | | | 303 | |
| | |
Series 2017A, Rev., 5.00%, 10/15/2029 | | | 500 | | | | 603 | |
| | | | | | | | |
| | |
| | | | | | | 2,951 | |
| | | | | | | | |
|
Other Revenue — 4.1% | |
| | |
Austin Convention Enterprises, Inc., Convention Center Hotel First Tier | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 1/1/2021 | | | 500 | | | | 516 | |
| | |
Series 2017A, Rev., 5.00%, 1/1/2022 | | | 750 | | | | 800 | |
| | |
Austin Convention Enterprises, Inc., Convention Center Hotel Second Tier Series 2017B, Rev., 5.00%, 1/1/2021 | | | 800 | | | | 823 | |
| | |
Lower Colorado River Authority Series B, Rev., 5.00%, 5/15/2023 | | | 4,700 | | | | 5,113 | |
| | |
State of Texas Rev., TRAN, 4.00%, 8/27/2020 | | | 60,000 | | | | 60,926 | |
| | | | | | | | |
| | |
| | | | | | | 68,178 | |
| | | | | | | | |
|
Prerefunded — 0.0% (c) | |
| | |
Lower Colorado River Authority Series B, Rev., 5.00%, 5/15/2023 (e) | | | 60 | | | | 65 | |
| | | | | | | | |
|
Transportation — 1.1% | |
| | |
Central Texas Regional Mobility Authority, Subordinated Lien Rev., BAN, 4.00%, 1/1/2022 | | | 1,545 | | | | 1,606 | |
| | |
City of Austin, Airport System | | | | | | | | |
| | |
Series 2017B, Rev., AMT, 5.00%, 11/15/2026 | | | 1,095 | | | | 1,362 | |
| | |
Series 2017B, Rev., AMT, 5.00%, 11/15/2027 | | | 585 | | | | 727 | |
| | |
Series 2017B, Rev., AMT, 5.00%, 11/15/2028 | | | 630 | | | | 781 | |
| | |
Grand Parkway Transportation Corp. Rev., BAN, 5.00%, 2/1/2023 | | | 10,000 | | | | 11,123 | |
| | |
North Texas Tollway Authority System, First Tier Series A, Rev., 4.00%, 1/1/2033 | | | 2,500 | | | | 2,897 | |
| | | | | | | | |
| | |
| | | | | | | 18,496 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 0.6% | |
| | |
City of Cedar Park, Utility System Rev., 5.00%, 8/15/2022 | | | 560 | | | | 615 | |
| | |
City of San Antonio, Electric and Gas Systems Series B, Rev., 2.00%, 12/1/2021 (b) | | | 6,480 | | | | 6,556 | |
| | |
Texas Municipal Gas Acquisition and Supply Corp. I Series D, Rev., 6.25%, 12/15/2026 | | | 1,705 | | | | 2,029 | |
| | |
West Travis County Public Utility Agency | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 8/15/2022 | | | 545 | | | | 598 | |
| | |
Series 2017, Rev., 5.00%, 8/15/2023 | | | 325 | | | | 368 | |
| | |
Series 2017, Rev., 5.00%, 8/15/2027 | | | 350 | | | | 445 | |
| | | | | | | | |
| | |
| | | | | | | 10,611 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Galveston, Waterworks and Sewer System | | | | | | | | |
| | |
Rev., 5.00%, 5/1/2020 | | | 245 | | | | 246 | |
| | |
Rev., 5.00%, 5/1/2021 | | | 265 | | | | 278 | |
| | |
City of Garland, Water & Sewer System Series 2018A, Rev., 5.00%, 3/1/2026 | | | 1,030 | | | | 1,273 | |
| | | | | | | | |
| | |
| | | | | | | 1,797 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 178,012 | |
| | | | | | | | |
|
Utah — 1.3% | |
|
General Obligation — 0.3% | |
| | |
State of Utah GO, 5.00%, 7/1/2021 | | | 4,925 | | | | 5,202 | |
| | | | | | | | |
|
Other Revenue — 0.9% | |
| | |
Utah Infrastructure Agency, Telecommunication Revenue Series A, Rev., 5.00%, 10/15/2025 | | | 10,380 | | | | 12,196 | |
| | |
West Valley City Municipal Building Authority | | | | | | | | |
| | |
Rev., AGM, 4.00%, 2/1/2024 | | | 500 | | | | 556 | |
| | |
Rev., AGM, 5.00%, 2/1/2025 | | | 250 | | | | 297 | |
| | |
Rev., AGM, 5.00%, 2/1/2027 | | | 720 | | | | 903 | |
| | |
Rev., AGM, 5.00%, 2/1/2029 | | | 1,070 | | | | 1,334 | |
| | | | | | | | |
| | |
| | | | | | | 15,286 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Salt Lake City Corp. Airport Series A, Rev., AMT, 5.00%, 7/1/2022 | | | 1,000 | | | | 1,091 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 21,579 | |
| | | | | | | | |
|
Vermont — 0.1% | |
|
Education — 0.1% | |
| | |
University of Vermont and State Agricultural College | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2021 | | | 750 | | | | 800 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Rev., 5.00%, 10/1/2022 | | | 855 | | | | 944 | |
| | | | | | | | |
| | |
| | | | | | | 1,744 | |
| | | | | | | | |
|
Other Revenue — 0.0% (c) | |
| | |
Vermont Municipal Bond Bank Series 3, Rev., 5.00%, 12/1/2021 | | | 400 | | | | 429 | |
| | | | | | | | |
| | |
Total Vermont | | | | | | | 2,173 | |
| | | | | | | | |
|
Virginia — 3.0% | |
|
Education — 1.6% | |
| | |
Virginia College Building Authority, 21st Century College and Equipment Programs | | | | | | | | |
| | |
Series 2017E, Rev., 5.00%, 2/1/2027 | | | 20,000 | | | | 25,506 | |
| | |
Series 2017C, Rev., 5.00%, 2/1/2028 | | | 1,000 | | | | 1,275 | |
| | | | | | | | |
| | |
| | | | | | | 26,781 | |
| | | | | | | | |
|
General Obligation — 0.9% | |
| | |
City of Lynchburg, Public Improvement | | | | | | | | |
| | |
GO, 4.00%, 8/1/2031 | | | 1,000 | | | | 1,248 | |
| | |
GO, 4.00%, 8/1/2032 | | | 1,000 | | | | 1,240 | |
| | |
County of Fairfax, Public Improvement Series 2019A, GO, 4.00%, 10/1/2026 | | | 7,715 | | | | 9,299 | |
| | |
Loudoun County, Public Improvement Series A, GO, 5.00%, 12/1/2026 | | | 1,930 | | | | 2,398 | |
| | | | | | | | |
| | |
| | | | | | | 14,185 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Virginia Resources Authority, Infrastructure Series C, Rev., 5.00%, 11/1/2027 | | | 1,235 | | | | 1,577 | |
| | | | | | | | |
|
Water & Sewer — 0.4% | |
| | |
Fairfax County Water Authority, Water Series B, Rev., 5.25%, 4/1/2024 | | | 5,615 | | | | 6,627 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 49,170 | |
| | | | | | | | |
|
Washington — 1.3% | |
|
Hospital — 1.3% | |
| | |
Washington Health Care Facilities Authority, Commonspirit HealthSeries B-3, Rev., 5.00%, 8/1/2026 (b) | | | 17,000 | | | | 20,600 | |
| | | | | | | | |
|
Utility — 0.0% (c) | |
| | |
Snohomish County Public Utility District No. 1 Rev., 5.00%, 12/1/2025 | | | 500 | | | | 616 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 21,216 | |
| | | | | | | | |
|
West Virginia — 0.2% | |
|
Utility — 0.2% | |
| | |
West Virginia Economic Development Authority, Appalachian Power Co. — AMOS Project Series 2009A, Rev., 2.63%, 6/1/2022 (b) | | | 2,905 | | | | 3,009 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 59 | |
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Wisconsin — 1.6% | |
|
Education — 0.1% | |
| | |
Wisconsin Health and Educational Facilities Authority, Thedacare, Inc. Rev., 5.00%, 12/15/2020 | | | 1,250 | | | | 1,288 | |
| | | | | | | | |
|
General Obligation — 1.5% | |
| | |
Pewaukee School District Series 2019B, GO, 5.00%, 9/1/2027 | | | 200 | | | | 258 | |
| | |
State of Wisconsin | | | | | | | | |
| | |
Series A, GO, 5.00%, 5/1/2026 | | | 5,050 | | | | 6,150 | |
| | |
Series 1, GO, 5.00%, 11/1/2026 | | | 1,135 | | | | 1,441 | |
| | |
Sun Prairie Area School District GO, 4.00%, 3/1/2028 | | | 2,500 | | | | 3,014 | |
| | |
Wauwatosa School District, School Building and Improvement | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 3/1/2027 | | | 5,025 | | | | 6,415 | |
| | |
Series 2019A, GO, 5.00%, 3/1/2029 | | | 6,025 | | | | 7,670 | |
| | | | | | | | |
| | |
| | | | | | | 24,948 | |
| | | | | | | | |
|
Hospital — 0.0% (c) | |
| | |
Wisconsin Health and Educational Facilities Authority, Aspirus, Inc., Obligated Group Rev., 5.00%, 8/15/2025 | | | 325 | | | | 392 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 26,628 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $1,570,853) | | | | | | | 1,637,466 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Collateralized Mortgage Obligations — 0.0% (c) | |
| | |
FNMA, REMICSeries 2002-36, Class FS, 2.16%, 6/25/2032 (b)
(Cost $134) | | | 134 | | | | 134 | |
| | | | | | | | |
| | |
| | | SHARES
(000) | | | | |
Short-Term Investments — 2.9% | |
|
Investment Companies — 2.9% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (h) (i)
(Cost $48,402) | | | 48,403 | | | | 48,403 | |
| | | | | | | | |
Total Investments — 101.5%
(Cost $1,619,389) | | | | | | | 1,686,003 | |
Liabilities in Excess of
Other Assets — (1.5)% | | | | | | | (24,636 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 1,661,367 | |
| | | | | | | | |
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 |
| FNMA | | Federal National Mortgage Association |
| GO | | General Obligation |
| GRAN | | Grant Revenue Anticipation Note |
| GTD | | Guaranteed |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | | Permanent School Fund Guaranteed |
| Q-SBLF | | Qualified School Bond Loan Fund |
| RE | | Reinsured |
| REMIC | | Real Estate Mortgage Investment Conduit |
| Rev. | | Revenue |
| SIFMA | | The Securities Industry and Financial Markets Association |
| TRAN | | Tax & Revenue Anticipation Note |
| USD | | United States Dollar |
| | |
| VRDO | | Variable Rate Demand Obligation |
| |
| (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 February 29, 2020. |
| (c) | | Amount rounds to less than 0.1% of net assets. |
| (d) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (e) | | Security is prerefunded or escrowed to maturity. |
| (f) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (g) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (h) | | 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. |
| (i) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 97.1% (a) | |
|
Alabama — 1.0% | |
|
Hospital — 0.0% (b) | |
| | |
UAB Medicine Finance AuthoritySeries B-2, Rev., 5.00%, 9/1/2037 | | | 30 | | | | 37 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Montgomery County Public Building Authority, Warrants, Facilities Project Rev., 5.00%, 3/1/2029 | | | 1,000 | | | | 1,148 | |
| | |
UAB Medicine Finance AuthoritySeries B-2, Rev., 3.50%, 9/1/2035 | | | 160 | | | | 176 | |
| | | | | | | | |
| | |
| | | | | | | 1,324 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (c) | | | 500 | | | | 555 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 2 Series 2018A, Rev., 4.00%, 6/1/2024 (c) | | | 835 | | | | 930 | |
| | | | | | | | |
| | |
| | | | | | | 1,485 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
Montgomery Water Works and Sanitary Sewer Board | | | | | | | | |
| | |
Series 2019A, Rev., 4.00%, 9/1/2036 | | | 515 | | | | 625 | |
| | |
Series 2019A, Rev., 4.00%, 9/1/2037 | | | 800 | | | | 968 | |
| | |
Series 2019A, Rev., 4.00%, 9/1/2038 | | | 830 | | | | 1,001 | |
| | | | | | | | |
| | |
| | | | | | | 2,594 | |
| | | | | | | | |
| | |
Total Alabama | | | | | | | 5,440 | |
| | | | | | | | |
|
Alaska — 0.5% | |
|
Education — 0.0% (b) | |
| | |
University of Alaska Series S, Rev., 4.00%, 10/1/2021 | | | 70 | | | | 73 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046 | | | 690 | | | | 732 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 4.00%, 10/1/2044 | | | 1,500 | | | | 1,715 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 2,520 | |
| | | | | | | | |
|
Arizona — 1.0% | |
|
Education — 0.2% | |
| | |
Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2032 | | | 350 | | | | 434 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2033 | | | 150 | | | | 185 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2037 | | | 200 | | | | 245 | |
| | |
University of Arizona Rev., 5.00%, 6/1/2033 | | | 40 | | | | 50 | |
| | | | | | | | |
| | |
| | | | | | | 914 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
City of Flagstaff Series 2014B, GO, 5.00%, 7/1/2020 | | | 25 | | | | 25 | |
| | |
County of Pima GO, 5.00%, 7/1/2020 | | | 20 | | | | 20 | |
| | |
Maricopa County Special Health Care District Series 2018C, GO, 5.00%, 7/1/2033 | | | 10 | | | | 13 | |
| | |
Maricopa County Unified School District No. 11, Peoria School Improvement GO, 4.00%, 7/1/2034 | | | 10 | | | | 12 | |
| | | | | | | | |
| | |
| | | | | | | 70 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.8% | |
| | |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 4.50%, 1/1/2049 | | | 4,000 | | | | 4,404 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
City of Buckeye Rev., 4.00%, 7/1/2020 | | | 25 | | | | 25 | |
| | |
City of Chandler Rev., 5.00%, 7/1/2028 | | | 25 | | | | 31 | |
| | |
City of Phoenix Civic Improvement Corp., Capital Appreciation Series 2005B, Rev., BHAC-CR, FGIC, 5.50%, 7/1/2036 | | | 125 | | | | 197 | |
| | |
County of Pinal Rev., 4.00%, 8/1/2036 | | | 50 | | | | 60 | |
| | | | | | | | |
| | |
| | | | | | | 313 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Pima County Regional Transportation Authority Rev., 5.00%, 6/1/2020 | | | 30 | | | | 30 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Phoenix Civic Improvement Corp., Junior Lien Water System Rev., 5.00%, 7/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 5,751 | |
| | | | | | | | |
|
Arkansas — 0.2% | |
|
Education — 0.1% | |
| | |
Board of Trustees of the University of Arkansas, Various Facility, Fayetteville Campus Series A, Rev., 5.00%, 11/1/2037 | | | 185 | | | | 227 | |
| | |
University of Arkansas, Monticello Campus Series 2017A, Rev., 5.00%, 12/1/2027 | | | 100 | | | | 128 | |
| | |
University of Arkansas, Student Fee, UALR Campus Rev., 5.00%, 10/1/2029 | | | 100 | | | | 123 | |
| | | | | | | | |
| | |
| | | | | | | 478 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 61 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
State of Arkansas,Four-Lane Highway Construction and Improvement Series 2013, GO, 5.00%, 6/15/2021 | | | 60 | | | | 63 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
County of Pulaski, Arkansas Children’s Hospital Rev., 5.00%, 3/1/2029 | | | 350 | | | | 430 | |
| | | | | | | | |
| | |
Total Arkansas | | | | | | | 971 | |
| | | | | | | | |
|
California — 4.9% | |
|
Certificate of Participation/Lease — 0.3% | |
| | |
City of Palm Springs Series B, COP, Zero Coupon, 4/15/2021 (d) | | | 100 | | | | 99 | |
| | |
Riverside Public Financing Authority, Riverside Pavement Rehabilitation Project COP, AGM, 5.00%, 6/1/2033 | | | 1,500 | | | | 1,699 | |
| | | | | | | | |
| | |
| | | | | | | 1,798 | |
| | | | | | | | |
|
Education — 0.3% | |
| | |
California Educational Facilities Authority, Claremont McKenna College Series 2015A, Rev., 4.00%, 1/1/2039 | | | 500 | | | | 571 | |
| | |
California School Finance Authority, Green Dot Public School Projects | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2020 (e) | | | 50 | | | | 51 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2021 (e) | | | 50 | | | | 53 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2022 (e) | | | 80 | | | | 87 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2023 (e) | | | 175 | | | | 197 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2024 (e) | | | 160 | | | | 185 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2025 (e) | | | 150 | | | | 179 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2026 (e) | | | 150 | | | | 183 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2027 (e) | | | 150 | | | | 186 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2028 (e) | | | 190 | | | | 241 | |
| | | | | | | | |
| | |
| | | | | | | 1,933 | |
| | | | | | | | |
|
General Obligation — 1.9% | |
| | |
Alta Loma School District, Election of 2016 Series 2017A, GO, 5.00%, 8/1/2032 | | | 60 | | | | 76 | |
| | |
County of Santa Clara, Campbell Union High School District | | | | | | | | |
| | |
GO, 3.00%, 8/1/2030 | | | 620 | | | | 677 | |
| | |
GO, 3.00%, 8/1/2031 | | | 30 | | | | 33 | |
| | |
El Monte City School District GO, BAN, Zero Coupon, 4/1/2023 | | | 900 | | | | 869 | |
| | |
Los Angeles Community College District, Election of 2008 Series F, GO, 5.00%, 8/1/2024 | | | 60 | | | | 69 | |
| | |
Mount San Antonio Community College District, Election of 2008 Series A, GO, Zero Coupon, 8/1/2043 | | | 7,150 | | | | 7,754 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Santa Maria Joint Union High School District, Santa Barbara and San Luis Obispo GO, Zero Coupon, 8/1/2037 | | | 2,450 | | | | 1,108 | |
| | |
South Monterey County Joint Union High School District, Election of 2018Series A-1, GO, AGM, 5.00%, 8/1/2035 | | | 15 | | | | 19 | |
| | | | | | | | |
| | |
| | | | | | | 10,605 | |
| | | | | | | | |
|
Hospital — 0.9% | |
| | |
California Health Facilities Financing Authority, Sutter Health Series 2016A, Rev., 5.00%, 11/15/2041 | | | 250 | | | | 303 | |
| | |
California Municipal Finance Authority, Eisenhower Medical Center Series 2017A, Rev., 5.00%, 7/1/2042 | | | 1,000 | | | | 1,196 | |
| | |
California Public Finance Authority, Henry Mayo Newhall Hospital | | | | | | | | |
| | |
Rev., 5.00%, 10/15/2037 | | | 500 | | | | 588 | |
| | |
Rev., 5.00%, 10/15/2047 | | | 1,000 | | | | 1,158 | |
| | |
California Statewide Communities Development Authority, Marin General Hospital Project Series 2018A, Rev., 4.00%, 8/1/2045 | | | 1,500 | | | | 1,632 | |
| | | | | | | | |
| | |
| | | | | | | 4,877 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
California State Public Works Board, Riverside Campus Series 2017H, Rev., 5.00%, 4/1/2027 | | | 10 | | | | 13 | |
| | | | | | | | |
|
Transportation — 0.3% | |
| | |
Bay Area Toll Authority, Toll Bridge, San Francisco Bay AreaSeries S-7, Rev., 4.00%, 4/1/2032 | | | 35 | | | | 42 | |
| | |
City of Los Angeles, Department of Airports Series A, Rev., AMT, 5.00%, 5/15/2038 | | | 1,250 | | | | 1,399 | |
| | | | | | | | |
| | |
| | | | | | | 1,441 | |
| | | | | | | | |
|
Utility — 0.4% | |
| | |
Long Beach Bond Finance Authority, Natural Gas Series A, Rev., 5.25%, 11/15/2021 | | | 2,000 | | | | 2,139 | |
| | | | | | | | |
|
Water & Sewer — 0.8% | |
| | |
City of Fairfield Rev., 4.00%, 4/1/2020 | | | 5 | | | | 5 | |
| | |
East Bay Municipal Utility District, Wastewater SystemSeries 2015A-1, Rev., 5.00%, 6/1/2036 | | | 2,450 | | | | 2,945 | |
| | |
East Bay Municipal Utility District, Water System Series B, Rev., 5.00%, 6/1/2033 | | | 515 | | | | 622 | |
| | |
Orange County Water District Series A, Rev., 5.00%, 8/15/2034 | | | 650 | | | | 830 | |
| | | | | | | | |
| | |
| | | | | | | 4,402 | |
| | | | | | | | |
| | |
Total California | | | | | | | 27,208 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Colorado — 2.8% | |
|
Certificate of Participation/Lease — 0.8% | |
| | |
Adams County, Colorado Refunding and Improvement COP, 4.00%, 12/1/2040 | | | 2,815 | | | | 3,162 | |
| | |
Colorado Department of Transportation Headquarters Facilities COP, 5.00%, 6/15/2041 | | | 1,000 | | | | 1,208 | |
| | |
State of Colorado Series 2018A, COP, 5.00%, 9/1/2031 | | | 20 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 4,395 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
Larimer County School DistrictNo. R-1 Poudre GO, 5.00%, 12/15/2037 | | | 1,000 | | | | 1,302 | |
| | |
Vauxmont Metropolitan District, Subordinate Limited Tax, Convertible to Unlimited Tax | | | | | | | | |
| | |
GO, AGM, 5.00%, 12/15/2024 | | | 265 | | | | 307 | |
| | |
GO, AGM, 5.00%, 12/15/2025 | | | 250 | | | | 295 | |
| | | | | | | | |
| | |
| | | | | | | 1,904 | |
| | | | | | | | |
|
Hospital — 1.3% | |
| | |
Colorado Health Facilities Authority, Commonspirit HealthSeries A-2, Rev., 4.00%, 8/1/2049 | | | 2,500 | | | | 2,865 | |
| | |
Colorado Health Facilities Authority, Vail Valley Medical Centre Project Rev., 4.00%, 1/15/2045 | | | 1,095 | | | | 1,203 | |
| | |
Denver Health and Hospital Authority Series A, Rev., 5.25%, 12/1/2045 | | | 1,000 | | | | 1,115 | |
| | |
Denver Health and Hospital Authority, Healthcare Series 2019A, Rev., 4.00%, 12/1/2040 | | | 1,635 | | | | 1,894 | |
| | | | | | | | |
| | |
| | | | | | | 7,077 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
City of Grand Junction Rev., 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
|
Prerefunded — 0.4% | |
| | |
State of Colorado, Building Excellent Schools Today Series G, COP, 5.00%, 3/15/2032 (d) | | | 2,000 | | | | 2,087 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 15,488 | |
| | | | | | | | |
|
Connecticut — 1.0% | |
|
Education — 0.4% | |
| | |
Connecticut State Health and Educational Facilities Authority | | | | | | | | |
| | |
Series K-1, Rev., 5.00%, 7/1/2034 | | | 725 | | | | 885 | |
| | |
Series K-1, Rev., 5.00%, 7/1/2036 | | | 450 | | | | 548 | |
| | |
Series K-1, Rev., 5.00%, 7/1/2039 | | | 490 | | | | 592 | |
| | |
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series A, Rev., AMT, 5.00%, 11/15/2020 | | | 300 | | | | 308 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
University of Connecticut Series A, Rev., 5.00%, 2/15/2028 | | | 15 | | | | 18 | |
| | | | | | | | |
| | |
| | | | | | | 2,351 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
State of Connecticut | | | | | | | | |
| | |
Series 2016D, GO, 5.00%, 8/15/2026 | | | 25 | | | | 31 | |
| | |
Series 2012G, GO, 4.00%, 10/15/2027 | | | 45 | | | | 48 | |
| | |
Series A, GO, 5.00%, 4/15/2029 | | | 150 | | | | 189 | |
| | |
Town of New Canaan | | | | | | | | |
| | |
GO, 4.00%, 10/1/2036 | | | 240 | | | | 292 | |
| | |
GO, 4.00%, 10/1/2037 | | | 395 | | | | 479 | |
| | |
GO, 4.00%, 10/1/2039 | | | 100 | | | | 120 | |
| | |
Town of Stonington Series 2012A, GO, 4.00%, 9/1/2020 | | | 15 | | | | 15 | |
| | |
Town of Wallingford GO, 4.00%, 3/15/2021 | | | 20 | | | | 21 | |
| | | | | | | | |
| | |
| | | | | | | 1,195 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Connecticut State Health and Educational Facilities Authority, Covenant Home, Inc. Series B, Rev., 5.00%, 12/1/2025 | | | 1,000 | | | | 1,200 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Connecticut Housing Finance Authority, Housing Mortgage Finance Program | | | | | | | | |
| | |
Series B-2, Rev., 4.00%, 11/15/2032 | | | 280 | | | | 288 | |
| | |
Series A-1, Rev., 4.00%, 11/15/2045 | | | 95 | | | | 101 | |
| | |
SubseriesA-1, Rev., 4.00%, 11/15/2047 | | | 330 | | | | 356 | |
| | | | | | | | |
| | |
| | | | | | | 745 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
City of New Britain GO, AGM, 3.00%, 3/15/2021 (d) | | | 25 | | | | 25 | |
| | | | | | | | |
|
Special Tax — 0.0% (b) | |
| | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | | | | | | | | |
| | |
Series 2016A, Rev., 5.00%, 9/1/2027 | | | 25 | | | | 31 | |
| | |
Series 2018B, Rev., 5.00%, 10/1/2033 | | | 55 | | | | 70 | |
| | | | | | | | |
| | |
| | | | | | | 101 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 5,617 | |
| | | | | | | | |
|
Delaware — 0.9% | |
|
Education — 0.4% | |
| | |
Delaware Economic Development Authority, Newark Charter School, Inc. Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 9/1/2036 | | | 500 | | | | 597 | |
| | |
Series A, Rev., 5.00%, 9/1/2046 | | | 500 | | | | 586 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 63 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
University of Delaware Series 2019A, Rev., 5.00%, 11/1/2045 | | | 500 | | | | 804 | |
| | | | | | | | |
| | |
| | | | | | | 1,987 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
County of New Castle GO, 5.00%, 4/1/2027 | | | 25 | | | | 32 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Delaware State Health Facilities Authority, Bayhealth Medical Center Project | | | | | | | | |
| | |
Series 2017A, Rev., 4.00%, 7/1/2033 | | | 25 | | | | 29 | |
| | |
Series 2017A, Rev., 4.00%, 7/1/2043 | | | 1,275 | | | | 1,446 | |
| | | | | | | | |
| | |
| | | | | | | 1,475 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Delaware State Housing Authority, Senior Single Family MortgageSeries A-1, Rev., AMT, 4.90%, 7/1/2029 | | | 300 | | | | 307 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Delaware Economic Development Authority, Acts Retirement-Life Communities, Inc. Obligated GroupSeries 2018-B, Rev., 5.00%, 11/15/2048 | | | 1,000 | | | | 1,177 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 4,978 | |
| | | | | | | | |
|
District of Columbia — 2.5% | |
|
Other Revenue — 1.1% | |
| | |
District of Columbia, Income Tax Series 2019C, Rev., 5.00%, 10/1/2032 | | | 3,000 | | | | 4,035 | |
| | |
District of Columbia, Kipp DC Project | | | | | | | | |
| | |
Series 2017B, Rev., 5.00%, 7/1/2027 | | | 30 | | | | 37 | |
| | |
Series 2017B, Rev., 5.00%, 7/1/2037 | | | 25 | | | | 31 | |
| | |
Rev., 4.00%, 7/1/2039 | | | 600 | | | | 688 | |
| | |
Rev., 4.00%, 7/1/2044 | | | 1,240 | | | | 1,404 | |
| | |
District of Columbia, National Public Radio, Inc. Series 2016, Rev., 5.00%, 4/1/2024 | | | 25 | | | | 29 | |
| | | | | | | | |
| | |
| | | | | | | 6,224 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
District of Columbia | | | | | | | | |
| | |
Series A, Rev., 6.00%, 7/1/2043 (d) | | | 500 | | | | 585 | |
| | |
Series A, Rev., 6.00%, 7/1/2048 (d) | | | 500 | | | | 585 | |
| | | | | | | | |
| | |
| | | | | | | 1,170 | |
| | | | | | | | |
|
Transportation — 1.2% | |
| | |
Washington Metropolitan Area Transit Authority Series B, Rev., 5.00%, 7/1/2042 | | | 5,010 | | | | 6,258 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 13,652 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Florida — 3.3% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
Monroe County School District | | | | | | | | |
| | |
Series A, COP, 5.00%, 6/1/2032 | | | 100 | | | | 125 | |
| | |
Series A, COP, 5.00%, 6/1/2034 | | | 40 | | | | 50 | |
| | | | | | | | |
| | |
| | | | | | | 175 | |
| | | | | | | | |
|
Education — 0.4% | |
| | |
Florida Atlantic University Finance Corp., Student Housing Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2031 | | | 15 | | | | 19 | |
| | |
Series 2019B, Rev., 5.00%, 7/1/2034 | | | 120 | | | | 155 | |
| | |
Volusia County Educational Facility Authority, Embry-Riddle Aeronautical | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 10/15/2037 | | | 725 | | | | 848 | |
| | |
Series 2020A, Rev., 4.00%, 10/15/2038 | | | 750 | | | | 874 | |
| | |
Series 2020A, Rev., 4.00%, 10/15/2039 | | | 350 | | | | 407 | |
| | | | | | | | |
| | |
| | | | | | | 2,303 | |
| | | | | | | | |
|
General Obligation — 1.2% | |
| | |
County of Miami-Dade Series A, GO, 5.00%, 7/1/2036 | | | 2,745 | | | | 3,596 | |
| | |
Hillsborough County, Parks and Recreation Program GO, NATL-RE, 5.25%, 7/1/2025 | | | 2,415 | | | | 2,843 | |
| | |
School Board of Miami-Dade County (The) GO, 5.00%, 3/15/2020 | | | 40 | | | | 40 | |
| | | | | | | | |
| | |
| | | | | | | 6,479 | |
| | | | | | | | |
|
Hospital — 1.1% | |
| | |
City of South Miami Health Facilities Authority, Inc., Baptist Health Rev., 4.00%, 8/15/2042 | | | 20 | | | | 23 | |
| | |
Orange County Health Facilities Authority | | | | | | | | |
| | |
Series B, Rev., 4.00%, 10/1/2045 | | | 215 | | | | 238 | |
| | |
Palm Beach County Health Facilities Authority, Baptist Health Rev., 4.00%, 8/15/2049 | | | 5,000 | | | | 5,787 | |
| | |
South Broward Hospital District, Memorial Healthcare System Series 2016, Rev., 5.00%, 5/1/2023 | | | 10 | | | | 11 | |
| | | | | | | | |
| | |
| | | | | | | 6,059 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Florida Housing Finance Corp., Homeowner Mortgage, Special Program Series B, Rev., GNMA/FNMA/FHLMC, 4.50%, 1/1/2029 | | | 30 | | | | 31 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Florida Department of Environmental Protection Series 2011A, Rev., 5.00%, 7/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Jacksonville Series B, Rev., 5.00%, 10/1/2024 | | | 20 | | | | 24 | |
| | |
County of Miami-Dade Series 2016, Rev., 4.00%, 10/1/2040 | | | 105 | | | | 118 | |
| | |
Orange County Convention Center Series 2016A, Rev., 4.00%, 10/1/2036 | | | 40 | | | | 46 | |
| | | | | | | | |
| | |
| | | | | | | 188 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Palm Beach County Health Facilities Authority, Bethesda Healthcare System, Inc. Project | | | | | | | | |
| | |
Series A, Rev., AGM, 4.75%, 7/1/2025 (d) | | | 5 | | | | 5 | |
| | |
Series A, Rev., AGM, 5.25%, 7/1/2040 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 10 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Florida’s Turnpike Enterprise, Department of Transportation | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 35 | | | | 36 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2033 | | | 55 | | | | 72 | |
| | | | | | | | |
| | |
| | | | | | | 108 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
City of Leesburg, Electric System Rev., 5.00%, 10/1/2031 | | | 15 | | | | 18 | |
| | |
City of Port St. Lucie, Utility Systems Series 2018, Rev., 5.00%, 9/1/2028 | | | 25 | | | | 32 | |
| | |
City of Tallahassee, Utility System Series 2017, Rev., 5.00%, 10/1/2023 | | | 10 | | | | 11 | |
| | |
County of Sarasota, Utility System | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2038 | | | 25 | | | | 33 | |
| | |
Series 2016A, Rev., 4.00%, 10/1/2043 | | | 65 | | | | 73 | |
| | |
Florida Governmental Utility Authority | | | | | | | | |
| | |
Rev., AGM, 4.00%, 10/1/2034 | | | 600 | | | | 728 | |
| | |
Rev., AGM, 4.00%, 10/1/2035 | | | 1,000 | | | | 1,210 | |
| | |
Florida Governmental Utility Authority, Aloha Utility System Rev., AGM, 4.00%, 10/1/2036 | | | 370 | | | | 447 | |
| | | | | | | | |
| | |
| | | | | | | 2,552 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Lauderhill, Water & Sewer System Rev., 4.00%, 10/1/2027 | | | 15 | | | | 18 | |
| | |
County of St. Johns, Water and Sewer | | | | | | | | |
| | |
Rev., 4.00%, 6/1/2020 | | | 20 | | | | 20 | |
| | |
Rev., 5.00%, 6/1/2020 | | | 35 | | | | 36 | |
| | |
East Central Regional Wastewater Treatment Facilities Operation Board Rev., 5.00%, 10/1/2028 | | | 30 | | | | 39 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Water & Sewer — continued | | | | | | | | |
| | |
JEA Water and Sewer System Series 2017A, Rev., 5.00%, 10/1/2020 (d) | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 133 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 18,058 | |
| | | | | | | | |
|
Georgia — 4.3% | |
|
Education — 0.4% | |
| | |
Georgia Higher Education Facilities Authority USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038 | | | 2,000 | | | | 2,356 | |
| | | | | | | | |
|
Hospital — 1.0% | |
| | |
Dalton Development Authority, Hamilton Health Care System Rev., NATL-RE, 5.50%, 8/15/2026 | | | 2,915 | | | | 3,340 | |
| | |
Dalton Whitfield County Joint Development Authority, Hamilton Health Care System Series 2017, Rev., 4.00%, 8/15/2041 | | | 1,000 | | | | 1,142 | |
| | |
Glynn-Brunswick Memorial Hospital Authority, Health System Project Rev., 4.00%, 8/1/2038 | | | 1,000 | | | | 1,180 | |
| | | | | | | | |
| | |
| | | | | | | 5,662 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Georgia Housing and Finance Authority, Single Family Mortgage | | | | | | | | |
| | |
Series A, Rev., AMT, 5.00%, 6/1/2029 | | | 15 | | | | 15 | |
| | |
SubseriesA-1, Rev., AMT, 4.00%, 6/1/2044 | | | 140 | | | | 147 | |
| | |
Lawrenceville Building Authority Rev., 5.00%, 4/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 187 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Metropolitan Atlanta Rapid Transit Authority, Sales tax Series 2005A, Rev., NATL-RE, 5.00%, 7/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Brunswick-Glynn County, Joint Water & Sewer Commission Series C, Rev., AGM, 4.50%, 6/1/2035 (d) | | | 5 | | | | 5 | |
| | |
Dahlonega Downtown Development Authority, North Georgia MBA, LLC Project Rev., AGC, 4.75%, 7/1/2040 (d) | | | 5 | | | | 5 | |
| | |
Medical Center Hospital Authority, Columbus Regional Healthcare System, Inc. Project Rev., GRAN, AGM, 5.00%, 8/1/2045 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 15 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Metropolitan Atlanta Rapid Transit Authority Series A, Rev., NATL-RE, 5.25%, 7/1/2028 | | | 110 | | | | 147 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 65 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 2.8% | |
| | |
Main Street Natural Gas, Inc., Gas Supply | | | | | | | | |
| | |
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 9/1/2023 (c) | | | 5,000 | | | | 5,504 | |
| | |
Series 2019B, Rev., 4.00%, 12/2/2024 (c) | | | 8,600 | | | | 9,824 | |
| | | | | | | | |
| | |
| | | | | | | 15,328 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 23,720 | |
| | | | | | | | |
|
Hawaii — 0.4% | |
|
General Obligation — 0.4% | |
| | |
City and County of Honolulu Series A, GO, 5.00%, 10/1/2037 | | | 1,970 | | | | 2,381 | |
| | | | | | | | |
|
Idaho — 0.0% (b) | |
|
Education — 0.0% (b) | |
| | |
University of Idaho Series 2018A, Rev., 5.00%, 4/1/2035 | | | 25 | | | | 32 | |
| | | | | | | | |
|
Illinois — 4.2% | |
|
General Obligation — 1.4% | |
| | |
City of Oak Forest Series 2016B, GO, 3.00%, 12/15/2020 | | | 365 | | | | 371 | |
| | |
City of Rockford, Waterworks System Series 2018B, GO, 4.00%, 12/15/2022 | | | 105 | | | | 113 | |
| | |
Cook County Forest Preserve District, Limited Tax Project Series B, GO, 5.00%, 12/15/2037 | | | 295 | | | | 316 | |
| | |
State of Illinois | | | | | | | | |
| | |
Series 2018A, GO, 5.00%, 10/1/2021 | | | 50 | | | | 53 | |
| | |
Series 2012A, GO, 4.00%, 1/1/2024 | | | 15 | | | | 16 | |
| | |
GO, 5.00%, 5/1/2024 | | | 205 | | | | 236 | |
| | |
Series D, GO, 5.00%, 11/1/2024 | | | 325 | | | | 379 | |
| | |
Series 2012, GO, 4.00%, 8/1/2025 | | | 25 | | | | 26 | |
| | |
Series 2012, GO, 4.00%, 3/1/2026 | | | 10 | | | | 10 | |
| | |
Series 2012A, GO, 5.00%, 1/1/2027 | | | 25 | | | | 27 | |
| | |
GO, 5.00%, 5/1/2027 | | | 175 | | | | 200 | |
| | |
GO, 5.00%, 6/1/2027 | | | 25 | | | | 30 | |
| | |
Series 2009A, GO, 4.00%, 9/1/2027 | | | 115 | | | | 115 | |
| | |
Series 2016, GO, 5.00%, 11/1/2028 | | | 20 | | | | 24 | |
| | |
Series 2012A, GO, 4.00%, 1/1/2029 | | | 45 | | | | 47 | |
| | |
GO, 5.50%, 1/1/2030 | | | 20 | | | | 27 | |
| | |
GO, 4.13%, 11/1/2031 | | | 20 | | | | 23 | |
| | |
Series 2016, GO, 4.00%, 6/1/2033 | | | 15 | | | | 17 | |
| | |
Series 2016, GO, 4.00%, 6/1/2036 | | | 25 | | | | 28 | |
| | |
GO, 4.00%, 6/1/2037 | | | 45 | | | | 50 | |
| | |
GO, 5.50%, 7/1/2038 | | | 3,000 | | | | 3,367 | |
| | |
Village of Arlington Heights GO, 4.00%, 12/1/2034 | | | 130 | | | | 146 | |
| | |
Village of Bolingbrook Series A, GO, AGM, 5.00%, 1/1/2033 | | | 1,000 | | | | 1,245 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
General Obligation — continued | | | | | | | | |
| | |
Village of Hoffman Estates GO, 5.00%, 12/1/2033 | | | 80 | | | | 103 | |
| | |
Village of Midlothian | | | | | | | | |
| | |
GO, AGM, 4.00%, 1/1/2022 (f) | | | 10 | | | | 10 | |
| | |
GO, AGM, 4.00%, 1/1/2023 (f) | | | 10 | | | | 11 | |
| | |
GO, AGM, 4.00%, 1/1/2024 (f) | | | 75 | | | | 82 | |
| | |
GO, AGM, 4.00%, 1/1/2025 (f) | | | 40 | | | | 45 | |
| | |
GO, AGM, 4.00%, 1/1/2026 (f) | | | 65 | | | | 74 | |
| | |
GO, AGM, 4.00%, 1/1/2027 (f) | | | 85 | | | | 99 | |
| | |
GO, AGM, 4.00%, 1/1/2028 (f) | | | 65 | | | | 77 | |
| | |
GO, AGM, 4.00%, 1/1/2029 (f) | | | 95 | | | | 113 | |
| | |
Will County School District No. 86 Joliet Series A, GO, 4.00%, 3/1/2024 | | | 220 | | | | 243 | |
| | |
Winnebago and Boone Counties School District No. 205 Rockford Series B, GO, 3.75%, 2/1/2033 | | | 35 | | | | 37 | |
| | | | | | | | |
| | |
| | | | | | | 7,760 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Illinois Finance Authority, Healthcare Enterprises, Inc. | | | | | | | | |
| | |
Series C, Rev., 5.00%, 3/1/2033 | | | 305 | | | | 368 | |
| | |
Series 2017C, Rev., 5.00%, 3/1/2034 | | | 205 | | | | 247 | |
| | |
Illinois Finance Authority, Presence Health Network Series 2016C, Rev., 4.00%, 2/15/2041 | | | 930 | | | | 1,065 | |
| | | | | | | | |
| | |
| | | | | | | 1,680 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2016A, Rev., 5.00%, 11/1/2031 | | | 10 | | | | 12 | |
| | | | | | | | |
|
Other Revenue — 1.5% | |
| | |
Railsplitter Tobacco Settlement Authority Rev., 5.25%, 6/1/2021 | | | 200 | | | | 210 | |
| | |
Sales Tax Securitization Corp. | | | | | | | | |
| | |
Series C, Rev., 5.00%, 1/1/2026 | | | 3,500 | | | | 4,255 | |
| | |
Series C, Rev., 5.25%, 1/1/2043 | | | 1,500 | | | | 1,907 | |
| | |
Sales Tax Securitization Corp., Second Lien Series 2020A, Rev., 4.00%, 1/1/2040 | | | 1,395 | | | | 1,646 | |
| | |
State of Illinois Series 2016C, Rev., 5.00%, 6/15/2022 | | | 25 | | | | 27 | |
| | |
State of Illinois, Sales Tax Series D, Rev., 5.00%, 6/15/2027 | | | 15 | | | | 18 | |
| | | | | | | | |
| | |
| | | | | | | 8,063 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Chicago O’Hare International Airport, Third Lien Series 2011A, Rev., 5.75%, 1/1/2039 (d) | | | 1,260 | | | | 1,312 | |
| | |
Illinois Finance Authority, Presence Health Network Series 2016C, Rev., 4.00%, 2/15/2041 (d) | | | 20 | | | | 24 | |
| | |
Illinois Finance Authority, University of Chicago Medical Center Series C, Rev., 4.50%, 8/15/2026 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 1,341 | |
| | | | | | | | |
|
Transportation — 0.8% | |
| | |
Chicago O’Hare International Airport, Third Lien Series 2011A, Rev., 5.75%, 1/1/2039 | | | 240 | | | | 249 | |
| | |
Illinois State Toll Highway Authority | | | | | | | | |
| | |
Series 2019C, Rev., 5.00%, 1/1/2031 | | | 3,000 | | | | 4,015 | |
| | |
Series 2019A, Rev., 4.00%, 1/1/2044 | | | 25 | | | | 29 | |
| | | | | | | | |
| | |
| | | | | | | 4,293 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2040 | | | 105 | | | | 136 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 23,285 | |
| | | | | | | | |
|
Indiana — 1.6% | |
|
Education — 0.4% | |
| | |
Greenfield Middle School Building Corp. | | | | | | | | |
| | |
Rev., 4.00%, 1/15/2026 | | | 100 | | | | 116 | |
| | |
Rev., 4.00%, 7/15/2031 | | | 240 | | | | 279 | |
| | |
Rev., 4.00%, 7/15/2032 | | | 350 | | | | 405 | |
| | |
Greenfield Middle School Building Corp., Ad Valorem Property Tax First Mortgage Refunding Rev., 5.00%, 1/15/2023 | | | 10 | | | | 11 | |
| | |
Indiana Finance Authority, Butler University Project Rev., 4.00%, 2/1/2040 | | | 25 | | | | 29 | |
| | |
Indiana Finance Authority, Marian University Project Series A, Rev., 5.00%, 9/15/2034 | | | 1,100 | | | | 1,376 | |
| | |
University of Southern Indiana, Student Fee Series M, Rev., 5.00%, 10/1/2029 | | | 25 | | | | 33 | |
| | | | | | | | |
| | |
| | | | | | | 2,249 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
Gary Community School Corp. GO, 4.00%, 7/15/2023 | | | 230 | | | | 249 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Indiana Finance Authority, Goshen Health | | | | | | | | |
| | |
Series A, Rev., 5.00%, 11/1/2032 | | | 15 | | | | 19 | |
| | |
Series A, Rev., 4.00%, 11/1/2043 | | | 1,125 | | | | 1,263 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — continued | |
| | |
Indiana Finance Authority, Parkview Health Series A, Rev., 4.00%, 11/1/2048 | | | 50 | | | | 57 | |
| | |
Indiana Health and Educational Facilities Financing Authority, Ascension Senior Credit Group Series 2006 B-1, Rev., 4.00%, 11/15/2046 | | | 15 | | | | 17 | |
| | | | | | | | |
| | |
| | | | | | | 1,356 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Clarksville Redevelopment Authority, Economic Development Lease Rental Rev., 4.00%, 2/1/2029 | | | 310 | | | | 372 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Lafayette, Local Income Tax Rev., 4.00%, 6/30/2028 | | | 180 | | | | 217 | |
| | |
Clarksville Redevelopment Authority, District Tax Increment Rev., 5.00%, 1/15/2031 | | | 30 | | | | 39 | |
| | |
Indiana Finance Authority Series 2012M, Rev., 4.00%, 7/1/2020 | | | 100 | | | | 101 | |
| | | | | | | | |
| | |
| | | | | | | 357 | |
| | | | | | | | |
|
Prerefunded — 0.8% | |
| | |
Carmel Redevelopment Authority Rev., 5.00%, 7/1/2025 (d) | | | 5 | | | | 5 | |
| | |
Indiana Finance Authority, State Revolving Fund Program Series 2011A, Rev., 5.00%, 2/1/2030 (d) | | | 4,000 | | | | 4,319 | |
| | | | | | | | |
| | |
| | | | | | | 4,324 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
Indiana Municipal Power Agency, Power Supply System Series 2016A, Rev., 5.00%, 1/1/2042 | | | 30 | | | | 36 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 8,943 | |
| | | | | | | | |
|
Iowa — 0.1% | |
|
General Obligation — 0.0% (b) | |
| | |
City of Bettendorf Series 2013A, GO, 4.00%, 6/1/2020 | | | 30 | | | | 30 | |
| | |
City of Council Bluffs Series 2018A, GO, 5.00%, 6/1/2020 | | | 25 | | | | 25 | |
| | |
Waukee Community School District, Capital Loan Notes Series 2016A, GO, 5.00%, 6/1/2020 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 81 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Iowa Finance Authority, Single Family Mortgage-Backed Securities Program | | | | | | | | |
| | |
Series 2, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 7/1/2028 | | | 25 | | | | 25 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 67 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Housing — continued | |
| | |
Series 2016D, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 7/1/2046 | | | 465 | | | | 493 | |
| | | | | | | | |
| | |
| | | | | | | 518 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Iowa Finance Authority, Revolving Fund — Green Bonds Rev., 5.00%, 8/1/2034 | | | 15 | | | | 19 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 618 | |
| | | | | | | | |
|
Kansas — 0.0% (b) | |
|
General Obligation — 0.0% (b) | |
| | |
Leavenworth County Unified School District No. 464 Series B, GO, 4.00%, 9/1/2022 | | | 50 | | | | 54 | |
| | | | | | | | |
|
Kentucky — 0.4% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
Commonwealth of Kentucky COP, 4.00%, 6/15/2032 | | | 30 | | | | 33 | |
| | | | | | | | |
|
Education — 0.0% (b) | |
| | |
Pike County School District Finance Corp., School Building Rev., 4.00%, 2/1/2028 | | | 20 | | | | 23 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
City of Ashland, Kings Daughters Medical Center Series 2016A, Rev., 4.00%, 2/1/2036 | | | 1,750 | | | | 1,895 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Kentucky Housing Corp. Series A, Rev., 5.00%, 1/1/2028 | | | 20 | | | | 21 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Kentucky Turnpike Authority, Revitalization Projects Series B, Rev., 5.00%, 7/1/2023 | | | 30 | | | | 34 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 2,006 | |
| | | | | | | | |
|
Louisiana — 1.0% | |
|
General Obligation — 0.5% | |
| | |
State of Louisiana | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 3/1/2020 | | | 20 | | | | 20 | |
| | |
Series 2014C, GO, 5.00%, 8/1/2020 | | | 25 | | | | 25 | |
| | |
Series 2019A, GO, 5.00%, 3/1/2035 | | | 2,000 | | | | 2,610 | |
| | | | | | | | |
| | |
| | | | | | | 2,655 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Series 2015A1, Rev., 5.00%, 6/1/2039 | | | 25 | | | | 31 | |
| | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2047 | | | 1,055 | | | | 1,239 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
| | |
Hospital — continued | | | | | | | | |
| | |
St. Tammany Parish Hospital Service District No. 1, St. Tammany Parish Hospital Project Series A, Rev., 4.00%, 7/1/2043 | | | 50 | | | | 56 | |
| | | | | | | | |
| | |
| | | | | | | 1,326 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Ruston Rev., AGM, 5.00%, 6/1/2024 | | | 10 | | | | 12 | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Jefferson Parish Projects Rev., 5.00%, 4/1/2029 | | | 100 | | | | 124 | |
| | |
Tobacco Settlement Financing Corp., Asset-Backed Series 2013A, Rev., 5.25%, 5/15/2035 | | | 1,000 | | | | 1,111 | |
| | | | | | | | |
| | |
| | | | | | | 1,247 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
East Ouachita Parish School District GO, 4.25%, 3/1/2032 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
State of Louisiana, Gas and Fuels TaxSeries 2012A-1, Rev., 5.00%, 5/1/2020 | | | 45 | | | | 45 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 5,278 | |
| | | | | | | | |
|
Maine — 0.1% | |
|
Housing — 0.1% | |
| | |
Maine State Housing Authority Series A, Rev., 4.00%, 11/15/2045 | | | 365 | | | | 387 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Maine Municipal Bond Bank Series E, Rev., 4.00%, 11/1/2021 | | | 100 | | | | 105 | |
| | | | | | | | |
| | |
Total Maine | | | | | | | 492 | |
| | | | | | | | |
|
Maryland — 1.5% | |
|
Certificate of Participation/Lease — 1.4% | |
| | |
Baltimore County, Equipment Acquisition Program Series 2019, COP, 5.00%, 3/1/2029 | | | 5,735 | | | | 7,625 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
County of Charles GO, 4.00%, 3/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
Maryland Health and Higher Educational Facilities Authority, Broadmead Issue Series A, Rev., 5.00%, 7/1/2023 | | | 115 | | | | 129 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Montgomery County Housing Opportunities Commission, Single Family Mortgage Series A, Rev., 4.00%, 1/1/2031 | | | 225 | | | | 238 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
State of Maryland, State and Local Facilities Loan GO, 3.00%, 3/15/2023 (d) | | | 40 | | | | 40 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Maryland State Transportation Authority Series 2017, Rev., 5.00%, 7/1/2028 | | | 10 | | | | 13 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Baltimore, Stormwater Projects Series 2019A, Rev., 4.00%, 7/1/2044 | | | 50 | | | | 59 | |
| | |
City of Baltimore, Water Projects Series B, Rev., 4.00%, 7/1/2033 | | | 270 | | | | 330 | |
| | |
Maryland Water Quality Financing Administration Revolving Loan Fund Series 2014, Rev., 5.00%, 3/1/2020 | | | 50 | | | | 50 | |
| | | | | | | | |
| | |
| | | | | | | 439 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 8,504 | |
| | | | | | | | |
|
Massachusetts — 2.3% | |
|
Education — 0.8% | |
| | |
Massachusetts Development Finance Agency, Emerson College | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2036 | | | 825 | | | | 1,023 | |
| | |
Rev., 5.00%, 1/1/2037 | | | 315 | | | | 389 | |
| | |
University of Massachusetts Building Authority, Senior Lien | | | | | | | | |
| | |
Series 1, Rev., 5.00%, 11/1/2020 | | | 10 | | | | 10 | |
| | |
Series 2020-1, Rev., 5.00%, 11/1/2034 | | | 2,000 | | | | 2,690 | |
| | | | | | | | |
| | |
| | | | | | | 4,112 | |
| | | | | | | | |
|
General Obligation — 0.8% | |
| | |
City of Boston Series A, GO, 5.00%, 4/1/2020 | | | 20 | | | | 20 | |
| | |
City of Lowell, Municipal Purpose Loan Series 2018, GO, 5.00%, 3/1/2028 | | | 90 | | | | 119 | |
| | |
Commonwealth of Massachusetts Series E, GO, 5.00%, 9/1/2020 | | | 25 | | | | 25 | |
| | |
Commonwealth of Massachusetts, Consolidated Loan of 2016 Series J, GO, 4.00%, 12/1/2039 | | | 3,690 | | | | 4,291 | |
| | |
Town of Bellingham GO, 4.00%, 6/15/2032 | | | 10 | | | | 12 | |
| | |
Town of Dartmouth GO, 4.00%, 4/15/2020 | | | 25 | | | | 25 | |
| | |
Town of Plymouth, Municipal Purpose Loan GO, 5.00%, 5/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 4,512 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Massachusetts Housing Finance Agency, Single Family Housing | | | | | | | | |
| | |
Series 177, Rev., AMT, 4.00%, 6/1/2039 | | | 410 | | | | 433 | |
| | |
Series 167, Rev., 4.00%, 12/1/2043 | | | 260 | | | | 271 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
Housing — continued | | | | | | | | |
| | |
Series 169, Rev., 4.00%, 12/1/2044 | | | 485 | | | | 505 | |
| | | | | | | | |
| | |
| | | | | | | 1,209 | |
| | | | | | | | |
|
Transportation — 0.5% | |
| | |
Commonwealth of Massachusetts Transportation Fund, Rail Enhancement and Accelerated Bridge Programs Series B, Rev., 4.00%, 6/1/2046 | | | 2,480 | | | | 2,820 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 12,653 | |
| | | | | | | | |
|
Michigan — 1.3% | |
|
General Obligation — 0.2% | |
| | |
Grand Rapids Public Schools Series 2019, GO, AGM, 5.00%, 11/1/2043 | | | 1,000 | | | | 1,269 | |
| | |
Walled Lake Consolidated School District GO,Q-SBLF, 5.00%, 5/1/2033 | | | 10 | | | | 13 | |
| | |
Whitehall District Schools GO, AGM, 5.00%, 5/1/2033 | | | 25 | | | | 31 | |
| | | | | | | | |
| | |
| | | | | | | 1,313 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Michigan Finance Authority, Bronson Healthcare Group, Inc. Series A, Rev., 5.00%, 5/15/2054 | | | 2,000 | | | | 2,358 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage Series 2015A, Rev., AMT, 4.00%, 6/1/2046 | | | 120 | | | | 127 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Michigan State Building Authority, Facilities Program Series 2015I, Rev., 4.00%, 4/15/2040 | | | 120 | | | | 133 | |
| | |
Michigan Strategic Fund, Holland Home Obligated Group Rev., 5.00%, 11/15/2043 | | | 750 | | | | 870 | |
| | | | | | | | |
| | |
| | | | | | | 1,003 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Kalamazoo Hospital Finance Authority, Bronson Methodist Hospital Series A, Rev., 5.00%, 5/15/2036 (d) | | | 5 | | | | 5 | |
| | |
Zeeland Public Schools GO, AGM, 4.50%, 5/1/2030 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 10 | |
| | | | | | | | |
|
Transportation — 0.3% | |
| | |
State of Michigan, Trunk Line Fund Rev., 5.00%, 11/15/2036 | | | 1,500 | | | | 1,600 | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
City of Grand Rapids, Sanitary Sewer System Improvement Rev., 5.00%, 1/1/2045 | | | 600 | | | | 777 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 7,188 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 69 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Minnesota — 2.7% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
Duluth Independent School District No. 709 | | | | | | | | |
| | |
Series 2019B, COP, 5.00%, 2/1/2021 | | | 150 | | | | 155 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2022 | | | 160 | | | | 172 | |
| | | | | | | | |
| | |
| | | | | | | 327 | |
| | | | | | | | |
|
Education — 0.3% | |
| | |
Minnesota Higher Education Facilities Authority, Carleton College | | | | | | | | |
| | |
Rev., 4.00%, 3/1/2032 | | | 1,000 | | | | 1,173 | |
| | |
Rev., 4.00%, 3/1/2033 | | | 500 | | | | 586 | |
| | | | | | | | |
| | |
| | | | | | | 1,759 | |
| | | | | | | | |
|
General Obligation — 1.4% | |
| | |
Aurora Independent School District No. 2711, School Building, Capital Appreciation | | | | | | | | |
| | |
Series 2017B, GO, Zero Coupon, 2/1/2026 | | | 150 | | | | 133 | |
| | |
Series 2017B, GO, Zero Coupon, 2/1/2027 | | | 400 | | | | 343 | |
| | |
Series 2017B, GO, Zero Coupon, 2/1/2028 | | | 225 | | | | 185 | |
| | |
Series 2017B, GO, Zero Coupon, 2/1/2030 | | | 880 | | | | 663 | |
| | |
City of Excelsior Series 2019A, GO, 5.00%, 2/1/2027 | | | 100 | | | | 127 | |
| | |
City of Hopkins Series 2017B, GO, 4.00%, 2/1/2026 | | | 25 | | | | 29 | |
| | |
East Grand Forks Independent School District No. 595 Series A, GO, 4.00%, 2/1/2027 | | | 15 | | | | 18 | |
| | |
Greenway Independent School District No. 316 | | | | | | | | |
| | |
Series 2019F, GO, Zero Coupon, 2/1/2029 | | | 1,320 | | | | 1,120 | |
| | |
Series 2019F, GO, Zero Coupon, 2/1/2030 | | | 700 | | | | 576 | |
| | |
Series 2019F, GO, Zero Coupon, 2/1/2031 | | | 545 | | | | 433 | |
| | |
Lakeville Independent School District No. 194 , Credit Enhancement Program Series 2018A, GO, 5.00%, 2/1/2028 | | | 25 | | | | 32 | |
| | |
State of Minnesota Series A, GO, 5.00%, 8/1/2020 | | | 20 | | | | 20 | |
| | |
Virginia Independent School District No. 706 Series A, GO, 5.00%, 2/1/2030 | | | 3,000 | | | | 3,872 | |
| | | | | | | | |
| | |
| | | | | | | 7,551 | |
| | | | | | | | |
|
Hospital — 0.6% | |
| | |
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 4.00%, 11/15/2048 | | | 3,000 | | | | 3,437 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
Dakota County Community Development Agency, Single Family Mortgage, Mortgage-Backed Securities Program Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 6/1/2035 | | | 45 | | | | 46 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
Housing — continued | | | | | | | | |
| | |
Minneapolis/St. Paul Housing Finance Board, Single Family Mortgage, Mortgage-Backed Securities Program, City Living Home Programs | | | | | | | | |
| | |
Series A, Rev., GNMA COLL, 4.50%, 12/1/2026 | | | 15 | | | | 15 | |
| | |
Series A-1, Rev., GNMA/FNMA/FHLMC, 5.25%, 12/1/2040 | | | 13 | | | | 13 | |
| | |
Series 2007A-2, Rev., GNMA/FNMA/FHLMC, 5.52%, 3/1/2041 | | | 60 | | | | 61 | |
| | |
Minnesota Housing Finance Agency, Homeownership Finance, Mortgage-Backed Securities Program | | | | | | | | |
| | |
Series B, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 1/1/2031 | | | 15 | | | | 15 | |
| | |
Series D, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 7/1/2034 | | | 30 | | | | 31 | |
| | |
Series E, Rev., GNMA/FNMA/FHLMC, 4.00%, 1/1/2035 | | | 50 | | | | 51 | |
| | |
Minnesota Housing Finance Agency, Residential Housing Finance | | | | | | | | |
| | |
Series 2014A, Rev., AMT, 4.00%, 7/1/2038 | | | 220 | | | | 233 | |
| | |
Series D, Rev., AMT, GNMA/FNMA/FHLMC, 4.00%, 7/1/2040 | | | 65 | | | | 66 | |
| | |
Series C, Rev., AMT, GNMA/FNMA/FHLMC, 4.00%, 1/1/2045 | | | 605 | | | | 645 | |
| | |
Series B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 4.00%, 7/1/2047 | | | 350 | | | | 377 | |
| | | | | | | | |
| | |
| | | | | | | 1,553 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Minnesota Public Facilities Authority Series 2010A, Rev., 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Perham Hospital District Rev., 6.35%, 3/1/2035 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 14,657 | |
| | | | | | | | |
|
Mississippi — 0.7% | |
|
Education — 0.5% | |
| | |
Mississippi Development Bank, Lafayette County School District General Obligation Bond Project Rev., 4.00%, 4/1/2033 | | | 20 | | | | 24 | |
| | |
Mississippi Development Bank, Northwest Mississippi Community College Improvement Project Rev., 4.00%, 3/1/2050 (f) | | | 2,335 | | | | 2,733 | |
| | | | | | | | |
| | |
| | | | | | | 2,757 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 70 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
Mississippi Development Bank, Water and Sewer System Project, Special Obligation Rev., AGM, 6.88%, 12/1/2040 | | | 1,000 | | | | 1,202 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 3,959 | |
| | | | | | | | |
|
Missouri — 1.1% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
City of Sedalia COP, 4.00%, 7/15/2035 | | | 205 | | | | 234 | |
| | | | | | | | |
|
Education — 0.9% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 2/1/2034 | | | 1,000 | | | | 1,152 | |
| | |
Series 2019A, Rev., 5.00%, 2/1/2042 | | | 1,000 | | | | 1,140 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Series A, Rev., 4.00%, 6/1/2048 | | | 2,160 | | | | 2,448 | |
| | | | | | | | |
| | |
| | | | | | | 4,740 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
St. Louis County Reorganized School DistrictNo. R-6 Series 2017, GO, 5.00%, 2/1/2023 | | | 10 | | | | 11 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program | | | | | | | | |
| | |
Series 2106B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 3.50%, 5/1/2041 | | | 385 | | | | 406 | |
| | |
Series 2015B-2, Rev., GNMA/FNMA/FHLMC, 4.00%, 11/1/2045 | | | 480 | | | | 515 | |
| | |
Missouri Housing Development Commission, Single Family Mortgage, Special Homeownership Loan Program | | | | | | | | |
| | |
Series E-3, Rev., GNMA/FNMA/FHLMC, 4.63%, 5/1/2028 | | | 5 | | | | 5 | |
| | |
Series E-4, Rev., AMT, GNMA/FNMA/FHLMC, 4.25%, 11/1/2030 | | | 30 | | | | 31 | |
| | | | | | | | |
| | |
| | | | | | | 957 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water Series 2010B, Rev., 5.00%, 7/1/2025 | | | 35 | | | | 36 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Healthcare Series B, Rev., 4.50%, 6/1/2025 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Metropolitan St. Louis Sewer District Series 2017A, Rev., 5.00%, 5/1/2034 | | | 10 | | | | 13 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 5,996 | |
| | | | | | | | |
|
Montana — 0.3% | |
|
Hospital — 0.3% | |
| | |
Montana Facility Finance Authority, SCL Health System Series A, Rev., 4.00%, 1/1/2038 | | | 1,200 | | | | 1,442 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Montana Board of Housing, Single Family Homeownership | | | | | | | | |
| | |
Series B2, Rev., AMT, 5.00%, 12/1/2027 | | | 155 | | | | 162 | |
| | |
Series A-2, Rev., AMT, 4.00%, 12/1/2038 | | | 105 | | | | 110 | |
| | | | | | | | |
| | |
| | | | | | | 272 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Montana Facility Finance Authority, Community Medical Center, Inc. Project Series 2010D, Rev., 5.50%, 6/1/2035 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
Total Montana | | | | | | | 1,719 | |
| | | | | | | | |
|
Nebraska — 0.7% | |
|
Hospital — 0.0% (b) | |
| | |
Douglas County Hospital Authority No. 2, Health Facilities Series 2016, Rev., 5.00%, 5/15/2030 | | | 10 | | | | 12 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
Central Plains Energy Project No. 3 | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2034 | | | 1,000 | | | | 1,372 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2042 | | | 1,500 | | | | 2,221 | |
| | |
Public Power Generation Agency, Whelan Energy Center Unit 2 | | | | | | | | |
| | |
Series 2015A, Rev., 5.00%, 1/1/2026 | | | 100 | | | | 119 | |
| | |
Series A, Rev., 5.00%, 1/1/2034 | | | 185 | | | | 225 | |
| | |
Series 2016A, Rev., 5.00%, 1/1/2035 | | | 25 | | | | 30 | |
| | | | | | | | |
| | |
| | | | | | | 3,967 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 3,979 | |
| | | | | | | | |
|
Nevada — 0.6% | |
|
General Obligation — 0.0% (b) | |
| | |
State of Nevada, Natural Resources Series 2016D, GO, 5.00%, 5/1/2020 | | | 30 | | | | 30 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Reno, Sales Tax, Senior Lien, ReTrac-Reno Transportation Rail Access Corridor Project Series B, Rev., AGM, 4.00%, 6/1/2048 | | | 375 | | | | 428 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 71 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 0.5% | |
| | |
Las Vegas Convention and Visitors Authority, Convention Center Expansion Series B, Rev., 4.00%, 7/1/2049 | | | 2,500 | | | | 2,866 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Truckee Meadows Water Authority Series 2016, Rev., 5.00%, 7/1/2031 | | | 15 | | | | 19 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 3,343 | |
| | | | | | | | |
|
New Hampshire — 0.0% (b) | |
|
Housing — 0.0% (b) | |
| | |
New Hampshire Housing Finance Authority, Single Family Mortgage | | | | | | | | |
| | |
Series C, Rev., AMT, 4.00%, 1/1/2028 | | | 35 | | | | 36 | |
| | |
Series 2011A, Rev., AMT, 5.25%, 7/1/2028 | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 41 | |
| | | | | | | | |
| | |
Total New Hampshire | | | | | | | 41 | |
| | | | | | | | |
|
New Jersey — 5.3% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
County of Middlesex COP, 4.00%, 6/15/2022 | | | 110 | | | | 118 | |
| | | | | | | | |
|
Education — 0.9% | |
| | |
New Jersey Economic Development Authority, School Facilities Construction Series NN, Rev., 5.00%, 3/1/2024 | | | 150 | | | | 166 | |
| | |
New Jersey Educational Facilities Authority Series 2016B, Rev., 5.00%, 9/1/2036 | | | 105 | | | | 125 | |
| | |
New Jersey Educational Facilities Authority, Green Bonds Series 2020A, Rev., 5.00%, 7/1/2045 (f) | | | 3,500 | | | | 4,552 | |
| | | | | | | | |
| | |
| | | | | | | 4,843 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
Livingston Township School District GO, 4.00%, 7/15/2020 | | | 80 | | | | 81 | |
| | |
Township of South Brunswick GO, 5.00%, 7/1/2020 | | | 30 | | | | 30 | |
| | | | | | | | |
| | |
| | | | | | | 111 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048 | | | 880 | | | | 989 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.6% | |
| | |
New Jersey Economic Development Authority, Biomedical Research Facilities Series 2016A, Rev., 5.00%, 7/15/2027 | | | 240 | | | | 291 | |
| | |
New Jersey Economic Development Authority, College Avenue Redevelopment Project Rev., 5.00%, 6/15/2020 | | | 60 | | | | 61 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — continued | |
| | |
New Jersey Economic Development Authority, State House Project Series 2017B, Rev., 4.13%, 6/15/2039 | | | 2,800 | | | | 3,264 | |
| | | | | | | | |
| | |
| | | | | | | 3,616 | |
| | | | | | | | |
|
Other Revenue — 0.8% | |
| | |
Gloucester County Improvement Authority (The), Landfill Project Series 2016A, Rev., GTD, 4.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
Monmouth County Improvement Authority Rev., GTD, 5.00%, 12/1/2020 | | | 60 | | | | 62 | |
| | |
Morris County Improvement Authority, Morris County General Obligation Bond Project Rev., GTD, 4.00%, 5/1/2020 | | | 20 | | | | 20 | |
| | |
Tobacco Settlement Financing Corp. | | | | | | | | |
| | |
Series A, Rev., 4.00%, 6/1/2037 | | | 1,000 | | | | 1,150 | |
| | |
Series A, Rev., 5.00%, 6/1/2046 | | | 1,000 | | | | 1,217 | |
| | |
Series A, Rev., 5.25%, 6/1/2046 | | | 1,500 | | | | 1,860 | |
| | | | | | | | |
| | |
| | | | | | | 4,334 | |
| | | | | | | | |
|
Transportation — 2.8% | |
| | |
New Jersey Transportation Trust Fund Authority Series BB, Rev., 4.00%, 6/15/2038 | | | 1,500 | | | | 1,724 | |
| | |
New Jersey Transportation Trust Fund Authority, Capital Appreciation, Transportation Systems Series A, Rev., Zero Coupon, 12/15/2036 | | | 10,355 | | | | 6,680 | |
| | |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement | | | | | | | | |
| | |
Series A-1, Rev., 5.00%, 6/15/2027 | | | 2,670 | | | | 3,231 | |
| | |
Series A, Rev., 5.00%, 6/15/2031 | | | 3,000 | | | | 3,589 | |
| | | | | | | | |
| | |
| | | | | | | 15,224 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 29,235 | |
| | | | | | | | |
|
New Mexico — 0.2% | |
|
Housing — 0.2% | |
| | |
New Mexico Mortgage Finance Authority, Single Family Mortgage Program | | | | | | | | |
| | |
Series A, Class I, Rev., GNMA/FNMA/FHLMC, 5.00%, 9/1/2030 | | | 10 | | | | 10 | |
| | |
Series 2012A, Class I, Rev., GNMA/FNMA/FHLMC, 4.25%, 3/1/2043 | | | 105 | | | | 107 | |
| | |
Series B-1, Rev., AMT, GNMA/FNMA/FHLMC, 3.75%, 3/1/2048 | | | 540 | | | | 590 | |
| | | | | | | | |
| | |
| | | | | | | 707 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
New Mexico Finance Authority, State Transportation, Senior Lien Series 2010B, Rev., 5.00%, 6/15/2024 | | | 100 | | | | 101 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Roswell, Joint Water and Sewer System Series B, Rev., 4.00%, 6/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 828 | |
| | | | | | | | |
|
New York — 10.0% | |
|
Education — 0.9% | |
| | |
Monroe County Industrial Development Corp., University of Rochester Series 2017C, Rev., 4.00%, 7/1/2033 | | | 60 | | | | 71 | |
| | |
New York State Dormitory Authority | | | | | | | | |
| | |
Series 2015B, Rev., 5.00%, 7/1/2026 | | | 15 | | | | 18 | |
| | |
Series 2018C, Rev., 5.00%, 3/15/2038 | | | 1,250 | | | | 1,598 | |
| | |
Series 2019A, Rev., 4.00%, 7/1/2045 | | | 2,000 | | | | 2,408 | |
| | |
New York State Dormitory Authority, Cornell University Series 2019D, Rev., 5.00%, 7/1/2036 | | | 640 | | | | 964 | |
| | |
Tompkins County Development Corp., Ithaca College Rev., 5.00%, 7/1/2032 | | | 80 | | | | 101 | |
| | | | | | | | |
| | |
| | | | | | | 5,160 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
County of Rockland Series B, GO, AGM, 5.00%, 9/1/2027 | | | 10 | | | | 13 | |
| | |
Homer Central School District GO, 4.00%, 3/15/2020 | | | 30 | | | | 30 | |
| | |
Springville-Griffith Institute Central School District GO, 3.00%, 6/15/2021 | | | 25 | | | | 26 | |
| | |
Sweet Home Central School District Series A, GO, 4.00%, 7/15/2020 | | | 15 | | | | 15 | |
| | |
Town of Greenburgh, Public Improvement GO, 5.00%, 4/15/2020 | | | 25 | | | | 25 | |
| | |
Town of Orangetown, Rockland County, Sparkill-Palisades Fire District | | | | | | | | |
| | |
GO, AGM, 4.00%, 11/15/2040 | | | 220 | | | | 247 | |
| | |
GO, AGM, 4.00%, 11/15/2041 | | | 205 | | | | 230 | |
| | |
GO, AGM, 4.00%, 11/15/2042 | | | 315 | | | | 352 | |
| | |
GO, AGM, 4.00%, 11/15/2043 | | | 325 | | | | 363 | |
| | |
Village of Tuxedo Park GO, 4.00%, 8/1/2031 | | | 45 | | | | 54 | |
| | | | | | | | |
| | |
| | | | | | | 1,355 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
New York Mortgage Agency, Homeowner Mortgage Series 197, Rev., 3.50%, 10/1/2044 | | | 340 | | | | 360 | |
| | | | | | | | |
|
Other Revenue — 1.8% | |
| | |
Erie County Fiscal Stability Authority, Sales Tax and State Aid Secured Series 2013A, Rev., 3.00%, 3/15/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2011 Series C, Rev., 5.00%, 11/1/2021 | | | 170 | | | | 175 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2019 Series A, SubseriesA-1, Rev., 5.00%, 8/1/2040 | | | 5,000 | | | | 6,356 | |
| | |
New York State Urban Development Corp., State Sales Tax Series 2019A, Rev., 5.00%, 3/15/2041 | | | 2,000 | | | | 2,618 | |
| | |
TSASC, Inc., Tobacco Settlement Series B, Rev., 5.00%, 6/1/2020 | | | 500 | | | | 505 | |
| | |
Westchester Tobacco Asset Securitization Series 2016B, Rev., 5.00%, 6/1/2025 | | | 130 | | | | 153 | |
| | | | | | | | |
| | |
| | | | | | | 9,827 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Canton Capital Resource Corp., Grasse River Series A, Rev., AGM, 4.13%, 5/1/2024 (d) | | | 5 | | | | 5 | |
| | |
Metropolitan Transportation Authority Series H, Rev., 5.00%, 11/15/2030 (d) | | | 70 | | | | 78 | |
| | | | | | | | |
| | |
| | | | | | | 83 | |
| | | | | | | | |
|
Special Tax — 0.8% | |
| | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2011A, Rev., 5.00%, 3/15/2020 | | | 50 | | | | 50 | |
| | |
New York State Thruway Authority, State Personal Income Tax Series A, Rev., 5.00%, 3/15/2020 | | | 25 | | | | 25 | |
| | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | | | | | | | | |
| | |
Series 2013D, Rev., 5.00%, 3/15/2020 | | | 30 | | | | 30 | |
| | |
Series 2019A, Rev., 5.00%, 3/15/2042 | | | 3,500 | | | | 4,423 | |
| | | | | | | | |
| | |
| | | | | | | 4,528 | |
| | | | | | | | |
|
Transportation — 3.0% | |
| | |
Metropolitan Transportation Authority Series D, Rev., 5.00%, 11/15/2031 | | | 400 | | | | 498 | |
| | |
New York State Thruway Authority Series 2019B, Rev., 4.00%, 1/1/2037 | | | 3,000 | | | | 3,640 | |
| | |
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia Airport Terminals C&D Redevelopment Project | | | | | | | | |
| | |
Rev., AMT, 4.00%, 1/1/2036 | | | 1,500 | | | | 1,704 | |
| | |
Rev., AMT, 5.00%, 1/1/2036 | | | 1,125 | | | | 1,387 | |
| | |
Port Authority of New York and New Jersey Series 188, Rev., AMT, 5.00%, 5/1/2024 | | | 50 | | | | 58 | |
| | |
Port Authority of New York and New Jersey, Consolidated, 93rd Series Series 93, Rev., 6.13%, 6/1/2094 | | | 7,470 | | | | 9,031 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 73 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — continued | |
| | |
Triborough Bridge and Tunnel Authority Series 2018B, Rev., 5.00%, 11/15/2031 | | | 75 | | | | 107 | |
| | | | | | | | |
| | |
| | | | | | | 16,425 | |
| | | | | | | | |
|
Utility — 0.9% | |
| | |
Utility Debt Securitization Authority Series 2013TE, Rev., 5.00%, 12/15/2041 | | | 4,250 | | | | 4,881 | |
| | | | | | | | |
|
Water & Sewer — 2.2% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Fiscal Year 2012 Series B, Subseries B-2, Rev., VRDO, LIQ: State Street Bank & Trust, 1.25%, 3/2/2020 (c) | | | 10,000 | | | | 10,000 | |
| | |
New York State Environmental Facilities Corp. Series B, Rev., 5.50%, 10/15/2020 (d) | | | 40 | | | | 41 | |
| | |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects — Second Resolution Series 2017A, Rev., 5.00%, 6/15/2037 | | | 1,750 | | | | 2,215 | |
| | | | | | | | |
| | |
| | | | | | | 12,256 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 54,875 | |
| | | | | | | | |
|
North Carolina — 3.1% | |
|
Education — 0.6% | |
| | |
North Carolina Capital Facilities Finance Agency, Meredith College | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2027 | | | 1,060 | | | | 1,292 | |
| | |
Rev., 5.00%, 6/1/2028 | | | 905 | | | | 1,100 | |
| | |
Rev., 5.00%, 6/1/2029 | | | 350 | | | | 424 | |
| | |
Rev., 5.00%, 6/1/2030 | | | 450 | | | | 542 | |
| | | | | | | | |
| | |
| | | | | | | 3,358 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
City of High Point GO, 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
City of Winston-Salem Series B, GO, 4.00%, 6/1/2030 | | | 10 | | | | 12 | |
| | |
County of Iredell Series 2015C, GO, 5.00%, 4/1/2020 | | | 25 | | | | 25 | |
| | |
County of Lee GO, 5.00%, 4/1/2020 | | | 50 | | �� | | 50 | |
| | |
County of Union Series A, GO, 5.00%, 3/1/2020 | | | 40 | | | | 40 | |
| | |
State of North Carolina | | | | | | | | |
| | |
Series D, GO, 4.00%, 6/1/2020 | | | 30 | | | | 30 | |
| | |
Series 2016B, GO, 5.00%, 6/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 207 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
North Carolina Housing Finance Agency, Homeownership | | | | | | | | |
| | |
Series 2, Rev., 4.25%, 1/1/2028 | | | 10 | | | | 10 | |
| | |
Series 1, Rev., AMT, 4.50%, 7/1/2028 | | | 25 | | | | 26 | |
| | |
Series A, Rev., AMT, 3.50%, 7/1/2039 | | | 275 | | | | 288 | |
| | | | | | | | |
| | |
| | | | | | | 324 | |
| | | | | | | | |
|
Other Revenue — 1.9% | |
| | |
City of Monroe, Enterprise System Rev., 4.00%, 3/1/2020 | | | 75 | | | | 75 | |
| | |
City of Raleigh Series A, Rev., 4.00%, 10/1/2022 | | | 30 | | | | 33 | |
| | |
City of Wilmington Rev., 5.00%, 6/1/2020 | | | 25 | | | | 25 | |
| | |
County of Burke | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 4/1/2025 | | | 15 | | | | 18 | |
| | |
Series 2018, Rev., 5.00%, 4/1/2031 | | | 25 | | | | 31 | |
| | |
State of North Carolina Rev., GRAN, 5.00%, 3/1/2033 | | | 7,735 | | | | 10,124 | |
| | |
Town of Fuquay-Varina Rev., 5.00%, 11/1/2030 | | | 10 | | | | 13 | |
| | | | | | | | |
| | |
| | | | | | | 10,319 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
North Carolina Medical Care Commission, Duke University Health Systems Series A, Rev., 4.75%, 6/1/2035 (d) | | | 5 | | | | 5 | |
| | |
University of North Carolina at Charlotte (The)Series B-1, Rev., 4.00%, 10/1/2025 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 10 | |
| | | | | | | | |
|
Transportation — 0.5% | |
| | |
North Carolina Turnpike Authority Rev., 5.00%, 7/1/2021 | | | 35 | | | | 37 | |
| | |
Raleigh Durham Airport Authority | | | | | | | | |
| | |
Series 2020A, Rev., AMT, 5.00%, 5/1/2035 | | | 1,000 | | | | 1,335 | |
| | |
Series 2020A, Rev., AMT, 5.00%, 5/1/2036 | | | 1,000 | | | | 1,332 | |
| | | | | | | | |
| | |
| | | | | | | 2,704 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Charlotte Rev., 5.00%, 7/1/2029 | | | 10 | | | | 12 | |
| | |
City of Greensborough, Combined Water & Sewer System Rev., 5.00%, 6/1/2027 | | | 10 | | | | 13 | |
| | | | | | | �� | |
| | |
| | | | | | | 25 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 16,947 | |
| | | | | | | | |
|
North Dakota — 0.1% | |
|
Housing — 0.1% | |
| | |
North Dakota Housing Finance Agency, Home Mortgage Finance Program | | | | | | | | |
| | |
Series B, Rev., 4.50%, 1/1/2028 | | | 80 | | | | 83 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 74 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Housing — continued | | | | | | | | |
| | |
Series 2011D, Rev., 4.25%, 7/1/2028 | | | 45 | | | | 46 | |
| | |
Series A, Rev., 4.00%, 7/1/2034 | | | 230 | | | | 242 | |
| | |
Series 2016D, Rev., 3.50%, 7/1/2046 | | | 400 | | | | 428 | |
| | | | | | | | |
| | |
| | | | | | | 799 | |
| | | | | | | | |
| | |
Total North Dakota | | | | | | | 799 | |
| | | | | | | | |
|
Ohio — 3.5% | |
|
Education — 0.0% (b) | |
| | |
Miami University, A State University of Ohio Rev., 5.00%, 9/1/2029 | | | 25 | | | | 31 | |
| | |
Ohio Higher Educational Facility Commission, Case Western Reserve University Project Series 2012A, Rev., 5.00%, 12/1/2020 | | | 10 | | | | 10 | |
| | | | | | | | |
| | |
| | | | | | | 41 | |
| | | | | | | | |
|
General Obligation — 1.8% | |
| | |
Athens City School District Series 2019A, GO, 4.00%, 12/1/2040 | | | 460 | | | | 542 | |
| | |
County of Union, Memorial Hospital GO, 4.00%, 12/1/2041 | | | 1,825 | | | | 2,094 | |
| | |
Delaware City School District, School Facilities Construction and Improvement GO, 4.00%, 12/1/2039 | | | 160 | | | | 192 | |
| | |
Licking Heights Local School District, School Facilities Construction and Improvement Series A, GO, 4.00%, 10/1/2034 | | | 10 | | | | 12 | |
| | |
State of Ohio | | | | | | | | |
| | |
Series A, GO, 5.00%, 5/1/2031 | | | 4,000 | | | | 5,074 | |
| | |
Series A, GO, 5.00%, 5/1/2033 | | | 1,500 | | | | 1,896 | |
| | |
State of Ohio, Higher Education Series B, GO, 5.00%, 8/1/2023 | | | 110 | | | | 121 | |
| | | | | | | | |
| | |
| | | | | | | 9,931 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group Series A, Rev., 5.50%, 7/1/2039 | | | 1,000 | | | | 1,131 | |
| | |
County of Warren, Otterbein Homes | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2031 | | | 115 | | | | 139 | |
| | |
Series A, Rev., 4.00%, 7/1/2045 | | | 740 | | | | 832 | |
| | | | | | | | |
| | |
| | | | | | | 2,102 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
County of Warren, Otterbein Homes Obligated Group Series 2016A, Rev., 5.00%, 7/1/2032 | | | 35 | | | | 42 | |
| | |
Ohio Housing Finance Agency, Single Family Mortgage | | | | | | | | |
| | |
Series 1, Rev., GNMA/FNMA/FHLMC, 4.80%, 11/1/2028 | | | 20 | | | | 20 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — continued | |
| | |
Series 3, Rev., GNMA/FNMA/FHLMC, 4.50%, 11/1/2029 | | | 60 | | | | 62 | |
| | | | | | | | |
| | |
| | | | | | | 124 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Buckeye Tobacco Settlement Financing AuthoritySeries 2020A-2, Class I, Rev., 4.00%, 6/1/2048 | | | 3,210 | | | | 3,677 | |
| | | | | | | | |
|
Prerefunded — 0.4% | |
| | |
Greenville City School District, School Improvement | | | | | | | | |
| | |
GO, 5.25%, 1/1/2038 (d) | | | 1,000 | | | | 1,081 | |
| | |
GO, 5.25%, 1/1/2041 (d) | | | 1,000 | | | | 1,081 | |
| | |
Ohio Higher Educational Facility Commission Rev., 5.00%, 7/1/2044 (d) | | | 5 | | | | 5 | |
| | |
Streetsboro City School District Series A, GO, 4.00%, 12/1/2036 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 2,172 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Ohio Turnpike and Infrastructure Commission, Junior Lien Series 2020A, Rev., 3.22%, 2/15/2048 | | | 1,000 | | | | 1,046 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (c) | | | 100 | | | | 102 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 19,195 | |
| | | | | | | | |
|
Oklahoma — 0.9% | |
|
Hospital — 0.2% | |
| | |
Oklahoma Development Finance Authority, Health System, Ou Medicine Project Series 2018B, Rev., AGM, 4.00%, 8/15/2048 | | | 700 | | | | 794 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Oklahoma Housing Finance Agency, Single Family Mortgage, Homeownership Loan Program | | | | | | | | |
| | |
Series 2011B, Rev., GNMA COLL, 4.50%, 9/1/2027 | | | 35 | | | | 36 | |
| | |
Series A, Rev., GNMA COLL, 4.75%, 3/1/2028 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 56 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Grand River Dam Authority Series A, Rev., 4.00%, 6/1/2022 | | | 10 | | | | 11 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 75 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — 0.7% | |
| | |
Oklahoma Development Finance Authority (The), Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023 | | | 2,000 | | | | 2,014 | |
| | |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series 2017A, Rev., 5.00%, 1/1/2037 | | | 1,665 | | | | 2,017 | |
| | | | | | | | |
| | |
| | | | | | | 4,031 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 4,892 | |
| | | | | | | | |
|
Oregon — 0.7% | |
|
General Obligation — 0.0% (b) | |
| | |
City of Sheridan GO, 4.00%, 12/1/2027 | | | 10 | | | | 12 | |
| | |
Clackamas County School District No. 7J Lake Oswego GO, 4.00%, 6/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 37 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
State of Oregon, Department of Transportation, User Tax Series 2013A, Rev., 5.00%, 11/15/2022 | | | 5 | | | | 6 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Eugene, Electric Utility System Series 2016A, Rev., 4.00%, 8/1/2031 | | | 325 | | | | 377 | |
| | | | | | | | |
|
Water & Sewer — 0.6% | |
| | |
City of Portland, Water System, Second Lien Series 2020A, Rev., 5.00%, 5/1/2035 | | | 2,635 | | | | 3,531 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 3,951 | |
| | | | | | | | |
|
Pennsylvania — 11.3% | |
|
Certificate of Participation/Lease — 0.2% | |
| | |
Commonwealth of Pennsylvania Series A, COP, 4.00%, 7/1/2046 | | | 1,200 | | | | 1,367 | |
| | | | | | | | |
|
Education — 0.4% | |
| | |
Montgomery County Higher Education and Health Authority, Arcadia University Rev., 4.00%, 9/1/2036 | | | 1,655 | | | | 1,959 | |
| | |
Northampton County General Purpose Authority, Moravian College Project Rev., 5.00%, 10/1/2036 | | | 100 | | | | 117 | |
| | |
Swarthmore Borough Authority, Swarthmore College | | | | | | | | |
| | |
Rev., 5.00%, 9/15/2023 | | | 25 | | | | 29 | |
| | |
Series 2016B, Rev., 4.00%, 9/15/2041 | | | 15 | | | | 17 | |
| | | | | | | | |
| | |
| | | | | | | 2,122 | |
| | | | | | | | |
|
General Obligation — 1.7% | |
| | |
Abington School District Series 2017A, GO, 4.00%, 10/1/2037 | | | 15 | | | | 17 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Central Dauphin School District GO, 4.00%, 2/1/2030 | | | 25 | | | | 29 | |
| | |
City of Pittsburgh GO, 4.00%, 9/1/2031 | | | 1,155 | | | | 1,355 | |
| | |
Commonwealth of Pennsylvania Series 2004, GO, AGM, 5.38%, 7/1/2020 | | | 150 | | | | 152 | |
| | |
County of Cambria Series 2020B, GO, AGM, 4.00%, 8/1/2035 | | | 700 | | | | 793 | |
| | |
Mifflinburg Area School District | | | | | | | | |
| | |
Series 2020A, GO, 4.00%, 6/15/2038 (f) | | | 620 | | | | 721 | |
| | |
Series 2020A, GO, 4.00%, 6/15/2039 (f) | | | 335 | | | | 389 | |
| | |
Series 2020A, GO, 4.00%, 6/15/2040 (f) | | | 400 | | | | 464 | |
| | |
North Penn School District Series A, GO, 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
The School Board of Philadelphia County Series B, GO, AGM, 4.00%, 9/1/2043 | | | 1,250 | | | | 1,433 | |
| | |
Township of Cranberry GO, 4.00%, 3/1/2020 | | | 50 | | | | 50 | |
| | |
Township of West Bradford | | | | | | | | |
| | |
GO, 4.00%, 12/15/2040 (f) | | | 600 | | | | 702 | |
| | |
GO, 4.00%, 12/15/2045 (f) | | | 1,100 | | | | 1,274 | |
| | |
Upper Merion Area School District GO, 5.00%, 1/15/2036 | | | 250 | | | | 303 | |
| | |
West Mifflin School District GO, 3.00%, 4/1/2038 | | | 1,400 | | | | 1,492 | |
| | | | | | | | |
| | |
| | | | | | | 9,199 | |
| | | | | | | | |
|
Hospital — 3.4% | |
| | |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018A, Rev., 4.00%, 4/1/2044 | | | 2,000 | | | | 2,266 | |
| | |
Berks County Industrial Development Authority, Tower Health Project | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2036 | | | 50 | | | | 62 | |
| | |
Rev., 5.00%, 11/1/2037 | | | 430 | | | | 529 | |
| | |
Berks County Municipal Authority (The), Tower Health ProjectSeries 2020B-2, Rev., 5.00%, 2/1/2027 (c) | | | 2,000 | | | | 2,503 | |
| | |
Chester County Health and Education Facilities Authority, Main Line Health System Series 2017A, Rev., 4.00%, 10/1/2036 | | | 25 | | | | 29 | |
| | |
DuBois Hospital Authority, Penn Highlands Healthcare Rev., 4.00%, 7/15/2048 | | | 1,200 | | | | 1,345 | |
| | |
Lancaster County Hospital Authority, Health Center, Masonic Villages Project | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2034 | | | 35 | | | | 42 | |
| | |
Rev., 5.00%, 11/1/2036 | | | 510 | | | | 613 | |
| | |
Rev., 5.00%, 11/1/2037 | | | 250 | | | | 300 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University | | | | | | | | |
| | |
Series 2018A, Rev., 4.00%, 9/1/2038 | | | 3,725 | | | | 4,324 | |
| | |
Series 2018A, Rev., 4.00%, 9/1/2043 | | | 3,740 | | | | 4,280 | |
| | |
West Cornwall Township Municipal Authority, Pleasant View Retirement Community Project | | | | | | | | |
| | |
Rev., 3.00%, 12/15/2023 | | | 445 | | | | 453 | |
| | |
Rev., 4.00%, 12/15/2028 | | | 1,000 | | | | 1,109 | |
| | |
Rev., 5.00%, 12/15/2038 | | | 750 | | | | 848 | |
| | | | | | | | |
| | |
| | | | | | | 18,703 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Pennsylvania Housing Finance Agency, Single Family Mortgage | | | | | | | | |
| | |
Series 2011- 112, Rev., AMT, 5.00%, 4/1/2028 | | | 20 | | | | 21 | |
| | |
Series 118A, Rev., AMT, 3.50%, 4/1/2040 | | | 580 | | | | 599 | |
| | |
Series 122, Rev., AMT, 4.00%, 10/1/2046 | | | 375 | | | | 403 | |
| | | | | | | | |
| | |
| | | | | | | 1,023 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.5% | |
| | |
Chester County Industrial Development Authority, Longwood Gardens Project Rev., 4.00%, 12/1/2049 | | | 3,345 | | | | 3,874 | |
| | |
Montgomery County Industrial Development Authority, ACTS Retirement-Life Communities, Inc. Obligated Group Rev., 5.00%, 11/15/2025 | | | 510 | | | | 552 | |
| | |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project | | | | | | | | |
| | |
Series 2019, Rev., 5.00%, 12/1/2044 | | | 350 | | | | 418 | |
| | |
Series 2019, Rev., 5.00%, 12/1/2049 | | | 500 | | | | 595 | |
| | |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project Rev., 2.80%, 12/1/2021 (c) | | | 2,950 | | | | 3,044 | |
| | | | | | | | |
| | |
| | | | | | | 8,483 | |
| | | | | | | | |
|
Other Revenue — 2.1% | |
| | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., AGM, 4.00%, 6/1/2039 | | | 9,950 | | | | 11,422 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Commonwealth of Pennsylvania GO, 5.00%, 5/1/2021 (d) | | | 25 | | | | 25 | |
| | |
Delaware County Authority, Haverford College Rev., 4.25%, 11/15/2022 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
Prerefunded — continued | |
| | |
Pennsylvania Higher Educational Facilities Authority | | | | | | | | |
| | |
Rev., 4.50%, 3/1/2029 (d) | | | 5 | | | | 5 | |
| | |
Rev., 4.50%, 3/1/2030 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 40 | |
| | | | | | | | |
|
Transportation — 1.2% | |
| | |
Pennsylvania Turnpike Commission | | | | | | | | |
| | |
Series E, Rev., 6.00%, 12/1/2030 | | | 305 | | | | 403 | |
| | |
Series A, Rev., 5.00%, 12/1/2044 | | | 5,000 | | | | 6,270 | |
| | | | | | | | |
| | |
| | | | | | | 6,673 | |
| | | | | | | | |
|
Water & Sewer — 0.6% | |
| | |
Erie City Water Authority Series A, Rev., AGM, 5.00%, 12/1/2043 | | | 1,500 | | | | 1,891 | |
| | |
Pittsburgh Water and Sewer Authority Series B, Rev., AGM, 5.00%, 9/1/2032 | | | 1,000 | | | | 1,396 | |
| | | | | | | | |
| | |
| | | | | | | 3,287 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 62,319 | |
| | | | | | | | |
|
Rhode Island — 0.1% | |
|
Education — 0.0% (b) | |
| | |
Rhode Island Health and Educational Building Corp., Public Schools Series A, Rev., AGM, 5.00%, 5/15/2032 | | | 25 | | | | 32 | |
| | |
Rhode Island Student Loan Authority, Senior Series A, Rev., AMT, 5.00%, 12/1/2020 | | | 300 | | | | 309 | |
| | | | | | | | |
| | |
| | | | | | | 341 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Pawtucket Series D, GO, AGM, 5.00%, 7/15/2028 | | | 200 | | | | 259 | |
| | |
State of Rhode Island and Providence Plantations, Consolidated Capital Development Loan of 2013 Series A, GO, 3.50%, 10/1/2020 | | | 100 | | | | 101 | |
| | | | | | | | |
| | |
| | | | | | | 360 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 701 | |
| | | | | | | | |
|
South Carolina — 2.2% | |
|
General Obligation — 1.4% | |
| | |
Fort Mill School District No. 4 | | | | | | | | |
| | |
Series 2013B, GO, SCSDE, 5.00%, 3/1/2020 | | | 65 | | | | 65 | |
| | |
Series 2019B, GO, SCSDE, 5.00%, 3/1/2020 | | | 50 | | | | 50 | |
| | |
Lexington County School District No. 1 Series 2013A, GO, SCSDE, 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
Spartanburg County School District No. 7 | | | | | | | | |
| | |
Series 2019D, GO, SCSDE, 5.00%, 3/1/2043 | | | 4,000 | | | | 5,140 | |
| | |
Series 2019D, GO, SCSDE, 5.00%, 3/1/2044 | | | 1,970 | | | | 2,526 | |
| | | | | | | | |
| | |
| | | | | | | 7,806 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 77 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Housing — 0.1% | |
| | |
South Carolina State Housing Finance and Development Authority Series A, Rev., 4.00%, 1/1/2047 | | | 295 | | | | 317 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
City of North Charleston 4.00%, 10/1/2040 | | | 90 | | | | 106 | |
| | |
Greenville Public Facilities Corp. Rev., 5.00%, 4/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 126 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
South Carolina Ports Authority Rev., 5.25%, 7/1/2040 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
South Carolina State Ports Authority Rev., AMT, 4.00%, 7/1/2040 | | | 1,095 | | | | 1,210 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
City of Greenwood, Combined Public Utility | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2020 | | | 210 | | | | 216 | |
| | |
Rev., 5.00%, 12/1/2022 | | | 235 | | | | 261 | |
| | |
Rev., 5.00%, 12/1/2023 | | | 220 | | | | 253 | |
| | |
Rev., 5.00%, 12/1/2024 | | | 365 | | | | 432 | |
| | |
Rev., 5.00%, 12/1/2026 | | | 340 | | | | 425 | |
| | |
Rev., 5.00%, 12/1/2028 | | | 250 | | | | 327 | |
| | |
Rev., 5.00%, 12/1/2030 | | | 675 | | | | 895 | |
| | | | | | | | |
| | |
| | | | | | | 2,809 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Greenwood Metropolitan District Rev., 5.00%, 10/1/2027 | | | 10 | | | | 13 | |
| | |
Spartanburg Sanitary Sewer DistrictSeries 2009-A, Rev., AGC, 4.50%, 3/1/2020 (d) | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 38 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 12,311 | |
| | | | | | | | |
|
South Dakota — 0.6% | |
|
General Obligation — 0.5% | |
| | |
Rapid City Area School DistrictNo. 51-4, Capital Outlay | | | | | | | | |
| | |
GO, 4.00%, 8/1/2029 | | | 1,165 | | | | 1,365 | |
| | |
GO, 4.00%, 8/1/2030 | | | 610 | | | | 709 | |
| | |
GO, 4.00%, 8/1/2031 | | | 420 | | | | 487 | |
| | | | | | | | |
| | |
| | | | | | | 2,561 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
South Dakota Board of Regents, Housing and Auxiliary Facility System Series 2019A, Rev., 4.00%, 4/1/2036 | | | 65 | | | | 77 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — continued | |
| | |
South Dakota Housing Development Authority, Homeownership Mortgage | | | | | | | | |
| | |
Series D, Rev., AMT, 4.00%, 11/1/2029 | | | 215 | | | | 221 | |
| | |
Series 2012A, Rev., AMT, 4.50%, 5/1/2031 | | | 40 | | | | 42 | |
| | |
Series 2015D, Rev., 4.00%, 11/1/2045 | | | 400 | | | | 426 | |
| | |
South Dakota Housing Development Authority, Single Family Mortgage Series 2011 2, Rev., 4.25%, 5/1/2032 | | | 50 | | | | 51 | |
| | | | | | | | |
| | |
| | | | | | | 817 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 3,378 | |
| | | | | | | | |
|
Tennessee — 5.9% | |
|
Education — 0.0% (b) | |
| | |
Tennessee State School Bond Authority Series B, Rev., 5.00%, 11/1/2040 | | | 35 | | | | 42 | |
| | | | | | | | |
|
General Obligation — 3.6% | |
| | |
City of Cleveland | | | | | | | | |
| | |
Series 2018B, GO, 5.00%, 6/1/2022 | | | 205 | | | | 224 | |
| | |
Series 2018B, GO, 5.00%, 6/1/2027 | | | 245 | | | | 314 | |
| | |
Series 2018B, GO, 5.00%, 6/1/2028 | | | 260 | | | | 341 | |
| | |
Series 2018B, GO, 5.00%, 6/1/2030 | | | 285 | | | | 371 | |
| | |
Series 2018B, GO, 4.00%, 6/1/2031 | | | 300 | | | | 362 | |
| | |
Series 2018B, GO, 4.00%, 6/1/2032 | | | 310 | | | | 373 | |
| | |
Series 2018B, GO, 4.00%, 6/1/2038 | | | 395 | | | | 464 | |
| | |
Series 2018B, GO, 4.00%, 6/1/2039 | | | 410 | | | | 481 | |
| | |
City of Oak Ridge | | | | | | | | |
| | |
GO, 4.00%, 6/1/2037 | | | 695 | | | | 802 | |
| | |
GO, 4.00%, 6/1/2038 | | | 720 | | | | 828 | |
| | |
GO, 4.00%, 6/1/2039 | | | 750 | | | | 862 | |
| | |
County of Blount Series 2016B, GO, 5.00%, 6/1/2029 | | | 4,610 | | | | 5,723 | |
| | |
County of Hamilton | | | | | | | | |
| | |
Series 2013B, GO, 4.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
Series 2018A, GO, 5.00%, 4/1/2028 | | | 25 | | | | 33 | |
| | |
County of Williamson | | | | | | | | |
| | |
GO, 4.00%, 4/1/2033 | | | 1,490 | | | | 1,841 | |
| | |
GO, 4.00%, 4/1/2034 | | | 1,485 | | | | 1,824 | |
| | |
County of Wilson | | | | | | | | |
| | |
GO, 5.00%, 4/1/2030 | | | 3,625 | | | | 4,830 | |
| | |
Series 2017A, GO, 4.00%, 4/1/2039 | | | 25 | | | | 29 | |
| | | | | | | | |
| | |
| | | | | | | 19,727 | |
| | | | | | | | |
|
Hospital — 1.0% | |
| | |
Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group Series 2018A, Rev., 4.00%, 7/1/2040 | | | 4,000 | | | | 4,456 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Knox County Health Educational and Housing Facility Board, East Tennessee Children’s Hospital | | | | | | | | |
| | |
Rev., 5.00%, 11/15/2024 | | | 800 | | | | 945 | |
| | |
Rev., 4.00%, 11/15/2043 | | | 105 | | | | 120 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board Series A, Rev., 5.00%, 7/1/2035 | | | 100 | | | | 121 | |
| | | | | | | | |
| | |
| | | | | | | 5,642 | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Tennessee Housing Development Agency, Homeownership Program | | | | | | | | |
| | |
Series A, Rev., AMT, 4.50%, 7/1/2031 | | | 65 | | | | 67 | |
| | |
Series 1A, Rev., AMT, 4.50%, 1/1/2038 | | | 55 | | | | 57 | |
| | |
Tennessee Housing Development Agency, Housing Finance Program Series A, Rev., 4.50%, 1/1/2028 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 144 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
County of Claiborne, Public Improvement Series A, GO, 4.00%, 4/1/2022 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
|
Transportation — 0.5% | |
| | |
Metropolitan Nashville Airport Authority (The) | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2044 | | | 1,000 | | | | 1,312 | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2049 | | | 1,000 | | | | 1,304 | |
| | | | | | | | |
| | |
| | | | | | | 2,616 | |
| | | | | | | | |
|
Utility — 0.8% | |
| | |
Tennessee Energy Acquisition Corp., Gas Project Rev., 4.00%, 11/1/2025 (c) | | | 4,000 | | | | 4,588 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 32,764 | |
| | | | | | | | |
|
Texas — 6.2% | |
|
Education — 1.1% | |
| | |
Clifton Higher Education Finance Corp., Idea Public Schools | | | | | | | | |
| | |
Series B, Rev., 4.00%, 8/15/2023 | | | 500 | | | | 546 | |
| | |
Series B, Rev., 5.00%, 8/15/2024 | | | 345 | | | | 401 | |
| | |
Series 2016B, Rev., 5.00%, 8/15/2025 | | | 460 | | | | 550 | |
| | |
Rev., 6.00%, 8/15/2033 | | | 1,250 | | | | 1,451 | |
| | |
Permanent University Fund — Texas A&M University System Series A, Rev., 5.00%, 7/1/2031 | | | 210 | | | | 253 | |
| | |
Southwest Higher Education Authority, Inc., Southern Methodist University Project Rev., 5.00%, 10/1/2020 | | | 30 | | | | 31 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Hendrick Medical Center, Hospital Rev., 5.50%, 9/1/2043 | | | 2,300 | | | | 2,574 | |
| | |
Texas State University, Financing System Rev., 5.00%, 3/15/2020 | | | 95 | | | | 95 | |
| | |
Texas Woman’s University, Financing System Series 2016, Rev., 4.00%, 7/1/2030 | | | 10 | | | | 11 | |
| | | | | | | | |
| | |
| | | | | | | 5,912 | |
| | | | | | | | |
|
General Obligation — 1.4% | |
| | |
Calallen Independent School District, School Building Series 2018, GO, PSF-GTD, 5.00%, 2/15/2028 | | | 10 | | | | 13 | |
| | |
Carrollton-Farmers Branch Independent School District Series B, GO, 4.00%, 2/15/2021 | | | 25 | | | | 26 | |
| | |
City of Abilene GO, 5.00%, 2/15/2024 | | | 10 | | | | 12 | |
| | |
City of Austin, Public Improvement Series 2019, GO, 5.00%, 9/1/2033 | | | 2,000 | | | | 2,655 | |
| | |
City of Conroe Series 2018A, GO, 5.00%, 3/1/2032 | | | 10 | | | | 13 | |
| | |
City of El Paso | | | | | | | | |
| | |
GO, 4.00%, 8/15/2040 | | | 475 | | | | 526 | |
| | |
GO, 4.00%, 8/15/2042 | | | 25 | | | | 28 | |
| | |
GO, 4.00%, 8/15/2045 (f) | | | 1,000 | | | | 1,175 | |
| | |
City of Garland Series 2018, GO, 5.00%, 2/15/2027 | | | 10 | | | | 13 | |
| | |
City of Houston, Public Improvement Series 2014A, GO, 5.00%, 3/1/2020 | | | 35 | | | | 35 | |
| | |
City of Hutchins GO, 5.00%, 2/15/2027 | | | 180 | | | | 226 | |
| | |
City of Laredo | | | | | | | | |
| | |
GO, 5.00%, 2/15/2027 | | | 30 | | | | 36 | |
| | |
GO, 5.00%, 2/15/2032 | | | 40 | | | | 51 | |
| | |
City of Lucas, A Political Subdivision of the State of Texas Located in Collin County GO, 5.00%, 2/1/2028 | | | 170 | | | | 221 | |
| | |
City of Mission GO, AGM, 5.00%, 2/15/2031 | | | 575 | | | | 725 | |
| | |
City of Pearland GO, 4.00%, 3/1/2032 | | | 35 | | | | 41 | |
| | |
City of San Marcos GO, 5.00%, 8/15/2031 | | | 25 | | | | 32 | |
| | |
City of Temple Series 2016A, GO, 5.00%, 8/1/2031 | | | 50 | | | | 60 | |
| | |
City of Waxahachie Series A, GO, 5.00%, 8/1/2025 | | | 45 | | | | 54 | |
| | |
Community Independent School District GO, PSF-GTD, 5.00%, 2/15/2032 | | | 100 | | | | 128 | |
| | |
County of Collin, Wylie Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 8/15/2020 | | | 135 | | | | 134 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 79 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
County of Galveston GO, 4.00%, 2/1/2039 | | | 10 | | | | 12 | |
| | |
County of Hidalgo | | | | | | | | |
| | |
Series 2016, GO, 5.00%, 8/15/2028 | | | 10 | | | | 12 | |
| | |
GO, 4.00%, 8/15/2035 | | | 85 | | | | 99 | |
| | |
Series 2018B, GO, 4.00%, 8/15/2038 | | | 40 | | | | 47 | |
| | |
County of Travis, Certificate of Obligation Limited Tax GO, 5.00%, 3/1/2020 | | | 40 | | | | 40 | |
| | |
County of Travis, Limited Tax Refunding Series 2016A, GO, 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | |
County of Victoria, Limited Tax GO, 4.00%, 2/15/2030 | | | 15 | | | | 18 | |
| | |
Cypress-Fairbanks Independent School District Series 2013, GO, PSF-GTD, 5.00%, 2/15/2022 | | | 10 | | | | 11 | |
| | |
El Paso County Hospital District GO, AGM-CR, 5.00%, 8/15/2023 | | | 510 | | | | 573 | |
| | |
Ennis Independent School District GO, PSF-GTD, 5.00%, 8/15/2028 | | | 30 | | | | 38 | |
| | |
Harris Montgomery Counties Municipal Utility District No. 386 GO, 4.00%, 9/1/2023 | | | 15 | | | | 17 | |
| | |
Highland Park Independent School District GO, PSF-GTD, 5.00%, 2/15/2024 | | | 30 | | | | 35 | |
| | |
Ingleside Independent School District GO, PSF-GTD, 5.00%, 8/15/2028 | | | 35 | | | | 44 | |
| | |
Killeen Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 | | | 25 | | | | 31 | |
| | |
McLennan County Junior College District GO, 5.00%, 8/15/2020 | | | 20 | | | | 20 | |
| | |
Palestine Independent School District Series 2016, GO, PSF-GTD, 5.00%, 2/15/2026 | | | 30 | | | | 37 | |
| | |
Pasadena Independent School District, School Building Series 2018, GO, PSF-GTD, 5.00%, 2/15/2028 | | | 15 | | | | 20 | |
| | |
Plano Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 | | | 40 | | | | 49 | |
| | |
Red Oak Independent School District GO, PSF-GTD, 5.00%, 8/15/2030 | | | 20 | | | | 25 | |
| | |
Round Rock Independent School District GO, PSF-GTD, 4.00%, 8/1/2032 | | | 170 | | | | 198 | |
| | |
Socorro Independent School District GO, PSF-GTD, 5.00%, 2/15/2026 | | | 45 | | | | 55 | |
| | |
Stafford Municipal School District, School Building Series 2018, GO, PSF-GTD, 5.00%, 8/15/2029 | | | 35 | | | | 46 | |
| | | | | | | | |
| | |
| | | | | | | 7,656 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.0% (b) | |
| | |
Texas Department of Housing and Community Affairs, Residential Mortgage Series 2011B, Rev., GNMA COLL, 4.25%, 1/1/2034 | | | 120 | | | | 123 | |
| | | | | | | | |
|
Other Revenue — 0.5% | |
| | |
Texas Public Finance Authority Rev., 4.00%, 2/1/2035 | | | 2,315 | | | | 2,774 | |
| | | | | | | | |
|
Prerefunded — 0.8% | |
| | |
Dallas-Fort Worth International Airport, Joint Improvement Series A, Rev., 5.00%, 11/1/2042 (d) | | | 1,965 | | | | 2,019 | |
| | |
Metropolitan Transit Authority of Harris County, Vanderbilt University Medical Center Rev., 5.00%, 11/1/2027 (d) | | | 15 | | | | 18 | |
| | |
North Texas Tollway Authority System, Special Projects System Series A, Rev., 6.00%, 9/1/2041 (d) | | | 2,000 | | | | 2,153 | |
| | | | | | | | |
| | |
| | | | | | | 4,190 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Harris County, Senior Lien Series 2016A, Rev., 5.00%, 8/15/2022 | | | 10 | | | | 11 | |
| | |
North Texas Tollway Authority System, Second Tier Rev., 4.00%, 1/1/2038 | | | 200 | | | | 232 | |
| | | | | | | | |
| | |
| | | | | | | 243 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Bryan, Electric System Rev., AGM, 4.00%, 7/1/2031 | | | 50 | | | | 58 | |
| | |
City of San Antonio, Electric and Gas Systems | | | | | | | | |
| | |
Rev., 4.00%, 2/1/2028 | | | 45 | | | | 56 | |
| | |
Rev., 5.00%, 2/1/2031 | | | 230 | | | | 287 | |
| | |
Rev., 5.00%, 2/1/2032 | | | 35 | | | | 43 | |
| | | | | | | | |
| | |
| | | | | | | 444 | |
| | | | | | | | |
|
Water & Sewer — 2.3% | |
| | |
City of Fort Worth Rev., 4.00%, 2/15/2040 | | | 3,800 | | | | 4,428 | |
| | |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, 5.75%, 12/1/2032 (d) | | | 2,500 | | | | 3,863 | |
| | |
North Texas Municipal Water District, Upper East Fork Wastewater Interceptor System Series 2017, Rev., 5.00%, 6/1/2031 | | | 10 | | | | 13 | |
| | |
North Texas Municipal Water District, Wastewater System Rev., 4.00%, 6/1/2028 | | | 15 | | | | 18 | |
| | |
San Antonio Water System Series 2017A, Rev., 4.00%, 5/15/2034 | | | 60 | | | | 70 | |
| | |
Texas Water Development Board, State Water Implementation | | | | | | | | |
| | |
Series B, Rev., 5.00%, 4/15/2026 | | | 25 | | | | 31 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 80 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Water & Sewer — continued | | | | | | | | |
| | |
Series 2019A, Rev., 4.00%, 10/15/2037 | | | 500 | | | | 609 | |
| | |
Series 2019A, Rev., 4.00%, 10/15/2044 | | | 2,100 | | | | 2,507 | |
| | |
West Harris County Regional Water Authority Rev., 4.00%, 12/15/2045 | | | 1,000 | | | | 1,178 | |
| | | | | | | | |
| | |
| | | | | | | 12,717 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 34,059 | |
| | | | | | | | |
|
Utah — 0.2% | |
|
General Obligation — 0.0% (b) | |
| | |
Central Utah Water Conservancy District, Limited Tax Series 2011A, GO, 5.00%, 4/1/2020 | | | 20 | | | | 20 | |
| | |
City of Provo GO, 5.00%, 1/1/2032 | | | 10 | | | | 13 | |
| | |
Washington County School District Board of Education GO, 5.00%, 3/1/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 58 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Lehi, Sales Tax Rev., 4.00%, 6/1/2039 | | | 480 | | | | 563 | |
| | |
Tooele County Municipal Building Authority Series 2017, Rev., 4.00%, 12/15/2042 | | | 25 | | | | 28 | |
| | | | | | | | |
| | |
| | | | | | | 591 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Utah State Board of Regents, Auxiliary and Campus Facilities Series A, Rev., 5.00%, 4/1/2023 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Salt Lake City Corp. Airport Series 2017B, Rev., 5.00%, 7/1/2042 | | | 260 | | | | 321 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 975 | |
| | | | | | | | |
|
Vermont — 1.4% | |
|
Education — 0.9% | |
| | |
Vermont Student Assistance Corp., Education Loan | | | | | | | | |
| | |
Series A, Rev., AMT, 5.00%, 6/15/2022 | | | 725 | | | | 786 | |
| | |
Series 2018A, Rev., AMT, 3.63%, 6/15/2029 | | | 1,000 | | | | 1,087 | |
| | |
Series A, Rev., AMT, 3.75%, 6/15/2030 | | | 1,400 | | | | 1,526 | |
| | |
Series A, Rev., AMT, 4.00%, 6/15/2031 | | | 500 | | | | 551 | |
| | |
Series A, Rev., AMT, 4.00%, 6/15/2032 | | | 200 | | | | 220 | |
| | |
Series A, Rev., AMT, 4.00%, 6/15/2033 | | | 250 | | | | 275 | |
| | |
Series 2018A, Rev., AMT, 4.00%, 6/15/2034 | | | 200 | | | | 219 | |
| | | | | | | | |
| | |
| | | | | | | 4,664 | |
| | | | | | | | |
|
General Obligation — 0.4% | |
| | |
City of Burlington, Public Improvement | | | | | | | | |
| | |
Series 2019A, GO, 4.00%, 11/1/2037 | | | 500 | | | | 594 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2019A, GO, 4.00%, 11/1/2038 | | | 1,025 | | | | 1,214 | |
| | |
Series 2019A, GO, 4.00%, 11/1/2039 | | | 435 | | | | 515 | |
| | | | | | | | |
| | |
| | | | | | | 2,323 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Vermont Housing Finance Agency, Mortgage-Backed Securities Series A, Rev., AMT, GNMA/FNMA/FHLMC, 4.50%, 2/1/2026 | | | 50 | | | | 52 | |
| | |
Vermont Housing Finance Agency, Multiple Purpose | | | | | | | | |
| | |
Series B, Rev., AMT, 4.13%, 11/1/2042 | | | 235 | | | | 238 | |
| | |
Series A, Rev., AMT, 4.00%, 11/1/2046 | | | 250 | | | | 267 | |
| | | | | | | | |
| | |
| | | | | | | 557 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Vermont Municipal Bond Bank Series 1, Rev., 5.00%, 12/1/2034 | | | 30 | | | | 37 | |
| | | | | | | | |
| | |
Total Vermont | | | | | | | 7,581 | |
| | | | | | | | |
|
Virginia — 1.1% | |
|
Education — 0.0% (b) | |
| | |
Virginia College Building Authority, 21st Century College and Equipment Program Series 2017E, Rev., 5.00%, 2/1/2029 | | | 10 | | | | 13 | |
| | |
Virginia Public School Authority Series B, Rev., 5.00%, 8/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
| | |
| | | | | | | 33 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
City of Portsmouth Series 2015A, GO, 5.00%, 8/1/2025 | | | 20 | | | | 24 | |
| | |
City of Richmond, Public Improvement Series 2018A, GO, 5.00%, 3/1/2029 | | | 5 | | | | 7 | |
| | | | | | | | |
| | |
| | | | | | | 31 | |
| | | | | | | | |
|
Hospital — 0.9% | |
| | |
Norfolk Economic Development Authority, Sentara Healthcare Series B, Rev., 4.00%, 11/1/2048 | | | 4,375 | | | | 5,104 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Virginia Public Building Authority Series B, Rev., 5.00%, 8/1/2020 | | | 10 | | | | 10 | |
| | |
Virginia Resources Authority, Infrastructure Series 2017B, Rev., 5.00%, 11/1/2028 | | | 10 | | | | 13 | |
| | |
Virginia Resources Authority, Infrastructure and State Moral Obligation | | | | | | | | |
| | |
Series 2011B, Rev., 5.00%, 11/1/2023 | | | 25 | | | | 27 | |
| | |
Series B, Rev., 5.00%, 11/1/2026 | | | 20 | | | | 21 | |
| | | | | | | | |
| | |
| | | | | | | 71 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 81 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
County of Loudoun, Public Improvement Series A, GO, 4.00%, 12/1/2027 (d) | | | 5 | | | | 5 | |
| | |
Virginia Resources Authority, Infrastructure and State Moral Obligation | | | | | | | | |
| | |
Series B, Rev., 5.00%, 11/1/2023 (d) | | | 125 | | | | 134 | |
| | |
Series B, Rev., 5.00%, 11/1/2026 (d) | | | 155 | | | | 166 | |
| | | | | | | | |
| | |
| | | | | | | 305 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Capital Region Airport Commission (Richmond International Airport) | | | | | | | | |
| | |
Series 2016A, Rev., 4.00%, 7/1/2035 | | | 350 | | | | 400 | |
| | |
Series 2016A, Rev., 4.00%, 7/1/2036 | | | 320 | | | | 365 | |
| | | | | | | | |
| | |
| | | | | | | 765 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 6,309 | |
| | | | | | | | |
|
Washington — 1.1% | |
|
Education — 0.4% | |
| | |
Western Washington University, Housing and Dining System, Junior Lien Series A, Rev., AMBAC, 5.50%, 10/1/2022 | | | 2,195 | | | | 2,321 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
King County School District No. 414 Lake Washington Series 2017, GO, 5.00%, 12/1/2028 | | | 15 | | | | 19 | |
| | |
Pierce & Lewis Counties School District No. 404 GO, 4.00%, 12/1/2025 | | | 5 | | | | 6 | |
| | |
Pierce County School District No. 416 White River GO, 4.00%, 12/1/2030 | | | 10 | | | | 12 | |
| | |
State of Washington, Motor Vehicle Fuel TaxSeries B-1, GO, 5.00%, 8/1/2020 | | | 25 | | | | 25 | |
| | |
State of Washington, Various Purpose Series 2018C, GO, 5.00%, 2/1/2042 | | | 1,295 | | | | 1,629 | |
| | | | | | | | |
| | |
| | | | | | | 1,691 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Washington Health Care Facilities Authority, Commonspirit HealthSeries A-1, Rev., 5.00%, 8/1/2031 | | | 1,000 | | | | 1,285 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Washington State Housing Finance Commission, Homeownership Program Series B, Rev., GNMA/FNMA/FHLMC, 4.25%, 10/1/2032 | | | 205 | | | | 208 | |
| | |
Washington State Housing Finance Commission, Single Family ProgramSeries 2A-R, Rev., AMT, 3.50%, 12/1/2046 | | | 290 | | | | 303 | |
| | | | | | | | |
| | |
| | | | | | | 511 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
County of King Rev., 5.00%, 1/1/2045 (d) | | | 5 | | | | 5 | |
| | |
Vancouver Housing Authority Series A, Rev., 5.00%, 3/1/2025 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 10 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Chelan County Public Utility District No. 1 Series 2011A, Rev., AMT, 5.50%, 7/1/2026 | | | 350 | | | | 371 | |
| | |
City of Lynnwood, Utility System Series 2018, Rev., 5.00%, 12/1/2028 | | | 25 | | | | 33 | |
| | |
Energy Northwest, Project 3 Electric System Series C, Rev., 5.00%, 7/1/2023 | | | 25 | | | | 28 | |
| | | | | | | | |
| | |
| | | | | | | 432 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
County of King, Sewer | | | | | | | | |
| | |
Series 2102C, Rev., 5.00%, 1/1/2023 | | | 40 | | | | 44 | |
| | |
Series 2018B, Rev., 5.00%, 7/1/2031 | | | 10 | | | | 13 | |
| | | | | | | | |
| | |
| | | | | | | 57 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 6,307 | |
| | | | | | | | |
|
West Virginia — 0.2% | |
|
Education — 0.2% | |
| | |
West Virginia Hospital Finance Authority, University Health System Series A, Rev., 4.00%, 6/1/2051 | | | 1,000 | | | | 1,129 | |
| | | | | | | | |
|
Wisconsin — 1.6% | |
|
Education — 0.2% | |
| | |
Public Finance Authority, Central District Development Project Rev., 5.00%, 3/1/2027 | | | 280 | | | | 348 | |
| | |
Wisconsin Health and Educational Facilities Authority, St. John’s Communities, Inc. Project Series 2018A, Rev., 5.00%, 9/15/2040 | | | 665 | | | | 718 | |
| | | | | | | | |
| | |
| | | | | | | 1,066 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
State of Wisconsin Series 1, GO, 5.00%, 5/1/2020 | | | 35 | | | | 35 | |
| | | | | | | | |
|
Hospital — 1.2% | |
| | |
Wisconsin Health and Educational Facilities Authority, Beloit Health System, Inc. Rev., 4.00%, 7/1/2046 | | | 15 | | | | 16 | |
| | |
Wisconsin Health and Educational Facilities Authority, Children’s Hospital of Wisconsin, Inc. Rev., 4.00%, 8/15/2047 | | | 4,800 | | | | 5,481 | |
| | |
Wisconsin Health and Educational Facilities Authority, Rogers Memorial Hospital, Inc. | | | | | | | | |
| | |
Series B, Rev., 5.00%, 7/1/2038 | | | 150 | | | | 181 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 82 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Series A, Rev., 5.00%, 7/1/2044 | | | 210 | | | | 251 | |
| | |
Series A, Rev., 5.00%, 7/1/2049 | | | 750 | | | | 895 | |
| | | | | | | | |
| | |
| | | | | | | 6,824 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Wisconsin Housing and Economic Development Authority, Home Ownership Series B, Rev., 4.00%, 3/1/2048 | | | 840 | | | | 914 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc. Rev., 5.50%, 7/1/2040 (d) | | | 5 | | | | 5 | |
| | |
Wisconsin Health and Educational Facilities Authority, Ministry Health Care, Inc. Series B, Rev., 5.13%, 8/15/2035 (d) | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
| | | | | | | 10 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 8,849 | |
| | | | | | | | |
|
Wyoming — 0.0% (b) | |
|
Housing — 0.0% (b) | |
| | |
Wyoming Community Development Authority Housing Series 1, Rev., AMT, 4.00%, 6/1/2032 | | | 5 | | | | 5 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $489,103) | | | | | | | 535,940 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF
WARRANTS
(000) | | | VALUE
($000) | |
Warrants — 0.0% | |
|
Road & Rail — 0.0% | |
| | |
Jack Cooper Enterprises, Inc. expiring 10/29/2027, price 1.00 USD * ‡
(Cost $—) | | | — | (g) | | | — | |
| | | | | | | | |
| | |
| | | SHARES
(000) | | | | |
Short-Term Investments — 5.0% | |
|
Investment Companies — 5.0% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (h) (i)
(Cost $27,432) | | | 27,433 | | | | 27,433 | |
| | | | | | | | |
Total Investments — 102.1%
(Cost $516,535) | | | | | | | 563,373 | |
Liabilities in Excess of
Other Assets — (2.1)% | | | | | | | (11,595 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 551,778 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AGC | | Insured by Assured Guaranty Corp. |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | | Insured by American Municipal Bond Assurance Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| BHAC | | Insured by Berkshire Hathaway Assurance Corp. |
| CHESLA | | Connecticut Higher Education Supplemental Loan Authority |
| COLL | | Collateral |
| COP | | Certificate of Participation |
| CR | | Custodial Receipts |
| FGIC | | Insured by Financial Guaranty Insurance Co. |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| GO | | General Obligation |
| GRAN | | Grant Revenue Anticipation Note |
| GTD | | Guaranteed |
| LIQ | | Liquidity Agreement |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | | Permanent School Fund Guaranteed |
| Q-SBLF | | Qualified School Bond Loan Fund |
| RE | | Reinsured |
| Rev. | | Revenue |
| SCSDE | | South Carolina School District Enhancement |
| | |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| |
| (a) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (b) | | Amount rounds to less than 0.1% of net assets. |
| (c) | | 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 February 29, 2020. |
| (d) | | Security is prerefunded or escrowed to maturity. |
| (e) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (f) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (g) | | Amount rounds to less than one thousand. |
| (h) | | 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. |
| (i) | | The rate shown is the current yield as of February 29, 2020. |
| * | | Non-income producing security. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 83 | |
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of February 29, 2020 (amounts in thousands, except number of contracts): | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10 Year Note | | | (124 | ) | | | 06/2020 | | | | USD | | | | (16,705 | ) | | | (259 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
Abbreviations | | |
| |
| USD | | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 84 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — 104.4% (a) | | | | | | | | |
| | |
Alabama — 1.1% | | | | | | | | |
| | |
Education — 0.0% (b) | | | | | | | | |
| | |
Alabama Public School and College Authority, Capital ImprovementSeries 2014-B, Rev., 5.00%, 1/1/2021 | | | 20 | | | | 21 | |
| | |
University of West Alabama | | | | | | | | |
| | |
Rev., AGM, 4.00%, 1/1/2022 (c) | | | 150 | | | | 158 | |
| | |
Rev., AGM, 4.00%, 1/1/2023 (c) | | | 120 | | | | 129 | |
| | |
Rev., AGM, 4.00%, 1/1/2024 (c) | | | 125 | | | | 138 | |
| | |
Rev., AGM, 4.00%, 1/1/2025 (c) | | | 150 | | | | 169 | |
| | | | | | | | |
| | |
| | | | | | | 615 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
City of Centre | | | | | | | | |
| | |
GO, 3.00%, 9/1/2021 | | | 100 | | | | 103 | |
| | |
GO, 3.00%, 9/1/2022 | | | 110 | | | | 116 | |
| | |
GO, 4.00%, 9/1/2023 | | | 215 | | | | 236 | |
| | |
City of Hamilton | | | | | | | | |
| | |
GO, 3.00%, 8/1/2020 | | | 55 | | | | 55 | |
| | |
GO, 3.00%, 8/1/2021 | | | 365 | | | | 376 | |
| | |
GO, 2.00%, 8/1/2022 | | | 370 | | | | 377 | |
| | |
GO, 5.00%, 8/1/2023 | | | 240 | | | | 271 | |
| | | | | | | | |
| | |
| | | | | | | 1,534 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Prattville Industrial Development Board, International Paper Company Project | | | | | | | | |
| | |
Series 2019C, Rev., 2.00%, 5/1/2020 (d) | | | 430 | | | | 441 | |
| | |
Series 2019B, Rev., 2.00%, 10/1/2024 (d) | | | 450 | | | | 461 | |
| | | | | | | | |
| | |
| | | | | | | 902 | |
| | | | | | | | |
|
Utility — 1.1% | |
| | |
Black Belt Energy Gas District, Gas PrepaySeries 2018B-2, Rev., VRDO, 1.77%, 3/10/2020 (d) | | | 30,000 | | | | 30,000 | |
| | |
Black Belt Energy Gas District, Gas Supply Series 2016A, Rev., LIQ: Royal Bank of Canada, 4.00%, 6/1/2021 (d) | | | 11,450 | | | | 11,873 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 1 Series A, Rev., 5.00%, 4/1/2020 | | | 1,000 | | | | 1,003 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 2 Series A, Rev., 4.00%, 6/1/2020 | | | 1,000 | | | | 1,008 | |
| | | | | | | | |
| | |
| | | | | | | 43,884 | |
| | | | | | | | |
| | |
Total Alabama | | | | | | | 46,935 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Alaska — 0.0% (b) | |
|
Other Revenue — 0.0% (b) | |
| | |
Alaska Municipal Bond Bank Authority | | | | | | | | |
| | |
Series 2019 1, Rev., 5.00%, 5/1/2021 | | | 215 | | | | 225 | |
| | |
Series 2019 1, Rev., 5.00%, 5/1/2022 | | | 200 | | | | 217 | |
| | | | | | | | |
| | |
| | | | | | | 442 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 442 | |
| | | | | | | | |
|
Arizona — 1.2% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
Arizona State University Series 2018A, COP, 5.00%, 6/1/2020 | | | 1,000 | | | | 1,010 | |
| | | | | | | | |
|
Education — 0.0% (b) | |
| | |
Industrial Development Authority of The City of Phoenix, Downtown Phoenix Student Housing LLC — Arizona State University Project | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2023 | | | 140 | | | | 157 | |
| | |
Series 2018A, Rev., 5.00%, 7/1/2024 | | | 200 | | | | 230 | |
| | | | | | | | |
| | |
| | | | | | | 387 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
Maricopa County School DistrictNo. 24-Gila Bend, School Improvement | | | | | | | | |
| | |
Series 2019, GO, AGM, 2.00%, 7/1/2020 | | | 585 | | | | 587 | |
| | |
Series 2019, GO, AGM, 3.00%, 7/1/2021 | | | 575 | | | | 592 | |
| | |
Series 2019, GO, AGM, 4.00%, 7/1/2022 | | | 300 | | | | 321 | |
| | |
Series 2019, GO, AGM, 5.00%, 7/1/2023 | | | 700 | | | | 793 | |
| | |
Maricopa County School District No. 66, Roosevelt Elementary | | | | | | | | |
| | |
GO, 5.00%, 7/1/2020 | | | 1,450 | | | | 1,469 | |
| | |
GO, 5.00%, 7/1/2021 | | | 1,520 | | | | 1,602 | |
| | |
Maricopa County School District No. 66, Roosevelt Elementary, Arizona School Improvement | | | | | | | | |
| | |
Series 2018A, GO, 5.00%, 7/1/2020 | | | 1,025 | | | | 1,038 | |
| | |
Series 2017-A, GO, 5.00%, 7/1/2021 | | | 1,150 | | | | 1,212 | |
| | | | | | | | |
| | |
| | | | | | | 7,614 | |
| | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
Industrial Development Authority of the County of Yavapai (The), Regional Medical Center | | | | | | | | |
| | |
Rev., 5.00%, 8/1/2021 | | | 225 | | | | 238 | |
| | |
Rev., 5.00%, 8/1/2022 | | | 380 | | | | 417 | |
| | |
Industrial Development Authority of the County of Yavapai (The), Yavapai Regional Medical Center Rev., 5.00%, 8/1/2023 | | | 325 | | | | 369 | |
| | | | | | | | |
| | |
| | | | | | | 1,024 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 85 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Coconino County Pollution Control Corp., Nevada Power Company Projects Series B, Rev., 1.60%, 5/21/2020 (d) | | | 1,100 | | | | 1,101 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Industrial Development Authority of The City of Phoenix, Health Care Facilities, Mayo Clinic Series 2014A, Rev., VRDO, LIQ: Bank of America NA, 1.31%, 3/2/2020 (d) | | | 30,790 | | | | 30,790 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Arizona Department of Transportation State Highway Fund Series 2013A, Rev., 5.00%, 7/1/2020 | | | 400 | | | | 406 | |
| | |
Arizona Transportation Board, Maricopa County Regional Area Road Fund Rev., 5.00%, 7/1/2020 | | | 8,565 | | | | 8,683 | |
| | | | | | | | |
| | |
| | | | | | | 9,089 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Arizona Water Infrastructure Finance Authority, Water Quality Rev., 4.00%, 10/1/2020 (e) | | | 540 | | | | 550 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 51,565 | |
| | | | | | | | |
|
Arkansas — 0.1% | |
|
Education — 0.0% (b) | |
| | |
Board of Trustees of the University of Arkansas, Various Facility, Fayetteville Campus Series 2018A, Rev., 5.00%, 11/1/2021 | | | 330 | | | | 353 | |
| | |
University of Central Arkansas, Student Fee | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2021 | | | 150 | | | | 160 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2022 | | | 200 | | | | 221 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2023 | | | 205 | | | | 233 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2024 | | | 160 | | | | 188 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2025 | | | 230 | | | | 277 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2026 | | | 220 | | | | 272 | |
| | |
Series 2020A, Rev., 5.00%, 11/1/2027 | | | 200 | | | | 253 | |
| | |
University of Central Arkansas, Student Housing System | | | | | | | | |
| | |
Series 2019C, Rev., AGM, 3.00%, 11/1/2021 | | | 75 | | | | 78 | |
| | |
Series 2019C, Rev., AGM, 3.00%, 11/1/2022 | | | 85 | | | | 89 | |
| | |
Series 2019C, Rev., AGM, 3.00%, 11/1/2023 | | | 135 | | | | 144 | |
| | | | | | | | |
| | |
| | | | | | | 2,268 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Arkansas Development Finance Authority, 900 West Capitol Building Project Rev., 3.00%, 4/1/2021 | | | 500 | | | | 511 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
Arkansas Development Finance Authority, Department of Community Correction Project | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2021 | | | 310 | | | | 331 | |
| | |
Rev., 5.00%, 11/1/2022 | | | 410 | | | | 454 | |
| | |
County of Sharp | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2021 | | | 270 | | | | 281 | |
| | |
Rev., 5.00%, 3/1/2022 | | | 495 | | | | 532 | |
| | |
Rev., 5.00%, 3/1/2023 | | | 540 | | | | 598 | |
| | | | | | | | |
| | |
| | | | | | | 2,707 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Centerton Rev., 3.00%, 12/1/2021 | | | 125 | | | | 129 | |
| | |
City of Heber Springs, Greenstar | | | | | | | | |
| | |
Rev., 3.00%, 11/1/2021 | | | 50 | | | | 52 | |
| | |
Rev., 3.00%, 11/1/2023 | | | 100 | | | | 106 | |
| | |
Northwest Arkansas Conservation Authority, Wastewater Rev., 3.00%, 3/1/2020 | | | 280 | | | | 280 | |
| | | | | | | | |
| | |
| | | | | | | 567 | |
| | | | | | | | |
| | |
Total Arkansas | | | | | | | 5,542 | |
| | | | | | | | |
|
California — 2.0% | |
|
Education — 0.2% | |
| | |
California Educational Facilities Authority, Art Center College of Design Series 2018A, Rev., 5.00%, 12/1/2020 | | | 180 | | | | 185 | |
| | |
California Municipal Finance Authority, California Lutheran University | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 325 | | | | 333 | |
| | |
Rev., 5.00%, 10/1/2021 | | | 250 | | | | 265 | |
| | |
California Municipal Finance Authority, River Springs Charter School Rev., RAN, 4.00%, 8/15/2020 (f) | | | 1,000 | | | | 1,009 | |
| | |
California School Finance Authority, Green Dot Public School Projects | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2020 (f) | | | 50 | | | | 51 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2021 (f) | | | 50 | | | | 52 | |
| | |
Series 2018A, Rev., 5.00%, 8/1/2022 (f) | | | 85 | | | | 93 | |
| | |
California School Finance Authority, Kipp Socal Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2022 (f) | | | 100 | | | | 109 | |
| | |
Series 2019A, Rev., 5.00%, 7/1/2023 (f) | | | 100 | | | | 112 | |
| | |
Chula Vista Elementary School District Rev., BAN, Zero Coupon, 8/1/2023 | | | 5,500 | | | | 5,345 | |
| | | | | | | | |
| | |
| | | | | | | 7,554 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 86 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — 0.2% | |
| | |
Mount San Antonio Community College District GO, BAN, Zero Coupon, 4/1/2022 | | | 250 | | | | 246 | |
| | |
Sacramento City Unified School District Series 2019D, GO, 4.00%, 8/1/2021 | | | 4,475 | | | | 4,671 | |
| | |
South Bay Union School District GO, BAN, Zero Coupon, 8/1/2022 | | | 2,000 | | | | 1,946 | |
| | | | | | | | |
| | |
| | | | | | | 6,863 | |
| | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
California Health Facilities Financing Authority, Adventist Health System Series 2011A, Rev., 3.00%, 3/1/2024 (d) | | | 1,970 | | | | 2,102 | |
| | |
California Public Finance Authority, Henry Mayo Newhall Hospital Rev., 5.00%, 10/15/2020 | | | 100 | | | | 102 | |
| | |
Pioneers Memorial Healthcare District Rev., 3.00%, 10/1/2020 | | | 265 | | | | 267 | |
| | | | | | | | |
| | |
| | | | | | | 2,471 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
California Municipal Finance Authority, UCR North District, Phase 1 Student Housing Project | | | | | | | | |
| | |
Rev., 5.00%, 5/15/2023 | | | 360 | | | | 406 | |
| | |
Rev., 5.00%, 5/15/2024 | | | 300 | | | | 350 | |
| | |
Rev., 5.00%, 5/15/2025 | | | 425 | | | | 510 | |
| | |
Rev., 5.00%, 5/15/2026 | | | 500 | | | | 616 | |
| | |
Rev., 5.00%, 5/15/2027 | | | 725 | | | | 915 | |
| | |
Rev., 5.00%, 5/15/2028 | | | 1,000 | | | | 1,288 | |
| | | | | | | | |
| | |
| | | | | | | 4,085 | |
| | | | | | | | |
|
Other Revenue — 1.1% | |
| | |
California Enterprise Development Authority, Riverside County, Library Facility | | | | | | | | |
| | |
Rev., 4.00%, 11/1/2022 | | | 100 | | | | 108 | |
| | |
Rev., 4.00%, 11/1/2023 | | | 200 | | | | 223 | |
| | |
California Infrastructure and Economic Development Bank, California Academy of Sciences Series 2018D, Rev., (ICE LIBOR USD 1 Month + 0.38%), 1.51%, 3/10/2020 (g) | | | 17,010 | | | | 17,034 | |
| | |
California Infrastructure and Economic Development Bank, The J. Paul Getty Trust | | | | | | | | |
| | |
Series 2012B-2, Rev., (ICE LIBOR USD 1 Month + 0.20%), 1.31%, 4/1/2020 (g) | | | 11,615 | | | | 11,633 | |
| | |
Series 2013A-2, Rev., 1.44%, 4/1/2020 (d) | | | 6,750 | | | | 6,773 | |
| | |
Series 2011A-4, Rev., (ICE LIBOR USD 3 Month + 0.37%), 1.48%, 4/1/2020 (g) | | | 1,000 | | | | 1,000 | |
| | |
California Municipal Finance Authority, Hollywood El Centro Apartments Series 2019A, Rev., 1.40%, 5/1/2021 (d) | | | 1,750 | | | | 1,761 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
California Statewide Communities Development Authority, Front Porch Communities and Services Series 2017A, Rev., 5.00%, 4/1/2020 | | | 75 | | | | 75 | |
| | |
Stockton Public Financing Authority | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2023 | | | 360 | | | | 402 | |
| | |
Rev., 5.00%, 3/1/2025 | | | 570 | | | | 678 | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2018-XF2615, Rev., VRDO, LOC: Barclays Bank plc, 1.35%, 3/10/2020 (d) (f) | | | 5,230 | | | | 5,230 | |
| | | | | | | | |
| | |
| | | | | | | 44,917 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Pittsburg Unified School District Financing Authority Rev., AGM, 5.50%, 9/1/2046 (e) | | | 3,000 | | | | 3,215 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
California Municipal Finance Authority, San Antonio Gardens Project | | | | | | | | |
| | |
Rev., 4.00%, 11/15/2021 | | | 270 | | | | 283 | |
| | |
Rev., 4.00%, 11/15/2022 | | | 280 | | | | 301 | |
| | |
Rev., 4.00%, 11/15/2023 | | | 290 | | | | 320 | |
| | | | | | | | |
| | |
| | | | | | | 904 | |
| | | | | | | | |
|
Water & Sewer — 0.3% | |
| | |
California State Department of Water Resources, Central Valley Project, Water System Series AU, Rev., (SIFMA Municipal Swap Index Yield + 0.22%), 1.37%, 3/10/2020 (g) | | | 12,000 | | | | 12,008 | |
| | |
Stockton Public Financing Authority, Green Bonds | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 10/1/2020 | | | 500 | | | | 512 | |
| | |
Series 2018A, Rev., 5.00%, 10/1/2021 | | | 450 | | | | 480 | |
| | | | | | | | |
| | |
| | | | | | | 13,000 | |
| | | | | | | | |
| | |
Total California | | | | | | | 83,009 | |
| | | | | | | | |
|
Colorado — 1.7% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
City of Colorado Springs | | | | | | | | |
| | |
COP, 5.00%, 12/1/2020 | | | 120 | | | | 124 | |
| | |
COP, 5.00%, 12/1/2021 | | | 145 | | | | 156 | |
| | |
COP, 5.00%, 12/1/2022 | | | 155 | | | | 172 | |
| | |
COP, 5.00%, 12/1/2023 | | | 100 | | | | 115 | |
| | |
Denver Health and Hospital Authority, 550 Acoma, Inc. | | | | | | | | |
| | |
COP, 5.00%, 12/1/2020 | | | 110 | | | | 113 | |
| | |
COP, 5.00%, 12/1/2021 | | | 220 | | | | 235 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 87 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Certificate of Participation/Lease — continued | |
| | |
COP, 5.00%, 12/1/2022 | | | 295 | | | | 324 | |
| | | | | | | | |
| | |
| | | | | | | 1,239 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Arapahoe County School District No. 6 Littleton | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 12/1/2021 | | | 2,585 | | | | 2,775 | |
| | |
Series 2019A, GO, 5.00%, 12/1/2022 | | | 1,370 | | | | 1,527 | |
| | |
City of Aurora, Sterling Hills West Metropolitan District GO, 5.00%, 12/1/2020 | | | 100 | | | | 103 | |
| | |
Interlocken Metropolitan DistrictSeries A-1, GO, AGM, 5.00%, 12/1/2020 | | | 175 | | | | 180 | |
| | | | | | | | |
| | |
| | | | | | | 4,585 | |
| | | | | | | | |
|
Hospital — 1.2% | |
| | |
Colorado Health Facilities Authority, Frasier Meadows Retirement Community Project Series 2017B, Rev., 5.00%, 5/15/2021 | | | 395 | | | | 411 | |
| | |
Colorado Health Facilities Authority, The Evangelical Lutheran Good Samaritan Society Project Rev., 5.00%, 6/1/2020 (e) | | | 400 | | | | 404 | |
| | |
Colorado Health Facilities Authority, Valley View Hospital Association Project Rev., 2.80%, 5/15/2023 (d) | | | 1,555 | | | | 1,619 | |
| | |
University of Colorado Hospital Authority | | | | | | | | |
| | |
Series 2018-C, Rev., VRDO, LIQ: TD Bank NA, 1.10%, 3/10/2020 (d) | | | 33,100 | | | | 33,100 | |
| | |
Series 2017B-2, Rev., VRDO, 1.14%, 3/10/2020 (d) | | | 14,740 | | | | 14,740 | |
| | | | | | | | |
| | |
| | | | | | | 50,274 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Colorado Housing and Finance Authority Rev., 1.30%, 1/1/2021 (d) | | | 5,000 | | | | 5,012 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
City of Grand Junction Rev., 5.00%, 3/1/2021 | | | 35 | | | | 36 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
E-470 Public Highway Authority, Senior LIBOR Index Series 2019A, Rev., 1.51%, 3/10/2020 (d) | | | 8,000 | | | | 8,008 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
Colorado Water Resources and Power Development Authority, Clean Water Series A, Rev., 5.00%, 3/1/2020 | | | 200 | | | | 200 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Town of Milliken, Water Activity Enterprise Rev., 3.00%, 12/1/2020 | | | 195 | | | | 198 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 69,552 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Connecticut — 2.4% | |
|
Education — 0.1% | |
| | |
Connecticut State Health and Educational Facilities Authority | | | | | | | | |
| | |
Series K-1, Rev., 5.00%, 7/1/2021 | | | 665 | | | | 698 | |
| | |
Series K-1, Rev., 5.00%, 7/1/2022 | | | 675 | | | | 730 | |
| | |
Connecticut State Health and Educational Facilities Authority, Yale University IssueSeries B-1, Rev., 5.00%, 7/1/2020 (d) | | | 4,000 | | | | 4,054 | |
| | | | | | | | |
| | |
| | | | | | | 5,482 | |
| | | | | | | | |
|
General Obligation — 1.8% | |
| | |
City of Bridgeport Series C, GO, GAN, 2.00%, 12/10/2020 | | | 21,000 | | | | 21,124 | |
| | |
City of Derby | | | | | | | | |
| | |
Series A, GO, 5.00%, 8/1/2020 | | | 140 | | | | 142 | |
| | |
Series A, GO, 5.00%, 8/1/2021 | | | 220 | | | | 233 | |
| | |
Series A, GO, 5.00%, 8/1/2022 | | | 75 | | | | 82 | |
| | |
Series A, GO, 5.00%, 8/1/2023 | | | 150 | | | | 169 | |
| | |
Series A, GO, 5.00%, 8/1/2024 | | | 85 | | | | 99 | |
| | |
City of Hartford Series B, GO, 4.00%, 4/1/2020 (e) | | | 115 | | | | 115 | |
| | |
City of New Britain | | | | | | | | |
| | |
GO, 5.00%, 9/1/2022 | | | 50 | | | | 55 | |
| | |
GO, 5.00%, 9/1/2023 | | | 110 | | | | 125 | |
| | |
City of New Haven | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 8/1/2021 | | | 1,300 | | | | 1,367 | |
| | |
Series 2019B, GO, 5.00%, 2/1/2022 | | | 700 | | | | 748 | |
| | |
Series 2019A, GO, 5.00%, 8/1/2022 | | | 1,000 | | | | 1,087 | |
| | |
State of Connecticut | | | | | | | | |
| | |
Series C, GO, VRDO, LIQ: Bank of America NA, 1.24%, 3/10/2020 (d) | | | 5,030 | | | | 5,030 | |
| | |
Series 2019A, GO, 5.00%, 4/15/2020 | | | 28,040 | | | | 28,177 | |
| | |
Series G, GO, 5.00%, 11/1/2021 | | | 200 | | | | 214 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2017-YX1047, GO, VRDO, LIQ: Barclays Bank plc, 1.21%, 3/10/2020 (d) (f) | | | 6,890 | | | | 6,890 | |
| | |
Series 2018-YX1095, GO, VRDO, LIQ: Barclays Bank plc, 1.21%, 3/10/2020 (d) (f) | | | 4,500 | | | | 4,500 | |
| | |
Town of Windham GO, BAN, 3.00%, 10/1/2020 | | | 6,250 | | | | 6,323 | |
| | | | | | | | |
| | |
| | | | | | | 76,480 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Connecticut State Health and Educational Facilities Authority, Covenant Home, Inc. Series 2018B, Rev., 5.00%, 12/1/2021 | | | 1,000 | | | | 1,066 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 88 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Connecticut State Health and Educational Facilities Authority, Hartford Healthcare IssueSeries 2020B-1, Rev., 5.00%, 1/1/2025 (d) | | | 8,500 | | | | 10,075 | |
| | | | | | | | |
| | |
| | | | | | | 11,141 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Connecticut Housing Finance Authority Series E, SubseriesE-3, Rev., 1.63%, 11/15/2022 (d) | | | 1,750 | | | | 1,756 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2017-YX1077, Rev., VRDO, LIQ: Barclays Bank plc, 1.21%, 3/10/2020 (d) (f) | | | 4,550 | | | | 4,550 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 99,409 | |
| | | | | | | | |
|
Delaware — 0.0% (b) | |
|
Utility — 0.0% (b) | |
| | |
Delaware Municipal Electric Corp. (The), Middletown and Seaford Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2020 | | | 195 | | | | 200 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2021 | | | 145 | | | | 154 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2022 | | | 150 | | | | 165 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2023 | | | 220 | | | | 249 | |
| | | | | | | | |
| | |
| | | | | | | 768 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 768 | |
| | | | | | | | |
|
District of Columbia — 0.2% | |
|
Education — 0.1% | |
| | |
District of Columbia, International School Issue Rev., 5.00%, 7/1/2022 | | | 500 | | | | 542 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
District of Columbia, Kipp DC Project Rev., 5.00%, 7/1/2023 | | | 100 | | | | 112 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Metropolitan Washington Airports Authority, Airport System Subseries C-2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.18%, 3/10/2020 (d) | | | 5,930 | | | | 5,930 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 6,584 | |
| | | | | | | | |
|
Florida — 4.0% | |
|
Education — 0.0% (b) | |
| | |
Florida Higher Educational Facilities Financial Authority, Institute of Technology | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 115 | | | | 117 | |
| | |
Rev., 5.00%, 10/1/2021 | | | 115 | | | | 122 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Florida Higher Educational Facilities Financial Authority, Ringling College Project | | | | | | | | |
| | |
Rev., 4.00%, 3/1/2021 | | | 60 | | | | 62 | |
| | |
Rev., 4.00%, 3/1/2022 | | | 55 | | | | 58 | |
| | |
Rev., 5.00%, 3/1/2023 | | | 185 | | | | 207 | |
| | |
Rev., 5.00%, 3/1/2024 | | | 110 | | | | 127 | |
| | |
Florida Higher Educational Facilities Financial Authority, St. Leo University Project | | | | | | | | |
| | |
Series 2019, Rev., 5.00%, 3/1/2021 | | | 350 | | | | 362 | |
| | |
Series 2019, Rev., 5.00%, 3/1/2022 | | | 355 | | | | 377 | |
| | |
Series 2019, Rev., 5.00%, 3/1/2023 | | | 410 | | | | 448 | |
| | | | | | | | |
| | |
| | | | | | | 1,880 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
City of Lauderhill GO, 3.00%, 1/1/2021 | | | 425 | | | | 433 | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated GroupSeries 2007A-2, Rev., VRDO, 1.15%, 3/10/2020 (d) | | | 15,000 | | | | 15,000 | |
| | |
Lee Memorial Health System | | | | | | | | |
| | |
Series 2019A-1, Rev., 5.00%, 4/1/2020 | | | 1,875 | | | | 1,881 | |
| | |
Series 2019A-1, Rev., 5.00%, 4/1/2022 | | | 750 | | | | 812 | |
| | |
Series 2019A-1, Rev., 5.00%, 4/1/2023 | | | 400 | | | | 449 | |
| | |
Series 2019A-1, Rev., 5.00%, 4/1/2024 | | | 575 | | | | 666 | |
| | |
Orange County Health Facilities Authority, The Nemours Foundation Project Series B, Rev., VRDO, LOC: Northern Trust Co., 1.12%, 3/10/2020 (d) | | | 880 | | | | 880 | |
| | | | | | | | |
| | |
| | | | | | | 19,688 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
County of Escambia, International Paper Co. Project, Environmental Improvement, Composite Offering 2019 Series 2019B, Rev., 2.00%, 10/1/2024 (d) | | | 775 | | | | 795 | |
| | |
County of Hillsborough, Capital Improvement Program Rev., 5.00%, 8/1/2021 | | | 30 | | | | 32 | |
| | |
Village Community Development District No. 13 Rev.,, 2.63%, 5/1/2024 (f) | | | 500 | | | | 508 | |
| | |
West Palm Beach Community Redevelopment Agency, City Center Community Redevelopment Area | | | | | | | | |
| | |
5.00%, 3/1/2023 | | | 1,335 | | | | 1,496 | |
| | |
5.00%, 3/1/2024 | | | 1,160 | | | | 1,340 | |
| | | | | | | | |
| | |
| | | | | | | 4,171 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 89 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Prerefunded — 0.3% | |
| | |
County of Miami-Dade, Water and Sewer System Rev., AGM, 5.00%, 10/1/2029 (e) | | | 10,000 | | | | 10,246 | |
| | |
Orlando-Orange County Expressway Authority Series C, Rev., 5.00%, 7/1/2035 (e) | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 10,271 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
County of Miami-Dade, Seaport Department Series A, Rev., VRDO, LOC: PNC Bank NA, 1.18%, 3/10/2020 (d) | | | 8,000 | | | | 8,000 | |
| | |
Florida Development Finance Corp., Virgin Trains USA Passenger Rail Project Series B, Rev., AMT, 1.90%, 3/17/2020 (d) | | | 15,000 | | | | 15,005 | |
| | | | | | | | |
| | |
| | | | | | | 23,005 | |
| | | | | | | | |
|
Utility — 1.8% | |
| | |
City of Gainesville, Utilities System Series B, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 6,100 | | | | 6,100 | |
| | |
County of Martin, Utilities System Series A, Rev., 5.00%, 10/1/2020 | | | 90 | | | | 92 | |
| | |
Orlando Utilities Commission, Utility System | | | | | | | | |
| | |
Series 2008-1, Rev., VRDO, LIQ: TD Bank NA, 1.16%, 3/10/2020 (d) | | | 43,000 | | | | 43,000 | |
| | |
Series B, Rev., VRDO, LIQ: TD Bank NA, 1.16%, 3/10/2020 (d) | | | 25,820 | | | | 25,820 | |
| | | | | | | | |
| | |
| | | | | | | 75,012 | |
| | | | | | | | |
|
Water & Sewer — 0.7% | |
| | |
Broward County, Water and Sewer Utility Series 2012B, Rev., 5.00%, 10/1/2020 | | | 20 | | | | 21 | |
| | |
JEA Water and Sewer SystemSeries 2008A-1, Rev., VRDO, LIQ: U.S. Bank NA, 1.23%, 3/2/2020 (d) | | | 30,600 | | | | 30,600 | |
| | | | | | | | |
| | |
| | | | | | | 30,621 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 165,081 | |
| | | | | | | | |
|
Georgia — 2.8% | |
|
Education — 1.4% | |
| | |
Private Colleges & Universities Authority Series C, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 1.40%, 3/10/2020 (g) | | | 57,865 | | | | 57,878 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Clarke County School District, Sales Tax GO, 5.00%, 9/1/2021 | | | 30 | | | | 32 | |
| | |
Dougherty County School District, Sales Tax | | | | | | | | |
| | |
Series 2018, GO, 4.00%, 12/1/2020 | | | 1,250 | | | | 1,279 | |
| | |
Hall County School District Series 2018, GO, 5.00%, 11/1/2020 | | | 1,250 | | | | 1,285 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Pike County School District GO, 4.00%, 10/1/2020 | | | 400 | | | | 407 | |
| | | | | | | | |
| | |
| | | | | | | 3,003 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
Richmond County Hospital Authority, University Health Services, Inc. Project Rev., RAN, 5.00%, 1/1/2022 | | | 100 | | | | 107 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Savannah Economic Development Authority, International Paper Co. Project Series 2019A, Rev., 2.00%, 10/1/2024 (d) | | | 1,675 | | | | 1,718 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Dahlonega Downtown Development Authority, North Georgia MAC, LLC Project | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 7/1/2020 | | | 275 | | | | 278 | |
| | |
Series 2017, Rev., 5.00%, 7/1/2021 | | | 370 | | | | 390 | |
| | |
Series 2017, Rev., 5.00%, 7/1/2022 | | | 300 | | | | 328 | |
| | | | | | | | |
| | |
| | | | | | | 996 | |
| | | | | | | | |
|
Prerefunded — 0.6% | |
| | |
DeKalb County Hospital Authority, Medical Center, Inc. Project | | | | | | | | |
| | |
Rev., RAN, 6.00%, 9/1/2030 (e) | | | 5,470 | | | | 5,611 | |
| | |
Rev., RAN, 6.13%, 9/1/2040 (e) | | | 17,925 | | | | 18,397 | |
| | | | | | | | |
| | |
| | | | | | | 24,008 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
Georgia State Road and Tollway Authority, Federal Highway Series B, Rev., 5.00%, 6/1/2020 | | | 15,445 | | | | 15,603 | |
| | |
Metropolitan Atlanta Rapid Transit Authority | | | | | | | | |
| | |
Series A, Rev., 3.00%, 7/1/2020 | | | 2,900 | | | | 2,921 | |
| | |
Series A, Rev., 3.75%, 7/1/2021 | | | 5,585 | | | | 5,806 | |
| | | | | | | | |
| | |
| | | | | | | 24,330 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Municipal Electric Authority of Georgia Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 4,145 | | | | 4,145 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 116,185 | |
| | | | | | | | |
|
Hawaii — 0.1% | |
|
General Obligation — 0.1% | |
| | |
City and County of Honolulu, Rail Transit Project Series 2017H, GO, VRDO, 1.45%, 3/10/2020 (d) | | | 5,000 | | | | 5,000 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 90 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Idaho — 0.2% | |
|
Education — 0.1% | |
| | |
University of Idaho | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 4/1/2021 (c) | | | 390 | | | | 406 | |
| | |
Series 2020A, Rev., 5.00%, 4/1/2022 (c) | | | 165 | | | | 178 | |
| | |
Series 2020A, Rev., 5.00%, 4/1/2023 (c) | | | 355 | | | | 398 | |
| | |
Series 2020A, Rev., 5.00%, 4/1/2024 (c) | | | 315 | | | | 365 | |
| | |
Series 2020A, Rev., 5.00%, 4/1/2025 (c) | | | 330 | | | | 395 | |
| | | | | | | | |
| | |
| | | | | | | 1,742 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Idaho Health Facilities Authority, Trinity Health Credit Group Series 2013ID, Rev., 1.05%, 5/1/2020 (d) | | | 4,450 | | | | 4,451 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Idaho Housing and Finance Association, Federal Highway Trust | | | | | | | | |
| | |
Series A, Rev., GRAN, 5.00%, 7/15/2020 | | | 425 | | | | 431 | |
| | |
Series A, Rev., GRAN, 5.00%, 7/15/2021 | | | 25 | | | | 27 | |
| | | | | | | | |
| | |
| | | | | | | 458 | |
| | | | | | | | |
| | |
Total Idaho | | | | | | | 6,651 | |
| | | | | | | | |
|
Illinois — 6.7% | |
|
Education — 1.0% | |
| | |
Cook County School District No. 89, Maywood Melrose Park | | | | | | | | |
| | |
Rev., AGM, 4.00%, 12/15/2020 | | | 415 | | | | 424 | |
| | |
Rev., AGM, 4.00%, 12/15/2021 | | | 515 | | | | 542 | |
| | |
Rev., AGM, 4.00%, 12/15/2022 | | | 535 | | | | 578 | |
| | |
Rev., AGM, 4.00%, 12/15/2023 | | | 555 | | | | 613 | |
| | |
Rev., AGM, 4.00%, 12/15/2024 | | | 580 | | | | 652 | |
| | |
Illinois Finance Authority, Local Government Program, East Prairie School District Number 73 Project | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2020 | | | 230 | | | | 235 | |
| | |
Rev., 5.00%, 12/1/2021 | | | 250 | | | | 268 | |
| | |
Illinois Finance Authority, North Park University Project Rev., VRDO, LOC: U.S. Bank NA, 1.08%, 3/10/2020 (d) | | | 9,050 | | | | 9,050 | |
| | |
Illinois Finance Authority, Northwestern University Subseries 2008-B, Rev., VRDO, 1.12%, 3/10/2020 (d) | | | 3,425 | | | | 3,425 | |
| | |
Illinois Finance Authority, The University of Chicago Rev., VRDO, 1.14%, 3/10/2020 (d) | | | 20,028 | | | | 20,028 | |
| | |
Illinois Finance Authority, Wesleyan University Rev., 5.00%, 9/1/2022 | | | 560 | | | | 608 | |
| | |
Lake County School District No. 70 Libertyville Series 2019, Rev., 4.00%, 1/1/2023 | | | 300 | | | | 325 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
University of Illinois, Auxiliary Facilities System Series A, Rev., 5.00%, 4/1/2024 | | | 2,500 | | | | 2,793 | |
| | |
Will County, Community Consolidated School DistrictNo. 70-C Laraway, Lease Certificates | | | | | | | | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2020 | | | 385 | | | | 394 | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2021 | | | 400 | | | | 421 | |
| | | | | | | | |
| | |
| | | | | | | 40,356 | |
| | | | | | | | |
|
General Obligation — 2.9% | |
| | |
Adams County School District No. 172 GO, AGM, 4.00%, 2/1/2021 | | | 300 | | | | 308 | |
| | |
Buffalo Grove Park District, Lake and Cook Counties GO, 2.00%, 12/30/2020 | | | 330 | | | | 333 | |
| | |
Champaign Coles Et Al Counties Community College District No. 505 | | | | | | | | |
| | |
Series 2018B, GO, 4.00%, 12/1/2020 | | | 1,250 | | | | 1,279 | |
| | |
Series 2018B, GO, 4.00%, 12/1/2021 | | | 2,500 | | | | 2,636 | |
| | |
Series 2018C, GO, 4.00%, 12/1/2021 | | | 465 | | | | 490 | |
| | |
Champaign County Community Unit School District No. 4 Champaign, Capital Appreciation | | | | | | | | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2022 | | | 200 | | | | 196 | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2023 | | | 200 | | | | 194 | |
| | |
Series 2020A, GO, Zero Coupon, 1/1/2024 | | | 385 | | | | 366 | |
| | |
Chicago Park District, Limited Tax | | | | | | | | |
| | |
Series 2011B, GO, 4.00%, 1/1/2021 | | | 100 | | | | 102 | |
| | |
Series 2013B, GO, 5.00%, 1/1/2021 | | | 100 | | | | 103 | |
| | |
Chicago Park District, Unlimited Tax Series 2011C, GO, 5.00%, 1/1/2022 | | | 175 | | | | 186 | |
| | |
Chicago Park District, Unlimited Tax, Special Recreation Activity Series 2018E, GO, 5.00%, 11/15/2021 | | | 300 | | | | 319 | |
| | |
City of Aurora | | | | | | | | |
| | |
Series 2019A, GO, 4.00%, 12/30/2021 | | | 470 | | | | 497 | |
| | |
Series 2019A, GO, 4.00%, 12/30/2022 | | | 1,525 | | | | 1,649 | |
| | |
Series 2019A, GO, 4.00%, 12/30/2023 | | | 1,595 | | | | 1,769 | |
| | |
Series 2019A, GO, 4.00%, 12/30/2024 | | | 1,655 | | | | 1,879 | |
| | |
City of Calumet Series 2018, GO, 4.00%, 3/1/2020 | | | 150 | | | | 150 | |
| | |
City of Danville | | | | | | | | |
| | |
GO, 2.00%, 12/1/2020 | | | 170 | | | | 171 | |
| | |
GO, 2.00%, 12/1/2021 | | | 255 | | | | 258 | |
| | |
GO, 3.00%, 12/1/2022 | | | 140 | | | | 145 | |
| | |
GO, 4.00%, 12/1/2023 | | | 145 | | | | 158 | |
| | |
City of Elgin | | | | | | | | |
| | |
Series 2020A, GO, 2.00%, 12/15/2021 | | | 230 | | | | 234 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 91 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2020A, GO, 3.00%, 12/15/2022 | | | 1,480 | | | | 1,558 | |
| | |
Series 2020A, GO, 3.00%, 12/15/2023 | | | 1,025 | | | | 1,096 | |
| | |
City of Kankakee Series 2011A, GO, AGM, 4.30%, 1/1/2021 | | | 1,040 | | | | 1,067 | |
| | |
City of Rock Island | | | | | | | | |
| | |
Series B, GO, AGM, 3.00%, 12/1/2020 | | | 200 | | | | 203 | |
| | |
Series A, GO, AGM, 3.00%, 12/1/2021 | | | 130 | | | | 134 | |
| | |
Series B, GO, AGM, 3.00%, 12/1/2021 | | | 200 | | | | 207 | |
| | |
City of Rockford | | | | | | | | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/15/2020 | | | 100 | | | | 102 | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/15/2021 | | | 130 | | | | 137 | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/15/2022 | | | 135 | | | | 145 | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/15/2023 | | | 140 | | | | 153 | |
| | |
City of Waukegan | | | | | | | | |
| | |
Series A, GO, AGM, 3.00%, 12/30/2020 | | | 590 | | | | 600 | |
| | |
Series A, GO, AGM, 4.00%, 12/30/2023 | | | 525 | | | | 577 | |
| | |
Clay Wayne and Marion Counties Community Unit School District No. 35 | | | | | | | | |
| | |
Series 2019, GO, AGM, 5.00%, 12/1/2020 | | | 145 | | | | 149 | |
| | |
Series 2019, GO, AGM, 5.00%, 12/1/2021 | | | 205 | | | | 218 | |
| | |
Series 2019, GO, AGM, 5.00%, 12/1/2022 | | | 165 | | | | 182 | |
| | |
Series 2019, GO, AGM, 5.00%, 12/1/2023 | | | 175 | | | | 198 | |
| | |
Cook County | | | | | | | | |
| | |
Series 2018, GO, 5.00%, 11/15/2020 | | | 900 | | | | 923 | |
| | |
Series 2018, GO, 5.00%, 11/15/2021 | | | 700 | | | | 743 | |
| | |
Series A, GO, 5.00%, 11/15/2021 | | | 355 | | | | 376 | |
| | |
Series C, GO, 5.00%, 11/15/2022 | | | 180 | | | | 197 | |
| | |
Cook County Community College District No. 508 GO, 5.25%, 12/1/2029 | | | 250 | | | | 286 | |
| | |
Cook County Community Consolidated School District No. 34 Glenview | | | | | | | | |
| | |
GO, 4.00%, 12/1/2020 | | | 100 | | | | 102 | |
| | |
GO, 4.00%, 12/1/2021 | | | 175 | | | | 185 | |
| | |
GO, 4.00%, 12/1/2022 | | | 150 | | | | 162 | |
| | |
GO, 4.00%, 12/1/2023 | | | 150 | | | | 167 | |
| | |
Cook County Community Consolidated School District No. 65 Evanston GO, 5.00%, 12/1/2020 | | | 270 | | | | 278 | |
| | |
Cook County Community School District No. 97 Oak Park | | | | | | | | |
| | |
GO, 4.00%, 1/1/2021 | | | 550 | | | | 564 | |
| | |
GO, 4.00%, 1/1/2022 | | | 400 | | | | 423 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
GO, 4.00%, 1/1/2023 | | | 300 | | | | 326 | |
| | |
GO, 4.00%, 1/1/2024 | | | 275 | | | | 306 | |
| | |
Cook County Community Unit School District No. 401 Elmwood Park Series 2013, GO, 4.00%, 12/1/2023 | | | 3,440 | | | | 3,596 | |
| | |
Cook County High School District No. 207 Maine Township | | | | | | | | |
| | |
Series 2019A, GO, 4.00%, 12/1/2021 | | | 8,330 | | | | 8,782 | |
| | |
Series 2019B, GO, 3.50%, 12/1/2022 | | | 325 | | | | 346 | |
| | |
Cook County School District No. 100 South Berwyn | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 12/1/2020 | | | 100 | | | | 101 | |
| | |
Series 2019C, GO, 3.00%, 12/1/2020 | | | 100 | | | | 102 | |
| | |
Series 2019A, GO, 4.00%, 12/1/2021 | | | 100 | | | | 105 | |
| | |
Series 2019C, GO, 4.00%, 12/1/2021 | | | 165 | | | | 174 | |
| | |
Series 2019A, GO, 4.00%, 12/1/2022 | | | 235 | | | | 252 | |
| | |
Series 2019C, GO, 4.00%, 12/1/2022 | | | 605 | | | | 649 | |
| | |
Series 2019A, GO, 5.00%, 12/1/2023 | | | 345 | | | | 391 | |
| | |
Series 2019C, GO, 5.00%, 12/1/2023 | | | 660 | | | | 747 | |
| | |
Cook County School District No. 102 La Grange, Limited Tax | | | | | | | | |
| | |
GO, AGM, 4.00%, 12/15/2020 (c) | | | 400 | | | | 409 | |
| | |
GO, AGM, 4.00%, 12/15/2021 (c) | | | 840 | | | | 883 | |
| | |
GO, AGM, 4.00%, 12/15/2022 (c) | | | 825 | | | | 892 | |
| | |
GO, AGM, 4.00%, 12/15/2023 (c) | | | 825 | | | | 916 | |
| | |
GO, AGM, 4.00%, 12/15/2024 (c) | | | 930 | | | | 1,056 | |
| | |
GO, AGM, 4.00%, 12/15/2025 (c) | | | 985 | | | | 1,142 | |
| | |
Cook County School District No. 109 Indian Springs, Limited Tax | | | | | | | | |
| | |
Series 2020A, GO, 4.00%, 12/1/2023 | | | 125 | | | | 138 | |
| | |
Series 2020A, GO, 4.00%, 12/1/2024 | | | 400 | | | | 450 | |
| | |
Cook County School District No. 145, Arbor Park | | | | | | | | |
| | |
Series 2019B, GO, 4.00%, 12/1/2021 | | | 150 | | | | 158 | |
| | |
Series 2019D, GO, 4.00%, 12/1/2023 | | | 110 | | | | 120 | |
| | |
Cook County School District No. 148 Dolton | | | | | | | | |
| | |
Series 2018A, GO, 5.00%, 12/1/2021 | | | 450 | | | | 478 | |
| | |
Series 2018A, GO, 5.00%, 12/1/2022 | | | 725 | | | | 794 | |
| | |
Cook County School District No. 150, South Holland | | | | | | | | |
| | |
GO, 4.00%, 4/1/2021 | | | 175 | | | | 181 | |
| | |
GO, 4.00%, 4/1/2022 | | | 190 | | | | 201 | |
| | |
Cook County School District No. 160, Country Club Hills | | | | | | | | |
| | |
Series 2020A, GO, 4.00%, 12/1/2021 | | | 250 | | | | 262 | |
| | |
Series 2020A, GO, 4.00%, 12/1/2022 | | | 510 | | | | 547 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 92 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2020A, GO, 4.00%, 12/1/2023 | | | 285 | | | | 313 | |
| | |
Series 2020A, GO, 4.00%, 12/1/2024 | | | 255 | | | | 286 | |
| | |
Cook County School District No. 160, Country Club Hills, Limited Tax | | | | | | | | |
| | |
Series 2020B, GO, 4.00%, 12/1/2022 | | | 180 | | | | 193 | |
| | |
Series 2020B, GO, 4.00%, 12/1/2023 | | | 100 | | | | 110 | |
| | |
Series 2020B, GO, 4.00%, 12/1/2024 | | | 100 | | | | 112 | |
| | |
Cook County School District No. 63 East Maine | | | | | | | | |
| | |
GO, 5.00%, 12/1/2020 | | | 2,170 | | | | 2,237 | |
| | |
GO, 5.00%, 12/1/2021 | | | 1,845 | | | | 1,976 | |
| | |
GO, 5.00%, 12/1/2022 | | | 1,935 | | | | 2,148 | |
| | |
Cook County School District No. 69, Skokie, Limited Tax | | | | | | | | |
| | |
GO, 4.00%, 12/1/2024 (c) | | | 315 | | | | 359 | |
| | |
GO, 4.00%, 12/1/2025 (c) | | | 460 | | | | 535 | |
| | |
Cook County School District No. 99 Cicero | | | | | | | | |
| | |
Series 2019B, GO, 5.00%, 12/1/2022 | | | 350 | | | | 385 | |
| | |
Series 2019B, GO, 5.00%, 12/1/2023 | | | 575 | | | | 653 | |
| | |
Cook County, Community Consolidated School District No. 146 Tinley Park | | | | | | | | |
| | |
GO, 4.00%, 12/1/2020 | | | 200 | | | | 204 | |
| | |
GO, 4.00%, 12/1/2021 | | | 200 | | | | 211 | |
| | |
Cook County, Proviso Township High School District No. 209 GO, 5.00%, 12/1/2021 | | | 2,825 | | | | 3,022 | |
| | |
County of Will | | | | | | | | |
| | |
Series 2019, GO, 5.00%, 11/15/2020 | | | 810 | | | | 833 | |
| | |
Series 2019, GO, 5.00%, 11/15/2021 | | | 270 | | | | 289 | |
| | |
Series 2019, GO, 5.00%, 11/15/2022 | | | 475 | | | | 527 | |
| | |
Series 2019, GO, 5.00%, 11/15/2023 | | | 525 | | | | 603 | |
| | |
DuPage County Community High School District No. 94 | | | | | | | | |
| | |
GO, 4.00%, 1/1/2021 | | | 200 | | | | 205 | |
| | |
GO, 4.00%, 1/1/2033 | | | 10 | | | | 11 | |
| | |
DuPage County High School District No. 87 Glenbard GO, 3.00%, 10/1/2022 | | | 1,500 | | | | 1,575 | |
| | |
Flagg-Rochelle Community Park District | | | | | | | | |
| | |
Series A, GO, AGM, 4.00%, 1/1/2021 | | | 100 | | | | 102 | |
| | |
Series A, GO, AGM, 4.00%, 1/1/2022 | | | 210 | | | | 222 | |
| | |
Series A, GO, AGM, 4.00%, 1/1/2023 | | | 220 | | | | 236 | |
| | |
Series A, GO, AGM, 4.00%, 1/1/2024 | | | 225 | | | | 247 | |
| | |
Grundy County School District No. 54 Series 2011A, GO, AGM, 7.25%, 12/1/2021 | | | 710 | | | | 787 | |
| | |
Hoffman Estates Park District | | | | | | | | |
| | |
Series 2019A, GO, 4.00%, 12/1/2020 | | | 1,300 | | | | 1,329 | |
| | |
Series 2019A, GO, 4.00%, 12/1/2021 | | | 135 | | | | 142 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2019B, GO, 4.00%, 12/1/2023 | | | 245 | | | | 272 | |
| | |
Jackson County Community Unit School District No. 186 GO, AGM, 4.00%, 12/1/2020 | | | 265 | | | | 271 | |
| | |
Joliet Park District, Limited Tax Park GO, 4.00%, 2/1/2021 | | | 830 | | | | 852 | |
| | |
Kane County School District No. 131 Aurora East Side | | | | | | | | |
| | |
Series 2020A, GO, AGM, 2.00%, 12/1/2020 (c) | | | 185 | | | | 187 | |
| | |
Series 2020B, GO, AGM, 2.00%, 12/1/2020 (c) | | | 220 | | | | 222 | |
| | |
Series 2020A, GO, AGM, 3.00%, 12/1/2021 (c) | | | 175 | | | | 181 | |
| | |
Series 2020B, GO, AGM, 3.00%, 12/1/2021 (c) | | | 255 | | | | 264 | |
| | |
Series 2020A, GO, AGM, 4.00%, 12/1/2022 (c) | | | 120 | | | | 130 | |
| | |
Series 2020B, GO, AGM, 4.00%, 12/1/2022 (c) | | | 220 | | | | 238 | |
| | |
Series 2020A, GO, AGM, 5.00%, 12/1/2023 (c) | | | 145 | | | | 166 | |
| | |
Series 2020B, GO, AGM, 5.00%, 12/1/2023 (c) | | | 235 | | | | 269 | |
| | |
Series 2020A, GO, AGM, 5.00%, 12/1/2024 (c) | | | 240 | | | | 284 | |
| | |
Series 2020A, GO, AGM, 5.00%, 12/1/2025 (c) | | | 55 | | | | 67 | |
| | |
Series 2020B, GO, AGM, 5.00%, 12/1/2025 (c) | | | 115 | | | | 140 | |
| | |
Kendall Kane and Will Counties Community Unit School District No. 308 | | | | | | | | |
| | |
Series B, GO, 4.00%, 10/1/2020 | | | 225 | | | | 229 | |
| | |
Series B, GO, 4.00%, 10/1/2021 | | | 255 | | | | 267 | |
| | |
Series B, GO, 5.00%, 10/1/2022 | | | 1,375 | | | | 1,502 | |
| | |
La Grange Park District Series 2012B, GO, 5.00%, 12/1/2021 | | | 415 | | | | 444 | |
| | |
Lee & Ogle Counties School District No. 170 Dixon | | | | | | | | |
| | |
Series 2019A, GO, AGM, 3.00%, 1/30/2021 | | | 50 | | | | 51 | |
| | |
Series 2019B, GO, AGM, 3.00%, 1/30/2021 | | | 120 | | | | 122 | |
| | |
Series 2019A, GO, AGM, 3.00%, 1/30/2022 | | | 160 | | | | 166 | |
| | |
Series 2019B, GO, AGM, 3.00%, 1/30/2022 | | | 245 | | | | 254 | |
| | |
Series 2019A, GO, AGM, 3.00%, 1/30/2023 | | | 170 | | | | 178 | |
| | |
Series 2019B, GO, AGM, 3.00%, 1/30/2023 | | | 255 | | | | 266 | |
| | |
Lincoln Land Community College District No. 526 GO, 5.00%, 12/15/2021 | | | 125 | | | | 134 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 93 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Madison-Macoupin Etc Counties Community College District No. 536, Lewis and Clark Community | | | | | | | | |
| | |
GO, AGM, 4.00%, 5/1/2020 | | | 75 | | | | 76 | |
| | |
GO, AGM, 4.00%, 5/1/2022 | | | 750 | | | | 797 | |
| | |
GO, AGM, 4.00%, 5/1/2023 | | | 700 | | | | 761 | |
| | |
Sangamon County Community Unit School District No. 5 Ball-Chatham | | | | | | | | |
| | |
Series B, GO, 5.00%, 1/1/2022 | | | 1,650 | | | | 1,772 | |
| | |
GO, 4.00%, 2/1/2023 | | | 2,015 | | | | 2,177 | |
| | |
Sangamon Menard Etc Counties Community School District No. 8 Pleasant Plains | | | | | | | | |
| | |
Series 2019C, GO, 4.00%, 1/1/2022 | | | 165 | | | | 174 | |
| | |
Series 2019C, GO, 4.00%, 1/1/2023 | | | 310 | | | | 334 | |
| | |
Series 2019C, GO, 4.00%, 1/1/2024 | | | 370 | | | | 408 | |
| | |
State of Illinois | | | | | | | | |
| | |
Series D, GO, 5.00%, 11/1/2020 | | | 5,000 | | | | 5,132 | |
| | |
GO, 5.00%, 2/1/2024 | | | 3,370 | | | | 3,843 | |
| | |
Village of Antioch GO, 3.00%, 12/1/2020 | | | 290 | | | | 294 | |
| | |
Village of Bartlett | | | | | | | | |
| | |
GO, 5.00%, 12/1/2021 | | | 980 | | | | 1,048 | |
| | |
GO, 5.00%, 12/1/2022 | | | 1,065 | | | | 1,179 | |
| | |
GO, 5.00%, 12/1/2023 | | | 1,130 | | | | 1,292 | |
| | |
Village of Bolingbrook Series A, GO, AGM, 4.00%, 1/1/2021 | | | 185 | | | | 190 | |
| | |
Village of Flossmoor | | | | | | | | |
| | |
GO, 3.00%, 12/1/2020 | | | 585 | | | | 594 | |
| | |
GO, 3.00%, 12/1/2021 | | | 605 | | | | 626 | |
| | |
Village of Franklin Park GO, 4.00%, 1/1/2021 | | | 500 | | | | 512 | |
| | |
Village of Gilberts Series 2011, GO, 4.00%, 12/1/2021 | | | 440 | | | | 454 | |
| | |
Village of Hoffman Estates | | | | | | | | |
| | |
Series A, GO, 3.00%, 12/1/2020 | | | 110 | | | | 112 | |
| | |
GO, 5.00%, 12/1/2020 | | | 270 | | | | 278 | |
| | |
GO, 5.00%, 12/1/2021 | | | 210 | | | | 225 | |
| | |
Village of Midlothian | | | | | | | | |
| | |
Series 2019A, GO, 4.00%, 1/1/2023 | | | 190 | | | | 204 | |
| | |
Series 2019A, GO, 4.00%, 1/1/2024 | | | 120 | | | | 132 | |
| | |
Village of Sugar Grove, Kane County, Waterworks and Sewerage GO, 3.00%, 5/1/2020 | | | 390 | | | | 391 | |
| | |
Village of Villa Park | | | | | | | | |
| | |
Series B, GO, 4.00%, 12/15/2020 | | | 125 | | | | 128 | |
| | |
Series B, GO, 4.00%, 12/15/2021 | | | 190 | | | | 200 | |
| | |
Series B, GO, 4.00%, 12/15/2022 | | | 200 | | | | 216 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Series B, GO, 4.00%, 12/15/2023 | | | 205 | | | | 227 | |
| | |
Village of Villa Park, Illinois Alternate Source | | | | | | | | |
| | |
Series 2018C, GO, 3.00%, 12/15/2020 | | | 415 | | | | 422 | |
| | |
Series 2018C, GO, 4.00%, 12/15/2021 | | | 505 | | | | 532 | |
| | |
Village of Villa Park, Sales Tax Series A, GO, 4.00%, 12/15/2023 | | | 125 | | | | 138 | |
| | |
Village of Woodridge Series 2017, GO, 3.00%, 2/1/2021 | | | 250 | | | | 255 | |
| | |
Washington County Community Unit School District No. 10 West Washington | | | | | | | | |
| | |
GO, 4.00%, 1/15/2021 | | | 740 | | | | 759 | |
| | |
GO, 4.00%, 1/15/2022 | | | 575 | | | | 607 | |
| | |
GO, 4.00%, 1/15/2023 | | | 685 | | | | 738 | |
| | |
Whiteside and Lee Counties, Sterling Community Unit School District No. 5 GO, AGM, 4.00%, 12/1/2020 | | | 320 | | | | 327 | |
| | |
Whiteside County Community Unit School District No. 6 Morrison | | | | | | | | |
| | |
Series A, GO, AGM, 4.00%, 12/1/2020 | | | 205 | | | | 209 | |
| | |
Series A, GO, AGM, 4.00%, 12/1/2021 | | | 745 | | | | 785 | |
| | |
Will County Community High School District No. 210 Lincoln-Way | | | | | | | | |
| | |
GO, AGM, 4.00%, 1/1/2021 | | | 100 | | | | 102 | |
| | |
GO, AGM, 4.00%, 1/1/2022 | | | 1,000 | | | | 1,052 | |
| | |
Will County Township High School District No. 204 Joliet | | | | | | | | |
| | |
GO, 4.00%, 1/1/2021 | | | 75 | | | | 77 | �� |
| | |
GO, 4.00%, 1/1/2023 | | | 125 | | | | 135 | |
| | |
Will, Grundy, Livingston, Cook, Kendal, Lasalle and Kankakee Counties, Joliet Junior College, Community College District No. 525 | | | | | | | | |
| | |
GO, 5.00%, 1/1/2022 | | | 5,275 | | | | 5,658 | |
| | |
GO, 5.00%, 1/1/2023 | | | 5,495 | | | | 6,105 | |
| | |
GO, 5.00%, 1/1/2024 | | | 2,600 | | | | 2,986 | |
| | |
Winnebago and Stephenson Counties School District No. 323, School Building GO, 5.00%, 11/1/2020 | | | 100 | | | | 103 | |
| | | | | | | | |
| | |
| | | | | | | 120,832 | |
| | | | | | | | |
|
Hospital — 1.5% | |
| | |
Illinois Finance Authority, Ascension Health Alliance Senior Credit GroupSeries E-2, Rev., 1.75%, 4/1/2021 (d) | | | 250 | | | | 252 | |
| | |
Illinois Finance Authority, Little Company of Mary Hospital and Health Care Centers | | | | | | | | |
| | |
Series 2008B, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 42,220 | | | | 42,220 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 94 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Series A, Rev., VRDO, LOC: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 18,840 | | | | 18,840 | |
| | | | | | | | |
| | |
| | | | | | | 61,312 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Illinois Housing Development Authority Series 2019A, Rev., FHA, 1.60%, 1/1/2023 (d) | | | 5,600 | | | | 5,635 | |
| | | | | | | | |
|
Other Revenue — 0.9% | |
| | |
City of Rochelle Series A, Rev., AGM, 3.00%, 6/30/2020 | | | 275 | | | | 277 | |
| | |
Illinois Finance Authority, Carle Foundation Series B, Rev., VRDO, LOC: Northern Trust Co., 1.13%, 3/10/2020 (d) | | | 6,080 | | | | 6,080 | |
| | |
Metropolitan Pier and Exposition Authority, Illinois Dedicated State Tax, Capital Appreciation Series 1992A, Rev., NATL-RE, Zero Coupon, 6/15/2020 | | | 130 | | | | 130 | |
| | |
Peoria Public Building Commission | | | | | | | | |
| | |
Series A, Rev., AGM, 3.00%, 12/1/2022 | | | 75 | | | | 78 | |
| | |
Series A, Rev., AGM, 4.00%, 12/1/2024 | | | 655 | | | | 737 | |
| | |
Sales Tax Securitization Corp. Series C, Rev., 5.00%, 1/1/2023 | | | 2,700 | | | | 2,999 | |
| | |
St. Charles Public Library District | | | | | | | | |
| | |
Series 2019, Rev., 3.00%, 11/1/2020 | | | 100 | | | | 101 | |
| | |
Series 2019, Rev., 3.00%, 11/1/2021 | | | 85 | | | | 88 | |
| | |
Series 2019, Rev., 4.00%, 11/1/2022 | | | 100 | | | | 107 | |
| | |
State of Illinois, Sales Tax, Junior Obligation | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/15/2020 | | | 4,600 | | | | 4,648 | |
| | |
Series B, Rev., 5.00%, 6/15/2020 | | | 5,000 | | | | 5,049 | |
| | |
Rev., 5.00%, 6/15/2021 | | | 110 | | | | 115 | |
| | |
Series 2018B, Rev., 5.00%, 6/15/2021 | | | 5,000 | | | | 5,239 | |
| | |
Rev., 5.00%, 6/15/2023 | | | 990 | | | | 1,109 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2015-XF1045, Rev., VRDO, LOC: Barclays Bank plc, 1.30%, 3/10/2020 (d) (f) | | | 6,550 | | | | 6,550 | |
| | |
Series 2018, Rev., VRDO, LIQ: Barclays Bank plc, 1.30%, 3/10/2020 (d) (f) | | | 4,500 | | | | 4,500 | |
| | | | | | | | |
| | |
| | | | | | | 37,807 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Chicago O’Hare International Airport, Third Lien Series 2011C, Rev., 6.50%, 1/1/2041 (e) | | | 5,000 | | | | 5,235 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Special Tax — 0.0%(b) | |
| | |
Village of Hampshire, Special Service Area No. 14, Lakewood Crossing Rev., 1.90%, 3/1/2020 | | | 200 | | | | 200 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Chicago Midway International Airport, Second Lien | | | | | | | | |
| | |
Series 2014A, Rev., AMT, 5.00%, 1/1/2021 | | | 1,000 | | | | 1,033 | |
| | |
Series 2014B, Rev., 5.00%, 1/1/2023 | | | 150 | | | | 167 | |
| | |
Chicago O’Hare International Airport, General Airport, Senior Lien Series 2016G, Rev., AMT, 5.00%, 1/1/2021 | | | 200 | | | | 207 | |
| | |
Chicago Transit Authority, Federal Transit Administration Section 5307 Urbanized Area Formula Funds Rev., 5.00%, 6/1/2021 | | | 270 | | | | 282 | |
| | |
Illinois State Toll Highway Authority Series 2019C, Rev., 5.00%, 1/1/2025 | | | 5,000 | | | | 5,953 | |
| | | | | | | | |
| | |
| | | | | | | 7,642 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 279,019 | |
| | | | | | | | |
|
Indiana — 3.6% | |
|
Education — 0.3% | |
| | |
Fort Wayne Community School Building Corp., First Mortgage | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 165 | | | | 167 | |
| | |
Rev., 4.00%, 1/15/2021 | | | 100 | | | | 103 | |
| | |
Rev., 4.00%, 7/15/2021 | | | 250 | | | | 260 | |
| | |
Rev., 4.00%, 1/15/2022 | | | 250 | | | | 264 | |
| | |
Rev., 4.00%, 7/15/2022 | | | 125 | | | | 134 | |
| | |
Hammond Multi-School Building Corp., First Mortgage | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 615 | | | | 621 | |
| | |
Rev., 4.00%, 7/15/2021 | | | 670 | | | | 695 | |
| | |
Indiana Finance Authority, Butler University Project | | | | | | | | |
| | |
Rev., 3.00%, 2/1/2021 | | | 140 | | | | 143 | |
| | |
Rev., 3.00%, 2/1/2022 | | | 210 | | | | 218 | |
| | |
Rev., 3.00%, 2/1/2023 | | | 225 | | | | 238 | |
| | |
Indiana Finance Authority, Marian University Project | | | | | | | | |
| | |
Series A, Rev., 5.00%, 9/15/2020 | | | 50 | | | | 51 | |
| | |
Series A, Rev., 5.00%, 9/15/2021 | | | 60 | | | | 63 | |
| | |
Series A, Rev., 5.00%, 9/15/2022 | | | 50 | | | | 55 | |
| | |
Series A, Rev., 5.00%, 9/15/2023 | | | 75 | | | | 84 | |
| | |
Series A, Rev., 5.00%, 9/15/2024 | | | 155 | | | | 179 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 95 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Education — continued | |
| | |
North Putnam Middle School Building Corp., Property Tax, First Mortgage | | | | | | | | |
| | |
Series 2019, Rev., 3.00%, 1/15/2021 | | | 170 | | | | 173 | |
| | |
Series 2019, Rev., 3.00%, 7/15/2021 | | | 190 | | | | 195 | |
| | |
Series 2019, Rev., 3.00%, 1/15/2022 | | | 250 | | | | 260 | |
| | |
Series 2019, Rev., 3.00%, 7/15/2022 | | | 150 | | | | 157 | |
| | |
Purdue University, Student Facilities System Series 2007C, Rev., VRDO, 1.07%, 3/10/2020 (d) | | | 6,575 | | | | 6,575 | |
| | |
South Madison Elementary School Building Corp., Indiana Ad Valorem Property Tax | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 70 | | | | 71 | |
| | |
Rev., 4.00%, 1/15/2021 | | | 100 | | | | 103 | |
| | |
Rev., 4.00%, 7/15/2021 | | | 80 | | | | 83 | |
| | |
Southmont School Building Corp., Ad Valorem Property Tax Rev., 4.00%, 7/15/2020 | | | 190 | | | | 192 | |
| | |
Tippecanoe County School Building Corp. | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 240 | | | | 243 | |
| | |
Rev., 4.00%, 1/15/2021 | | | 300 | | | | 308 | |
| | |
Rev., 4.00%, 7/15/2021 | | | 200 | | | | 208 | |
| | |
Rev., 4.00%, 1/15/2022 | | | 365 | | | | 386 | |
| | |
Rev., 4.00%, 7/15/2022 | | | 275 | | | | 295 | |
| | |
Rev., 4.00%, 1/15/2023 | | | 300 | | | | 326 | |
| | |
Rev., 4.00%, 7/15/2023 | | | 380 | | | | 419 | |
| | | | | | | | |
| | |
| | | | | | | 13,269 | |
| | | | | | | | |
|
General Obligation — 0.5% | |
| | |
Fort Wayne Community Schools | | | | | | | | |
| | |
GO, 2.00%, 7/15/2020 | | | 450 | | | | 452 | |
| | |
GO, 4.00%, 1/15/2021 | | | 455 | | | | 467 | |
| | |
GO, 4.00%, 7/15/2021 | | | 630 | | | | 656 | |
| | |
GO, 4.00%, 1/15/2022 | | | 755 | | | | 798 | |
| | |
Franklin Township Community School Corp. | | | | | | | | |
| | |
GO, 4.00%, 7/15/2020 | | | 1,415 | | | | 1,430 | |
| | |
GO, 4.00%, 1/15/2021 | | | 1,465 | | | | 1,502 | |
| | |
Metropolitan School District of Southwest Allen County | | | | | | | | |
| | |
Series 2019B, GO, 4.00%, 7/15/2020 | | | 175 | | | | 177 | |
| | |
Series 2019B, GO, 4.00%, 1/15/2021 | | | 110 | | | | 113 | |
| | |
Series 2019B, GO, 4.00%, 7/15/2021 | | | 100 | | | | 104 | |
| | |
Series 2019B, GO, 4.00%, 1/15/2022 | | | 100 | | | | 106 | |
| | |
Series 2019B, GO, 4.00%, 7/15/2022 | | | 590 | | | | 632 | |
| | |
Series 2019B, GO, 4.00%, 1/15/2023 | | | 520 | | | | 564 | |
| | |
Series 2019B, GO, 4.00%, 7/15/2023 | | | 485 | | | | 533 | |
| | |
Series 2019B, GO, 4.00%, 1/15/2024 | | | 575 | | | | 639 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Metropolitan School District Washington Township | | | | | | | | |
| | |
GO, 4.00%, 7/15/2021 | | | 250 | | | | 261 | |
| | |
GO, 4.00%, 1/15/2022 | | | 590 | | | | 624 | |
| | |
Vinton-Tecumseh School Building Corp. Series C, GO, BAN, 2.50%, 4/1/2020 | | | 10,000 | | | | 10,011 | |
| | | | | | | | |
| | |
| | | | | | | 19,069 | |
| | | | | | | | |
|
Hospital — 1.2% | |
| | |
Indiana Finance Authority, Goshen Health Series B, Rev., 2.10%, 11/1/2026 (d) | | | 2,700 | | | | 2,805 | |
| | |
Indiana Finance Authority, Health Obligation | | | | | | | | |
| | |
Series L, Rev., (SIFMA Municipal Swap Index Yield + 0.28%), 1.43%, 3/10/2020 (g) | | | 10,000 | | | | 10,003 | |
| | |
Series B, Rev., 2.25%, 7/1/2025 (d) | | | 5,000 | | | | 5,339 | |
| | |
Indiana Finance Authority, University Health Obligated Group Series E, Rev., VRDO, LOC: Bank of America NA, 1.14%, 3/10/2020 (d) | | | 1,055 | | | | 1,055 | |
| | |
Indiana Health Facility Financing Authority, Ascension Health Credit Group | | | | | | | | |
| | |
Rev., 1.37%, 5/1/2020 (d) | | | 3,675 | | | | 3,678 | |
| | |
Series 2001A-2, Rev., 2.00%, 2/1/2023 (d) | | | 25,000 | | | | 25,715 | |
| | | | | | | | |
| | |
| | | | | | | 48,595 | |
| | | | | | | | |
|
Other Revenue — 0.9% | |
| | |
Hammond Local Public Improvement Bond Bank | | | | | | | | |
| | |
Series 2020A, Rev., 2.25%, 6/30/2020 | | | 2,000 | | | | 2,004 | |
| | |
Series 2020A, Rev., 2.38%, 12/31/2020 | | | 2,000 | | | | 2,012 | |
| | |
Indiana Finance Authority, Lease AppropriationSeries 2007A-3, Rev., VRDO, LIQ: U.S. Bank NA, 1.24%, 3/2/2020 (d) | | | 27,475 | | | | 27,475 | |
| | |
Indiana State Finance Authority, Lease Appropriation, Stadium Project Series A, Rev., VRDO, 1.14%, 3/10/2020 (d) | | | 6,820 | | | | 6,820 | |
| | | | | | | | |
| | |
| | | | | | | 38,311 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Rev., 1.37%, 5/1/2020 (d) (e) | | | 95 | | | | 95 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
City of Rockport, AEP Generating Company Project | | | | | | | | |
| | |
Series A, Rev., 1.35%, 9/1/2022 (d) | | | 2,000 | | | | 2,012 | |
| | |
Series B, Rev., 1.35%, 9/1/2022 (d) | | | 2,250 | | | | 2,263 | |
| | |
City of Rockport, Indiana Michigan Power Company Project Series 2009B, Rev., 3.05%, 6/1/2025 | | | 6,500 | | | | 7,101 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 96 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — continued | |
| | |
Indiana Finance Authority, Duke Energy Indiana, Inc., ProjectSeries A-3, Rev., VRDO, LOC: Mizuho Bank Ltd., 1.20%, 3/10/2020 (d) | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
| | |
| | | | | | | 31,376 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Martinsville, Waterworks Rev., AGM, 2.00%, 7/1/2020 | | | 310 | | | | 311 | |
| | |
Town of Schererville, Sewage Works | | | | | | | | |
| | |
Rev., 2.00%, 3/1/2020 | | | 100 | | | | 100 | |
| | |
Rev., 4.00%, 3/1/2021 | | | 50 | | | | 51 | |
| | |
Rev., 4.00%, 3/1/2022 | | | 75 | | | | 80 | |
| | |
Rev., 4.00%, 3/1/2023 | | | 75 | | | | 81 | |
| | |
Rev., 4.00%, 3/1/2024 | | | 110 | | | | 123 | |
| | | | | | | | |
| | |
| | | | | | | 746 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 151,461 | |
| | | | | | | | |
|
Iowa — 0.6% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
City of Altoona, Evidencing an Ownership Interest in Base Lease Payments Pursuant to a Lease Purchase Agreement | | | | | | | | |
| | |
Series 2020A, COP, 4.00%, 6/1/2022 | | | 225 | | | | 240 | |
| | |
Series 2020A, COP, 4.00%, 6/1/2023 | | | 275 | | | | 302 | |
| | |
City of Coralville Series 2016E, COP, 4.00%, 6/1/2023 | | | 325 | | | | 330 | |
| | | | | | | | |
| | |
| | | | | | | 872 | |
| | | | | | | | |
|
Education — 0.0% (b) | |
| | |
North Polk Community School District, Iowa School Infrastructure Sales Series 2020B, Rev., 4.00%, 6/1/2022 | | | 450 | | | | 479 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Iowa Falls | | | | | | | | |
| | |
GO, 3.00%, 6/1/2020 | | | 120 | | | | 121 | |
| | |
GO, 3.00%, 6/1/2023 | | | 230 | | | | 244 | |
| | |
City of Sac City | | | | | | | | |
| | |
GO, 5.00%, 6/1/2020 | | | 150 | | | | 152 | |
| | |
GO, 5.00%, 6/1/2021 | | | 160 | | | | 168 | |
| | |
County of Plymouth | | | | | | | | |
| | |
GO, AGM, 3.00%, 6/1/2020 | | | 280 | | | | 282 | |
| | |
GO, AGM, 3.00%, 6/1/2021 | | | 565 | | | | 580 | |
| | |
GO, AGM, 3.00%, 6/1/2022 | | | 290 | | | | 302 | |
| | |
Waukee Community School District GO, 5.00%, 6/1/2020 | | | 45 | | | | 45 | |
| | | | | | | | |
| | |
| | | | | | | 1,894 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
Iowa Finance Authority, Health Systems Rev., VRDO, 1.72%, 3/10/2020 (d) (f) | | | 19,650 | | | | 19,650 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
City of Coralville, Annual Appropriation Series 2018D, Rev., 3.00%, 5/1/2020 | | | 300 | | | | 300 | |
| | |
State of Iowa, Ijobs Program Series A, Rev., 5.00%, 6/1/2021 | | | 400 | | | | 421 | |
| | | | | | | | |
| | |
| | | | | | | 721 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 23,616 | |
| | | | | | | | |
|
Kansas — 0.5% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
Johnson County Park and Recreation District | | | | | | | | |
| | |
Series 2019B, COP, 3.00%, 9/1/2020 | | | 340 | | | | 343 | |
| | |
Series 2019A, COP, 5.00%, 9/1/2020 | | | 200 | | | | 204 | |
| | |
Series 2019B, COP, 3.00%, 9/1/2021 | | | 255 | | | | 263 | |
| | |
Series 2019A, COP, 5.00%, 9/1/2021 | | | 240 | | | | 255 | |
| | |
Series 2019B, COP, 3.00%, 9/1/2022 | | | 200 | | | | 210 | |
| | |
Series 2019A, COP, 5.00%, 9/1/2022 | | | 250 | | | | 274 | |
| | |
Series 2019B, COP, 3.00%, 9/1/2023 | | | 200 | | | | 213 | |
| | |
Series 2019A, COP, 5.00%, 9/1/2023 | | | 125 | | | | 142 | |
| | |
Kansas City Kansas Community College | | | | | | | | |
| | |
Series 2020A, COP, 4.00%, 4/1/2021 | | | 450 | | | | 464 | |
| | |
Series 2020A, COP, 4.00%, 4/1/2022 | | | 600 | | | | 637 | |
| | |
Series 2020A, COP, 4.00%, 4/1/2023 | | | 800 | | | | 871 | |
| | |
Series 2020A, COP, 4.00%, 4/1/2024 | | | 500 | | | | 558 | |
| | | | | | | | |
| | |
| | | | | | | 4,434 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
Butler County Unified School District No. 385, Temporary Notes GO, 3.00%, 12/1/2020 | | | 815 | | | | 827 | |
| | |
City of Manhattan, Temporary Notes GO, 1.50%, 6/15/2022 | | | 5,915 | | | | 5,921 | |
| | |
County of Reno, Temporary Notes GO, 3.00%, 12/1/2021 | | | 4,605 | | | | 4,673 | |
| | |
Sedgwick County Unified School District No. 267 Renwick | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 11/1/2022 | | | 100 | | | | 105 | |
| | |
Series 2019A, GO, 3.00%, 11/1/2023 | | | 100 | | | | 107 | |
| | |
Wyandotte County Unified School District No. 202 Turner | | | | | | | | |
| | |
Series 2019A, GO, AGM, 2.00%, 9/1/2021 | | | 200 | | | | 203 | |
| | |
Series 2019A, GO, AGM, 3.00%, 9/1/2022 | | | 125 | | | | 131 | |
| | |
Series 2019A, GO, AGM, 3.00%, 9/1/2023 | | | 400 | | | | 426 | |
| | |
Series 2019A, GO, AGM, 3.00%, 9/1/2024 | | | 400 | | | | 433 | |
| | | | | | | | |
| | |
| | | | | | | 12,826 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 97 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
City of Lenexa, Kansas Health Care Facility, Lakeview Village, Inc. Series A, Rev., 5.00%, 5/15/2020 | | | 440 | | | | 443 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Overland Park Development Corp., Overland Park Convention Center | | | | | | | | |
| | |
Rev., 3.00%, 3/1/2020 | | | 2,235 | | | | 2,235 | |
| | |
Rev., 4.00%, 3/1/2021 | | | 1,400 | | | | 1,440 | |
| | | | | | | | |
| | |
| | | | | | | 3,675 | |
| | | | | | | | |
| | |
Total Kansas | | | | | | | 21,378 | |
| | | | | | | | |
|
Kentucky — 1.8% | |
|
General Obligation — 0.0% (b) | |
| | |
Lexington-Fayette Urban County Government, Various Purpose Series 2014A, GO, 5.00%, 9/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
|
Hospital — 0.8% | |
| | |
City of Ashland, Ashland Hospital Corp. DBA King’s Daughters Medical Center | | | | | | | | |
| | |
Rev., 5.00%, 2/1/2021 | | | 385 | | | | 398 | |
| | |
Rev., 5.00%, 2/1/2022 | | | 500 | | | | 534 | |
| | |
Rev., 5.00%, 2/1/2023 | | | 600 | | | | 662 | |
| | |
Rev., 5.00%, 2/1/2024 | | | 575 | | | | 652 | |
| | |
Louisville/Jefferson County Metropolitan Government, Health System, Norton Healthcare, Inc. | | | | | | | | |
| | |
Series 2020B, Rev., 5.00%, 3/10/2020 (c) (d) | | | 22,000 | | | | 25,179 | |
| | |
Series 2020C, Rev., 5.00%, 3/10/2020 (c) (d) | | | 5,000 | | | | 6,251 | |
| | | | | | | | |
| | |
| | | | | | | 33,676 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
Kentucky Housing Corp., BTT Development III Portfolio Rev., 1.40%, 6/1/2022 (d) | | | 3,315 | | | | 3,342 | |
| | |
Kentucky Housing Corp., Henry Greene Apartments Project Rev., 2.00%, 9/1/2020 (d) | | | 7,200 | | | | 7,236 | |
| | | | | | | | |
| | |
| | | | | | | 10,578 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
Louisville/Jefferson County Metropolitan Government, Louisville Gas and Electric Co. Project Series 2003A, Rev., 1.85%, 4/1/2021 (d) | | | 10,000 | | | | 10,088 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
Kentucky State Property and Buildings Commission, Project No. 110 Rev., 5.00%, 8/1/2024 | | | 85 | | | | 99 | |
| | |
Kentucky State Property and Buildings Commission, Project No. 99 Series A, Rev., 5.00%, 11/1/2021 | | | 1,540 | | | | 1,581 | |
| | | | | | | | |
| | |
| | | | | | | 1,680 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Franklin County Public Properties Corp., Justice Center Project Series A, Rev., 4.50%, 4/1/2031 (e) | | | 40 | | | | 42 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Louisville Regional Airport Authority, Airport System Series A, Rev., AMT, 5.00%, 7/1/2022 | | | 1,000 | | | | 1,093 | |
| | | | | | | | |
|
Utility — 0.4% | |
| | |
Kentucky Public Energy Authority, Gas Supply | | | | | | | | |
| | |
Series 2018A, Rev., 4.00%, 4/1/2020 | | | 780 | | | | 782 | |
| | |
Series 2018A, Rev., 4.00%, 4/1/2021 | | | 775 | | | | 800 | |
| | |
Series A, Rev., 4.00%, 4/1/2022 | | | 1,210 | | | | 1,283 | |
| | |
Louisville/Jefferson County Metropolitan Government, Kentucky Pollution Control, Louisville Gas and Electric Company Project Series B, Rev., AMT, 2.55%, 5/3/2021 (d) | | | 2,750 | | | | 2,797 | |
| | |
Paducah Electric Plant Board | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 2,250 | | | | 2,301 | |
| | |
Rev., 5.00%, 10/1/2021 | | | 2,300 | | | | 2,440 | |
| | |
Rev., 5.00%, 10/1/2022 | | | 2,000 | | | | 2,194 | |
| | |
Rev., 5.00%, 10/1/2023 | | | 2,000 | | | | 2,267 | |
| | | | | | | | |
| | |
| | | | | | | 14,864 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Kentucky Rural Water Finance Corp., ConstructionSeries E-2018-1, Rev., 2.25%, 3/1/2020 | | | 1,565 | | | | 1,565 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 73,606 | |
| | | | | | | | |
|
Louisiana — 1.5% | |
|
General Obligation — 0.3% | |
| | |
Calcasieu Parish School District No. 23 | | | | | | | | |
| | |
GO, 5.00%, 9/1/2023 | | | 180 | | | | 205 | |
| | |
GO, 5.00%, 9/1/2024 | | | 250 | | | | 294 | |
| | |
Calcasieu Parish School District No. 31 GO, 3.00%, 3/1/2020 | | | 370 | | | | 370 | |
| | |
Calcasieu Parish School District No. 34 GO, 3.00%, 1/15/2022 | | | 520 | | | | 541 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 98 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
City of Shreveport, Water and Sewer GO, 5.00%, 9/1/2021 | | | 145 | | | | 153 | |
| | |
Iberia Parishwide School District GO, 2.00%, 3/1/2021 | | | 150 | | | | 152 | |
| | |
St. Martin Parish School Board GO, 3.00%, 3/1/2021 | | | 335 | | | | 342 | |
| | |
St. Tammany Parish Wide School District No. 12 GO, 2.00%, 3/1/2020 | | | 200 | | | | 200 | |
| | |
State of LouisianaSeries 2013-C, GO, 5.00%, 7/15/2021 | | | 10,105 | | | | 10,683 | |
| | |
Zachary Community School District No. 1 | | | | | | | | |
| | |
GO, 3.00%, 3/1/2021 | | | 200 | | | | 204 | |
| | |
GO, 3.00%, 3/1/2022 | | | 685 | | | | 715 | |
| | |
GO, 3.00%, 3/1/2023 | | | 715 | | | | 755 | |
| | | | | | | | |
| | |
| | | | | | | 14,614 | |
| | | | | | | | |
|
Hospital — 1.0% | |
| | |
Louisiana Public Facilities Authority, Christus Health Series 2018D, Rev., 5.00%, 7/1/2020 | | | 700 | | | | 709 | |
| | |
Louisiana Public Facilities Authority, Louisiana Children’s Medical Center Project Rev., (SIFMA Municipal Swap Index Yield + 0.65%), 1.80%, 3/10/2020 (g) | | | 40,000 | | | | 40,126 | |
| | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project | | | | | | | | |
| | |
Rev., 4.00%, 5/15/2020 | | | 195 | | | | 196 | |
| | |
Rev., 5.00%, 5/15/2020 | | | 325 | | | | 328 | |
| | | | | | | | |
| | |
| | | | | | | 41,359 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Parish of St. Charles, Pollution Control, Shell Oil Co., Norco Project Series B, Rev., VRDO, 1.25%, 3/2/2020 (d) | | | 150 | | | | 150 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Youngsville LA | | | | | | | | |
| | |
Rev., 3.00%, 12/1/2020 | | | 250 | | | | 254 | |
| | |
Rev., 3.00%, 12/1/2021 | | | 255 | | | | 264 | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, East Ascension Consolidated Gravity Drainage District No. 1 Project Series 2015, Rev., 5.00%, 12/1/2025 | | | 715 | | | | 874 | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Lake Charles Public Improvement Projects Rev., 4.00%, 5/1/2020 | | | 200 | | | | 201 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2021 | | | 1,500 | | | | 1,595 | |
| | |
Louisiana Office Facilities Corp., Lease, Capitol Complex Program Series A, Rev., 5.00%, 5/1/2020 | | | 4,290 | | | | 4,319 | |
| | | | | | | | |
| | |
| | | | | | | 7,507 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Shreveport, Water and Sewer, Junior Lien | | | | | | | | |
| | |
Series 2019B, Rev., AGM, 4.00%, 12/1/2023 | | | 310 | | | | 343 | |
| | |
Series 2019B, Rev., AGM, 5.00%, 12/1/2024 | | | 225 | | | | 266 | |
| | | | | | | | |
| | |
| | | | | | | 609 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 64,239 | |
| | | | | | | | |
|
Maryland — 1.2% | |
|
Hospital — 1.1% | |
| | |
County of Montgomery, CHE Trinity Health Credit Group Series MD, Rev., VRDO, 1.12%, 6/1/2020 (d) | | | 46,000 | | | | 46,000 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Maryland Stadium Authority, Construction and Revitalization Program | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 5/1/2020 | | | 800 | | | | 806 | |
| | |
Series 2018A, Rev., 5.00%, 5/1/2021 | | | 1,215 | | | | 1,273 | |
| | | | | | | | |
| | |
| | | | | | | 2,079 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 48,079 | |
| | | | | | | | |
|
Massachusetts — 4.1% | |
|
Education — 0.0%(b) | |
| | |
Massachusetts Development Finance Agency, Suffolk University | | | | | | | | |
| | |
Rev., 4.00%, 7/1/2020 | | | 250 | | | | 252 | |
| | |
Rev., 5.00%, 7/1/2021 | | | 500 | | | | 527 | |
| | |
Rev., 5.00%, 7/1/2022 | | | 390 | | | | 426 | |
| | |
Rev., 5.00%, 7/1/2024 | | | 350 | | | | 408 | |
| | |
Massachusetts Development Finance Agency, Western New England University | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2020 | | | 300 | | | | 306 | |
| | |
Rev., 5.00%, 9/1/2021 | | | 265 | | | | 280 | |
| | | | | | | | |
| | |
| | | | | | | 2,199 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 99 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — 1.7% | |
| | |
City of Boston Series A, GO, 5.00%, 4/1/2020 | | | 10 | | | | 10 | |
| | |
City of Fall River GO, BAN, 1.50%, 2/5/2021 | | | 14,094 | | | | 14,161 | |
| | |
City of Greenfield GO, BAN, 2.00%, 10/1/2020 | | | 4,853 | | | | 4,881 | |
| | |
City of Lowell GO, BAN, 2.00%, 9/25/2020 | | | 4,389 | | | | 4,413 | |
| | |
Commonwealth of Massachusetts Series A, GO, (ICE LIBOR USD 3 Month + 0.55%), 1.73%, 5/1/2020 (g) | | | 30,000 | | | | 30,061 | |
| | |
Commonwealth of Massachusetts, Consolidated Loan of 2014 Subseries D-2, GO, 1.70%, 8/1/2022 (d) | | | 5,500 | | | | 5,613 | |
| | |
Masconomet Regional School District GO, 5.00%, 5/1/2020 | | | 20 | | | | 20 | |
| | |
Southeastern Massachusetts Regional 911 District GO, BAN, 2.00%, 11/4/2020 | | | 7,000 | | | | 7,040 | |
| | |
Town of Bridgewater GO, BAN, 2.25%, 6/26/2020 | | | 3,500 | | | | 3,514 | |
| | | | | | | | |
| | |
| | | | | | | 69,713 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Massachusetts Development Finance Agency, Partners Healthcare System | | | | | | | | |
| | |
Series 2017S-5, Rev., (SIFMA Municipal Swap Index Yield + 0.42%), 1.57%, 3/10/2020 (g) | | | 10,000 | | | | 10,003 | |
| | |
Series 2017S, Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 1.65%, 3/10/2020 (g) | | | 1,500 | | | | 1,503 | |
| | | | | | | | |
| | |
| | | | | | | 11,506 | |
| | | | | | | | |
|
Housing — 0.0%(b) | |
| | |
Massachusetts Housing Finance Agency, Construction Loan Series 2017A, Rev., 1.85%, 6/1/2020 | | | 1,630 | | | | 1,631 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Commonwealth of Massachusetts, Consolidated Loan of 2011 Series 2011A, GO, 5.00%, 4/1/2028 (e) | | | 20 | | | | 21 | |
| | |
Massachusetts Clean Water Trust (The), Revolving Funds Subseries 16B, Rev., 5.00%, 8/1/2021 (e) | | | 4,720 | | | | 4,802 | |
| | | | | | | | |
| | |
| | | | | | | 4,823 | |
| | | | | | | | |
|
Transportation — 2.0% | |
| | |
Massachusetts Bay Transportation Authority, Sales TaxSeries A-2, Rev., VRDO, LIQ: State Street Bank & Trust, 1.13%, 3/10/2020 (d) | | | 30,785 | | | | 30,785 | |
| | |
Massachusetts Port Authority | | | | | | | | |
| | |
Series 2019-A, Rev., AMT, 5.00%, 7/1/2020 | | | 2,295 | | | | 2,326 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — continued | |
| | |
Series 2019-A, Rev., AMT, 5.00%, 7/1/2021 | | | 3,000 | | | | 3,160 | |
| | |
Series 2019-A, Rev., AMT, 5.00%, 7/1/2022 | | | 2,500 | | | | 2,735 | |
| | |
Massachusetts Transportation Trust Fund Metropolitan Highway System, Commonwealth Contract Assistance Secured Series A, Rev., 5.00%, 1/1/2023 (d) | | | 10,000 | | | | 11,160 | |
| | |
Merrimack Valley Regional Transit Authority Rev., RAN, 2.25%, 6/26/2020 | | | 8,400 | | | | 8,429 | |
| | |
Metrowest Regional Transit Authority Rev., RAN, 2.00%, 9/18/2020 | | | 9,657 | | | | 9,712 | |
| | |
Pioneer Valley Transit Authority Rev., RAN, 2.00%, 7/16/2020 | | | 13,000 | | | | 13,040 | |
| | | | | | | | |
| | |
| | | | | | | 81,347 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Massachusetts Clean Water Trust (The), Revolving Funds Series 15A, Rev., 5.00%, 8/1/2020 | | | 200 | | | | 204 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 171,423 | |
| | | | | | | | |
|
Michigan — 2.6% | |
|
Education — 0.7% | |
| | |
University of Michigan Series 2019C, Rev., 4.00%, 4/1/2024 (d) | | | 25,000 | | | | 28,039 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
City of Garden, Capital Improvement GO, 4.00%, 10/1/2020 | | | 795 | | | | 809 | |
| | |
City of Gladstone, Limited Tax | | | | | | | | |
| | |
GO, AGM, 3.00%, 3/1/2021 (c) | | | 250 | | | | 255 | |
| | |
GO, AGM, 3.00%, 3/1/2022 (c) | | | 250 | | | | 260 | |
| | |
GO, AGM, 3.00%, 3/1/2023 (c) | | | 260 | | | | 275 | |
| | |
GO, AGM, 3.00%, 3/1/2024 (c) | | | 265 | | | | 285 | |
| | |
GO, AGM, 3.00%, 3/1/2025 (c) | | | 275 | | | | 301 | |
| | |
City of Marquette, Capital Improvement | | | | | | | | |
| | |
GO, 4.00%, 5/1/2020 | | | 75 | | | | 75 | |
| | |
GO, 4.00%, 5/1/2021 | | | 150 | | | | 156 | |
| | |
City of Marquette, Limited Tax | | | | | | | | |
| | |
GO, 3.00%, 5/1/2020 | | | 85 | | | | 85 | |
| | |
GO, 3.00%, 5/1/2021 | | | 125 | | | | 128 | |
| | |
Frankenmuth School District, School Building and Site GO, Q-SBLF, 4.00%, 5/1/2023 | | | 200 | | | | 219 | |
| | |
Grand Rapids Public Schools | | | | | | | | |
| | |
Series 2019, GO, AGM, 5.00%, 11/1/2020 | | | 2,075 | | | | 2,131 | |
| | |
Series 2019, GO, AGM, 5.00%, 11/1/2021 | | | 2,225 | | | | 2,376 | |
| | |
Series 2019, GO, AGM, 5.00%, 11/1/2023 | | | 1,700 | | | | 1,949 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 100 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Grosse Pointe Public School System | | | | | | | | |
| | |
GO, 4.00%, 5/1/2020 | | | 500 | | | | 502 | |
| | |
GO, 4.00%, 5/1/2021 | | | 240 | | | | 249 | |
| | |
Hopkins Public Schools | | | | | | | | |
| | |
Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2020 | | | 85 | | | | 86 | |
| | |
Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2021 | | | 180 | | | | 187 | |
| | |
Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2022 | | | 160 | | | | 170 | |
| | |
Series 2019A, GO, Q-SBLF, 4.00%, 5/1/2023 | | | 365 | | | | 399 | |
| | |
Jackson Public Schools, Unlimited Tax | | | | | | | | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2021 | | | 1,015 | | | | 1,052 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2022 | | | 1,345 | | | | 1,433 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2023 | | | 605 | | | | 662 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2024 | | | 690 | | | | 774 | |
| | |
Kalamazoo Public Schools, School Building and Site | | | | | | | | |
| | |
GO, 4.00%, 5/1/2020 | | | 1,820 | | | | 1,829 | |
| | |
GO, 4.00%, 5/1/2021 | | | 775 | | | | 804 | |
| | |
Kelloggsville Public Schools, School Building and Site | | | | | | | | |
| | |
GO, AGM, 4.00%, 5/1/2021 | | | 360 | | | | 373 | |
| | |
GO, AGM, 4.00%, 5/1/2022 | | | 380 | | | | 405 | |
| | |
Leland Public School District | | | | | | | | |
| | |
GO, AGM, 4.00%, 5/1/2022 | | | 510 | | | | 543 | |
| | |
GO, AGM, 4.00%, 5/1/2023 | | | 785 | | | | 860 | |
| | |
Marshall Public Schools Series 2016, GO,Q-SBLF, 4.00%, 5/1/2020 | | | 850 | | | | 855 | |
| | |
Waterford School District, Unlimited Tax | | | | | | | | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2021 (c) | | | 265 | | | | 274 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2022 (c) | | | 650 | | | | 693 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2023 (c) | | | 1,340 | | | | 1,466 | |
| | |
GO, Q-SBLF, 4.00%, 5/1/2024 (c) | | | 1,360 | | | | 1,526 | |
| | |
Wayne-Westland Community Schools, Building and Site | | | | | | | | |
| | |
Series 2019, GO, Q-SBLF, 4.00%, 5/1/2020 | | | 190 | | | | 191 | |
| | |
Series 2019, GO, Q-SBLF, 4.00%, 11/1/2020 | | | 875 | | | | 893 | |
| | |
Series 2019, GO, Q-SBLF, 4.00%, 5/1/2021 | | | 200 | | | | 207 | |
| | |
Series 2019, GO, Q-SBLF, 4.00%, 11/1/2021 | | | 785 | | | | 824 | |
| | |
Series 2019, GO, Q-SBLF, 4.00%, 5/1/2022 | | | 160 | | | | 170 | |
| | |
Series 2019, GO, Q-SBLF, 5.00%, 11/1/2022 | | | 290 | | | | 320 | |
| | | | | | | | |
| | |
| | | | | | | 27,051 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Michigan Finance Authority, Bronson Healthcare Group, Inc. Series B, Rev., 3.50%, 11/15/2022 (d) | | | 4,165 | | | | 4,423 | |
| | |
Michigan Finance Authority, CHE Trinity Health Credit GroupSeries MI-1, Rev., VRDO, 1.12%, 6/1/2020 (d) | | | 11,500 | | | | 11,500 | |
| | |
Michigan State Hospital Finance Authority, Ascension Health Subordinate Credit Group Series A, Subseries 2016A-1, Rev., 1.37%, 5/1/2020 (d) | | | 2,095 | | | | 2,097 | |
| | | | | | | | |
| | |
| | | | | | | 18,020 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Michigan State Housing Development Authority, Single Family Mortgage Series D, Rev., LIQ: Industrial & Commercial Bank of China, 1.24%, 3/10/2020 (d) | | | 9,905 | | | | 9,905 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
City of Charlevoix, Limited Tax | | | | | | | | |
| | |
Rev., 4.00%, 10/1/2020 | | | 165 | | | | 168 | |
| | |
Rev., 4.00%, 10/1/2021 | | | 215 | | | | 226 | |
| | |
Rev., 4.00%, 10/1/2022 | | | 175 | | | | 188 | |
| | |
Rev., 4.00%, 10/1/2023 | | | 110 | | | | 121 | |
| | |
Detroit Downtown Development Authority, Tax Increment | | | | | | | | |
| | |
Series B, Rev., AGM, 5.00%, 7/1/2020 | | | 1,200 | | | | 1,215 | |
| | |
Series 2018A, Rev., AGM, 5.00%, 7/1/2021 | | | 500 | | | | 525 | |
| | |
Michigan Finance AuthoritySeries A-1, Rev., 4.00%, 8/20/2020 | | | 10,000 | | | | 10,145 | |
| | |
Michigan Strategic Fund, Holland Home Obligated Group | | | | | | | | |
| | |
Rev., 4.00%, 11/15/2020 | | | 200 | | | | 203 | |
| | |
Rev., 4.00%, 11/15/2021 | | | 180 | | | | 186 | |
| | |
Rev., 4.00%, 11/15/2022 | | | 180 | | | | 190 | |
| | |
Rev., 4.00%, 11/15/2023 | | | 190 | | | | 204 | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2018-XM0717, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 1.35%, 3/10/2020 (d) (f) | | | 9,410 | | | | 9,410 | |
| | | | | | | | |
| | |
| | | | | | | 22,781 | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
Gerald R Ford International Airport Authority, Limited Tax Rev., GTD, 5.00%, 1/1/2021 | | | 815 | | | | 843 | |
| | |
Wayne County Airport Authority, Junior Lien Series B, Rev., AMT, 5.00%, 12/1/2020 | | | 550 | | | | 567 | |
| | | | | | | | |
| | |
| | | | | | | 1,410 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 101 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
South Haven Township and Casco Township Water and Sewage Treatment Authority | | | | | | | | |
| | |
Rev., 4.00%, 5/1/2021 | | | 280 | | | | 290 | |
| | |
Rev., 4.00%, 5/1/2022 | | | 285 | | | | 303 | |
| | |
Rev., 4.00%, 5/1/2023 | | | 480 | | | | 525 | |
| | |
Rev., 4.00%, 5/1/2024 | | | 720 | | | | 806 | |
| | | | | | | | |
| | |
| | | | | | | 1,924 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 109,130 | |
| | | | | | | | |
|
Minnesota — 0.5% | |
|
Certificate of Participation/Lease — 0.0%(b) | |
| | |
Duluth Independent School District No. 709 | | | | | | | | |
| | |
Series 2019B, COP, 5.00%, 2/1/2021 | | | 145 | | | | 150 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2022 | | | 160 | | | | 172 | |
| | |
Series 2019C, COP, 5.00%, 2/1/2022 | | | 135 | | | | 145 | |
| | |
Series 2019B, COP, 5.00%, 2/1/2023 | | | 185 | | | | 205 | |
| | |
St. Paul Independent School District No. 625 Series B, COP, 5.00%, 2/1/2021 | | | 930 | | | | 966 | |
| | | | | | | | |
| | |
| | | | | | | 1,638 | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Minnesota Higher Education Facilities Authority, College of St. Scholastica, Inc. | | | | | | | | |
| | |
Rev., 3.00%, 12/1/2020 | | | 75 | | | | 76 | |
| | |
Rev., 3.00%, 12/1/2021 | | | 75 | | | | 77 | |
| | |
Rev., 3.00%, 12/1/2022 | | | 100 | | | | 105 | |
| | |
Rev., 3.00%, 12/1/2023 | | | 100 | | | | 106 | |
| | |
Minnesota Higher Education Facilities Authority, Trustees of the Hamline University Series 2017B, Rev., 4.00%, 10/1/2020 | | | 780 | | | | 792 | |
| | |
University of Minnesota Series A, Rev., 5.00%, 4/1/2022 | | | 2,715 | | | | 2,949 | |
| | | | | | | | |
| | |
| | | | | | | 4,105 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Glencoe | | | | | | | | |
| | |
Series 2018-A, GO, 3.00%, 8/1/2020 | | | 75 | | | | 76 | |
| | |
Series 2018-A, GO, 3.00%, 8/1/2021 | | | 80 | | | | 82 | |
| | |
State of Minnesota, Trunk Highway Series B, GO, 5.00%, 8/1/2021 | | | 1,765 | | | | 1,871 | |
| | | | | | | | |
| | |
| | | | | | | 2,029 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Minneapolis and St. Paul Housing and Redevelopment Authority, Health Care, Allina HealthSeries 2007C-1, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.14%, 3/10/2020 (d) | | | 10,000 | | | | 10,000 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
City of Wayzata, Folkestone Senior Living Community | | | | | | | | |
| | |
Rev., 3.00%, 8/1/2022 | | | 200 | | | | 207 | |
| | |
Rev., 3.00%, 8/1/2023 | | | 100 | | | | 104 | |
| | |
Rev., 3.00%, 8/1/2024 | | | 100 | | | | 105 | |
| | |
Duluth Housing and Redevelopment Authority, Public Schools Academy Project | | | | | | | | |
| | |
Series 2018-A, Rev., 3.38%, 11/1/2021 | | | 330 | | | | 337 | |
| | |
Series 2018-A, Rev., 3.63%, 11/1/2022 | | | 345 | | | | 359 | |
| | |
Series 2018-A, Rev., 3.88%, 11/1/2023 | | | 325 | | | | 344 | |
| | |
Housing and Redevelopment Authority of The City of St. Paul Minnesota, Parking Enterprise Series A, Rev., 3.00%, 8/1/2020 | | | 515 | | | | 520 | |
| | | | | | | | |
| | |
| | | | | | | 1,976 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
State of Minnesota, General Fund Appropriation Series B, Rev., 5.00%, 3/1/2020 | | | 400 | | | | 400 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 20,148 | |
| | | | | | | | |
|
Mississippi — 1.0% | |
|
General Obligation — 0.1% | |
| | |
City of Tupelo | | | | | | | | |
| | |
Series 2019, GO, 4.00%, 12/1/2020 | | | 360 | | | | 368 | |
| | |
Series 2019, GO, 4.00%, 12/1/2021 | | | 125 | | | | 132 | |
| | |
Series 2019, GO, 4.00%, 12/1/2022 | | | 245 | | | | 265 | |
| | |
Series 2019, GO, 4.00%, 12/1/2023 | | | 315 | | | | 350 | |
| | |
State of Mississippi Series F, GO, 5.00%, 11/1/2020 | | | 4,000 | | | | 4,112 | |
| | | | | | | | |
| | |
| | | | | | | 5,227 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Mississippi Hospital Equipment and Facilities Authority, Baptist Memorial Health Care Series B2, Rev., VRDO, 1.07%, 6/1/2020 (d) | | | 4,335 | | | | 4,335 | |
| | |
Mississippi Hospital Equipment and Facilities Authority, Forrest County General Hospital Refunding Project | | | | | | | | |
| | |
Series B, Rev., 5.00%, 1/1/2021 | | | 270 | | | | 279 | |
| | |
Series B, Rev., 5.00%, 1/1/2022 | | | 320 | | | | 343 | |
| | |
Series B, Rev., 5.00%, 1/1/2023 | | | 370 | | | | 409 | |
| | |
Series B, Rev., 5.00%, 1/1/2024 | | | 370 | | | | 422 | |
| | | | | | | | |
| | |
| | | | | | | 5,788 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc. Project Series E, Rev., VRDO, 1.16%, 3/10/2020 (d) | | | 6,200 | | | | 6,200 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 102 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
County of Jackson, Port Facility, Chevron USA, Inc. Project Rev., VRDO, 1.23%, 3/2/2020 (d) | | | 25,000 | | | | 25,000 | |
| | |
Mississippi Development Bank, Rankin County Project Rev., 3.00%, 3/1/2022 | | | 100 | | | | 104 | |
| | |
Mississippi Development Bank, Special Obligation, Biloxi project | | | | | | | | |
| | |
Rev., 3.00%, 3/1/2020 | | | 125 | | | | 125 | |
| | |
Rev., 3.00%, 3/1/2021 | | | 130 | | | | 133 | |
| | |
Rev., 3.00%, 3/1/2022 | | | 175 | | | | 181 | |
| | |
State of Mississippi Series E, Rev., 5.00%, 10/15/2020 | | | 100 | | | | 103 | |
| | |
State of Mississippi, Gaming Tax Series 2019A, Rev., 5.00%, 10/15/2021 | | | 700 | | | | 746 | |
| | | | | | | | |
| | |
| | | | | | | 26,392 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
State of Mississippi, Capital Improvements Project Series 2011A, GO, 5.00%, 10/1/2036 (e) | | | 25 | | | | 27 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 43,634 | |
| | | | | | | | |
|
Missouri — 1.7% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
Belton School District No. 124 Series 2019, COP, AGM, 4.00%, 1/15/2022 | | | 100 | | | | 106 | |
| | |
Blue Eye R-V School District COP, 4.00%, 4/1/2021 | | | 75 | | | | 77 | |
| | |
City of St. Peters | | | | | | | | |
| | |
COP, 4.00%, 5/1/2021 | | | 530 | | | | 549 | |
| | |
COP, 4.00%, 5/1/2022 | | | 605 | | | | 645 | |
| | |
COP, 4.00%, 5/1/2023 | | | 625 | | | | 684 | |
| | |
COP, 4.00%, 5/1/2024 | | | 650 | | | | 730 | |
| | |
COP, 4.00%, 5/1/2025 | | | 425 | | | | 488 | |
| | |
City of Waynesville Series C, COP, 2.00%, 4/15/2020 | | | 250 | | | | 250 | |
| | |
County of Stone COP, 3.00%, 12/1/2020 | | | 145 | | | | 147 | |
| | |
St. Louis County Special School District | | | | | | | | |
| | |
COP, 4.00%, 4/1/2021 | | | 355 | | | | 367 | |
| | |
COP, 4.00%, 4/1/2022 | | | 395 | | | | 420 | |
| | |
COP, 4.00%, 4/1/2023 | | | 410 | | | | 447 | |
| | |
COP, 4.00%, 4/1/2024 | | | 605 | | | | 677 | |
| | |
Village of Country Club | | | | | | | | |
| | |
COP, AGM, 3.00%, 4/1/2020 | | | 100 | | | | 100 | |
| | |
COP, AGM, 3.00%, 4/1/2021 | | | 165 | | | | 169 | |
| | | | | | | | |
| | |
| | | | | | | 5,856 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2019B, Rev., 2.88%, 2/1/2022 | | | 3,270 | | | | 3,274 | |
| | |
Missouri Western State University, Auxiliary System Rev., 2.80%, 10/1/2022 | | | 50 | | | | 50 | |
| | | | | | | | |
| | |
| | | | | | | 3,324 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Greene County Reorganized School DistrictNo. R-8 | | | | | | | | |
| | |
Series 2019B, GO, 3.00%, 3/1/2022 | | | 500 | | | | 520 | |
| | |
Series 2019B, GO, 3.00%, 3/1/2023 | | | 595 | | | | 631 | |
| | |
Nixa Public Schools, Missouri Direct Deposit Program | | | | | | | | |
| | |
Series 2019B, GO, 4.00%, 3/1/2020 | | | 100 | | | | 100 | |
| | |
Series 2019B, GO, 4.00%, 3/1/2021 | | | 100 | | | | 103 | |
| | |
Series 2019B, GO, 4.00%, 3/1/2022 | | | 175 | | | | 186 | |
| | |
Series 2019B, GO, 5.00%, 3/1/2023 | | | 200 | | | | 224 | |
| | | | | | | | |
| | |
| | | | | | | 1,764 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Cape Girardeau County IDA, South Eastern Health Series 2017A, Rev., 5.00%, 3/1/2020 | | | 320 | | | | 320 | |
| | |
Hannibal IDA, Healthcare Facilities Rev., 5.00%, 10/1/2020 | | | 300 | | | | 306 | |
| | | | | | | | |
| | |
| | | | | | | 626 | |
| | | | | | | | |
|
Other Revenue — 1.4% | |
| | |
City of Kansas City, Roe Bartle Convention Center Series F, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/10/2020 (d) | | | 4,490 | | | | 4,490 | |
| | |
County of Greene, Special Obligation | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2021 | | | 205 | | | | 216 | |
| | |
Rev., 4.00%, 12/1/2022 | | | 260 | | | | 281 | |
| | |
Rev., 4.00%, 12/1/2023 | | | 520 | | | | 577 | |
| | |
Rev., 4.00%, 12/1/2024 | | | 540 | | | | 614 | |
| | |
County of Jackson, Harry S. Truman Sports Complex Project Rev., 5.00%, 12/1/2022 | | | 4,000 | | | | 4,439 | |
| | |
Missouri Development Finance Board, The Nelson Gallery Foundation Series A, Rev., VRDO, LIQ: U.S. Bank NA, 1.23%, 3/2/2020 (d) | | | 39,970 | | | | 39,970 | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2018-XG0176, Rev., VRDO, LIQ: Royal Bank of Canada, 1.25%, 3/10/2020 (d) (f) | | | 8,200 | | | | 8,200 | |
| | | | | | | | |
| | |
| | | | | | | 58,787 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 103 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
St. Louis Lambert International Airport Series B, Rev., AMT, AGM, 5.00%, 7/1/2021 | | | 1,305 | | | | 1,376 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 71,733 | |
| | | | | | | | |
|
Montana — 0.1% | |
|
Education — 0.1% | |
| | |
Montana State Board of Regents, Montana State University Series F, Rev., VRDO, 1.60%, 3/10/2020 (d) | | | 3,225 | | | | 3,225 | |
| | | | | | | | |
|
Nebraska — 0.0%(b) | |
|
General Obligation — 0.0% (b) | |
| | |
County of Saunders | | | | | | | | |
| | |
GO, 1.00%, 11/1/2021 | | | 100 | | | | 100 | |
| | |
GO, 2.00%, 11/1/2022 | | | 300 | | | | 308 | |
| | |
GO, 3.00%, 11/1/2023 | | | 325 | | | | 349 | |
| | |
GO, 3.00%, 11/1/2024 | | | 415 | | | | 454 | |
| | |
Papio-Missouri River Natural Resource District GO, 4.00%, 12/15/2020 | | | 405 | | | | 416 | |
| | | | | | | | |
| | |
| | | | | | | 1,627 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
Upper Republican Natural Resource District, Limited Obligation, Occupation Tax Supported, River Flow Enhancement Series 2017B, Rev., AGM, 3.00%, 12/15/2020 | | | 250 | | | | 254 | |
| | | | | | | | |
|
Special Tax — 0.0% (b) | |
| | |
City of Omaha | | | | | | | | |
| | |
Series A, Rev., 2.20%, 1/15/2021 | | | 125 | | | | 126 | |
| | |
Series A, Rev., 5.00%, 1/15/2022 | | | 125 | | | | 135 | |
| | | | | | | | |
| | |
| | | | | | | 261 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 2,142 | |
| | | | | | | | |
|
Nevada — 0.9% | |
|
General Obligation — 0.1% | |
| | |
Clark County School District | | | | | | | | |
| | |
Series 2014A, GO, 5.00%, 6/15/2020 | | | 50 | | | | 51 | |
| | |
Series C, GO, 5.00%, 6/15/2023 | | | 2,000 | | | | 2,267 | |
| | | | | | | | |
| | |
| | | | | | | 2,318 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
City of Carson, Carson Tahoe Regional Healthcare Project | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2020 | | | 250 | | | | 255 | |
| | |
Rev., 5.00%, 9/1/2027 | | | 610 | | | | 765 | |
| | | | | | | | |
| | |
| | | | | | | 1,020 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
County of Humboldt, Sierra Pacific Power Company Project Series 2016B, Rev., 1.85%, 4/15/2022 (d) | | | 4,550 | | | | 4,623 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 6/15/2024 (f) | | | 885 | | | | 906 | |
| | | | | | | | |
|
Transportation — 0.5% | |
| | |
Clark County, Department of Aviation, Nevada Airport System, Junior Subordinate Lien Series A, Rev., 5.00%, 7/1/2021 | | | 18,500 | | | | 19,519 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Clark County, Nevada Power Co. Projects Rev., 1.60%, 5/21/2020 (d) | | | 3,000 | | | | 3,004 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
County of Washoe, Sierra Pacific Power Company Project Series 2016G, Rev., 1.85%, 4/15/2022 (d) | | | 5,000 | | | | 5,080 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 36,470 | |
| | | | | | | | |
|
New Hampshire — 0.2% | |
|
Education — 0.2% | |
| | |
New Hampshire Health and Education Facilities Authority Act, Dartmouth College Rev., VRDO, LIQ: U.S. Bank NA, 1.03%, 3/10/2020 (d) | | | 7,310 | | | | 7,310 | |
| | | | | | | | |
|
New Jersey — 6.4% | |
|
Education — 0.2% | |
| | |
New Jersey Economic Development Authority, School Facilities Construction | | | | | | | | |
| | |
Series 2017DDD, Rev., 5.00%, 6/15/2020 | | | 500 | | | | 506 | |
| | |
Series PP, Rev., 5.00%, 6/15/2020 | | | 200 | | | | 202 | |
| | |
Series XX, Rev., 5.00%, 6/15/2021 | | | 5,000 | | | | 5,245 | |
| | |
New Jersey Educational Facilities Authority, The William Paterson University | | | | | | | | |
| | |
Series 2012D, Rev., 5.00%, 7/1/2020 | | | 100 | | | | 102 | |
| | |
Series C, Rev., 5.00%, 7/1/2021 | | | 150 | | | | 158 | |
| | | | | | | | |
| | |
| | | | | | | 6,213 | |
| | | | | | | | |
|
General Obligation — 5.1% | |
| | |
Borough of Carlstadt GO, BAN, 2.00%, 6/26/2020 | | | 5,000 | | | | 5,013 | |
| | |
Borough of Carteret | | | | | | | | |
| | |
Series 2019, GO, BAN, 2.25%, 6/5/2020 | | | 5,999 | | | | 6,016 | |
| | |
GO, BAN, 1.75%, 1/29/2021 | | | 7,147 | | | | 7,189 | |
| | |
Borough of East Rutherford GO, AGM, 5.00%, 12/1/2020 | | | 290 | | | | 299 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 104 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Borough of Franklin GO, BAN, 2.00%, 7/31/2020 | | | 2,193 | | | | 2,200 | |
| | |
Borough of Haledon GO, BAN, 2.00%, 10/30/2020 | | | 3,650 | | | | 3,673 | |
| | |
Borough of Middlesex Series A, GO, BAN, 2.25%, 6/25/2020 | | | 5,282 | | | | 5,302 | |
| | |
Borough of Stanhope GO, BAN, 2.00%, 5/21/2020 | | | 4,639 | | | | 4,649 | |
| | |
Borough of Sussex GO, BAN, 2.00%, 10/23/2020 | | | 2,027 | | | | 2,038 | |
| | |
City of Atlantic, Tax Appeal | | | | | | | | |
| | |
Series 2017A, GO, 5.00%, 3/1/2020 | | | 650 | | | | 650 | |
| | |
Series 2017B, GO, AGM, 5.00%, 3/1/2020 | | | 200 | | | | 200 | |
| | |
City of Bridgeton GO, BAN, 2.00%, 8/21/2020 | | | 9,397 | | | | 9,429 | |
| | |
City of Englewood GO, 2.00%, 3/27/2020 | | | 5,130 | | | | 5,134 | |
| | |
City of Linwood, Bemporary Nobas GO, BAN, 2.00%, 7/21/2020 | | | 4,935 | | | | 4,949 | |
| | |
City of Newark GO, 2.00%, 10/7/2020 | | | 49,420 | | | | 49,648 | |
| | |
City of Newark, School Promissory Notes GO, 2.50%, 7/29/2020 | | | 30,582 | | | | 30,739 | |
| | |
East Brunswick Township Board of Education, School Energy Savings | | | | | | | | |
| | |
GO, 5.00%, 8/1/2020 | | | 65 | | | | 66 | |
| | |
GO, 5.00%, 8/1/2021 | | | 55 | | | | 58 | |
| | |
GO, 5.00%, 8/1/2022 | | | 110 | | | | 121 | |
| | |
Penns Grove-Carneys Point Regional School District GO, GAN, 2.50%, 7/10/2020 | | | 7,158 | | | | 7,189 | |
| | |
Township of Franklin GO, BAN, 2.00%, 7/17/2020 | | | 3,158 | | | | 3,167 | |
| | |
Township of Galloway GO, BAN, 2.00%, 8/13/2020 | | | 6,920 | | | | 6,947 | |
| | |
Township of Haddon Series 2019A, GO, BAN, 2.00%, 10/29/2020 | | | 15,758 | | | | 15,860 | |
| | |
Township of Logan GO, BAN, 1.75%, 10/21/2020 | | | 2,360 | | | | 2,371 | |
| | |
Township of Lyndhurst GO, BAN, 1.50%, 2/5/2021 | | | 4,065 | | | | 4,080 | |
| | |
Township of Pemberton Series 2019, GO, BAN, 2.25%, 6/9/2020 | | | 6,230 | | | | 6,249 | |
| | |
Township of Springfield GO, BAN, 2.00%, 7/30/2020 | | | 11,000 | | | | 11,039 | |
| | |
Township of Waterford Series 2019A, GO, BAN, 2.00%, 12/1/2020 | | | 2,718 | | | | 2,737 | |
| | |
Township of West Orange GO, BAN, 2.00%, 7/24/2020 | | | 6,692 | | | | 6,716 | |
| | |
Township of Westampton Series B, GO, BAN, 2.00%, 6/4/2020 | | | 2,205 | | | | 2,209 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Township of Willingboro Series 2019, GO, BAN, 2.75%, 4/24/2020 | | | 4,973 | | | | 4,984 | |
| | | | | | | | |
| | |
| | | | | | | 210,921 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
New Jersey Health Care Facilities Financing Authority, Holy Name Medical Center Series 2010, Rev., 4.50%, 7/1/2020 | | | 375 | | | | 379 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
New Jersey Housing and Mortgage Finance Agency, Multi-Family Conduit, Garden Spires Project Series 2018A, Rev., 2.02%, 8/1/2020 (d) | | | 8,000 | | | | 8,031 | |
| | |
New Jersey Housing and Mortgage Finance Agency, Multi-Family Conduit, Georgia King Village ProjectSeries 2018-E, Rev., 2.45%, 10/1/2020 (d) | | | 4,500 | | | | 4,536 | |
| | |
New Jersey Housing and Mortgage Finance Agency, Oceanport Gardens Series C, Rev., 1.58%, 6/1/2020 (d) | | | 1,000 | | | | 1,001 | |
| | | | | | | | |
| | |
| | | | | | | 13,568 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Passaic County Utilities Authority, Solid Waste Disposal | | | | | | | | |
| | |
Series 2018, Rev., GTD, 4.25%, 3/1/2020 | | | 180 | | | | 180 | |
| | |
Series 2018, Rev., GTD, 4.38%, 3/1/2021 | | | 255 | | | | 264 | |
| | | | | | | | |
| | |
| | | | | | | 444 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Garden State Preservation Trust Series A, Rev., 5.00%, 11/1/2020 | | | 25 | | | | 25 | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2018-XL0058, Rev., VRDO, LIQ: Barclays Bank plc, 1.27%, 3/10/2020 (d) (f) | | | 5,000 | | | | 5,000 | |
| | |
The Cumberland County Improvement Authority, Vineland Public Safety Building Project Series 2017, Rev., 5.00%, 12/15/2021 | | | 340 | | | | 366 | |
| | |
Tobacco Settlement Financing Corp. Series A, Rev., 5.00%, 6/1/2020 | | | 3,000 | | | | 3,029 | |
| | | | | | | | |
| | |
| | | | | | | 8,420 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
New Jersey Transportation Trust Fund Authority Series 2013A, Rev., 5.00%, 6/15/2020 | | | 9,635 | | | | 9,745 | |
| | |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Series A, Rev., 5.00%, 6/15/2021 | | | 6,000 | | | | 6,303 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 105 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — continued | |
| | |
New Jersey Turnpike Authority | | | | | | | | |
| | |
Series C-1, Rev., (ICE LIBOR USD 1 Month + 0.34%), 1.45%, 4/1/2020 (g) | | | 4,000 | | | | 4,007 | |
| | |
Series B, Rev., 5.00%, 1/1/2025 | | | 5,345 | | | | 5,961 | |
| | | | | | | | |
| | |
| | | | | | | 26,016 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Logan Township Municipal Utilities Authority Rev., 4.00%, 5/1/2020 | | | 100 | | | | 100 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 266,061 | |
| | | | | | | | |
|
New Mexico — 0.4% | |
|
General Obligation — 0.1% | |
| | |
Albuquerque Municipal School District No. 12, Education Technology Notes GO, 5.00%, 8/1/2020 | | | 25 | | | | 25 | |
| | |
County of Sandoval | | | | | | | | |
| | |
GO, 3.00%, 8/1/2020 | | | 330 | | | | 333 | |
| | |
GO, 5.00%, 8/1/2021 | | | 535 | | | | 566 | |
| | |
GO, 5.00%, 8/1/2022 | | | 560 | | | | 616 | |
| | |
University of New Mexico, Gallup Branch Community College District Series 2012, GO, 2.00%, 10/15/2022 | | | 1,500 | | | | 1,501 | |
| | | | | | | | |
| | |
| | | | | | | 3,041 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Farmington, Southern California Edison Co. Four Corners Project Rev., 1.87%, 4/1/2020 (d) | | | 5,000 | | | | 5,002 | |
| | |
City of Santa Fe, El Castillo Retirement Residences ProjectSeries 2019B-2, Rev., 2.25%, 5/15/2024 | | | 600 | | | | 604 | |
| | | | | | | | |
| | |
| | | | | | | 5,606 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
New Mexico Hospital Equipment Loan Council, Haverland Carter Lifestyle Group – La Vida Llena Expansion Project | | | | | | | | |
| | |
Series C, Rev., 2.25%, 7/1/2023 | | | 1,525 | | | | 1,530 | |
| | |
Series C, Rev., 2.38%, 7/1/2024 | | | 1,525 | | | | 1,531 | |
| | | | | | | | |
| | |
| | | | | | | 3,061 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Rio Rancho, Water and Wastewater System | | | | | | | | |
| | |
Rev., 5.00%, 5/15/2020 | | | 825 | | | | 832 | |
| | |
Rev., 5.00%, 5/15/2021 | | | 720 | | | | 756 | |
| | |
Rev., 5.00%, 5/15/2022 | | | 1,250 | | | | 1,362 | |
| | | | | | | | |
| | |
| | | | | | | 2,950 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 14,658 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
New York — 21.4% | |
|
Education — 0.0%(b) | |
| | |
Hempstead Town Local Development Corp., Adelphi University Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 2/1/2021 | | | 75 | | | | 77 | |
| | |
Series 2019, Rev., 4.00%, 2/1/2022 | | | 50 | | | | 53 | |
| | |
Series 2019, Rev., 4.00%, 2/1/2023 | | | 100 | | | | 109 | |
| | |
Series 2019, Rev., 4.00%, 2/1/2024 | | | 200 | | | | 223 | |
| | |
New York State Dormitory Authority, Dormitory Facilities Series 2015A, Rev., 5.00%, 7/1/2020 | | | 10 | | | | 10 | |
| | |
New York State Dormitory Authority, Fordham University Rev., 5.00%, 7/1/2023 | | | 920 | | | | 1,046 | |
| | | | | | | | |
| | |
| | | | | | | 1,518 | |
| | | | | | | | |
|
General Obligation — 14.4% | |
| | |
Batavia City School District GO, BAN, 2.00%, 6/16/2020 | | | 8,069 | | | | 8,092 | |
| | |
Beacon City School District GO, BAN, 2.50%, 6/19/2020 | | | 8,944 | | | | 8,984 | |
| | |
Brasher Falls Central School District GO, BAN, 2.00%, 7/15/2020 | | | 3,900 | | | | 3,913 | |
| | |
City of Ithaca Series B, GO, BAN, 2.00%, 7/24/2020 | | | 2,310 | | | | 2,317 | |
| | |
City of Jamestown, Public Improvement | | | | | | | | |
| | |
GO, 5.00%, 6/1/2020 | | | 450 | | | | 455 | |
| | |
GO, 5.00%, 6/1/2021 | | | 475 | | | | 500 | |
| | |
GO, 5.00%, 6/1/2022 | | | 500 | | | | 545 | |
| | |
GO, 5.00%, 6/1/2023 | | | 525 | | | | 593 | |
| | |
GO, 5.00%, 6/1/2024 | | | 545 | | | | 636 | |
| | |
City of Long Beach Series 2020A, GO, BAN, 1.50%, 9/4/2020 | | | 21,645 | | | | 21,688 | |
| | |
City of New York Subseries G-4, GO, VRDO, LIQ: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 20,000 | | | | 20,000 | |
| | |
City of New York, Fiscal Year 2006 Series I, Subseries I-4, GO, VRDO, LOC: TD Bank NA, 1.19%, 3/2/2020 (d) | | | 76,035 | | | | 76,035 | |
| | |
City of New York, Fiscal Year 2008 Subseries J-10, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ, 1.12%, 3/10/2020 (d) | | | 17,850 | | | | 17,850 | |
| | |
City of New York, Fiscal Year 2010 Series 2010E, GO, 5.00%, 8/1/2022 | | | 5,000 | | | | 5,014 | |
| | |
City of New York, Fiscal Year 2012 | | | | | | | | |
| | |
Subseries 2012G-6, GO, VRDO, LOC: Mizuho Bank Ltd., 1.22%, 3/2/2020 (d) | | | 22,615 | | | | 22,615 | |
| | |
Series 2012A-4, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ, 1.18%, 3/10/2020 (d) | | | 22,700 | | | | 22,700 | |
| | |
City of Ogdensburg Series 2019, GO, BAN, 3.00%, 4/24/2020 | | | 1,500 | | | | 1,503 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 106 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
City of Troy Series B, GO, BAN, 2.00%, 7/31/2020 | | | 8,272 | | | | 8,309 | |
| | |
Clifton-Fine Central School District GO, BAN, 1.75%, 7/15/2020 | | | 3,980 | | | | 3,988 | |
| | |
County of Clinton Series B, GO, BAN, 2.00%, 7/30/2020 | | | 7,389 | | | | 7,415 | |
| | |
County of Orange, Public Improvement GO, 5.00%, 2/1/2023 | | | 2,295 | | | | 2,576 | |
| | |
County of Suffolk Series I, GO, TAN, 2.50%, 7/23/2020 | | | 11,000 | | | | 11,064 | |
| | |
County of Suffolk, Longwood Central School District GO, 5.00%, 6/15/2021 | | | 300 | | | | 317 | |
| | |
Fallsburg Central School District GO, BAN, 2.00%, 6/26/2020 | | | 9,000 | | | | 9,025 | |
| | |
Fort Ann Central School District GO, BAN, 2.25%, 6/26/2020 | | | 3,355 | | | | 3,366 | |
| | |
General Brown Central School District GO, BAN, 2.25%, 6/26/2020 | | | 5,500 | | | | 5,521 | |
| | |
Geneva City School District GO, RAN, 2.25%, 6/24/2020 | | | 6,000 | | | | 6,021 | |
| | |
Germantown Central School District GO, BAN, 2.25%, 6/26/2020 | | | 8,890 | | | | 8,924 | |
| | |
Gorham-Middlesex Central School District GO, BAN, 2.25%, 6/25/2020 | | | 9,500 | | | | 9,536 | |
| | |
Gouverneur Central School District GO, BAN, 2.00%, 6/26/2020 | | | 6,500 | | | | 6,517 | |
| | |
Grand Island Central School District GO, BAN, 2.00%, 8/13/2020 | | | 5,300 | | | | 5,321 | |
| | |
Hartford Central School District GO, BAN, 2.00%, 6/18/2020 | | | 3,760 | | | | 3,770 | |
| | |
Hempstead Union Free School District | | | | | | | | |
| | |
GO, TAN, 2.50%, 6/25/2020 | | | 6,750 | | | | 6,782 | |
| | |
Series 2019C, GO, BAN, 2.00%, 7/15/2020 | | | 6,000 | | | | 6,022 | |
| | |
Hinsdale Central School District GO, BAN, 2.25%, 6/26/2020 | | | 4,570 | | | | 4,587 | |
| | |
Johnson City Central School District GO, BAN, 2.00%, 8/7/2020 | | | 2,292 | | | | 2,301 | |
| | |
Lansing Central School District GO, BAN, 2.00%, 6/30/2020 | | | 3,150 | | | | 3,158 | |
| | |
Lewiston-Porter Central School District Series A, GO, BAN, 2.50%, 6/17/2020 | | | 3,750 | | | | 3,765 | |
| | |
Lynbrook Union Free School District GO, BAN, 2.00%, 6/26/2020 | | | 7,000 | | | | 7,020 | |
| | |
Menands Union Free School District GO, BAN, 2.25%, 6/26/2020 | | | 7,200 | | | | 7,225 | |
| | |
Morrisville-Eaton Central School District GO, BAN, 2.00%, 6/26/2020 | | | 5,372 | | | | 5,389 | |
| | |
Mount Vernon City School District | | | | | | | | |
| | |
GO, 5.00%, 12/1/2021 | | | 885 | | | | 950 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
GO, 5.00%, 12/1/2022 | | | 1,965 | | | | 2,195 | |
| | |
Peru Central School District GO, BAN, 2.00%, 6/26/2020 | | | 5,500 | | | | 5,514 | |
| | |
Poland Central School District GO, BAN, 2.25%, 6/26/2020 | | | 11,741 | | | | 11,786 | |
| | |
Rocky Point Union Free School District GO, TAN, 2.00%, 6/25/2020 | | | 4,500 | | | | 4,512 | |
| | |
Rome City School District GO, RAN, 2.00%, 2/3/2021 | | | 8,000 | | | | 8,065 | |
| | |
Romulus Central School District GO, BAN, 2.00%, 6/26/2020 | | | 7,700 | | | | 7,720 | |
| | |
Salamanca City School District GO, BAN, 1.75%, 6/26/2020 | | | 8,600 | | | | 8,616 | |
| | |
Sharon Springs Central School District GO, BAN, 2.00%, 6/26/2020 | | | 3,540 | | | | 3,550 | |
| | |
Shenendehowa Central School District GO, BAN, 1.95%, 6/26/2020 | | | 6,000 | | | | 6,016 | |
| | |
Sherburne Earlville Central School District GO, BAN, 2.00%, 6/26/2020 | | | 10,095 | | | | 10,121 | |
| | |
Southwestern Central School District Series B, GO, BAN, 2.00%, 7/22/2020 | | | 8,464 | | | | 8,500 | |
| | |
St. Regis Falls Central School District GO, BAN, 2.00%, 7/8/2020 | | | 4,751 | | | | 4,766 | |
| | |
Stillwater Central School District GO, BAN, 2.00%, 6/26/2020 | | | 6,100 | | | | 6,119 | |
| | |
Tioga Central School District GO, BAN, 2.00%, 8/14/2020 | | | 5,150 | | | | 5,170 | |
| | |
Town of LaGrange Series B, GO, BAN, 2.50%, 6/12/2020 | | | 3,780 | | | | 3,795 | |
| | |
Town of Oyster Bay Series 2020A, GO, BAN, 2.00%, 3/12/2021 (c) | | | 80,695 | | | | 81,375 | |
| | |
Town of Oyster Bay, Water District Notes Series B, GO, 2.00%, 3/12/2021 (c) | | | 49,190 | | | | 49,589 | |
| | |
Town of Victor GO, BAN, 2.00%, 7/30/2020 | | | 5,000 | | | | 5,019 | |
| | |
Wayne Central School District GO, BAN, 2.00%, 7/30/2020 | | | 3,500 | | | | 3,513 | |
| | |
Wellsville Central School District, New Issue GO, BAN, 2.00%, 6/26/2020 | | | 3,600 | | | | 3,610 | |
| | |
Wheatland Chili Central School District GO, BAN, 2.25%, 6/24/2020 | | | 4,940 | | | | 4,959 | |
| | | | | | | | |
| | |
| | | | | | | 596,819 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
Jefferson County Civic Facility Development Corp., Samaritan Medical Center Project Series A, Rev., 3.00%, 11/1/2020 | | | 575 | | | | 580 | |
| | |
New York State Dormitory Authority, Mount Sinai Hospital Series 2010A, Rev., 5.00%, 7/1/2020 (e) | | | 45 | | | | 46 | |
| | | | | | | | |
| | |
| | | | | | | 626 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 107 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Housing — 0.3% | |
| | |
New York State Housing Finance Agency, Dock Street Housing Series 2012A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.18%, 3/10/2020 (d) | | | 13,905 | | | | 13,905 | |
| | | | | | | | |
|
Other Revenue — 3.6% | |
| | |
Battery Park City Authority, JuniorSeries D-2, Rev., VRDO, LIQ: TD Bank NA, 1.12%, 3/10/2020 (d) | | | 10,000 | | | | 10,000 | |
| | |
New York City Transitional Finance Authority Future Tax Secured, Fiscal Year 2019 Subseries B-5, Rev., VRDO, LIQ: U.S. Bank NA, 1.25%, 3/2/2020 (d) | | | 40,745 | | | | 40,745 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2003 SubseriesA-4, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (d) | | | 35,000 | | | | 35,000 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 SubseriesA-7, Rev., VRDO, LIQ: State Street Bank & Trust, 1.12%, 3/10/2020 (d) | | | 21,030 | | | | 21,030 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 Subseries B-3, Rev., VRDO, LIQ: Barclays Bank plc, 1.32%, 3/2/2020 (d) | | | 22,500 | | | | 22,500 | |
| | |
New York City Transitional Finance Authority, Future Tax-ExemptSeries 1999A-1, Rev., VRDO, LIQ: TD Bank NA, 1.18%, 3/10/2020 (d) | | | 10,000 | | | | 10,000 | |
| | |
New York City Transitional Finance Authority, New York City Recovery Series 3, Subseries 3-G, Rev., VRDO, LIQ: Bank of New York Mellon, 1.14%, 3/10/2020 (d) | | | 2,495 | | | | 2,495 | |
| | |
New York State Dormitory Authority, North Shore, Long Island Jewish Obligated Group Series 2015A, Rev., 4.00%, 5/1/2020 | | | 150 | | | | 151 | |
| | |
New York State Dormitory Authority, Sales Tax Series 2018C, Rev., 5.00%, 3/15/2025 | | | 400 | | | | 483 | |
| | |
Tender Option Bond Trust Receipts/CertificatesSeries 2017-XF0591, Rev., VRDO, LIQ: Bank of America NA, 1.28%, 3/10/2020 (d) (f) | | | 6,000 | | | | 6,000 | |
| | | | | | | | |
| | |
| | | | | | | 148,404 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System Rev., 5.00%, 6/15/2047 (e) | | | 7,165 | | | | 8,146 | |
| | |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series 2011A, Rev., 5.00%, 1/1/2028 (e) | | | 1,120 | | | | 1,209 | |
| | | | | | | | |
| | |
| | | | | | | 9,355 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Special Tax — 0.0%(b) | |
| | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2014A, Rev., 5.00%, 2/15/2021 | | | 200 | | | | 208 | |
| | | | | | | | |
|
Transportation — 1.7% | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
Series 2018B-1A, Rev., BAN, 5.00%, 5/15/2020 | | | 10,010 | | | | 10,092 | |
| | |
Series 2019A, Rev., BAN, 5.00%, 3/1/2022 | | | 20,000 | | | | 21,606 | |
| | |
New York State Thruway Authority Series L, Rev., 5.00%, 1/1/2021 | | | 50 | | | | 52 | |
| | |
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia Airport Terminals C&D Redevelopment Project Rev., AMT, 5.00%, 1/1/2022 | | | 14,650 | | | | 15,642 | |
| | |
Niagara Frontier Transportation Authority, Buffalo Niagara International Airport | | | | | | | | |
| | |
Series 2019A, Rev., AMT, 5.00%, 4/1/2020 | | | 500 | | | | 502 | |
| | |
Series 2019A, Rev., AMT, 5.00%, 4/1/2021 | | | 1,540 | | | | 1,606 | |
| | |
Series 2019A, Rev., AMT, 5.00%, 4/1/2022 | | | 845 | | | | 912 | |
| | |
Port Authority of New York and New Jersey Series 207, Rev., AMT, 5.00%, 9/15/2023 | | | 10,000 | | | | 11,377 | |
| | |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels Series D, Rev., VRDO, 1.57%, 3/2/2020 (d) | | | 10,000 | | | | 9,999 | |
| | | | | | | | |
| | |
| | | | | | | 71,788 | |
| | | | | | | | |
|
Water & Sewer — 1.2% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2013 Subseries AA-2, Rev., VRDO, LIQ: Bank of Tokyo-Mitsubishi UFJ, 1.18%, 3/10/2020 (d) | | | 12,560 | | | | 12,560 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 Subseries 2014 AA-3, Rev., VRDO, LIQ: TD Bank NA, 1.19%, 3/2/2020 (d) | | | 25,000 | | | | 25,000 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2015Series BB-3, Rev., VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.15%, 3/10/2020 (d) | | | 5,680 | | | | 5,680 | |
| | |
New York City Water and Sewer System, Second General Resolution Series 2010CC, Rev., VRDO, LIQ: Barclays Bank plc, 1.18%, 3/10/2020 (d) | | | 5,090 | | | | 5,090 | |
| | | | | | | | |
| | |
| | | | | | | 48,330 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 890,953 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 108 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
North Carolina — 0.5% | |
|
Education — 0.1% | |
| | |
North Carolina Capital Facilities Finance Agency, Meredith College Rev., 5.00%, 6/1/2020 | | | 275 | | | | 278 | |
| | |
University of North Carolina, Chapel Hill Series B, Rev., VRDO, 1.46%, 4/1/2020 (d) | | | 3,750 | | | | 3,750 | |
| | |
Winston-Salem State University Foundation LLC, The Board of Governors of The University of North Carolina Rev., AGM, 4.00%, 10/1/2020 | | | 120 | | | | 122 | |
| | | | | | | | |
| | |
| | | | | | | 4,150 | |
| | | | | | | | |
|
General Obligation — 0.0% (b) | |
| | |
County of Union Series A, GO, 5.00%, 3/1/2020 | | | 20 | | | | 20 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2019B, Rev., 2.20%, 12/1/2022 (d) | | | 13,500 | | | | 13,771 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Columbus County Industrial Facilities and Pollution Control Financing Authority, International Paper Co. Project | | | | | | | | |
| | |
Series 2019A, Rev., 2.00%, 10/1/2024 (d) | | | 825 | | | | 846 | |
| | |
Series 2019B, Rev., 2.00%, 10/1/2024 (d) | | | 825 | | | | 846 | |
| | | | | | | | |
| | |
| | | | | | | 1,692 | |
| | | | | | | | |
|
Other Revenue — 0.0% (b) | |
| | |
County of Buncombe, Limited Obligation Series 2014A, Rev., 5.00%, 6/1/2021 | | | 20 | | | | 21 | |
| | | | | | | | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
North Carolina Turnpike Authority, Monroe Connector System Series 2011, Rev., 5.00%, 7/1/2020 | | | 420 | | | | 426 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 20,080 | |
| | | | | | | | |
|
Ohio — 4.1% | |
|
Certificate of Participation/Lease — 0.0%(b) | |
| | |
Euclid City School District | | | | | | | | |
| | |
COP, 4.00%, 12/1/2023 | | | 70 | | | | 77 | |
| | |
COP, 4.00%, 12/1/2024 | | | 70 | | | | 79 | |
| | |
Goshen Local School District, School Facilities Project COP, 1.50%, 12/15/2020 | | | 280 | | | | 281 | |
| | | | | | | | |
| | |
| | | | | | | 437 | |
| | | | | | | | |
|
General Obligation — 2.0% | |
| | |
Avon Local School District GO, BAN, 2.00%, 9/30/2020 (c) | | | 3,015 | | | | 3,031 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
City of Brecksville, Various Purpose Improvement, Limited Tax GO, BAN, 2.00%, 2/25/2021 | | | 4,875 | | | | 4,921 | |
| | |
City of Elyria | | | | | | | | |
| | |
Series 2019-2, GO, 4.00%, 12/1/2021 | | | 1,010 | | | | 1,064 | |
| | |
Series 2019-2, GO, 4.00%, 12/1/2022 | | | 935 | | | | 1,012 | |
| | |
City of Euclid, Various Purpose Improvement Series 2019, GO, BAN, 3.00%, 4/30/2020 | | | 1,350 | | | | 1,354 | |
| | |
City of Gahanna GO, BAN, 3.00%, 8/6/2020 | | | 1,400 | | | | 1,411 | |
| | |
City of Lorain, Streetscape Improvements GO, BAN, 3.00%, 6/18/2020 | | | 540 | | | | 543 | |
| | |
City of Marysville, Various Purpose Series 2019B, GO, BAN, 3.00%, 3/26/2020 | | | 910 | | | | 911 | |
| | |
City of Moraine GO, BAN, 2.50%, 6/25/2020 | | | 2,725 | | | | 2,737 | |
| | |
City of Napoleon GO, BAN, 2.00%, 2/25/2021 | | | 5,852 | | | | 5,902 | |
| | |
City of Olmsted Falls, Various Purpose Series 2019, GO, BAN, 3.00%, 6/11/2020 | | | 1,365 | | | | 1,372 | |
| | |
City of Rocky River GO, BAN, 2.00%, 9/24/2020 | | | 3,375 | | | | 3,394 | |
| | |
City of Seven Hills Series 2019C, GO, BAN, 3.50%, 4/9/2020 | | | 700 | | | | 702 | |
| | |
City of Seven Hills, Capital Improvement Series 2019, GO, BAN, 3.00%, 4/9/2020 | | | 500 | | | | 501 | |
| | |
City of Toledo GO, AGM, 4.00%, 12/1/2020 | | | 100 | | | | 102 | |
| | |
City of Toledo, Capital Improvement | | | | | | | | |
| | |
GO, AGM, 5.00%, 12/1/2020 | | | 615 | | | | 634 | |
| | |
GO, AGM, 5.00%, 12/1/2021 | | | 1,275 | | | | 1,366 | |
| | |
GO, AGM, 5.00%, 12/1/2022 | | | 1,305 | | | | 1,447 | |
| | |
City of Twinsburg, Gleneagles Clubhouse Improvements, Limited Tax GO, BAN, 2.00%, 2/25/2021 | | | 2,300 | | | | 2,316 | |
| | |
City of Willoughby GO, BAN, 2.25%, 6/19/2020 | | | 6,400 | | | | 6,420 | |
| | |
County of Licking Series 2019, GO, BAN, 3.00%, 5/8/2020 | | | 1,500 | | | | 1,506 | |
| | |
County of Lorain | | | | | | | | |
| | |
Series B, GO, BAN, 1.30%, 2/6/2021 | | | 500 | | | | 500 | |
| | |
Series A, GO, BAN, 3.00%, 2/6/2021 | | | 5,010 | | | | 5,099 | |
| | |
County of Mahoning, Various Purpose Notes GO, 3.00%, 9/16/2020 | | | 3,100 | | | | 3,133 | |
| | |
County of Union GO, BAN, 2.00%, 9/9/2020 | | | 1,500 | | | | 1,507 | |
| | |
Sycamore Community City School District GO, BAN, 2.25%, 4/15/2020 | | | 30,000 | | | | 30,042 | |
| | |
Zanesville City School District GO, 4.00%, 12/1/2021 | | | 595 | | | | 627 | |
| | | | | | | | |
| | |
| | | | | | | 83,554 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 109 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — 1.2% | |
| | |
Akron, Bath and Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2021 | | | 125 | | | | 133 | |
| | |
City of Centerville, Graceworks Lutheran Services | | | | | | | | |
| | |
Rev., 5.00%, 11/1/2020 | | | 275 | | | | 280 | |
| | |
Rev., 5.00%, 11/1/2021 | | | 285 | | | | 298 | |
| | |
County of Allen, Hospital Facilities, Mercy Health Series B, Rev., 5.00%, 5/5/2022 (d) | | | 2,000 | | | | 2,171 | |
| | |
County of Franklin, CHE Trinity Health Credit Group Series 2013OH, Rev., 1.05%, 5/1/2020 (d) | | | 5,000 | | | | 5,001 | |
| | |
County of Franklin, Ohio Hospital Facilities Series C, Rev., VRDO, 1.17%, 3/10/2020 (d) | | | 27,470 | | | | 27,470 | |
| | |
County of Ross, Adena Health System | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2020 | | | 1,000 | | | | 1,030 | |
| | |
Rev., 5.00%, 12/1/2021 | | | 335 | | | | 358 | |
| | |
Rev., 5.00%, 12/1/2022 | | | 355 | | | | 393 | |
| | |
Rev., 5.00%, 12/1/2023 | | | 490 | | | | 560 | |
| | |
County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group Series 2016A, Rev., 5.00%, 7/1/2021 | | | 50 | | | | 53 | |
| | |
Franklin County, Hospital Facilities, OhioHealth Corp. Series B, Rev., (SIFMA Municipal Swap Index Yield + 0.43%), 1.58%, 3/10/2020 (g) | | | 5,000 | | | | 5,008 | |
| | |
State of Ohio, University Hospitals Health System, Inc. Series A, Rev., VRDO, 1.36%, 3/2/2020 (d) | | | 8,250 | | | | 8,250 | |
| | | | | | | | |
| | |
| | | | | | | 51,005 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Ohio Water Development Authority, Water Pollution Control Loan Fund | | | | | | | | |
| | |
Series 2016 A, Rev., LIQ: TD Bank NA, 1.11%, 3/10/2020 (d) | | | 7,500 | | | | 7,500 | |
| | |
Rev., 5.25%, 12/1/2020 | | | 35 | | | | 36 | |
| | | | | | | | |
| | |
| | | | | | | 7,536 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
| | |
Series 2020A-2, Class I, Rev., 5.00%, 6/1/2027 | | | 2,250 | | | | 2,886 | |
| | |
Series 2020A-2, Class I, Rev., 5.00%, 6/1/2028 | | | 3,000 | | | | 3,931 | |
| | |
City of Cleveland, Subordinate Lien, Public Facilities Improvements Series 2018A, Rev., 5.00%, 10/1/2022 | | | 265 | | | | 292 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
City of Whitehall Rev., 2.25%, 12/9/2020 | | | 3,810 | | | | 3,839 | |
| | |
County of Mahoning, Various Purpose Sales Tax Supported Improvement Notes Rev., 3.00%, 9/16/2020 | | | 750 | | | | 758 | |
| | |
Village of Obetz | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2020 | | | 185 | | | | 191 | |
| | |
Rev., 5.00%, 12/1/2021 | | | 125 | | | | 134 | |
| | | | | | | | |
| | |
| | | | | | | 12,031 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Columbus Regional Airport Authority, Columbus Ohio Regional Airport Authority Rev., VRDO, LOC: U.S. Bank NA, 1.14%, 3/10/2020 (d) | | | 5,525 | | | | 5,525 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
American Municipal Power, Inc., Prairie State Energy Campus Project Series 2019A, Rev., 2.30%, 2/15/2022 (d) | | | 10,000 | | | | 10,178 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 170,266 | |
| | | | | | | | |
|
Oklahoma — 0.5% | |
|
Education — 0.3% | |
| | |
Bryan County School Finance Authority, Durant Public Schools Project | | | | | | | | |
| | |
Rev., 1.15%, 12/1/2020 | | | 270 | | | | 270 | |
| | |
Rev., 4.00%, 12/1/2021 | | | 140 | | | | 147 | |
| | |
Rev., 4.00%, 12/1/2022 | | | 190 | | | | 205 | |
| | |
Rev., 4.00%, 12/1/2023 | | | 155 | | | | 172 | |
| | |
Rev., 4.00%, 12/1/2024 | | | 165 | | | | 187 | |
| | |
Canadian County Educational Facilities Authority, Yukon Public Schools Project Series 2019, Rev., 5.00%, 12/1/2020 | | | 2,050 | | | | 2,104 | |
| | |
Cleveland County Educational Facilities Authority, Lexington Public Schools Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 9/1/2020 | | | 110 | | | | 112 | |
| | |
Series 2019, Rev., 4.00%, 9/1/2021 | | | 150 | | | | 157 | |
| | |
Series 2019, Rev., 4.00%, 9/1/2022 | | | 125 | | | | 133 | |
| | |
Series 2019, Rev., 4.00%, 9/1/2023 | | | 270 | | | | 295 | |
| | |
Cleveland County Educational Facilities Authority, Norman Public Schools Project Series 2019, Rev., 5.00%, 6/1/2020 | | | 1,200 | | | | 1,212 | |
| | |
Cushing Educational Facilities Authority, Public Schools Project Rev., 5.00%, 9/1/2020 | | | 50 | | | | 51 | |
| | |
Custer County Economic Development Authority, Thomas Fay Public Schools | | | | | | | | |
| | |
Rev., 4.00%, 12/1/2021 | | | 410 | | | | 431 | |
| | |
Rev., 4.00%, 12/1/2023 | | | 450 | | | | 497 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 110 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Education — continued | |
| | |
Ellis County Educational Facilities Authority, Fargo-Gage Public Schools Project | | | | | | | | |
| | |
Rev., 3.00%, 3/1/2022 | | | 725 | | | | 754 | |
| | |
Rev., 3.00%, 3/1/2023 | | | 730 | | | | 770 | |
| | |
Garvin County Educational Facilities Authority, Pernell Public School Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2021 | | | 125 | | | | 130 | |
| | |
Rev., 4.00%, 9/1/2022 | | | 135 | | | | 145 | |
| | |
Rev., 4.00%, 9/1/2023 | | | 110 | | | | 121 | |
| | |
Rev., 4.00%, 9/1/2024 | | | 160 | | | | 179 | |
| | |
Grady County School Finance Authority, Tuttle Public Schools Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2021 | | | 250 | | | | 261 | |
| | |
Rev., 4.00%, 9/1/2022 | | | 200 | | | | 215 | |
| | |
Rev., 4.00%, 9/1/2023 | | | 300 | | | | 331 | |
| | |
Rev., 4.00%, 9/1/2024 | | | 245 | | | | 277 | |
| | |
Kingfisher County Educational Facilities Authority, Lomega Public Schools Project | | | | | | | | |
| | |
Rev., 3.00%, 3/1/2022 | | | 165 | | | | 171 | |
| | |
Rev., 3.00%, 3/1/2023 | | | 385 | | | | 405 | |
| | |
Rev., 3.00%, 3/1/2024 | | | 270 | | | | 289 | |
| | |
Muskogee Industrial Trust, Educational Facilities, Muskogee Public Schools Project Rev., 5.00%, 9/1/2023 | | | 900 | | | | 1,013 | |
| | |
Tulsa County Industrial Authority, Sand Springs Public Schools Project | | | | | | | | |
| | |
Rev., 2.00%, 9/1/2020 | | | 70 | | | | 70 | |
| | |
Rev., 5.00%, 9/1/2021 | | | 325 | | | | 345 | |
| | |
Rev., 2.00%, 9/1/2022 | | | 125 | | | | 128 | |
| | |
Rev., 4.00%, 9/1/2023 | | | 175 | | | | 193 | |
| | |
Rev., 4.00%, 9/1/2024 | | | 435 | | | | 487 | |
| | |
Wagoner County School Development Authority, Wagoner Public Schools Project | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2021 | | | 225 | | | | 235 | |
| | |
Rev., 4.00%, 9/1/2023 | | | 525 | | | | 576 | |
| | | | | | | | |
| | |
| | | | | | | 13,068 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Oklahoma Housing Finance Agency, Green Rural Development Portfolio Series 2018, Rev., VRDO, 1.90%, 3/1/2021 (d) | | | 1,500 | | | | 1,500 | |
| | |
Oklahoma Housing Finance Agency, Sooner Haven Apartments Rev., 2.37%, 10/1/2020 (d) | | | 2,375 | | | | 2,393 | |
| | | | | | | | |
| | |
| | | | | | | 3,893 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Elk City Industrial Authority Rev., 2.00%, 5/1/2023 | | | 140 | | | | 143 | |
| | | | | | | | |
|
Prerefunded — 0.0% (b) | |
| | |
Oklahoma Turnpike Authority, Turnpike System, Second Senior Series B, Rev., 5.00%, 1/1/2029 (e) | | | 20 | | | | 21 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Oklahoma Development Finance Authority (The), Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023 | | | 4,885 | | | | 4,919 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 22,044 | |
| | | | | | | | |
|
Oregon — 0.4% | |
|
General Obligation — 0.1% | |
| | |
County of Washington Series 2016, GO, 5.00%, 6/1/2021 | | | 1,875 | | | | 1,974 | |
| | |
Salem-Keizer School District No. 24J | | | | | | | | |
| | |
GO, 4.00%, 6/15/2020 | | | 225 | | | | 227 | |
| | |
GO, 4.00%, 6/15/2021 | | | 175 | | | | 182 | |
| | |
GO, 5.00%, 6/15/2021 | | | 500 | | | | 527 | |
| | | | | | | | |
| | |
| | | | | | | 2,910 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Clackamas County Hospital Facility Authority, Legacy Health System Series 2008A, Rev., VRDO, LOC: U.S. Bank NA, 1.07%, 3/10/2020 (d) | | | 8,800 | | | | 8,800 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
State of Oregon Housing and Community Services Department, SHA RAD Group II Apartment Projects Rev., 1.45%, 6/1/2022 (d) | | | 3,350 | | | | 3,376 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 15,086 | |
| | | | | | | | |
|
Pennsylvania — 7.9% | |
|
Education — 2.7% | |
| | |
Montgomery County Higher Education and Health Authority, Arcadia University | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2022 | | | 300 | | | | 324 | |
| | |
Rev., 5.00%, 4/1/2023 | | | 300 | | | | 335 | |
| | |
Rev., 5.00%, 4/1/2024 | | | 300 | | | | 345 | |
| | |
Rev., 5.00%, 4/1/2025 | | | 250 | | | | 296 | |
| | |
Rev., 5.00%, 4/1/2026 | | | 165 | | | | 200 | |
| | |
Pennsylvania Higher Educational Facilities Authority Series AN, Rev., 5.00%, 6/15/2020 | | | 5,975 | | | | 6,045 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 111 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Education — continued | |
| | |
Pennsylvania Higher Educational Facilities Authority, Associates Independent Colleges Rev., 2.72%, 5/1/2021 (d) | | | 2,500 | | | | 2,505 | |
| | |
School District of Philadelphia (The) Series C, Rev., TRAN, 4.00%, 3/31/2020 | | | 43,000 | | | | 43,104 | |
| | |
State Public School Building Authority, Community College of Philadelphia Project | | | | | | | | |
| | |
Series 2019A, Rev., AGM, 5.00%, 6/15/2021 | | | 295 | | | | 310 | |
| | |
Series 2019A, Rev., AGM, 5.00%, 6/15/2022 | | | 310 | | | | 337 | |
| | |
University of Pittsburgh-of the Commonwealth System of Higher Education | | | | | | | | |
| | |
Rev., (SIFMA Municipal Swap Index Yield + 0.24%), 1.39%, 3/10/2020 (g) | | | 11,510 | | | | 11,527 | |
| | |
Rev., (SIFMA Municipal Swap Index Yield + 0.36%), 1.51%, 3/10/2020 (g) | | | 47,000 | | | | 47,048 | |
| | | | | | | | |
| | |
| | | | | | | 112,376 | |
| | | | | | | | |
|
General Obligation — 2.2% | |
| | |
Apollo-Ridge School District | | | | | | | | |
| | |
Series 2019A, GO, 2.00%, 9/1/2022 | | | 375 | | | | 383 | |
| | |
Series 2019A, GO, 4.00%, 9/1/2023 | | | 385 | | | | 423 | |
| | |
Series 2019A, GO, 4.00%, 9/1/2024 | | | 450 | | | | 505 | |
| | |
Armstrong School District | | | | | | | | |
| | |
Series A, GO, 3.00%, 3/15/2020 | | | 165 | | | | 165 | |
| | |
Series B, GO, 3.00%, 3/15/2020 | | | 160 | | | | 160 | |
| | |
Series A, GO, 3.00%, 3/15/2021 | | | 230 | | | | 235 | |
| | |
Series B, GO, 3.00%, 3/15/2021 | | | 105 | | | | 107 | |
| | |
Series A, GO, 3.00%, 3/15/2022 | | | 235 | | | | 244 | |
| | |
Series B, GO, 3.00%, 3/15/2022 | | | 300 | | | | 312 | |
| | |
Series A, GO, 3.00%, 3/15/2023 | | | 240 | | | | 253 | |
| | |
Series B, GO, 3.00%, 3/15/2023 | | | 400 | | | | 422 | |
| | |
Bethlehem Area School District GO, 5.00%, 10/15/2021 | | | 13,155 | | | | 14,014 | |
| | |
Big Beaver Falls Area School District | | | | | | | | |
| | |
GO, 4.00%, 3/15/2022 | | | 1,155 | | | | 1,222 | |
| | |
GO, 5.00%, 3/15/2023 | | | 1,200 | | | | 1,337 | |
| | |
Burgettstown Area School District | | | | | | | | |
| | |
Series A, GO, 3.00%, 3/15/2022 | | | 100 | | | | 103 | |
| | |
Series A, GO, 4.00%, 3/15/2023 | | | 200 | | | | 215 | |
| | |
Butler Area School District GO, AGM, 4.00%, 10/1/2020 | | | 865 | | | | 880 | |
| | |
Carmichaels Area School District | | | | | | | | |
| | |
GO, 4.00%, 9/1/2022 | | | 190 | | | | 203 | |
| | |
GO, 4.00%, 9/1/2023 | | | 150 | | | | 164 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
City of Altoona, Guaranteed Sewer | | | | | | | | |
| | |
GO, AGM, 5.00%, 12/1/2020 | | | 315 | | | | 324 | |
| | |
GO, AGM, 5.00%, 12/1/2021 | | | 265 | | | | 283 | |
| | |
GO, AGM, 5.00%, 12/1/2022 | | | 200 | | | | 221 | |
| | |
GO, AGM, 5.00%, 12/1/2023 | | | 300 | | | | 342 | |
| | |
City of Philadelphia Series 2009B, GO, VRDO, LOC: Barclays Bank plc, 1.15%, 3/10/2020 (d) | | | 12,965 | | | | 12,965 | |
| | |
Series 2019A, GO, 5.00%, 8/1/2020 | | | 1,725 | | | | 1,754 | |
| | |
Series 2012A, GO, 5.00%, 9/15/2021 | | | 45 | | | | 48 | |
| | |
Series 2019A, GO, 5.00%, 8/1/2022 | | | 4,755 | | | | 5,222 | |
| | |
Conewago Valley School District Series 2013A, GO, 2.00%, 9/1/2022 | | | 570 | | | | 571 | |
| | |
Connellsville Area School District | | | | | | | | |
| | |
Series A, GO, AGM, 2.00%, 5/15/2020 | | | 145 | | | | 145 | |
| | |
Series A, GO, AGM, 2.00%, 5/15/2021 | | | 70 | | | | 71 | |
| | |
Series A, GO, AGM, 2.00%, 5/15/2022 | | | 70 | | | | 71 | |
| | |
Series A, GO, AGM, 2.00%, 5/15/2023 | | | 70 | | | | 72 | |
| | |
Cornell School District | | | | | | | | |
| | |
GO, AGM, 2.00%, 9/1/2020 | | | 200 | | | | 201 | |
| | |
GO, AGM, 2.00%, 9/1/2021 | | | 200 | | | | 203 | |
| | |
GO, AGM, 4.00%, 9/1/2022 | | | 200 | | | | 213 | |
| | |
County of Armstrong, Commonwealth of Pennsylvania | | | | | | | | |
| | |
GO, AGM, 3.00%, 6/1/2020 (c) | | | 345 | | | | 346 | |
| | |
GO, AGM, 3.00%, 6/1/2021 (c) | | | 370 | | | | 379 | |
| | |
Series A, GO, 4.00%, 6/1/2021 | | | 230 | | | | 239 | |
| | |
GO, AGM, 4.00%, 6/1/2022 (c) | | | 380 | | | | 404 | |
| | |
Series A, GO, 4.00%, 6/1/2022 | | | 430 | | | | 458 | |
| | |
GO, AGM, 4.00%, 6/1/2023 (c) | | | 225 | | | | 246 | |
| | |
Series A, GO, 5.00%, 6/1/2023 | | | 225 | | | | 253 | |
| | |
GO, AGM, 4.00%, 6/1/2024 (c) | | | 230 | | | | 258 | |
| | |
GO, AGM, 4.00%, 6/1/2025 (c) | | | 240 | | | | 275 | |
| | |
County of Lackawanna | | | | | | | | |
| | |
Series 2020A, GO, 1.00%, 9/15/2020 (c) | | | 300 | | | | 300 | |
| | |
Series 2020A, GO, 3.00%, 3/15/2021 (c) | | | 200 | | | | 204 | |
| | |
Series 2020A, GO, 4.00%, 3/15/2022 (c) | | | 200 | | | | 212 | |
| | |
Series 2020A, GO, 4.00%, 3/15/2023 (c) | | | 200 | | | | 217 | |
| | |
Series 2020A, GO, 4.00%, 3/15/2024 (c) | | | 300 | | | | 334 | |
| | |
Series 2020A, GO, 4.00%, 3/15/2025 (c) | | | 300 | | | | 341 | |
| | |
County of Somerset | | | | | | | | |
| | |
GO, 2.00%, 10/1/2020 | | | 225 | | | | 226 | |
| | |
GO, 2.00%, 10/1/2021 | | | 285 | | | | 289 | |
| | |
GO, 2.00%, 10/1/2022 | | | 340 | | | | 347 | |
| | |
GO, 2.00%, 10/1/2023 | | | 335 | | | | 343 | |
| | |
GO, 2.00%, 10/1/2024 | | | 300 | | | | 309 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 112 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Dallas School District | | | | | | | | |
| | |
Series 2019, GO, AGM, 4.00%, 10/15/2020 | | | 290 | | | | 296 | |
| | |
Series 2019, GO, AGM, 4.00%, 10/15/2021 | | | 275 | | | | 288 | |
| | |
Series 2019, GO, AGM, 4.00%, 10/15/2022 | | | 300 | | | | 324 | |
| | |
Series 2019, GO, AGM, 5.00%, 10/15/2023 | | | 175 | | | | 200 | |
| | |
Series 2019, GO, AGM, 5.00%, 10/15/2024 | | | 325 | | | | 383 | |
| | |
Iroquois School District | | | | | | | | |
| | |
GO, 3.00%, 10/1/2020 | | | 185 | | | | 187 | |
| | |
GO, 4.00%, 10/1/2021 | | | 300 | | | | 314 | |
| | |
GO, 4.00%, 10/1/2022 | | | 390 | | | | 420 | |
| | |
GO, 4.00%, 10/1/2023 | | | 200 | | | | 221 | |
| | |
Juniata County School District GO, AGM, 5.00%, 11/15/2021 | | | 185 | | | | 198 | |
| | |
Mars Area School District | | | | | | | | |
| | |
Series 2019B, GO, AGM, 5.00%, 9/1/2020 | | | 145 | | | | 148 | |
| | |
Series 2019B, GO, AGM, 5.00%, 9/1/2021 | | | 120 | | | | 127 | |
| | |
Series 2019B, GO, AGM, 5.00%, 9/1/2023 | | | 115 | | | | 130 | |
| | |
Montour School District GO, 3.00%, 10/1/2023 | | | 200 | | | | 213 | |
| | |
Muncy School District GO, 4.00%, 5/15/2023 | | | 345 | | | | 376 | |
| | |
Municipality of Monroeville GO, 3.00%, 6/1/2020 | | | 1,075 | | | | 1,081 | |
| | |
Municipality of Penn Hills | | | | | | | | |
| | |
Series A, GO, 3.00%, 12/1/2020 | | | 275 | | | | 279 | |
| | |
Series A, GO, 3.00%, 12/1/2021 | | | 340 | | | | 353 | |
| | |
Series A, GO, 3.00%, 12/1/2022 | | | 345 | | | | 363 | |
| | |
Series A, GO, 3.00%, 12/1/2023 | | | 305 | | | | 326 | |
| | |
Neshannock Township School District | | | | | | | | |
| | |
Series 2019AA, GO, 4.00%, 9/1/2021 | | | 100 | | | | 104 | |
| | |
Series 2019AA, GO, 4.00%, 9/1/2022 | | | 150 | | | | 161 | |
| | |
Series 2019AA, GO, 4.00%, 9/1/2023 | | | 200 | | | | 220 | |
| | |
Northeast Bradford School District | | | | | | | | |
| | |
GO, AGM, 2.00%, 6/1/2020 | | | 125 | | | | 125 | |
| | |
GO, AGM, 2.00%, 6/1/2021 | | | 150 | | | | 152 | |
| | |
GO, AGM, 2.00%, 6/1/2022 | | | 320 | | | | 326 | |
| | |
GO, AGM, 3.00%, 6/1/2023 | | | 330 | | | | 350 | |
| | |
Northwestern Lehigh School District | | | | | | | | |
| | |
Series 2019, GO, 5.00%, 2/15/2021 | | | 155 | | | | 161 | |
| | |
Series 2019, GO, 5.00%, 2/15/2023 | | | 680 | | | | 760 | |
| | |
Parkland School District GO, 4.00%, 4/15/2020 | | | 1,500 | | | | 1,506 | |
| | |
Penn Hills School District | | | | | | | | |
| | |
GO, 3.00%, 10/1/2022 | | | 1,725 | | | | 1,808 | |
| | |
GO, 4.00%, 10/1/2023 | | | 1,790 | | | | 1,971 | |
| | |
GO, 4.00%, 10/1/2024 | | | 1,855 | | | | 2,090 | |
| | |
GO, 5.00%, 10/1/2025 | | | 4,615 | | | | 5,562 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Pittsburgh School District | | | | | | | | |
| | |
Series 2019, GO, 5.00%, 9/1/2022 | | | 1,690 | | | | 1,864 | |
| | |
Series 2019, GO, 5.00%, 9/1/2023 | | | 1,810 | | | | 2,067 | |
| | |
Punxsutawney Area School District | | | | | | | | |
| | |
Series 2020A, GO, AGM, 4.00%, 10/15/2020 | | | 215 | | | | 219 | |
| | |
Series 2020A, GO, AGM, 4.00%, 10/15/2021 | | | 315 | | | | 331 | |
| | |
Series 2020A, GO, AGM, 5.00%, 10/15/2022 | | | 290 | | | | 320 | |
| | |
Series 2020A, GO, AGM, 5.00%, 10/15/2023 | | | 250 | | | | 286 | |
| | |
Series 2020A, GO, AGM, 5.00%, 10/15/2024 | | | 150 | | | | 177 | |
| | |
School District of Philadelphia (The) | | | | | | | | |
| | |
Series 2019A, GO, 5.00%, 9/1/2020 | | | 600 | | | | 612 | |
| | |
Series 2019A, GO, 5.00%, 9/1/2021 | | | 800 | | | | 848 | |
| | |
Series 2019A, GO, 5.00%, 9/1/2022 | | | 1,050 | | | | 1,155 | |
| | |
Series 2019A, GO, 5.00%, 9/1/2023 | | | 1,050 | | | | 1,194 | |
| | |
School District of the City of Erie (The) | | | | | | | | |
| | |
Series 2019B, GO, AGM, 5.00%, 4/1/2020 | | | 420 | | | | 421 | |
| | |
Series 2019B, GO, AGM, 5.00%, 4/1/2021 | | | 400 | | | | 417 | |
| | |
Series 2019B, GO, AGM, 5.00%, 4/1/2022 | | | 325 | | | | 351 | |
| | |
Series 2019B, GO, AGM, 5.00%, 4/1/2023 | | | 315 | | | | 351 | |
| | |
Selinsgrove Area School District | | | | | | | | |
| | |
Series A, GO, 2.00%, 3/1/2020 | | | 100 | | | | 100 | |
| | |
Series B, GO, 3.00%, 3/1/2020 | | | 110 | | | | 110 | |
| | |
Series A, GO, 2.00%, 9/1/2020 | | | 100 | | | | 101 | |
| | |
Series A, GO, 2.00%, 3/1/2021 | | | 5 | | | | 5 | |
| | |
Series B, GO, 3.00%, 3/1/2021 | | | 110 | | | | 112 | |
| | |
Series A, GO, 2.00%, 9/1/2021 | | | 125 | | | | 127 | |
| | |
Series A, GO, 2.00%, 3/1/2022 | | | 5 | | | | 5 | |
| | |
Series B, GO, 3.00%, 3/1/2022 | | | 130 | | | | 135 | |
| | |
Series A, GO, 2.00%, 9/1/2022 | | | 400 | | | | 409 | |
| | |
Series A, GO, 2.00%, 3/1/2023 | | | 5 | | | | 5 | |
| | |
Series B, GO, 3.00%, 3/1/2023 | | | 95 | | | | 101 | |
| | |
Series A, GO, 2.00%, 9/1/2023 | | | 585 | | | | 604 | |
| | |
Steel Valley School District | | | | | | | | |
| | |
Series 2019B, GO, 3.00%, 11/1/2021 | | | 230 | | | | 237 | |
| | |
Series 2019B, GO, 4.00%, 11/1/2022 | | | 240 | | | | 257 | |
| | |
Series 2019B, GO, 4.00%, 11/1/2023 | | | 250 | | | | 274 | |
| | |
Steelton-Highspire School District | | | | | | | | |
| | |
GO, 4.00%, 11/15/2022 | | | 60 | | | | 64 | |
| | |
GO, 4.00%, 11/15/2023 | | | 85 | | | | 93 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 113 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Township of Butler | | | | | | | | |
| | |
GO, 1.10%, 10/1/2020 | | | 1,100 | | | | 1,100 | |
| | |
GO, 4.00%, 10/1/2021 | | | 475 | | | | 497 | |
| | |
GO, 5.00%, 10/1/2022 | | | 250 | | | | 275 | |
| | |
GO, 5.00%, 10/1/2023 | | | 260 | | | | 295 | |
| | |
GO, 5.00%, 10/1/2024 | | | 275 | | | | 321 | |
| | |
Township of East Pennsboro, Cumberland County | | | | | | | | |
| | |
Series 2019, GO, 3.00%, 9/1/2020 | | | 150 | | | | 151 | |
| | |
Series 2019, GO, 3.00%, 9/1/2021 | | | 190 | | | | 196 | |
| | |
Series 2019, GO, 3.00%, 9/1/2022 | | | 175 | | | | 184 | |
| | |
Township of Rostraver | | | | | | | | |
| | |
GO, AGM, 3.00%, 9/1/2020 | | | 140 | | | | 141 | |
| | |
GO, AGM, 4.00%, 9/1/2021 | | | 100 | | | | 105 | |
| | |
Waynesboro Area School District, Franklin County | | | | | | | | |
| | |
Series 2019, GO, 5.00%, 10/1/2020 | | | 485 | | | | 496 | |
| | |
Series 2019, GO, 5.00%, 10/1/2021 | | | 580 | | | | 616 | |
| | |
Series 2019, GO, 5.00%, 10/1/2022 | | | 305 | | | | 336 | |
| | |
Series 2019, GO, 5.00%, 10/1/2023 | | | 320 | | | | 366 | |
| | |
Wilkes-Barre Area School District Series 2019, GO, 5.00%, 4/15/2023 | | | 115 | | | | 128 | |
| | |
Wyalusing Area School District, Bradford and Wyoming Counties | | | | | | | | |
| | |
Series 2019, GO, AGM, 4.00%, 4/1/2021 | | | 375 | | | | 387 | |
| | |
Series 2019, GO, AGM, 4.00%, 4/1/2022 | | | 315 | | | | 334 | |
| | |
Series 2019, GO, AGM, 4.00%, 4/1/2023 | | | 400 | | | | 435 | |
| | | | | | | | |
| | |
| | | | | | | 91,271 | |
| | | | | | | | |
|
Hospital — 0.7% | |
| | |
Berks County Municipal Authority (The), Tower Health Project | | | | | | | | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2021 | | | 400 | | | | 415 | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2022 | | | 500 | | | | 537 | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2023 | | | 1,300 | | | | 1,445 | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2024 | | | 425 | | | | 488 | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2025 | | | 600 | | | | 709 | |
| | |
Series 2020B-1, Rev., 5.00%, 2/1/2025 (d) | | | 6,565 | | | | 7,816 | |
| | |
Series 2020A, Rev., 5.00%, 2/1/2026 | | | 1,015 | | | | 1,229 | |
| | |
Chester County Health and Education Facilities Authority, Main Line Health System | | | | | | | | |
| | |
Series 2020A, Rev., 3.00%, 9/1/2023 | | | 230 | | | | 247 | |
| | |
Series 2020A, Rev., 3.00%, 9/1/2024 | | | 215 | | | | 235 | |
| | |
Series 2020A, Rev., 5.00%, 9/1/2025 | | | 250 | | | | 305 | |
| | |
General Authority of Southcentral, Wellspan Health Obligation Series C, Rev., VRDO, LIQ: Bank of America NA, 1.18%, 3/10/2020 (d) | | | 16,000 | | | | 16,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — continued | |
| | |
Lancaster County Hospital Authority, Health Care Facilities, Moravian Manors, Inc. Project Series 2019B, Rev., 2.88%, 12/15/2023 | | | 1,000 | | | | 1,001 | |
| | |
Northampton County General Purpose Authority, Saint Luke’s Hospital Project Series 2010A, Rev., 5.00%, 8/15/2020 | | | 25 | | | | 25 | |
| | | | | | | | |
| | |
| | | | | | | 30,452 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Indiana County Industrial Development Authority, Residential Revival Indiana Student Housing Project Series 2017C, Rev., BAN, 1.45%, 9/1/2020 | | | 6,450 | | | | 6,451 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Franklin County Industrial Development Authority, Menno-Haven, Inc., Project Rev., 4.00%, 12/1/2020 | | | 520 | | | | 527 | |
| | |
Lackawanna County Industrial Development Authority, University of Scranton | | | | | | | | |
| | |
Rev., 4.00%, 11/1/2020 | | | 100 | | | | 102 | |
| | |
Rev., 5.00%, 11/1/2021 | | | 1,000 | | | | 1,067 | |
| | |
Montgomery County Industrial Development Authority, Meadowood Senior Living Project | | | | | | | | |
| | |
Series A, Rev., 3.00%, 12/1/2020 | | | 250 | | | | 253 | |
| | |
Series A, Rev., 3.00%, 12/1/2021 | | | 250 | | | | 256 | |
| | | | | | | | |
| | |
| | | | | | | 2,205 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
Allentown Neighborhood Improvement Zone Development Authority, City Center Project Rev., 5.00%, 5/1/2023 (f) | | | 250 | | | | 275 | |
| | |
City of Lebanon Authority | | | | | | | | |
| | |
Rev., 4.00%, 12/15/2020 | | | 405 | | | | 415 | |
| | |
Rev., 4.00%, 12/15/2021 | | | 240 | | | | 253 | |
| | |
Rev., 4.00%, 12/15/2022 | | | 275 | | | | 298 | |
| | |
Rev., 4.00%, 12/15/2023 | | | 360 | | | | 400 | |
| | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | | | | | | | | |
| | |
Series 2018, Rev., 5.00%, 6/1/2020 | | | 555 | | | | 561 | |
| | |
Series 2018, Rev., 5.00%, 6/1/2021 | | | 535 | | | | 561 | |
| | |
Cumberland County Municipal Authority, AICUP Financing Program-Messiah College Project Rev., 2.00%, 4/30/2020 (d) | | | 250 | | | | 250 | |
| | |
Emmaus General Authority Rev., VRDO, AGM, LIQ: Wells Fargo Bank NA, 1.15%, 3/10/2020 (d) | | | 4,990 | | | | 4,990 | |
| | |
Spring-Benner-Walker Joint Authority Rev., 4.00%, 9/1/2024 | | | 440 | | | | 492 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 114 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Other Revenue — continued | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2018-XL0060, Rev., VRDO, LOC: Barclays Bank plc, 1.25%, 3/10/2020 (d) (f) | | | 5,650 | | | | 5,650 | |
| | |
Series 2018-XX1, Rev., VRDO, LOC: Barclays Bank plc, 1.25%, 3/10/2020 (d) (f) | | | 7,800 | | | | 7,800 | |
| | |
Urban Redevelopment Authority of Pittsburgh, Crawford Square Apartments Project Rev., 2.25%, 6/1/2020 (d) | | | 1,850 | | | | 1,851 | |
| | | | | | | | |
| | |
| | | | | | | 23,796 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
City of Philadelphia, Water and Wastewater Rev., 5.00%, 11/1/2027 (e) | | | 1,465 | | | | 1,627 | |
| | |
Pennsylvania Turnpike Commission, Convertible Capital Appreciation Series B2, Rev., 5.35%, 12/1/2024 (e) | | | 30 | | | | 31 | |
| | | | | | | | |
| | |
| | | | | | | 1,658 | |
| | | | | | | | |
|
Transportation — 0.8% | |
| | |
Pennsylvania Turnpike Commission | | | | | | | | |
| | |
Series 2nd, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/10/2020 (d) | | | 12,855 | | | | 12,855 | |
| | |
Series A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 1.75%, 3/10/2020 (g) | | | 18,000 | | | | 18,159 | |
| | |
Series B, Subseries B-2, Rev., 5.00%, 6/1/2020 | | | 50 | | | | 51 | |
| | |
Series A, Rev., 5.00%, 12/1/2022 | | | 1,000 | | | | 1,111 | |
| | |
Series A, Rev., 5.00%, 12/1/2023 | | | 1,000 | | | | 1,151 | |
| | |
Pennsylvania Turnpike Commission, Senior Lien Series A, Rev., 5.00%, 12/1/2020 | | | 110 | | | | 113 | |
| | | | | | | | |
| | |
| | | | | | | 33,440 | |
| | | | | | | | |
|
Utility — 0.6% | |
| | |
Philadelphia Gas Works Co., 1998 General Ordinance | | | | | | | | |
| | |
Series A-2, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/10/2020 (d) | | | 13,300 | | | | 13,300 | |
| | |
Series C, Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/10/2020 (d) | | | 10,585 | | | | 10,585 | |
| | | | | | | | |
| | |
| | | | | | | 23,885 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Ambridge Borough Water Authority | | | | | | | | |
| | |
Rev., 3.00%, 11/15/2020 | | | 195 | | | | 198 | |
| | |
Rev., 4.00%, 11/15/2021 | | | 160 | | | | 168 | |
| | |
Rev., 4.00%, 11/15/2022 | | | 175 | | | | 189 | |
| | |
Rev., 4.00%, 11/15/2023 | | | 175 | | | | 193 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Water & Sewer — continued | |
| | |
Charleroi Borough Authority, Water System | | | | | | | | |
| | |
Rev., AGM, 3.00%, 12/1/2020 | | | 305 | | | | 310 | |
| | |
Rev., AGM, 4.00%, 12/1/2021 | | | 225 | | | | 237 | |
| | |
Rev., AGM, 4.00%, 12/1/2022 | | | 165 | | | | 178 | |
| | |
Rev., AGM, 4.00%, 12/1/2023 | | | 225 | | | | 249 | |
| | |
Lycoming County Water and Sewer Authority, Guaranteed Sewer | | | | | | | | |
| | |
Rev., AGM, 2.00%, 11/15/2020 | | | 225 | | | | 227 | |
| | |
Rev., AGM, 4.00%, 11/15/2021 | | | 245 | | | | 257 | |
| | |
Rev., AGM, 4.00%, 11/15/2022 | | | 200 | | | | 215 | |
| | |
Rev., AGM, 4.00%, 11/15/2023 | | | 150 | | | | 166 | |
| | |
Middletown Township Sewer Authority | | | | | | | | |
| | |
Rev., 3.00%, 10/1/2020 | | | 270 | | | | 273 | |
| | |
Rev., 4.00%, 10/1/2021 | | | 330 | | | | 346 | |
| | |
Rev., 4.00%, 10/1/2022 | | | 265 | | | | 285 | |
| | |
Rev., 4.00%, 10/1/2023 | | | 210 | | | | 232 | |
| | |
Pittsburgh Water and Sewer Authority, First Lien Series A, Rev., 5.00%, 9/1/2022 | | | 250 | | | | 275 | |
| | |
Upper Allegheny Joint Sanitary Authority | | | | | | | | |
| | |
Series 2019A, Rev., AGM, 3.00%, 9/1/2020 | | | 125 | | | | 126 | |
| | |
Series 2019A, Rev., AGM, 3.00%, 9/1/2021 | | | 285 | | | | 293 | |
| | |
Series 2019A, Rev., AGM, 4.00%, 9/1/2022 | | | 200 | | | | 215 | |
| | |
Series 2019A, Rev., AGM, 4.00%, 9/1/2023 | | | 215 | | | | 237 | |
| | | | | | | | |
| | |
| | | | | | | 4,869 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 330,403 | |
| | | | | | | | |
|
Rhode Island — 1.0% | |
|
Education — 0.9% | |
| | |
Rhode Island Health and Educational Building Corp., Bryant University Rev., VRDO, LOC: TD Bank NA, 1.14%, 3/10/2020 (d) | | | 25,120 | | | | 25,120 | |
| | |
Rhode Island Health and Educational Building Corp., Higher Education Facility, Rhode Island School of Design Issue Series 2008A, Rev., VRDO, LOC: U.S. Bank NA, 1.08%, 3/10/2020 (d) | | | 12,120 | | | | 12,120 | |
| | |
Rhode Island Health and Educational Building Corp., Public School Program, Providence Public Building Authority Series 2013A, Rev., 5.00%, 5/15/2022 | | | 15 | | | | 16 | |
| | | | | | | | |
| | |
| | | | | | | 37,256 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Pawtucket | | | | | | | | |
| | |
Series 2019C, GO, AGM, 3.00%, 7/15/2020 | | | 185 | | | | 186 | |
| | |
Series 2019D, GO, AGM, 3.00%, 7/15/2020 | | | 185 | | | | 186 | |
| | |
Series 2019D, GO, AGM, 3.00%, 7/15/2021 | | | 125 | | | | 129 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 115 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2019C, GO, AGM, 4.00%, 7/15/2021 | | | 185 | | | | 193 | |
| | |
Series 2019D, GO, AGM, 3.00%, 7/15/2022 | | | 210 | | | | 220 | |
| | |
Series 2019C, GO, AGM, 4.00%, 7/15/2022 | | | 210 | | | | 225 | |
| | |
Series 2019D, GO, AGM, 3.00%, 7/15/2023 | | | 70 | | | | 75 | |
| | |
Series 2019C, GO, AGM, 4.00%, 7/15/2023 | | | 380 | | | | 417 | |
| | | | | | | | |
| | |
| | | | | | | 1,631 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
Providence Public Building Authority, Capital Improvement Series A, Rev., 5.00%, 9/15/2020 | | | 200 | | | | 204 | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
Rhode Island Commerce Corp., First Lien Special Facility, Rhode Island Airport Corp. Intermodal Facility Project Series 2018, Rev., 5.00%, 7/1/2020 | | | 585 | | | | 593 | |
| | |
Rhode Island Turnpike and Bridge Authority | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2021 | | | 300 | | | | 319 | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2023 | | | 125 | | | | 143 | |
| | | | | | | | |
| | |
| | | | | | | 1,055 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 40,146 | |
| | | | | | | | |
|
South Carolina — 0.5% | |
|
Education — 0.0%(b) | |
| | |
Educational Facilities Authority, Wofford College Series B, Rev., 2.37%, 4/1/2022 (d) | | | 500 | | | | 513 | |
| | |
South Carolina Jobs-Economic Development Authority, Lowcountry Leadership Charter School Project Series A, Rev., 2.38%, 12/1/2024 (f) | | | 600 | | | | 607 | |
| | | | | | | | |
| | |
| | | | | | | 1,120 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
South Carolina Jobs-Economic Development Authority, Episcopal Home At Still Hopes Series 2018A, Rev., 5.00%, 4/1/2021 | | | 500 | | | | 517 | |
| | |
South Carolina Jobs-Economic Development Authority, Woodlands at Furman Project Series 2020A, Rev., 4.00%, 11/15/2023 | | | 130 | | | | 138 | |
| | | | | | | | |
| | |
| | | | | | | 655 | |
| | | | | | | | |
|
Transportation — 0.3% | |
| | |
South Carolina Transportation Infrastructure Bank Series 2003B, Rev., (ICE LIBOR USD 1 Month + 0.45%), 1.51%, 4/1/2020 (g) | | | 9,950 | | | | 9,993 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
Chester Sewer District, Wastewater System Improvement | | | | | | | | |
| | |
Rev., 3.00%, 6/1/2020 | | | 75 | | | | 75 | |
| | |
Rev., 3.00%, 6/1/2021 | | | 110 | | | | 113 | |
| | |
Rev., 4.00%, 6/1/2023 | | | 75 | | | | 82 | |
| | |
Laurens County Water and Sewer Commission, Waterworks Distribution System Rev., BAN, 1.38%, 2/1/2022 | | | 7,000 | | | | 7,027 | |
| | | | | | | | |
| | |
| | | | | | | 7,297 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 19,065 | |
| | | | | | | | |
|
South Dakota — 0.0%(b) | |
|
Housing — 0.0% (b) | |
| | |
South Dakota Board of Regents, Housing and Auxiliary Facility System Series 2017, Rev., 5.00%, 4/1/2022 | | | 375 | | | | 406 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
South Dakota State Building Authority Series A, Rev., 3.00%, 6/1/2020 | | | 200 | | | | 201 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 607 | |
| | | | | | | | |
|
Tennessee — 2.8% | |
|
Education — 0.3% | |
| | |
Knox County Health Educational and Housing Facility Board, Meadowbrook Apartments Project Rev., 1.50%, 7/1/2021 (d) | | | 650 | | | | 654 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, East Webster Street Apartments Project Rev., 2.05%, 4/1/2020 (d) | | | 2,500 | | | | 2,502 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Hermitage Flats Apartments Project Rev., 1.50%, 7/1/2020 | | | 3,750 | | | | 3,757 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Oakwood Flats Apartments Project Rev., 2.10%, 10/1/2020 (d) | | | 6,500 | | | | 6,540 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2019, Rev., 3.00%, 10/1/2024 | | | 525 | | | | 543 | |
| | | | | | | | |
| | |
| | | | | | | 13,996 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Memphis, General Improvement GO, 5.00%, 6/1/2020 | | | 25 | | | | 25 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 116 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
County of Shelby, Public Improvement Series B, GO, VRDO, 1.15%, 3/10/2020 (d) | | | 1,975 | | | | 1,975 | |
| | | | | | | | |
| | |
| | | | | | | 2,000 | |
| | | | | | | | |
|
Hospital — 1.6% | |
| | |
Chattanooga Health Educational and Housing Facility Board, Catholic Health Services Series 2004C, Rev., VRDO, 1.26%, 3/10/2020 (d) | | | 21,940 | | | | 21,940 | |
| | |
Rutherford County Health and Educational Facilities Board Rev., 2.50%, 11/1/2020 (d) | | | 3,500 | | | | 3,533 | |
| | |
Shelby County Health Educational and Housing Facilities Board, Methodist Le Bonheur Healthcare Series B, Rev., VRDO, AGM, LIQ: U.S. Bank NA, 1.21%, 3/2/2020 (d) | | | 30,000 | | | | 30,000 | |
| | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station ProjectSeries 2019B-1, Rev., 4.00%, 12/1/2026 | | | 10,000 | | | | 10,159 | |
| | | | | | | | |
| | |
| | | | | | | 65,632 | |
| | | | | | | | |
|
Housing — 0.5% | |
| | |
Highlands Residential Services, Walnut Village Project Series 2019, Rev., GNMA COLL, 1.80%, 4/1/2021 (d) | | | 1,000 | | | | 1,007 | |
| | |
Knox County Health Educational and Housing Facility Board, Clear Springs Apartments Project Series 2019, Rev., 1.80%, 5/1/2021 (d) | | | 800 | | | | 807 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Dandridge Towers Project Rev., 1.87%, 7/1/2020 (d) | | | 2,400 | | | | 2,405 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Trevecca Towers I/East Project Rev., 2.00%, 1/1/2021 (d) | | | 10,000 | | | | 10,078 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Trevecca Towers II Project Rev., 2.00%, 1/1/2021 (d) | | | 5,000 | | | | 5,045 | |
| | | | | | | | |
| | |
| | | | | | | 19,342 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Lewisburg Industrial Development Board, Lewisburg Summit Apartments Rev., 1.55%, 3/1/2022 (d) | | | 1,900 | | | | 1,919 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
Tennergy Corp., Gas Supply Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 10/1/2024 (d) | | | 10,000 | | | | 11,744 | |
| | |
Tennessee Energy Acquisition Corp., Gas Project | | | | | | | | |
| | |
Series A, Rev., 4.00%, 5/1/2020 | | | 780 | | | | 784 | |
| | |
Series 2017A, Rev., 4.00%, 5/1/2021 | | | 730 | | | | 755 | |
| | | | | | | | |
| | |
| | | | | | | 13,283 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 116,172 | |
| | | | | | | | |
|
Texas — 6.4% | |
|
Education — 0.1% | |
| | |
Austin Community College District Public Facility Corp., Lease, Highland Campus Parking Garage Project | | | | | | | | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2024 | | | 200 | | | | 235 | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2025 | | | 200 | | | | 242 | |
| | |
Austin Community College District, Combined Fee | | | | | | | | |
| | |
Rev., 5.00%, 2/1/2021 | | | 160 | | | | 166 | |
| | |
Rev., 5.00%, 2/1/2022 | | | 165 | | | | 178 | |
| | |
Rev., 5.00%, 2/1/2023 | | | 170 | | | | 190 | |
| | |
McLennan County Junior College District | | | | | | | | |
| | |
Rev., AGM, 3.00%, 4/15/2020 | | | 300 | | | | 301 | |
| | |
Rev., AGM, 3.00%, 4/15/2021 | | | 350 | | | | 358 | |
| | |
Rev., AGM, 3.00%, 4/15/2022 | | | 100 | | | | 104 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project | | | | | | | | |
| | |
Series 2020A, Rev., 2.10%, 1/1/2023 | | | 90 | | | | 90 | |
| | |
Series 2020A, Rev., 2.20%, 1/1/2024 | | | 180 | | | | 182 | |
| | |
Series 2020A, Rev., 2.25%, 1/1/2025 | | | 315 | | | | 318 | |
| | |
New Hope Cultural Education Facilities Finance Corp., Presbyterian Village North Project | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 675 | | | | 687 | |
| | |
Rev., 5.00%, 10/1/2021 | | | 1,425 | | | | 1,489 | |
| | |
Rev., 5.00%, 10/1/2022 | | | 1,495 | | | | 1,601 | |
| | |
University of Texas (The), Board of Regents, Financing System | | | | | | | | |
| | |
Series A, Rev., 5.00%, 8/15/2020 | | | 25 | | | | 25 | |
| | |
Series 2016D, Rev., 5.00%, 8/15/2021 | | | 25 | | | | 27 | |
| | | | | | | | |
| | |
| | | | | | | 6,193 | |
| | | | | | | | |
|
General Obligation — 2.7% | |
| | |
Avery Ranch Road District No. 1 | | | | | | | | |
| | |
Series 2019, GO, 3.00%, 8/15/2022 | | | 615 | | | | 646 | |
| | |
Series 2019, GO, 3.00%, 8/15/2023 | | | 810 | | | | 865 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 117 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Big Oaks Municipal Utility District, Waterworks & Sewer System, Combination Unlimited Tax | | | | | | | | |
| | |
GO, AGM, 3.00%, 3/1/2021 | | | 335 | | | | 342 | |
| | |
GO, AGM, 3.00%, 3/1/2022 | | | 345 | | | | 358 | |
| | |
GO, AGM, 3.00%, 3/1/2023 | | | 905 | | | | 954 | |
| | |
Bridgestone Municipal Utility District | | | | | | | | |
| | |
Series A, GO, AGM, 2.00%, 5/1/2021 | | | 1,480 | | | | 1,497 | |
| | |
Series A, GO, AGM, 2.00%, 5/1/2022 | | | 110 | | | | 112 | |
| | |
Series A, GO, AGM, 3.00%, 5/1/2023 | | | 85 | | | | 90 | |
| | |
Brushy Creek Municipal Utility District | | | | | | | | |
| | |
GO, 3.00%, 6/1/2021 | | | 200 | | | | 205 | |
| | |
GO, 3.00%, 6/1/2022 | | | 235 | | | | 245 | |
| | |
GO, 3.00%, 6/1/2023 | | | 250 | | | | 264 | |
| | |
City of El Paso | | | | | | | | |
| | |
Series 2020A, GO, 5.00%, 8/15/2020 (c) | | | 885 | | | | 901 | |
| | |
Series 2020A, GO, 5.00%, 8/15/2021 (c) | | | 600 | | | | 636 | |
| | |
GO, 5.00%, 8/15/2022 (c) | | | 400 | | | | 440 | |
| | |
GO, 5.00%, 8/15/2023 (c) | | | 515 | | | | 585 | |
| | |
GO, 5.00%, 8/15/2024 (c) | | | 700 | | | | 823 | |
| | |
Series 2020A, GO, 5.00%, 8/15/2024 (c) | | | 275 | | | | 323 | |
| | |
City of Galveston | | | | | | | | |
| | |
GO, 3.00%, 5/1/2021 | | | 130 | | | | 133 | |
| | |
GO, 4.00%, 5/1/2022 | | | 590 | | | | 629 | |
| | |
City of Granbury Series 2018, GO, 2.00%, 8/15/2020 | | | 185 | | | | 186 | |
| | |
City of Grand Prairie GO, 5.00%, 2/15/2021 | | | 20 | | | | 21 | |
| | |
City of Kenedy, Certificates of Obligation | | | | | | | | |
| | |
GO, 4.00%, 5/1/2020 | | | 315 | | | | 317 | |
| | |
GO, 4.00%, 5/1/2021 | | | 130 | | | | 135 | |
| | |
GO, 4.00%, 5/1/2022 | | | 120 | | | | 127 | |
| | |
GO, 4.00%, 5/1/2023 | | | 125 | | | | 136 | |
| | |
City of Laredo, A Home Rule City Located in Webb County GO, 5.00%, 2/15/2021 | | | 725 | | | | 753 | |
| | |
City of Odessa Series 2017, GO, 4.00%, 3/1/2020 | | | 300 | | | | 300 | |
| | |
City of Port Arthur | | | | | | | | |
| | |
GO, AGM, 3.00%, 2/15/2021 | | | 350 | | | | 357 | |
| | |
Series 2020A, GO, AGM, 3.00%, 2/15/2021 | | | 970 | | | | 989 | |
| | |
GO, AGM, 3.00%, 2/15/2022 | | | 765 | | | | 795 | |
| | |
Series 2020A, GO, AGM, 4.00%, 2/15/2022 | | | 350 | | | | 370 | |
| | |
Series 2020A, GO, AGM, 4.00%, 2/15/2023 | | | 365 | | | | 397 | |
| | |
GO, AGM, 5.00%, 2/15/2023 | | | 910 | | | | 1,015 | |
| | |
Series 2020A, GO, AGM, 5.00%, 2/15/2024 | | | 380 | | | | 437 | |
| | |
Series 2020A, GO, AGM, 5.00%, 2/15/2025 | | | 400 | | | | 475 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
City of Sulphur Springs | | | | | | | | |
| | |
Series 2019, GO, AGM, 3.00%, 9/1/2020 | | | 100 | | | | 101 | |
| | |
Series 2019, GO, AGM, 3.00%, 9/1/2021 | | | 100 | | | | 103 | |
| | |
Series 2019, GO, AGM, 3.00%, 9/1/2022 | | | 520 | | | | 546 | |
| | |
City of Universal City | | | | | | | | |
| | |
GO, 4.00%, 8/15/2020 | | | 215 | | | | 218 | |
| | |
GO, 4.00%, 8/15/2021 | | | 140 | | | | 147 | |
| | |
GO, 4.00%, 8/15/2022 | | | 145 | | | | 155 | |
| | |
GO, 2.00%, 8/15/2023 | | | 230 | | | | 237 | |
| | |
Clear Brook City Municipal Utility District Series 2019, GO, AGM, 2.10%, 2/1/2023 | | | 450 | | | | 460 | |
| | |
Clear Creek Independent School District, School Building Series B, GO, PSF-GTD, 1.45%, 8/14/2020 (d) | | | 2,200 | | | | 2,205 | |
| | |
Counties of Travis, Williamson and Hays, City of Austin, Public Improvement GO, 5.00%, 9/1/2021 | | | 30 | | | | 32 | |
| | |
County of Bexar, Harlandale Independent School District GO, PSF-GTD, 3.00%, 8/15/2021 (d) | | | 4,000 | | | | 4,037 | |
| | |
County of Denton GO, 5.00%, 7/15/2020 | | | 50 | | | | 51 | |
| | |
County of Kaufman, Limited Tax | | | | | | | | |
| | |
Series 2020A, GO, 5.00%, 2/15/2022 (c) | | | 250 | | | | 270 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2023 (c) | | | 110 | | | | 123 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2024 (c) | | | 125 | | | | 145 | |
| | |
Series 2020A, GO, 5.00%, 2/15/2025 (c) | | | 130 | | | | 155 | |
| | |
County of Kaufman, Unlimited Tax Road | | | | | | | | |
| | |
GO, 5.00%, 2/15/2023 (c) | | | 155 | | | | 174 | |
| | |
GO, 5.00%, 2/15/2024 (c) | | | 210 | | | | 243 | |
| | |
GO, 5.00%, 2/15/2025 (c) | | | 255 | | | | 305 | |
| | |
County of La Salle | | | | | | | | |
| | |
GO, AGM, 5.00%, 3/1/2020 | | | 315 | | | | 315 | |
| | |
GO, AGM, 5.00%, 3/1/2021 | | | 345 | | | | 359 | |
| | |
County of La Salle, Unlimited Tax | | | | | | | | |
| | |
GO, AGM, 5.00%, 3/1/2020 | | | 2,075 | | | | 2,075 | |
| | |
GO, AGM, 5.00%, 3/1/2021 | | | 2,135 | | | | 2,224 | |
| | |
Cuero Independent School District, School Building Series 2014, GO, PSF-GTD, 5.00%, 8/15/2021 | | | 100 | | | | 106 | |
| | |
Cypress Hill Municipal Utility District No. 1 | | | | | | | | |
| | |
GO, 2.00%, 9/1/2020 | | | 30 | | | | 30 | |
| | |
GO, 2.00%, 9/1/2021 | | | 290 | | | | 294 | |
| | |
GO, 2.00%, 9/1/2022 | | | 190 | | | | 194 | |
| | |
GO, 3.00%, 9/1/2023 | | | 270 | | | | 287 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 118 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Florence Independent School District | | | | | | | | |
| | |
GO, PSF-GTD, 3.00%, 8/15/2026 | | | 230 | | | | 241 | |
| | |
GO, PSF-GTD, 3.00%, 8/15/2027 | | | 115 | | | | 120 | |
| | |
Fort Bend County Levee Improvement District No. 11 GO, AGM, 3.00%, 9/1/2023 | | | 400 | | | | 424 | |
| | |
Fort Bend County Municipal Utility District No. 116 | | | | | | | | |
| | |
Series 2019, GO, 3.00%, 9/1/2021 | | | 330 | | | | 340 | |
| | |
Series 2019, GO, 3.00%, 9/1/2022 | | | 460 | | | | 480 | |
| | |
Series 2019, GO, 3.00%, 9/1/2023 | | | 450 | | | | 478 | |
| | |
Fort Bend County Municipal Utility District No. 151 GO, 3.00%, 9/1/2021 | | | 190 | | | | 196 | |
| | |
Georgetown Independent School DistrictSeries 2019-B, GO, PSF-GTD, 2.75%, 8/1/2022 (d) | | | 8,000 | | | | 8,325 | |
| | |
Greenhawe Water Control and Improvement District No. 2 | | | | | | | | |
| | |
GO, AGM, 3.00%, 9/1/2022 | | | 190 | | | | 199 | |
| | |
GO, AGM, 3.00%, 9/1/2023 | | | 200 | | | | 212 | |
| | |
Harris County Fresh Water Supply District No. 61 | | | | | | | | |
| | |
Series 2019, GO, AGM, 4.00%, 9/1/2023 | | | 445 | | | | 489 | |
| | |
Series 2019, GO, AGM, 3.00%, 9/1/2024 | | | 695 | | | | 750 | |
| | |
Harris County Municipal Utility District No. 096 | | | | | | | | |
| | |
Series 2019, GO, 2.00%, 9/1/2021 | | | 185 | | | | 188 | |
| | |
Series 2019, GO, 2.00%, 9/1/2023 | | | 195 | | | | 200 | |
| | |
Harris County Municipal Utility District No. 152 | | | | | | | | |
| | |
GO, AGM, 3.00%, 8/1/2022 | | | 280 | | | | 292 | |
| | |
GO, AGM, 3.00%, 8/1/2023 | | | 400 | | | | 423 | |
| | |
Harris County Municipal Utility District No. 157 GO, AGM, 3.00%, 3/1/2023 | | | 425 | | | | 448 | |
| | |
Harris County Municipal Utility District No. 276 | | | | | | | | |
| | |
GO, 3.00%, 9/1/2022 | | | 365 | | | | 382 | |
| | |
GO, 3.00%, 9/1/2023 | | | 745 | | | | 790 | |
| | |
Harris County Municipal Utility District No. 281 | | | | | | | | |
| | |
Series 2019, GO, 2.00%, 9/1/2020 | | | 135 | | | | 136 | |
| | |
Series 2019, GO, 2.00%, 9/1/2021 | | | 130 | | | | 132 | |
| | |
Series 2019, GO, 2.00%, 9/1/2022 | | | 300 | | | | 306 | |
| | |
Series 2019, GO, 2.00%, 9/1/2023 | | | 305 | | | | 313 | |
| | |
Harris County Municipal Utility District No. 374 | | | | | | | | |
| | |
Series 2019, GO, 3.00%, 9/1/2021 | | | 100 | | | | 103 | |
| | |
Series 2019, GO, 3.00%, 9/1/2022 | | | 145 | | | | 151 | |
| | |
Series 2019, GO, 3.00%, 9/1/2023 | | | 115 | | | | 122 | |
| | |
Harris County Municipal Utility District No. 391 | | | | | | | | |
| | |
GO, 3.00%, 9/1/2020 | | | 95 | | | | 96 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
GO, 3.00%, 9/1/2021 | | | 375 | | | | 386 | |
| | |
GO, 3.00%, 9/1/2023 | | | 400 | | | | 424 | |
| | |
Harris County Municipal Utility District No. 419 | | | | | | | | |
| | |
GO, 3.00%, 9/1/2020 | | | 75 | | | | 76 | |
| | |
GO, 3.00%, 9/1/2021 | | | 70 | | | | 72 | |
| | |
GO, 3.00%, 9/1/2022 | | | 175 | | | | 182 | |
| | |
GO, 3.00%, 9/1/2023 | | | 455 | | | | 482 | |
| | |
Harris County Municipal Utility District No. 55 | | | | | | | | |
| | |
GO, 2.00%, 2/1/2021 | | | 470 | | | | 474 | |
| | |
GO, 3.00%, 2/1/2022 | | | 260 | | | | 270 | |
| | |
GO, 3.00%, 2/1/2023 | | | 785 | | | | 827 | |
| | |
Harris County Water Control and Improvement District No. 119 | | | | | | | | |
| | |
GO, AGM, 2.00%, 10/1/2021 | | | 835 | | | | 848 | |
| | |
GO, AGM, 3.00%, 10/1/2022 | | | 365 | | | | 383 | |
| | |
GO, AGM, 3.00%, 10/1/2023 | | | 375 | | | | 400 | |
| | |
Hunters Glen Municipal Utility District, Waterworks and Sewer System | | | | | | | | |
| | |
Series 2019A, GO, AGM, 2.00%, 4/1/2020 | | | 120 | | | | 120 | |
| | |
Series 2019A, GO, AGM, 2.00%, 4/1/2021 | | | 110 | | | | 111 | |
| | |
Series 2019A, GO, AGM, 2.00%, 4/1/2022 | | | 330 | | | | 337 | |
| | |
Series 2019A, GO, AGM, 2.00%, 4/1/2023 | | | 595 | | | | 611 | |
| | |
La Joya Independent School District | | | | | | | | |
| | |
GO, AGM, 4.00%, 2/15/2021 | | | 380 | | | | 392 | |
| | |
GO, AGM, 4.00%, 2/15/2022 | | | 390 | | | | 414 | |
| | |
GO, AGM, 4.00%, 2/15/2023 | | | 420 | | | | 456 | |
| | |
Lytle Independent School District GO, PSF-GTD, 4.00%, 2/15/2028 | | | 255 | | | | 307 | |
| | |
Midlothian Independent School District, Unlimited Tax Series 2017B, GO, PSF-GTD, 2.50%, 8/1/2020 (d) | | | 4,315 | | | | 4,343 | |
| | |
Montgomery County Municipal Utility District No. 94 | | | | | | | | |
| | |
GO, 2.00%, 10/1/2020 | | | 20 | | | | 20 | |
| | |
GO, 2.00%, 10/1/2021 | | | 60 | | | | 61 | |
| | |
GO, 2.00%, 10/1/2022 | | | 185 | | | | 189 | |
| | |
GO, 2.00%, 10/1/2023 | | | 185 | | | | 191 | |
| | |
New Caney Independent School District, School Building GO, PSF-GTD, 3.00%, 8/15/2021 (d) | | | 1,500 | | | | 1,545 | |
| | |
Northside Independent School District, School Building | | | | | | | | |
| | |
GO, PSF-GTD, 1.45%, 6/1/2020 (d) | | | 4,000 | | | | 4,005 | |
| | |
GO, PSF-GTD, 2.00%, 6/1/2021 (d) | | | 3,035 | | | | 3,075 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 119 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Northwest Harris County Municipal Utility District No. 19 | | | | | | | | |
| | |
GO, AGM, 2.00%, 10/1/2020 | | | 40 | | | | 40 | |
| | |
GO, AGM, 2.00%, 10/1/2021 | | | 100 | | | | 102 | |
| | |
GO, AGM, 2.00%, 10/1/2022 | | | 100 | | | | 102 | |
| | |
GO, AGM, 2.00%, 10/1/2023 | | | 105 | | | | 107 | |
| | |
Pecan Grove Municipal Utility District, Unlimited Tax | | | | | | | | |
| | |
Series 2019, GO, 4.00%, 9/1/2021 | | | 560 | | | | 585 | |
| | |
GO, AGM, 3.00%, 9/1/2022 (c) | | | 195 | | | | 205 | |
| | |
Series 2019, GO, 4.00%, 9/1/2022 | | | 710 | | | | 763 | |
| | |
GO, AGM, 3.00%, 9/1/2023 (c) | | | 345 | | | | 368 | |
| | |
Series 2019, GO, 4.00%, 9/1/2023 | | | 740 | | | | 816 | |
| | |
GO, AGM, 3.00%, 9/1/2024 (c) | | | 600 | | | | 651 | |
| | |
Robstown Independent School District | | | | | | | | |
| | |
GO, PSF-GTD, 2.00%, 2/15/2021 | | | 325 | | | | 329 | |
| | |
GO, PSF-GTD, 2.00%, 2/15/2022 | | | 325 | | | | 332 | |
| | |
GO, PSF-GTD, 3.00%, 2/15/2023 | | | 650 | | | | 689 | |
| | |
GO, PSF-GTD, 3.00%, 2/15/2024 | | | 360 | | | | 388 | |
| | |
Sienna Plantation Municipal Utility District No. 3 | | | | | | | | |
| | |
GO, 2.00%, 3/1/2021 | | | 200 | | | | 202 | |
| | |
GO, 2.00%, 3/1/2022 | | | 225 | | | | 230 | |
| | |
GO, 2.00%, 3/1/2023 | | | 185 | | | | 189 | |
| | |
State of Texas, Veterans | | | | | | | | |
| | |
Series A, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/10/2020 (d) | | | 12,370 | | | | 12,370 | |
| | |
GO, VRDO, LIQ: Sumitomo Mitsui Banking Corp., 1.20%, 3/10/2020 (d) | | | 19,505 | | | | 19,505 | |
| | |
Town of Horizon City | | | | | | | | |
| | |
Series 2019, GO, AGM, 3.00%, 8/15/2020 | | | 155 | | | | 157 | |
| | |
Series 2019, GO, AGM, 3.00%, 8/15/2021 | | | 300 | | | | 309 | |
| | |
Series 2019, GO, AGM, 3.00%, 8/15/2022 | | | 170 | | | | 178 | |
| | |
Series 2019, GO, AGM, 4.00%, 8/15/2023 | | | 230 | | | | 253 | |
| | |
Travis County Municipal Utility District No. 4 | | | | | | | | |
| | |
Series 2019A, GO, AGM, 2.00%, 9/1/2022 | | | 410 | | | | 418 | |
| | |
Series 2019A, GO, AGM, 3.00%, 9/1/2023 | | | 650 | | | | 690 | |
| | |
Williamson County Municipal Utility District No. 11 | | | | | | | | |
| | |
GO, AGM, 4.00%, 8/1/2020 | | | 255 | | | | 258 | |
| | |
GO, AGM, 4.00%, 8/1/2021 | | | 140 | | | | 146 | |
| | |
GO, AGM, 4.00%, 8/1/2022 | | | 110 | | | | 117 | |
| | | | | | | | |
| | |
| | | | | | | 110,285 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Hospital — 0.8% | |
| | |
Harris County Cultural Education Facilities Finance Corp., Children’s Hospital Series A, Rev., 5.00%, 10/1/2020 | | | 3,255 | | | | 3,332 | |
| | |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | | | | | | | | |
| | |
Series 2019C, Rev., VRDO, 1.57%, 3/10/2020 (d) | | | 10,000 | | | | 10,000 | |
| | |
Series 2019C-2, Rev., VRDO, 1.72%, 3/10/2020 (d) | | | 9,000 | | | | 9,000 | |
| | |
Series 2019A, Rev., 5.00%, 12/1/2021 | | | 1,750 | | | | 1,873 | |
| | |
Series 2019A, Rev., 5.00%, 12/1/2022 | | | 1,700 | | | | 1,888 | |
| | |
Series 2019A, Rev., 5.00%, 12/1/2023 | | | 2,230 | | | | 2,561 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Christus Health Series A, Rev., 5.00%, 7/1/2020 | | | 3,460 | | | | 3,506 | |
| | | | | | | | |
| | |
| | | | | | | 32,160 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Matagorda County Navigation District No. 1, Pollution Control Rev., AMT, 1.75%, 9/1/2020 (d) | | | 4,000 | | | | 4,012 | |
| | | | | | | | |
|
Other Revenue — 1.9% | |
| | |
City of Irving, Hotel Occupancy | | | | | | | | |
| | |
Rev., 5.00%, 8/15/2020 | | | 125 | | | | 127 | |
| | |
Rev., 5.00%, 8/15/2021 | | | 25 | | | | 26 | |
| | |
Rev., 5.00%, 8/15/2022 | | | 50 | | | | 55 | |
| | |
Rev., 5.00%, 8/15/2023 | | | 50 | | | | 57 | |
| | |
State of Texas Rev., TRAN, 4.00%, 8/27/2020 | | | 75,915 | | | | 77,087 | |
| | | | | | | | |
| | |
| | | | | | | 77,352 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Austin Independent School District, Unlimited Tax Series 2013A, GO, PSF-GTD, 5.00%, 8/1/2032 (e) | | | 30 | | | | 32 | |
| | |
Midlothian Independent School District, Unlimited Tax Series 2017B, GO, PSF-GTD, 2.50%, 8/1/2020 (d) (e) | | | 685 | | | | 689 | |
| | | | | | | | |
| | |
| | | | | | | 721 | |
| | | | | | | | |
|
Transportation — 0.7% | |
| | |
Brazoria County Toll Road Authority, Limited Contract Tax and Subordinate Lien Toll Road Series 2017B, Rev., BAN, GTD, 1.45%, 3/1/2020 (e) | | | 7,000 | | | | 7,000 | |
| | |
Central Texas Regional Mobility Authority, Subordinated Lien Rev., BAN, 4.00%, 1/1/2022 | | | 2,455 | | | | 2,552 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 120 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — continued | |
| | |
City of Austin, Airport System Series 2019, Rev., AMT, 5.00%, 11/15/2022 | | | 4,250 | | | | 4,700 | |
| | |
Harris County Toll Road Authority (The), Senior Lien | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 8/15/2020 | | | 1,500 | | | | 1,528 | |
| | |
Series A, Rev., 5.00%, 8/15/2021 | | | 1,500 | | | | 1,591 | |
| | |
Love Field Airport Modernization Corp. Rev., AMT, 5.00%, 11/1/2021 | | | 125 | | | | 133 | |
| | |
North Texas Tollway Authority | | | | | | | | |
| | |
Series B, Rev., 4.00%, 1/1/2022 | | | 800 | | | | 845 | |
| | |
Series B, Rev., 5.00%, 1/1/2023 | | | 5,000 | | | | 5,579 | |
| | |
Series B, Rev., 5.00%, 1/1/2024 | | | 5,500 | | | | 6,346 | |
| | |
Port Beaumont Navigation District Rev., 4.00%, 9/1/2020 | | | 155 | | | | 157 | |
| | | | | | | | |
| | |
| | | | | | | 30,431 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Houston, Combined Utility System, First LienSeries 2004B-6, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.15%, 3/10/2020 (d) | | | 1,540 | | | | 1,540 | |
| | |
County of Bexar, Tax Exempt Project | | | | | | | | |
| | |
Rev., 5.00%, 8/15/2020 | | | 235 | | | | 239 | |
| | |
Rev., 5.00%, 8/15/2022 | | | 275 | | | | 302 | |
| | |
Rev., 5.00%, 8/15/2023 | | | 275 | | | | 313 | |
| | | | | | | | |
| | |
| | | | | | | 2,394 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Canyon Regional Water Authority, Wells Ranch I Project Rev., 4.00%, 8/1/2020 | | | 20 | | | | 20 | |
| | |
City of Laredo, Waterworks and Sewer System | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2020 | | | 250 | | | | 250 | |
| | |
Rev., 5.00%, 3/1/2021 | | | 125 | | | | 130 | |
| | |
Trinity River Authority Central Regional Wastewater System Rev., 5.00%, 8/1/2020 | | | 675 | | | | 687 | |
| | | | | | | | |
| | |
| | | | | | | 1,087 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 264,635 | |
| | | | | | | | |
|
Utah — 0.6% | |
|
Education — 0.0% (b) | |
| | |
Utah Charter School Finance Authority | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/15/2020 | | | 65 | | | | 65 | |
| | |
Series A, Rev., 5.00%, 4/15/2021 | | | 40 | | | | 42 | |
| | |
Series A, Rev., 5.00%, 4/15/2022 | | | 35 | | | | 38 | |
| | |
Series A, Rev., 5.00%, 4/15/2023 | | | 85 | | | | 95 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Education — continued | |
| | |
Utah Charter School Finance Authority, Utah Charter Academies Project | | | | | | | | |
| | |
Rev., 3.00%, 10/15/2020 | | | 220 | | | | 223 | |
| | |
Rev., 4.00%, 10/15/2021 | | | 305 | | | | 319 | |
| | | | | | | | |
| | |
| | | | | | | 782 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
County of Utah Hospital, IHC Health Services, Inc. | | | | | | | | |
| | |
Series C, Rev., VRDO, LIQ: U.S. Bank NA, 1.09%, 3/10/2020 (d) | | | 2,500 | | | | 2,500 | |
| | |
Series D, Rev., VRDO, LIQ: U.S. Bank NA, 1.09%, 3/10/2020 (d) | | | 11,275 | | | | 11,275 | |
| | | | | | | | |
| | |
| | | | | | | 13,775 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
City of Murray, Sales Tax | | | | | | | | |
| | |
Series 2018, Rev., 3.00%, 11/15/2020 | | | 235 | | | | 239 | |
| | |
Series 2018, Rev., 4.00%, 11/15/2021 | | | 150 | | | | 158 | |
| | |
West Valley City Municipal Building Authority Series 2019, Rev., AGM, 5.00%, 2/1/2021 | | | 90 | | | | 93 | |
| | | | | | | | |
| | |
| | | | | | | 490 | |
| | | | | | | | |
|
Prerefunded — 0.3% | |
| | |
Utah State Board of Regents, University of Utah (The) | | | | | | | | |
| | |
Series 2011B, Rev., 5.00%, 8/1/2029 (e) | | | 5,100 | | | | 5,187 | |
| | |
Series 2011B, Rev., 5.00%, 8/1/2030 (e) | | | 5,110 | | | | 5,197 | |
| | | | | | | | |
| | |
| | | | | | | 10,384 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
City of Lehi, Electric Utility | | | | | | | | |
| | |
Series 2018, Rev., 5.00%, 6/1/2020 | | | 85 | | | | 86 | |
| | |
Series 2018, Rev., 5.00%, 6/1/2021 | | | 75 | | | | 79 | |
| | | | | | | | |
| | |
| | | | | | | 165 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 25,596 | |
| | | | | | | | |
|
Virginia — 3.6% | |
|
Education — 0.2% | |
| | |
Virginia College Building Authority, Public Higher Education Financing Program Series 2014B, Rev., 5.00%, 9/1/2020 | | | 7,685 | | | | 7,846 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Charlottesville, Public Improvement Series 2012B, GO, 4.00%, 7/15/2020 | | | 200 | | | | 202 | |
| | |
Commonwealth of Virginia Series A, GO, 5.00%, 6/1/2021 | | | 1,480 | | | | 1,558 | |
| | | | | | | | |
| | |
| | | | | | | 1,760 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 121 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — 2.0% | |
| | |
Chesapeake Hospital Authority, Regional Medical Center | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2023 | | | 925 | | | | 1,049 | |
| | |
Rev., 5.00%, 7/1/2024 | | | 885 | | | | 1,037 | |
| | |
Fairfax County Industrial Development Authority, Health Care Series C, Rev., VRDO, 1.16%, 3/10/2020 (d) | | | 33,120 | | | | 33,120 | |
| | |
Lynchburg Economic Development Authority, Centra Health Obligated Group Series 2017B, Rev., VRDO, LOC: Branch Banking & Trust, 1.30%, 3/2/2020 (d) | | | 13,725 | | | | 13,725 | |
| | |
Norfolk Economic Development Authority, Sentara Healthcare Series B, Rev., VRDO, 1.17%, 3/10/2020 (d) | | | 33,515 | | | | 33,515 | |
| | | | | | | | |
| | |
| | | | | | | 82,446 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.5% | |
| | |
Chesapeake Economic Development Authority, Virginia Electric and Power Co. Project Series 2008A, Rev., 1.90%, 6/1/2023 (d) | | | 4,250 | | | | 4,375 | |
| | |
Rockingham County Economic Development Authority, Sunnyside Presbyterian Home | | | | | | | | |
| | |
Series 2020A, Rev., 4.00%, 12/1/2020 | | | 280 | | | | 286 | |
| | |
Series 2020A, Rev., 4.00%, 12/1/2021 | | | 270 | | | | 283 | |
| | |
Series 2020A, Rev., 4.00%, 12/1/2022 | | | 295 | | | | 318 | |
| | |
Series 2020A, Rev., 4.00%, 12/1/2023 | | | 100 | | | | 110 | |
| | |
Wise County Industrial Development AuthoritySeries 2009-A, Rev., 2.15%, 9/1/2020 (d) | | | 7,500 | | | | 7,542 | |
| | |
York County Economic Development Authority, Electric and Power Company Project Series 2009A, Rev., 1.90%, 6/1/2023 (d) | | | 8,000 | | | | 8,232 | |
| | | | | | | | |
| | |
| | | | | | | 21,146 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
Virginia Public Building Authority, Public Facilities | | | | | | | | |
| | |
Series 2014C, Rev., 5.00%, 8/1/2020 | | | 18,830 | | | | 19,159 | |
| | |
Series A, Rev., 5.00%, 8/1/2020 | | | 5,220 | | | | 5,311 | |
| | | | | | | | |
| | |
| | | | | | | 24,470 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Fairfax County EDA, Community Services Facilities Projects Series A, Rev., 4.50%, 3/1/2037 (e) | | | 8,235 | | | | 8,542 | |
| | | | | | | | |
|
Transportation — 0.0% (b) | |
| | |
Peninsula Ports Authority, Dominion Term Association Project Rev., 1.70%, 10/1/2022 (d) | | | 1,550 | | | | 1,569 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
Transportation — continued | |
| | |
Virginia Commonwealth Transportation Board, Federal TransportationSeries B-G, Rev., GAN, 5.00%, 3/15/2021 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 1,595 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 147,805 | |
| | | | | | | | |
|
Washington — 2.0% | |
|
General Obligation — 0.0%(b) | |
| | |
Kitsap County School District No. 401 Central Kitsap, Unlimited Tax GO, 4.00%, 12/1/2021 | | | 75 | | | | 79 | |
| | |
Pend Oreille County, Public Hospital District No. 1 GO, 3.00%, 12/1/2020 | | | 155 | | | | 157 | |
| | |
Snohomish County School District No. 15 Edmonds GO, 5.00%, 12/1/2021 | | | 330 | | | | 354 | |
| | |
Snohomish County, Everett School District No. 2 GO, 5.00%, 12/1/2020 | | | 25 | | | | 26 | |
| | |
Snohomish County, School District No. 25, Marysville GO, 5.00%, 12/1/2020 | | | 170 | | | | 175 | |
| | | | | | | | |
| | |
| | | | | | | 791 | |
| | | | | | | | |
|
Hospital — 0.7% | |
| | |
Washington Health Care Facilities Authority, Catholic Health Initiatives | | | | | | | | |
| | |
Series 2013B, Rev., (SIFMA Municipal Swap Index Yield + 1.00%), 2.15%, 3/10/2020 (g) | | | 5,000 | | | | 5,013 | |
| | |
Series 2013B, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 2.55%, 3/10/2020 (g) | | | 10,000 | | | | 10,423 | |
| | |
Washington Health Care Facilities Authority, Commonspirit HealthSeries B-1, Rev., 5.00%, 8/1/2024 (d) | | | 11,000 | | | | 12,711 | |
| | |
Washington Health Care Facilities Authority, Overlake Hospital Medical Center Series 2017B, Rev., 5.00%, 7/1/2022 | | | 1,210 | | | | 1,323 | |
| | |
WBRP 3.2, Washington Biomedical Research Properties Series 2015A, Rev., 5.00%, 1/1/2021 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 29,496 | |
| | | | | | | | |
|
Housing — 0.6% | |
| | |
King County Housing Authority, Highland Village Project | | | | | | | | |
| | |
Rev., 4.00%, 1/1/2022 | | | 120 | | | | 126 | |
| | |
Rev., 4.00%, 1/1/2023 | | | 100 | | | | 108 | |
| | |
Rev., 5.00%, 1/1/2024 | | | 120 | | | | 138 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 122 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Housing — continued | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, Cathedral Plaza Apartments Rev., 2.37%, 7/1/2020 (d) | | | 13,500 | | | | 13,555 | |
| | |
Washington State Housing Finance Commission, Multi-Family Housing, The O’Malley Apartments Rev., 2.37%, 7/1/2020 (d) | | | 8,500 | | | | 8,534 | |
| | |
Washington State Housing Finance Commission, Transforming Age Projects Series 2019B, Rev., 2.38%, 1/1/2026 (f) | | | 3,500 | | | | 3,520 | |
| | | | | | | | |
| | |
| | | | | | | 25,981 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
City of Seattle, Municipal Light and Power Improvement Rev., 5.00%, 9/1/2021 | | | 20 | | | | 21 | |
| | |
Energy Northwest, Columbia Generating Station Series 2012A, Rev., 5.00%, 7/1/2020 | | | 18,750 | | | | 19,010 | |
| | | | | | | | |
| | |
| | | | | | | 19,031 | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
Cascade Water Alliance Rev., 5.00%, 1/1/2021 | | | 20 | | | | 21 | |
| | |
City of Seattle, Wastewater System Improvement Rev., 5.00%, 9/1/2020 | | | 25 | | | | 25 | |
| | |
County of King, Junior Lien, Sewer Rev., 2.45%, 12/1/2020 (d) | | | 6,615 | | | | 6,635 | |
| | | | | | | | |
| | |
| | | | | | | 6,681 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 81,980 | |
| | | | | | | | |
|
West Virginia — 0.1% | |
|
General Obligation — 0.0% (b) | |
| | |
Berkeley County Board of Education, Public School | | | | | | | | |
| | |
GO, 3.00%, 5/1/2020 | | | 830 | | | | 833 | |
| | |
GO, 3.00%, 5/1/2021 | | | 395 | | | | 404 | |
| | |
GO, 4.00%, 5/1/2022 | | | 600 | | | | 638 | |
| | |
GO, 5.00%, 5/1/2025 | | | 360 | | | | 430 | |
| | | | | | | | |
| | |
| | | | | | | 2,305 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
West Virginia Economic Development Authority, Appalachian Power Co. — AMOS Project Series 2009A, Rev., 2.63%, 6/1/2022 (d) | | | 3,805 | | | | 3,941 | |
| | | | | | | | |
| | |
Total West Virginia | | | | | | | 6,246 | |
| | | | | | | | |
|
Wisconsin — 3.0% | |
|
Education — 0.6% | |
| | |
Milwaukee Redevelopment Authority, Milwaukee Public Schools Rev., 4.00%, 11/15/2021 | | | 55 | | | | 58 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| |
|
Education — continued | |
| | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit GroupSeries 2018C-1, Rev., (SIFMA Municipal Swap Index Yield + 0.35%), 1.50%, 3/10/2020 (g) | | | 21,865 | | | | 21,896 | |
| | |
Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2020 | | | 155 | | | | 158 | |
| | |
Series 2017A, Rev., 5.00%, 9/1/2021 | | | 160 | | | | 168 | |
| | |
Wisconsin Health and Educational Facilities Authority, Hmong American Peace Academy | | | | | | | | |
| | |
Rev., 4.00%, 3/15/2022 | | | 110 | | | | 116 | |
| | |
Rev., 4.00%, 3/15/2023 | | | 120 | | | | 129 | |
| | |
Rev., 4.00%, 3/15/2024 | | | 120 | | | | 132 | |
| | |
Rev., 4.00%, 3/15/2025 | | | 125 | | | | 140 | |
| | |
Wisconsin Health and Educational Facilities Authority, St. Camillus Health SystemSeries 2019B-3, Rev., 2.25%, 11/1/2026 | | | 4,000 | | | | 4,058 | |
| | | | | | | | |
| | |
| | | | | | | 26,855 | |
| | | | | | | | |
|
General Obligation — 0.5% | |
| | |
Big Foot Union High School District | | | | | | | | |
| | |
Series 2019, GO, 4.00%, 3/1/2020 | | | 100 | | | | 100 | |
| | |
Series 2019, GO, 4.00%, 3/1/2021 | | | 130 | | | | 134 | |
| | |
Series 2019, GO, 4.00%, 3/1/2022 | | | 100 | | | | 106 | |
| | |
Series 2019, GO, 4.00%, 3/1/2023 | | | 115 | | | | 125 | |
| | |
City of Fort Atkinson | | | | | | | | |
| | |
GO, 3.00%, 2/1/2021 | | | 115 | | | | 117 | |
| | |
GO, 3.00%, 2/1/2022 | | | 120 | | | | 125 | |
| | |
GO, 4.00%, 2/1/2023 | | | 230 | | | | 249 | |
| | |
City of Kenosha GO, 3.00%, 2/1/2021 | | | 1,000 | | | | 1,019 | |
| | |
City of Middletown | | | | | | | | |
| | |
GO, 3.00%, 3/1/2020 | | | 200 | | | | 200 | |
| | |
GO, 3.00%, 3/1/2021 | | | 355 | | | | 363 | |
| | |
City of Oak Creek | | | | | | | | |
| | |
GO, 3.00%, 4/1/2021 | | | 335 | | | | 342 | |
| | |
GO, 3.00%, 4/1/2022 | | | 135 | | | | 141 | |
| | |
GO, 3.00%, 4/1/2023 | | | 180 | | | | 191 | |
| | |
City of Racine | | | | | | | | |
| | |
Series 2019B, GO, 4.00%, 6/1/2021 | | | 120 | | | | 124 | |
| | |
Series 2019B, GO, 4.00%, 12/1/2021 | | | 165 | | | | 174 | |
| | |
Series 2019B, GO, 4.00%, 12/1/2022 | | | 145 | | | | 157 | |
| | |
Series 2019B, GO, 5.00%, 12/1/2023 | | | 125 | | | | 143 | |
| | |
City of Shawano, Promissory Notes | | | | | | | | |
| | |
Series 2019, GO, 3.00%, 4/1/2020 | | | 150 | | | | 150 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 123 | |
JPMorgan Ultra-Short Municipal Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
Series 2019, GO, 3.00%, 4/1/2021 | | | 250 | | | | 256 | |
| | |
Series 2019, GO, 3.00%, 4/1/2022 | | | 140 | | | | 146 | |
| | |
Series 2019, GO, 3.00%, 4/1/2023 | | | 150 | | | | 158 | |
| | |
City of Watertown, Promissory Notes | | | | | | | | |
| | |
GO, 3.00%, 6/1/2023 | | | 125 | | | | 133 | |
| | |
GO, 3.00%, 6/1/2024 | | | 425 | | | | 460 | |
| | |
City of Waukesha | | | | | | | | |
| | |
Series 2019C, GO, 3.00%, 10/1/2020 | | | 575 | | | | 582 | |
| | |
Series 2019C, GO, 3.00%, 10/1/2021 | | | 450 | | | | 465 | |
| | |
Series 2019C, GO, 3.00%, 10/1/2022 | | | 425 | | | | 448 | |
| | |
Series 2019C, GO, 3.00%, 10/1/2023 | | | 350 | | | | 376 | |
| | |
County of Douglas | | | | | | | | |
| | |
GO, 5.00%, 2/1/2021 | | | 350 | | | | 363 | |
| | |
GO, 5.00%, 2/1/2022 | | | 520 | | | | 561 | |
| | |
County of Manitowoc | | | | | | | | |
| | |
GO, AGM, 3.00%, 11/1/2022 | | | 50 | | | | 52 | |
| | |
GO, AGM, 3.00%, 11/1/2023 | | | 150 | | | | 160 | |
| | |
County of Manitowoc, Promissory Notes | | | | | | | | |
| | |
GO, AGM, 3.00%, 4/1/2021 | | | 350 | | | | 358 | |
| | |
GO, AGM, 3.00%, 4/1/2022 | | | 875 | | | | 910 | |
| | |
GO, AGM, 3.00%, 4/1/2023 | | | 895 | | | | 947 | |
| | |
GO, AGM, 4.00%, 4/1/2024 | | | 680 | | | | 759 | |
| | |
County of Rusk, Promissory Notes | | | | | | | | |
| | |
GO, 3.00%, 3/1/2021 | | | 200 | | | | 204 | |
| | |
GO, 3.00%, 3/1/2022 | | | 130 | | | | 135 | |
| | |
GO, 3.00%, 3/1/2023 | | | 260 | | | | 275 | |
| | |
GO, 3.00%, 3/1/2024 | | | 270 | | | | 290 | |
| | |
Eleva-Strum School District | | | | | | | | |
| | |
GO, 3.00%, 4/1/2020 | | | 230 | | | | 230 | |
| | |
GO, 3.00%, 4/1/2021 | | | 450 | | | | 460 | |
| | |
Gale-Ettrick-Trempealeau School District | | | | | | | | |
| | |
GO, 2.00%, 4/1/2020 | | | 85 | | | | 85 | |
| | |
GO, 2.00%, 4/1/2021 | | | 50 | | | | 50 | |
| | |
GO, 2.00%, 4/1/2022 | | | 105 | | | | 107 | |
| | |
GO, 2.00%, 4/1/2023 | | | 130 | | | | 133 | |
| | |
Gibraltar Area School District | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 440 | | | | 440 | |
| | |
GO, 4.00%, 3/1/2021 | | | 700 | | | | 722 | |
| | |
GO, 4.00%, 3/1/2022 | | | 315 | | | | 334 | |
| | |
Lakeshore Technical College District | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 3/1/2022 | | | 75 | | | | 78 | |
| | |
Series 2019A, GO, 3.00%, 3/1/2023 | | | 110 | | | | 117 | |
| | |
Series 2019A, GO, 3.00%, 3/1/2024 | | | 405 | | | | 434 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Pewaukee School District Series 2019A, GO, 5.00%, 3/1/2024 | | | 375 | | | | 435 | |
| | |
Poynette School District | | | | | | | | |
| | |
GO, 3.00%, 4/1/2020 | | | 125 | | | | 125 | |
| | |
GO, 3.00%, 4/1/2021 | | | 100 | | | | 102 | |
| | |
GO, 3.00%, 4/1/2022 | | | 340 | | | | 354 | |
| | |
GO, 3.00%, 4/1/2023 | | | 265 | | | �� | 281 | |
| | |
Randall Consolidated School Joint No. 1 | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 380 | | | | 380 | |
| | |
GO, 4.00%, 3/1/2021 | | | 175 | | | | 180 | |
| | |
Village of Menomonee Falls, Promissory Note Series A, GO, 3.00%, 6/1/2021 | | | 270 | | | | 277 | |
| | |
Village of Mount Pleasant | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 3/1/2020 | | | 100 | | | | 100 | |
| | |
Series 2019A, GO, 3.00%, 3/1/2021 | | | 285 | | | | 290 | |
| | |
Series 2019A, GO, 3.00%, 3/1/2022 | | | 265 | | | | 275 | |
| | |
Series 2019A, GO, 5.00%, 3/1/2023 | | | 380 | | | | 424 | |
| | |
Village of Pulaski GO, AGM, 3.00%, 4/1/2020 | | | 160 | | | | 160 | |
| | |
Western Technical College District, Promissory Notes Series 2019C, GO, 3.00%, 4/1/2020 | | | 150 | | | | 150 | |
| | |
Wittenberg Birnamwood School District | | | | | | | | |
| | |
GO, AGM, 4.00%, 3/1/2021 | | | 130 | | | | 134 | |
| | |
GO, AGM, 4.00%, 3/1/2022 | | | 260 | | | | 276 | |
| | |
GO, AGM, 4.00%, 3/1/2023 | | | 280 | | | | 305 | |
| | | | | | | | |
| | |
| | | | | | | 19,436 | |
| | | | | | | | |
|
Hospital — 1.4% | |
| | |
University of Wisconsin Hospitals and Clinics Series 2018C, Rev., VRDO, LIQ: BMO Harris Bank NA, 1.30%, 3/2/2020 (d) | | | 25,430 | | | | 25,430 | |
| | |
Wisconsin Health and Educational Facilities Authority, Medical College Series 2008B, Rev., VRDO, LOC: U.S. Bank NA, 1.23%, 3/2/2020 (d) | | | 32,930 | | | | 32,930 | |
| | | | | | | | |
| | |
| | | | | | | 58,360 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
City of Kaukauna, Storm Water System Series 2019D, Rev., BAN, 2.63%, 9/1/2024 | | | 660 | | | | 683 | |
| | |
Village of DeForest Series C, Rev., RAN, 3.00%, 5/1/2023 | | | 4,865 | | | | 4,985 | |
| | |
Village of Howard Rev., RAN, 2.00%, 12/1/2021 | | | 6,965 | | | | 7,018 | |
| | | | | | | | |
| | |
| | | | | | | 12,686 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 124 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT
($000) | | | VALUE
($000) | |
Municipal Bonds — continued | | | | | | | | |
|
Transportation — 0.1% | |
| | |
Wisconsin Department of Transportation | | | | | | | | |
| | |
Series 1, Rev., 5.00%, 7/1/2020 | | | 2,135 | | | | 2,165 | |
| | |
Series 1, Rev., 5.00%, 7/1/2021 | | | 25 | | | | 26 | |
| | | | | | | | |
| | |
| | | | | | | 2,191 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
WPPI Energy, Power Supply System Series A, Rev., 5.00%, 7/1/2020 | | | 3,275 | | | | 3,320 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Kaukauna, Sanitary Sewer System Series 2019C, Rev., BAN, 2.63%, 9/1/2024 | | | 510 | | | | 527 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 123,375 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $4,317,931) | | | | | | | 4,338,514 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | |
SHARES
(000) | | | VALUE
($000) | |
Short-Term Investments — 1.2% | |
|
Investment Companies — 1.2% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (h) (i)
(Cost $50,592) | | | 50,592 | | | | 50,592 | |
| | | | | | | | |
Total Investments — 105.6%
(Cost $4,368,523) | | | | | | | 4,389,106 | |
Liabilities in Excess of
Other Assets — (5.6)% | | | | | | | (231,595 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 4,157,511 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMT | | Alternative Minimum Tax |
| BAN | | Bond Anticipation Note |
| COLL | | Collateral |
| COP | | Certificate of Participation |
| EDA | | Economic Development Authority |
| FHA | | Federal Housing Administration |
| GAN | | Grant Anticipation Note |
| GNMA | | Government National Mortgage Association |
| GO | | General Obligation |
| GRAN | | Grant Revenue Anticipation Note |
| GTD | | Guaranteed |
| ICE | | Intercontinental Exchange |
| IDA | | Industrial Development Authority |
| LIBOR | | London Interbank Offered Rate |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| MTA | | Metropolitan Transportation Authority |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | | Permanent School Fund Guaranteed |
| Q-SBLF | | Qualified School Bond Loan Fund |
| RAN | | Revenue Anticipation Note |
| RE | | Reinsured |
| Rev. | | Revenue |
| SIFMA | | The Securities Industry and Financial Markets Association |
| | |
| TAN | | Tax Anticipation Note |
| TRAN | | Tax & Revenue Anticipation Note |
| USD | | United States Dollar |
| VRDO | | Variable Rate Demand Obligation |
| |
| (a) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (b) | | Amount rounds to less than 0.1% of net assets. |
| (c) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (d) | | 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 February 29, 2020. |
| (e) | | Security is prerefunded or escrowed to maturity. |
| (f) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (g) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (h) | | 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. |
| (i) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 125 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020
(Amounts in thousands, except per share amounts)
| | | | | | | | | | | | |
| | | JPMorgan
High Yield
Municipal
Fund | | | JPMorgan
Municipal
Income Fund | | | JPMorgan
Short-
Intermediate
Municipal
Bond Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 506,690 | | | $ | 277,041 | | | $ | 1,637,600 | |
Investments in affiliates, at value | | | 44,883 | | | | 13,683 | | | | 48,403 | |
Cash | | | 37 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | |
Investment securities sold | | | 110 | | | | 239 | | | | 8,369 | |
Investment securities sold — delayed delivery securities | | | 6,644 | | | | 215 | | | | — | |
Fund shares sold | | | 1,768 | | | | 687 | | | | 1,916 | |
Interest fromnon-affiliates | | | 4,666 | | | | 2,419 | | | | 14,873 | |
Dividends from affiliates | | | 27 | | | | 14 | | | | 54 | |
| | | | | | | | | | | | |
Total Assets | | | 564,825 | | | | 294,298 | | | | 1,711,215 | |
| | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Investment securities purchased | | | 13,388 | | | | 2,588 | | | | 8,096 | |
Investment securities purchased — delayed delivery securities | | | 15,377 | | | | 5,769 | | | | 31,551 | |
Fund shares redeemed | | | 1,009 | | | | 348 | | | | 9,820 | |
Accrued liabilities: | | | | | | | | | | | | |
Investment advisory fees | | | 87 | | | | 53 | | | | 200 | |
Administration fees | | | 2 | | | | 9 | | | | 19 | |
Distribution fees | | | 58 | | | | 26 | | | | 13 | |
Service fees | | | 23 | | | | 18 | | | | 35 | |
Custodian and accounting fees | | | 20 | | | | 14 | | | | 20 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | (a) | | | — | (a) |
Other | | | 105 | | | | 53 | | | | 94 | |
| | | | | | | | | | | | |
Total Liabilities | | | 30,069 | | | | 8,878 | | | | 49,848 | |
| | | | | | | | | | | | |
Net Assets | | $ | 534,756 | | | $ | 285,420 | | | $ | 1,661,367 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 126 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | JPMorgan
High Yield
Municipal
Fund | | | JPMorgan
Municipal
Income Fund | | | JPMorgan
Short-
Intermediate
Municipal
Bond Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 503,098 | | | $ | 270,730 | | | $ | 1,608,321 | |
Total distributable earnings (loss) | | | 31,658 | | | | 14,690 | | | | 53,046 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 534,756 | | | $ | 285,420 | | | $ | 1,661,367 | |
| | | | | | | | | | | | |
|
Net Assets: | |
Class A | | $ | 194,623 | | | $ | 96,844 | | | $ | 53,408 | |
Class C | | | 37,623 | | | | 12,868 | | | | 4,303 | |
Class I | | | 296,450 | | | | 114,772 | | | | 641,836 | |
Class R6 | | | 6,060 | | | | 60,936 | | | | 961,820 | |
| | | | | | | | | | | | |
Total | | $ | 534,756 | | | $ | 285,420 | | | $ | 1,661,367 | |
| | | | | | | | | | | | |
|
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | | | | | |
Class A | | | 16,315 | | | | 9,664 | | | | 4,919 | |
Class C | | | 3,161 | | | | 1,298 | | | | 393 | |
Class I | | | 24,854 | | | | 11,540 | | | | 58,798 | |
Class R6 | | | 508 | | | | 6,129 | | | | 88,149 | |
Net Asset Value (a): | | | | | | | | | | | | |
Class A — Redemption price per share | | $ | 11.93 | | | $ | 10.02 | | | $ | 10.86 | |
Class C — Offering price per share (b) | | | 11.90 | | | | 9.92 | | | | 10.96 | |
Class I — Offering and redemption price per share | | | 11.93 | | | | 9.95 | | | | 10.92 | |
Class R6 — Offering and redemption price per share | | | 11.93 | | | | 9.94 | | | | 10.91 | |
Class A maximum sales charge | | | 3.75 | % | | | 3.75 | % | | | 2.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 12.39 | | | $ | 10.41 | | | $ | 11.11 | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 475,530 | | | $ | 261,855 | | | $ | 1,570,987 | |
Cost of investments in affiliates | | | 44,883 | | | | 13,683 | | | | 48,402 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 127 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in thousands, except per share amounts)
| | | | | | | | |
| | |
JPMorgan
Tax Free
Bond Fund | | | JPMorgan
Ultra-Short
Municipal Fund | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 535,940 | | | $ | 4,338,514 | |
Investments in affiliates, at value | | | 27,433 | | | | 50,592 | |
Cash | | | — | | | | — | (a) |
Deposits at broker for futures contracts | | | 190 | | | | — | |
Receivables: | | | | | | | | |
Investment securities sold | | | 559 | | | | 590 | |
Investment securities sold — delayed delivery securities | | | 434 | | | | — | |
Fund shares sold | | | 2,797 | | | | 19,977 | |
Interest fromnon-affiliates | | | 4,915 | | | | 25,193 | |
Dividends from affiliates | | | 19 | | | | 109 | |
Due from adviser | | | — | | | | 16 | |
| | | | | | | | |
Total Assets | | | 572,287 | | | | 4,434,991 | |
| | | | | | | | |
|
LIABILITIES: | |
Payables: | |
Investment securities purchased | | | 6,233 | | | | 64,191 | |
Investment securities purchased — delayed delivery securities | | | 12,487 | | | | 191,098 | |
Fund shares redeemed | | | 1,285 | | | | 20,984 | |
Variation margin on futures contracts | | | 186 | | | | — | |
Accrued liabilities: | | | | | | | | |
Investment advisory fees | | | 120 | | | | — | |
Administration fees | �� | | 29 | | | | — | |
Distribution fees | | | 60 | | | | 16 | |
Service fees | | | 13 | | | | 726 | |
Custodian and accounting fees | | | 19 | | | | 39 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | (a) |
Other | | | 77 | | | | 426 | |
| | | | | | | | |
Total Liabilities | | | 20,509 | | | | 277,480 | |
| | | | | | | | |
Net Assets | | $ | 551,778 | | | $ | 4,157,511 | |
| | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 128 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| | |
JPMorgan
Tax Free
Bond Fund | | | JPMorgan
Ultra-Short
Municipal Fund | |
NET ASSETS: | |
Paid-in-Capital | | $ | 513,814 | | | $ | 4,138,364 | |
Total distributable earnings (loss) | | | 37,964 | | | | 19,147 | |
| | | | | | | | |
Total Net Assets | | $ | 551,778 | | | $ | 4,157,511 | |
| | | | | | | | |
|
Net Assets: | |
Class A | | $ | 231,815 | | | $ | 106,625 | |
Class C | | | 26,965 | | | | — | |
Class I | | | 177,584 | | | | 4,050,886 | |
Class R6 | | | 115,414 | | | | — | |
| | | | | | | | |
Total | | $ | 551,778 | | | $ | 4,157,511 | |
| | | | | | | | |
|
Outstanding units of beneficial interest (shares) | |
($0.0001 par value; unlimited number of shares authorized): | | | | | | | | |
Class A | | | 18,307 | | | | 10,577 | |
Class C | | | 2,148 | | | | — | |
Class I | | | 14,086 | | | | 402,172 | |
Class R6 | | | 9,157 | | | | — | |
| | |
Net Asset Value (a): | | | | | | | | |
Class A — Redemption price per share | | $ | 12.66 | | | $ | 10.08 | |
Class C — Offering price per share (b) | | | 12.55 | | | | — | |
Class I — Offering and redemption price per share | | | 12.61 | | | | 10.07 | |
Class R6 — Offering and redemption price per share | | | 12.60 | | | | — | |
Class A maximum sales charge | | | 3.75 | % | | | 2.25 | % |
Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)] | | $ | 13.15 | | | $ | 10.31 | |
| | | | | | | | |
| | |
Cost of investments innon-affiliates | | $ | 489,103 | | | $ | 4,317,931 | |
Cost of investments in affiliates | | | 27,432 | | | | 50,592 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 129 | |
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 2020
(Amounts in thousands)
| | | | | | | | | | | | |
| | | JPMorgan
High Yield
Municipal
Fund | | | JPMorgan
Municipal
Income Fund | | | JPMorgan
Short-
Intermediate
Municipal
Bond Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 11,000 | | | $ | 6,138 | | | $ | 33,562 | |
Interest income from affiliates | | | — | (a) | | | — | (a) | | | 1 | |
Dividend income fromnon-affiliates | | | 26 | | | | — | | | | — | |
Dividend income from affiliates | | | 350 | | | | 153 | | | | 1,071 | |
| | | | | | | | | | | | |
Total investment income | | | 11,376 | | | | 6,291 | | | | 34,634 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 1,154 | | | | 695 | | | | 3,977 | |
Administration fees | | | 247 | | | | 174 | | | | 1,193 | |
Distribution fees: | | | | | | | | | | | | |
Class A | | | 268 | | | | 187 | | | | 106 | |
Class C | | | 203 | | | | 97 | | | | 32 | |
Service fees: | | | | | | | | | | | | |
Class A | | | 268 | | | | 187 | | | | 106 | |
Class C | | | 68 | | | | 32 | | | | 11 | |
Class I | | | 480 | | | | 223 | | | | 1,547 | |
Custodian and accounting fees | | | 113 | | | | 67 | | | | 181 | |
Interest expense to affiliates | | | — | (a) | | | — | (a) | | | — | |
Professional fees | | | 101 | | | | 73 | | | | 80 | |
Trustees’ and Chief Compliance Officer’s fees | | | 26 | | | | 26 | | | | 31 | |
Printing and mailing costs | | | 28 | | | | 12 | | | | 81 | |
Registration and filing fees | | | 164 | | | | 73 | | | | 89 | |
Transfer agency fees (See Note 2.I.) | | | 6 | | | | 7 | | | | 16 | |
Other | | | 17 | | | | 13 | | | | 23 | |
| | | | | | | | | | | | |
Total expenses | | | 3,143 | | | | 1,866 | | | | 7,473 | |
| | | | | | | | | | | | |
Less fees waived | | | (1,026 | ) | | | (601 | ) | | | (3,815 | ) |
Less expense reimbursements | | | (68 | ) | | | — | | | | (7 | ) |
| | | | | | | | | | | | |
Net expenses | | | 2,049 | | | | 1,265 | | | | 3,651 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 9,327 | | | | 5,026 | | | | 30,983 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments innon-affiliates | | | 1,190 | | | | (361 | ) | | | 5,375 | |
Investments in affiliates | | | (3 | ) | | | (1 | ) | | | 2 | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 1,187 | | | | (362 | ) | | | 5,377 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | | | | | | | | | | | | |
Investments innon-affiliates | | | 28,740 | | | | 11,661 | | | | 49,004 | |
Investments in affiliates | | | — | (a) | | | — | (a) | | | 1 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 28,740 | | | | 11,661 | | | | 49,005 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 29,927 | | | | 11,299 | | | | 54,382 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 39,254 | | | $ | 16,325 | | | $ | 85,365 | |
| | | | | | | | | | | | |
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 130 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| | |
JPMorgan
Tax Free
Bond
Fund | | |
JPMorgan
Ultra-Short
Municipal Fund | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 14,622 | | | $ | 54,911 | |
Interest income from affiliates | | | 1 | | | | 2 | |
Dividend income fromnon-affiliates | | | 1 | | | | — | |
Dividend income from affiliates | | | 239 | | | | 1,519 | |
| | | | | | | | |
Total investment income | | | 14,863 | | | | 56,432 | |
| | | | | | | | |
|
EXPENSES: | |
Investment advisory fees | | | 1,369 | | | | 5,036 | |
Administration fees | | | 342 | | | | 2,518 | |
Distribution fees: | | | | | | | | |
Class A | | | 435 | | | | 137 | |
Class C | | | 208 | | | | — | |
Service fees: | | | | | | | | |
Class A | | | 435 | | | | 137 | |
Class C | | | 69 | | | | — | |
Class I | | | 390 | | | | 8,257 | |
Custodian and accounting fees | | | 149 | | | | 335 | |
Interest expense to affiliates | | | 3 | | | | 95 | |
Professional fees | | | 97 | | | | 92 | |
Trustees’ and Chief Compliance Officer’s fees | | | 27 | | | | 38 | |
Printing and mailing costs | | | 23 | | | | 44 | |
Registration and filing fees | | | 104 | | | | 245 | |
Transfer agency fees (See Note 2.I.) | | | 18 | | | | 24 | |
Other | | | 14 | | | | 95 | |
| | | | | | | | |
Total expenses | | | 3,683 | | | | 17,053 | |
| | | | | | | | |
Less fees waived | | | (1,093 | ) | | | (8,575 | ) |
| | | | | | | | |
Net expenses | | | 2,590 | | | | 8,478 | |
| | | | | | | | |
Net investment income (loss) | | | 12,273 | | | | 47,954 | |
| | | | | | | | |
| | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gain (loss) on transactions from: | |
Investments innon-affiliates | | | 765 | | | | (652 | ) |
Investments in affiliates | | | (1 | ) | | | 17 | |
Futures contracts | | | (1,286 | ) | | | — | |
| | | | | | | | |
Net realized gain (loss) | | | (522 | ) | | | (635 | ) |
| | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments innon-affiliates | | | 34,170 | | | | 17,937 | |
Investments in affiliates | | | 1 | | | | — | |
Futures contracts | | | (292 | ) | | | — | |
| | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 33,879 | | | | 17,937 | |
| | | | | | | | |
Net realized/unrealized gains (losses) | | | 33,357 | | | | 17,302 | |
| | | | | | | | |
Change in net assets resulting from operations | | $ | 45,630 | | | $ | 65,256 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 131 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan High Yield Municipal Fund | | | JPMorgan Municipal Income Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 9,327 | | | $ | 4,042 | | | $ | 5,026 | | | $ | 4,845 | |
Net realized gain (loss) | | | 1,187 | | | | 248 | | | | (362 | ) | | | 17 | |
Change in net unrealized appreciation/depreciation | | | 28,740 | | | | 1,124 | | | | 11,661 | | | | 1,465 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 39,254 | | | | 5,414 | | | | 16,325 | | | | 6,327 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | (3,137 | ) | | | (1,161 | ) | | | (1,506 | ) | | | (1,687 | ) |
Class C | | | (644 | ) | | | (485 | ) | | | (188 | ) | | | (306 | ) |
Class I | | | (5,749 | ) | | | (2,376 | ) | | | (2,040 | ) | | | (2,044 | ) |
Class R6 (a) | | | (103 | ) | | | (4 | ) | | | (1,287 | ) | | | (1,817 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (9,633 | ) | | | (4,026 | ) | | | (5,021 | ) | | | (5,854 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 346,641 | | | | 52,086 | | | | 75,558 | | | | (19,210 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 376,262 | | | | 53,474 | | | | 86,862 | | | | (18,737 | ) |
Beginning of period | | | 158,494 | | | | 105,020 | | | | 198,558 | | | | 217,295 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 534,756 | | | $ | 158,494 | | | $ | 285,420 | | | $ | 198,558 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective November 1, 2018 for JPMorgan High Yield Municipal Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 132 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Short-Intermediate Municipal
Bond Fund | | | JPMorgan Tax Free Bond Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 30,983 | | | $ | 31,530 | | | $ | 12,273 | | | $ | 12,567 | |
Net realized gain (loss) | | | 5,377 | | | | (4,496 | ) | | | (522 | ) | | | (1,860 | ) |
Distributions of capital gains received from investment companynon-affiliates | | | — | | | | — | | | | — | | | | 8 | |
Change in net unrealized appreciation/depreciation | | | 49,005 | | | | 18,414 | | | | 33,879 | | | | 555 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 85,365 | | | | 45,448 | | | | 45,630 | | | | 11,270 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
Class A | | | (652 | ) | | | (498 | ) | | | (4,479 | ) | | | (4,427 | ) |
Class C | | | (41 | ) | | | (53 | ) | | | (558 | ) | | | (780 | ) |
Class I | | | (12,180 | ) | | | (27,873 | ) | | | (4,385 | ) | | | (6,496 | ) |
Class R6 (a) | | | (18,526 | ) | | | (3,081 | ) | | | (2,816 | ) | | | (871 | ) |
| | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (31,399 | ) | | | (31,505 | ) | | | (12,238 | ) | | | (12,574 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 129,277 | | | | (255,405 | ) | | | 135,787 | | | | 67,878 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Change in net assets | | | 183,243 | | | | (241,462 | ) | | | 169,179 | | | | 66,574 | |
Beginning of period | | | 1,478,124 | | | | 1,719,586 | | | | 382,599 | | | | 316,025 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 1,661,367 | | | $ | 1,478,124 | | | $ | 551,778 | | | $ | 382,599 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective October 1, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 133 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | |
JPMorgan Ultra-Short Municipal Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 47,954 | | | $ | 35,149 | |
Net realized gain (loss) | | | (635 | ) | | | (280 | ) |
Change in net unrealized appreciation/depreciation | | | 17,937 | | | | 5,321 | |
| | | | | | | | |
Change in net assets resulting from operations | | | 65,256 | | | | 40,190 | |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Class A | | | (694 | ) | | | (289 | ) |
Class I | | | (47,204 | ) | | | (34,837 | ) |
| | | | | | | | |
Total distributions to shareholders | | | (47,898 | ) | | | (35,126 | ) |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 1,051,707 | | | | 1,018,313 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 1,069,065 | | | | 1,023,377 | |
Beginning of period | | | 3,088,446 | | | | 2,065,069 | |
| | | | | | | | |
End of period | | $ | 4,157,511 | | | $ | 3,088,446 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 134 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan High Yield Municipal Fund | | | JPMorgan Municipal Income Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 157,088 | | | $ | 20,871 | | | $ | 44,590 | | | $ | 12,450 | |
Distributions reinvested | | | 3,085 | | | | 1,119 | | | | 1,476 | | | | 1,650 | |
Cost of shares redeemed | | | (18,889 | ) | | | (13,888 | ) | | | (12,912 | ) | | | (20,462 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 141,284 | | | $ | 8,102 | | | $ | 33,154 | | | $ | (6,362 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 22,062 | | | $ | 3,949 | | | $ | 4,262 | | | $ | 1,885 | |
Distributions reinvested | | | 619 | | | | 453 | | | | 176 | | | | 282 | |
Cost of shares redeemed | | | (5,415 | ) | | | (5,304 | ) | | | (5,022 | ) | | | (4,495 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | 17,266 | | | $ | (902 | ) | | $ | (584 | ) | | $ | (2,328 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 221,490 | | | $ | 73,404 | | | $ | 49,981 | | | $ | 27,767 | |
Distributions reinvested | | | 5,733 | | | | 2,340 | | | | 1,971 | | | | 1,985 | |
Cost of shares redeemed | | | (43,564 | ) | | | (32,194 | ) | | | (15,978 | ) | | | (26,769 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 183,659 | | | $ | 43,550 | | | $ | 35,974 | | | $ | 2,983 | |
| | | | | | | | | | | | | | | | |
Class R6(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 5,577 | | | $ | 1,359 | | | $ | 14,651 | | | $ | 29,141 | |
Distributions reinvested | | | 102 | | | | 4 | | | | 1,269 | | | | 1,807 | |
Cost of shares redeemed | | | (1,247 | ) | | | (27 | ) | | | (8,906 | ) | | | (44,451 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 4,432 | | | $ | 1,336 | | | $ | 7,014 | | | $ | (13,503 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 346,641 | | | $ | 52,086 | | | $ | 75,558 | | | $ | (19,210 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective November 1, 2018 for JPMorgan High Yield Municipal Fund. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 135 | |
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan High Yield Municipal Fund | | | JPMorgan Municipal Income Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 13,674 | | | | 1,939 | | | | 4,540 | | | | 1,312 | |
Reinvested | | | 268 | | | | 104 | | | | 151 | | | | 174 | |
Redeemed | | | (1,633 | ) | | | (1,291 | ) | | | (1,318 | ) | | | (2,157 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 12,309 | | | | 752 | | | | 3,373 | | | | (671 | ) |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 1,928 | | | | 367 | | | | 441 | | | | 201 | |
Reinvested | | | 54 | | | | 42 | | | | 18 | | | | 30 | |
Redeemed | | | (473 | ) | | | (493 | ) | | | (518 | ) | | | (480 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | 1,509 | | | | (84 | ) | | | (59 | ) | | | (249 | ) |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 19,345 | | | | 6,812 | | | | 5,130 | | | | 2,949 | |
Reinvested | | | 498 | | | | 218 | | | | 202 | | | | 211 | |
Redeemed | | | (3,786 | ) | | | (2,991 | ) | | | (1,639 | ) | | | (2,843 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 16,057 | | | | 4,039 | | | | 3,693 | | | | 317 | |
| | | | | | | | | | | | | | | | |
Class R6(a) | | | | | | | | | | | | | | | | |
Issued | | | 485 | | | | 125 | | | | 1,508 | | | | 3,084 | |
Reinvested | | | 9 | | | | — | (b) | | | 131 | | | | 193 | |
Redeemed | | | (109 | ) | | | (2 | ) | | | (920 | ) | | | (4,719 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 385 | | | | 123 | | | | 719 | | | | (1,442 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective November 1, 2018 for JPMorgan High Yield Municipal Fund. |
| (b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 136 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Short-Intermediate Municipal
Bond Fund | | | JPMorgan Tax Free Bond Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 32,090 | | | $ | 12,978 | | | $ | 122,167 | | | $ | 27,996 | |
Net assets acquired in Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 21,528 | |
Distributions reinvested | | | 648 | | | | 493 | | | | 4,347 | | | | 4,255 | |
Cost of shares redeemed | | | (14,332 | ) | | | (12,624 | ) | | | (40,378 | ) | | | (50,846 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 18,406 | | | $ | 847 | | | $ | 86,136 | | | $ | 2,933 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 2,099 | | | $ | 837 | | | $ | 6,842 | | | $ | 3,406 | |
Net assets acquired in Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 6,298 | |
Distributions reinvested | | | 34 | | | | 45 | | | | 539 | | | | 757 | |
Cost of shares redeemed | | | (2,564 | ) | | | (2,741 | ) | | | (10,107 | ) | | | (7,789 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class C capital transactions | | $ | (431 | ) | | $ | (1,859 | ) | | $ | (2,726 | ) | | $ | 2,672 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 310,487 | | | $ | 506,582 | | | $ | 56,040 | | | $ | 75,091 | |
Net assets acquired in Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 76,798 | |
Distributions reinvested | | | 11,873 | | | | 27,411 | | | | 4,060 | | | | 6,079 | |
Cost of shares redeemed | | | (275,025 | ) | | | (1,650,500 | ) | | | (29,103 | ) | | | (181,002 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 47,335 | | | $ | (1,116,507 | ) | | $ | 30,997 | | | $ | (23,034 | ) |
| | | | | | | | | | | | | | | | |
Class R6(a) | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 300,185 | | | $ | 940,450 | | | $ | 37,282 | | | $ | 95,064 | |
Distributions reinvested | | | 18,420 | | | | 3,081 | | | | 2,816 | | | | 871 | |
Cost of shares redeemed | | | (254,638 | ) | | | (81,417 | ) | | | (18,718 | ) | | | (10,628 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from Class R6 capital transactions | | $ | 63,967 | | | $ | 862,114 | | | $ | 21,380 | | | $ | 85,307 | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 129,277 | | | $ | (255,405 | ) | | $ | 135,787 | | | $ | 67,878 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective October 1, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 137 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | | | | | | | | | |
| | |
JPMorgan Short-Intermediate Municipal
Bond Fund | | | JPMorgan Tax Free Bond Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Issued | | | 3,003 | | | | 1,248 | | | | 9,980 | | | | 2,382 | |
Shares issued in connection with Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 1,824 | |
Reinvested | | | 60 | | | | 48 | | | | 355 | | | | 363 | |
Redeemed | | | (1,341 | ) | | | (1,215 | ) | | | (3,309 | ) | | | (4,325 | ) |
| | | | | | | | | | | | | | | | |
Change in Class A Shares | | | 1,722 | | | | 81 | | | | 7,026 | | | | 244 | |
| | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Issued | | | 194 | | | | 81 | | | | 565 | | | | 293 | |
Shares issued in connection with Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 538 | |
Reinvested | | | 3 | | | | 4 | | | | 45 | | | | 65 | |
Redeemed | | | (238 | ) | | | (262 | ) | | | (835 | ) | | | (670 | ) |
| | | | | | | | | | | | | | | | |
Change in Class C Shares | | | (41 | ) | | | (177 | ) | | | (225 | ) | | | 226 | |
| | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Issued | | | 28,928 | | | | 48,416 | | | | 4,611 | | | | 6,441 | |
Shares issued in connection with Fund reorganization (See Note 8) | | | — | | | | — | | | | — | | | | 6,534 | |
Reinvested | | | 1,106 | | | | 2,627 | | | | 334 | | | | 520 | |
Redeemed | | | (25,587 | ) | | | (157,651 | ) | | | (2,400 | ) | | | (15,581 | ) |
| | | | | | | | | | | | | | | | |
Change in Class I Shares | | | 4,447 | | | | (106,608 | ) | | | 2,545 | | | | (2,086 | ) |
| | | | | | | | | | | | | | | | |
Class R6(a) | | | | | | | | | | | | | | | | |
Issued | | | 27,999 | | | | 89,640 | | | | 3,067 | | | | 8,243 | |
Reinvested | | | 1,717 | | | | 293 | | | | 231 | | | | 75 | |
Redeemed | | | (23,752 | ) | | | (7,748 | ) | | | (1,547 | ) | | | (912 | ) |
| | | | | | | | | | | | | | | | |
Change in Class R6 Shares | | | 5,964 | | | | 82,185 | | | | 1,751 | | | | 7,406 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of offering of class of shares effective October 1, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 138 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| | |
JPMorgan Ultra-Short Municipal Fund | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Class A | | | | | | | | |
Proceeds from shares issued | | $ | 117,084 | | | $ | 167,723 | |
Distributions reinvested | | | 694 | | | | 289 | |
Cost of shares redeemed | | | (78,616 | ) | | | (101,733 | ) |
| | | | | | | | |
Change in net assets resulting from Class A capital transactions | | $ | 39,162 | | | $ | 66,279 | |
| | | | | | | | |
Class I | | | | | | | | |
Proceeds from shares issued | | $ | 3,458,713 | | | $ | 2,716,009 | |
Distributions reinvested | | | 47,013 | | | | 34,620 | |
Cost of shares redeemed | | | (2,493,181 | ) | | | (1,798,595 | ) |
| | | | | | | | |
Change in net assets resulting from Class I capital transactions | | $ | 1,012,545 | | | $ | 952,034 | |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 1,051,707 | | | $ | 1,018,313 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Class A | | | | | | | | |
Issued | | | 11,622 | | | | 16,758 | |
Reinvested | | | 69 | | | | 29 | |
Redeemed | | | (7,822 | ) | | | (10,156 | ) |
| | | | | | | | |
Change in Class A Shares | | | 3,869 | | | | 6,631 | |
| | | | | | | | |
Class I | | | | | | | | |
Issued | | | 344,011 | | | | 271,523 | |
Reinvested | | | 4,680 | | | | 3,462 | |
Redeemed | | | (248,088 | ) | | | (179,780 | ) |
| | | | | | | | |
Change in Class I Shares | | | 100,603 | | | | 95,205 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 139 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan High Yield Municipal Fund | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 10.88 | | | $ | 0.32 | | | $ | 1.05 | | | $ | 1.37 | | | $ | (0.31 | ) | | $ | (0.01 | ) | | $ | (0.32 | ) |
Year Ended February 28, 2019 | | | 10.78 | | | | 0.36 | | | | 0.09 | | | | 0.45 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
Year Ended February 28, 2018 | | | 10.82 | | | | 0.28 | | | | (0.04 | ) | | | 0.24 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
Year Ended February 28, 2017 | | | 10.99 | | | | 0.29 | | | | (0.17 | ) | | | 0.12 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
Year Ended February 29, 2016 | | | 11.03 | | | | 0.29 | | | | (0.04 | ) | | | 0.25 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.85 | | | | 0.27 | | | | 1.05 | | | | 1.32 | | | | (0.26 | ) | | | (0.01 | ) | | | (0.27 | ) |
Year Ended February 28, 2019 | | | 10.76 | | | | 0.30 | | | | 0.09 | | | | 0.39 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
Year Ended February 28, 2018 | | | 10.80 | | | | 0.22 | | | | (0.03 | ) | | | 0.19 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended February 28, 2017 | | | 10.97 | | | | 0.23 | | | | (0.17 | ) | | | 0.06 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended February 29, 2016 | | | 11.01 | | | | 0.23 | | | | (0.03 | ) | | | 0.20 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.87 | | | | 0.34 | | | | 1.06 | | | | 1.40 | | | | (0.33 | ) | | | (0.01 | ) | | | (0.34 | ) |
Year Ended February 28, 2019 | | | 10.78 | | | | 0.37 | | | | 0.08 | | | | 0.45 | | | | (0.36 | ) | | | — | | | | (0.36 | ) |
Year Ended February 28, 2018 | | | 10.82 | | | | 0.29 | | | | (0.03 | ) | | | 0.26 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
Year Ended February 28, 2017 | | | 10.99 | | | | 0.30 | | | | (0.17 | ) | | | 0.13 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
Year Ended February 29, 2016 | | | 11.03 | | | | 0.30 | | | | (0.04 | ) | | | 0.26 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.87 | | | | 0.35 | | | | 1.06 | | | | 1.41 | | | | (0.34 | ) | | | (0.01 | ) | | | (0.35 | ) |
November 1, 2018 (f) through February 28, 2019 | | | 10.53 | | | | 0.14 | | | | 0.33 | | | | 0.47 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 140 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (c)(d) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 11.93 | | | | 12.81 | % | | $ | 194,623 | | | | 0.64 | % | | | 2.80 | % | | | 1.06 | % | | | 18 | % |
| | 10.88 | | | | 4.28 | | | | 43,565 | | | | 0.64 | | | | 3.32 | | | | 1.22 | | | | 130 | |
| | 10.78 | | | | 2.25 | | | | 35,071 | | | | 0.64 | | | | 2.56 | | | | 1.20 | | | | 17 | |
| | 10.82 | | | | 1.07 | | | | 43,639 | | | | 0.64 | | | | 2.59 | | | | 1.23 | | | | 16 | |
| | 10.99 | | | | 2.32 | | | | 48,716 | | | | 0.65 | | | | 2.61 | | | | 1.18 | | | | 19 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.90 | | | | 12.29 | | | | 37,623 | | | | 1.14 | | | | 2.34 | | | | 1.57 | | | | 18 | |
| | 10.85 | | | | 3.67 | | | | 17,929 | | | | 1.14 | | | | 2.82 | | | | 1.71 | | | | 130 | |
| | 10.76 | | | | 1.74 | | | | 18,675 | | | | 1.14 | | | | 2.06 | | | | 1.70 | | | | 17 | |
| | 10.80 | | | | 0.58 | | | | 20,864 | | | | 1.14 | | | | 2.09 | | | | 1.73 | | | | 16 | |
| | 10.97 | | | | 1.80 | | | | 24,452 | | | | 1.15 | | | | 2.11 | | | | 1.70 | | | | 19 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.93 | | | | 13.02 | | | | 296,450 | | | | 0.54 | | | | 2.92 | | | | 0.81 | | | | 18 | |
| | 10.87 | | | | 4.29 | | | | 95,662 | | | | 0.54 | | | | 3.45 | | | | 0.97 | | | | 130 | |
| | 10.78 | | | | 2.36 | | | | 51,274 | | | | 0.54 | | | | 2.66 | | | | 0.95 | | | | 17 | |
| | 10.82 | | | | 1.17 | | | | 35,502 | | | | 0.54 | | | | 2.68 | | | | 0.97 | | | | 16 | |
| | 10.99 | | | | 2.42 | | | | 47,524 | | | | 0.55 | | | | 2.71 | | | | 0.93 | | | | 19 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 11.93 | | | | 13.12 | | | | 6,060 | | | | 0.44 | | | | 3.01 | | | | 0.56 | | | | 18 | |
| | 10.87 | | | | 4.46 | | | | 1,338 | | | | 0.39 | | | | 4.09 | | | | 1.23 | | | | 130 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 141 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | |
Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Municipal Income Fund | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 9.55 | | | $ | 0.20 | | | $ | 0.47 | | | $ | 0.67 | | | $ | (0.20 | ) | | $ | — | | | $ | (0.20 | ) |
Year Ended February 28, 2019 | | | 9.52 | | | | 0.21 | | | | 0.08 | | | | 0.29 | | | | (0.21 | ) | | | (0.05 | ) | | | (0.26 | ) |
Year Ended February 28, 2018 | | | 9.70 | | | | 0.23 | (f) | | | (0.11 | ) | | | 0.12 | | | | (0.23 | ) | | | (0.07 | ) | | | (0.30 | ) |
Year Ended February 28, 2017 | | | 10.10 | | | | 0.24 | | | | (0.28 | ) | | | (0.04 | ) | | | (0.24 | ) | | | (0.12 | ) | | | (0.36 | ) |
Year Ended February 29, 2016 | | | 10.11 | | | | 0.25 | | | | 0.08 | | | | 0.33 | | | | (0.26 | ) | | | (0.08 | ) | | | (0.34 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 9.45 | | | | 0.14 | | | | 0.47 | | | | 0.61 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
Year Ended February 28, 2019 | | | 9.42 | | | | 0.16 | | | | 0.08 | | | | 0.24 | | | | (0.16 | ) | | | (0.05 | ) | | | (0.21 | ) |
Year Ended February 28, 2018 | | | 9.61 | | | | 0.17 | (f) | | | (0.12 | ) | | | 0.05 | | | | (0.17 | ) | | | (0.07 | ) | | | (0.24 | ) |
Year Ended February 28, 2017 | | | 10.00 | | | | 0.18 | | | | (0.26 | ) | | | (0.08 | ) | | | (0.19 | ) | | | (0.12 | ) | | | (0.31 | ) |
Year Ended February 29, 2016 | | | 10.02 | | | | 0.19 | | | | 0.07 | | | | 0.26 | | | | (0.20 | ) | | | (0.08 | ) | | | (0.28 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 9.48 | | | | 0.22 | | | | 0.47 | | | | 0.69 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
Year Ended February 28, 2019 | | | 9.45 | | | | 0.24 | | | | 0.08 | | | | 0.32 | | | | (0.24 | ) | | | (0.05 | ) | | | (0.29 | ) |
Year Ended February 28, 2018 | | | 9.63 | | | | 0.25 | (f) | | | (0.11 | ) | | | 0.14 | | | | (0.25 | ) | | | (0.07 | ) | | | (0.32 | ) |
Year Ended February 28, 2017 | | | 10.03 | | | | 0.26 | | | | (0.27 | ) | | | (0.01 | ) | | | (0.27 | ) | | | (0.12 | ) | | | (0.39 | ) |
Year Ended February 29, 2016 | | | 10.04 | | | | 0.28 | | | | 0.07 | | | | 0.35 | | | | (0.28 | ) | | | (0.08 | ) | | | (0.36 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 9.48 | | | | 0.23 | | | | 0.46 | | | | 0.69 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended February 28, 2019 | | | 9.45 | | | | 0.25 | | | | 0.08 | | | | 0.33 | | | | (0.25 | ) | | | (0.05 | ) | | | (0.30 | ) |
November 6, 2017 (g) through February 28, 2018 | | | 9.74 | | | | 0.08 | (f) | | | (0.21 | ) | | | (0.13 | ) | | | (0.09 | ) | | | (0.07 | ) | | | (0.16 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 142 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (c)(d) | | | Net assets,
end of
period
(000’s) | | | Net expenses
(including
imputed
interest) (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers,
reimbursements and
earnings credits
(including
imputed interest) | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.02 | | | | 7.04 | % | | $ | 96,844 | | | | 0.70 | % | | | 2.02 | % | | | 0.99 | % | | | 7 | % |
| | 9.55 | | | | 3.15 | | | | 60,078 | | | | 0.70 | | | | 2.26 | | | | 1.01 | | | | 13 | |
| | 9.52 | | | | 1.16 | | | | 66,258 | | | | 0.69 | | | | 2.33 | (f) | | | 1.01 | | | | 21 | |
| | 9.70 | | | | (0.40 | ) | | | 76,684 | | | | 0.77 | | | | 2.39 | | | | 1.00 | | | | 15 | |
| | 10.10 | | | | 3.26 | | | | 73,120 | | | | 0.82 | | | | 2.52 | | | | 0.97 | | | | 22 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 9.92 | | | | 6.52 | | | | 12,868 | | | | 1.25 | | | | 1.49 | | | | 1.51 | | | | 7 | |
| | 9.45 | | | | 2.61 | | | | 12,833 | | | | 1.25 | | | | 1.71 | | | | 1.51 | | | | 13 | |
| | 9.42 | | | | 0.51 | | | | 15,138 | | | | 1.24 | | | | 1.78 | (f) | | | 1.51 | | | | 21 | |
| | 9.61 | | | | (0.87 | ) | | | 17,137 | | | | 1.34 | | | | 1.83 | | | | 1.50 | | | | 15 | |
| | 10.00 | | | | 2.61 | | | | 15,950 | | | | 1.39 | | | | 1.95 | | | | 1.48 | | | | 22 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 9.95 | | | | 7.36 | | | | 114,772 | | | | 0.44 | | | | 2.28 | | | | 0.74 | | | | 7 | |
| | 9.48 | | | | 3.43 | | | | 74,386 | | | | 0.45 | | | | 2.51 | | | | 0.76 | | | | 13 | |
| | 9.45 | | | | 1.42 | | | | 71,161 | | | | 0.44 | | | | 2.57 | (f) | | | 0.74 | | | | 21 | |
| | 9.63 | | | | (0.16 | ) | | | 176,990 | | | | 0.53 | | | | 2.64 | | | | 0.72 | | | | 15 | |
| | 10.03 | | | | 3.56 | | | | 245,864 | | | | 0.57 | | | | 2.77 | | | | 0.70 | | | | 22 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 9.94 | | | | 7.36 | | | | 60,936 | | | | 0.34 | | | | 2.38 | | | | 0.49 | | | | 7 | |
| | 9.48 | | | | 3.54 | | | | 51,261 | | | | 0.35 | | | | 2.61 | | | | 0.50 | | | | 13 | |
| | 9.45 | | | | (1.42 | ) | | | 64,738 | | | | 0.34 | | | | 2.67 | (f) | | | 0.57 | | | | 21 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 143 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Short-Intermediate Municipal Bond Fund | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 10.49 | | | $ | 0.16 | | | $ | 0.37 | | | $ | 0.53 | | | $ | (0.16 | ) | | $ | — | | | $ | (0.16 | ) |
Year Ended February 28, 2019 | | | 10.39 | | | | 0.16 | | | | 0.10 | | | | 0.26 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
Year Ended February 28, 2018 | | | 10.48 | | | | 0.12 | | | | (0.09 | ) | | | 0.03 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
Year Ended February 28, 2017 | | | 10.71 | | | | 0.10 | | | | (0.17 | ) | | | (0.07 | ) | | | (0.10 | ) | | | (0.06 | ) | | | (0.16 | ) |
Year Ended February 29, 2016 | | | 10.62 | | | | 0.08 | | | | 0.09 | | | | 0.17 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.59 | | | | 0.11 | | | | 0.37 | | | | 0.48 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
Year Ended February 28, 2019 | | | 10.48 | | | | 0.11 | | | | 0.11 | | | | 0.22 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
Year Ended February 28, 2018 | | | 10.56 | | | | 0.06 | | | | (0.08 | ) | | | (0.02 | ) | | | (0.06 | ) | | | — | | | | (0.06 | ) |
Year Ended February 28, 2017 | | | 10.80 | | | | 0.04 | | | | (0.17 | ) | | | (0.13 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.11 | ) |
Year Ended February 29, 2016 | | | 10.70 | | | | 0.02 | | | | 0.10 | | | | 0.12 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.55 | | | | 0.21 | | | | 0.37 | | | | 0.58 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
Year Ended February 28, 2019 | | | 10.44 | | | | 0.21 | | | | 0.11 | | | | 0.32 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
Year Ended February 28, 2018 | | | 10.53 | | | | 0.16 | | | | (0.09 | ) | | | 0.07 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
Year Ended February 28, 2017 | | | 10.76 | | | | 0.15 | | | | (0.17 | ) | | | (0.02 | ) | | | (0.15 | ) | | | (0.06 | ) | | | (0.21 | ) |
Year Ended February 29, 2016 | | | 10.67 | | | | 0.13 | | | | 0.09 | | | | 0.22 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 10.54 | | | | 0.21 | | | | 0.38 | | | | 0.59 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
October 1, 2018 (f) through February 28, 2019 | | | 10.39 | | | | 0.09 | | | | 0.15 | | | | 0.24 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 144 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (c)(d) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.86 | | | | 5.12 | % | | $ | 53,408 | | | | 0.70 | % | | | 1.48 | % | | | 0.86 | % | | | 24 | % |
| | 10.49 | | | | 2.55 | | | | 33,554 | | | | 0.70 | | | | 1.54 | | | | 0.86 | | | | 42 | |
| | 10.39 | | | | 0.26 | | | | 32,373 | | | | 0.69 | | | | 1.10 | | | | 0.86 | | | | 73 | |
| | 10.48 | | | | (0.69 | ) | | | 30,535 | | | | 0.73 | | | | 0.91 | | | | 0.88 | | | | 31 | |
| | 10.71 | | | | 1.58 | | | | 38,345 | | | | 0.75 | | | | 0.71 | | | | 0.87 | | | | 39 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10.96 | | | | 4.52 | | | | 4,303 | | | | 1.20 | | | | 0.99 | | | | 1.36 | | | | 24 | |
| | 10.59 | | | | 2.10 | | | | 4,590 | | | | 1.20 | | | | 1.03 | | | | 1.38 | | | | 42 | |
| | 10.48 | | | | (0.19 | ) | | | 6,406 | | | | 1.19 | | �� | | 0.56 | | | | 1.37 | | | | 73 | |
| | 10.56 | | | | (1.27 | ) | | | 14,013 | | | | 1.23 | | | | 0.41 | | | | 1.40 | | | | 31 | |
| | 10.80 | | | | 1.14 | | | | 17,709 | | | | 1.25 | | | | 0.21 | | | | 1.40 | | | | 39 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10.92 | | | | 5.56 | | | | 641,836 | | | | 0.24 | | | | 1.94 | | | | 0.61 | | | | 24 | |
| | 10.55 | | | | 3.09 | | | | 573,350 | | | | 0.25 | | | | 1.97 | | | | 0.61 | | | | 42 | |
| | 10.44 | | | | 0.70 | | | | 1,680,807 | | | | 0.24 | | | | 1.53 | | | | 0.60 | | | | 73 | |
| | 10.53 | | | | (0.20 | ) | | | 1,887,149 | | | | 0.25 | | | | 1.40 | | | | 0.48 | | | | 31 | |
| | 10.76 | | | | 2.09 | | | | 2,453,419 | | | | 0.25 | | | | 1.21 | | | | 0.47 | | | | 39 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10.91 | | | | 5.61 | | | | 961,820 | | | | 0.19 | | | | 1.99 | | | | 0.36 | | | | 24 | |
| | 10.54 | | | | 2.31 | | | | 866,630 | | | | 0.19 | | | | 2.19 | | | | 0.37 | | | | 42 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 145 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
JPMorgan Tax Free Bond Fund | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 11.77 | | | $ | 0.32 | | | $ | 0.89 | | | $ | 1.21 | | | $ | (0.32 | ) | | $ | — | | | $ | (0.32 | ) |
Year Ended February 28, 2019 | | | 11.82 | | | | 0.40 | | | | (0.05 | ) | | | 0.35 | | | | (0.40 | ) | | | — | | | | (0.40 | ) |
Year Ended February 28, 2018 | | | 11.93 | | | | 0.39 | | | | (0.11 | ) | | | 0.28 | | | | (0.39 | ) | | | — | | | | (0.39 | ) |
Year Ended February 28, 2017 | | | 12.57 | | | | 0.40 | | | | (0.40 | ) | | | — | (f) | | | (0.39 | ) | | | (0.25 | ) | | | (0.64 | ) |
Year Ended February 29, 2016 | | | 12.70 | | | | 0.45 | | | | (0.01 | ) | | | 0.44 | | | | (0.47 | ) | | | (0.10 | ) | | | (0.57 | ) |
| | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 11.67 | | | | 0.25 | | | | 0.87 | | | | 1.12 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
Year Ended February 28, 2019 | | | 11.72 | | | | 0.33 | | | | (0.05 | ) | | | 0.28 | | | | (0.33 | ) | | | — | | | | (0.33 | ) |
Year Ended February 28, 2018 | | | 11.84 | | | | 0.32 | | | | (0.12 | ) | | | 0.20 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
Year Ended February 28, 2017 | | | 12.48 | | | | 0.31 | | | | (0.39 | ) | | | (0.08 | ) | | | (0.31 | ) | | | (0.25 | ) | | | (0.56 | ) |
Year Ended February 29, 2016 | | | 12.60 | | | | 0.37 | | | | (0.01 | ) | | | 0.36 | | | | (0.38 | ) | | | (0.10 | ) | | | (0.48 | ) |
| | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 11.72 | | | | 0.34 | | | | 0.89 | | | | 1.23 | | | | (0.34 | ) | | | — | | | | (0.34 | ) |
Year Ended February 28, 2019 | | | 11.77 | | | | 0.42 | | | | (0.05 | ) | | | 0.37 | | | | (0.42 | ) | | | — | | | | (0.42 | ) |
Year Ended February 28, 2018 | | | 11.88 | | | | 0.42 | | | | (0.11 | ) | | | 0.31 | | | | (0.42 | ) | | | — | | | | (0.42 | ) |
Year Ended February 28, 2017 | | | 12.53 | | | | 0.42 | | | | (0.40 | ) | | | 0.02 | | | | (0.42 | ) | | | (0.25 | ) | | | (0.67 | ) |
Year Ended February 29, 2016 | | | 12.65 | | | | 0.47 | | | | — | (f) | | | 0.47 | | | | (0.49 | ) | | | (0.10 | ) | | | (0.59 | ) |
| | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 11.72 | | | | 0.35 | | | | 0.88 | | | | 1.23 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
October 1, 2018 (g) through February 28, 2019 | | | 11.61 | | | | 0.17 | | | | 0.11 | | | | 0.28 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
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| 146 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (c)(d) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 12.66 | | | | 10.37 | % | | $ | 231,815 | | | | 0.67 | % | | | 2.58 | % | | | 0.97 | % | | | 31 | % |
| | 11.77 | | | | 3.00 | | | | 132,813 | | | | 0.67 | | | | 3.40 | | | | 1.00 | | | | 53 | |
| | 11.82 | | | | 2.36 | | | | 130,462 | | | | 0.66 | | | | 3.27 | | | | 0.98 | | | | 39 | |
| | 11.93 | | | | (0.03 | ) | | | 148,987 | | | | 0.66 | | | | 3.16 | | | | 1.00 | | | | 73 | |
| | 12.57 | | | | 3.53 | | | | 152,207 | | | | 0.67 | | | | 3.62 | | | | 0.97 | | | | 94 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.55 | | | | 9.73 | | | | 26,965 | | | | 1.25 | | | | 2.05 | | | | 1.48 | | | | 31 | |
| | 11.67 | | | | 2.43 | | | | 27,701 | | | | 1.25 | | | | 2.81 | | | | 1.49 | | | | 53 | |
| | 11.72 | | | | 1.70 | | | | 25,172 | | | | 1.24 | | | | 2.69 | | | | 1.48 | | | | 39 | |
| | 11.84 | | | | (0.66 | ) | | | 32,052 | | | | 1.31 | | | | 2.50 | | | | 1.50 | | | | 73 | |
| | 12.48 | | | | 2.92 | | | | 26,715 | | | | 1.36 | | | | 2.93 | | | | 1.47 | | | | 94 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.61 | | | | 10.66 | | | | 177,584 | | | | 0.45 | | | | 2.82 | | | | 0.72 | | | | 31 | |
| | 11.72 | | | | 3.24 | | | | 135,295 | | | | 0.45 | | | | 3.61 | | | | 0.74 | | | | 53 | |
| | 11.77 | | | | 2.60 | | | | 160,391 | | | | 0.44 | | | | 3.49 | | | | 0.72 | | | | 39 | |
| | 11.88 | | | | 0.09 | | | | 141,356 | | | | 0.47 | | | | 3.34 | | | | 0.74 | | | | 73 | |
| | 12.53 | | | | 3.82 | | | | 126,091 | | | | 0.50 | | | | 3.79 | | | | 0.71 | | | | 94 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 12.60 | | | | 10.63 | | | | 115,414 | | | | 0.40 | | | | 2.87 | | | | 0.47 | | | | 31 | |
| | 11.72 | | | | 2.44 | | | | 86,790 | | | | 0.40 | | | | 3.61 | | | | 0.51 | | | | 53 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 147 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Net
investment
income | |
JPMorgan Ultra-Short Municipal Fund | |
Class A | |
Year Ended February 29, 2020 | | $ | 10.03 | | | $ | 0.12 | | | $ | 0.06 | | | $ | 0.18 | | | $ | (0.13 | ) |
Year Ended February 28, 2019 | | | 10.01 | | | | 0.13 | | | | — | (f) | | | 0.13 | | | | (0.11 | ) |
Year Ended February 28, 2018 | | | 10.02 | | | | 0.07 | | | | (0.02 | ) | | | 0.05 | | | | (0.06 | ) |
May 31, 2016 (h) through February 28, 2017 | | | 10.00 | | | | 0.06 | | | | (0.01 | ) | | | 0.05 | | | | (0.03 | ) |
|
Class I | |
Year Ended February 29, 2020 | | | 10.02 | | | | 0.14 | | | | 0.05 | | | | 0.19 | | | | (0.14 | ) |
Year Ended February 28, 2019 | | | 10.00 | | | | 0.14 | | | | 0.02 | | | | 0.16 | | | | (0.14 | ) |
Year Ended February 28, 2018 | | | 10.02 | | | | 0.09 | | | | (0.03 | ) | | | 0.06 | | | | (0.08 | ) |
May 31, 2016 (h) through February 28, 2017 | | | 10.00 | | | | 0.06 | | | | — | (f) | | | 0.06 | | | | (0.04 | ) |
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
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| 148 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | Total return
(excludes
sales charge) (c)(d) | | | Net assets,
end of
period
(000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | |
Expenses
without waivers,
reimbursements and
earnings credits | | | Portfolio
turnover
rate (c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.08 | | | | 1.76 | % | | $ | 106,625 | | | | 0.45 | % | | | 1.23 | % | | | 0.76 | % | | | 48 | % |
| | 10.03 | | | | 1.33 | | | | 67,256 | | | | 0.44 | | | | 1.32 | | | | 0.77 | | | | 50 | |
| | 10.01 | | | | 0.47 | | | | 772 | | | | 0.44 | (g) | | | 0.67 | (g) | | | 0.85 | (g) | | | 71 | |
| | 10.02 | | | | 0.52 | | | | 519 | | | | 0.44 | (g) | | | 0.81 | (g) | | | 2.56 | (g) | | | 80 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 10.07 | | | | 1.96 | | | | 4,050,886 | | | | 0.25 | | | | 1.43 | | | | 0.50 | | | | 48 | |
| | 10.02 | | | | 1.60 | | | | 3,021,190 | | | | 0.24 | | | | 1.42 | | | | 0.52 | | | | 50 | |
| | 10.00 | | | | 0.63 | | | | 2,064,297 | | | | 0.24 | (g) | | | 0.90 | (g) | | | 0.56 | (g) | | | 71 | |
| | 10.02 | | | | 0.65 | | | | 31,656 | | | | 0.27 | (g) | | | 0.74 | (g) | | | 2.00 | (g) | | | 80 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 149 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004, November 12, 2004 and November 11, 2015, respectively, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004, November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), asopen-end management investment companies.
The following are 5 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| | | | | | |
| | | Classes Offered | | Trust | | Diversification Classification |
| JPMorgan High Yield Municipal Fund | | Class A, Class C, Class I and Class R6(1) | | JPM I | | Diversified |
| JPMorgan Municipal Income Fund | | Class A, Class C, Class I and Class R6 | | JPM II | | Diversified |
| JPMorgan Short-Intermediate Municipal Bond Fund | | Class A, Class C, Class I and Class R6(2) | | JPM II | | Diversified |
| JPMorgan Tax Free Bond Fund | | Class A, Class C, Class I and Class R6(2) | | JPM II | | Diversified |
| JPMorgan Ultra-Short Municipal Fund | | Class A and Class I | | JPM IV | | Diversified |
| (1) | Class R6 Shares commenced operations on November 1, 2018 for JPMorgan High Yield Municipal Fund. |
| (2) | Class R6 Shares commenced operations on October 1, 2018 for JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund. |
The investment objective of JPMorgan High Yield Municipal Fund (“High Yield Municipal Fund”) is to seek a high level of current income exempt from federal income taxes.
The investment objective of JPMorgan Municipal Income Fund (“Municipal Income Fund”) is to seek current income exempt from federal income taxes.
The investment objective of JPMorgan Short-Intermediate Municipal Bond Fund (“Short-Intermediate Bond Fund”), JPMorgan Tax Free Bond Fund (“Tax Free Bond Fund”) and JPMorgan Ultra-Short Municipal Fund (“Ultra-Short Municipal Fund”) is to seek as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
Tax Free Bond Fund acquired all the assets and liabilities of the JPMorgan Tax Aware Income Opportunities Fund (“Tax Aware Income Opportunities Fund”) in a reorganization on May 4, 2018. Please refer to Note 8 discussing the merger.
Class A Shares generally provide for afront-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for whichfront-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), 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 Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This 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 Boards.
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| 150 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued 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 Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments inopen-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.
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 Funds’ 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 Funds’ 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 tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
High Yield Municipal Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | $ | — | | | $ | — | | | $ | 3 | | | $ | 3 | |
Municipal Bonds | | | — | | | | 506,687 | | | | — | | | | 506,687 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 44,883 | | | | — | | | | — | | | | 44,883 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 44,883 | | | $ | 506,687 | | | $ | 3 | | | $ | 551,573 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 151 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
Municipal Income Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | | | | | | | | | | | | |
Oklahoma | | | | | | | | | | | | | | | | |
Housing | | $ | — | | | $ | 476 | | | $ | — | | | $ | 476 | |
Other Revenue | | | — | | | | — | | | | 7 | | | | 7 | |
| | | | | | | | | | | | | | | | |
Total Oklahoma | | | — | | | | 476 | | | | 7 | | | | 483 | |
| | | | | | | | | | | | | | | | |
Other Municipal Bonds | | | — | | | | 276,558 | | | | — | | | | 276,558 | |
| | | | | | | | | | | | | | | | |
Total Municipal Bonds | | | — | | | | 277,034 | | | | 7 | | | | 277,041 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 13,683 | | | | — | | | | — | | | | 13,683 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 13,683 | | | $ | 277,034 | | | $ | 7 | | | $ | 290,724 | |
| | | | | | | | | | | | | | | | |
Short-Intermediate Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | 48,403 | | | $ | 1,637,600 | | | $ | — | | | $ | 1,686,003 | |
| | | | | | | | | | | | | | | | |
Tax Free Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | — | | | $ | 535,940 | | | $ | — | | | $ | 535,940 | |
Warrants | | | — | | | | — | | | | — | (b) | | | — | (b) |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 27,433 | | | | — | | | | — | | | | 27,433 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 27,433 | | | $ | 535,940 | | | $ | — | (b) | | $ | 563,373 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (259 | ) | | $ | — | | | $ | — | | | $ | (259 | ) |
| | | | | | | | | | | | | | | | |
Ultra-Short Municipal Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(a) | | $ | 50,592 | | | $ | 4,338,514 | | | $ | — | | | $ | 4,389,106 | |
| | | | | | | | | | | | | | | | |
| (a) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of portfolio holdings. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
As of February 29, 2020, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Loan Assignments — High Yield Municipal Fund invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Fund invests in loan
| | | | | | |
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| 152 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
assignments of all or a portion of the loans. When the Fund purchases a loan assignment, the fund has direct rights against the Borrower on a loan, provided, however, the fund’s rights may be more limited than the Lender from which they acquired the assignment and the funds may be able to enforce their rights only through the Agent. As a result, the Fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the fund and the Borrower (“Intermediate Participants”). The Fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to materialnon-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, the Fund may not receive the proceeds from a sale of such investments for a period after the sale.
At February 29, 2020, the Fund did not have any loan assignments.
D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until settlement date.
The Funds had when-issued securities, forward commitments or delayed delivery securities outstanding as of February 29, 2020, which are shown as a Receivable for Investment securities sold — delayed delivery securities and Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at February 29, 2020 are detailed on the SOIs.
The Funds did not have TBA purchase commitments outstanding as of February 29, 2020.
E. Futures Contracts — Tax Free Bond Fund used treasury and interest rate futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.
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 the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject 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 subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Fund’s futures contracts activity during the year ended February 29, 2020 (amounts in thousands):
| | | | |
| | | Tax Free
Bond Fund | |
Futures Contracts — Interest: | | | | |
Average Notional Balance Short | | $ | 17,372 | |
Ending Notional Balance Short | | | 16,705 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 153 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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).
F. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimisamounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
The Funds did not lend out any securities during the year ended February 29, 2020.
G. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the tables below are in thousands.
High Yield Municipal Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change
in Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (a)(b) | | $ | 12,206 | | | $ | 284,407 | | | $ | 251,727 | | | $ | (3 | ) | | $ | — | (c) | | $ | 44,883 | | | | 44,883 | | | $ | 350 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from
Sales | | | Net
Realized
Gain
(Loss) | | | Change
in Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (a)(b) | | $ | 14,034 | | | $ | 90,490 | | | $ | 90,840 | | | $ | (1 | ) | | $ | — | (c) | | $ | 13,683 | | | | 13,683 | | | $ | 153 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | |
| 154 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
Short-Intermediate Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change
in Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (a)(b) | | $ | 47,778 | | | $ | 670,263 | | | $ | 669,641 | | | $ | 2 | | | $ | 1 | | | $ | 48,403 | | | | 48,403 | | | $ | 1,071 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Free Bond Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (a)(b) | | $ | 7,778 | | | $ | 237,860 | | | $ | 218,205 | | | $ | (1 | ) | | $ | 1 | | | $ | 27,433 | | | | 27,433 | | | $ | 239 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ultra-Short Municipal Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at
Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change
in Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (a)(b) | | $ | 106,738 | | | $ | 3,112,404 | | | $ | 3,168,567 | | | $ | 17 | | | $ | — | | | $ | 50,592 | | | | 50,592 | | | $ | 1,519 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 February 29, 2020. |
| (c) | Amount rounds to less than one thousand. |
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on theex-dividend date or when a Fund first learns of the dividend.
I. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 155 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
Transfer agency fees are class-specific expenses. The amount of transfer agency fees charged to each share class of the Funds for the year ended February 29, 2020 are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Class I | | | Class R6 | | | Total | |
High Yield Municipal Fund | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | $ | 2 | | | $ | 1 | | | $ | 3 | | | $ | — | (a) | | $ | 6 | |
| | | | | |
Municipal Income Fund | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 2 | | | | 2 | | | | 2 | | | | 1 | | | | 7 | |
| | | | | |
Short-Intermediate Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 3 | | | | — | (a) | | | 6 | | | | 7 | | | | 16 | |
| | | | | |
Tax Free Bond Fund | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | 11 | | | | 1 | | | | 5 | | | | 1 | | | | 18 | |
| | | | | |
Ultra-Short Municipal Fund | | | | | | | | | | | | | | | | | | | | |
Transfer agency fees | | | — | (a) | | | n/a | | | | 24 | | | | n/a | | | | 24 | |
| (a) | Amount rounds to less than one thousand. |
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 29, 2020, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
K. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| | | | | | | | | | | | |
| | | Paid-in-Capital | | | Accumulated
undistributed
(distributions
in excess of)
net investment
income | | | Accumulated
net realized
gains (losses) | |
High Yield Municipal Fund | | $ | (27 | ) | | $ | 9 | | | $ | 18 | |
Municipal Income Fund | | | (2 | ) | | | 1 | | | | 1 | |
Short-Intermediate Municipal Bond Fund | | | 1,220 | | | | (382 | ) | | | (838 | ) |
Tax Free Bond Fund | | | 8 | | | | (9 | ) | | | 1 | |
Ultra-Short Municipal Fund | | | 329 | | | | (317 | ) | | | (12 | ) |
The reclassifications for the Funds relate primarily to callable bonds.
L. Recent Accounting Pronouncement — In March 2017, the FASB issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Funds have adopted and applied ASU2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU2017-08, as of March 1, 2019, the amortized cost basis of investments and unrealized appreciation (depreciation) of investments of the Funds were
| | | | | | |
| | | |
| 156 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
increased (decreased) by the amounts presented in the following table (amounts in thousands). The adoption of ASU2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
| | | | | | | | |
| | | Amortized
Cost
Basis of
Investments | | | Unrealized
Appreciation
(Depreciation) of
Investments | |
High Yield Municipal Fund | | | 8 | | | | (8 | ) |
Municipal Income Fund | | | 2 | | | | (2 | ) |
Short-Intermediate Municipal Bond Fund | | | (1,220 | ) | | | 1,220 | |
Tax Free Bond Fund | | | (8 | ) | | | 8 | |
Ultra-Short Municipal Fund | | | (329 | ) | | | 329 | |
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| | | | |
High Yield Municipal Fund | | | 0.35 | % |
Municipal Income Fund | | | 0.30 | |
Short-Intermediate Municipal Bond Fund | | | 0.25 | |
Tax Free Bond Fund | | | 0.30 | |
Ultra-Short Municipal Fund | | | 0.15 | |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the year ended February 29, 2020, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds pursuant toRule 12b-1 under the 1940 Act. Class I Shares and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| | | | |
| Class A | | Class C | |
| 0.25% | | | 0.75 | % |
In addition, JPMDS is entitled to receive thefront-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for whichfront-end sales charges have been waived. For the year ended February 29, 2020, JPMDS retained the following (amounts in thousands):
| | | | | | | | |
| | | Front-End
Sales Charge | | | CDSC | |
High Yield Municipal Fund | | | $30 | | | $ | — | |
Municipal Income Fund | | | 6 | | | | — | |
Short-Intermediate Municipal Bond Fund | | | 4 | | | | — | |
Tax Free Bond Fund | | | 20 | | | | — | (a) |
Ultra-Short Municipal Fund | | | 1 | | | | — | |
| (a) | Amount rounds to less than one thousand. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 157 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| | | | | | | | | | |
| | | Class A | | Class C | | | Class I | |
High Yield Municipal Fund | | 0.25% | | | 0.25 | % | | | 0.25 | % |
Municipal Income Fund | | 0.25 | | | 0.25 | | | | 0.25 | |
Short-Intermediate Municipal Bond Fund | | 0.25 | | | 0.25 | | | | 0.25 | |
Tax Free Bond Fund | | 0.25 | | | 0.25 | | | | 0.25 | |
Ultra-Short Municipal Fund | | 0.25 | | | n/a | | | | 0.25 | |
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| | | | | | | | | | | | | | |
| | | Class A | | Class C | | | Class I | | | Class R6 | |
High Yield Municipal Fund | | 0.65% | | | 1.15 | % | | | 0.55 | % | | | 0.45 | % |
Municipal Income Fund | | 0.70 | | | 1.25 | | | | 0.45 | | | | 0.35 | |
Short-Intermediate Municipal Bond Fund | | 0.70 | | | 1.20 | | | | 0.25 | | | | 0.20 | |
Tax Free Bond Fund | | 0.67 | | | 1.25 | | | | 0.45 | | | | 0.40 | |
Ultra-Short Municipal Fund | | 0.45 | | | n/a | | | | 0.25 | | | | n/a | |
The expense limitation agreements were in effect for the year ended February 29, 2020 and are in place until at least June 30, 2020. For the year ended February 29, 2020, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| | | | | | | | | | | | | | | | | | | | |
| | | Contractual Waivers | | | | |
| | | Investment
Advisory
Fees | | | Administration
Fees | | | Service
Fees | | | Total | | | Contractual
Reimbursement | |
High Yield Municipal Fund | | $ | 225 | | | $ | 148 | | | $ | 623 | | | $ | 996 | | | $ | 68 | |
Municipal Income Fund | | | 194 | | | | 130 | | | | 263 | | | | 587 | | | | — | |
Short-Intermediate Municipal Bond Fund | | | 1,486 | | | | 989 | | | | 1,246 | | | | 3,721 | | | | 7 | |
Tax Free Bond Fund | | | 183 | | | | 121 | | | | 767 | | | | 1,071 | | | | — | |
Ultra-Short Municipal Fund | | | 5,036 | | | | 2,518 | | | | 876 | | | | 8,430 | | | | — | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
| | | | | | |
| | | |
| 158 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
The amounts of these waivers/reimbursements resulting from investments in these money market funds for the year ended February 29, 2020 were as follows (amounts in thousands):
| | | | |
High Yield Municipal Fund | | $ | 30 | |
Municipal Income Fund | | | 14 | |
Short-Intermediate Municipal Bond Fund | | | 94 | |
Tax Free Bond Fund | | | 22 | |
Ultra-Short Municipal Fund | | | 145 | |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 29, 2020, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 29, 2020, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| | | | | | | | |
| | | Purchases
(excluding
U.S. Government) | | | Sales
(excluding
U.S.
Government) | |
High Yield Municipal Fund | | $ | 389,394 | | | $ | 57,448 | |
Municipal Income Fund | | | 89,772 | | | | 15,344 | |
Short-Intermediate Municipal Bond Fund | | | 522,979 | | | | 364,164 | |
Tax Free Bond Fund | | | 266,643 | | | | 137,427 | |
Ultra-Short Municipal Fund | | | 2,825,838 | | | | 1,455,998 | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 29, 2020 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
High Yield Municipal Fund | | $ | 520,392 | | | $ | 31,191 | | | $ | 10 | | | $ | 31,181 | |
Municipal Income Fund | | | 275,536 | | | | 15,194 | | | | 6 | | | | 15,188 | |
Short-Intermediate Municipal Bond Fund | | | 1,620,257 | | | | 65,753 | | | | 7 | | | | 65,746 | |
Tax Free Bond Fund | | | 516,251 | | | | 47,122 | | | | 259 | | | | 46,863 | |
Ultra-Short Municipal Fund | | | 4,368,854 | | | | 20,254 | | | | 2 | | | | 20,252 | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bonds.
The tax character of distributions paid during the year ended February 29, 2020 was as follows (amounts in thousands):
| | | | | | | | | | | | |
| | | Ordinary
Income* | | | Tax
Exempt
Income | | | Total
Distributions
Paid | |
High Yield Municipal Fund | | $ | 623 | | | $ | 9,010 | | | $ | 9,633 | |
Municipal Income Fund | | | 1 | | | | 5,020 | | | | 5,021 | |
Short-Intermediate Municipal Bond Fund | | | 7 | | | | 31,392 | | | | 31,399 | |
Tax Free Bond Fund | | | 13 | | | | 12,225 | | | | 12,238 | |
Ultra-Short Municipal Fund | | | 5 | | | | 47,893 | | | | 47,898 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 159 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The tax character of distributions paid during the year ended February 28, 2019 was as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Ordinary Income* | | | Net Long-Term Capital Gains | | | Tax Exempt Income | | | Total
Distributions
Paid | |
High Yield Municipal Fund | | $ | 431 | | | $ | — | | | $ | 3,595 | | | $ | 4,026 | |
Municipal Income Fund | | | 86 | | | | 1,003 | | | | 4,765 | | | | 5,854 | |
Short-Intermediate Municipal Bond Fund | | | 830 | | | | — | | | | 30,675 | | | | 31,505 | |
Tax Free Bond Fund | | | 188 | | | | — | | | | 12,386 | | | | 12,574 | |
Ultra-Short Municipal Fund | | | 1,967 | | | | — | | | | 33,159 | | | | 35,126 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 29, 2020, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Current
Distributable
Ordinary
Income | | | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | | | Tax
Exempt
Income | | | Unrealized
Appreciation
(Depreciation) | |
High Yield Municipal Fund | | $ | 414 | | | $ | — | | | $ | 80 | | | $ | 31,190 | |
Municipal Income Fund | | | — | | | | (338 | ) | | | 26 | | | | 15,190 | |
Short-Intermediate Municipal Bond Fund | | | — | | | | (11,505 | ) | | | 102 | | | | 64,526 | |
Tax Free Bond Fund | | | — | | | | (8,476 | ) | | | 41 | | | | 46,855 | |
Ultra-Short Municipal Fund | | | — | | | | (905 | ) | | | 238 | | | | 19,922 | |
For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals.
As of February 29, 2020, the following Funds had the following net capital loss carryforwards (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Carryforward Character | |
| | | Short-Term | | | Long-Term | |
Municipal Income Fund | | $ | 11 | | | $ | 327 | |
Short-Intermediate Municipal Bond Fund | | | 10,296 | | | | 1,209 | |
Tax Free Bond Fund | | | 4,612 | | | | 3,864 | |
Ultra-Short Municipal Fund | | | 554 | | | | 351 | |
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 29, 2020, the Funds deferred to March 1, 2020 the following net capital losses and specified ordinary losses of (amounts in thousands):
| | | | | | | | |
| | | Net Capital Losses (Gains) | |
| | | Short-Term | | | Long-Term | |
Municipal Income Fund | | $ | 7 | | | $ | 129 | |
Tax Free Bond Fund | | | 108 | | | | 275 | |
Ultra-Short Municipal Fund | | | 93 | | | | (11 | ) |
During the year ended February 29, 2020, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Utilized | |
| | | Short-Term | | | Long-Term | |
High Yield Municipal Fund | | $ | 159 | | | $ | 221 | |
Short-Intermediate Municipal Bond Fund | | | 4,157 | | | | — | |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
| | | | | | |
| | | |
| 160 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
The Funds had no borrowings outstanding from another fund during the year ended February 29, 2020.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 2, 2020.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 29, 2020.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 13, 2019, this agreement has been amended and restated for a term of 364 days, unless extended.
The Funds did not utilize the Credit Facility during the year ended February 29, 2020.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of February 29, 2020, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:
| | | | | | | | | | | | | | | | |
| | | Number of
individual
shareholder and/or Affiliated
Omnibus Accounts | | | % of the Fund | | | Number of
individual
shareholder and/
orNon-Affiliated
Omnibus Accounts | | | % of the
Fund | |
High Yield Municipal Fund | | | 1 | | | | 16.8 | % | | | 3 | | | | 36.7 | % |
Municipal Income Fund | | | 1 | | | | 53.0 | | | | 2 | | | | 27.1 | |
Short-Intermediate Municipal Bond Fund | | | 1 | | | | 89.4 | | | | — | | | | — | |
Tax Free Bond Fund | | | 1 | | | | 53.6 | | | | 1 | | | | 17.8 | |
Ultra-Short Municipal Fund | | | 1 | | | | 94.9 | | | | — | | | | — | |
Significant shareholder transactions by these shareholders may impact the Funds’ performance.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, forward foreign currency exchange contracts, TBA securities and insurance linked securities.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 161 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region.
Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
The Funds invest primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. An issuer’s ability to meet its payment obligations may be affected by economic or political developments in a specific state or region. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest in the event of an issuer’s default may be limited if the private insurer does not have the wherewithal to satisfy its obligation.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of the Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Business Combinations
At a meeting heldNovember 14-15, 2017, the Boards of the JPM I and JPM II approved the Plan of Reorganization of the Tax Aware Income Opportunities Fund (the “Target Fund”), a fund of JPM I, into Tax Free Bond Fund (the “Acquiring Fund”), a fund of JPM II. The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on May 4, 2018. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as atax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class C and Class I shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, with a value equal to their holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $102,702,000 and identified cost of approximately $103,125,000 as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. As of May 4, 2018, the Target Fund had net capital loss carryforwards of $4,414,866.
| | | | | | |
| | | |
| 162 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands, except per share amounts):
| | | | | | | | | | | | | | | | |
| | | Shares
Outstanding | | | Net Assets | | | Net Asset
Value
Per Share | | | Net
Unrealized
Appreciation
(Depreciation) | |
Target Fund | | | | | | | | | | | | | | | | |
Tax Aware Income Opportunities Fund | | | | | | | | | | | | | | $ | (424 | ) |
Class A | | | 2,145 | | | $ | 21,528 | | | $ | 10.04 | | | | | |
Class C | | | 635 | | | | 6,298 | | | | 9.92 | | | | | |
Class I | | | 7,654 | | | | 76,798 | | | | 10.03 | | | | | |
| | | | |
Acquiring Fund | | | | | | | | | | | | | | | | |
Tax Free Bond Fund | | | | | | | | | | | | | | $ | 12,230 | |
Class A | | | 10,401 | | | $ | 122,768 | | | $ | 11.80 | | | | | |
Class C | | | 2,106 | | | | 24,650 | | | | 11.70 | | | | | |
Class I | | | 14,107 | | | | 165,807 | | | | 11.75 | | | | | |
| | | | |
Post Reorganization | | | | | | | | | | | | | | | | |
Tax Free Bond Fund | | | | | | | | | | | | | | $ | 11,806 | |
Class A | | | 12,225 | | | $ | 144,296 | | | $ | 11.80 | | | | | |
Class C | | | 2,644 | | | | 30,948 | | | | 11.70 | | | | | |
Class I | | | 20,641 | | | | 242,605 | | | | 11.75 | | | | | |
Expenses related to reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Fund in an amount sufficient to offset costs incurred by the Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Fund assets associated with the reorganization.
Assuming the reorganization had been completed on March 1, 2018, the beginning of the annual reporting period, the pro forma results of operations for the year ended February 28, 2019, are as follows (amounts in thousands):
| | | | |
Net investment income (loss) | | $ | 13,209 | |
Net realized/unrealized gains (losses) | | | (1,761 | ) |
| | | | |
Change in net assets resulting from operations | | $ | 11,448 | |
| | | | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Fund that have been included on the Statements of Operations since May 4, 2018.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 163 | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Boards of Trustees of JPMorgan Trust I, JPMorgan Trust II and JPMorgan Trust IV and Shareholders of JPMorgan High Yield Municipal Fund, JPMorgan Municipal Income Fund, JPMorgan Short-Intermediate Municipal Bond Fund, JPMorgan Tax Free Bond Fund and JPMorgan Ultra-Short Municipal Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan High Yield Municipal Fund (one of the funds constituting JPMorgan Trust I), JPMorgan Municipal Income Fund, JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund (three of the funds constituting JPMorgan Trust II) and JPMorgan Ultra-Short Municipal Fund (one of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations for the year ended February 29, 2020, the statements of changes in net assets for each of the two years in the period ended February 29, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 29, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included physical inspection of securities owned as of February 29, 2020 and held by the custodian and confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
April 28, 2020
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| | | | | | |
| | | |
| 164 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
TRUSTEES
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| | | | | | |
Name (Year of Birth); Positions With the Funds(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees | | |
| | | |
| John F. Finn (1947); Chairman since 2020; Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | | 127 | | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). |
| | | |
| Stephen P. Fisher (1959); Trustee of Trusts since 2018. | | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | | 127 | | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
| | | |
| Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | | 127 | | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, Fiduciary Solutions, State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). |
| | | |
| Dennis P. Harrington* (1950); Trustee of Trusts since 2017. | | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | | 127 | | None |
| | | |
| Frankie D. Hughes (1952); Trustee of Trusts since 2008. | | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | | 127 | | None |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 165 | |
TRUSTEES
(Unaudited) (continued)
| | | | | | |
Name (Year of Birth); Positions With the Funds(1) | | Principal Occupation During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (2) | | Other Directorships Held During the Past 5 Years |
Independent Trustees (continued) | | |
| | | |
Raymond Kanner** (1953); Trustee of Trusts since 2017. | | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | | 127 | | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator)(2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
| | | |
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | | Self-employed business consultant
(2002-present). | | 127 | | None |
| | | |
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | | 127 | | None |
| | | |
| Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | | Vice President of Administration and Planning, Northwestern University (1985-present). | | 127 | | None |
| | | |
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (serving in various roles 1981-2006). | | 127 | | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). |
| | | |
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | | 127 | | Trustee and Vice Chair, Trout Unlimited(2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). |
| | | |
| Marian U. Pardo*** (1946); Trustee of Trusts since 2013. | | Managing Director and Founder, Virtual Capital Management LLC (investment consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | | 127 | �� | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
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| 166 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes ten registered investment companies (127 funds). |
| * | Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Boards that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Boards have concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
| ** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
| *** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 167 | |
OFFICERS
(Unaudited)
| | |
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years |
| |
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016) | | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014). |
| |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. |
| |
Gregory S. Samuels (1980),
Secretary (2019) (formerly Assistant Secretary since 2010)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. |
| |
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005) | | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
| |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. |
| |
Jessica K. Ditullio (1962),
Assistant Secretary (2005)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
| |
Anthony Geron (1971),
Assistant Secretary (2018)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
| |
Carmine Lekstutis (1980),
Assistant Secretary (2011)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. |
| |
Keri E. Riemer (1976),
Assistant Secretary (2019)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016). |
| |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. |
| |
Michael M. D’Ambrosio (1969),
Assistant Treasurer (2012) | | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. |
| |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2012. |
| |
Shannon Gaines (1977),
Assistant Treasurer (2018)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. |
| |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. |
| |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. |
| |
Joseph Parascondola (1963),
Assistant Treasurer (2011)* | | Executive Director, J.P. Morgan Investment Management, Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from August 2006 to January 2020. |
| |
Gillian I. Sands (1969),
Assistant Treasurer (2012)* | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| ** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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| 168 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory, fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, September 1, 2019, and continued to hold your shares at the end of the reporting period, February 29, 2020.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
JPMorgan High Yield Municipal Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,038.40 | | | $ | 3.24 | | | | 0.64 | % |
Hypothetical | | | 1,000.00 | | | | 1,021.68 | | | | 3.22 | | | | 0.64 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,036.00 | | | | 5.77 | | | | 1.14 | |
Hypothetical | | | 1,000.00 | | | | 1,019.19 | | | | 5.72 | | | | 1.14 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,038.90 | | | | 2.74 | | | | 0.54 | |
Hypothetical | | | 1,000.00 | | | | 1,022.18 | | | | 2.72 | | | | 0.54 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,039.40 | | | | 2.23 | | | | 0.44 | |
Hypothetical | | | 1,000.00 | | | | 1,022.68 | | | | 2.21 | | | | 0.44 | |
| | | | |
JPMorgan Municipal Income Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,021.70 | | | | 3.52 | | | | 0.70 | |
Hypothetical | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.10 | | | | 6.28 | | | | 1.25 | |
Hypothetical | | | 1,000.00 | | | | 1,018.65 | | | | 6.27 | | | | 1.25 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,023.10 | | | | 2.21 | | | | 0.44 | |
Hypothetical | | | 1,000.00 | | | | 1,022.68 | | | | 2.21 | | | | 0.44 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,022.60 | | | | 1.71 | | | | 0.34 | |
Hypothetical | | | 1,000.00 | | | | 1,023.17 | | | | 1.71 | | | | 0.34 | |
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 169 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
JPMorgan Short-Intermediate Municipal Bond Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,016.70 | | | $ | 3.51 | | | | 0.70 | % |
Hypothetical | | | 1,000.00 | | | | 1,021.38 | | | | 3.52 | | | | 0.70 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,014.80 | | | | 6.01 | | | | 1.20 | |
Hypothetical | | | 1,000.00 | | | | 1,018.90 | | | | 6.02 | | | | 1.20 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.70 | | | | 1.21 | | | | 0.24 | |
Hypothetical | | | 1,000.00 | | | | 1,023.67 | | | | 1.21 | | | | 0.24 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.10 | | | | 0.95 | | | | 0.19 | |
Hypothetical | | | 1,000.00 | | | | 1,023.92 | | | | 0.96 | | | | 0.19 | |
| | | | |
JPMorgan Tax Free Bond Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,033.70 | | | | 3.39 | | | | 0.67 | |
Hypothetical | | | 1,000.00 | | | | 1,021.53 | | | | 3.37 | | | | 0.67 | |
Class C | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,031.00 | | | | 6.31 | | | | 1.25 | |
Hypothetical | | | 1,000.00 | | | | 1,018.65 | | | | 6.27 | | | | 1.25 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.00 | | | | 2.23 | | | | 0.44 | |
Hypothetical | | | 1,000.00 | | | | 1,022.68 | | | | 2.21 | | | | 0.44 | |
Class R6 | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.20 | | | | 1.97 | | | | 0.39 | |
Hypothetical | | | 1,000.00 | | | | 1,022.92 | | | | 1.96 | | | | 0.39 | |
| | | | |
JPMorgan Ultra-Short Municipal Fund | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,006.60 | | | | 2.25 | | | | 0.45 | |
Hypothetical | | | 1,000.00 | | | | 1,022.63 | | | | 2.26 | | | | 0.45 | |
Class I | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,007.60 | | | | 1.25 | | | | 0.25 | |
Hypothetical | | | 1,000.00 | | | | 1,023.62 | | | | 1.26 | | | | 0.25 | |
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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| 170 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a Fund could not meet requests to redeem shares issued by a Fund without significant dilution of remaining investors’ interest in the Funds. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquidity Investment Minimum (“HLIM”) established for a Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). On February 11, 2020, the Board of Trustees reviewed the Program Administrator’s initial written report (the “Report”) concerning the operation of the Program for the period from December 1, 2018 through December 31, 2019 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for this limit; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extendednon-U.S. market closures.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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| FEBRUARY 29, 2020 | | J.P. MORGAN MUNICIPAL BOND FUNDS | | | | | 171 | |
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2020. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2020. The information necessary to complete your income tax returns for the calendar year ending December 31, 2020 will be provided under separate cover.
Tax-Exempt Income
Each Fund listed below had the following amount, or maximum allowable amount, of dividends paid from investment income exempt from federal income tax for the fiscal year ended February 29, 2020 (amounts in thousands):
| | | | |
| | | Exempt
Distributions
Paid | |
JPMorgan High Yield Municipal Fund | | $ | 9,010 | |
JPMorgan Municipal Income Fund | | | 5,020 | |
JPMorgan Short-Intermediate Municipal Bond Fund | | | 31,392 | |
JPMorgan Tax Free Bond Fund | | | 12,225 | |
JPMorgan Ultra-Short Municipal Fund | | | 47,893 | |
| | | | | | |
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| 172 | | | | J.P. MORGAN MUNICIPAL BOND FUNDS | | FEBRUARY 29, 2020 |
Rev. January 2011
| | |
| | |
| FACTS | | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| | |
| Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| | |
| What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number and account balances ◾ transaction history and account transactions ◾ checking account information and wire transfer instructions When you areno longer our customer, we continue to share your information as described in this notice. |
| | |
| How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| | | | |
| | | |
| Reasons we can share your personal information | | Does J.P. Morgan
Funds share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
For marketing purposes — to offer our products and services to you | | Yes | | No |
| For joint marketing with other financial companies | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| | |
| | |
| Questions? | | Call1-800-480-4111 or go to www.jpmorganfunds.com |
| | |
| |
| Who we are |
| Who is providing this notice? | | J.P. Morgan Funds |
| | |
| |
| What we do |
| How does J.P. Morgan Funds protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. |
How does J.P. Morgan Funds collect my personal information? | | We collect your personal information, for example, when you: ◾ open an account or provide contact information ◾ give us your account information or pay us by check ◾ make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies. |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
| | |
| |
| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with our affiliates. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. |
| Joint Marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ◾ J.P. Morgan Funds doesn’t jointly market. |
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| | | | |
| | © JPMorgan Chase & Co., 2020. All rights reserved. February 2020. | | AN-MUNIBOND-220 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
| (a) | (1) Disclose that the registrant’s board of directors has determined that the registrant either: |
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of FormN-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C.80a-2(a)(19)).
The audit committee financial expert is Dennis P. Harrington. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2020 – $178,251
2019 – $373,127
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2020 – $31,710
2019 – $44,570
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2020 – $55,347
2019 – $73,632
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2020 and 2019, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2020 – Not applicable
2019 – Not applicable
(e) (1) Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for thepre-approval of audit andnon-audit services (the“Pre-approval Policy”), the Audit Committeepre-approves all audit andnon-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committeepre-approves the auditor’s engagement fornon-audit services with the Registrant’s investment adviser (not including asub-adviser whose role is primarily portfolio management and issub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may bepre-approved either 1) without consideration of specificcase-by-case services or 2) require the specificpre-approval of the Audit Committee. Therefore, initially thePre-approval Policy listed a number of audit andnon-audit services that have been approved by the Audit Committee, or which were not subject topre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
“Pre-approval List”). The Audit Committee annually reviews andpre-approves the services included on thePre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specificpre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of generalpre-approved services from time to time, based on subsequent determinations. All other audit andnon-audit services not on thePre-approval List must be specificallypre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Anypre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities topre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.
2020 – 0.0%
2019 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable – Less than 50%.
(g) Disclose the aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregatenon-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2019 – $24.8 million
2018 – $32.3 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of thenon-audit services that were rendered to Service Affiliates that were notpre-approved (not requiringpre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to bepre-approved werepre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule10A-3 under the Exchange Act (17CFR240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule10A-3(d) under the Exchange Act (17CFR240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth inSection 210.12-12 of RegulationS-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Act (17 CFR270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule30a-3(b) under the Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Exchange Act (17 CFR240.13a-15(b) or240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on FormN-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on FormN-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Act (17 CFR270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| | (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule30a-2(a) under the Act (17 CFR270.30a-2).
Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) Any written solicitation to purchase securities under Rule23c-1 under the Act (17 CFR270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
| | (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| JPMorgan Trust IV |
| |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | May 6, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Brian S. Shlissel |
| | Brian S. Shlissel |
| | President and Principal Executive Officer |
| | May 6, 2020 |
| | |
| By: | | /s/ Timothy J. Clemens |
| | Timothy J. Clemens |
| | Treasurer and Principal Financial Officer |
| | May 6, 2020 |
